VALIC Company II Aggressive Growth Lifestyle Fund
PORTFOLIO OF INVESTMENTS - November 30, 2020 - (unaudited)
Security Description | Shares | Value (Note 1) | ||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) - 100.0% |
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Domestic Equity Investment Companies - 54.5% |
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VALIC Co. I Blue Chip Growth Fund | 483 | $ | 12,353 | |||||
VALIC Co. I Dividend Value Fund | 4,215,954 | 47,935,392 | ||||||
VALIC Co. I Large Cap Core Fund | 872,821 | 12,254,410 | ||||||
VALIC Co. I Large Capital Growth Fund | 633,936 | 12,919,615 | ||||||
VALIC Co. I Mid Cap Index Fund | 798,795 | 20,505,079 | ||||||
VALIC Co. I Mid Cap Strategic Growth Fund | 561,173 | 11,812,692 | ||||||
VALIC Co. I Nasdaq-100® Index Fund | 107,703 | 2,529,943 | ||||||
VALIC Co. I Science & Technology Fund | 480,845 | 19,075,109 | ||||||
VALIC Co. I Small Cap Index Fund | 606,832 | 11,997,072 | ||||||
VALIC Co. I Small Cap Special Values Fund | 836,449 | 9,067,108 | ||||||
VALIC Co. I Stock Index Fund | 1,181,750 | 57,019,427 | ||||||
VALIC Co. I Value Fund | 860,385 | 15,409,492 | ||||||
VALIC Co. II Capital Appreciation Fund | 1,393,589 | 26,575,735 | ||||||
VALIC Co. II Large Cap Value Fund | 1,863,803 | 38,375,714 | ||||||
VALIC Co. II Mid Cap Growth Fund | 816,078 | 10,086,728 | ||||||
VALIC Co. II Mid Cap Value Fund | 2,019,272 | 35,478,609 | ||||||
VALIC Co. II Small Cap Growth Fund | 342,339 | 8,264,058 | ||||||
VALIC Co. II Small Cap Value Fund | 1,146,243 | 12,883,776 | ||||||
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Total Domestic Equity Investment Companies |
| 352,202,312 | ||||||
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Domestic Fixed Income Investment Companies - 17.3% |
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VALIC Co. I Capital Conservation Fund | 646,982 | 6,974,468 | ||||||
VALIC Co. I Government Securities Fund | 321,915 | 3,631,196 | ||||||
VALIC Co. I Inflation Protected Fund | 2,827,898 | 34,132,727 | ||||||
VALIC Co. II Core Bond Fund | 912,841 | 11,054,507 | ||||||
VALIC Co. II High Yield Bond Fund | 2,293,249 | 17,680,952 | ||||||
VALIC Co. II Strategic Bond Fund | 3,281,079 | 38,421,430 | ||||||
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Total Domestic Fixed Income Investment Companies |
| 111,895,280 | ||||||
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| |||||||
Domestic Money Market Investment Companies - 0.5% |
| |||||||
VALIC Co. I Government Money Market I Fund(2) | 2,886,199 | 2,886,199 | ||||||
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International Equity Investment Companies - 22.0% |
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VALIC Co. I Emerging Economies Fund | 3,239,078 | 30,414,941 | ||||||
VALIC Co. I International Equities Index Fund | 5,229,007 | 38,642,364 | ||||||
VALIC Co. I International Growth Fund | 770,594 | 12,491,329 | ||||||
VALIC Co. I International Value Fund | 2,500,117 | 24,226,134 | ||||||
VALIC Co. II International Opportunities Fund | 1,629,358 | 36,383,570 | ||||||
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Total International Equity Investment Companies |
| 142,158,338 | ||||||
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| |||||||
International Fixed Income Investment Companies - 2.6% |
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VALIC Co. I International Government Bond Fund | 1,276,423 | 16,784,968 | ||||||
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Real Estate Investment Companies - 3.1% |
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VALIC Co. I Global Real Estate Fund | 2,616,719 | 19,991,736 | ||||||
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TOTAL INVESTMENTS | 100.0 | % | 645,918,833 | |||||
Other assets less liabilities | 0.0 | 91,421 | ||||||
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NET ASSETS | 100.0 | % | $ | 646,010,254 | ||||
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# | The Aggressive Growth Lifestyle Fund invests in various VALIC Company I or VALIC Company II Funds, some of which are not presented in this report. Additional information on the underlying funds including such funds prospectuses and shareholder reports are available at our website, www.valic.com. |
(1) | See Note 3. |
(2) | The 7-day yield as of November 30, 2020 is 0.01%. |
The following is a summary of the inputs used to value the Funds net assets as of November 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Affiliated Registered Investment Companies | $ | 645,918,833 | $ | | $ | | $ | 645,918,833 | ||||||||
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* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of Investments
VALIC Company II Capital Appreciation Fund
PORTFOLIO OF INVESTMENTS - November 30, 2020 - (unaudited)
Security Description | Shares | Value (Note 1) | ||||||
COMMON STOCKS - 98.7% |
| |||||||
Apparel Manufacturers - 1.9% |
| |||||||
Carters, Inc. | 9,906 | $ | 881,535 | |||||
Deckers Outdoor Corp. | 5,826 | 1,483,241 | ||||||
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2,364,776 | ||||||||
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| |||||||
Applications Software - 9.7% |
| |||||||
Microsoft Corp. | 43,218 | 9,251,677 | ||||||
ServiceNow, Inc. | 5,221 | 2,790,886 | ||||||
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12,042,563 | ||||||||
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Auto/Truck Parts & Equipment-Original - 1.0% |
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Allison Transmission Holdings, Inc. | 28,806 | 1,182,486 | ||||||
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Banks-Super Regional - 1.3% |
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US Bancorp | 38,745 | 1,674,172 | ||||||
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Cable/Satellite TV - 0.8% |
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Charter Communications, Inc., Class A | 1,460 | 951,905 | ||||||
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Chemicals-Diversified - 1.6% |
| |||||||
Dow, Inc. | 23,670 | 1,254,747 | ||||||
PPG Industries, Inc. | 4,981 | 731,061 | ||||||
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| |||||||
1,985,808 | ||||||||
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Commercial Services - 0.9% |
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Quanta Services, Inc. | 16,701 | 1,141,346 | ||||||
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Commercial Services-Finance - 4.1% |
| |||||||
Euronet Worldwide, Inc. | 4,412 | 593,149 | ||||||
PayPal Holdings, Inc. | 16,462 | 3,524,844 | ||||||
TransUnion | 10,931 | 995,705 | ||||||
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5,113,698 | ||||||||
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| |||||||
Computer Data Security - 1.4% |
| |||||||
Fortinet, Inc. | 13,954 | 1,719,551 | ||||||
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| |||||||
Computers - 8.1% |
| |||||||
Apple, Inc. | 85,036 | 10,123,536 | ||||||
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Cosmetics & Toiletries - 1.6% |
| |||||||
Estee Lauder Cos., Inc., Class A | 4,586 | 1,125,038 | ||||||
Procter & Gamble Co. | 6,608 | 917,653 | ||||||
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| |||||||
2,042,691 | ||||||||
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| |||||||
Dental Supplies & Equipment - 2.1% |
| |||||||
Align Technology, Inc. | 5,346 | 2,572,976 | ||||||
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Dialysis Centers - 0.7% |
| |||||||
DaVita, Inc. | 8,089 | 888,577 | ||||||
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Distribution/Wholesale - 1.5% |
| |||||||
WW Grainger, Inc. | 4,382 | 1,832,991 | ||||||
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| |||||||
Diversified Manufacturing Operations - 2.3% |
| |||||||
3M Co. | 11,060 | 1,910,394 | ||||||
Carlisle Cos., Inc. | 6,633 | 960,657 | ||||||
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| |||||||
2,871,051 | ||||||||
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E-Commerce/Products - 6.3% |
| |||||||
Amazon.com, Inc. | 2,131 | 6,751,093 | ||||||
Etsy, Inc. | 6,564 | 1,054,835 | ||||||
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| |||||||
7,805,928 | ||||||||
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| |||||||
Electronic Components-Misc. - 1.1% |
| |||||||
Sensata Technologies Holding PLC | 29,066 | 1,419,293 | ||||||
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Electronic Components-Semiconductors - 6.4% |
| |||||||
Broadcom, Inc. | 3,938 | 1,581,422 | ||||||
IPG Photonics Corp. | 5,264 | 1,089,701 | ||||||
NVIDIA Corp. | 5,488 | 2,941,897 | ||||||
Texas Instruments, Inc. | 14,452 | 2,330,385 | ||||||
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| |||||||
7,943,405 | ||||||||
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| |||||||
Electronic Forms - 2.9% |
| |||||||
Adobe, Inc. | 7,436 | 3,557,903 | ||||||
|
| |||||||
Enterprise Software/Service - 1.2% |
| |||||||
Oracle Corp. | 8,387 | 484,098 | ||||||
Veeva Systems, Inc., Class A | 3,658 | 1,012,790 | ||||||
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| |||||||
1,496,888 | ||||||||
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Entertainment Software - 1.9% |
| |||||||
Electronic Arts, Inc. | 8,409 | 1,074,250 | ||||||
Take-Two Interactive Software, Inc. | 7,444 | 1,343,716 | ||||||
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| |||||||
2,417,966 | ||||||||
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Finance-Credit Card - 5.2% |
| |||||||
Mastercard, Inc., Class A | 13,594 | 4,574,517 | ||||||
Visa, Inc., Class A | 8,978 | 1,888,522 | ||||||
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| |||||||
6,463,039 | ||||||||
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Food-Confectionery - 1.2% |
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Hershey Co. | 9,812 | 1,451,097 | ||||||
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Insurance-Multi-line - 1.6% |
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Allstate Corp. | 19,173 | 1,962,357 | ||||||
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Internet Application Software - 0.5% |
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Okta, Inc. | 2,607 | 638,819 | ||||||
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Internet Content-Entertainment - 4.7% |
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Facebook, Inc., Class A | 21,029 | 5,824,402 | ||||||
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Internet Infrastructure Software - 1.4% |
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F5 Networks, Inc. | 10,861 | 1,768,279 | ||||||
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Internet Security - 0.9% |
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Palo Alto Networks, Inc. | 3,646 | 1,071,632 | ||||||
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Machinery-Electrical - 0.6% |
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Regal Beloit Corp. | 6,136 | 730,429 | ||||||
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Medical Instruments - 0.7% |
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Bio-Techne Corp. | 2,886 | 875,353 | ||||||
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Medical-Biomedical/Gene - 2.9% |
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Alexion Pharmaceuticals, Inc. | 8,948 | 1,092,640 | ||||||
Exelixis, Inc. | 35,345 | 677,210 | ||||||
Vertex Pharmaceuticals, Inc. | 7,901 | 1,799,453 | ||||||
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3,569,303 | ||||||||
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Medical-Drugs - 5.1% |
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Bristol-Myers Squibb Co. | 15,578 | 972,067 | ||||||
Eli Lilly & Co. | 11,921 | 1,736,294 | ||||||
Horizon Therapeutics PLC | 19,435 | 1,368,807 | ||||||
Jazz Pharmaceuticals PLC | 5,686 | 800,077 | ||||||
Merck & Co., Inc. | 17,659 | 1,419,607 | ||||||
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6,296,852 | ||||||||
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Medical-HMO - 1.0% |
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Humana, Inc. | 2,949 | 1,181,134 | ||||||
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Office Automation & Equipment - 0.9% |
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Zebra Technologies Corp., Class A | 3,050 | 1,154,181 | ||||||
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Real Estate Investment Trusts - 0.8% |
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Lamar Advertising Co., Class A | 12,961 | 1,031,825 | ||||||
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Retail-Building Products - 1.7% |
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Lowes Cos., Inc. | 13,891 | 2,164,496 | ||||||
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Retail-Discount - 2.5% |
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Target Corp. | 9,662 | 1,734,619 | ||||||
Walmart, Inc. | 9,132 | 1,395,278 | ||||||
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3,129,897 | ||||||||
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Telecom Equipment-Fiber Optics - 0.5% |
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Ciena Corp. | 12,492 | 559,642 | ||||||
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Therapeutics - 1.0% |
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Neurocrine Biosciences, Inc. | 9,129 | 866,707 | ||||||
Sarepta Therapeutics, Inc. | 3,067 | 432,018 | ||||||
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1,298,725 | ||||||||
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Web Portals/ISP - 5.5% |
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Alphabet, Inc., Class A | 873 | 1,531,591 | ||||||
Alphabet, Inc., Class C | 3,003 | 5,287,502 | ||||||
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6,819,093 | ||||||||
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Wireless Equipment - 1.2% |
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Motorola Solutions, Inc. | 8,851 | 1,518,212 | ||||||
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TOTAL INVESTMENTS |
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(cost $83,209,429) | 98.7 | % | 122,658,277 | |||||
Other assets less liabilities | 1.3 | 1,635,652 | ||||||
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NET ASSETS | 100.0 | % | $ | 124,293,929 | ||||
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| Non-income producing security |
The following is a summary of the inputs used to value the Funds net assets as of November 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks | $ | 122,658,277 | $ | | $ | | $ | 122,658,277 | ||||||||
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* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of Investments
VALIC Company II Conservative Growth Lifestyle Fund
PORTFOLIO OF INVESTMENTS - November 30, 2020 - (unaudited)
Security Description | Shares | Value (Note 1) | ||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) - 100.0% |
| |||||||
Domestic Equity Investment Companies - 28.8% |
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VALIC Co. I Dividend Value Fund | 1,425,203 | $ | 16,204,560 | |||||
VALIC Co. I Large Cap Core Fund | 236,049 | 3,314,130 | ||||||
VALIC Co. I Large Capital Growth Fund | 104,680 | 2,133,383 | ||||||
VALIC Co. I Mid Cap Index Fund | 195,935 | 5,029,653 | ||||||
VALIC Co. I Mid Cap Strategic Growth Fund | 122,263 | 2,573,641 | ||||||
VALIC Co. I Nasdaq - 100® Index Fund | 85,901 | 2,017,815 | ||||||
VALIC Co. I Science & Technology Fund | 139,107 | 5,518,388 | ||||||
VALIC Co. I Small Cap Index Fund | 101,379 | 2,004,255 | ||||||
VALIC Co. I Small Cap Special Values Fund | 317,558 | 3,442,331 | ||||||
VALIC Co. I Stock Index Fund | 359,725 | 17,356,744 | ||||||
VALIC Co. I Value Fund | 202,307 | 3,623,317 | ||||||
VALIC Co. II Capital Appreciation Fund | 374,493 | 7,141,588 | ||||||
VALIC Co. II Large Cap Value Fund | 486,580 | 10,018,675 | ||||||
VALIC Co. II Mid Cap Growth Fund | 263,945 | 3,262,356 | ||||||
VALIC Co. II Mid Cap Value Fund | 701,756 | 12,329,847 | ||||||
VALIC Co. II Small Cap Growth Fund | 89,592 | 2,162,747 | ||||||
VALIC Co. II Small Cap Value Fund | 222,620 | 2,502,249 | ||||||
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Total Domestic Equity Investment Companies (cost $89,643,347) | 100,635,679 | |||||||
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Domestic Fixed Income Investment Companies - 51.4% |
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VALIC Co. I Capital Conservation Fund | 1,610,458 | 17,360,734 | ||||||
VALIC Co. I Government Securities Fund | 724,977 | 8,177,745 | ||||||
VALIC Co. I Inflation Protected Fund | 1,944,248 | 23,467,073 | ||||||
VALIC Co. II Core Bond Fund | 4,659,753 | 56,429,606 | ||||||
VALIC Co. II High Yield Bond Fund | 3,431,981 | 26,460,572 | ||||||
VALIC Co. II Strategic Bond Fund | 4,092,757 | 47,926,183 | ||||||
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Total Domestic Fixed Income Investment Companies (cost $169,450,339) | 179,821,913 | |||||||
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Domestic Money Market Investment Companies - 0.6% |
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VALIC Co. I Government Money Market I Fund(2) | 2,131,935 | 2,131,935 | ||||||
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International Equity Investment Companies - 12.0% |
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VALIC Co. I Emerging Economies Fund | 913,816 | 8,580,734 | ||||||
VALIC Co. I International Equities Index Fund | 1,800,428 | 13,305,161 | ||||||
VALIC Co. I International Growth Fund | 122,826 | 1,991,006 | ||||||
VALIC Co. I International Value Fund | 569,081 | 5,514,394 | ||||||
VALIC Co. II International Opportunities Fund | 563,192 | 12,576,070 | ||||||
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Total International Equity Investment Companies (cost $38,222,718) | 41,967,365 | |||||||
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International Fixed Income Investment Companies - 4.8% |
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VALIC Co. I International Government Bond Fund | 1,287,658 | 16,932,698 | ||||||
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Real Estate Investment Companies - 2.4% |
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VALIC Co. I Global Real Estate Fund | 1,097,019 | 8,381,228 | ||||||
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TOTAL INVESTMENTS (cost $322,964,700) | 100.0 | % | 349,870,818 | |||||
Other assets less liabilities | 0.0 | 2,735 | ||||||
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NET ASSETS | 100.0 | % | $ | 349,873,553 | ||||
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# | The Conservative Growth Lifestyle Fund invests in various VALIC Company I or VALIC Company II Funds, some of which are not presented in this report. Additional Information on the underlying funds including such funds prospectuses and shareholder reports are available at our website, www.valic.com. |
(1) | See Note 3 |
(2) | The 7-day yield as of November 30, 2020 is 0.01%. |
The following is a summary of the inputs used to value the Funds net assets as of November 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Affiliated Registered Investment Companies | $ | 349,870,818 | $ | | $ | | $ | 349,870,818 | ||||||||
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* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of Investments
VALIC Company II Core Bond Fund
PORTFOLIO OF INVESTMENTS - November 30, 2020 - (unaudited)
Security Description | Principal Amount/ Shares | Value (Note 1) | ||||||
ASSET BACKED SECURITIES - 3.6% |
| |||||||
Diversified Financial Services - 3.6% |
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American Express Credit Account Master Trust | $2,000,000 | $ | 2,066,736 | |||||
AmeriCredit Automobile Receivables Trust | 969,760 | 982,652 | ||||||
BA Credit Card Trust | 900,000 | 922,974 | ||||||
BA Credit Card Trust | 1,337,000 | 1,350,861 | ||||||
BANK | 2,377,000 | 2,550,927 | ||||||
Benchmark Mtg. Trust | 1,233,000 | 1,281,666 | ||||||
Benchmark Mtg. Trust | 2,985,000 | 3,436,534 | ||||||
BMW Vehicle Lease Trust | 1,050,000 | 1,063,405 | ||||||
BX Commercial Mtg. Trust FRS | 2,500,000 | 2,421,816 | ||||||
CAMB Commercial Mtg. Trust FRS | 750,000 | 749,525 | ||||||
Capital One Prime Auto Receivables Trust | 600,000 | 611,053 | ||||||
CarMax Auto Owner Trust | 1,030,000 | 1,055,406 | ||||||
CarMax Auto Owner Trust | 1,125,000 | 1,152,556 | ||||||
CarMax Auto Owner Trust | 911,572 | 931,759 | ||||||
Chase Mtg. Finance Corp. VRS | 840,141 | 868,806 | ||||||
Citibank Credit Card Issuance Trust | 150,000 | 150,465 | ||||||
Citibank Credit Card Issuance Trust | 250,000 | 301,272 | ||||||
COMM Mtg. Trust VRS | 1,254,000 | 1,318,955 | ||||||
CSAIL Commercial Mtg. Trust | 1,770,000 | 1,803,516 | ||||||
CSAIL Commercial Mtg. Trust | 225,000 | 237,355 | ||||||
Discover Card Execution Note Trust | 400,000 | 412,597 | ||||||
GM Financial Consumer Automobile Receivables Trust | 1,000,000 | 1,009,744 | ||||||
GM Financial Consumer Automobile Receivables Trust | 1,075,000 | 1,093,482 | ||||||
Honda Auto Receivables Owner Trust | 1,000,000 | 1,000,093 | ||||||
Honda Auto Receivables Owner Trust | 700,000 | 712,853 | ||||||
ILPT Trust | 5,570,000 | 6,306,596 | ||||||
Jackson Park Trust | 1,400,000 | 1,472,964 | ||||||
JP Morgan Mtg. Trust VRS | 533,436 | 534,887 | ||||||
JP Morgan Mtg. Trust VRS | 714,297 | 717,204 | ||||||
Morgan Stanley Capital Barclays Bank Trust | 2,397,000 | 2,391,431 | ||||||
MSDB Trust VRS | 4,520,000 | 4,877,133 | ||||||
MTRO Commercial Mtg. Trust FRS | 2,950,000 | 2,937,586 | ||||||
Navient Private Education Refi Loan Trust | 478,515 | 481,418 | ||||||
One Bryant Park Trust | 3,720,000 | 3,956,104 | ||||||
Shellpoint Co-Originator Trust VRS | 763,562 | 784,470 | ||||||
Toyota Auto Loan Extended Note Trust | 900,000 | 960,621 |
Toyota Auto Receivables Owner Trust | 3,000,000 | 3,062,135 | ||||||
Toyota Auto Receivables Owner Trust | 125,000 | 129,819 | ||||||
Volkswagen Auto Loan Enhanced Trust | 500,000 | 521,522 | ||||||
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Total Asset Backed Securities | ||||||||
(cost $56,496,511) |
| 58,620,898 | ||||||
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U.S. CORPORATE BONDS & NOTES - 32.4% |
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Advertising Agencies - 0.1% |
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Omnicom Group, Inc. | 1,241,000 | 1,316,967 | ||||||
Omnicom Group, Inc. | 301,000 | 363,037 | ||||||
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1,680,004 | ||||||||
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Advertising Sales - 0.0% |
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National CineMedia LLC | 643,000 | 502,344 | ||||||
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Aerospace/Defense - 0.2% |
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BAE Systems Holdings, Inc. | 2,207,000 | 2,499,079 | ||||||
Lockheed Martin Corp. | 11,000 | 11,995 | ||||||
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2,511,074 | ||||||||
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Aerospace/Defense-Equipment - 0.1% |
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Moog, Inc. | 669,000 | 689,304 | ||||||
Spirit AeroSystems, Inc. | 882,000 | 943,740 | ||||||
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1,633,044 | ||||||||
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Airlines - 0.2% |
| |||||||
American Airlines, Inc. | 1,115,000 | 1,233,190 | ||||||
Delta Air Lines, Inc. | 1,060,000 | 1,210,996 | ||||||
United Airlines Holdings, Inc. | 311,000 | 299,701 | ||||||
United Airlines Holdings, Inc. | 401,000 | 389,972 | ||||||
United Airlines Pass-Through Trust | 358,648 | 360,922 | ||||||
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3,494,781 | ||||||||
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| |||||||
Applications Software - 0.0% |
| |||||||
SS&C Technologies, Inc. | 495,000 | 530,269 | ||||||
|
| |||||||
Auction Houses/Art Dealers - 0.1% |
| |||||||
Sothebys | 1,400,000 | 1,470,000 | ||||||
|
| |||||||
Auto-Cars/Light Trucks - 0.5% |
| |||||||
BMW US Capital LLC | 952,000 | 961,475 | ||||||
Daimler Finance North America LLC | 288,000 | 290,509 | ||||||
Ford Motor Co. | 1,271,000 | 1,250,092 | ||||||
Ford Motor Co. | 1,443,000 | 1,659,450 | ||||||
Ford Motor Co. | 178,000 | 223,390 | ||||||
Ford Motor Credit Co. LLC | 479,000 | 482,832 | ||||||
General Motors Financial Co., Inc. | 1,222,000 | 1,292,058 | ||||||
Hyundai Capital America | 1,064,000 | 1,135,754 | ||||||
|
| |||||||
7,295,560 | ||||||||
|
| |||||||
Auto-Heavy Duty Trucks - 0.1% |
| |||||||
Allison Transmission, Inc. | 756,000 | 762,615 | ||||||
JB Poindexter & Co., Inc. | 650,000 | 689,812 | ||||||
PACCAR Financial Corp. | 827,000 | 836,685 | ||||||
|
| |||||||
2,289,112 | ||||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original - 0.1% |
| |||||||
BorgWarner, Inc. | 993,000 | 1,058,877 | ||||||
Dana, Inc. | 621,000 | 660,589 | ||||||
|
| |||||||
1,719,466 | ||||||||
|
|
Banks-Commercial - 1.3% |
| |||||||
BankUnited, Inc. | 2,959,000 | 3,391,746 | ||||||
BankUnited, Inc. | 2,924,000 | 3,280,737 | ||||||
Citizens Financial Group, Inc. | 2,690,000 | 2,810,439 | ||||||
First Horizon Bank | 1,305,000 | 1,520,041 | ||||||
Regions Financial Corp. | 1,660,000 | 2,517,856 | ||||||
Santander Holdings USA, Inc. | 656,000 | 708,570 | ||||||
Signature Bank New York | 2,987,000 | 3,024,835 | ||||||
SunTrust Bank | 21,000 | 21,438 | ||||||
Synovus Bank | 1,222,000 | 1,237,189 | ||||||
Truist Bank | 661,000 | 692,011 | ||||||
Zions Bancorp NA | 2,097,000 | 2,155,226 | ||||||
|
| |||||||
21,360,088 | ||||||||
|
| |||||||
Banks-Super Regional - 0.6% |
| |||||||
Bank of America NA | 730,000 | 754,679 | ||||||
Wells Fargo & Co. | 1,145,000 | 1,208,422 | ||||||
Wells Fargo & Co. | 1,968,000 | 2,143,753 | ||||||
Wells Fargo & Co. | 3,769,000 | 4,396,754 | ||||||
Wells Fargo & Co. | 519,000 | 669,519 | ||||||
Wells Fargo & Co. | 808,000 | 1,153,886 | ||||||
|
| |||||||
10,327,013 | ||||||||
|
| |||||||
Batteries/Battery Systems - 0.1% |
| |||||||
Energizer Holdings, Inc. | 735,000 | 750,031 | ||||||
EnerSys | 800,000 | 837,000 | ||||||
|
| |||||||
1,587,031 | ||||||||
|
| |||||||
Beverages-Non-alcoholic - 0.2% |
| |||||||
Coca-Cola Co. | 1,237,000 | 1,286,328 | ||||||
Keurig Dr Pepper, Inc. | 30,000 | 32,558 | ||||||
PepsiCo, Inc. | 1,387,000 | 1,482,360 | ||||||
PepsiCo, Inc. | 1,102,000 | 1,232,124 | ||||||
|
| |||||||
4,033,370 | ||||||||
|
| |||||||
Beverages-Wine/Spirits - 0.0% |
| |||||||
Pernod Ricard International Finance LLC | 685,000 | 677,237 | ||||||
|
| |||||||
Brewery - 0.3% |
| |||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 2,219,000 | 2,899,530 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 2,115,000 | 2,684,513 | ||||||
|
| |||||||
5,584,043 | ||||||||
|
| |||||||
Broadcast Services/Program - 0.2% |
| |||||||
Discovery Communications LLC | 1,127,000 | 1,456,503 | ||||||
Univision Communications, Inc. | 121,000 | 121,756 | ||||||
Univision Communications, Inc. | 1,249,000 | 1,333,308 | ||||||
|
| |||||||
2,911,567 | ||||||||
|
| |||||||
Building & Construction Products-Misc. - 0.2% |
| |||||||
Owens Corning | 1,806,000 | 2,139,042 | ||||||
Standard Industries, Inc. | 685,000 | 687,569 | ||||||
|
| |||||||
2,826,611 | ||||||||
|
|
Building Products-Air & Heating - 0.2% | ||||||||
Carrier Global Corp. | 565,000 | 603,311 | ||||||
Carrier Global Corp. | 675,000 | 719,117 | ||||||
Carrier Global Corp. | 1,748,000 | 1,925,513 | ||||||
|
| |||||||
3,247,941 | ||||||||
|
| |||||||
Building Products-Doors & Windows - 0.0% | ||||||||
Griffon Corp. | 719,000 | 762,140 | ||||||
|
| |||||||
Building Products-Wood - 0.1% | ||||||||
Boise Cascade Co. | 409,000 | 443,765 | ||||||
Masco Corp. | 1,321,000 | 1,340,246 | ||||||
|
| |||||||
1,784,011 | ||||||||
|
| |||||||
Cable/Satellite TV - 0.9% | ||||||||
Block Communications, Inc. | 889,000 | 922,337 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 361,000 | 380,404 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 295,000 | 322,288 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 354,000 | 369,932 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 1,634,000 | 1,678,867 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 1,108,000 | 1,323,069 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 140,000 | 176,478 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 536,000 | 747,415 | ||||||
Comcast Corp. | 1,063,000 | 1,045,397 | ||||||
Comcast Corp. | 1,261,000 | 1,422,530 | ||||||
Comcast Corp. | 566,000 | 687,554 | ||||||
Comcast Corp. | 356,000 | 438,274 | ||||||
Comcast Corp. | 935,000 | 1,237,414 | ||||||
CSC Holdings LLC | 440,000 | 476,300 | ||||||
CSC Holdings LLC | 600,000 | 633,300 | ||||||
Time Warner Cable LLC | 1,441,000 | 1,993,904 | ||||||
|
| |||||||
13,855,463 | ||||||||
|
| |||||||
Casino Hotels - 0.0% | ||||||||
Boyd Gaming Corp. | 542,000 | 550,780 | ||||||
Boyd Gaming Corp. | 155,000 | 172,196 | ||||||
|
| |||||||
722,976 | ||||||||
|
| |||||||
Casino Services - 0.1% | ||||||||
Caesars Entertainment, Inc. | 1,025,000 | 1,091,159 | ||||||
|
| |||||||
Cellular Telecom - 0.3% | ||||||||
Sprint Corp. | 1,355,000 | 1,562,784 | ||||||
T-Mobile USA, Inc. | 1,956,000 | 1,984,479 | ||||||
T-Mobile USA, Inc. | 208,000 | 214,770 | ||||||
T-Mobile USA, Inc. | 822,000 | 876,408 | ||||||
|
| |||||||
4,638,441 | ||||||||
|
|
Chemicals-Diversified - 0.2% | ||||||||
LYB International Finance III LLC | 753,000 | 806,489 | ||||||
Westlake Chemical Corp. | 2,031,000 | 2,223,877 | ||||||
|
| |||||||
3,030,366 | ||||||||
|
| |||||||
Chemicals-Specialty - 0.3% | ||||||||
Ecolab, Inc. | 1,125,000 | 1,164,629 | ||||||
Huntsman International LLC | 1,525,000 | 1,756,054 | ||||||
Minerals Technologies, Inc. | 803,000 | 834,951 | ||||||
Tronox, Inc. | 570,000 | 592,076 | ||||||
|
| |||||||
4,347,710 | ||||||||
|
| |||||||
Coal - 0.1% | ||||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. | 992,000 | 977,120 | ||||||
|
| |||||||
Commercial Services - 0.2% | ||||||||
Nielsen Finance LLC/Nielsen Finance Co. | 432,000 | 432,000 | ||||||
Nielsen Finance LLC/Nielsen Finance Co. | 460,000 | 490,337 | ||||||
Nielsen Finance LLC/Nielsen Finance Co. | 728,000 | 799,890 | ||||||
Quanta Services, Inc. | 1,248,000 | 1,335,622 | ||||||
|
| |||||||
3,057,849 | ||||||||
|
| |||||||
Commercial Services-Finance - 0.1% | ||||||||
MPH Acquisition Holdings LLC | 150,000 | 146,906 | ||||||
Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. | 699,000 | 726,121 | ||||||
|
| |||||||
873,027 | ||||||||
|
| |||||||
Computer Services - 0.6% | ||||||||
Banff Merger Sub, Inc. | 820,000 | 877,400 | ||||||
IBM Credit LLC | 4,172,000 | 4,424,748 | ||||||
Leidos, Inc. | 854,000 | 868,328 | ||||||
Leidos, Inc. | 766,000 | 852,611 | ||||||
Leidos, Inc. | 391,000 | 462,889 | ||||||
Presidio Holdings, Inc. | 860,000 | 933,100 | ||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. | 196,000 | 208,740 | ||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. | 290,000 | 297,250 | ||||||
|
| |||||||
8,925,066 | ||||||||
|
| |||||||
Computers - 0.5% | ||||||||
Apple, Inc. | 995,000 | 1,064,641 | ||||||
Dell International LLC/EMC Corp. | 875,000 | 906,719 | ||||||
Dell International LLC/EMC Corp. | 1,444,000 | 2,076,412 | ||||||
Hewlett Packard Enterprise Co. | 2,794,000 | 2,863,316 | ||||||
Hewlett Packard Enterprise Co. | 1,151,000 | 1,474,463 | ||||||
|
| |||||||
8,385,551 | ||||||||
|
| |||||||
Computers-Integrated Systems - 0.1% | ||||||||
Diebold Nixdorf, Inc. | 640,000 | 639,194 | ||||||
Diebold Nixdorf, Inc. | 299,000 | 328,152 | ||||||
|
| |||||||
967,346 | ||||||||
|
|
Consumer Products-Misc. - 0.0% |
| |||||||
Kimberly-Clark Corp. | 18,000 | 20,795 | ||||||
|
| |||||||
Containers-Metal/Glass - 0.0% |
| |||||||
Silgan Holdings, Inc. | 430,000 | 439,406 | ||||||
|
| |||||||
Containers-Paper/Plastic - 0.1% |
| |||||||
Sonoco Products Co | 1,173,000 | 1,299,218 | ||||||
|
| |||||||
Cosmetics & Toiletries - 0.1% |
| |||||||
Coty, Inc. | 1,365,000 | 1,330,875 | ||||||
|
| |||||||
Direct Marketing - 0.0% |
| |||||||
Terrier Media Buyer, Inc. | 437,000 | 471,960 | ||||||
|
| |||||||
Distribution/Wholesale - 0.2% |
| |||||||
H&E Equipment Services, Inc. | 374,000 | 375,402 | ||||||
H&E Equipment Services, Inc. | 767,000 | 801,745 | ||||||
KAR Auction Services, Inc. | 846,000 | 872,184 | ||||||
Performance Food Group, Inc. | 528,000 | 561,660 | ||||||
|
| |||||||
2,610,991 | ||||||||
|
| |||||||
Diversified Banking Institutions - 2.7% |
| |||||||
Bank of America Corp. | 2,476,000 | 2,528,278 | ||||||
Bank of America Corp. | 1,166,000 | 1,173,039 | ||||||
Bank of America Corp. | 2,338,000 | 2,477,573 | ||||||
Bank of America Corp. | 615,000 | 702,024 | ||||||
Bank of America Corp. | 325,000 | 414,214 | ||||||
Bank of America Corp. | 1,586,000 | 1,832,905 | ||||||
Bank of America Corp. | 1,394,000 | 2,047,702 | ||||||
Citigroup, Inc. | 1,285,000 | 1,382,562 | ||||||
Citigroup, Inc. | 1,049,000 | 1,189,872 | ||||||
Citigroup, Inc. | 1,356,000 | 1,590,996 | ||||||
Citigroup, Inc. | 752,000 | 1,009,812 | ||||||
Citigroup, Inc. | 902,000 | 1,215,822 | ||||||
Citigroup, Inc. | 1,462,000 | 2,027,851 | ||||||
Goldman Sachs Group, Inc. | 2,130,000 | 2,388,258 | ||||||
Goldman Sachs Group, Inc. | 1,222,000 | 1,431,411 | ||||||
Goldman Sachs Group, Inc. | 1,843,000 | 2,823,968 | ||||||
JPMorgan Chase & Co. | 1,693,000 | 1,700,474 | ||||||
JPMorgan Chase & Co. | 4,005,000 | 4,185,613 | ||||||
JPMorgan Chase & Co. | 3,395,000 | 3,471,021 | ||||||
JPMorgan Chase & Co. | 467,000 | 509,832 | ||||||
JPMorgan Chase & Co. | 521,000 | 582,077 | ||||||
JPMorgan Chase & Co. | 1,135,000 | 1,286,433 | ||||||
JPMorgan Chase & Co. | 498,000 | 606,953 | ||||||
Morgan Stanley | 640,000 | 745,720 | ||||||
Morgan Stanley | 3,222,000 | 3,682,363 | ||||||
Morgan Stanley | 279,000 | 332,478 | ||||||
|
| |||||||
43,339,251 | ||||||||
|
|
Diversified Manufacturing Operations - 0.1% | ||||||||
General Electric Co. | 110,000 | 125,200 | ||||||
General Electric Co. | 481,000 | 567,263 | ||||||
Illinois Tool Works, Inc. | 1,090,000 | 1,185,950 | ||||||
|
| |||||||
1,878,413 | ||||||||
|
| |||||||
E-Commerce/Products - 0.1% | ||||||||
Amazon.com, Inc. | 687,000 | 950,856 | ||||||
|
| |||||||
E-Commerce/Services - 0.0% | ||||||||
GrubHub Holdings, Inc. | 730,000 | 764,675 | ||||||
|
| |||||||
Electric Products-Misc. - 0.1% | ||||||||
Emerson Electric Co. | 1,176,000 | 1,187,080 | ||||||
|
| |||||||
Electric-Distribution - 0.5% | ||||||||
National Rural Utilities Cooperative Finance Corp. | 1,534,000 | 1,520,572 | ||||||
National Rural Utilities Cooperative Finance Corp. | 3,879,000 | 4,206,654 | ||||||
NextEra Energy Operating Partners LP | 875,000 | 920,964 | ||||||
NSTAR Electric Co. | 1,190,000 | 1,443,326 | ||||||
|
| |||||||
8,091,516 | ||||||||
|
| |||||||
Electric-Generation - 0.2% | ||||||||
Emera US Finance LP | 1,159,000 | 1,458,809 | ||||||
Liberty Utilities Finance GP | 764,000 | 765,397 | ||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc. | 800,000 | 856,000 | ||||||
Vistra Operations Co. LLC | 880,000 | 930,688 | ||||||
|
| |||||||
4,010,894 | ||||||||
|
| |||||||
Electric-Integrated - 2.1% | ||||||||
AEP Texas, Inc. | 557,000 | 686,282 | ||||||
AES Corp. | 2,270,000 | 2,309,669 | ||||||
Appalachian Power Co. | 1,208,000 | 1,447,104 | ||||||
Avangrid, Inc. | 3,017,000 | 3,302,829 | ||||||
Consolidated Edison Co. of New York, Inc. | 291,000 | 361,191 | ||||||
Dominion Energy South Carolina, Inc. | 1,263,000 | 1,991,996 | ||||||
Dominion Resources, Inc. | 1,253,000 | 1,613,184 | ||||||
DTE Electric Co. | 2,181,000 | 2,830,051 | ||||||
Entergy Texas, Inc. | 2,326,000 | 2,935,548 | ||||||
Exelon Corp. | 886,000 | 1,198,949 | ||||||
FirstEnergy Corp. | 2,828,000 | 3,886,741 | ||||||
Interstate Power & Light Co. | 824,000 | 928,747 | ||||||
Kentucky Utilities Co. | 510,000 | 581,212 | ||||||
Pacific Gas & Electric Co. | 1,115,000 | 1,166,965 | ||||||
Pacific Gas & Electric Co. | 1,144,000 | 1,228,840 | ||||||
Public Service Co. of Colorado | 1,998,000 | 2,139,583 | ||||||
Public Service Co. of Colorado | 1,138,000 | 1,330,633 |
Public Service Co. of Colorado | 858,000 | 1,113,243 | ||||||
Southern California Edison Co. | 129,000 | 150,054 | ||||||
Talen Energy Supply LLC | 460,000 | 470,350 | ||||||
Talen Energy Supply LLC | 457,000 | 479,713 | ||||||
Union Electric Co | 1,224,000 | 1,348,349 | ||||||
|
| |||||||
33,501,233 | ||||||||
|
| |||||||
Electronic Components-Semiconductors - 0.2% | ||||||||
Broadcom, Inc. | 930,000 | 1,080,063 | ||||||
Broadcom, Inc. | 580,000 | 702,137 | ||||||
NVIDIA Corp. | 1,026,000 | 1,322,510 | ||||||
|
| |||||||
3,104,710 | ||||||||
|
| |||||||
Electronic Measurement Instruments - 0.0% | ||||||||
Trimble, Inc. | 119,000 | 136,585 | ||||||
|
| |||||||
Electronic Parts Distribution - 0.1% | ||||||||
Arrow Electronics, Inc. | 746,000 | 815,224 | ||||||
Ingram Micro, Inc. | 875,000 | 944,058 | ||||||
|
| |||||||
1,759,282 | ||||||||
|
| |||||||
Energy-Alternate Sources - 0.1% | ||||||||
Hanwha Energy USA Holdings Corp. | 1,492,000 | 1,532,050 | ||||||
|
| |||||||
Enterprise Software/Service - 0.2% | ||||||||
Donnelley Financial Solutions, Inc. | 747,000 | 793,687 | ||||||
Oracle Corp. | 2,783,000 | 2,984,848 | ||||||
|
| |||||||
3,778,535 | ||||||||
|
| |||||||
Entertainment Software - 0.1% | ||||||||
Activision Blizzard, Inc. | 968,000 | 933,766 | ||||||
|
| |||||||
Finance-Auto Loans - 0.1% | ||||||||
Credit Acceptance Corp. | 134,000 | 137,015 | ||||||
Credit Acceptance Corp. | 696,000 | 736,020 | ||||||
|
| |||||||
873,035 | ||||||||
|
| |||||||
Finance-Commercial - 0.1% | ||||||||
GE Capital Funding LLC | 1,920,000 | 2,212,004 | ||||||
|
| |||||||
Finance-Consumer Loans - 0.4% | ||||||||
Enova International, Inc. | 1,212,000 | 1,142,310 | ||||||
Springleaf Finance Corp. | 438,000 | 477,420 | ||||||
Springleaf Finance Corp. | 217,000 | 247,923 | ||||||
Synchrony Financial | 4,817,000 | 5,418,755 | ||||||
|
| |||||||
7,286,408 | ||||||||
|
| |||||||
Finance-Credit Card - 0.3% | ||||||||
Alliance Data Systems Corp. | 905,000 | 867,669 | ||||||
American Express Co. | 1,068,000 | 1,161,852 | ||||||
American Express Co. | 725,000 | 841,797 | ||||||
Mastercard, Inc. | 1,544,000 | 1,640,447 | ||||||
Visa, Inc. | 492,000 | 488,983 | ||||||
|
| |||||||
5,000,748 | ||||||||
|
| |||||||
Finance-Investment Banker/Broker - 0.0% | ||||||||
LPL Holdings, Inc. | 195,000 | 199,875 | ||||||
LPL Holdings, Inc. | 426,000 | 440,919 | ||||||
|
| |||||||
640,794 | ||||||||
|
| |||||||
Finance-Mortgage Loan/Banker - 0.1% | ||||||||
Genworth Mtg. Holdings, Inc. | 614,000 | 653,910 | ||||||
LD Holdings Group LLC | 853,000 | 897,782 |
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. | 344,000 | 341,898 | ||||||
Quicken Loans, Inc. | 219,000 | 231,593 | ||||||
|
| |||||||
2,125,183 | ||||||||
|
| |||||||
Financial Guarantee Insurance - 0.0% |
| |||||||
NMI Holdings, Inc. | 460,000 | 509,271 | ||||||
|
| |||||||
Food-Dairy Products - 0.0% |
| |||||||
Land O Lakes, Inc. | 250,000 | 235,000 | ||||||
|
| |||||||
Food-Meat Products - 0.1% |
| |||||||
Smithfield Foods, Inc. | 995,000 | 1,103,455 | ||||||
Smithfield Foods, Inc. | 991,000 | 1,180,283 | ||||||
|
| |||||||
2,283,738 | ||||||||
|
| |||||||
Food-Misc./Diversified - 0.4% |
| |||||||
Conagra Brands, Inc. | 1,051,000 | 1,424,380 | ||||||
Dole Food Co., Inc. | 1,125,000 | 1,139,062 | ||||||
Kraft Heinz Foods Co. | 346,000 | 390,258 | ||||||
Lamb Weston Holdings, Inc. | 585,000 | 608,400 | ||||||
Mars, Inc. | 750,000 | 771,283 | ||||||
Nestle Holdings, Inc. | 1,557,000 | 1,751,583 | ||||||
|
| |||||||
6,084,966 | ||||||||
|
| |||||||
Food-Retail - 0.1% |
| |||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 520,000 | 548,153 | ||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 642,000 | 662,143 | ||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 522,000 | 563,760 | ||||||
|
| |||||||
1,774,056 | ||||||||
|
| |||||||
Food-Wholesale/Distribution - 0.3% |
| |||||||
Sysco Corp. | 1,149,000 | 1,201,053 | ||||||
Sysco Corp. | 444,000 | 586,665 | ||||||
Sysco Corp. | 1,156,000 | 1,707,826 | ||||||
Sysco Corp. | 514,000 | 797,201 | ||||||
US Foods, Inc. | 496,000 | 527,518 | ||||||
|
| |||||||
4,820,263 | ||||||||
|
| |||||||
Hotels/Motels - 0.1% |
| |||||||
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. | 805,000 | 843,238 | ||||||
Wyndham Destinations, Inc. | 210,000 | 235,725 | ||||||
Wyndham Worldwide Corp. | 1,039,000 | 1,135,107 | ||||||
|
| |||||||
2,214,070 | ||||||||
|
| |||||||
Human Resources - 0.0% |
| |||||||
Korn Ferry International | 598,000 | 625,478 | ||||||
|
| |||||||
Independent Power Producers - 0.1% |
| |||||||
Clearway Energy Operating LLC | 170,000 | 182,311 | ||||||
Clearway Energy Operating LLC | 257,000 | 270,493 | ||||||
NRG Energy, Inc. | 303,000 | 309,439 | ||||||
NRG Energy, Inc. | 769,000 | 796,399 | ||||||
NRG Yield Operating LLC | 748,000 | 770,440 | ||||||
|
| |||||||
2,329,082 | ||||||||
|
|
Instruments-Controls - 0.1% | ||||||||
Honeywell International, Inc. | 927,000 | 928,492 | ||||||
|
| |||||||
Insurance Brokers - 0.0% | ||||||||
Willis North America, Inc. | 306,000 | 377,056 | ||||||
Willis North America, Inc. | 258,000 | 363,030 | ||||||
|
| |||||||
740,086 | ||||||||
|
| |||||||
Insurance-Life/Health - 0.4% | ||||||||
Brighthouse Financial, Inc. | 464,000 | 479,993 | ||||||
Brighthouse Financial, Inc. | 1,541,000 | 1,888,278 | ||||||
Pacific LifeCorp | 337,000 | 379,050 | ||||||
Prudential Financial, Inc. | 2,866,000 | 2,952,097 | ||||||
Prudential Financial, Inc. | 247,000 | 299,958 | ||||||
Unum Group | 493,000 | 549,093 | ||||||
|
| |||||||
6,548,469 | ||||||||
|
| |||||||
Insurance-Mutual - 0.0% | ||||||||
MassMutual Global Funding II | 708,000 | 760,450 | ||||||
|
| |||||||
Insurance-Reinsurance - 0.0% | ||||||||
Berkshire Hathaway Finance Corp. | 723,000 | 791,085 | ||||||
|
| |||||||
Internet Connectivity Services - 0.1% | ||||||||
Cogent Communications Group, Inc. | 800,000 | 820,768 | ||||||
|
| |||||||
Internet Content-Entertainment - 0.1% | ||||||||
Netflix, Inc. | 1,210,000 | 1,400,575 | ||||||
|
| |||||||
Internet Telephone - 0.0% | ||||||||
Cablevision Lightpath LLC | 430,000 | 434,773 | ||||||
Cablevision Lightpath LLC | 211,000 | 221,223 | ||||||
|
| |||||||
655,996 | ||||||||
|
| |||||||
Investment Management/Advisor Services - 0.1% | ||||||||
AG Issuer LLC | 755,000 | 758,775 | ||||||
Ameriprise Financial, Inc. | 1,216,000 | 1,257,978 | ||||||
|
| |||||||
2,016,753 | ||||||||
|
| |||||||
Machinery-Construction & Mining - 0.2% | ||||||||
Caterpillar Financial Services Corp. | 1,854,000 | 1,866,899 | ||||||
Caterpillar Financial Services Corp. | 1,389,000 | 1,402,302 | ||||||
|
| |||||||
3,269,201 | ||||||||
|
| |||||||
Machinery-Electrical - 0.1% | ||||||||
ABB Finance USA, Inc. | 1,599,000 | 1,709,320 | ||||||
|
| |||||||
Machinery-Farming - 0.4% | ||||||||
CNH Industrial Capital LLC | 1,262,000 | 1,292,293 | ||||||
CNH Industrial Capital LLC | 1,430,000 | 1,558,273 | ||||||
John Deere Capital Corp. | 2,253,000 | 2,334,055 | ||||||
John Deere Capital Corp. | 654,000 | 716,239 | ||||||
|
| |||||||
5,900,860 | ||||||||
|
| |||||||
Medical Labs & Testing Services - 0.0% | ||||||||
Catalent Pharma Solutions, Inc. | 446,000 | 469,415 | ||||||
|
| |||||||
Medical-Biomedical/Gene - 0.4% | ||||||||
Amgen, Inc. | 3,882,000 | 4,205,051 | ||||||
Regeneron Pharmaceuticals, Inc. | 1,382,000 | 1,359,912 | ||||||
Regeneron Pharmaceuticals, Inc. | 774,000 | 756,650 | ||||||
|
| |||||||
6,321,613 | ||||||||
|
|
Medical-Drugs - 0.4% | ||||||||
AbbVie, Inc. | 1,101,000 | 1,336,941 | ||||||
AbbVie, Inc. | 1,331,000 | 1,681,559 | ||||||
Bristol-Myers Squibb Co. | 1,640,000 | 1,642,156 | ||||||
Bristol-Myers Squibb Co. | 786,000 | 1,071,943 | ||||||
GlaxoSmithKline Capital, Inc. | 998,000 | 1,071,764 | ||||||
|
| |||||||
6,804,363 | ||||||||
|
| |||||||
Medical-Generic Drugs - 0.2% | ||||||||
Mylan, Inc. | 1,147,000 | 1,360,837 | ||||||
Par Pharmaceutical, Inc. | 828,000 | 894,240 | ||||||
Upjohn, Inc. | 762,000 | 869,457 | ||||||
|
| |||||||
3,124,534 | ||||||||
|
| |||||||
Medical-HMO - 0.2% | ||||||||
UnitedHealth Group, Inc. | 1,518,000 | 1,561,363 | ||||||
UnitedHealth Group, Inc. | 762,000 | 882,795 | ||||||
UnitedHealth Group, Inc. | 719,000 | 819,000 | ||||||
|
| |||||||
3,263,158 | ||||||||
|
| |||||||
Medical-Hospitals - 0.2% | ||||||||
Acadia Healthcare Co., Inc. | 174,000 | 183,353 | ||||||
Acadia Healthcare Co., Inc. | 492,000 | 523,365 | ||||||
HCA, Inc. | 538,000 | 556,891 | ||||||
HCA, Inc. | 297,000 | 332,500 | ||||||
LifePoint Health, Inc. | 760,000 | 763,800 | ||||||
Tenet Healthcare Corp. | 475,000 | 483,313 | ||||||
Tenet Healthcare Corp. | 1,109,000 | 1,127,021 | ||||||
|
| |||||||
3,970,243 | ||||||||
|
| |||||||
Medical-Wholesale Drug Distribution - 0.1% | ||||||||
Cardinal Health, Inc. | 1,648,000 | 1,919,266 | ||||||
|
| |||||||
Metal-Copper - 0.1% | ||||||||
Freeport-McMoRan, Inc. | 367,000 | 388,103 | ||||||
Freeport-McMoRan, Inc. | 573,000 | 623,040 | ||||||
Freeport-McMoRan, Inc. | 527,000 | 587,800 | ||||||
|
| |||||||
1,598,943 | ||||||||
|
| |||||||
Metal-Iron - 0.1% | ||||||||
Cleveland-Cliffs, Inc. | 584,000 | 581,080 | ||||||
Cleveland-Cliffs, Inc. | 509,000 | 549,084 | ||||||
|
| |||||||
1,130,164 | ||||||||
|
| |||||||
Multimedia - 0.2% | ||||||||
E.W. Scripps Co. | 1,305,000 | 1,308,263 | ||||||
Walt Disney Co. | 1,657,000 | 1,696,949 | ||||||
|
| |||||||
3,005,212 | ||||||||
|
| |||||||
Non-Hazardous Waste Disposal - 0.1% | ||||||||
Covanta Holding Corp. | 903,000 | 961,695 | ||||||
|
| |||||||
Non-Profit Charity - 0.1% | ||||||||
Ford Foundation | 1,008,000 | 1,062,401 | ||||||
|
| |||||||
Oil Companies-Exploration & Production - 1.2% | ||||||||
Apache Corp. | 722,000 | 736,440 | ||||||
Apache Corp. | 104,000 | 108,129 | ||||||
Apache Corp. | 541,000 | 565,074 |
Callon Petroleum Co. | 1,183,000 | 414,050 | ||||||
Continental Resources, Inc. | 200,000 | 199,500 | ||||||
Continental Resources, Inc. | 297,000 | 318,532 | ||||||
Diamondback Energy, Inc. | 936,000 | 979,486 | ||||||
Endeavor Energy Resources LP/EER Finance, Inc. | 481,000 | 512,371 | ||||||
EOG Resources, Inc. | 1,259,000 | 1,728,654 | ||||||
Hess Corp. | 1,924,000 | 2,339,578 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co. | 1,691,000 | 1,648,725 | ||||||
Marathon Oil Corp. | 1,708,000 | 2,021,869 | ||||||
Marathon Oil Corp. | 787,000 | 932,764 | ||||||
Noble Energy, Inc. | 688,000 | 865,222 | ||||||
Noble Energy, Inc. | 1,081,000 | 1,498,387 | ||||||
Occidental Petroleum Corp. | 585,000 | 590,733 | ||||||
Occidental Petroleum Corp. | 902,000 | 919,589 | ||||||
Occidental Petroleum Corp. | 504,000 | 529,830 | ||||||
Pioneer Natural Resources Co. | 1,097,000 | 1,079,048 | ||||||
Southwestern Energy Co. | 535,000 | 557,309 | ||||||
Southwestern Energy Co. | 340,000 | 374,425 | ||||||
|
| |||||||
18,919,715 | ||||||||
|
| |||||||
Oil Companies-Integrated - 0.6% | ||||||||
BP Capital Markets America, Inc. | 1,878,000 | 1,872,777 | ||||||
BP Capital Markets America, Inc. | 3,348,000 | 3,760,374 | ||||||
Chevron Corp. | 2,319,000 | 2,408,178 | ||||||
Chevron Corp. | 892,000 | 925,068 | ||||||
Chevron USA, Inc. | 820,000 | 821,024 | ||||||
|
| |||||||
9,787,421 | ||||||||
|
| |||||||
Oil Field Machinery & Equipment - 0.0% | ||||||||
Hi Crush, Inc. | 1,387,000 | 36,409 | ||||||
|
| |||||||
Oil Refining & Marketing - 0.2% | ||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 1,133,000 | 594,825 | ||||||
Phillips 66 | 1,163,000 | 1,156,737 | ||||||
Sunoco LP/Sunoco Finance Corp. | 258,000 | 266,068 | ||||||
Valero Energy Corp. | 855,000 | 851,254 | ||||||
|
| |||||||
2,868,884 | ||||||||
|
| |||||||
Oil-Field Services - 0.3% | ||||||||
Apergy Corp. | 722,000 | 721,278 | ||||||
Archrock Partners LP/Archrock Partners Finance Corp. | 769,000 | 798,953 | ||||||
Halliburton Co. | 1,150,000 | 1,182,238 | ||||||
Nine Energy Service, Inc. | 1,163,000 | 354,831 | ||||||
Schlumberger Holdings Corp. | 1,120,000 | 1,257,074 | ||||||
USA Compression Partners LP/USA Compression Finance Corp. | 625,000 | 646,687 | ||||||
|
| |||||||
4,961,061 | ||||||||
|
|
Paper & Related Products - 0.5% | ||||||||
Clearwater Paper Corp. | 1,010,000 | 1,051,663 | ||||||
Domtar Corp. | 2,001,000 | 2,388,081 | ||||||
Georgia-Pacific LLC | 2,112,000 | 2,112,968 | ||||||
Georgia-Pacific LLC | 1,812,000 | 1,950,390 | ||||||
|
| |||||||
7,503,102 | ||||||||
|
| |||||||
Petrochemicals - 0.1% | ||||||||
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP | 840,000 | 888,719 | ||||||
|
| |||||||
Pharmacy Services - 0.3% | ||||||||
CVS Health Corp. | 526,000 | 530,846 | ||||||
CVS Health Corp. | 627,000 | 786,787 | ||||||
CVS Health Corp. | 2,041,000 | 2,589,639 | ||||||
CVS Health Corp. | 660,000 | 890,301 | ||||||
|
| |||||||
4,797,573 | ||||||||
|
| |||||||
Pipelines - 1.9% | ||||||||
Buckeye Partners LP | 445,000 | 443,887 | ||||||
Buckeye Partners LP | 607,000 | 607,000 | ||||||
Cheniere Corpus Christi Holdings LLC | 1,352,000 | 1,480,917 | ||||||
Cheniere Energy Partners LP | 361,000 | 376,169 | ||||||
Cheniere Energy Partners LP | 262,000 | 268,878 | ||||||
Cheniere Energy, Inc. | 644,000 | 668,031 | ||||||
Colonial Enterprises, Inc. | 465,000 | 520,745 | ||||||
DCP Midstream Operating LP | 482,000 | 521,765 | ||||||
DCP Midstream Operating LP | 218,000 | 226,720 | ||||||
Enable Midstream Partners LP | 825,000 | 812,871 | ||||||
Energy Transfer Operating LP | 1,228,000 | 1,279,060 | ||||||
Energy Transfer Operating LP | 638,000 | 735,019 | ||||||
Energy Transfer Operating LP | 803,000 | 909,179 | ||||||
EnLink Midstream Partners LP | 154,000 | 112,998 | ||||||
Enterprise Products Operating LLC | 1,254,000 | 1,363,841 | ||||||
Enterprise Products Operating LLC | 941,000 | 1,100,404 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 1,312,000 | 1,233,280 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 475,000 | 437,000 | ||||||
Gray Oak Pipeline LLC | 1,875,000 | 1,889,875 | ||||||
Gray Oak Pipeline LLC | 1,041,000 | 1,071,009 | ||||||
Harvest Midstream I LP | 1,043,000 | 1,079,505 | ||||||
Holly Energy Partners LP/Holly Energy Finance Corp. | 1,052,000 | 1,035,799 | ||||||
Kinder Morgan, Inc. | 1,179,000 | 1,411,793 | ||||||
MPLX LP | 938,000 | 949,759 | ||||||
NGPL PipeCo LLC | 914,000 | 950,927 | ||||||
NuStar Logistics LP | 379,000 | 398,898 |
NuStar Logistics LP | 569,000 | 617,365 | ||||||
ONEOK Partners LP | 683,000 | 822,722 | ||||||
ONEOK, Inc. | 626,000 | 631,940 | ||||||
ONEOK, Inc. | 486,000 | 630,244 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 539,000 | 505,984 | ||||||
Sabine Pass Liquefaction LLC | 851,000 | 997,261 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 762,000 | 810,577 | ||||||
Valero Energy Partners LP | 1,640,000 | 1,861,342 | ||||||
Williams Cos., Inc. | 1,606,000 | 2,021,083 | ||||||
|
| |||||||
30,783,847 | ||||||||
|
| |||||||
Poultry - 0.1% |
| |||||||
Pilgrims Pride Corp. | 820,000 | 881,500 | ||||||
|
| |||||||
Protection/Safety - 0.1% |
| |||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 552,000 | 585,120 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 1,353,000 | 1,468,005 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 245,000 | 256,559 | ||||||
|
| |||||||
2,309,684 | ||||||||
|
| |||||||
Real Estate Investment Trusts - 1.3% |
| |||||||
American Tower Corp. | 1,100,000 | 1,143,394 | ||||||
Columbia Property Trust Operating Partnership LP | 1,636,000 | 1,720,251 | ||||||
CTR Partnership LP/CareTrust Capital Corp. | 900,000 | 933,768 | ||||||
ESH Hospitality, Inc. | 710,000 | 722,425 | ||||||
ESH Hospitality, Inc. | 195,000 | 199,631 | ||||||
Federal Realty Investment Trust | 1,608,000 | 1,616,805 | ||||||
HAT Holdings I LLC/HAT Holdings II LLC | 258,000 | 263,805 | ||||||
HAT Holdings I LLC/HAT Holdings II LLC | 376,000 | 391,040 | ||||||
HAT Holdings I LLC/HAT Holdings II LLC | 328,000 | 350,140 | ||||||
Host Hotels & Resorts LP | 1,315,000 | 1,322,554 | ||||||
Host Hotels & Resorts LP | 1,155,000 | 1,186,034 | ||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. | 1,428,000 | 1,319,115 | ||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | 764,000 | 851,539 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. | 381,000 | 387,214 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. | 587,000 | 621,522 | ||||||
Omega Healthcare Investors, Inc. | 1,031,000 | 1,036,645 | ||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer | 925,000 | 974,719 |
Piedmont Operating Partnership LP | 1,353,000 | 1,354,018 | ||||||
Rexford Industrial Realty LP | 542,000 | 544,410 | ||||||
Sabra Health Care LP | 793,000 | 874,969 | ||||||
Service Properties Trust | 78,000 | 81,336 | ||||||
Simon Property Group LP | 994,000 | 973,699 | ||||||
Starwood Property Trust, Inc. | 945,000 | 970,090 | ||||||
Starwood Property Trust, Inc. | 168,000 | 169,680 | ||||||
VEREIT Operating Partnership LP | 652,000 | 667,512 | ||||||
|
| |||||||
20,676,315 | ||||||||
|
| |||||||
Real Estate Management/Services - 0.1% |
| |||||||
Cushman & Wakefield US Borrower LLC | 792,000 | 858,330 | ||||||
Newmark Group, Inc. | 739,000 | 801,927 | ||||||
|
| |||||||
1,660,257 | ||||||||
|
| |||||||
Recycling - 0.0% |
| |||||||
Harsco Corp. | 693,000 | 732,861 | ||||||
|
| |||||||
Rental Auto/Equipment - 0.1% |
| |||||||
Ahern Rentals, Inc. | 1,321,000 | 914,792 | ||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. | 778,000 | 772,165 | ||||||
|
| |||||||
1,686,957 | ||||||||
|
| |||||||
Research & Development - 0.1% |
| |||||||
Jaguar Holding Co. II/PPD Development LP | 170,000 | 177,650 | ||||||
Jaguar Holding Co. II/PPD Development LP | 627,000 | 669,736 | ||||||
|
| |||||||
847,386 | ||||||||
|
| |||||||
Resorts/Theme Parks - 0.1% |
| |||||||
SeaWorld Parks & Entertainment, Inc. | 735,000 | 786,450 | ||||||
Six Flags Entertainment Corp. | 825,000 | 829,125 | ||||||
Six Flags Theme Parks, Inc. | 81,000 | 87,810 | ||||||
|
| |||||||
1,703,385 | ||||||||
|
| |||||||
Retail-Apparel/Shoe - 0.1% |
| |||||||
Ross Stores, Inc. | 1,524,000 | 1,530,035 | ||||||
|
| |||||||
Retail-Appliances - 0.0% |
| |||||||
Conns, Inc. | 724,000 | 702,280 | ||||||
|
| |||||||
Retail-Auto Parts - 0.2% |
| |||||||
Advance Auto Parts, Inc. | 860,000 | 867,940 | ||||||
Advance Auto Parts, Inc. | 1,158,000 | 1,330,863 | ||||||
Genuine Parts Co. | 1,040,000 | 1,032,861 | ||||||
|
| |||||||
3,231,664 | ||||||||
|
| |||||||
Retail-Automobile - 0.1% |
| |||||||
AutoNation, Inc. | 777,000 | 934,801 | ||||||
|
| |||||||
Retail-Building Products - 0.1% |
| |||||||
Lowes Cos., Inc. | 839,000 | 901,056 | ||||||
|
| |||||||
Retail-Pawn Shops - 0.0% |
| |||||||
FirstCash, Inc. | 690,000 | 708,975 | ||||||
|
| |||||||
Retail-Petroleum Products - 0.0% |
| |||||||
Murphy Oil USA, Inc. | 675,000 | 717,187 | ||||||
|
| |||||||
Retail-Regional Department Stores - 0.1% |
| |||||||
Kohls Corp. | 1,584,000 | 1,551,773 | ||||||
Kohls Corp. | 569,000 | 714,614 | ||||||
|
| |||||||
2,266,387 | ||||||||
|
|
Retail-Restaurants - 0.4% |
| |||||||
Brinker International, Inc. | 521,000 | 534,822 | ||||||
Dave & Busters, Inc. | 855,000 | 887,063 | ||||||
Golden Nugget, Inc. | 1,187,000 | 1,160,292 | ||||||
McDonalds Corp. | 693,000 | 813,329 | ||||||
McDonalds Corp. | 733,000 | 943,527 | ||||||
McDonalds Corp. | 1,156,000 | 1,496,866 | ||||||
|
| |||||||
5,835,899 | ||||||||
|
| |||||||
Satellite Telecom - 0.1% |
| |||||||
Hughes Satellite Systems Corp. | 1,430,000 | 1,590,875 | ||||||
|
| |||||||
Savings & Loans/Thrifts - 0.3% |
| |||||||
First Niagara Financial Group, Inc. | 1,597,000 | 1,707,480 | ||||||
New York Community Bancorp, Inc. | 2,318,000 | 2,405,847 | ||||||
|
| |||||||
4,113,327 | ||||||||
|
| |||||||
Security Services - 0.1% |
| |||||||
Brinks Co. | 575,000 | 605,734 | ||||||
Brinks Co. | 448,000 | 478,777 | ||||||
|
| |||||||
1,084,511 | ||||||||
|
| |||||||
Shipbuilding - 0.1% |
| |||||||
Huntington Ingalls Industries, Inc. | 1,036,000 | 1,229,324 | ||||||
|
| |||||||
Software Tools - 0.0% |
| |||||||
VMware, Inc. | 599,000 | 730,916 | ||||||
|
| |||||||
Steel-Producers - 0.1% | ||||||||
Commercial Metals Co. | 480,000 | 499,200 | ||||||
Reliance Steel & Aluminum Co. | 1,353,000 | 1,380,683 | ||||||
|
| |||||||
1,879,883 | ||||||||
|
| |||||||
Telecom Equipment-Fiber Optics - 0.2% |
| |||||||
Corning, Inc. | 2,346,000 | 3,224,026 | ||||||
|
| |||||||
Telephone-Integrated - 1.2% |
| |||||||
AT&T, Inc. | 377,000 | 386,415 | ||||||
AT&T, Inc. | 4,610,000 | 5,585,527 | ||||||
AT&T, Inc. | 651,000 | 807,276 | ||||||
AT&T, Inc. | 914,000 | 1,110,937 | ||||||
AT&T, Inc. | 1,901,000 | 2,384,755 | ||||||
CenturyLink, Inc. | 688,000 | 719,820 | ||||||
CenturyLink, Inc. | 579,000 | 648,480 | ||||||
Frontier Communications Corp. | 858,000 | 870,870 | ||||||
Verizon Communications, Inc. | 2,114,000 | 2,085,704 | ||||||
Verizon Communications, Inc. | 2,387,000 | 2,528,415 | ||||||
Verizon Communications, Inc. | 1,188,000 | 1,251,695 | ||||||
Verizon Communications, Inc. | 624,000 | 784,013 | ||||||
Verizon Communications, Inc. | 371,000 | 468,983 | ||||||
Zayo Group Holdings, Inc. | 547,000 | 575,933 | ||||||
|
| |||||||
20,208,823 | ||||||||
|
|
Television - 0.4% |
| |||||||
Belo Corp. | 460,000 | 524,400 | ||||||
Belo Corp. | 810,000 | 939,600 | ||||||
Viacom, Inc. | 4,415,000 | 5,132,437 | ||||||
|
| |||||||
6,596,437 | ||||||||
|
| |||||||
Tools-Hand Held - 0.1% |
| |||||||
Stanley Black & Decker, Inc. | 1,004,000 | 1,133,687 | ||||||
|
| |||||||
Transport-Air Freight - 0.1% |
| |||||||
Cargo Aircraft Management, Inc. | 925,000 | 958,531 | ||||||
|
| |||||||
Transport-Equipment & Leasing - 0.2% |
| |||||||
GATX Corp. | 866,000 | 1,015,070 | ||||||
GATX Corp. | 1,663,000 | 1,830,612 | ||||||
|
| |||||||
2,845,682 | ||||||||
|
| |||||||
Transport-Marine - 0.1% |
| |||||||
Kirby Corp. | 844,000 | 909,034 | ||||||
|
| |||||||
Transport-Rail - 0.2% |
| |||||||
Kansas City Southern | 907,000 | 976,802 | ||||||
Kansas City Southern | 543,000 | 678,963 | ||||||
Norfolk Southern Corp. | 1,107,000 | 1,419,897 | ||||||
|
| |||||||
3,075,662 | ||||||||
|
| |||||||
Transport-Services - 0.2% |
| |||||||
FedEx Corp. Pass Through Trust | 1,682,000 | 1,720,553 | ||||||
United Parcel Service, Inc. | 877,000 | 990,653 | ||||||
|
| |||||||
2,711,206 | ||||||||
|
| |||||||
Trucking/Leasing - 0.2% |
| |||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 239,000 | 259,117 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 1,689,000 | 1,867,046 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 795,000 | 914,157 | ||||||
|
| |||||||
3,040,320 | ||||||||
|
| |||||||
Vitamins & Nutrition Products - 0.1% |
| |||||||
HLF Financing SARL LLC/Herbalife International, Inc. | 827,000 | 870,417 | ||||||
|
| |||||||
Water - 0.1% |
| |||||||
American Water Capital Corp. | 538,000 | 640,635 | ||||||
Essential Utilities, Inc. | 693,000 | 774,384 | ||||||
|
| |||||||
1,415,019 | ||||||||
|
| |||||||
Total U.S. Corporate Bonds & Notes |
| 523,919,069 | ||||||
|
| |||||||
FOREIGN CORPORATE BONDS & NOTES - 10.2% |
| |||||||
Aerospace/Defense - 0.1% |
| |||||||
BAE Systems PLC | 1,045,000 | 1,181,218 | ||||||
|
| |||||||
Agricultural Chemicals - 0.2% |
| |||||||
Consolidated Energy Finance SA | 697,000 | 684,077 | ||||||
Nutrien, Ltd. | 668,000 | 802,202 | ||||||
OCI NV | 853,000 | 887,120 | ||||||
Yara International ASA | 535,000 | 578,800 | ||||||
|
| |||||||
2,952,199 | ||||||||
|
| |||||||
Airlines - 0.0% |
| |||||||
Delta Air Lines/Skymiles | 265,460 | 280,230 | ||||||
Delta Air Lines/Skymiles | 198,000 | 213,042 | ||||||
|
| |||||||
493,272 | ||||||||
|
|
Auto-Cars/Light Trucks - 0.1% |
| |||||||
Nissan Motor Co., Ltd. | 940,000 | 977,401 | ||||||
|
| |||||||
Banks-Commercial - 1.4% |
| |||||||
Australia & New Zealand Banking Group, Ltd. | 828,000 | 869,898 | ||||||
Banco de Credito del Peru | 320,000 | 324,003 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | 1,081,000 | 1,222,395 | ||||||
Bank of Montreal | 3,116,000 | 3,215,799 | ||||||
Barclays Bank PLC | 714,000 | 726,843 | ||||||
Canadian Imperial Bank of Commerce | 818,000 | 823,615 | ||||||
Cooperatieve Rabobank UA | 2,710,000 | 2,716,477 | ||||||
Danske Bank A/S | 968,000 | 1,034,432 | ||||||
Danske Bank A/S | 1,302,000 | 1,404,945 | ||||||
DBS Group Holdings, Ltd. | 1,074,000 | 1,106,844 | ||||||
Grupo Aval, Ltd. | 500,000 | 515,250 | ||||||
ING Groep NV | 2,601,000 | 2,637,031 | ||||||
ING Groep NV | 563,000 | 661,365 | ||||||
National Bank of Canada | 1,709,000 | 1,762,684 | ||||||
Philippine National Bank | 500,000 | 526,471 | ||||||
Shinhan Bank Co., Ltd. | 1,042,000 | 1,177,144 | ||||||
Standard Chartered PLC | 1,247,000 | 1,265,993 | ||||||
|
| |||||||
21,991,189 | ||||||||
|
| |||||||
Banks-Special Purpose - 0.3% |
| |||||||
BNG Bank NV | 738,000 | 737,786 | ||||||
Industrial Bank of Korea | 3,448,000 | 3,481,515 | ||||||
|
| |||||||
4,219,301 | ||||||||
|
| |||||||
Beverages-Non-alcoholic - 0.1% |
| |||||||
Coca-Cola Femsa SAB de CV | 1,581,000 | 1,596,541 | ||||||
|
| |||||||
Beverages-Wine/Spirits - 0.1% |
| |||||||
Diageo Capital PLC | 1,166,000 | 1,233,478 | ||||||
|
| |||||||
Building-Residential/Commercial - 0.1% |
| |||||||
Mattamy Group Corp. | 185,000 | 193,788 | ||||||
Mattamy Group Corp. | 696,000 | 736,020 | ||||||
|
| |||||||
929,808 | ||||||||
|
| |||||||
Cable/Satellite TV - 0.1% |
| |||||||
Altice Financing SA | 1,097,000 | 1,124,425 | ||||||
|
| |||||||
Casino Hotels - 0.1% |
| |||||||
Wynn Macau, Ltd. | 880,000 | 882,200 | ||||||
|
| |||||||
Cellular Telecom - 0.3% |
| |||||||
Altice France SA | 215,000 | 237,038 | ||||||
Colombia Telecomunicaciones SA ESP | 1,024,000 | 1,136,640 | ||||||
Numericable-SFR SA | 784,000 | 823,200 | ||||||
SK Telecom Co., Ltd. | 590,000 | 630,683 | ||||||
Vodafone Group PLC | 965,000 | 1,263,906 | ||||||
Vodafone Group PLC | 733,000 | 1,003,422 | ||||||
|
| |||||||
5,094,889 | ||||||||
|
|
Chemicals-Diversified - 0.2% |
| |||||||
Braskem Netherlands Finance BV | 971,000 | 1,005,713 | ||||||
Braskem Netherlands Finance BV | 1,619,000 | 1,635,676 | ||||||
Braskem Netherlands Finance BV | 200,000 | 202,060 | ||||||
|
| |||||||
2,843,449 | ||||||||
|
| |||||||
Chemicals-Other - 0.0% |
| |||||||
MEGlobal Canada ULC | 600,000 | 665,532 | ||||||
|
| |||||||
Chemicals-Specialty - 0.0% |
| |||||||
Albemarle Wodgina Pty, Ltd. | 665,000 | 680,573 | ||||||
|
| |||||||
Computer Software - 0.0% |
| |||||||
Camelot Finance SA | 620,000 | 648,675 | ||||||
|
| |||||||
Containers-Metal/Glass - 0.1% |
| |||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | 490,000 | 510,997 | ||||||
Trivium Packaging Finance BV | 825,000 | 893,062 | ||||||
|
| |||||||
1,404,059 | ||||||||
|
| |||||||
Containers-Paper/Plastic - 0.2% |
| |||||||
Cascades, Inc./Cascades USA, Inc. | 856,000 | 900,940 | ||||||
Intertape Polymer Group, Inc. | 1,053,000 | 1,116,180 | ||||||
Klabin Austria GmbH | 1,620,000 | 2,029,082 | ||||||
|
| |||||||
4,046,202 | ||||||||
|
| |||||||
Cruise Lines - 0.2% |
| |||||||
Carnival Corp. | 177,000 | 186,735 | ||||||
NCL Corp., Ltd. | 1,270,000 | 1,134,428 | ||||||
Silversea Cruise Finance, Ltd. | 885,000 | 907,678 | ||||||
Viking Cruises, Ltd. | 115,000 | 135,125 | ||||||
VOC Escrow, Ltd. | 900,000 | 873,000 | ||||||
|
| |||||||
3,236,966 | ||||||||
|
| |||||||
Diversified Banking Institutions - 2.2% |
| |||||||
Banco Santander SA | 1,400,000 | 1,490,480 | ||||||
Barclays PLC | 1,133,000 | 1,182,512 | ||||||
BNP Paribas SA | 2,341,000 | 2,541,399 | ||||||
BNP Paribas SA | 2,097,000 | 2,328,383 | ||||||
Credit Agricole SA | 1,134,000 | 1,170,804 | ||||||
Credit Suisse Group AG | 1,066,000 | 1,109,487 | ||||||
Credit Suisse Group AG | 1,488,000 | 1,751,520 | ||||||
Deutsche Bank AG | 1,151,000 | 1,174,703 | ||||||
HSBC Holdings PLC | 1,818,000 | 1,833,332 | ||||||
HSBC Holdings PLC | 1,310,000 | 1,483,227 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 1,683,000 | 1,772,342 | ||||||
Mizuho Financial Group, Inc. | 2,628,000 | 2,773,497 | ||||||
Natwest Group PLC | 2,128,000 | 2,146,492 | ||||||
NatWest Markets PLC | 1,516,000 | 1,574,884 | ||||||
Royal Bank of Scotland Group PLC | 2,318,000 | 2,402,598 |
Royal Bank of Scotland Group PLC | 531,000 | 583,912 | ||||||
Royal Bank of Scotland Group PLC | 622,000 | 676,861 | ||||||
UBS Group Funding Switzerland AG | 616,000 | 641,488 | ||||||
UBS Group Funding Switzerland AG | 269,000 | 307,660 | ||||||
UniCredit SpA | 1,971,000 | 2,005,069 | ||||||
UniCredit SpA | 2,866,000 | 3,139,423 | ||||||
UniCredit SpA | 1,048,000 | 1,108,055 | ||||||
|
| |||||||
35,198,128 | ||||||||
|
| |||||||
Diversified Financial Services - 0.3% |
| |||||||
Fairstone Financial, Inc. | 924,000 | 977,130 | ||||||
GE Capital International Funding Co. ULC | 3,013,000 | 3,473,436 | ||||||
|
| |||||||
4,450,566 | ||||||||
|
| |||||||
Diversified Manufacturing Operations - 0.1% |
| |||||||
Siemens Financieringsmaatschappij NV | 1,086,000 | 1,204,427 | ||||||
|
| |||||||
Diversified Minerals - 0.3% |
| |||||||
Anglo American Capital PLC | 1,335,000 | 1,369,368 | ||||||
FMG Resources August 2006 Pty, Ltd. | 556,000 | 609,548 | ||||||
Teck Resources, Ltd. | 2,423,000 | 3,015,766 | ||||||
|
| |||||||
4,994,682 | ||||||||
|
| |||||||
Electric-Distribution - 0.0% |
| |||||||
Energuate Trust | 400,000 | 417,004 | ||||||
Infraestructura Energetica Nova SAB de CV | 250,000 | 243,250 | ||||||
|
| |||||||
660,254 | ||||||||
|
| |||||||
Electric-Generation - 0.2% |
| |||||||
Electricite de France SA | 999,000 | 1,337,432 | ||||||
LLPL Capital Pte, Ltd. | 469,500 | 549,198 | ||||||
Minejesa Capital BV | 400,000 | 426,000 | ||||||
Minejesa Capital BV | 300,000 | 317,250 | ||||||
Mong Duong Finance Holdings BV | 300,000 | 315,814 | ||||||
|
| |||||||
2,945,694 | ||||||||
|
| |||||||
Electric-Integrated - 0.2% |
| |||||||
Empresas Publicas de Medellin ESP | 645,000 | 686,125 | ||||||
Enel Finance International NV | 1,216,000 | 1,632,037 | ||||||
Engie Energia Chile SA | 936,000 | 1,009,485 | ||||||
|
| |||||||
3,327,647 | ||||||||
|
| |||||||
Energy-Alternate Sources - 0.1% |
| |||||||
ReNew Power Synthetic | 400,000 | 423,201 | ||||||
ReNew Power, Ltd. | 400,000 | 413,600 | ||||||
|
| |||||||
836,801 | ||||||||
|
| |||||||
Finance-Consumer Loans - 0.1% |
| |||||||
goeasy, Ltd. | 788,000 | 818,535 | ||||||
|
| |||||||
Finance-Leasing Companies - 0.0% |
| |||||||
BOC Aviation, Ltd. | 465,000 | 460,695 | ||||||
|
| |||||||
Food-Meat Products - 0.0% |
| |||||||
BRF SA | 400,000 | 426,400 | ||||||
|
|
Gold Mining - 0.1% |
| |||||||
AngloGold Ashanti Holdings PLC | 1,051,000 | 1,117,130 | ||||||
|
| |||||||
Independent Power Producers - 0.0% |
| |||||||
Termocandelaria Power, Ltd. | 300,000 | 331,500 | ||||||
|
| |||||||
Industrial Gases - 0.0% |
| |||||||
Yingde Gases Investment, Ltd. | 400,000 | 411,043 | ||||||
|
| |||||||
Insurance-Life/Health - 0.2% |
| |||||||
Athene Holding, Ltd. | 1,271,000 | 1,345,118 | ||||||
Manulife Financial Corp. | 1,327,000 | 1,455,949 | ||||||
|
| |||||||
2,801,067 | ||||||||
|
| |||||||
Insurance-Property/Casualty - 0.1% |
| |||||||
Enstar Group, Ltd. | 2,232,000 | 2,478,689 | ||||||
|
| |||||||
Investment Companies - 0.1% |
| |||||||
Huarong Finance II Co., Ltd. | 900,000 | 992,628 | ||||||
JAB Holdings BV | 827,000 | 829,849 | ||||||
MDGH - GMTN BV | 400,000 | 457,000 | ||||||
|
| |||||||
2,279,477 | ||||||||
|
| |||||||
Medical-Drugs - 0.3% |
| |||||||
AstraZeneca PLC | 485,000 | 458,684 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. | 227,000 | 228,691 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. | 932,000 | 736,280 | ||||||
Shire Acquisitions Investments Ireland DAC | 2,516,000 | 2,810,800 | ||||||
Takeda Pharmaceutical Co., Ltd. | 1,295,000 | 1,387,101 | ||||||
|
| |||||||
5,621,556 | ||||||||
|
| |||||||
Metal-Aluminum - 0.0% |
| |||||||
Indonesia Asahan Aluminium Persero PT | 400,000 | 498,413 | ||||||
|
| |||||||
Metal-Copper - 0.0% |
| |||||||
First Quantum Minerals, Ltd. | 718,000 | 733,760 | ||||||
|
| |||||||
Metal-Diversified - 0.0% |
| |||||||
Chinalco Capital Holdings, Ltd. | 400,000 | 406,172 | ||||||
|
| |||||||
Metal-Iron - 0.1% |
| |||||||
Mineral Resources, Ltd. | 824,000 | 909,737 | ||||||
|
| |||||||
Motion Pictures & Services - 0.1% |
| |||||||
Banijay Entertainment SASU | 815,000 | 827,225 | ||||||
|
| |||||||
Multimedia - 0.0% |
| |||||||
Globo Comunicacao e Participacoes SA | 400,000 | 416,204 | ||||||
|
| |||||||
Oil Companies-Exploration & Production - 0.2% |
| |||||||
Canadian Natural Resources, Ltd. | 859,000 | 886,340 | ||||||
CNOOC Finance, Ltd. | 400,000 | 417,359 | ||||||
MEG Energy Corp. | 1,158,000 | 1,181,160 | ||||||
MEG Energy Corp. | 775,000 | 759,500 | ||||||
|
| |||||||
3,244,359 | ||||||||
|
| |||||||
Oil Companies-Integrated - 0.4% |
| |||||||
Cenovus Energy, Inc. | 1,103,000 | 1,176,190 | ||||||
Ecopetrol SA | 400,000 | 506,600 | ||||||
Equinor ASA | 687,000 | 718,375 | ||||||
Equinor ASA | 97,000 | 107,455 | ||||||
Petro-Canada | 556,000 | 699,765 |
Petrobras Global Finance BV | 400,000 | 452,920 | ||||||
Petroleos Mexicanos | 400,000 | 335,000 | ||||||
Petroleos Mexicanos | 400,000 | 403,000 | ||||||
Petroleos Mexicanos | 400,000 | 368,320 | ||||||
Petroleos Mexicanos | 400,000 | 344,000 | ||||||
Total Capital International SA | 546,000 | 626,288 | ||||||
|
| |||||||
5,737,913 | ||||||||
|
| |||||||
Paper & Related Products - 0.1% |
| |||||||
Suzano Austria GmbH | 1,599,000 | 1,685,346 | ||||||
|
| |||||||
Real Estate Investment Trusts - 0.0% |
| |||||||
Trust Fibro Uno | 400,000 | 441,600 | ||||||
|
| |||||||
Retail-Petroleum Products - 0.1% |
| |||||||
eG Global Finance PLC | 980,000 | 1,014,300 | ||||||
|
| |||||||
Satellite Telecom - 0.1% |
| |||||||
Connect Finco SARL/Connect US Finco LLC | 935,000 | 968,940 | ||||||
Telesat Canada/Telesat LLC | 428,000 | 435,490 | ||||||
Telesat Canada/Telesat LLC | 1,045,000 | 1,076,350 | ||||||
|
| |||||||
2,480,780 | ||||||||
|
| |||||||
Security Services - 0.1% |
| |||||||
Garda World Security Corp. | 283,000 | 283,707 | ||||||
GW B-CR Security Corp. | 690,000 | 769,350 | ||||||
|
| |||||||
1,053,057 | ||||||||
|
| |||||||
Semiconductor Components-Integrated Circuits - 0.1% |
| |||||||
TSMC Global, Ltd. | 1,737,000 | 1,727,369 | ||||||
|
| |||||||
Steel-Producers - 0.0% |
| |||||||
Shandong Iron & Steel Xinheng International Co., Ltd. | 400,000 | 404,000 | ||||||
|
| |||||||
SupraNational Banks - 0.7% |
| |||||||
African Development Bank | 1,881,000 | 1,903,147 | ||||||
European Bank for Reconstruction & Development | 2,207,000 | 2,287,644 | ||||||
International Bank for Reconstruction & Development | 2,604,000 | 2,607,687 | ||||||
International Bank for Reconstruction & Development | 1,232,000 | 1,390,472 | ||||||
International Finance Corp. | 2,622,000 | 2,636,741 | ||||||
|
| |||||||
10,825,691 | ||||||||
|
| |||||||
Telecom Services - 0.1% |
| |||||||
Altice France Holding SA | 1,175,000 | 1,192,566 | ||||||
|
| |||||||
Telephone-Integrated - 0.2% |
| |||||||
Telecom Italia Capital SA | 923,000 | 1,262,840 | ||||||
Telefonica Emisiones SAU | 1,365,000 | 1,639,032 | ||||||
Telefonica Emisiones SAU | 250,000 | 318,730 | ||||||
|
| |||||||
3,220,602 | ||||||||
|
| |||||||
Transport-Rail - 0.0% |
| |||||||
Canadian Pacific Railway Co. | 306,000 | 493,970 | ||||||
|
| |||||||
Transport-Services - 0.0% |
| |||||||
Rumo Luxembourg SARL | 580,000 | 626,684 | ||||||
|
|
Vitamins & Nutrition Products - 0.0% |
| |||||||
Herbalife Nutrition, Ltd./HLF Financing, Inc. | 352,000 | 386,320 | ||||||
|
| |||||||
Warehousing & Harbor Transportation Services - 0.0% |
| |||||||
DP World PLC | 500,000 | 552,500 | ||||||
|
| |||||||
Total Foreign Corporate Bonds & Notes |
| 165,444,236 | ||||||
|
| |||||||
FOREIGN GOVERNMENT OBLIGATIONS - 4.1% |
| |||||||
Banks-Special Purpose - 0.1% |
| |||||||
Korea Development Bank | 1,289,000 | 1,291,013 | ||||||
|
| |||||||
Sovereign - 4.0% |
| |||||||
Arab Republic of Egypt | 2,200,000 | 2,313,828 | ||||||
Arab Republic of Egypt | 1,900,000 | 2,110,805 | ||||||
Emirate of Abu Dhabi | 3,650,000 | 4,129,245 | ||||||
Federative Republic of Brazil | 1,300,000 | 1,378,000 | ||||||
Government of Romania | 1,200,000 | 1,282,200 | ||||||
Government of Romania | 1,600,000 | 1,748,000 | ||||||
Government of Ukraine | 1,620,000 | 1,718,820 | ||||||
Government of Ukraine | 1,000,000 | 1,084,286 | ||||||
Kingdom of Saudi Arabia | 2,200,000 | 2,417,250 | ||||||
Kingdom of Saudi Arabia | 2,000,000 | 2,545,000 | ||||||
Oriental Republic of Uruguay | 413,603 | 499,430 | ||||||
Oriental Republic of Uruguay | 1,210,000 | 1,642,575 | ||||||
Oriental Republic of Uruguay | 500,000 | 793,130 | ||||||
Peoples Republic of China | 2,200,000 | 2,196,678 | ||||||
Republic of Belarus | 2,300,000 | 2,365,734 | ||||||
Republic of Colombia | 2,700,000 | 2,833,650 | ||||||
Republic of El Salvador | 2,965,000 | 2,807,855 | ||||||
Republic of Ghana | 2,000,000 | 2,586,140 | ||||||
Republic of Indonesia | 1,000,000 | 1,583,715 | ||||||
Republic of Indonesia | 800,000 | 1,311,122 | ||||||
Republic of Italy | 729,000 | 815,533 | ||||||
Republic of Ivory Coast | 664,000 | 665,009 | ||||||
Republic of Ivory Coast | 500,000 | 550,000 | ||||||
Republic of Ivory Coast | 1,000,000 | 1,126,370 | ||||||
Republic of Kenya | 1,150,000 | 1,242,782 | ||||||
Republic of Kenya | 800,000 | 867,302 | ||||||
Republic of Panama | 2,000,000 | 2,028,000 | ||||||
Republic of the Philippines | 1,200,000 | 1,397,450 | ||||||
Republic of Turkey | 2,300,000 | 2,369,966 | ||||||
Republic of Turkey | 1,000,000 | 993,890 | ||||||
Russian Federation | 1,200,000 | 1,388,993 | ||||||
State of Qatar | 1,800,000 | 2,109,330 |
State of Qatar | 2,500,000 | 3,459,375 | ||||||
Sultanate of Oman | 1,700,000 | 1,767,490 | ||||||
United Mexican States | 880,000 | 880,783 | ||||||
United Mexican States | 1,303,000 | 1,503,024 | ||||||
United Mexican States | 788,000 | 907,193 | ||||||
United Mexican States | 800,000 | 964,080 | ||||||
|
| |||||||
64,384,033 | ||||||||
|
| |||||||
Total Foreign Government Obligations (cost $63,371,314) |
| 65,675,046 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCIES - 39.3% |
| |||||||
Federal Home Loan Bank - 0.3% |
| |||||||
2.13% due 09/14/2029 | 4,765,000 | 5,251,918 | ||||||
|
| |||||||
Federal Home Loan Mtg. Corp. - 7.9% |
| |||||||
2.50% due 01/01/2028 | 367,568 | 385,657 | ||||||
2.50% due 04/01/2028 | 790,352 | 832,978 | ||||||
2.50% due 03/01/2031 | 509,543 | 531,299 | ||||||
2.50% due 10/01/2032 | 2,589,184 | 2,698,330 | ||||||
3.00% due 08/01/2027 | 180,737 | 189,905 | ||||||
3.00% due 10/01/2042 | 1,066,991 | 1,162,639 | ||||||
3.00% due 11/01/2042 | 820,828 | 872,692 | ||||||
3.00% due 02/01/2043 | 1,008,834 | 1,083,998 | ||||||
3.00% due 04/01/2043 | 1,193,659 | 1,296,025 | ||||||
3.00% due 05/01/2043 | 485,123 | 528,617 | ||||||
3.00% due 08/01/2043 | 4,085,249 | 4,350,540 | ||||||
3.00% due 10/01/2045 | 3,614,934 | 3,795,260 | ||||||
3.00% due 01/01/2050 | 8,744,610 | 9,141,590 | ||||||
3.50% due 01/01/2032 | 2,926,807 | 3,134,993 | ||||||
3.50% due 03/01/2042 | 2,574,003 | 2,786,908 | ||||||
3.50% due 04/01/2042 | 1,128,987 | 1,224,238 | ||||||
3.50% due 08/01/2042 | 977,063 | 1,066,936 | ||||||
3.50% due 09/01/2043 | 834,234 | 910,837 | ||||||
3.50% due 03/01/2045 | 674,767 | 721,425 | ||||||
3.50% due 07/01/2045 | 4,957,533 | 5,342,333 | ||||||
3.50% due 08/01/2045 | 1,449,404 | 1,575,717 | ||||||
3.50% due 11/01/2045 | 2,357,554 | 2,520,256 | ||||||
3.50% due 01/01/2046 | 1,476,464 | 1,587,761 | ||||||
3.50% due 03/01/2046 | 1,364,212 | 1,456,919 | ||||||
3.50% due 11/01/2047 | 7,158,849 | 7,583,703 | ||||||
3.50% due 01/01/2048 | 11,856,362 | 12,621,318 | ||||||
3.50% due 03/01/2048 | 6,758,218 | 7,332,256 | ||||||
3.50% due 08/01/2049 | 7,766,187 | 8,270,379 | ||||||
3.50% due 04/01/2050 | 8,230,533 | 8,679,039 | ||||||
4.00% due 03/01/2023 | 594 | 630 | ||||||
4.00% due 09/01/2040 | 790,289 | 864,056 | ||||||
4.00% due 07/01/2044 | 55,013 | 59,811 | ||||||
4.00% due 10/01/2045 | 1,774,633 | 1,923,886 | ||||||
4.00% due 01/01/2046 | 446,140 | 491,170 | ||||||
4.00% due 07/01/2049 | 4,346,223 | 4,716,046 | ||||||
4.00% due 01/01/2050 | 1,250,723 | 1,334,074 | ||||||
4.50% due 12/01/2039 | 398,217 | 444,354 | ||||||
4.50% due 07/01/2044 | 1,023,967 | 1,151,541 | ||||||
4.50% due 07/01/2045 | 9,126,758 | 10,236,081 | ||||||
4.50% due 05/01/2048 | 2,691,566 | 2,928,422 | ||||||
5.00% due 10/01/2033 | 771 | 877 | ||||||
5.00% due 07/01/2040 | 416,446 | 484,147 | ||||||
5.00% due 11/01/2043 | 2,071,491 | 2,404,663 | ||||||
5.50% due 11/01/2032 | 5,138 | 5,925 | ||||||
5.50% due 07/01/2034 | 19,203 | 22,479 | ||||||
5.50% due 02/01/2035 | 20,738 | 23,175 | ||||||
5.50% due 07/01/2035 | 681 | 809 | ||||||
5.50% due 01/01/2036 | 132,073 | 156,377 | ||||||
5.50% due 05/01/2037 | 20,526 | 24,212 | ||||||
6.00% due 07/01/2035 | 69,683 | 78,551 | ||||||
6.00% due 03/01/2040 | 105,290 | 125,059 | ||||||
6.50% due 02/01/2036 | 8,975 | 10,469 | ||||||
6.50% due 09/01/2036 | 159 | 178 | ||||||
6.50% due 05/01/2037 | 27,083 | 31,676 | ||||||
Federal Home Loan Mtg. Corp. FRS | ||||||||
2.36% (6 ML+1.49%) due 02/01/2037 | 72,536 | 75,023 | ||||||
3.38% (12 ML+1.88%) due 11/01/2037 | 754,099 | 797,195 | ||||||
Federal Home Loan Mtg. Corp. REMIC |
| |||||||
Series 4740, Class BA 3.00% due 09/15/2045(2) | 2,212,469 | 2,278,783 | ||||||
Series 4800, Class KG 3.50% due 11/15/2045(2) | 2,475,598 | 2,529,835 | ||||||
Federal Home Loan Mtg. Corp. REMIC FRS | ||||||||
Series 3572, Class JS 6.66% (6.80%-1 ML) due 09/15/2039(2)(7)(8) | 485,924 | 80,515 | ||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS | ||||||||
Series 2014-HQ2, Class M2 2.35% (1 ML+2.20%) due 09/25/2024(2) | 146,049 | 146,049 | ||||||
|
| |||||||
127,110,616 | ||||||||
|
| |||||||
Federal National Mtg. Assoc. - 21.7% |
| |||||||
2.00% due 07/01/2035 | 6,691,751 | 6,968,423 | ||||||
2.00% due 12/01/2050 | 7,980,343 | 8,289,311 | ||||||
2.50% due 02/01/2028 | 750,711 | 789,362 | ||||||
2.50% due 04/01/2028 | 224,193 | 236,211 | ||||||
2.50% due 07/01/2031 | 1,950,331 | 2,030,444 | ||||||
2.50% due 08/01/2031 | 10,663,352 | 11,112,147 | ||||||
2.50% due 01/01/2032 | 1,708,373 | 1,780,227 | ||||||
2.50% due 04/01/2035 | 6,419,818 | 6,673,785 | ||||||
2.50% due 05/01/2050 | 7,656,047 | 8,105,330 | ||||||
2.50% due 06/01/2050 | 14,064,904 | 14,753,555 | ||||||
2.50% due 07/01/2050 | 6,784,881 | 7,233,311 | ||||||
3.00% due 10/01/2027 | 103,943 | 108,965 | ||||||
3.00% due 01/01/2028 | 971,503 | 1,019,049 |
3.00% due 10/01/2030 | 1,540,225 | 1,614,165 | ||||||
3.00% due 10/01/2032 | 4,641,180 | 4,860,044 | ||||||
3.00% due 02/01/2033 | 14,185,911 | 14,860,692 | ||||||
3.00% due 07/01/2034 | 1,045,623 | 1,094,234 | ||||||
3.00% due 11/01/2039 | 6,034,201 | 6,303,194 | ||||||
3.00% due 03/01/2042 | 1,834,913 | 1,945,492 | ||||||
3.00% due 12/01/2042 | 1,688,746 | 1,813,413 | ||||||
3.00% due 02/01/2043 | 3,952,672 | 4,201,802 | ||||||
3.00% due 05/01/2043 | 2,030,272 | 2,152,924 | ||||||
3.00% due 05/01/2046 | 2,225,742 | 2,334,980 | ||||||
3.00% due 08/01/2046 | 5,465,310 | 5,843,712 | ||||||
3.00% due 09/01/2046 | 1,066,441 | 1,118,174 | ||||||
3.00% due 04/01/2047 | 2,611,865 | 2,740,883 | ||||||
3.00% due 09/01/2048 | 4,691,288 | 4,912,421 | ||||||
3.00% due 11/01/2048 | 12,586,508 | 13,161,624 | ||||||
3.00% due 06/01/2049 | 4,080,178 | 4,363,021 | ||||||
3.00% due 03/01/2050 | 5,306,105 | 5,603,880 | ||||||
3.50% due 08/01/2026 | 543,609 | 575,448 | ||||||
3.50% due 09/01/2026 | 553,723 | 586,349 | ||||||
3.50% due 08/01/2027 | 54,846 | 58,052 | ||||||
3.50% due 10/01/2028 | 1,303,433 | 1,398,100 | ||||||
3.50% due 03/01/2033 | 950,142 | 1,008,340 | ||||||
3.50% due 12/01/2041 | 328,892 | 358,960 | ||||||
3.50% due 03/01/2042 | 445,509 | 483,416 | ||||||
3.50% due 08/01/2042 | 2,775,933 | 3,019,334 | ||||||
3.50% due 09/01/2042 | 321,564 | 347,896 | ||||||
3.50% due 02/01/2043 | 2,041,709 | 2,266,181 | ||||||
3.50% due 07/01/2045 | 995,515 | 1,063,647 | ||||||
3.50% due 08/01/2045 | 1,347,684 | 1,451,472 | ||||||
3.50% due 09/01/2045 | 252,157 | 268,495 | ||||||
3.50% due 10/01/2045 | 2,095,106 | 2,292,762 | ||||||
3.50% due 11/01/2045 | 3,269,220 | 3,480,315 | ||||||
3.50% due 12/01/2045 | 6,889,160 | 7,354,237 | ||||||
3.50% due 02/01/2046 | 1,133,223 | 1,209,671 | ||||||
3.50% due 03/01/2046 | 5,283,840 | 5,622,806 | ||||||
3.50% due 07/01/2046 | 3,949,344 | 4,292,729 | ||||||
3.50% due 01/01/2047 | 3,377,987 | 3,590,326 | ||||||
3.50% due 12/01/2047 | 17,316,176 | 18,448,388 | ||||||
3.50% due 04/01/2048 | 7,479,471 | 8,066,164 | ||||||
4.00% due 11/01/2025 | 36,498 | 38,726 | ||||||
4.00% due 03/01/2039 | 2,603,300 | 2,792,275 | ||||||
4.00% due 09/01/2040 | 68,251 | 74,566 | ||||||
4.00% due 10/01/2040 | 136,768 | 149,504 | ||||||
4.00% due 12/01/2040 | 1,100,425 | 1,209,611 | ||||||
4.00% due 10/01/2041 | 715,263 | 779,066 | ||||||
4.00% due 11/01/2041 | 694,515 | 757,604 | ||||||
4.00% due 01/01/2043 | 1,468,355 | 1,616,362 | ||||||
4.00% due 02/01/2045 | 2,295,181 | 2,518,867 | ||||||
4.00% due 02/01/2046 | 1,530,497 | 1,660,319 | ||||||
4.00% due 06/01/2046 | 421,130 | 456,876 | ||||||
4.00% due 01/01/2047 | 2,584,617 | 2,786,661 | ||||||
4.00% due 05/01/2047 | 2,128,306 | 2,286,892 | ||||||
4.00% due 06/01/2047 | 3,215,359 | 3,520,916 | ||||||
4.00% due 07/01/2047 | 10,009,417 | 10,758,679 | ||||||
4.00% due 08/01/2047 | 3,464,743 | 3,719,591 | ||||||
4.00% due 06/01/2048 | 6,881,171 | 7,436,349 | ||||||
4.00% due 09/01/2048 | 5,672,776 | 6,069,012 | ||||||
4.00% due 12/01/2048 | 2,059,812 | 2,197,159 | ||||||
4.00% due 01/01/2049 | 6,089,953 | 6,497,903 | ||||||
4.00% due 03/01/2049 | 3,078,163 | 3,282,641 | ||||||
4.00% due 03/01/2050 | 8,255,082 | 8,802,726 | ||||||
4.50% due 10/01/2024 | 176,325 | 187,619 | ||||||
4.50% due 03/01/2025 | 252,218 | 268,391 | ||||||
4.50% due 02/01/2040 | 715,400 | 811,166 | ||||||
4.50% due 05/01/2040 | 226,617 | 255,736 | ||||||
4.50% due 08/01/2045 | 5,534,114 | 6,248,969 | ||||||
4.50% due 06/01/2048 | 6,401,400 | 6,959,472 | ||||||
4.50% due 10/01/2048 | 5,192,324 | 5,633,406 | ||||||
4.50% due 11/01/2048 | 4,894,027 | 5,362,533 | ||||||
4.50% due 12/01/2048 | 9,145,855 | 9,918,587 | ||||||
4.50% due 10/01/2049 | 5,448,492 | 5,913,285 | ||||||
5.00% due 06/01/2022 | 7,931 | 8,378 | ||||||
5.00% due 10/01/2024 | 89,331 | 94,483 | ||||||
5.00% due 09/01/2033 | 359,726 | 414,623 | ||||||
5.00% due 04/01/2040 | 272,329 | 302,250 | ||||||
5.00% due 05/01/2040 | 425,384 | 485,897 | ||||||
5.00% due 06/01/2040 | 1,641,418 | 1,899,439 | ||||||
5.00% due 07/01/2040 | 211,709 | 239,988 | ||||||
5.00% due 02/01/2045 | 1,084,689 | 1,249,898 | ||||||
5.50% due 12/01/2029 | 88,688 | 99,237 | ||||||
5.50% due 12/01/2033 | 20,393 | 24,038 | ||||||
5.50% due 07/01/2037 | 18,796 | 22,085 | ||||||
5.50% due 08/01/2037 | 1,094,409 | 1,292,829 | ||||||
5.50% due 06/01/2038 | 104,172 | 122,892 | ||||||
5.50% due 09/01/2039 | 349,431 | 411,521 | ||||||
6.00% due 08/01/2034 | 16,204 | 19,461 | ||||||
6.00% due 11/01/2035 | 15,060 | 16,889 | ||||||
6.00% due 06/01/2036 | 35,433 | 42,524 | ||||||
6.00% due 12/01/2036 | 66,396 | 79,189 | ||||||
6.00% due 07/01/2038 | 322,156 | 380,409 | ||||||
6.00% due 09/01/2038 | 171,596 | 204,916 | ||||||
6.00% due 11/01/2038 | 101,103 | 119,303 | ||||||
Federal National Mtg. Assoc. FRS | ||||||||
1.90% (6 ML+1.54%) due 09/01/2035 | 658,510 | 683,414 | ||||||
2.33% (12 ML+1.83%) due 10/01/2040 | 288,886 | 301,465 | ||||||
2.33% (12 ML+1.82%) due 10/01/2040 | 152,149 | 158,801 | ||||||
2.82% (12 ML+1.57%) due 05/01/2037 | 130,057 | 135,494 | ||||||
3.01% (12 ML+1.91%) due 08/01/2035 | 438,155 | 461,230 | ||||||
3.07% (1 Yr USTYCR+2.26%) due 11/01/2036 | 245,330 | 258,362 | ||||||
3.09% (12 ML+1.77%) due 05/01/2040 | 647,752 | 676,105 | ||||||
3.11% (1 Yr USTYCR+2.22%) due 10/01/2035 | 516,835 | 544,171 | ||||||
3.17% (12 ML+1.67%) due 07/01/2039 | 529,926 | 553,328 | ||||||
Federal National Mtg. Assoc. REMIC |
| |||||||
Series 2017-100, Class NP 3.00% due 12/25/2047(2) | 3,582,312 | 3,852,593 | ||||||
Series 2018-27, Class EA 3.00% due 05/25/2048(2) | 3,581,416 | 3,821,173 | ||||||
Series 2018-35, Class CD 3.00% due 05/25/2048(2) | 4,767,308 | 5,036,560 | ||||||
|
| |||||||
350,252,277 | ||||||||
|
|
Government National Mtg. Assoc. - 5.7% |
| |||||||
2.50% due 05/20/2050 | 8,748,652 | 9,224,476 | ||||||
2.50% due 06/20/2050 | 15,657,447 | 16,513,891 | ||||||
3.00% due 02/20/2045 | 3,326,117 | 3,539,731 | ||||||
3.00% due 05/20/2045 | 814,578 | 869,082 | ||||||
3.00% due 07/20/2045 | 213,809 | 227,335 | ||||||
3.00% due 11/20/2045 | 1,839,695 | 1,956,395 | ||||||
3.00% due 12/20/2045 | 1,446,436 | 1,537,958 | ||||||
3.00% due 01/20/2046 | 7,938,736 | 8,439,490 | ||||||
3.00% due 05/20/2046 | 8,889,433 | 9,450,993 | ||||||
3.00% due 09/20/2047 | 6,418,746 | 6,793,612 | ||||||
3.00% due 05/20/2050 | 13,590,551 | 14,248,455 | ||||||
3.50% due 03/20/2045 | 704,367 | 755,540 | ||||||
3.50% due 07/20/2045 | 356,578 | 382,569 | ||||||
3.50% due 03/20/2047 | 2,163,721 | 2,328,277 | ||||||
4.00% due 03/20/2044 | 473,017 | 518,754 | ||||||
4.00% due 07/20/2045 | 1,298,659 | 1,420,687 | ||||||
4.00% due 05/20/2048 | 3,477,980 | 3,748,415 | ||||||
4.00% due 03/20/2049 | 3,926,083 | 4,183,234 | ||||||
4.50% due 05/15/2039 | 432,663 | 497,001 | ||||||
4.50% due 04/20/2047 | 2,642,321 | 2,892,305 | ||||||
5.00% due 05/15/2034 | 110,161 | 125,593 | ||||||
5.00% due 01/15/2040 | 494,909 | 571,698 | ||||||
5.50% due 12/15/2039 | 493,767 | 559,991 | ||||||
6.00% due 10/15/2039 | 126,931 | 142,905 | ||||||
Government National Mtg. Assoc. REMIC VRS | ||||||||
Series 2013-118, Class B 2.50% due 10/16/2043(1)(3) | 1,700,000 | 1,763,658 | ||||||
|
| |||||||
92,692,045 | ||||||||
|
| |||||||
Uniform Mtg. Backed Securities - 3.7% |
| |||||||
2.00% due December 15 TBA | 8,000,000 | 8,329,375 | ||||||
2.00% due December 30 TBA | 21,800,000 | 22,641,462 | ||||||
2.50% due December 30 TBA | 22,000,000 | 23,051,994 | ||||||
3.00% due December 30 TBA | 6,000,000 | 6,267,890 | ||||||
|
| |||||||
60,290,721 | ||||||||
|
| |||||||
Total U.S. Government Agencies (cost $618,848,531) |
| 635,597,577 | ||||||
|
| |||||||
U.S. GOVERNMENT TREASURIES - 5.8% |
| |||||||
United States Treasury Bonds - 4.3% |
| |||||||
1.25% due 05/15/2050 | 3,079,400 | 2,841,228 | ||||||
2.38% due 11/15/2049 | 21,081,000 | 25,152,268 | ||||||
2.50% due 02/15/2045 | 1,139,000 | 1,376,900 | ||||||
2.50% due 05/15/2046 | 1,366,000 | 1,655,368 | ||||||
2.75% due 08/15/2047# | 1,246,000 | 1,584,902 | ||||||
3.00% due 05/15/2045 | 570,000 | 749,572 | ||||||
3.00% due 05/15/2047 | 6,851,000 | 9,096,041 | ||||||
3.13% due 11/15/2041 | 781,000 | 1,035,771 | ||||||
3.38% due 11/15/2048 | 13,798,000 | 19,670,774 | ||||||
3.75% due 08/15/2041# | 35,000 | 50,416 | ||||||
3.88% due 08/15/2040 | 134,000 | 194,740 | ||||||
4.25% due 11/15/2040 | 683,000 | 1,040,908 | ||||||
4.38% due 05/15/2040 | 2,865,000 | 4,412,995 | ||||||
4.38% due 05/15/2041 | 433,000 | 672,926 | ||||||
4.63% due 02/15/2040 | 65,000 | 102,758 | ||||||
5.25% due 11/15/2028 | 359,000 | 486,599 | ||||||
|
| |||||||
70,124,166 | ||||||||
|
| |||||||
United States Treasury Notes - 1.5% |
| |||||||
1.38% due 10/15/2022 | 7,000,000 | 7,159,961 | ||||||
1.38% due 01/31/2025 | 1,000,000 | 1,044,766 | ||||||
1.63% due 08/15/2029 | 9,200,000 | 9,883,531 | ||||||
1.75% due 11/15/2029# | 5,069,000 | 5,504,815 | ||||||
|
| |||||||
23,593,073 | ||||||||
|
| |||||||
Total U.S. Government Treasuries (cost $80,386,454) |
| 93,717,239 | ||||||
|
| |||||||
COMMON STOCKS - 0.0% |
| |||||||
Television - 0.0% |
| |||||||
ION Media Networks, Inc.(9)(10) | 79 | 68,370 | ||||||
|
| |||||||
PREFERRED SECURITIES - 0.0% |
| |||||||
Electric-Distribution - 0.0% |
| |||||||
Entergy Louisiana LLC | ||||||||
4.70%# | 22,600 | 567,938 | ||||||
|
| |||||||
Sovereign Agency - 0.0% |
| |||||||
Federal Home Loan Mtg. Corp. | 5,600 | 56,560 | ||||||
|
| |||||||
Total Preferred Securities (cost $651,353) |
| 624,498 | ||||||
|
| |||||||
PREFERRED SECURITIES/CAPITAL SECURITIES - 1.3% |
| |||||||
Banks-Money Center - 0.1% |
| |||||||
BBVA Bancomer SA | $1,302,000 | 1,363,845 | ||||||
|
| |||||||
Banks-Super Regional - 0.0% |
| |||||||
Wells Fargo & Co. | 363,000 | 484,411 | ||||||
|
| |||||||
Building & Construction-Misc. - 0.0% |
| |||||||
China Minmetals Corp. | 400,000 | 406,200 | ||||||
|
| |||||||
Diversified Banking Institutions - 0.2% |
| |||||||
JPMorgan Chase & Co. | 1,441,000 | 1,552,677 | ||||||
Royal Bank of Scotland Group PLC | 425,000 | 492,201 | ||||||
Societe Generale SA | 793,000 | 876,186 | ||||||
|
| |||||||
2,921,064 | ||||||||
|
|
Electric-Distribution - 0.0% |
| |||||||
National Rural Utilities Cooperative Finance Corp. | 621,000 | 653,975 | ||||||
|
| |||||||
Electric-Integrated - 0.1% |
| |||||||
CMS Energy Corp. | 693,000 | 701,524 | ||||||
CMS Energy Corp. | 825,000 | 907,346 | ||||||
Dominion Resources, Inc. | 576,000 | 632,027 | ||||||
|
| |||||||
2,240,897 | ||||||||
|
| |||||||
Food-Dairy Products - 0.0% |
| |||||||
Land OLakes Capital Trust I | 603,000 | 693,450 | ||||||
|
| |||||||
Insurance-Life/Health - 0.2% |
| |||||||
Prudential Financial, Inc. | 706,000 | 759,832 | ||||||
Prudential Financial, Inc. | 861,000 | 998,713 | ||||||
Voya Financial, Inc. | 883,000 | 902,884 | ||||||
|
| |||||||
2,661,429 | ||||||||
|
| |||||||
Insurance-Multi-line - 0.1% |
| |||||||
Allianz SE | 1,000,000 | 1,010,200 | ||||||
|
| |||||||
Metal-Aluminum - 0.0% |
| |||||||
Chalco Hong Kong Investment Co., Ltd. | 500,000 | 504,983 | ||||||
|
| |||||||
Metal-Diversified - 0.0% |
| |||||||
Chinalco Capital Holdings, Ltd. | 200,000 | 205,089 | ||||||
|
| |||||||
Oil Companies-Integrated - 0.1% |
| |||||||
BP Capital Markets PLC | 1,492,000 | 1,645,378 | ||||||
|
| |||||||
Pipelines - 0.1% |
| |||||||
EnLink Midstream Partners LP | 738,000 | 405,900 | ||||||
Enterprise Products Operating LLC | 566,000 | 558,302 | ||||||
|
| |||||||
964,202 | ||||||||
|
| |||||||
Real Estate Investment Trusts - 0.1% |
| |||||||
Scentre Group Trust 2 | 905,000 | 948,530 | ||||||
|
| |||||||
Tools-Hand Held - 0.1% |
| |||||||
Stanley Black & Decker, Inc. | 1,860,000 | 1,970,320 | ||||||
|
| |||||||
Transport-Equipment & Leasing - 0.1% |
| |||||||
AerCap Global Aviation Trust | 1,030,000 | 988,800 | ||||||
|
| |||||||
Transport-Rail - 0.1% |
| |||||||
CRCC Chengan, Ltd. | 700,000 | 710,987 | ||||||
|
| |||||||
Total Preferred Securities/Capital Securities (cost $19,292,472) |
| 20,373,760 | ||||||
|
| |||||||
ESCROWS AND LITIGATION TRUSTS - 0.0% |
| |||||||
Lehman Brothers Holdings, Inc. | 179,000 | 18 | ||||||
Lehman Brothers Holdings, Inc. | 230,000 | 23 | ||||||
Lehman Brothers Holdings Capital Trust VII | 148,000 | 15 | ||||||
Waterford Gaming LLC/Waterford Gaming Financial Corp. | 5,022 | 36 | ||||||
|
| |||||||
Total Escrows And Litigation Trusts (cost $5,022) |
| 92 | ||||||
|
| |||||||
Total Long-Term Investment Securities (cost $1,484,215,756) |
| 1,564,040,785 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT SECURITIES - 7.9% |
| |||||||
Registered Investment Companies - 7.9% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 115,815,983 | 115,815,983 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 12,166,329 | 12,166,329 | ||||||
|
| |||||||
Total Short-Term Investment Securities (cost $127,982,312) |
| 127,982,312 | ||||||
|
| |||||||
TOTAL INVESTMENTS (cost $1,612,198,068) | 104.6 | % | 1,692,023,097 | |||||
Liabilities in excess of other assets | (4.6 | ) | (74,699,027 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 1,617,324,070 | ||||
|
|
|
|
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At November 30, 2020, the aggregate value of these securities was $286,490,544 representing 17.7% of net assets. |
# | The security or a portion thereof is out on loan. |
| Non-income producing security |
(1) | Commercial Mortgage Backed Security |
(2) | Collateralized Mortgage Obligation |
(3) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(4) | Perpetual maturity - maturity date reflects the next call date. |
(5) | Security in default of interest. |
(6) | Company has filed for bankruptcy protection. |
(7) | Interest Only |
(8) | Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at November 30, 2020. |
(9) | Securities classified as Level 3 (see Note 1). |
(10) | Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the 1933 Act); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 1. Certain restricted securities held by the Fund may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Fund has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of November 30, 2020, the Fund held the following restricted securities: |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | ||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
ION Media Networks, Inc. | 03/05/2014 | 79 | $ | 1 | $ | 68,370 | $ | 865.45 | 0.00 | % | ||||||||||||||
|
|
|
|
(11) | The rate shown is the 7-day yield as of November 30, 2020. |
(12) | At November 30, 2020, the Fund had loaned securities with a total value of $13,809,070. This was secured by collateral of $12,166,329, which was received in cash and subsequently invested in short-term investments currently valued at $12,166,329 as reported in the Portfolio of Investments. Additional collateral of $1,914,869 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Funds assets and liabilities. |
The components of the fixed income pooled securities referenced above are as follows:
Securities | Coupon Range | Maturity Date Range | Value as of November 30, 2020 | |||||
Federal Home Loan Mtg. Corp. | 0.50% to 17.97% | 01/25/2023 to 12/25/2050 | $ | 690,057 | ||||
Federal National Mtg. Assoc. | 1.50% to 12.24% | 02/01/2026 to 08/25/2058 | 582,983 | |||||
Government National Mtg. Assoc. | 0.50% to 9.59% | 10/20/2034 to 12/16/2062 | 332,154 | |||||
United States Treasury Bills | 0.00% | 12/03/2020 to 04/08/2021 | 70,865 | |||||
United States Treasury Notes/Bonds | 0.13% to 3.88% | 12/31/2020 to 08/15/2048 | 238,810 |
REMIC - Real Estate Mortgage Investment Conduit
TBA - Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The
actual principal amount andmaturity date will be determined upon settlement date.
ULC - Unlimited Liability Corp.
FRS - Floating Rate Security
VRS - Variable Rate Security
The rates shown on FRS and VRS are the current interest rates as of November 30, 2020 and unless noted otherwise, the dates are the original maturity dates.
Index Legend
1 ML - 1 Month USD LIBOR
6 ML - 6 Month USD LIBOR
12 ML - 12 Month USD LIBOR
1 Yr USTYCR - 1 Year US Treasury Yield Curve Rate
The following is a summary of the inputs used to value the Funds net assets as of November 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Asset Backed Securities | $ | | $ | 58,620,898 | $ | | $ | 58,620,898 | ||||||||
U.S. Corporate Bonds & Notes | | 523,919,069 | | 523,919,069 | ||||||||||||
Foreign Corporate Bonds & Notes | | 165,444,236 | | 165,444,236 | ||||||||||||
Foreign Government Obligations | | 65,675,046 | | 65,675,046 | ||||||||||||
U.S. Government Agencies | | 635,597,577 | | 635,597,577 | ||||||||||||
U.S. Government Treasuries | | 93,717,239 | | 93,717,239 | ||||||||||||
Common Stocks | | | 68,370 | 68,370 | ||||||||||||
Preferred Securities | 624,498 | | | 624,498 | ||||||||||||
Preferred Securities/Capital Securities | | 20,373,760 | | 20,373,760 | ||||||||||||
Escrows and Litigation Trusts | | | 92 | 92 | ||||||||||||
Short-Term Investment Securities | 127,982,312 | | | 127,982,312 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 128,606,810 | $ | 1,563,347,825 | $ | 68,462 | $ | 1,692,023,097 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Fund. There were no Level 3 transfers during the reporting period.
See Notes to Portfolio of Investments
VALIC Company II High Yield Bond Fund
PORTFOLIO OF INVESTMENTS - November 30, 2020 - (unaudited)
Security Description | Shares/ Principal Amount(13) | Value (Note 1) | ||||||
U.S. CONVERTIBLE BONDS & NOTES - 2.8% |
| |||||||
Computers-Memory Devices - 0.4% |
| |||||||
Western Digital Corp. | $2,015,000 | $ | 1,969,364 | |||||
|
| |||||||
Electronic Components-Semiconductors - 0.4% |
| |||||||
Microchip Technology, Inc. | 1,000,000 | 1,971,875 | ||||||
|
| |||||||
Enterprise Software/Service - 0.4% |
| |||||||
Workday, Inc. | 1,325,000 | 2,115,746 | ||||||
|
| |||||||
Machinery-General Industrial - 0.3% |
| |||||||
Middleby Corp. | 1,217,000 | 1,531,138 | ||||||
|
| |||||||
Medical Instruments - 0.6% |
| |||||||
Integra LifeSciences Holdings Corp. | 1,587,000 | 1,597,911 | ||||||
NuVasive, Inc. | 1,910,000 | 1,710,716 | ||||||
|
| |||||||
3,308,627 | ||||||||
|
| |||||||
Oil Companies-Exploration & Production - 0.5% |
| |||||||
Pioneer Natural Resources Co. | 2,250,000 | 2,717,271 | ||||||
|
| |||||||
Theaters - 0.2% |
| |||||||
Cinemark Holdings, Inc. | 849,000 | 1,114,967 | ||||||
|
| |||||||
Total U.S. Convertible Bonds & Notes | ||||||||
(cost $13,268,142) | 14,728,988 | |||||||
|
| |||||||
U.S. CORPORATE BONDS & NOTES - 71.7% |
| |||||||
Advertising Sales - 0.1% |
| |||||||
Lamar Media Corp. | 760,000 | 767,600 | ||||||
|
| |||||||
Aerospace/Defense-Equipment - 1.5% |
| |||||||
TransDigm, Inc. | 2,330,000 | 2,404,560 | ||||||
TransDigm, Inc. | 4,210,000 | 4,462,600 | ||||||
TransDigm, Inc. | 845,000 | 923,162 | ||||||
|
| |||||||
7,790,322 | ||||||||
|
| |||||||
Apparel Manufacturers - 0.4% |
| |||||||
PVH Corp. | 1,720,000 | 1,883,320 | ||||||
|
| |||||||
Applications Software - 1.3% |
| |||||||
CDK Global, Inc. | 1,620,000 | 1,777,950 | ||||||
PTC, Inc. | 355,000 | 362,650 | ||||||
PTC, Inc. | 390,000 | 406,087 | ||||||
SS&C Technologies, Inc. | 4,215,000 | 4,515,319 | ||||||
|
| |||||||
7,062,006 | ||||||||
|
| |||||||
Auto-Cars/Light Trucks - 2.3% |
| |||||||
Ford Motor Co. | 2,875,000 | 2,827,706 | ||||||
Ford Motor Co. | 2,395,000 | 2,684,675 | ||||||
Ford Motor Credit Co. LLC | 5,240,000 | 5,495,450 | ||||||
Ford Motor Credit Co. LLC | 1,225,000 | 1,322,633 | ||||||
|
| |||||||
12,330,464 | ||||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original - 0.4% |
| |||||||
Meritor, Inc. | 2,140,000 | 2,172,100 | ||||||
|
| |||||||
Broadcast Services/Program - 0.9% |
| |||||||
Nexstar Broadcasting, Inc. | 4,625,000 | 4,931,406 | ||||||
|
| |||||||
Building & Construction Products-Misc. - 0.9% |
| |||||||
Builders FirstSource, Inc. | 2,345,000 | 2,526,737 | ||||||
CP Atlas Buyer, Inc. | 840,000 | 869,400 | ||||||
Standard Industries, Inc. | 1,160,000 | 1,164,350 | ||||||
|
| |||||||
4,560,487 | ||||||||
|
| |||||||
Building-Residential/Commercial - 2.4% |
| |||||||
Adams Homes, Inc. | 455,000 | 468,650 | ||||||
Ashton Woods USA LLC/Ashton Woods Finance Co. | 2,000,000 | 2,065,000 | ||||||
KB Home | 755,000 | 830,500 |
M/I Homes, Inc. | 1,145,000 | 1,205,112 | ||||||
M/I Homes, Inc. | 1,750,000 | 1,820,000 | ||||||
STL Holding Co. LLC | 1,840,000 | 1,881,400 | ||||||
Taylor Morrison Communities, Inc. | 430,000 | 478,375 | ||||||
Taylor Morrison Communities, Inc. | 3,460,000 | 3,927,100 | ||||||
|
| |||||||
12,676,137 | ||||||||
|
| |||||||
Cable/Satellite TV - 6.0% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 3,695,000 | 3,833,193 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 1,605,000 | 1,691,269 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 2,740,000 | 2,895,906 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 4,350,000 | 4,507,687 | ||||||
CSC Holdings LLC | 370,000 | 382,876 | ||||||
CSC Holdings LLC | 1,325,000 | 1,356,402 | ||||||
CSC Holdings LLC | 1,900,000 | 2,056,750 | ||||||
CSC Holdings LLC | 825,000 | 870,788 | ||||||
CSC Holdings LLC | 5,800,000 | 6,483,298 | ||||||
DISH DBS Corp. | 2,345,000 | 2,438,800 | ||||||
DISH DBS Corp. | 1,120,000 | 1,191,159 | ||||||
DISH DBS Corp. | 3,025,000 | 3,282,125 | ||||||
DISH DBS Corp. | 990,000 | 1,129,838 | ||||||
|
| |||||||
32,120,091 | ||||||||
|
| |||||||
Casino Hotels - 1.6% |
| |||||||
Boyd Gaming Corp. | 3,735,000 | 3,879,731 | ||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. | 2,280,000 | 2,223,000 | ||||||
Wynn Las Vegas LLC | 2,560,000 | 2,611,200 | ||||||
|
| |||||||
8,713,931 | ||||||||
|
| |||||||
Casino Services - 0.7% |
| |||||||
Caesars Entertainment, Inc. | 1,940,000 | 2,065,217 | ||||||
Caesars Entertainment, Inc. | 1,390,000 | 1,528,924 | ||||||
|
| |||||||
3,594,141 | ||||||||
|
| |||||||
Cellular Telecom - 1.0% |
| |||||||
Sprint Corp. | 2,964,000 | 3,449,355 | ||||||
Sprint Corp. | 1,425,000 | 1,706,437 | ||||||
|
| |||||||
5,155,792 | ||||||||
|
| |||||||
Commercial Services-Finance - 0.1% |
| |||||||
Cardtronics, Inc./Cardtronics USA, Inc. | 260,000 | 268,450 | ||||||
|
| |||||||
Computer Services - 1.4% |
| |||||||
Presidio Holdings, Inc. | 1,755,000 | 1,849,331 | ||||||
Presidio Holdings, Inc. | 1,340,000 | 1,453,900 | ||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. | 4,205,000 | 4,310,125 | ||||||
|
| |||||||
7,613,356 | ||||||||
|
| |||||||
Containers-Metal/Glass - 0.9% |
| |||||||
Owens-Brockway Glass Container, Inc. | 3,090,000 | 3,290,850 |
Silgan Holdings, Inc. | EUR 1,175,000 | 1,419,400 | ||||||
|
| |||||||
4,710,250 | ||||||||
|
| |||||||
Containers-Paper/Plastic - 1.0% |
| |||||||
Berry Global Escrow Corp. | 1,010,000 | 1,075,650 | ||||||
Flex Acquisition Co., Inc. | 3,020,000 | 3,094,534 | ||||||
Flex Acquisition Co., Inc. | 1,340,000 | 1,410,350 | ||||||
|
| |||||||
5,580,534 | ||||||||
|
| |||||||
Decision Support Software - 0.8% |
| |||||||
MSCI, Inc. | 3,735,000 | 3,997,832 | ||||||
|
| |||||||
Diagnostic Equipment - 0.5% |
| |||||||
Avantor Funding, Inc. | 2,505,000 | 2,636,513 | ||||||
|
| |||||||
Distribution/Wholesale - 1.0% |
| |||||||
ABC Supply Co., Inc. | 575,000 | 596,562 | ||||||
Core & Main Holdings LP | 1,910,000 | 1,955,764 | ||||||
G-III Apparel Group, Ltd. | 1,780,000 | 1,922,400 | ||||||
Performance Food Group, Inc. | 1,040,000 | 1,106,300 | ||||||
|
| |||||||
5,581,026 | ||||||||
|
| |||||||
Electronic Components-Semiconductors - 0.1% |
| |||||||
Qorvo, Inc. | 660,000 | 711,401 | ||||||
|
| |||||||
Enterprise Software/Service - 0.5% |
| |||||||
BY Crown Parent LLC/BY Bond Finance, Inc. | 825,000 | 847,688 | ||||||
Open Text Holdings, Inc. | 1,525,000 | 1,602,317 | ||||||
|
| |||||||
2,450,005 | ||||||||
|
| |||||||
Finance-Auto Loans - 0.6% |
| |||||||
Credit Acceptance Corp. | 1,470,000 | 1,503,075 | ||||||
Credit Acceptance Corp. | 1,565,000 | 1,654,988 | ||||||
|
| |||||||
3,158,063 | ||||||||
|
| |||||||
Finance-Consumer Loans - 1.8% |
| |||||||
Navient Corp. | 2,029,000 | 2,136,537 | ||||||
Springleaf Finance Corp. | 4,135,000 | 4,507,150 | ||||||
Springleaf Finance Corp. | 485,000 | 525,473 | ||||||
Springleaf Finance Corp. | 1,505,000 | 1,719,462 | ||||||
Springleaf Finance Corp. | 475,000 | 546,768 | ||||||
|
| |||||||
9,435,390 | ||||||||
|
| |||||||
Finance-Mortgage Loan/Banker - 1.4% |
| |||||||
Genworth Mtg. Holdings, Inc. | 2,935,000 | 3,125,775 | ||||||
LD Holdings Group LLC | 2,570,000 | 2,704,925 | ||||||
PennyMac Financial Services, Inc. | 1,525,000 | 1,593,625 | ||||||
|
| |||||||
7,424,325 | ||||||||
|
| |||||||
Financial Guarantee Insurance - 0.7% |
| |||||||
MGIC Investment Corp. | 2,310,000 | 2,463,038 | ||||||
NMI Holdings, Inc. | 975,000 | 1,079,432 | ||||||
|
| |||||||
3,542,470 | ||||||||
|
| |||||||
Food-Catering - 0.3% |
| |||||||
Aramark Services, Inc. | 765,000 | 786,037 | ||||||
Aramark Services, Inc. | 855,000 | 898,819 | ||||||
|
| |||||||
1,684,856 | ||||||||
|
| |||||||
Food-Misc./Diversified - 2.5% |
| |||||||
B&G Foods, Inc. | 1,440,000 | 1,505,693 | ||||||
Post Holdings, Inc. | 845,000 | 882,501 |
Post Holdings, Inc. | 3,545,000 | 3,677,937 | ||||||
Post Holdings, Inc. | 2,974,000 | 3,163,593 | ||||||
Post Holdings, Inc. | 1,440,000 | 1,515,600 | ||||||
TreeHouse Foods, Inc. | 1,184,000 | 1,201,997 | ||||||
TreeHouse Foods, Inc. | 1,230,000 | 1,257,318 | ||||||
|
| |||||||
13,204,639 | ||||||||
|
| |||||||
Funeral Services & Related Items - 0.3% |
| |||||||
Service Corp. International | 735,000 | 779,100 | ||||||
Service Corp. International | 725,000 | 805,656 | ||||||
|
| |||||||
1,584,756 | ||||||||
|
| |||||||
Gambling (Non-Hotel) - 1.2% |
| |||||||
Caesars Resort Collection LLC/CRC Finco, Inc. | 2,880,000 | 2,880,000 | ||||||
Caesars Resort Collection LLC/CRC Finco, Inc. | 640,000 | 677,600 | ||||||
Jacobs Entertainment, Inc. | 2,695,000 | 2,735,425 | ||||||
|
| |||||||
6,293,025 | ||||||||
|
| |||||||
Gas-Distribution - 0.8% |
| |||||||
AmeriGas Partners LP/AmeriGas Finance Corp. | 731,000 | 802,273 | ||||||
AmeriGas Partners LP/AmeriGas Finance Corp. | 2,904,000 | 3,263,370 | ||||||
|
| |||||||
4,065,643 | ||||||||
|
| |||||||
Hazardous Waste Disposal - 0.4% |
| |||||||
Stericycle, Inc. | 345,000 | 358,800 | ||||||
Stericycle, Inc. | 1,925,000 | 2,002,000 | ||||||
|
| |||||||
2,360,800 | ||||||||
|
| |||||||
Independent Power Producers - 0.3% |
| |||||||
Clearway Energy Operating LLC | 1,310,000 | 1,404,870 | ||||||
|
| |||||||
Insurance-Multi-line - 2.2% |
| |||||||
Acrisure LLC/Acrisure Finance, Inc. | 4,130,000 | 4,233,250 | ||||||
Acrisure LLC/Acrisure Finance, Inc. | 1,684,000 | 1,768,200 | ||||||
Acrisure LLC/Acrisure Finance, Inc. | 465,000 | 526,612 | ||||||
Genworth Holdings, Inc. | 260,000 | 242,125 | ||||||
Genworth Holdings, Inc. | 1,215,000 | 1,167,858 | ||||||
Genworth Holdings, Inc. | 1,120,000 | 1,068,200 | ||||||
Genworth Holdings, Inc. | 2,345,000 | 2,342,069 | ||||||
Genworth Holdings, Inc. | 539,000 | 541,695 | ||||||
|
| |||||||
11,890,009 | ||||||||
|
| |||||||
Internet Content-Information/News - 0.3% |
| |||||||
Arches Buyer, Inc. | 875,000 | 877,187 | ||||||
Arches Buyer, Inc. | 475,000 | 487,469 | ||||||
|
| |||||||
1,364,656 | ||||||||
|
| |||||||
Machinery-General Industrial - 0.2% |
| |||||||
Vertical US Newco, Inc. | 1,195,000 | 1,254,750 | ||||||
|
| |||||||
Medical Information Systems - 0.4% |
| |||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. | 1,890,000 | 1,920,713 | ||||||
|
| |||||||
Medical Labs & Testing Services - 0.7% |
| |||||||
Catalent Pharma Solutions, Inc. | 545,000 | 573,613 | ||||||
IQVIA, Inc. | EUR 1,120,000 | 1,346,814 |
IQVIA, Inc. | 1,840,000 | 1,936,600 | ||||||
|
| |||||||
3,857,027 | ||||||||
|
| |||||||
Medical Products - 0.4% |
| |||||||
Hill-Rom Holdings, Inc. | 1,965,000 | 2,048,513 | ||||||
|
| |||||||
Medical-Biomedical/Gene - 0.0% |
| |||||||
Emergent BioSolutions, Inc. | 230,000 | 232,588 | ||||||
|
| |||||||
Medical-Drugs - 0.0% |
| |||||||
Bausch Health Americas, Inc. | 20,000 | 22,000 | ||||||
|
| |||||||
Medical-Generic Drugs - 0.2% |
| |||||||
Par Pharmaceutical, Inc. | 1,035,000 | 1,117,800 | ||||||
|
| |||||||
Medical-Hospitals - 3.6% |
| |||||||
CHS/Community Health Systems, Inc. | 3,695,000 | 3,759,293 | ||||||
CHS/Community Health Systems, Inc. | 590,000 | 563,450 | ||||||
CHS/Community Health Systems, Inc. | 2,760,000 | 2,566,800 | ||||||
HCA, Inc. | 3,565,000 | 3,690,180 | ||||||
HCA, Inc. | 3,520,000 | 3,940,746 | ||||||
HCA, Inc. | 2,270,000 | 2,579,287 | ||||||
HCA, Inc. | 105,000 | 123,113 | ||||||
HCA, Inc. | 265,000 | 316,765 | ||||||
HCA, Inc. | 1,470,000 | 1,888,950 | ||||||
|
| |||||||
19,428,584 | ||||||||
|
| |||||||
Metal-Aluminum - 0.7% |
| |||||||
Novelis Corp. | 1,230,000 | 1,305,620 | ||||||
Novelis Corp. | 2,540,000 | 2,663,825 | ||||||
|
| |||||||
3,969,445 | ||||||||
|
| |||||||
Music - 0.5% |
| |||||||
WMG Acquisition Corp. | 2,328,000 | 2,415,300 | ||||||
|
| |||||||
Office Automation & Equipment - 1.3% |
| |||||||
CDW LLC/CDW Finance Corp. | 855,000 | 887,062 | ||||||
Xerox Corp. | 4,060,000 | 4,260,970 | ||||||
Xerox Corp. | 155,000 | 153,450 | ||||||
Xerox Corp. | 1,245,000 | 1,314,826 | ||||||
Xerox Holdings Corp. | 290,000 | 301,600 | ||||||
|
| |||||||
6,917,908 | ||||||||
|
| |||||||
Oil Companies-Exploration & Production - 5.5% |
| |||||||
Apache Corp. | 1,700,000 | 1,734,000 | ||||||
Apache Corp. | 2,030,000 | 2,110,591 | ||||||
Apache Corp. | 918,000 | 915,705 | ||||||
Apache Corp. | 1,087,000 | 1,122,904 | ||||||
Continental Resources, Inc. | 2,300,000 | 2,294,250 | ||||||
Continental Resources, Inc. | 1,050,000 | 977,813 | ||||||
Continental Resources, Inc. | 990,000 | 1,061,775 | ||||||
EQT Corp. | 1,740,000 | 1,724,270 | ||||||
Jagged Peak Energy LLC | 3,615,000 | 3,749,478 | ||||||
Matador Resources Co. | 2,400,000 | 2,046,000 |
Occidental Petroleum Corp. | 1,745,000 | 1,526,875 | ||||||
Occidental Petroleum Corp. | 85,000 | 76,925 | ||||||
Occidental Petroleum Corp. | 8,195,000 | 6,596,975 | ||||||
SM Energy Co. | 1,010,000 | 676,700 | ||||||
Vine Oil & Gas LP/Vine Oil & Gas Finance Corp. | 3,340,000 | 2,672,000 | ||||||
|
| |||||||
29,286,261 | ||||||||
|
| |||||||
Oil Refining & Marketing - 0.6% |
| |||||||
Sunoco LP/Sunoco Finance Corp. | 600,000 | 622,125 | ||||||
Sunoco LP/Sunoco Finance Corp. | 375,000 | 401,250 | ||||||
Sunoco LP/Sunoco Finance Corp. | 1,900,000 | 2,018,750 | ||||||
|
| |||||||
3,042,125 | ||||||||
|
| |||||||
Pipelines - 5.2% |
| |||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. | 3,005,000 | 2,704,500 | ||||||
Buckeye Partners LP | 945,000 | 942,637 | ||||||
Buckeye Partners LP | 960,000 | 960,000 | ||||||
Cheniere Energy Partners LP | 1,379,000 | 1,436,946 | ||||||
DCP Midstream Operating LP | 3,280,000 | 3,538,300 | ||||||
EQM Midstream Partners LP | 675,000 | 718,875 | ||||||
EQM Midstream Partners LP | 685,000 | 755,213 | ||||||
EQM Midstream Partners LP | 1,410,000 | 1,395,900 | ||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. | 1,980,000 | 1,942,776 | ||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. | 1,800,000 | 1,775,250 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 1,570,000 | 1,670,087 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 3,385,000 | 3,664,262 | ||||||
Western Midstream Operating LP | 4,725,000 | 5,046,513 | ||||||
Western Midstream Operating LP | 1,375,000 | 1,368,125 | ||||||
|
| |||||||
27,919,384 | ||||||||
|
| |||||||
Protection/Safety - 0.6% |
| |||||||
APX Group, Inc. | 3,215,000 | 3,335,563 | ||||||
|
| |||||||
Racetracks - 0.8% |
| |||||||
Penn National Gaming, Inc. | 3,730,000 | 3,879,200 | ||||||
Speedway Motorsports LLC/Speedway Funding II, Inc. | 535,000 | 526,975 | ||||||
|
| |||||||
4,406,175 | ||||||||
|
| |||||||
Real Estate Investment Trusts - 1.5% |
| |||||||
FelCor Lodging LP | 2,645,000 | 2,658,225 | ||||||
Iron Mountain, Inc. | 2,570,000 | 2,661,235 | ||||||
VICI Properties LP/VICI Note Co., Inc. | 250,000 | 255,000 | ||||||
VICI Properties LP/VICI Note Co., Inc. | 165,000 | 168,300 | ||||||
VICI Properties LP/VICI Note Co., Inc. | 1,295,000 | 1,343,562 |
VICI Properties LP/VICI Note Co., Inc. | 1,085,000 | 1,156,252 | ||||||
|
| |||||||
8,242,574 | ||||||||
|
| |||||||
Rental Auto/Equipment - 1.9% |
| |||||||
Ashtead Capital, Inc. | 2,890,000 | 3,034,500 | ||||||
Herc Holdings, Inc. | 3,230,000 | 3,403,612 | ||||||
United Rentals North America, Inc. | 1,340,000 | 1,401,975 | ||||||
United Rentals North America, Inc. | 1,340,000 | 1,430,450 | ||||||
United Rentals North America, Inc. | 1,025,000 | 1,083,938 | ||||||
|
| |||||||
10,354,475 | ||||||||
|
| |||||||
Retail-Apparel/Shoe - 0.5% |
| |||||||
L Brands, Inc. | 220,000 | 228,250 | ||||||
L Brands, Inc. | 2,045,000 | 2,239,480 | ||||||
|
| |||||||
2,467,730 | ||||||||
|
| |||||||
Retail-Automobile - 0.6% |
| |||||||
Asbury Automotive Group, Inc. | 155,000 | 160,425 | ||||||
Asbury Automotive Group, Inc. | 157,000 | 165,243 | ||||||
Group 1 Automotive, Inc. | 980,000 | 1,002,814 | ||||||
Lithia Motors, Inc. | 1,510,000 | 1,604,375 | ||||||
|
| |||||||
2,932,857 | ||||||||
|
| |||||||
Retail-Building Products - 0.6% |
| |||||||
Specialty Building Products Holdings LLC | 2,985,000 | 3,104,400 | ||||||
|
| |||||||
Retail-Office Supplies - 1.0% |
| |||||||
Staples, Inc. | 5,360,000 | 5,393,500 | ||||||
|
| |||||||
Retail-Pawn Shops - 0.2% |
| |||||||
FirstCash, Inc. | 1,005,000 | 1,032,638 | ||||||
|
| |||||||
Retail-Pet Food & Supplies - 0.2% |
| |||||||
PetSmart, Inc. | 1,130,000 | 1,146,950 | ||||||
|
| |||||||
Retail-Restaurants - 0.9% |
| |||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC | 1,830,000 | 1,916,925 | ||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC | 2,225,000 | 2,302,741 | ||||||
Yum! Brands, Inc. | 770,000 | 832,409 | ||||||
|
| |||||||
5,052,075 | ||||||||
|
| |||||||
Semiconductor Equipment - 0.7% |
| |||||||
Entegris, Inc. | 3,550,000 | 3,656,500 | ||||||
|
| |||||||
Steel Pipe & Tube - 0.1% |
| |||||||
Advanced Drainage Systems, Inc. | 545,000 | 572,250 | ||||||
|
| |||||||
Telecom Services - 0.4% |
| |||||||
Embarq Corp. | 1,640,000 | 1,969,968 | ||||||
|
| |||||||
Telephone-Integrated - 1.3% |
| |||||||
Frontier Communications Corp. | 1,450,000 | 1,471,750 | ||||||
Frontier Communications Corp. | 1,550,000 | 1,631,375 | ||||||
Frontier Communications Corp. | 1,550,000 | 1,604,250 | ||||||
Frontier Communications Corp. | 2,690,000 | 1,244,125 | ||||||
Frontier Communications Corp. | 1,800,000 | 886,500 | ||||||
|
| |||||||
6,838,000 | ||||||||
|
| |||||||
Television - 0.9% |
| |||||||
Gray Television, Inc. | 1,070,000 | 1,083,375 | ||||||
Gray Television, Inc. | 1,060,000 | 1,107,700 |
Scripps Escrow, Inc. | 2,585,000 | 2,604,387 | ||||||
|
| |||||||
4,795,462 | ||||||||
|
| |||||||
Theaters - 0.1% |
| |||||||
Cinemark USA, Inc. | 680,000 | 660,025 | ||||||
|
| |||||||
Toys - 0.8% |
| |||||||
Mattel, Inc. | 1,035,000 | 1,141,087 | ||||||
Mattel, Inc. | 3,220,000 | 3,386,474 | ||||||
|
| |||||||
4,527,561 | ||||||||
|
| |||||||
Transactional Software - 0.3% |
| |||||||
Black Knight InfoServ LLC | 1,430,000 | 1,451,450 | ||||||
|
| |||||||
Transport-Equipment & Leasing - 0.4% | ||||||||
DAE Funding LLC | 675,000 | 680,906 | ||||||
DAE Funding LLC | 1,345,000 | 1,381,988 | ||||||
|
| |||||||
2,062,894 | ||||||||
|
| |||||||
Total U.S. Corporate Bonds & Notes | ||||||||
(cost $359,866,427) | 382,156,111 | |||||||
|
| |||||||
FOREIGN CORPORATE BONDS & NOTES - 18.4% | ||||||||
Auto/Truck Parts & Equipment-Original - 1.3% |
| |||||||
Adient Global Holdings, Ltd. | EUR 2,360,000 | 2,780,276 | ||||||
Adient Global Holdings, Ltd. | 2,580,000 | 2,601,801 | ||||||
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. | 1,630,000 | 1,754,287 | ||||||
|
| |||||||
7,136,364 | ||||||||
|
| |||||||
Building Products-Wood - 0.3% |
| |||||||
Norbord, Inc. | 1,620,000 | 1,737,450 | ||||||
|
| |||||||
Cable/Satellite TV - 2.1% |
| |||||||
Altice Financing SA | 1,420,000 | 1,455,500 | ||||||
Altice Financing SA | 2,210,000 | 2,331,550 | ||||||
Quebecor Media, Inc. | 1,415,000 | 1,529,615 | ||||||
Virgin Media Secured Finance PLC | 3,285,000 | 3,449,250 | ||||||
Ziggo BV | 2,375,000 | 2,484,725 | ||||||
|
| |||||||
11,250,640 | ||||||||
|
| |||||||
Cellular Telecom - 0.9% |
| |||||||
Altice France SA | 525,000 | 548,625 | ||||||
Altice France SA | 3,940,000 | 4,343,850 | ||||||
|
| |||||||
4,892,475 | ||||||||
|
| |||||||
Chemicals-Specialty - 0.7% |
| |||||||
Diamond BC BV | EUR 3,045,000 | 3,668,552 | ||||||
|
| |||||||
Containers-Metal/Glass - 2.3% |
| |||||||
ARD Finance SA | 3,775,000 | 3,977,907 | ||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | 650,000 | 674,375 | ||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | 1,115,000 | 1,174,931 | ||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | 1,860,000 | 1,939,701 | ||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | 363,000 | 375,251 | ||||||
OI European Group BV | 3,579,000 | 3,668,475 | ||||||
Trivium Packaging Finance BV | 520,000 | 544,700 | ||||||
|
| |||||||
12,355,340 | ||||||||
|
| |||||||
Cruise Lines - 1.2% |
| |||||||
Carnival Corp. | 480,000 | 506,400 | ||||||
Carnival Corp. | EUR 360,000 | 452,508 |
Carnival Corp. | 75,000 | 87,938 | ||||||
Carnival Corp. | 1,265,000 | 1,495,862 | ||||||
Carnival Corp. | 3,290,000 | 3,746,487 | ||||||
|
| |||||||
6,289,195 | ||||||||
|
| |||||||
Electronic Components-Misc. - 0.3% |
| |||||||
Sensata Technologies BV | 1,435,000 | 1,592,850 | ||||||
|
| |||||||
Enterprise Software/Service - 0.3% |
| |||||||
Open Text Corp. | 1,790,000 | 1,848,175 | ||||||
|
| |||||||
Finance-Consumer Loans - 0.5% |
| |||||||
goeasy, Ltd. | 2,300,000 | 2,389,125 | ||||||
|
| |||||||
Medical-Drugs - 4.3% |
| |||||||
Bausch Health Cos., Inc. | 4,180,000 | 4,178,746 | ||||||
Bausch Health Cos., Inc. | 2,575,000 | 2,597,531 | ||||||
Bausch Health Cos., Inc. | 2,480,000 | 2,678,400 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. | 2,007,000 | 1,585,530 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. | 3,541,000 | 3,896,534 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 2,270,000 | 2,150,825 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 1,700,000 | 1,900,897 | ||||||
Valeant Pharmaceuticals International, Inc. | 764,000 | 764,382 | ||||||
Valeant Pharmaceuticals International, Inc. | 2,035,000 | 2,094,422 | ||||||
Valeant Pharmaceuticals International, Inc. | 455,000 | 468,878 | ||||||
Valeant Pharmaceuticals International, Inc. | 445,000 | 488,922 | ||||||
|
| |||||||
22,805,067 | ||||||||
|
| |||||||
Metal-Aluminum - 0.7% |
| |||||||
Constellium NV | 3,240,000 | 3,332,794 | ||||||
Constellium SE | 250,000 | 268,750 | ||||||
|
| |||||||
3,601,544 | ||||||||
|
| |||||||
Miscellaneous Manufacturing - 0.9% |
| |||||||
Bombardier, Inc. | 3,920,000 | 3,665,200 | ||||||
Bombardier, Inc. | 1,180,000 | 1,005,950 | ||||||
|
| |||||||
4,671,150 | ||||||||
|
| |||||||
Oil & Gas Drilling - 0.3% |
| |||||||
Transocean, Inc. | 5,715,000 | 1,541,370 | ||||||
|
| |||||||
Retail-Restaurants - 1.2% |
| |||||||
1011778 BC ULC/New Red Finance, Inc. | 3,620,000 | 3,615,475 | ||||||
1011778 BC ULC/New Red Finance, Inc. | 440,000 | 452,540 | ||||||
1011778 BC ULC/New Red Finance, Inc. | 2,360,000 | 2,351,150 | ||||||
|
| |||||||
6,419,165 | ||||||||
|
| |||||||
Telecom Services - 0.3% |
| |||||||
Altice France Holding SA | EUR 1,230,000 | 1,581,892 | ||||||
|
| |||||||
Television - 0.5% |
| |||||||
Videotron, Ltd. | 2,720,000 | 2,859,400 | ||||||
|
| |||||||
Transport-Equipment & Leasing - 0.3% |
| |||||||
Fly Leasing, Ltd. | 1,360,000 | 1,179,800 |
Fly Leasing, Ltd. | 200,000 | 200,280 | ||||||
|
| |||||||
1,380,080 | ||||||||
|
| |||||||
Total Foreign Corporate Bonds & Notes |
| |||||||
(cost $94,805,996) | 98,019,834 | |||||||
|
| |||||||
FOREIGN CONVERTIBLE BONDS & NOTES - 0.3% |
| |||||||
Building-Heavy Construction - 0.3% |
| |||||||
Cellnex Telecom SA | EUR 900,000 | 1,879,308 | ||||||
|
| |||||||
LOANS(4)(5)(6) - 1.9% |
| |||||||
Auto/Truck Parts & Equipment-Original - 0.3% |
| |||||||
Panther BF Aggregator 2 LP FRS | 1,808,186 | 1,787,843 | ||||||
|
| |||||||
Chemicals-Specialty - 0.2% |
| |||||||
Diamond BC BV FRS | 2,162 | 2,116 | ||||||
Diamond BC BV FRS | 839,050 | 821,046 | ||||||
|
| |||||||
823,162 | ||||||||
|
| |||||||
Data Processing/Management - 1.1% |
| |||||||
Dun & Bradstreet Corp. FRS | 5,581,950 | 5,543,959 | ||||||
|
| |||||||
Food-Misc./Diversified - 0.0% |
| |||||||
Froneri US, Inc. FRS | 125,000 | 124,219 | ||||||
|
| |||||||
Insurance Brokers - 0.3% |
| |||||||
HUB International, Ltd. FRS | 1,671,525 | 1,628,866 | ||||||
|
| |||||||
Total Loans |
| |||||||
(cost $9,982,321) | 9,908,049 | |||||||
|
| |||||||
COMMON STOCKS - 0.2% |
| |||||||
Casino Services - 0.1% |
| |||||||
Caesars Entertainment, Inc. | 9,263 | 630,996 | ||||||
|
| |||||||
Coal - 0.0% |
| |||||||
Foresight Energy LLC(7)(8) | 3,805 | 30,463 | ||||||
|
| |||||||
Television - 0.1% |
| |||||||
ION Media Networks, Inc.(7)(8) | 616 | 533,115 | ||||||
|
| |||||||
Total Common Stocks |
| |||||||
(cost $565,701) | 1,194,574 | |||||||
|
| |||||||
PREFERRED SECURITIES/CAPITAL SECURITIES - 0.7% |
| |||||||
Diversified Banking Institutions - 0.7% |
| |||||||
Credit Suisse Group AG | $3,610,000 | 3,957,282 | ||||||
|
| |||||||
ESCROWS AND LITIGATION TRUSTS - 0.0% |
| |||||||
Venture Holdings Co. LLC | 50,000 | 0 | ||||||
Hellas Telecommunications Luxembourg II SCA | 925,000 | 0 | ||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. | 3,873,748 | 5,811 | ||||||
|
| |||||||
Total Escrows And Litigation Trusts |
| |||||||
(cost $956,000) | 5,811 | |||||||
|
| |||||||
Total Long-Term Investment Securities |
| |||||||
(cost $484,368,548) | 511,849,957 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT SECURITIES - 1.2% |
| |||||||
Registered Investment Companies - 1.2% |
| |||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 6,270,548 | 6,270,548 | ||||||
|
| |||||||
REPURCHASE AGREEMENTS - 3.9% |
| |||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00% dated 11/30/2020, to be repurchased 12/01/2020 in the amount of $20,637,000 and collateralized by $13,966,600 of United States Treasury Bonds, bearing interest at 4.25% due 05/15/2039 and having an approximate value of $21,049,790 | $20,637,000 | 20,637,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS | ||||||||
(cost $511,276,096) | 101.1 | % | 538,757,505 | |||||
Liabilities in excess of other assets | (1.1 | ) | (5,649,500 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 533,108,005 | ||||
|
|
|
|
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At November 30, 2020, the aggregate value of these securities was $321,274,597 representing 60.3% of net assets. |
# | The security or a portion thereof is out on loan. |
| Non-income producing security |
(1) | PIK (Payment-in-Kind) security Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at the coupon rate listed. |
(2) | Security in default of interest. |
(3) | Company has filed for bankruptcy protection. |
(4) | The Fund invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (LIBOR) or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Fund is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan. |
(5) | All loans in the Fund were purchased through assignment agreements unless otherwise indicated. |
(6) | Senior loans in the Fund are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. |
(7) | Securities classified as Level 3 (see Note 1). |
(8) | Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the 1933 Act); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 1. Certain restricted securities held by the Fund may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Fund has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of November 30, 2020, the Fund held the following restricted securities: |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | ||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Foresight Energy LLC | 08/25/2020 | 3,805 | 1 | $ | 30,463 | $ | 8.01 | 0.01 | % | |||||||||||||||
ION Media Networks, Inc. | 12/21/2016 | 616 | 6 | 533,115 | 865.45 | 0.10 | % | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
$ | 563,578 | 0.11 | % | |||||||||||||||||||||
|
|
|
|
(9) | Perpetual maturity - maturity date reflects the next call date. |
(10) | Security in default of interest and principal at maturity. |
(11) | At November 30, 2020, the Fund had loaned securities with a total value of $8,175,226. This was secured by collateral of $6,270,548, which was received in cash and subsequently invested in short-term investments currently valued at $6,270,548 as reported in the Portfolio of Investments. Additional collateral of $2,047,139 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Funds assets and liabilities. |
The components of the fixed income pooled securities referenced above are as follows:
Securities | Coupon Range | Maturity Date Range | Value as of November 30, 2020 | |||||
United States Treasury Bills | 0.00% | 12/03/2020 to 04/08/2021 | $ | 192,447 | ||||
United States Treasury Notes/Bonds | 0.13% to 8.00% | 12/31/2020 to 08/15/2048 | 1,854,692 |
(12) | The rate shown is the 7-day yield as of November 30, 2020. |
(13) | Denominated in United States dollars unless otherwise indicated. |
BTL - Bank Term Loan
FRS - Floating Rate Security
The rates shown on FRS are the current interest rates at November 30, 2020 and unless noted otherwise, the dates shown are the original maturity dates.
Currency Legend
EUR - Euro Currency
Index Legend
1 ML - 1 Month USD Libor
3 ML - 3 Month USD Libor
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||
HSBC Bank USA | EUR | 360,000 | USD | 428,937 | 12/31/2020 | $ | | $ | (917 | ) | ||||||||||
|
|
|
| |||||||||||||||||
JPMorgan Chase Bank N.A | EUR | 10,462,000 | USD | 12,416,417 | 12/31/2020 | | (75,618 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
Unrealized Appreciation (Depreciation) | $ | | $ | (76,535 | ) | |||||||||||||||
|
|
|
|
EUR - Euro Currency
USD - United States Dollar
The following is a summary of the inputs used to value the Funds net assets as of November 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
U.S. Convertible Bonds & Notes | $ | | $ | 14,728,988 | $ | | $ | 14,728,988 | ||||||||
U.S. Corporate Bonds & Notes | | 382,156,111 | | 382,156,111 | ||||||||||||
Foreign Corporate Bonds & Notes | | 98,019,834 | | 98,019,834 | ||||||||||||
Foreign Convertible Bonds & Notes | | 1,879,308 | | 1,879,308 | ||||||||||||
Loans | | 9,908,049 | | 9,908,049 | ||||||||||||
Common Stocks: | ||||||||||||||||
Coal | | | 30,463 | 30,463 | ||||||||||||
Television | | | 533,115 | 533,115 | ||||||||||||
Other Industries | 630,996 | | | 630,996 | ||||||||||||
Preferred Securities/Capital Securities | | 3,957,282 | | 3,957,282 | ||||||||||||
Escrows and Litigation Trusts | | 5,811 | 0 | 5,811 | ||||||||||||
Short-Term Investment Securities | 6,270,548 | | | 6,270,548 | ||||||||||||
Repurchase Agreements | | 20,637,000 | | 20,637,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 6,901,544 | $ | 531,292,383 | $ | 563,578 | $ | 538,757,505 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Other Financial Instruments:+ | ||||||||||||||||
Forward Foreign Currency Contracts | $ | | $ | 76,535 | $ | | $ | 76,535 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
+ | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
At the beginning and end of the reporting period, Level 3 investments were not considered a material portion of the Fund. There were no Level 3 transfers during the reporting period.
See Notes to Portfolio of Investments
VALIC Company II International Opportunities Fund
PORTFOLIO OF INVESTMENTS - November 30, 2020 - (unaudited)
Security Description | Shares/ Principal Amount | Value (Note 1) | ||||||
COMMON STOCKS - 96.0% |
| |||||||
Australia - 3.5% |
| |||||||
Ansell, Ltd. | 46,015 | $ | 1,264,285 | |||||
ASX, Ltd. | 14,608 | 826,851 | ||||||
AUB Group, Ltd.# | 111,187 | 1,362,185 | ||||||
Bapcor, Ltd. | 311,015 | 1,600,387 | ||||||
Bingo Industries, Ltd.# | 217,988 | 422,437 | ||||||
Deterra Royalties, Ltd. | 118,198 | 399,111 | ||||||
Iluka Resources, Ltd. | 118,198 | 463,316 | ||||||
IPH, Ltd. | 291,720 | 1,481,829 | ||||||
Omni Bridgeway, Ltd.# | 210,197 | 651,125 | ||||||
Orica, Ltd. | 55,775 | 661,207 | ||||||
Ramsay Health Care, Ltd.# | 15,836 | 732,919 | ||||||
Ridley Corp., Ltd. | 941,463 | 642,705 | ||||||
SEEK, Ltd. | 29,420 | 562,569 | ||||||
Sonic Healthcare, Ltd. | 21,453 | 518,725 | ||||||
Star Entertainment Group, Ltd. | 1,306,638 | 3,625,540 | ||||||
Steadfast Group, Ltd. | 318,379 | 902,106 | ||||||
Tabcorp Holdings, Ltd. | 255,609 | 720,498 | ||||||
Technology One, Ltd. | 305,272 | 2,057,100 | ||||||
Webjet, Ltd.# | 114,877 | 486,558 | ||||||
Westgold Resources, Ltd. | 2,432,227 | 4,106,365 | ||||||
WiseTech Global, Ltd. | 41,316 | 937,136 | ||||||
|
| |||||||
24,424,954 | ||||||||
|
| |||||||
Austria - 0.4% |
| |||||||
Mayr-Melnhof Karton AG | 5,940 | 1,045,824 | ||||||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 60,128 | 1,433,040 | ||||||
|
| |||||||
2,478,864 | ||||||||
|
| |||||||
Belgium - 1.2% |
| |||||||
Barco NV | 166,798 | 3,602,263 | ||||||
Fagron | 183,125 | 4,242,120 | ||||||
Melexis NV | 7,635 | 729,959 | ||||||
|
| |||||||
8,574,342 | ||||||||
|
| |||||||
Bermuda - 1.1% |
| |||||||
Cafe de Coral Holdings, Ltd. | 714,000 | 1,538,346 | ||||||
China Resources Gas Group, Ltd. | 136,000 | 655,344 | ||||||
Dairy Farm International Holdings, Ltd.# | 281,800 | 1,146,926 | ||||||
Esprit Holdings, Ltd. | 268,150 | 34,941 | ||||||
Hiscox, Ltd. | 86,774 | 1,252,845 | ||||||
Midland Holdings, Ltd. | 1,870,000 | 173,706 | ||||||
Peace Mark Holdings, Ltd.(1) | 686,000 | 0 | ||||||
Shangri-La Asia, Ltd. | 1,326,000 | 1,211,201 | ||||||
VTech Holdings, Ltd. | 169,549 | 1,305,897 | ||||||
|
| |||||||
7,319,206 | ||||||||
|
| |||||||
Brazil - 1.7% |
| |||||||
Anima Holding SA | 109,080 | 730,947 | ||||||
Azul SA | 603,096 | 4,280,007 | ||||||
Cia Brasileira de Distribuicao | 34,300 | 443,364 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 21,200 | 176,251 | ||||||
Energisa SA | 48,400 | 420,453 | ||||||
Equatorial Energia SA | 72,900 | 296,504 | ||||||
Gerdau SA (Preference Shares) | 78,000 | 329,040 | ||||||
Hapvida Participacoes e Investimentos SA* | 169,000 | 454,881 | ||||||
Hypera SA | 91,414 | 547,897 | ||||||
JBS SA | 68,020 | 293,923 | ||||||
Linx SA | 34,700 | 236,411 | ||||||
Lojas Renner SA | 65,110 | 543,009 | ||||||
Magazine Luiza SA | 83,700 | 365,272 | ||||||
Multiplan Empreendimentos Imobiliarios SA | 140,500 | 594,530 | ||||||
Odontoprev SA | 55,800 | 136,339 | ||||||
Rumo SA | 120,606 | 426,828 | ||||||
Suzano SA | 53,600 | 565,274 | ||||||
TOTVS SA | 69,500 | 347,020 | ||||||
Transmissora Alianca de Energia Eletrica SA | 77,677 | 480,062 | ||||||
|
| |||||||
11,668,012 | ||||||||
|
| |||||||
Canada - 6.4% | ||||||||
Agnico Eagle Mines, Ltd.# | 27,362 | 1,793,162 | ||||||
Aritzia, Inc. | 234,645 | 4,215,191 | ||||||
ATS Automation Tooling Systems, Inc. | 230,687 | 3,852,777 | ||||||
Capital Power Corp.# | 146,835 | 3,758,216 | ||||||
Descartes Systems Group, Inc. | 126,000 | 7,471,518 | ||||||
Dollarama, Inc. | 36,530 | 1,495,291 | ||||||
Granite Real Estate Investment Trust | 93,915 | 5,535,684 | ||||||
Kinaxis, Inc. | 40,749 | 6,143,256 | ||||||
Quebecor, Inc., Class B | 119,654 | 2,979,603 | ||||||
SSR Mining, Inc. | 328,095 | 6,073,307 | ||||||
TMX Group, Ltd. | 16,018 | 1,576,146 | ||||||
|
| |||||||
44,894,151 | ||||||||
|
| |||||||
Cayman Islands - 3.9% | ||||||||
51job, Inc. ADR | 22,094 | 1,557,627 | ||||||
ASM Pacific Technology, Ltd. | 107,700 | 1,347,805 | ||||||
Burning Rock Biotech, Ltd. ADR | 9,348 | 266,698 | ||||||
China Literature, Ltd.#* | 68,400 | 519,770 | ||||||
China Resources Cement Holdings, Ltd. | 3,550,000 | 4,415,144 | ||||||
Endeavour Mining Corp. | 179,627 | 4,236,525 | ||||||
ESR Cayman, Ltd.* | 145,600 | 438,619 | ||||||
Greentown Service Group Co., Ltd. | 3,186,000 | 3,703,480 | ||||||
Haitian International Holdings, Ltd. | 593,000 | 1,610,446 | ||||||
iClick Interactive Asia Group, Ltd. ADR# | 31,037 | 223,156 | ||||||
Midland IC&I, Ltd. | 2,525,500 | 36,493 | ||||||
Niu Technologies ADR# | 150,931 | 4,500,762 | ||||||
Pacific Textiles Holdings, Ltd. | 1,720,000 | 1,184,975 | ||||||
Shenguan Holdings Group, Ltd. | 572,000 | 19,187 | ||||||
Silicon Motion Technology Corp. ADR | 21,673 | 859,985 | ||||||
Times China Holdings, Ltd. | 939,000 | 1,376,206 | ||||||
Tingyi Cayman Islands Holding Corp. | 756,000 | 1,275,760 | ||||||
|
| |||||||
27,572,638 | ||||||||
|
| |||||||
Chile - 0.1% | ||||||||
Aguas Andinas SA, Class A | 916,107 | 265,730 | ||||||
Compania Cervecerias Unidas SA ADR | 18,996 | 271,833 | ||||||
|
| |||||||
537,563 | ||||||||
|
| |||||||
China - 0.1% | ||||||||
Yunnan Baiyao Group Co., Ltd. | 28,600 | 413,953 | ||||||
|
| |||||||
Colombia - 0.0% | ||||||||
Bancolombia SA ADR | 8,220 | 250,299 | ||||||
|
|
Curacao - 0.1% |
| |||||||
Hunter Douglas NV | 14,327 | 929,694 | ||||||
|
| |||||||
Cyprus - 0.6% |
| |||||||
TCS Group Holding PLC GDR | 141,556 | 4,317,458 | ||||||
|
| |||||||
Denmark - 1.7% |
| |||||||
Carlsberg A/S, Class B | 5,888 | 876,001 | ||||||
Demant A/S# | 12,075 | 454,733 | ||||||
Dfds A/S | 6,669 | 288,553 | ||||||
Jyske Bank A/S | 12,242 | 460,237 | ||||||
Royal Unibrew A/S | 87,936 | 9,193,527 | ||||||
SimCorp A/S | 2,575 | 337,958 | ||||||
|
| |||||||
11,611,009 | ||||||||
|
| |||||||
Faroe Islands - 0.2% |
| |||||||
Bakkafrost P/F | 26,749 | 1,674,838 | ||||||
|
| |||||||
Finland - 1.0% |
| |||||||
Kojamo Oyj | 96,281 | 2,009,855 | ||||||
Tikkurila Oyj | 5,840 | 95,159 | ||||||
Valmet Oyj | 182,575 | 4,619,213 | ||||||
|
| |||||||
6,724,227 | ||||||||
|
| |||||||
France - 2.5% |
| |||||||
Alten SA | 11,116 | 1,184,094 | ||||||
Cie Plastic Omnium SA | 17,235 | 595,382 | ||||||
Gaztransport Et Technigaz SA | 35,301 | 3,482,399 | ||||||
Legrand SA | 26,667 | 2,257,856 | ||||||
LISI | 26,917 | 688,716 | ||||||
SEB SA | 6,549 | 1,165,547 | ||||||
SOITEC | 36,119 | 6,320,506 | ||||||
Somfy SA | 4,770 | 756,756 | ||||||
Verallia SA* | 7,779 | 258,425 | ||||||
Virbac SA | 3,899 | 1,009,251 | ||||||
|
| |||||||
17,718,932 | ||||||||
|
| |||||||
Germany - 6.2% |
| |||||||
Amadeus Fire AG | 7,350 | 1,045,080 | ||||||
CANCOM SE | 18,876 | 1,013,231 | ||||||
CTS Eventim AG & Co. KGaA | 43,538 | 2,635,667 | ||||||
Deutsche Wohnen SE | 13,818 | 692,937 | ||||||
Evotec SE | 112,210 | 3,422,538 | ||||||
flatexDEGIRO | 73,978 | 4,941,703 | ||||||
Fuchs Petrolub SE (Preference Shares) | 2,899 | 165,711 | ||||||
GEA Group AG | 64,745 | 2,217,305 | ||||||
Gerresheimer AG | 21,130 | 2,462,522 | ||||||
Hella GmbH & Co. KGaA | 5,297 | 303,921 | ||||||
HelloFresh SE | 67,069 | 3,942,562 | ||||||
LEG Immobilien AG | 36,189 | 5,156,857 | ||||||
MTU Aero Engines AG | 1,720 | 406,135 | ||||||
Rational AG | 131 | 116,416 | ||||||
Scout24 AG* | 19,658 | 1,503,085 | ||||||
STRATEC SE | 22,459 | 3,102,309 | ||||||
Symrise AG | 35,962 | 4,504,216 | ||||||
TAG Immobilien AG | 191,873 | 5,735,628 | ||||||
|
| |||||||
43,367,823 | ||||||||
|
| |||||||
Greece - 0.2% |
| |||||||
Hellenic Telecommunications Organization SA | 80,765 | 1,345,878 | ||||||
|
| |||||||
Hong Kong - 0.3% |
| |||||||
China Resources Beer Holdings Co., Ltd. | 64,000 | 472,710 | ||||||
Techtronic Industries Co., Ltd. | 146,000 | 1,871,372 | ||||||
|
| |||||||
2,344,082 | ||||||||
|
| |||||||
India - 1.1% |
| |||||||
Bharat Heavy Electricals, Ltd. | 640,579 | 284,582 | ||||||
CESC, Ltd. | 137,194 | 1,078,193 | ||||||
Dabur India, Ltd. | 79,789 | 537,574 | ||||||
Embassy Office Parks REIT | 149,400 | 706,085 | ||||||
Hero MotoCorp, Ltd. | 26,133 | 1,088,636 | ||||||
Mahindra & Mahindra, Ltd. | 173,971 | 1,685,180 | ||||||
MOIL, Ltd. | 269,938 | 447,975 | ||||||
Shriram Transport Finance Co., Ltd. | 95,494 | 1,385,158 | ||||||
Spencers Retail, Ltd. | 32,064 | 35,222 | ||||||
Tata Consumer Products, Ltd. | 92,391 | 670,012 | ||||||
|
| |||||||
7,918,617 | ||||||||
|
| |||||||
Indonesia - 0.6% |
| |||||||
Astra Agro Lestari Tbk PT | 331,200 | 289,096 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 893,200 | 904,587 | ||||||
Kalbe Farma Tbk PT | 14,800,000 | 1,577,479 | ||||||
United Tractors Tbk PT | 1,063,500 | 1,732,330 | ||||||
|
| |||||||
4,503,492 | ||||||||
|
| |||||||
Ireland - 2.0% |
| |||||||
Dalata Hotel Group PLC# | 896,386 | 4,052,475 | ||||||
DCC PLC | 18,650 | 1,412,730 | ||||||
Flutter Entertainment PLC | 14,041 | 2,565,406 | ||||||
Grafton Group PLC | 312,095 | 3,542,832 | ||||||
Greencore Group PLC | 52,614 | 82,137 | ||||||
Hibernia REIT PLC | 191,130 | 260,820 | ||||||
ICON PLC | 1,842 | 358,969 | ||||||
Kerry Group PLC, Class A | 9,188 | 1,286,693 | ||||||
Kingspan Group PLC | 3,496 | 305,051 | ||||||
|
| |||||||
13,867,113 | ||||||||
|
| |||||||
Italy - 1.7% |
| |||||||
Carel Industries SpA* | 7,631 | 159,296 | ||||||
Cembre SpA | 24,090 | 548,853 | ||||||
Cerved Group SpA | 194,287 | 1,550,443 | ||||||
Enav SpA* | 204,289 | 897,740 | ||||||
FinecoBank Banca Fineco SpA | 44,314 | 694,316 | ||||||
Infrastrutture Wireless Italiane SpA* | 55,513 | 714,500 | ||||||
Italgas SpA | 263,992 | 1,694,178 | ||||||
Reply SpA | 50,557 | 5,650,761 | ||||||
|
| |||||||
11,910,087 | ||||||||
|
| |||||||
Japan - 26.2% |
| |||||||
ABC-Mart, Inc. | 8,100 | 422,069 | ||||||
Aeon Delight Co., Ltd. | 12,500 | 315,374 | ||||||
AEON Financial Service Co., Ltd. | 106,000 | 1,155,441 | ||||||
Air Water, Inc. | 33,000 | 543,994 | ||||||
Amano Corp. | 10,341 | 243,073 | ||||||
Anritsu Corp. | 167,700 | 3,821,440 | ||||||
Ariake Japan Co., Ltd. | 6,000 | 397,126 | ||||||
As One Corp. | 7,600 | 1,167,663 | ||||||
Asante, Inc. | 7,200 | 97,034 | ||||||
Asics Corp. | 215,400 | 3,878,851 | ||||||
Azbil Corp. | 34,700 | 1,557,179 |
Bandai Namco Holdings, Inc. | 4,400 | 401,647 | ||||||
Bank of Kyoto, Ltd.# | 14,000 | 698,659 | ||||||
BML, Inc. | 19,100 | 600,077 | ||||||
Capcom Co., Ltd. | 99,800 | 5,620,919 | ||||||
Central Automotive Products, Ltd. | 1,100 | 23,433 | ||||||
Chiba Bank, Ltd. | 107,200 | 607,877 | ||||||
CKD Corp. | 184,200 | 3,925,718 | ||||||
Comture Corp. | 28,200 | 872,471 | ||||||
Cosmos Pharmaceutical Corp.# | 2,500 | 431,034 | ||||||
Daikyonishikawa Corp. | 13,987 | 91,773 | ||||||
Daiseki Co., Ltd. | 79,900 | 2,266,129 | ||||||
Daito Pharmaceutical Co., Ltd. | 16,300 | 565,192 | ||||||
Daiwa Securities Group, Inc. | 321,600 | 1,398,837 | ||||||
Demae-Can Co., Ltd# | 29,500 | 922,581 | ||||||
DeNA Co., Ltd. | 14,300 | 250,661 | ||||||
Doshisha Co., Ltd. | 6,000 | 115,460 | ||||||
Eiken Chemical Co., Ltd. | 31,800 | 590,006 | ||||||
EPS Holdings, Inc. | 39,700 | 364,677 | ||||||
Ezaki Glico Co., Ltd. | 19,100 | 794,919 | ||||||
Fancl Corp.# | 230,400 | 9,346,207 | ||||||
Fuji Seal International, Inc. | 70,200 | 1,302,465 | ||||||
Fuji Soft, Inc.# | 14,300 | 693,084 | ||||||
Fujitec Co., Ltd. | 61,000 | 1,245,709 | ||||||
Fujitsu General, Ltd. | 10,400 | 315,287 | ||||||
Fukuda Denshi Co., Ltd. | 9,200 | 658,276 | ||||||
Fukui Computer Holdings, Inc. | 8,700 | 279,583 | ||||||
Fukushima Galilei Co., Ltd. | 15,300 | 644,095 | ||||||
FULLCAST Holdings Co., Ltd. | 10,700 | 173,516 | ||||||
GungHo Online Entertainment, Inc.# | 13,800 | 350,684 | ||||||
Hamakyorex Co., Ltd. | 4,800 | 134,299 | ||||||
Heian Ceremony Service Co., Ltd.# | 15,300 | 119,293 | ||||||
Hirose Electric Co., Ltd. | 3,700 | 523,103 | ||||||
Hogy Medical Co., Ltd. | 3,400 | 102,912 | ||||||
Iriso Electronics Co., Ltd. | 9,200 | 372,318 | ||||||
Iwatani Corp. | 20,900 | 1,137,088 | ||||||
Japan Elevator Service Holdings Co., Ltd. | 193,100 | 8,998,386 | ||||||
Japan Exchange Group, Inc. | 6,100 | 150,952 | ||||||
Japan Pure Chemical Co., Ltd. | 1,700 | 43,884 | ||||||
JCU Corp. | 21,400 | 755,354 | ||||||
Jeol, Ltd. | 11,800 | 462,845 | ||||||
JGC Holdings Corp. | 10,860 | 97,261 | ||||||
JM Holdings Co., Ltd. | 10,700 | 249,564 | ||||||
Kakaku.com, Inc. | 12,200 | 342,278 | ||||||
Kansai Paint Co., Ltd. | 43,800 | 1,327,845 | ||||||
Katitas Co., Ltd.# | 178,400 | 5,297,318 | ||||||
Kato Sangyo Co., Ltd. | 19,400 | 642,021 | ||||||
Kawai Musical Instruments Manufacturing Co., Ltd. | 5,000 | 129,310 | ||||||
Kenedix, Inc.# | 46,000 | 334,425 | ||||||
KH Neochem Co., Ltd.# | 12,700 | 339,032 | ||||||
Kikkoman Corp. | 5,100 | 317,040 | ||||||
Kintetsu World Express, Inc. | 11,700 | 243,190 | ||||||
Kitanotatsujin Corp.# | 47,900 | 233,535 | ||||||
Kobayashi Pharmaceutical Co., Ltd. | 11,600 | 1,394,444 | ||||||
Koito Manufacturing Co., Ltd. | 27,300 | 1,642,184 | ||||||
Konami Holdings Corp. | 6,900 | 361,523 | ||||||
Kureha Corp. | 3,500 | 177,682 | ||||||
Lion Corp. | 45,700 | 1,080,341 | ||||||
Matsumotokiyoshi Holdings Co., Ltd. | 107,400 | 5,025,374 | ||||||
Media Do Co., Ltd. | 58,800 | 4,224,138 | ||||||
Medipal Holdings Corp. | 32,000 | 601,686 | ||||||
Meitec Corp. | 15,800 | 727,193 | ||||||
Menicon Co., Ltd. | 73,900 | 4,586,897 | ||||||
Milbon Co., Ltd. | 1,700 | 97,050 | ||||||
MISUMI Group, Inc. | 9,500 | 298,012 | ||||||
Mitsubishi Pencil Co., Ltd. | 9,800 | 135,360 | ||||||
MonotaRO Co., Ltd. | 16,500 | 1,006,753 | ||||||
Morinaga & Co., Ltd. | 25,700 | 937,902 | ||||||
Nabtesco Corp. | 29,500 | 1,217,864 | ||||||
Nakanishi, Inc. | 96,300 | 1,962,897 | ||||||
NGK Spark Plug Co., Ltd. | 35,400 | 641,201 | ||||||
Nifco, Inc. | 123,300 | 4,340,302 | ||||||
Nihon Kohden Corp. | 22,000 | 695,402 | ||||||
Nihon Parkerizing Co., Ltd. | 44,300 | 464,641 | ||||||
Nippon Television Holdings, Inc. | 32,400 | 352,862 | ||||||
Nissei ASB Machine Co., Ltd. | 6,400 | 349,425 | ||||||
Nitto Denko Corp. | 6,100 | 504,828 | ||||||
NOF Corp. | 13,500 | 598,707 | ||||||
Nohmi Bosai, Ltd. | 28,600 | 619,941 | ||||||
Nomura Research Institute, Ltd. | 102,100 | 3,447,342 | ||||||
NS Solutions Corp.# | 62,600 | 1,849,818 | ||||||
Obara Group, Inc.# | 5,400 | 175,345 | ||||||
OBIC Business Consultants Co., Ltd. | 3,900 | 276,437 | ||||||
OBIC Co., Ltd. | 38,700 | 8,700,086 | ||||||
Omron Corp. | 8,800 | 794,866 | ||||||
Oracle Corp. Japan | 10,800 | 1,196,897 | ||||||
PALTAC Corp. | 6,300 | 360,862 | ||||||
Park24 Co., Ltd. | 15,100 | 225,054 | ||||||
PCA Corp. | 6,200 | 269,320 | ||||||
Proto Corp. | 48,100 | 485,147 | ||||||
Rakuten, Inc. | 5,000 | 55,987 | ||||||
Rinnai Corp. | 3,800 | 443,333 | ||||||
Ryohin Keikaku Co., Ltd. | 50,800 | 1,044,709 | ||||||
S Foods, Inc. | 35,500 | 1,067,720 | ||||||
Sagami Rubber Industries Co., Ltd. | 11,100 | 144,066 | ||||||
San-A Co, Ltd. | 3,700 | 143,003 | ||||||
San-Ai Oil Co., Ltd. | 80,500 | 889,818 | ||||||
Sankyu, Inc. | 26,400 | 972,299 | ||||||
Santen Pharmaceutical Co., Ltd. | 86,200 | 1,432,538 | ||||||
SCSK Corp. | 12,000 | 716,092 | ||||||
Seino Holdings Co., Ltd. | 156,900 | 2,197,201 | ||||||
Senko Group Holdings Co., Ltd. | 27,700 | 257,366 | ||||||
Seria Co., Ltd. | 7,800 | 274,569 | ||||||
SG Holdings Co., Ltd. | 140,700 | 4,204,828 | ||||||
Shima Seiki Manufacturing, Ltd. | 8,100 | 135,078 | ||||||
Shimadzu Corp. | 26,400 | 949,540 | ||||||
Shimamura Co., Ltd. | 2,300 | 237,931 | ||||||
Shizuoka Bank, Ltd. | 43,300 | 307,745 | ||||||
SK Kaken Co., Ltd.# | 4,700 | 1,710,728 | ||||||
SMS Co., Ltd. | 184,600 | 6,692,634 | ||||||
Softbrain Co., Ltd. | 48,200 | 400,282 | ||||||
Sohgo Security Services Co., Ltd. | 14,300 | 765,680 | ||||||
Stanley Electric Co., Ltd. | 36,800 | 1,082,146 | ||||||
Sundrug Co., Ltd. | 48,000 | 2,013,793 | ||||||
Suzuken Co., Ltd. | 14,300 | 546,523 | ||||||
T Hasegawa Co., Ltd. | 124,500 | 2,399,368 | ||||||
Taisei Lamick Co, Ltd. | 9,300 | 258,690 |
Taiyo Yuden Co., Ltd. | 110,000 | 4,988,985 | ||||||
Takasago International Corp. | 6,900 | 166,552 | ||||||
TechnoPro Holdings, Inc. | 60,800 | 5,124,904 | ||||||
Terumo Corp. | 26,300 | 1,044,694 | ||||||
THK Co., Ltd. | 122,900 | 3,796,480 | ||||||
Toei Co., Ltd.# | 3,100 | 497,069 | ||||||
Toho Co., Ltd. | 17,700 | 749,368 | ||||||
Toshiba TEC Corp. | 8,900 | 319,684 | ||||||
TOTO, Ltd. | 6,100 | 345,316 | ||||||
Trancom Co., Ltd. | 4,000 | 321,073 | ||||||
Tsugami Corp. | 257,700 | 4,072,845 | ||||||
Unicharm Corp. | 37,300 | 1,808,907 | ||||||
USS Co., Ltd. | 93,200 | 1,949,701 | ||||||
Yamato Holdings Co., Ltd. | 65,000 | 1,641,810 | ||||||
Zojirushi Corp. | 7,400 | 133,682 | ||||||
ZOZO, Inc. | 49,200 | 1,227,172 | ||||||
Zuken, Inc. | 21,700 | 549,151 | ||||||
|
| |||||||
183,410,316 | ||||||||
|
| |||||||
Jersey - 0.1% |
| |||||||
Breedon Group PLC# | 737,714 | 808,424 | ||||||
|
| |||||||
Luxembourg - 1.7% |
| |||||||
Allegro.eu SA* | 12,366 | 253,916 | ||||||
B&M European Value Retail SA | 43,829 | 279,240 | ||||||
Befesa SA* | 41,195 | 2,142,481 | ||||||
Eurofins Scientific SE | 1,540 | 125,026 | ||||||
Globant SA | 2,221 | 419,058 | ||||||
Solutions 30 SE# | 223,955 | 4,533,448 | ||||||
Ternium SA ADR | 141,488 | 3,920,632 | ||||||
|
| |||||||
11,673,801 | ||||||||
|
| |||||||
Mauritius - 0.2% |
| |||||||
MakeMyTrip, Ltd. | 47,402 | 1,176,044 | ||||||
|
| |||||||
Mexico - 0.5% |
| |||||||
Arca Continental SAB de CV | 52,625 | 258,539 | ||||||
Concentradora Fibra Danhos SA de CV | 122,350 | 145,111 | ||||||
Genomma Lab Internacional SAB de CV, Class B | 371,311 | 363,774 | ||||||
Gruma SAB de CV, Class B | 32,333 | 357,386 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B | 26,132 | 267,872 | ||||||
Grupo Aeroportuario del Sureste SAB de CV ADR | 1,984 | 296,608 | ||||||
Grupo Cementos de Chihuahua SAB de CV | 96,964 | 507,555 | ||||||
Grupo Financiero Inbursa SAB de CV, Class O | 117,362 | 114,399 | ||||||
Orbia Advance Corp SAB de CV | 254,912 | 526,089 | ||||||
Prologis Property Mexico SA de CV | 103,689 | 222,459 | ||||||
Telesites SAB de CV | 223,900 | 222,014 | ||||||
|
| |||||||
3,281,806 | ||||||||
|
| |||||||
Netherlands - 2.3% |
| |||||||
Aalberts NV | 19,472 | 843,147 | ||||||
ASM International NV | 7,239 | 1,279,282 | ||||||
Davide Campari-Milano NV | 23,698 | 274,032 | ||||||
Euronext NV* | 6,382 | 677,537 | ||||||
IMCD NV | 60,499 | 7,570,241 | ||||||
Just Eat Takeaway.com NV (Euronext Amsterdam)#* | 37,345 | 3,966,465 | ||||||
Just Eat Takeaway.com NV (LSE)* | 3,244 | 344,249 | ||||||
Wolters Kluwer NV | 8,964 | 751,697 | ||||||
|
| |||||||
15,706,650 | ||||||||
|
| |||||||
New Zealand - 0.5% |
| |||||||
Auckland International Airport, Ltd. | 122,935 | 670,652 | ||||||
Freightways, Ltd. | 82,802 | 539,965 | ||||||
Mainfreight, Ltd. | 11,621 | 508,394 | ||||||
Pushpay Holdings, Ltd. | 1,143,488 | 1,431,138 | ||||||
|
| |||||||
3,150,149 | ||||||||
|
| |||||||
Norway - 2.1% |
| |||||||
Scatec ASA* | 186,275 | 5,825,347 | ||||||
TOMRA Systems ASA | 205,557 | 8,847,646 | ||||||
|
| |||||||
14,672,993 | ||||||||
|
| |||||||
Papua New Guinea - 0.1% |
| |||||||
Oil Search, Ltd. | 298,271 | 796,963 | ||||||
|
| |||||||
Peru - 0.0% |
| |||||||
Cia de Minas Buenaventura SAA ADR | 17,143 | 190,287 | ||||||
|
| |||||||
Philippines - 0.4% |
| |||||||
Metropolitan Bank & Trust Co. | 1,206,672 | 1,203,409 | ||||||
Universal Robina Corp. | 450,090 | 1,329,301 | ||||||
|
| |||||||
2,532,710 | ||||||||
|
| |||||||
Portugal - 0.1% |
| |||||||
Galp Energia SGPS SA | 17,527 | 189,084 | ||||||
NOS SGPS SA | 117,492 | 448,481 | ||||||
|
| |||||||
637,565 | ||||||||
|
| |||||||
Russia - 0.1% |
| |||||||
Moscow Exchange MICEX-RTS PJSC | 282,992 | 566,670 | ||||||
|
| |||||||
Singapore - 0.8% |
| |||||||
Ascendas India Trust | 556,500 | 568,471 | ||||||
City Developments, Ltd. | 216,100 | 1,256,817 | ||||||
Mapletree Commercial Trust | 476,100 | 724,187 | ||||||
Singapore Technologies Engineering, Ltd. | 548,600 | 1,578,941 | ||||||
Venture Corp., Ltd. | 120,863 | 1,696,939 | ||||||
|
| |||||||
5,825,355 | ||||||||
|
| |||||||
South Africa - 0.1% |
| |||||||
AVI, Ltd. | 185,579 | 854,781 | ||||||
|
| |||||||
South Korea - 2.8% |
| |||||||
Amorepacific Corp. | 4,422 | 715,321 | ||||||
Doosan Bobcat, Inc. | 25,549 | 693,821 | ||||||
Douzone Bizon Co., Ltd. | 66,917 | 6,379,959 | ||||||
LG Innotek Co., Ltd. | 29,963 | 4,197,067 | ||||||
Lock&Lock Co., Ltd. | 24,321 | 228,583 | ||||||
LS Electric Co., Ltd. | 24,279 | 1,208,958 | ||||||
NHN KCP Corp. | 60,305 | 3,635,031 | ||||||
Orion Corp. | 8,737 | 935,642 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 8,881 | 1,508,859 |
TK Corp. | 36,712 | 225,935 | ||||||
|
| |||||||
19,729,176 | ||||||||
|
| |||||||
Spain - 1.1% |
| |||||||
Amadeus IT Group SA | 28,915 | 1,981,869 | ||||||
Cellnex Telecom SA* | 76,104 | 4,800,483 | ||||||
Viscofan SA | 16,885 | 1,198,406 | ||||||
|
| |||||||
7,980,758 | ||||||||
|
| |||||||
Sweden - 4.2% |
| |||||||
Embracer Group AB | 279,665 | 5,676,839 | ||||||
Essity AB, Class B | 38,415 | 1,217,811 | ||||||
Karnov Group AB | 53,409 | 346,848 | ||||||
LeoVegas AB* | 464,852 | 1,826,477 | ||||||
MIPS AB | 182,165 | 9,145,525 | ||||||
Nordic Entertainment Group AB, Class B | 86,242 | 4,287,515 | ||||||
Saab AB, Series B | 27,577 | 722,791 | ||||||
Swedish Match AB | 16,097 | 1,296,483 | ||||||
Thule Group AB* | 33,635 | 1,132,552 | ||||||
Tobii AB | 564,457 | 3,606,460 | ||||||
|
| |||||||
29,259,301 | ||||||||
|
| |||||||
Switzerland - 1.9% |
| |||||||
Belimo Holding AG | 507 | 4,268,005 | ||||||
DKSH Holding AG | 2,038 | 139,380 | ||||||
Julius Baer Group, Ltd. | 17,407 | 1,004,482 | ||||||
Kardex Holding AG | 4,798 | 937,689 | ||||||
Partners Group Holding AG | 151 | 162,008 | ||||||
SIG Combibloc Group AG | 94,126 | 2,164,769 | ||||||
Sika AG | 8,203 | 2,093,288 | ||||||
Sonova Holding AG | 5,432 | 1,345,522 | ||||||
Straumann Holding AG | 49 | 56,185 | ||||||
Temenos AG | 3,707 | 468,296 | ||||||
VAT Group AG* | 3,340 | 701,262 | ||||||
|
| |||||||
13,340,886 | ||||||||
|
| |||||||
Taiwan - 1.4% |
| |||||||
Advantech Co., Ltd. | 82,571 | 889,371 | ||||||
Chroma ATE, Inc. | 59,000 | 310,499 | ||||||
E.Sun Financial Holding Co., Ltd. | 1,521,186 | 1,342,262 | ||||||
Kindom Development Co., Ltd. | 1,181,000 | 1,557,955 | ||||||
Merida Industry Co., Ltd. | 377,000 | 3,306,728 | ||||||
Tripod Technology Corp. | 324,000 | 1,392,509 | ||||||
Voltronic Power Technology Corp. | 34,675 | 1,063,273 | ||||||
|
| |||||||
9,862,597 | ||||||||
|
| |||||||
Thailand - 0.2% |
| |||||||
AEON Thana Sinsap Thailand PCL | 122,300 | 644,854 | ||||||
PTT Global Chemical PCL | 271,500 | 513,831 | ||||||
|
| |||||||
1,158,685 | ||||||||
|
| |||||||
Turkey - 0.0% |
| |||||||
Selcuk Ecza Deposu Ticaret ve Sanayi AS | 98,697 | 158,269 | ||||||
|
| |||||||
United Kingdom - 13.2% |
| |||||||
4imprint Group PLC | 7,075 | 231,556 | ||||||
Abcam PLC | 244,219 | 4,678,593 | ||||||
Admiral Group PLC | 9,461 | 360,352 | ||||||
Auto Trader Group PLC* | 177,752 | 1,328,454 | ||||||
Babcock International Group PLC | 61,955 | 279,090 | ||||||
Bellway PLC | 26,853 | 1,013,472 | ||||||
Big Yellow Group PLC | 46,258 | 701,792 | ||||||
Britvic PLC | 29,134 | 318,294 | ||||||
Bunzl PLC | 34,420 | 1,082,475 | ||||||
Burberry Group PLC | 25,540 | 588,701 | ||||||
Cairn Energy PLC | 107,177 | 228,470 | ||||||
Coats Group PLC | 237,898 | 207,419 | ||||||
Compass Group PLC | 66,979 | 1,182,240 | ||||||
Countryside Properties PLC* | 895,546 | 5,102,717 | ||||||
Cranswick PLC | 99,788 | 4,578,975 | ||||||
Croda International PLC | 62,972 | 5,000,130 | ||||||
Dechra Pharmaceuticals PLC | 110,128 | 4,941,866 | ||||||
Electrocomponents PLC | 576,899 | 6,225,808 | ||||||
EMIS Group PLC | 21,742 | 283,767 | ||||||
Essentra PLC | 335,044 | 1,362,325 | ||||||
Forterra PLC* | 681,070 | 2,097,408 | ||||||
Frontier Developments PLC | 65,000 | 2,149,038 | ||||||
Future PLC | 281,187 | 6,327,713 | ||||||
Gamesys Group PLC | 224,275 | 3,318,814 | ||||||
GB Group PLC | 423,847 | 4,774,687 | ||||||
Greggs PLC | 79,422 | 1,784,103 | ||||||
Halma PLC | 29,978 | 885,628 | ||||||
Hargreaves Lansdown PLC | 34,235 | 652,658 | ||||||
Helios Towers PLC | 143,508 | 280,472 | ||||||
Howden Joinery Group PLC | 150,725 | 1,267,524 | ||||||
Ibstock PLC* | 203,244 | 527,820 | ||||||
Intertek Group PLC | 21,780 | 1,603,369 | ||||||
Johnson Service Group PLC | 69,847 | 126,638 | ||||||
Keywords Studios PLC | 176,237 | 5,394,461 | ||||||
Marshalls PLC | 38,717 | 365,438 | ||||||
Moneysupermarket.com Group PLC | 242,641 | 791,871 | ||||||
PZ Cussons PLC | 16,196 | 49,121 | ||||||
Rathbone Brothers PLC | 45,947 | 906,563 | ||||||
Rightmove PLC | 171,712 | 1,430,737 | ||||||
Rotork PLC | 377,542 | 1,501,907 | ||||||
S4 Capital PLC | 358,681 | 2,285,680 | ||||||
Sage Group PLC | 29,127 | 234,926 | ||||||
Schroders PLC | 36,254 | 1,555,808 | ||||||
Shaftesbury PLC# | 58,934 | 415,624 | ||||||
Smith & Nephew PLC | 79,762 | 1,542,917 | ||||||
Spirax-Sarco Engineering PLC | 5,617 | 833,823 | ||||||
Tate & Lyle PLC | 19,547 | 166,205 | ||||||
UNITE Group PLC | 265,670 | 3,504,592 | ||||||
Weir Group PLC | 257,875 | 5,758,417 | ||||||
|
| |||||||
92,230,458 | ||||||||
|
| |||||||
United States - 0.0% |
| |||||||
Autoliv, Inc. SDR | 3,229 | 288,531 | ||||||
|
|
Total Long-Term Investment Securities | ||||||||
(cost $534,607,911) | 675,660,407 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT SECURITIES 3.0% |
| |||||||
Registered Investment Companies 1.6% |
| |||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 11,306,246 | 11,306,246 | ||||||
U.S. Government Agencies 1.4% |
| |||||||
Federal Home Loan Bank | $ 9,474,000 | 9,474,000 | ||||||
|
| |||||||
Total Short-Term Investment Securities | ||||||||
(cost $20,780,246) | 20,780,246 | |||||||
|
| |||||||
Repurchase Agreements 1.4% |
| |||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00% dated 11/30/2020, to be repurchased 12/01/2020 in the amount of $9,875,000 and collateralized by $10,112,400 of United States Treasury Notes, bearing interest at 0.25% due 08/31/2025 and having an approximate value of $10,072,541 | 9,875,000 | 9,875,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS | ||||||||
(cost $565,263,157) | 101.0 | % | 706,315,653 | |||||
Liabilities in excess of other assets | (1.0 | ) | (6,774,284 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 699,541,369 | ||||
|
|
|
|
# | The security or a portion thereof is out on loan. |
| Non-income producing security |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At November 30, 2020, the aggregate value of these securities was $35,673,484 representing 5.1% of net assets. |
(1) | Securities classified as Level 3 (see Note 1). |
(2) | At November 30, 2020, the Fund had loaned securities with a total value of $24,201,900. This was secured by collateral of $11,306,246, which was received in cash and subsequently invested in short-term investments currently valued at $11,306,246 as reported in the Portfolio of Investments. Additional collateral of $14,342,504 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Funds assets and liabilities. |
The components of the fixed income pooled securities referenced above are as follows:
Securities | Coupon Range | Maturity Date Range | Value as of November 30, 2020 | |||||||
Federal Home Loan Mtg. Corp. | 1.25% to 3.50% | 02/01/2048 to 11/01/2050 | $ | 41,848 | ||||||
Federal National Mtg. Assoc. | 1.49% to 4.00% | 05/25/2030 to 09/01/2050 | 112,378 | |||||||
Government National Mtg. Assoc. | 2.50% to 2.70% | 09/20/2046 to 05/16/2053 | 3,851 | |||||||
United States Treasury Bills | 0.00% | 12/03/2020 to 07/15/2021 | 1,137,989 | |||||||
United States Treasury Notes/Bonds | 0.13% to 8.13% | 12/31/2020 to 02/15/2050 | 13,046,438 |
(3) | The rate shown is the 7-day yield as of November 30, 2020. |
ADR - American Depositary Receipt
Euronext Amsterdam - Euronext Stock Exchange, Amsterdam
GDR - Global Depositary Receipt
LSE - London Stock Exchange
SDR - Swedish Depositary Receipt
Industry Allocation* | ||||
Machinery-General Industrial | 3.1 | % | ||
Computer Services | 3.1 | |||
Applications Software | 2.5 | |||
Real Estate Operations & Development | 2.4 | |||
Cosmetics & Toiletries | 2.2 | |||
Electronic Components-Misc. | 2.1 | |||
Computers-Integrated Systems | 2.1 | |||
Entertainment Software | 2.1 | |||
E-Commerce/Services | 2.0 | |||
Chemicals-Diversified | 1.9 | |||
Food-Retail | 1.9 | |||
Real Estate Investment Trusts | 1.7 | |||
Building & Construction Products-Misc. | 1.7 | |||
Registered Investment Companies | 1.6 | |||
Recycling | 1.6 | |||
Brewery | 1.5 | |||
Gold Mining | 1.5 | |||
Medical-Drugs | 1.5 | |||
Commercial Services | 1.4 | |||
Chemicals-Specialty | 1.4 | |||
Industrial Automated/Robotic | 1.4 | |||
Repurchase Agreements | 1.4 | |||
Banks-Commercial | 1.4 | |||
U.S. Government Agencies | 1.4 | |||
Athletic Equipment | 1.3 | |||
Auto/Truck Parts & Equipment-Original | 1.2 | |||
Electronic Components-Semiconductors | 1.1 | |||
Building Products-Cement | 1.1 | |||
Retail-Drug Store | 1.1 | |||
Transport-Services | 1.0 | |||
E-Commerce/Products | 1.0 | |||
Electric Products-Misc. | 1.0 | |||
Computer Software | 1.0 | |||
Hotels/Motels | 1.0 | |||
Machinery-Construction & Mining | 0.9 | |||
Advertising Sales | 0.9 | |||
Electronic Parts Distribution | 0.9 | |||
Containers-Paper/Plastic | 0.9 | |||
Building-Residential/Commercial | 0.9 | |||
Precious Metals | 0.9 | |||
Food-Meat Products | 0.9 | |||
Motorcycle/Motor Scooter | 0.9 | |||
Building-Heavy Construction | 0.8 | |||
Veterinary Products | 0.8 | |||
Energy-Alternate Sources | 0.8 | |||
E-Services/Consulting | 0.8 | |||
Medical-Biomedical/Gene | 0.8 | |||
Retail-Apparel/Shoe | 0.8 | |||
Internet Gambling | 0.8 | |||
Medical Labs & Testing Services | 0.8 | |||
Food-Misc./Diversified | 0.7 | |||
Real Estate Management/Services | 0.7 | |||
Internet Brokers | 0.7 | |||
Building Products-Air & Heating | 0.7 | |||
Optical Supplies | 0.7 | |||
Medical Products | 0.7 | |||
Distribution/Wholesale | 0.7 | |||
Investment Management/Advisor Services | 0.6 | |||
Broadcast Services/Program | 0.6 | |||
Airlines | 0.6 | |||
Steel-Producers | 0.6 | |||
Machinery-Material Handling | 0.6 | |||
Athletic Footwear | 0.6 | |||
Coatings/Paint | 0.5 | |||
Finance-Other Services | 0.5 | |||
Electric-Generation | 0.5 | |||
Casino Hotels | 0.5 | |||
Computers-Periphery Equipment | 0.5 | |||
Engineering/R&D Services | 0.5 | |||
Retail-Building Products | 0.5 | |||
Pipelines | 0.5 | |||
Bicycle Manufacturing | 0.5 | |||
Gambling (Non-Hotel) | 0.5 | |||
Insurance-Property/Casualty | 0.5 | |||
Internet Content-Information/News | 0.5 | |||
Electronic Measurement Instruments | 0.4 | |||
Transport-Truck | 0.4 | |||
Diagnostic Equipment | 0.4 | |||
Multimedia | 0.4 | |||
Enterprise Software/Service | 0.4 | |||
Containers-Metal/Glass | 0.4 | |||
Food-Confectionery | 0.4 | |||
Theaters | 0.4 | |||
Semiconductor Equipment | 0.4 | |||
Medical Instruments | 0.4 | |||
Gas-Distribution | 0.4 | |||
Retail-Discount | 0.3 | |||
Advertising Services | 0.3 | |||
Hazardous Waste Disposal | 0.3 | |||
Insurance Brokers | 0.3 | |||
Airport Development/Maintenance | 0.3 | |||
Dental Supplies & Equipment | 0.3 | |||
Retail-Automobile | 0.3 | |||
Medical-Wholesale Drug Distribution | 0.3 | |||
Food-Flour & Grain | 0.3 | |||
Machine Tools & Related Products | 0.2 | |||
Auto-Heavy Duty Trucks | 0.2 | |||
Fisheries | 0.2 | |||
Retail-Auto Parts | 0.2 | |||
Internet Financial Services | 0.2 | |||
Retail-Restaurants | 0.2 | |||
Instruments-Controls | 0.2 | |||
Insurance-Multi-line | 0.2 | |||
Radio | 0.2 | |||
Appliances | 0.2 | |||
Oil Refining & Marketing | 0.2 | |||
Finance-Investment Banker/Broker | 0.2 | |||
Circuit Boards | 0.2 | |||
Textile-Products | 0.2 | |||
Finance-Commercial | 0.2 | |||
Power Converter/Supply Equipment | 0.2 | |||
Telephone-Integrated | 0.2 | |||
Diversified Financial Services | 0.2 | |||
Audio/Video Products | 0.2 | |||
Tobacco | 0.2 | |||
Home Furnishings | 0.2 | |||
Leisure Products | 0.2 | |||
Beverages-Non-alcoholic | 0.2 | |||
Motion Pictures & Services | 0.2 | |||
Human Resources | 0.2 | |||
Machinery-Electrical | 0.2 | |||
Food-Catering | 0.2 | |||
Retail-Propane Distribution | 0.2 | |||
Aerospace/Defense | 0.2 | |||
Retail-Misc./Diversified | 0.2 | |||
Electronic Connectors | 0.2 | |||
Disposable Medical Products | 0.1 | |||
Electric-Integrated | 0.1 | |||
Oil Companies-Exploration & Production | 0.1 | |||
E-Marketing/Info | 0.1 | |||
Consulting Services | 0.1 | |||
Home Decoration Products | 0.1 | |||
Metal Processors & Fabrication | 0.1 | |||
Computers | 0.1 | |||
Miscellaneous Manufacturing | 0.1 |
Diversified Operations | 0.1 | |||
Diversified Manufacturing Operations | 0.1 | |||
Security Services | 0.1 | |||
Publishing-Periodicals | 0.1 | |||
Medical-Hospitals | 0.1 | |||
Schools | 0.1 | |||
Electric-Distribution | 0.1 | |||
Chemicals-Plastics | 0.1 | |||
Aerospace/Defense-Equipment | 0.1 | |||
Explosives | 0.1 | |||
Finance-Consumer Loans | 0.1 | |||
Food-Wholesale/Distribution | 0.1 | |||
Electronic Security Devices | 0.1 | |||
Apparel Manufacturers | 0.1 | |||
Paper & Related Products | 0.1 | |||
Beverages-Wine/Spirits | 0.1 | |||
MRI/Medical Diagnostic Imaging | 0.1 | |||
Electric-Transmission | 0.1 | |||
Diversified Minerals | 0.1 | |||
Instruments-Scientific | 0.1 | |||
Medical-HMO | 0.1 | |||
Cable/Satellite TV | 0.1 | |||
Metal-Iron | 0.1 | |||
Transport-Rail | 0.1 | |||
Non-Hazardous Waste Disposal | 0.1 | |||
Toys | 0.1 | |||
Oil-U.S. Royalty Trusts | 0.1 | |||
Television | 0.1 | |||
Machinery-Thermal Process | 0.1 | |||
Transactional Software | 0.1 | |||
|
| |||
101.0 | % | |||
|
|
* | Calculated as a percentage of net assets |
The following is a summary of the inputs used to value the Funds net assets as of November 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Bermuda | $ | 7,319,206 | $ | | $ | 0 | $ | 7,319,206 | ||||||||
Russia | | 566,670 | | 566,670 | ||||||||||||
Other Countries | 667,774,531 | | | 667,774,531 | ||||||||||||
Short Term Investment Securities: | ||||||||||||||||
Registered Investment Companies | 11,306,246 | | | 11,306,246 | ||||||||||||
U.S. Government Agencies | | 9,474,000 | | 9,474,000 | ||||||||||||
Repurchase Agreements | | 9,875,000 | | 9,875,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 686,399,983 | $ | 19,915,670 | $ | 0 | $ | 706,315,653 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
At the beginning and the end of the reporting period, Level 3 investments in securities were not considered a material portion of the Fund. There were no Level 3 transfers during the reporting period.
See Notes to Portfolio of Investments
VALIC Company II Large Cap Value Fund
PORTFOLIO OF INVESTMENTS - November 30, 2020 - (unaudited)
Security Description | Shares/ Principal Amount | Value (Note 1) | ||||||
COMMON STOCKS - 98.4% |
| |||||||
Aerospace/Defense - 1.7% |
| |||||||
Boeing Co. | 7,611 | $ | 1,603,714 | |||||
Northrop Grumman Corp. | 4,769 | 1,441,478 | ||||||
Raytheon Technologies Corp. | 24,924 | 1,787,549 | ||||||
|
| |||||||
4,832,741 | ||||||||
|
| |||||||
Aerospace/Defense-Equipment - 0.7% |
| |||||||
L3Harris Technologies, Inc. | 11,085 | 2,128,209 | ||||||
|
| |||||||
Agricultural Biotech - 0.6% |
| |||||||
Corteva, Inc. | 43,266 | 1,657,953 | ||||||
|
| |||||||
Agricultural Chemicals - 2.2% |
| |||||||
CF Industries Holdings, Inc. | 105,940 | 3,951,562 | ||||||
Mosaic Co. | 56,767 | 1,246,603 | ||||||
Nutrien, Ltd. | 21,395 | 1,054,132 | ||||||
|
| |||||||
6,252,297 | ||||||||
|
| |||||||
Agricultural Operations - 0.9% |
| |||||||
Archer-Daniels-Midland Co. | 53,515 | 2,663,442 | ||||||
|
| |||||||
Apparel Manufacturers - 0.8% |
| |||||||
PVH Corp. | 13,738 | 1,092,034 | ||||||
VF Corp. | 13,221 | 1,102,631 | ||||||
|
| |||||||
2,194,665 | ||||||||
|
| |||||||
Audio/Video Products - 0.6% |
| |||||||
Dolby Laboratories, Inc., Class A | 21,082 | 1,864,703 | ||||||
|
| |||||||
Auto-Cars/Light Trucks - 1.5% |
| |||||||
General Motors Co. | 100,089 | 4,387,902 | ||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original - 0.2% |
| |||||||
Aptiv PLC | 5,376 | 638,131 | ||||||
|
| |||||||
Banks-Commercial - 1.4% |
| |||||||
M&T Bank Corp. | 11,493 | 1,338,820 | ||||||
Truist Financial Corp. | 57,682 | 2,677,598 | ||||||
|
| |||||||
4,016,418 | ||||||||
|
| |||||||
Banks-Super Regional - 2.8% |
| |||||||
Fifth Third Bancorp | 59,954 | 1,519,234 | ||||||
PNC Financial Services Group, Inc. | 12,108 | 1,671,752 | ||||||
US Bancorp | 82,281 | 3,555,362 | ||||||
Wells Fargo & Co. | 41,695 | 1,140,358 | ||||||
|
| |||||||
7,886,706 | ||||||||
|
| |||||||
Beverages-Non-alcoholic - 1.1% |
| |||||||
PepsiCo, Inc. | 21,572 | 3,111,330 | ||||||
|
| |||||||
Broadcast Services/Program - 0.5% |
| |||||||
Fox Corp., Class B | 51,174 | 1,452,318 | ||||||
|
| |||||||
Building & Construction Products-Misc. - 1.1% |
| |||||||
Builders FirstSource, Inc. | 29,139 | 1,090,090 | ||||||
Louisiana-Pacific Corp. | 59,190 | 2,026,074 | ||||||
|
| |||||||
3,116,164 | ||||||||
|
| |||||||
Building Products-Air & Heating - 1.0% |
| |||||||
Carrier Global Corp. | 74,144 | 2,822,662 | ||||||
|
| |||||||
Building Products-Cement - 1.8% |
| |||||||
Martin Marietta Materials, Inc. | 2,576 | 684,263 | ||||||
Vulcan Materials Co. | 31,098 | 4,342,836 | ||||||
|
| |||||||
5,027,099 | ||||||||
|
| |||||||
Building-Residential/Commercial - 0.4% |
| |||||||
Lennar Corp., Class A | 13,505 | 1,024,489 | ||||||
|
| |||||||
Cable/Satellite TV - 0.6% |
| |||||||
Comcast Corp., Class A | 35,559 | 1,786,484 | ||||||
|
| |||||||
Casino Hotels - 1.2% |
| |||||||
Las Vegas Sands Corp. | 61,527 | 3,427,669 | ||||||
|
| |||||||
Chemicals-Diversified - 0.6% |
| |||||||
DuPont de Nemours, Inc. | 27,349 | 1,735,021 | ||||||
|
| |||||||
Commercial Services - 0.8% |
| |||||||
Quanta Services, Inc. | 35,645 | 2,435,979 | ||||||
|
| |||||||
Commercial Services-Finance - 0.3% |
| |||||||
Global Payments, Inc. | 3,797 | 741,136 | ||||||
|
| |||||||
Computer Data Security - 0.4% |
| |||||||
Check Point Software Technologies, Ltd. | 9,750 | 1,147,380 | ||||||
|
| |||||||
Computer Software - 0.3% |
| |||||||
Citrix Systems, Inc. | 7,759 | 961,495 | ||||||
|
| |||||||
Cosmetics & Toiletries - 0.2% |
| |||||||
Procter & Gamble Co. | 4,528 | 628,803 | ||||||
|
| |||||||
Diagnostic Equipment - 1.1% |
| |||||||
Danaher Corp. | 9,300 | 2,089,059 | ||||||
Thermo Fisher Scientific, Inc. | 2,073 | 963,904 | ||||||
|
| |||||||
3,052,963 | ||||||||
|
| |||||||
Diversified Banking Institutions - 7.5% |
| |||||||
Citigroup, Inc. | 24,762 | 1,363,643 | ||||||
Goldman Sachs Group, Inc. | 23,618 | 5,445,838 | ||||||
JPMorgan Chase & Co. | 75,626 | 8,914,793 | ||||||
Morgan Stanley | 92,844 | 5,740,545 | ||||||
|
| |||||||
21,464,819 | ||||||||
|
| |||||||
Diversified Manufacturing Operations - 2.8% |
| |||||||
3M Co. | 8,166 | 1,410,513 | ||||||
Eaton Corp. PLC | 42,441 | 5,140,030 | ||||||
Trane Technologies PLC | 10,851 | 1,586,850 | ||||||
|
| |||||||
8,137,393 | ||||||||
|
| |||||||
Drug Delivery Systems - 1.1% |
| |||||||
Becton Dickinson and Co. | 12,945 | 3,040,004 | ||||||
|
| |||||||
E-Commerce/Services - 0.7% |
| |||||||
Booking Holdings, Inc. | 979 | 1,985,853 | ||||||
|
| |||||||
Electric-Integrated - 5.4% |
| |||||||
AES Corp. | 87,032 | 1,778,934 | ||||||
Alliant Energy Corp. | 31,153 | 1,638,648 | ||||||
Entergy Corp. | 15,720 | 1,711,122 | ||||||
Evergy, Inc. | 34,822 | 1,929,487 | ||||||
Exelon Corp. | 91,637 | 3,763,531 | ||||||
PPL Corp. | 158,495 | 4,504,428 | ||||||
|
| |||||||
15,326,150 | ||||||||
|
| |||||||
Electronic Components-Misc. - 0.4% |
| |||||||
Hubbell, Inc. | 6,693 | 1,081,522 | ||||||
|
| |||||||
Electronic Components-Semiconductors - 2.2% |
| |||||||
Intel Corp. | 59,234 | 2,863,964 | ||||||
Microchip Technology, Inc. | 12,756 | 1,714,279 | ||||||
Micron Technology, Inc. | 27,855 | 1,785,227 | ||||||
|
| |||||||
6,363,470 | ||||||||
|
| |||||||
Electronic Measurement Instruments - 0.2% |
| |||||||
Agilent Technologies, Inc. | 5,318 | 621,674 | ||||||
|
| |||||||
Energy-Alternate Sources - 0.9% |
| |||||||
NextEra Energy Partners LP | 38,911 | 2,469,681 | ||||||
|
| |||||||
Enterprise Software/Service - 0.6% |
| |||||||
Oracle Corp. | 29,616 | 1,709,436 | ||||||
|
|
Entertainment Software - 0.4% |
| |||||||
Electronic Arts, Inc. | 7,904 | 1,009,736 | ||||||
|
| |||||||
Finance-Auto Loans - 0.6% |
| |||||||
Ally Financial, Inc. | 54,094 | 1,603,887 | ||||||
|
| |||||||
Finance-Credit Card - 1.7% |
| |||||||
Capital One Financial Corp. | 41,330 | 3,539,501 | ||||||
Discover Financial Services | 18,428 | 1,403,661 | ||||||
|
| |||||||
4,943,162 | ||||||||
|
| |||||||
Finance-Investment Banker/Broker - 1.2% |
| |||||||
Charles Schwab Corp. | 72,957 | 3,558,842 | ||||||
|
| |||||||
Food-Confectionery - 1.1% |
| |||||||
J.M. Smucker Co. | 6,727 | 788,404 | ||||||
Mondelez International, Inc., Class A | 41,119 | 2,362,287 | ||||||
|
| |||||||
3,150,691 | ||||||||
|
| |||||||
Food-Meat Products - 0.3% |
| |||||||
Tyson Foods, Inc., Class A | 15,052 | 981,390 | ||||||
|
| |||||||
Independent Power Producers - 0.3% |
| |||||||
Clearway Energy, Inc., Class C | 33,059 | 967,637 | ||||||
|
| |||||||
Instruments-Controls - 0.5% |
| |||||||
Honeywell International, Inc. | 7,213 | 1,470,875 | ||||||
|
| |||||||
Insurance Brokers - 0.6% |
| |||||||
Willis Towers Watson PLC | 8,437 | 1,756,499 | ||||||
|
| |||||||
Insurance-Life/Health - 1.5% |
| |||||||
Voya Financial, Inc. | 75,850 | 4,371,236 | ||||||
|
| |||||||
Insurance-Multi-line - 3.0% |
| |||||||
Chubb, Ltd. | 46,042 | 6,806,389 | ||||||
Hartford Financial Services Group, Inc. | 41,800 | 1,847,560 | ||||||
|
| |||||||
8,653,949 | ||||||||
|
| |||||||
Insurance-Property/Casualty - 4.6% |
| |||||||
Assurant, Inc. | 30,383 | 3,923,053 | ||||||
Berkshire Hathaway, Inc., Class B | 40,483 | 9,266,963 | ||||||
|
| |||||||
13,190,016 | ||||||||
|
| |||||||
Insurance-Reinsurance - 1.3% |
| |||||||
Essent Group, Ltd. | 34,534 | 1,514,661 | ||||||
Reinsurance Group of America, Inc. | 12,273 | 1,414,832 | ||||||
RenaissanceRe Holdings, Ltd. | 4,406 | 725,404 | ||||||
|
| |||||||
3,654,897 | ||||||||
|
| |||||||
Internet Infrastructure Software - 0.4% |
| |||||||
F5 Networks, Inc. | 6,410 | 1,043,612 | ||||||
|
| |||||||
Internet Security - 0.8% |
| |||||||
Proofpoint, Inc. | 21,168 | 2,190,676 | ||||||
|
| |||||||
Investment Management/Advisor Services - 0.8% |
| |||||||
LPL Financial Holdings, Inc. | 23,787 | 2,159,146 | ||||||
|
| |||||||
Machinery-General Industrial - 0.5% |
| |||||||
Otis Worldwide Corp. | 23,061 | 1,543,703 | ||||||
|
| |||||||
Machinery-Pumps - 0.8% |
| |||||||
Ingersoll Rand, Inc. | 53,119 | 2,351,578 | ||||||
|
| |||||||
Medical Information Systems - 0.3% |
| |||||||
Cerner Corp. | 10,836 | 810,966 | ||||||
|
| |||||||
Medical Instruments - 3.4% |
| |||||||
Alcon, Inc. | 31,816 | 2,043,224 | ||||||
Medtronic PLC | 68,560 | 7,795,272 | ||||||
|
| |||||||
9,838,496 | ||||||||
|
| |||||||
Medical Labs & Testing Services - 1.1% |
| |||||||
Laboratory Corp. of America Holdings | 15,305 | 3,058,551 | ||||||
|
| |||||||
Medical-Biomedical/Gene - 0.4% |
| |||||||
Biogen, Inc. | 1,828 | 439,031 | ||||||
Gilead Sciences, Inc. | 9,789 | 593,898 | ||||||
|
| |||||||
1,032,929 | ||||||||
|
| |||||||
Medical-Drugs - 3.8% |
| |||||||
AbbVie, Inc. | 24,132 | 2,523,724 | ||||||
Bristol-Myers Squibb Co. | 44,257 | 2,761,637 | ||||||
Eli Lilly & Co. | 12,459 | 1,814,653 | ||||||
Johnson & Johnson | 11,952 | 1,729,215 | ||||||
Merck & Co., Inc. | 8,820 | 709,040 | ||||||
Pfizer, Inc. | 36,773 | 1,408,774 | ||||||
|
| |||||||
10,947,043 | ||||||||
|
| |||||||
Medical-HMO - 1.7% |
| |||||||
Anthem, Inc. | 5,121 | 1,595,294 | ||||||
Centene Corp. | 25,272 | 1,558,019 | ||||||
Humana, Inc. | 4,337 | 1,737,055 | ||||||
|
| |||||||
4,890,368 | ||||||||
|
| |||||||
Medical-Wholesale Drug Distribution - 0.4% |
| |||||||
McKesson Corp. | 6,371 | 1,146,207 | ||||||
|
| |||||||
Metal-Copper - 1.8% |
| |||||||
Freeport-McMoRan, Inc. | 217,952 | 5,097,897 | ||||||
|
| |||||||
Networking Products - 0.5% |
| |||||||
Cisco Systems, Inc. | 32,616 | 1,403,140 | ||||||
|
| |||||||
Non-Hazardous Waste Disposal - 0.2% |
| |||||||
Republic Services, Inc. | 4,607 | 445,589 | ||||||
|
| |||||||
Office Automation & Equipment - 0.6% |
| |||||||
Zebra Technologies Corp., Class A | 4,387 | 1,660,129 | ||||||
|
| |||||||
Oil Companies-Exploration & Production - 2.3% |
| |||||||
Cabot Oil & Gas Corp. | 75,981 | 1,331,187 | ||||||
ConocoPhillips | 58,188 | 2,301,918 | ||||||
Hess Corp. | 62,707 | 2,958,516 | ||||||
|
| |||||||
6,591,621 | ||||||||
|
| |||||||
Oil Companies-Integrated - 0.3% |
| |||||||
Chevron Corp. | 11,143 | 971,447 | ||||||
|
| |||||||
Oil Refining & Marketing - 2.1% |
| |||||||
Marathon Petroleum Corp. | 108,709 | 4,226,606 | ||||||
Phillips 66 | 27,327 | 1,655,470 | ||||||
|
| |||||||
5,882,076 | ||||||||
|
| |||||||
Real Estate Investment Trusts - 1.6% |
| |||||||
Camden Property Trust | 9,225 | 911,707 | ||||||
Equity Residential | 21,333 | 1,235,607 | ||||||
Public Storage | 7,099 | 1,593,442 | ||||||
Weyerhaeuser Co. | 30,131 | 875,004 | ||||||
|
| |||||||
4,615,760 | ||||||||
|
| |||||||
Retail-Apparel/Shoe - 0.1% |
| |||||||
Ross Stores, Inc. | 4,026 | 432,876 | ||||||
|
| |||||||
Retail-Drug Store - 0.1% |
| |||||||
Walgreens Boots Alliance, Inc. | 10,621 | 403,704 | ||||||
|
|
Semiconductor Components-Integrated Circuits - 2.8% |
| |||||||
Maxim Integrated Products, Inc. | 9,162 | 760,812 | ||||||
NXP Semiconductors NV | 20,475 | 3,243,650 | ||||||
QUALCOMM, Inc. | 27,485 | 4,044,967 | ||||||
|
| |||||||
8,049,429 | ||||||||
|
| |||||||
Semiconductor Equipment - 1.1% |
| |||||||
Applied Materials, Inc. | 37,191 | 3,067,514 | ||||||
|
| |||||||
Telecom Equipment-Fiber Optics - 1.1% |
| |||||||
Corning, Inc. | 84,539 | 3,163,449 | ||||||
|
| |||||||
Tobacco - 0.9% |
| |||||||
Philip Morris International, Inc. | 35,600 | 2,696,700 | ||||||
|
| |||||||
Transport-Rail - 1.7% |
| |||||||
Union Pacific Corp. | 23,519 | 4,799,758 | ||||||
|
| |||||||
Transport-Services - 0.9% |
| |||||||
FedEx Corp. | 5,413 | 1,551,257 | ||||||
United Parcel Service, Inc., Class B | 6,112 | 1,045,580 | ||||||
|
| |||||||
2,596,837 | ||||||||
|
| |||||||
Web Portals/ISP - 2.0% |
| |||||||
Alphabet, Inc., Class A | 3,308 | 5,803,555 | ||||||
|
| |||||||
Wireless Equipment - 0.2% |
| |||||||
Motorola Solutions, Inc. | 2,994 | 513,561 | ||||||
|
| |||||||
Total Common Stocks (cost $251,852,025) | 281,715,295 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS - 0.2% |
| |||||||
iShares Russell 1000 Value ETF | 3,983 | 527,349 | ||||||
|
| |||||||
Total Long-Term Investment Securities |
| |||||||
(cost $252,315,517) | 282,242,644 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT SECURITIES - 1.0% |
| |||||||
Commercial Paper - 1.0% |
| |||||||
Credit Agricole Corporate and Investment Bank | $2,900,000 | 2,899,993 | ||||||
|
| |||||||
TOTAL INVESTMENTS (cost $255,215,517) | 99.6 | % | 285,142,637 | |||||
Other assets less liabilities | 0.4 | 1,231,337 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 286,373,974 | ||||
|
|
|
|
| Non-income producing security |
ETF - Exchange-Traded Funds
The following is a summary of the inputs used to value the Funds net assets as of November 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks | $ | 281,715,295 | $ | | $ | | $ | 281,715,295 | ||||||||
Exchange-Traded Funds | 527,349 | | | 527,349 | ||||||||||||
Short-Term Investment Securities | | 2,899,993 | | 2,899,993 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 282,242,644 | $ | 2,899,993 | $ | | $ | 285,142,637 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of Investments
VALIC Company II Mid Cap Growth Fund
PORTFOLIO OF INVESTMENTS - November 30, 2020 - (unaudited)
Security Description | Shares/ Principal Amount | Value (Note 1) | ||||||
COMMON STOCKS - 99.7% | ||||||||
Aerospace/Defense-Equipment - 0.5% | ||||||||
HEICO Corp., Class A | 12,669 | $ | 1,403,092 | |||||
|
| |||||||
Apparel Manufacturers - 2.6% | ||||||||
Carters, Inc. | 25,592 | 2,277,432 | ||||||
PVH Corp. | 37,797 | 3,004,484 | ||||||
Under Armour, Inc., Class C | 118,148 | 1,719,053 | ||||||
|
| |||||||
7,000,969 | ||||||||
|
| |||||||
Athletic Equipment - 1.4% | ||||||||
YETI Holdings, Inc. | 60,502 | 3,821,911 | ||||||
|
| |||||||
Banks-Commercial - 4.8% | ||||||||
Cullen/Frost Bankers, Inc. | 23,225 | 1,948,810 | ||||||
First Citizens BancShares/Principal Amount, Inc., Class A | 4,158 | 2,197,877 | ||||||
First Republic Bank | 24,024 | 3,112,550 | ||||||
M&T Bank Corp. | 17,708 | 2,062,805 | ||||||
Prosperity BancShares/Principal Amount, Inc. | 32,781 | 2,059,630 | ||||||
South State Corp. | 21,690 | 1,441,734 | ||||||
|
| |||||||
12,823,406 | ||||||||
|
| |||||||
Building Products-Air & Heating - 1.5% | ||||||||
Lennox International, Inc. | 13,788 | 3,968,600 | ||||||
|
| |||||||
Building-Residential/Commercial - 1.6% | ||||||||
NVR, Inc. | 1,027 | 4,105,104 | ||||||
|
| |||||||
Cable/Satellite TV - 1.4% | ||||||||
Cable One, Inc. | 1,813 | 3,590,955 | ||||||
|
| |||||||
Chemicals-Specialty - 0.7% | ||||||||
Element Solutions, Inc. | 138,363 | 1,910,793 | ||||||
|
| |||||||
Commercial Services - 0.3% | ||||||||
LiveRamp Holdings, Inc. | 13,550 | 792,810 | ||||||
|
| |||||||
Commercial Services-Finance - 2.1% | ||||||||
WEX, Inc. | 31,558 | 5,467,108 | ||||||
|
| |||||||
Computer Aided Design - 0.8% | ||||||||
Aspen Technology, Inc. | 16,396 | 2,204,442 | ||||||
|
| |||||||
Computer Services - 2.9% | ||||||||
Genpact, Ltd. | 138,047 | 5,611,611 | ||||||
Science Applications International Corp. | 23,584 | 2,182,463 | ||||||
|
| |||||||
7,794,074 | ||||||||
|
| |||||||
Computer Software - 1.3% | ||||||||
Teradata Corp. | 153,840 | 3,373,711 | ||||||
|
| |||||||
Computers-Other - 1.6% | ||||||||
Lumentum Holdings, Inc. | 48,779 | 4,213,530 | ||||||
|
| |||||||
Containers-Metal/Glass - 0.9% | ||||||||
Ball Corp. | 8,111 | 778,737 | ||||||
Silgan Holdings, Inc. | 44,404 | 1,500,855 | ||||||
|
| |||||||
2,279,592 | ||||||||
|
| |||||||
Containers-Paper/Plastic - 0.5% | ||||||||
Packaging Corp. of America | 9,609 | 1,249,170 | ||||||
|
| |||||||
Disposable Medical Products - 1.1% | ||||||||
Teleflex, Inc. | 7,821 | 2,993,488 | ||||||
|
| |||||||
Distribution/Wholesale - 4.3% | ||||||||
Fastenal Co. | 39,677 | 1,962,028 | ||||||
IAA, Inc. | 60,190 | 3,606,585 | ||||||
KAR Auction Services, Inc. | 201,763 | 3,641,822 | ||||||
Watsco, Inc. | 9,261 | 2,105,581 | ||||||
|
| |||||||
11,316,016 | ||||||||
|
| |||||||
E-Commerce/Products - 1.9% | ||||||||
Etsy, Inc. | 31,774 | 5,106,082 | ||||||
|
| |||||||
E-Commerce/Services - 0.6% | ||||||||
Cargurus, Inc.# | 62,855 | 1,574,518 | ||||||
|
| |||||||
E-Services/Consulting - 1.2% | ||||||||
CDW Corp. | 23,500 | 3,066,515 | ||||||
|
| |||||||
Electric-Integrated - 0.6% | ||||||||
Black Hills Corp. | 27,956 | 1,700,563 | ||||||
|
| |||||||
Electronic Components-Misc. - 1.6% | ||||||||
Flex, Ltd. | 258,221 | 4,190,927 | ||||||
|
| |||||||
Electronic Components-Semiconductors - 1.8% | ||||||||
Monolithic Power Systems, Inc. | 4,868 | 1,557,565 | ||||||
Silicon Laboratories, Inc. | 26,428 | 3,097,626 | ||||||
|
| |||||||
4,655,191 | ||||||||
|
| |||||||
Electronic Measurement Instruments - 0.8% | ||||||||
National Instruments Corp. | 57,039 | 2,134,970 | ||||||
|
| |||||||
Energy-Alternate Sources - 1.7% | ||||||||
First Solar, Inc. | 49,038 | 4,581,620 | ||||||
|
| |||||||
Enterprise Software/Service - 2.5% | ||||||||
Black Knight, Inc. | 18,911 | 1,732,626 | ||||||
Blackbaud, Inc. | 28,875 | 1,590,724 | ||||||
Guidewire Software, Inc. | 26,347 | 3,226,980 | ||||||
|
| |||||||
6,550,330 | ||||||||
|
| |||||||
Entertainment Software - 0.9% | ||||||||
Zynga, Inc., Class A | 279,617 | 2,306,840 | ||||||
|
| |||||||
Finance-Auto Loans - 0.9% | ||||||||
Credit Acceptance Corp.# | 8,140 | 2,429,627 | ||||||
|
| |||||||
Firearms & Ammunition - 0.8% | ||||||||
Axon Enterprise, Inc. | 16,760 | 2,106,564 | ||||||
|
| |||||||
Food-Catering - 0.1% | ||||||||
Healthcare Services Group, Inc. | 13,660 | 323,332 | ||||||
|
| |||||||
Food-Misc./Diversified - 1.2% | ||||||||
Lamb Weston Holdings, Inc. | 42,092 | 3,046,619 | ||||||
|
| |||||||
Food-Wholesale/Distribution - 0.9% | ||||||||
Performance Food Group Co. | 54,255 | 2,353,582 | ||||||
|
| |||||||
Gas-Distribution - 1.7% | ||||||||
NiSource, Inc. | 33,751 | 816,774 | ||||||
UGI Corp. | 105,914 | 3,757,829 | ||||||
|
| |||||||
4,574,603 | ||||||||
|
| |||||||
Healthcare Safety Devices - 0.1% | ||||||||
Tandem Diabetes Care, Inc. | 4,178 | 392,231 | ||||||
|
| |||||||
Hotels/Motels - 1.8% | ||||||||
Choice Hotels International, Inc. | 35,571 | 3,544,650 | ||||||
Hyatt Hotels Corp., Class A | 18,544 | 1,334,612 | ||||||
|
| |||||||
4,879,262 | ||||||||
|
| |||||||
Instruments-Controls - 0.1% | ||||||||
Mettler-Toledo International, Inc. | 119 | 136,855 | ||||||
|
| |||||||
Insurance-Property/Casualty - 4.0% | ||||||||
Alleghany Corp. | 2,222 | 1,278,094 | ||||||
Erie Indemnity Co., Class A | 5,659 | 1,276,727 | ||||||
Fidelity National Financial, Inc. | 44,447 | 1,599,648 | ||||||
Markel Corp. | 3,201 | 3,117,230 | ||||||
White Mountains Insurance Group, Ltd. | 1,873 | 1,798,080 | ||||||
WR Berkley Corp. | 22,163 | 1,443,476 | ||||||
|
| |||||||
10,513,255 | ||||||||
|
|
Internet Content-Entertainment - 1.4% | ||||||||
Roku, Inc. | 12,880 | 3,781,182 | ||||||
|
| |||||||
Internet Infrastructure Software - 1.7% | ||||||||
F5 Networks, Inc. | 27,957 | 4,551,679 | ||||||
|
| |||||||
Investment Management/Advisor Services - 0.4% | ||||||||
Hamilton Lane, Inc., Class A | 15,872 | 1,109,135 | ||||||
|
| |||||||
Lasers-System/Components - 3.8% | ||||||||
Coherent, Inc. | 28,681 | 3,492,772 | ||||||
II-VI, Inc.# | 96,790 | 6,547,844 | ||||||
|
| |||||||
10,040,616 | ||||||||
|
| |||||||
Machine Tools & Related Products - 1.1% | ||||||||
Lincoln Electric Holdings, Inc. | 26,159 | 3,008,285 | ||||||
|
| |||||||
Machinery-General Industrial - 2.0% | ||||||||
IDEX Corp. | 22,446 | 4,335,445 | ||||||
Middleby Corp. | 6,427 | 874,008 | ||||||
|
| |||||||
5,209,453 | ||||||||
|
| |||||||
Machinery-Pumps - 2.8% | ||||||||
Graco, Inc. | 20,129 | 1,363,538 | ||||||
Ingersoll Rand, Inc. | 137,377 | 6,081,680 | ||||||
|
| |||||||
7,445,218 | ||||||||
|
| |||||||
Medical Instruments - 2.3% | ||||||||
Integra LifeSciences Holdings Corp. | 62,638 | 3,428,178 | ||||||
NuVasive, Inc. | 55,850 | 2,586,972 | ||||||
|
| |||||||
6,015,150 | ||||||||
|
| |||||||
Medical Products - 1.6% | ||||||||
Hill-Rom Holdings, Inc. | 45,706 | 4,335,671 | ||||||
|
| |||||||
Medical-Biomedical/Gene - 5.7% | ||||||||
Allakos, Inc. | 1,359 | 145,454 | ||||||
Apellis Pharmaceuticals, Inc. | 46,730 | 2,202,852 | ||||||
ChemoCentryx, Inc. | 49,273 | 2,717,406 | ||||||
Iovance Biotherapeutics, Inc. | 57,860 | 2,245,546 | ||||||
Kodiak Sciences, Inc. | 11,070 | 1,512,937 | ||||||
PTC Therapeutics, Inc. | 62,640 | 3,919,385 | ||||||
Sage Therapeutics, Inc. | 31,154 | 2,308,200 | ||||||
|
| |||||||
15,051,780 | ||||||||
|
| |||||||
Medical-Drugs - 2.6% | ||||||||
PRA Health Sciences, Inc. | 28,668 | 3,216,550 | ||||||
Reata Pharmaceuticals, Inc., Class A# | 23,539 | 3,595,582 | ||||||
|
| |||||||
6,812,132 | ||||||||
|
| |||||||
Medical-HMO - 1.0% | ||||||||
Molina Healthcare, Inc. | 13,037 | 2,661,243 | ||||||
|
| |||||||
Medical-Outpatient/Home Medical - 2.4% | ||||||||
Amedisys, Inc. | 13,712 | 3,356,560 | ||||||
LHC Group, Inc. | 15,296 | 3,002,911 | ||||||
|
| |||||||
6,359,471 | ||||||||
|
| |||||||
Non-Hazardous Waste Disposal - 1.2% | ||||||||
GFL Environmental, Inc. | 120,125 | 3,258,991 | ||||||
|
| |||||||
Oil Companies-Exploration & Production - 0.2% | ||||||||
Cabot Oil & Gas Corp. | 23,244 | 407,235 | ||||||
|
| |||||||
Physical Therapy/Rehabilitation Centers - 1.7% | ||||||||
Encompass Health Corp. | 56,461 | 4,549,627 | ||||||
|
| |||||||
Real Estate Investment Trusts - 4.2% | ||||||||
Douglas Emmett, Inc. | 42,330 | 1,310,960 | ||||||
Equity Commonwealth | 48,135 | 1,276,059 | ||||||
Life Storage, Inc. | 12,059 | 1,323,114 | ||||||
PS Business Parks, Inc. | 6,588 | 868,298 | ||||||
Rexford Industrial Realty, Inc. | 53,623 | 2,569,614 | ||||||
STORE Capital Corp. | 112,126 | 3,650,823 | ||||||
|
| |||||||
10,998,868 | ||||||||
|
| |||||||
Real Estate Management/Services - 0.9% | ||||||||
Redfin Corp. | 49,741 | 2,382,096 | ||||||
|
| |||||||
Rental Auto/Equipment - 0.9% | ||||||||
AMERCO | 5,716 | 2,367,739 | ||||||
|
| |||||||
Retail-Automobile - 0.9% | ||||||||
CarMax, Inc. | 26,340 | 2,462,263 | ||||||
|
| |||||||
Semiconductor Equipment - 1.7% | ||||||||
MKS Instruments, Inc. | 32,789 | 4,524,226 | ||||||
|
| |||||||
Telecommunication Equipment - 1.4% | ||||||||
CommScope Holding Co., Inc. | 306,796 | 3,635,533 | ||||||
|
| |||||||
Transport-Truck - 1.2% | ||||||||
Knight-Swift Transportation Holdings, Inc. | 77,762 | 3,210,793 | ||||||
|
| |||||||
Web Hosting/Design - 1.1% | ||||||||
Q2 Holdings, Inc.# | 26,511 | 3,005,552 | ||||||
|
| |||||||
Total Long-Term Investment Securities | 264,116,195 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT SECURITIES - 0.0% | ||||||||
Registered Investment Companies - 0.0% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 76,743 | 76,743 | ||||||
|
| |||||||
REPURCHASE AGREEMENTS - 0.4% | ||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00% dated 11/30/2020, to be repurchased 12/01/2020 in the amount of $908,000 and collateralized by $929,900 of United States Treasury Notes, bearing interest at 0.25% due 08/31/2025 and having an approximate value of $926,235 | $908,000 | 908,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS | 100.1 | % | 265,100,938 | |||||
Liabilities in excess of other assets | (0.1 | ) | (178,300 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 264,922,638 | ||||
|
|
|
|
| Non-income producing security |
# | The security or a portion thereof is out on loan. |
(1) | At November 30, 2020, the Fund had loaned securities with a total value of $15,101,889. This was secured by collateral of $76,743, which was received in cash and subsequently invested in short-term investments currently valued at $76,743 as reported in the Portfolio of Investments. Additional collateral of $15,395,583 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Funds assets and liabilities. |
The components of the fixed income pooled securities referenced above are as follows:
Securities | Coupon Range | Maturity Date Range | Value as of November 30, 2020 | |||||
Federal Home Loan Mtg. Corp. | 1.25% to 3.50% | 02/01/2048 to 11/01/2050 | $ | 602,311 | ||||
Federal National Mtg. Assoc. | 1.49% to 4.00% | 05/25/2030 to 09/01/2050 | 1,617,452 | |||||
Government National Mtg. Assoc. | 2.50% to 2.70% | 09/20/2046 to 05/16/2053 | 55,435 | |||||
United States Treasury Bills | 0.00% | 12/03/2020 to 07/15/2021 | 584,140 | |||||
United States Treasury Notes/Bonds | 0.13% to 8.13% | 12/31/2020 to 02/15/2050 | 12,536,245 |
(2) | The rate shown is the 7-day yield as of November 30, 2020. |
The following is a summary of the inputs used to value the Funds net assets as of November 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks | $ | 264,116,195 | $ | | $ | | $ | 264,116,195 | ||||||||
Short-Term Investment Securities | 76,743 | | | 76,743 | ||||||||||||
Repurchase Agreements | | 908,000 | | 908,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 264,192,938 | $ | 908,000 | $ | | $ | 265,100,938 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of Investments
VALIC Company II Mid Cap Value Fund
PORTFOLIO OF INVESTMENTS - November 30, 2020 - (unaudited)
Security Description | Shares/ Principal Amount | Value (Note 1) | ||||||
COMMON STOCKS - 98.7% |
| |||||||
Aerospace/Defense-Equipment - 1.9% |
| |||||||
Hexcel Corp. | 60,249 | $ | 2,983,531 | |||||
Howmet Aerospace, Inc. | 162,318 | 3,807,980 | ||||||
L3Harris Technologies, Inc. | 25,699 | 4,933,951 | ||||||
Moog, Inc., Class A | 42,489 | 3,286,949 | ||||||
|
| |||||||
15,012,411 | ||||||||
|
| |||||||
Agricultural Biotech - 0.4% |
| |||||||
Corteva, Inc. | 90,696 | 3,475,471 | ||||||
|
| |||||||
Agricultural Chemicals - 0.3% |
| |||||||
Mosaic Co. | 108,962 | 2,392,806 | ||||||
|
| |||||||
Airlines - 0.7% |
| |||||||
Alaska Air Group, Inc. | 58,112 | 2,961,969 | ||||||
Southwest Airlines Co. | 61,841 | 2,865,712 | ||||||
|
| |||||||
5,827,681 | ||||||||
|
| |||||||
Apparel Manufacturers - 1.3% |
| |||||||
Carters, Inc.# | 66,434 | 5,911,961 | ||||||
Columbia Sportswear Co. | 59,062 | 4,838,950 | ||||||
|
| |||||||
10,750,911 | ||||||||
|
| |||||||
Appliances - 0.6% |
| |||||||
Whirlpool Corp. | 22,774 | 4,432,048 | ||||||
|
| |||||||
Auto-Heavy Duty Trucks - 0.7% |
| |||||||
Cummins, Inc. | 13,119 | 3,032,719 | ||||||
PACCAR, Inc. | 28,863 | 2,512,813 | ||||||
|
| |||||||
5,545,532 | ||||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original - 1.8% |
| |||||||
Allison Transmission Holdings, Inc. | 33,335 | 1,368,402 | ||||||
Gentex Corp. | 217,183 | 7,080,166 | ||||||
Lear Corp. | 17,746 | 2,536,790 | ||||||
Meritor, Inc. | 135,588 | 3,579,523 | ||||||
|
| |||||||
14,564,881 | ||||||||
|
| |||||||
Banks-Commercial - 5.4% |
| |||||||
Atlantic Union Bankshares Corp. | 194,523 | 5,818,183 | ||||||
BancorpSouth Bank | 157,165 | 3,984,133 | ||||||
East West Bancorp, Inc. | 82,889 | 3,541,018 | ||||||
South State Corp. | 85,769 | 5,701,066 | ||||||
Synovus Financial Corp. | 202,068 | 6,379,287 | ||||||
Truist Financial Corp. | 124,572 | 5,782,632 | ||||||
Western Alliance Bancorp | 131,805 | 6,757,642 | ||||||
Zions Bancorp NA | 145,431 | 5,612,182 | ||||||
|
| |||||||
43,576,143 | ||||||||
|
| |||||||
Banks-Fiduciary - 0.2% |
| |||||||
State Street Corp. | 25,885 | 1,824,375 | ||||||
|
| |||||||
Banks-Super Regional - 2.6% |
| |||||||
Fifth Third Bancorp | 278,553 | 7,058,533 | ||||||
Huntington Bancshares, Inc. | 631,089 | 7,623,555 | ||||||
KeyCorp | 389,979 | 6,029,075 | ||||||
|
| |||||||
20,711,163 | ||||||||
|
| |||||||
Batteries/Battery Systems - 0.6% |
| |||||||
EnerSys | 56,056 | 4,585,941 | ||||||
|
| |||||||
Beverages-Non-alcoholic - 0.4% |
| |||||||
Coca-Cola European Partners PLC | 77,320 | 3,454,658 | ||||||
|
| |||||||
Building & Construction Products-Misc. - 0.9% |
| |||||||
Fortune Brands Home & Security, Inc. | 43,690 | 3,648,115 | ||||||
Owens Corning | 49,936 | 3,638,836 | ||||||
|
| |||||||
7,286,951 | ||||||||
|
| |||||||
Building Products-Cement - 0.5% |
| |||||||
Buzzi Unicem SpA | 89,802 | 2,186,326 | ||||||
Eagle Materials, Inc. | 21,931 | 1,995,502 | ||||||
|
| |||||||
4,181,828 | ||||||||
|
| |||||||
Building Products-Doors & Windows - 0.9% |
| |||||||
JELD-WEN Holding, Inc. | 202,532 | 4,899,249 | ||||||
PGT Innovations, Inc. | 133,411 | 2,484,113 | ||||||
|
| |||||||
7,383,362 | ||||||||
|
| |||||||
Building Products-Wood - 0.4% |
| |||||||
Masco Corp. | 56,650 | 3,040,406 | ||||||
|
| |||||||
Building-Heavy Construction - 0.3% |
| |||||||
MasTec, Inc. | 39,175 | 2,221,614 | ||||||
|
| |||||||
Building-Residential/Commercial - 0.4% |
| |||||||
Lennar Corp., Class A | 46,829 | 3,552,448 | ||||||
|
| |||||||
Cable/Satellite TV - 0.5% |
| |||||||
Altice USA, Inc., Class A | 111,037 | 3,766,375 | ||||||
|
| |||||||
Casino Hotels - 0.6% |
| |||||||
Las Vegas Sands Corp. | 43,224 | 2,408,009 | ||||||
Wynn Resorts, Ltd. | 20,659 | 2,076,230 | ||||||
|
| |||||||
4,484,239 | ||||||||
|
| |||||||
Chemicals-Diversified - 2.7% |
| |||||||
Celanese Corp. | 52,638 | 6,807,672 | ||||||
DuPont de Nemours, Inc. | 47,516 | 3,014,415 | ||||||
FMC Corp. | 83,484 | 9,684,979 | ||||||
PPG Industries, Inc. | 16,926 | 2,484,229 | ||||||
|
| |||||||
21,991,295 | ||||||||
|
| |||||||
Chemicals-Specialty - 0.7% |
| |||||||
Ingevity Corp. | 28,237 | 1,880,019 | ||||||
Rogers Corp. | 25,592 | 3,759,721 | ||||||
|
| |||||||
5,639,740 | ||||||||
|
| |||||||
Commercial Services-Finance - 0.3% |
| |||||||
EVERTEC, Inc. | 64,838 | 2,410,028 | ||||||
|
| |||||||
Computer Services - 2.3% |
| |||||||
Amdocs, Ltd. | 94,996 | 6,251,687 | ||||||
Leidos Holdings, Inc. | 84,621 | 8,521,335 | ||||||
Science Applications International Corp. | 38,627 | 3,574,542 | ||||||
|
| |||||||
18,347,564 | ||||||||
|
| |||||||
Computers-Memory Devices - 0.3% |
| |||||||
Western Digital Corp. | 60,011 | 2,693,294 | ||||||
|
| |||||||
Computers-Other - 0.9% |
| |||||||
Lumentum Holdings, Inc. | 86,794 | 7,497,266 | ||||||
|
| |||||||
Containers-Metal/Glass - 0.7% |
| |||||||
Crown Holdings, Inc. | 63,348 | 5,970,549 | ||||||
|
| |||||||
Cruise Lines - 0.2% |
| |||||||
Norwegian Cruise Line Holdings, Ltd. | 79,515 | 1,818,508 | ||||||
|
| |||||||
Dental Supplies & Equipment - 0.5% |
| |||||||
DENTSPLY SIRONA, Inc. | 85,102 | 4,330,841 | ||||||
|
| |||||||
Diagnostic Equipment - 0.4% |
| |||||||
Avantor, Inc. | 131,151 | 3,577,799 | ||||||
|
| |||||||
Distribution/Wholesale - 0.5% |
| |||||||
HD Supply Holdings, Inc. | 40,234 | 2,244,253 | ||||||
LKQ Corp. | 58,751 | 2,069,210 | ||||||
|
| |||||||
4,313,463 | ||||||||
|
| |||||||
Diversified Manufacturing Operations - 2.6% |
| |||||||
Eaton Corp. PLC | 50,660 | 6,135,433 |
ITT, Inc. | 54,619 | 3,966,978 | ||||||
Parker-Hannifin Corp. | 17,846 | 4,769,522 | ||||||
Textron, Inc. | 95,877 | 4,324,053 | ||||||
Trane Technologies PLC | 9,869 | 1,443,242 | ||||||
|
| |||||||
20,639,228 | ||||||||
|
| |||||||
E-Commerce/Products - 0.4% |
| |||||||
eBay, Inc. | 55,328 | 2,790,191 | ||||||
|
| |||||||
E-Commerce/Services - 0.4% |
| |||||||
Expedia Group, Inc. | 26,016 | 3,238,732 | ||||||
|
| |||||||
Electric Products-Misc. - 1.0% |
| |||||||
AMETEK, Inc. | 64,463 | 7,640,799 | ||||||
|
| |||||||
Electric-Integrated - 3.8% |
| |||||||
Alliant Energy Corp. | 46,427 | 2,442,060 | ||||||
American Electric Power Co., Inc. | 24,839 | 2,108,583 | ||||||
CenterPoint Energy, Inc. | 237,868 | 5,516,159 | ||||||
DTE Energy Co. | 38,533 | 4,847,837 | ||||||
Edison International | 73,824 | 4,529,840 | ||||||
Entergy Corp. | 49,215 | 5,357,053 | ||||||
Evergy, Inc. | 62,947 | 3,487,893 | ||||||
Portland General Electric Co. | 54,776 | 2,266,631 | ||||||
|
| |||||||
30,556,056 | ||||||||
|
| |||||||
Electronic Components-Misc. - 0.5% |
| |||||||
Flex, Ltd. | 128,121 | 2,079,404 | ||||||
Hubbell, Inc. | 12,658 | 2,045,406 | ||||||
|
| |||||||
4,124,810 | ||||||||
|
| |||||||
Electronic Components-Semiconductors - 1.6% |
| |||||||
ON Semiconductor Corp. | 121,728 | 3,499,680 | ||||||
Qorvo, Inc. | 40,182 | 6,295,716 | ||||||
Tower Semiconductor, Ltd. | 110,774 | 2,709,532 | ||||||
|
| |||||||
12,504,928 | ||||||||
|
| |||||||
Electronic Connectors - 0.8% |
| |||||||
TE Connectivity, Ltd. | 59,608 | 6,793,524 | ||||||
|
| |||||||
Enterprise Software/Service - 0.5% |
| |||||||
SS&C Technologies Holdings, Inc. | 56,016 | 3,858,942 | ||||||
|
| |||||||
Entertainment Software - 0.2% |
| |||||||
Electronic Arts, Inc. | 13,051 | 1,667,265 | ||||||
|
| |||||||
Finance-Consumer Loans - 0.9% |
| |||||||
SLM Corp. | 552,739 | 5,864,561 | ||||||
Synchrony Financial | 53,172 | 1,620,151 | ||||||
|
| |||||||
7,484,712 | ||||||||
|
| |||||||
Finance-Credit Card - 0.6% |
| |||||||
Discover Financial Services | 59,400 | 4,524,498 | ||||||
|
| |||||||
Finance-Leasing Companies - 0.1% |
| |||||||
AerCap Holdings NV | 16,607 | 610,473 | ||||||
|
| |||||||
Financial Guarantee Insurance - 0.5% |
| |||||||
MGIC Investment Corp. | 337,008 | 4,030,616 | ||||||
|
| |||||||
Food-Meat Products - 0.2% |
| |||||||
Tyson Foods, Inc., Class A | 24,272 | 1,582,534 | ||||||
|
| |||||||
Food-Misc./Diversified - 1.1% |
| |||||||
Nomad Foods, Ltd. | 92,569 | 2,235,541 | ||||||
Post Holdings, Inc. | 36,543 | 3,451,852 | ||||||
Simply Good Foods Co. | 143,791 | 3,126,016 | ||||||
|
| |||||||
8,813,409 | ||||||||
|
| |||||||
Food-Wholesale/Distribution - 0.8% |
| |||||||
US Foods Holding Corp. | 192,548 | 6,061,411 | ||||||
|
| |||||||
Footwear & Related Apparel - 0.8% |
| |||||||
Steven Madden, Ltd. | 196,695 | 6,189,992 | ||||||
|
| |||||||
Gambling (Non-Hotel) - 0.1% |
| |||||||
International Game Technology PLC# | 80,095 | 1,008,396 | ||||||
|
| |||||||
Hazardous Waste Disposal - 1.0% |
| |||||||
Clean Harbors, Inc. | 107,988 | 7,815,092 | ||||||
|
| |||||||
Home Furnishings - 0.5% |
| |||||||
Leggett & Platt, Inc. | 57,409 | 2,474,328 | ||||||
Tempur Sealy International, Inc. | 46,632 | 1,174,660 | ||||||
|
| |||||||
3,648,988 | ||||||||
|
| |||||||
Hotels/Motels - 1.6% |
| |||||||
Marriott International, Inc., Class A | 20,682 | 2,623,925 | ||||||
Wyndham Destinations, Inc. | 44,901 | 1,888,536 | ||||||
Wyndham Hotels & Resorts, Inc. | 143,118 | 8,229,285 | ||||||
|
| |||||||
12,741,746 | ||||||||
|
| |||||||
Human Resources - 0.7% |
| |||||||
ASGN, Inc. | 38,275 | 2,992,339 | ||||||
Robert Half International, Inc. | 47,009 | 3,017,038 | ||||||
|
| |||||||
6,009,377 | ||||||||
|
| |||||||
Independent Power Producers - 0.3% |
| |||||||
Vistra Corp. | 107,492 | 2,007,951 | ||||||
|
| |||||||
Insurance Brokers - 0.6% |
| |||||||
Aon PLC, Class A | 17,999 | 3,687,815 | ||||||
Willis Towers Watson PLC | 6,622 | 1,378,634 | ||||||
|
| |||||||
5,066,449 | ||||||||
|
| |||||||
Insurance-Life/Health - 2.2% |
| |||||||
Aflac, Inc. | 39,840 | 1,750,171 | ||||||
CNO Financial Group, Inc. | 296,069 | 6,300,348 | ||||||
Globe Life, Inc. | 31,083 | 2,893,827 | ||||||
Voya Financial, Inc. | 121,339 | 6,992,767 | ||||||
|
| |||||||
17,937,113 | ||||||||
|
| |||||||
Insurance-Multi-line - 1.1% |
| |||||||
Allstate Corp. | 34,266 | 3,507,125 | ||||||
Kemper Corp. | 73,172 | 5,484,242 | ||||||
|
| |||||||
8,991,367 | ||||||||
|
| |||||||
Insurance-Property/Casualty - 2.8% |
| |||||||
Alleghany Corp. | 12,951 | 7,449,415 | ||||||
Assurant, Inc. | 38,666 | 4,992,554 | ||||||
Hanover Insurance Group, Inc. | 53,914 | 6,057,238 | ||||||
Lancashire Holdings, Ltd. | 246,478 | 2,441,440 | ||||||
Travelers Cos., Inc. | 14,096 | 1,827,547 | ||||||
|
| |||||||
22,768,194 | ||||||||
|
| |||||||
Insurance-Reinsurance - 1.7% |
| |||||||
Essent Group, Ltd. | 47,460 | 2,081,596 | ||||||
Everest Re Group, Ltd. | 17,043 | 3,874,385 | ||||||
Reinsurance Group of America, Inc. | 26,512 | 3,056,303 | ||||||
RenaissanceRe Holdings, Ltd. | 30,333 | 4,994,025 | ||||||
|
| |||||||
14,006,309 | ||||||||
|
|
Internet Content-Information/News - 0.2% |
| |||||||
Yelp, Inc. | 60,350 | 1,927,579 | ||||||
|
| |||||||
Internet Infrastructure Software - 0.6% |
| |||||||
F5 Networks, Inc. | 28,151 | 4,583,264 | ||||||
|
| |||||||
Investment Management/Advisor Services - 1.0% |
| |||||||
Ameriprise Financial, Inc. | 43,174 | 7,997,552 | ||||||
|
| |||||||
Lasers-System/Components - 0.3% |
| |||||||
Coherent, Inc. | 20,759 | 2,528,031 | ||||||
|
| |||||||
Machine Tools & Related Products - 1.5% |
| |||||||
Colfax Corp. | 172,150 | 6,211,172 | ||||||
Kennametal, Inc. | 169,194 | 5,920,098 | ||||||
|
| |||||||
12,131,270 | ||||||||
|
| |||||||
Machinery-Construction & Mining - 0.3% |
| |||||||
Oshkosh Corp. | 33,430 | 2,691,115 | ||||||
|
| |||||||
Machinery-Electrical - 0.3% |
| |||||||
BWX Technologies, Inc. | 39,700 | 2,258,136 | ||||||
|
| |||||||
Machinery-General Industrial - 0.8% |
| |||||||
Altra Industrial Motion Corp. | 39,010 | 2,214,208 | ||||||
Middleby Corp. | 30,469 | 4,143,479 | ||||||
|
| |||||||
6,357,687 | ||||||||
|
| |||||||
Machinery-Pumps - 2.7% |
| |||||||
Curtiss-Wright Corp. | 20,205 | 2,328,829 | ||||||
Dover Corp. | 54,267 | 6,622,202 | ||||||
Ingersoll Rand, Inc. | 163,112 | 7,220,968 | ||||||
SPX FLOW, Inc. | 110,412 | 5,915,875 | ||||||
|
| |||||||
22,087,874 | ||||||||
|
| |||||||
Medical Information Systems - 0.3% |
| |||||||
Change Healthcare, Inc. | 158,080 | 2,707,910 | ||||||
|
| |||||||
Medical Instruments - 0.2% |
| |||||||
Boston Scientific Corp. | 46,156 | 1,530,071 | ||||||
|
| |||||||
Medical Labs & Testing Services - 1.2% |
| |||||||
ICON PLC | 15,376 | 2,996,475 | ||||||
IQVIA Holdings, Inc. | 13,865 | 2,343,046 | ||||||
Laboratory Corp. of America Holdings | 13,234 | 2,644,683 | ||||||
PPD, Inc. | 56,532 | 1,978,620 | ||||||
|
| |||||||
9,962,824 | ||||||||
|
| |||||||
Medical Products - 1.5% |
| |||||||
Avanos Medical, Inc. | 59,025 | 2,502,070 | ||||||
Hill-Rom Holdings, Inc. | 38,625 | 3,663,967 | ||||||
Hologic, Inc. | 22,405 | 1,548,858 | ||||||
Zimmer Biomet Holdings, Inc. | 31,497 | 4,696,833 | ||||||
|
| |||||||
12,411,728 | ||||||||
|
| |||||||
Medical-Drugs - 0.2% |
| |||||||
Jazz Pharmaceuticals PLC | 13,330 | 1,875,664 | ||||||
|
| |||||||
Medical-HMO - 1.6% |
| |||||||
Centene Corp. | 55,127 | 3,398,580 | ||||||
Humana, Inc. | 11,617 | 4,652,841 | ||||||
Molina Healthcare, Inc. | 24,941 | 5,091,206 | ||||||
|
| |||||||
13,142,627 | ||||||||
|
| |||||||
Medical-Hospitals - 1.2% |
| |||||||
Acadia Healthcare Co., Inc. | 66,609 | 2,827,552 | ||||||
HCA Healthcare, Inc. | 16,113 | 2,418,722 | ||||||
Universal Health Services, Inc., Class B | 30,775 | 4,018,600 | ||||||
|
| |||||||
9,264,874 | ||||||||
|
| |||||||
Medical-Wholesale Drug Distribution - 0.3% |
| |||||||
AmerisourceBergen Corp. | 26,141 | 2,695,399 | ||||||
|
| |||||||
Metal Processors & Fabrication - 0.6% |
| |||||||
Rexnord Corp. | 129,663 | 4,863,659 | ||||||
|
| |||||||
Miscellaneous Manufacturing - 0.7% |
| |||||||
John Bean Technologies Corp. | 48,882 | 5,404,394 | ||||||
|
| |||||||
Motorcycle/Motor Scooter - 0.5% |
| |||||||
Harley-Davidson, Inc. | 108,698 | 4,379,442 | ||||||
|
| |||||||
Office Automation & Equipment - 0.3% |
| |||||||
Xerox Holdings Corp. | 105,287 | 2,304,732 | ||||||
|
| |||||||
Office Supplies & Forms - 0.2% |
| |||||||
Avery Dennison Corp. | 12,810 | 1,913,045 | ||||||
|
| |||||||
Oil & Gas Drilling - 0.1% |
| |||||||
Helmerich & Payne, Inc. | 43,210 | 983,892 | ||||||
|
| |||||||
Oil Companies-Exploration & Production - 1.3% |
| |||||||
ConocoPhillips | 91,294 | 3,611,590 | ||||||
Diamondback Energy, Inc. | 112,056 | 4,477,758 | ||||||
Parsley Energy, Inc., Class A | 206,611 | 2,588,836 | ||||||
|
| |||||||
10,678,184 | ||||||||
|
| |||||||
Oil Refining & Marketing - 0.9% |
| |||||||
Delek US Holdings, Inc. | 146,316 | 1,944,540 | ||||||
Marathon Petroleum Corp. | 70,085 | 2,724,905 | ||||||
Valero Energy Corp. | 43,678 | 2,348,566 | ||||||
|
| |||||||
7,018,011 | ||||||||
|
| |||||||
Oil-Field Services - 0.8% |
| |||||||
ChampionX Corp. | 144,851 | 1,720,830 | ||||||
Schlumberger, Ltd. | 213,092 | 4,430,183 | ||||||
|
| |||||||
6,151,013 | ||||||||
|
| |||||||
Oil-U.S. Royalty Trusts - 0.1% |
| |||||||
Viper Energy Partners LP | 96,065 | 1,075,928 | ||||||
|
| |||||||
Physical Therapy/Rehabilitation Centers - 0.8% |
| |||||||
Encompass Health Corp. | 82,759 | 6,668,720 | ||||||
|
| |||||||
Publishing-Newspapers - 0.5% |
| |||||||
TEGNA, Inc. | 283,667 | 4,087,641 | ||||||
|
| |||||||
Real Estate Investment Trusts - 8.1% |
| |||||||
American Assets Trust, Inc. | 105,823 | 3,036,062 | ||||||
American Campus Communities, Inc. | 89,187 | 3,549,643 | ||||||
American Homes 4 Rent, Class A | 81,189 | 2,331,748 | ||||||
Americold Realty Trust# | 107,018 | 3,652,524 | ||||||
Cousins Properties, Inc. | 81,145 | 2,711,055 | ||||||
CyrusOne, Inc. | 34,195 | 2,390,572 | ||||||
Duke Realty Corp. | 99,281 | 3,778,635 | ||||||
Equity Residential | 61,463 | 3,559,937 | ||||||
Essential Properties Realty Trust, Inc. | 166,484 | 3,419,581 | ||||||
Essex Property Trust, Inc. | 11,664 | 2,867,944 | ||||||
First Industrial Realty Trust, Inc. | 70,104 | 2,935,956 | ||||||
Gaming and Leisure Properties, Inc. | 180,754 | 7,508,521 | ||||||
Healthpeak Properties, Inc. | 82,582 | 2,383,317 | ||||||
Highwoods Properties, Inc. | 115,314 | 4,416,526 | ||||||
Host Hotels & Resorts, Inc. | 148,603 | 2,084,900 | ||||||
Kilroy Realty Corp. | 40,418 | 2,471,965 | ||||||
Lamar Advertising Co., Class A | 23,070 | 1,836,603 |
Life Storage, Inc. | 27,871 | 3,058,006 | ||||||
Regency Centers Corp. | 69,368 | 3,161,793 | ||||||
Welltower, Inc. | 63,117 | 3,975,109 | ||||||
|
| |||||||
65,130,397 | ||||||||
|
| |||||||
Retail-Apparel/Shoe - 0.6% |
| |||||||
Foot Locker, Inc. | 55,918 | 2,091,333 | ||||||
Ross Stores, Inc. | 25,533 | 2,745,308 | ||||||
|
| |||||||
4,836,641 | ||||||||
|
| |||||||
Retail-Auto Parts - 0.6% |
| |||||||
AutoZone, Inc. | 4,139 | 4,708,733 | ||||||
|
| |||||||
Retail-Consumer Electronics - 0.2% |
| |||||||
Best Buy Co., Inc. | 14,010 | 1,524,288 | ||||||
|
| |||||||
Retail-Discount - 0.2% |
| |||||||
Dollar Tree, Inc. | 14,754 | 1,611,727 | ||||||
|
| |||||||
Retail-Perfume & Cosmetics - 0.3% |
| |||||||
Ulta Beauty, Inc. | 8,689 | 2,392,951 | ||||||
|
| |||||||
Retail-Restaurants - 0.6% |
| |||||||
Darden Restaurants, Inc. | 17,490 | 1,888,570 | ||||||
Dennys Corp. | 277,350 | 3,192,299 | ||||||
|
| |||||||
5,080,869 | ||||||||
|
| |||||||
Savings & Loans/Thrifts - 0.6% |
| |||||||
Sterling Bancorp | 276,580 | 4,419,748 | ||||||
|
| |||||||
Semiconductor Components-Integrated Circuits - 0.7% |
| |||||||
NXP Semiconductors NV | 34,174 | 5,413,845 | ||||||
|
| |||||||
Semiconductor Equipment - 1.8% |
| |||||||
KLA Corp. | 9,763 | 2,459,983 | ||||||
Lam Research Corp. | 5,161 | 2,336,178 | ||||||
MKS Instruments, Inc. | 47,079 | 6,495,961 | ||||||
Onto Innovation, Inc. | 66,843 | 2,955,129 | ||||||
|
| |||||||
14,247,251 | ||||||||
|
| |||||||
Shipbuilding - 0.2% |
| |||||||
Huntington Ingalls Industries, Inc. | 10,767 | 1,724,766 | ||||||
|
| |||||||
Steel-Producers - 1.2% |
| |||||||
Reliance Steel & Aluminum Co. | 50,023 | 5,892,710 | ||||||
Steel Dynamics, Inc. | 102,034 | 3,694,651 | ||||||
|
| |||||||
9,587,361 | ||||||||
|
| |||||||
Telecom Equipment-Fiber Optics - 0.4% |
| |||||||
Ciena Corp. | 75,130 | 3,365,824 | ||||||
|
| |||||||
Telecom Services - 0.2% |
| |||||||
Rackspace Technology, Inc. | 86,074 | 1,545,889 | ||||||
|
| |||||||
Textile-Home Furnishings - 0.4% |
| |||||||
Mohawk Industries, Inc. | 23,372 | 2,940,899 | ||||||
|
| |||||||
Theaters - 0.3% |
| |||||||
Live Nation Entertainment, Inc. | 35,334 | 2,319,677 | ||||||
|
| |||||||
Transport-Rail - 0.4% |
| |||||||
Kansas City Southern | 16,689 | 3,106,991 | ||||||
|
| |||||||
Transport-Services - 0.2% |
| |||||||
Expeditors International of Washington, Inc. | 20,785 | 1,857,555 | ||||||
|
| |||||||
Transport-Truck - 0.4% |
| |||||||
Knight-Swift Transportation Holdings, Inc. | 81,079 | 3,347,752 | ||||||
|
| |||||||
Total Long-Term Investment Securities |
| 796,620,123 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT SECURITIES - 1.2% |
| |||||||
Registered Investment Companies - 1.2% |
| |||||||
State Street Institutional Liquid Reserves Fund, Administration Class | 9,240,601 | 9,241,525 | ||||||
|
| |||||||
REPURCHASE AGREEMENTS - 0.1% |
| |||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00% dated 11/30/2020, to be repurchased 12/01/2020 in the amount of $1,043,000 and collateralized by $1,068,100 of United States Treasury Notes, bearing interest at 0.25% due 08/31/2025 and having an approximate value of $1,063,890 | $1,043,000 | 1,043,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS | 100.0 | % | 806,904,648 | |||||
Other assets less liabilities | 0.0 | 335,364 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 807,240,012 | ||||
|
|
|
|
# | The security or a portion thereof is out on loan. |
At November 30, 2020, the Fund had loaned securities with a total value of $6,495,538. This was secured by collateral of $6,809,349 received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Funds assets and liabilities. |
The components of the fixed income pooled securities referenced above are as follows: |
Securities | Coupon Range | Maturity Date Range | Value as of November 30, 2020 | |||||
Federal Home Loan Mtg. Corp. | 1.25% to 3.50% | 02/01/2048 to 11/01/2050 | 468,784 | |||||
Federal National Mtg. Assoc. | 1.49% to 4.00% | 05/25/2030 to 09/01/2050 | 1,258,878 | |||||
Government National Mtg. Assoc. | 2.50% to 2.70% | 09/20/2046 to 05/16/2053 | 43,146 | |||||
United States Treasury Bills | 0.00% | 12/03/2020 to 07/15/2021 | 317,544 | |||||
United States Treasury Notes/Bonds | 0.13% to 8.13% | 12/15/2020 to 11/15/2049 | 4,720,997 |
| Non-income producing security |
(1) | The rate shown is the 7-day yield as of November 30, 2020. |
The following is a summary of the inputs used to value the Funds net assets as of November 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks | $ | 796,620,123 | $ | | $ | | $ | 796,620,123 | ||||||||
Short-Term Investment Securities | 9,241,525 | | | 9,241,525 | ||||||||||||
Repurchase Agreements | | 1,043,000 | | 1,043,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 805,861,648 | $ | 1,043,000 | $ | | $ | 806,904,648 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of Investments
VALIC Company II Moderate Growth Lifestyle Fund
PORTFOLIO OF INVESTMENTS - November 30, 2020 - (unaudited)
Security Description | Shares | Value (Note 1) | ||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) - 100.0% |
| |||||||
Domestic Equity Investment Companies - 48.7% |
| |||||||
VALIC Co. I Blue Chip Growth Fund | 1,703 | $ | 43,580 | |||||
VALIC Co. I Dividend Value Fund | 6,704,847 | 76,234,115 | ||||||
VALIC Co. I Large Cap Core Fund | 916,483 | 12,867,417 | ||||||
VALIC Co. I Large Capital Growth Fund | 994,527 | 20,268,453 | ||||||
VALIC Co. I Mid Cap Index Fund | 1,032,547 | 26,505,490 | ||||||
VALIC Co. I Mid Cap Strategic Growth Fund | 751,123 | 15,811,129 | ||||||
VALIC Co. I Nasdaq-100® Index Fund | 623,428 | 14,644,318 | ||||||
VALIC Co. I Science & Technology Fund | 334,942 | 13,287,162 | ||||||
VALIC Co. I Small Cap Index Fund | 832,877 | 16,465,980 | ||||||
VALIC Co. I Small Cap Special Values Fund | 1,161,440 | 12,590,009 | ||||||
VALIC Co. I Stock Index Fund | 2,096,352 | 101,148,967 | ||||||
VALIC Co. I Value Fund | 1,181,031 | 21,152,272 | ||||||
VALIC Co. II Capital Appreciation Fund | 1,843,913 | 35,163,423 | ||||||
VALIC Co. II Large Cap Value Fund | 2,812,637 | 57,912,203 | ||||||
VALIC Co. II Mid Cap Growth Fund | 1,091,096 | 13,485,947 | ||||||
VALIC Co. II Mid Cap Value Fund | 3,167,554 | 55,653,926 | ||||||
VALIC Co. II Small Cap Growth Fund | 428,661 | 10,347,878 | ||||||
VALIC Co. II Small Cap Value Fund | 1,281,530 | 14,404,401 | ||||||
|
| |||||||
Total Domestic Equity Investment Companies | ||||||||
(cost $458,124,610) |
| 517,986,670 | ||||||
|
| |||||||
Domestic Fixed Income Investment Companies - 32.3% |
| |||||||
VALIC Co. I Capital Conservation Fund | 2,720,133 | 29,323,030 | ||||||
VALIC Co. I Government Securities Fund | 967,123 | 10,909,143 | ||||||
VALIC Co. I Inflation Protected Fund | 5,199,688 | 62,760,235 | ||||||
VALIC Co. II Core Bond Fund | 8,857,523 | 107,264,605 | ||||||
VALIC Co. II High Yield Bond Fund | 4,738,933 | 36,537,171 | ||||||
VALIC Co. II Strategic Bond Fund | 8,234,573 | 96,426,850 | ||||||
|
| |||||||
Total Domestic Fixed Income Investment Companies | ||||||||
(cost $323,477,715) |
| 343,221,034 | ||||||
|
| |||||||
Domestic Money Market Investment Companies - 0.5% |
| |||||||
VALIC Co. I Government Money Market I Fund(2) | 5,257,898 | 5,257,898 | ||||||
|
| |||||||
International Equity Investment Companies - 13.1% |
| |||||||
VALIC Co. I Emerging Economies Fund | 3,093,623 | 29,049,119 | ||||||
VALIC Co. I International Equities Index Fund | 5,934,863 | 43,858,637 | ||||||
VALIC Co. I International Growth Fund | 483,919 | 7,844,330 | ||||||
VALIC Co. I International Value Fund | 2,274,863 | 22,043,426 | ||||||
VALIC Co. II International Opportunities Fund | 1,623,254 | 36,247,252 | ||||||
|
| |||||||
Total International Equity Investment Companies | ||||||||
(cost $126,760,091) |
| 139,042,764 | ||||||
|
| |||||||
International Fixed Income Investment Companies - 3.3% |
| |||||||
VALIC Co. I International Government Bond Fund | 2,685,253 | 35,311,082 | ||||||
|
| |||||||
Real Estate Investment Companies - 2.1% |
| |||||||
VALIC Co. I Global Real Estate Fund | 2,943,599 | 22,489,095 | ||||||
|
| |||||||
TOTAL INVESTMENTS | ||||||||
(cost $967,929,161) | 100.0 | % | 1,063,308,543 | |||||
Liabilities in excess of other assets | (0.0 | ) | (168,219) | |||||
NET ASSETS | 100.0 | % | $ | 1,063,140,324 |
# | The Moderate Growth Lifestyle Fund invests in various VALIC Company I or VALIC Company II Funds, some of which are not presented in this report. Additional information of the underlying funds including such funds prospectuses and shareholder reports are available at our website, www.valic.com. |
(1) | See Note 3 |
(2) | The 7-day yield as of November 30, 2020 is 0.01%. |
The following is a summary of the inputs used to value the Funds net assets as of November 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Affiliated Registered Investment Companies | $ | 1,063,308,543 | $ | | $ | | $ | 1,063,308,543 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of Investments
VALIC Company II Small Cap Growth Fund
PORTFOLIO OF INVESTMENTS - November 30, 2020 - (unaudited)
Security Description | Shares | Value (Note 1) | ||||||
COMMON STOCKS - 98.4% |
| |||||||
Applications Software - 4.5% |
| |||||||
Duck Creek Technologies, Inc. | 49,337 | $ | 1,961,639 | |||||
Elastic NV | 23,919 | 2,961,172 | ||||||
Jamf Holding Corp. | 11,080 | 351,236 | ||||||
JFrog, Ltd.# | 19,524 | 1,373,709 | ||||||
Medallia, Inc.# | 48,061 | 1,681,654 | ||||||
Outset Medical, Inc. | 12,784 | 818,176 | ||||||
Smartsheet, Inc., Class A | 42,882 | 2,488,443 | ||||||
|
| |||||||
11,636,029 | ||||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original - 0.7% |
| |||||||
Fox Factory Holding Corp. | 22,134 | 1,931,634 | ||||||
|
| |||||||
Banks-Commercial - 0.7% |
| |||||||
First Financial Bankshares, Inc. | 54,215 | 1,811,865 | ||||||
|
| |||||||
Building & Construction Products-Misc. - 2.4% |
| |||||||
AZEK Co., Inc. | 23,517 | 840,027 | ||||||
Simpson Manufacturing Co., Inc. | 30,011 | 2,758,011 | ||||||
Trex Co., Inc.# | 33,742 | 2,524,577 | ||||||
|
| |||||||
6,122,615 | ||||||||
|
| |||||||
Building-Mobile Home/Manufactured Housing - 0.8% |
| |||||||
Winnebago Industries, Inc. | 38,190 | 2,021,397 | ||||||
|
| |||||||
Building-Residential/Commercial - 0.6% |
| |||||||
TRI Pointe Group, Inc.# | 86,747 | 1,516,338 | ||||||
|
| |||||||
Casino Hotels - 1.1% |
| |||||||
Boyd Gaming Corp. | 76,668 | 2,950,951 | ||||||
|
| |||||||
Commercial Services - 0.5% |
| |||||||
LiveRamp Holdings, Inc. | 23,175 | 1,355,969 | ||||||
|
| |||||||
Commercial Services-Finance - 0.7% |
| |||||||
Avalara, Inc. | 10,228 | 1,756,659 | ||||||
|
| |||||||
Computer Data Security - 1.1% |
| |||||||
CyberArk Software, Ltd. | 15,770 | 1,811,500 | ||||||
Ping Identity Holding Corp. | 44,823 | 1,008,069 | ||||||
|
| |||||||
2,819,569 | ||||||||
|
| |||||||
Computer Services - 0.8% |
| |||||||
Globant SA | 10,777 | 2,033,404 | ||||||
|
| |||||||
Computer Software - 2.4% |
| |||||||
Bandwidth, Inc., Class A | 18,189 | 2,760,726 | ||||||
Envestnet, Inc. | 35,864 | 2,878,445 | ||||||
nCino, Inc. | 8,504 | 692,991 | ||||||
|
| |||||||
6,332,162 | ||||||||
|
| |||||||
Computers-Other - 0.6% |
| |||||||
Corsair Gaming, Inc. | 42,716 | 1,622,354 | ||||||
|
| |||||||
Consulting Services - 0.5% |
| |||||||
FTI Consulting, Inc. | 12,478 | 1,310,440 | ||||||
|
| |||||||
Consumer Products-Misc. - 1.3% |
| |||||||
Helen of Troy, Ltd. | 16,348 | 3,302,132 | ||||||
|
| |||||||
Diagnostic Equipment - 0.2% |
| |||||||
Adaptive Biotechnologies Corp. | 11,282 | 544,018 | ||||||
|
| |||||||
Diagnostic Kits - 1.9% |
| |||||||
Natera, Inc. | 55,730 | 4,919,287 | ||||||
|
| |||||||
Distribution/Wholesale - 1.2% |
| |||||||
SiteOne Landscape Supply, Inc. | 22,646 | 3,127,413 | ||||||
|
| |||||||
Diversified Manufacturing Operations - 2.1% |
| |||||||
Carlisle Cos., Inc. | 16,505 | 2,390,419 | ||||||
ITT, Inc. | 42,849 | 3,112,123 | ||||||
|
| |||||||
5,502,542 | ||||||||
|
| |||||||
Drug Delivery Systems - 1.2% |
| |||||||
Heron Therapeutics, Inc.# | 78,763 | 1,364,963 | ||||||
Revance Therapeutics, Inc. | 71,487 | 1,725,696 | ||||||
|
| |||||||
3,090,659 | ||||||||
|
| |||||||
E-Commerce/Products - 1.6% |
| |||||||
Farfetch, Ltd., Class A# | 43,889 | 2,398,534 | ||||||
Leslies, Inc. | 32,739 | 677,370 | ||||||
RealReal, Inc. | 69,296 | 959,749 | ||||||
|
| |||||||
4,035,653 | ||||||||
|
| |||||||
E-Commerce/Services - 0.5% |
| |||||||
MediaAlpha, Inc. | 35,889 | 1,354,810 | ||||||
|
| |||||||
Electric Products-Misc. - 1.2% |
| |||||||
Littelfuse, Inc. | 12,740 | 3,064,352 | ||||||
|
| |||||||
Electronic Components-Semiconductors - 3.1% |
| |||||||
Cree, Inc. | 26,252 | 2,372,918 | ||||||
Inphi Corp. | 20,765 | 3,221,275 | ||||||
Semtech Corp. | 34,117 | 2,301,874 | ||||||
|
| |||||||
7,896,067 | ||||||||
|
| |||||||
Electronic Measurement Instruments - 1.2% |
| |||||||
Itron, Inc. | 41,085 | 3,229,692 | ||||||
|
| |||||||
Energy-Alternate Sources - 2.3% |
| |||||||
Enphase Energy, Inc.# | 25,972 | 3,546,996 | ||||||
SolarEdge Technologies, Inc. | 8,583 | 2,385,902 | ||||||
|
| |||||||
5,932,898 | ||||||||
|
| |||||||
Enterprise Software/Service - 5.4% |
| |||||||
Bill.com Holdings, Inc. | 13,560 | 1,663,948 | ||||||
Blackline, Inc. | 28,055 | 3,447,959 | ||||||
Cardlytics, Inc.# | 11,073 | 1,314,144 | ||||||
Everbridge, Inc.# | 18,300 | 2,323,002 | ||||||
Evolent Health, Inc., Class A | 88,944 | 1,292,356 | ||||||
ManTech International Corp., Class A | 36,831 | 2,834,882 | ||||||
Vertex, Inc., Class A | 48,968 | 1,235,952 | ||||||
|
| |||||||
14,112,243 | ||||||||
|
| |||||||
Finance-Credit Card - 0.5% |
| |||||||
I3 Verticals, Inc., Class A | 44,984 | 1,255,054 | ||||||
|
| |||||||
Finance-Investment Banker/Broker - 0.9% |
| |||||||
Evercore, Inc., Class A | 26,707 | 2,428,467 | ||||||
|
| |||||||
Finance-Leasing Companies - 0.6% |
| |||||||
PROG Holdings Co., Inc. | 23,028 | 1,449,152 | ||||||
|
| |||||||
Food-Retail - 0.8% |
| |||||||
Grocery Outlet Holding Corp. | 54,040 | 2,087,025 | ||||||
|
| |||||||
Food-Wholesale/Distribution - 1.1% |
| |||||||
Performance Food Group Co. | 66,842 | 2,899,606 | ||||||
|
| |||||||
Insurance Brokers - 0.5% |
| |||||||
Selectquote, Inc. | 58,543 | 1,255,747 | ||||||
|
| |||||||
Insurance-Property/Casualty - 0.5% |
| |||||||
Lemonade, Inc.# | 19,452 | 1,347,440 | ||||||
Palomar Holdings, Inc. | 375 | 24,788 | ||||||
|
| |||||||
1,372,228 | ||||||||
|
| |||||||
Internet Application Software - 1.3% |
| |||||||
Anaplan, Inc. | 48,101 | 3,366,589 | ||||||
|
|
Investment Management/Advisor Services - 0.6% |
| |||||||
Focus Financial Partners, Inc., Class A | 37,684 | 1,492,663 | ||||||
|
| |||||||
Machinery-Electrical - 0.6% |
| |||||||
Vertiv Holdings Co.# | 88,544 | 1,656,658 | ||||||
|
| |||||||
Machinery-General Industrial - 0.9% |
| |||||||
Applied Industrial Technologies, Inc. | 30,543 | 2,395,487 | ||||||
|
| |||||||
Machinery-Pumps - 1.0% |
| |||||||
Graco, Inc. | 36,889 | 2,498,861 | ||||||
|
| |||||||
Medical Information Systems - 0.3% |
| |||||||
Oak Street Health, Inc. | 15,618 | 736,701 | ||||||
|
| |||||||
Medical Labs & Testing Services - 0.7% |
| |||||||
Personalis, Inc. | 69,709 | 1,919,089 | ||||||
|
| |||||||
Medical Products - 4.2% |
| |||||||
iRhythm Technologies, Inc. | 17,095 | 4,179,898 | ||||||
Nevro Corp. | 20,150 | 3,249,188 | ||||||
Shockwave Medical, Inc.# | 36,080 | 3,529,706 | ||||||
|
| |||||||
10,958,792 | ||||||||
|
| |||||||
Medical-Biomedical/Gene - 17.9% |
| |||||||
ACADIA Pharmaceuticals, Inc. | 21,867 | 1,238,984 | ||||||
ADC Therapeutics SA | 49,697 | 1,854,195 | ||||||
Allogene Therapeutics, Inc. | 23,648 | 734,270 | ||||||
Amicus Therapeutics, Inc. | 154,951 | 3,546,828 | ||||||
Arrowhead Pharmaceuticals, Inc. | 40,355 | 2,523,398 | ||||||
Atara Biotherapeutics, Inc. | 102,077 | 2,367,166 | ||||||
Avrobio, Inc. | 78,960 | 1,087,279 | ||||||
Berkeley Lights, Inc. | 15,954 | 1,321,949 | ||||||
Biohaven Pharmaceutical Holding Co., Ltd. | 31,916 | 2,838,928 | ||||||
Blueprint Medicines Corp. | 27,761 | 3,000,409 | ||||||
Bridgebio Pharma, Inc.# | 34,366 | 1,726,548 | ||||||
FibroGen, Inc. | 38,846 | 1,604,728 | ||||||
Generation Bio Co. | 20,052 | 966,908 | ||||||
Global Blood Therapeutics, Inc. | 17,851 | 819,539 | ||||||
Halozyme Therapeutics, Inc. | 102,951 | 4,025,384 | ||||||
Homology Medicines, Inc. | 52,749 | 519,050 | ||||||
Intercept Pharmaceuticals, Inc. | 18,101 | 642,767 | ||||||
Kronos Bio, Inc. | 35,717 | 1,145,444 | ||||||
Mirati Therapeutics, Inc. | 7,776 | 1,849,522 | ||||||
Orchard Therapeutics PLC ADR | 64,393 | 326,473 | ||||||
REGENXBIO, Inc. | 35,807 | 1,247,516 | ||||||
Relay Therapeutics, Inc. | 36,000 | 1,919,160 | ||||||
REVOLUTION Medicines, Inc. | 30,549 | 1,332,853 | ||||||
Rubius Therapeutics, Inc.# | 65,365 | 409,839 | ||||||
Sage Therapeutics, Inc. | 24,038 | 1,780,975 | ||||||
Twist Bioscience Corp. | 39,983 | 4,467,700 | ||||||
Viela Bio, Inc. | 30,559 | 1,171,632 | ||||||
|
| |||||||
46,469,444 | ||||||||
|
| |||||||
Medical-Drugs - 1.0% |
| |||||||
Alector, Inc. | 42,841 | 561,646 | ||||||
Clementia Pharmaceuticals, Inc. CVR(1) | 70,624 | 0 | ||||||
Coherus Biosciences, Inc. | 96,598 | 1,783,199 | ||||||
TherapeuticsMD, Inc. | 263,260 | 352,768 | ||||||
|
| |||||||
2,697,613 | ||||||||
|
| |||||||
Medical-Generic Drugs - 0.3% |
| |||||||
Arvinas, Inc.# | 31,678 | 766,608 | ||||||
|
| |||||||
Medical-Hospitals - 0.7% |
| |||||||
Acadia Healthcare Co., Inc. | 41,172 | 1,747,751 | ||||||
|
| |||||||
Medical-Outpatient/Home Medical - 1.1% |
| |||||||
Amedisys, Inc. | 11,386 | 2,787,179 | ||||||
|
| |||||||
Miscellaneous Manufacturing - 1.3% |
| |||||||
John Bean Technologies Corp. | 29,805 | 3,295,241 | ||||||
|
| |||||||
Physicians Practice Management - 1.0% |
| |||||||
Accolade, Inc. | 47,608 | 2,471,331 | ||||||
|
| |||||||
Publishing-Newspapers - 1.0% |
| |||||||
New York Times Co., Class A | 59,005 | 2,531,905 | ||||||
|
| |||||||
Real Estate Investment Trusts - 1.4% |
| |||||||
CubeSmart | 34,663 | 1,127,587 | ||||||
EastGroup Properties, Inc. | 7,993 | 1,089,686 | ||||||
Terreno Realty Corp. | 25,804 | 1,495,084 | ||||||
|
| |||||||
3,712,357 | ||||||||
|
| |||||||
Recreational Centers - 0.7% |
| |||||||
Planet Fitness, Inc., Class A | 23,810 | 1,736,939 | ||||||
|
| |||||||
Retail-Automobile - 1.9% |
| |||||||
Lithia Motors, Inc., Class A | 10,934 | 3,163,206 | ||||||
Rush Enterprises, Inc., Class A | 46,678 | 1,789,168 | ||||||
|
| |||||||
4,952,374 | ||||||||
|
| |||||||
Retail-Discount - 1.4% |
| |||||||
BJs Wholesale Club Holdings, Inc. | 46,671 | 1,913,044 | ||||||
Ollies Bargain Outlet Holdings, Inc. | 20,209 | 1,779,605 | ||||||
|
| |||||||
3,692,649 | ||||||||
|
| |||||||
Retail-Floor Coverings - 0.8% |
| |||||||
Floor & Decor Holdings, Inc., Class A | 26,526 | 2,124,467 | ||||||
|
| |||||||
Retail-Pet Food & Supplies - 1.6% |
| |||||||
Freshpet, Inc. | 29,436 | 4,029,200 | ||||||
|
| |||||||
Retail-Restaurants - 1.3% |
| |||||||
Texas Roadhouse, Inc. | 43,402 | 3,289,872 | ||||||
|
| |||||||
Retail-Vision Service Center - 1.5% |
| |||||||
National Vision Holdings, Inc. | 90,885 | 3,890,787 | ||||||
|
| |||||||
Schools - 0.6% |
| |||||||
Bright Horizons Family Solutions, Inc. | 9,583 | 1,630,164 | ||||||
|
| |||||||
Semiconductor Equipment - 2.7% |
| |||||||
Entegris, Inc. | 41,295 | 3,824,743 | ||||||
MKS Instruments, Inc. | 22,648 | 3,124,971 | ||||||
|
| |||||||
6,949,714 | ||||||||
|
| |||||||
Steel Pipe & Tube - 1.7% |
| |||||||
Advanced Drainage Systems, Inc. | 61,930 | 4,319,617 | ||||||
|
| |||||||
Telecom Equipment-Fiber Optics - 0.5% |
| |||||||
Ciena Corp. | 30,032 | 1,345,434 | ||||||
|
| |||||||
Therapeutics - 0.3% |
| |||||||
G1 Therapeutics, Inc.# | 46,871 | 855,864 | ||||||
|
| |||||||
Tools-Hand Held - 1.1% |
| |||||||
MSA Safety, Inc. | 18,802 | 2,809,771 | ||||||
|
| |||||||
Transport-Truck - 1.5% |
| |||||||
Saia, Inc. | 21,729 | 3,792,580 | ||||||
|
| |||||||
Total Long-Term Investment Securities |
| 255,004,132 | ||||||
|
|
SHORT-TERM INVESTMENT SECURITIES - 1.8% |
| |||||||
Registered Investment Companies - 1.8% |
| |||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 4,598,704 | 4,598,704 | ||||||
|
| |||||||
TOTAL INVESTMENTS | 100.2 | % | 259,602,836 | |||||
Liabilities in excess of other assets | (0.2 | ) | (451,879 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 259,150,957 | ||||
|
|
|
|
| Non-income producing security |
# | The security or a portion thereof is out on loan. |
(1) | Securities classified as Level 3 (see Note 1). |
(2) | At November 30, 2020, the Fund had loaned securities with a total value of $17,339,212. This was secured by collateral of $4,598,704, which was received in cash and subsequently invested in short-term investments currently valued at $4,598,704 as reported in the Portfolio of Investments. Additional collateral of $13,373,599 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Funds assets and liabilities. |
The components of the fixed income pooled securities referenced above are as follows: |
Securities | Coupon Range | Maturity Date Range | Value as of November 30, 2020 | |||||
Federal Home Loan Mtg. Corp. | 1.25% to 3.50% | 02/01/2048 to 11/01/2050 | $ | 875,563 | ||||
Federal National Mtg. Assoc. | 1.49% to 4.00% | 05/25/2030 to 09/01/2050 | 2,351,246 | |||||
Government National Mtg. Assoc. | 2.50% to 2.70% | 09/20/2046 to 05/16/2053 | 80,585 | |||||
United States Treasury Bills | 0.00% | 02/11/2021 to 07/15/2021 | 42,700 | |||||
United States Treasury Notes/Bonds | 0.13% to 8.13% | 12/31/2020 to 02/15/2050 | 10,023,505 |
(3) | The rate shown is 7-day yield as of November 30, 2020. |
ADR - American Depositary Receipt
CVR - Contingent Value Rights
The following is a summary of the inputs used to value the Funds net assets as of November 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Medical-Drugs | $ | 2,697,613 | $ | | $ | 0 | $ | 2,697,613 | ||||||||
Other Industries | 252,306,519 | | | 252,306,519 | ||||||||||||
Short-Term Investment Securities | 4,598,704 | | | 4,598,704 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 259,602,836 | $ | | $ | 0 | $ | 259,602,836 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Fund. There were no Level 3 transfers during the reporting period.
See Notes to Portfolio of Investments
VALIC Company II Small Cap Value Fund
PORTFOLIO OF INVESTMENTS - November 30, 2020 - (unaudited)
Security Description | Shares/ Principal Amount | Value (Note 1) | ||||||
COMMON STOCKS - 97.9% |
| |||||||
Aerospace/Defense-Equipment - 0.9% |
| |||||||
AAR Corp. | 34,710 | $ | 984,723 | |||||
Astronics Corp. | 46,300 | 528,746 | ||||||
Barnes Group, Inc. | 11,600 | 533,716 | ||||||
Ducommun, Inc. | 1,700 | 84,524 | ||||||
Moog, Inc., Class A | 9,400 | 727,184 | ||||||
Triumph Group, Inc. | 25,300 | 333,201 | ||||||
|
| |||||||
3,192,094 | ||||||||
|
| |||||||
Agricultural Operations - 0.1% |
| |||||||
Andersons, Inc. | 5,800 | 131,834 | ||||||
Fresh Del Monte Produce, Inc. | 12,300 | 312,297 | ||||||
|
| |||||||
444,131 | ||||||||
|
| |||||||
Airlines - 0.6% |
| |||||||
Allegiant Travel Co. | 6,500 | 1,106,235 | ||||||
Hawaiian Holdings, Inc. | 21,300 | 431,538 | ||||||
SkyWest, Inc. | 8,600 | 369,198 | ||||||
Spirit Airlines, Inc. | 7,000 | 158,410 | ||||||
|
| |||||||
2,065,381 | ||||||||
|
| |||||||
Apparel Manufacturers - 0.3% |
| |||||||
Deckers Outdoor Corp. | 3,600 | 916,524 | ||||||
|
| |||||||
Applications Software - 0.2% |
| |||||||
IBEX Holdings, Ltd. | 30,800 | 612,920 | ||||||
|
| |||||||
Audio/Video Products - 0.2% |
| |||||||
Universal Electronics, Inc. | 10,800 | 568,728 | ||||||
|
| |||||||
Auto-Heavy Duty Trucks - 0.1% |
| |||||||
Navistar International Corp. | 6,000 | 265,560 | ||||||
|
| |||||||
Auto-Truck Trailers - 0.4% |
| |||||||
Wabash National Corp. | 73,000 | 1,290,640 | ||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original - 1.5% |
| |||||||
Adient PLC | 43,400 | 1,357,986 | ||||||
American Axle & Manufacturing Holdings, Inc. | 49,900 | 397,204 | ||||||
Cooper-Standard Holdings, Inc. | 800 | 27,136 | ||||||
Dana, Inc. | 96,500 | 1,625,060 | ||||||
Gentherm, Inc. | 13,500 | 767,610 | ||||||
Meritor, Inc. | 36,200 | 955,680 | ||||||
Methode Electronics, Inc. | 3,500 | 122,570 | ||||||
Modine Manufacturing Co. | 5,300 | 57,876 | ||||||
|
| |||||||
5,311,122 | ||||||||
|
| |||||||
Auto/Truck Parts & Equipment-Replacement - 0.1% |
| |||||||
Douglas Dynamics, Inc. | 4,500 | 176,040 | ||||||
|
| |||||||
Banks-Commercial - 14.0% |
| |||||||
1st Source Corp. | 13,120 | 489,638 | ||||||
Amalgamated Bank, Class A | 17,600 | 223,872 | ||||||
American National Bankshares, Inc. | 700 | 18,186 | ||||||
Ameris Bancorp | 19,800 | 673,398 | ||||||
Atlantic Capital Bancshares, Inc. | 8,200 | 115,128 | ||||||
Atlantic Union Bankshares Corp. | 900 | 26,919 | ||||||
BancFirst Corp. | 13,480 | 731,020 | ||||||
Bancorp, Inc. | 61,700 | 728,060 | ||||||
BancorpSouth Bank | 8,300 | 210,405 | ||||||
Bank of Commerce Holdings | 3,900 | 36,699 | ||||||
Bank of N.T. Butterfield & Son, Ltd. | 15,100 | 478,066 | ||||||
Bankwell Financial Group, Inc. | 1,800 | 32,940 | ||||||
Banner Corp. | 8,800 | 363,704 | ||||||
Bar Harbor Bankshares | 16,300 | 375,715 | ||||||
Bridgewater Bancshares, Inc. | 19,900 | 234,223 | ||||||
Bryn Mawr Bank Corp. | 3,300 | 98,406 | ||||||
Business First Bancshares, Inc.# | 10,700 | 199,769 | ||||||
Cadence BanCorp | 129,100 | 1,799,654 | ||||||
California Bancorp, Inc. | 6,500 | 104,650 | ||||||
Capital Bancorp, Inc. | 4,200 | 49,938 | ||||||
Capstar Financial Holdings, Inc. | 10,100 | 121,705 | ||||||
Cathay General Bancorp | 68,090 | 1,923,543 | ||||||
Central Pacific Financial Corp. | 47,800 | 783,442 | ||||||
Central Valley Community Bancorp | 5,700 | 81,225 | ||||||
Century Bancorp, Inc., Class A | 418 | 30,890 | ||||||
Chemung Financial Corp. | 1,000 | 33,550 | ||||||
CIT Group, Inc. | 72,700 | 2,434,723 | ||||||
Citizens & Northern Corp. | 1,500 | 27,225 | ||||||
City Holding Co. | 6,900 | 453,261 | ||||||
Columbia Banking System, Inc. | 24,100 | 761,801 | ||||||
Community Bank System, Inc. | 13,480 | 839,130 | ||||||
Community Trust Bancorp, Inc. | 17,418 | 589,599 | ||||||
ConnectOne Bancorp, Inc. | 42,300 | 749,979 | ||||||
Customers Bancorp, Inc. | 56,300 | 950,907 | ||||||
East West Bancorp, Inc. | 1,273 | 54,383 | ||||||
Enterprise Financial Services Corp. | 22,600 | 768,626 | ||||||
Equity Bancshares, Inc., Class A | 10,400 | 210,860 | ||||||
Evans Bancorp, Inc. | 2,700 | 72,846 | ||||||
Farmers National Banc Corp. | 11,800 | 147,972 | ||||||
FB Financial Corp. | 1,826 | 58,286 | ||||||
Financial Institutions, Inc. | 21,900 | 438,219 | ||||||
First Bancorp/North Carolina | 7,500 | 235,350 | ||||||
First BanCorp/Puerto Rico | 228,600 | 1,815,084 | ||||||
First Business Financial Services, Inc. | 6,000 | 113,340 | ||||||
First Choice Bancorp | 6,900 | 114,057 | ||||||
First Citizens BancShares, Inc., Class A | 690 | 364,727 | ||||||
First Commonwealth Financial Corp. | 102,900 | 995,043 | ||||||
First Community Bankshares, Inc. | 6,400 | 134,848 | ||||||
First Community Corp. | 3,200 | 55,232 | ||||||
First Financial Corp. | 4,600 | 174,202 | ||||||
First Hawaiian, Inc. | 10,100 | 221,392 | ||||||
First Horizon Corp. | 64,208 | 784,622 | ||||||
First Internet Bancorp | 6,200 | 158,596 | ||||||
First Interstate BancSystem, Inc., Class A | 7,170 | 272,819 | ||||||
First Merchants Corp. | 9,400 | 313,208 | ||||||
First Midwest Bancorp, Inc. | 19,500 | 272,805 | ||||||
First Northwest Bancorp | 2,400 | 36,000 | ||||||
Flagstar Bancorp, Inc. | 35,500 | 1,243,920 | ||||||
Fulton Financial Corp. | 40,000 | 492,800 | ||||||
Glacier Bancorp, Inc. | 6,300 | 256,851 | ||||||
Great Southern Bancorp, Inc. | 17,800 | 817,020 | ||||||
Great Western Bancorp, Inc. | 53,200 | 874,076 | ||||||
Hancock Whitney Corp. | 52,882 | 1,485,455 | ||||||
Hanmi Financial Corp. | 42,600 | 415,350 | ||||||
HBT Financial, Inc. | 10,100 | 141,198 | ||||||
Heritage Commerce Corp. | 6,700 | 56,414 | ||||||
Hilltop Holdings, Inc. | 43,197 | 1,040,616 | ||||||
Home BancShares, Inc. | 41,000 | 758,910 | ||||||
HomeStreet, Inc. | 7,000 | 226,450 | ||||||
Hope Bancorp, Inc. | 91,627 | 868,624 | ||||||
Independent Bank Corp. | 20,400 | 347,004 | ||||||
Investar Holding Corp. | 12,100 | 196,746 | ||||||
Kearny Financial Corp. | 60,800 | 601,312 | ||||||
LCNB Corp. | 5,800 | 85,840 | ||||||
Luther Burbank Corp. | 26,200 | 257,546 | ||||||
Mackinac Financial Corp. | 2,600 | 31,642 |
Mercantile Bank Corp. | 2,000 | 49,660 | ||||||
Meridian Corp. | 2,900 | 53,940 | ||||||
Meta Financial Group, Inc. | 14,100 | 466,710 | ||||||
Metropolitan Bank Holding Corp. | 1,400 | 46,312 | ||||||
Midland States Bancorp, Inc. | 3,400 | 57,630 | ||||||
Northrim BanCorp, Inc. | 2,600 | 82,602 | ||||||
OFG Bancorp | 15,800 | 264,650 | ||||||
Old National Bancorp | 53,400 | 845,322 | ||||||
Old Second Bancorp, Inc. | 11,200 | 108,192 | ||||||
OP Bancorp | 13,200 | 96,360 | ||||||
Orrstown Financial Services, Inc. | 5,800 | 93,496 | ||||||
PacWest Bancorp | 5,035 | 117,114 | ||||||
Peapack-Gladstone Financial Corp. | 13,900 | 305,939 | ||||||
Pinnacle Financial Partners, Inc. | 5,300 | 287,048 | ||||||
Preferred Bank | 1,900 | 69,863 | ||||||
Premier Financial Bancorp, Inc. | 2,425 | 32,277 | ||||||
Premier Financial Corp. | 13,220 | 273,786 | ||||||
Provident Bancorp, Inc. | 20,500 | 207,050 | ||||||
RBB Bancorp | 7,700 | 114,268 | ||||||
Renasant Corp. | 1,600 | 49,392 | ||||||
Republic Bancorp, Inc., Class A | 3,776 | 133,293 | ||||||
S&T Bancorp, Inc. | 2,480 | 55,527 | ||||||
Sandy Spring Bancorp, Inc. | 5,364 | 158,023 | ||||||
Select Bancorp, Inc. | 61,173 | 559,733 | ||||||
Shore Bancshares, Inc. | 3,200 | 44,320 | ||||||
Sierra Bancorp | 4,100 | 90,200 | ||||||
Tompkins Financial Corp. | 2,448 | 155,717 | ||||||
TriCo Bancshares | 4,900 | 160,524 | ||||||
TriState Capital Holdings, Inc. | 5,700 | 84,873 | ||||||
Trustmark Corp. | 55,200 | 1,370,064 | ||||||
UMB Financial Corp. | 23,760 | 1,615,918 | ||||||
Umpqua Holdings Corp. | 94,614 | 1,314,188 | ||||||
United Bankshares, Inc. | 32,700 | 957,456 | ||||||
United Community Banks, Inc. | 44,800 | 1,071,168 | ||||||
Valley National Bancorp | 4,920 | 44,969 | ||||||
Veritex Holdings, Inc. | 28,522 | 618,642 | ||||||
Washington Trust Bancorp, Inc. | 3,980 | 156,494 | ||||||
Webster Financial Corp. | 11,900 | 450,296 | ||||||
West BanCorp, Inc. | 1,430 | 27,570 | ||||||
Westamerica BanCorp | 17,524 | 965,923 | ||||||
Western Alliance Bancorp | 3,600 | 184,572 | ||||||
Western New England Bancorp, Inc. | 6,900 | 46,092 | ||||||
Wintrust Financial Corp. | 7,600 | 414,124 | ||||||
|
| |||||||
49,082,958 | ||||||||
|
| |||||||
Banks-Mortgage - 0.2% |
| |||||||
Walker & Dunlop, Inc. | 7,800 | 624,078 | ||||||
|
| |||||||
Broadcast Services/Program - 0.1% |
| |||||||
Hemisphere Media Group, Inc. | 32,000 | 344,320 | ||||||
|
| |||||||
Building & Construction Products-Misc. - 0.9% |
| |||||||
Builders FirstSource, Inc. | 41,200 | 1,541,292 | ||||||
Caesarstone, Ltd.# | 30,400 | 362,976 | ||||||
Gibraltar Industries, Inc. | 2,300 | 150,558 | ||||||
Louisiana-Pacific Corp. | 19,700 | 674,331 | ||||||
Summit Materials, Inc., Class A | 27,000 | 513,000 | ||||||
|
| |||||||
3,242,157 | ||||||||
|
| |||||||
Building & Construction-Misc. - 0.8% |
| |||||||
EMCOR Group, Inc. | 21,398 | 1,844,080 | ||||||
MYR Group, Inc. | 18,500 | 945,905 | ||||||
|
| |||||||
2,789,985 | ||||||||
|
| |||||||
Building Products-Doors & Windows - 0.1% |
| |||||||
Cornerstone Building Brands, Inc. | 44,400 | 388,056 | ||||||
JELD-WEN Holding, Inc. | 3,200 | 77,408 | ||||||
PGT Innovations, Inc. | 3,300 | 61,446 | ||||||
|
| |||||||
526,910 | ||||||||
|
| |||||||
Building Products-Light Fixtures - 0.0% |
| |||||||
LSI Industries, Inc. | 6,200 | 48,484 | ||||||
|
| |||||||
Building Products-Wood - 0.3% |
| |||||||
Boise Cascade Co. | 25,100 | 1,085,575 | ||||||
UFP Industries, Inc. | 1,600 | 85,840 | ||||||
|
| |||||||
1,171,415 | ||||||||
|
| |||||||
Building-Heavy Construction - 2.0% |
| |||||||
Aegion Corp. | 15,500 | 265,825 | ||||||
Arcosa, Inc. | 18,700 | 970,343 | ||||||
Dycom Industries, Inc. | 6,700 | 421,162 | ||||||
Great Lakes Dredge & Dock Corp. | 29,200 | 329,668 | ||||||
MasTec, Inc. | 23,900 | 1,355,369 | ||||||
Primoris Services Corp. | 62,600 | 1,518,050 | ||||||
Sterling Construction Co., Inc. | 31,000 | 495,690 | ||||||
Tutor Perini Corp. | 122,700 | 1,658,904 | ||||||
|
| |||||||
7,015,011 | ||||||||
|
| |||||||
Building-Maintenance & Services - 0.7% |
| |||||||
ABM Industries, Inc. | 64,000 | 2,464,000 | ||||||
|
| |||||||
Building-Residential/Commercial - 1.3% |
| |||||||
KB Home | 20,500 | 721,600 | ||||||
Meritage Homes Corp. | 13,100 | 1,180,965 | ||||||
Taylor Morrison Home Corp. | 32,100 | 811,488 | ||||||
TRI Pointe Group, Inc.# | 97,900 | 1,711,292 | ||||||
|
| |||||||
4,425,345 | ||||||||
|
| |||||||
Cable/Satellite TV - 0.5% |
| |||||||
Liberty Latin America, Ltd., Class A | 59,100 | 670,785 | ||||||
Liberty Latin America, Ltd., Class C | 70,150 | 793,396 | ||||||
WideOpenWest, Inc. | 42,700 | 349,713 | ||||||
|
| |||||||
1,813,894 | ||||||||
|
| |||||||
Casino Hotels - 0.2% |
| |||||||
Boyd Gaming Corp. | 14,500 | 558,105 | ||||||
|
| |||||||
Casino Services - 0.7% |
| |||||||
Caesars Entertainment, Inc. | 33,200 | 2,261,584 | ||||||
Scientific Games Corp. | 5,400 | 201,312 | ||||||
|
| |||||||
2,462,896 | ||||||||
|
| |||||||
Chemicals-Diversified - 0.4% |
| |||||||
Koppers Holdings, Inc. | 41,700 | 1,128,819 | ||||||
Orion Engineered Carbons SA | 11,500 | 178,940 | ||||||
|
| |||||||
1,307,759 | ||||||||
|
| |||||||
Chemicals-Specialty - 0.7% |
| |||||||
H.B. Fuller Co. | 1,100 | 57,563 | ||||||
Kraton Corp. | 16,100 | 434,700 | ||||||
Minerals Technologies, Inc. | 15,560 | 944,025 |
PQ Group Holdings, Inc. | 20,300 | 259,637 | ||||||
Tronox Holdings PLC, Class A | 64,600 | 817,190 | ||||||
|
| |||||||
2,513,115 | ||||||||
|
| |||||||
Circuit Boards - 0.1% |
| |||||||
TTM Technologies, Inc. | 34,000 | 444,040 | ||||||
|
| |||||||
Coal - 0.7% |
| |||||||
Arch Resources, Inc. | 22,100 | 739,024 | ||||||
SunCoke Energy, Inc. | 171,000 | 769,500 | ||||||
Warrior Met Coal, Inc. | 63,200 | 1,100,944 | ||||||
|
| |||||||
2,609,468 | ||||||||
|
| |||||||
Coffee - 0.0% |
| |||||||
Farmer Brothers Co. | 15,800 | 70,310 | ||||||
|
| |||||||
Commercial Services - 0.2% |
| |||||||
SP Plus Corp. | 13,900 | 395,316 | ||||||
WW International, Inc. | 8,900 | 262,639 | ||||||
|
| |||||||
657,955 | ||||||||
|
| |||||||
Commercial Services-Finance - 0.1% |
| |||||||
Green Dot Corp., Class A | 8,900 | 476,684 | ||||||
|
| |||||||
Computer Data Security - 0.0% |
| |||||||
SecureWorks Corp., Class A | 9,011 | 101,734 | ||||||
|
| |||||||
Computer Services - 0.7% |
| |||||||
Conduent, Inc. | 284,500 | 1,200,590 | ||||||
Perspecta, Inc. | 25,000 | 560,500 | ||||||
StarTek, Inc. | 55,600 | 434,792 | ||||||
Sykes Enterprises, Inc. | 11,100 | 417,693 | ||||||
|
| |||||||
2,613,575 | ||||||||
|
| |||||||
Computers-Integrated Systems - 0.2% |
| |||||||
Diebold Nixdorf, Inc. | 91,700 | 868,399 | ||||||
|
| |||||||
Consulting Services - 0.9% |
| |||||||
GP Strategies Corp. | 27,600 | 317,400 | ||||||
Huron Consulting Group, Inc. | 13,300 | 586,131 | ||||||
ICF International, Inc. | 5,100 | 369,393 | ||||||
Kelly Services, Inc., Class A | 100,000 | 2,046,000 | ||||||
|
| |||||||
3,318,924 | ||||||||
|
| |||||||
Consumer Products-Misc. - 0.7% |
| |||||||
Central Garden & Pet Co. | 16,600 | 664,664 | ||||||
Central Garden & Pet Co., Class A | 31,800 | 1,173,102 | ||||||
Quanex Building Products Corp. | 25,300 | 521,180 | ||||||
|
| |||||||
2,358,946 | ||||||||
|
| |||||||
Containers-Metal/Glass - 0.1% |
| |||||||
Greif, Inc., Class A | 2,000 | 97,220 | ||||||
O-I Glass, Inc. | 16,500 | 186,780 | ||||||
|
| |||||||
284,000 | ||||||||
|
| |||||||
Containers-Paper/Plastic - 0.1% |
| |||||||
Pactiv Evergreen Inc | 8,200 | 138,416 | ||||||
TriMas Corp. | 1,700 | 45,441 | ||||||
|
| |||||||
183,857 | ||||||||
|
| |||||||
Cosmetics & Toiletries - 0.2% |
| |||||||
Edgewell Personal Care Co. | 19,800 | 688,050 | ||||||
|
| |||||||
Dental Supplies & Equipment - 0.1% |
| |||||||
Patterson Cos., Inc. | 7,600 | 210,976 | ||||||
|
| |||||||
Dialysis Centers - 0.0% |
| |||||||
American Renal Associates Holdings, Inc. | 13,500 | 154,035 | ||||||
|
| |||||||
Distribution/Wholesale - 2.3% |
| |||||||
Avient Corp. | 41,200 | 1,505,860 | ||||||
Core-Mark Holding Co., Inc. | 23,100 | 720,489 | ||||||
Fossil Group, Inc. | 10,200 | 108,120 | ||||||
G-III Apparel Group, Ltd. | 47,500 | 967,575 | ||||||
H&E Equipment Services, Inc. | 3,700 | 99,456 | ||||||
KAR Auction Services, Inc. | 3,400 | 61,370 | ||||||
Resideo Technologies, Inc. | 3,400 | 62,866 | ||||||
ScanSource, Inc. | 68,700 | 1,724,370 | ||||||
Titan Machinery, Inc. | 10,800 | 197,316 | ||||||
Veritiv Corp. | 20,300 | 377,174 | ||||||
WESCO International, Inc. | 31,857 | 2,077,713 | ||||||
|
| |||||||
7,902,309 | ||||||||
|
| |||||||
Diversified Manufacturing Operations - 0.2% |
| |||||||
EnPro Industries, Inc. | 5,000 | 354,050 | ||||||
Fabrinet | 5,200 | 355,212 | ||||||
|
| |||||||
709,262 | ||||||||
|
| |||||||
Drug Delivery Systems - 0.1% |
| |||||||
Revance Therapeutics, Inc. | 10,400 | 251,056 | ||||||
|
| |||||||
E-Commerce/Products - 0.1% |
| |||||||
Overstock.com, Inc. | 3,900 | 263,211 | ||||||
|
| |||||||
E-Commerce/Services - 0.5% |
| |||||||
Cars.com, Inc. | 118,300 | 1,321,411 | ||||||
Groupon, Inc. | 10,600 | 319,696 | ||||||
|
| |||||||
1,641,107 | ||||||||
|
| |||||||
E-Marketing/Info - 0.1% |
| |||||||
comScore, Inc. | 124,900 | 318,495 | ||||||
|
| |||||||
Electric Products-Misc. - 0.0% |
| |||||||
Graham Corp. | 2,700 | 42,633 | ||||||
|
| |||||||
Electric-Distribution - 0.2% |
| |||||||
Genie Energy, Ltd., Class B | 6,400 | 53,120 | ||||||
Spark Energy, Inc., Class A# | 31,100 | 288,608 | ||||||
Unitil Corp. | 6,700 | 273,896 | ||||||
|
| |||||||
615,624 | ||||||||
|
| |||||||
Electric-Generation - 0.2% |
| |||||||
Atlantic Power Corp. | 259,100 | 533,746 | ||||||
|
| |||||||
Electric-Integrated - 1.6% |
| |||||||
ALLETE, Inc. | 13,300 | 747,992 | ||||||
Avista Corp. | 14,280 | 535,786 | ||||||
Black Hills Corp. | 19,400 | 1,180,102 | ||||||
IDACORP, Inc. | 7,900 | 715,582 | ||||||
NorthWestern Corp. | 4,200 | 243,600 | ||||||
Portland General Electric Co. | 48,400 | 2,002,792 | ||||||
|
| |||||||
5,425,854 | ||||||||
|
| |||||||
Electronic Components-Misc. - 1.5% |
| |||||||
Bel Fuse, Inc., Class B | 18,700 | 274,142 | ||||||
Benchmark Electronics, Inc. | 73,621 | 1,790,463 | ||||||
Comtech Telecommunications Corp. | 3,800 | 72,428 | ||||||
Sanmina Corp. | 43,200 | 1,374,408 | ||||||
SMART Global Holdings, Inc. | 34,600 | 1,061,874 |
Vishay Intertechnology, Inc. | 32,700 | 633,072 | ||||||
|
| |||||||
5,206,387 | ||||||||
|
| |||||||
Electronic Components-Semiconductors - 0.3% |
| |||||||
Amkor Technology, Inc. | 44,200 | 651,508 | ||||||
GSI Technology, Inc. | 7,600 | 50,464 | ||||||
Photronics, Inc. | 29,100 | 337,269 | ||||||
|
| |||||||
1,039,241 | ||||||||
|
| |||||||
Electronic Security Devices - 0.1% |
| |||||||
API Group Corp.* | 27,000 | 418,500 | ||||||
|
| |||||||
Energy-Alternate Sources - 1.0% |
| |||||||
FutureFuel Corp. | 35,300 | 423,247 | ||||||
Green Plains, Inc. | 43,200 | 638,496 | ||||||
Maxeon Solar Technologies, Ltd.# | 7,925 | 193,528 | ||||||
Renewable Energy Group, Inc. | 24,000 | 1,393,920 | ||||||
REX American Resources Corp. | 6,500 | 510,250 | ||||||
SunPower Corp.# | 21,300 | 472,008 | ||||||
|
| |||||||
3,631,449 | ||||||||
|
| |||||||
Engineering/R&D Services - 0.7% |
| |||||||
Fluor Corp. | 36,100 | 623,447 | ||||||
KBR, Inc. | 66,900 | 1,857,813 | ||||||
|
| |||||||
2,481,260 | ||||||||
|
| |||||||
Enterprise Software/Service - 0.6% |
| |||||||
ACI Worldwide, Inc. | 12,000 | 390,960 | ||||||
Asure Software, Inc. | 33,800 | 261,612 | ||||||
Donnelley Financial Solutions, Inc. | 19,300 | 314,397 | ||||||
MicroStrategy, Inc., Class A | 2,400 | 822,648 | ||||||
Verint Systems, Inc. | 5,700 | 324,672 | ||||||
|
| |||||||
2,114,289 | ||||||||
|
| |||||||
Finance-Commercial - 0.0% |
| |||||||
Marlin Business Services Corp. | 11,800 | 122,602 | ||||||
MMA Capital Holdings, Inc. | 1,900 | 47,329 | ||||||
|
| |||||||
169,931 | ||||||||
|
| |||||||
Finance-Consumer Loans - 0.6% |
| |||||||
Enova International, Inc. | 13,700 | 286,467 | ||||||
EZCORP, Inc., Class A | 28,300 | 144,047 | ||||||
Navient Corp. | 77,900 | 729,923 | ||||||
Nelnet, Inc., Class A | 12,400 | 841,960 | ||||||
Regional Management Corp. | 3,500 | 93,555 | ||||||
|
| |||||||
2,095,952 | ||||||||
|
| |||||||
Finance-Investment Banker/Broker - 0.5% |
| |||||||
Cowen, Inc., Class A | 46,155 | 1,105,874 | ||||||
Oppenheimer Holdings, Inc., Class A | 3,100 | 91,419 | ||||||
Piper Sandler Cos. | 6,900 | 635,973 | ||||||
|
| |||||||
1,833,266 | ||||||||
|
| |||||||
Finance-Leasing Companies - 0.3% |
| |||||||
Aarons Holdings Co., Inc. | 14,000 | 881,020 | ||||||
|
| |||||||
Finance-Mortgage Loan/Banker - 0.6% |
| |||||||
Mr. Cooper Group, Inc. | 40,500 | 1,079,730 | ||||||
Oportun Financial Corp. | 14,000 | 236,740 | ||||||
PennyMac Financial Services, Inc. | 11,300 | 651,332 | ||||||
|
| |||||||
1,967,802 | ||||||||
|
| |||||||
Finance-Other Services - 0.0% |
| |||||||
BGC Partners, Inc., Class A | 12,600 | 52,164 | ||||||
|
| |||||||
Financial Guarantee Insurance - 0.9% |
| |||||||
MBIA, Inc. | 26,300 | 167,531 | ||||||
MGIC Investment Corp. | 77,900 | 931,684 | ||||||
NMI Holdings, Inc., Class A | 10,400 | 227,864 | ||||||
Radian Group, Inc. | 104,600 | 1,974,848 | ||||||
|
| |||||||
3,301,927 | ||||||||
|
| |||||||
Food-Canned - 0.1% |
| |||||||
Seneca Foods Corp., Class A | 7,600 | 318,288 | ||||||
|
| |||||||
Food-Misc./Diversified - 0.1% |
| |||||||
B&G Foods, Inc.# | 10,500 | 290,745 | ||||||
|
| |||||||
Food-Wholesale/Distribution - 0.5% |
| |||||||
Performance Food Group Co. | 16,300 | 707,094 | ||||||
SpartanNash Co. | 33,847 | 639,031 | ||||||
United Natural Foods, Inc. | 28,300 | 488,175 | ||||||
|
| |||||||
1,834,300 | ||||||||
|
| |||||||
Footwear & Related Apparel - 0.1% |
| |||||||
Wolverine World Wide, Inc. | 18,200 | 525,252 | ||||||
|
| |||||||
Gas-Distribution - 1.2% |
| |||||||
New Jersey Resources Corp. | 17,300 | 571,419 | ||||||
Northwest Natural Holding Co. | 3,300 | 158,136 | ||||||
ONE Gas, Inc. | 10,600 | 839,308 | ||||||
Southwest Gas Holdings, Inc. | 26,440 | 1,698,770 | ||||||
Spire, Inc. | 15,500 | 991,380 | ||||||
|
| |||||||
4,259,013 | ||||||||
|
| |||||||
Hazardous Waste Disposal - 0.1% |
| |||||||
Heritage-Crystal Clean, Inc. | 10,400 | 200,408 | ||||||
|
| |||||||
Home Furnishings - 0.4% |
| |||||||
Hooker Furniture Corp. | 8,600 | 260,322 | ||||||
Purple Innovation, Inc. | 26,100 | 778,302 | ||||||
Sleep Number Corp. | 5,300 | 367,767 | ||||||
|
| |||||||
1,406,391 | ||||||||
|
| |||||||
Housewares - 0.2% |
| |||||||
Lifetime Brands, Inc. | 28,200 | 379,854 | ||||||
Tupperware Brands Corp. | 13,100 | 440,815 | ||||||
|
| |||||||
820,669 | ||||||||
|
| |||||||
Human Resources - 1.5% |
| |||||||
Barrett Business Services, Inc. | 10,400 | 693,784 | ||||||
Cross Country Healthcare, Inc. | 89,500 | 778,650 | ||||||
Heidrick & Struggles International, Inc. | 49,100 | 1,281,510 | ||||||
Insperity, Inc. | 1,100 | 94,050 | ||||||
Korn Ferry | 19,900 | 796,796 | ||||||
TrueBlue, Inc. | 90,100 | 1,720,910 | ||||||
|
| |||||||
5,365,700 | ||||||||
|
| |||||||
Independent Power Producers - 1.0% |
| |||||||
Clearway Energy, Inc., Class A | 54,400 | 1,476,416 | ||||||
Clearway Energy, Inc., Class C | 43,800 | 1,282,026 | ||||||
Vistra Corp. | 42,629 | 796,310 | ||||||
|
| |||||||
3,554,752 | ||||||||
|
|
Insurance-Life/Health - 0.9% |
| |||||||
American Equity Investment Life Holding Co. | 39,000 | 1,024,920 | ||||||
CNO Financial Group, Inc. | 91,520 | 1,947,545 | ||||||
Security National Financial Corp., Class A | 6,162 | 49,358 | ||||||
|
| |||||||
3,021,823 | ||||||||
|
| |||||||
Insurance-Property/Casualty - 0.8% |
| |||||||
Ambac Financial Group, Inc. | 23,400 | 342,576 | ||||||
AMERISAFE, Inc. | 600 | 32,838 | ||||||
FedNat Holding Co. | 22,700 | 128,028 | ||||||
First American Financial Corp. | 8,175 | 395,997 | ||||||
Heritage Insurance Holdings, Inc. | 18,800 | 194,392 | ||||||
Horace Mann Educators Corp. | 8,780 | 350,498 | ||||||
ProAssurance Corp. | 16,700 | 265,697 | ||||||
ProSight Global, Inc. | 16,400 | 209,100 | ||||||
Selective Insurance Group, Inc. | 1,800 | 111,276 | ||||||
Stewart Information Services Corp. | 14,200 | 594,554 | ||||||
United Insurance Holdings Corp. | 31,300 | 138,659 | ||||||
|
| |||||||
2,763,615 | ||||||||
|
| |||||||
Insurance-Reinsurance - 0.8% |
| |||||||
Argo Group International Holdings, Ltd. | 13,775 | 539,842 | ||||||
Essent Group, Ltd. | 44,000 | 1,929,840 | ||||||
Third Point Reinsurance, Ltd. | 25,000 | 238,500 | ||||||
|
| |||||||
2,708,182 | ||||||||
|
| |||||||
Internet Content-Information/News - 0.2% |
| |||||||
Yelp, Inc. | 20,200 | 645,188 | ||||||
|
| |||||||
Investment Management/Advisor Services - 1.2% |
| |||||||
Artisan Partners Asset Management, Inc., Class A | 1,400 | 63,000 | ||||||
Blucora, Inc. | 14,400 | 187,776 | ||||||
Boston Private Financial Holdings, Inc. | 49,200 | 352,272 | ||||||
Federated Hermes, Inc. | 16,700 | 448,228 | ||||||
Stifel Financial Corp. | 33,700 | 2,335,410 | ||||||
Virtus Investment Partners, Inc. | 3,900 | 697,632 | ||||||
|
| |||||||
4,084,318 | ||||||||
|
| |||||||
Machinery-Construction & Mining - 0.7% |
| |||||||
Astec Industries, Inc. | 14,300 | 829,400 | ||||||
Manitowoc Co, Inc. | 9,000 | 99,990 | ||||||
Terex Corp. | 53,800 | 1,667,800 | ||||||
|
| |||||||
2,597,190 | ||||||||
|
| |||||||
Machinery-Electrical - 0.6% |
| |||||||
Argan, Inc. | 48,000 | 2,207,520 | ||||||
Bloom Energy Corp., Class A# | 1,500 | 36,780 | ||||||
|
| |||||||
2,244,300 | ||||||||
|
| |||||||
Machinery-Farming - 0.3% |
| |||||||
AGCO Corp. | 10,160 | 939,902 | ||||||
|
| |||||||
Machinery-General Industrial - 0.9% | ||||||||
Albany International Corp., Class A | 1,000 | 68,530 | ||||||
Altra Industrial Motion Corp. | 34,600 | 1,963,896 | ||||||
Applied Industrial Technologies, Inc. | 10,600 | 831,358 | ||||||
DXP Enterprises, Inc. | 12,300 | 259,038 | ||||||
Gencor Industries, Inc. | 6,600 | 79,596 | ||||||
Ranpak Holdings Corp. | 9,900 | 111,969 | ||||||
|
| |||||||
3,314,387 | ||||||||
|
| |||||||
Machinery-Material Handling - 0.1% |
| |||||||
Columbus McKinnon Corp. | 8,000 | 302,320 | ||||||
|
| |||||||
Machinery-Pumps - 0.1% |
| |||||||
Cactus, Inc., Class A | 9,900 | 229,680 | ||||||
CIRCOR International, Inc. | 3,200 | 105,824 | ||||||
|
| |||||||
335,504 | ||||||||
|
| |||||||
Medical Information Systems - 0.4% |
| |||||||
Allscripts Healthcare Solutions, Inc. | 97,000 | 1,326,960 | ||||||
Computer Programs & Systems, Inc. | 3,300 | 93,819 | ||||||
|
| |||||||
1,420,779 | ||||||||
|
| |||||||
Medical Instruments - 0.1% |
| |||||||
Apyx Medical Corp. | 36,100 | 276,165 | ||||||
|
| |||||||
Medical Labs & Testing Services - 0.2% |
| |||||||
MEDNAX, Inc. | 29,100 | 588,111 | ||||||
|
| |||||||
Medical Products - 0.3% |
| |||||||
Hanger, Inc. | 9,400 | 213,286 | ||||||
Invacare Corp. | 27,600 | 235,428 | ||||||
LivaNova PLC | 3,000 | 158,550 | ||||||
Orthofix Medical, Inc. | 16,600 | 610,216 | ||||||
|
| |||||||
1,217,480 | ||||||||
|
| |||||||
Medical-Biomedical/Gene - 2.0% |
| |||||||
Acceleron Pharma, Inc. | 4,700 | 554,929 | ||||||
Akero Therapeutics, Inc. | 10,100 | 290,678 | ||||||
ANI Pharmaceuticals, Inc. | 9,600 | 283,776 | ||||||
Arcus Biosciences, Inc. | 28,930 | 787,764 | ||||||
BioCryst Pharmaceuticals, Inc. | 24,400 | 124,684 | ||||||
Epizyme, Inc. | 20,600 | 283,044 | ||||||
Fate Therapeutics, Inc. | 15,200 | 888,668 | ||||||
Five Prime Therapeutics, Inc. | 14,100 | 265,080 | ||||||
Iovance Biotherapeutics, Inc. | 20,900 | 811,129 | ||||||
Karyopharm Therapeutics, Inc. | 13,000 | 220,870 | ||||||
Myriad Genetics, Inc. | 8,500 | 149,090 | ||||||
Novavax, Inc. | 9,000 | 1,255,500 | ||||||
Scholar Rock Holding Corp. | 12,600 | 627,732 | ||||||
WaVe Life Sciences, Ltd. | 33,100 | 291,942 | ||||||
|
| |||||||
6,834,886 | ||||||||
|
| |||||||
Medical-Drugs - 1.3% |
| |||||||
89bio, Inc. | 14,300 | 386,243 | ||||||
Enanta Pharmaceuticals, Inc. | 3,100 | 127,720 | ||||||
Intra-Cellular Therapies, Inc. | 11,600 | 274,224 | ||||||
Kala Pharmaceuticals, Inc.# | 15,800 | 117,868 | ||||||
Lannett Co., Inc.# | 199,740 | 1,230,399 | ||||||
Minerva Neurosciences, Inc.# | 21,300 | 82,857 | ||||||
Prestige Consumer Healthcare, Inc. | 8,000 | 284,560 | ||||||
Protagonist Therapeutics, Inc. | 49,800 | 1,203,168 | ||||||
Spectrum Pharmaceuticals, Inc. | 121,700 | 573,207 | ||||||
Spero Therapeutics, Inc.# | 16,962 | 281,060 | ||||||
Zogenix, Inc. | 3,000 | 64,290 | ||||||
|
| |||||||
4,625,596 | ||||||||
|
| |||||||
Medical-Generic Drugs - 0.4% |
| |||||||
Endo International PLC | 309,000 | 1,569,720 | ||||||
|
| |||||||
Medical-HMO - 0.5% |
| |||||||
Magellan Health, Inc. | 9,300 | 735,165 |
Tivity Health, Inc. | 48,500 | 893,855 | ||||||
|
| |||||||
1,629,020 | ||||||||
|
| |||||||
Medical-Hospitals - 0.7% |
| |||||||
Surgery Partners, Inc. | 25,000 | 610,750 | ||||||
Tenet Healthcare Corp. | 59,200 | 1,860,656 | ||||||
|
| |||||||
2,471,406 | ||||||||
|
| |||||||
Medical-Nursing Homes - 0.0% |
| |||||||
National HealthCare Corp. | 2,100 | 130,662 | ||||||
|
| |||||||
Metal Processors & Fabrication - 0.2% |
| |||||||
AZZ, Inc. | 3,403 | 151,740 | ||||||
LB Foster Co., Class A | 5,200 | 75,712 | ||||||
Mueller Industries, Inc. | 1,300 | 42,588 | ||||||
Rexnord Corp. | 11,700 | 438,867 | ||||||
|
| |||||||
708,907 | ||||||||
|
| |||||||
Metal Products-Distribution - 0.2% |
| |||||||
Worthington Industries, Inc. | 12,140 | 627,881 | ||||||
|
| |||||||
Metal-Aluminum - 0.6% |
| |||||||
Alcoa Corp. | 45,700 | 909,430 | ||||||
Arconic Corp. | 17,400 | 478,674 | ||||||
Century Aluminum Co. | 9,200 | 93,380 | ||||||
Kaiser Aluminum Corp. | 9,050 | 705,719 | ||||||
|
| |||||||
2,187,203 | ||||||||
|
| |||||||
Metal-Iron - 0.1% |
| |||||||
Cleveland-Cliffs, Inc.# | 25,400 | 279,654 | ||||||
|
| |||||||
Motion Pictures & Services - 0.1% |
| |||||||
Eros STX Global Corp.# | 161,100 | 343,143 | ||||||
|
| |||||||
Multimedia - 0.1% |
| |||||||
E.W. Scripps Co., Class A | 32,500 | 414,700 | ||||||
|
| |||||||
Networking Products - 0.3% |
| |||||||
Infinera Corp. | 78,100 | 660,726 | ||||||
NeoPhotonics Corp. | 57,400 | 462,644 | ||||||
|
| |||||||
1,123,370 | ||||||||
|
| |||||||
Office Automation & Equipment - 0.1% |
| |||||||
Pitney Bowes, Inc. | 74,200 | 422,940 | ||||||
|
| |||||||
Office Furnishings-Original - 1.0% |
| |||||||
Herman Miller, Inc. | 44,400 | 1,582,416 | ||||||
HNI Corp. | 11,100 | 404,706 | ||||||
Kimball International, Inc., Class B | 7,400 | 80,882 | ||||||
Knoll, Inc. | 24,100 | 329,206 | ||||||
Steelcase, Inc., Class A | 90,400 | 1,098,360 | ||||||
|
| |||||||
3,495,570 | ||||||||
|
| |||||||
Office Supplies & Forms - 0.4% |
| |||||||
ACCO Brands Corp. | 189,400 | 1,450,804 | ||||||
|
| |||||||
Oil & Gas Drilling - 0.1% |
| |||||||
Patterson-UTI Energy, Inc. | 59,900 | 258,169 | ||||||
|
| |||||||
Oil Companies-Exploration & Production - 1.4% |
| |||||||
Berry Corp. | 180,000 | 691,200 | ||||||
Bonanza Creek Energy, Inc. | 15,500 | 342,085 | ||||||
CNX Resources Corp. | 27,300 | 256,893 | ||||||
Evolution Petroleum Corp. | 19,800 | 60,192 | ||||||
Falcon Minerals Corp. | 95,800 | 220,340 | ||||||
Kosmos Energy, Ltd. | 36,100 | 63,536 | ||||||
Magnolia Oil & Gas Corp., Class A# | 102,800 | 642,500 | ||||||
Matador Resources Co. | 32,600 | 331,868 | ||||||
Ovintiv, Inc. | 45,600 | 581,856 | ||||||
PDC Energy, Inc. | 65,300 | 1,091,816 | ||||||
Range Resources Corp. | 28,100 | 205,130 | ||||||
Southwestern Energy Co. | 68,400 | 212,724 | ||||||
Talos Energy, Inc. | 9,900 | 84,744 | ||||||
W&T Offshore, Inc.# | 58,600 | 114,856 | ||||||
|
| |||||||
4,899,740 | ||||||||
|
| |||||||
Oil Field Machinery & Equipment - 0.0% |
| |||||||
Thermon Group Holdings, Inc. | 2,000 | 28,280 | ||||||
|
| |||||||
Oil Refining & Marketing - 0.4% |
| |||||||
CVR Energy, Inc. | 32,000 | 452,480 | ||||||
Delek US Holdings, Inc. | 37,100 | 493,059 | ||||||
Murphy USA, Inc. | 1,800 | 230,760 | ||||||
Par Pacific Holdings, Inc. | 15,400 | 175,406 | ||||||
PBF Energy, Inc., Class A | 6,800 | 49,368 | ||||||
|
| |||||||
1,401,073 | ||||||||
|
| |||||||
Oil-Field Services - 1.4% |
| |||||||
ChampionX Corp. | 38,500 | 457,380 | ||||||
Helix Energy Solutions Group, Inc. | 36,500 | 137,240 | ||||||
Liberty Oilfield Services, Inc., Class A | 11,000 | 102,300 | ||||||
Matrix Service Co. | 93,400 | 894,772 | ||||||
MRC Global, Inc. | 74,400 | 430,032 | ||||||
National Energy Services Reunited Corp.# | 11,200 | 97,888 | ||||||
NexTier Oilfield Solutions, Inc. | 190,766 | 534,145 | ||||||
NOW, Inc. | 226,700 | 1,264,986 | ||||||
Oceaneering International, Inc. | 42,200 | 256,154 | ||||||
Oil States International, Inc. | 32,300 | 143,412 | ||||||
ProPetro Holding Corp. | 3,800 | 21,926 | ||||||
Select Energy Services, Inc., Class A | 115,100 | 486,873 | ||||||
|
| |||||||
4,827,108 | ||||||||
|
| |||||||
Paper & Related Products - 1.0% |
| |||||||
Domtar Corp. | 38,940 | 1,172,094 | ||||||
Glatfelter Corp. | 16,100 | 258,888 | ||||||
Neenah, Inc. | 9,100 | 441,441 | ||||||
Schweitzer-Mauduit International, Inc. | 37,900 | 1,318,162 | ||||||
Verso Corp., Class A | 42,000 | 454,020 | ||||||
|
| |||||||
3,644,605 | ||||||||
|
| |||||||
Pastoral & Agricultural - 0.5% |
| |||||||
Darling Ingredients, Inc. | 33,000 | 1,593,240 | ||||||
|
| |||||||
Poultry - 0.0% |
| |||||||
Sanderson Farms, Inc. | 725 | 99,129 | ||||||
|
| |||||||
Power Converter/Supply Equipment - 0.2% |
| |||||||
Powell Industries, Inc. | 28,600 | 738,738 | ||||||
|
| |||||||
Printing-Commercial - 0.3% |
| |||||||
Cimpress PLC# | 1,100 | 98,593 | ||||||
Deluxe Corp. | 12,400 | 319,176 | ||||||
Ennis, Inc. | 8,900 | 145,693 | ||||||
Quad/Graphics, Inc. | 101,300 | 314,030 | ||||||
|
| |||||||
877,492 | ||||||||
|
|
Publishing-Books - 0.3% |
| |||||||
Gannett Co, Inc. | 98,200 | 278,888 | ||||||
Houghton Mifflin Harcourt Co. | 253,400 | 762,734 | ||||||
|
| |||||||
1,041,622 | ||||||||
|
| |||||||
Publishing-Newspapers - 0.2% |
| |||||||
TEGNA, Inc. | 40,000 | 576,400 | ||||||
|
| |||||||
Publishing-Periodicals - 0.0% |
| |||||||
Meredith Corp. | 4,900 | 99,715 | ||||||
|
| |||||||
Racetracks - 0.4% |
| |||||||
Penn National Gaming, Inc. | 20,500 | 1,435,000 | ||||||
|
| |||||||
Real Estate Investment Trusts - 10.8% |
| |||||||
Acadia Realty Trust | 26,900 | 381,980 | ||||||
Agree Realty Corp. | 5,700 | 375,630 | ||||||
Alexander & Baldwin, Inc. | 46,875 | 733,594 | ||||||
American Assets Trust, Inc. | 28,500 | 817,665 | ||||||
American Finance Trust, Inc. | 71,700 | 529,146 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 51,900 | 559,482 | ||||||
Ares Commercial Real Estate Corp. | 58,300 | 649,462 | ||||||
Armada Hoffler Properties, Inc. | 46,700 | 495,487 | ||||||
ARMOUR Residential REIT, Inc. | 19,200 | 203,136 | ||||||
Blackstone Mtg. Trust, Inc., Class A# | 52,400 | 1,361,352 | ||||||
Bluerock Residential Growth REIT, Inc. | 1,500 | 15,300 | ||||||
Broadstone Net Lease, Inc., Class A | 38,300 | 675,229 | ||||||
BRT Apartments Corp. | 2,500 | 32,650 | ||||||
CareTrust REIT, Inc. | 8,900 | 172,927 | ||||||
CatchMark Timber Trust, Inc., Class A | 21,800 | 209,062 | ||||||
Chatham Lodging Trust | 15,700 | 172,857 | ||||||
Cherry Hill Mtg. Investment Corp.# | 3,087 | 27,968 | ||||||
City Office REIT, Inc. | 84,200 | 738,434 | ||||||
Colony Credit Real Estate, Inc. | 5,000 | 36,300 | ||||||
Columbia Property Trust, Inc. | 10,300 | 143,994 | ||||||
CoreCivic, Inc. | 8,400 | 59,556 | ||||||
CorePoint Lodging, Inc. | 25,400 | 165,354 | ||||||
Cousins Properties, Inc. | 15,949 | 532,856 | ||||||
DiamondRock Hospitality Co. | 210,934 | 1,586,224 | ||||||
Diversified Healthcare Trust | 19,200 | 84,672 | ||||||
Dynex Capital, Inc.# | 6,200 | 109,182 | ||||||
Easterly Government Properties, Inc. | 13,500 | 292,410 | ||||||
Ellington Financial, Inc. | 8,900 | 128,160 | ||||||
Essential Properties Realty Trust, Inc. | 19,100 | 392,314 | ||||||
First Industrial Realty Trust, Inc. | 15,900 | 665,892 | ||||||
Franklin Street Properties Corp. | 6,300 | 29,232 | ||||||
GEO Group, Inc.# | 12,600 | 119,070 | ||||||
Getty Realty Corp. | 22,546 | 640,081 | ||||||
Gladstone Commercial Corp. | 41,800 | 756,162 | ||||||
Global Medical REIT, Inc. | 4,800 | 65,712 | ||||||
Global Net Lease, Inc. | 41,600 | 694,304 | ||||||
Granite Point Mtg. Trust, Inc. | 29,100 | 269,466 | ||||||
Great Ajax Corp. | 6,300 | 62,496 | ||||||
Healthcare Realty Trust, Inc. | 19,700 | 581,150 | ||||||
Hersha Hospitality Trust | 2,700 | 21,870 | ||||||
Highwoods Properties, Inc. | 10,400 | 398,320 | ||||||
Hudson Pacific Properties, Inc. | 5,000 | 130,000 | ||||||
Innovative Industrial Properties, Inc. | 1,500 | 230,490 | ||||||
Invesco Mtg. Capital, Inc.# | 20,486 | 68,014 | ||||||
Investors Real Estate Trust | 3,500 | 242,900 | ||||||
Kite Realty Group Trust | 30,700 | 442,080 | ||||||
KKR Real Estate Finance Trust, Inc. | 26,500 | 483,095 | ||||||
Ladder Capital Corp. | 114,300 | 1,042,416 | ||||||
Lexington Realty Trust | 31,200 | 318,552 | ||||||
Mack-Cali Realty Corp. | 21,400 | 292,324 | ||||||
Monmouth Real Estate Investment Corp. | 4,400 | 65,252 | ||||||
National Health Investors, Inc. | 1,000 | 64,660 | ||||||
New Senior Investment Group, Inc. | 173,700 | 960,561 | ||||||
New York Mtg. Trust, Inc. | 84,800 | 298,072 | ||||||
NexPoint Residential Trust, Inc. | 1,208 | 53,526 | ||||||
Office Properties Income Trust | 2,000 | 45,700 | ||||||
One Liberty Properties, Inc. | 1,932 | 34,351 | ||||||
Pebblebrook Hotel Trust | 11,293 | 208,920 | ||||||
PennyMac Mtg. Investment Trust | 50,000 | 855,000 | ||||||
Physicians Realty Trust | 39,900 | 692,265 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 41,100 | 642,393 | ||||||
Plymouth Industrial REIT, Inc. | 2,000 | 26,280 | ||||||
PotlatchDeltic Corp. | 32,000 | 1,489,280 | ||||||
PS Business Parks, Inc. | 1,300 | 171,340 | ||||||
QTS Realty Trust, Inc., Class A# | 900 | 53,469 | ||||||
Ready Capital Corp. | 21,300 | 275,622 | ||||||
Redwood Trust, Inc. | 109,500 | 947,175 | ||||||
Retail Opportunity Investments Corp. | 34,700 | 450,406 | ||||||
Retail Properties of America, Inc., Class A | 86,000 | 696,600 | ||||||
Retail Value, Inc. | 6,000 | 92,400 | ||||||
RLJ Lodging Trust | 28,826 | 355,425 | ||||||
Ryman Hospitality Properties, Inc. | 2,300 | 147,637 | ||||||
Sabra Health Care REIT, Inc. | 67,400 | 1,110,752 | ||||||
Saul Centers, Inc. | 1,200 | 37,440 | ||||||
Service Properties Trust | 42,740 | 506,896 | ||||||
SITE Centers Corp. | 63,100 | 636,679 | ||||||
STAG Industrial, Inc. | 41,300 | 1,229,914 | ||||||
Summit Hotel Properties, Inc. | 13,000 | 112,970 | ||||||
Sunstone Hotel Investors, Inc. | 216,972 | 2,278,206 | ||||||
TPG RE Finance Trust, Inc. | 55,600 | 576,572 | ||||||
Two Harbors Investment Corp. | 181,005 | 1,129,471 | ||||||
UMH Properties, Inc. | 7,000 | 100,310 | ||||||
Urban Edge Properties | 60,000 | 778,800 | ||||||
Urstadt Biddle Properties, Inc., Class A | 8,300 | 116,532 | ||||||
Xenia Hotels & Resorts, Inc. | 94,800 | 1,335,732 | ||||||
|
| |||||||
37,812,617 | ||||||||
|
| |||||||
Real Estate Management/Services - 0.5% |
| |||||||
Newmark Group, Inc., Class A | 65,829 | 462,120 | ||||||
Realogy Holdings Corp.# | 105,200 | 1,295,012 | ||||||
|
| |||||||
1,757,132 | ||||||||
|
| |||||||
Rental Auto/Equipment - 0.1% |
| |||||||
Rent-A-Center, Inc. | 11,000 | 372,020 | ||||||
|
| |||||||
Resort/Theme Parks - 0.5% |
| |||||||
Marriott Vacations Worldwide Corp. | 13,000 | 1,655,290 | ||||||
|
| |||||||
Retail-Apparel/Shoe - 1.1% |
| |||||||
Abercrombie & Fitch Co., Class A | 86,800 | 1,800,232 | ||||||
Caleres, Inc. | 33,700 | 396,649 | ||||||
Childrens Place, Inc. | 4,800 | 206,304 | ||||||
Genesco, Inc. | 28,700 | 900,319 |
Guess?, Inc.# | 36,200 | 607,798 | ||||||
|
| |||||||
3,911,302 | ||||||||
|
| |||||||
Retail-Appliances - 0.0% |
| |||||||
Conns, Inc. | 5,500 | 60,967 | ||||||
|
| |||||||
Retail-Arts & Crafts - 0.1% |
| |||||||
Michaels Cos., Inc.# | 22,700 | 224,503 | ||||||
|
| |||||||
Retail-Automobile - 0.8% |
| |||||||
Group 1 Automotive, Inc. | 5,900 | 700,979 | ||||||
Lithia Motors, Inc., Class A | 2,500 | 723,250 | ||||||
Rush Enterprises, Inc., Class A | 11,700 | 448,461 | ||||||
Sonic Automotive, Inc., Class A | 19,300 | 779,334 | ||||||
|
| |||||||
2,652,024 | ||||||||
|
| |||||||
Retail-Bedding - 0.4% |
| |||||||
Bed Bath & Beyond, Inc.# | 62,000 | 1,299,520 | ||||||
|
| |||||||
Retail-Building Products - 1.1% |
| |||||||
Beacon Roofing Supply, Inc. | 9,400 | 342,066 | ||||||
BMC Stock Holdings, Inc. | 33,300 | 1,629,702 | ||||||
Foundation Building Materials, Inc. | 12,700 | 244,348 | ||||||
GMS, Inc. | 48,200 | 1,505,286 | ||||||
|
| |||||||
3,721,402 | ||||||||
|
| |||||||
Retail-Discount - 0.2% |
| |||||||
Big Lots, Inc. | 9,000 | 465,030 | ||||||
Citi Trends, Inc. | 9,200 | 311,788 | ||||||
|
| |||||||
776,818 | ||||||||
|
| |||||||
Retail-Drug Store - 0.2% |
| |||||||
Rite Aid Corp.# | 50,704 | 669,293 | ||||||
|
| |||||||
Retail-Home Furnishings - 0.1% |
| |||||||
Haverty Furniture Cos., Inc. | 14,200 | 386,524 | ||||||
|
| |||||||
Retail-Jewelry - 0.3% |
| |||||||
Movado Group, Inc. | 2,800 | 47,404 | ||||||
Signet Jewelers, Ltd. | 31,500 | 954,135 | ||||||
|
| |||||||
1,001,539 | ||||||||
|
| |||||||
Retail-Leisure Products - 0.0% |
| |||||||
MarineMax, Inc. | 2,300 | 75,532 | ||||||
|
| |||||||
Retail-Misc./Diversified - 0.1% |
| |||||||
GameStop Corp., Class A# | 20,900 | 346,104 | ||||||
|
| |||||||
Retail-Office Supplies - 0.4% |
| |||||||
ODP Corp. | 48,400 | 1,387,628 | ||||||
|
| |||||||
Retail-Regional Department Stores - 0.7% |
| |||||||
Dillards, Inc., Class A# | 19,300 | 902,468 | ||||||
Macys, Inc.# | 167,500 | 1,710,175 | ||||||
|
| |||||||
2,612,643 | ||||||||
|
| |||||||
Retail-Restaurants - 0.7% |
| |||||||
BJs Restaurants, Inc. | 15,500 | 511,965 | ||||||
Brinker International, Inc. | 31,600 | 1,583,476 | ||||||
Dine Brands Global, Inc. | 4,700 | 295,959 | ||||||
|
| |||||||
2,391,400 | ||||||||
|
| |||||||
Retail-Sporting Goods - 0.2% |
| |||||||
Zumiez, Inc. | 17,400 | 645,366 | ||||||
|
| |||||||
Rubber-Tires - 0.4% |
| |||||||
Cooper Tire & Rubber Co. | 15,100 | 599,923 | ||||||
Goodyear Tire & Rubber Co. | 65,700 | 684,594 | ||||||
|
| |||||||
1,284,517 | ||||||||
|
| |||||||
Rubber/Plastic Products - 0.3% |
| |||||||
Myers Industries, Inc. | 3,858 | 65,547 | ||||||
Trinseo SA | 23,645 | 898,274 | ||||||
|
| |||||||
963,821 | ||||||||
|
| |||||||
Satellite Telecom - 0.1% |
| |||||||
Gogo, Inc. | 16,100 | 169,694 | ||||||
KVH Industries, Inc. | 5,700 | 58,710 | ||||||
|
| |||||||
228,404 | ||||||||
|
| |||||||
Savings & Loans/Thrifts - 2.8% |
| |||||||
Axos Financial, Inc. | 24,200 | 810,700 | ||||||
BankFinancial Corp. | 22,600 | 182,382 | ||||||
Berkshire Hills Bancorp, Inc. | 44,500 | 729,800 | ||||||
Brookline Bancorp, Inc. | 24,700 | 280,839 | ||||||
Dime Community Bancshares, Inc. | 15,200 | 219,640 | ||||||
ESSA Bancorp, Inc. | 4,300 | 68,026 | ||||||
Flushing Financial Corp. | 20,400 | 289,680 | ||||||
FS Bancorp, Inc. | 1,700 | 90,950 | ||||||
HomeTrust Bancshares, Inc. | 20,700 | 352,521 | ||||||
Investors Bancorp, Inc. | 178,100 | 1,724,008 | ||||||
Meridian Bancorp, Inc. | 33,000 | 450,285 | ||||||
Northfield Bancorp, Inc. | 66,400 | 739,032 | ||||||
OceanFirst Financial Corp. | 50,500 | 796,385 | ||||||
Pacific Premier Bancorp, Inc. | 10,800 | 311,256 | ||||||
Provident Financial Holdings, Inc. | 1,700 | 24,480 | ||||||
Provident Financial Services, Inc. | 61,677 | 966,479 | ||||||
Territorial Bancorp, Inc. | 2,595 | 57,894 | ||||||
Washington Federal, Inc. | 44,400 | 1,037,628 | ||||||
Waterstone Financial, Inc. | 6,484 | 113,892 | ||||||
WSFS Financial Corp. | 10,456 | 398,687 | ||||||
|
| |||||||
9,644,564 | ||||||||
|
| |||||||
Schools - 0.3% |
| |||||||
American Public Education, Inc. | 28,500 | 884,640 | ||||||
Laureate Education, Inc., Class A | 6,100 | 86,620 | ||||||
|
| |||||||
971,260 | ||||||||
|
| |||||||
Semiconductor Equipment - 0.3% |
| |||||||
Cohu, Inc. | 18,800 | 533,732 | ||||||
Veeco Instruments, Inc. | 38,000 | 631,560 | ||||||
|
| |||||||
1,165,292 | ||||||||
|
| |||||||
Steel-Producers - 0.6% |
| |||||||
Carpenter Technology Corp. | 13,600 | 332,384 | ||||||
Commercial Metals Co. | 97,500 | 1,941,225 | ||||||
|
| |||||||
2,273,609 | ||||||||
|
| |||||||
Steel-Specialty - 0.2% |
| |||||||
Allegheny Technologies, Inc. | 52,700 | 710,923 | ||||||
|
|
SupraNational Banks - 0.0% |
| |||||||
Banco Latinoamericano de Comercio Exterior SA, Class E | 1,823 | 26,926 | ||||||
|
| |||||||
Telecom Services - 0.3% |
| |||||||
ATN International, Inc. | 5,600 | 274,064 | ||||||
Consolidated Communications Holdings, Inc. | 83,000 | 464,800 | ||||||
Spok Holdings, Inc. | 28,600 | 281,138 | ||||||
|
| |||||||
1,020,002 | ||||||||
|
| |||||||
Telecommunication Equipment - 0.1% |
| |||||||
ADTRAN, Inc. | 35,200 | 444,752 | ||||||
|
| |||||||
Television - 0.7% |
| |||||||
AMC Networks, Inc., Class A# | 31,000 | 1,022,070 | ||||||
Gray Television, Inc. | 22,400 | 395,584 | ||||||
Sinclair Broadcast Group, Inc., Class A | 34,600 | 943,196 | ||||||
|
| |||||||
2,360,850 | ||||||||
|
| |||||||
Theaters - 0.3% |
| |||||||
Cinemark Holdings, Inc.# | 72,300 | 1,117,035 | ||||||
|
| |||||||
Transactional Software - 0.1% |
| |||||||
Synchronoss Technologies, Inc. | 131,700 | 389,832 | ||||||
|
| |||||||
Transport-Air Freight - 0.0% |
| |||||||
Atlas Air Worldwide Holdings, Inc. | 1,000 | 55,810 | ||||||
|
| |||||||
Transport-Marine - 0.4% |
| |||||||
Costamare, Inc. | 71,200 | 511,216 | ||||||
Diamond S Shipping, Inc. | 18,200 | 125,216 | ||||||
Dorian LPG, Ltd. | 26,900 | 294,017 | ||||||
International Seaways, Inc. | 8,500 | 143,565 | ||||||
SEACOR Holdings, Inc. | 12,400 | 411,928 | ||||||
|
| |||||||
1,485,942 | ||||||||
|
| |||||||
Transport-Services - 0.7% |
| |||||||
Bristow Group, Inc. | 2,933 | 65,259 | ||||||
Echo Global Logistics, Inc. | 58,200 | 1,652,298 | ||||||
Hub Group, Inc., Class A | 10,600 | 578,972 | ||||||
|
| |||||||
2,296,529 | ||||||||
|
| |||||||
Transport-Truck - 0.8% |
| |||||||
ArcBest Corp. | 62,320 | 2,611,831 | ||||||
Covenant Logistics Group, Inc. | 4,600 | 85,054 | ||||||
|
| |||||||
2,696,885 | ||||||||
|
| |||||||
Travel Services - 0.1% |
| |||||||
Liberty TripAdvisor Holdings, Inc., Class A | 145,300 | 399,575 | ||||||
|
| |||||||
Water - 0.0% |
| |||||||
Consolidated Water Co., Ltd. | 11,400 | 124,944 | ||||||
|
| |||||||
Wireless Equipment - 0.2% |
| |||||||
Maxar Technologies, Inc. | 21,400 | 595,134 | ||||||
|
| |||||||
X-Ray Equipment - 0.1% |
| |||||||
Varex Imaging Corp. | 12,000 | 200,160 | ||||||
|
| |||||||
Total Long-Term Investment Securities | ||||||||
(cost $302,043,604) | 342,257,955 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT SECURITIES - 1.5% |
| |||||||
Registered Investment Companies - 1.5% |
| |||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 5,236,508 | 5,236,508 | ||||||
|
| |||||||
REPURCHASE AGREEMENTS - 2.3% |
| |||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00% dated 11/30/2020, to be repurchased 12/01/2020 in the amount of $8,062,000 and collateralized by $8,255,900 of United States Treasury Notes, bearing interest at 0.25% due 08/31/2025 and having an approximate value of $8,223,359 | $8,062,000 | 8,062,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS | ||||||||
(cost $315,342,112) | 101.7 | % | 355,556,463 | |||||
Liabilities in excess of other assets | (1.7 | ) | (6,083,096 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 349,473,367 | ||||
|
|
|
|
| Non-income producing security |
# | The security or a portion thereof is out on loan. |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At November 30, 2020, the aggregate value of these securities was $418,500 representing 0.1% of net assets. |
(1) | The rate shown is the 7-day yield as of November 30, 2020. |
(2) | At November 30, 2020, the Fund had loaned securities with a total value of $8,689,595. This was secured by collateral of $5,236,508, which was received in cash and subsequently invested in short-term investments currently valued at $5,236,508 as reported in the Portfolio of Investments. Additional collateral of $3,970,466 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Funds assets and liabilities. |
The components of the fixed income pooled securities referenced above are as follows:
Securities | Coupon Range | Maturity Date Range | Value as of November 30, 2020 | |||||
Federal Home Loan Mtg. Corp. | 1.25% to 3.50% | 02/01/2048 to 11/01/2050 | $ | 41,945 | ||||
Federal National Mtg. Assoc. | 1.49% to 4.00% | 05/25/2030 to 09/01/2050 | 112,640 | |||||
Government National Mtg. Assoc. | 2.50% to 2.70% | 09/20/2046 to 05/16/2053 | 3,861 | |||||
United States Treasury Bills | 0.00% | 02/11/2021 to 07/15/2021 | 71,960 | |||||
United States Treasury Notes/Bonds | 0.13% to 8.13% | 12/31/2020 to 02/15/2050 | 3,740,060 |
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional | Unrealized Appreciation (Depreciation) | ||||||||||||
77 | Long | Russell 2000 E-Mini Index | December 2020 | $ | 6,841,051 | $ | 7,007,385 | $ | 166,334 | |||||||||
|
|
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a summary of the inputs used to value the Funds net assets as of November 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks | $ | 342,257,955 | | $ | | $ | 342,257,955 | |||||||||
Short-Term Investment Securities | 5,236,508 | | | 5,236,508 | ||||||||||||
Repurchase Agreements | | 8,062,000 | | 8,062,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 347,494,463 | $ | 8,062,000 | $ | | $ | 355,556,463 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments:+ | ||||||||||||||||
Futures Contracts | $ | 166,334 | $ | | $ | | $ | 166,334 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
+ | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of Investments
VALIC Company II Strategic Bond Fund
PORTFOLIO OF INVESTMENTS - November 30, 2020 - (unaudited)
Security Description | Shares/ Principal Amount(11) | Value (Note 1) | ||||||
ASSET BACKED SECURITIES - 2.0% |
| |||||||
Diversified Financial Services - 2.0% |
| |||||||
AmeriCredit Automobile Receivables Trust | $484,880 | $ | 491,326 | |||||
BA Credit Card Trust | 500,000 | 512,763 | ||||||
BA Credit Card Trust | 318,000 | 321,297 | ||||||
BANK | 680,000 | 729,756 | ||||||
Benchmark Mtg. Trust | 850,000 | 978,577 | ||||||
BMW Vehicle Lease Trust | 350,000 | 354,468 | ||||||
BX Commercial Mtg. Trust FRS | 700,000 | 678,108 | ||||||
Capital One Prime Auto Receivables Trust | 100,000 | 101,842 | ||||||
CarMax Auto Owner Trust | 200,000 | 204,933 | ||||||
CarMax Auto Owner Trust | 300,000 | 308,788 | ||||||
CarMax Auto Owner Trust | 250,000 | 256,124 | ||||||
CarMax Auto Owner Trust | 364,629 | 372,703 | ||||||
Chase Mtg. Finance Corp. VRS | 411,467 | 425,506 | ||||||
Citibank Credit Card Issuance Trust | 100,000 | 100,310 | ||||||
Citibank Credit Card Issuance Trust | 100,000 | 120,509 | ||||||
Citigroup Commercial Mtg. Trust VRS | 1,000,000 | 1,176,241 | ||||||
COMM Mtg. Trust VRS | 4,152,159 | 116,041 | ||||||
COMM Mtg. Trust VRS | 250,000 | 262,950 | ||||||
CSAIL Commercial Mtg. Trust | 150,000 | 152,840 | ||||||
CSAIL Commercial Mtg. Trust | 1,675,000 | 1,766,975 | ||||||
CSAIL Commercial Mtg. Trust | 490,000 | 534,106 | ||||||
GM Financial Consumer Automobile Receivables Trust | 200,000 | 201,949 | ||||||
GM Financial Consumer Automobile Receivables Trust | 132,000 | 134,269 | ||||||
Honda Auto Receivables Owner Trust | 60,000 | 60,006 | ||||||
Honda Auto Receivables Owner Trust | 100,000 | 101,854 | ||||||
Honda Auto Receivables Owner Trust | 233,000 | 237,278 | ||||||
ILPT Trust | 960,000 | 1,086,954 | ||||||
Jackson Park Trust | 2,500,000 | 2,630,293 | ||||||
JP Morgan Mtg. Trust VRS | 565,480 | 567,018 | ||||||
JP Morgan Mtg. Trust VRS | 405,275 | 406,924 | ||||||
MTRO Commercial Mtg. Trust FRS | 550,000 | 547,685 | ||||||
Navient Private Education Refi Loan Trust | 319,010 | 320,946 | ||||||
One Bryant Park Trust | 640,000 | 680,620 | ||||||
Shellpoint Co-Originator Trust VRS | 366,217 | 376,245 | ||||||
Toyota Auto Loan Extended Note Trust | 425,000 | 453,627 | ||||||
Toyota Auto Receivables Owner Trust | 200,000 | 207,711 | ||||||
Volkswagen Auto Loan Enhanced Trust | 340,000 | 347,668 | ||||||
Volkswagen Auto Loan Enhanced Trust | 150,000 | 156,456 | ||||||
|
| |||||||
Total Asset Backed Securities | ||||||||
(cost $17,681,151) |
| 18,483,666 | ||||||
|
|
U.S. CONVERTIBLE BONDS & NOTES - 0.1% |
| |||||||
Oil Field Machinery & Equipment - 0.1% |
| |||||||
Hi Crush, Inc. | 718,000 | 718,000 | ||||||
|
| |||||||
U.S. CORPORATE BONDS & NOTES - 38.9% |
| |||||||
Advertising Agencies - 0.0% |
| |||||||
Omnicom Group, Inc. | 266,000 | 282,283 | ||||||
Omnicom Group, Inc. | 64,000 | 77,191 | ||||||
|
| |||||||
359,474 | ||||||||
|
| |||||||
Advertising Sales - 0.1% |
| |||||||
National CineMedia LLC | 1,370,000 | 1,070,313 | ||||||
|
| |||||||
Aerospace/Defense - 0.1% |
| |||||||
BAE Systems Holdings, Inc. | 494,000 | 559,377 | ||||||
|
| |||||||
Aerospace/Defense-Equipment - 0.3% |
| |||||||
Moog, Inc. | 1,150,000 | 1,184,902 | ||||||
Spirit AeroSystems, Inc. | 1,594,000 | 1,705,580 | ||||||
|
| |||||||
2,890,482 | ||||||||
|
| |||||||
Airlines - 0.7% |
| |||||||
American Airlines, Inc. | 2,300,000 | 2,543,800 | ||||||
Delta Air Lines, Inc. | 2,007,000 | 2,292,895 | ||||||
United Airlines Holdings, Inc. | 621,000 | 598,439 | ||||||
United Airlines Holdings, Inc. | 801,000 | 778,972 | ||||||
|
| |||||||
6,214,106 | ||||||||
|
| |||||||
Applications Software - 0.2% |
| |||||||
SS&C Technologies, Inc. | 1,515,000 | 1,622,944 | ||||||
|
| |||||||
Auction Houses/Art Dealers - 0.3% |
| |||||||
Sothebys | 2,315,000 | 2,430,750 | ||||||
|
| |||||||
Auto-Cars/Light Trucks - 1.2% |
| |||||||
BMW US Capital LLC | 151,000 | 152,503 | ||||||
Ford Motor Co. | 3,419,000 | 3,362,758 | ||||||
Ford Motor Co. | 2,726,000 | 3,134,900 | ||||||
Ford Motor Co. | 285,000 | 357,675 | ||||||
Ford Motor Credit Co. LLC | 412,000 | 415,296 | ||||||
General Motors Financial Co., Inc. | EUR | 1,575,000 | 1,884,195 | |||||
General Motors Financial Co., Inc. | EUR | 575,000 | 686,454 | |||||
General Motors Financial Co., Inc. | 280,000 | 296,053 | ||||||
Hyundai Capital America | 252,000 | 268,994 | ||||||
|
| |||||||
10,558,828 | ||||||||
|
| |||||||
Auto-Heavy Duty Trucks - 0.3% |
| |||||||
Allison Transmission, Inc. | 1,417,000 | 1,429,399 | ||||||
JB Poindexter & Co., Inc. | 1,220,000 | 1,294,725 | ||||||
PACCAR Financial Corp. | 190,000 | 192,225 | ||||||
|
| |||||||
2,916,349 | ||||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original - 0.2% |
| |||||||
BorgWarner, Inc. | 227,000 | 242,059 | ||||||
Dana, Inc. | 1,021,000 | 1,086,089 | ||||||
|
| |||||||
1,328,148 | ||||||||
|
|
Banks-Commercial - 0.6% |
| |||||||
BankUnited, Inc. | 747,000 | 856,247 | ||||||
BankUnited, Inc. | 648,000 | 727,058 | ||||||
Citizens Financial Group, Inc. | 361,000 | 377,163 | ||||||
First Horizon Bank | 250,000 | 291,196 | ||||||
Regions Financial Corp. | 383,000 | 580,927 | ||||||
Santander Holdings USA, Inc. | 155,000 | 167,421 | ||||||
Signature Bank New York | 636,000 | 644,056 | ||||||
SunTrust Bank | 7,000 | 7,146 | ||||||
Synovus Bank | 250,000 | 253,107 | ||||||
Truist Bank | 336,000 | 353,051 | ||||||
Truist Bank | 250,000 | 261,729 | ||||||
Zions Bancorp NA | 479,000 | 492,300 | ||||||
|
| |||||||
5,011,401 | ||||||||
|
| |||||||
Banks-Super Regional - 0.2% |
| |||||||
Wells Fargo & Co. | 264,000 | 278,623 | ||||||
Wells Fargo & Co. | 425,000 | 462,955 | ||||||
Wells Fargo & Co. | 939,000 | 1,095,397 | ||||||
Wells Fargo & Co. | 186,000 | 265,622 | ||||||
|
| |||||||
2,102,597 | ||||||||
|
| |||||||
Batteries/Battery Systems - 0.3% |
| |||||||
Energizer Holdings, Inc. | 1,315,000 | 1,341,892 | ||||||
EnerSys | 1,513,000 | 1,582,976 | ||||||
|
| |||||||
2,924,868 | ||||||||
|
| |||||||
Beverages-Non-alcoholic - 0.1% |
| |||||||
Coca-Cola Co. | 292,000 | 303,644 | ||||||
PepsiCo, Inc. | 302,000 | 322,763 | ||||||
PepsiCo, Inc. | 242,000 | 270,576 | ||||||
|
| |||||||
896,983 | ||||||||
|
| |||||||
Beverages-Wine/Spirits - 0.0% |
| |||||||
Pernod Ricard International Finance LLC | 151,000 | 149,289 | ||||||
|
| |||||||
Brewery - 0.1% |
| |||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 525,000 | 686,009 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 505,000 | 640,983 | ||||||
|
| |||||||
1,326,992 | ||||||||
|
| |||||||
Broadcast Services/Program - 0.4% |
| |||||||
Discovery Communications LLC | 248,000 | 320,508 | ||||||
Univision Communications, Inc. | 199,000 | 200,244 | ||||||
Univision Communications, Inc. | 2,750,000 | 2,935,625 | ||||||
|
| |||||||
3,456,377 | ||||||||
|
| |||||||
Building & Construction Products-Misc. - 0.2% |
| |||||||
Owens Corning | 439,000 | 519,955 | ||||||
Standard Industries, Inc. | 1,245,000 | 1,249,669 | ||||||
|
| |||||||
1,769,624 | ||||||||
|
| |||||||
Building Products-Air & Heating - 0.1% |
| |||||||
Carrier Global Corp. | 134,000 | 143,086 | ||||||
Carrier Global Corp. | 158,000 | 168,327 | ||||||
Carrier Global Corp. | 375,000 | 413,082 | ||||||
|
| |||||||
724,495 | ||||||||
|
|
Building Products-Doors & Windows - 0.2% |
| |||||||
Griffon Corp. | 1,478,000 | 1,566,680 | ||||||
|
| |||||||
Building Products-Wood - 0.1% |
| |||||||
Boise Cascade Co. | 726,000 | 787,710 | ||||||
Masco Corp. | 311,000 | 315,531 | ||||||
|
| |||||||
1,103,241 | ||||||||
|
| |||||||
Cable/Satellite TV - 0.9% |
| |||||||
Block Communications, Inc. | 1,928,000 | 2,000,300 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 1,565,000 | 1,709,762 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 75,000 | 78,376 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 374,000 | 384,270 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 297,000 | 354,649 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 29,000 | 36,556 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 94,000 | 131,077 | ||||||
Comcast Corp. | 253,000 | 248,810 | ||||||
Comcast Corp. | 294,000 | 331,660 | ||||||
Comcast Corp. | 128,000 | 155,489 | ||||||
Comcast Corp. | 56,000 | 68,942 | ||||||
Comcast Corp. | 203,000 | 268,658 | ||||||
CSC Holdings LLC | 1,922,000 | 2,028,671 | ||||||
Time Warner Cable LLC | 364,000 | 503,665 | ||||||
|
| |||||||
8,300,885 | ||||||||
|
| |||||||
Casino Hotels - 0.2% |
| |||||||
Boyd Gaming Corp. | 1,055,000 | 1,072,091 | ||||||
Boyd Gaming Corp. | 1,041,000 | 1,081,339 | ||||||
|
| |||||||
2,153,430 | ||||||||
|
| |||||||
Casino Services - 0.2% |
| |||||||
Caesars Entertainment, Inc. | 2,000,000 | 2,129,090 | ||||||
|
| |||||||
Cellular Telecom - 0.4% |
| |||||||
Sprint Corp. | 1,954,000 | 2,429,770 | ||||||
Sprint Corp. | 600,000 | 692,007 | ||||||
T-Mobile USA, Inc. | 463,000 | 469,741 | ||||||
T-Mobile USA, Inc. | 49,000 | 50,595 | ||||||
T-Mobile USA, Inc. | 195,000 | 207,907 | ||||||
|
| |||||||
3,850,020 | ||||||||
|
| |||||||
Chemicals-Diversified - 0.1% |
| |||||||
LYB International Finance III LLC | 178,000 | 190,644 | ||||||
Westlake Chemical Corp. | EUR | 365,000 | 448,060 | |||||
Westlake Chemical Corp. | 451,000 | 493,830 | ||||||
|
| |||||||
1,132,534 | ||||||||
|
|
Chemicals-Specialty - 0.3% |
| |||||||
Ecolab, Inc. | 206,000 | 213,256 | ||||||
Huntsman International LLC | 334,000 | 384,605 | ||||||
Minerals Technologies, Inc. | 1,365,000 | 1,419,313 | ||||||
Tronox, Inc. | 1,064,000 | 1,105,209 | ||||||
|
| |||||||
3,122,383 | ||||||||
|
| |||||||
Coal - 0.2% |
| |||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. | 2,101,000 | 2,069,485 | ||||||
|
| |||||||
Commercial Services - 0.3% |
| |||||||
Nielsen Finance LLC/Nielsen Finance Co. | 547,000 | 547,000 | ||||||
Nielsen Finance LLC/Nielsen Finance Co. | 544,000 | 579,877 | ||||||
Nielsen Finance LLC/Nielsen Finance Co. | 860,000 | 944,925 | ||||||
Quanta Services, Inc. | 294,000 | 314,642 | ||||||
|
| |||||||
2,386,444 | ||||||||
|
| |||||||
Commercial Services-Finance - 0.2% |
| |||||||
MPH Acquisition Holdings LLC | 275,000 | 269,328 | ||||||
Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. | 1,271,000 | 1,320,315 | ||||||
|
| |||||||
1,589,643 | ||||||||
|
| |||||||
Computer Services - 0.7% |
| |||||||
Banff Merger Sub, Inc. | 2,005,000 | 2,145,350 | ||||||
IBM Credit LLC | 796,000 | 844,223 | ||||||
Leidos, Inc. | 197,000 | 200,305 | ||||||
Leidos, Inc. | 180,000 | 200,353 | ||||||
Leidos, Inc. | 94,000 | 111,283 | ||||||
Presidio Holdings, Inc. | 1,535,000 | 1,665,475 | ||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. | 321,000 | 341,865 | ||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. | 750,000 | 768,750 | ||||||
|
| |||||||
6,277,604 | ||||||||
|
| |||||||
Computers - 0.4% |
| |||||||
Apple, Inc. | 233,000 | 249,308 | ||||||
Dell International LLC/EMC Corp. | 1,565,000 | 1,621,731 | ||||||
Dell International LLC/EMC Corp. | 333,000 | 478,840 | ||||||
Hewlett Packard Enterprise Co. | 644,000 | 659,977 | ||||||
Hewlett Packard Enterprise Co. | 244,000 | 312,571 | ||||||
|
| |||||||
3,322,427 | ||||||||
|
| |||||||
Computers-Integrated Systems - 0.2% |
| |||||||
Diebold Nixdorf, Inc. | 1,159,000 | 1,157,540 | ||||||
Diebold Nixdorf, Inc. | 793,000 | 870,317 | ||||||
|
| |||||||
2,027,857 | ||||||||
|
| |||||||
Consumer Products-Misc. - 0.0% |
| |||||||
Kimberly-Clark Corp. | 5,000 | 5,776 | ||||||
|
| |||||||
Containers-Metal/Glass - 0.1% |
| |||||||
Silgan Holdings, Inc. | 925,000 | 945,234 | ||||||
|
|
Containers-Paper/Plastic - 0.0% |
| |||||||
Sonoco Products Co | 262,000 | 290,192 | ||||||
|
| |||||||
Cosmetics & Toiletries - 0.3% |
| |||||||
Coty, Inc. | 3,176,000 | 3,096,600 | ||||||
|
| |||||||
Data Processing/Management - 0.1% |
| |||||||
Fiserv, Inc. | EUR | 775,000 | 1,015,698 | |||||
|
| |||||||
Direct Marketing - 0.1% |
| |||||||
Terrier Media Buyer, Inc. | 1,120,000 | 1,209,600 | ||||||
|
| |||||||
Distribution/Wholesale - 0.6% |
| |||||||
H&E Equipment Services, Inc. | 750,000 | 752,813 | ||||||
H&E Equipment Services, Inc. | 1,508,000 | 1,576,312 | ||||||
KAR Auction Services, Inc. | 1,549,000 | 1,596,942 | ||||||
Performance Food Group, Inc. | 1,194,000 | 1,270,117 | ||||||
|
| |||||||
5,196,184 | ||||||||
|
| |||||||
Diversified Banking Institutions - 1.3% |
| |||||||
Bank of America Corp. | 583,000 | 595,309 | ||||||
Bank of America Corp. | 275,000 | 276,660 | ||||||
Bank of America Corp. | 378,000 | 400,566 | ||||||
Bank of America Corp. | 330,000 | 376,696 | ||||||
Bank of America Corp. | 71,000 | 90,490 | ||||||
Bank of America Corp. | 610,000 | 704,963 | ||||||
Bank of America Corp. | 296,000 | 434,806 | ||||||
Citigroup, Inc. | 281,000 | 302,335 | ||||||
Citigroup, Inc. | GBP | 400,000 | 565,756 | |||||
Citigroup, Inc. | 354,000 | 401,539 | ||||||
Citigroup, Inc. | 334,000 | 391,882 | ||||||
Citigroup, Inc. | 185,000 | 248,424 | ||||||
Citigroup, Inc. | 243,000 | 327,544 | ||||||
Citigroup, Inc. | 322,000 | 446,627 | ||||||
Goldman Sachs Group, Inc. | EUR | 400,000 | 495,946 | |||||
Goldman Sachs Group, Inc. | 419,000 | 469,803 | ||||||
Goldman Sachs Group, Inc. | 269,000 | 315,098 | ||||||
Goldman Sachs Group, Inc. | 518,000 | 793,714 | ||||||
JPMorgan Chase & Co. | 414,000 | 415,828 | ||||||
JPMorgan Chase & Co. | 914,000 | 955,219 | ||||||
JPMorgan Chase & Co. | 801,000 | 818,936 | ||||||
JPMorgan Chase & Co. | 104,000 | 113,539 | ||||||
JPMorgan Chase & Co. | 112,000 | 125,130 | ||||||
JPMorgan Chase & Co. | 82,000 | 92,941 | ||||||
JPMorgan Chase & Co. | 200,000 | 243,756 | ||||||
Morgan Stanley | 146,000 | 170,117 | ||||||
Morgan Stanley | 789,000 | 901,733 | ||||||
Morgan Stanley | 65,000 | 77,459 | ||||||
|
| |||||||
11,552,816 | ||||||||
|
|
Diversified Manufacturing Operations - 0.1% |
| |||||||
General Electric Co. | EUR | 500,000 | 633,900 | |||||
General Electric Co. | 100,000 | 113,818 | ||||||
General Electric Co. | 106,000 | 125,010 | ||||||
Illinois Tool Works, Inc. | 229,000 | 249,159 | ||||||
|
| |||||||
1,121,887 | ||||||||
|
| |||||||
Drug Delivery Systems - 0.1% |
| |||||||
Becton Dickinson and Co. | EUR | 500,000 | 644,454 | |||||
|
| |||||||
E-Commerce/Products - 0.0% |
| |||||||
Amazon.com, Inc. | 149,000 | 206,226 | ||||||
|
| |||||||
E-Commerce/Services - 0.2% |
| |||||||
GrubHub Holdings, Inc. | 1,476,000 | 1,546,110 | ||||||
|
| |||||||
Electric Products-Misc. - 0.0% |
| |||||||
Emerson Electric Co. | 278,000 | 280,619 | ||||||
|
| |||||||
Electric-Distribution - 0.3% |
| |||||||
National Rural Utilities Cooperative Finance Corp. | 354,000 | 350,901 | ||||||
National Rural Utilities Cooperative Finance Corp. | 722,000 | 782,986 | ||||||
NextEra Energy Operating Partners LP | 1,275,000 | 1,341,976 | ||||||
NSTAR Electric Co. | 267,000 | 323,839 | ||||||
|
| |||||||
2,799,702 | ||||||||
|
| |||||||
Electric-Generation - 0.4% |
| |||||||
Emera US Finance LP | 267,000 | 336,068 | ||||||
Liberty Utilities Finance GP | 180,000 | 180,329 | ||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc. | 1,385,000 | 1,481,950 | ||||||
Vistra Operations Co. LLC | 1,554,000 | 1,643,510 | ||||||
|
| |||||||
3,641,857 | ||||||||
|
| |||||||
Electric-Integrated - 1.1% |
| |||||||
AEP Texas, Inc. | 117,000 | 144,156 | ||||||
AES Corp. | 518,000 | 527,052 | ||||||
Appalachian Power Co. | 285,000 | 341,411 | ||||||
Avangrid, Inc. | 668,000 | 731,286 | ||||||
Consolidated Edison Co. of New York, Inc. | 64,000 | 79,437 | ||||||
Dominion Energy South Carolina, Inc. | 352,000 | 555,172 | ||||||
Dominion Resources, Inc. | 254,000 | 327,014 | ||||||
DTE Electric Co. | 490,000 | 635,821 | ||||||
Entergy Texas, Inc. | 555,000 | 700,443 | ||||||
Exelon Corp. | 201,000 | 271,997 | ||||||
FirstEnergy Corp. | 569,000 | 782,021 | ||||||
Interstate Power & Light Co. | 193,000 | 217,534 | ||||||
Kentucky Utilities Co. | 116,000 | 132,197 | ||||||
Pacific Gas & Electric Co. | 259,000 | 271,071 | ||||||
Pacific Gas & Electric Co. | 262,000 | 281,430 |
Public Service Co. of Colorado | 471,000 | 504,376 | ||||||
Public Service Co. of Colorado | 331,000 | 387,030 | ||||||
Public Service Co. of Colorado | 240,000 | 311,397 | ||||||
Southern California Edison Co. | 24,000 | 27,917 | ||||||
Talen Energy Supply LLC | 788,000 | 805,730 | ||||||
Talen Energy Supply LLC | 1,243,000 | 1,304,777 | ||||||
Union Electric Co | 262,000 | 288,617 | ||||||
|
| |||||||
9,627,886 | ||||||||
|
| |||||||
Electronic Components-Semiconductors - 0.1% |
| |||||||
Broadcom, Inc. | 218,000 | 253,176 | ||||||
Broadcom, Inc. | 132,000 | 159,797 | ||||||
NVIDIA Corp. | 237,000 | 305,492 | ||||||
|
| |||||||
718,465 | ||||||||
|
| |||||||
Electronic Measurement Instruments - 0.0% |
| |||||||
Trimble, Inc. | 32,000 | 36,729 | ||||||
|
| |||||||
Electronic Parts Distribution - 0.3% |
| |||||||
Arrow Electronics, Inc. | 167,000 | 182,496 | ||||||
Ingram Micro, Inc. | 2,285,000 | 2,465,341 | ||||||
|
| |||||||
2,647,837 | ||||||||
|
| |||||||
Energy-Alternate Sources - 0.1% |
| |||||||
Hanwha Energy USA Holdings Corp. | 420,000 | 431,274 | ||||||
|
| |||||||
Enterprise Software/Service - 0.2% |
| |||||||
Donnelley Financial Solutions, Inc. | 1,225,000 | 1,301,562 | ||||||
Oracle Corp. | 658,000 | 705,724 | ||||||
|
| |||||||
2,007,286 | ||||||||
|
| |||||||
Entertainment Software - 0.0% |
| |||||||
Activision Blizzard, Inc. | 228,000 | 219,937 | ||||||
|
| |||||||
Finance-Auto Loans - 0.2% |
| |||||||
Credit Acceptance Corp. | 225,000 | 230,063 | ||||||
Credit Acceptance Corp. | 1,781,000 | 1,883,407 | ||||||
|
| |||||||
2,113,470 | ||||||||
|
| |||||||
Finance-Commercial - 0.1% |
| |||||||
GE Capital Funding LLC | 453,000 | 521,895 | ||||||
|
| |||||||
Finance-Consumer Loans - 0.6% |
| |||||||
Enova International, Inc. | 2,137,000 | 2,014,122 | ||||||
Enova International, Inc. | 365,000 | 345,838 | ||||||
Springleaf Finance Corp. | 1,311,000 | 1,428,990 | ||||||
Springleaf Finance Corp. | 415,000 | 474,137 | ||||||
Synchrony Financial | 1,074,000 | 1,208,168 | ||||||
|
| |||||||
5,471,255 | ||||||||
|
| |||||||
Finance-Credit Card - 0.3% |
| |||||||
Alliance Data Systems Corp. | 2,195,000 | 2,104,456 | ||||||
American Express Co. | 223,000 | 242,597 | ||||||
American Express Co. | 165,000 | 191,581 | ||||||
Mastercard, Inc. | 363,000 | 385,675 | ||||||
Visa, Inc. | 115,000 | 114,295 | ||||||
|
| |||||||
3,038,604 | ||||||||
|
|
Finance-Investment Banker/Broker - 0.1% |
| |||||||
LPL Holdings, Inc. | 375,000 | 384,375 | ||||||
LPL Holdings, Inc. | 697,000 | 721,409 | ||||||
|
| |||||||
1,105,784 | ||||||||
|
| |||||||
Finance-Mortgage Loan/Banker - 0.4% |
| |||||||
Genworth Mtg. Holdings, Inc. | 1,110,000 | 1,182,150 | ||||||
LD Holdings Group LLC | 1,602,000 | 1,686,105 | ||||||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. | 626,000 | 622,175 | ||||||
Quicken Loans, Inc. | 423,000 | 447,323 | ||||||
|
| |||||||
3,937,753 | ||||||||
|
| |||||||
Financial Guarantee Insurance - 0.1% |
| |||||||
NMI Holdings, Inc. | 1,110,000 | 1,228,892 | ||||||
|
| |||||||
Food-Dairy Products - 0.0% |
| |||||||
Land O Lakes, Inc. | 110,000 | 103,400 | ||||||
|
| |||||||
Food-Meat Products - 0.1% |
| |||||||
Smithfield Foods, Inc. | 195,000 | 216,255 | ||||||
Smithfield Foods, Inc. | 210,000 | 250,110 | ||||||
|
| |||||||
466,365 | ||||||||
|
| |||||||
Food-Misc./Diversified - 0.6% |
| |||||||
Conagra Brands, Inc. | 254,000 | 344,236 | ||||||
Dole Food Co., Inc. | 2,095,000 | 2,121,188 | ||||||
Kraft Heinz Foods Co. | 1,055,000 | 1,189,948 | ||||||
Lamb Weston Holdings, Inc. | 1,565,000 | 1,627,600 | ||||||
Mars, Inc. | 167,000 | 171,739 | ||||||
Nestle Holdings, Inc. | 335,000 | 376,866 | ||||||
|
| |||||||
5,831,577 | ||||||||
|
| |||||||
Food-Retail - 0.4% |
| |||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 1,677,000 | 1,767,793 | ||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 800,000 | 825,100 | ||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 709,000 | 765,720 | ||||||
|
| |||||||
3,358,613 | ||||||||
|
| |||||||
Food-Wholesale/Distribution - 0.3% |
| |||||||
Sysco Corp. | 262,000 | 273,869 | ||||||
Sysco Corp. | 115,000 | 151,952 | ||||||
Sysco Corp. | 270,000 | 398,887 | ||||||
Sysco Corp. | 109,000 | 169,056 | ||||||
US Foods, Inc. | 1,475,000 | 1,568,729 | ||||||
|
| |||||||
2,562,493 | ||||||||
|
| |||||||
Hotels/Motels - 0.4% |
| |||||||
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. | 1,395,000 | 1,461,262 | ||||||
Wyndham Destinations, Inc. | 860,000 | 965,350 | ||||||
Wyndham Worldwide Corp. | 1,400,000 | 1,529,500 | ||||||
|
| |||||||
3,956,112 | ||||||||
|
|
Human Resources - 0.2% |
| |||||||
Korn Ferry International | 1,486,000 | 1,554,282 | ||||||
|
| |||||||
Independent Power Producers - 0.5% |
| |||||||
Clearway Energy Operating LLC | 1,945,000 | 2,085,857 | ||||||
NRG Energy, Inc. | 569,000 | 581,091 | ||||||
NRG Energy, Inc. | 1,445,000 | 1,496,485 | ||||||
NRG Yield Operating LLC | 721,000 | 742,630 | ||||||
|
| |||||||
4,906,063 | ||||||||
|
| |||||||
Industrial Gases - 0.1% |
| |||||||
Air Products and Chemicals, Inc. | EUR | 475,000 | 601,178 | |||||
|
| |||||||
Instruments-Controls - 0.0% |
| |||||||
Honeywell International, Inc. | 218,000 | 218,351 | ||||||
|
| |||||||
Insurance Brokers - 0.0% |
| |||||||
Willis North America, Inc. | 64,000 | 78,861 | ||||||
Willis North America, Inc. | 61,000 | 85,833 | ||||||
|
| |||||||
164,694 | ||||||||
|
| |||||||
Insurance-Life/Health - 0.3% |
| |||||||
Athene Global Funding | EUR | 1,215,000 | 1,493,097 | |||||
Brighthouse Financial, Inc. | 105,000 | 108,619 | ||||||
Brighthouse Financial, Inc. | 331,000 | 405,594 | ||||||
Pacific LifeCorp | 77,000 | 86,608 | ||||||
Prudential Financial, Inc. | 640,000 | 659,226 | ||||||
Prudential Financial, Inc. | 75,000 | 91,080 | ||||||
Unum Group | 116,000 | 129,199 | ||||||
|
| |||||||
2,973,423 | ||||||||
|
| |||||||
Insurance-Mutual - 0.0% |
| |||||||
MassMutual Global Funding II | 287,000 | 308,261 | ||||||
|
| |||||||
Insurance-Property/Casualty - 0.1% |
| |||||||
Chubb INA Holdings, Inc. | EUR | 385,000 | 500,646 | |||||
|
| |||||||
Insurance-Reinsurance - 0.0% |
| |||||||
Berkshire Hathaway Finance Corp. | 172,000 | 188,197 | ||||||
|
| |||||||
Internet Connectivity Services - 0.2% |
| |||||||
Cogent Communications Group, Inc. | 1,359,000 | 1,394,280 | ||||||
|
| |||||||
Internet Content-Entertainment - 0.3% |
| |||||||
Netflix, Inc. | 2,640,000 | 3,055,800 | ||||||
|
| |||||||
Internet Telephone - 0.1% |
| |||||||
Cablevision Lightpath LLC | 935,000 | 945,379 | ||||||
Cablevision Lightpath LLC | 212,000 | 222,271 | ||||||
|
| |||||||
1,167,650 | ||||||||
|
| |||||||
Investment Management/Advisor Services - 0.2% |
| |||||||
AG Issuer LLC | 1,885,000 | 1,894,425 | ||||||
Ameriprise Financial, Inc. | 280,000 | 289,666 | ||||||
|
| |||||||
2,184,091 | ||||||||
|
| |||||||
Machinery-Construction & Mining - 0.1% |
| |||||||
Caterpillar Financial Services Corp. | 427,000 | 429,971 | ||||||
Caterpillar Financial Services Corp. | 328,000 | 331,141 | ||||||
|
| |||||||
761,112 | ||||||||
|
| |||||||
Machinery-Electrical - 0.0% |
| |||||||
ABB Finance USA, Inc. | 266,000 | 284,352 | ||||||
|
|
Machinery-Farming - 0.2% | ||||||||
CNH Industrial Capital LLC | 299,000 | 306,177 | ||||||
CNH Industrial Capital LLC | 345,000 | 375,947 | ||||||
John Deere Capital Corp. | 518,000 | 536,636 | ||||||
John Deere Capital Corp. | 149,000 | 163,180 | ||||||
|
| |||||||
1,381,940 | ||||||||
|
| |||||||
Medical Labs & Testing Services - 0.1% | ||||||||
Catalent Pharma Solutions, Inc. | 650,000 | 684,125 | ||||||
|
| |||||||
Medical Products - 0.1% | ||||||||
Stryker Corp. | EUR | 825,000 | 1,024,847 | |||||
|
| |||||||
Medical-Biomedical/Gene - 0.2% | ||||||||
Amgen, Inc. | 903,000 | 978,146 | ||||||
Regeneron Pharmaceuticals, Inc. | 326,000 | 320,790 | ||||||
Regeneron Pharmaceuticals, Inc. | 182,000 | 177,920 | ||||||
|
| |||||||
1,476,856 | ||||||||
|
| |||||||
Medical-Drugs - 0.3% | ||||||||
AbbVie, Inc. | 247,000 | 299,931 | ||||||
AbbVie, Inc. | 294,000 | 371,434 | ||||||
Bristol-Myers Squibb Co. FRS | 855,000 | 857,881 | ||||||
Bristol-Myers Squibb Co. | 388,000 | 388,510 | ||||||
Bristol-Myers Squibb Co. | 129,000 | 175,930 | ||||||
GlaxoSmithKline Capital, Inc. | 164,000 | 176,122 | ||||||
|
| |||||||
2,269,808 | ||||||||
|
| |||||||
Medical-Generic Drugs - 0.2% | ||||||||
Mylan, Inc. | 245,000 | 290,676 | ||||||
Par Pharmaceutical, Inc. | 1,095,000 | 1,182,600 | ||||||
Upjohn, Inc. | 173,000 | 197,396 | ||||||
|
| |||||||
1,670,672 | ||||||||
|
| |||||||
Medical-HMO - 0.1% | ||||||||
UnitedHealth Group, Inc. | 358,000 | 368,227 | ||||||
UnitedHealth Group, Inc. | 173,000 | 200,424 | ||||||
UnitedHealth Group, Inc. | 216,000 | 246,042 | ||||||
|
| |||||||
814,693 | ||||||||
|
| |||||||
Medical-Hospitals - 0.9% | ||||||||
Acadia Healthcare Co., Inc. | 314,000 | 330,878 | ||||||
Acadia Healthcare Co., Inc. | 1,163,000 | 1,237,141 | ||||||
HCA, Inc. | 974,000 | 1,008,201 | ||||||
HCA, Inc. | 606,000 | 678,435 | ||||||
LifePoint Health, Inc. | 1,704,000 | 1,712,520 | ||||||
Tenet Healthcare Corp. | 1,075,000 | 1,093,812 | ||||||
Tenet Healthcare Corp. | 2,044,000 | 2,077,215 | ||||||
|
| |||||||
8,138,202 | ||||||||
|
| |||||||
Medical-Wholesale Drug Distribution - 0.0% | ||||||||
Cardinal Health, Inc. | 337,000 | 392,471 | ||||||
|
| |||||||
Metal-Copper - 0.4% | ||||||||
Freeport-McMoRan, Inc. | 1,061,000 | 1,122,008 | ||||||
Freeport-McMoRan, Inc. | 956,000 | 1,039,487 |
Freeport-McMoRan, Inc. | 695,000 | 742,642 | ||||||
Freeport-McMoRan, Inc. | 695,000 | 769,713 | ||||||
|
| |||||||
3,673,850 | ||||||||
|
| |||||||
Metal-Iron - 0.2% | ||||||||
Cleveland-Cliffs, Inc. | 1,044,000 | 1,038,780 | ||||||
Cleveland-Cliffs, Inc. | 1,016,000 | 1,096,010 | ||||||
|
| |||||||
2,134,790 | ||||||||
|
| |||||||
Multimedia - 0.3% | ||||||||
E.W. Scripps Co. | 2,530,000 | 2,536,325 | ||||||
Walt Disney Co. | 391,000 | 400,427 | ||||||
|
| |||||||
2,936,752 | ||||||||
|
| |||||||
Non-Hazardous Waste Disposal - 0.2% | ||||||||
Covanta Holding Corp. | 1,638,000 | 1,744,470 | ||||||
|
| |||||||
Non-Profit Charity - 0.0% | ||||||||
Ford Foundation | 223,000 | 235,035 | ||||||
|
| |||||||
Oil Companies-Exploration & Production - 1.6% | ||||||||
Apache Corp. | 1,310,000 | 1,336,200 | ||||||
Apache Corp. | 188,000 | 195,464 | ||||||
Apache Corp. | 311,000 | 324,839 | ||||||
Callon Petroleum Co. | 1,480,000 | 518,000 | ||||||
Continental Resources, Inc. | 374,000 | 373,065 | ||||||
Continental Resources, Inc. | 554,000 | 594,165 | ||||||
Diamondback Energy, Inc. | 222,000 | 232,314 | ||||||
Endeavor Energy Resources LP/EER Finance, Inc. | 863,000 | 919,285 | ||||||
EOG Resources, Inc. | 283,000 | 388,569 | ||||||
Hess Corp. | 439,000 | 533,823 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co. | 3,353,000 | 3,269,175 | ||||||
Marathon Oil Corp. | 374,000 | 442,728 | ||||||
Marathon Oil Corp. | 192,000 | 227,561 | ||||||
Noble Energy, Inc. | 159,000 | 199,957 | ||||||
Noble Energy, Inc. | 256,000 | 354,845 | ||||||
Occidental Petroleum Corp. | 1,058,000 | 1,068,368 | ||||||
Occidental Petroleum Corp. | 1,632,000 | 1,663,824 | ||||||
Occidental Petroleum Corp. | 173,000 | 181,866 | ||||||
Pioneer Natural Resources Co. | 258,000 | 253,778 | ||||||
Southwestern Energy Co. | 960,000 | 1,000,032 | ||||||
Southwestern Energy Co. | 615,000 | 677,269 | ||||||
|
| |||||||
14,755,127 | ||||||||
|
| |||||||
Oil Companies-Integrated - 0.3% | ||||||||
BP Capital Markets America, Inc. | 442,000 | 440,771 | ||||||
BP Capital Markets America, Inc. | 765,000 | 859,225 | ||||||
Chevron Corp. | 546,000 | 566,996 | ||||||
Chevron USA, Inc. | 194,000 | 194,242 | ||||||
Exxon Mobil Corp. | EUR | 525,000 | 646,982 | |||||
|
| |||||||
2,708,216 | ||||||||
|
|
Oil Field Machinery & Equipment - 0.0% | ||||||||
Hi Crush, Inc. | 1,816,000 | 47,670 | ||||||
|
| |||||||
Oil Refining & Marketing - 0.2% | ||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 1,889,000 | 991,725 | ||||||
Phillips 66 | 258,000 | 256,611 | ||||||
Sunoco LP/Sunoco Finance Corp. | 486,000 | 501,197 | ||||||
Valero Energy Corp. | 196,000 | 195,141 | ||||||
|
| |||||||
1,944,674 | ||||||||
|
| |||||||
Oil-Field Services - 0.6% | ||||||||
Apergy Corp. | 1,305,000 | 1,303,695 | ||||||
Archrock Partners LP/Archrock Partners Finance Corp. | 1,729,000 | 1,796,345 | ||||||
Halliburton Co. | 254,000 | 261,120 | ||||||
Nine Energy Service, Inc. | 1,993,000 | 608,064 | ||||||
Schlumberger Holdings Corp. | 252,000 | 282,842 | ||||||
USA Compression Partners LP/USA Compression Finance Corp. | 1,211,000 | 1,253,022 | ||||||
|
| |||||||
5,505,088 | ||||||||
|
| |||||||
Paper & Related Products - 0.4% | ||||||||
Clearwater Paper Corp. | 1,805,000 | 1,879,456 | ||||||
Domtar Corp. | 483,000 | 576,433 | ||||||
Georgia-Pacific LLC | 499,000 | 499,229 | ||||||
Georgia-Pacific LLC | 443,000 | 476,834 | ||||||
|
| |||||||
3,431,952 | ||||||||
|
| |||||||
Petrochemicals - 0.0% | ||||||||
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP | 147,000 | 155,526 | ||||||
|
| |||||||
Pharmacy Services - 0.1% | ||||||||
CVS Health Corp | 138,000 | 173,169 | ||||||
CVS Health Corp. | 124,000 | 125,142 | ||||||
CVS Health Corp. | 321,000 | 407,288 | ||||||
CVS Health Corp. | 285,000 | 384,448 | ||||||
|
| |||||||
1,090,047 | ||||||||
|
| |||||||
Pipelines - 2.5% | ||||||||
Buckeye Partners LP | 591,000 | 589,522 | ||||||
Buckeye Partners LP | 1,531,000 | 1,531,000 | ||||||
Cheniere Corpus Christi Holdings LLC | 286,000 | 313,271 | ||||||
Cheniere Energy Partners LP | 1,085,000 | 1,130,592 | ||||||
Cheniere Energy Partners LP | 462,000 | 474,128 | ||||||
Cheniere Energy, Inc. | 1,149,000 | 1,191,875 | ||||||
Colonial Enterprises, Inc. | 109,000 | 122,067 | ||||||
DCP Midstream Operating LP | 465,000 | 434,775 | ||||||
DCP Midstream Operating LP | 792,000 | 857,340 | ||||||
DCP Midstream Operating LP | 363,000 | 377,520 |
Enable Midstream Partners LP | 210,000 | 206,913 | ||||||
Energy Transfer Operating LP | 331,000 | 344,763 | ||||||
Energy Transfer Operating LP | 85,000 | 97,926 | ||||||
Energy Transfer Operating LP | 183,000 | 207,198 | ||||||
EnLink Midstream Partners LP | 18,000 | 13,208 | ||||||
Enterprise Products Operating LLC | 296,000 | 321,927 | ||||||
Enterprise Products Operating LLC | 201,000 | 235,049 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 1,915,000 | 1,800,100 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 775,000 | 751,711 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 625,000 | 575,000 | ||||||
Gray Oak Pipeline LLC | 422,000 | 425,348 | ||||||
Gray Oak Pipeline LLC | 246,000 | 253,091 | ||||||
Harvest Midstream I LP | 1,891,000 | 1,957,185 | ||||||
Holly Energy Partners LP/Holly Energy Finance Corp. | 2,249,000 | 2,214,365 | ||||||
Kinder Morgan, Inc. | EUR | 400,000 | 485,994 | |||||
Kinder Morgan, Inc. | 260,000 | 311,337 | ||||||
MPLX LP | 221,000 | 223,771 | ||||||
NGPL PipeCo LLC | 270,000 | 280,909 | ||||||
NuStar Logistics LP | 669,000 | 704,122 | ||||||
NuStar Logistics LP | 1,006,000 | 1,091,510 | ||||||
ONEOK Partners LP | 159,000 | 191,527 | ||||||
ONEOK, Inc. | 136,000 | 137,290 | ||||||
ONEOK, Inc. | 110,000 | 142,648 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 123,000 | 115,466 | ||||||
Sabine Pass Liquefaction LLC | 198,000 | 232,030 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 1,382,000 | 1,470,102 | ||||||
Valero Energy Partners LP | 388,000 | 440,366 | ||||||
Williams Cos., Inc. | 411,000 | 517,226 | ||||||
|
| |||||||
22,770,172 | ||||||||
|
| |||||||
Poultry - 0.1% |
| |||||||
Pilgrims Pride Corp. | 1,099,000 | 1,181,425 | ||||||
|
| |||||||
Protection/Safety - 0.5% |
| |||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 1,275,000 | 1,259,062 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 1,512,000 | 1,602,720 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 640,000 | 694,400 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 1,276,000 | 1,336,202 | ||||||
|
| |||||||
4,892,384 | ||||||||
|
|
Real Estate Investment Trusts - 2.3% | ||||||||
American Tower Corp. | 252,000 | 261,941 | ||||||
Columbia Property Trust Operating Partnership LP | 358,000 | 376,436 | ||||||
CTR Partnership LP/CareTrust Capital Corp. | 2,074,000 | 2,151,817 | ||||||
ESH Hospitality, Inc. | 1,485,000 | 1,510,988 | ||||||
ESH Hospitality, Inc. | 140,000 | 143,325 | ||||||
Essex Portfolio LP | 4,000 | 3,858 | ||||||
Federal Realty Investment Trust | 383,000 | 385,097 | ||||||
HAT Holdings I LLC/HAT Holdings II LLC | 468,000 | 478,530 | ||||||
HAT Holdings I LLC/HAT Holdings II LLC | 304,000 | 316,160 | ||||||
HAT Holdings I LLC/HAT Holdings II LLC | 1,180,000 | 1,259,650 | ||||||
Host Hotels & Resorts LP | 287,000 | 288,649 | ||||||
Host Hotels & Resorts LP | 263,000 | 270,067 | ||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. | 2,664,000 | 2,460,870 | ||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | 1,387,000 | 1,545,922 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. | 714,000 | 725,645 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. | 1,599,000 | 1,693,037 | ||||||
Omega Healthcare Investors, Inc. | 246,000 | 247,347 | ||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer | 1,655,000 | 1,743,956 | ||||||
Piedmont Operating Partnership LP | 319,000 | 319,240 | ||||||
Rexford Industrial Realty LP | 128,000 | 128,569 | ||||||
Sabra Health Care LP | 1,428,000 | 1,575,606 | ||||||
Service Properties Trust | 146,000 | 152,244 | ||||||
Simon Property Group LP | 223,000 | 218,446 | ||||||
Starwood Property Trust, Inc. | 1,792,000 | 1,839,578 | ||||||
Starwood Property Trust, Inc. | 317,000 | 320,170 | ||||||
VEREIT Operating Partnership LP | 149,000 | 152,545 | ||||||
|
| |||||||
20,569,693 | ||||||||
|
| |||||||
Real Estate Management/Services - 0.3% | ||||||||
Cushman & Wakefield US Borrower LLC | 1,346,000 | 1,458,728 | ||||||
Newmark Group, Inc. | 1,080,000 | 1,171,964 | ||||||
|
| |||||||
2,630,692 | ||||||||
|
| |||||||
Recycling - 0.2% | ||||||||
Harsco Corp. | 1,784,000 | 1,886,616 | ||||||
|
| |||||||
Rental Auto/Equipment - 0.4% | ||||||||
Ahern Rentals, Inc. | 2,767,000 | 1,916,147 | ||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. | 1,412,000 | 1,401,410 | ||||||
|
| |||||||
3,317,557 | ||||||||
|
|
Research & Development - 0.2% | ||||||||
Jaguar Holding Co. II/PPD Development LP | 273,000 | 285,285 | ||||||
Jaguar Holding Co. II/PPD Development LP | 1,045,000 | 1,116,227 | ||||||
|
| |||||||
1,401,512 | ||||||||
|
| |||||||
Resorts/Theme Parks - 0.4% | ||||||||
SeaWorld Parks & Entertainment, Inc. | 1,515,000 | 1,621,050 | ||||||
Six Flags Entertainment Corp. | 1,495,000 | 1,502,475 | ||||||
Six Flags Theme Parks, Inc. | 130,000 | 140,930 | ||||||
|
| |||||||
3,264,455 | ||||||||
|
| |||||||
Retail-Apparel/Shoe - 0.0% | ||||||||
Ross Stores, Inc. | 361,000 | 362,429 | ||||||
|
| |||||||
Retail-Appliances - 0.1% | ||||||||
Conns, Inc. | 1,314,000 | 1,274,580 | ||||||
|
| |||||||
Retail-Auto Parts - 0.1% | ||||||||
Advance Auto Parts, Inc. | 204,000 | 205,884 | ||||||
Advance Auto Parts, Inc. | 279,000 | 320,648 | ||||||
Genuine Parts Co. | 247,000 | 245,304 | ||||||
|
| |||||||
771,836 | ||||||||
|
| |||||||
Retail-Automobile - 0.0% | ||||||||
AutoNation, Inc. | 181,000 | 217,759 | ||||||
|
| |||||||
Retail-Building Products - 0.0% | ||||||||
Lowes Cos., Inc. | 190,000 | 204,053 | ||||||
|
| |||||||
Retail-Discount - 0.1% | ||||||||
Walmart, Inc. | 413,000 | 432,556 | ||||||
|
| |||||||
Retail-Pawn Shops - 0.1% | ||||||||
FirstCash, Inc. | 1,254,000 | 1,288,485 | ||||||
|
| |||||||
Retail-Petroleum Products - 0.2% | ||||||||
Murphy Oil USA, Inc. | 1,544,000 | 1,640,500 | ||||||
|
| |||||||
Retail-Regional Department Stores - 0.1% | ||||||||
Kohls Corp. | 359,000 | 351,696 | ||||||
Kohls Corp. | 133,000 | 167,036 | ||||||
|
| |||||||
518,732 | ||||||||
|
| |||||||
Retail-Restaurants - 0.6% | ||||||||
Brinker International, Inc. | 932,000 | 956,726 | ||||||
Dave & Busters, Inc. | 1,610,000 | 1,670,375 | ||||||
Golden Nugget, Inc. | 2,162,000 | 2,113,355 | ||||||
McDonalds Corp. | 157,000 | 184,261 | ||||||
McDonalds Corp. | 161,000 | 207,241 | ||||||
|
| |||||||
5,131,958 | ||||||||
|
| |||||||
Satellite Telecom - 0.3% | ||||||||
Hughes Satellite Systems Corp. | 2,513,000 | 2,795,712 | ||||||
|
| |||||||
Savings & Loans/Thrifts - 0.1% | ||||||||
First Niagara Financial Group, Inc. | 431,000 | 460,816 | ||||||
New York Community Bancorp, Inc. | 479,000 | 497,153 | ||||||
|
| |||||||
957,969 | ||||||||
|
| |||||||
Security Services - 0.2% | ||||||||
Brinks Co. | 2,005,000 | 2,112,167 | ||||||
|
|
Shipbuilding - 0.0% | ||||||||
Huntington Ingalls Industries, Inc. | 232,000 | 275,293 | ||||||
|
| |||||||
Software Tools - 0.0% | ||||||||
VMware, Inc. | 128,000 | 156,189 | ||||||
|
| |||||||
Steel-Producers - 0.1% | ||||||||
Commercial Metals Co. | 910,000 | 946,400 | ||||||
Reliance Steel & Aluminum Co. | 302,000 | 308,179 | ||||||
Steel Dynamics, Inc. | 5,000 | 5,619 | ||||||
|
| |||||||
1,260,198 | ||||||||
|
| |||||||
Telecom Equipment-Fiber Optics - 0.1% | ||||||||
Corning, Inc. | 513,000 | 704,998 | ||||||
|
| |||||||
Telephone-Integrated - 1.3% | ||||||||
AT&T, Inc. | EUR | 340,000 | 510,298 | |||||
AT&T, Inc. | 91,000 | 93,273 | ||||||
AT&T, Inc. | 1,135,000 | 1,375,178 | ||||||
AT&T, Inc. | 31,000 | 38,442 | ||||||
AT&T, Inc. | 226,000 | 274,696 | ||||||
AT&T, Inc. | 344,000 | 431,539 | ||||||
CenturyLink, Inc. | 1,345,000 | 1,407,206 | ||||||
CenturyLink, Inc. | 1,279,000 | 1,432,480 | ||||||
Frontier Communications Corp. | 1,608,000 | 1,632,120 | ||||||
Verizon Communications, Inc. | 497,000 | 490,348 | ||||||
Verizon Communications, Inc. | EUR | 325,000 | 441,505 | |||||
Verizon Communications, Inc. | GBP | 300,000 | 447,785 | |||||
Verizon Communications, Inc. | 467,000 | 494,667 | ||||||
Verizon Communications, Inc. | 281,000 | 296,066 | ||||||
Verizon Communications, Inc. | 140,000 | 175,900 | ||||||
Verizon Communications, Inc. | 147,000 | 185,823 | ||||||
Zayo Group Holdings, Inc. | 1,754,000 | 1,846,776 | ||||||
|
| |||||||
11,574,102 | ||||||||
|
| |||||||
Television - 0.4% | ||||||||
Belo Corp. | 1,030,000 | 1,174,200 | ||||||
Belo Corp. | 1,105,000 | 1,281,800 | ||||||
Viacom, Inc. | 961,000 | 1,117,162 | ||||||
|
| |||||||
3,573,162 | ||||||||
|
| |||||||
Tools-Hand Held - 0.0% | ||||||||
Stanley Black & Decker, Inc. | 214,000 | 241,642 | ||||||
|
| |||||||
Transport-Air Freight - 0.3% | ||||||||
Cargo Aircraft Management, Inc. | 2,351,000 | 2,436,224 | ||||||
|
| |||||||
Transport-Equipment & Leasing - 0.1% | ||||||||
GATX Corp. | 203,000 | 237,944 | ||||||
GATX Corp. | 382,000 | 420,501 | ||||||
|
| |||||||
658,445 | ||||||||
|
| |||||||
Transport-Marine - 0.0% | ||||||||
Kirby Corp. | 237,000 | 255,262 | ||||||
|
| |||||||
Transport-Rail - 0.1% | ||||||||
Kansas City Southern | 201,000 | 216,469 |
Kansas City Southern | 198,000 | 247,578 | ||||||
Norfolk Southern Corp. | 327,000 | 419,427 | ||||||
|
| |||||||
883,474 | ||||||||
|
| |||||||
Transport-Services - 0.1% | ||||||||
FedEx Corp. Pass Through Trust | 395,000 | 404,054 | ||||||
United Parcel Service, Inc. | 193,000 | 218,011 | ||||||
|
| |||||||
622,065 | ||||||||
|
| |||||||
Trucking/Leasing - 0.1% | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 53,000 | 57,461 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 383,000 | 423,374 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 184,000 | 211,579 | ||||||
|
| |||||||
692,414 | ||||||||
|
| |||||||
Vitamins & Nutrition Products - 0.2% | ||||||||
HLF Financing SARL LLC/Herbalife International, Inc. | 1,622,000 | 1,707,155 | ||||||
|
| |||||||
Water - 0.0% | ||||||||
American Water Capital Corp. | 125,000 | 148,846 | ||||||
Essential Utilities, Inc. | 161,000 | 179,908 | ||||||
|
| |||||||
328,754 | ||||||||
|
| |||||||
Total U.S. Corporate Bonds & Notes | 355,755,512 | |||||||
|
| |||||||
FOREIGN CORPORATE BONDS & NOTES - 16.1% | ||||||||
Aerospace/Defense - 0.0% | ||||||||
BAE Systems PLC | 229,000 | 258,851 | ||||||
|
| |||||||
Agricultural Chemicals - 0.4% | ||||||||
Consolidated Energy Finance SA | 1,460,000 | 1,432,931 | ||||||
Nutrien, Ltd. | 143,000 | 171,729 | ||||||
OCI NV | 1,540,000 | 1,601,600 | ||||||
Yara International ASA | 122,000 | 131,988 | ||||||
|
| |||||||
3,338,248 | ||||||||
|
| |||||||
Airlines - 0.1% | ||||||||
Delta Air Lines/Skymiles | 474,958 | 501,384 | ||||||
Delta Air Lines/Skymiles | 353,000 | 379,818 | ||||||
|
| |||||||
881,202 | ||||||||
|
| |||||||
Airport Development/Maintenance - 0.1% | ||||||||
Heathrow Funding, Ltd. | EUR | 400,000 | 499,358 | |||||
|
| |||||||
Auto-Cars/Light Trucks - 0.1% | ||||||||
Nissan Motor Co., Ltd. | 200,000 | 207,958 | ||||||
Volkswagen International Finance NV | EUR | 300,000 | 509,729 | |||||
|
| |||||||
717,687 | ||||||||
|
| |||||||
Banks-Commercial - 1.5% | ||||||||
Australia & New Zealand Banking Group, Ltd. | 212,000 | 222,728 | ||||||
Banco de Credito del Peru | 780,000 | 789,758 | ||||||
Banco de Credito e Inversiones SA | 970,000 | 1,061,374 | ||||||
Banco de Sabadell SA | EUR | 500,000 | 614,492 | |||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | 298,000 | 336,978 | ||||||
Bank of Montreal | 379,000 | 391,139 | ||||||
Canadian Imperial Bank of Commerce | 194,000 | 195,332 |
Canadian Imperial Bank of Commerce | 449,000 | 475,183 | ||||||
Cooperatieve Rabobank UA | 680,000 | 681,625 | ||||||
Danske Bank A/S | EUR | 635,000 | 767,686 | |||||
Danske Bank A/S | GBP | 400,000 | 552,848 | |||||
Danske Bank A/S | 522,000 | 557,824 | ||||||
DBS Group Holdings, Ltd. | 277,000 | 285,471 | ||||||
Grupo Aval, Ltd. | 1,000,000 | 1,030,500 | ||||||
ING Groep NV | 604,000 | 612,367 | ||||||
ING Groep NV | 220,000 | 258,438 | ||||||
Intesa Sanpaolo SpA | EUR | 600,000 | 774,464 | |||||
Malayan Banking Bhd | 550,000 | 560,648 | ||||||
Philippine National Bank | 1,300,000 | 1,368,825 | ||||||
Shinhan Bank Co., Ltd. | 210,000 | 237,236 | ||||||
Skandinaviska Enskilda Banken AB | EUR | 500,000 | 602,893 | |||||
Standard Chartered PLC | EUR | 850,000 | 1,047,521 | |||||
Standard Chartered PLC | 265,000 | 269,036 | ||||||
|
| |||||||
13,694,366 | ||||||||
|
| |||||||
Banks-Special Purpose - 0.1% | ||||||||
BNG Bank NV | 206,000 | 205,940 | ||||||
Industrial Bank of Korea | 801,000 | 808,786 | ||||||
|
| |||||||
1,014,726 | ||||||||
|
| |||||||
Beverages-Non-alcoholic - 0.0% | ||||||||
Coca-Cola Femsa SAB de CV | 397,000 | 400,903 | ||||||
|
| |||||||
Beverages-Wine/Spirits - 0.0% | ||||||||
Diageo Capital PLC | 256,000 | 270,815 | ||||||
|
| |||||||
Brewery - 0.1% | ||||||||
Anheuser-Busch InBev SA | EUR | 340,000 | 566,764 | |||||
Heineken NV | EUR | 450,000 | 600,059 | |||||
|
| |||||||
1,166,823 | ||||||||
|
| |||||||
Building & Construction Products-Misc. - 0.1% | ||||||||
Whirlpool EMEA Finance SARL | EUR | 535,000 | 649,436 | |||||
|
| |||||||
Building Products-Cement - 0.1% | ||||||||
CRH Funding BV | EUR | 465,000 | 622,674 | |||||
|
| |||||||
Building-Residential/Commercial - 0.2% | ||||||||
Mattamy Group Corp. | 600,000 | 628,500 | ||||||
Mattamy Group Corp. | 940,000 | 994,050 | ||||||
|
| |||||||
1,622,550 | ||||||||
|
| |||||||
Cable/Satellite TV - 0.2% | ||||||||
Altice Financing SA | 1,831,000 | 1,876,775 | ||||||
|
| |||||||
Casino Hotels - 0.2% | ||||||||
Wynn Macau, Ltd. | 1,640,000 | 1,644,100 | ||||||
|
| |||||||
Cellular Telecom - 0.4% | ||||||||
Colombia Telecomunicaciones SA ESP | 739,000 | 820,290 | ||||||
Numericable-SFR SA | 2,176,000 | 2,284,800 | ||||||
SK Telecom Co., Ltd. | 200,000 | 213,791 | ||||||
Vodafone Group PLC | 215,000 | 281,595 | ||||||
Vodafone Group PLC | 175,000 | 239,562 | ||||||
|
| |||||||
3,840,038 | ||||||||
|
|
Chemicals-Diversified - 0.1% | ||||||||
Braskem Netherlands Finance BV | 290,000 | 300,367 | ||||||
Braskem Netherlands Finance BV | 360,000 | 363,708 | ||||||
Braskem Netherlands Finance BV | 300,000 | 303,090 | ||||||
|
| |||||||
967,165 | ||||||||
|
| |||||||
Chemicals-Other - 0.1% | ||||||||
MEGlobal Canada ULC | 800,000 | 887,376 | ||||||
|
| |||||||
Chemicals-Specialty - 0.0% | ||||||||
Albemarle Wodgina Pty, Ltd. | 153,000 | 156,583 | ||||||
|
| |||||||
Commercial Services - 0.1% | ||||||||
Nielsen Co. Luxembourg SARL | 820,000 | 843,575 | ||||||
|
| |||||||
Computer Software - 0.1% | ||||||||
Camelot Finance SA | 1,105,000 | 1,156,106 | ||||||
|
| |||||||
Containers-Metal/Glass - 0.3% | ||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | 910,000 | 948,993 | ||||||
Trivium Packaging Finance BV | 1,518,000 | 1,643,235 | ||||||
|
| |||||||
2,592,228 | ||||||||
|
| |||||||
Containers-Paper/Plastic - 0.4% | ||||||||
Cascades, Inc./Cascades USA, Inc. | 1,553,000 | 1,634,533 | ||||||
Intertape Polymer Group, Inc. | 1,938,000 | 2,054,280 | ||||||
Klabin Austria GmbH | 379,000 | 474,705 | ||||||
|
| |||||||
4,163,518 | ||||||||
|
| |||||||
Cruise Lines - 0.6% | ||||||||
Carnival Corp. | 331,000 | 349,205 | ||||||
NCL Corp., Ltd. | 2,315,000 | 2,067,874 | ||||||
Silversea Cruise Finance, Ltd. | 1,615,000 | 1,656,384 | ||||||
Viking Cruises, Ltd. | 188,000 | 220,900 | ||||||
VOC Escrow, Ltd. | 1,635,000 | 1,585,950 | ||||||
|
| |||||||
5,880,313 | ||||||||
|
| |||||||
Diversified Banking Institutions - 1.8% | ||||||||
Banco Santander SA | EUR | 700,000 | 883,258 | |||||
Banco Santander SA | 200,000 | 212,926 | ||||||
Barclays PLC | EUR | 500,000 | 604,519 | |||||
Barclays PLC | GBP | 400,000 | 576,494 | |||||
Barclays PLC | 247,000 | 257,794 | ||||||
BNP Paribas SA | EUR | 1,100,000 | 1,322,735 | |||||
BNP Paribas SA | 557,000 | 604,681 | ||||||
BNP Paribas SA | GBP | 400,000 | 596,238 | |||||
BNP Paribas SA | 476,000 | 528,522 | ||||||
Credit Agricole SA | 250,000 | 258,114 | ||||||
Credit Suisse Group AG | 321,000 | 334,095 | ||||||
Credit Suisse Group AG | 250,000 | 294,274 | ||||||
Deutsche Bank AG | EUR | 500,000 | 621,303 | |||||
Deutsche Bank AG | 302,000 | 308,219 | ||||||
HSBC Holdings PLC | EUR | 350,000 | 431,916 |
HSBC Holdings PLC | 394,000 | 397,323 | ||||||
HSBC Holdings PLC | GBP | 450,000 | 661,974 | |||||
HSBC Holdings PLC | 308,000 | 348,728 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 405,000 | 426,499 | ||||||
Mizuho Financial Group, Inc. | 643,000 | 678,599 | ||||||
Natwest Group PLC | 649,000 | 654,640 | ||||||
NatWest Markets PLC | 383,000 | 397,876 | ||||||
NatWest Markets PLC | EUR | 775,000 | 1,024,966 | |||||
Royal Bank of Scotland Group PLC | 519,000 | 537,941 | ||||||
UBS AG | EUR | 650,000 | 781,030 | |||||
UBS Group Funding Switzerland AG | 293,000 | 305,124 | ||||||
UniCredit SpA | EUR | 600,000 | 741,133 | |||||
UniCredit SpA | EUR | 600,000 | 757,821 | |||||
UniCredit SpA | 377,000 | 383,517 | ||||||
UniCredit SpA | 608,000 | 666,005 | ||||||
UniCredit SpA | 377,000 | 398,604 | ||||||
|
| |||||||
16,996,868 | ||||||||
|
| |||||||
Diversified Financial Services - 0.3% |
| |||||||
Fairstone Financial, Inc. | 1,629,000 | 1,722,668 | ||||||
GE Capital International Funding Co. ULC | 800,000 | 922,253 | ||||||
|
| |||||||
2,644,921 | ||||||||
|
| |||||||
Diversified Manufacturing Operations - 0.0% |
| |||||||
Siemens Financieringsmaatschappij NV | 250,000 | 277,262 | ||||||
|
| |||||||
Diversified Minerals - 0.3% |
| |||||||
Anglo American Capital PLC | 423,000 | 433,890 | ||||||
FMG Resources August 2006 Pty, Ltd. | 1,153,000 | 1,264,045 | ||||||
Teck Resources, Ltd. | 556,000 | 692,021 | ||||||
|
| |||||||
2,389,956 | ||||||||
|
| |||||||
Electric-Distribution - 0.3% |
| |||||||
Energuate Trust | 1,000,000 | 1,042,510 | ||||||
Infraestructura Energetica Nova SAB de CV | 650,000 | 632,450 | ||||||
National Grid PLC | EUR | 535,000 | 654,551 | |||||
OmGrid Funding, Ltd. | 500,000 | 483,550 | ||||||
|
| |||||||
2,813,061 | ||||||||
|
| |||||||
Electric-Generation - 0.5% |
| |||||||
Electricite de France SA | 200,000 | 267,754 | ||||||
Electricite de France SA | GBP | 400,000 | 721,029 | |||||
LLPL Capital Pte, Ltd. | 939,000 | 1,098,395 | ||||||
Minejesa Capital BV | 1,000,000 | 1,057,500 | ||||||
Mong Duong Finance Holdings BV | 800,000 | 842,171 | ||||||
SPIC Luxembourg Latin America Renewable Energy Investment Co. SARL | 650,000 | 704,103 | ||||||
|
| |||||||
4,690,952 | ||||||||
|
|
Electric-Integrated - 0.1% |
| |||||||
Empresas Publicas de Medellin ESP | 805,000 | 856,327 | ||||||
Enel Finance International NV | 278,000 | 373,114 | ||||||
Engie Energia Chile SA | 209,000 | 225,408 | ||||||
|
| |||||||
1,454,849 | ||||||||
|
| |||||||
Electric-Transmission - 0.1% |
| |||||||
RTE Reseau de Transport dElectricite SADIR | EUR | 700,000 | 919,898 | |||||
|
| |||||||
Energy-Alternate Sources - 0.1% |
| |||||||
ReNew Power Synthetic | 500,000 | 529,001 | ||||||
ReNew Power, Ltd. | 510,000 | 527,340 | ||||||
|
| |||||||
1,056,341 | ||||||||
|
| |||||||
Finance-Consumer Loans - 0.1% |
| |||||||
goeasy, Ltd. | 1,395,000 | 1,449,056 | ||||||
|
| |||||||
Finance-Leasing Companies - 0.1% |
| |||||||
BOC Aviation, Ltd. | 1,165,000 | 1,154,214 | ||||||
|
| |||||||
Food-Meat Products - 0.1% |
| |||||||
BRF SA | 500,000 | 533,000 | ||||||
|
| |||||||
Food-Retail - 0.1% |
| |||||||
Auchan Holding SA | EUR | 500,000 | 685,109 | |||||
Tesco Corp.orate Treasury Services PLC | EUR | 605,000 | 744,707 | |||||
|
| |||||||
1,429,816 | ||||||||
|
| |||||||
Gas-Distribution - 0.1% |
| |||||||
Centrica PLC | GBP | 400,000 | 655,643 | |||||
|
| |||||||
Gold Mining - 0.0% |
| |||||||
AngloGold Ashanti Holdings PLC | 266,000 | 282,737 | ||||||
|
| |||||||
Industrial Gases - 0.1% |
| |||||||
Yingde Gases Investment, Ltd. | 500,000 | 513,804 | ||||||
|
| |||||||
Insurance-Life/Health - 0.1% |
| |||||||
Athene Holding, Ltd. | 301,000 | 318,553 | ||||||
Manulife Financial Corp. | 300,000 | 329,152 | ||||||
|
| |||||||
647,705 | ||||||||
|
| |||||||
Insurance-Property/Casualty - 0.1% |
| |||||||
Enstar Group, Ltd. | 509,000 | 565,257 | ||||||
|
| |||||||
Insurance-Reinsurance - 0.1% |
| |||||||
Fairfax Financial Holdings, Ltd. | EUR | 400,000 | 510,287 | |||||
|
| |||||||
Investment Companies - 0.4% |
| |||||||
Huarong Finance II Co., Ltd. | 590,000 | 617,594 | ||||||
Huarong Finance II Co., Ltd. | 1,000,000 | 1,102,920 | ||||||
JAB Holdings BV | 263,000 | 263,906 | ||||||
JAB Holdings BV | EUR | 500,000 | 678,581 | |||||
MDGH - GMTN BV | 600,000 | 685,500 | ||||||
|
| |||||||
3,348,501 | ||||||||
|
| |||||||
Machinery-Farming - 0.1% |
| |||||||
CNH Industrial Finance Europe SA | EUR | 400,000 | 504,356 | |||||
|
| |||||||
Medical-Drugs - 0.4% |
| |||||||
AstraZeneca PLC | 110,000 | 104,031 |
Endo Dac/Endo Finance LLC/Endo Finco, Inc. | 760,000 | 765,662 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. | 1,688,000 | 1,333,520 | ||||||
Takeda Pharmaceutical Co., Ltd. | EUR | 510,000 | 650,853 | |||||
Takeda Pharmaceutical Co., Ltd. | 283,000 | 303,127 | ||||||
Upjohn Finance BV | EUR | 300,000 | 395,638 | |||||
|
| |||||||
3,552,831 | ||||||||
|
| |||||||
Metal-Aluminum - 0.1% |
| |||||||
Indonesia Asahan Aluminium Persero PT | 500,000 | 623,016 | ||||||
|
| |||||||
Metal-Copper - 0.2% |
| |||||||
First Quantum Minerals, Ltd. | 1,542,000 | 1,575,847 | ||||||
|
| |||||||
Metal-Diversified - 0.1% |
| |||||||
Chinalco Capital Holdings, Ltd. | 400,000 | 406,172 | ||||||
Glencore Capital Finance DAC | EUR | 400,000 | 486,711 | |||||
|
| |||||||
892,883 | ||||||||
|
| |||||||
Metal-Iron - 0.2% |
| |||||||
Mineral Resources, Ltd. | 1,649,000 | 1,820,578 | ||||||
|
| |||||||
Motion Pictures & Services - 0.3% |
| |||||||
Banijay Entertainment SASU | 2,390,000 | 2,425,850 | ||||||
|
| |||||||
Multimedia - 0.1% |
| |||||||
Globo Comunicacao e Participacoes SA | 700,000 | 728,357 | ||||||
|
| |||||||
Oil Companies-Exploration & Production - 0.7% |
| |||||||
Canadian Natural Resources, Ltd. | 196,000 | 202,238 | ||||||
CNOOC Finance, Ltd. | 580,000 | 605,171 | ||||||
MEG Energy Corp. | 2,850,000 | 2,907,000 | ||||||
MEG Energy Corp. | 1,050,000 | 1,029,000 | ||||||
Saka Energi Indonesia PT | 700,000 | 660,995 | ||||||
Tullow Oil PLC | 500,000 | 372,500 | ||||||
Wintershall Dea Finance B.V. | EUR | 300,000 | 366,118 | |||||
|
| |||||||
6,143,022 | ||||||||
|
| |||||||
Oil Companies-Integrated - 1.2% |
| |||||||
BP Capital Markets PLC | GBP | 400,000 | 576,827 | |||||
Cenovus Energy, Inc. | 2,004,000 | 2,136,976 | ||||||
Ecopetrol SA | 500,000 | 594,375 | ||||||
Ecopetrol SA | 700,000 | 886,550 | ||||||
Equinor ASA | 161,000 | 168,353 | ||||||
Equinor ASA | 27,000 | 29,910 | ||||||
Pertamina Persero PT | 500,000 | 667,464 | ||||||
Petro-Canada | 138,000 | 173,683 | ||||||
Petrobras Global Finance BV | 1,000,000 | 1,132,300 | ||||||
Petroleos Mexicanos | 920,000 | 770,500 | ||||||
Petroleos Mexicanos | 900,000 | 906,750 | ||||||
Petroleos Mexicanos | 1,600,000 | 1,473,280 | ||||||
Petroleos Mexicanos | 1,000,000 | 860,000 | ||||||
Shell International Finance BV | EUR | 300,000 | 397,671 | |||||
Total Capital International SA | 129,000 | 147,969 | ||||||
|
| |||||||
10,922,608 | ||||||||
|
|
Paper & Related Products - 0.1% |
| |||||||
Suzano Austria GmbH | 929,000 | 979,166 | ||||||
|
| |||||||
Petrochemicals - 0.1% |
| |||||||
Equate Petrochemical BV | 500,000 | 545,290 | ||||||
|
| |||||||
Real Estate Investment Trusts - 0.1% |
| |||||||
Digital Dutch Finco BV | EUR | 830,000 | 1,019,560 | |||||
|
| |||||||
Real Estate Operations & Development - 0.4% |
| |||||||
Aroundtown SA | EUR | 500,000 | 603,846 | |||||
Aroundtown SA | EUR | 500,000 | 626,223 | |||||
Aroundtown SA | GBP | 400,000 | 588,421 | |||||
CPI Property Group SA | EUR | 115,000 | 138,969 | |||||
Logicor Financing Sarl | EUR | 1,190,000 | 1,447,047 | |||||
|
| |||||||
3,404,506 | ||||||||
|
| |||||||
Retail-Petroleum Products - 0.2% |
| |||||||
eG Global Finance PLC | 1,835,000 | 1,899,225 | ||||||
|
| |||||||
Satellite Telecom - 0.5% |
| |||||||
Connect Finco SARL/Connect US Finco LLC | 2,059,000 | 2,133,742 | ||||||
Telesat Canada/Telesat LLC | 571,000 | 580,992 | ||||||
Telesat Canada/Telesat LLC | 2,232,000 | 2,298,960 | ||||||
|
| |||||||
5,013,694 | ||||||||
|
| |||||||
Security Services - 0.2% |
| |||||||
Garda World Security Corp. | 509,000 | 510,272 | ||||||
GW B-CR Security Corp. | 1,383,000 | 1,542,045 | ||||||
|
| |||||||
2,052,317 | ||||||||
|
| |||||||
Semiconductor Components-Integrated Circuits - 0.0% |
| |||||||
TSMC Global, Ltd. | 451,000 | 448,499 | ||||||
|
| |||||||
Steel-Producers - 0.1% |
| |||||||
Shandong Iron & Steel Xinheng International Co., Ltd. | 620,000 | 626,200 | ||||||
|
| |||||||
SupraNational Banks - 0.3% |
| |||||||
African Development Bank | 408,000 | 412,804 | ||||||
European Bank for Reconstruction & Development | 504,000 | 522,416 | ||||||
International Bank for Reconstruction & Development | 596,000 | 596,844 | ||||||
International Bank for Reconstruction & Development | 300,000 | 338,589 | ||||||
International Finance Corp. | 588,000 | 591,306 | ||||||
|
| |||||||
2,461,959 | ||||||||
|
| |||||||
Telecom Services - 0.2% |
| |||||||
Altice France Holding SA | 1,555,000 | 1,578,247 | ||||||
Optus Finance Pty, Ltd. | EUR | 595,000 | 745,263 | |||||
|
| |||||||
2,323,510 | ||||||||
|
| |||||||
Telephone-Integrated - 0.1% |
| |||||||
Telecom Italia Capital SA | 209,000 | 285,952 | ||||||
Telefonica Emisiones SAU | 307,000 | 368,632 | ||||||
Telefonica Emisiones SAU | GBP | 400,000 | 707,113 | |||||
|
| |||||||
1,361,697 | ||||||||
|
|
Transport-Rail - 0.0% |
| |||||||
Canadian Pacific Railway Co. | 107,000 | 172,728 | ||||||
|
| |||||||
Transport-Services - 0.1% |
| |||||||
Rumo Luxembourg SARL | 730,000 | 788,758 | ||||||
|
| |||||||
Vitamins & Nutrition Products - 0.1% |
| |||||||
Herbalife Nutrition, Ltd./HLF Financing, Inc. | 565,000 | 620,088 | ||||||
|
| |||||||
Warehousing & Harbor Transportation Services - 0.1% |
| |||||||
DP World PLC | 1,000,000 | 1,105,000 | ||||||
|
| |||||||
Total Foreign Corporate Bonds & Notes |
| 147,491,089 | ||||||
|
| |||||||
FOREIGN GOVERNMENT OBLIGATIONS - 15.1% |
| |||||||
Banks-Special Purpose - 0.0% |
| |||||||
Korea Development Bank | 235,000 | 235,367 | ||||||
|
| |||||||
Regional Agencies - 0.1% |
| |||||||
Kommunekredit | EUR | 1,025,000 | 1,243,998 | |||||
|
| |||||||
Regional Authority - 0.2% |
| |||||||
Province of Quebec, Canada | EUR | 1,245,000 | 1,497,128 | |||||
|
| |||||||
Sovereign - 14.6% |
| |||||||
Arab Republic of Egypt | 1,500,000 | 1,577,610 | ||||||
Arab Republic of Egypt | 930,000 | 981,449 | ||||||
Arab Republic of Egypt | 2,600,000 | 2,895,204 | ||||||
Arab Republic of Egypt | 1,024,000 | 1,107,200 | ||||||
Dominican Republic | 900,000 | 936,000 | ||||||
Emirate of Abu Dhabi | 1,250,000 | 1,334,200 | ||||||
Emirate of Abu Dhabi | 2,390,000 | 2,676,800 | ||||||
Emirate of Abu Dhabi | 1,600,000 | 1,738,400 | ||||||
Emirate of Abu Dhabi | 385,000 | 477,585 | ||||||
Federal Republic of Ethiopia | 1,030,000 | 1,010,595 | ||||||
Federative Republic of Brazil | 1,550,000 | 1,715,075 | ||||||
Government of Romania | 2,000,000 | 2,137,000 | ||||||
Government of Romania | 1,920,000 | 2,051,520 | ||||||
Government of Romania | 1,300,000 | 1,420,250 | ||||||
Government of Ukraine | 700,000 | 742,700 | ||||||
Government of Ukraine | 550,000 | 583,550 | ||||||
Government of Ukraine | 750,000 | 797,055 | ||||||
Government of Ukraine | 550,000 | 600,517 | ||||||
Government of Ukraine | 2,200,000 | 2,613,754 | ||||||
Islamic Republic of Pakistan | 1,275,000 | 1,313,250 | ||||||
Islamic Republic of Pakistan | 1,550,000 | 1,674,000 | ||||||
Kingdom of Bahrain | 400,000 | 405,639 | ||||||
Kingdom of Bahrain | 945,000 | 1,104,606 | ||||||
Kingdom of Saudi Arabia | 2,900,000 | 3,186,375 | ||||||
Kingdom of Saudi Arabia | 1,850,000 | 2,032,687 | ||||||
Kingdom of Saudi Arabia | 710,000 | 791,721 | ||||||
Kingdom of Saudi Arabia | 850,000 | 1,081,625 | ||||||
Kingdom of Saudi Arabia | 500,000 | 636,250 |
Kingdom of Saudi Arabia | 800,000 | 1,001,904 | ||||||
Kingdom of Saudi Arabia | 750,000 | 993,750 | ||||||
Oriental Republic of Uruguay | 496,323 | 599,315 | ||||||
Oriental Republic of Uruguay | 1,360,000 | 1,846,200 | ||||||
Peoples Republic of China | 1,600,000 | 1,597,584 | ||||||
Republic of the Philippines | 1,080,000 | 1,654,082 | ||||||
Republic of Angola | 940,000 | 805,298 | ||||||
Republic of Belarus | 1,600,000 | 1,605,658 | ||||||
Republic of Belarus | 1,400,000 | 1,400,630 | ||||||
Republic of Belarus | 1,900,000 | 1,954,302 | ||||||
Republic of Chile | 1,550,000 | 1,643,000 | ||||||
Republic of Chile | 710,000 | 808,520 | ||||||
Republic of Colombia | 775,000 | 813,362 | ||||||
Republic of Colombia | 1,200,000 | 1,367,100 | ||||||
Republic of Colombia | 600,000 | 721,500 | ||||||
Republic of Colombia | 1,200,000 | 1,906,512 | ||||||
Republic of Costa Rica | 3,750,000 | 3,307,500 | ||||||
Republic of El Salvador | 850,000 | 748,850 | ||||||
Republic of El Salvador | 1,600,000 | 1,403,200 | ||||||
Republic of El Salvador | 225,000 | 210,038 | ||||||
Republic of El Salvador | 1,930,000 | 1,827,710 | ||||||
Republic of El Salvador | 700,000 | 662,900 | ||||||
Republic of Georgia | 477,000 | 483,215 | ||||||
Republic of Ghana | 1,500,000 | 1,462,125 | ||||||
Republic of Ghana | 533,000 | 523,001 | ||||||
Republic of Ghana | 1,000,000 | 1,293,070 | ||||||
Republic of Indonesia | 1,200,000 | 1,402,402 | ||||||
Republic of Indonesia | 800,000 | 894,032 | ||||||
Republic of Indonesia | 1,350,000 | 2,138,015 | ||||||
Republic of Italy | 279,000 | 312,118 | ||||||
Republic of Italy | EUR | 525,000 | 987,165 | |||||
Republic of Ivory Coast | 1,900,000 | 2,090,000 | ||||||
Republic of Ivory Coast | 1,000,000 | 1,126,370 | ||||||
Republic of Kazakhstan | 200,000 | 235,354 | ||||||
Republic of Kazakhstan | 850,000 | 1,370,309 | ||||||
Republic of Kenya | 1,280,000 | 1,383,270 | ||||||
Republic of Kenya | 1,750,000 | 1,897,224 | ||||||
Republic of Kenya | 750,000 | 839,010 | ||||||
Republic of Panama | 1,380,000 | 1,399,320 |
Republic of Panama | 800,000 | 931,008 | ||||||
Republic of Panama | 400,000 | 508,000 | ||||||
Republic of Panama | 500,000 | 734,380 | ||||||
Republic of Paraguay | 1,200,000 | 1,422,012 | ||||||
Republic of Peru | 1,400,000 | 1,389,500 | ||||||
Republic of South Africa | 2,760,000 | 2,778,547 | ||||||
Republic of South Africa | 660,000 | 700,392 | ||||||
Republic of Sri Lanka | 1,975,000 | 1,323,250 | ||||||
Republic of Sri Lanka | 1,000,000 | 585,000 | ||||||
Republic of Sri Lanka | 700,000 | 434,000 | ||||||
Republic of Sri Lanka | 2,310,000 | 1,351,350 | ||||||
Republic of Sri Lanka | 2,300,000 | 1,345,500 | ||||||
Republic of the Philippines | 1,155,000 | 1,230,337 | ||||||
Republic of the Philippines | 500,000 | 582,389 | ||||||
Republic of Turkey | 1,200,000 | 1,170,120 | ||||||
Republic of Turkey | 1,270,000 | 1,407,008 | ||||||
Russian Federation | 3,000,000 | 3,472,482 | ||||||
Russian Federation | 600,000 | 814,872 | ||||||
State of Qatar | 865,000 | 951,500 | ||||||
State of Qatar | 900,000 | 1,054,665 | ||||||
State of Qatar | 860,000 | 1,137,909 | ||||||
State of Qatar | 1,420,000 | 1,878,873 | ||||||
State of Qatar | 2,600,000 | 3,597,750 | ||||||
State of Qatar | 780,000 | 1,114,425 | ||||||
Sultanate of Oman | 1,600,000 | 1,570,000 | ||||||
Sultanate of Oman | 2,700,000 | 2,807,190 | ||||||
Sultanate of Oman | 2,130,000 | 2,232,368 | ||||||
United Kingdom Gilt Treasury | GBP | 375,000 | 541,123 | |||||
United Kingdom Gilt Treasury | GBP | 240,000 | 488,401 | |||||
United Mexican States | 1,425,000 | 1,426,268 | ||||||
United Mexican States | 255,000 | 294,145 | ||||||
United Mexican States | 830,000 | 939,983 | ||||||
United Mexican States | 196,000 | 225,647 | ||||||
United Mexican States | 2,410,000 | 2,904,291 | ||||||
|
| |||||||
133,682,217 | ||||||||
|
| |||||||
Sovereign Agency - 0.2% |
| |||||||
Kommunalbanken AS | EUR | 1,230,000 | 1,498,399 | |||||
|
| |||||||
Total Foreign Government Obligations | ||||||||
(cost $132,737,936) |
| 138,157,109 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCIES - 15.9% |
| |||||||
Federal Home Loan Bank - 0.4% |
| |||||||
2.13% due 09/14/2029 | 2,000,000 | 2,204,373 | ||||||
3.25% due 11/16/2028 | 1,000,000 | 1,194,362 | ||||||
|
| |||||||
3,398,735 | ||||||||
|
|
Federal Home Loan Mtg. Corp. - 3.6% |
| |||||||
2.50% due 01/01/2028 | 114,137 | 119,754 | ||||||
2.50% due 04/01/2028 | 254,548 | 268,276 | ||||||
2.50% due 03/01/2031 | 175,349 | 182,836 | ||||||
2.50% due 10/01/2032 | 2,239,567 | 2,333,975 | ||||||
2.50% due 11/01/2032 | 1,139,403 | 1,214,557 | ||||||
3.00% due 04/01/2043 | 319,977 | 347,418 | ||||||
3.00% due 11/01/2046 | 3,968,573 | 4,258,896 | ||||||
3.50% due 03/01/2042 | 184,057 | 199,282 | ||||||
3.50% due 04/01/2042 | 359,653 | 389,996 | ||||||
3.50% due 08/01/2042 | 349,076 | 381,185 | ||||||
3.50% due 09/01/2043 | 29,201 | 31,882 | ||||||
3.50% due 07/01/2045 | 3,297,171 | 3,560,107 | ||||||
3.50% due 01/01/2046 | 279,397 | 300,458 | ||||||
3.50% due 03/01/2046 | 545,685 | 582,768 | ||||||
3.50% due 11/01/2047 | 1,243,083 | 1,316,856 | ||||||
3.50% due 03/01/2048 | 8,543,408 | 9,269,078 | ||||||
4.00% due 01/01/2046 | 195,675 | 215,425 | ||||||
4.00% due 01/01/2047 | 51,741 | 57,052 | ||||||
4.00% due 07/01/2049 | 1,973,011 | 2,140,896 | ||||||
4.00% due 01/01/2050 | 1,876,084 | 2,001,111 | ||||||
4.50% due 03/01/2023 | 9,164 | 9,613 | ||||||
4.50% due 07/01/2045 | 2,738,027 | 3,070,824 | ||||||
5.00% due 05/01/2034 | 36,268 | 41,719 | ||||||
5.00% due 11/01/2043 | 33,740 | 39,166 | ||||||
5.50% due 06/01/2022 | 3,000 | 3,069 | ||||||
5.50% due 07/01/2035 | 11,517 | 13,679 | ||||||
6.00% due 03/01/2040 | 33,740 | 40,074 | ||||||
6.50% due 02/01/2036 | 6,645 | 7,751 | ||||||
Federal Home Loan Mtg. Corp. FRS | 7,953 | 8,226 | ||||||
3.38% (12 ML+1.88%) due 11/01/2037 | 80,840 | 85,460 | ||||||
Federal Home Loan Mtg. Corp. REMIC | 287,686 | 296,309 | ||||||
Series 4800, Class KG 3.50% due 11/15/2045(3) | 123,780 | 126,492 | ||||||
Federal Home Loan Mtg. Corp. REMIC FRS | 80,763 | 13,382 | ||||||
|
| |||||||
32,927,572 | ||||||||
|
| |||||||
Federal National Mtg. Assoc. - 9.1% |
| |||||||
2.00% due 12/01/2050 | 2,992,629 | 3,108,491 | ||||||
2.50% due 12/01/2026 | 375,620 | 391,415 | ||||||
2.50% due 08/01/2031 | 2,224,956 | 2,318,599 | ||||||
2.50% due 02/01/2032 | 867,123 | 914,663 | ||||||
2.50% due 04/01/2035 | 855,976 | 889,838 | ||||||
2.50% due 05/01/2050 | 1,914,012 | 2,026,332 | ||||||
2.50% due 06/01/2050 | 3,281,811 | 3,442,496 | ||||||
2.50% due 08/01/2050 | 4,797,197 | 5,032,079 | ||||||
3.00% due 10/01/2027 | 106,830 | 111,970 | ||||||
3.00% due 12/01/2027 | 177,167 | 185,735 | ||||||
3.00% due 10/01/2030 | 206,142 | 216,038 | ||||||
3.00% due 02/01/2033 | 3,034,454 | 3,179,523 | ||||||
3.00% due 11/01/2039 | 1,429,153 | 1,492,862 | ||||||
3.00% due 12/01/2042 | 95,540 | 103,065 | ||||||
3.00% due 12/01/2046 | 426,568 | 447,177 | ||||||
3.00% due 01/01/2047 | 2,127,049 | 2,228,848 | ||||||
3.00% due 04/01/2047 | 2,425,303 | 2,545,105 | ||||||
3.00% due 09/01/2048 | 3,247,815 | 3,400,907 | ||||||
3.00% due 11/01/2048 | 1,332,689 | 1,393,584 | ||||||
3.00% due 06/01/2049 | 2,943,648 | 3,147,705 | ||||||
3.00% due 03/01/2050 | 1,326,526 | 1,400,970 | ||||||
3.50% due 09/01/2026 | 110,745 | 117,270 | ||||||
3.50% due 08/01/2027 | 23,570 | 24,948 | ||||||
3.50% due 10/01/2028 | 119,572 | 129,393 | ||||||
3.50% due 08/01/2042 | 244,689 | 255,501 | ||||||
3.50% due 10/01/2045 | 341,292 | 373,490 | ||||||
3.50% due 11/01/2045 | 186,583 | 198,631 | ||||||
3.50% due 02/01/2046 | 268,938 | 287,081 | ||||||
3.50% due 07/01/2046 | 3,202,294 | 3,480,726 | ||||||
3.50% due 01/01/2047 | 504,177 | 535,869 | ||||||
3.50% due 12/01/2047 | 5,061,601 | 5,405,359 | ||||||
3.50% due 04/01/2048 | 2,762,989 | 2,979,719 | ||||||
4.00% due 11/01/2025 | 47,400 | 50,294 | ||||||
4.00% due 03/01/2039 | 1,792,436 | 1,922,550 | ||||||
4.00% due 12/01/2040 | 19,563 | 21,504 | ||||||
4.00% due 01/01/2043 | 1,395,702 | 1,536,386 | ||||||
4.00% due 02/01/2045 | 1,828,875 | 2,013,494 | ||||||
4.00% due 06/01/2046 | 349,196 | 378,836 | ||||||
4.00% due 01/01/2047 | 14,496 | 15,630 | ||||||
4.00% due 05/01/2047 | 302,603 | 325,151 | ||||||
4.00% due 07/01/2047 | 1,942,687 | 2,086,573 | ||||||
4.00% due 08/01/2047 | 4,098,047 | 4,399,478 | ||||||
4.00% due 06/01/2048 | 2,178,067 | 2,353,795 | ||||||
4.00% due 09/01/2048 | 514,599 | 551,181 | ||||||
4.00% due 01/01/2049 | 3,758,055 | 4,009,864 | ||||||
4.50% due 08/01/2045 | 2,798,147 | 3,159,591 | ||||||
4.50% due 11/01/2048 | 2,093,457 | 2,293,863 | ||||||
5.00% due 01/01/2023 | 9,802 | 10,354 | ||||||
5.00% due 04/01/2023 | 9,451 | 9,983 | ||||||
5.00% due 03/01/2037 | 2,781 | 3,077 | ||||||
5.00% due 05/01/2040 | 128,393 | 146,386 | ||||||
5.00% due 06/01/2040 | 35,972 | 41,627 | ||||||
5.00% due 02/01/2045 | 371,893 | 428,536 | ||||||
5.50% due 08/01/2037 | 187,388 | 221,362 | ||||||
5.50% due 06/01/2038 | 19,431 | 22,923 | ||||||
6.00% due 02/01/2032 | 2,694 | 3,016 | ||||||
6.00% due 10/01/2034 | 101 | 113 | ||||||
6.00% due 09/01/2038 | 36,311 | 43,428 | ||||||
6.00% due 11/01/2038 | 10,989 | 12,968 | ||||||
6.00% due 06/01/2040 | 9,786 | 11,531 | ||||||
6.50% due 11/01/2037 | 27,375 | 31,141 | ||||||
Federal National Mtg. Assoc. FRS | 69,094 | 71,707 | ||||||
2.33% (12 ML+1.83%) due 10/01/2040 | 31,794 | 33,178 | ||||||
2.33% (12 ML+1.82%) due 10/01/2040 | 16,659 | 17,387 |
2.79% (12 ML+1.77%) due 05/01/2040 | 69,441 | 72,481 | ||||||
2.82% (12 ML+1.57%) due 05/01/2037 | 14,288 | 14,885 | ||||||
2.95% (12 ML+1.91%) due 08/01/2035 | 49,764 | 52,385 | ||||||
3.04% (1 Yr USTYCR+2.26%) due 11/01/2036 | 28,818 | 30,349 | ||||||
3.06% (1 Yr USTYCR+2.22%) due 10/01/2035 | 54,073 | 56,933 | ||||||
3.11% (12 ML+1.67%) due 07/01/2039 | 61,550 | 64,268 | ||||||
Federal National Mtg. Assoc. REMIC |
| |||||||
Series 2017-100, Class NP 3.00% due 12/25/2047(3) | 878,680 | 944,976 | ||||||
Series 2018-27, Class EA 3.00% due 05/25/2048(3) | 2,107,129 | 2,248,190 | ||||||
Series 2018-35, Class CD 3.00% due 05/25/2048(3) | 1,676,269 | 1,770,942 | ||||||
|
| |||||||
83,247,705 | ||||||||
|
| |||||||
Government National Mtg. Assoc. - 2.1% |
| |||||||
2.50% due 05/20/2050 | 1,944,145 | 2,049,884 | ||||||
2.50% due 06/20/2050 | 978,590 | 1,032,118 | ||||||
3.00% due 03/20/2046 | 222,307 | 236,280 | ||||||
3.00% due 04/20/2046 | 2,213,267 | 2,352,594 | ||||||
3.00% due 05/20/2046 | 3,160,687 | 3,360,353 | ||||||
3.00% due 09/20/2047 | 1,046,362 | 1,107,472 | ||||||
3.00% due 05/20/2050 | 2,912,261 | 3,053,240 | ||||||
3.50% due 07/20/2046 | 405,454 | 436,256 | ||||||
3.50% due 03/20/2047 | 236,058 | 254,010 | ||||||
4.00% due 03/20/2049 | 378,706 | 403,510 | ||||||
4.50% due 10/20/2045 | 2,704,190 | 3,013,703 | ||||||
4.50% due 04/20/2047 | 1,728,006 | 1,891,488 | ||||||
|
| |||||||
19,190,908 | ||||||||
|
| |||||||
Uniform Mtg. Backed Securities - 0.7% |
| |||||||
2.00% due December 30 TBA | 4,000,000 | 4,154,396 | ||||||
2.50% due December 30 TBA | 2,000,000 | 2,095,636 | ||||||
|
| |||||||
6,250,032 | ||||||||
|
| |||||||
Total U.S. Government Agencies | ||||||||
(cost $139,463,990) |
| 145,014,952 | ||||||
|
| |||||||
U.S. GOVERNMENT TREASURIES - 0.2% |
| |||||||
United States Treasury Bonds - 0.1% |
| |||||||
1.25% due 05/15/2050 | 1,595,700 | 1,472,282 | ||||||
|
| |||||||
United States Treasury Notes - 0.1% |
| |||||||
1.38% due 01/31/2025 | 500,000 | 522,383 | ||||||
|
| |||||||
Total U.S. Government Treasuries | ||||||||
(cost $1,996,178) |
| 1,994,665 | ||||||
|
| |||||||
LOANS(17)(18)(19) - 5.1% |
| |||||||
Aerospace/Defense-Equipment - 0.0% |
| |||||||
Spirit Aerosystems, Inc. FRS | 120,373 | 121,276 | ||||||
Spirit Aerosystems, Inc. FRS | 175,255 | 176,569 | ||||||
|
| |||||||
297,845 | ||||||||
|
| |||||||
Airlines - 0.1% |
| |||||||
American Airlines, Inc. FRS | 312,000 | 233,090 | ||||||
Delta Air Lines, Inc. FRS | 302,976 | 305,390 | ||||||
SkyMiles IP, Ltd. FRS | 66,185 | 67,602 | ||||||
WestJet Airlines, Ltd. FRS | 479,754 | 450,169 | ||||||
|
| |||||||
1,056,251 | ||||||||
|
| |||||||
Apparel Manufacturers - 0.0% |
| |||||||
Samsonite IP Holdings Sarl FRS | 331,170 | 324,133 | ||||||
|
| |||||||
Applications Software - 0.1% |
| |||||||
Project Boost Purchaser LLC FRS | 433,297 | 421,291 | ||||||
VS Buyer LLC FRS | 232,026 | 229,125 | ||||||
|
| |||||||
650,416 | ||||||||
|
| |||||||
Athletic Equipment - 0.0% |
| |||||||
Varsity Brands Holding Co., Inc. FRS | 396,740 | 368,349 | ||||||
|
| |||||||
Auction Houses/Art Dealers - 0.0% |
| |||||||
Sothebys FRS | 288,210 | 286,769 | ||||||
|
|
Auto Repair Centers - 0.1% |
| |||||||
Mavis Tire Express Services Corp. FRS | 431,725 | 419,988 | ||||||
Wand NewCo. 3, Inc. FRS | 248,444 | 241,301 | ||||||
|
| |||||||
661,289 | ||||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original - 0.1% |
| |||||||
TI Group Automotive Systems LLC FRS | 394,761 | 392,541 | ||||||
|
| |||||||
Broadcast Services/Program - 0.1% |
| |||||||
NEP Group, Inc. FRS | 437,237 | 408,192 | ||||||
|
| |||||||
Building & Construction-Misc. - 0.1% |
| |||||||
Verra Mobility Corp. FRS | 401,412 | 394,388 | ||||||
|
| |||||||
Building Products-Air & Heating - 0.0% |
| |||||||
API Heat Transfer ThermaSys Corp. FRS | 415,444 | 311,583 | ||||||
|
| |||||||
Building Products-Doors & Windows - 0.1% |
| |||||||
CHI Doors Holdings Corp. FRS | 384,934 | 384,452 | ||||||
|
| |||||||
Building-Heavy Construction - 0.0% |
| |||||||
USIC Holdings, Inc. FRS | 296,180 | 292,108 | ||||||
|
| |||||||
Cable/Satellite TV - 0.1% |
| |||||||
CSC Holdings LLC FRS | 484,068 | 472,471 | ||||||
UPC Broadband Holding BV FRS | 271,384 | 268,500 | ||||||
Virgin Media Bristol LLC FRS | 174,500 | 172,929 | ||||||
|
| |||||||
913,900 | ||||||||
|
| |||||||
Casino Hotels - 0.2% | ||||||||
Caesars Resort Collection LLC FRS | 439,098 | 424,443 | ||||||
CityCenter Holdings LLC FRS | 382,619 | 368,558 | ||||||
Golden Nugget, Inc. FRS | 417,825 | 396,411 | ||||||
Station Casinos LLC FRS | 305,000 | 295,850 | ||||||
|
| |||||||
1,485,262 | ||||||||
|
| |||||||
Casino Services - 0.0% | ||||||||
Stars Group Holdings FRS | 146,099 | 146,312 | ||||||
|
| |||||||
Cellular Telecom - 0.1% | ||||||||
Altice France SA FRS | 436,100 | 430,921 | ||||||
Numericable Group SA FRS | 135,000 | 132,773 | ||||||
|
| |||||||
563,694 | ||||||||
|
| |||||||
Chemicals-Diversified - 0.1% | ||||||||
Hexion, Inc. FRS | 444,225 | 439,783 | ||||||
|
| |||||||
Chemicals-Specialty - 0.1% |
| |||||||
Diamond BC BV FRS | 919 | 900 | ||||||
Diamond BC BV FRS | 356,786 | 349,130 | ||||||
PQ Corp. FRS | 173,894 | 173,387 |
Starfruit US HoldCo. LLC FRS | 317,036 | 310,597 | ||||||
|
| |||||||
834,014 | ||||||||
|
| |||||||
Commercial Services-Finance - 0.2% |
| |||||||
Financial & Risk US Holdings, Inc. FRS | 370,076 | 367,243 | ||||||
MoneyGram International, Inc. FRS | 344,618 | 340,885 | ||||||
MPH Acquisition Holdings LLC FRS | 306,295 | 301,777 | ||||||
Travelport Finance Luxembourg SARL FRS | 256,553 | 247,814 | ||||||
Travelport Finance Luxembourg SARL FRS | 279,391 | 190,405 | ||||||
|
| |||||||
1,448,124 | ||||||||
|
| |||||||
Computer Data Security - 0.0% |
| |||||||
McAfee LLC FRS | 376,794 | 375,695 | ||||||
|
| |||||||
Computer Graphics - 0.1% |
| |||||||
Corel, Inc. FRS | 410,271 | 401,553 | ||||||
|
| |||||||
Computer Services - 0.0% |
| |||||||
Tempo Acquisition LLC FRS | 329,053 | 323,212 | ||||||
|
| |||||||
Computer Software - 0.1% |
| |||||||
Camelot Finance SA FRS | 289,449 | 286,464 | ||||||
Cornerstone OnDemand, Inc. FRS | 293,740 | 293,281 | ||||||
Rackspace Hosting, Inc. FRS | 1,066 | 1,058 | ||||||
Rackspace Hosting, Inc. FRS | 411,638 | 408,379 | ||||||
|
| |||||||
989,182 | ||||||||
|
| |||||||
Computers-Integrated Systems - 0.0% |
| |||||||
Everi Payments, Inc. FRS | 160,154 | 165,760 | ||||||
|
| |||||||
Consulting Services - 0.0% |
| |||||||
AlixPartners LLP FRS | 215,533 | 211,026 | ||||||
|
| |||||||
Containers-Metal/Glass - 0.0% |
| |||||||
Mauser Packaging Solutions Holding Co FRS | 991 | 942 | ||||||
Mauser Packaging Solutions Holding Co FRS | 382,587 | 363,594 | ||||||
|
| |||||||
364,536 | ||||||||
|
| |||||||
Containers-Paper/Plastic - 0.2% |
| |||||||
Charter NEX US, Inc. FRS | 176,666 | 176,224 | ||||||
Charter NEX US, Inc. FRS | 431,947 | 429,428 | ||||||
Graham Packaging Company, Inc. FRS | 325,532 | 324,990 | ||||||
Patriot Container Corp. FRS | 307,503 | 299,431 | ||||||
Reynolds Group Holdings, Inc. FRS | 274,387 | 269,585 | ||||||
Trident TPI Holdings, Inc. FRS | 229,393 | 224,948 | ||||||
|
| |||||||
1,724,606 | ||||||||
|
| |||||||
Cosmetics & Toiletries - 0.0% |
| |||||||
Sunshine Luxembourg VII SARL FRS | 333,079 | 332,368 | ||||||
|
|
Cruise Lines - 0.1% |
| |||||||
Carnival Corp. FRS | 328,616 | 339,296 | ||||||
Hornblower Sub LLC FRS | 210,520 | 174,732 | ||||||
|
| |||||||
514,028 | ||||||||
|
| |||||||
Data Processing/Management - 0.0% |
| |||||||
CCC Information Services, Inc. FRS | 377,700 | 375,261 | ||||||
|
| |||||||
Direct Marketing - 0.1% |
| |||||||
Terrier Media Buyer, Inc. FRS | 410,348 | 404,193 | ||||||
|
| |||||||
Distribution/Wholesale - 0.1% |
| |||||||
Fastlane Parent Co., Inc. FRS | 338,702 | 327,694 | ||||||
Univar USA, Inc. FRS | 270,463 | 267,153 | ||||||
|
| |||||||
594,847 | ||||||||
|
| |||||||
E-Commerce/Products - 0.0% |
| |||||||
CNT Holdings I Corp. FRS | 228,098 | 226,031 | ||||||
|
| |||||||
E-Commerce/Services - 0.0% |
| |||||||
RentPath LLC FRS | 2,178,597 | 217,860 | ||||||
|
| |||||||
Electric-Integrated - 0.0% |
| |||||||
Talen Energy Supply LLC FRS | 178,483 | 174,021 | ||||||
|
| |||||||
Electronic Components-Misc. - 0.0% |
| |||||||
AI Ladder Luxembourg Subco SARL FRS | 363,744 | 355,560 | ||||||
|
| |||||||
Electronic Components-Semiconductors - 0.0% |
| |||||||
Bright Bidco BV FRS | 569,124 | 312,165 | ||||||
|
| |||||||
Electronic Parts Distribution - 0.1% |
| |||||||
Tech Data Corp. FRS | 277,922 | 277,835 | ||||||
Tech Data Corp. FRS | 317,669 | 315,287 | ||||||
|
| |||||||
593,122 | ||||||||
|
| |||||||
Enterprise Software/Service - 0.4% |
| |||||||
Applied Systems, Inc. FRS | 362,105 | 360,876 | ||||||
Banff Merger Sub, Inc. FRS | 337,284 | 333,102 | ||||||
Dcert Buyer, Inc. FRS | 276,222 | 273,517 | ||||||
Epicor Software Corp. FRS | 282,000 | 282,039 | ||||||
Epicor Software Corp. FRS | 35,981 | 37,016 | ||||||
Finastra USA, Inc. FRS | 381,216 | 368,721 | ||||||
Greeneden US Holdings II LLC FRS | 338,248 | 336,725 | ||||||
Greeneden US Holdings II LLC FRS | 376,710 | 375,863 | ||||||
MYOB US Borrower LLC FRS | 327,929 | 319,731 | ||||||
Sophia L.P. FRS | 428,392 | 425,179 | ||||||
Ultimate Software Group, Inc. FRS | 264,419 | 262,496 | ||||||
Ultimate Software Group, Inc. FRS | 55,748 | 55,804 | ||||||
Ultimate Software Group, Inc. FRS | 92,341 | 94,073 | ||||||
|
| |||||||
3,525,142 | ||||||||
|
|
Finance-Credit Card - 0.0% |
| |||||||
Pi US Mergerco, Inc. FRS | 368,480 | 361,724 | ||||||
|
| |||||||
Finance-Investment Banker/Broker - 0.0% |
| |||||||
Deerfield Dakota Holding LLC FRS | 180,360 | 179,599 | ||||||
|
| |||||||
Food-Misc./Diversified - 0.0% |
| |||||||
Dole Food Co., Inc. FRS | 219,507 | 217,346 | ||||||
Froneri US, Inc. FRS | 161,583 | 157,442 | ||||||
|
| |||||||
374,788 | ||||||||
|
| |||||||
Gambling (Non-Hotel) - 0.0% |
| |||||||
Scientific Games International, Inc. FRS | 390,820 | 376,001 | ||||||
|
| |||||||
Human Resources - 0.1% |
| |||||||
Creative Artists Agency LLC FRS | 304,830 | 299,115 | ||||||
Team Health Holdings, Inc. FRS | 406,794 | 355,606 | ||||||
|
| |||||||
654,721 | ||||||||
|
| |||||||
Insurance Brokers - 0.1% |
| |||||||
Alliant Holdings Intermediate LLC FRS | 401,501 | 391,281 | ||||||
HUB International, Ltd. FRS | 1,017 | 991 | ||||||
HUB International, Ltd. FRS | 396,679 | 386,555 | ||||||
|
| |||||||
778,827 | ||||||||
|
| |||||||
Insurance-Property/Casualty - 0.1% |
| |||||||
AmWINS Group, Inc. FRS | 329,143 | 327,703 | ||||||
Asurion LLC FRS | 370,785 | 366,788 | ||||||
Asurion LLC FRS | 165,723 | 166,717 | ||||||
Sedgwick Claims Management Services, Inc. FRS | 318,856 | 311,035 | ||||||
|
| |||||||
1,172,243 | ||||||||
|
| |||||||
Internet Content-Information/News - 0.0% |
| |||||||
Arches Buyer, Inc. FRS | 303,025 | 302,078 | ||||||
|
| |||||||
Internet Financial Services - 0.1% |
| |||||||
ION Trading Finance, Ltd. FRS | 446,675 | 440,980 | ||||||
|
| |||||||
Internet Gambling - 0.0% |
| |||||||
Golden Nugget, Inc. FRS | 38,363 | 42,966 | ||||||
|
| |||||||
Internet Telephone - 0.0% |
| |||||||
Cablevision Lightpath LLC FRS | 184,928 | 183,772 | ||||||
|
| |||||||
Investment Management/Advisor Services - 0.1% |
| |||||||
Advisor Group Holdings, Inc. FRS | 413,873 | 398,145 | ||||||
|
| |||||||
Leisure Games - 0.0% |
| |||||||
Alterra Mountain Co. FRS | 37,641 | 37,358 | ||||||
|
|
Machinery-Electrical - 0.1% |
| |||||||
Alliance Laundry Systems LLC FRS | 227,366 | 226,702 | ||||||
Brookfield WEC Holdings, Inc. FRS | 261,860 | 258,969 | ||||||
|
| |||||||
485,671 | ||||||||
|
| |||||||
Machinery-General Industrial - 0.0% |
| |||||||
Vertical US Newco, Inc. FRS | 364,525 | 363,386 | ||||||
|
| |||||||
Machinery-Pumps - 0.0% |
| |||||||
STS Operating, Inc. FRS | 353,830 | 335,165 | ||||||
|
| |||||||
Medical Information Systems - 0.1% |
| |||||||
Navicure, Inc. FRS | 300,337 | 298,835 | ||||||
VVC Holding Corp. FRS | 329,165 | 326,422 | ||||||
|
| |||||||
625,257 | ||||||||
|
| |||||||
Medical Labs & Testing Services - 0.1% |
| |||||||
Envision Healthcare Corp. FRS | 738,364 | 602,459 | ||||||
|
| |||||||
Medical-Drugs - 0.1% |
| |||||||
Akorn Operating Co. LLC FRS | 158,495 | 158,495 | ||||||
Alphabet Holding Co., Inc. FRS | 439,798 | 429,982 | ||||||
Bausch Health Americas, Inc. FRS | 233,645 | 229,265 | ||||||
Bausch Health Americas, Inc. FRS | 44,090 | 43,503 | ||||||
|
| |||||||
861,245 | ||||||||
|
| |||||||
Medical-Generic Drugs - 0.1% |
| |||||||
Amneal Pharmaceuticals LLC FRS | 249,548 | 241,204 | ||||||
Endo Luxembourg Finance Co. I SARL FRS | 356,080 | 345,079 | ||||||
|
| |||||||
586,283 | ||||||||
|
| |||||||
Medical-Hospitals - 0.0% |
| |||||||
RegionalCare Hospital Partners Holdings, Inc. FRS | 335,619 | 330,952 | ||||||
|
| |||||||
Metal Processors & Fabrication - 0.0% |
| |||||||
Crosby US Acquisition Corp. FRS | 142,915 | 138,152 | ||||||
|
| |||||||
Miscellaneous Manufacturing - 0.0% |
| |||||||
Excelitas Technologies Corp. FRS | 338,000 | 335,042 | ||||||
|
| |||||||
Non-Hazardous Waste Disposal - 0.0% |
| |||||||
GFL Environmental, Inc. FRS | 270,902 | 270,224 | ||||||
GFL Environmental, Inc. FRS | 48,474 | 48,353 | ||||||
|
| |||||||
318,577 | ||||||||
|
| |||||||
Oil Companies-Exploration & Production - 0.0% |
| |||||||
Osum Production Corp. FRS | 370,749 | 339,236 | ||||||
|
| |||||||
Oil-Field Services - 0.0% |
| |||||||
Apergy Corp. FRS | 318,782 | 321,173 | ||||||
|
| |||||||
Pharmacy Services - 0.1% |
| |||||||
Change Healthcare Holdings LLC FRS | 10,444 | 10,341 | ||||||
Change Healthcare Holdings LLC FRS | 239,046 | 236,693 | ||||||
HC Group Holdings II, Inc. FRS | 366,165 | 364,640 | ||||||
|
| |||||||
611,674 | ||||||||
|
|
Pipelines - 0.1% |
| |||||||
Blackstone CQP Holdco LP FRS | 410,251 | 405,208 | ||||||
Hercules Merger Sub LLC FRS | 445,334 | 440,323 | ||||||
Medallion Midland Acquisition LLC FRS | 382,769 | 365,784 | ||||||
|
| |||||||
1,211,315 | ||||||||
|
| |||||||
Protection/Safety - 0.0% |
| |||||||
Prime Security Services Borrower, LLC FRS | 244,790 | 243,204 | ||||||
Prime Security Services Borrower, LLC FRS | 117,750 | 116,987 | ||||||
|
| |||||||
360,191 | ||||||||
|
| |||||||
Publishing-Periodicals - 0.1% |
| |||||||
Nielsen Finance LLC FRS | 382,713 | 379,091 | ||||||
|
| |||||||
Quarrying - 0.1% |
| |||||||
US Silica Co. FRS | 468,953 | 407,207 | ||||||
|
| |||||||
Real Estate Investment Trusts - 0.0% |
| |||||||
Claros Mtg. Trust, Inc. FRS | 234,408 | 229,427 | ||||||
|
| |||||||
Real Estate Management/Services - 0.0% |
| |||||||
Cushman & Wakefield FRS | 388,519 | 375,892 | ||||||
|
| |||||||
Research & Development - 0.1% |
| |||||||
PAREXEL International Corp. FRS | 411,267 | 402,013 | ||||||
|
| |||||||
Resorts/Theme Parks - 0.1% |
| |||||||
Motion Finco SARL FRS | 221,111 | 208,030 | ||||||
SeaWorld Parks & Entertainment, Inc. FRS | 362,444 | 345,756 | ||||||
|
| |||||||
553,786 | ||||||||
|
| |||||||
Retail-Auto Parts - 0.0% |
| |||||||
LS Group OpCo Acquistion LLC FRS | 227,421 | 225,147 | ||||||
|
| |||||||
Retail-Drug Store - 0.0% |
| |||||||
CNT Holdings I Corp. FRS | 69,045 | 69,304 | ||||||
|
| |||||||
Retail-Petroleum Products - 0.1% |
| |||||||
EG America LLC FRS | 387,346 | 379,530 | ||||||
|
| |||||||
Retail-Restaurants - 0.1% |
| |||||||
IRB Holding Corp. FRS | 356,976 | 350,283 | ||||||
Whatabrands LLC FRS | 328,346 | 322,893 | ||||||
Wok Holdings, Inc. FRS | 351,539 | 301,743 | ||||||
|
| |||||||
974,919 | ||||||||
|
| |||||||
Retail-Sporting Goods - 0.1% |
| |||||||
Bass Pro Group LLC FRS | 552,408 | 551,871 | ||||||
|
| |||||||
Rubber/Plastic Products - 0.0% |
| |||||||
Gates Global LLC FRS | 296,088 | 293,127 | ||||||
|
| |||||||
Satellite Telecom - 0.1% |
| |||||||
Connect Finco SARL FRS | 306,460 | 305,886 |
Intelsat Jackson Holdings SA FRS | 18,337 | 18,681 | ||||||||||
Intelsat Jackson Holdings SA FRS | 55,013 | 56,044 | ||||||||||
Intelsat Jackson Holdings SA FRS | 355,000 | 358,328 | ||||||||||
Iridium Satellite LLC FRS | 382,479 | 382,360 | ||||||||||
|
| |||||||||||
1,121,299 | ||||||||||||
|
| |||||||||||
Telecom Services - 0.0% |
| |||||||||||
West Corp. FRS | 389,617 | 367,822 | ||||||||||
|
| |||||||||||
Telecommunication Equipment - 0.0% |
| |||||||||||
CommScope, Inc. FRS | 274,996 | 269,889 | ||||||||||
|
| |||||||||||
Telephone-Integrated - 0.1% |
| |||||||||||
CenturyLink, Inc. FRS | 301,849 | 294,907 | ||||||||||
Zayo Group Holdings, Inc. FRS | 308,460 | 302,676 | ||||||||||
|
| |||||||||||
597,583 | ||||||||||||
|
| |||||||||||
Television - 0.0% |
| |||||||||||
ION Media Networks, Inc. FRS | 366,679 | 364,616 | ||||||||||
|
| |||||||||||
Theaters-0.2% |
| |||||||||||
William Morris Endeavor Entertainment LLC FRS | 1,722,891 | 1,553,474 | ||||||||||
|
| |||||||||||
Transactional Software - 0.0% |
| |||||||||||
Solera LLC FRS | 322,468 | 317,953 | ||||||||||
|
| |||||||||||
Transport-Truck - 0.1% |
| |||||||||||
Pods LLC FRS | 410,609 | 405,887 | ||||||||||
|
| |||||||||||
Total Loans | ||||||||||||
(cost $49,468,494) |
| 46,808,390 | ||||||||||
|
| |||||||||||
COMMON STOCKS - 0.0% |
| |||||||||||
Building Products-Air & Heating - 0.0% |
| |||||||||||
API Heat Transfer, Inc.(5)(7) |
| 407,576 | 8,152 | |||||||||
|
| |||||||||||
Television - 0.0% |
| |||||||||||
ION Media Networks, Inc.(5)(7) |
| 316 | 273,481 | |||||||||
|
| |||||||||||
Total Common Stocks | ||||||||||||
(cost $134,503) |
| 281,633 | ||||||||||
|
| |||||||||||
PREFERRED SECURITIES - 0.0% |
| |||||||||||
Building Products-Air & Heating - 0.0% |
| |||||||||||
API Heat Transfer, Inc. Class A |
| 87 | 4 | |||||||||
|
| |||||||||||
Electric-Distribution - 0.0% |
| |||||||||||
Entergy Louisiana LLC |
| 7,075 | 177,795 | |||||||||
|
| |||||||||||
Sovereign Agency - 0.0% |
| |||||||||||
Federal Home Loan Mtg. Corp. |
| 2,592 | 26,179 | |||||||||
|
| |||||||||||
Total Preferred Securities | ||||||||||||
(cost $216,982) |
| 203,978 | ||||||||||
|
| |||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES - 1.8% |
| |||||||||||
Auto-Cars/Light Trucks - 0.2% |
| |||||||||||
Volkswagen International Finance NV | EUR | 1,535,000 | 1,845,970 | |||||||||
|
| |||||||||||
Banks-Commercial - 0.1% |
| |||||||||||
Banco Bilbao Vizcaya Argentaria SA | EUR | 400,000 | 489,665 | |||||||||
|
| |||||||||||
Banks-Money Center - 0.1% |
| |||||||||||
National Westminster Bank PLC FRS | EUR | 430,000 | 496,256 | |||||||||
|
| |||||||||||
Banks-Super Regional - 0.0% |
| |||||||||||
Wells Fargo & Co. | 136,000 | 181,487 | ||||||||||
|
| |||||||||||
Building & Construction-Misc. - 0.1% |
| |||||||||||
China Minmetals Corp. | 485,000 | 492,518 | ||||||||||
|
| |||||||||||
Diversified Banking Institutions - 0.1% |
| |||||||||||
BNP Paribas SA FRS | 300,000 | 244,089 |
JPMorgan Chase & Co. | 470,000 | 506,425 | ||||||||||
Royal Bank of Scotland Group PLC | 245,000 | 283,739 | ||||||||||
Societe Generale SA | 551,000 | 608,800 | ||||||||||
|
| |||||||||||
1,643,053 | ||||||||||||
|
| |||||||||||
Electric-Distribution - 0.0% |
| |||||||||||
National Rural Utilities Cooperative Finance Corp. | 310,000 | 326,461 | ||||||||||
|
| |||||||||||
Electric-Generation - 0.1% |
| |||||||||||
Electricite de France SA | EUR | 500,000 | 644,917 | |||||||||
|
| |||||||||||
Electric-Integrated - 0.1% |
| |||||||||||
CMS Energy Corp. | 158,000 | 159,943 | ||||||||||
CMS Energy Corp. | 189,000 | 207,865 | ||||||||||
Dominion Resources, Inc. | 126,000 | 138,256 | ||||||||||
|
| |||||||||||
506,064 | ||||||||||||
|
| |||||||||||
Food-Dairy Products - 0.1% |
| |||||||||||
Land OLakes Capital Trust I | 1,115,000 | 1,282,250 | ||||||||||
|
| |||||||||||
Gas-Distribution - 0.1% |
| |||||||||||
Centrica PLC | EUR | 750,000 | 899,018 | |||||||||
|
| |||||||||||
Insurance-Life/Health - 0.2% |
| |||||||||||
Aviva PLC | GBP | 410,000 | 588,380 | |||||||||
Credit Agricole Assurances SA | EUR | 300,000 | 438,516 | |||||||||
Prudential Financial, Inc. | 324,000 | 348,705 | ||||||||||
Prudential Financial, Inc. | 83,000 | 96,275 | ||||||||||
Voya Financial, Inc. | 206,000 | 210,639 | ||||||||||
|
| |||||||||||
1,682,515 | ||||||||||||
|
| |||||||||||
Insurance-Multi-line - 0.1% |
| |||||||||||
Ageas | EUR | 300,000 | 402,650 | |||||||||
Allianz SE | 200,000 | 202,040 | ||||||||||
Allianz SE | EUR | 700,000 | 930,288 | |||||||||
|
| |||||||||||
1,534,978 | ||||||||||||
|
| |||||||||||
Metal-Aluminum - 0.1% |
| |||||||||||
Chalco Hong Kong Investment Co., Ltd. |
| 800,000 | 807,972 | |||||||||
|
| |||||||||||
Metal-Diversified - 0.1% |
| |||||||||||
Chinalco Capital Holdings, Ltd. | 500,000 | 512,722 | ||||||||||
|
| |||||||||||
Oil Companies-Integrated - 0.1% |
| |||||||||||
BP Capital Markets PLC | EUR | 410,000 | 533,696 | |||||||||
BP Capital Markets PLC | 330,000 | 363,924 | ||||||||||
|
| |||||||||||
897,620 | ||||||||||||
|
| |||||||||||
Pipelines - 0.0% |
| |||||||||||
EnLink Midstream Partners LP | 141,000 | 77,550 | ||||||||||
Enterprise Products Operating LLC | 100,000 | 98,640 | ||||||||||
|
| |||||||||||
176,190 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trusts - 0.0% |
| |||||||||||
Scentre Group Trust 2 | 206,000 | 215,908 | ||||||||||
|
| |||||||||||
Tools-Hand Held - 0.0% |
| |||||||||||
Stanley Black & Decker, Inc. | 415,000 | 439,615 | ||||||||||
|
| |||||||||||
Transport-Equipment & Leasing - 0.2% |
| |||||||||||
AerCap Global Aviation Trust | 1,860,000 | 1,785,600 | ||||||||||
|
| |||||||||||
Total Preferred Securities/Capital Securities | ||||||||||||
(cost $15,914,953) |
| 16,860,779 | ||||||||||
|
| |||||||||||
ESCROWS AND LITIGATION TRUSTS - 0.0% |
| |||||||||||
Venture Holdings Co. LLC |
| 25,000 | 0 | |||||||||
Hellas Telecommunications Luxembourg II SCA |
| 560,000 | 0 | |||||||||
Waterford Gaming LLC/Waterford Gaming Financial Corp. |
| 262,396 | 1,889 | |||||||||
Lehman Brothers Holdings, Inc. |
| 97,000 | 1,087 | |||||||||
Lehman Brothers Holdings, Inc. |
| 111,000 | 11 | |||||||||
Lehman Brothers Holdings, Inc. |
| 143,000 | 14 | |||||||||
Lehman Brothers Holdings Capital Trust VII |
| 101,000 | 10 | |||||||||
|
| |||||||||||
Total Escrows and Litigation Trusts | ||||||||||||
(cost $844,261) |
| 3,011 | ||||||||||
|
|
Total Long-Term Investment Securities | ||||||||
(cost $835,879,239) |
| 871,772,784 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT SECURITIES - 7.1% |
| |||||||
Registered Investment Companies - 7.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 52,947,979 | 52,947,979 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 11,785,853 | 11,785,853 | ||||||
|
| |||||||
Total Short-Term Investment Securities | ||||||||
(cost $64,733,832) |
| 64,733,832 | ||||||
|
| |||||||
TOTAL INVESTMENTS | ||||||||
(cost $900,613,071) | 102.3 | % | 936,506,616 | |||||
Liabilities in excess of other assets | (2.3 | ) | (20,935,067 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 915,571,549 | ||||
|
|
|
|
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At November 30, 2020, the aggregate value of these securities was $301,218,027 representing 32.9% of net assets. |
# | The security or a portion thereof is out on loan. |
| Non-income producing security |
(1) | Commercial Mortgage Backed Security |
(2) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(3) | Collateralized Mortgage Obligation |
(4) | Interest Only |
(5) | Securities classified as Level 3 (see Note 1). |
(6) | PIK (Payment-in-Kind) security Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at the coupon rate listed. |
(7) | Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the 1933 Act); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 1. Certain restricted securities held by the Fund may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Fund has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of November 30, 2020, the Fund held the following restricted securities: |
Name | Acquisition Date | Par Amount/ Shares | Acquisition Cost | Value | Value per Share/ Par Amount | % of Net Assets | ||||||||||||||||||
U.S. Convertible Bonds & Notes | ||||||||||||||||||||||||
Hi Crush, Inc. | 10/8/2020 | $ | 718,000 | $ | 647,801 | $ | 718,000 | $ | 100.00 | 0.08 | % | |||||||||||||
Loans | ||||||||||||||||||||||||
API Heat Transfer ThermaSys Corp. | 2/28/2019 | 378,402 | 378,402 | |||||||||||||||||||||
3/31/2020 | 12,382 | 12,382 | ||||||||||||||||||||||
6/30/2020 | 6,373 | 6,373 | ||||||||||||||||||||||
6/30/2020 | 5,926 | 5,926 | ||||||||||||||||||||||
9/30/2020 | 12,361 | 12,361 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
415,444 | 415,444 | 311,583 | 75.00 | 0.03 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
RentPath LLC | 6/4/2015 | 802,597 | 793,354 | |||||||||||||||||||||
7/20/2015 | 400,000 | 395,591 | ||||||||||||||||||||||
2/14/2017 | 41,000 | 39,565 | ||||||||||||||||||||||
7/13/2017 | 935,000 | 922,689 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
2,178,597 | 2,151,199 | 217,860 | 10.00 | 0.02 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
API Heat Transfer, Inc. | 12/31/2018 | 407,576 | 134,500 | 8,152 | 0.02 | 0.00 | ||||||||||||||||||
ION Media Networks, Inc. | 03/05/2014 | 316 | 3 | 273,481 | 865.45 | 0.03 | ||||||||||||||||||
Preferred Securities | ||||||||||||||||||||||||
API Heat Transfer, Inc. | ||||||||||||||||||||||||
Class A | 12/31/2018 | 87 | 87 | 4 | 0.05 | 0.00 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
$ | 1,529,080 | 0.16 | % | |||||||||||||||||||||
|
|
|
|
(8) | Perpetual maturity - maturity date reflects the next call date. |
(9) | Security in default of interest. |
(10) | Company has filed for bankruptcy protection. |
(11) | Denominated in United States Dollars unless otherwise indicated. |
(12) | Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at November 30, 2020. |
(13) | PIK (Payment-in-Kind) security-Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at 2.50%. The security is also currently paying interest in the form of additional loans at 6.50%. |
(14) | Security in default of interest and principal at maturity. |
(15) | The rate shown is the 7-day yield as of November 30, 2020. |
(16) | At November 30, 2020, the Fund had loaned securities with a total value of $11,970,146. This was secured by collateral of $11,785,853, which was received in cash and subsequently invested in short-term investments currently valued at $11,785,853 as reported in the Portfolio of Investments. Additional collateral of $415,332 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Funds assets and liabilities. |
The components of the fixed income pooled securities referenced above are as follows:
Securities | Coupon Range | Maturity Date Range | Value as of November 30, 2020 | |||||
United States Treasury Bills | 0.00% | 12/03/2020 to 04/08/2021 | $ | 95,043 | ||||
United States Treasury Notes/Bonds | 0.13% to 3.88% | 12/31/2020 to 08/15/2048 | 320,289 |
(17) | Senior loans in the Fund are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. |
(18) | The Fund invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (LIBOR) or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Fund is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan. |
(19) | All loans in the Fund were purchased through assignment agreements unless otherwise indicated. |
(20) | PIK (Payment-in-Kind) security-income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in the form of additional securities at the coupon rate listed. |
(21) | Traded in Units. 1 unit equals 1,000 shares. |
BTL - Bank Term Loan
DIP - Debtor in Possession
REMIC - Real Estate Mortgage Investment Conduit
TBA - Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TBD - Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to the settlement.
ULC - Unlimited Liability Corp.
FRS - Floating Rate Security
VRS - Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at November 30, 2020 and unless noted otherwise, the dates are the original maturity dates.
Currency Legend
EUR - Euro Currency
GBP - British Pound
Index Legend
3 ME - 3 Month Euribor
1 ML - 1 Month USD LIBOR
2 ML - 2 Month USD LIBOR
3 ML - 3 Month USD LIBOR
6 ML - 6 Month USD LIBOR
12 ML - 12 Month USD LIBOR
USFRBPLR - US Federal Reserve Bank Prime Loan Rate
1 Yr USTYCR - 1 Year US Treasury Yield Curve Rate
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | EUR | 31,320,000 | USD | 37,051,476 | 01/14/2021 | $ | | $ | (359,931 | ) | ||||||||||||||||||
EUR | 15,100,000 | USD | 17,946,726 | 02/25/2021 | | (106,836 | ) | |||||||||||||||||||||
GBP | 6,280,000 | USD | 8,316,099 | 02/25/2021 | | (63,315 | ) | |||||||||||||||||||||
USD | 5,555,283 | EUR | 4,680,000 | 01/14/2021 | 34,927 | | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
Unrealized Appreciation (Depreciation) |
| $ | 34,927 | $ | (530,082 | ) | ||||||||||||||||||||||
|
|
|
|
EUR - Euro Currency
GBP - British Pound
USD - United States Dollar
The following is a summary of the inputs used to value the Funds net assets as of November 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Asset Backed Securities | $ | | $ | 18,483,666 | $ | | $ | 18,483,666 | ||||||||
U.S. Convertible Bonds & Notes | | | 718,000 | 718,000 | ||||||||||||
U.S. Corporate Bonds & Notes | | 355,755,512 | | 355,755,512 | ||||||||||||
Foreign Corporate Bonds & Notes | | 147,491,089 | | 147,491,089 | ||||||||||||
Foreign Government Obligations | | 138,157,109 | | 138,157,109 | ||||||||||||
U.S. Government Agencies | | 145,014,952 | | 145,014,952 | ||||||||||||
U.S. Government Treasuries | | 1,994,665 | | 1,994,665 | ||||||||||||
Loans: | ||||||||||||||||
Building Products - Air & Heating | | 311,583 | | 311,583 | ||||||||||||
E-Commerce/Services | | | 217,860 | 217,860 | ||||||||||||
Other Industries | | 46,278,947 | | 46,278,947 | ||||||||||||
Common Stocks : | ||||||||||||||||
Building Produsts - Air & Heating | | | 8,152 | 8,152 | ||||||||||||
Television | | | 273,481 | 273,481 | ||||||||||||
Preferred Securities: | ||||||||||||||||
Building Products - Air & Heating | | 4 | | 4 | ||||||||||||
Other Industries | 203,974 | | | 203,974 | ||||||||||||
Preferred Securities/Capital Securities | | 16,860,779 | | 16,860,779 | ||||||||||||
Escows and Litigation Trusts | | 1,087 | 1,924 | 3,011 | ||||||||||||
Short - Term Investment Securities | 64,733,832 | | | 64,733,832 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 64,937,806 | $ | 870,349,393 | $ | 1,219,417 | $ | 936,506,616 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments:+ | ||||||||||||||||
Forward Foreign Currency Contracts | $ | | $ | 34,927 | $ | | $ | 34,927 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Other Financial Instruments:+ | ||||||||||||||||
Forward Foreign Currency Contracts | $ | | $ | 530,082 | $ | | $ | 530,082 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
+ | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Fund. There were no material Level 3 transfers during the reporting period.
See Notes to Portfolio of Investments
VALIC Company II U.S. Socially Responsible Fund
PORTFOLIO OF INVESTMENTS - November 30, 2020 - (unaudited)
Security Description | Shares/ Principal Amount | Value (Note 1) | ||||||
COMMON STOCKS - 96.8% |
| |||||||
Advertising Agencies - 0.2% |
| |||||||
Interpublic Group of Cos., Inc. | 9,252 | $ | 206,135 | |||||
Omnicom Group, Inc. | 22,744 | 1,432,872 | ||||||
|
| |||||||
1,639,007 | ||||||||
|
| |||||||
Agricultural Chemicals - 0.0% |
| |||||||
CF Industries Holdings, Inc. | 2,542 | 94,817 | ||||||
|
| |||||||
Airlines - 0.8% |
| |||||||
Delta Air Lines, Inc. | 75,802 | 3,051,031 | ||||||
Southwest Airlines Co. | 66,486 | 3,080,961 | ||||||
|
| |||||||
6,131,992 | ||||||||
|
| |||||||
Apparel Manufacturers - 0.0% |
| |||||||
Ralph Lauren Corp. | 3,453 | 296,095 | ||||||
|
| |||||||
Applications Software - 1.8% |
| |||||||
Intuit, Inc. | 19,584 | 6,893,960 | ||||||
ServiceNow, Inc. | 12,586 | 6,727,846 | ||||||
|
| |||||||
13,621,806 | ||||||||
|
| |||||||
Auto-Heavy Duty Trucks - 0.6% |
| |||||||
Cummins, Inc. | 9,589 | 2,216,689 | ||||||
PACCAR, Inc. | 26,320 | 2,291,419 | ||||||
|
| |||||||
4,508,108 | ||||||||
|
| |||||||
Banks-Commercial - 0.8% |
| |||||||
Citizens Financial Group, Inc. | 13,163 | 429,904 | ||||||
First Republic Bank | 4,598 | 595,717 | ||||||
M&T Bank Corp. | 3,194 | 372,069 | ||||||
Regions Financial Corp. | 5,198 | 79,373 | ||||||
Truist Financial Corp. | 101,247 | 4,699,886 | ||||||
|
| |||||||
6,176,949 | ||||||||
|
| |||||||
Banks-Fiduciary - 0.8% |
| |||||||
Bank of New York Mellon Corp. | 74,641 | 2,919,956 | ||||||
Northern Trust Corp. | 14,624 | 1,361,787 | ||||||
State Street Corp. | 28,527 | 2,010,583 | ||||||
|
| |||||||
6,292,326 | ||||||||
|
| |||||||
Banks-Super Regional - 1.5% |
| |||||||
PNC Financial Services Group, Inc. | 42,788 | 5,907,739 | ||||||
US Bancorp | 128,981 | 5,573,269 | ||||||
|
| |||||||
11,481,008 | ||||||||
|
| |||||||
Beverages-Non-alcoholic - 2.3% |
| |||||||
Monster Beverage Corp. | 27,721 | 2,350,186 | ||||||
PepsiCo, Inc. | 102,950 | 14,848,479 | ||||||
|
| |||||||
17,198,665 | ||||||||
|
| |||||||
Broadcast Services/Program - 0.1% |
| |||||||
Discovery, Inc., Class A# | 37,484 | 1,008,694 | ||||||
|
| |||||||
Building Products-Cement - 0.0% |
| |||||||
Vulcan Materials Co. | 1,706 | 238,243 | ||||||
|
| |||||||
Cable/Satellite TV - 0.1% |
| |||||||
DISH Network Corp., Class A | 18,678 | 669,980 | ||||||
|
| |||||||
Chemicals-Diversified - 0.2% |
| |||||||
LyondellBasell Industries NV, Class A | 2,411 | 205,176 | ||||||
PPG Industries, Inc. | 10,519 | 1,543,874 | ||||||
|
| |||||||
1,749,050 | ||||||||
|
| |||||||
Chemicals-Specialty - 0.5% |
| |||||||
Ecolab, Inc. | 15,410 | 3,423,331 | ||||||
International Flavors & Fragrances, Inc.# | 3,197 | 358,384 | ||||||
|
| |||||||
3,781,715 | ||||||||
|
| |||||||
Coatings/Paint - 0.1% |
| |||||||
Sherwin-Williams Co. | 1,310 | 979,395 | ||||||
|
| |||||||
Commercial Services - 0.1% |
| |||||||
Cintas Corp. | 1,245 | 442,348 | ||||||
Nielsen Holdings PLC | 7,035 | 113,756 | ||||||
|
| |||||||
556,104 | ||||||||
|
| |||||||
Commercial Services-Finance - 4.1% |
| |||||||
Automatic Data Processing, Inc. | 24,431 | 4,248,063 | ||||||
IHS Markit, Ltd. | 20,187 | 2,007,799 | ||||||
MarketAxess Holdings, Inc. | 1,522 | 820,632 | ||||||
Moodys Corp. | 16,715 | 4,719,313 | ||||||
PayPal Holdings, Inc. | 54,185 | 11,602,092 | ||||||
S&P Global, Inc. | 20,664 | 7,269,182 | ||||||
|
| |||||||
30,667,081 | ||||||||
|
| |||||||
Computer Aided Design - 1.9% |
| |||||||
ANSYS, Inc. | 8,015 | 2,709,551 | ||||||
Autodesk, Inc. | 16,641 | 4,663,307 | ||||||
Cadence Design Systems, Inc. | 29,019 | 3,374,910 | ||||||
Synopsys, Inc. | 16,146 | 3,673,215 | ||||||
|
| |||||||
14,420,983 | ||||||||
|
| |||||||
Computer Data Security - 0.2% |
| |||||||
Fortinet, Inc. | 11,910 | 1,467,669 | ||||||
|
| |||||||
Computer Software - 0.1% |
| |||||||
Akamai Technologies, Inc. | 3,973 | 411,245 | ||||||
Citrix Systems, Inc. | 4,116 | 510,055 | ||||||
|
| |||||||
921,300 | ||||||||
|
| |||||||
Computers - 1.3% |
| |||||||
Hewlett Packard Enterprise Co. | 402,768 | 4,446,559 | ||||||
HP, Inc. | 240,436 | 5,272,761 | ||||||
|
| |||||||
9,719,320 | ||||||||
|
| |||||||
Computers-Memory Devices - 1.1% |
| |||||||
NetApp, Inc. | 43,129 | 2,299,207 | ||||||
Seagate Technology PLC | 67,197 | 3,951,856 | ||||||
Western Digital Corp. | 45,681 | 2,050,163 | ||||||
|
| |||||||
8,301,226 | ||||||||
|
| |||||||
Consulting Services - 0.5% |
| |||||||
Verisk Analytics, Inc. | 17,136 | 3,398,240 | ||||||
|
| |||||||
Consumer Products-Misc. - 0.4% |
| |||||||
Clorox Co. | 5,539 | 1,124,196 | ||||||
Kimberly-Clark Corp. | 14,540 | 2,025,567 | ||||||
|
| |||||||
3,149,763 | ||||||||
|
| |||||||
Containers-Metal/Glass - 0.2% |
| |||||||
Ball Corp. | 16,092 | 1,544,993 | ||||||
|
| |||||||
Containers-Paper/Plastic - 0.3% |
| |||||||
Amcor PLC | 56,705 | 642,467 | ||||||
Packaging Corp. of America | 4,139 | 538,070 | ||||||
WestRock Co. | 25,232 | 1,065,043 | ||||||
|
| |||||||
2,245,580 | ||||||||
|
| |||||||
Cosmetics & Toiletries - 1.2% |
| |||||||
Colgate-Palmolive Co. | 48,487 | 4,152,427 | ||||||
Estee Lauder Cos., Inc., Class A | 18,555 | 4,551,912 | ||||||
|
| |||||||
8,704,339 | ||||||||
|
| |||||||
Data Processing/Management - 1.4% |
| |||||||
Fidelity National Information Services, Inc. | 32,015 | 4,751,346 | ||||||
Fiserv, Inc. | 38,735 | 4,461,497 |
Paychex, Inc. | 16,552 | 1,541,819 | ||||||
|
| |||||||
10,754,662 | ||||||||
|
| |||||||
Decision Support Software - 0.4% |
| |||||||
MSCI, Inc. | 7,360 | 3,013,331 | ||||||
|
| |||||||
Dental Supplies & Equipment - 0.2% |
| |||||||
Align Technology, Inc. | 1,972 | 949,104 | ||||||
DENTSPLY SIRONA, Inc. | 11,597 | 590,171 | ||||||
|
| |||||||
1,539,275 | ||||||||
|
| |||||||
Diagnostic Equipment - 2.7% |
| |||||||
Danaher Corp. | 44,510 | 9,998,281 | ||||||
Thermo Fisher Scientific, Inc. | 22,030 | 10,243,510 | ||||||
|
| |||||||
20,241,791 | ||||||||
|
| |||||||
Diagnostic Kits - 0.2% |
| |||||||
IDEXX Laboratories, Inc. | 3,138 | 1,446,555 | ||||||
|
| |||||||
Dialysis Centers - 0.1% |
| |||||||
DaVita, Inc. | 7,661 | 841,561 | ||||||
|
| |||||||
Disposable Medical Products - 0.1% |
| |||||||
Teleflex, Inc. | 2,804 | 1,073,231 | ||||||
|
| |||||||
Distribution/Wholesale - 0.3% |
| |||||||
Fastenal Co. | 19,922 | 985,143 | ||||||
LKQ Corp. | 13,966 | 491,883 | ||||||
WW Grainger, Inc. | 1,068 | 446,744 | ||||||
|
| |||||||
1,923,770 | ||||||||
|
| |||||||
Diversified Manufacturing Operations - 1.8% |
| |||||||
Eaton Corp. PLC | 37,534 | 4,545,743 | ||||||
Illinois Tool Works, Inc. | 26,504 | 5,594,729 | ||||||
Parker-Hannifin Corp. | 7,474 | 1,997,501 | ||||||
Trane Technologies PLC | 10,548 | 1,542,540 | ||||||
|
| |||||||
13,680,513 | ||||||||
|
| |||||||
Drug Delivery Systems - 0.2% |
| |||||||
DexCom, Inc. | 4,317 | 1,380,059 | ||||||
|
| |||||||
E-Commerce/Products - 0.6% |
| |||||||
eBay, Inc. | 86,722 | 4,373,390 | ||||||
|
| |||||||
E-Commerce/Services - 1.0% |
| |||||||
Booking Holdings, Inc. | 2,901 | 5,884,533 | ||||||
Expedia Group, Inc. | 10,475 | 1,304,033 | ||||||
|
| |||||||
7,188,566 | ||||||||
|
| |||||||
Electric Products-Misc. - 0.7% |
| |||||||
AMETEK, Inc. | 12,954 | 1,535,437 | ||||||
Emerson Electric Co. | 47,990 | 3,686,592 | ||||||
|
| |||||||
5,222,029 | ||||||||
|
| |||||||
Electric-Distribution - 0.6% |
| |||||||
Consolidated Edison, Inc. | 63,006 | 4,804,208 | ||||||
|
| |||||||
Electric-Integrated - 1.8% |
| |||||||
AES Corp. | 9,891 | 202,172 | ||||||
Alliant Energy Corp. | 17,853 | 939,068 | ||||||
CMS Energy Corp. | 28,391 | 1,747,182 | ||||||
Eversource Energy | 40,506 | 3,544,680 | ||||||
FirstEnergy Corp. | 42,315 | 1,123,886 | ||||||
PPL Corp. | 48,342 | 1,373,880 | ||||||
WEC Energy Group, Inc. | 52,686 | 5,002,536 | ||||||
|
| |||||||
13,933,404 | ||||||||
|
| |||||||
Electronic Components-Semiconductors - 5.1% |
| |||||||
Advanced Micro Devices, Inc. | 51,463 | 4,768,562 | ||||||
Broadcom, Inc. | 15,598 | 6,263,845 | ||||||
Microchip Technology, Inc. | 5,449 | 732,291 | ||||||
Micron Technology, Inc. | 48,303 | 3,095,739 | ||||||
NVIDIA Corp. | 25,437 | 13,635,758 | ||||||
Texas Instruments, Inc. | 53,901 | 8,691,536 | ||||||
Xilinx, Inc. | 6,943 | 1,010,554 | ||||||
|
| |||||||
38,198,285 | ||||||||
|
| |||||||
Electronic Connectors - 0.2% |
| |||||||
Amphenol Corp., Class A | 4,555 | 595,839 | ||||||
TE Connectivity, Ltd. | 6,511 | 742,059 | ||||||
|
| |||||||
1,337,898 | ||||||||
|
| |||||||
Electronic Forms - 2.5% |
| |||||||
Adobe, Inc. | 39,819 | 19,052,197 | ||||||
|
| |||||||
Electronic Measurement Instruments - 0.8% |
| |||||||
Agilent Technologies, Inc. | 21,997 | 2,571,449 | ||||||
Fortive Corp. | 16,438 | 1,152,797 | ||||||
Keysight Technologies, Inc. | 4,419 | 530,457 | ||||||
Roper Technologies, Inc. | 3,328 | 1,421,056 | ||||||
|
| |||||||
5,675,759 | ||||||||
|
| |||||||
Enterprise Software/Service - 1.8% |
| |||||||
Paycom Software, Inc. | 2,405 | 1,003,077 | ||||||
salesforce.com, Inc. | 48,915 | 12,023,307 | ||||||
Tyler Technologies, Inc. | 783 | 334,811 | ||||||
|
| |||||||
13,361,195 | ||||||||
|
| |||||||
Entertainment Software - 1.3% |
| |||||||
Activision Blizzard, Inc. | 70,318 | 5,588,874 | ||||||
Electronic Arts, Inc. | 22,324 | 2,851,891 | ||||||
Take-Two Interactive Software, Inc. | 8,780 | 1,584,878 | ||||||
|
| |||||||
10,025,643 | ||||||||
|
| |||||||
Finance-Credit Card - 4.9% |
| |||||||
American Express Co. | 44,035 | 5,222,111 | ||||||
Mastercard, Inc., Class A | 40,663 | 13,683,506 | ||||||
Visa, Inc., Class A | 84,195 | 17,710,418 | ||||||
|
| |||||||
36,616,035 | ||||||||
|
| |||||||
Finance-Investment Banker/Broker - 0.6% |
| |||||||
Charles Schwab Corp. | 88,575 | 4,320,689 | ||||||
|
| |||||||
Finance-Other Services - 1.2% |
| |||||||
Cboe Global Markets, Inc. | 5,059 | 461,988 | ||||||
CME Group, Inc. | 17,909 | 3,134,612 | ||||||
Intercontinental Exchange, Inc. | 41,034 | 4,329,497 | ||||||
Nasdaq, Inc. | 7,806 | 999,090 | ||||||
|
| |||||||
8,925,187 | ||||||||
|
| |||||||
Food-Confectionery - 0.1% |
| |||||||
J.M. Smucker Co. | 8,311 | 974,049 | ||||||
|
| |||||||
Food-Meat Products - 0.2% |
| |||||||
Hormel Foods Corp.# | 24,929 | 1,176,150 | ||||||
|
| |||||||
Food-Misc./Diversified - 1.1% |
| |||||||
Campbell Soup Co. | 8,974 | 448,879 | ||||||
General Mills, Inc. | 40,330 | 2,452,871 |
Kellogg Co. | 19,790 | 1,264,779 | ||||||
Kraft Heinz Co. | 77,319 | 2,546,888 | ||||||
Lamb Weston Holdings, Inc. | 274 | 19,832 | ||||||
McCormick & Co., Inc. | 7,628 | 1,426,283 | ||||||
|
| |||||||
8,159,532 | ||||||||
|
| |||||||
Food-Retail - 0.2% |
| |||||||
Kroger Co. | 53,835 | 1,776,555 | ||||||
|
| |||||||
Gas-Distribution - 0.0% |
| |||||||
NiSource, Inc. | 10,728 | 259,618 | ||||||
|
| |||||||
Industrial Automated/Robotic - 0.2% |
| |||||||
Rockwell Automation, Inc. | 4,995 | 1,276,522 | ||||||
|
| |||||||
Industrial Gases - 1.3% |
| |||||||
Air Products & Chemicals, Inc. | 11,874 | 3,326,382 | ||||||
Linde PLC | 24,135 | 6,188,697 | ||||||
|
| |||||||
9,515,079 | ||||||||
|
| |||||||
Instruments-Controls - 0.1% |
| |||||||
Mettler-Toledo International, Inc. | 802 | 922,332 | ||||||
|
| |||||||
Instruments-Scientific - 0.2% |
| |||||||
PerkinElmer, Inc. | 2,576 | 342,608 | ||||||
Waters Corp. | 3,566 | 827,348 | ||||||
|
| |||||||
1,169,956 | ||||||||
|
| |||||||
Insurance Brokers - 0.7% |
| |||||||
Aon PLC, Class A | 9,116 | 1,867,777 | ||||||
Marsh & McLennan Cos., Inc. | 25,365 | 2,907,844 | ||||||
Willis Towers Watson PLC | 3,797 | 790,497 | ||||||
|
| |||||||
5,566,118 | ||||||||
|
| |||||||
Insurance-Life/Health - 0.7% |
| |||||||
Aflac, Inc. | 68,448 | 3,006,921 | ||||||
Prudential Financial, Inc. | 34,496 | 2,608,587 | ||||||
|
| |||||||
5,615,508 | ||||||||
|
| |||||||
Insurance-Multi-line - 1.1% |
| |||||||
Allstate Corp. | 25,070 | 2,565,915 | ||||||
Chubb, Ltd. | 32,403 | 4,790,135 | ||||||
Hartford Financial Services Group, Inc. | 4,628 | 204,558 | ||||||
Loews Corp. | 12,251 | 513,439 | ||||||
|
| |||||||
8,074,047 | ||||||||
|
| |||||||
Insurance-Property/Casualty - 0.6% |
| |||||||
Progressive Corp. | 24,142 | 2,103,009 | ||||||
Travelers Cos., Inc. | 20,398 | 2,644,601 | ||||||
|
| |||||||
4,747,610 | ||||||||
|
| |||||||
Internet Content-Entertainment - 1.6% |
| |||||||
Netflix, Inc. | 21,976 | 10,783,623 | ||||||
Twitter, Inc. | 33,071 | 1,538,132 | ||||||
|
| |||||||
12,321,755 | ||||||||
|
| |||||||
Internet Security - 0.0% |
| |||||||
NortonLifeLock, Inc. | 11,033 | 201,132 | ||||||
|
| |||||||
Investment Management/Advisor Services - 1.2% |
| |||||||
BlackRock, Inc. | 9,485 | 6,623,850 | ||||||
Franklin Resources, Inc. | 22,289 | 490,135 | ||||||
Invesco, Ltd. | 16,155 | 262,196 | ||||||
T. Rowe Price Group, Inc. | 13,879 | 1,990,387 | ||||||
|
| |||||||
9,366,568 | ||||||||
|
| |||||||
Machinery-Construction & Mining - 0.7% |
| |||||||
Caterpillar, Inc. | 29,985 | 5,205,096 | ||||||
|
| |||||||
Machinery-Farming - 0.6% |
| |||||||
Deere & Co. | 18,100 | 4,735,322 | ||||||
|
| |||||||
Machinery-General Industrial - 0.2% |
| |||||||
Otis Worldwide Corp. | 14,953 | 1,000,954 | ||||||
Westinghouse Air Brake Technologies Corp. | 6,266 | 459,298 | ||||||
|
| |||||||
1,460,252 | ||||||||
|
| |||||||
Machinery-Pumps - 0.1% |
| |||||||
Ingersoll Rand, Inc. | 9,308 | 412,065 | ||||||
|
| |||||||
Medical Information Systems - 0.1% |
| |||||||
Cerner Corp. | 13,310 | 996,120 | ||||||
|
| |||||||
Medical Instruments - 0.2% |
| |||||||
Edwards Lifesciences Corp. | 16,784 | 1,408,010 | ||||||
|
| |||||||
Medical Labs & Testing Services - 0.7% |
| |||||||
IQVIA Holdings, Inc. | 9,611 | 1,624,163 | ||||||
Laboratory Corp. of America Holdings | 8,220 | 1,642,685 | ||||||
Quest Diagnostics, Inc. | 13,277 | 1,646,082 | ||||||
|
| |||||||
4,912,930 | ||||||||
|
| |||||||
Medical Products - 1.4% |
| |||||||
ABIOMED, Inc. | 808 | 221,473 | ||||||
Baxter International, Inc. | 36,034 | 2,741,106 | ||||||
Cooper Cos., Inc. | 3,125 | 1,047,562 | ||||||
Hologic, Inc. | 19,182 | 1,326,052 | ||||||
STERIS PLC | 4,206 | 815,165 | ||||||
Stryker Corp. | 17,478 | 4,079,365 | ||||||
Varian Medical Systems, Inc. | 2,905 | 505,412 | ||||||
|
| |||||||
10,736,135 | ||||||||
|
| |||||||
Medical-Biomedical/Gene - 3.1% |
| |||||||
Alexion Pharmaceuticals, Inc. | 8,720 | 1,064,799 | ||||||
Amgen, Inc. | 26,474 | 5,878,287 | ||||||
Biogen, Inc. | 7,294 | 1,751,800 | ||||||
Gilead Sciences, Inc. | 56,521 | 3,429,129 | ||||||
Illumina, Inc. | 6,909 | 2,225,320 | ||||||
Incyte Corp. | 8,072 | 682,407 | ||||||
Regeneron Pharmaceuticals, Inc. | 6,394 | 3,299,496 | ||||||
Vertex Pharmaceuticals, Inc. | 21,411 | 4,876,355 | ||||||
|
| |||||||
23,207,593 | ||||||||
|
| |||||||
Medical-Drugs - 0.9% |
| |||||||
Bristol-Myers Squibb Co. CVR | 29,832 | 35,202 | ||||||
Zoetis, Inc. | 43,591 | 6,991,124 | ||||||
|
| |||||||
7,026,326 | ||||||||
|
| |||||||
Medical-Generic Drugs - 0.1% |
| |||||||
Perrigo Co. PLC | 16,360 | 788,879 | ||||||
|
| |||||||
Medical-HMO - 1.3% |
| |||||||
Anthem, Inc. | 9,201 | 2,866,296 | ||||||
Centene Corp. | 42,257 | 2,605,144 | ||||||
Humana, Inc. | 10,687 | 4,280,357 | ||||||
|
| |||||||
9,751,797 | ||||||||
|
|
Medical-Hospitals - 0.5% |
| |||||||
HCA Healthcare, Inc. | 24,605 | 3,693,457 | ||||||
|
| |||||||
Medical-Wholesale Drug Distribution - 0.2% |
| |||||||
Henry Schein, Inc. | 17,968 | 1,155,522 | ||||||
|
| |||||||
Multimedia - 1.5% |
| |||||||
Walt Disney Co. | 77,642 | 11,491,792 | ||||||
|
| |||||||
Networking Products - 1.5% |
| |||||||
Cisco Systems, Inc. | 267,236 | 11,496,493 | ||||||
|
| |||||||
Non-Hazardous Waste Disposal - 0.5% |
| |||||||
Republic Services, Inc. | 10,924 | 1,056,569 | ||||||
Waste Management, Inc. | 24,233 | 2,886,878 | ||||||
|
| |||||||
3,943,447 | ||||||||
|
| |||||||
Oil Companies-Exploration & Production - 0.8% |
| |||||||
Cabot Oil & Gas Corp. | 21,521 | 377,048 | ||||||
Concho Resources, Inc. | 14,081 | 809,376 | ||||||
Diamondback Energy, Inc. | 10,503 | 419,700 | ||||||
EOG Resources, Inc. | 35,285 | 1,654,161 | ||||||
Hess Corp. | 20,934 | 987,666 | ||||||
Occidental Petroleum Corp. | 51,331 | 808,976 | ||||||
Pioneer Natural Resources Co. | 10,389 | 1,044,926 | ||||||
|
| |||||||
6,101,853 | ||||||||
|
| |||||||
Oil Field Machinery & Equipment - 0.0% |
| |||||||
National Oilwell Varco, Inc. | 27,857 | 341,527 | ||||||
|
| |||||||
Oil Refining & Marketing - 0.2% |
| |||||||
Valero Energy Corp. | 23,622 | 1,270,155 | ||||||
|
| |||||||
Oil-Field Services - 0.4% |
| |||||||
Baker Hughes Co. | 29,011 | 543,086 | ||||||
Schlumberger, Ltd. | 129,954 | 2,701,744 | ||||||
|
| |||||||
3,244,830 | ||||||||
|
| |||||||
Paper & Related Products - 0.2% |
| |||||||
International Paper Co. | 28,830 | 1,426,508 | ||||||
|
| |||||||
Pipelines - 0.8% |
| |||||||
Kinder Morgan, Inc. | 186,084 | 2,675,888 | ||||||
ONEOK, Inc. | 32,212 | 1,155,445 | ||||||
Williams Cos., Inc. | 90,289 | 1,894,263 | ||||||
|
| |||||||
5,725,596 | ||||||||
|
| |||||||
Real Estate Investment Trusts - 2.2% |
| |||||||
American Tower Corp. | 19,192 | 4,437,190 | ||||||
AvalonBay Communities, Inc. | 298 | 49,644 | ||||||
Crown Castle International Corp. | 20,444 | 3,425,801 | ||||||
Digital Realty Trust, Inc. | 5,613 | 756,352 | ||||||
Equinix, Inc. | 2,565 | 1,789,831 | ||||||
Equity Residential | 7,243 | 419,515 | ||||||
Prologis, Inc. | 36,294 | 3,631,215 | ||||||
Public Storage | 4,868 | 1,092,671 | ||||||
SBA Communications Corp. | 2,354 | 676,022 | ||||||
|
| |||||||
16,278,241 | ||||||||
|
| |||||||
Rental Auto/Equipment - 0.0% |
| |||||||
United Rentals, Inc. | 772 | 175,229 | ||||||
|
| |||||||
Respiratory Products - 0.2% |
| |||||||
ResMed, Inc. | 6,875 | 1,441,000 | ||||||
|
| |||||||
Retail-Apparel/Shoe - 0.2% |
| |||||||
Ross Stores, Inc. | 12,410 | 1,334,323 | ||||||
|
| |||||||
Retail-Auto Parts - 0.1% |
| |||||||
Genuine Parts Co. | 8,604 | 846,376 | ||||||
|
| |||||||
Retail-Building Products - 2.0% |
| |||||||
Home Depot, Inc. | 39,524 | 10,964,353 | ||||||
Lowes Cos., Inc. | 28,772 | 4,483,253 | ||||||
|
| |||||||
15,447,606 | ||||||||
|
| |||||||
Retail-Consumer Electronics - 0.1% |
| |||||||
Best Buy Co., Inc. | 5,464 | 594,483 | ||||||
|
| |||||||
Retail-Discount - 0.9% |
| |||||||
Dollar General Corp. | 13,115 | 2,866,677 | ||||||
Target Corp. | 21,327 | 3,828,836 | ||||||
|
| |||||||
6,695,513 | ||||||||
|
| |||||||
Retail-Drug Store - 0.2% |
| |||||||
Walgreens Boots Alliance, Inc. | 46,324 | 1,760,775 | ||||||
|
| |||||||
Retail-Major Department Stores - 0.5% |
| |||||||
TJX Cos., Inc. | 56,260 | 3,573,073 | ||||||
|
| |||||||
Retail-Restaurants - 0.8% |
| |||||||
Dominos Pizza, Inc. | 779 | 305,812 | ||||||
Starbucks Corp. | 60,762 | 5,955,891 | ||||||
|
| |||||||
6,261,703 | ||||||||
|
| |||||||
Semiconductor Components-Integrated Circuits - 1.3% |
| |||||||
Analog Devices, Inc. | 15,018 | 2,088,703 | ||||||
QUALCOMM, Inc. | 52,262 | 7,691,399 | ||||||
|
| |||||||
9,780,102 | ||||||||
|
| |||||||
Semiconductor Equipment - 0.7% |
| |||||||
Applied Materials, Inc. | 33,619 | 2,772,895 | ||||||
KLA Corp. | 3,017 | 760,193 | ||||||
Lam Research Corp. | 4,522 | 2,046,929 | ||||||
|
| |||||||
5,580,017 | ||||||||
|
| |||||||
Steel-Producers - 0.3% |
| |||||||
Nucor Corp. | 36,881 | 1,980,510 | ||||||
|
| |||||||
Telecom Equipment-Fiber Optics - 0.1% |
| |||||||
Corning, Inc. | 9,983 | 373,564 | ||||||
|
| |||||||
Telephone-Integrated - 2.1% |
| |||||||
Verizon Communications, Inc. | 256,545 | 15,497,883 | ||||||
|
| |||||||
Theaters - 0.0% |
| |||||||
Live Nation Entertainment, Inc. | 3,408 | 223,735 | ||||||
|
| |||||||
Tools-Hand Held - 0.1% |
| |||||||
Stanley Black & Decker, Inc. | 5,980 | 1,102,174 | ||||||
|
| |||||||
Transport-Rail - 1.2% |
| |||||||
CSX Corp. | 34,770 | 3,131,039 | ||||||
Norfolk Southern Corp. | 11,267 | 2,670,504 | ||||||
Union Pacific Corp. | 16,965 | 3,462,217 | ||||||
|
| |||||||
9,263,760 | ||||||||
|
| |||||||
Transport-Services - 0.8% |
| |||||||
United Parcel Service, Inc., Class B | 34,748 | 5,944,340 | ||||||
|
| |||||||
Water - 0.5% |
| |||||||
American Water Works Co., Inc. | 23,512 | 3,606,271 | ||||||
|
| |||||||
Web Hosting/Design - 0.1% |
| |||||||
VeriSign, Inc. | 4,751 | 953,621 | ||||||
|
| |||||||
Web Portals/ISP - 5.2% |
| |||||||
Alphabet, Inc., Class A | 22,474 | 39,428,386 | ||||||
|
|
Wireless Equipment - 0.2% |
| |||||||
Motorola Solutions, Inc. | 7,514 | 1,288,876 | ||||||
|
| |||||||
Total Long-Term Investment Securities |
| |||||||
(cost $488,413,228) | 730,979,478 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT SECURITIES - 0.5% |
| |||||||
Registered Investment Companies - 0.1% |
| |||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 1,051,861 | 1,051,861 | ||||||
|
| |||||||
U.S. Government Treasuries - 0.4% |
| |||||||
United States Treasury Bills | ||||||||
0.12% due 11/04/2021(3) | $ | 1,000,000 | 998,967 | |||||
0.13% due 10/07/2021(3) | 1,700,000 | 1,698,481 | ||||||
|
| |||||||
2,697,448 | ||||||||
|
| |||||||
Total Short-Term Investment Securities |
| |||||||
(cost $3,748,918) |
| 3,749,309 | ||||||
|
| |||||||
REPURCHASE AGREEMENTS - 3.2% |
| |||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00% dated 11/30/2020, to be repurchased 12/01/2020 in the amount of $24,031,000 and collateralized by $16,263,600 of United States Treasury Bonds, bearing interest at 4.25% due 05/15/2039 and having an approximate value of $24,511,718 | 24,031,000 | 24,031,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS | ||||||||
(cost $516,193,146) | 100.5 | % | 758,759,787 | |||||
Liabilities in excess of other assets | (0.5 | ) | (3,409,599 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 755,350,188 | ||||
|
|
|
|
| Non-income producing security |
# | The security or a portion thereof is out on loan. |
(1) | The rate shown is the 7-day yield as of November 30, 2020. |
(2) | At November 30, 2020, the Fund had loaned securities with a total value of $2,327,493. This was secured by collateral of $1,051,861, which was received in cash and subsequently invested in short-term investments currently valued at $1,051,861 as reported in the Portfolio of Investments. Additional collateral of $1,362,902 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Funds assets and liabilities. |
The components of the fixed income pooled securities referenced above are as follows:
Securities | Coupon Range | Maturity Date Range | Value as of November 30, 2020 | |||||
Federal Home Loan Mtg. Corp. | 1.25% to 3.50% | 02/01/2048 to 11/01/2050 | $ | 101,111 | ||||
Federal National Mtg. Assoc. | 1.49% to 4.00% | 05/25/2030 to 09/01/2050 | 271,525 | |||||
Government National Mtg. Assoc. | 2.50% to 2.70% | 09/20/2046 to 05/16/2053 | 9,306 | |||||
United States Treasury Bills | 0.00% | 02/11/2021 to 07/15/2021 | 32,737 | |||||
United States Treasury Notes/Bonds | 0.13% to 8.13% | 12/31/2020 to 02/15/2050 | 948,223 |
(3) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
CVR- | Contingent Value Rights |
Futures Contracts | ||||||||||||
Number of Contracts | Type | Description | Expiration Month | Notional Basis# | Notional Value# | Unrealized Appreciation | ||||||
153 | Long | S&P 500 E-Mini Index | December 2020 | $26,370,159 | $27,717,480 | $1,347,321 | ||||||
|
# | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a summary of the inputs used to value the Funds net assets as of November 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks | $ | 730,979,478 | $ | | $ | | $ | 730,979,478 | ||||||||
Short Term Investment Securities: | ||||||||||||||||
Registered Investment Companies | 1,051,861 | | | 1,051,861 | ||||||||||||
U.S. Government Treasuries | | 2,697,448 | | 2,697,448 | ||||||||||||
Repurchase Agreements | | 24,031,000 | | 24,031,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 732,031,339 | $ | 26,728,448 | $ | | $ | 758,759,787 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments:+ | ||||||||||||||||
Futures Contracts | $ | 1,347,321 | $ | | $ | | $ | 1,347,321 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
+ | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of Investments
NOTES TO PORTFOLIO OF INVESTMENTS November 30, 2020 (unaudited)
Note 1. Security Valuation
In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. generally accepted accounting principles (GAAP), the Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Funds would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entitys own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:
Level 1Unadjusted quoted prices in active markets for identical securities
Level 2Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board of Trustees (the Board) , etc.)
Level 3Significant unobservable inputs (includes inputs that reflect the Funds own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)
Changes in valuation techniques may result in transfers in or out of an investments assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The summary of the Funds assets and liabilities classified in the fair value hierarchy as of November 30, 2020, is reported on a schedule at the end of the Portfolio of Investments.
Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (NOCP). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.
As of the close of regular trading on the New York Stock Exchange (NYSE), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a securitys price is available from more than one exchange, the Funds use the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Funds shares, and a Fund may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on the review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Fund determines that closing prices do not reflect the fair value of the securities, the Fund will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Funds may also fair value securities in other situations, for example, when a particular foreign market is closed but a Fund is open. For foreign equity securities and foreign equity futures contracts, the Funds use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.
Bonds, debentures and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.
Senior floating rate loans (Loans) are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.
Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Investments in registered investment companies are generally categorized as Level 1.
Futures contracts traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by a Board-approved pricing service, and are generally categorized as Level 1. Swap contracts traded on national securities exchanges are valued at the closing price of the exchange on which they are traded or if a closing price of the exchange is not available, the swap will be valued using a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded in the over-the-counter (OTC) market are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts (forward contracts) are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.
Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of The Variable Annuity Life Insurance Company, the investment adviser to the Funds, the broadest and most representative market, that may be either a securities exchange or OTC market, and are generally categorized as Level 1 or Level 2.
The Board is responsible for the share valuation process and has adopted policies and procedures (the PRC Procedures) for valuing the securities and other assets held by the Funds, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the VALIC Company IIs fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.
Note 2. Derivative Instruments
Forward Foreign Currency Contracts: During the period, the High Yield Bond Fund and Strategic Bond Fund used forward contracts to attempt to protect the value of securities and related receivables and payables against changes in future foreign exchange rates.
A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by a Fund as unrealized appreciation or depreciation. On the settlement date, a Fund records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Risks to the Funds of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Funds loss will generally consist of the net amount of contractual payments that the Fund has not yet received though the Funds maximum exposure due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on the Portfolio of Investments. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.
Futures: During the period, the Small Cap Value Fund and U.S. Socially Responsible Fund used equity futures contracts to equitize cash, providing exposure to equity markets.
A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Fund will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the broker). Subsequent payments are made or received by the Fund as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. When a contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The primary risk to the Funds of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security or securities. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict trading in futures contracts. While the Funds will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a result, a Fund may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Fund has insufficient cash to meet margin requirements, the Fund may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to the Funds since the futures contracts are generally exchange-traded.
Master Agreements: Certain Funds that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements (Master Agreements) with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by a Fund and applicable counterparty. Collateral requirements are generally determined based on a Funds net position with each counterparty. Master Agreements may also include certain provisions that require a Fund to post additional collateral upon the occurrence of certain events, such as when a Funds net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Fund may also occur upon a decline in a Funds net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterpartys long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterpartys credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Funds counterparties to elect early termination could cause a Fund to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Funds financial statements.
Note 3. Transactions with Affiliates
Aggressive Growth Lifestyle Fund
Security | Income | Capital Gain Distribution Received | Value at 08/31/2020 | Cost of Purchases | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Gain/(Loss) | Value at 11/30/2020 | ||||||||||||||||||||||||
VALIC Co. I Blue Chip Growth Fund | $ | | $ | | $ | 12,299 | $ | | $ | | $ | | $ | 54 | $ | 12,353 | ||||||||||||||||
VALIC Co. I Capital Conservation Fund | | | 5,000,770 | 1,926,221 | | | 47,477 | 6,974,468 | ||||||||||||||||||||||||
VALIC Co. I Dividend Value Fund | | | 39,574,288 | 4,848,905 | | | 3,512,199 | 47,935,392 | ||||||||||||||||||||||||
VALIC Co. I Emerging Economies Fund | | | 21,713,054 | 6,046,114 | | | 2,655,773 | 30,414,941 | ||||||||||||||||||||||||
VALIC Co. I Global Real Estate Fund | | | 19,468,392 | | | | 523,344 | 19,991,736 | ||||||||||||||||||||||||
VALIC Co. I Government Money Market I Fund | 11 | | 253,686 | 2,632,513 | | | | 2,886,199 | ||||||||||||||||||||||||
VALIC Co. I Government Securities Fund | | | 2,736,338 | 898,904 | | | (4,046 | ) | 3,631,196 | |||||||||||||||||||||||
VALIC Co. I Inflation Protected Fund | | | 34,132,728 | | | | (1 | ) | 34,132,727 | |||||||||||||||||||||||
VALIC Co. I International Equities Index Fund | | | 37,898,432 | 524,853 | 2,543,290 | (176,387 | ) | 2,938,756 | 38,642,364 | |||||||||||||||||||||||
VALIC Co. I International Government Bond Fund | | | 16,491,391 | | | | 293,577 | 16,784,968 | ||||||||||||||||||||||||
VALIC Co. I International Growth Fund | | | 11,589,734 | | | | 901,595 | 12,491,329 | ||||||||||||||||||||||||
VALIC Co. I International Value Fund | | | 22,626,059 | | | | 1,600,075 | 24,226,134 | ||||||||||||||||||||||||
VALIC Co. I Large Cap Core Fund | | | 11,678,348 | | | | 576,062 | 12,254,410 | ||||||||||||||||||||||||
VALIC Co. I Large Capital Growth Fund | | | 12,266,661 | | | | 652,954 | 12,919,615 | ||||||||||||||||||||||||
VALIC Co. I Mid Cap Index Fund | | | 24,989,678 | 300,749 | 7,897,140 | (814,370 | ) | 3,926,162 | 20,505,079 | |||||||||||||||||||||||
VALIC Co. I Mid Cap Strategic Growth Fund | | | 10,572,500 | | | | 1,240,192 | 11,812,692 | ||||||||||||||||||||||||
VALIC Co. I Nasdaq-100® Index Fund | | | 8,554,193 | | 6,046,114 | 1,686,313 | (1,664,449 | ) | 2,529,943 | |||||||||||||||||||||||
VALIC Co. I Science & Technology Fund | | | 23,610,360 | | 6,046,114 | 932,941 | 577,922 | 19,075,109 | ||||||||||||||||||||||||
VALIC Co. I Small Cap Index Fund | | | 16,145,359 | 153,288 | 6,463,866 | 72,741 | 2,089,550 | 11,997,072 | ||||||||||||||||||||||||
VALIC Co. I Small Cap Special Values Fund | | | 6,996,429 | 950,321 | | | 1,120,358 | 9,067,108 | ||||||||||||||||||||||||
VALIC Co. I Stock Index Fund | | | 65,528,961 | 1,056,697 | 11,701,317 | 933,537 | 1,201,549 | 57,019,427 | ||||||||||||||||||||||||
VALIC Co. I Value Fund | | | 14,127,519 | | | | 1,281,973 | 15,409,492 | ||||||||||||||||||||||||
VALIC Co. II Capital Appreciation Fund | | | 25,948,620 | | | | 627,115 | 26,575,735 | ||||||||||||||||||||||||
VALIC Co. II Core Bond Fund | | | 13,086,407 | 5,778,662 | 7,912,006 | 350,616 | (249,172 | ) | 11,054,507 | |||||||||||||||||||||||
VALIC Co. II High Yield Bond Fund | | | 17,153,504 | | | | 527,448 | 17,680,952 | ||||||||||||||||||||||||
VALIC Co. II International Opportunities Fund | | | 27,751,474 | 6,086,159 | | | 2,545,937 | 36,383,570 | ||||||||||||||||||||||||
VALIC Co. II Large Cap Value Fund | | | 34,424,450 | | | | 3,951,264 | 38,375,714 | ||||||||||||||||||||||||
VALIC Co. II Mid Cap Growth Fund | | | 8,985,023 | | | | 1,101,705 | 10,086,728 | ||||||||||||||||||||||||
VALIC Co. II Mid Cap Value Fund | | | 31,056,403 | | | | 4,422,206 | 35,478,609 | ||||||||||||||||||||||||
VALIC Co. II Small Cap Growth Fund | | | 7,017,945 | | | | 1,246,113 | 8,264,058 | ||||||||||||||||||||||||
VALIC Co. II Small Cap Value Fund | | | 9,411,936 | 1,484,142 | | | 1,987,698 | 12,883,776 | ||||||||||||||||||||||||
VALIC Co. II Strategic Bond Fund | | | 31,743,048 | 8,192,057 | 2,326,588 | 25,797 | 787,116 | 38,421,430 | ||||||||||||||||||||||||
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| |||||||||||||||||
$ | 11 | $ | | $ | 612,545,989 | $ | 40,879,585 | $ | 50,936,435 | $ | 3,011,188 | $ | 40,418,506 | $ | 645,918,833 | |||||||||||||||||
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| Includes reinvestment of distributions paid. |
Conservative Growth Lifestyle Fund
Security | Income | Capital Gain Distribution Received | Value at 08/31/2020 | Cost of Purchases | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Gain/(Loss) | Value at 11/30/2020 | ||||||||||||||||||||||||
VALIC Co. I Blue Chip Growth Fund | ||||||||||||||||||||||||||||||||
VALIC Co. I Capital Conservation Fund | | | 16,175,501 | 1,046,131 | | | 139,102 | 17,360,734 | ||||||||||||||||||||||||
VALIC Co. I Dividend Value Fund | | | 12,988,253 | 2,026,535 | | | 1,189,772 | 16,204,560 | ||||||||||||||||||||||||
VALIC Co. I Emerging Economies Fund | | | 6,149,394 | 1,680,888 | | | 750,452 | 8,580,734 | ||||||||||||||||||||||||
VALIC Co. I Global Real Estate Fund | | | 8,161,824 | | | | 219,404 | 8,381,228 | ||||||||||||||||||||||||
VALIC Co. I Government Money Market I Fund | 20 | | 702,202 | 1,429,733 | | | | 2,131,935 | ||||||||||||||||||||||||
VALIC Co. I Government Securities Fund | | | 7,702,750 | 488,196 | | | (13,201 | ) | 8,177,745 | |||||||||||||||||||||||
VALIC Co. I Inflation Protected Fund | | | 23,467,073 | | | | | 23,467,073 | ||||||||||||||||||||||||
VALIC Co. I International Equities Index Fund | | | 12,841,805 | 304,607 | 794,548 | (55,998 | ) | 1,009,295 | 13,305,161 | |||||||||||||||||||||||
VALIC Co. I International Government Bond Fund | | | 16,636,537 | | | | 296,161 | 16,932,698 | ||||||||||||||||||||||||
VALIC Co. I International Growth Fund | | | 1,847,300 | | | | 143,706 | 1,991,006 | ||||||||||||||||||||||||
VALIC Co. I International Value Fund | | | 5,150,182 | | | | 364,212 | 5,514,394 | ||||||||||||||||||||||||
VALIC Co. I Large Cap Core Fund | | | 3,158,338 | | | | 155,792 | 3,314,130 | ||||||||||||||||||||||||
VALIC Co. I Large Capital Growth Fund | | | 2,025,563 | | | | 107,820 | 2,133,383 | ||||||||||||||||||||||||
VALIC Co. I Mid Cap Index Fund | | | 7,066,354 | 192,978 | 3,119,841 | (137,794 | ) | 1,027,956 | 5,029,653 | |||||||||||||||||||||||
VALIC Co. I Mid Cap Strategic Growth Fund | | | 2,303,439 | | | | 270,202 | 2,573,641 | ||||||||||||||||||||||||
VALIC Co. I Nasdaq-100® Index Fund | | | 6,291,109 | | 4,264,885 | 1,152,545 | (1,160,954 | ) | 2,017,815 | |||||||||||||||||||||||
VALIC Co. I Science & Technology Fund | | | 7,577,936 | | 2,521,332 | 484,156 | (22,372 | ) | 5,518,388 | |||||||||||||||||||||||
VALIC Co. I Small Cap Index Fund | | | 4,714,759 | 91,995 | 3,331,421 | 512,835 | 16,087 | 2,004,255 | ||||||||||||||||||||||||
VALIC Co. I Small Cap Special Values Fund | | | 2,484,245 | 529,852 | | | 428,234 | 3,442,331 | ||||||||||||||||||||||||
VALIC Co. I Stock Index Fund | | | 20,980,178 | 717,212 | 5,031,352 | 304,594 | 386,112 | 17,356,744 | ||||||||||||||||||||||||
VALIC Co. I Value Fund | | | 3,321,880 | | | | 301,437 | 3,623,317 | ||||||||||||||||||||||||
VALIC Co. II Capital Appreciation Fund | | | 6,973,066 | | | | 168,522 | 7,141,588 | ||||||||||||||||||||||||
VALIC Co. II Core Bond Fund | | | 54,300,125 | 3,582,730 | 2,208,728 | 240,637 | 514,842 | 56,429,606 | ||||||||||||||||||||||||
VALIC Co. II High Yield Bond Fund | | | 25,671,217 | | | | 789,355 | 26,460,572 | ||||||||||||||||||||||||
VALIC Co. II International Opportunities Fund | | | 11,674,963 | | | | 901,107 | 12,576,070 | ||||||||||||||||||||||||
VALIC Co. II Large Cap Value Fund | | | 8,987,126 | | | | 1,031,549 | 10,018,675 | ||||||||||||||||||||||||
VALIC Co. II Mid Cap Growth Fund | | | 2,906,031 | | | | 356,325 | 3,262,356 | ||||||||||||||||||||||||
VALIC Co. II Mid Cap Value Fund | | | 10,793,002 | | | | 1,536,845 | 12,329,847 | ||||||||||||||||||||||||
VALIC Co. II Small Cap Growth Fund | | | 1,836,633 | | | | 326,114 | 2,162,747 | ||||||||||||||||||||||||
VALIC Co. II Small Cap Value Fund | | | 1,287,013 | 827,484 | | | 387,752 | 2,502,249 | ||||||||||||||||||||||||
VALIC Co. II Strategic Bond Fund | | | 43,713,449 | 6,113,838 | 2,999,106 | 94,285 | 1,003,717 | 47,926,183 | ||||||||||||||||||||||||
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$ | 20 | $ | | $ | 339,889,247 | $ | 19,032,179 | $ | 24,271,213 | $ | 2,595,260 | $ | 12,625,345 | $ | 349,870,818 | |||||||||||||||||
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| Includes reinvestment of distributions paid. |
Moderate Growth Lifestyle Fund
Security | Income | Capital Gain Distribution Received | Value at 08/31/2020 | Cost of Purchases | Proceeds from Sales | Realized Gain/ (Loss) | Change in Unrealized Gain/(Loss) | Value at 11/30/2020 | ||||||||||||||||||||||||
VALIC Co. I Blue Chip Growth Fund | $ | | $ | | $ | 43,393 | $ | | $ | | $ | | $ | 187 | $ | 43,580 | ||||||||||||||||
VALIC Co. I Capital Conservation Fund | | | 25,918,890 | 3,177,060 | | | 227,080 | 29,323,030 | ||||||||||||||||||||||||
VALIC Co. I Dividend Value Fund | | | 60,565,105 | 10,073,823 | | | 5,595,187 | 76,234,115 | ||||||||||||||||||||||||
VALIC Co. I Emerging Economies Fund | | | 19,068,908 | 7,528,334 | | | 2,451,877 | 29,049,119 | ||||||||||||||||||||||||
VALIC Co. I Global Real Estate Fund | | | 21,900,375 | | | | 588,720 | 22,489,095 | ||||||||||||||||||||||||
VALIC Co. I Government Money Market I Fund | 31 | | 915,885 | 4,342,013 | | | | 5,257,898 | ||||||||||||||||||||||||
VALIC Co. I Government Securities Fund | | | 9,441,911 | 1,482,628 | | | (15,396 | ) | 10,909,143 | |||||||||||||||||||||||
VALIC Co. I Inflation Protected Fund | | | 62,760,235 | | | | | 62,760,235 | ||||||||||||||||||||||||
VALIC Co. I International Equities Index Fund | | | 41,949,073 | 611,840 | 1,861,744 | (104,222 | ) | 3,263,690 | 43,858,637 | |||||||||||||||||||||||
VALIC Co. I International Government Bond Fund | | | 34,693,474 | | | | 617,608 | 35,311,082 | ||||||||||||||||||||||||
VALIC Co. I International Growth Fund | | | 7,278,145 | | | | 566,185 | 7,844,330 | ||||||||||||||||||||||||
VALIC Co. I International Value Fund | | | 20,587,514 | | | | 1,455,912 | 22,043,426 | ||||||||||||||||||||||||
VALIC Co. I Large Cap Core Fund | | | 12,262,538 | | | | 604,879 | 12,867,417 | ||||||||||||||||||||||||
VALIC Co. I Large Capital Growth Fund | | | 19,244,090 | | | | 1,024,363 | 20,268,453 | ||||||||||||||||||||||||
VALIC Co. I Mid Cap Index Fund | | | 31,479,683 | 504,526 | 9,479,132 | (615,824 | ) | 4,616,237 | 26,505,490 | |||||||||||||||||||||||
VALIC Co. I Mid Cap Strategic Growth Fund | | | 14,151,149 | | | | 1,659,980 | 15,811,129 | ||||||||||||||||||||||||
VALIC Co. I Nasdaq-100® Index Fund | | | 27,384,305 | | 12,823,434 | 3,112,537 | (3,029,090 | ) | 14,644,318 | |||||||||||||||||||||||
VALIC Co. I Science & Technology Fund | | | 19,657,005 | | 7,528,335 | 2,139,239 | (980,747 | ) | 13,287,162 | |||||||||||||||||||||||
VALIC Co. I Small Cap Index Fund | | | 22,229,486 | 268,286 | 9,141,215 | (37,299 | ) | 3,146,722 | 16,465,980 | |||||||||||||||||||||||
VALIC Co. I Small Cap Special Values Fund | | | 9,451,322 | 1,578,602 | | | 1,560,085 | 12,590,009 | ||||||||||||||||||||||||
VALIC Co. I Stock Index Fund | | | 109,295,461 | 1,985,313 | 13,959,992 | 1,134,279 | 2,693,906 | 101,148,967 | ||||||||||||||||||||||||
VALIC Co. I Value Fund | | | 19,392,535 | | | | 1,759,737 | 21,152,272 | ||||||||||||||||||||||||
VALIC Co. II Capital Appreciation Fund | | | 34,333,662 | | | | 829,761 | 35,163,423 | ||||||||||||||||||||||||
VALIC Co. II Core Bond Fund | | | 105,733,986 | 10,455,046 | 10,333,213 | 654,541 | 754,245 | 107,264,605 | ||||||||||||||||||||||||
VALIC Co. II High Yield Bond Fund | | | 35,447,217 | | | | 1,089,954 | 36,537,171 | ||||||||||||||||||||||||
VALIC Co. II International Opportunities Fund | | | 33,650,046 | | | | 2,597,206 | 36,247,252 | ||||||||||||||||||||||||
VALIC Co. II Large Cap Value Fund | | | 51,949,412 | | | | 5,962,791 | 57,912,203 | ||||||||||||||||||||||||
VALIC Co. II Mid Cap Growth Fund | | | 12,012,967 | | | | 1,472,980 | 13,485,947 | ||||||||||||||||||||||||
VALIC Co. II Mid Cap Value Fund | | | 46,705,472 | 2,021,974 | | | 6,926,480 | 55,653,926 | ||||||||||||||||||||||||
VALIC Co. II Small Cap Growth Fund | | | 8,787,552 | | | | 1,560,326 | 10,347,878 | ||||||||||||||||||||||||
VALIC Co. II Small Cap Value Fund | | | 9,714,207 | 2,465,345 | | | 2,224,849 | 14,404,401 | ||||||||||||||||||||||||
VALIC Co. II Strategic Bond Fund | | | 86,536,769 | 10,903,424 | 3,168,497 | (1,337 | ) | 2,156,491 | 96,426,850 | |||||||||||||||||||||||
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$ | 31 | $ | | $ | 1,014,541,772 | $ | 57,398,214 | $ | 68,295,562 | $ | 6,281,914 | $ | 53,382,205 | $ | 1,063,308,543 | |||||||||||||||||
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| Includes reinvestment of distributions paid. |
ADDITIONAL INFORMATION
Additional information is available in the VALIC Company IIs Annual and Semi-annual reports which may be obtained without charge from the EDGAR database on the Securities and Exchange Commissions website at http://www.sec.gov.