UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-10263
GuideStone Funds
(Exact name of registrant as specified in charter)
5005 Lyndon B. Johnson Freeway, Suite 2200
Dallas, TX 75244-6152
(Address of principal executive offices) (Zip code)
Matthew A. Wolfe, Esq.
GuideStone Financial Resources of the Southern Baptist Convention
5005 Lyndon B. Johnson Freeway, Suite 2200
Dallas, TX 75244-6152
(Name and address of agent for service)
Registrant’s telephone number, including area code: 214-720-4640
Date of fiscal year end: December 31
Date of reporting period: December 31, 2021
Item 1. Reports to Stockholders.
(a) | The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1) |
• | Information we receive from you on applications or other forms |
• | Information about your transactions with us, our affiliates or others (including our third-party service providers) |
• | Information we receive from others, such as service providers, broker-dealers and your personal agents or representatives |
• | Information you and others provide to us in correspondence sent to us, whether written, electronic or by telephone |
David S. Spika, CFA |
Index | 3 rd Quarter 2021 Return | 4 th Quarter 2021 Return | YTD Returns as of December 31, 2021 |
U.S. Equities | |||
S&P 500® | 0.58% | 11.03% | 28.71% |
Russell 2000® | -4.36% | 2.14% | 14.82% |
International Equities | |||
MSCI EAFE | -0.45% | 2.69% | 11.26% |
MSCI Emerging Markets | -8.09% | -1.31% | -2.54% |
U.S. Fixed Income | |||
Bloomberg US Aggregate Bond | 0.05% | 0.01% | -1.54% |
Bloomberg US High Yield Corporate | 0.89% | 0.71% | 5.28% |
Global Fixed Income | |||
Bloomberg Global Aggregate Bond | -0.88% | -0.67% | -4.71% |
President and Chief Investment Officer
GuideStone Capital Management, LLC
Actual | ||||||||||
Fund | Class | Beginning Account Value 07/01/21 | Ending Account Value 12/31/21 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $1,000.00 | $1,026.70 | 0.13% | $0.64 | |||||
Investor | 1,000.00 | 1,026.00 | 0.38 | 1.92 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 1,031.30 | 0.12 | 0.62 | |||||
Investor | 1,000.00 | 1,030.70 | 0.37 | 1.90 | ||||||
MyDestination 2035 | Institutional | 1,000.00 | 1,042.50 | 0.12 | 0.63 | |||||
Investor | 1,000.00 | 1,041.90 | 0.38 | 1.93 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 1,051.10 | 0.13 | 0.65 | |||||
Investor | 1,000.00 | 1,050.50 | 0.38 | 1.96 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 1,053.90 | 0.17 | 0.89 | |||||
Investor | 1,000.00 | 1,052.40 | 0.42 | 2.16 | ||||||
Conservative Allocation | Institutional | 1,000.00 | 1,009.50 | 0.15 | 0.76 | |||||
Investor | 1,000.00 | 1,008.60 | 0.40 | 2.02 | ||||||
Balanced Allocation | Institutional | 1,000.00 | 1,018.80 | 0.12 | 0.63 | |||||
Investor | 1,000.00 | 1,017.70 | 0.37 | 1.91 | ||||||
Growth Allocation | Institutional | 1,000.00 | 1,024.60 | 0.13 | 0.64 | |||||
Investor | 1,000.00 | 1,023.60 | 0.38 | 1.92 | ||||||
Aggressive Allocation | Institutional | 1,000.00 | 1,025.30 | 0.13 | 0.65 |
Actual | ||||||||||
Fund | Class | Beginning Account Value 07/01/21 | Ending Account Value 12/31/21 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Investor | $1,000.00 | $1,024.40 | 0.38% | $1.92 | ||||||
Money Market | Institutional | 1,000.00 | 1,000.00 | 0.07 | 0.36 | |||||
Investor | 1,000.00 | 1,000.00 | 0.07 | 0.36 | ||||||
Low-Duration Bond | Institutional | 1,000.00 | 994.60 | 0.34 | 1.71 | |||||
Investor | 1,000.00 | 992.80 | 0.61 | 3.08 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 999.20 | 0.35 | 1.78 | |||||
Investor | 1,000.00 | 998.40 | 0.62 | 3.13 | ||||||
Global Bond | Institutional | 1,000.00 | 986.30 | 0.55 | 2.76 | |||||
Investor | 1,000.00 | 984.90 | 0.84 | 4.23 | ||||||
Defensive Market Strategies® | Institutional | 1,000.00 | 1,047.50 | 0.64 | 3.33 | |||||
Investor | 1,000.00 | 1,045.30 | 0.91 | 4.69 | ||||||
Global Impact | Institutional | 1,000.00 | 1,041.70 | 0.80 | 4.11 | |||||
Investor | 1,000.00 | 1,038.30 | 1.26 | 6.47 | ||||||
Equity Index | Institutional | 1,000.00 | 1,113.20 | 0.12 | 0.65 | |||||
Investor | 1,000.00 | 1,111.60 | 0.38 | 2.05 | ||||||
Value Equity | Institutional | 1,000.00 | 1,069.40 | 0.63 | 3.29 | |||||
Investor | 1,000.00 | 1,068.10 | 0.89 | 4.65 | ||||||
Growth Equity | Institutional | 1,000.00 | 1,051.30 | 0.67 | 3.46 | |||||
Investor | 1,000.00 | 1,050.10 | 0.93 | 4.79 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 1,029.10 | 0.90 | 4.58 | |||||
Investor | 1,000.00 | 1,027.80 | 1.16 | 5.93 | ||||||
International Equity Index | Institutional | 1,000.00 | 1,017.80 | 0.22 | 1.12 | |||||
International Equity (3) | Institutional | 1,000.00 | 1,010.20 | 0.86 | 4.35 | |||||
Investor | 1,000.00 | 1,009.00 | 1.12 | 5.69 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 901.10 | 1.08 | 5.17 | |||||
Investor | 1,000.00 | 899.70 | 1.38 | 6.59 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 1,108.10 | 0.78 | 4.13 | |||||
Investor | 1,000.00 | 1,106.00 | 1.06 | 5.63 | ||||||
Strategic Alternatives (3) | Institutional | 1,000.00 | 1,042.30 | 1.14 | 5.87 | |||||
Investor | 1,000.00 | 1,040.50 | 1.45 | 7.48 |
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 07/01/21 | Ending Account Value 12/31/21 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $1,000.00 | $ 1,024.57 | 0.13% | $0.64 | |||||
Investor | 1,000.00 | 1,023.31 | 0.38 | 1.92 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 1,024.59 | 0.12 | 0.62 | |||||
Investor | 1,000.00 | 1,023.33 | 0.37 | 1.90 | ||||||
MyDestination 2035 | Institutional | 1,000.00 | 1,024.58 | 0.12 | 0.63 | |||||
Investor | 1,000.00 | 1,023.31 | 0.38 | 1.91 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 1,024.57 | 0.13 | 0.64 | |||||
Investor | 1,000.00 | 1,023.30 | 0.38 | 1.93 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 1,024.34 | 0.17 | 0.88 |
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 07/01/21 | Ending Account Value 12/31/21 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Investor | $1,000.00 | $1,023.10 | 0.42% | $2.13 | ||||||
Conservative Allocation | Institutional | 1,000.00 | 1,024.45 | 0.15 | 0.76 | |||||
Investor | 1,000.00 | 1,023.20 | 0.40 | 2.03 | ||||||
Balanced Allocation | Institutional | 1,000.00 | 1,024.58 | 0.12 | 0.63 | |||||
Investor | 1,000.00 | 1,023.32 | 0.37 | 1.91 | ||||||
Growth Allocation | Institutional | 1,000.00 | 1,024.57 | 0.13 | 0.64 | |||||
Investor | 1,000.00 | 1,023.31 | 0.38 | 1.92 | ||||||
Aggressive Allocation | Institutional | 1,000.00 | 1,024.56 | 0.13 | 0.65 | |||||
Investor | 1,000.00 | 1,023.31 | 0.38 | 1.92 | ||||||
Money Market | Institutional | 1,000.00 | 1,024.85 | 0.07 | 0.36 | |||||
Investor | 1,000.00 | 1,024.85 | 0.07 | 0.36 | ||||||
Low-Duration Bond | Institutional | 1,000.00 | 1,023.49 | 0.34 | 1.73 | |||||
Investor | 1,000.00 | 1,022.12 | 0.61 | 3.12 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 1,023.43 | 0.35 | 1.80 | |||||
Investor | 1,000.00 | 1,022.07 | 0.62 | 3.17 | ||||||
Global Bond | Institutional | 1,000.00 | 1,022.43 | 0.55 | 2.81 | |||||
Investor | 1,000.00 | 1,020.95 | 0.84 | 4.30 | ||||||
Defensive Market Strategies® | Institutional | 1,000.00 | 1,021.95 | 0.64 | 3.29 | |||||
Investor | 1,000.00 | 1,020.61 | 0.91 | 4.64 | ||||||
Global Impact | Institutional | 1,000.00 | 1,021.18 | 0.80 | 4.07 | |||||
Investor | 1,000.00 | 1,018.86 | 1.26 | 6.41 | ||||||
Equity Index | Institutional | 1,000.00 | 1,024.59 | 0.12 | 0.62 | |||||
Investor | 1,000.00 | 1,023.27 | 0.38 | 1.96 | ||||||
Value Equity | Institutional | 1,000.00 | 1,022.03 | 0.63 | 3.21 | |||||
Investor | 1,000.00 | 1,020.71 | 0.89 | 4.54 | ||||||
Growth Equity | Institutional | 1,000.00 | 1,021.83 | 0.67 | 3.41 | |||||
Investor | 1,000.00 | 1,020.53 | 0.93 | 4.72 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 1,020.69 | 0.90 | 4.56 | |||||
Investor | 1,000.00 | 1,019.36 | 1.16 | 5.90 | ||||||
International Equity Index | Institutional | 1,000.00 | 1,024.10 | 0.22 | 1.12 | |||||
International Equity (3) | Institutional | 1,000.00 | 1,020.87 | 0.86 | 4.38 | |||||
Investor | 1,000.00 | 1,019.54 | 1.12 | 5.72 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 1,019.77 | 1.08 | 5.49 | |||||
Investor | 1,000.00 | 1,018.27 | 1.38 | 7.00 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 1,021.29 | 0.78 | 3.96 | |||||
Investor | 1,000.00 | 1,019.86 | 1.06 | 5.40 | ||||||
Strategic Alternatives (3) | Institutional | 1,000.00 | 1,019.45 | 1.14 | 5.81 | |||||
Investor | 1,000.00 | 1,017.88 | 1.45 | 7.39 |
INVESTMENT ABBREVIATIONS: | ||
10Y | — | 10 Year |
12Y | — | 12 Year |
1M | — | 1 Month |
1Y | — | 1 Year |
2M | — | 2 Month |
3M | — | 3 Month |
5Y | — | 5 Year |
6M | — | 6 Month |
ABS | — | Asset-Backed Security |
ACES | — | Alternative Credit Enhancement Securities |
ADR | — | American Depositary Receipt |
AEX | — | Amsterdam Exchange |
AGM | — | Assured Guarantee Municipal Corporation |
ARM | — | Adjustable Rate Mortgage |
ASX | — | Australian Securities Exchange |
BAM | — | Build America Mutual |
BBR | — | Bank Bill Rate |
BBSW | — | Bank Bill Swap Rate |
Bobl | — | Bundesobligation ("federal government bond") |
BUBOR | — | Budapest Interbank Offered Rate |
Bund | — | Bundesanleihe ("federal bond") |
CDI | — | Crest Depository Interest |
CDO | — | Collateralized Debt Obligation |
CDOR | — | Canadian Dollar Offered Rate |
CDX | — | A series of indexes that track North American and emerging market credit derivative indexes. |
Cetip | — | Central of Custody and Financial Settlement of Securities |
CFETS | — | China Foreign Exchange Trade System |
CLP-TNA | — | Chilean Pesos Floating Rate Index |
CLO | — | Collateralized Loan Obligation |
CME | — | Chicago Mercantile Exchange |
CMT | — | Constant Maturity |
COF | — | Cost of Funds |
CONV | — | Convertible |
COP-IBR-OIS | — | Certificate of Participation - Income-based Repayment - Overnight Indexed Swap |
COPS | — | Certificates of Participation |
CVA | — | Dutch Certificate |
DAC | — | Designated Activity Company |
DAX | — | Deutscher Aktien Index |
ESTR | — | Euro Short-Term Rate |
ETF | — | Exchange Traded Fund |
EURIBOR | — | Euro Interbank Offered Rate |
Fannie Mae | — | Federal National Mortgage Association |
FHA | — | Federal Housing Administration |
FHLMC | — | Federal Home Loan Mortgage Corporation |
FRA | — | Forward Rate Agreements |
FTSE | — | Financial Times Stock Exchange |
GDR | — | Global Depositary Receipt |
Gtd. | — | Guaranteed |
HIBOR | — | Hong Kong Interbank Offered Rate |
HTS | — | Harmonized Tariff Schedule |
HUD | — | Housing and Urban Development |
HY | — | High Yield |
IBEX | — | Iberia Index |
ICE | — | Intercontinental Exchange |
IG | — | Investment Grade |
IO | — | Interest Only (Principal amount shown is notional) |
JIBAR | — | Johannesburg Interbank Average Rate |
JSC | — | Joint Stock Company |
KLCI | — | Kuala Lumpur Composite Index |
KOSPI | — | Korea Composite Stock Price Index |
KWCDC | — | Korean Won Certificate of Deposit |
LIBOR | — | London Interbank Offered Rate |
LLC | — | Limited Liability Company |
LP | — | Limited Partnership |
MIBOR | — | Mumbai Inter-Bank Overnight Rate |
MSCI | — | Morgan Stanley Capital International |
NA | — | North American |
NIBOR | — | Norwegian Interbank Offered Rate |
NVDR | — | Non-Voting Depository Receipt |
OAT | — | Obligations Assimilables du Trésor |
OMX | — | Stockholm Stock Exchange |
PCL | — | Public Company Limited |
PIK | — | Payment-in-Kind Bonds |
PJSC | — | Public Joint Stock Company |
PLC | — | Public Limited Company |
PRIBOR | — | Prague Inter-bank Offered Rate |
PSF | — | Permanent School Fund |
Q-SBLF | — | Qualified School Bond Loan Fund |
QPSC | — | Qualified Personal Service Corporation |
QSC | — | Qatar Shareholder Company |
REIT | — | Real Estate Investment Trust |
REMIC | — | Real Estate Mortgage Investment Conduit |
SA | — | Societe Anonyme |
SAE | — | Societe Anonyme Egyptienne |
SBA | — | Small Business Administration |
SGX | — | Singapore Stock Exchange |
SOFR | — | Secured Overnight Financing Rate |
SONIA | — | Sterling Overnight Index Average Rate |
SonyMA | — | State of New York Mortgage Agency |
STACR | — | Structured Agency Credit Risk |
STEP | — | Stepped Coupon Bonds: Interest rates shown reflect the rates currently in effect. |
STIBOR | — | Stockholm Interbank Offered Rate |
STRIP | — | Stripped Security |
TBA | — | To be announced |
Tbk | — | Terbuka |
TELBOR | — | Tel Aviv Inter-Bank Offered Rate |
THBFIX | — | Thai Baht Interest Rate Fixing |
TIIE | — | The Equilibrium Interbank Interest Rate |
TSX | — | Toronto Stock Exchange |
WIBOR | — | Warsaw Interbank Offered Rate |
144A | — | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. As of December 31, 2021, the total market values and percentages of net assets for 144A securities by fund were as follows: |
Fund | Value of 144A Securities | Percentage of Net Assets | ||
Low-Duration Bond | $393,711,448 | 36.70% | ||
Medium-Duration Bond | 460,233,034 | 19.10 | ||
Global Bond | 104,588,815 | 16.79 | ||
Defensive Market Strategies® | 113,315,330 | 7.53 | ||
Global Impact Fund | 4,717,056 | 2.68 | ||
International Equity Index | 14,119,791 | 1.69 | ||
International Equity | 29,360,538 | 2.18 | ||
Emerging Markets Equity | 26,903,526 | 3.26 | ||
Global Real Estate Securities | 1,300,901 | 0.39 | ||
Strategic Alternatives | 21,087,503 | 6.00 |
INVESTMENT FOOTNOTES: | ||
π | — | Century bond maturing in 2115. |
‡‡ | — | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
* | — | Non-income producing security. |
# | — | Security in default. |
§ | — | Security purchased with the cash proceeds from securities loaned. |
^ | — | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of year end. |
† | — | Variable rate security. Rate shown reflects the rate in effect as of December 31, 2021. |
γ | — | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
Ω | — | Rate shown reflects the effective yield as of December 31, 2021. |
∞ | — | Affiliated fund. |
Δ | — | Security either partially or fully on loan. |
Σ | — | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
††† | — | Security is a Level 3 investment (see Note 2 in Notes to Financial Statements). |
Ø | — | 7-day current yield as of December 31, 2021 is disclosed. |
ρ | — | Perpetual bond. Maturity date represents the next call date. |
~ | — | Century bond maturing in 2121. |
« | — | Century bond maturing in 2110. |
◊ | — | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. |
€ | — | Rounds to less than 1 share. |
Ψ | — | Security is valued at fair value by the Valuation Committee (see Note 2 in Notes to Financial Statements). As of December 31, 2021, the total market values and percentages of net assets for Fair Valued securities by fund were as follows: |
Fund | Value of Fair Valued Securities | Percentage of Net Assets | ||
Medium-Duration Bond | $ — | 0.00% | ||
Global Bond | — | 0.00 | ||
International Equity | — | 0.00 | ||
Emerging Markets Equity | 966,150 | 0.12 | ||
FOREIGN BOND FOOTNOTES: | ||
(A) | — | Par is denominated in Australian Dollars (AUD). |
(B) | — | Par is denominated in Brazilian Reals (BRL). |
(C) | — | Par is denominated in Canadian Dollars (CAD). |
(D) | — | Par is denominated in Danish Krone (DKK). |
(E) | — | Par is denominated in Euro (EUR). |
(I) | — | Par is denominated in Indonesian Rupiahs (IDR). |
(J) | — | Par is denominated in Japanese Yen (JPY). |
(M) | — | Par is denominated in Mexican Pesos (MXN). |
(P) | — | Par is denominated in Polish Zloty (PLN). |
(Q) | — | Par is denominated in Russian Rubles (RUB). |
(S) | — | Par is denominated in South African Rand (ZAR). |
(U) | — | Par is denominated in British Pounds (GBP). |
(Y) | — | Par is denominated in Chinese Yuan (CNY). |
(Z) | — | Par is denominated in New Zealand Dollars (NZD). |
(ZB) | — | Par is denominated in Peruvian Sol (PEN). |
(ZC) | — | Par is denominated in Israeli Shekels (ILS). |
(ZE) | — | Par is denominated in Czech Koruna (CZK). |
COUNTERPARTY ABBREVIATIONS: | ||
BAR | — | Counterparty to contract is Barclays Capital. |
BNP | — | Counterparty to contract is BNP Paribas. |
BOA | — | Counterparty to contract is Bank of America. |
CITI | — | Counterparty to contract is Citibank NA London. |
CS | — | Counterparty to contract is Credit Suisse International. |
DEUT | — | Counterparty to contract is Deutsche Bank AG. |
Evercore | — | Counterparty to contract is Evercore Inc. |
GSC | — | Counterparty to contract is Goldman Sachs Capital Markets, LP. |
HSBC | — | Counterparty to contract is HSBC Securities. |
JPM | — | Counterparty to contract is JPMorgan Chase Bank. |
MSCS | — | Counterparty to contract is Morgan Stanley Capital Services. |
NT | — | Counterparty to contract is Northern Trust. |
RBC | — | Counterparty to contract is Royal Bank of Canada. |
RBS | — | Counterparty to contract is Royal Bank of Scotland. |
SC | — | Counterparty to contract is Standard Chartered PLC. |
SS | — | Counterparty to contract is State Street Global Markets. |
UBS | — | Counterparty to contract is UBS AG. |
% | |
Fixed Income Select Funds | 44.5 |
U.S. Equity Select Funds | 32.2 |
Non-U.S. Equity Select Funds | 11.3 |
U.S. Treasury Obligations | 6.8 |
Alternative Select Funds | 3.0 |
Money Market Funds | 1.3 |
Real Assets Select Funds | 0.9 |
100.0 |
Average Annual Total Returns as of 12/31/21 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 6.98% | 6.72% | |||
Five Year | N/A | 7.60% | |||
Ten Year | N/A | 6.81% | |||
Since Inception | 7.40% | 5.12% | |||
Inception Date | 05/01/17 | 12/29/02 | |||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.59% | 0.84% |
Shares | Value | |||
MUTUAL FUNDS — 91.9% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 8,542,721 | $114,643,312 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 11,960,847 | 179,891,135 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 3,922,280 | 38,320,680 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 5,918,833 | 84,639,309 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 2,738,909 | 138,561,428 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 896,090 | 17,509,605 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 4,929,009 | 59,443,848 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 2,281,938 | 24,348,279 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 589,197 | 6,793,438 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,149,046 | 22,113,678 | ||
Total Mutual Funds (Cost $621,655,963) | 686,264,712 | |||
MONEY MARKET FUNDS — 1.3% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 9,410,133 | 9,410,133 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 40,525 | $ 40,525 | ||
Total Money Market Funds (Cost $9,450,658) | 9,450,658 |
Par | |||
U.S. TREASURY OBLIGATIONS — 6.8% | |||
U.S. Treasury Inflationary Index Bonds | |||
0.63%, 04/15/23 | $ 2,210,910 | 2,317,128 | |
0.13%, 07/15/24 | 12,685,216 | 13,527,678 | |
0.13%, 07/15/26 | 6,773,334 | 7,357,511 | |
0.38%, 07/15/27 | 2,645,838 | 2,937,014 | |
3.88%, 04/15/29 | 8,849,845 | 12,333,070 | |
3.38%, 04/15/32 | 2,758,103 | 4,105,099 | |
0.63%, 02/15/43 | 3,194,045 | 3,973,598 | |
1.00%, 02/15/48 | 2,546,100 | 3,573,363 | |
0.13%, 02/15/51 | 626,798 | 743,036 | |
Total U.S. Treasury Obligations (Cost $49,797,569) | 50,867,497 | ||
TOTAL INVESTMENTS — 100.0% (Cost $680,904,190) | 746,582,867 | ||
Other Assets in Excess of Liabilities — 0.0% | 117,683 | ||
NET ASSETS — 100.0% | $746,700,550 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 03/2022 | 8 | $ 928,720 | $14,239 | ||||
MSCI Emerging Markets | 03/2022 | 4 | 245,260 | (942) | ||||
S&P 500® E-Mini | 03/2022 | 9 | 2,141,325 | 31,989 | ||||
10-Year U.S. Treasury Note | 03/2022 | 32 | 4,175,000 | 29,748 | ||||
Total Futures Contracts outstanding at December 31, 2021 | $7,490,305 | $75,034 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 9,450,658 | $ 9,450,658 | $ — | $ — | |||
Mutual Funds | 686,264,712 | 686,264,712 | — | — | |||
U.S. Treasury Obligations | 50,867,497 | — | 50,867,497 | — | |||
Total Assets - Investments in Securities | $746,582,867 | $695,715,370 | $50,867,497 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 75,976 | $ 75,976 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 75,976 | $ 75,976 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (942) | $ (942) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (942) | $ (942) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
% | |
U.S. Equity Select Funds | 39.9 |
Fixed Income Select Funds | 37.6 |
Non-U.S. Equity Select Funds | 15.0 |
U.S. Treasury Obligations | 3.0 |
Alternative Select Funds | 1.9 |
Money Market Funds | 1.4 |
Real Assets Select Funds | 1.2 |
100.0 |
Average Annual Total Returns as of 12/31/21 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 9.17% | 8.91% | |||
Five Year | N/A | 9.27% | |||
Ten Year | N/A | 8.33% | |||
Since Inception | 8.94% | 5.66% | |||
Inception Date | 05/01/17 | 12/29/06 | |||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.53% | 0.79% |
Shares | Value | |||
MUTUAL FUNDS — 95.6% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 11,106,359 | $ 149,047,337 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 28,287,069 | 425,437,514 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 9,844,124 | 96,177,095 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 15,211,020 | 217,517,587 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 8,733,223 | 441,813,728 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,777,940 | 54,280,956 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 15,631,860 | 188,520,232 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 7,420,543 | 79,177,199 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,803,138 | 20,790,179 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 3,368,573 | 34,662,616 | ||
Total Mutual Funds (Cost $1,498,800,889) | 1,707,424,443 | |||
MONEY MARKET FUNDS — 1.4% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 25,164,442 | 25,164,442 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 11,878 | $ 11,878 | ||
Total Money Market Funds (Cost $25,176,320) | 25,176,320 |
Par | |||
U.S. TREASURY OBLIGATIONS — 3.0% | |||
U.S. Treasury Inflationary Index Bonds | |||
0.63%, 04/15/23 | $ 2,333,121 | 2,445,210 | |
0.13%, 07/15/24 | 13,430,720 | 14,322,693 | |
0.13%, 07/15/26 | 7,084,885 | 7,695,932 | |
0.38%, 07/15/27 | 2,781,522 | 3,087,630 | |
3.88%, 04/15/29 | 9,371,414 | 13,059,924 | |
3.38%, 04/15/32 | 2,882,762 | 4,290,640 | |
0.63%, 02/15/43 | 3,398,560 | 4,228,028 | |
1.00%, 02/15/48 | 2,697,520 | 3,785,875 | |
0.13%, 02/15/51 | 690,541 | 818,599 | |
Total U.S. Treasury Obligations (Cost $52,592,231) | 53,734,531 | ||
TOTAL INVESTMENTS — 100.0% (Cost $1,576,569,440) | 1,786,335,294 | ||
Other Assets in Excess of Liabilities — 0.0% | 356,616 | ||
NET ASSETS — 100.0% | $1,786,691,910 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 03/2022 | 34 | $ 3,947,060 | $ 49,827 | ||||
MSCI Emerging Markets | 03/2022 | 16 | 981,040 | (2,615) | ||||
S&P 500® E-Mini | 03/2022 | 31 | 7,375,675 | 124,526 | ||||
10-Year U.S. Treasury Note | 03/2022 | 78 | 10,176,563 | 95,746 | ||||
Total Futures Contracts outstanding at December 31, 2021 | $22,480,338 | $267,484 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 25,176,320 | $ 25,176,320 | $ — | $ — | |||
Mutual Funds | 1,707,424,443 | 1,707,424,443 | — | — | |||
U.S. Treasury Obligations | 53,734,531 | — | 53,734,531 | — | |||
Total Assets - Investments in Securities | $1,786,335,294 | $1,732,600,763 | $53,734,531 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 270,099 | $ 270,099 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 270,099 | $ 270,099 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (2,615) | $ (2,615) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (2,615) | $ (2,615) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
% | |
U.S. Equity Select Funds | 50.2 |
Fixed Income Select Funds | 23.0 |
Non-U.S. Equity Select Funds | 22.7 |
Money Market Funds | 2.2 |
Real Assets Select Funds | 1.5 |
Alternative Select Funds | 0.4 |
100.0 |
Average Annual Total Returns as of 12/31/21 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 13.29% | 13.04% | |||
Five Year | N/A | 11.49% | |||
Ten Year | N/A | 9.99% | |||
Since Inception | 11.09% | 6.17% | |||
Inception Date | 05/01/17 | 12/29/06 | |||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.50% | 0.75% |
Shares | Value | |||
MUTUAL FUNDS — 97.8% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 17,422,956 | $262,041,259 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 6,786,777 | 66,306,811 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 7,787,891 | 111,366,843 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 10,698,742 | 541,249,356 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,304,902 | 64,577,777 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 18,954,201 | 228,587,658 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 9,022,535 | 96,270,451 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,896,102 | 21,862,058 |
Shares | Value | |||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 501,381 | $ 5,159,214 | ||
Total Mutual Funds (Cost $1,177,147,062) | 1,397,421,427 | |||
MONEY MARKET FUNDS — 2.2% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ (Cost $31,482,822) | 31,482,822 | 31,482,822 | ||
TOTAL INVESTMENTS — 100.0% (Cost $1,208,629,884) | 1,428,904,249 | |||
Other Assets in Excess of Liabilities — 0.0% | 703,814 | |||
NET ASSETS — 100.0% | $1,429,608,063 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 03/2022 | 60 | $ 6,965,400 | $108,166 | ||||
MSCI Emerging Markets | 03/2022 | 29 | 1,778,135 | (10,065) | ||||
S&P 500® E-Mini | 03/2022 | 55 | 13,085,875 | 271,508 | ||||
10-Year U.S. Treasury Note | 03/2022 | 63 | 8,219,531 | 83,295 | ||||
Total Futures Contracts outstanding at December 31, 2021 | $30,048,941 | $452,904 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 31,482,822 | $ 31,482,822 | $ — | $ — | |||
Mutual Funds | 1,397,421,427 | 1,397,421,427 | — | — | |||
Total Assets - Investments in Securities | $1,428,904,249 | $1,428,904,249 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 462,969 | $ 462,969 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 462,969 | $ 462,969 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (10,065) | $ (10,065) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (10,065) | $ (10,065) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
% | |
U.S. Equity Select Funds | 57.8 |
Non-U.S. Equity Select Funds | 28.1 |
Fixed Income Select Funds | 9.9 |
Money Market Funds | 2.3 |
Real Assets Select Funds | 1.8 |
99.9 |
Average Annual Total Returns as of 12/31/21 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 16.61% | 16.26% | |||
Five Year | N/A | 12.89% | |||
Ten Year | N/A | 10.83% | |||
Since Inception | 12.43% | 6.48% | |||
Inception Date | 05/01/17 | 12/29/06 | |||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.48% | 0.75% |
Shares | Value | |||
MUTUAL FUNDS — 97.6% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 5,843,914 | $ 87,892,463 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 2,228,364 | 21,771,112 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 3,909,600 | 55,907,284 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 10,359,571 | 524,090,684 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,294,854 | 64,381,441 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 18,301,418 | 220,715,102 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 8,689,570 | 92,717,720 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,739,968 | $ 20,061,829 | ||
Total Mutual Funds (Cost $875,227,353) | 1,087,537,635 | |||
MONEY MARKET FUNDS — 2.3% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ (Cost $26,132,248) | 26,132,248 | 26,132,248 | ||
TOTAL INVESTMENTS — 99.9% (Cost $901,359,601) | 1,113,669,883 | |||
Other Assets in Excess of Liabilities — 0.1% | 1,042,489 | |||
NET ASSETS — 100.0% | $1,114,712,372 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 03/2022 | 59 | $ 6,849,310 | $106,680 | ||||
MSCI Emerging Markets | 03/2022 | 28 | 1,716,820 | (10,196) | ||||
S&P 500® E-Mini | 03/2022 | 53 | 12,610,025 | 261,635 | ||||
10-Year U.S. Treasury Note | 03/2022 | 26 | 3,392,188 | 37,243 | ||||
Total Futures Contracts outstanding at December 31, 2021 | $24,568,343 | $395,362 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 26,132,248 | $ 26,132,248 | $ — | $ — | |||
Mutual Funds | 1,087,537,635 | 1,087,537,635 | — | — | |||
Total Assets - Investments in Securities | $1,113,669,883 | $1,113,669,883 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 405,558 | $ 405,558 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 405,558 | $ 405,558 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (10,196) | $ (10,196) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (10,196) | $ (10,196) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
% | |
U.S. Equity Select Funds | 60.7 |
Non-U.S. Equity Select Funds | 30.0 |
Fixed Income Select Funds | 5.2 |
Money Market Funds | 2.1 |
Real Assets Select Funds | 1.9 |
99.9 |
Average Annual Total Returns as of 12/31/21 | |||||
Institutional Class* | Investor Class* | ||||
One Year | 17.46% | 17.11%** | |||
Five Year | N/A | 13.29% | |||
Ten Year | N/A | N/A | |||
Since Inception | 12.78% | 10.83% | |||
Inception Date | 05/01/17 | 01/01/12 | |||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.51% | 0.77% |
Shares | Value | |||
MUTUAL FUNDS — 97.8% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 1,227,686 | $ 18,464,403 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 472,829 | 4,619,540 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 1,538,314 | 21,997,883 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 4,326,549 | 218,880,115 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 1,381,730 | 26,998,998 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 7,678,311 | 92,600,424 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 3,736,563 | 39,869,129 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 723,946 | $ 8,347,101 | ||
Total Mutual Funds (Cost $354,404,166) | 431,777,593 | |||
MONEY MARKET FUNDS — 2.1% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ (Cost $9,115,968) | 9,115,968 | 9,115,968 | ||
TOTAL INVESTMENTS — 99.9% (Cost $363,520,134) | 440,893,561 | |||
Other Assets in Excess of Liabilities — 0.1% | 418,688 | |||
NET ASSETS — 100.0% | $441,312,249 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 03/2022 | 21 | $2,437,890 | $ 36,343 | ||||
MSCI Emerging Markets | 03/2022 | 11 | 674,465 | 1,499 | ||||
S&P 500® E-Mini | 03/2022 | 20 | 4,758,500 | 94,499 | ||||
10-Year U.S. Treasury Note | 03/2022 | 6 | 782,813 | 5,208 | ||||
Total Futures Contracts outstanding at December 31, 2021 | $8,653,668 | $137,549 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 9,115,968 | $ 9,115,968 | $ — | $ — | |||
Mutual Funds | 431,777,593 | 431,777,593 | — | — | |||
Total Assets - Investments in Securities | $440,893,561 | $440,893,561 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 137,549 | $ 137,549 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 137,549 | $ 137,549 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2021 |
MyDestination 2015 Fund | MyDestination 2025 Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $ 50,908,022 | $ 53,746,409 | |
Investments in securities of affiliated issuers, at value | 695,674,845 | 1,732,588,885 | |
Total investments, at value(1) | 746,582,867 | 1,786,335,294 | |
Deposits with broker for futures contracts | 225,000 | 775,000 | |
Receivables: | |||
Interest | 129,666 | 136,993 | |
Fund shares sold | 134,592 | 91,648 | |
Prepaid expenses and other assets | 16,330 | 21,866 | |
Total Assets | 747,088,455 | 1,787,360,801 | |
Liabilities | |||
Payables: | |||
Fund shares redeemed | 169,298 | 165,415 | |
Variation margin on futures contracts | 6,107 | 24,248 | |
Accrued expenses: | |||
Investment advisory fees | 52,156 | 140,995 | |
Shareholder servicing fees | 113,400 | 263,860 | |
Trustee fees | 684 | 1,178 | |
Other expenses | 46,260 | 73,195 | |
Total Liabilities | 387,905 | 668,891 | |
Net Assets | $746,700,550 | $1,786,691,910 | |
Net Assets Consist of: | |||
Paid-in-capital | $670,202,884 | $1,546,329,489 | |
Distributable earnings (loss) | 76,497,666 | 240,362,421 | |
Net Assets | $746,700,550 | $1,786,691,910 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $207,506,211 | $ 524,603,550 | |
Institutional shares outstanding | 18,712,631 | 45,479,892 | |
Net asset value, offering and redemption price per Institutional share | $ 11.09 | $ 11.53 | |
Net assets applicable to the Investor Class | $539,194,339 | $1,262,088,360 | |
Investor shares outstanding | 48,641,526 | 109,358,188 | |
Net asset value, offering and redemption price per Investor share | $ 11.09 | $ 11.54 | |
(1)Investments in securities of unaffiliated issuers, at cost | $ 49,838,094 | $ 52,604,109 | |
Investments in securities of affiliated issuers, at cost | 631,066,096 | 1,523,965,331 | |
Total investments, at cost | $680,904,190 | $1,576,569,440 |
MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||
$ — | $ — | $ — | ||
1,428,904,249 | 1,113,669,883 | 440,893,561 | ||
1,428,904,249 | 1,113,669,883 | 440,893,561 | ||
1,257,000 | 1,200,000 | 427,007 | ||
— | — | — | ||
248,505 | 266,445 | 138,035 | ||
18,332 | 16,439 | 26,246 | ||
1,430,428,086 | 1,115,152,767 | 441,484,849 | ||
392,573 | 99,831 | 7,192 | ||
47,925 | 48,447 | 18,590 | ||
119,057 | 92,281 | 46,723 | ||
195,526 | 143,118 | 53,953 | ||
853 | 740 | 452 | ||
64,089 | 55,978 | 45,690 | ||
820,023 | 440,395 | 172,600 | ||
$1,429,608,063 | $1,114,712,372 | $441,312,249 | ||
$1,177,904,410 | $ 874,609,388 | $353,950,962 | ||
251,703,653 | 240,102,984 | 87,361,287 | ||
$1,429,608,063 | $1,114,712,372 | $441,312,249 | ||
$ 488,920,566 | $ 422,302,974 | $178,971,493 | ||
40,745,652 | 34,899,339 | 10,462,456 | ||
$ 12.00 | $ 12.10 | $ 17.11 | ||
$ 940,687,497 | $ 692,409,398 | $262,340,756 | ||
78,418,543 | 57,277,663 | 15,369,026 | ||
$ 12.00 | $ 12.09 | $ 17.07 | ||
$ — | $ — | $ — | ||
1,208,629,884 | 901,359,601 | 363,520,134 | ||
$1,208,629,884 | $ 901,359,601 | $363,520,134 |
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2021 |
MyDestination 2015 Fund | |
Investment Income | |
Income distributions received from affiliated funds | $ 9,578,531 |
Interest | 1,840,631 |
Total Investment Income | 11,419,162 |
Expenses | |
Investment advisory fees | 787,950 |
Transfer agent fees: | |
Institutional shares | 3,876 |
Investor shares | 20,077 |
Custodian fees | 25,821 |
Shareholder servicing fees: | |
Investor shares | 1,363,702 |
Accounting and administration fees | 30,792 |
Professional fees | 77,294 |
Shareholder reporting fees: | |
Institutional shares | 768 |
Investor shares | 7,318 |
Trustees expenses | 4,739 |
Line of credit facility fees | 3,201 |
Other expenses | 75,237 |
Recoupment of prior expenses reduced by the Advisor | 9,939 |
Total Expenses | 2,410,714 |
Expenses waived/reimbursed(1) | (155,283) |
Net Expenses | 2,255,431 |
Net Investment Income | 9,163,731 |
Realized and Unrealized Gain (Loss) | |
Capital gain distributions received from affiliated funds | 18,856,113 |
Net realized gain on investment securities of affiliated issuers | 16,225,920 |
Net realized gain on investment securities of unaffiliated issuers | 180,601 |
Net realized gain on futures transactions | 418,829 |
Net realized gain | 35,681,463 |
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | 2,596,311 |
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | 921,725 |
Change in unrealized appreciation (depreciation) on futures | 23,379 |
Net change in unrealized appreciation (depreciation) | 3,541,415 |
Net Realized and Unrealized Gain | 39,222,878 |
Net Increase in Net Assets Resulting from Operations | $48,386,609 |
(1) | See Note 3c in Notes to Financial Statements. |
MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||
$ 24,036,123 | $ 20,256,569 | $ 15,424,537 | $ 6,000,419 | |||
1,867,022 | — | — | — | |||
25,903,145 | 20,256,569 | 15,424,537 | 6,000,419 | |||
1,751,379 | 1,311,260 | 1,007,752 | 383,549 | |||
4,204 | 4,298 | 4,181 | 4,111 | |||
31,804 | 22,715 | 19,890 | 17,762 | |||
34,060 | 35,765 | 32,157 | 27,026 | |||
3,019,790 | 2,175,047 | 1,575,943 | 570,510 | |||
69,395 | 52,998 | 40,816 | 15,636 | |||
78,840 | 77,728 | 77,266 | 76,593 | |||
804 | 850 | 748 | 776 | |||
8,952 | 7,725 | 6,934 | 6,452 | |||
8,304 | 6,120 | 5,046 | 3,593 | |||
5,551 | 4,447 | 3,714 | 2,410 | |||
121,178 | 107,270 | 91,680 | 64,780 | |||
39,284 | 34,019 | 3,044 | 46,426 | |||
5,173,545 | 3,840,242 | 2,869,171 | 1,219,624 | |||
(164,151) | — | — | (13,082) | |||
5,009,394 | 3,840,242 | 2,869,171 | 1,206,542 | |||
20,893,751 | 16,416,327 | 12,555,366 | 4,793,877 | |||
53,376,992 | 48,638,421 | 41,379,627 | 17,069,050 | |||
27,575,239 | 29,051,218 | 23,545,860 | 8,192,212 | |||
129,500 | — | — | — | |||
1,895,997 | 3,247,579 | 3,029,003 | 1,262,293 | |||
82,977,728 | 80,937,218 | 67,954,490 | 26,523,555 | |||
40,262,401 | 61,137,800 | 69,162,929 | 28,065,951 | |||
980,747 | — | — | — | |||
44,841 | 134,771 | 117,207 | 23,329 | |||
41,287,989 | 61,272,571 | 69,280,136 | 28,089,280 | |||
124,265,717 | 142,209,789 | 137,234,626 | 54,612,835 | |||
$145,159,468 | $158,626,116 | $149,789,992 | $59,406,712 |
STATEMENTS OF CHANGES IN NET ASSETS |
MyDestination 2015 Fund | MyDestination 2025 Fund | ||||||
For the Year Ended | For the Year Ended | ||||||
12/31/21 | 12/31/20 | 12/31/21 | 12/31/20 | ||||
Operations: | |||||||
Net investment income | $ 9,163,731 | $ 8,841,489 | $ 20,893,751 | $ 19,606,645 | |||
Net realized gain on investment securities and futures transactions | 35,681,463 | 15,908,913 | 82,977,728 | 41,895,796 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 3,541,415 | 32,809,077 | 41,287,989 | 87,944,530 | |||
Net increase in net assets resulting from operations | 48,386,609 | 57,559,479 | 145,159,468 | 149,446,971 | |||
Distributions to Shareholders: | |||||||
Institutional shares | (11,212,826) | (6,408,437) | (25,822,026) | (17,903,630) | |||
Investor shares | (27,805,081) | (18,764,203) | (58,826,598) | (42,018,908) | |||
Total distributions | (39,017,907) | (25,172,640) | (84,648,624) | (59,922,538) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 54,762,341 | 41,045,766 | 89,820,222 | 97,587,137 | |||
Investor shares | 58,612,402 | 60,915,701 | 137,601,889 | 106,704,232 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 11,212,826 | 6,408,437 | 25,822,025 | 17,903,630 | |||
Investor shares | 27,798,484 | 18,759,541 | 58,817,400 | 42,015,796 | |||
Total proceeds from shares sold and reinvested | 152,386,053 | 127,129,445 | 312,061,536 | 264,210,795 | |||
Value of shares redeemed | |||||||
Institutional shares | (30,077,650) | (28,757,117) | (58,008,101) | (53,695,788) | |||
Investor shares | (82,876,873) | (100,454,578) | (96,067,512) | (141,392,507) | |||
Total value of shares redeemed | (112,954,523) | (129,211,695) | (154,075,613) | (195,088,295) | |||
Net increase (decrease) from capital share transactions(1) | 39,431,530 | (2,082,250) | 157,985,923 | 69,122,500 | |||
Total increase in net assets | 48,800,232 | 30,304,589 | 218,496,767 | 158,646,933 | |||
Net Assets: | |||||||
Beginning of Year | 697,900,318 | 667,595,729 | 1,568,195,143 | 1,409,548,210 | |||
End of Year | $ 746,700,550 | $ 697,900,318 | $1,786,691,910 | $1,568,195,143 |
(1) | See Note 6 in Notes to Financial Statements. |
MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||||||||
For the Year Ended | For the Year Ended | For the Year Ended | ||||||||
12/31/21 | 12/31/20 | 12/31/21 | 12/31/20 | 12/31/21 | 12/31/20 | |||||
$ 16,416,327 | $ 13,446,206 | $ 12,555,366 | $ 9,964,337 | $ 4,793,877 | $ 3,486,476 | |||||
80,937,218 | 25,928,586 | 67,954,490 | 14,316,641 | 26,523,555 | 3,630,316 | |||||
61,272,571 | 90,280,776 | 69,280,136 | 84,113,480 | 28,089,280 | 33,501,116 | |||||
158,626,116 | 129,655,568 | 149,789,992 | 108,394,458 | 59,406,712 | 40,617,908 | |||||
(26,474,371) | (12,154,818) | (23,036,550) | (8,196,290) | (9,426,520) | (2,929,834) | |||||
(48,557,555) | (22,913,162) | (36,147,395) | (12,765,470) | (13,213,188) | (3,887,403) | |||||
(75,031,926) | (35,067,980) | (59,183,945) | (20,961,760) | (22,639,708) | (6,817,237) | |||||
88,740,477 | 93,832,021 | 62,655,462 | 69,124,988 | 38,018,347 | 43,068,497 | |||||
113,685,881 | 78,771,395 | 73,883,374 | 52,552,692 | 49,961,631 | 39,537,765 | |||||
26,474,370 | 12,154,818 | 23,036,551 | 8,196,290 | 9,426,520 | 2,929,834 | |||||
48,549,290 | 22,911,118 | 36,147,394 | 12,765,324 | 13,212,942 | 3,887,416 | |||||
277,450,018 | 207,669,352 | 195,722,781 | 142,639,294 | 110,619,440 | 89,423,512 | |||||
(33,544,937) | (23,785,558) | (20,402,162) | (17,569,090) | (13,472,797) | (7,189,755) | |||||
(43,751,182) | (61,433,706) | (28,092,752) | (36,714,974) | (12,028,307) | (17,236,823) | |||||
(77,296,119) | (85,219,264) | (48,494,914) | (54,284,064) | (25,501,104) | (24,426,578) | |||||
200,153,899 | 122,450,088 | 147,227,867 | 88,355,230 | 85,118,336 | 64,996,934 | |||||
283,748,089 | 217,037,676 | 237,833,914 | 175,787,928 | 121,885,340 | 98,797,605 | |||||
1,145,859,974 | 928,822,298 | 876,878,458 | 701,090,530 | 319,426,909 | 220,629,304 | |||||
$1,429,608,063 | $1,145,859,974 | $1,114,712,372 | $876,878,458 | $441,312,249 | $319,426,909 |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income#(1) | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
MyDestination 2015 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $10.95 | $0.17 | $ 0.59 | $ 0.76 | $(0.26) | $(0.36) | $(0.62) | $11.09 | 6.98% | $ 207,506 | 0.12% | 0.14% | 1.46% | 17% |
2020 | 10.40 | 0.16 | 0.82 | 0.98 | (0.22) | (0.21) | (0.43) | 10.95 | 9.41 | 169,812 | 0.06 | 0.14 | 1.58 | 23 |
2019 | 9.40 | 0.25 | 1.19 | 1.44 | (0.28) | (0.16) | (0.44) | 10.40 | 15.32 | 142,900 | 0.06 | 0.13 | 2.48 | 7 |
2018 | 10.37 | 0.20 | (0.54) | (0.34) | (0.38) | (0.25) | (0.63) | 9.40 | (3.33) | 104,300 | 0.13 | 0.15 | 1.91 | 32 |
2017(3) | 9.97 | 0.12 | 0.58 | 0.70 | (0.06) | (0.24) | (0.30) | 10.37 | 6.99 | 108,975 | 0.16 | 0.16 | 1.78 | 17 |
Investor Class | ||||||||||||||
2021 | $10.95 | $0.13 | $ 0.60 | $ 0.73 | $(0.23) | $(0.36) | $(0.59) | $11.09 | 6.72% | $ 539,194 | 0.37% | 0.39% | 1.15% | 17% |
2020 | 10.40 | 0.13 | 0.82 | 0.95 | (0.19) | (0.21) | (0.40) | 10.95 | 9.16 | 528,088 | 0.31 | 0.39 | 1.29 | 23 |
2019 | 9.40 | 0.21 | 1.21 | 1.42 | (0.26) | (0.16) | (0.42) | 10.40 | 15.09 | 524,696 | 0.31 | 0.38 | 2.09 | 7 |
2018 | 10.38 | 0.17 | (0.55) | (0.38) | (0.35) | (0.25) | (0.60) | 9.40 | (3.66) | 496,209 | 0.37 | 0.39 | 1.67 | 32 |
2017 | 9.54 | 0.12 | 1.00 | 1.12 | (0.04) | (0.24) | (0.28) | 10.38 | 11.67 | 521,339 | 0.38 | 0.39 | 1.21 | 17 |
MyDestination 2025 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $11.10 | $0.16 | $ 0.85 | $ 1.01 | $(0.28) | $(0.30) | $(0.58) | $11.53 | 9.17% | $ 524,604 | 0.12% | 0.13% | 1.41% | 9% |
2020 | 10.42 | 0.17 | 0.97 | 1.14 | (0.22) | (0.24) | (0.46) | 11.10 | 10.95 | 449,798 | 0.08 | 0.12 | 1.60 | 19 |
2019 | 9.15 | 0.25 | 1.44 | 1.69 | (0.27) | (0.15) | (0.42) | 10.42 | 18.45 | 361,408 | 0.09 | 0.12 | 2.43 | 5 |
2018 | 10.25 | 0.18 | (0.66) | (0.48) | (0.28) | (0.34) | (0.62) | 9.15 | (4.64) | 250,202 | 0.12 | 0.13 | 1.80 | 37 |
2017(3) | 9.79 | 0.13 | 0.75 | 0.88 | (0.12) | (0.30) | (0.42) | 10.25 | 9.08 | 222,031 | 0.14 | 0.14 | 1.82 | 15 |
Investor Class | ||||||||||||||
2021 | $11.11 | $0.13 | $ 0.85 | $ 0.98 | $(0.25) | $(0.30) | $(0.55) | $11.54 | 8.91% | $1,262,088 | 0.37% | 0.38% | 1.15% | 9% |
2020 | 10.43 | 0.14 | 0.97 | 1.11 | (0.19) | (0.24) | (0.43) | 11.11 | 10.69 | 1,118,397 | 0.34 | 0.38 | 1.31 | 19 |
2019 | 9.16 | 0.21 | 1.45 | 1.66 | (0.24) | (0.15) | (0.39) | 10.43 | 18.18 | 1,048,140 | 0.34 | 0.37 | 2.06 | 5 |
2018 | 10.26 | 0.15 | (0.65) | (0.50) | (0.26) | (0.34) | (0.60) | 9.16 | (4.87) | 888,153 | 0.36 | 0.38 | 1.51 | 37 |
2017 | 9.28 | 0.11 | 1.27 | 1.38 | (0.10) | (0.30) | (0.40) | 10.26 | 14.92 | 878,579 | 0.38 | 0.38 | 1.12 | 15 |
MyDestination 2035 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $11.19 | $0.17 | $ 1.32 | $ 1.49 | $(0.30) | $(0.38) | $(0.68) | $12.00 | 13.29% | $ 488,921 | 0.12% | 0.12% | 1.43% | 10% |
2020 | 10.22 | 0.16 | 1.18 | 1.34 | (0.19) | (0.18) | (0.37) | 11.19 | 13.15 | 379,986 | 0.14 | 0.14 | 1.61 | 11 |
2019 | 8.65 | 0.24 | 1.70 | 1.94 | (0.24) | (0.13) | (0.37) | 10.22 | 22.47 | 266,012 | 0.13 | 0.13 | 2.41 | 4 |
2018 | 9.95 | 0.15 | (0.80) | (0.65) | (0.29) | (0.36) | (0.65) | 8.65 | (6.56) | 173,573 | 0.13 | 0.14 | 1.54 | 50 |
2017(3) | 9.29 | 0.13 | 0.93 | 1.06 | (0.07) | (0.33) | (0.40) | 9.95 | 11.51 | 152,421 | 0.15 | 0.15 | 1.99 | 35 |
Investor Class | ||||||||||||||
2021 | $11.19 | $0.14 | $ 1.32 | $ 1.46 | $(0.27) | $(0.38) | $(0.65) | $12.00 | 13.04% | $ 940,687 | 0.38% | 0.38% | 1.16% | 10% |
2020 | 10.22 | 0.13 | 1.19 | 1.32 | (0.17) | (0.18) | (0.35) | 11.19 | 12.90 | 765,874 | 0.39 | 0.39 | 1.29 | 11 |
2019 | 8.65 | 0.20 | 1.72 | 1.92 | (0.22) | (0.13) | (0.35) | 10.22 | 22.16 | 662,810 | 0.39 | 0.39 | 2.01 | 4 |
2018 | 9.96 | 0.12 | (0.80) | (0.68) | (0.27) | (0.36) | (0.63) | 8.65 | (6.89) | 514,670 | 0.38 | 0.39 | 1.25 | 50 |
2017 | 8.72 | 0.11 | 1.51 | 1.62 | (0.05) | (0.33) | (0.38) | 9.96 | 18.66 | 498,807 | 0.38 | 0.39 | 1.16 | 35 |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Does not include expenses of the investment companies in which the Fund invests. Acquired fund fees and expenses (i.e., the fees and expenses incurred by the underlying funds) for the MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund were 0.38%, 0.38%, 0.36%, 0.34% and 0.33%, respectively for 2021. These acquired fund fees and expenses impact the net asset value of the underlying funds in which each Fund invests, and therefore the effect of the acquired fund fees and expenses are reflected in each Fund's total return. |
(3) | Inception date was May 1, 2017. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income#(1) | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
MyDestination 2045 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $10.97 | $0.17 | $ 1.65 | $ 1.82 | $(0.30) | $(0.39) | $(0.69) | $12.10 | 16.61% | $422,303 | 0.13% | 0.13% | 1.41% | 10% |
2020 | 9.87 | 0.15 | 1.24 | 1.39 | (0.17) | (0.12) | (0.29) | 10.97 | 14.06 | 323,697 | 0.14 | 0.14 | 1.58 | 7 |
2019 | 8.21 | 0.22 | 1.79 | 2.01 | (0.22) | (0.13) | (0.35) | 9.87 | 24.56 | 230,295 | 0.13 | 0.13 | 2.31 | 4 |
2018 | 9.60 | 0.13 | (0.84) | (0.71) | (0.26) | (0.42) | (0.68) | 8.21 | (7.50) | 160,533 | 0.14 | 0.15 | 1.36 | 58 |
2017(3) | 8.90 | 0.13 | 1.01 | 1.14 | (0.07) | (0.37) | (0.44) | 9.60 | 12.85 | 145,343 | 0.16 | 0.16 | 1.99 | 10 |
Investor Class | ||||||||||||||
2021 | $10.97 | $0.14 | $ 1.64 | $ 1.78 | $(0.27) | $(0.39) | $(0.66) | $12.09 | 16.26% | $692,409 | 0.38% | 0.38% | 1.15% | 10% |
2020 | 9.87 | 0.12 | 1.24 | 1.36 | (0.14) | (0.12) | (0.26) | 10.97 | 13.80 | 553,181 | 0.41 | 0.41 | 1.26 | 7 |
2019 | 8.21 | 0.18 | 1.80 | 1.98 | (0.19) | (0.13) | (0.32) | 9.87 | 24.24 | 470,796 | 0.41 | 0.41 | 1.94 | 4 |
2018 | 9.60 | 0.10 | (0.83) | (0.73) | (0.24) | (0.42) | (0.66) | 8.21 | (7.73) | 357,044 | 0.39 | 0.40 | 1.08 | 58 |
2017 | 8.29 | 0.10 | 1.63 | 1.73 | (0.05) | (0.37) | (0.42) | 9.60 | 20.90 | 344,147 | 0.38 | 0.40 | 1.06 | 10 |
MyDestination 2055 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $15.37 | $0.24 | $ 2.44 | $ 2.68 | $(0.42) | $(0.52) | $(0.94) | $17.11 | 17.46% | $178,971 | 0.17% | 0.17% | 1.39% | 11% |
2020 | 13.77 | 0.21 | 1.74 | 1.95 | (0.22) | (0.13) | (0.35) | 15.37 | 14.23 | 130,214 | 0.16 | 0.18 | 1.58 | 12 |
2019 | 11.48 | 0.30 | 2.58 | 2.88 | (0.30) | (0.29) | (0.59) | 13.77 | 25.15 | 77,156 | 0.16 | 0.20 | 2.26 | 10 |
2018 | 13.45 | 0.19 | (1.23) | (1.04) | (0.31) | (0.62) | (0.93) | 11.48 | (7.77) | 54,326 | 0.18 | 0.24 | 1.40 | 62 |
2017(3) | 12.43 | 0.18 | 1.47 | 1.65 | (0.02) | (0.61) | (0.63) | 13.45 | 13.33 | 38,161 | 0.20 | 0.33 | 2.04 | 9 |
Investor Class | ||||||||||||||
2021 | $15.34 | $0.19 | $ 2.44 | $ 2.63 | $(0.38) | $(0.52) | $(0.90) | $17.07 | 17.18% | $262,341 | 0.42% | 0.42% | 1.15% | 11% |
2020 | 13.76 | 0.17 | 1.73 | 1.90 | (0.19) | (0.13) | (0.32) | 15.34 | 13.85 | 189,213 | 0.42 | 0.44 | 1.27 | 12 |
2019 | 11.47 | 0.27 | 2.58 | 2.85 | (0.27) | (0.29) | (0.56) | 13.76 | 24.92 | 143,473 | 0.41 | 0.44 | 2.03 | 10 |
2018 | 13.45 | 0.15 | (1.22) | (1.07) | (0.29) | (0.62) | (0.91) | 11.47 | (8.02) | 94,392 | 0.39 | 0.49 | 1.08 | 62 |
2017 | 11.56 | 0.14 | 2.37 | 2.51 | (0.01) | (0.61) | (0.62) | 13.45 | 21.73 | 78,024 | 0.38 | 0.55 | 1.12 | 9 |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Does not include expenses of the investment companies in which the Fund invests. Acquired fund fees and expenses (i.e., the fees and expenses incurred by the underlying funds) for the MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund were 0.38%, 0.38%, 0.36%, 0.34% and 0.33%, respectively for 2021. These acquired fund fees and expenses impact the net asset value of the underlying funds in which each Fund invests, and therefore the effect of the acquired fund fees and expenses are reflected in each Fund's total return. |
(3) | Inception date was May 1, 2017. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
% | |
Fixed Income Select Funds | 62.8 |
U.S. Equity Select Funds | 19.2 |
Non-U.S. Equity Select Funds | 7.6 |
Alternative Select Funds | 5.0 |
Impact Select Funds | 3.1 |
Real Assets Select Funds | 1.2 |
Money Market Funds | 1.1 |
100.0 |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 4.07% | 3.81% | 5.38% | ||||
Five Year | 5.45% | 5.20% | 6.14% | ||||
Ten Year | N/A | 4.09% | 4.78% | ||||
Since Inception(1) | 5.12% | 3.94% | 4.43% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(2) | 0.69% | 0.94% |
(1) | The Since Inception benchmark performance is based on the start date of August 27, 2001, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund. |
(2) | The Fund’s shareholders indirectly bear the expenses of the Institutional Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
MUTUAL FUNDS — 98.9% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 20,000,087 | $268,401,165 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 4,764,881 | 71,663,806 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 1,809,027 | 17,674,192 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 3,008,528 | 43,021,947 | ||
GuideStone Global Impact Fund (Institutional Class)∞ | 1,611,899 | 17,650,296 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 1,438,930 | 30,749,938 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 1,004,611 | 30,057,947 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 293,922 | 5,743,242 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 2,059,135 | 30,578,150 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 1,192,731 | 12,726,442 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 619,265 | $ 7,140,129 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,749,863 | 28,296,093 | ||
Total Mutual Funds (Cost $541,088,819) | 563,703,347 | |||
MONEY MARKET FUNDS — 1.1% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ (Cost $6,247,394) | 6,247,394 | 6,247,394 | ||
TOTAL INVESTMENTS — 100.0% (Cost $547,336,213) | 569,950,741 | |||
Other Assets in Excess of Liabilities — 0.0% | 55,930 | |||
NET ASSETS — 100.0% | $570,006,671 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 03/2022 | 3 | $ 347,270 | $ 4,859 | ||||
MSCI Emerging Markets | 03/2022 | 4 | 245,260 | (943) | ||||
S&P 500® E-Mini | 03/2022 | 5 | 1,189,625 | 24,683 | ||||
2-Year U.S. Treasury Note | 04/2022 | 28 | 6,108,813 | (5,731) | ||||
Total Futures Contracts outstanding at December 31, 2021 | $7,890,968 | $22,868 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 6,247,394 | $ 6,247,394 | $ — | $ — | |||
Mutual Funds | 563,703,347 | 563,703,347 | — | — | |||
Total Assets - Investments in Securities | $569,950,741 | $569,950,741 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 29,542 | $ 29,542 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 29,542 | $ 29,542 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (6,674) | $ (6,674) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (6,674) | $ (6,674) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
% | |
Fixed Income Select Funds | 40.6 |
U.S. Equity Select Funds | 32.6 |
Non-U.S. Equity Select Funds | 14.6 |
Impact Select Funds | 4.1 |
Alternative Select Funds | 4.0 |
Real Assets Select Funds | 2.1 |
Money Market Funds | 2.0 |
100.0 |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 7.17% | 6.92% | 9.49% | ||||
Five Year | 8.48% | 8.20% | 9.49% | ||||
Ten Year | N/A | 6.92% | 7.96% | ||||
Since Inception(1) | 7.82% | 5.80% | 6.53% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(2) | 0.77% | 1.02% |
(1) | The Since Inception benchmark performance is based on the start date of August 27, 2001, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund. |
(2) | The Fund’s shareholders indirectly bear the expenses of the Institutional Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
MUTUAL FUNDS — 98.0% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 5,200,786 | $ 69,794,550 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 32,159,528 | 483,679,303 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 14,308,327 | 139,792,357 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 12,482,187 | 178,495,275 | ||
GuideStone Global Impact Fund (Institutional Class)∞ | 6,462,522 | 70,764,613 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 8,316,434 | 177,722,188 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 5,626,207 | 168,336,122 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 1,751,367 | 34,221,704 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 11,917,337 | 176,972,454 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 6,832,927 | 72,907,330 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,111,543 | $ 35,876,092 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 6,695,589 | 68,897,610 | ||
Total Mutual Funds (Cost $1,577,733,203) | 1,677,459,598 | |||
MONEY MARKET FUNDS — 2.0% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ (Cost $33,958,770) | 33,958,770 | 33,958,770 | ||
TOTAL INVESTMENTS — 100.0% (Cost $1,611,691,973) | 1,711,418,368 | |||
Other Assets in Excess of Liabilities — 0.0% | 454,474 | |||
NET ASSETS — 100.0% | $1,711,872,842 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 03/2022 | 41 | $ 4,759,690 | $ 74,392 | ||||
MSCI Emerging Markets | 03/2022 | 30 | 1,839,450 | (9,568) | ||||
S&P 500® E-Mini | 03/2022 | 43 | 10,230,775 | 212,270 | ||||
10-Year U.S. Treasury Note | 03/2022 | 17 | 2,217,969 | 21,790 | ||||
U.S. Treasury Long Bond | 03/2022 | 8 | 1,283,500 | 2,767 | ||||
Ultra 10-Year U.S. Treasury Note | 03/2022 | 7 | 1,025,063 | 18,251 | ||||
Ultra Long U.S. Treasury Bond | 03/2022 | 10 | 1,971,250 | 23,634 | ||||
2-Year U.S. Treasury Note | 04/2022 | 22 | 4,799,781 | (4,902) | ||||
5-Year U.S. Treasury Note | 04/2022 | 33 | 3,992,227 | 5,602 | ||||
Total Futures Contracts outstanding at December 31, 2021 | $32,119,705 | $344,236 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 33,958,770 | $ 33,958,770 | $ — | $ — | |||
Mutual Funds | 1,677,459,598 | 1,677,459,598 | — | — | |||
Total Assets - Investments in Securities | $1,711,418,368 | $1,711,418,368 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 358,706 | $ 358,706 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 358,706 | $ 358,706 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (14,470) | $ (14,470) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (14,470) | $ (14,470) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
% | |
U.S. Equity Select Funds | 44.6 |
Non-U.S. Equity Select Funds | 26.1 |
Fixed Income Select Funds | 17.2 |
Impact Select Funds | 4.0 |
Real Assets Select Funds | 3.2 |
Alternative Select Funds | 2.5 |
Money Market Funds | 2.3 |
99.9 |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 11.82% | 11.56% | 14.34% | ||||
Five Year | 11.36% | 11.08% | 12.04% | ||||
Ten Year | N/A | 9.33% | 10.17% | ||||
Since Inception(1) | 10.05% | 6.49% | 7.25% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(2) | 0.88% | 1.13% |
(1) | The Since Inception benchmark performance is based on the start date of August 27, 2001, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund. |
(2) | The Fund’s shareholders indirectly bear the expenses of the Institutional Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
MUTUAL FUNDS — 97.6% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 1,839,273 | $ 24,683,048 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 11,186,495 | 168,244,877 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 4,983,379 | 48,687,613 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 4,583,092 | 65,538,212 | ||
GuideStone Global Impact Fund (Institutional Class)∞ | 5,119,454 | 56,058,016 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 12,244,361 | 261,662,004 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 8,376,750 | 250,632,367 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,586,048 | 50,531,375 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 17,559,516 | 260,758,806 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 10,075,131 | 107,501,644 |
Shares | Value | |||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,928,034 | $ 45,290,234 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 3,449,482 | 35,495,174 | ||
Total Mutual Funds (Cost $1,281,020,739) | 1,375,083,370 | |||
MONEY MARKET FUNDS — 2.3% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ (Cost $32,981,432) | 32,981,432 | 32,981,432 | ||
TOTAL INVESTMENTS — 99.9% (Cost $1,314,002,171) | 1,408,064,802 | |||
Other Assets in Excess of Liabilities — 0.1% | 1,164,272 | |||
NET ASSETS — 100.0% | $1,409,229,074 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 03/2022 | 65 | $ 7,545,850 | $117,491 | ||||
MSCI Emerging Markets | 03/2022 | 50 | 3,065,750 | (18,254) | ||||
S&P 500® E-Mini | 03/2022 | 67 | 15,940,975 | 330,746 | ||||
10-Year U.S. Treasury Note | 03/2022 | 8 | 1,043,750 | 9,220 | ||||
U.S. Treasury Long Bond | 03/2022 | 4 | 641,750 | 7,743 | ||||
Ultra 10-Year U.S. Treasury Note | 03/2022 | 3 | 439,313 | 5,838 | ||||
Ultra Long U.S. Treasury Bond | 03/2022 | 5 | 985,625 | 14,703 | ||||
2-Year U.S. Treasury Note | 04/2022 | 11 | 2,399,891 | (3,470) | ||||
5-Year U.S. Treasury Note | 04/2022 | 16 | 1,935,625 | 5,771 | ||||
Total Futures Contracts outstanding at December 31, 2021 | $33,998,529 | $469,788 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 32,981,432 | $ 32,981,432 | $ — | $ — | |||
Mutual Funds | 1,375,083,370 | 1,375,083,370 | — | — | |||
Total Assets - Investments in Securities | $1,408,064,802 | $1,408,064,802 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 491,512 | $ 491,512 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 491,512 | $ 491,512 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (21,724) | $ (21,724) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (21,724) | $ (21,724) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
% | |
U.S. Equity Select Funds | 58.6 |
Non-U.S. Equity Select Funds | 39.1 |
Money Market Funds | 2.2 |
99.9 |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 15.09% | 14.89% | 18.29% | ||||
Five Year | 13.95% | 13.67% | 14.62% | ||||
Ten Year | N/A | 11.77% | 12.69% | ||||
Since Inception(1) | 11.92% | 7.10% | 8.00% | ||||
Inception Date | 11/23/15 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(2) | 0.97% | 1.22% |
(1) | The Since Inception benchmark performance is based on the start date of August 27, 2001, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund. |
(2) | The Fund’s shareholders indirectly bear the expenses of the Institutional Class shares of the Select Funds in which the Fund invests. Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
MUTUAL FUNDS — 97.7% | ||||
GuideStone Value Equity Fund (Institutional Class)∞ | 15,762,271 | $ 336,839,734 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 10,762,806 | 322,023,156 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,313,857 | 64,752,772 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 23,128,752 | 343,461,964 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 13,141,801 | 140,223,016 | ||
Total Mutual Funds (Cost $1,119,128,590) | 1,207,300,642 |
Shares | Value | |||
MONEY MARKET FUNDS — 2.2% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ (Cost $27,722,464) | 27,722,464 | $ 27,722,464 | ||
TOTAL INVESTMENTS — 99.9% (Cost $1,146,851,054) | 1,235,023,106 | |||
Other Assets in Excess of Liabilities — 0.1% | 1,139,809 | |||
NET ASSETS — 100.0% | $1,236,162,915 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 03/2022 | 66 | $ 7,661,940 | $118,880 | ||||
MSCI Emerging Markets | 03/2022 | 55 | 3,372,325 | (20,597) | ||||
S&P 500® E-Mini | 03/2022 | 69 | 16,416,825 | 340,620 | ||||
Total Futures Contracts outstanding at December 31, 2021 | $27,451,090 | $438,903 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 27,722,464 | $ 27,722,464 | $ — | $ — | |||
Mutual Funds | 1,207,300,642 | 1,207,300,642 | — | — | |||
Total Assets - Investments in Securities | $1,235,023,106 | $1,235,023,106 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 459,500 | $ 459,500 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 459,500 | $ 459,500 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (20,597) | $ (20,597) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (20,597) | $ (20,597) | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2021 |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Assets | |||||||
Investments in securities of affiliated issuers, at value | $569,950,741 | $1,711,418,368 | $1,408,064,802 | $1,235,023,106 | |||
Total investments, at value(1) | 569,950,741 | 1,711,418,368 | 1,408,064,802 | 1,235,023,106 | |||
Deposits with broker for futures contracts | 110,000 | 1,083,000 | 1,575,000 | 1,520,000 | |||
Receivables: | |||||||
Fund shares sold | 172,552 | 32,757 | 71,147 | 55,298 | |||
Prepaid expenses and other assets | 21,437 | 27,775 | 23,478 | 21,802 | |||
Total Assets | 570,254,730 | 1,712,561,900 | 1,409,734,427 | 1,236,620,206 | |||
Liabilities | |||||||
Payables: | |||||||
Fund shares redeemed | 62,773 | 209,901 | 75,204 | 43,221 | |||
Variation margin on futures contracts | 3,721 | 16,329 | 54,787 | 70,977 | |||
Accrued expenses: | |||||||
Investment advisory fees | 48,106 | 143,668 | 117,402 | 102,646 | |||
Shareholder servicing fees | 89,379 | 258,119 | 201,744 | 187,654 | |||
Trustee fees | 1,111 | 1,829 | 1,357 | 1,116 | |||
Other expenses | 42,969 | 59,212 | 54,859 | 51,677 | |||
Total Liabilities | 248,059 | 689,058 | 505,353 | 457,291 | |||
Net Assets | $570,006,671 | $1,711,872,842 | $1,409,229,074 | $1,236,162,915 | |||
Net Assets Consist of: | |||||||
Paid-in-capital | $539,696,889 | $1,575,085,524 | $1,249,280,576 | $1,064,314,260 | |||
Distributable earnings (loss) | 30,309,782 | 136,787,318 | 159,948,498 | 171,848,655 | |||
Net Assets | $570,006,671 | $1,711,872,842 | $1,409,229,074 | $1,236,162,915 | |||
Net Asset Value: | |||||||
$0.001 par value, unlimited shares authorized | |||||||
Net assets applicable to the Institutional Class | $146,436,040 | $ 481,117,731 | $ 440,337,942 | $ 331,641,501 | |||
Institutional shares outstanding | 12,212,417 | 36,934,878 | 31,836,668 | 23,816,817 | |||
Net asset value, offering and redemption price per Institutional share | $ 11.99 | $ 13.03 | $ 13.83 | $ 13.92 | |||
Net assets applicable to the Investor Class | $423,570,631 | $1,230,755,111 | $ 968,891,132 | $ 904,521,414 | |||
Investor shares outstanding | 35,335,948 | 94,534,883 | 70,130,894 | 65,283,714 | |||
Net asset value, offering and redemption price per Investor share | $ 11.99 | $ 13.02 | $ 13.82 | $ 13.86 | |||
(1)Investments in securities of affiliated issuers, at cost | 547,336,213 | 1,611,691,973 | 1,314,002,171 | 1,146,851,054 | |||
Total investments, at cost | $547,336,213 | $1,611,691,973 | $1,314,002,171 | $1,146,851,054 |
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2021 |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Investment Income | |||||||
Income distributions received from affiliated funds | $ 5,991,769 | $ 20,999,190 | $ 15,051,532 | $ 11,216,793 | |||
Interest | 53 | — | 683 | 19 | |||
Total Investment Income | 5,991,822 | 20,999,190 | 15,052,215 | 11,216,812 | |||
Expenses | |||||||
Investment advisory fees | 569,350 | 1,705,065 | 1,388,965 | 1,215,426 | |||
Transfer agent fees: | |||||||
Institutional shares | 3,895 | 4,027 | 3,849 | 3,760 | |||
Investor shares | 29,998 | 48,612 | 37,286 | 33,020 | |||
Custodian fees | 22,375 | 39,682 | 37,811 | 29,981 | |||
Shareholder servicing fees: | |||||||
Investor shares | 1,065,494 | 3,089,520 | 2,400,830 | 2,243,465 | |||
Accounting and administration fees | 21,204 | 63,134 | 51,180 | 44,708 | |||
Professional fees | 79,473 | 81,669 | 80,211 | 79,761 | |||
Shareholder reporting fees: | |||||||
Institutional shares | 821 | 838 | 807 | 752 | |||
Investor shares | 9,676 | 12,707 | 11,289 | 9,075 | |||
Trustees expenses | 7,246 | 11,975 | 9,184 | 7,974 | |||
Line of credit facility fees | 3,344 | 6,263 | 5,194 | 4,695 | |||
Other expenses | 86,565 | 129,219 | 112,091 | 99,466 | |||
Total Expenses | 1,899,441 | 5,192,711 | 4,138,697 | 3,772,083 | |||
Net Investment Income | 4,092,381 | 15,806,479 | 10,913,518 | 7,444,729 | |||
Realized and Unrealized Gain (Loss) | |||||||
Capital gain distributions received from affiliated funds | 17,650,800 | 92,778,191 | 114,013,677 | 135,721,453 | |||
Net realized gain on investment securities of affiliated issuers | 5,472,061 | 24,967,183 | 15,950,753 | 11,998,713 | |||
Net realized gain on futures transactions | 383,973 | 2,160,363 | 3,396,829 | 4,523,657 | |||
Net realized gain | 23,506,834 | 119,905,737 | 133,361,259 | 152,243,823 | |||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (5,954,297) | (21,070,051) | 6,915,090 | 6,553,159 | |||
Change in unrealized appreciation (depreciation) on futures | (17,601) | (11,600) | 94,018 | 106,659 | |||
Net change in unrealized appreciation (depreciation) | (5,971,898) | (21,081,651) | 7,009,108 | 6,659,818 | |||
Net Realized and Unrealized Gain | 17,534,936 | 98,824,086 | 140,370,367 | 158,903,641 | |||
Net Increase in Net Assets Resulting from Operations | $21,627,317 | $114,630,565 | $151,283,885 | $166,348,370 |
STATEMENTS OF CHANGES IN NET ASSETS |
Conservative Allocation Fund | Balanced Allocation Fund | ||||||
For the Year Ended | For the Year Ended | ||||||
12/31/21 | 12/31/20 | 12/31/21 | 12/31/20 | ||||
Operations: | |||||||
Net investment income | $ 4,092,381 | $ 5,934,526 | $ 15,806,479 | $ 15,563,615 | |||
Net realized gain on investment securities and futures transactions | 23,506,834 | 6,610,683 | 119,905,737 | 33,903,584 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (5,971,898) | 21,981,171 | (21,081,651) | 108,766,612 | |||
Net increase in net assets resulting from operations | 21,627,317 | 34,526,380 | 114,630,565 | 158,233,811 | |||
Distributions to Shareholders: | |||||||
Institutional shares | (5,541,335) | (4,154,503) | (27,359,647) | (21,700,422) | |||
Investor shares | (15,001,787) | (11,680,125) | (66,938,989) | (56,015,985) | |||
Total distributions | (20,543,122) | (15,834,628) | (94,298,636) | (77,716,407) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 21,965,761 | 35,450,549 | 41,748,442 | 70,877,243 | |||
Investor shares | 54,732,442 | 69,843,790 | 49,371,634 | 45,976,253 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 5,516,854 | 4,141,914 | 27,265,118 | 21,623,071 | |||
Investor shares | 14,960,820 | 11,659,641 | 66,890,632 | 55,973,918 | |||
Total proceeds from shares sold and reinvested | 97,175,877 | 121,095,894 | 185,275,826 | 194,450,485 | |||
Value of shares redeemed | |||||||
Institutional shares | (16,821,639) | (20,798,028) | (42,703,474) | (45,174,857) | |||
Investor shares | (62,286,281) | (95,489,389) | (120,774,383) | (175,636,915) | |||
Total value of shares redeemed | (79,107,920) | (116,287,417) | (163,477,857) | (220,811,772) | |||
Net increase (decrease) from capital share transactions(1) | 18,067,957 | 4,808,477 | 21,797,969 | (26,361,287) | |||
Total increase in net assets | 19,152,152 | 23,500,229 | 42,129,898 | 54,156,117 | |||
Net Assets: | |||||||
Beginning of Year | 550,854,519 | 527,354,290 | 1,669,742,944 | 1,615,586,827 | |||
End of Year | $570,006,671 | $ 550,854,519 | $1,711,872,842 | $1,669,742,944 |
(1) | See Note 6 in Notes to Financial Statements. |
Growth Allocation Fund | Aggressive Allocation Fund | |||||
For the Year Ended | For the Year Ended | |||||
12/31/21 | 12/31/20 | 12/31/21 | 12/31/20 | |||
$ 10,913,518 | $ 8,233,085 | $ 7,444,729 | $ 3,702,495 | |||
133,361,259 | 32,621,376 | 152,243,823 | 28,183,804 | |||
7,009,108 | 107,653,899 | 6,659,818 | 118,311,745 | |||
151,283,885 | 148,508,360 | 166,348,370 | 150,198,044 | |||
(29,681,445) | (20,043,664) | (24,946,452) | (17,131,829) | |||
(63,097,520) | (43,626,556) | (66,098,585) | (48,458,271) | |||
(92,778,965) | (63,670,220) | (91,045,037) | (65,590,100) | |||
24,402,267 | 80,608,445 | 22,637,067 | 39,151,104 | |||
35,000,220 | 30,062,722 | 24,902,131 | 22,528,095 | |||
29,656,423 | 20,021,280 | 24,928,211 | 17,124,877 | |||
63,050,192 | 43,613,649 | 66,089,225 | 48,453,699 | |||
152,109,102 | 174,306,096 | 138,556,634 | 127,257,775 | |||
(35,615,928) | (39,461,439) | (25,412,801) | (31,600,752) | |||
(90,074,062) | (142,809,402) | (93,175,612) | (119,347,827) | |||
(125,689,990) | (182,270,841) | (118,588,413) | (150,948,579) | |||
26,419,112 | (7,964,745) | 19,968,221 | (23,690,804) | |||
84,924,032 | 76,873,395 | 95,271,554 | 60,917,140 | |||
1,324,305,042 | 1,247,431,647 | 1,140,891,361 | 1,079,974,221 | |||
$1,409,229,074 | $1,324,305,042 | $1,236,162,915 | $1,140,891,361 |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income#(1) | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
Conservative Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $11.97 | $0.11 | $ 0.38 | $ 0.49 | $(0.22) | $(0.25) | $(0.47) | $11.99 | 4.07% | $ 146,436 | 0.15% | 0.15% | 0.92% | 6% |
2020 | 11.52 | 0.16 | 0.67 | 0.83 | (0.20) | (0.18) | (0.38) | 11.97 | 7.17 | 135,681 | 0.15 | 0.15 | 1.35 | 15 |
2019 | 10.87 | 0.25 | 0.95 | 1.20 | (0.27) | (0.28) | (0.55) | 11.52 | 11.01 | 111,611 | 0.13 | 0.13 | 2.19 | 7 |
2018 | 11.47 | 0.23 | (0.45) | (0.22) | (0.37) | (0.01) | (0.38) | 10.87 | (1.90) | 87,409 | 0.17 | 0.17 | 2.01 | 12 |
2017 | 10.88 | 0.16 | 0.64 | 0.80 | (0.05) | (0.16) | (0.21) | 11.47 | 7.33 | 85,482 | 0.19 | 0.19 | 1.40 | 19 |
Investor Class | ||||||||||||||
2021 | $11.97 | $0.08 | $ 0.38 | $ 0.46 | $(0.19) | $(0.25) | $(0.44) | $11.99 | 3.81% | $ 423,571 | 0.40% | 0.40% | 0.65% | 6% |
2020 | 11.52 | 0.13 | 0.67 | 0.80 | (0.17) | (0.18) | (0.35) | 11.97 | 6.92 | 415,174 | 0.40 | 0.40 | 1.09 | 15 |
2019 | 10.87 | 0.21 | 0.96 | 1.17 | (0.24) | (0.28) | (0.52) | 11.52 | 10.73 | 415,743 | 0.39 | 0.39 | 1.86 | 7 |
2018 | 11.47 | 0.20 | (0.44) | (0.24) | (0.35) | (0.01) | (0.36) | 10.87 | (2.13) | 405,512 | 0.40 | 0.40 | 1.76 | 12 |
2017 | 10.88 | 0.13 | 0.64 | 0.77 | (0.02) | (0.16) | (0.18) | 11.47 | 7.11 | 427,485 | 0.42 | 0.42 | 1.19 | 19 |
Balanced Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $12.88 | $0.15 | $ 0.77 | $ 0.92 | $(0.34) | $(0.43) | $(0.77) | $13.03 | 7.17% | $ 481,118 | 0.12% | 0.12% | 1.12% | 19% |
2020 | 12.19 | 0.15 | 1.18 | 1.33 | (0.23) | (0.41) | (0.64) | 12.88 | 11.00 | 450,122 | 0.12 | 0.12 | 1.21 | 15 |
2019 | 11.07 | 0.26 | 1.69 | 1.95 | (0.29) | (0.54) | (0.83) | 12.19 | 17.62 | 377,832 | 0.12 | 0.12 | 2.12 | 9 |
2018 | 12.16 | 0.23 | (0.80) | (0.57) | (0.49) | (0.03) | (0.52) | 11.07 | (4.63) | 296,530 | 0.13 | 0.13 | 1.93 | 13 |
2017 | 11.09 | 0.19 | 1.20 | 1.39 | (0.16) | (0.16) | (0.32) | 12.16 | 12.57 | 334,114 | 0.12 | 0.13 | 1.57 | 19 |
Investor Class | ||||||||||||||
2021 | $12.87 | $0.11 | $ 0.78 | $ 0.89 | $(0.31) | $(0.43) | $(0.74) | $13.02 | 6.92% | $1,230,755 | 0.37% | 0.37% | 0.85% | 19% |
2020 | 12.19 | 0.11 | 1.18 | 1.29 | (0.20) | (0.41) | (0.61) | 12.87 | 10.66 | 1,219,621 | 0.37 | 0.37 | 0.93 | 15 |
2019 | 11.07 | 0.22 | 1.70 | 1.92 | (0.26) | (0.54) | (0.80) | 12.19 | 17.33 | 1,237,755 | 0.38 | 0.38 | 1.79 | 9 |
2018 | 12.16 | 0.20 | (0.80) | (0.60) | (0.46) | (0.03) | (0.49) | 11.07 | (4.89) | 1,164,939 | 0.38 | 0.38 | 1.68 | 13 |
2017 | 11.09 | 0.16 | 1.20 | 1.36 | (0.13) | (0.16) | (0.29) | 12.16 | 12.30 | 1,280,286 | 0.37 | 0.38 | 1.34 | 19 |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Does not include expenses of the investment companies in which the Fund invests. Acquired fund fees and expenses (i.e., the fees and expenses incurred by the underlying funds) for the Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund were 0.51%, 0.61%, 0.70% and 0.76%, respectively for 2021. These acquired fund fees and expenses impact the net asset value of the underlying funds in which each Fund invests, and therefore the effect of the acquired fund fees and expenses are reflected in each Fund's total return. |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income#(1) | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
Growth Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $13.25 | $0.14 | $ 1.42 | $ 1.56 | $(0.40) | $(0.58) | $(0.98) | $13.83 | 11.82% | $440,338 | 0.12% | 0.12% | 0.96% | 17% |
2020 | 12.31 | 0.11 | 1.51 | 1.62 | (0.18) | (0.50) | (0.68) | 13.25 | 13.30 | 404,479 | 0.13 | 0.13 | 0.90 | 15 |
2019 | 11.02 | 0.23 | 2.25 | 2.48 | (0.22) | (0.97) | (1.19) | 12.31 | 22.62 | 312,347 | 0.12 | 0.12 | 1.86 | 10 |
2018 | 12.43 | 0.20 | (1.11) | (0.91) | (0.46) | (0.04) | (0.50) | 11.02 | (7.32) | 244,900 | 0.13 | 0.13 | 1.60 | 9 |
2017 | 10.97 | 0.17 | 1.90 | 2.07 | (0.11) | (0.50) | (0.61) | 12.43 | 18.94 | 279,148 | 0.13 | 0.13 | 1.38 | 17 |
Investor Class | ||||||||||||||
2021 | $13.24 | $0.10 | $ 1.43 | $ 1.53 | $(0.37) | $(0.58) | $(0.95) | $13.82 | 11.56% | $968,891 | 0.38% | 0.38% | 0.71% | 17% |
2020 | 12.31 | 0.07 | 1.51 | 1.58 | (0.15) | (0.50) | (0.65) | 13.24 | 12.96 | 919,826 | 0.38 | 0.38 | 0.61 | 15 |
2019 | 11.02 | 0.19 | 2.26 | 2.45 | (0.19) | (0.97) | (1.16) | 12.31 | 22.33 | 935,085 | 0.38 | 0.38 | 1.51 | 10 |
2018 | 12.42 | 0.17 | (1.10) | (0.93) | (0.43) | (0.04) | (0.47) | 11.02 | (7.50) | 852,723 | 0.38 | 0.38 | 1.35 | 9 |
2017 | 10.97 | 0.14 | 1.89 | 2.03 | (0.08) | (0.50) | (0.58) | 12.42 | 18.59 | 973,237 | 0.37 | 0.37 | 1.14 | 17 |
Aggressive Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $13.06 | $0.12 | $ 1.85 | $ 1.97 | $(0.46) | $(0.65) | $(1.11) | $13.92 | 15.09% | $331,642 | 0.13% | 0.13% | 0.81% | 12% |
2020 | 12.00 | 0.07 | 1.80 | 1.87 | (0.11) | (0.70) | (0.81) | 13.06 | 15.75 | 290,969 | 0.13 | 0.13 | 0.59 | 13 |
2019 | 10.61 | 0.18 | 2.69 | 2.87 | (0.15) | (1.33) | (1.48) | 12.00 | 27.25 | 239,577 | 0.12 | 0.12 | 1.48 | 9 |
2018 | 12.28 | 0.15 | (1.37) | (1.22) | (0.40) | (0.05) | (0.45) | 10.61 | (9.95) | 167,013 | 0.14 | 0.14 | 1.18 | 9 |
2017 | 10.48 | 0.12 | 2.58 | 2.70 | (0.13) | (0.77) | (0.90) | 12.28 | 25.88 | 195,991 | 0.14 | 0.14 | 0.98 | 7 |
Investor Class | ||||||||||||||
2021 | $13.00 | $0.08 | $ 1.85 | $ 1.93 | $(0.42) | $(0.65) | $(1.07) | $13.86 | 14.89% | $904,521 | 0.38% | 0.38% | 0.54% | 12% |
2020 | 11.95 | 0.03 | 1.80 | 1.83 | (0.08) | (0.70) | (0.78) | 13.00 | 15.49 | 849,922 | 0.38 | 0.38 | 0.30 | 13 |
2019 | 10.58 | 0.14 | 2.68 | 2.82 | (0.12) | (1.33) | (1.45) | 11.95 | 26.86 | 840,397 | 0.38 | 0.38 | 1.12 | 9 |
2018 | 12.24 | 0.12 | (1.36) | (1.24) | (0.37) | (0.05) | (0.42) | 10.58 | (10.15) | 742,412 | 0.38 | 0.38 | 0.94 | 9 |
2017 | 10.46 | 0.09 | 2.57 | 2.66 | (0.11) | (0.77) | (0.88) | 12.24 | 25.49 | 864,508 | 0.38 | 0.38 | 0.75 | 7 |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Does not include expenses of the investment companies in which the Fund invests. Acquired fund fees and expenses (i.e., the fees and expenses incurred by the underlying funds) for the Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund were 0.51%, 0.61%, 0.70% and 0.76%, respectively for 2021. These acquired fund fees and expenses impact the net asset value of the underlying funds in which each Fund invests, and therefore the effect of the acquired fund fees and expenses are reflected in each Fund's total return. |
% | |
Agency Obligations | 41.2 |
Repurchase Agreements | 30.9 |
U.S. Treasury Obligations | 30.3 |
Money Market Funds | —** |
102.4 | |
**Rounds to less than 0.05% |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 0.00% | 0.00% | 0.04% | ||||
Five Year | 1.01% | 0.82% | 1.08% | ||||
Ten Year | 0.55% | 0.42% | 0.58% | ||||
Since Inception | 1.32% | 1.19% | 1.25% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.15% | 0.42% |
Yield as of 12/31/21(2) | |||||
Institutional Class* | Investor Class* | ||||
7-Day Annualized Yield (Net) | 0.00% | 0.00% | |||
7-Day Annualized Yield (Gross) | 0.00% | 0.00% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
(2) | Yield for the Money Market Fund represents the annualization of the Fund’s declared dividends over the period indicated, excluding capital gains distributions. The yield more closely reflects the current earnings of the Fund than the total return. Gross Yield reflects the yield without expenses. |
Par | Value | |||
AGENCY OBLIGATIONS — 41.2% | ||||
Federal Farm Credit Bank Discount Notes | ||||
0.05%, 01/07/22 | $ 3,165,000 | $ 3,164,974 | ||
0.00%, 01/19/22 | 5,300,000 | 5,299,788 | ||
0.08%, 01/28/22 | 4,640,000 | 4,639,721 | ||
0.05%, 01/31/22 | 5,480,000 | 5,479,772 | ||
0.05%, 03/03/22 | 16,000,000 | 15,998,644 | ||
0.05%, 04/19/22 | 11,940,000 | 11,938,209 | ||
0.06%, 06/21/22 | 8,075,000 | 8,072,699 | ||
Federal Farm Credit Banks Funding Corporation | ||||
(Floating, U.S. SOFR + 0.18%), 0.23%, 01/14/22† | 6,170,000 | 6,170,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.12%), 0.21%, 05/02/22† | 2,100,000 | 2,099,958 | ||
(Floating, U.S. SOFR + 0.19%), 0.24%, 07/14/22† | 4,580,000 | 4,580,000 | ||
(Floating, U.S. Federal Funds + 0.18%), 0.26%, 07/20/22† | 16,000,000 | 15,999,132 | ||
0.07%, 08/10/22 | 22,505,000 | 22,504,318 | ||
(Floating, U.S. SOFR + 0.05%), 0.10%, 09/08/22† | 9,530,000 | 9,530,990 | ||
(Floating, U.S. SOFR + 0.06%), 0.11%, 10/21/22† | 13,335,000 | 13,335,000 | ||
(Floating, U.S. SOFR + 0.08%), 0.13%, 11/03/22† | 7,810,000 | 7,810,000 | ||
(Floating, U.S. SOFR + 0.03%), 0.08%, 01/12/23† | 15,770,000 | 15,769,178 | ||
(Floating, U.S. SOFR + 0.05%), 0.10%, 02/17/23† | 7,350,000 | 7,350,000 | ||
(Floating, U.S. SOFR + 0.05%), 0.10%, 08/22/23† | 9,040,000 | 9,040,000 | ||
(Floating, U.S. SOFR + 0.05%), 0.10%, 09/28/23† | 6,010,000 | 6,010,000 | ||
(Floating, U.S. SOFR + 0.06%), 0.11%, 11/22/23† | 11,060,000 | 11,060,000 | ||
Federal Home Loan Bank | ||||
0.04%, 01/12/22 | 16,035,000 | 16,034,947 | ||
(Floating, U.S. SOFR + 0.02%), 0.07%, 01/12/22† | 40,000,000 | 40,000,000 | ||
0.04%, 01/28/22 | 23,190,000 | 23,189,812 | ||
0.05%, 01/28/22 | 8,535,000 | 8,534,995 | ||
0.04%, 02/01/22 | 14,850,000 | 14,849,859 | ||
0.05%, 02/07/22 | 4,150,000 | 4,149,995 | ||
(Floating, U.S. SOFR + 0.12%), 0.17%, 02/28/22† | 8,240,000 | 8,240,000 | ||
0.06%, 03/22/22 | 15,455,000 | 15,454,914 | ||
(Floating, U.S. SOFR + 0.01%), 0.06%, 03/28/22† | 1,310,000 | 1,310,000 | ||
(Floating, U.S. SOFR + 0.01%), 0.06%, 03/30/22† | 2,090,000 | 2,090,000 | ||
(Floating, U.S. SOFR + 0.07%), 0.12%, 04/28/22† | 2,565,000 | 2,565,000 | ||
0.06%, 05/23/22 | 7,640,000 | 7,639,836 | ||
(Floating, U.S. SOFR + 0.01%), 0.06%, 09/06/22† | 9,525,000 | 9,525,000 |
Par | Value | |||
(Floating, U.S. SOFR + 0.02%), 0.07%, 12/16/22† | $ 19,240,000 | $ 19,240,000 | ||
Federal Home Loan Bank Discount Notes | ||||
0.04%, 01/12/22 | 17,290,000 | 17,289,789 | ||
0.04%, 01/14/22 | 4,990,000 | 4,989,919 | ||
0.05%, 02/08/22 | 4,165,000 | 4,164,780 | ||
0.05%, 02/14/22 | 31,585,000 | 31,582,969 | ||
0.00%, 02/15/22 | 12,590,000 | 12,589,292 | ||
0.05%, 02/16/22 | 28,770,000 | 28,768,346 | ||
0.05%, 02/18/22 | 11,715,000 | 11,714,219 | ||
0.05%, 03/02/22 | 24,205,000 | 24,203,023 | ||
0.04%, 03/08/22 | 37,065,000 | 37,062,155 | ||
0.04%, 03/11/22 | 1,380,000 | 1,379,881 | ||
0.04%, 03/15/22 | 22,015,000 | 22,013,214 | ||
0.05%, 03/18/22 | 31,015,000 | 31,012,119 | ||
0.04%, 04/01/22 | 5,925,000 | 5,924,348 | ||
0.06%, 04/22/22 | 18,965,000 | 18,961,725 | ||
Federal Home Loan Mortgage Corporation | ||||
(Floating, U.S. SOFR + 0.20%), 0.25%, 03/11/22† | 5,330,000 | 5,330,000 | ||
(Floating, U.S. SOFR + 0.19%), 0.24%, 06/02/22† | 8,900,000 | 8,900,000 | ||
0.13%, 07/25/22 | 6,835,000 | 6,836,696 | ||
(Floating, U.S. SOFR + 0.07%), 0.12%, 11/10/22† | 5,065,000 | 5,065,000 | ||
Federal National Mortgage Association | ||||
(Floating, U.S. SOFR + 0.35%), 0.40%, 04/07/22† | 7,655,000 | 7,655,000 | ||
(Floating, U.S. SOFR + 0.39%), 0.44%, 04/15/22† | 8,775,000 | 8,775,000 | ||
Federal National Mortgage Association Discount Note | ||||
0.05%, 03/02/22 | 7,695,000 | 7,694,359 | ||
Total Agency Obligations (Cost $660,588,575) | 660,588,575 | |||
U.S. TREASURY OBLIGATIONS — 30.3% | ||||
U.S. Cash Management Bill | ||||
0.07%, 04/05/22 | 2,760,000 | 2,759,472 | ||
0.10%, 04/26/22 | 18,540,000 | 18,533,485 | ||
0.12%, 05/03/22 | 37,995,000 | 37,979,320 | ||
59,272,277 | ||||
U.S. Treasury Bills | ||||
0.05%, 02/08/22Ω | 2,225,000 | 2,224,894 | ||
0.05%, 03/01/22Ω | 15,881,100 | 15,879,741 | ||
0.04%, 03/03/22Ω | 105,610,000 | 105,601,053 | ||
0.05%, 03/10/22Ω | 98,090,700 | 98,079,689 | ||
0.05%, 03/24/22Ω | 12,760,000 | 12,757,820 | ||
0.08%, 03/31/22Ω | 35,500,000 | 35,492,540 | ||
0.12%, 06/16/22Ω | 32,335,000 | 32,315,617 |
Par | Value | |||
0.15%, 06/23/22Ω | $28,860,000 | $ 28,839,149 | ||
0.21%, 06/30/22Ω | 15,035,000 | 15,019,213 | ||
0.07%, 09/08/22Ω | 6,810,000 | 6,806,453 | ||
0.39%, 12/29/22Ω | 3,295,000 | 3,282,078 | ||
356,298,247 | ||||
U.S. Treasury Floating Rate Notes | ||||
(Floating, U.S. Treasury 3M Bill MMY + 0.06%), 0.15%, 07/31/22† | 19,672,100 | 19,672,100 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.05%), 0.14%, 01/31/23† | 17,000,000 | 17,001,211 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.04%), 0.13%, 10/31/23† | 10,000,000 | 10,000,000 | ||
46,673,311 | ||||
U.S. Treasury Notes | ||||
1.38%, 01/31/22 | 18,285,000 | 18,304,691 | ||
1.75%, 02/28/22 | 420,000 | 421,107 | ||
0.38%, 03/31/22 | 420,000 | 420,288 | ||
2.13%, 05/15/22 | 3,040,000 | 3,062,921 | ||
1.75%, 06/15/22 | 360,000 | 362,731 | ||
0.13%, 06/30/22 | 1,350,000 | 1,350,360 | ||
23,922,098 | ||||
Total U.S. Treasury Obligations (Cost $486,165,933) | 486,165,933 |
Shares | |||
MONEY MARKET FUNDS — 0.0% | |||
Northern Institutional Funds - U.S. Government Select Portfolio (Shares), 0.01%Ø (Cost $231,311) | 231,311 | 231,311 |
Par | |||
REPURCHASE AGREEMENTS — 30.9% | |||
Bank of Nova Scotia | |||
0.05% (dated 12/31/2021, due 01/03/2022, repurchase price $65,000,271, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.125% to 2.750%, due 11/15/2023 to 02/15/2050, total market value$66,300,341) | $65,000,000 | 65,000,000 | |
BNP Paribas | |||
0.05% (dated 12/31/2021, due 01/03/2022, repurchase price $18,000,075, collateralized by Federal National Mortgage Association, Government National Mortgage Association, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 4.500%, due 03/15/2022 to 04/01/2051, total market value $18,360,150) | 18,000,000 | 18,000,000 |
Par | Value | |||
0.05% (dated 12/31/2021, due 01/03/2022, repurchase price $50,000,208, collateralized by U.S. Treasury Bills, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 2.750%, due 01/27/2022 to 11/15/2037, total market value $51,000,067) | $50,000,000 | $50,000,000 | ||
Citigroup Global Markets, Inc. | ||||
0.06% (dated 12/31/2021, due 01/03/2022, repurchase price $58,000,290, collateralized by Government National Mortgage Association, 2.500% to 4.000%, due 11/20/2050 to 12/20/2050, total market value $59,160,614) | 58,000,000 | 58,000,000 | ||
Goldman Sachs & Co. | ||||
0.05% (dated 12/31/2021, due 01/03/2022, repurchase price $50,000,208, collateralized by Government National Mortgage Association, 2.000% to 6.000%, due 02/20/2034 to 11/15/2056, total market value $51,000,000) | 50,000,000 | 50,000,000 | ||
Mitsubishi UFJ Securities USA, Inc. | ||||
0.06% (dated 12/31/2021, due 01/03/2022, repurchase price $70,000,321, collateralized by Government National Mortgage Association, 2.500% to 5.500%, due 10/15/2039 to 06/20/2051, total market value $71,400,000) | 70,000,000 | 70,000,000 | ||
Mizuho Securities USA, Inc. | ||||
0.05% (dated 12/31/2021, due 01/03/2022, repurchase price $65,000,271, collateralized by U.S. Treasury Notes, 0.750% to 2.875%, due 01/31/2023 to 05/15/2028, total market value $66,300,003) | 65,000,000 | 65,000,000 | ||
Natixis S.A. | ||||
0.05% (dated 12/31/2021, due 01/03/2022, repurchase price $70,000,292, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.125% to 2.875%, due 06/30/2022 to 02/15/2041, total market value $71,400,089) | 70,000,000 | 70,000,000 |
Par | Value | |||
TD Securities USA LLC | ||||
0.05% (dated 12/31/2021, due 01/03/2022, repurchase price $50,000,208, collateralized by U.S. Treasury Notes, 2.000%, due 06/30/2024, total market value $51,000,028) | $50,000,000 | $ 50,000,000 | ||
Total Repurchase Agreements (Cost $496,000,000) | 496,000,000 | |||
TOTAL INVESTMENTS —102.4% (Cost $1,642,985,819) | 1,642,985,819 | |||
Liabilities in Excess of Other Assets — (2.4)% | (39,124,036) | |||
NET ASSETS — 100.0% | $1,603,861,783 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 660,588,575 | $ — | $ 660,588,575 | $ — | |||
Money Market Funds | 231,311 | 231,311 | — | — | |||
Repurchase Agreements | 496,000,000 | — | 496,000,000 | — | |||
U.S. Treasury Obligations | 486,165,933 | — | 486,165,933 | — | |||
Total Assets - Investments in Securities | $1,642,985,819 | $231,311 | $1,642,754,508 | $ — |
% | |
U.S. Treasury Obligations | 27.4 |
Corporate Bonds | 19.5 |
Asset-Backed Securities | 17.0 |
Foreign Bonds | 16.5 |
Mortgage-Backed Securities | 15.9 |
Money Market Funds | 3.5 |
Agency Obligations | 2.6 |
Municipal Bonds | 0.1 |
Written Options | —** |
102.5 | |
**Rounds to less than 0.05% |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (0.40%) | (0.65%) | (0.60%) | ||||
Five Year | 2.00% | 1.74% | 1.60% | ||||
Ten Year | 1.80% | 1.55% | 1.08% | ||||
Since Inception | 2.76% | 2.58% | 2.26% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.36% | 0.63% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Par | Value | |||
AGENCY OBLIGATIONS — 2.6% | ||||
Federal Home Loan Bank | ||||
0.90%, 02/26/27 | $3,300,000 | $ 3,217,678 | ||
0.92%, 02/26/27 | 3,300,000 | 3,227,762 | ||
Federal Home Loan Mortgage Corporation | ||||
0.80%, 10/27/26 | 3,000,000 | 2,925,018 | ||
0.80%, 10/28/26 | 4,000,000 | 3,903,934 | ||
Federal National Mortgage Association | ||||
0.70%, 07/30/25 | 6,000,000 | 5,908,443 | ||
0.88%, 12/18/26 | 8,700,000 | 8,509,556 | ||
Total Agency Obligations (Cost $28,297,315) | 27,692,391 | |||
ASSET-BACKED SECURITIES — 17.0% | ||||
ACRES Commercial Realty, Ltd., Series 2021-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.40%, 1.40% Floor), 1.49%, 01/15/37 144A † | 240,000 | 240,965 | ||
AIMCO CLO, Series 2017-AA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 1.18%, 04/20/34 144A † | 1,000,000 | 996,698 | ||
Ally Auto Receivables Trust, Series 2019-3, Class A3 | ||||
1.93%, 05/15/24 | 494,952 | 497,827 | ||
American Express Credit Account Master Trust, Series 2021-1, Class A | ||||
0.90%, 11/15/26 | 3,220,000 | 3,206,585 | ||
AmeriCredit Automobile Receivables Trust, Series 2020-2, Class B | ||||
0.97%, 02/18/26 | 180,000 | 180,340 | ||
AMMC CLO XIII, Ltd., Series 2013-13A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.05%), 1.17%, 07/24/29 144A † | 2,000,000 | 1,999,442 | ||
AMSR Trust, Series 2020-SFR5, Class A | ||||
1.38%, 11/17/37 144A | 1,350,000 | 1,323,197 | ||
Anchorage Capital CLO 7, Ltd., Series 2015-7A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 2.20%, 2.20% Floor), 2.34%, 01/28/31 144A † | 450,000 | 450,030 | ||
Apidos CLO XXI, Series 2015-21A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.93%, 0.93% Floor), 1.05%, 07/18/27 144A † | 1,323,400 | 1,324,063 | ||
Apidos CLO XXII, Series 2015-22A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.50%), 1.63%, 04/20/31 144A † | 250,000 | 249,087 |
Par | Value | |||
Arbor Realty Commercial Real Estate Notes, Ltd., Series 2021-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.21%, 05/15/36 144A † | $2,350,000 | $2,353,819 | ||
Arbor Realty Commercial Real Estate Notes, Ltd., Series 2021-FL4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 1.44%, 11/15/36 144A † | 580,000 | 581,856 | ||
Ares LVI CLO, Ltd., Series 2020-56A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.16%, 1.16% Floor), 1.29%, 10/25/34 144A † | 250,000 | 250,125 | ||
Barings CLO, Ltd., Series 2013-IA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 0.93%, 01/20/28 144A † | 957,826 | 957,448 | ||
BDS, Ltd., Series 2020-FL5, Class A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.26%, 1.15% Floor), 1.31%, 02/16/37 144A † | 750,000 | 751,133 | ||
BDS, Ltd., Series 2021-FL10, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 1.45%, 12/18/36 144A † | 585,000 | 586,868 | ||
BDS, Ltd., Series 2021-FL7, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.07%, 1.07% Floor), 1.18%, 06/16/36 144A † | 1,450,000 | 1,446,979 | ||
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE7, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 1.10%, 10/25/37† | 69,343 | 69,418 | ||
Bear Stearns Asset Backed Securities Trust, Series 2004-SD1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor, 11.00% Cap), 1.00%, 12/25/42† | 8,555 | 8,551 | ||
Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A2R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.45%, 1.45% Floor), 1.57%, 07/15/29 144A † | 300,000 | 299,839 | ||
BMW Canada Auto Trust, Series 2021-1A, Class A2 | ||||
0.50%, 07/20/24(C) 144A | 1,500,000 | 1,176,408 | ||
BRSP, Ltd., Series 2021-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.25%, 08/19/38 144A † | 2,600,000 | 2,595,705 | ||
BSPRT Issuer, Ltd., Series 2018-FL4 , Class AS | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.41%, 09/15/35 144A † | 1,520,000 | 1,521,736 |
Par | Value | |||
BSPRT Issuer, Ltd., Series 2021-FL7, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.32%, 1.32% Floor), 1.42%, 12/15/38 144A † | $ 290,000 | $ 290,415 | ||
CARS-DB4 LP, Series 2020-1A, Class A1 | ||||
2.69%, 02/15/50 144A | 314,629 | 318,822 | ||
CARS-DB5 LP, Series 2021-1A, Class A1 | ||||
1.44%, 08/15/51 144A | 1,995,599 | 1,968,151 | ||
Cedar Funding VI CLO, Ltd., Series 2016-6A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 1.18%, 04/20/34 144A † | 1,490,000 | 1,488,513 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class B | ||||
3.11%, 04/15/31 144A | 240,000 | 241,691 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class C | ||||
3.36%, 04/15/31 144A | 230,000 | 231,722 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class D | ||||
3.80%, 04/15/31 144A | 370,000 | 373,209 | ||
Chesapeake Funding II LLC, Series 2020-1A, Class B | ||||
1.24%, 08/16/32 144A | 100,000 | 100,289 | ||
CIFC Funding 2015-II, Ltd., Series 2015-2A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.01%, 1.01% Floor), 1.13%, 04/15/30 144A † | 1,000,000 | 999,750 | ||
CIFC Funding, Ltd., Series 2018-3A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 1.22%, 07/18/31 144A † | 500,000 | 499,224 | ||
CIFC Funding, Ltd., Series 2021-5A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.14%, 1.14% Floor), 1.26%, 07/15/34 144A † | 250,000 | 249,986 | ||
CLNC, Ltd., Series 2019-FL1, Class A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.36%, 1.25% Floor), 1.41%, 08/20/35 144A † | 1,290,000 | 1,294,087 | ||
CNH Capital Canada Receivables Trust, Series 2021-1A, Class A1 | ||||
0.39%, 03/15/24(C) 144A | 579,182 | 457,778 | ||
CNH Equipment Trust, Series 2018-B, Class A3 | ||||
3.19%, 11/15/23 | 196,404 | 198,065 | ||
College Ave Student Loans LLC, Series 2021-B, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.90%, 06/25/52 144A † | 243,197 | 243,785 | ||
College Ave Student Loans LLC, Series 2021-C, Class B | ||||
2.72%, 07/26/55 144A | 100,000 | 100,582 |
Par | Value | |||
Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A | ||||
2.38%, 11/15/28 144A | $ 512,131 | $ 516,747 | ||
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A | ||||
2.01%, 02/15/29 144A | 1,290,000 | 1,300,463 | ||
Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A | ||||
1.37%, 07/16/29 144A | 300,000 | 301,084 | ||
Credit Acceptance Auto Loan Trust, Series 2021-2A, Class A | ||||
0.96%, 02/15/30 144A | 800,000 | 795,689 | ||
CSAB Mortgage-Backed Trust, Series 2006-2, Class A6A | ||||
(Step to 6.22% on 02/25/36), 6.22%, 09/25/36 STEP | 256,353 | 119,907 | ||
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor), 0.64%, 12/25/34† | 663,185 | 651,007 | ||
DataBank Issuer, Series 2021-1A, Class A2 | ||||
2.06%, 02/27/51 144A | 650,000 | 639,000 | ||
DataBank Issuer, Series 2021-2A, Class A2 | ||||
2.40%, 10/25/51 144A | 1,200,000 | 1,190,869 | ||
Dewolf Park CLO, Ltd., Series 2017-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.92%, 0.90% Floor), 1.04%, 10/15/30 144A † | 2,950,000 | 2,946,918 | ||
Diamond Infrastructure Funding LLC, Series 2021-1A, Class A | ||||
1.76%, 04/15/49 144A | 1,650,000 | 1,613,747 | ||
Diamond Issuer, Series 2021-1A, Class A | ||||
2.31%, 11/20/51 144A | 1,750,000 | 1,731,915 | ||
Drive Auto Receivables Trust, Series 2020-1, Class C | ||||
2.36%, 03/16/26 | 850,000 | 856,879 | ||
Drive Auto Receivables Trust, Series 2020-2, Class B | ||||
1.42%, 03/17/25 | 400,000 | 401,042 | ||
Drive Auto Receivables Trust, Series 2021-1, Class B | ||||
0.65%, 07/15/25 | 1,650,000 | 1,648,016 | ||
Drive Auto Receivables Trust, Series 2021-3, Class B | ||||
1.11%, 05/15/26 | 1,350,000 | 1,332,330 | ||
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 1.17%, 04/20/34 144A † | 1,000,000 | 995,720 | ||
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 1.02%, 04/15/29 144A † | 969,662 | 970,001 |
Par | Value | |||
EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A | ||||
3.58%, 11/25/38 144A | $ 248,332 | $ 254,428 | ||
EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A | ||||
1.80%, 11/25/45 144A | 84,108 | 82,884 | ||
Elevation CLO, Ltd., Series 2017-7A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.22%), 1.34%, 07/15/30 144A † | 1,500,000 | 1,501,607 | ||
ELFI Graduate Loan Program LLC, Series 2021-A, Class A | ||||
1.53%, 12/26/46 144A | 4,583,877 | 4,557,139 | ||
Elmwood CLO II, Ltd., Series 2019-2A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 1.28%, 04/20/34 144A † | 1,700,000 | 1,700,847 | ||
Fairstone Financial Issuance Trust I, Series 2020-1A, Class A | ||||
2.51%, 10/20/39(C) 144A | 460,000 | 363,953 | ||
FHLMC Structured Pass-Through Certificates, Series T-32, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.26%, 0.26% Floor), 0.36%, 08/25/31† | 179,598 | 175,821 | ||
FirstKey Homes Trust, Series 2020-SFR2, Class A | ||||
1.27%, 10/19/37 144A | 4,686,630 | 4,574,032 | ||
Flexential Issuer, Series 2021-1A, Class A2 | ||||
3.25%, 11/27/51 144A | 1,250,000 | 1,250,774 | ||
Ford Auto Securitization Trust, Series 2020-AA, Class A2 | ||||
0.89%, 08/15/24(C) 144A | 2,668,982 | 2,112,008 | ||
Ford Credit Auto Lease Trust, Series 2020-A, Class B | ||||
2.05%, 06/15/23 | 1,010,000 | 1,017,470 | ||
FS RIALTO, Series 2021-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.22%, 1.22% Floor), 1.33%, 04/16/28 144A † | 270,000 | 269,884 | ||
FS Rialto, Series 2021-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 1.36%, 11/16/36 144A † | 515,000 | 515,511 | ||
GM Financial Automobile Leasing Trust, Series 2020-1, Class A3 | ||||
1.67%, 12/20/22 | 1,584,224 | 1,587,528 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class B | ||||
2.03%, 04/16/25 | 390,000 | 395,613 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class C | ||||
2.18%, 05/16/25 | 300,000 | 304,541 |
Par | Value | |||
GMF Canada Leasing Trust, Series 2020-1A, Class A2 | ||||
0.91%, 07/20/23(C) 144A | $1,954,312 | $1,546,725 | ||
GMF Canada Leasing Trust, Series 2020-1A, Class A3 | ||||
1.05%, 11/20/25(C) 144A | 1,690,000 | 1,337,137 | ||
GMF Canada Leasing Trust, Series 2021-1A, Class A2 | ||||
0.64%, 03/20/24(C) 144A | 2,000,000 | 1,576,711 | ||
GMF Floorplan Owner Revolving Trust, Series 2019-2, Class A | ||||
2.90%, 04/15/26 144A | 2,000,000 | 2,074,177 | ||
Goldentree Loan Management U.S. CLO 1, Ltd., Series 2017-1A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.02%, 1.02% Floor), 1.15%, 04/20/34 144A † | 348,000 | 346,086 | ||
GoodLeap Sustainable Home Solutions Trust, Series 2021-4GS, Class A | ||||
1.93%, 07/20/48 144A | 208,330 | 205,850 | ||
GPMT, Ltd., Series 2021-FL4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 1.45%, 12/15/36 144A † | 500,000 | 500,419 | ||
GreatAmerica Leasing Receivables Funding LLC, Series 2019-1, Class A3 | ||||
3.05%, 09/15/22 144A | 143,456 | 143,806 | ||
GreatAmerica Leasing Receivables Funding LLC, Series 2021-1, Class A3 | ||||
0.34%, 08/15/24 144A | 1,100,000 | 1,090,879 | ||
Greystone CRE Notes, Ltd., Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 1.29%, 09/15/37 144A † | 1,770,000 | 1,774,380 | ||
Gulf Stream Meridian 4, Ltd., Series 2021-4A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 1.32%, 07/15/34 144A † | 900,000 | 900,603 | ||
Harley-Davidson Motorcycle Trust, Series 2020-A, Class A3 | ||||
1.87%, 10/15/24 | 430,410 | 433,084 | ||
Hertz Vehicle Financing LLC, Series 2021-1A, Class A | ||||
1.21%, 12/26/25 144A | 1,700,000 | 1,685,794 | ||
Honda Auto Receivables Owner Trust, Series 2021-4, Class A3 | ||||
0.88%, 01/21/26 | 520,000 | 520,991 | ||
Hyundai Auto Receivables Trust, Series 2021-C, Class A3 | ||||
0.74%, 05/15/26 | 610,000 | 606,823 | ||
ITE Rail Fund Levered LP, Series 2021-3, Class A | ||||
2.21%, 06/28/51 144A | 1,562,470 | 1,568,173 |
Par | Value | |||
Kubota Credit Owner Trust, Series 2020-2A, Class A3 | ||||
0.59%, 10/15/24 144A | $1,520,000 | $1,515,945 | ||
LCCM Trust, Series 2021-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%, 1.20% Floor), 1.31%, 12/13/38 144A † | 1,600,000 | 1,596,931 | ||
LCM XX LP, Series 20A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.04%), 1.17%, 10/20/27 144A † | 630,096 | 630,084 | ||
Lendmark Funding Trust, Series 2019-2A, Class A | ||||
2.78%, 04/20/28 144A | 350,000 | 355,028 | ||
Lendmark Funding Trust, Series 2021-1A, Class A | ||||
1.90%, 11/20/31 144A | 280,000 | 277,699 | ||
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 1.24%, 05/15/28 144A † | 131,923 | 131,923 | ||
LoanCore Issuer, Ltd., Series 2021-CRE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.41%, 07/15/36 144A † | 2,490,000 | 2,489,741 | ||
LoanCore Issuer, Ltd., Series 2021-CRE6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.41%, 11/15/38 144A † | 300,000 | 301,135 | ||
Madison Park Funding XIII, Ltd., Series 2014-13A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.90%), 2.02%, 04/19/30 144A † | 400,000 | 399,558 | ||
Madison Park Funding XIX, Ltd., Series 2015-19A, Class A2R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.50%, 1.50% Floor), 1.63%, 01/22/28 144A † | 600,000 | 597,772 | ||
Madison Park Funding XVII, Ltd., Series 2015-17A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.13%, 07/21/30 144A † | 4,300,000 | 4,295,939 | ||
Magnetite VII, Ltd., Series 2012-7A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%), 0.92%, 01/15/28 144A † | 2,833,823 | 2,831,852 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 0.98%, 0.98% Floor), 1.10%, 04/15/31 144A † | 530,000 | 530,313 | ||
Mariner Finance Issuance Trust, Series 2019-AA, Class A | ||||
2.96%, 07/20/32 144A | 308,000 | 311,798 |
Par | Value | |||
Mariner Finance Issuance Trust, Series 2020-AA, Class A | ||||
2.19%, 08/21/34 144A | $ 140,000 | $ 141,006 | ||
Mariner Finance Issuance Trust, Series 2021-AA, Class A | ||||
1.86%, 03/20/36 144A | 110,000 | 108,326 | ||
MBarc Credit Canada, Inc., Series 2021-AA, Class A2 | ||||
0.63%, 05/15/24(C) 144A | 1,700,000 | 1,335,272 | ||
MF1, Ltd., Series 2021-FL6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.21%, 07/16/36 144A † | 1,300,000 | 1,296,460 | ||
Mill City Mortgage Loan Trust, Series 2016-1, Class A1 | ||||
2.50%, 04/25/57 144A | 27,601 | 27,617 | ||
MMAF Equipment Finance LLC, Series 2020-BA, Class A3 | ||||
0.49%, 08/14/25 144A | 1,360,000 | 1,346,978 | ||
Navient Private Education Loan Trust, Series 2020-IA, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 1.11%, 04/15/69 144A † | 1,849,498 | 1,861,998 | ||
Navient Private Education Refinancing Loan Trust, Series 2019-CA, Class A2 | ||||
3.13%, 02/15/68 144A | 253,650 | 258,699 | ||
Navient Private Education Refinancing Loan Trust, Series 2019-EA, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.92%), 1.03%, 05/15/68 144A † | 469,542 | 472,200 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-A, Class A2A | ||||
2.46%, 11/15/68 144A | 587,964 | 599,841 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.90%), 1.01%, 11/15/68 144A † | 97,994 | 98,748 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-DA, Class A | ||||
1.69%, 05/15/69 144A | 912,991 | 914,046 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-FA, Class A | ||||
1.22%, 07/15/69 144A | 411,200 | 410,493 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-HA, Class A | ||||
1.31%, 01/15/69 144A | 1,425,174 | 1,420,055 | ||
Navient Private Education Refinancing Loan Trust, Series 2021-A, Class A | ||||
0.84%, 05/15/69 144A | 574,662 | 567,906 |
Par | Value | |||
Navient Private Education Refinancing Loan Trust, Series 2021-CA, Class A | ||||
1.06%, 10/15/69 144A | $1,529,257 | $1,507,914 | ||
Navient Private Education Refinancing Loan Trust, Series 2021-DA, Class A | ||||
(Floating, Prime Rate U.S. - 1.99%), 1.26%, 04/15/60 144A † | 550,226 | 550,162 | ||
Navient Private Education Refinancing Loan Trust, Series 2021-FA, Class A | ||||
1.11%, 02/18/70 144A | 1,637,522 | 1,622,928 | ||
Navient Student Loan Trust, Series 2016-6A, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%), 0.85%, 03/25/66 144A † | 511,658 | 512,672 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 1.15%, 12/27/66 144A † | 839,585 | 847,183 | ||
Navient Student Loan Trust, Series 2017-5A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 0.90%, 07/26/66 144A † | 850,750 | 855,289 | ||
Navient Student Loan Trust, Series 2018-EA, Class A2 | ||||
4.00%, 12/15/59 144A | 69,434 | 71,163 | ||
Navient Student Loan Trust, Series 2019-BA, Class A2A | ||||
3.39%, 12/15/59 144A | 310,928 | 320,564 | ||
Nelnet Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 0.90%, 09/25/65 144A † | 804,872 | 804,181 | ||
Nelnet Student Loan Trust, Series 2021-A, Class APT2 | ||||
1.36%, 04/20/62 144A | 801,575 | 787,292 | ||
Nelnet Student Loan Trust, Series 2021-BA, Class AFX | ||||
1.42%, 04/20/62 144A | 755,314 | 745,405 | ||
Nelnet Student Loan Trust, Series 2021-CA, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 0.74%), 0.84%, 04/20/62 144A † | 607,407 | 609,594 | ||
Nelnet Student Loan Trust, Series 2021-DA, Class AFX | ||||
1.63%, 04/20/62 144A | 650,983 | 648,710 | ||
Neuberger Berman CLO XVI-S, Ltd., Series 2017-16SA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 1.16%, 04/15/34 144A † | 1,145,000 | 1,143,020 |
Par | Value | |||
Neuberger Berman Loan Advisers CLO, Ltd., Series 2017-26A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.92%, 0.92% Floor), 1.07%, 10/18/30 144A † | $ 680,000 | $ 680,340 | ||
Neuberger Berman Loan Advisers CLO, Ltd., Series 2019-33A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%, 1.08% Floor), 1.20%, 10/16/33 144A † | 3,450,000 | 3,450,307 | ||
NLY Commercial Mortgage Trust, Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.41%, 02/15/36 144A † | 202,346 | 202,458 | ||
OCP CLO, Ltd., Series 2017-13A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.55%, 1.55% Floor), 1.67%, 07/15/30 144A † | 900,000 | 900,544 | ||
OCP CLO, Ltd., Series 2020-19A, Class BR | ||||
(Floating, ICE LIBOR USD 3M + 1.70%, 1.70% Floor), 1.83%, 10/20/34 144A † | 250,000 | 249,957 | ||
Octagon Investment Partners 36, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.97%), 1.09%, 04/15/31 144A † | 500,000 | 497,824 | ||
OHA Credit Funding 2, Ltd., Series 2019-2A , Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 1.28%, 04/21/34 144A † | 750,000 | 750,031 | ||
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A | ||||
3.43%, 12/16/24 144A | 34,056 | 34,065 | ||
Onemain Financial Issuance Trust, Series 2018-1A, Class A | ||||
3.30%, 03/14/29 144A | 61,483 | 61,531 | ||
OZLM Funding IV, Ltd., Series 2013-4A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 1.38%, 10/22/30 144A † | 981,167 | 981,178 | ||
Palmer Square CLO, Ltd., Series 2013-2A, Class A1A3 | ||||
(Floating, ICE LIBOR USD 3M + 1.00%, 1.00% Floor), 1.12%, 10/17/31 144A † | 250,000 | 249,701 | ||
Palmer Square CLO, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.03%, 1.03% Floor), 1.15%, 04/18/31 144A † | 1,550,000 | 1,550,347 |
Par | Value | |||
Palmer Square Loan Funding, Ltd., Series 2020-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 0.96%, 02/20/28 144A † | $ 560,835 | $ 560,565 | ||
PFS Financing Corp, Series 2020-B, Class A | ||||
1.21%, 06/15/24 144A | 1,500,000 | 1,504,911 | ||
PFS Financing Corporation, Series 2019-A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 0.66%, 04/15/24 144A † | 390,000 | 390,414 | ||
PFS Financing Corporation, Series 2019-A, Class A2 | ||||
2.86%, 04/15/24 144A | 1,500,000 | 1,510,124 | ||
PFS Financing Corporation, Series 2020-F, Class A | ||||
0.93%, 08/15/24 144A | 684,000 | 685,650 | ||
PFS Financing Corporation, Series 2020-G, Class A | ||||
0.97%, 02/15/26 144A | 330,000 | 328,341 | ||
PFS Financing Corporation, Series 2021-A, Class A | ||||
0.71%, 04/15/26 144A | 230,000 | 226,957 | ||
Prodigy Finance CM DAC, Series 2021-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%), 1.35%, 07/25/51 144A † | 198,674 | 198,761 | ||
Progress Residential Trust, Series 2021-SFR10, Class A | ||||
2.39%, 12/17/38 144A | 152,000 | 153,236 | ||
Regional Management Issuance Trust, Series 2020-1, Class A | ||||
2.34%, 10/15/30 144A | 110,000 | 110,850 | ||
Regional Management Issuance Trust, Series 2021-2, Class A | ||||
1.90%, 08/15/33 144A | 221,000 | 216,872 | ||
Santander Bank NA, Series 2021-1A, Class B | ||||
1.83%, 12/15/31 144A | 600,000 | 600,227 | ||
Santander Drive Auto Receivables Trust, Series 2020-2, Class B | ||||
0.96%, 11/15/24 | 122,844 | 122,956 | ||
Santander Drive Auto Receivables Trust, Series 2020-2, Class C | ||||
1.46%, 09/15/25 | 440,000 | 442,126 | ||
Securitized Term Auto Receivables Trust, Series 2019-1A, Class A3 | ||||
2.99%, 02/27/23 144A | 63,471 | 63,626 | ||
Signal Peak CLO 5, Ltd., Series 2018-5A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.11%, 1.11% Floor), 1.23%, 04/25/31 144A † | 400,000 | 400,091 | ||
Sixth Street CLO XIX, Ltd., Series 2021-19A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%, 1.10% Floor), 1.24%, 07/20/34 144A † | 1,300,000 | 1,300,648 |
Par | Value | |||
SLM Private Credit Student Loan Trust, Series 2004-A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 0.60%, 06/15/33† | $ 271,595 | $ 269,546 | ||
SLM Private Credit Student Loan Trust, Series 2007-A, Class A4A | ||||
(Floating, ICE LIBOR USD 3M + 0.24%), 0.44%, 12/16/41† | 206,157 | 203,375 | ||
SMB Private Education Loan Trust, Series 2015-C, Class A2A | ||||
2.75%, 07/15/27 144A | 29,797 | 29,885 | ||
SMB Private Education Loan Trust, Series 2016-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 1.50%), 1.61%, 05/15/31 144A † | 430,749 | 434,734 | ||
SMB Private Education Loan Trust, Series 2018-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.72%), 0.83%, 01/15/37 144A † | 408,231 | 409,888 | ||
SMB Private Education Loan Trust, Series 2020-A, Class A2A | ||||
2.23%, 09/15/37 144A | 943,796 | 955,845 | ||
SMB Private Education Loan Trust, Series 2020-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.83%), 0.94%, 09/15/37 144A † | 94,380 | 94,720 | ||
SMB Private Education Loan Trust, Series 2020-PTA, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.85%), 0.95%, 09/15/54 144A † | 2,676,128 | 2,709,283 | ||
SMB Private Education Loan Trust, Series 2021-A, Class APL | ||||
0.00%, 01/15/53 144A | 869,253 | 870,085 | ||
SMB Private Education Loan Trust, Series 2021-A, Class B | ||||
2.31%, 01/15/53 144A | 160,000 | 158,929 | ||
SMB Private Education Loan Trust, Series 2021-B, Class A | ||||
1.31%, 07/17/51 144A | 585,719 | 581,702 | ||
SoFi Professional Loan Program LLC, Series 2015-D, Class A2 | ||||
2.72%, 10/27/36 144A | 255,858 | 256,671 | ||
SoFi Professional Loan Program LLC, Series 2016-A, Class A2 | ||||
2.76%, 12/26/36 144A | 81,481 | 81,785 | ||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B | ||||
2.36%, 12/27/32 144A | 17,764 | 17,856 | ||
SoFi Professional Loan Program LLC, Series 2016-D, Class A2B | ||||
2.34%, 04/25/33 144A | 31,344 | 31,688 | ||
SoFi Professional Loan Program LLC, Series 2016-F, Class A2 | ||||
3.02%, 02/25/40 144A | 381,176 | 389,532 | ||
SoFi Professional Loan Program LLC, Series 2019-B, Class A2FX | ||||
3.09%, 08/17/48 144A | 126,975 | 129,641 |
Par | Value | |||
SoFi Professional Loan Program Trust, Series 2018-C, Class A2FX | ||||
3.59%, 01/25/48 144A | $ 131,282 | $ 134,569 | ||
SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX | ||||
2.54%, 05/15/46 144A | 485,301 | 494,253 | ||
SoFi Professional Loan Program Trust, Series 2021-B, Class AFX | ||||
1.14%, 02/15/47 144A | 1,943,674 | 1,911,785 | ||
SoFi Professional Loan Program, Series 2018-B, Class A2FX | ||||
3.34%, 08/25/47 144A | 357,304 | 363,632 | ||
Stack Infrastructure Issuer LLC, Series 2021-1A, Class A2 | ||||
1.88%, 03/26/46 144A | 1,600,000 | 1,575,596 | ||
Structured Asset Securities Corporation Mortgage Loan Trust, Series 2005-7XS, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 1.50%, 1.50% Floor), 1.60%, 04/25/35† | 108,053 | 109,125 | ||
STWD, Ltd., Series 2019-FL1, Class A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.19%, 1.08% Floor), 1.24%, 07/15/38 144A † | 1,330,000 | 1,330,814 | ||
TCI-Symphony CLO, Ltd., Series 2017-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.93%, 0.93% Floor), 1.05%, 07/15/30 144A † | 3,100,000 | 3,098,514 | ||
THL Credit Wind River CLO, Ltd., Series 2019-3A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%, 1.08% Floor), 1.20%, 04/15/31 144A † | 2,950,000 | 2,944,437 | ||
TICP CLO VI, Ltd., Series 2016-6A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.12%, 1.12% Floor), 1.24%, 01/15/34 144A † | 1,000,000 | 1,000,955 | ||
Towd Point Mortgage Trust, Series 2016-3, Class A1 | ||||
2.25%, 04/25/56 144A | 25,238 | 25,270 | ||
Towd Point Mortgage Trust, Series 2019-MH1, Class A1 | ||||
3.00%, 11/25/58 144A | 365,161 | 369,726 | ||
Towd Point Mortgage Trust, Series 2020-1, Class A1 | ||||
2.71%, 01/25/60 144A † γ | 724,074 | 735,927 | ||
Towd Point Mortgage Trust, Series 2020-2, Class A1A | ||||
1.64%, 04/25/60 144A | 2,085,839 | 2,074,169 | ||
Transportation Finance Equipment Trust, Series 2019-1, Class A3 | ||||
1.85%, 04/24/23 144A | 319,151 | 320,809 | ||
TRESTLES CLO, Ltd., Series 2017-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.99%, 0.99% Floor), 1.11%, 04/25/32 144A † | 550,000 | 549,725 |
Par | Value | |||
TRP - TRIP Rail Master Funding LLC, Series 2021-2, Class A | ||||
2.15%, 06/19/51 144A | $1,720,807 | $ 1,715,395 | ||
TRTX Issuer, Ltd., Series 2019-FL3, Class A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.26%, 1.15% Floor), 1.31%, 10/15/34 144A † | 1,505,311 | 1,510,110 | ||
Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 1.01%, 04/15/29 144A † | 2,532,520 | 2,531,888 | ||
VB-S1 Issuer LLC, Series 2020-1A, Class C2 | ||||
3.03%, 06/15/50 144A | 670,000 | 689,140 | ||
Venture XVII CLO, Ltd., Series 2014-17A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 1.00%, 04/15/27 144A † | 281,507 | 281,425 | ||
Verizon Owner Trust, Series 2020-A, Class A1A | ||||
1.85%, 07/22/24 | 420,000 | 423,225 | ||
Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3 | ||||
1.02%, 06/22/26 | 1,062,000 | 1,067,795 | ||
Volvo Financial Equipment LLC, Series 2019-1A, Class A3 | ||||
3.00%, 03/15/23 144A | 152,719 | 153,060 | ||
Westlake Automobile Receivables Trust, Series 2018-3A, Class D | ||||
4.00%, 10/16/23 144A | 164,042 | 165,100 | ||
Westlake Automobile Receivables Trust, Series 2020-1A, Class C | ||||
2.52%, 04/15/25 144A | 620,000 | 628,867 | ||
Westlake Automobile Receivables Trust, Series 2020-2A, Class B | ||||
1.32%, 07/15/25 144A | 910,000 | 913,268 | ||
Wingstop Funding LLC, Series 2020-1A, Class A2 | ||||
2.84%, 12/05/50 144A | 1,044,750 | 1,048,104 | ||
World Omni Select Auto Trust, Series 2021-A, Class A3 | ||||
0.53%, 03/15/27 | 3,150,000 | 3,119,017 | ||
Total Asset-Backed Securities (Cost $182,844,073) | 182,598,143 | |||
CORPORATE BONDS — 19.5% | ||||
3M Co. | ||||
2.65%, 04/15/25Δ | 80,000 | 83,595 | ||
7-Eleven, Inc. | ||||
0.95%, 02/10/26 144A Δ | 1,600,000 | 1,551,560 | ||
ADT Security Corporation (The) | ||||
4.13%, 06/15/23Δ | 180,000 | 187,146 | ||
AES Corporation (The) | ||||
1.38%, 01/15/26 | 1,700,000 | 1,652,889 | ||
Air Lease Corporation | ||||
2.63%, 07/01/22 | 150,000 | 151,221 |
Par | Value | |||
2.25%, 01/15/23 | $1,355,000 | $1,372,276 | ||
2.75%, 01/15/23 | 175,000 | 177,736 | ||
0.80%, 08/18/24 | 490,000 | 480,396 | ||
1.88%, 08/15/26 | 200,000 | 197,009 | ||
Alexander Funding Trust | ||||
1.84%, 11/15/23 144A | 1,355,000 | 1,360,511 | ||
Ally Financial, Inc. | ||||
4.13%, 02/13/22 | 1,700,000 | 1,706,758 | ||
1.45%, 10/02/23 | 2,135,000 | 2,142,599 | ||
3.88%, 05/21/24 | 400,000 | 421,840 | ||
Ameren Corporation | ||||
2.50%, 09/15/24 | 610,000 | 626,935 | ||
American Electric Power Co., Inc. | ||||
0.75%, 11/01/23 | 180,000 | 178,859 | ||
American Tower Corporation REIT | ||||
0.60%, 01/15/24Δ | 1,300,000 | 1,287,063 | ||
2.40%, 03/15/25 | 215,000 | 221,012 | ||
1.60%, 04/15/26Δ | 570,000 | 565,038 | ||
0.45%, 01/15/27(E) | 205,000 | 230,877 | ||
0.40%, 02/15/27(E) | 100,000 | 112,171 | ||
AT&T, Inc. | ||||
1.05%, 09/05/23(E) | 290,000 | 336,631 | ||
(Floating, Australian BBSW 3M + 1.25%), 1.32%, 09/19/23(A) † | 1,240,000 | 912,298 | ||
0.90%, 03/25/24 | 1,295,000 | 1,290,022 | ||
Athene Global Funding | ||||
2.80%, 05/26/23 144A | 820,000 | 841,160 | ||
1.20%, 10/13/23 144A | 725,000 | 726,393 | ||
Aviation Capital Group LLC | ||||
4.38%, 01/30/24 144A | 1,000,000 | 1,049,586 | ||
1.95%, 01/30/26 144A | 285,000 | 278,407 | ||
1.95%, 09/20/26 144A | 345,000 | 335,662 | ||
Bank of America Corporation | ||||
(Variable, CAD Offered Rate 3M + 0.82%), 3.30%, 04/24/24(C) ^ | 2,000,000 | 1,620,032 | ||
(Variable, U.S. SOFR + 0.74%), 0.81%, 10/24/24^ | 1,850,000 | 1,838,645 | ||
(Variable, U.S. SOFR + 0.69%), 0.98%, 04/22/25^ | 1,555,000 | 1,543,606 | ||
(Variable, U.S. SOFR + 0.65%), 1.53%, 12/06/25^ | 1,860,000 | 1,865,642 | ||
(Variable, U.S. SOFR + 0.91%), 1.66%, 03/11/27^ | 1,000,000 | 993,842 | ||
(Variable, U.S. SOFR + 0.96%), 1.73%, 07/22/27^ | 725,000 | 720,532 | ||
Baxter International, Inc. | ||||
1.32%, 11/29/24 144A | 2,075,000 | 2,073,841 | ||
Becton Dickinson Euro Finance S.a.r.l. | ||||
0.63%, 06/04/23(E) | 900,000 | 1,034,738 | ||
1.21%, 06/04/26(E) | 120,000 | 141,427 | ||
Becton, Dickinson and Co. | ||||
0.03%, 08/13/25(E) | 100,000 | 113,194 | ||
Berry Global, Inc. | ||||
0.95%, 02/15/24 | 1,035,000 | 1,026,968 | ||
1.57%, 01/15/26 | 1,600,000 | 1,567,440 | ||
Blackstone Private Credit Fund | ||||
3.25%, 03/15/27 144A | 700,000 | 708,096 |
Par | Value | |||
Blackstone Secured Lending Fund | ||||
3.65%, 07/14/23 | $ 985,000 | $1,015,754 | ||
Boeing Co. (The) | ||||
4.51%, 05/01/23 | 3,000,000 | 3,134,525 | ||
1.43%, 02/04/24 | 1,970,000 | 1,968,230 | ||
2.20%, 02/04/26 | 200,000 | 200,052 | ||
Booking Holdings, Inc. | ||||
0.10%, 03/08/25(E) | 160,000 | 182,355 | ||
Brighthouse Financial Global Funding | ||||
1.00%, 04/12/24 144A | 330,000 | 327,401 | ||
Broadcom, Inc. | ||||
4.70%, 04/15/25 | 690,000 | 755,313 | ||
3.15%, 11/15/25 | 750,000 | 786,304 | ||
Brunswick Corporation | ||||
0.85%, 08/18/24Δ | 1,045,000 | 1,030,896 | ||
Calpine Corporation | ||||
5.25%, 06/01/26 144A Δ | 67,000 | 68,823 | ||
Cantor Fitzgerald LP | ||||
6.50%, 06/17/22 144A | 750,000 | 768,674 | ||
Capital One Financial Corporation | ||||
0.80%, 06/12/24(E) | 900,000 | 1,043,346 | ||
(Variable, U.S. SOFR + 0.69%), 1.34%, 12/06/24^ | 1,480,000 | 1,489,759 | ||
CCO Holdings LLC | ||||
5.13%, 05/01/27 144A | 400,000 | 412,490 | ||
CDK Global, Inc. | ||||
4.88%, 06/01/27 | 125,000 | 129,516 | ||
CDW LLC | ||||
5.50%, 12/01/24 | 275,000 | 301,617 | ||
CenterPoint Energy Resources Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 0.67%, 03/02/23† | 300,000 | 299,385 | ||
0.70%, 03/02/23 | 805,000 | 801,564 | ||
Charter Communications Operating LLC | ||||
4.46%, 07/23/22 | 500,000 | 507,431 | ||
4.50%, 02/01/24Δ | 2,700,000 | 2,873,199 | ||
Cheniere Corpus Christi Holdings LLC | ||||
5.88%, 03/31/25 | 630,000 | 698,934 | ||
CIT Bank NA | ||||
(Variable, U.S. SOFR + 1.72%), 2.97%, 09/27/25^ | 440,000 | 454,964 | ||
CIT Group, Inc. | ||||
5.00%, 08/15/22 | 750,000 | 767,693 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 0.72%), 3.14%, 01/24/23^ | 910,000 | 911,165 | ||
(Floating, ICE LIBOR USD 3M + 1.02%), 1.19%, 06/01/24† | 1,000,000 | 1,009,703 | ||
(Variable, U.S. SOFR + 0.69%), 0.78%, 10/30/24^ | 1,775,000 | 1,764,503 | ||
(Variable, U.S. SOFR + 0.67%), 0.98%, 05/01/25^ | 1,645,000 | 1,633,173 | ||
(Variable, U.S. SOFR + 0.53%), 1.28%, 11/03/25^ | 480,000 | 479,117 | ||
(Variable, U.S. SOFR + 2.84%), 3.11%, 04/08/26^ | 525,000 | 550,959 |
Par | Value | |||
(Variable, U.S. SOFR + 0.77%), 1.46%, 06/09/27^ | $ 465,000 | $ 457,229 | ||
Citrix Systems, Inc. | ||||
1.25%, 03/01/26 | 600,000 | 585,209 | ||
CNH Industrial Capital LLC | ||||
1.95%, 07/02/23 | 590,000 | 597,949 | ||
CommonSpirit Health | ||||
1.55%, 10/01/25 | 800,000 | 793,522 | ||
Crown Americas LLC | ||||
4.75%, 02/01/26 | 150,000 | 153,947 | ||
Crown Castle International Corporation REIT | ||||
1.35%, 07/15/25Δ | 335,000 | 330,909 | ||
CrownRock LP | ||||
5.63%, 10/15/25 144A | 500,000 | 511,835 | ||
Daimler Finance North America LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 1.06%, 02/15/22 144A † | 1,000,000 | 1,000,904 | ||
2.55%, 08/15/22 144A Δ | 1,000,000 | 1,011,481 | ||
0.75%, 03/01/24 144A | 1,790,000 | 1,774,484 | ||
Daimler Trucks Finance North America LLC | ||||
1.13%, 12/14/23 144A | 1,640,000 | 1,641,371 | ||
1.63%, 12/13/24 144A | 590,000 | 594,955 | ||
2.00%, 12/14/26 144A | 150,000 | 150,823 | ||
Dell International LLC | ||||
5.45%, 06/15/23 | 316,000 | 333,483 | ||
Devon Energy Corporation | ||||
5.25%, 09/15/24 144A | 915,000 | 990,698 | ||
Diamondback Energy, Inc. | ||||
4.75%, 05/31/25 | 700,000 | 767,734 | ||
Discover Bank | ||||
3.35%, 02/06/23 | 1,590,000 | 1,628,532 | ||
Endeavor Energy Resources LP | ||||
6.63%, 07/15/25 144A | 150,000 | 158,882 | ||
Energy Transfer LP | ||||
3.60%, 02/01/23 | 105,000 | 107,066 | ||
4.25%, 03/15/23 | 1,880,000 | 1,932,432 | ||
2.90%, 05/15/25 | 260,000 | 268,600 | ||
Entergy Louisiana LLC | ||||
0.95%, 10/01/24 | 1,030,000 | 1,019,506 | ||
EQM Midstream Partners LP | ||||
6.50%, 07/01/27 144A | 330,000 | 370,016 | ||
Equinix, Inc. REIT | ||||
2.63%, 11/18/24 | 985,000 | 1,015,807 | ||
1.25%, 07/15/25Δ | 345,000 | 338,805 | ||
Equitable Financial Life Global Funding | ||||
1.00%, 01/09/26 144A | 1,600,000 | 1,553,592 | ||
Evergy, Inc. | ||||
2.45%, 09/15/24 | 1,020,000 | 1,047,099 | ||
F&G Global Funding | ||||
0.90%, 09/20/24 144A | 1,860,000 | 1,833,863 | ||
Fidelity National Information Services, Inc. | ||||
0.13%, 12/03/22(E) | 300,000 | 342,722 | ||
0.75%, 05/21/23(E) | 1,050,000 | 1,209,017 | ||
0.60%, 03/01/24 | 445,000 | 438,345 |
Par | Value | |||
FirstEnergy Corporation | ||||
3.35%, 07/15/22 | $2,357,000 | $2,367,253 | ||
4.75%, 03/15/23 | 570,000 | 593,513 | ||
Fiserv, Inc. | ||||
1.13%, 07/01/27(E) | 180,000 | 211,983 | ||
Ford Motor Credit Co. LLC | ||||
5.60%, 01/07/22 | 1,800,000 | 1,803,582 | ||
4.14%, 02/15/23 | 345,000 | 353,642 | ||
3.37%, 11/17/23 | 750,000 | 774,375 | ||
5.58%, 03/18/24 | 300,000 | 323,627 | ||
5.13%, 06/16/25 | 640,000 | 696,832 | ||
FS KKR Capital Corporation | ||||
4.75%, 05/15/22 | 1,000,000 | 1,010,521 | ||
4.25%, 02/14/25 144A | 880,000 | 922,026 | ||
GA Global Funding Trust | ||||
1.63%, 01/15/26 144A | 400,000 | 397,288 | ||
General Mills, Inc. | ||||
0.45%, 01/15/26(E) | 100,000 | 114,713 | ||
General Motors Co. | ||||
5.40%, 10/02/23 | 230,000 | 246,311 | ||
General Motors Financial Co., Inc. | ||||
1.05%, 03/08/24 | 675,000 | 671,931 | ||
3.95%, 04/13/24 | 925,000 | 973,997 | ||
1.20%, 10/15/24 | 900,000 | 894,132 | ||
Glencore Funding LLC | ||||
4.63%, 04/29/24 144A | 1,800,000 | 1,923,774 | ||
Global Payments, Inc. | ||||
1.50%, 11/15/24 | 700,000 | 700,684 | ||
1.20%, 03/01/26 | 1,000,000 | 972,111 | ||
Goldman Sachs Group, Inc. (The) | ||||
1.38%, 07/26/22(E) | 220,000 | 253,075 | ||
(Floating, 0.55% - Euribor 3M), 0.00%, 04/21/23(E) † | 210,000 | 239,346 | ||
(Floating, Australian BBSW 3M + 1.20%), 1.24%, 05/16/23(A) † | 2,000,000 | 1,469,884 | ||
(Variable, ICE LIBOR USD 3M + 1.05%), 2.91%, 06/05/23^ | 920,000 | 927,784 | ||
(Variable, U.S. SOFR + 0.54%), 0.63%, 11/17/23^ | 1,250,000 | 1,247,081 | ||
(Variable, U.S. SOFR + 0.57%), 0.67%, 03/08/24^ | 1,830,000 | 1,822,345 | ||
(Variable, U.S. SOFR + 0.49%), 0.93%, 10/21/24^ | 1,900,000 | 1,892,794 | ||
3.50%, 04/01/25 | 380,000 | 402,236 | ||
(Variable, U.S. SOFR + 0.61%), 0.86%, 02/12/26Δ ^ | 810,000 | 795,000 | ||
Golub Capital BDC, Inc. | ||||
3.38%, 04/15/24 | 575,000 | 591,217 | ||
Graphic Packaging International LLC | ||||
0.82%, 04/15/24 144A | 735,000 | 723,907 | ||
Gray Oak Pipeline LLC | ||||
2.00%, 09/15/23 144A | 905,000 | 915,215 | ||
HCA, Inc. | ||||
5.38%, 02/01/25 | 525,000 | 577,658 | ||
5.88%, 02/15/26 | 295,000 | 333,359 | ||
Healthpeak Properties, Inc. REIT | ||||
1.35%, 02/01/27 | 145,000 | 141,286 | ||
Hilton Domestic Operating Co., Inc. | ||||
5.38%, 05/01/25 144A | 500,000 | 520,818 |
Par | Value | |||
Humana, Inc. | ||||
2.90%, 12/15/22 | $1,700,000 | $1,733,868 | ||
Huntington Ingalls Industries, Inc. | ||||
0.67%, 08/16/23 144A Δ | 510,000 | 505,762 | ||
Hyundai Capital America | ||||
1.15%, 11/10/22 144A Δ | 3,840,000 | 3,850,546 | ||
1.25%, 09/18/23 144A | 900,000 | 899,721 | ||
1.00%, 09/17/24 144A | 855,000 | 840,910 | ||
1.65%, 09/17/26 144A | 360,000 | 353,431 | ||
Illinois Tool Works, Inc. | ||||
0.25%, 12/05/24(E) | 180,000 | 206,401 | ||
Infor, Inc. | ||||
1.45%, 07/15/23 144A | 365,000 | 366,393 | ||
International Flavors & Fragrances, Inc. | ||||
1.23%, 10/01/25 144A | 1,500,000 | 1,468,850 | ||
International Lease Finance Corporation | ||||
5.88%, 08/15/22 | 500,000 | 515,512 | ||
IQVIA, Inc. | ||||
5.00%, 05/15/27 144A | 200,000 | 207,270 | ||
iStar, Inc. REIT | ||||
4.75%, 10/01/24 | 150,000 | 155,811 | ||
Jackson Financial, Inc. | ||||
1.13%, 11/22/23 144A | 595,000 | 594,207 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 0.89%), 3.80%, 07/23/24^ | 374,000 | 389,950 | ||
1.50%, 01/27/25(E) | 120,000 | 142,828 | ||
(Variable, U.S. SOFR + 0.42%), 0.56%, 02/16/25^ | 790,000 | 779,060 | ||
(Variable, U.S. SOFR + 1.16%), 2.30%, 10/15/25^ | 290,000 | 296,839 | ||
(Variable, U.S. SOFR + 1.85%), 2.08%, 04/22/26^ | 376,000 | 382,075 | ||
(Variable, U.S. SOFR + 0.89%), 1.58%, 04/22/27^ | 600,000 | 593,564 | ||
Kinder Morgan, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.28%), 1.40%, 01/15/23† | 660,000 | 665,616 | ||
Kraft Heinz Foods Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.82%), 0.97%, 08/10/22† | 400,000 | 399,574 | ||
3.88%, 05/15/27 | 650,000 | 703,293 | ||
Lehman Brothers Holdings, Inc. | ||||
6.63%, 01/18/12# | 600,000 | 3,300 | ||
Lennar Corporation | ||||
4.50%, 04/30/24 | 1,000,000 | 1,063,540 | ||
Level 3 Financing, Inc. | ||||
5.25%, 03/15/26 | 250,000 | 255,891 | ||
Live Nation Entertainment, Inc. | ||||
6.50%, 05/15/27 144A | 125,000 | 136,869 | ||
Lumen Technologies, Inc. | ||||
5.13%, 12/15/26 144A Δ | 615,000 | 640,916 | ||
4.00%, 02/15/27 144A | 300,000 | 304,740 | ||
Marathon Petroleum Corporation | ||||
4.70%, 05/01/25 | 130,000 | 141,987 | ||
Marsh & McLennan Cos., Inc. | ||||
1.35%, 09/21/26(E) | 145,000 | 172,460 |
Par | Value | |||
McCormick & Co., Inc. | ||||
2.70%, 08/15/22 | $ 200,000 | $ 202,100 | ||
McDonald’s Corporation | ||||
3.30%, 07/01/25 | 155,000 | 164,514 | ||
Medtronic Global Holdings SCA | ||||
0.00%, 12/02/22(E) | 255,000 | 291,289 | ||
0.00%, 10/15/25(E) | 100,000 | 113,497 | ||
Metropolitan Life Global Funding I | ||||
0.70%, 09/27/24 144A | 3,000,000 | 2,957,905 | ||
Microchip Technology, Inc. | ||||
2.67%, 09/01/23 | 745,000 | 761,222 | ||
0.97%, 02/15/24 | 1,380,000 | 1,368,795 | ||
0.98%, 09/01/24 144A | 370,000 | 363,495 | ||
4.25%, 09/01/25 | 250,000 | 259,706 | ||
MMS U.S.A. Holdings, Inc. | ||||
0.63%, 06/13/25(E) | 100,000 | 115,143 | ||
Morgan Stanley | ||||
(Floating, CAD Offered Rate 3M + 0.30%), 0.78%, 02/03/23(C) † | 1,500,000 | 1,186,333 | ||
(Variable, U.S. SOFR + 0.46%), 0.53%, 01/25/24^ | 1,320,000 | 1,315,846 | ||
1.75%, 03/11/24(E) | 205,000 | 242,630 | ||
(Variable, ICE LIBOR USD 3M + 0.85%), 3.74%, 04/24/24^ | 750,000 | 776,202 | ||
(Variable, U.S. SOFR + 0.51%), 0.79%, 01/22/25^ | 1,015,000 | 1,005,303 | ||
(Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 790,000 | 814,727 | ||
(Variable, U.S. SOFR + 0.75%), 0.86%, 10/21/25^ | 525,000 | 517,987 | ||
(Variable, U.S. SOFR + 0.56%), 1.16%, 10/21/25^ | 3,060,000 | 3,038,381 | ||
MUFG Union Bank NA | ||||
2.10%, 12/09/22 | 1,000,000 | 1,012,989 | ||
Mylan, Inc. | ||||
3.13%, 01/15/23 144A | 1,700,000 | 1,735,915 | ||
NextEra Energy Capital Holdings, Inc. | ||||
1.88%, 01/15/27Δ | 710,000 | 714,645 | ||
NextEra Energy Operating Partners LP | ||||
4.25%, 07/15/24 144A | 405,000 | 421,194 | ||
NIKE, Inc. | ||||
2.40%, 03/27/25 | 105,000 | 108,825 | ||
Nissan Motor Acceptance Co. LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.69%), 0.91%, 09/28/22 144A † | 300,000 | 300,326 | ||
3.45%, 03/15/23 144A | 1,350,000 | 1,385,970 | ||
1.13%, 09/16/24 144A | 675,000 | 663,763 | ||
Nordstrom, Inc. | ||||
2.30%, 04/08/24Δ | 250,000 | 250,264 | ||
NRG Energy, Inc. | ||||
6.63%, 01/15/27 | 44,000 | 45,795 | ||
Nuance Communications, Inc. | ||||
5.63%, 12/15/26 | 125,000 | 129,106 | ||
OGE Energy Corporation | ||||
0.70%, 05/26/23 | 380,000 | 378,416 |
Par | Value | |||
Oklahoma Gas and Electric Co. | ||||
0.55%, 05/26/23 | $ 550,000 | $ 546,598 | ||
ONE Gas, Inc. | ||||
0.85%, 03/11/23Δ | 780,000 | 779,358 | ||
1.10%, 03/11/24 | 1,835,000 | 1,826,216 | ||
OneMain Finance Corporation | ||||
5.63%, 03/15/23Δ | 435,000 | 454,849 | ||
Owl Rock Capital Corporation | ||||
4.25%, 01/15/26 | 510,000 | 537,067 | ||
Owl Rock Technology Finance Corporation | ||||
3.75%, 06/17/26 144A | 345,000 | 355,934 | ||
Pacific Gas and Electric Co. | ||||
(Floating, ICE LIBOR USD 3M + 1.48%), 1.69%, 06/16/22† | 1,100,000 | 1,100,370 | ||
1.75%, 06/16/22 | 3,000,000 | 3,000,021 | ||
1.37%, 03/10/23 | 1,835,000 | 1,824,159 | ||
3.25%, 06/15/23 | 100,000 | 101,863 | ||
4.25%, 08/01/23 | 200,000 | 207,059 | ||
3.85%, 11/15/23 | 100,000 | 103,294 | ||
3.75%, 02/15/24 | 200,000 | 207,422 | ||
3.45%, 07/01/25 | 146,000 | 151,499 | ||
2.10%, 08/01/27 | 600,000 | 580,137 | ||
Pacific Life Global Funding II | ||||
(Floating, U.S. SOFR + 0.62%), 0.67%, 06/04/26 144A † Δ | 3,400,000 | 3,424,138 | ||
PeaceHealth Obligated Group | ||||
1.38%, 11/15/25 | 104,000 | 103,475 | ||
Penske Truck Leasing Co. LP | ||||
3.45%, 07/01/24 144A | 1,500,000 | 1,573,036 | ||
2.70%, 11/01/24 144A | 1,105,000 | 1,139,628 | ||
1.20%, 11/15/25 144A | 295,000 | 287,840 | ||
1.70%, 06/15/26 144A | 430,000 | 425,723 | ||
PerkinElmer, Inc. | ||||
0.55%, 09/15/23Δ | 385,000 | 381,935 | ||
0.85%, 09/15/24 | 690,000 | 680,742 | ||
Phillips 66 | ||||
0.90%, 02/15/24 | 585,000 | 581,044 | ||
Pioneer Natural Resources Co. | ||||
0.55%, 05/15/23 | 385,000 | 383,680 | ||
0.75%, 01/15/24 | 455,000 | 449,109 | ||
1.13%, 01/15/26 | 280,000 | 272,331 | ||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | 250,000 | 266,295 | ||
PulteGroup, Inc. | ||||
5.00%, 01/15/27Δ | 64,000 | 72,766 | ||
Qorvo, Inc. | ||||
1.75%, 12/15/24 144A | 620,000 | 621,053 | ||
Quanta Services, Inc. | ||||
0.95%, 10/01/24 | 385,000 | 381,140 | ||
Reliance Standard Life Global Funding II | ||||
2.15%, 01/21/23 144A | 465,000 | 471,472 | ||
Sabine Pass Liquefaction LLC | ||||
5.75%, 05/15/24 | 1,048,000 | 1,140,537 | ||
Santander Holdings U.S.A., Inc. | ||||
3.70%, 03/28/22 | 510,000 | 512,203 |
Par | Value | |||
SBA Tower Trust REIT | ||||
2.84%, 01/15/25 144A | $3,225,000 | $3,312,291 | ||
1.88%, 01/15/26 144A | 680,000 | 679,668 | ||
1.63%, 11/15/26 144A | 800,000 | 788,023 | ||
Simon International Finance SCA REIT | ||||
1.38%, 11/18/22(E) | 105,000 | 120,917 | ||
Sirius XM Radio, Inc. | ||||
3.13%, 09/01/26 144A Δ | 600,000 | 600,963 | ||
SK Battery America, Inc. | ||||
2.13%, 01/26/26 | 200,000 | 195,988 | ||
Skyworks Solutions, Inc. | ||||
0.90%, 06/01/23Δ | 125,000 | 124,406 | ||
Southern California Edison Co. | ||||
1.85%, 02/01/22 | 107,143 | 107,229 | ||
Southwest Airlines Co. | ||||
4.75%, 05/04/23 | 675,000 | 707,173 | ||
Sprint Corporation | ||||
7.88%, 09/15/23 | 665,000 | 733,312 | ||
Sprint Spectrum Co. LLC | ||||
4.74%, 03/20/25 144A | 361,563 | 378,742 | ||
Steel Dynamics, Inc. | ||||
2.40%, 06/15/25Δ | 35,000 | 35,852 | ||
Stellantis Finance U.S., Inc. | ||||
1.71%, 01/29/27 144A | 1,000,000 | 984,116 | ||
Stryker Corporation | ||||
0.60%, 12/01/23 | 265,000 | 263,713 | ||
Synchrony Financial | ||||
2.85%, 07/25/22 | 232,000 | 234,390 | ||
4.50%, 07/23/25 | 410,000 | 443,528 | ||
Target Corporation | ||||
2.25%, 04/15/25 | 135,000 | 139,281 | ||
TerraForm Power Operating LLC | ||||
4.25%, 01/31/23 144A Δ | 150,000 | 153,533 | ||
T-Mobile U.S.A., Inc. | ||||
1.50%, 02/15/26 | 2,492,000 | 2,465,238 | ||
2.25%, 02/15/26 | 205,000 | 205,825 | ||
2.63%, 04/15/26 | 84,000 | 84,530 | ||
Toll Brothers Finance Corporation | ||||
4.38%, 04/15/23 | 200,000 | 206,711 | ||
Truist Financial Corporation | ||||
2.20%, 03/16/23 | 1,185,000 | 1,205,320 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 212,275 | 232,970 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class B | ||||
4.88%, 01/15/26 | 40,410 | 42,425 | ||
Ventas Realty LP REIT | ||||
2.65%, 01/15/25 | 695,000 | 716,842 | ||
Verizon Communications, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 1.26%, 05/15/25† | 1,000,000 | 1,020,036 | ||
1.75%, 01/20/31 | 220,000 | 208,722 | ||
Viasat, Inc. | ||||
5.63%, 04/15/27 144A | 475,000 | 489,763 |
Par | Value | |||
Vistra Operations Co. LLC | ||||
3.55%, 07/15/24 144A | $ 900,000 | $ 927,532 | ||
5.63%, 02/15/27 144A | 250,000 | 257,816 | ||
VMware, Inc. | ||||
1.00%, 08/15/24 | 770,000 | 763,170 | ||
1.40%, 08/15/26 | 430,000 | 423,292 | ||
Volkswagen Group of America Finance LLC | ||||
2.90%, 05/13/22 144A | 230,000 | 231,896 | ||
2.70%, 09/26/22 144A | 2,000,000 | 2,029,204 | ||
0.88%, 11/22/23 144A | 1,305,000 | 1,297,003 | ||
Wells Fargo & Co. | ||||
(Variable, U.S. SOFR + 0.51%), 0.81%, 05/19/25^ | 405,000 | 400,680 | ||
WESCO Distribution, Inc. | ||||
7.13%, 06/15/25 144A | 520,000 | 551,863 | ||
Western Midstream Operating LP | ||||
4.65%, 07/01/26 | 325,000 | 354,070 | ||
Westinghouse Air Brake Technologies Corporation | ||||
4.40%, 03/15/24 | 800,000 | 846,835 | ||
3.20%, 06/15/25 | 325,000 | 338,665 | ||
Yum! Brands, Inc. | ||||
7.75%, 04/01/25 144A | 430,000 | 453,622 | ||
Zimmer Biomet Holdings, Inc. | ||||
1.45%, 11/22/24 | 1,075,000 | 1,072,852 | ||
Total Corporate Bonds (Cost $209,089,913) | 209,046,082 | |||
FOREIGN BONDS — 16.5% | ||||
Australia — 0.4% | ||||
Macquarie Group, Ltd. | ||||
(Variable, U.S. SOFR + 0.69%), 1.20%, 10/14/25 144A ^ | 800,000 | 793,637 | ||
NBN Co., Ltd. | ||||
0.88%, 10/08/24 144A | 880,000 | 868,258 | ||
Santos Finance, Ltd. | ||||
4.13%, 09/14/27 | 200,000 | 211,380 | ||
Westpac Banking Corporation | ||||
3.15%, 01/16/24 144A | 1,275,000 | 1,331,457 | ||
Woodside Finance, Ltd. | ||||
3.70%, 09/15/26 144A | 400,000 | 426,313 | ||
3,631,045 | ||||
Austria — 0.0% | ||||
Klabin Austria GmbH | ||||
3.20%, 01/12/31 144A | 200,000 | 185,547 | ||
Suzano Austria GmbH | ||||
3.13%, 01/15/32 | 45,000 | 43,616 | ||
229,163 | ||||
Belgium — 0.0% | ||||
KBC Group NV | ||||
1.13%, 01/25/24(E) | 200,000 | 233,644 | ||
Bermuda — 0.1% | ||||
Triton Container International, Ltd. | ||||
0.80%, 08/01/23 144A | 630,000 | 624,074 |
Par | Value | |||
Brazil — 0.3% | ||||
Banco Bradesco SA | ||||
2.85%, 01/27/23 144A | $1,495,000 | $ 1,512,275 | ||
Brazilian Government International Bond | ||||
3.88%, 06/12/30Δ | 288,000 | 279,864 | ||
Itau Unibanco Holding SA | ||||
2.90%, 01/24/23 144A | 920,000 | 930,810 | ||
Nexa Resources SA | ||||
5.38%, 05/04/27 144A | 200,000 | 212,452 | ||
2,935,401 | ||||
Canada — 1.3% | ||||
1011778 BC ULC | ||||
5.75%, 04/15/25 144A | 200,000 | 207,737 | ||
Bank of Nova Scotia (The) | ||||
(Floating, U.S. SOFR + 0.61%), 0.66%, 09/15/26† | 1,500,000 | 1,501,054 | ||
Canadian Pacific Railway Co. | ||||
1.35%, 12/02/24 | 1,070,000 | 1,071,584 | ||
1.75%, 12/02/26 | 205,000 | 206,156 | ||
CDP Financial, Inc. | ||||
1.00%, 05/26/26 144A | 520,000 | 512,473 | ||
CPPIB Capital, Inc. | ||||
0.50%, 09/16/24 144A Δ | 1,265,000 | 1,247,537 | ||
Element Fleet Management Corporation | ||||
1.60%, 04/06/24 144A Δ | 315,000 | 315,489 | ||
GFL Environmental, Inc. | ||||
5.13%, 12/15/26 144A | 400,000 | 416,490 | ||
National Bank of Canada | ||||
0.75%, 08/06/24Δ | 1,485,000 | 1,465,954 | ||
OMERS Finance Trust | ||||
1.13%, 04/14/23 144A | 1,770,000 | 1,780,923 | ||
1.10%, 03/26/26 144A | 675,000 | 667,578 | ||
Royal Bank of Canada | ||||
(Floating, U.S. SOFR + 0.53%), 0.57%, 01/20/26† | 2,000,000 | 2,000,352 | ||
Toronto-Dominion Bank (The) | ||||
0.38%, 04/25/24(E) | 305,000 | 350,650 | ||
TransCanada PipeLines, Ltd. | ||||
1.00%, 10/12/24 | 1,755,000 | 1,740,984 | ||
13,484,961 | ||||
Chile — 0.0% | ||||
Chile Government International Bond | ||||
2.45%, 01/31/31 | 237,000 | 235,815 | ||
China — 0.5% | ||||
AAC Technologies Holdings, Inc. | ||||
2.63%, 06/02/26 | 200,000 | 196,561 | ||
Avolon Holdings Funding, Ltd. | ||||
5.50%, 01/15/23 144A | 900,000 | 933,749 | ||
Azure Nova International Finance, Ltd. | ||||
4.25%, 03/21/27 | 200,000 | 216,498 |
Par | Value | |||
Baidu, Inc. | ||||
2.88%, 07/06/22 | $ 235,000 | $ 237,066 | ||
CDBL Funding 1 | ||||
3.50%, 10/24/27 | 200,000 | 208,866 | ||
China Life Insurance Overseas Co., Ltd. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.53%), 3.35%, 07/27/27^ | 200,000 | 201,388 | ||
China Mengniu Dairy Co., Ltd. | ||||
1.88%, 06/17/25 | 200,000 | 199,012 | ||
CICC Hong Kong Finance 2016 MTN, Ltd. | ||||
2.00%, 01/26/26 | 200,000 | 199,396 | ||
Country Garden Holdings Co., Ltd. | ||||
5.63%, 12/15/26 | 200,000 | 189,447 | ||
Haitong International Securities Group, Ltd. | ||||
3.13%, 05/18/25 | 200,000 | 205,050 | ||
Longfor Group Holdings, Ltd. | ||||
3.90%, 04/16/23 | 200,000 | 203,512 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 700,000 | 715,477 | ||
4.50%, 03/15/23 144A | 1,000,000 | 1,032,464 | ||
Sino-Ocean Land Treasure Finance II, Ltd. | ||||
5.95%, 02/04/27 | 200,000 | 194,077 | ||
Sinopec Group Overseas Development 2017, Ltd. | ||||
3.63%, 04/12/27 | 200,000 | 216,026 | ||
Weibo Corporation | ||||
3.50%, 07/05/24 | 200,000 | 206,079 | ||
5,354,668 | ||||
Colombia — 0.1% | ||||
Colombia Government International Bond | ||||
3.88%, 04/25/27 | 270,000 | 272,565 | ||
4.50%, 03/15/29 | 259,000 | 264,185 | ||
Ecopetrol SA | ||||
5.38%, 06/26/26 | 200,000 | 211,020 | ||
4.63%, 11/02/31 | 60,000 | 58,441 | ||
Millicom International Cellular SA | ||||
4.50%, 04/27/31 144A | 200,000 | 201,805 | ||
SURA Asset Management SA | ||||
4.88%, 04/17/24 144A | 100,000 | 105,553 | ||
1,113,569 | ||||
Denmark — 0.4% | ||||
Danske Bank A/S | ||||
3.88%, 09/12/23 144A | 400,000 | 416,264 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.03%), 1.17%, 12/08/23 144A ^ | 2,400,000 | 2,400,102 | ||
5.38%, 01/12/24 144A | 600,000 | 646,271 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.55%), 0.98%, 09/10/25 144A ^ | 200,000 | 197,078 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.35%), 1.62%, 09/11/26 144A ^ | $ 540,000 | $ 532,731 | ||
4,192,446 | ||||
Dominican Republic — 0.0% | ||||
Dominican Republic International Bond | ||||
4.88%, 09/23/32 144A | 150,000 | 152,813 | ||
6.40%, 06/05/49 | 150,000 | 157,876 | ||
310,689 | ||||
Finland — 0.1% | ||||
CRH Finland Services OYJ | ||||
0.88%, 11/05/23(E) | 180,000 | 208,507 | ||
Nordea Bank Abp | ||||
1.50%, 09/30/26 144A | 700,000 | 688,730 | ||
897,237 | ||||
France — 0.5% | ||||
Banque Federative du Credit Mutuel SA | ||||
0.75%, 06/15/23(E) | 100,000 | 115,546 | ||
0.65%, 02/27/24 144A | 1,140,000 | 1,126,630 | ||
1.00%, 02/04/25 144A | 1,865,000 | 1,836,639 | ||
0.75%, 06/08/26(E) | 100,000 | 116,302 | ||
BNP Paribas SA | ||||
(Variable, 0.70% - Euribor 3M), 0.25%, 04/13/27(E) ^ | 300,000 | 337,899 | ||
BPCE SA | ||||
0.63%, 04/28/25(E) | 100,000 | 115,745 | ||
Capgemini SE | ||||
0.63%, 06/23/25(E) | 200,000 | 231,796 | ||
Credit Agricole SA | ||||
(Variable, U.S. SOFR + 0.89%), 1.25%, 01/26/27 144A ^ | 250,000 | 243,514 | ||
Engie SA | ||||
0.38%, 02/28/23(E) | 200,000 | 229,215 | ||
PSA Banque France SA | ||||
0.00%, 01/22/25(E) | 100,000 | 113,206 | ||
RCI Banque SA | ||||
0.75%, 04/10/23(E) | 425,000 | 487,320 | ||
Societe Generale SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.49%, 12/14/26 144A ^ | 200,000 | 194,996 | ||
Veolia Environnement SA | ||||
0.67%, 03/30/22(E) | 200,000 | 227,795 | ||
5,376,603 | ||||
Germany — 0.3% | ||||
Amphenol Technologies Holding GmbH | ||||
0.75%, 05/04/26(E) | 120,000 | 139,564 | ||
Commerzbank AG | ||||
(Variable, 1.30% - Euribor 3M), 0.75%, 03/24/26(E) ^ | 100,000 | 115,569 |
Par | Value | |||
Deutsche Bank AG | ||||
(Variable, U.S. SOFR + 1.13%), 1.45%, 04/01/25^ | $150,000 | $ 149,171 | ||
(Variable, 1.60% - Euribor 3M), 1.00%, 11/19/25(E) ^ | 100,000 | 115,898 | ||
E.ON SE | ||||
0.00%, 10/24/22(E) | 240,000 | 273,983 | ||
KION Group AG | ||||
1.63%, 09/24/25(E) | 100,000 | 119,804 | ||
Traton Finance Luxembourg SA | ||||
0.00%, 06/14/24(E) | 100,000 | 113,593 | ||
0.13%, 11/10/24(E) | 100,000 | 113,668 | ||
0.13%, 03/24/25(E) | 200,000 | 226,544 | ||
Volkswagen Bank GmbH | ||||
0.38%, 07/05/22(E) | 300,000 | 342,859 | ||
1.88%, 01/31/24(E) | 300,000 | 354,615 | ||
Volkswagen Leasing GmbH | ||||
1.00%, 02/16/23(E) | 260,000 | 300,082 | ||
0.38%, 07/20/26(E) | 60,000 | 68,212 | ||
Vonovia SE | ||||
0.00%, 09/16/24(E) Δ | 100,000 | 113,486 | ||
2,547,048 | ||||
Guatemala — 0.0% | ||||
Central American Bottling Corporation | ||||
5.75%, 01/31/27 144A | 200,000 | 205,718 | ||
Hong Kong — 0.1% | ||||
CMB International Leasing Management, Ltd. | ||||
1.25%, 09/16/24 | 200,000 | 197,244 | ||
CMB Wing Lung Bank, Ltd. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 1.75%), 3.75%, 11/22/27^ | 200,000 | 202,891 | ||
400,135 | ||||
India — 0.2% | ||||
Adani Transmission, Ltd. | ||||
4.00%, 08/03/26 | 200,000 | 210,463 | ||
ICICI Bank, Ltd. | ||||
3.80%, 12/14/27 | 200,000 | 212,897 | ||
Indian Railway Finance Corporation, Ltd. | ||||
3.73%, 03/29/24 | 200,000 | 208,439 | ||
NTPC, Ltd. | ||||
3.75%, 04/03/24 | 200,000 | 207,807 | ||
Oil India, Ltd. | ||||
5.38%, 04/17/24 | 200,000 | 215,551 | ||
REC, Ltd. | ||||
3.88%, 07/07/27 | 200,000 | 209,338 | ||
Shriram Transport Finance Co., Ltd. | ||||
5.10%, 07/16/23 144A | 275,000 | 280,830 | ||
1,545,325 | ||||
Indonesia — 0.2% | ||||
Indonesia Government International Bond | ||||
4.75%, 02/11/29 | 246,000 | 286,738 |
Par | Value | |||
Pelabuhan Indonesia II PT | ||||
4.25%, 05/05/25 | $ 200,000 | $ 214,377 | ||
Pelabuhan Indonesia III Persero PT | ||||
4.50%, 05/02/23 144A | 1,175,000 | 1,223,580 | ||
Pertamina Persero PT | ||||
1.40%, 02/09/26Δ | 200,000 | 194,471 | ||
3.10%, 08/27/30 | 200,000 | 204,749 | ||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | ||||
4.13%, 05/15/27Δ | 200,000 | 213,658 | ||
2,337,573 | ||||
Ireland — 1.0% | ||||
Abbott Ireland Financing DAC | ||||
0.88%, 09/27/23(E) | 200,000 | 232,119 | ||
0.10%, 11/19/24(E) | 170,000 | 194,768 | ||
AerCap Ireland Capital DAC | ||||
3.50%, 05/26/22 | 400,000 | 403,567 | ||
3.30%, 01/23/23 | 155,000 | 158,307 | ||
4.50%, 09/15/23 | 1,000,000 | 1,049,360 | ||
1.15%, 10/29/23 | 1,330,000 | 1,324,902 | ||
2.88%, 08/14/24 | 150,000 | 154,422 | ||
1.65%, 10/29/24 | 2,585,000 | 2,582,208 | ||
3.50%, 01/15/25 | 350,000 | 365,708 | ||
2.45%, 10/29/26 | 405,000 | 408,823 | ||
Ardagh Packaging Finance PLC | ||||
5.25%, 04/30/25 144A | 250,000 | 258,384 | ||
ESB Finance DAC | ||||
3.49%, 01/12/24(E) | 100,000 | 122,087 | ||
Fresenius Finance Ireland PLC | ||||
0.00%, 10/01/25(E) | 100,000 | 112,582 | ||
SMBC Aviation Capital Finance DAC | ||||
3.00%, 07/15/22 144A | 540,000 | 545,625 | ||
4.13%, 07/15/23 144A | 1,800,000 | 1,876,304 | ||
3.55%, 04/15/24 144A | 800,000 | 835,810 | ||
Smurfit Kappa Treasury ULC | ||||
1.50%, 09/15/27(E) | 100,000 | 119,565 | ||
10,744,541 | ||||
Italy — 0.2% | ||||
ACEA SpA | ||||
0.00%, 09/28/25(E) | 100,000 | 113,352 | ||
ASTM SpA | ||||
1.00%, 11/25/26(E) | 170,000 | 194,264 | ||
FCA Bank SpA | ||||
0.50%, 09/18/23(E) | 1,010,000 | 1,158,690 | ||
0.00%, 04/16/24(E) | 100,000 | 113,605 | ||
Snam SpA | ||||
0.00%, 08/15/25(E) | 100,000 | 113,182 | ||
Telecom Italia SpA | ||||
5.30%, 05/30/24 144A | 200,000 | 210,750 | ||
UniCredit SpA | ||||
6.95%, 10/31/22(E) | 225,000 | 270,493 | ||
2,174,336 | ||||
Japan — 3.8% | ||||
Central Nippon Expressway Co., Ltd. | ||||
2.85%, 03/03/22 | 2,000,000 | 2,007,100 |
Par | Value | |||
Denso Corporation | ||||
1.24%, 09/16/26 | $ 200,000 | $ 196,202 | ||
Japan Treasury Discount Bills | ||||
0.00%, 02/14/22(J) Ω | 1,485,000,000 | 12,911,296 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.68%), 0.85%, 09/15/24^ | 1,745,000 | 1,737,259 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.55%), 0.95%, 07/19/25^ | 1,880,000 | 1,858,366 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%), 0.96%, 10/11/25^ | 3,185,000 | 3,142,305 | ||
Mizuho Financial Group, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 0.84%), 2.72%, 07/16/23^ | 640,000 | 646,312 | ||
(Floating, Australian BBSW 3M + 1.40%), 1.44%, 07/19/23(A) † | 3,100,000 | 2,286,571 | ||
0.52%, 06/10/24(E) | 100,000 | 115,418 | ||
(Floating, ICE LIBOR USD 3M + 0.99%), 1.11%, 07/10/24† | 1,000,000 | 1,009,027 | ||
(Variable, 1.25% - U.S. SOFR), 1.24%, 07/10/24^ | 520,000 | 521,487 | ||
Nissan Motor Co., Ltd. | ||||
3.04%, 09/15/23 144A | 3,485,000 | 3,577,729 | ||
3.52%, 09/17/25 144A | 600,000 | 629,740 | ||
2.65%, 03/17/26(E) | 110,000 | 134,418 | ||
4.35%, 09/17/27 144A | 215,000 | 232,429 | ||
Nomura Holdings, Inc. | ||||
2.65%, 01/16/25 | 600,000 | 617,708 | ||
1.85%, 07/16/25 | 2,700,000 | 2,701,825 | ||
ORIX Corporation | ||||
3.20%, 01/19/22 | 700,000 | 700,788 | ||
Renesas Electronics Corporation | ||||
1.54%, 11/26/24 144A | 1,245,000 | 1,237,873 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
0.51%, 01/12/24 | 1,600,000 | 1,582,702 | ||
1.47%, 07/08/25 | 1,100,000 | 1,095,655 | ||
Sumitomo Mitsui Trust Bank, Ltd. | ||||
0.85%, 03/25/24 144A | 960,000 | 951,417 | ||
0.80%, 09/16/24 144A | 1,000,000 | 984,131 | ||
40,877,758 | ||||
Jersey — 0.0% | ||||
Heathrow Funding, Ltd. | ||||
1.50%, 10/12/25(E) | 185,000 | 218,358 | ||
Mexico — 0.1% | ||||
Industrias Penoles SAB de CV | ||||
4.75%, 08/06/50 144A | 200,000 | 218,839 | ||
Mexico City Airport Trust | ||||
4.25%, 10/31/26 144A | 200,000 | 211,961 | ||
Mexico Government International Bond | ||||
4.75%, 04/27/32 | 295,000 | 334,235 | ||
Petroleos Mexicanos | ||||
6.88%, 08/04/26 | 119,000 | 131,001 |
Par | Value | |||
5.95%, 01/28/31 | $ 174,000 | $ 169,424 | ||
6.70%, 02/16/32 144A | 185,000 | 187,215 | ||
1,252,675 | ||||
Morocco & Antilles — 0.0% | ||||
Morocco Government International Bond | ||||
3.00%, 12/15/32 144A | 200,000 | 191,434 | ||
4.00%, 12/15/50 144A | 200,000 | 182,000 | ||
373,434 | ||||
Netherlands — 0.9% | ||||
BMW Finance NV | ||||
0.00%, 04/14/23(E) | 290,000 | 331,581 | ||
Conti-Gummi Finance BV | ||||
1.13%, 09/25/24(E) | 110,000 | 128,475 | ||
Cooperatieve Rabobank UA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.73%), 1.98%, 12/15/27 144A Δ ^ | 1,000,000 | 1,001,487 | ||
Daimler International Finance BV | ||||
0.25%, 11/06/23(E) | 90,000 | 103,271 | ||
Digital Dutch Finco BV REIT | ||||
0.63%, 07/15/25(E) | 300,000 | 345,627 | ||
E.ON International Finance BV | ||||
0.75%, 11/30/22(E) | 50,000 | 57,352 | ||
Enel Finance International NV | ||||
0.00%, 06/17/24(E) | 200,000 | 227,734 | ||
2.65%, 09/10/24Δ | 500,000 | 515,328 | ||
1.38%, 07/12/26 144A | 370,000 | 360,895 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 | 200,000 | 217,842 | ||
Heimstaden Bostad Treasury BV | ||||
0.25%, 10/13/24(E) | 110,000 | 125,453 | ||
ING Bank NV | ||||
(Floating, 0.40% - Euribor 3M), 0.00%, 04/08/22(E) † | 200,000 | 228,032 | ||
ING Groep NV | ||||
1.00%, 09/20/23(E) | 200,000 | 232,334 | ||
(Variable, 0.60% - Euribor 3M), 0.10%, 09/03/25(E) ^ | 100,000 | 113,828 | ||
JDE Peet's NV | ||||
0.80%, 09/24/24 144A | 430,000 | 421,681 | ||
LeasePlan Corporation NV | ||||
2.88%, 10/24/24 144A | 1,900,000 | 1,960,766 | ||
NXP BV | ||||
2.70%, 05/01/25 144A | 50,000 | 51,738 | ||
3.88%, 06/18/26 144A | 300,000 | 324,246 | ||
PACCAR Financial Europe BV | ||||
0.00%, 03/01/26(E) | 300,000 | 339,170 | ||
Redexis Gas Finance BV | ||||
1.88%, 05/28/25(E) | 100,000 | 119,494 | ||
Sensata Technologies BV | ||||
5.00%, 10/01/25 144A | 200,000 | 217,210 |
Par | Value | |||
Siemens Financieringsmaatschappij NV | ||||
0.38%, 09/06/23(E) | $ 235,000 | $ 270,910 | ||
Stellantis NV | ||||
5.25%, 04/15/23 | 1,000,000 | 1,050,150 | ||
3.38%, 07/07/23(E) | 145,000 | 172,165 | ||
Toyota Motor Finance Netherlands BV | ||||
0.00%, 10/27/25(E) | 100,000 | 113,181 | ||
Upjohn Finance BV | ||||
0.82%, 06/23/22(E) | 220,000 | 251,804 | ||
VEON Holdings BV | ||||
3.38%, 11/25/27 144A | 200,000 | 195,562 | ||
Viterra Finance BV | ||||
0.38%, 09/24/25(E) | 160,000 | 181,236 | ||
Vonovia Finance BV | ||||
0.13%, 04/06/23(E) | 200,000 | 228,589 | ||
1.63%, 04/07/24(E) Δ | 100,000 | 117,655 | ||
10,004,796 | ||||
Norway — 0.1% | ||||
Aker BP ASA | ||||
2.88%, 01/15/26 144A | 895,000 | 928,980 | ||
Panama — 0.0% | ||||
Panama Government International Bond | ||||
2.25%, 09/29/32Δ | 225,000 | 213,919 | ||
Paraguay — 0.0% | ||||
Paraguay Government International Bond | ||||
2.74%, 01/29/33 144A | 344,000 | 332,390 | ||
Peru — 0.1% | ||||
Fondo MIVIVIENDA SA | ||||
3.50%, 01/31/23 144A | 690,000 | 703,966 | ||
Kallpa Generacion SA | ||||
4.88%, 05/24/26 | 200,000 | 211,960 | ||
Peruvian Government International Bond | ||||
1.86%, 12/01/32 | 197,000 | 180,257 | ||
1,096,183 | ||||
Philippines — 0.0% | ||||
Philippine Government International Bond | ||||
3.75%, 01/14/29 | 200,000 | 225,633 | ||
Qatar — 0.4% | ||||
ABQ Finance, Ltd. | ||||
1.88%, 09/08/25 | 200,000 | 198,587 | ||
Qatar Government International Bond | ||||
4.50%, 04/23/28 | 200,000 | 230,050 | ||
4.00%, 03/14/29 144A | 200,000 | 225,783 | ||
QNB Finance, Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.13%, 05/02/22† | 3,000,000 | 3,005,676 | ||
3,660,096 |
Par | Value | |||
Romania — 0.0% | ||||
Romanian Government International Bond | ||||
3.00%, 02/14/31 144A Δ | $ 138,000 | $ 140,484 | ||
Russia — 0.0% | ||||
Russian Foreign Bond - Eurobond | ||||
4.25%, 06/23/27 | 200,000 | 216,587 | ||
Saudi Arabia — 0.1% | ||||
Samba Funding, Ltd. | ||||
2.90%, 01/29/27 | 200,000 | 207,855 | ||
Saudi Arabian Oil Co. | ||||
1.25%, 11/24/23 144A | 490,000 | 490,549 | ||
Saudi Government International Bond | ||||
3.63%, 03/04/28 | 200,000 | 218,176 | ||
4.38%, 04/16/29 144A | 200,000 | 229,940 | ||
1,146,520 | ||||
Singapore — 0.3% | ||||
BOC Aviation, Ltd. | ||||
3.00%, 05/23/22 | 700,000 | 703,609 | ||
2.75%, 12/02/23 | 1,800,000 | 1,842,556 | ||
3.50%, 09/18/27 | 200,000 | 211,023 | ||
BPRL International Singapore Pte., Ltd. | ||||
4.38%, 01/18/27 | 200,000 | 210,282 | ||
Continuum Energy Levanter Pte., Ltd. | ||||
4.50%, 02/09/27 144A | 198,500 | 203,214 | ||
3,170,684 | ||||
South Korea — 0.8% | ||||
Export-Import Bank of Korea | ||||
(Floating, Australian BBSW 3M + 1.07%), 1.12%, 05/29/23(A) † | 1,000,000 | 735,429 | ||
(Floating, Australian BBSW 3M + 0.95%), 1.02%, 10/30/23(A) † | 2,000,000 | 1,471,004 | ||
Hana Bank | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 1.07%, 09/14/22† | 1,000,000 | 1,004,334 | ||
(Floating, ICE LIBOR USD 3M + 0.80%), 1.00%, 03/13/23† | 500,000 | 502,770 | ||
Hyundai Capital Services, Inc. | ||||
3.63%, 08/29/27 | 200,000 | 215,106 | ||
Industrial Bank of Korea | ||||
2.13%, 10/23/24 144A | 3,100,000 | 3,183,881 | ||
Kia Corporation | ||||
3.00%, 04/25/23 | 510,000 | 524,178 | ||
1.75%, 10/16/26 | 200,000 | 197,791 | ||
SK Telecom Co., Ltd. | ||||
3.75%, 04/16/23 | 900,000 | 930,364 | ||
8,764,857 | ||||
Spain — 0.3% | ||||
Amadeus IT Group SA | ||||
(Floating, 0.65% - Euribor 3M), 0.08%, 02/09/23(E) † | 700,000 | 797,140 | ||
2.50%, 05/20/24(E) | 200,000 | 239,426 |
Par | Value | |||
Banco de Sabadell SA | ||||
(Variable, 0.97% - EUR Swap Rate 1Y), 0.63%, 11/07/25(E) ^ | $ 100,000 | $ 114,306 | ||
(Variable, 1.55% - EUR Swap Rate 1Y), 1.13%, 03/11/27(E) ^ | 100,000 | 115,980 | ||
Banco Santander SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%), 0.70%, 06/30/24^ | 1,200,000 | 1,194,110 | ||
2.75%, 05/28/25 | 400,000 | 413,945 | ||
1.85%, 03/25/26 | 400,000 | 398,390 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.90%), 1.72%, 09/14/27^ | 200,000 | 196,590 | ||
3,469,887 | ||||
Sweden — 0.3% | ||||
Akelius Residential Property AB | ||||
1.13%, 03/14/24(E) | 1,100,000 | 1,279,088 | ||
Stadshypotek AB | ||||
2.50%, 04/05/22 144A Δ | 1,000,000 | 1,005,591 | ||
Volvo Treasury AB | ||||
0.00%, 05/09/24(E) | 310,000 | 353,447 | ||
2,638,126 | ||||
Switzerland — 0.8% | ||||
Credit Suisse Group AG | ||||
3.57%, 01/09/23 144A | 750,000 | 750,214 | ||
(Variable, U.S. SOFR + 0.98%), 1.31%, 02/02/27 144A ^ | 700,000 | 677,013 | ||
Credit Suisse Group Funding Guernsey, Ltd. | ||||
3.80%, 09/15/22 | 450,000 | 459,793 | ||
SIG Combibloc PurchaseCo S.a.r.l. | ||||
1.88%, 06/18/23(E) Δ | 300,000 | 350,855 | ||
2.13%, 06/18/25(E) | 100,000 | 119,671 | ||
UBS AG | ||||
(Floating, U.S. SOFR + 0.36%), 0.41%, 02/09/24 144A † | 3,000,000 | 2,998,972 | ||
UBS Group AG | ||||
3.49%, 05/23/23 144A | 1,800,000 | 1,818,435 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.83%), 1.01%, 07/30/24 144A ^ | 690,000 | 688,116 | ||
(Variable, 0.55% - EUR Swap Rate 1Y), 0.25%, 01/29/26(E) ^ | 200,000 | 228,126 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.85%), 1.49%, 08/10/27 144A ^ | 600,000 | 585,962 | ||
8,677,157 | ||||
Thailand — 0.0% | ||||
PTTEP Treasury Center Co., Ltd. | ||||
2.59%, 06/10/27 | 200,000 | 204,089 | ||
United Arab Emirates — 0.2% | ||||
First Abu Dhabi Bank PJSC | ||||
1.38%, 02/19/23(U) | 1,666,000 | 2,260,650 |
Par | Value | |||
Sharjah Sukuk Program, Ltd. | ||||
2.94%, 06/10/27 | $ 200,000 | $ 201,270 | ||
2,461,920 | ||||
United Kingdom — 2.6% | ||||
Barclays PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 600,000 | 602,587 | ||
(Floating, Australian BBSW 3M + 1.80%), 1.86%, 06/15/23(A) † | 1,000,000 | 741,410 | ||
(Variable, ICE LIBOR USD 3M + 1.36%), 4.34%, 05/16/24^ | 900,000 | 937,251 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.80%), 1.01%, 12/10/24^ | 1,545,000 | 1,534,600 | ||
(Variable, 3.70% - EUR Swap Rate 1Y), 3.38%, 04/02/25(E) ^ | 100,000 | 122,142 | ||
(Variable, U.S. SOFR + 2.71%), 2.85%, 05/07/26^ | 1,000,000 | 1,032,600 | ||
HSBC Holdings PLC | ||||
(Floating, Australian BBSW 3M + 1.10%), 1.14%, 02/16/24(A) † | 1,300,000 | 952,743 | ||
(Floating, ICE LIBOR USD 3M + 1.23%), 1.43%, 03/11/25† | 3,000,000 | 3,047,751 | ||
(Variable, U.S. SOFR + 1.40%), 2.63%, 11/07/25^ | 300,000 | 307,973 | ||
Informa PLC | ||||
1.50%, 07/05/23(E) | 200,000 | 232,453 | ||
2.13%, 10/06/25(E) | 485,000 | 579,044 | ||
Lloyds Banking Group PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.25%), 2.86%, 03/17/23^ | 2,500,000 | 2,509,833 | ||
LSEGA Financing PLC | ||||
0.65%, 04/06/24 144A | 200,000 | 197,263 | ||
National Grid Electricity Transmission PLC | ||||
0.19%, 01/20/25(E) | 100,000 | 114,215 | ||
Nationwide Building Society | ||||
2.00%, 01/27/23 144A | 900,000 | 911,875 | ||
1.70%, 02/13/23 144A | 2,900,000 | 2,931,543 | ||
(Variable, ICE LIBOR USD 3M + 1.18%), 3.62%, 04/26/23 144A ^ | 1,500,000 | 1,512,343 | ||
0.55%, 01/22/24 144A | 1,845,000 | 1,821,457 | ||
NatWest Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 1.47%), 1.63%, 05/15/23† | 1,000,000 | 1,004,299 | ||
NatWest Markets PLC | ||||
2.38%, 05/21/23 144A | 1,800,000 | 1,834,869 | ||
1.60%, 09/29/26 144A Δ | 545,000 | 536,711 | ||
Royalty Pharma PLC | ||||
0.75%, 09/02/23 | 920,000 | 914,641 | ||
Santander UK Group Holdings PLC | ||||
3.57%, 01/10/23 | 350,000 | 350,150 | ||
(Variable, ICE LIBOR USD 3M + 1.08%), 3.37%, 01/05/24^ | 215,000 | 219,723 | ||
Santander UK PLC | ||||
1.63%, 02/12/23 144A | 2,100,000 | 2,122,638 |
Par | Value | |||
Standard Chartered PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.17%), 1.32%, 10/14/23 144A ^ | $ 200,000 | $ 200,209 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.78%), 0.99%, 01/12/25 144A ^ | 440,000 | 435,495 | ||
Virgin Money UK PLC | ||||
(Variable, 0.85% - EUR Swap Rate 1Y), 0.38%, 05/27/24(E) ^ | 110,000 | 125,760 | ||
WPP Finance 2013 | ||||
3.00%, 11/20/23(E) | 200,000 | 241,226 | ||
28,074,804 | ||||
Uruguay — 0.0% | ||||
Uruguay Government International Bond | ||||
4.38%, 10/27/27 | 84,713 | 95,409 | ||
Total Foreign Bonds (Cost $177,678,652) | 176,818,737 | |||
MORTGAGE-BACKED SECURITIES — 15.9% | ||||
Alen Mortgage Trust, Series 2021-ACEN, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.26%, 04/15/34 144A † | 350,000 | 350,122 | ||
American Home Mortgage Assets Trust, Series 2006-5, Class A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.92%, 0.92% Floor), 1.00%, 11/25/46† | 571,804 | 232,628 | ||
Avon Finance No. 2 PLC, Class A | ||||
(Floating, SONIA Interest Rate + 0.90%), 0.95%, 09/20/48(U) 144A † | 1,242,024 | 1,684,341 | ||
Banc of America Mortgage Trust, Series 2003-L, Class 3A1 | ||||
2.37%, 01/25/34† γ | 22,786 | 22,473 | ||
BANK, Series 2019-BNK18, Class A2 | ||||
3.47%, 05/15/62 | 610,000 | 634,186 | ||
Bear Stearns ARM Trust, Series 2003-8, Class 4A1 | ||||
2.48%, 01/25/34† γ | 64,734 | 66,939 | ||
Bear Stearns ARM Trust, Series 2004-5, Class 2A | ||||
2.94%, 07/25/34† γ | 65,792 | 67,863 | ||
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class AM | ||||
5.43%, 01/12/45† γ | 115,225 | 114,603 | ||
Bellemeade RE, Ltd., Series 2021-3A, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.00%, 1.00% Floor), 1.05%, 09/25/31 144A † | 900,000 | 896,118 | ||
Brass No. 8 PLC, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.70%), 0.86%, 11/16/66 144A † | 98,430 | 98,779 |
Par | Value | |||
BX Commercial Mortgage Trust, Series 2019-XL, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.92%, 0.92% Floor), 1.03%, 10/15/36 144A † | $1,493,285 | $1,495,058 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 1.19%, 10/15/36 144A † | 569,500 | 569,359 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.45%, 1.45% Floor), 1.56%, 10/15/36 144A † | 667,250 | 666,766 | ||
BX Commercial Mortgage Trust, Series 2020-BXLP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.91%, 12/15/36 144A † | 722,310 | 722,554 | ||
BX Commercial Mortgage Trust, Series 2020-BXLP, Class E | ||||
(Floating, ICE LIBOR USD 1M + 1.60%, 1.60% Floor), 1.71%, 12/15/36 144A † | 292,264 | 291,376 | ||
BX Commercial Mortgage Trust, Series 2020-VKNG, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 1.24%, 10/15/37 144A † | 1,167,848 | 1,168,715 | ||
BX Commercial Mortgage Trust, Series 2021-SOAR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.67%, 0.67% Floor), 0.78%, 06/15/38 144A † | 2,310,000 | 2,300,111 | ||
BX Commercial Mortgage Trust, Series 2021-VINO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.65%, 0.65% Floor), 0.76%, 05/15/38 144A † | 280,000 | 279,134 | ||
BX Commercial Mortgage Trust, Series 2021-XL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.69%, 0.69% Floor), 0.80%, 10/15/38 144A † | 685,000 | 681,741 | ||
BX Trust, Series 2018-BILT, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.77%, 1.77% Floor), 1.88%, 05/15/30 144A † | 235,000 | 233,158 | ||
BX Trust, Series 2021-LBA, Class AJV | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.91%, 02/15/36 144A † | 240,000 | 239,563 | ||
BX Trust, Series 2021-LBA, Class AV | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.91%, 02/15/36 144A † | 330,000 | 329,399 | ||
BX Trust, Series 2021-VIEW, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.28%, 1.28% Floor), 1.39%, 06/15/23 144A † | 150,000 | 150,123 |
Par | Value | |||
Canterbury Finance PLC, No. 1, Class A2 | ||||
(Floating, SONIA Interest Rate + 1.35%), 1.40%, 05/16/56(U) † | $ 885,245 | $1,205,560 | ||
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB | ||||
3.37%, 06/15/50 | 1,500,000 | 1,572,394 | ||
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A11 | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 6.50% Cap), 1.00%, 07/25/49 144A † | 51,657 | 51,918 | ||
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A3 | ||||
3.50%, 07/25/49 144A † γ | 105,522 | 107,173 | ||
CHC Commercial Mortgage Trust, Series 2019-CHC, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.05%, 2.05% Floor), 2.16%, 06/15/34 144A † | 2,124,493 | 2,095,751 | ||
CHL Mortgage Pass-Through Trust, Series 2004-29, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 11.50% Cap), 0.64%, 02/25/35† | 43,276 | 42,563 | ||
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A4 | ||||
2.90%, 07/10/49 | 641,000 | 668,361 | ||
Citigroup Commercial Mortgage Trust, Series 2016-P5, Class AAB | ||||
2.84%, 10/10/49 | 972,543 | 1,002,035 | ||
Cold Storage Trust, Series 2020-ICE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 1.01%, 11/15/37 144A † | 4,865,803 | 4,867,524 | ||
COMM Mortgage Trust, Series 2012-CR4, Class ASB | ||||
2.44%, 10/15/45 | 234,777 | 236,121 | ||
COMM Mortgage Trust, Series 2013-CR8, Class A5 | ||||
3.61%, 06/10/46 | 750,000 | 772,143 | ||
COMM Mortgage Trust, Series 2013-SFS, Class A1 | ||||
1.87%, 04/12/35 144A | 118,090 | 118,308 | ||
COMM Mortgage Trust, Series 2014-CR21, Class A3 | ||||
3.53%, 12/10/47 | 566,458 | 589,026 | ||
COMM Mortgage Trust, Series 2014-UBS5, Class ASB | ||||
3.55%, 09/10/47 | 199,855 | 205,450 | ||
COMM Mortgage Trust, Series 2015-CR24, Class ASB | ||||
3.45%, 08/10/48 | 122,427 | 126,619 | ||
COMM Mortgage Trust, Series 2015-PC1, Class A4 | ||||
3.62%, 07/10/50 | 450,342 | 462,626 | ||
COMM Mortgage Trust, Series 2021-LBA, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.69%, 0.69% Floor), 0.80%, 03/15/38 144A † | 1,800,000 | 1,787,755 |
Par | Value | |||
Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.55%), 1.60%, 10/25/41 144A † | $1,050,000 | $1,053,284 | ||
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA | ||||
1.87%, 01/15/49† IO γ | 628,926 | 42,193 | ||
CSMC, Series 2020-NET, Class A | ||||
2.26%, 08/15/37 144A | 315,000 | 317,895 | ||
CSMC, Series 2021-980M, Class C | ||||
3.20%, 07/15/31 144A | 150,000 | 150,290 | ||
CSMC, Series 2021-BHAR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.26%, 11/15/38 144A † | 770,000 | 771,107 | ||
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A6A1 | ||||
(Step to 5.36% on 03/25/22), 6.37%, 10/25/36 STEP | 114,566 | 115,041 | ||
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A6A2 | ||||
(Step to 5.36% on 03/25/22), 6.39%, 10/25/36 STEP | 114,566 | 115,039 | ||
Eagle RE, Ltd., Series 2021-2, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.55%, 1.55% Floor), 1.60%, 04/25/34 144A † | 800,000 | 800,606 | ||
Extended Stay America Trust, Series 2021-ESH, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 1.19%, 07/15/38 144A † | 2,238,355 | 2,244,789 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 2.35%, 07/25/30† | 774,696 | 784,219 | ||
Fannie Mae Connecticut Avenue Securities, Series 2021-R02, Class 2M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 2.00%), 2.05%, 11/25/41 144A † | 3,000,000 | 3,003,750 | ||
Federal Home Loan Mortgage Corporation | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.36%, 2.36% Floor, 13.19% Cap), 2.40%, 07/01/27† | 1,346 | 1,351 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 11.15% Cap), 2.35%, 11/01/31† | 10,143 | 10,190 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 10.86% Cap), 2.38%, 04/01/32† | 2,935 | 2,954 |
Par | Value | |||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.04%, 2.04% Floor, 9.78% Cap), 2.16%, 06/01/33† | $ 206,080 | $ 218,485 | ||
(Floating, ICE LIBOR USD 1Y + 1.75%, 1.75% Floor, 10.84% Cap), 2.00%, 08/01/35† | 48,425 | 49,984 | ||
(Floating, ICE LIBOR USD 1Y + 1.35%, 1.35% Floor, 10.35% Cap), 1.60%, 09/01/35† | 66,020 | 68,584 | ||
(Floating, ICE LIBOR USD 1Y + 1.63%, 1.63% Floor, 10.80% Cap), 1.88%, 10/01/35† | 87,657 | 91,924 | ||
3.00%, 02/01/36 | 52,500 | 55,533 | ||
4.00%, 11/01/36 | 6,583 | 7,166 | ||
4.00%, 06/01/37 | 78,457 | 85,164 | ||
4.50%, 07/01/47 | 45,341 | 49,761 | ||
4.50%, 03/01/49 | 2,134,553 | 2,364,214 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3228 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 0.61%, 10/15/36† | 811,713 | 821,607 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3710 | ||||
4.00%, 08/15/25 STEP | 39,867 | 42,395 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3959 | ||||
4.50%, 11/15/41 | 143,169 | 155,091 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3986 | ||||
4.50%, 09/15/41 | 91,831 | 95,094 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4459 | ||||
3.00%, 08/15/43 | 284,901 | 298,467 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4494 | ||||
3.75%, 10/15/42 | 166,062 | 170,333 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4752 | ||||
3.00%, 09/15/46 | 325,660 | 332,443 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4777 | ||||
3.50%, 10/15/45 | 671,940 | 693,669 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4904 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 0.56%, 06/15/49† | 537,020 | 541,295 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4941 | ||||
3.00%, 07/25/49 | 241,268 | 248,660 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4948 | ||||
2.50%, 10/25/48 | 143,868 | 146,359 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5000 | ||||
2.00%, 06/25/44 | 176,290 | 178,525 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 5006 | ||||
2.00%, 06/25/45 | $ 490,975 | $ 499,351 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5047 | ||||
0.75%, 10/15/28 | 3,221,951 | 3,183,127 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5057 | ||||
1.00%, 04/15/54 | 2,374,110 | 2,373,544 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5105 | ||||
1.50%, 04/15/44 | 1,356,156 | 1,366,798 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5115 | ||||
1.00%, 02/25/42 | 2,715,721 | 2,658,812 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.70%), 1.80%, 01/25/50 144A † | 198,092 | 198,607 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.85%, 1.85% Floor), 1.95%, 02/25/50 144A † | 160,687 | 161,379 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA1, Class M1 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.65%), 0.70%, 01/25/51 144A † | 292,161 | 292,107 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA5, Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.65%), 1.70%, 01/25/34 144A † | 1,100,000 | 1,104,817 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA6 Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.50%), 1.55%, 10/25/41 144A † | 1,850,000 | 1,849,997 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-HQA4, Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 2.35%), 2.40%, 12/25/41 144A † | 2,200,000 | 2,208,995 |
Par | Value | |||
Federal Home Loan Mortgage Corporation STACR Trust, Series 2018-DNA2, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 0.90%, 12/25/30 144A † | $ 179,966 | $ 179,981 | ||
Federal Home Loan Mortgage Corporation STACR Trust, Series 2019-DNA4, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.95%), 2.05%, 10/25/49 144A † | 193,728 | 194,405 | ||
Federal National Mortgage Association | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 2.00%, 2.00% Floor, 10.80% Cap), 2.20%, 12/01/24 CONV † | 1,762 | 1,766 | ||
2.50%, 12/01/27 | 341,751 | 355,139 | ||
3.00%, 09/01/30 | 170,262 | 179,315 | ||
3.00%, 02/01/31 | 924,129 | 971,762 | ||
3.00%, 04/01/31 | 15,285 | 16,083 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.22%, 2.22% Floor, 11.63% Cap), 2.32%, 09/01/31† | 24,949 | 24,959 | ||
2.50%, 10/01/31 | 372,511 | 387,154 | ||
2.50%, 11/01/31 | 846,113 | 880,888 | ||
2.50%, 01/01/32 | 6,194 | 6,447 | ||
3.00%, 03/01/32 | 568,103 | 599,269 | ||
(Floating, ICE LIBOR USD 1M + 1.31%, 1.31% Floor, 11.27% Cap), 1.43%, 08/01/32† | 154,959 | 155,630 | ||
3.00%, 11/01/32 | 51,154 | 53,790 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.24%, 2.24% Floor, 9.73% Cap), 2.37%, 12/01/32† | 231,998 | 233,440 | ||
3.00%, 12/01/32 | 656,990 | 690,431 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.41%, 2.41% Floor, 9.35% Cap), 2.48%, 06/01/33† | 8,026 | 8,057 | ||
4.00%, 09/01/33 | 1,175,970 | 1,239,943 | ||
4.00%, 03/01/34 | 41,237 | 43,759 | ||
4.00%, 05/01/34 | 558,258 | 603,919 | ||
(Floating, ICE LIBOR USD 1Y + 1.66%, 1.66% Floor, 10.01% Cap), 2.01%, 02/01/35† | 73,175 | 76,232 | ||
3.00%, 09/01/35 | 91,000 | 95,231 | ||
4.00%, 07/01/37 | 30,961 | 33,541 | ||
4.00%, 09/01/37 | 36,769 | 39,832 | ||
4.00%, 03/01/38 | 27,317 | 29,283 | ||
(Floating, ICE LIBOR USD 1Y + 1.73%, 1.73% Floor, 9.50% Cap), 2.02%, 05/01/38† | 591,650 | 621,792 | ||
1.28%, 08/01/42† | 162,294 | 165,690 | ||
(Floating, ICE LIBOR USD 1Y + 1.74%, 1.74% Floor, 8.50% Cap), 2.63%, 09/01/42† | 209,348 | 220,426 | ||
(Floating, ICE LIBOR USD 1Y + 1.69%, 1.69% Floor, 7.75% Cap), 2.74%, 07/01/43† | 329,156 | 346,809 |
Par | Value | |||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 8.52% Cap), 1.28%, 07/01/44† | $ 66,680 | $ 68,161 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 9.38% Cap), 1.28%, 10/01/44† | 42,620 | 43,610 | ||
(Floating, ICE LIBOR USD 1Y + 1.59%, 1.59% Floor, 7.84% Cap), 2.84%, 06/01/45† | 288,399 | 300,406 | ||
4.50%, 03/01/47 | 135,218 | 147,359 | ||
4.50%, 05/01/47 | 420,789 | 457,693 | ||
4.50%, 07/01/47 | 54,453 | 59,612 | ||
4.50%, 11/01/47 | 464,350 | 506,952 | ||
4.50%, 06/01/48 | 68,681 | 76,214 | ||
4.50%, 11/01/48 | 212,397 | 233,530 | ||
4.50%, 02/01/49 | 681,106 | 762,047 | ||
4.50%, 04/01/49 | 187,511 | 209,797 | ||
Federal National Mortgage Association REMIC, Series 2006-98 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 7.00% Cap), 0.53%, 10/25/36† | 135,346 | 137,552 | ||
Federal National Mortgage Association REMIC, Series 2007-100 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.00% Cap), 0.65%, 10/25/37† | 177,575 | 181,022 | ||
Federal National Mortgage Association REMIC, Series 2011-48 | ||||
4.00%, 06/25/26 STEP | 71,940 | 76,392 | ||
Federal National Mortgage Association REMIC, Series 2012-79 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 0.55%, 07/25/42† | 140,382 | 141,581 | ||
Federal National Mortgage Association REMIC, Series 2015-38 | ||||
(Floating, ICE LIBOR USD 1M + 0.31%, 0.31% Floor), 0.40%, 06/25/55† | 167,856 | 168,524 | ||
Federal National Mortgage Association REMIC, Series 2016-11 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor), 0.59%, 03/25/46† | 805,735 | 806,079 | ||
Federal National Mortgage Association REMIC, Series 2016-40 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 0.54%, 07/25/46† | 983,158 | 982,388 | ||
Federal National Mortgage Association REMIC, Series 2018-21 | ||||
3.50%, 04/25/45 | 242,452 | 246,280 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2019-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 0.60%, 07/25/49† | $ 604,207 | $ 608,628 | ||
Federal National Mortgage Association REMIC, Series 2019-53 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.49%, 09/25/49† | 1,140,494 | 1,140,983 | ||
Federal National Mortgage Association REMIC, Series 2019-60 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.49%, 10/25/59† | 1,185,381 | 1,185,219 | ||
Federal National Mortgage Association REMIC, Series 2019-9 | ||||
3.50%, 06/25/48 | 1,037,685 | 1,076,496 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K121 | ||||
1.03%, 10/25/30† IO γ | 598,876 | 45,824 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K727 | ||||
2.95%, 07/25/24 | 3,750,000 | 3,898,087 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KIR2 | ||||
2.75%, 03/25/27 | 297,301 | 309,692 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KJ18 | ||||
3.07%, 08/25/22 | 152,325 | 153,157 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class M1 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.80%), 0.85%, 08/25/33 144A † | 1,245,874 | 1,245,402 | ||
FHLMC Structured Pass-Through Certificates, Series T-56, Class 3AF | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor, 8.50% Cap), 1.10%, 05/25/43† | 361,976 | 368,127 | ||
FHLMC Structured Pass-Through Certificates, Series T-61, Class 1A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 1.48%, 07/25/44† | 313,693 | 323,037 | ||
Finsbury Square PLC, Series 2020-2A, Class A | ||||
(Floating, SONIA Interest Rate + 1.30%), 1.35%, 06/16/70(U) 144A † | 955,255 | 1,302,299 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
2.08%, 06/25/34† γ | 98,428 | 101,013 |
Par | Value | |||
FREMF Mortgage Trust, Series 2012-K18, Class B | ||||
4.17%, 01/25/45 144A † γ | $ 240,000 | $ 239,898 | ||
FREMF Mortgage Trust, Series 2012-K19, Class B | ||||
4.01%, 05/25/45 144A † γ | 145,000 | 145,252 | ||
FREMF Mortgage Trust, Series 2012-K20, Class B | ||||
3.87%, 05/25/45 144A † γ | 135,000 | 136,262 | ||
FREMF Mortgage Trust, Series 2013-K27, Class B | ||||
3.50%, 01/25/46 144A † γ | 130,000 | 133,073 | ||
FREMF Mortgage Trust, Series 2013-K31, Class B | ||||
3.63%, 07/25/46 144A † γ | 105,000 | 108,255 | ||
FREMF Mortgage Trust, Series 2015-K45, Class B | ||||
3.59%, 04/25/48 144A † γ | 250,000 | 261,487 | ||
FREMF Mortgage Trust, Series 2015-K720, Class B | ||||
3.39%, 07/25/22 144A † γ | 455,000 | 460,143 | ||
GCAT Trust, Series 2021-NQM7, Class A1 | ||||
1.92%, 08/25/66 144A † γ | 340,000 | 341,762 | ||
Gemgarto PLC, Series 2021-1A, Class A | ||||
(Floating, SONIA Interest Rate + 0.59%), 0.64%, 12/16/67(U) 144A † | 1,878,134 | 2,549,833 | ||
Gosforth Funding PLC, Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 0.63%, 08/25/60 144A † | 125,216 | 125,338 | ||
Government National Mortgage Association | ||||
2.00%, 03/20/22† | 1,037 | 1,038 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 2.00%, 01/20/23† | 1,030 | 1,034 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 1.88%, 05/20/24† | 5,945 | 6,021 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 1.63%, 07/20/25† | 12,165 | 12,456 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 1.63%, 08/20/25† | 3,326 | 3,411 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 2.13%, 11/20/25† | 10,822 | 11,034 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 2.13%, 12/20/26† | 21,054 | 21,762 |
Par | Value | |||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 1.63%, 07/20/27† | $ 474 | $ 486 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 2.13%, 10/20/27† | 7,816 | 8,013 | ||
8.50%, 10/15/29 | 16,424 | 16,667 | ||
8.50%, 04/15/30 | 1,921 | 1,928 | ||
8.50%, 05/15/30 | 45,928 | 47,624 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 1.88%, 05/20/30† | 12,047 | 12,473 | ||
8.50%, 07/15/30 | 18,852 | 19,358 | ||
8.50%, 08/15/30 | 3,013 | 3,053 | ||
8.50%, 11/15/30 | 3,113 | 3,128 | ||
8.50%, 12/15/30 | 2,457 | 2,467 | ||
8.50%, 02/15/31 | 12,460 | 12,933 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 0.40%, 05/20/37† | 61,321 | 61,489 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 10.50% Cap), 0.68%, 02/20/61† | 471,204 | 473,148 | ||
Government National Mortgage Association, Series 2013-H13 | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%, 0.45% Floor, 15.00% Cap), 0.59%, 05/20/63† | 1,021,634 | 1,014,380 | ||
Government National Mortgage Association, Series 2016-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor), 0.85%, 02/20/66† | 13,346 | 13,399 | ||
Government National Mortgage Association, Series 2016-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor, 7.50% Cap), 0.85%, 10/20/66† | 1,495,714 | 1,514,214 | ||
Government National Mortgage Association, Series 2017-136 | ||||
3.00%, 03/20/47 | 144,560 | 146,924 | ||
Government National Mortgage Association, Series 2017-H09 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 1.03%, 04/20/67† | 1,966,737 | 1,981,514 | ||
Government National Mortgage Association, Series 2017-H10 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 1.03%, 04/20/67† | 2,253,385 | 2,271,413 | ||
Government National Mortgage Association, Series 2020-17 | ||||
2.50%, 10/20/49 | 111,500 | 114,847 |
Par | Value | |||
GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 10.50% Cap), 0.64%, 11/25/45† | $ 91,152 | $ 83,522 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 0.28%, 01/25/37† | 258,044 | 251,387 | ||
GS Mortgage Securities Corporation Trust, Series 2012-ALOH, Class A | ||||
3.55%, 04/10/34 144A | 680,000 | 680,106 | ||
GS Mortgage Securities Corporation Trust, Series 2020-TWN3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 2.00% Floor), 2.11%, 11/15/37 144A † | 560,000 | 563,081 | ||
GS Mortgage Securities Trust, Series 2011-GC5, Class AS | ||||
5.16%, 08/10/44 144A † γ | 315,981 | 317,551 | ||
GS Mortgage Securities Trust, Series 2013-GC12, Class A3 | ||||
2.86%, 06/10/46 | 1,342,000 | 1,361,783 | ||
GS Mortgage Securities Trust, Series 2019-GC38, Class A2 | ||||
3.87%, 02/10/52 | 373,644 | 388,406 | ||
GS Mortgage-Backed Securities Corporation Trust, Series 2020-PJ4, Class A2 | ||||
3.00%, 01/25/51 144A † γ | 216,641 | 220,168 | ||
GSR Mortgage Loan Trust, Series 2004-11, Class 5A1 | ||||
2.25%, 09/25/34† γ | 93,733 | 96,360 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
2.85%, 09/25/35† γ | 44,383 | 45,430 | ||
Hawaii Hotel Trust, Series 2019-MAUI, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.26%, 05/15/38 144A † | 429,000 | 429,594 | ||
Hawksmoor Mortgage Funding PLC, Series 2019-1X, Class A | ||||
(Floating, SONIA Interest Rate + 1.05%), 1.10%, 05/25/53(U) † | 786,373 | 1,067,463 | ||
Hawksmoor Mortgages, Series 2019-1A, Class A | ||||
(Floating, SONIA Interest Rate + 1.05%), 1.10%, 05/25/53(U) 144A † | 1,000,838 | 1,358,589 | ||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 0.29%, 09/25/46† | 310,660 | 293,083 | ||
IndyMac INDX Mortgage Loan Trust, Series 2007-FLX3, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.27%, 0.27% Floor), 0.37%, 06/25/37† | 120,886 | 160,679 |
Par | Value | |||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4 | ||||
3.48%, 06/15/45 | $ 217,933 | $ 219,203 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4FX | ||||
3.48%, 06/15/45 144A | 133,089 | 133,778 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-HSBC, Class D | ||||
4.52%, 07/05/32 144A † γ | 610,000 | 616,059 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class ASB | ||||
2.55%, 04/15/46 | 342,750 | 346,239 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX | ||||
4.25%, 07/05/33 144A | 190,000 | 197,231 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.96%, 0.96% Floor), 1.07%, 07/15/36 144A † | 1,710,000 | 1,708,721 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.91%, 04/15/38 144A † | 141,735 | 141,667 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2021-NYAH, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.76%, 0.76% Floor), 0.87%, 06/15/38 144A † | 560,000 | 559,398 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
2.58%, 02/25/35† γ | 10,272 | 10,332 | ||
JP Morgan Mortgage Trust, Series 2016-2, Class A1 | ||||
2.35%, 06/25/46 144A † γ | 247,318 | 244,699 | ||
JP Morgan Mortgage Trust, Series 2020-7, Class A3 | ||||
3.00%, 01/25/51 144A † γ | 165,880 | 167,447 | ||
JP Morgan Mortgage Trust, Series 2020-LTV1, Class A11 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 6.00% Cap), 1.09%, 06/25/50 144A † | 63,539 | 63,740 | ||
JP Morgan Mortgage Trust, Series 2021-12, Class A11 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.85%, 5.00% Cap), 0.90%, 02/25/52 144A † | 191,962 | 193,734 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class ASB | ||||
3.66%, 09/15/47 | 199,183 | 206,115 |
Par | Value | |||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class A3 | ||||
3.50%, 12/15/48 | $ 325,618 | $ 339,711 | ||
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class A3 | ||||
3.38%, 09/15/50 | 1,500,000 | 1,546,631 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.91%, 05/15/36 144A † | 409,000 | 408,943 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 1.46%, 05/15/36 144A † | 136,000 | 135,711 | ||
Life Mortgage Trust, Series 2021-BMR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 0.81%, 03/15/38 144A † | 1,000,000 | 999,052 | ||
Luminent Mortgage Trust, Series 2006-7, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.17%, 0.17% Floor, 10.50% Cap), 0.27%, 12/25/36† | 306,624 | 294,764 | ||
LUXE Trust, Series 2021-TRIP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.16%, 10/15/38 144A † | 1,500,000 | 1,501,776 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 3A1 | ||||
2.24%, 12/25/33† γ | 40,976 | 42,535 | ||
MF1 Multifamily Housing Mortgage Loan Trust, Series 2020-FL3, Class AS | ||||
(Floating, U.S. 30-Day Average SOFR + 2.96%, 2.85% Floor), 3.01%, 07/15/35 144A † | 260,000 | 264,224 | ||
MF1, Series 2021-W10, Class A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.07%, 1.07% Floor), 1.12%, 12/15/34 144A † | 110,000 | 110,924 | ||
MF1, Series 2021-W10, Class B | ||||
(Floating, U.S. 30-Day Average SOFR + 1.37%, 1.37% Floor), 1.42%, 12/15/34 144A † | 100,000 | 100,431 | ||
MFA Trust, Series 2021-INV2, Class A1 | ||||
1.91%, 11/25/56 144A | 307,185 | 304,519 | ||
MFA Trust, Series 2021-RPL1, Class A1 | ||||
1.13%, 07/25/60 144A | 1,055,921 | 1,039,787 | ||
MHC Commercial Mortgage Trust, Series 2021-MHC, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.91%, 04/15/38 144A † | 480,000 | 479,721 |
Par | Value | |||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class ASB | ||||
3.82%, 10/15/46 | $ 477,258 | $ 486,870 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 | ||||
3.77%, 11/15/46 | 484,630 | 498,459 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AAB | ||||
2.66%, 05/15/46 | 74,927 | 75,623 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15, Class A4 | ||||
4.05%, 04/15/47 | 285,000 | 299,296 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class ASB | ||||
3.62%, 10/15/47 | 252,251 | 259,778 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class ASB | ||||
3.04%, 04/15/48 | 1,381,055 | 1,414,495 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4 | ||||
3.73%, 05/15/48 | 955,000 | 1,019,215 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A5 | ||||
3.64%, 10/15/48 | 535,000 | 570,760 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class XA | ||||
0.66%, 12/15/49† IO γ | 1,828,748 | 51,461 | ||
Morgan Stanley Capital I Trust, Series 2018-H4, Class A4 | ||||
4.31%, 12/15/51 | 249,000 | 283,778 | ||
Morgan Stanley Capital I Trust, Series 2021-230P, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.17%, 1.17% Floor), 1.28%, 12/15/23 144A † | 1,000,000 | 1,001,250 | ||
New Residential Mortgage Loan Trust, Series 2017-3A, Class A1 | ||||
4.00%, 04/25/57 144A | 857,471 | 901,208 | ||
New Residential Mortgage Loan Trust, Series 2017-4A, Class A1 | ||||
4.00%, 05/25/57 144A | 757,764 | 796,761 | ||
New Residential Mortgage Loan Trust, Series 2018-1A, Class A1A | ||||
4.00%, 12/25/57 144A † γ | 1,108,889 | 1,170,462 | ||
New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1 | ||||
2.75%, 07/25/59 144A | 1,251,653 | 1,276,626 |
Par | Value | |||
New Residential Mortgage Loan Trust, Series 2020-1A, Class A1B | ||||
3.50%, 10/25/59 144A † γ | $ 543,583 | $ 565,029 | ||
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 | ||||
2.75%, 11/25/59 144A | 1,527,175 | 1,555,139 | ||
Oaktown Re VII, Ltd., Series 2021-2, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.60%, 1.60% Floor), 1.65%, 04/25/34 144A † | 700,000 | 700,796 | ||
OBX Trust, Series 2020-EXP3, Class 2A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.90%), 1.00%, 01/25/60 144A † | 450,000 | 451,745 | ||
ONE Mortgage Trust, Series 2021-PARK, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 0.81%, 03/15/36 144A † | 1,900,000 | 1,888,773 | ||
One New York Plaza Trust, Series 2020-1NYP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 1.06%, 01/15/36 144A † | 240,000 | 239,856 | ||
PFP, Ltd., Series 2019-5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.97%, 0.97% Floor), 1.08%, 04/14/36 144A † | 59,243 | 59,271 | ||
PFP, Ltd., Series 2019-6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.16%, 04/14/37 144A † | 623,408 | 622,169 | ||
PFP, Ltd., Series 2021-8, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 1.11%, 08/09/37 144A † | 1,700,000 | 1,692,886 | ||
PKHL Commercial Mortgage Trust, Series 2021-MF, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.88%, 0.88% Floor), 0.99%, 07/15/38 144A † | 678,000 | 678,568 | ||
Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1 | ||||
(Step to 4.99% on 07/25/24), 1.99%, 02/25/61 144A STEP | 719,088 | 710,842 | ||
PRKCM Trust, Series 2021-AFC2, Class A1 | ||||
2.07%, 11/25/56 144A | 350,990 | 352,939 | ||
Radnor RE, Ltd., Series 2021-2, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.85%, 1.85% Floor), 1.90%, 11/25/31 144A † | 400,000 | 400,768 |
Par | Value | |||
Ready Capital Mortgage Financing LLC, Series 2021-FL6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 1.04%, 07/25/36 144A † | $1,500,000 | $1,488,815 | ||
Residential Mortgage Securities 32 PLC, Class A | ||||
(Floating, SONIA Interest Rate + 1.25%), 1.30%, 06/20/70(U) 144A † | 807,789 | 1,103,279 | ||
Resimac Bastille Trust, Series 2021-2NCA, Class A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 0.75%, 02/03/53 144A † | 1,249,059 | 1,252,215 | ||
RFMSI Trust, Series 2003-S9, Class A1 | ||||
6.50%, 03/25/32 | 4,460 | 4,695 | ||
Ripon Mortgages PLC, Series 1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.91%, 08/20/56(U) † | 673,021 | 911,543 | ||
Seasoned Credit Risk Transfer Trust Series, Series 2019-4, Class MA | ||||
3.00%, 02/25/59 | 707,611 | 731,129 | ||
Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA | ||||
3.50%, 11/25/57 | 290,601 | 301,206 | ||
Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA | ||||
3.50%, 08/25/57 | 336,807 | 349,579 | ||
Sequoia Mortgage Trust, Series 2017-CH1, Class A2 | ||||
3.50%, 08/25/47 144A | 75,205 | 75,705 | ||
STACR Trust, Series 2018-HRP1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.65%), 1.75%, 04/25/43 144A † | 1,986,587 | 1,987,854 | ||
STACR Trust, Series 2018-HRP2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.25%), 1.35%, 02/25/47 144A † | 1,465,014 | 1,465,821 | ||
Starwood Mortgage Residential Trust, Series 2020-3, Class A1 | ||||
1.49%, 04/25/65 144A | 342,207 | 342,719 | ||
Starwood Mortgage Residential Trust, Series 2020-INV1, Class A1 | ||||
1.03%, 11/25/55 144A | 218,517 | 217,378 | ||
Stratton Mortgage Funding, Series 2021-2A, Class A | ||||
(Floating, SONIA Interest Rate + 0.90%), 0.95%, 07/20/60(U) 144A † | 265,820 | 361,200 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 0.40%, 09/25/34† | 47,415 | 45,561 |
Par | Value | |||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 11.00% Cap), 0.60%, 07/19/35† | $ 27,562 | $ 26,903 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.56%, 0.56% Floor, 10.50% Cap), 0.66%, 02/25/36† | 247,622 | 238,476 | ||
STWD Mortgage Trust, Series 2021-HTS, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.16%, 04/15/34 144A † | 1,700,000 | 1,705,419 | ||
STWD Trust, Series 2021-FLWR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor), 0.69%, 07/15/36 144A † | 2,100,000 | 2,077,832 | ||
TBW Mortgage-Backed Trust, Series 2007-2, Class A6A | ||||
(Step to 4.36% on 03/25/22), 6.51%, 07/25/37 STEP | 190,839 | 105,705 | ||
TORRENS Trust, Series 2013-1, Class A | ||||
(Floating, Australian BBSW 1M + 0.95%), 0.97%, 04/12/44(A) † | 345,136 | 251,450 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 1.03%), 1.24%, 10/20/51(U) 144A † | 1,129,310 | 1,539,938 | ||
Towd Point Mortgage Funding, Series 2019-A13A, Class A1 | ||||
(Floating, SONIA Interest Rate + 0.90%), 0.95%, 07/20/45(U) 144A † | 2,098,278 | 2,846,665 | ||
Towd Point Mortgage Trust, Series 2021-SJ2, Class A1A | ||||
2.25%, 03/25/59 144A | 1,300,000 | 1,314,901 | ||
TPGI Trust, Series 2021-DGWD, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 0.81%, 06/15/26 144A † | 450,000 | 448,614 | ||
Trinity Square PLC, Series 2021-1A, Class A | ||||
(Floating, SONIA Interest Rate + 0.85%), 0.90%, 07/15/59(U) 144A † | 1,237,451 | 1,677,226 | ||
TTAN, Series 2021-MHC, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.85%, 0.85% Floor), 0.96%, 03/15/38 144A † | 299,861 | 299,710 | ||
UBS Commercial Mortgage Trust, Series 2017-C1, Class A4 | ||||
3.46%, 06/15/50 | 500,000 | 533,132 |
Par | Value | |||
UBS Commercial Mortgage Trust, Series 2019-C16, Class ASB | ||||
3.46%, 04/15/52 | $ 540,000 | $ 579,337 | ||
UBS Commercial Mortgage Trust, Series 2019-C18, Class A4 | ||||
3.04%, 12/15/52 | 330,000 | 349,443 | ||
Verus Securitization Trust, Series 2021-6, Class A1 | ||||
1.63%, 10/25/66 144A | 1,251,547 | 1,247,226 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR6, Class A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 1.48%, 06/25/42† | 3,232 | 3,230 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A | ||||
2.68%, 08/25/33† γ | 82,099 | 85,035 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR2, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.62%, 0.62% Floor, 10.50% Cap), 0.72%, 01/25/45† | 149,528 | 149,533 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR19, Class 1A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.74%, 0.74% Floor), 0.82%, 01/25/47† | 181,284 | 175,875 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR5, Class A12A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.98%, 0.98% Floor), 1.06%, 06/25/46† | 365,196 | 370,365 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
2.88%, 02/25/37† γ | 125,507 | 119,231 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 2A1 | ||||
3.29%, 05/25/37† γ | 173,415 | 153,027 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA5, Class A1B | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.84%, 0.84% Floor), 0.92%, 05/25/47† | 34,309 | 3,873 | ||
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4 | ||||
3.17%, 02/15/48 | 500,000 | 522,546 | ||
Wells Fargo Commercial Mortgage Trust, Series 2015-C27, Class A5 | ||||
3.45%, 02/15/48 | 435,000 | 458,356 |
Par | Value | |||
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class A6FL | ||||
(Floating, ICE LIBOR USD 1M + 1.55%, 1.55% Floor), 1.66%, 01/15/59 144A † | $ 2,000,000 | $ 2,054,319 | ||
Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class A5 | ||||
3.42%, 09/15/50 | 1,096,000 | 1,181,180 | ||
Wells Fargo Mortgage Backed Securities Trust, Series 2020-RR1, Class A1 | ||||
3.00%, 05/25/50 144A † γ | 103,420 | 104,888 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class ASB | ||||
3.39%, 08/15/47 | 364,835 | 373,817 | ||
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class ASB | ||||
3.52%, 03/15/47 | 289,297 | 295,817 | ||
Total Mortgage-Backed Securities (Cost $169,636,285) | 170,977,969 | |||
MUNICIPAL BONDS — 0.1% | ||||
California State Earthquake Authority, Revenue Bond, Series B | ||||
1.48%, 07/01/23 | 315,000 | 317,846 | ||
Hawaii State, General Obligation, Series GB | ||||
0.80%, 10/01/24 | 1,000,000 | 992,781 | ||
Total Municipal Bonds (Cost $1,315,000) | 1,310,627 | |||
U.S. TREASURY OBLIGATIONS — 27.4% | ||||
U.S. Treasury Bonds | ||||
1.75%, 08/15/41 | 4,300,000 | 4,183,765 | ||
U.S. Treasury Notes | ||||
0.13%, 12/31/22 | 15,400,000 | 15,353,236 | ||
0.38%, 10/31/23 | 43,017,000 | 42,774,189 | ||
0.75%, 12/31/23 | 10,130,000 | 10,133,957 | ||
0.13%, 02/15/24‡‡ | 16,272,300 | 16,065,400 | ||
0.25%, 03/15/24 | 21,060,000 | 20,814,026 | ||
0.38%, 04/15/24 | 8,470,000 | 8,387,616 | ||
0.25%, 05/15/24 | 6,300,000 | 6,216,082 | ||
0.25%, 06/15/24 | 15,860,000 | 15,631,393 | ||
0.38%, 07/15/24 | 1,620,000 | 1,600,509 | ||
0.38%, 08/15/24 | 12,495,000 | 12,334,420 | ||
0.38%, 09/15/24 | 10,600,000 | 10,453,836 | ||
0.75%, 11/15/24 | 100,655,000 | 100,128,135 | ||
1.00%, 12/15/24‡‡ | 29,685,000 | 29,725,585 | ||
289,618,384 | ||||
Total U.S. Treasury Obligations (Cost $294,908,870) | 293,802,149 |
Shares | Value | |||
MONEY MARKET FUNDS — 3.5% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ | 28,508,385 | $ 28,508,385 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.04%Ø § | 8,092,328 | 8,092,328 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 1,018,453 | 1,018,453 | ||
Total Money Market Funds (Cost $37,619,166) | 37,619,166 | |||
TOTAL INVESTMENTS —102.5% (Cost $1,101,389,274) | 1,099,865,264 |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.0)% | ||||
Call Option — (0.0)% | ||||
FNCL 3.00% expiration date 3/2022, Strike Price $103.75, Expires 03/07/22 (JPM) | 1 | $ (622,523) | (1,380) | |
Call Swaptions — (0.0)% | ||||
Sell Protection on Markit CDX.NA.IG.37 Index; Receive 1.00% (Quarterly); Credit Default Swap Maturing 12/20/2026 USD, Strike Price $80.00, Expires 01/19/22 (MSCS) | 1 | (2,800,000) | (112) | |
Sell Protection on Markit CDX.NA.IG.37 Index; Receive 1.00% (Quarterly); Credit Default Swap Maturing 12/20/2026 USD, Strike Price $80.00, Expires 01/19/22 (DEUT) | 1 | (14,200,000) | (571) | |
Sell Protection on Markit CDX.NA.IG.37 Index; Receive 1.00% (Quarterly); Credit Default Swap Maturing 12/20/2026 USD, Strike Price $90.00, Expires 03/16/22 (DEUT) | 1 | (17,000,000) | (5,454) |
Number of Contracts | Notional Amount | Value | |||
Sell Protection on Markit CDX.NA.IG.37 Index; Receive 1.00% (Quarterly); Credit Default Swap Maturing 12/20/2026 USD, Strike Price $95.00, Expires 03/16/22 (BAR) | 1 | $(13,700,000) | $ (3,711) | ||
Sell Protection on Markit CDX.NA.IG.37 Index; Receive 1.00% (Quarterly); Credit Default Swap Maturing 12/20/2026 USD, Strike Price $100.00, Expires 03/16/22 (GSC) | 1 | (11,800,000) | (2,758) | ||
Sell Protection on Markit CDX.NA.IG.37 Index; Receive 1.00% (Quarterly); Credit Default Swap Maturing 12/20/2026 USD, Strike Price $100.00, Expires 03/16/22 (MSCS) | 1 | (26,600,000) | (6,216) | ||
(18,822) | |||||
Put Option — (0.0)% | |||||
FNCL 3.00% expiration date 1/2022, Strike Price $104.06, Expires 01/06/22 (JPM) | 1 | (2,497,500) | (9,704) | ||
Total Written Options (Premiums received $ (105,645)) | (29,906) | ||||
Liabilities in Excess of Other Assets — (2.5)% | (26,936,084) | ||||
NET ASSETS — 100.0% | $1,072,899,274 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 03/2022 | (51) | $ (7,736,381) | $ 46,587 | ||||
Euro-Bund | 03/2022 | (1) | (195,105) | 2,771 | ||||
Euro-Schatz | 03/2022 | (34) | (4,336,569) | 5,209 | ||||
10-Year U.S. Treasury Note | 03/2022 | (75) | (9,785,156) | (53,955) | ||||
Ultra 10-Year U.S. Treasury Note | 03/2022 | (162) | (23,722,875) | (375,197) | ||||
Ultra Long U.S. Treasury Bond | 03/2022 | (16) | (3,154,000) | (65,887) | ||||
2-Year U.S. Treasury Note | 04/2022 | 1,422 | 310,240,406 | (386,792) | ||||
5-Year U.S. Treasury Note | 04/2022 | (1,101) | (133,195,195) | (202,487) | ||||
90-Day Bank Acceptance | 12/2022 | 302 | 58,635,677 | (493,749) | ||||
90-Day Bank Acceptance | 03/2023 | 413 | 80,048,441 | (482,099) | ||||
Total Futures Contracts outstanding at December 31, 2021 | $ 266,799,243 | $(2,005,599) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/17/22 | U.S. Dollars | 5,854,506 | Euro | 4,958,000 | HSBC | $ 200,920 | ||||||
02/14/22 | U.S. Dollars | 13,091,313 | Japanese Yen | 1,485,000,000 | UBS | 177,149 | ||||||
02/02/22 | U.S. Dollars | 20,277,474 | British Pounds | 14,972,000 | BNP | 13,976 | ||||||
03/17/22 | Canadian Dollars | 85,000 | U.S. Dollars | 65,892 | HSBC | 1,293 | ||||||
Subtotal Appreciation | $ 393,338 | |||||||||||
03/17/22 | Euro | 4,000 | U.S. Dollars | 4,655 | HSBC | $ (94) | ||||||
03/17/22 | Canadian Dollars | 143,000 | U.S. Dollars | 114,756 | HSBC | (1,727) | ||||||
03/16/22 | U.S. Dollars | 282,531 | Canadian Dollars | 361,000 | MSCS | (2,810) | ||||||
03/16/22 | U.S. Dollars | 232,559 | Australian Dollars | 326,000 | MSCS | (4,668) | ||||||
03/17/22 | U.S. Dollars | 1,985,499 | Canadian Dollars | 2,518,000 | HSBC | (4,761) | ||||||
02/02/22 | U.S. Dollars | 6,707,625 | Euro | 5,895,000 | BAR | (8,378) | ||||||
01/07/22 | U.S. Dollars | 1,112,241 | Canadian Dollars | 1,419,847 | UBS | (10,204) | ||||||
01/07/22 | Japanese Yen | 194,100,000 | U.S. Dollars | 1,709,872 | JPM | (22,390) | ||||||
01/07/22 | U.S. Dollars | 6,630,507 | Canadian Dollars | 8,418,160 | JPM | (24,379) | ||||||
01/07/22 | U.S. Dollars | 1,572,796 | Australian Dollars | 2,197,000 | JPM | (25,668) | ||||||
01/07/22 | U.S. Dollars | 3,568,984 | Canadian Dollars | 4,561,037 | HSBC | (36,694) | ||||||
01/07/22 | U.S. Dollars | 6,881,159 | Australian Dollars | 9,532,078 | MSCS | (54,062) | ||||||
01/04/22 | U.S. Dollars | 6,645,221 | Euro | 5,895,000 | BAR | (66,793) | ||||||
03/16/22 | U.S. Dollars | 18,354,678 | Euro | 16,211,000 | RBS | (130,199) | ||||||
01/05/22 | U.S. Dollars | 19,824,981 | British Pounds | 14,972,000 | BNP | (440,125) | ||||||
Subtotal Depreciation | $(832,952) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2021 | $(439,614) |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Sovereign Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2024 | MSCS | USD | 1,600,000 | $(32,954) | $(35,993) | $3,039 | ||||||||
$(32,954) | $(35,993) | $3,039 |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
Markit CDX.NA.IG.37 Index (Pay Quarterly) | (1.00)% | 12/20/2026 | USD | 40,700,000 | $(1,008,030) | $(1,002,279) | $(5,751) | |||||||
$(1,008,030) | $(1,002,279) | $(5,751) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Month LIBOR + .098% (Quarterly) | 3-Month LIBOR (Quarterly) | 1/13/2023 | USD | 25,000,000 | $(9,877) | $ — | $(9,877) | |||||||
$(9,877) | $ — | $(9,877) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 27,692,391 | $ — | $ 27,692,391 | $ — | |||
Asset-Backed Securities | 182,598,143 | — | 182,598,143 | — | |||
Corporate Bonds | 209,046,082 | — | 209,046,082 | — | |||
Foreign Bonds | 176,818,737 | — | 176,818,737 | — | |||
Money Market Funds | 37,619,166 | 37,619,166 | — | — | |||
Mortgage-Backed Securities | 170,977,969 | — | 170,977,969 | — | |||
Municipal Bonds | 1,310,627 | — | 1,310,627 | — | |||
U.S. Treasury Obligations | 293,802,149 | — | 293,802,149 | — | |||
Total Assets - Investments in Securities | $1,099,865,264 | $37,619,166 | $1,062,246,098 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 393,338 | $ — | $ 393,338 | $ — | |||
Futures Contracts | 54,567 | 54,567 | — | — | |||
Swap Agreements | 3,039 | — | 3,039 | — | |||
Total Assets - Other Financial Instruments | $ 450,944 | $ 54,567 | $ 396,377 | $ — |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Options: | |||||||
Call Option | $ (1,380) | $ (1,380) | $ — | $ — | |||
Call Swaptions | (18,822) | (18,822) | — | — | |||
Put Option | (9,704) | (9,704) | — | — | |||
Total Written Options | (29,906) | (29,906) | — | — | |||
Total Liabilities - Investments in Securities | $ (29,906) | $ (29,906) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (832,952) | $ — | $(832,952) | $ — | |||
Futures Contracts | (2,060,166) | (2,060,166) | — | — | |||
Swap Agreements | (15,628) | — | (15,628) | — | |||
Total Liabilities - Other Financial Instruments | $(2,908,746) | $(2,060,166) | $(848,580) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
% | |
Corporate Bonds | 28.4 |
Mortgage-Backed Securities | 24.2 |
U.S. Treasury Obligations | 22.3 |
Foreign Bonds | 12.5 |
Repurchase Agreements | 6.9 |
Money Market Funds | 6.8 |
Asset-Backed Securities | 4.8 |
Agency Obligations | 1.3 |
Commercial Paper | 0.7 |
Municipal Bonds | 0.5 |
Loan Agreements | 0.4 |
Certificates Of Deposit | 0.3 |
Purchased Options | —** |
Written Options | —** |
TBA Sale Commitments | (2.7) |
106.4 | |
**Rounds to less than 0.05% |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (2.07%)*** | (2.27%) | (1.54%) | ||||
Five Year | 4.02% | 3.76% | 3.57% | ||||
Ten Year | 3.51% | 3.27% | 2.90% | ||||
Since Inception | 4.83% | 4.68% | 4.34% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.39% | 0.66% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Par | Value | |||
AGENCY OBLIGATIONS — 1.3% | ||||
Federal Farm Credit Banks Funding Corporation | ||||
1.70%, 04/23/35 | $3,800,000 | $ 3,703,021 | ||
Federal Home Loan Bank Discount Notes | ||||
0.05%, 03/09/22Ω | 1,230,000 | 1,229,911 | ||
0.05%, 03/18/22Ω | 3,630,000 | 3,629,702 | ||
Federal Home Loan Mortgage Corporation | ||||
0.00%, | 300,001 | 312,709 | ||
0.65%, 10/22/25 | 7,100,000 | 6,948,106 | ||
0.65%, 10/27/25 | 7,200,000 | 7,055,019 | ||
0.80%, 10/28/26 | 7,200,000 | 7,027,081 | ||
Federal National Mortgage Association | ||||
6.63%, 11/15/30 | 670,000 | 944,992 | ||
Total Agency Obligations (Cost $31,103,745) | 30,850,541 | |||
ASSET-BACKED SECURITIES — 4.8% | ||||
522 Funding CLO, Ltd., Series 2020-6A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 1.28%, 10/23/34 144A † | 1,110,000 | 1,110,555 | ||
A10 Bridge Asset Financing LLC, Series 2020-C, Class A | ||||
2.02%, 08/15/40 144A | 947,095 | 949,197 | ||
ABPCI Direct Lending Fund CLO X LP, Series 2020-10A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.95%, 1.95% Floor), 2.08%, 01/20/32 144A † | 970,000 | 971,515 | ||
Allegro CLO XI, Ltd., Series 2019-2A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.39%, 1.39% Floor), 1.51%, 01/19/33 144A † | 500,000 | 500,945 | ||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R10, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 0.78%, 01/25/36† | 2,900,000 | 2,885,899 | ||
AMMC CLO XI, Ltd., Series 2012-11A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.01%), 1.14%, 04/30/31 144A † | 710,000 | 709,587 | ||
Apidos CLO XXIII, Series 2015-23A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.22%, 1.22% Floor), 1.34%, 04/15/33 144A † | 1,500,000 | 1,501,090 |
Par | Value | |||
Apidos CLO XXXV, Series 2021-35A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 1.18%, 04/20/34 144A † | $ 540,000 | $ 538,764 | ||
Ballyrock CLO, Ltd., Series 2018-1A, Class C | ||||
(Floating, ICE LIBOR USD 3M + 3.15%), 3.28%, 04/20/31 144A † | 750,000 | 750,502 | ||
Ballyrock CLO, Ltd., Series 2019-2A, Class A1BR | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 1.36%, 11/20/30 144A † | 490,000 | 489,899 | ||
Basswood Park CLO, Ltd., Series 2021-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.00%, 1.00% Floor), 1.13%, 04/20/34 144A † | 1,500,000 | 1,497,754 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A2A | ||||
6.00%, 10/25/36 | 848,543 | 551,691 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A3A | ||||
6.50%, 10/25/36 | 2,063,900 | 1,352,740 | ||
BlueMountain CLO XXVIII, Ltd., Series 2021-28A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.26%, 1.26% Floor), 1.38%, 04/15/34 144A † | 400,000 | 400,484 | ||
BlueMountain CLO, Ltd., Series 2013-2A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.18%), 1.31%, 10/22/30 144A † | 490,193 | 490,344 | ||
BSPRT Issuer, Ltd., Series 2018-FL4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.16%, 09/15/35 144A † | 469,460 | 469,815 | ||
Carlyle Global Market Strategies CLO, Ltd., Series 2014-3RA, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%), 1.18%, 07/27/31 144A † | 317,386 | 317,326 | ||
Carrington Mortgage Loan Trust, Series 2005-OPT2, Class M4 | ||||
(Floating, ICE LIBOR USD 1M + 0.98%, 0.98% Floor), 1.08%, 05/25/35† | 1,002,434 | 1,003,552 | ||
Cayuga Park CLO, Ltd., Series 2020-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.12%, 1.12% Floor), 1.24%, 07/17/34 144A † | 790,000 | 789,956 |
Par | Value | |||
Cedar Funding V CLO, Ltd., Series 2016-5A, Class AFRR | ||||
1.94%, 07/17/31 144A | $ 560,000 | $ 561,091 | ||
Credit Suisse European Mortgage Capital, Ltd., Series 2019-1OTF, Class A | ||||
(Floating, ICE LIBOR USD 3M + 2.90%), 3.03%, 08/09/24 144A † | 960,000 | 931,428 | ||
CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.75% Floor), 0.85%, 03/25/34† | 79,677 | 79,518 | ||
CWHEQ Revolving Home Equity Loan Trust, Series 2005-F, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.24%, 0.24% Floor, 16.00% Cap), 0.35%, 12/15/35† | 26,000 | 25,286 | ||
Dryden 75 CLO, Ltd., Series 2019-75A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 1.16%, 04/15/34 144A † | 250,000 | 250,222 | ||
Dryden 77 CLO, Ltd., Series 2020-77A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.12%, 1.12% Floor), 1.28%, 05/20/34 144A † | 6,500,000 | 6,503,240 | ||
Dryden 87 CLO, Ltd., Series 2021-87A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.10%, 1.10% Floor), 1.26%, 05/20/34 144A † | 1,440,000 | 1,440,007 | ||
ECMC Group Student Loan Trust, Series 2017-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%), 1.30%, 12/27/66 144A † | 795,609 | 810,241 | ||
Elmwood CLO IV, Ltd., Series 2020-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.24%, 1.24% Floor), 1.36%, 04/15/33 144A † | 3,800,000 | 3,800,146 | ||
Federal National Mortgage Association Grantor Trust, Series 2017-T1 | ||||
2.90%, 06/25/27 | 99,538 | 105,355 | ||
Financial Asset Securities Corporation AAA Trust, Series 2005-1A, Class 1A3B | ||||
(Floating, ICE LIBOR USD 1M + 0.41%, 0.41% Floor), 0.51%, 02/27/35 144A † | 359,314 | 334,582 | ||
Flagship Credit Auto Trust, Series 2019-3, Class A | ||||
2.33%, 02/15/24 144A | 115,070 | 115,251 | ||
Fortress Credit Bsl X, Ltd., Series 2021-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.47%, 1.47% Floor), 1.60%, 04/20/33 144A † | 2,190,000 | 2,197,849 |
Par | Value | |||
GMACM Home Equity Loan Trust, Series 2007-HE3, Class 2A1 | ||||
7.00%, 09/25/37† γ | $ 32,161 | $ 31,396 | ||
GoldenTree Loan Opportunities IX, Ltd., Series 2014-9A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.11%, 1.11% Floor), 1.24%, 10/29/29 144A † | 1,000,000 | 1,000,310 | ||
Golub Capital Partners CLO 45M, Ltd., Series 2019-45A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.72%, 1.72% Floor), 1.85%, 10/20/31 144A † | 250,000 | 250,159 | ||
GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class A | ||||
2.10%, 05/20/48 144A | 2,226,428 | 2,195,055 | ||
Greywolf CLO V, Ltd., Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.16%, 1.16% Floor), 1.28%, 01/27/31 144A † | 500,000 | 500,366 | ||
Halcyon Loan Advisors Funding, Ltd., Series 2015-2A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%, 1.08% Floor), 1.20%, 07/25/27 144A † | 18,821 | 18,830 | ||
HalseyPoint CLO, Ltd., Series 2020-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.45%, 1.45% Floor), 1.58%, 11/30/32 144A † | 530,000 | 531,840 | ||
Higher Education Funding I, Series 2014-1, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%), 1.23%, 05/25/34 144A † | 474,653 | 476,325 | ||
Hildene Community Funding CDO, Ltd., Series 2015-1A, Class ARR | ||||
2.60%, 11/01/35 144A | 750,000 | 750,349 | ||
HPS Loan Management, Ltd., Series 2021-16A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.14%, 1.14% Floor), 1.40%, 01/23/35 144A † | 640,000 | 640,000 | ||
ICG U.S. CLO, Ltd., Series 2017-1A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 1.17%, 1.17% Floor), 1.31%, 07/28/34 144A † | 1,500,000 | 1,496,500 | ||
InStar Leasing III LLC, Series 2021-1A, Class A | ||||
2.30%, 02/15/54 144A | 966,076 | 961,780 | ||
KKR CLO, Ltd., Series 32A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.32%, 1.32% Floor), 1.44%, 01/15/32 144A † | 340,000 | 340,253 | ||
KREF, Ltd., Series 2021-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.07%, 1.07% Floor), 1.18%, 02/15/39 144A † | 1,560,000 | 1,559,276 |
Par | Value | |||
LCCM Trust, Series 2021-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%, 1.20% Floor), 1.31%, 12/13/38 144A † | $ 750,000 | $ 748,561 | ||
LCM XVIII LP, Series 19A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.24%, 1.24% Floor), 1.36%, 07/15/27 144A † | 116,188 | 116,225 | ||
Loanpal Solar Loan, Ltd., Series 2021-1GS, Class A | ||||
2.29%, 01/20/48 144A | 725,498 | 727,388 | ||
LP Credit Card ABS Master Trust, Series 2018-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.55%), 1.64%, 08/20/24 144A † | 385,552 | 386,608 | ||
Madison Park Funding XXX, Ltd., Series 2018-30A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.75%, 0.75% Floor), 0.87%, 04/15/29 144A † | 2,735,383 | 2,735,895 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.85%, 1.85% Floor), 1.97%, 04/15/31 144A † | 500,000 | 500,109 | ||
MF1, Ltd., Series 2021-FL6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.21%, 07/16/36 144A † | 900,000 | 897,550 | ||
Mill City Mortgage Loan Trust, Series 2017-2, Class A3 | ||||
3.01%, 07/25/59 144A † γ | 190,106 | 194,247 | ||
Mississippi Higher Education Assistance Corporation, Series 2014-1, Class A1 | �� | |||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 0.78%, 10/25/35† | 349,364 | 350,517 | ||
NADG NNN Operating LP, Series 2019-1, Class A | ||||
3.37%, 12/28/49 144A | 881,100 | 894,734 | ||
Navient Private Education Loan Trust, Series 2015-BA, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.45%), 1.56%, 07/16/40 144A † | 2,207,949 | 2,218,942 | ||
Navient Student Loan Trust, Series 2016-3A, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.35%), 1.45%, 06/25/65 144A † | 1,301,188 | 1,341,566 | ||
Navient Student Loan Trust, Series 2016-6A, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.30%), 1.40%, 03/25/66 144A † | 3,176,000 | 3,297,760 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 1.15%, 12/27/66 144A † | 1,259,377 | 1,270,774 |
Par | Value | |||
Navient Student Loan Trust, Series 2020-1A, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.15%, 06/25/69 144A † | $2,014,963 | $2,070,833 | ||
Neuberger Berman Loan Advisers CLO, Ltd., Series 2018-29A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 1.13% Floor), 1.25%, 10/19/31 144A † | 750,000 | 750,144 | ||
Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A1 | ||||
1.85%, 11/20/50 144A | 667,153 | 661,717 | ||
Octagon Investment Partners 36, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.97%), 1.09%, 04/15/31 144A † | 700,000 | 696,954 | ||
Octagon Investment Partners 45, Ltd., Series 2019-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.33%, 1.33% Floor), 1.45%, 10/15/32 144A † | 750,000 | 750,478 | ||
Octagon Investment Partners XXI, Ltd., Series 2014-1A, Class AAR3 | ||||
(Floating, ICE LIBOR USD 3M + 1.00%, 1.00% Floor), 1.16%, 02/14/31 144A † | 530,000 | 527,555 | ||
OHA Credit Funding 7, Ltd., Series 2020-7A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.25%, 1.25% Floor), 1.37%, 10/19/32 144A † | 270,000 | 270,193 | ||
Owl Rock CLO III, Ltd., Series 2020-3A, Class A1L | ||||
(Floating, ICE LIBOR USD 3M + 1.80%), 1.93%, 04/20/32 144A † | 600,000 | 601,624 | ||
Palmer Square CLO, Ltd., Series 2019-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 1.30%, 11/14/34 144A † | 900,000 | 900,449 | ||
PHEAA Student Loan Trust, Series 2012-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 0.65%, 05/25/57 144A † | 410,533 | 405,014 | ||
PHEAA Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.25%, 09/25/65 144A † | 385,249 | 392,472 | ||
PHEAA Student Loan Trust, Series 2016-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%), 1.05%, 11/25/65 144A † | 348,397 | 348,082 |
Par | Value | |||
Point Au Roche Park CLO, Ltd., Series 2021-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.08%, 1.08% Floor), 1.26%, 07/20/34 144A † | $1,170,000 | $1,167,324 | ||
RAMP Trust, Series 2005-EFC6, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.65% Floor, 14.00% Cap), 0.75%, 11/25/35† | 137,726 | 137,823 | ||
Recette CLO, Ltd., Series 2015-1A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%), 1.21%, 04/20/34 144A † | 340,000 | 339,234 | ||
REESE PARK CLO, Ltd., Series 2020-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 1.13% Floor), 1.25%, 10/15/34 144A † | 1,350,000 | 1,349,228 | ||
Saxon Asset Securities Trust, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor, 10.28% Cap), 0.89%, 03/25/35† | 92,265 | 90,398 | ||
SBA Small Business Investment Cos., Series 2018-10B, Class 1 | ||||
3.55%, 09/10/28 | 136,923 | 145,140 | ||
Shackleton CLO, Ltd., Series 2014-6RA, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.02%, 1.02% Floor), 1.14%, 07/17/28 144A † | 357,990 | 358,229 | ||
Shackleton CLO, Ltd., Series 2019-14A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 1.33%, 07/20/34 144A † | 8,700,000 | 8,704,333 | ||
SLC Student Loan Trust, Series 2005-3, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 0.32%, 06/15/29† | 232,893 | 232,432 | ||
SLM Student Loan Trust, Series 2003-10A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.47%), 0.67%, 12/15/27 144A † | 312,431 | 312,475 | ||
SLM Student Loan Trust, Series 2005-4, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 0.24%, 01/25/27† | 44,822 | 44,731 | ||
SLM Student Loan Trust, Series 2005-5, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.14%, 0.14% Floor), 0.26%, 10/25/28† | 337,266 | 336,322 | ||
SMB Private Education Loan Trust, Series 2020-BA, Class A1A | ||||
1.29%, 07/15/53 144A | 429,188 | 424,811 |
Par | Value | |||
SMB Private Education Loan Trust, Series 2021-A, Class A2B | ||||
1.59%, 01/15/53 144A | $1,530,000 | $1,517,742 | ||
SMB Private Education Loan Trust, Series 2021-A, Class B | ||||
2.31%, 01/15/53 144A | 660,000 | 655,584 | ||
SMB Private Education Loan Trust, Series 2021-C, Class B | ||||
2.30%, 01/15/53 144A | 580,000 | 582,497 | ||
Sonic Capital LLC, Series 2020-1A, Class A2I | ||||
3.85%, 01/20/50 144A | 661,067 | 687,447 | ||
Sound Point CLO XX, Ltd., Series 2018-2A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 1.22%, 07/26/31 144A † | 500,000 | 499,252 | ||
Stonepeak, Series 2021-1A, Class AA | ||||
2.30%, 02/28/33 144A | 2,172,847 | 2,154,706 | ||
Structured Asset Investment Loan Trust, Series 2005-1, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.78% Floor), 0.88%, 02/25/35 144A † | 2,700,000 | 2,722,842 | ||
Sunrun Demeter Issuer, Series 2021-2A, Class A | ||||
2.27%, 01/30/57 144A | 2,300,000 | 2,296,513 | ||
Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 1.01%, 04/15/29 144A † | 2,012,817 | 2,012,315 | ||
Trysail CLO, Ltd., Series 2021-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.32%, 1.32% Floor), 1.45%, 07/20/32 144A † | 2,900,000 | 2,898,878 | ||
United States Small Business Administration, Series 2019-20D, Class 1 | ||||
2.98%, 04/01/39 | 106,140 | 113,501 | ||
United States Small Business Administration, Series 2019-25G, Class 1 | ||||
2.69%, 07/01/44 | 193,203 | 202,499 | ||
Utah State Board of Regents, Series 2015-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.69%, 02/25/43† | 275,979 | 274,473 | ||
Venture 39 CLO, Ltd., Series 2020-39A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.28%, 1.28% Floor), 1.40%, 04/15/33 144A † | 2,525,000 | 2,527,529 |
Par | Value | |||
Voya CLO, Ltd., Series 2016-3A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.19%), 1.31%, 10/18/31 144A † | $ 500,000 | $ 500,267 | ||
Voya CLO, Ltd., Series 2017-3A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.04%), 1.17%, 04/20/34 144A † | 490,000 | 487,323 | ||
Voya CLO, Ltd., Series 2018-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 1.27%, 10/15/31 144A † | 1,250,000 | 1,250,623 | ||
Voya CLO, Ltd., Series 2019-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.06%, 1.06% Floor), 1.18%, 04/15/31 144A † | 1,700,000 | 1,696,580 | ||
Wellfleet CLO X, Ltd., Series 2019-XA, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.17%), 1.30%, 07/20/32 144A † | 6,900,000 | 6,906,988 | ||
Whitebox CLO II, Ltd., Series 2020-2A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.22%, 1.22% Floor), 1.38%, 10/24/34 144A † | 650,000 | 650,325 | ||
Whitebox CLO III, Ltd., Series 2021-3A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.22%, 1.22% Floor), 1.34%, 10/15/34 144A † | 780,000 | 780,753 | ||
Whitehorse XII, Ltd., Series 2018-12A, Class D | ||||
(Floating, ICE LIBOR USD 3M + 3.65%, 3.65% Floor), 3.77%, 10/15/31 144A † | 750,000 | 731,007 | ||
Total Asset-Backed Securities (Cost $115,683,680) | 115,036,785 | |||
CERTIFICATES OF DEPOSIT — 0.3% | ||||
Sumitomo Mitsui Banking Corporation | ||||
0.18%, 01/31/22 (Cost $6,000,000) | 6,000,000 | 6,000,382 | ||
COMMERCIAL PAPER — 0.7% | ||||
AT&T, Inc. | ||||
0.18%, 02/14/22Ω | 3,500,000 | 3,498,731 | ||
Australia & New Zealand Banking Group Ltd. | ||||
0.12%, 02/01/22Ω | 5,000,000 | 4,999,698 | ||
Entergy Corp. | ||||
0.15%, 01/12/22Ω | 2,000,000 | 1,999,905 | ||
Fidelity National Information Services, Inc. | ||||
0.25%, 01/05/22Ω | 3,300,000 | 3,299,930 | ||
VW Credit, Inc. | ||||
0.20%, 01/06/22Ω | 2,900,000 | 2,899,926 | ||
Total Commercial Paper (Cost $16,698,446) | 16,698,190 |
Par | Value | |||
CORPORATE BONDS — 28.4% | ||||
3M Co. | ||||
2.38%, 08/26/29 | $ 210,000 | $ 215,835 | ||
3.05%, 04/15/30Δ | 50,000 | 53,723 | ||
3.70%, 04/15/50Δ | 790,000 | 931,928 | ||
7-Eleven, Inc. | ||||
1.30%, 02/10/28 144A | 725,000 | 691,596 | ||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 148,000 | 163,744 | ||
4.75%, 11/30/36 | 205,000 | 262,433 | ||
4.90%, 11/30/46 | 210,000 | 288,731 | ||
Adobe, Inc. | ||||
2.30%, 02/01/30Δ | 650,000 | 665,690 | ||
Adventist Health System | ||||
2.95%, 03/01/29 | 160,000 | 167,588 | ||
Aetna, Inc. | ||||
2.80%, 06/15/23 | 50,000 | 51,252 | ||
Air Lease Corporation | ||||
3.38%, 07/01/25 | 1,430,000 | 1,493,967 | ||
2.88%, 01/15/26 | 1,600,000 | 1,652,711 | ||
3.75%, 06/01/26Δ | 875,000 | 929,041 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.15%), 4.13%, 12/15/26ρ Δ ^ | 600,000 | 597,000 | ||
3.25%, 10/01/29 | 45,000 | 46,163 | ||
3.00%, 02/01/30 | 40,000 | 40,008 | ||
Alaska Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
4.80%, 08/15/27 144A | 1,566,740 | 1,715,829 | ||
Alexandria Real Estate Equities, Inc. REIT | ||||
3.80%, 04/15/26 | 900,000 | 975,288 | ||
2.75%, 12/15/29 | 1,400,000 | 1,446,866 | ||
3.38%, 08/15/31 | 325,000 | 350,709 | ||
Allegion U.S. Holding Co., Inc. | ||||
3.20%, 10/01/24 | 400,000 | 416,329 | ||
Alliant Energy Finance LLC | ||||
3.75%, 06/15/23 144A | 275,000 | 284,968 | ||
4.25%, 06/15/28 144A | 75,000 | 82,951 | ||
Ally Financial, Inc. | ||||
1.45%, 10/02/23 | 250,000 | 250,890 | ||
Alphabet, Inc. | ||||
0.45%, 08/15/25Δ | 60,000 | 58,695 | ||
0.80%, 08/15/27Δ | 130,000 | 126,042 | ||
1.10%, 08/15/30Δ | 150,000 | 142,152 | ||
2.05%, 08/15/50 | 230,000 | 206,775 | ||
Amazon.com, Inc. | ||||
0.80%, 06/03/25 | 310,000 | 306,815 | ||
1.20%, 06/03/27 | 390,000 | 385,046 | ||
3.15%, 08/22/27 | 270,000 | 291,989 | ||
1.50%, 06/03/30Δ | 190,000 | 184,532 | ||
2.10%, 05/12/31Δ | 170,000 | 172,611 | ||
4.80%, 12/05/34 | 75,000 | 96,055 | ||
3.88%, 08/22/37 | 2,620,000 | 3,088,572 | ||
4.95%, 12/05/44 | 220,000 | 301,842 | ||
4.05%, 08/22/47 | 290,000 | 353,665 | ||
2.50%, 06/03/50 | 310,000 | 297,234 | ||
3.10%, 05/12/51 | 140,000 | 150,486 |
Par | Value | |||
4.25%, 08/22/57 | $ 160,000 | $ 206,317 | ||
Amdocs, Ltd. | ||||
2.54%, 06/15/30 | 1,975,000 | 1,961,687 | ||
American Airlines Pass-Through Trust, Series 2013-1, Class A | ||||
4.00%, 07/15/25 | 712,064 | 688,962 | ||
American Airlines Pass-Through Trust, Series 2017-2, Class AA | ||||
3.35%, 10/15/29Δ | 1,702,202 | 1,736,749 | ||
American Airlines Pass-Through Trust, Series 2021-1, Class A | ||||
2.88%, 07/11/34 | 2,300,000 | 2,269,431 | ||
American Campus Communities Operating Partnership LP REIT | ||||
3.75%, 04/15/23 | 525,000 | 539,431 | ||
2.85%, 02/01/30 | 40,000 | 40,893 | ||
American Express Co. | ||||
2.50%, 07/30/24 | 1,995,000 | 2,062,667 | ||
American Homes 4 Rent LP REIT | ||||
4.90%, 02/15/29 | 309,000 | 357,774 | ||
2.38%, 07/15/31 | 205,000 | 201,505 | ||
American International Group, Inc. | ||||
4.13%, 02/15/24 | 75,000 | 79,691 | ||
2.50%, 06/30/25 | 150,000 | 154,856 | ||
3.90%, 04/01/26 | 825,000 | 895,458 | ||
4.20%, 04/01/28 | 1,850,000 | 2,067,002 | ||
3.40%, 06/30/30 | 250,000 | 270,909 | ||
4.38%, 01/15/55 | 25,000 | 30,872 | ||
American Tower Corporation REIT | ||||
3.38%, 05/15/24 | 825,000 | 862,138 | ||
3.38%, 10/15/26Δ | 1,500,000 | 1,595,702 | ||
American Transmission Systems, Inc. | ||||
2.65%, 01/15/32 144A | 160,000 | 161,855 | ||
Amgen, Inc. | ||||
3.63%, 05/22/24 | 50,000 | 52,697 | ||
4.66%, 06/15/51 | 34,000 | 43,772 | ||
Anthem, Inc. | ||||
2.95%, 12/01/22 | 390,000 | 397,669 | ||
3.35%, 12/01/24 | 130,000 | 137,443 | ||
3.65%, 12/01/27 | 250,000 | 274,654 | ||
2.55%, 03/15/31Δ | 2,100,000 | 2,148,625 | ||
Aon Corporation | ||||
2.90%, 08/23/51 | 35,000 | 33,914 | ||
Apache Corporation | ||||
3.25%, 04/15/22 | 24,000 | 24,031 | ||
4.38%, 10/15/28Δ | 20,000 | 21,817 | ||
4.25%, 01/15/30Δ | 60,000 | 65,198 | ||
5.10%, 09/01/40Δ | 180,000 | 203,684 | ||
5.25%, 02/01/42Δ | 30,000 | 34,694 | ||
4.75%, 04/15/43Δ | 40,000 | 44,059 | ||
4.25%, 01/15/44Δ | 300,000 | 304,554 | ||
5.35%, 07/01/49Δ | 140,000 | 160,159 | ||
Appalachian Power Co. | ||||
2.70%, 04/01/31 | 2,200,000 | 2,243,385 | ||
Apple, Inc. | ||||
1.13%, 05/11/25 | 630,000 | 628,779 | ||
3.25%, 02/23/26 | 30,000 | 32,114 | ||
2.45%, 08/04/26 | 595,000 | 622,323 |
Par | Value | |||
3.35%, 02/09/27 | $ 40,000 | $ 43,467 | ||
3.00%, 06/20/27 | 20,000 | 21,457 | ||
4.50%, 02/23/36Δ | 55,000 | 69,216 | ||
Arch Capital Finance LLC | ||||
4.01%, 12/15/26 | 600,000 | 659,167 | ||
Arch Capital Group, Ltd. | ||||
7.35%, 05/01/34 | 175,000 | 252,276 | ||
Archer-Daniels-Midland Co. | ||||
3.25%, 03/27/30 | 150,000 | 163,374 | ||
Arrow Electronics, Inc. | ||||
4.50%, 03/01/23 | 1,200,000 | 1,235,090 | ||
Ashtead Capital, Inc. | ||||
1.50%, 08/12/26 144A Δ | 350,000 | 344,147 | ||
AT&T, Inc. | ||||
4.45%, 04/01/24 | 725,000 | 774,360 | ||
2.30%, 06/01/27 | 430,000 | 438,075 | ||
1.65%, 02/01/28 | 540,000 | 529,463 | ||
2.75%, 06/01/31 | 175,000 | 178,933 | ||
2.25%, 02/01/32Δ | 1,700,000 | 1,646,571 | ||
2.55%, 12/01/33Δ | 2,794,000 | 2,739,736 | ||
5.25%, 03/01/37 | 225,000 | 279,375 | ||
4.90%, 08/15/37 | 200,000 | 242,793 | ||
5.35%, 09/01/40 | 80,000 | 101,972 | ||
6.38%, 03/01/41 | 325,000 | 462,072 | ||
3.50%, 06/01/41 | 400,000 | 413,101 | ||
5.55%, 08/15/41 | 40,000 | 52,771 | ||
3.10%, 02/01/43 | 1,110,000 | 1,084,638 | ||
4.35%, 06/15/45Δ | 94,000 | 106,537 | ||
5.15%, 11/15/46 | 125,000 | 159,358 | ||
5.45%, 03/01/47 | 575,000 | 754,935 | ||
4.50%, 03/09/48 | 197,000 | 231,019 | ||
5.15%, 02/15/50 | 200,000 | 256,680 | ||
3.65%, 06/01/51 | 325,000 | 338,571 | ||
3.30%, 02/01/52 | 80,000 | 78,875 | ||
3.50%, 09/15/53 | 2,143,000 | 2,174,558 | ||
3.55%, 09/15/55 | 301,000 | 303,812 | ||
3.80%, 12/01/57 | 90,000 | 94,291 | ||
3.65%, 09/15/59 | 127,000 | 129,044 | ||
AutoNation, Inc. | ||||
1.95%, 08/01/28Δ | 150,000 | 146,919 | ||
4.75%, 06/01/30 | 225,000 | 257,535 | ||
AvalonBay Communities, Inc. REIT | ||||
2.05%, 01/15/32Δ | 2,400,000 | 2,378,482 | ||
Avangrid, Inc. | ||||
3.20%, 04/15/25 | 275,000 | 289,336 | ||
Aviation Capital Group LLC | ||||
5.50%, 12/15/24 144A | 2,000,000 | 2,190,156 | ||
1.95%, 01/30/26 144A | 400,000 | 390,747 | ||
Baker Hughes Holdings LLC | ||||
4.49%, 05/01/30 | 60,000 | 68,963 | ||
Bank of America Corporation | ||||
3.30%, 01/11/23 | 120,000 | 123,324 | ||
(Variable, ICE LIBOR USD 3M + 0.79%), 3.00%, 12/20/23^ | 329,000 | 335,896 | ||
(Variable, ICE LIBOR USD 3M + 0.78%), 3.55%, 03/05/24^ | 530,000 | 545,912 | ||
4.00%, 04/01/24 | 420,000 | 446,803 |
Par | Value | |||
(Floating, ICE LIBOR USD 3M + 0.96%), 1.08%, 07/23/24† | $ 900,000 | $ 907,990 | ||
(Variable, ICE LIBOR USD 3M + 0.94%), 3.86%, 07/23/24^ | 225,000 | 234,524 | ||
4.20%, 08/26/24 | 1,295,000 | 1,389,277 | ||
(Variable, ICE LIBOR USD 3M + 3.71%), 6.25%, 09/05/24ρ ^ | 300,000 | 323,063 | ||
(Variable, ICE LIBOR USD 3M + 4.17%), 6.50%, 10/23/24ρ ^ | 150,000 | 164,621 | ||
4.00%, 01/22/25 | 440,000 | 470,406 | ||
(Variable, ICE LIBOR USD 3M + 0.97%), 3.46%, 03/15/25^ | 60,000 | 62,791 | ||
(Variable, ICE LIBOR USD 3M + 1.09%), 3.09%, 10/01/25^ | 2,240,000 | 2,332,646 | ||
(Variable, U.S. SOFR + 0.65%), 1.53%, 12/06/25^ | 2,300,000 | 2,306,977 | ||
(Variable, ICE LIBOR USD 3M + 0.81%), 3.37%, 01/23/26^ | 55,000 | 57,922 | ||
4.45%, 03/03/26 | 420,000 | 463,082 | ||
3.50%, 04/19/26 | 1,260,000 | 1,359,353 | ||
(Variable, U.S. SOFR + 1.15%), 1.32%, 06/19/26^ | 60,000 | 59,436 | ||
4.25%, 10/22/26 | 480,000 | 530,297 | ||
(Variable, U.S. SOFR + 1.01%), 1.20%, 10/24/26Δ ^ | 2,200,000 | 2,158,246 | ||
3.25%, 10/21/27 | 875,000 | 932,525 | ||
4.18%, 11/25/27 | 825,000 | 903,803 | ||
(Variable, ICE LIBOR USD 3M + 1.37%), 3.59%, 07/21/28^ | 860,000 | 926,920 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 694,000 | 741,960 | ||
(Variable, ICE LIBOR USD 3M + 1.07%), 3.97%, 03/05/29^ | 300,000 | 328,974 | ||
(Variable, ICE LIBOR USD 3M + 1.31%), 4.27%, 07/23/29^ | 525,000 | 586,186 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 2.88%, 10/22/30^ | 500,000 | 517,289 | ||
(Variable, ICE LIBOR USD 3M + 0.99%), 2.50%, 02/13/31^ | 75,000 | 75,346 | ||
(Variable, U.S. SOFR + 2.15%), 2.59%, 04/29/31^ | 1,010,000 | 1,022,418 | ||
(Variable, U.S. SOFR + 1.53%), 1.90%, 07/23/31^ | 1,150,000 | 1,103,061 | ||
(Variable, U.S. SOFR + 1.22%), 2.30%, 07/21/32^ | 755,000 | 744,002 | ||
(Variable, U.S. SOFR + 1.21%), 2.57%, 10/20/32^ | 1,550,000 | 1,560,425 | ||
6.11%, 01/29/37 | 500,000 | 675,019 | ||
(Variable, ICE LIBOR USD 3M + 1.81%), 4.24%, 04/24/38^ | 20,000 | 23,562 | ||
5.00%, 01/21/44 | 790,000 | 1,042,677 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 3.95%, 01/23/49^ | 270,000 | 317,074 | ||
(Variable, ICE LIBOR USD 3M + 1.52%), 4.33%, 03/15/50^ | 170,000 | 211,574 | ||
(Variable, ICE LIBOR USD 3M + 3.15%), 4.08%, 03/20/51^ | 990,000 | 1,196,661 | ||
(Variable, U.S. SOFR + 1.88%), 2.83%, 10/24/51^ | 750,000 | 741,438 | ||
Banner Health | ||||
2.34%, 01/01/30 | 865,000 | 877,918 |
Par | Value | |||
Barrick North America Finance LLC | ||||
5.70%, 05/30/41 | $ 150,000 | $ 204,882 | ||
Bausch Health Americas, Inc. | ||||
9.25%, 04/01/26 144A | 200,000 | 211,497 | ||
Baxter International, Inc. | ||||
1.92%, 02/01/27 144A Δ | 600,000 | 602,943 | ||
2.54%, 02/01/32 144A | 600,000 | 607,531 | ||
Baylor Scott & White Holdings | ||||
1.78%, 11/15/30 | 305,000 | 295,000 | ||
Becton, Dickinson and Co. | ||||
3.36%, 06/06/24 | 377,000 | 394,971 | ||
3.73%, 12/15/24Δ | 47,000 | 50,000 | ||
3.70%, 06/06/27Δ | 1,685,000 | 1,838,805 | ||
2.82%, 05/20/30 | 650,000 | 674,235 | ||
4.69%, 12/15/44 | 94,000 | 118,588 | ||
Berkshire Hathaway Energy Co. | ||||
3.25%, 04/15/28 | 400,000 | 428,620 | ||
3.70%, 07/15/30 | 400,000 | 442,597 | ||
Berkshire Hathaway Finance Corporation | ||||
1.85%, 03/12/30 | 725,000 | 719,806 | ||
4.25%, 01/15/49 | 460,000 | 568,192 | ||
Berry Global, Inc. | ||||
1.57%, 01/15/26 | 2,475,000 | 2,424,634 | ||
Block Financial LLC | ||||
3.88%, 08/15/30Δ | 1,600,000 | 1,715,485 | ||
Boeing Co. (The) | ||||
1.17%, 02/04/23 | 2,000,000 | 2,000,288 | ||
1.43%, 02/04/24 | 2,920,000 | 2,917,376 | ||
4.88%, 05/01/25 | 850,000 | 931,053 | ||
2.20%, 02/04/26 | 430,000 | 430,112 | ||
2.70%, 02/01/27Δ | 70,000 | 71,269 | ||
2.80%, 03/01/27 | 110,000 | 112,383 | ||
5.15%, 05/01/30 | 1,200,000 | 1,400,564 | ||
3.25%, 02/01/35Δ | 1,575,000 | 1,591,933 | ||
6.63%, 02/15/38 | 210,000 | 284,114 | ||
3.55%, 03/01/38 | 70,000 | 71,638 | ||
5.71%, 05/01/40 | 340,000 | 438,373 | ||
3.85%, 11/01/48 | 25,000 | 26,190 | ||
3.75%, 02/01/50Δ | 200,000 | 209,165 | ||
5.81%, 05/01/50Δ | 1,400,000 | 1,905,541 | ||
5.93%, 05/01/60 | 10,000 | 13,967 | ||
Booking Holdings, Inc. | ||||
4.63%, 04/13/30 | 60,000 | 70,098 | ||
Boston Properties LP REIT | ||||
4.50%, 12/01/28 | 900,000 | 1,016,019 | ||
2.55%, 04/01/32Δ | 2,200,000 | 2,188,843 | ||
Boston Scientific Corporation | ||||
2.65%, 06/01/30 | 1,900,000 | 1,941,010 | ||
BP Capital Markets America, Inc. | ||||
3.79%, 02/06/24 | 50,000 | 52,667 | ||
3.12%, 05/04/26 | 570,000 | 603,490 | ||
3.54%, 04/06/27 | 50,000 | 54,069 | ||
4.23%, 11/06/28 | 1,550,000 | 1,752,055 | ||
3.63%, 04/06/30Δ | 490,000 | 542,192 | ||
3.06%, 06/17/41 | 35,000 | 35,587 |
Par | Value | |||
3.00%, 02/24/50 | $ 735,000 | $ 721,119 | ||
Broadcom, Inc. | ||||
2.45%, 02/15/31 144A | 2,000,000 | 1,965,276 | ||
4.30%, 11/15/32 | 2,000,000 | 2,253,208 | ||
3.42%, 04/15/33 144A | 900,000 | 945,590 | ||
3.47%, 04/15/34 144A | 2,090,000 | 2,191,764 | ||
3.14%, 11/15/35 144A | 6,814,000 | 6,872,368 | ||
3.19%, 11/15/36 144A | 28,000 | 28,039 | ||
3.50%, 02/15/41 144A | 325,000 | 333,731 | ||
Burlington Northern Santa Fe LLC | ||||
2.88%, 06/15/52 | 70,000 | 70,484 | ||
Calpine Corporation | ||||
4.50%, 02/15/28 144A | 495,000 | 513,181 | ||
Camden Property Trust REIT | ||||
3.15%, 07/01/29 | 65,000 | 69,255 | ||
Cameron LNG LLC | ||||
2.90%, 07/15/31 144A | 70,000 | 73,050 | ||
3.30%, 01/15/35 144A | 460,000 | 481,791 | ||
Capital One Financial Corporation | ||||
3.50%, 06/15/23 | 325,000 | 336,946 | ||
3.30%, 10/30/24 | 345,000 | 363,411 | ||
Cargill, Inc. | ||||
2.13%, 04/23/30 144A | 70,000 | 69,374 | ||
Carrier Global Corporation | ||||
2.49%, 02/15/27 | 1,225,000 | 1,260,144 | ||
2.72%, 02/15/30 | 650,000 | 665,170 | ||
3.58%, 04/05/50 | 20,000 | 21,401 | ||
CenterPoint Energy Resources Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 0.67%, 03/02/23† | 2,100,000 | 2,095,694 | ||
CenterPoint Energy, Inc. | ||||
4.25%, 11/01/28 | 700,000 | 779,052 | ||
CH Robinson Worldwide, Inc. | ||||
4.20%, 04/15/28 | 1,500,000 | 1,692,386 | ||
Charles Schwab Corporation (The) | ||||
4.20%, 03/24/25 | 60,000 | 65,310 | ||
3.30%, 04/01/27 | 65,000 | 69,741 | ||
3.25%, 05/22/29 | 10,000 | 10,763 | ||
Charter Communications Operating LLC | ||||
4.46%, 07/23/22 | 1,700,000 | 1,725,265 | ||
4.91%, 07/23/25 | 7,190,000 | 7,919,052 | ||
4.20%, 03/15/28 | 510,000 | 559,094 | ||
2.25%, 01/15/29 | 2,300,000 | 2,247,961 | ||
5.05%, 03/30/29 | 460,000 | 527,527 | ||
6.38%, 10/23/35 | 530,000 | 685,007 | ||
5.38%, 04/01/38 | 215,000 | 256,919 | ||
3.50%, 03/01/42 | 450,000 | 438,492 | ||
6.48%, 10/23/45 | 90,000 | 123,517 | ||
4.80%, 03/01/50 | 360,000 | 405,385 | ||
Cheniere Energy Partners LP | ||||
4.00%, 03/01/31 | 60,000 | 63,086 | ||
3.25%, 01/31/32 144A | 80,000 | 80,960 | ||
Chevron Corporation | ||||
1.55%, 05/11/25 | 310,000 | 312,950 | ||
2.95%, 05/16/26 | 350,000 | 371,103 | ||
2.00%, 05/11/27 | 170,000 | 172,772 |
Par | Value | |||
Chevron U.S.A., Inc. | ||||
3.85%, 01/15/28 | $ 550,000 | $ 609,811 | ||
Choice Hotels International, Inc. | ||||
3.70%, 12/01/29 | 1,500,000 | 1,597,530 | ||
Chubb INA Holdings, Inc. | ||||
3.35%, 05/03/26 | 120,000 | 128,846 | ||
Cigna Corporation | ||||
3.75%, 07/15/23 | 293,000 | 304,827 | ||
4.13%, 11/15/25 | 180,000 | 197,086 | ||
4.38%, 10/15/28 | 460,000 | 523,560 | ||
2.40%, 03/15/30 | 1,250,000 | 1,262,787 | ||
4.80%, 08/15/38 | 955,000 | 1,179,510 | ||
3.20%, 03/15/40 | 675,000 | 700,244 | ||
4.90%, 12/15/48 | 1,000,000 | 1,299,681 | ||
Cintas Corporation No. 2 | ||||
2.90%, 04/01/22 | 180,000 | 180,731 | ||
3.70%, 04/01/27 | 190,000 | 208,129 | ||
Cisco Systems, Inc. | ||||
5.50%, 01/15/40 | 75,000 | 104,887 | ||
CIT Bank NA | ||||
(Variable, U.S. SOFR + 1.72%), 2.97%, 09/27/25^ | 550,000 | 568,706 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23ρ ^ | 170,000 | 175,525 | ||
3.50%, 05/15/23 | 220,000 | 227,525 | ||
(Variable, U.S. SOFR + 1.67%), 1.68%, 05/15/24^ | 2,190,000 | 2,215,175 | ||
(Variable, ICE LIBOR USD 3M + 0.90%), 3.35%, 04/24/25^ | 65,000 | 67,918 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25ρ ^ | 430,000 | 461,175 | ||
4.40%, 06/10/25 | 450,000 | 490,643 | ||
5.50%, 09/13/25 | 490,000 | 554,848 | ||
(Variable, U.S. SOFR + 2.84%), 3.11%, 04/08/26^ | 190,000 | 199,395 | ||
3.40%, 05/01/26 | 2,075,000 | 2,228,457 | ||
(Variable, ICE LIBOR USD 3M + 4.52%), 6.25%, 08/15/26ρ Δ ^ | 150,000 | 169,545 | ||
3.20%, 10/21/26 | 500,000 | 530,477 | ||
4.30%, 11/20/26 | 1,675,000 | 1,855,583 | ||
4.45%, 09/29/27 | 2,305,000 | 2,573,602 | ||
(Variable, ICE LIBOR USD 3M + 1.56%), 3.89%, 01/10/28^ | 30,000 | 32,562 | ||
(Variable, ICE LIBOR USD 3M + 1.39%), 3.67%, 07/24/28^ | 150,000 | 162,012 | ||
4.13%, 07/25/28 | 1,750,000 | 1,923,609 | ||
(Variable, U.S. SOFR + 3.91%), 4.41%, 03/31/31^ | 340,000 | 389,067 | ||
(Variable, U.S. SOFR + 2.11%), 2.57%, 06/03/31^ | 790,000 | 798,522 | ||
6.63%, 06/15/32 | 50,000 | 66,541 | ||
(Variable, U.S. SOFR + 1.18%), 2.52%, 11/03/32^ | 860,000 | 860,957 | ||
8.13%, 07/15/39 | 260,000 | 441,325 | ||
6.68%, 09/13/43 | 10,000 | 15,141 | ||
5.30%, 05/06/44 | 24,000 | 31,482 | ||
4.65%, 07/30/45 | 894,000 | 1,133,535 | ||
4.75%, 05/18/46 | 40,000 | 49,465 |
Par | Value | |||
4.65%, 07/23/48 | $ 160,000 | $ 206,642 | ||
Citizens Financial Group, Inc. | ||||
2.85%, 07/27/26 | 65,000 | 67,847 | ||
Citrix Systems, Inc. | ||||
1.25%, 03/01/26 | 2,100,000 | 2,048,232 | ||
4.50%, 12/01/27 | 40,000 | 43,479 | ||
CME Group, Inc. | ||||
3.00%, 03/15/25 | 65,000 | 68,309 | ||
Coca-Cola Co. (The) | ||||
3.38%, 03/25/27 | 120,000 | 129,776 | ||
1.45%, 06/01/27Δ | 265,000 | 263,810 | ||
2.50%, 06/01/40 | 20,000 | 20,177 | ||
2.60%, 06/01/50 | 130,000 | 127,814 | ||
Comcast Corporation | ||||
3.38%, 08/15/25 | 275,000 | 294,270 | ||
3.95%, 10/15/25 | 477,000 | 521,406 | ||
3.15%, 03/01/26 | 130,000 | 138,799 | ||
3.30%, 02/01/27 | 344,000 | 370,009 | ||
3.30%, 04/01/27 | 1,710,000 | 1,840,244 | ||
4.15%, 10/15/28Δ | 1,180,000 | 1,341,491 | ||
3.40%, 04/01/30 | 450,000 | 492,105 | ||
4.25%, 10/15/30 | 410,000 | 474,139 | ||
5.65%, 06/15/35 | 420,000 | 558,083 | ||
6.50%, 11/15/35 | 7,000 | 10,102 | ||
3.90%, 03/01/38 | 30,000 | 34,082 | ||
3.25%, 11/01/39 | 400,000 | 423,944 | ||
3.75%, 04/01/40 | 165,000 | 185,558 | ||
3.40%, 07/15/46 | 50,000 | 53,280 | ||
4.00%, 03/01/48 | 40,000 | 46,348 | ||
4.70%, 10/15/48 | 100,000 | 128,067 | ||
2.80%, 01/15/51Δ | 270,000 | 261,930 | ||
2.89%, 11/01/51 144A | 300,000 | 291,838 | ||
2.94%, 11/01/56 144A | 135,000 | 129,512 | ||
CommonSpirit Health | ||||
4.35%, 11/01/42 | 40,000 | 46,127 | ||
Commonwealth Edison Co. | ||||
3.80%, 10/01/42 | 300,000 | 340,259 | ||
ConocoPhillips | ||||
3.75%, 10/01/27 144A | 170,000 | 186,593 | ||
4.30%, 08/15/28 144A Δ | 480,000 | 539,892 | ||
ConocoPhillips Co. | ||||
6.95%, 04/15/29 | 220,000 | 289,937 | ||
Consolidated Edison Co. of New York, Inc. | ||||
3.35%, 04/01/30 | 130,000 | 140,093 | ||
3.95%, 04/01/50 | 140,000 | 160,956 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23 | 556,000 | 573,631 | ||
2.27%, 11/15/26 144A | 140,000 | 139,098 | ||
4.38%, 01/15/28 | 320,000 | 346,490 | ||
5.75%, 01/15/31 144A Δ | 210,000 | 247,653 | ||
4.90%, 06/01/44 | 180,000 | 199,778 | ||
CoStar Group, Inc. | ||||
2.80%, 07/15/30 144A | 625,000 | 626,509 | ||
Costco Wholesale Corporation | ||||
1.38%, 06/20/27 | 70,000 | 69,557 | ||
1.60%, 04/20/30 | 550,000 | 533,979 |
Par | Value | |||
Coterra Energy, Inc. | ||||
3.90%, 05/15/27 144A | $ 660,000 | $ 710,167 | ||
4.38%, 03/15/29 144A | 650,000 | 727,487 | ||
Cox Communications, Inc. | ||||
3.35%, 09/15/26 144A | 45,000 | 47,838 | ||
CRH America Finance, Inc. | ||||
3.40%, 05/09/27 144A | 2,100,000 | 2,244,474 | ||
3.95%, 04/04/28 144A | 500,000 | 551,875 | ||
Crown Castle International Corporation REIT | ||||
3.15%, 07/15/23 | 2,325,000 | 2,396,182 | ||
3.10%, 11/15/29 | 70,000 | 73,202 | ||
CSC Holdings LLC | ||||
3.38%, 02/15/31 144A Δ | 780,000 | 731,539 | ||
CSX Corporation | ||||
3.80%, 04/15/50 | 300,000 | 343,631 | ||
CubeSmart LP REIT | ||||
2.50%, 02/15/32 | 650,000 | 648,678 | ||
CVS Health Corporation | ||||
2.75%, 12/01/22 | 210,000 | 212,950 | ||
2.63%, 08/15/24Δ | 205,000 | 212,430 | ||
3.88%, 07/20/25 | 788,000 | 847,895 | ||
3.63%, 04/01/27 | 200,000 | 217,313 | ||
4.30%, 03/25/28 | 576,000 | 647,381 | ||
3.75%, 04/01/30Δ | 1,090,000 | 1,197,443 | ||
2.13%, 09/15/31Δ | 2,740,000 | 2,689,442 | ||
4.13%, 04/01/40 | 80,000 | 92,270 | ||
2.70%, 08/21/40Δ | 360,000 | 348,507 | ||
5.13%, 07/20/45 | 250,000 | 326,720 | ||
5.05%, 03/25/48 | 1,480,000 | 1,944,745 | ||
4.25%, 04/01/50Δ | 80,000 | 97,300 | ||
CVS Pass-Through Trust | ||||
6.94%, 01/10/30 | 487,593 | 578,302 | ||
CyrusOne LP REIT | ||||
2.90%, 11/15/24 | 1,500,000 | 1,549,897 | ||
D.R. Horton, Inc. | ||||
4.38%, 09/15/22Δ | 800,000 | 812,979 | ||
Daimler Finance North America LLC | ||||
2.55%, 08/15/22 144A | 1,700,000 | 1,719,518 | ||
2.70%, 06/14/24 144A | 1,900,000 | 1,965,442 | ||
8.50%, 01/18/31 | 25,000 | 37,248 | ||
Daimler Trucks Finance North America LLC | ||||
(Floating, U.S. SOFR + 0.50%), 0.55%, 06/14/23 144A † | 2,300,000 | 2,302,185 | ||
Deere & Co. | ||||
2.75%, 04/15/25 | 65,000 | 67,978 | ||
3.10%, 04/15/30 | 50,000 | 53,997 | ||
3.75%, 04/15/50 | 760,000 | 903,408 | ||
Dell International LLC | ||||
5.45%, 06/15/23 | 735,000 | 775,663 | ||
5.85%, 07/15/25 | 25,000 | 28,371 | ||
6.02%, 06/15/26 | 1,025,000 | 1,186,512 | ||
8.35%, 07/15/46 | 19,000 | 31,742 | ||
Delta Air Lines, Inc. | ||||
7.00%, 05/01/25 144A | 2,460,000 | 2,816,079 | ||
4.50%, 10/20/25 144A | 700,000 | 736,365 |
Par | Value | |||
4.75%, 10/20/28 144A | $ 350,000 | $ 382,716 | ||
Deutsche Bank AG | ||||
3.95%, 02/27/23 | 1,900,000 | 1,959,785 | ||
Devon Energy Corporation | ||||
5.85%, 12/15/25 | 792,000 | 906,771 | ||
5.25%, 10/15/27 144A | 38,000 | 40,092 | ||
4.50%, 01/15/30 144A | 32,000 | 34,388 | ||
5.60%, 07/15/41 | 477,000 | 601,000 | ||
4.75%, 05/15/42Δ | 710,000 | 826,039 | ||
5.00%, 06/15/45Δ | 1,240,000 | 1,506,853 | ||
DH Europe Finance II S.a.r.l. | ||||
2.20%, 11/15/24 | 2,275,000 | 2,326,823 | ||
2.60%, 11/15/29 | 225,000 | 232,941 | ||
Diamondback Energy, Inc. | ||||
3.25%, 12/01/26 | 90,000 | 95,037 | ||
3.50%, 12/01/29 | 160,000 | 169,840 | ||
Discover Financial Services | ||||
3.75%, 03/04/25 | 450,000 | 476,693 | ||
Discovery Communications LLC | ||||
3.63%, 05/15/30Δ | 1,800,000 | 1,928,274 | ||
DISH DBS Corporation | ||||
5.88%, 11/15/24 | 170,000 | 174,699 | ||
7.75%, 07/01/26 | 150,000 | 158,445 | ||
5.25%, 12/01/26 144A | 120,000 | 122,073 | ||
5.13%, 06/01/29 | 140,000 | 127,627 | ||
Dollar Tree, Inc. | ||||
4.00%, 05/15/25 | 325,000 | 349,535 | ||
4.20%, 05/15/28 | 400,000 | 446,483 | ||
Dominion Energy, Inc. | ||||
(Step to 0.00% on 08/15/24), 3.07%, 08/15/24 STEP | 675,000 | 699,269 | ||
3.38%, 04/01/30 | 225,000 | 239,255 | ||
2.25%, 08/15/31 | 2,300,000 | 2,251,164 | ||
Duke Energy Corporation | ||||
3.75%, 04/15/24 | 200,000 | 210,169 | ||
3.15%, 08/15/27Δ | 550,000 | 579,349 | ||
2.45%, 06/01/30Δ | 1,800,000 | 1,791,149 | ||
Duke Energy Ohio, Inc. | ||||
3.65%, 02/01/29 | 350,000 | 379,268 | ||
Duke Realty LP REIT | ||||
2.25%, 01/15/32 | 2,300,000 | 2,261,060 | ||
DuPont de Nemours, Inc. | ||||
4.21%, 11/15/23 | 175,000 | 185,143 | ||
4.49%, 11/15/25 | 350,000 | 387,221 | ||
4.73%, 11/15/28 | 350,000 | 406,063 | ||
East Ohio Gas Co. (The) | ||||
2.00%, 06/15/30 144A | 125,000 | 121,135 | ||
Eaton Corporation | ||||
2.75%, 11/02/22 | 410,000 | 417,742 | ||
4.15%, 11/02/42 | 200,000 | 235,017 | ||
eBay, Inc. | ||||
4.00%, 07/15/42 | 30,000 | 33,605 | ||
Ecolab, Inc. | ||||
4.80%, 03/24/30 | 60,000 | 72,203 | ||
2.75%, 08/18/55 | 68,000 | 67,227 | ||
Emory University | ||||
1.57%, 09/01/25 | 1,600,000 | 1,594,466 |
Par | Value | |||
2.14%, 09/01/30 | $1,170,000 | $1,188,800 | ||
Energy Transfer LP | ||||
4.20%, 09/15/23 | 625,000 | 652,997 | ||
4.50%, 11/01/23 | 310,000 | 324,894 | ||
4.25%, 04/01/24 | 100,000 | 105,053 | ||
4.50%, 04/15/24 | 230,000 | 243,940 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.13%), 6.75%, 05/15/25ρ ^ | 260,000 | 260,975 | ||
5.95%, 12/01/25 | 300,000 | 341,990 | ||
5.50%, 06/01/27 | 1,175,000 | 1,341,339 | ||
4.95%, 05/15/28 | 900,000 | 999,758 | ||
4.95%, 06/15/28 | 110,000 | 123,937 | ||
5.25%, 04/15/29 | 1,410,000 | 1,617,813 | ||
3.75%, 05/15/30Δ | 1,090,000 | 1,157,381 | ||
5.30%, 04/01/44 | 20,000 | 23,016 | ||
5.30%, 04/15/47 | 125,000 | 145,631 | ||
5.40%, 10/01/47 | 50,000 | 58,985 | ||
6.00%, 06/15/48 | 50,000 | 62,442 | ||
6.25%, 04/15/49Δ | 590,000 | 774,499 | ||
Entergy Louisiana LLC | ||||
5.40%, 11/01/24 | 1,200,000 | 1,331,074 | ||
2.35%, 06/15/32 | 2,200,000 | 2,198,862 | ||
Enterprise Products Operating LLC | ||||
4.15%, 10/16/28 | 600,000 | 674,721 | ||
3.13%, 07/31/29 | 100,000 | 106,393 | ||
2.80%, 01/31/30Δ | 890,000 | 929,853 | ||
7.55%, 04/15/38 | 50,000 | 74,967 | ||
5.70%, 02/15/42 | 60,000 | 78,386 | ||
4.85%, 03/15/44 | 50,000 | 60,503 | ||
4.80%, 02/01/49 | 30,000 | 36,722 | ||
4.20%, 01/31/50 | 680,000 | 766,985 | ||
3.70%, 01/31/51Δ | 970,000 | 1,024,259 | ||
3.95%, 01/31/60 | 120,000 | 130,504 | ||
EOG Resources, Inc. | ||||
4.15%, 01/15/26 | 160,000 | 175,017 | ||
4.38%, 04/15/30Δ | 40,000 | 46,313 | ||
3.90%, 04/01/35 | 260,000 | 295,648 | ||
4.95%, 04/15/50Δ | 490,000 | 665,907 | ||
EPR Properties REIT | ||||
4.75%, 12/15/26 | 1,265,000 | 1,353,541 | ||
3.60%, 11/15/31 | 2,300,000 | 2,280,556 | ||
EQM Midstream Partners LP | ||||
4.13%, 12/01/26 | 1,800,000 | 1,846,899 | ||
EQT Corporation | ||||
3.00%, 10/01/22Δ | 20,000 | 20,228 | ||
6.63%, 02/01/25 | 20,000 | 22,575 | ||
3.13%, 05/15/26 144A Δ | 10,000 | 10,278 | ||
3.90%, 10/01/27Δ | 440,000 | 473,000 | ||
5.00%, 01/15/29 | 100,000 | 110,893 | ||
3.63%, 05/15/31 144A Δ | 210,000 | 218,202 | ||
Equinix, Inc. REIT | ||||
2.63%, 11/18/24 | 1,700,000 | 1,753,170 | ||
1.55%, 03/15/28 | 2,200,000 | 2,119,794 | ||
3.00%, 07/15/50 | 10,000 | 9,610 | ||
Equitable Holdings, Inc. | ||||
4.35%, 04/20/28 | 2,600,000 | 2,919,186 |
Par | Value | |||
Exelon Corporation | ||||
4.05%, 04/15/30 | $ 325,000 | $ 361,822 | ||
5.63%, 06/15/35 | 415,000 | 529,991 | ||
4.70%, 04/15/50 | 25,000 | 31,576 | ||
Exelon Generation Co. LLC | ||||
3.25%, 06/01/25 | 1,665,000 | 1,746,566 | ||
Expedia Group, Inc. | ||||
3.60%, 12/15/23 | 300,000 | 311,894 | ||
6.25%, 05/01/25 144A | 1,054,000 | 1,190,396 | ||
4.63%, 08/01/27 | 150,000 | 167,243 | ||
3.80%, 02/15/28 | 300,000 | 321,242 | ||
3.25%, 02/15/30 | 70,000 | 71,579 | ||
2.95%, 03/15/31 | 2,350,000 | 2,351,688 | ||
Exxon Mobil Corporation | ||||
1.57%, 04/15/23 | 30,000 | 30,350 | ||
2.99%, 03/19/25 | 660,000 | 694,370 | ||
3.04%, 03/01/26 | 730,000 | 773,369 | ||
3.48%, 03/19/30 | 540,000 | 592,531 | ||
4.23%, 03/19/40 | 50,000 | 59,383 | ||
4.11%, 03/01/46 | 230,000 | 270,342 | ||
3.10%, 08/16/49 | 45,000 | 45,902 | ||
4.33%, 03/19/50Δ | 190,000 | 234,708 | ||
3.45%, 04/15/51 | 250,000 | 272,547 | ||
Federal Realty Investment Trust REIT | ||||
3.50%, 06/01/30 | 1,900,000 | 2,031,448 | ||
FedEx Corporation | ||||
4.05%, 02/15/48 | 375,000 | 423,518 | ||
Fidelity National Information Services, Inc. | ||||
1.15%, 03/01/26 | 2,200,000 | 2,146,167 | ||
Fifth Third Bancorp | ||||
2.38%, 01/28/25 | 375,000 | 385,390 | ||
Fiserv, Inc. | ||||
2.75%, 07/01/24 | 1,075,000 | 1,112,745 | ||
3.20%, 07/01/26 | 725,000 | 767,781 | ||
4.20%, 10/01/28Δ | 375,000 | 421,182 | ||
2.65%, 06/01/30 | 2,300,000 | 2,338,824 | ||
Florida Power & Light Co. | ||||
3.80%, 12/15/42 | 425,000 | 485,529 | ||
Ford Motor Co. | ||||
3.25%, 02/12/32 | 590,000 | 605,340 | ||
Ford Motor Credit Co. LLC | ||||
2.98%, 08/03/22 | 1,800,000 | 1,811,493 | ||
(Floating, ICE LIBOR USD 3M + 1.24%), 1.39%, 02/15/23† | 2,200,000 | 2,196,517 | ||
3.37%, 11/17/23 | 1,900,000 | 1,961,750 | ||
2.90%, 02/16/28 | 380,000 | 381,495 | ||
4.00%, 11/13/30 | 940,000 | 1,012,878 | ||
Fox Corporation | ||||
4.03%, 01/25/24 | 480,000 | 507,240 | ||
4.71%, 01/25/29 | 250,000 | 285,840 | ||
3.50%, 04/08/30Δ | 125,000 | 134,803 | ||
5.48%, 01/25/39 | 525,000 | 679,848 | ||
Freeport-McMoRan, Inc. | ||||
3.88%, 03/15/23Δ | 10,000 | 10,361 | ||
4.55%, 11/14/24 | 10,000 | 10,727 |
Par | Value | |||
5.45%, 03/15/43 | $ 192,000 | $ 241,736 | ||
GA Global Funding Trust | ||||
1.25%, 12/08/23 144A | 2,300,000 | 2,299,936 | ||
General Dynamics Corporation | ||||
3.25%, 04/01/25 | 40,000 | 42,327 | ||
3.50%, 05/15/25 | 40,000 | 42,691 | ||
4.25%, 04/01/40 | 60,000 | 73,595 | ||
4.25%, 04/01/50 | 180,000 | 230,979 | ||
General Electric Co. | ||||
6.75%, 03/15/32 | 44,000 | 60,145 | ||
5.88%, 01/14/38 | 45,000 | 61,465 | ||
General Mills, Inc. | ||||
4.20%, 04/17/28 | 600,000 | 670,975 | ||
General Motors Co. | ||||
5.40%, 10/02/23 | 535,000 | 572,940 | ||
4.00%, 04/01/25 | 200,000 | 214,223 | ||
6.13%, 10/01/25 | 190,000 | 218,541 | ||
4.20%, 10/01/27 | 65,000 | 71,234 | ||
6.60%, 04/01/36 | 25,000 | 33,912 | ||
5.15%, 04/01/38 | 50,000 | 60,507 | ||
5.95%, 04/01/49 | 300,000 | 412,896 | ||
General Motors Financial Co., Inc. | ||||
3.45%, 04/10/22 | 230,000 | 230,709 | ||
4.30%, 07/13/25 | 300,000 | 323,772 | ||
4.35%, 01/17/27 | 560,000 | 617,678 | ||
5.65%, 01/17/29 | 100,000 | 118,883 | ||
2.70%, 06/10/31Δ | 575,000 | 574,218 | ||
Gilead Sciences, Inc. | ||||
3.70%, 04/01/24 | 230,000 | 241,928 | ||
4.60%, 09/01/35 | 55,000 | 66,747 | ||
4.50%, 02/01/45 | 275,000 | 337,045 | ||
4.75%, 03/01/46 | 20,000 | 25,481 | ||
Glencore Funding LLC | ||||
3.00%, 10/27/22 144A Δ | 10,000 | 10,159 | ||
4.13%, 05/30/23 144A | 20,000 | 20,825 | ||
4.13%, 03/12/24 144A | 1,155,000 | 1,215,291 | ||
4.63%, 04/29/24 144A | 658,000 | 703,246 | ||
1.63%, 04/27/26 144A | 525,000 | 515,873 | ||
4.00%, 03/27/27 144A Δ | 480,000 | 518,529 | ||
3.88%, 10/27/27 144A | 520,000 | 560,109 | ||
2.63%, 09/23/31 144A | 875,000 | 852,216 | ||
Global Payments, Inc. | ||||
2.65%, 02/15/25 | 400,000 | 411,524 | ||
2.90%, 05/15/30Δ | 1,600,000 | 1,632,466 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 02/10/22† ρ | 3,000 | 2,948 | ||
Goldman Sachs Group, Inc. (The) | ||||
3.20%, 02/23/23 | 250,000 | 256,473 | ||
3.85%, 07/08/24 | 150,000 | 158,652 | ||
3.50%, 04/01/25 | 320,000 | 338,725 | ||
4.25%, 10/21/25 | 1,170,000 | 1,277,663 | ||
3.50%, 11/16/26 | 700,000 | 746,737 | ||
(Floating, ICE LIBOR USD 3M + 1.75%), 1.89%, 10/28/27† | 1,800,000 | 1,886,107 |
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | $1,140,000 | $1,242,004 | ||
(Variable, ICE LIBOR USD 3M + 1.30%), 4.22%, 05/01/29^ | 990,000 | 1,101,451 | ||
(Variable, U.S. SOFR + 1.26%), 2.65%, 10/21/32^ | 1,450,000 | 1,462,256 | ||
6.75%, 10/01/37 | 110,000 | 156,552 | ||
6.25%, 02/01/41 | 750,000 | 1,095,106 | ||
(Variable, U.S. SOFR + 1.51%), 3.21%, 04/22/42^ | 60,000 | 62,519 | ||
(Variable, U.S. SOFR + 1.47%), 2.91%, 07/21/42^ | 150,000 | 149,854 | ||
5.15%, 05/22/45 | 550,000 | 718,706 | ||
4.75%, 10/21/45 | 220,000 | 284,699 | ||
Goodman U.S. Finance Three LLC REIT | ||||
3.70%, 03/15/28 144A | 1,000,000 | 1,081,467 | ||
Great-West Lifeco Finance 2018 LP | ||||
4.05%, 05/17/28 144A | 175,000 | 198,221 | ||
Guardian Life Global Funding | ||||
1.10%, 06/23/25 144A | 100,000 | 99,183 | ||
1.25%, 11/19/27 144A | 1,800,000 | 1,732,401 | ||
H&E Equipment Services, Inc. | ||||
3.88%, 12/15/28 144A | 325,000 | 323,139 | ||
Halliburton Co. | ||||
3.80%, 11/15/25Δ | 40,000 | 43,059 | ||
6.70%, 09/15/38 | 50,000 | 69,021 | ||
5.00%, 11/15/45 | 190,000 | 228,209 | ||
HCA, Inc. | ||||
5.25%, 04/15/25 | 120,000 | 132,904 | ||
5.25%, 06/15/26 | 10,000 | 11,262 | ||
5.38%, 09/01/26Δ | 1,600,000 | 1,800,080 | ||
5.50%, 06/15/47 | 50,000 | 65,787 | ||
Healthcare Realty Trust, Inc. REIT | ||||
2.05%, 03/15/31 | 175,000 | 167,768 | ||
Healthcare Trust of America Holdings LP REIT | ||||
3.10%, 02/15/30 | 1,500,000 | 1,551,515 | ||
Healthpeak Properties, Inc. REIT | ||||
3.50%, 07/15/29 | 65,000 | 70,616 | ||
Hewlett Packard Enterprise Co. | ||||
2.25%, 04/01/23 | 1,000,000 | 1,015,550 | ||
4.45%, 10/02/23 | 1,350,000 | 1,425,228 | ||
4.90%, 10/15/25 | 915,000 | 1,016,058 | ||
6.35%, 10/15/45 | 155,000 | 208,639 | ||
Hilton Domestic Operating Co., Inc. | ||||
4.00%, 05/01/31 144A Δ | 986,000 | 1,010,887 | ||
3.63%, 02/15/32 144A | 407,000 | 405,537 | ||
Home Depot, Inc. (The) | ||||
2.50%, 04/15/27 | 150,000 | 156,630 | ||
3.90%, 12/06/28 | 270,000 | 304,554 | ||
2.70%, 04/15/30 | 170,000 | 178,735 | ||
3.30%, 04/15/40 | 450,000 | 490,153 | ||
4.50%, 12/06/48 | 35,000 | 45,519 | ||
3.35%, 04/15/50 | 830,000 | 911,026 | ||
3.50%, 09/15/56 | 55,000 | 62,499 | ||
Honeywell International, Inc. | ||||
1.35%, 06/01/25 | 180,000 | 180,920 |
Par | Value | |||
Host Hotels & Resorts LP REIT | ||||
2.90%, 12/15/31 | $ 475,000 | $ 459,321 | ||
Humana, Inc. | ||||
3.15%, 12/01/22 | 70,000 | 71,170 | ||
4.50%, 04/01/25 | 40,000 | 43,641 | ||
3.95%, 03/15/27Δ | 150,000 | 164,145 | ||
4.63%, 12/01/42 | 60,000 | 74,417 | ||
4.95%, 10/01/44 | 70,000 | 90,505 | ||
4.80%, 03/15/47 | 10,000 | 12,785 | ||
Huntington Bancshares, Inc. | ||||
4.00%, 05/15/25 | 550,000 | 592,250 | ||
Huntington Ingalls Industries, Inc. | ||||
0.67%, 08/16/23 144A | 2,500,000 | 2,479,223 | ||
Huntsman International LLC | ||||
4.50%, 05/01/29 | 325,000 | 359,896 | ||
2.95%, 06/15/31 | 250,000 | 254,058 | ||
Hyatt Hotels Corporation | ||||
1.80%, 10/01/24 | 2,875,000 | 2,875,960 | ||
Hyundai Capital America | ||||
1.00%, 09/17/24 144A | 2,300,000 | 2,262,096 | ||
1.65%, 09/17/26 144A | 2,300,000 | 2,258,031 | ||
2.75%, 09/27/26 | 70,000 | 71,575 | ||
IHS Markit, Ltd. | ||||
4.00%, 03/01/26 144A | 631,000 | 683,578 | ||
Intel Corporation | ||||
3.40%, 03/25/25Δ | 65,000 | 69,168 | ||
3.70%, 07/29/25 | 80,000 | 86,427 | ||
1.60%, 08/12/28 | 250,000 | 247,388 | ||
4.60%, 03/25/40 | 15,000 | 18,760 | ||
3.73%, 12/08/47 | 76,000 | 87,080 | ||
4.75%, 03/25/50 | 210,000 | 281,331 | ||
3.05%, 08/12/51 | 120,000 | 123,463 | ||
Intercontinental Exchange, Inc. | ||||
3.00%, 06/15/50 | 1,500,000 | 1,506,966 | ||
International Business Machines Corporation | ||||
3.00%, 05/15/24 | 720,000 | 752,662 | ||
International Flavors & Fragrances, Inc. | ||||
1.83%, 10/15/27 144A | 650,000 | 639,042 | ||
4.38%, 06/01/47 | 1,000,000 | 1,168,141 | ||
5.00%, 09/26/48 | 55,000 | 71,106 | ||
Intuit, Inc. | ||||
1.35%, 07/15/27Δ | 175,000 | 171,388 | ||
Invitation Homes Operating Partnership LP REIT | ||||
2.30%, 11/15/28 | 375,000 | 371,559 | ||
IPALCO Enterprises, Inc. | ||||
4.25%, 05/01/30 | 1,800,000 | 1,981,611 | ||
ITC Holdings Corporation | ||||
2.95%, 05/14/30 144A | 1,900,000 | 1,944,574 | ||
JetBlue Pass-Through Trust, Series 2019-1, Class AA | ||||
2.75%, 05/15/32 | 1,920,765 | 1,942,903 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.80%), 3.93%, 02/01/22† ρ | 1,260,000 | 1,268,298 |
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 0.73%), 3.56%, 04/23/24^ | $ 800,000 | $ 827,026 | ||
(Variable, U.S. SOFR + 1.46%), 1.51%, 06/01/24^ | 770,000 | 776,167 | ||
(Variable, ICE LIBOR USD 3M + 0.89%), 3.80%, 07/23/24^ | 1,775,000 | 1,850,698 | ||
3.88%, 09/10/24Δ | 860,000 | 912,976 | ||
(Variable, ICE LIBOR USD 3M + 1.00%), 4.02%, 12/05/24^ | 1,425,000 | 1,503,306 | ||
(Variable, U.S. SOFR + 3.13%), 4.60%, 02/01/25ρ ^ | 875,000 | 899,063 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.22%, 03/01/25^ | 65,000 | 67,619 | ||
(Variable, U.S. SOFR + 1.16%), 2.30%, 10/15/25^ | 685,000 | 701,153 | ||
(Variable, U.S. SOFR + 1.85%), 2.08%, 04/22/26^ | 460,000 | 467,432 | ||
2.95%, 10/01/26 | 700,000 | 739,828 | ||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.96%, 01/29/27^ | 875,000 | 946,394 | ||
(Variable, U.S. SOFR + 0.77%), 1.47%, 09/22/27^ | 2,500,000 | 2,453,139 | ||
4.25%, 10/01/27 | 780,000 | 876,254 | ||
3.63%, 12/01/27 | 900,000 | 970,976 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 3.51%, 01/23/29^ | 1,720,000 | 1,845,375 | ||
(Variable, ICE LIBOR USD 3M + 1.26%), 4.20%, 07/23/29^ | 380,000 | 425,773 | ||
(Variable, ICE LIBOR USD 3M + 1.33%), 4.45%, 12/05/29^ | 170,000 | 193,260 | ||
(Variable, U.S. SOFR + 3.79%), 4.49%, 03/24/31^ | 75,000 | 86,961 | ||
(Variable, U.S. SOFR + 2.04%), 2.52%, 04/22/31^ | 575,000 | 582,392 | ||
(Variable, U.S. SOFR + 2.52%), 2.96%, 05/13/31^ | 300,000 | 311,258 | ||
(Variable, U.S. SOFR + 1.18%), 2.55%, 11/08/32^ | 880,000 | 888,132 | ||
4.95%, 06/01/45 | 400,000 | 523,392 | ||
(Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | 320,000 | 332,808 | ||
Keurig Dr. Pepper, Inc. | ||||
4.60%, 05/25/28 | 50,000 | 56,953 | ||
Keysight Technologies, Inc. | ||||
3.00%, 10/30/29 | 475,000 | 494,064 | ||
Kilroy Realty LP REIT | ||||
4.75%, 12/15/28 | 1,750,000 | 2,004,834 | ||
Kimberly-Clark Corporation | ||||
2.88%, 02/07/50 | 5,000 | 5,160 | ||
Kimco Realty Corporation REIT | ||||
2.25%, 12/01/31 | 75,000 | 73,252 | ||
Kinder Morgan Energy Partners LP | ||||
3.95%, 09/01/22Δ | 520,000 | 527,028 | ||
3.50%, 09/01/23 | 2,250,000 | 2,327,598 | ||
4.25%, 09/01/24 | 980,000 | 1,045,749 | ||
Kinder Morgan, Inc. | ||||
4.30%, 03/01/28 | 60,000 | 66,774 | ||
5.20%, 03/01/48 | 10,000 | 12,420 | ||
KKR Group Finance Co. II LLC | ||||
5.50%, 02/01/43 144A | 30,000 | 40,246 |
Par | Value | |||
Kyndryl Holdings, Inc. | ||||
2.05%, 10/15/26 144A | $ 550,000 | $ 536,155 | ||
L3Harris Technologies, Inc. | ||||
5.05%, 04/27/45 | 50,000 | 66,019 | ||
Lear Corporation | ||||
5.25%, 05/15/49 | 35,000 | 44,442 | ||
Lehman Escrow Bonds | ||||
0.00%, 01/18/12# | 200,000 | 1,100 | ||
0.00%, 01/24/13# | 2,300,000 | 12,650 | ||
0.00%, 07/19/17Ψ ††† # | 150,000 | — | ||
0.00%, 12/28/17Ψ ††† # | 3,340,000 | — | ||
0.00%, 02/10/22Ψ ††† ρ # | 2,330,000 | — | ||
Level 3 Financing, Inc. | ||||
3.40%, 03/01/27 144A | 1,600,000 | 1,653,928 | ||
Life Storage LP REIT | ||||
3.88%, 12/15/27 | 900,000 | 988,795 | ||
Lincoln National Corporation | ||||
3.05%, 01/15/30 | 20,000 | 20,840 | ||
Lockheed Martin Corporation | ||||
3.10%, 01/15/23 | 40,000 | 40,741 | ||
3.55%, 01/15/26Δ | 310,000 | 336,034 | ||
4.50%, 05/15/36 | 50,000 | 61,283 | ||
Louisville Gas and Electric Co. | ||||
4.25%, 04/01/49 | 50,000 | 61,396 | ||
Lowe's Cos., Inc. | ||||
1.70%, 09/15/28 | 500,000 | 490,772 | ||
4.50%, 04/15/30 | 110,000 | 127,943 | ||
1.70%, 10/15/30 | 675,000 | 642,821 | ||
3.00%, 10/15/50 | 150,000 | 148,919 | ||
Marathon Petroleum Corporation | ||||
3.80%, 04/01/28 | 125,000 | 134,201 | ||
6.50%, 03/01/41 | 25,000 | 34,520 | ||
Marriott International, Inc. | ||||
2.13%, 10/03/22 | 1,500,000 | 1,513,617 | ||
Mars, Inc. | ||||
2.70%, 04/01/25 144A | 400,000 | 416,413 | ||
3.20%, 04/01/30 144A | 475,000 | 512,543 | ||
2.38%, 07/16/40 144A | 150,000 | 143,535 | ||
Marsh & McLennan Cos., Inc. | ||||
3.75%, 03/14/26 | 1,100,000 | 1,195,377 | ||
4.38%, 03/15/29 | 500,000 | 570,953 | ||
Martin Marietta Materials, Inc. | ||||
3.20%, 07/15/51 | 1,225,000 | 1,247,145 | ||
Masco Corporation | ||||
1.50%, 02/15/28Δ | 2,575,000 | 2,496,367 | ||
Mastercard, Inc. | ||||
3.30%, 03/26/27 | 250,000 | 270,499 | ||
3.85%, 03/26/50 | 310,000 | 374,917 | ||
McDonald’s Corporation | ||||
3.30%, 07/01/25 | 170,000 | 180,434 | ||
1.45%, 09/01/25 | 40,000 | 40,410 | ||
3.70%, 01/30/26 | 250,000 | 269,352 | ||
3.50%, 03/01/27 | 360,000 | 389,350 | ||
3.50%, 07/01/27 | 390,000 | 423,527 | ||
3.80%, 04/01/28 | 90,000 | 99,037 | ||
3.60%, 07/01/30Δ | 160,000 | 177,140 |
Par | Value | |||
6.30%, 03/01/38 | $ 50,000 | $ 71,315 | ||
3.63%, 09/01/49 | 130,000 | 144,380 | ||
4.20%, 04/01/50 | 1,230,000 | 1,498,131 | ||
Medtronic, Inc. | ||||
3.50%, 03/15/25 | 10,000 | 10,659 | ||
4.63%, 03/15/45 | 36,000 | 47,407 | ||
MetLife Capital Trust IV | ||||
7.88%, 12/15/37 144A | 300,000 | 410,250 | ||
MetLife, Inc. | ||||
6.40%, 12/15/36 | 50,000 | 61,589 | ||
Metropolitan Life Global Funding I | ||||
3.45%, 12/18/26 144A | 1,700,000 | 1,835,794 | ||
Microchip Technology, Inc. | ||||
2.67%, 09/01/23 | 675,000 | 689,698 | ||
Microsoft Corporation | ||||
2.88%, 02/06/24 | 470,000 | 489,492 | ||
2.70%, 02/12/25 | 120,000 | 125,767 | ||
3.13%, 11/03/25 | 60,000 | 64,088 | ||
2.40%, 08/08/26 | 1,540,000 | 1,614,085 | ||
3.30%, 02/06/27 | 800,000 | 872,916 | ||
3.45%, 08/08/36 | 5,000 | 5,777 | ||
2.53%, 06/01/50 | 18,000 | 17,674 | ||
2.92%, 03/17/52 | 37,000 | 39,546 | ||
2.68%, 06/01/60 | 22,000 | 22,106 | ||
3.04%, 03/17/62 | 108,000 | 116,424 | ||
MidAmerican Energy Co. | ||||
3.65%, 04/15/29 | 350,000 | 386,371 | ||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | 290,000 | 310,011 | ||
Mondelez International, Inc. | ||||
1.50%, 05/04/25 | 670,000 | 671,426 | ||
2.75%, 04/13/30 | 55,000 | 56,796 | ||
Morgan Stanley | ||||
3.70%, 10/23/24 | 1,150,000 | 1,225,786 | ||
(Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 755,000 | 778,632 | ||
(Variable, U.S. SOFR + 1.99%), 2.19%, 04/28/26^ | 750,000 | 765,612 | ||
3.63%, 01/20/27 | 1,475,000 | 1,601,219 | ||
3.95%, 04/23/27 | 1,375,000 | 1,513,985 | ||
(Variable, ICE LIBOR USD 3M + 1.14%), 3.77%, 01/24/29^ | 220,000 | 239,765 | ||
(Variable, ICE LIBOR USD 3M + 1.63%), 4.43%, 01/23/30^ | 195,000 | 222,597 | ||
(Variable, U.S. SOFR + 1.14%), 2.70%, 01/22/31^ | 1,895,000 | 1,942,684 | ||
(Variable, U.S. SOFR + 3.12%), 3.62%, 04/01/31^ | 1,000,000 | 1,091,889 | ||
(Variable, U.S. SOFR + 1.03%), 1.79%, 02/13/32^ | 725,000 | 687,856 | ||
(Variable, U.S. SOFR + 1.20%), 2.51%, 10/20/32^ | 830,000 | 831,151 | ||
(Variable, U.S. SOFR + 1.36%), 2.48%, 09/16/36^ | 1,055,000 | 1,016,924 | ||
MPLX LP | ||||
4.88%, 12/01/24 | 230,000 | 249,858 | ||
4.88%, 06/01/25 | 100,000 | 109,544 | ||
4.00%, 03/15/28 | 50,000 | 54,268 | ||
4.80%, 02/15/29 | 250,000 | 285,973 |
Par | Value | |||
4.50%, 04/15/38Δ | $ 470,000 | $ 528,471 | ||
4.70%, 04/15/48 | 1,020,000 | 1,183,570 | ||
5.50%, 02/15/49 | 595,000 | 764,033 | ||
MPT Operating Partnership LP REIT | ||||
4.63%, 08/01/29 | 435,000 | 459,678 | ||
National Retail Properties, Inc. REIT | ||||
3.90%, 06/15/24 | 255,000 | 269,524 | ||
3.60%, 12/15/26 | 250,000 | 266,582 | ||
National Securities Clearing Corporation | ||||
1.50%, 04/23/25 144A | 400,000 | 402,871 | ||
Nature Conservancy (The) | ||||
0.94%, 07/01/26 | 25,000 | 24,385 | ||
1.30%, 07/01/28 | 25,000 | 24,441 | ||
NetApp, Inc. | ||||
1.88%, 06/22/25 | 1,700,000 | 1,714,940 | ||
2.38%, 06/22/27 | 45,000 | 46,244 | ||
New York Life Global Funding | ||||
0.95%, 06/24/25 144A | 200,000 | 197,336 | ||
NextEra Energy Capital Holdings, Inc. | ||||
1.90%, 06/15/28 | 590,000 | 584,737 | ||
2.25%, 06/01/30Δ | 1,900,000 | 1,892,605 | ||
Niagara Mohawk Power Corporation | ||||
4.28%, 12/15/28 144A | 2,000,000 | 2,204,943 | ||
Nielsen Finance LLC | ||||
5.88%, 10/01/30 144A | 83,000 | 87,756 | ||
NIKE, Inc. | ||||
2.40%, 03/27/25 | 140,000 | 145,100 | ||
2.75%, 03/27/27Δ | 220,000 | 233,362 | ||
3.25%, 03/27/40 | 140,000 | 153,017 | ||
3.38%, 03/27/50 | 520,000 | 591,374 | ||
NiSource, Inc. | ||||
3.49%, 05/15/27 | 925,000 | 994,298 | ||
3.60%, 05/01/30 | 100,000 | 108,003 | ||
3.95%, 03/30/48 | 450,000 | 508,490 | ||
Nissan Motor Acceptance Co. LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 1.01%, 01/13/22 144A † | 1,900,000 | 1,900,179 | ||
2.75%, 03/09/28 144A | 2,200,000 | 2,187,965 | ||
Northrop Grumman Corporation | ||||
2.93%, 01/15/25 | 870,000 | 907,220 | ||
3.25%, 01/15/28 | 900,000 | 964,741 | ||
5.25%, 05/01/50 | 180,000 | 253,645 | ||
Northwell Healthcare, Inc. | ||||
6.15%, 11/01/43 | 375,000 | 552,166 | ||
Northwestern Mutual Life Insurance Co. (The) | ||||
6.06%, 03/30/40 144A | 300,000 | 426,445 | ||
3.85%, 09/30/47 144A | 250,000 | 283,967 | ||
NRG Energy, Inc. | ||||
3.75%, 06/15/24 144A | 625,000 | 652,626 | ||
3.38%, 02/15/29 144A | 318,000 | 312,065 | ||
3.63%, 02/15/31 144A | 850,000 | 830,203 | ||
NVIDIA Corporation | ||||
2.85%, 04/01/30 | 350,000 | 372,501 | ||
3.50%, 04/01/40 | 880,000 | 993,563 |
Par | Value | |||
3.50%, 04/01/50 | $1,120,000 | $1,284,653 | ||
3.70%, 04/01/60 | 460,000 | 554,004 | ||
Occidental Petroleum Corporation | ||||
6.95%, 07/01/24 | 290,000 | 321,942 | ||
5.55%, 03/15/26 | 435,000 | 484,755 | ||
3.40%, 04/15/26 | 500,000 | 513,028 | ||
3.20%, 08/15/26 | 260,000 | 268,208 | ||
3.00%, 02/15/27 | 150,000 | 152,408 | ||
7.88%, 09/15/31Δ | 280,000 | 374,186 | ||
6.45%, 09/15/36 | 205,000 | 261,784 | ||
4.63%, 06/15/45 | 130,000 | 135,072 | ||
6.60%, 03/15/46 | 220,000 | 285,795 | ||
4.40%, 04/15/46 | 60,000 | 61,613 | ||
4.10%, 02/15/47 | 260,000 | 255,194 | ||
4.20%, 03/15/48 | 80,000 | 80,130 | ||
Omega Healthcare Investors, Inc. REIT | ||||
3.63%, 10/01/29 | 1,600,000 | 1,663,880 | ||
ONEOK, Inc. | ||||
6.35%, 01/15/31 | 1,600,000 | 2,013,020 | ||
Oracle Corporation | ||||
3.80%, 11/15/37 | 65,000 | 68,144 | ||
3.60%, 04/01/40 | 400,000 | 403,428 | ||
5.38%, 07/15/40 | 55,000 | 67,460 | ||
4.00%, 07/15/46 | 375,000 | 391,438 | ||
Otis Worldwide Corporation | ||||
2.06%, 04/05/25 | 130,000 | 132,315 | ||
2.29%, 04/05/27 | 200,000 | 204,076 | ||
2.57%, 02/15/30 | 25,000 | 25,408 | ||
Owl Rock Capital Corporation | ||||
2.88%, 06/11/28Δ | 2,200,000 | 2,162,938 | ||
Pacific Gas and Electric Co. | ||||
1.75%, 06/16/22Δ | 2,900,000 | 2,900,020 | ||
1.70%, 11/15/23 | 2,200,000 | 2,205,660 | ||
3.40%, 08/15/24 | 600,000 | 620,648 | ||
3.15%, 01/01/26 | 1,300,000 | 1,330,707 | ||
2.95%, 03/01/26Δ | 800,000 | 814,186 | ||
2.10%, 08/01/27 | 370,000 | 357,751 | ||
4.55%, 07/01/30 | 1,800,000 | 1,949,817 | ||
2.50%, 02/01/31 | 610,000 | 582,089 | ||
3.30%, 08/01/40 | 165,000 | 153,704 | ||
3.50%, 08/01/50Δ | 70,000 | 65,243 | ||
Pacific Life Global Funding II | ||||
1.20%, 06/24/25 144A | 1,700,000 | 1,680,950 | ||
PacifiCorp | ||||
4.15%, 02/15/50 | 60,000 | 71,418 | ||
Parsley Energy LLC | ||||
4.13%, 02/15/28 144A | 30,000 | 30,326 | ||
PayPal Holdings, Inc. | ||||
1.35%, 06/01/23 | 220,000 | 221,879 | ||
1.65%, 06/01/25 | 1,380,000 | 1,398,526 | ||
2.65%, 10/01/26 | 2,775,000 | 2,916,361 | ||
2.30%, 06/01/30 | 300,000 | 305,333 | ||
PepsiCo, Inc. | ||||
0.75%, 05/01/23 | 300,000 | 300,501 | ||
2.25%, 03/19/25 | 20,000 | 20,689 | ||
2.63%, 03/19/27Δ | 30,000 | 31,452 |
Par | Value | |||
2.63%, 07/29/29 | $ 65,000 | $ 68,498 | ||
1.63%, 05/01/30 | 250,000 | 242,976 | ||
2.88%, 10/15/49Δ | 100,000 | 105,558 | ||
PerkinElmer, Inc. | ||||
3.30%, 09/15/29 | 65,000 | 68,930 | ||
Phillips 66 | ||||
3.70%, 04/06/23 | 400,000 | 413,658 | ||
3.85%, 04/09/25 | 100,000 | 106,736 | ||
1.30%, 02/15/26 | 175,000 | 171,468 | ||
Physicians Realty LP REIT | ||||
3.95%, 01/15/28 | 2,400,000 | 2,626,039 | ||
Pioneer Natural Resources Co. | ||||
1.13%, 01/15/26 | 70,000 | 68,083 | ||
2.15%, 01/15/31 | 290,000 | 279,272 | ||
Plains All American Pipeline LP | ||||
3.65%, 06/01/22 | 200,000 | 200,989 | ||
3.85%, 10/15/23 | 725,000 | 752,309 | ||
Post Holdings, Inc. | ||||
5.50%, 12/15/29 144A | 350,000 | 368,169 | ||
Prime Security Services Borrower LLC | ||||
3.38%, 08/31/27 144A | 770,000 | 743,639 | ||
Principal Life Global Funding II | ||||
1.25%, 06/23/25 144A | 90,000 | 89,041 | ||
Procter & Gamble Co. (The) | ||||
2.80%, 03/25/27 | 75,000 | 79,414 | ||
2.85%, 08/11/27Δ | 45,000 | 48,216 | ||
3.00%, 03/25/30 | 130,000 | 141,552 | ||
Progress Energy, Inc. | ||||
7.75%, 03/01/31 | 350,000 | 488,594 | ||
Public Storage REIT | ||||
0.50%, 09/09/30(E) | 2,000,000 | 2,206,953 | ||
QUALCOMM, Inc. | ||||
4.65%, 05/20/35 | 55,000 | 68,586 | ||
4.80%, 05/20/45 | 10,000 | 13,327 | ||
Quanta Services, Inc. | ||||
2.90%, 10/01/30 | 25,000 | 25,480 | ||
Range Resources Corporation | ||||
5.00%, 03/15/23 | 322,000 | 329,586 | ||
4.88%, 05/15/25 | 10,000 | 10,338 | ||
Raymond James Financial, Inc. | ||||
4.65%, 04/01/30 | 75,000 | 87,141 | ||
Raytheon Technologies Corporation | ||||
3.15%, 12/15/24 | 120,000 | 126,137 | ||
3.95%, 08/16/25 | 530,000 | 575,323 | ||
3.50%, 03/15/27 | 550,000 | 589,895 | ||
4.13%, 11/16/28 | 665,000 | 745,094 | ||
2.25%, 07/01/30 | 540,000 | 539,685 | ||
4.50%, 06/01/42Δ | 90,000 | 112,419 | ||
4.05%, 05/04/47 | 375,000 | 436,314 | ||
Realty Income Corporation REIT | ||||
4.63%, 11/01/25 | 600,000 | 665,837 | ||
3.95%, 08/15/27 | 150,000 | 166,529 | ||
3.40%, 01/15/28 | 200,000 | 216,008 | ||
3.25%, 01/15/31 | 1,800,000 | 1,939,712 | ||
2.85%, 12/15/32 | 800,000 | 832,228 |
Par | Value | |||
Regency Centers LP REIT | ||||
2.95%, 09/15/29 | $ 775,000 | $ 805,939 | ||
Regeneron Pharmaceuticals, Inc. | ||||
1.75%, 09/15/30Δ | 1,500,000 | 1,421,777 | ||
Reinsurance Group of America, Inc. | ||||
3.90%, 05/15/29 | 65,000 | 71,277 | ||
RELX Capital, Inc. | ||||
3.50%, 03/16/23 | 300,000 | 308,913 | ||
Republic Services, Inc. | ||||
2.50%, 08/15/24 | 190,000 | 195,680 | ||
Roche Holdings, Inc. | ||||
2.61%, 12/13/51 144A | 820,000 | 804,811 | ||
Roper Technologies, Inc. | ||||
4.20%, 09/15/28 | 500,000 | 562,234 | ||
Ross Stores, Inc. | ||||
4.60%, 04/15/25 | 65,000 | 71,293 | ||
Rush Obligated Group | ||||
3.92%, 11/15/29 | 400,000 | 447,835 | ||
Sabine Pass Liquefaction LLC | ||||
5.63%, 04/15/23 | 400,000 | 418,509 | ||
5.63%, 03/01/25 | 450,000 | 500,135 | ||
5.00%, 03/15/27 | 425,000 | 477,940 | ||
4.20%, 03/15/28 | 300,000 | 329,110 | ||
4.50%, 05/15/30 | 1,600,000 | 1,808,055 | ||
Sabra Health Care LP REIT | ||||
3.90%, 10/15/29 | 1,500,000 | 1,573,680 | ||
salesforce.com, Inc. | ||||
3.25%, 04/11/23 | 300,000 | 309,548 | ||
San Diego Gas & Electric Co. | ||||
2.95%, 08/15/51 | 2,300,000 | 2,299,506 | ||
Santander Holdings U.S.A., Inc. | ||||
4.50%, 07/17/25 | 60,000 | 65,031 | ||
3.24%, 10/05/26 | 1,100,000 | 1,149,532 | ||
SBA Communications Corporation REIT | ||||
3.13%, 02/01/29 144A | 598,000 | 575,001 | ||
SBA Tower Trust REIT | ||||
2.84%, 01/15/25 144A | 2,200,000 | 2,259,548 | ||
2.33%, 01/15/28 144A | 2,300,000 | 2,350,410 | ||
Schlumberger Holdings Corporation | ||||
4.00%, 12/21/25 144A | 190,000 | 204,923 | ||
3.90%, 05/17/28 144A | 292,000 | 315,907 | ||
Schlumberger Investment SA | ||||
2.65%, 06/26/30Δ | 35,000 | 35,939 | ||
Sempra Energy | ||||
3.40%, 02/01/28 | 275,000 | 293,198 | ||
ServiceNow, Inc. | ||||
1.40%, 09/01/30 | 675,000 | 629,770 | ||
Sherwin-Williams Co. (The) | ||||
3.13%, 06/01/24Δ | 75,000 | 78,344 | ||
3.45%, 06/01/27 | 350,000 | 379,181 | ||
2.95%, 08/15/29 | 475,000 | 500,676 | ||
Simon Property Group LP REIT | ||||
2.45%, 09/13/29 | 1,670,000 | 1,684,577 | ||
Skyworks Solutions, Inc. | ||||
1.80%, 06/01/26Δ | 2,200,000 | 2,181,195 | ||
Southern California Edison Co. | ||||
3.70%, 08/01/25 | 2,800,000 | 2,993,004 |
Par | Value | |||
4.20%, 03/01/29 | $ 400,000 | $ 446,822 | ||
4.88%, 03/01/49 | 55,000 | 67,531 | ||
Southern Co. (The) | ||||
3.25%, 07/01/26 | 1,400,000 | 1,483,297 | ||
Southern Co. Gas Capital Corporation | ||||
3.25%, 06/15/26 | 300,000 | 318,974 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 2,710,000 | 3,415,670 | ||
5.88%, 04/23/45 | 200,000 | 275,027 | ||
Southern Natural Gas Co. LLC | ||||
8.00%, 03/01/32 | 400,000 | 557,691 | ||
Southern Power Co. | ||||
4.95%, 12/15/46Δ | 50,000 | 61,138 | ||
Southwestern Electric Power Co. | ||||
2.75%, 10/01/26 | 65,000 | 67,310 | ||
Southwestern Energy Co. | ||||
5.38%, 02/01/29 | 10,000 | 10,589 | ||
5.38%, 03/15/30Δ | 40,000 | 42,930 | ||
4.75%, 02/01/32 | 90,000 | 94,919 | ||
Spectra Energy Partners LP | ||||
3.50%, 03/15/25 | 65,000 | 68,427 | ||
Spirit AeroSystems, Inc. | ||||
3.95%, 06/15/23 | 1,500,000 | 1,513,440 | ||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.10%, 04/01/28 | 989,707 | 1,022,991 | ||
Spirit Realty LP REIT | ||||
4.45%, 09/15/26 | 1,200,000 | 1,322,314 | ||
4.00%, 07/15/29 | 750,000 | 825,562 | ||
Sprint Spectrum Co. LLC | ||||
5.15%, 03/20/28 144A | 1,100,000 | 1,214,372 | ||
Starbucks Corporation | ||||
3.80%, 08/15/25 | 625,000 | 675,111 | ||
2.55%, 11/15/30 | 1,900,000 | 1,942,073 | ||
State Street Corporation | ||||
(Variable, ICE LIBOR USD 3M + 1.03%), 4.14%, 12/03/29^ | 60,000 | 68,260 | ||
(Variable, U.S. SOFR + 2.65%), 3.15%, 03/30/31^ | 240,000 | 260,395 | ||
Steel Dynamics, Inc. | ||||
2.40%, 06/15/25 | 140,000 | 143,410 | ||
1.65%, 10/15/27Δ | 275,000 | 269,478 | ||
Stifel Financial Corporation | ||||
4.00%, 05/15/30 | 1,900,000 | 2,087,863 | ||
Sutter Health | ||||
2.29%, 08/15/30 | 215,000 | 215,165 | ||
Sysco Corporation | ||||
6.60%, 04/01/40 | 675,000 | 983,640 | ||
Targa Resources Partners LP | ||||
5.88%, 04/15/26 | 350,000 | 365,656 | ||
6.50%, 07/15/27 | 355,000 | 380,943 | ||
5.00%, 01/15/28 | 70,000 | 73,872 | ||
5.50%, 03/01/30 | 120,000 | 131,302 | ||
4.88%, 02/01/31 | 70,000 | 76,138 | ||
4.00%, 01/15/32 144A | 30,000 | 31,402 | ||
Teachers Insurance & Annuity Association of America | ||||
6.85%, 12/16/39 144A | 46,000 | 69,037 |
Par | Value | |||
4.90%, 09/15/44 144A | $ 520,000 | $ 671,616 | ||
Tennessee Gas Pipeline Co. LLC | ||||
2.90%, 03/01/30 144A | 1,430,000 | 1,455,529 | ||
Texas Instruments, Inc. | ||||
1.75%, 05/04/30 | 370,000 | 363,636 | ||
Textron, Inc. | ||||
2.45%, 03/15/31 | 1,700,000 | 1,674,800 | ||
Time Warner Cable LLC | ||||
7.30%, 07/01/38 | 880,000 | 1,250,284 | ||
5.88%, 11/15/40 | 300,000 | 375,989 | ||
Time Warner Entertainment Co. LP | ||||
8.38%, 03/15/23 | 975,000 | 1,057,635 | ||
8.38%, 07/15/33 | 390,000 | 569,249 | ||
TJX Cos., Inc. (The) | ||||
2.25%, 09/15/26Δ | 40,000 | 41,368 | ||
T-Mobile U.S.A., Inc. | ||||
3.50%, 04/15/25 | 1,495,000 | 1,585,638 | ||
1.50%, 02/15/26 | 400,000 | 395,704 | ||
2.25%, 02/15/26Δ | 70,000 | 70,282 | ||
3.75%, 04/15/27 | 2,325,000 | 2,520,459 | ||
2.05%, 02/15/28 | 1,085,000 | 1,078,649 | ||
2.63%, 02/15/29 | 320,000 | 315,754 | ||
3.88%, 04/15/30 | 1,985,000 | 2,175,758 | ||
2.55%, 02/15/31 | 1,570,000 | 1,565,101 | ||
2.88%, 02/15/31Δ | 160,000 | 158,293 | ||
3.50%, 04/15/31 | 260,000 | 270,850 | ||
3.50%, 04/15/31 144A | 190,000 | 197,929 | ||
2.70%, 03/15/32 144A | 610,000 | 615,277 | ||
4.38%, 04/15/40 | 60,000 | 68,876 | ||
3.00%, 02/15/41 | 365,000 | 358,034 | ||
3.40%, 10/15/52 144A | 380,000 | 380,276 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
7.85%, 02/01/26 | 880,000 | 1,075,605 | ||
3.25%, 05/15/30 | 870,000 | 918,933 | ||
TransDigm, Inc. | ||||
6.38%, 06/15/26 | 350,000 | 360,008 | ||
7.50%, 03/15/27 | 300,000 | 313,800 | ||
4.63%, 01/15/29 | 130,000 | 129,804 | ||
Tronox, Inc. | ||||
4.63%, 03/15/29 144A | 1,225,000 | 1,225,686 | ||
Truist Financial Corporation | ||||
(Variable, U.S. SOFR + 0.61%), 1.27%, 03/02/27^ | 35,000 | 34,377 | ||
(Variable, U.S. SOFR + 0.86%), 1.89%, 06/07/29^ | 55,000 | 54,247 | ||
U.S. Bancorp | ||||
1.45%, 05/12/25 | 2,380,000 | 2,392,610 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.54%), 3.70%, 01/15/27ρ ^ | 775,000 | 776,782 | ||
UDR, Inc. REIT | ||||
3.20%, 01/15/30 | 1,200,000 | 1,263,647 | ||
2.10%, 08/01/32 | 150,000 | 143,160 | ||
Union Pacific Corporation | ||||
3.75%, 07/15/25Δ | 210,000 | 227,122 | ||
2.89%, 04/06/36 | 670,000 | 704,317 | ||
3.84%, 03/20/60 | 480,000 | 569,462 | ||
3.75%, 02/05/70 | 80,000 | 91,407 |
Par | Value | |||
United Airlines Pass-Through Trust, Series 2016-2, Class A | ||||
3.10%, 10/07/28 | $ 630,842 | $ 625,988 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class AA | ||||
2.88%, 10/07/28 | 630,842 | 644,320 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 1,987,260 | 2,180,999 | ||
United Airlines, Inc. | ||||
4.38%, 04/15/26 144A | 20,000 | 20,881 | ||
4.63%, 04/15/29 144A | 250,000 | 258,333 | ||
United Parcel Service, Inc. | ||||
3.90%, 04/01/25 | 15,000 | 16,205 | ||
5.30%, 04/01/50 | 45,000 | 66,870 | ||
UnitedHealth Group, Inc. | ||||
2.38%, 10/15/22Δ | 40,000 | 40,575 | ||
3.50%, 06/15/23 | 90,000 | 93,641 | ||
3.75%, 07/15/25Δ | 230,000 | 249,701 | ||
1.25%, 01/15/26 | 90,000 | 89,786 | ||
3.45%, 01/15/27 | 45,000 | 49,032 | ||
2.00%, 05/15/30 | 690,000 | 686,441 | ||
2.75%, 05/15/40 | 700,000 | 714,146 | ||
4.25%, 06/15/48 | 215,000 | 267,828 | ||
4.45%, 12/15/48 | 50,000 | 64,185 | ||
3.70%, 08/15/49 | 170,000 | 196,841 | ||
2.90%, 05/15/50 | 290,000 | 297,386 | ||
3.88%, 08/15/59 | 190,000 | 229,070 | ||
3.13%, 05/15/60 | 30,000 | 31,197 | ||
University of Chicago (The) | ||||
5.42%, 10/01/30 | 100,000 | 119,619 | ||
Utah Acquisition Sub, Inc. | ||||
2.25%, 11/22/24(E) | 1,500,000 | 1,805,570 | ||
3.95%, 06/15/26Δ | 1,700,000 | 1,835,733 | ||
Valero Energy Corporation | ||||
2.85%, 04/15/25 | 600,000 | 622,002 | ||
Vanguard Group, Inc. (The) | ||||
3.05%, 08/22/50††† | 390,000 | 381,378 | ||
Ventas Realty LP REIT | ||||
3.00%, 01/15/30Δ | 1,700,000 | 1,758,073 | ||
Verizon Communications, Inc. | ||||
2.63%, 08/15/26 | 280,000 | 291,981 | ||
3.00%, 03/22/27 | 70,000 | 74,022 | ||
2.10%, 03/22/28 | 405,000 | 406,394 | ||
4.33%, 09/21/28 | 2,018,000 | 2,296,285 | ||
3.88%, 02/08/29 | 360,000 | 399,655 | ||
3.15%, 03/22/30 | 1,465,000 | 1,553,324 | ||
1.75%, 01/20/31 | 250,000 | 237,184 | ||
2.55%, 03/21/31Δ | 4,360,000 | 4,408,218 | ||
2.36%, 03/15/32 144A | 5,416,000 | 5,349,294 | ||
4.50%, 08/10/33 | 430,000 | 506,922 | ||
5.25%, 03/16/37 | 530,000 | 691,286 | ||
2.65%, 11/20/40 | 1,250,000 | 1,193,360 | ||
3.85%, 11/01/42 | 40,000 | 44,943 | ||
4.13%, 08/15/46 | 380,000 | 443,292 | ||
4.86%, 08/21/46 | 290,000 | 375,369 | ||
5.50%, 03/16/47 | 40,000 | 56,115 | ||
4.00%, 03/22/50 | 190,000 | 221,391 |
Par | Value | |||
2.88%, 11/20/50 | $1,250,000 | $1,194,334 | ||
2.99%, 10/30/56 | 746,000 | 710,902 | ||
ViacomCBS, Inc. | ||||
4.38%, 03/15/43 | 60,000 | 68,611 | ||
Visa, Inc. | ||||
3.15%, 12/14/25 | 450,000 | 480,268 | ||
2.05%, 04/15/30 | 270,000 | 273,941 | ||
4.15%, 12/14/35 | 60,000 | 72,024 | ||
2.70%, 04/15/40 | 270,000 | 277,244 | ||
4.30%, 12/14/45 | 460,000 | 581,980 | ||
Vistra Operations Co. LLC | ||||
3.55%, 07/15/24 144A | 1,150,000 | 1,185,180 | ||
VMware, Inc. | ||||
2.95%, 08/21/22 | 1,800,000 | 1,821,393 | ||
4.65%, 05/15/27 | 700,000 | 788,300 | ||
3.90%, 08/21/27 | 500,000 | 545,110 | ||
1.80%, 08/15/28 | 225,000 | 219,329 | ||
2.20%, 08/15/31 | 600,000 | 589,746 | ||
Volkswagen Group of America Finance LLC | ||||
3.13%, 05/12/23 144A | 1,600,000 | 1,645,498 | ||
Voya Financial, Inc. | ||||
5.70%, 07/15/43Δ | 170,000 | 232,923 | ||
Walgreens Boots Alliance, Inc. | ||||
4.10%, 04/15/50Δ | 65,000 | 73,314 | ||
Walmart, Inc. | ||||
1.50%, 09/22/28Δ | 150,000 | 149,319 | ||
1.80%, 09/22/31 | 80,000 | 79,385 | ||
Walt Disney Co. (The) | ||||
3.70%, 09/15/24 | 625,000 | 664,653 | ||
2.20%, 01/13/28Δ | 1,300,000 | 1,326,289 | ||
2.65%, 01/13/31 | 400,000 | 417,029 | ||
6.65%, 11/15/37 | 150,000 | 223,135 | ||
Waste Management, Inc. | ||||
1.15%, 03/15/28Δ | 250,000 | 239,012 | ||
WEA Finance LLC REIT | ||||
3.75%, 09/17/24 144A | 770,000 | 808,341 | ||
Wells Fargo & Co. | ||||
3.45%, 02/13/23 | 200,000 | 205,844 | ||
(Floating, ICE LIBOR USD 3M + 1.23%), 1.36%, 10/31/23† | 600,000 | 604,913 | ||
4.48%, 01/16/24 | 396,000 | 420,911 | ||
3.75%, 01/24/24 | 1,325,000 | 1,392,957 | ||
3.55%, 09/29/25 | 2,000,000 | 2,134,044 | ||
3.00%, 04/22/26Δ | 900,000 | 946,808 | ||
(Variable, U.S. SOFR + 2.00%), 2.19%, 04/30/26^ | 1,540,000 | 1,569,043 | ||
4.10%, 06/03/26 | 440,000 | 480,281 | ||
3.00%, 10/23/26 | 2,210,000 | 2,324,737 | ||
4.30%, 07/22/27 | 1,780,000 | 1,985,836 | ||
4.15%, 01/24/29 | 645,000 | 723,234 | ||
(Variable, U.S. SOFR + 1.43%), 2.88%, 10/30/30^ | 410,000 | 427,069 | ||
(Variable, U.S. SOFR + 4.03%), 4.48%, 04/04/31^ | 1,240,000 | 1,443,229 | ||
5.38%, 11/02/43 | 190,000 | 252,354 | ||
4.65%, 11/04/44 | 70,000 | 85,189 |
Par | Value | |||
4.90%, 11/17/45Δ | $ 370,000 | $ 467,790 | ||
4.40%, 06/14/46 | 370,000 | 440,961 | ||
4.75%, 12/07/46 | 260,000 | 326,310 | ||
(Variable, U.S. SOFR + 4.50%), 5.01%, 04/04/51^ | 3,475,000 | 4,771,538 | ||
Welltower, Inc. REIT | ||||
4.25%, 04/01/26 | 898,000 | 985,168 | ||
3.10%, 01/15/30 | 65,000 | 68,234 | ||
Western Midstream Operating LP | ||||
(Floating, ICE LIBOR USD 3M + 1.85%), 1.97%, 01/13/23† Δ | 80,000 | 79,895 | ||
4.35%, 02/01/25 | 220,000 | 230,177 | ||
4.50%, 03/01/28 | 60,000 | 65,432 | ||
5.30%, 02/01/30Δ | 780,000 | 860,344 | ||
5.45%, 04/01/44 | 75,000 | 89,732 | ||
5.30%, 03/01/48Δ | 65,000 | 78,420 | ||
5.50%, 08/15/48 | 160,000 | 191,590 | ||
6.50%, 02/01/50 | 130,000 | 153,922 | ||
Westinghouse Air Brake Technologies Corporation | ||||
4.95%, 09/15/28 | 60,000 | 68,314 | ||
Westlake Chemical Corporation | ||||
3.60%, 08/15/26 | 55,000 | 59,061 | ||
WestRock RKT LLC | ||||
4.00%, 03/01/23 | 30,000 | 30,815 | ||
Williams Cos., Inc. (The) | ||||
3.90%, 01/15/25 | 300,000 | 319,122 | ||
7.50%, 01/15/31 | 100,000 | 135,810 | ||
7.75%, 06/15/31 | 585,000 | 795,202 | ||
8.75%, 03/15/32 | 181,000 | 269,091 | ||
5.75%, 06/24/44 | 160,000 | 208,878 | ||
WP Carey, Inc. REIT | ||||
4.60%, 04/01/24 | 160,000 | 169,985 | ||
4.00%, 02/01/25 | 105,000 | 111,815 | ||
3.85%, 07/15/29 | 900,000 | 992,814 | ||
WR Grace Holdings LLC | ||||
4.88%, 06/15/27 144A Δ | 730,000 | 750,717 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 | 500,000 | 533,351 | ||
4.00%, 03/15/28 | 1,100,000 | 1,217,623 | ||
Xerox Holdings Corporation | ||||
5.00%, 08/15/25 144A | 1,240,000 | 1,315,702 | ||
Zoetis, Inc. | ||||
2.00%, 05/15/30 | 1,900,000 | 1,877,166 | ||
Total Corporate Bonds (Cost $659,567,438) | 684,139,561 | |||
FOREIGN BONDS — 12.5% | ||||
Argentina — 0.0% | ||||
Argentine Republic Government International Bond | ||||
1.00%, 07/09/29 | 93,932 | 34,286 | ||
(Step to 0.75% on 07/09/23), 0.50%, 07/09/30 STEP | 1,614,303 | 569,058 | ||
(Step to 1.50% on 07/09/22), 1.13%, 07/09/35 STEP | 451,796 | 145,144 |
Par | Value | |||
(Step to 3.50% on 07/09/22), 2.50%, 07/09/41 STEP | $ 810,000 | $ 287,145 | ||
1,035,633 | ||||
Australia — 0.1% | ||||
APT Pipelines, Ltd. | ||||
4.20%, 03/23/25 144A | 60,000 | 64,233 | ||
BHP Billiton Finance U.S.A., Ltd. | ||||
2.88%, 02/24/22 | 20,000 | 20,058 | ||
5.00%, 09/30/43 | 170,000 | 225,948 | ||
Commonwealth Bank of Australia | ||||
3.90%, 07/12/47 144A Δ | 110,000 | 133,014 | ||
Macquarie Bank, Ltd. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 1.70%), 3.05%, 03/03/36 144A ^ | 750,000 | 741,091 | ||
Macquarie Group, Ltd. | ||||
(Variable, U.S. SOFR + 1.07%), 1.34%, 01/12/27 144A ^ | 500,000 | 486,984 | ||
Newcrest Finance Pty, Ltd. | ||||
3.25%, 05/13/30 144A | 175,000 | 183,666 | ||
Westpac Banking Corporation | ||||
2.35%, 02/19/25 | 70,000 | 72,355 | ||
(Variable, USD ICE Swap Rate 5Y + 2.24%), 4.32%, 11/23/31Δ ^ | 175,000 | 189,499 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.00%), 4.11%, 07/24/34^ | 275,000 | 297,399 | ||
2,414,247 | ||||
Austria — 0.0% | ||||
Suzano Austria GmbH | ||||
3.75%, 01/15/31 | 660,000 | 671,873 | ||
3.13%, 01/15/32 | 320,000 | 310,157 | ||
982,030 | ||||
Brazil — 0.2% | ||||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/23(B) | 8,338,000 | 1,468,639 | ||
10.00%, 01/01/27(B) | 1,013,000 | 177,742 | ||
Brazilian Government International Bond | ||||
4.63%, 01/13/28Δ | 480,000 | 502,054 | ||
5.63%, 01/07/41 | 340,000 | 348,004 | ||
5.00%, 01/27/45 | 1,650,000 | 1,551,825 | ||
BRF SA | ||||
4.88%, 01/24/30Δ | 200,000 | 202,853 | ||
Vale Overseas, Ltd. | ||||
6.25%, 08/10/26 | 105,000 | 121,693 | ||
6.88%, 11/21/36 | 484,000 | 643,952 | ||
5,016,762 | ||||
Canada — 0.6% | ||||
1011778 BC ULC | ||||
4.00%, 10/15/30 144A | 446,000 | 439,123 |
Par | Value | |||
Alimentation Couche-Tard, Inc. | ||||
3.55%, 07/26/27 144A | $ 75,000 | $ 80,468 | ||
Bank of Montreal | ||||
1.85%, 05/01/25Δ | 500,000 | 507,983 | ||
(Variable, U.S. SOFR + 0.60%), 0.95%, 01/22/27^ | 75,000 | 72,634 | ||
(Variable, USD Swap 5Y + 1.43%), 3.80%, 12/15/32^ | 100,000 | 107,417 | ||
Bank of Nova Scotia (The) | ||||
2.20%, 02/03/25 | 70,000 | 71,689 | ||
1.30%, 06/11/25Δ | 270,000 | 268,765 | ||
Barrick Gold Corporation | ||||
5.25%, 04/01/42Δ | 560,000 | 729,835 | ||
Bausch Health Cos., Inc. | ||||
9.00%, 12/15/25 144A | 600,000 | 632,688 | ||
Canadian Imperial Bank of Commerce | ||||
0.95%, 06/23/23 | 270,000 | 270,431 | ||
Canadian National Railway Co. | ||||
2.45%, 05/01/50 | 35,000 | 32,794 | ||
Canadian Natural Resources, Ltd. | ||||
3.85%, 06/01/27 | 65,000 | 69,733 | ||
Canadian Pacific Railway Co. | ||||
2.45%, 12/02/31 | 400,000 | 408,119 | ||
3.00%, 12/02/41 | 30,000 | 30,825 | ||
3.10%, 12/02/51 | 370,000 | 379,607 | ||
Cenovus Energy, Inc. | ||||
4.40%, 04/15/29 | 65,000 | 72,046 | ||
CGI, Inc. | ||||
1.45%, 09/14/26 144A | 2,300,000 | 2,252,871 | ||
Enbridge, Inc. | ||||
(Floating, U.S. SOFR + 0.40%), 0.45%, 02/17/23† Δ | 1,800,000 | 1,800,547 | ||
2.50%, 08/01/33 | 850,000 | 836,476 | ||
Ford Credit Canada Co. | ||||
(Floating, CAD Offered Rate 3M + 3.03%), 3.49%, 01/10/22(C) † | 2,400,000 | 1,897,801 | ||
GFL Environmental, Inc. | ||||
3.75%, 08/01/25 144A | 1,025,000 | 1,036,521 | ||
Royal Bank of Canada | ||||
1.60%, 04/17/23 | 430,000 | 434,990 | ||
1.15%, 06/10/25 | 260,000 | 258,071 | ||
Suncor Energy, Inc. | ||||
2.80%, 05/15/23 | 225,000 | 230,278 | ||
3.10%, 05/15/25 | 475,000 | 496,982 | ||
Teck Resources, Ltd. | ||||
3.90%, 07/15/30Δ | 275,000 | 296,067 | ||
6.00%, 08/15/40 | 10,000 | 12,860 | ||
Toronto-Dominion Bank (The) | ||||
0.75%, 06/12/23 | 500,000 | 500,213 | ||
1.15%, 06/12/25 | 260,000 | 258,132 | ||
1.25%, 09/10/26 | 70,000 | 68,875 | ||
TransCanada PipeLines, Ltd. | ||||
7.63%, 01/15/39 | 30,000 | 46,870 | ||
14,601,711 |
Par | Value | |||
Chile — 0.1% | ||||
Chile Government International Bond | ||||
2.45%, 01/31/31Δ | $ 1,800,000 | $1,791,000 | ||
China — 0.3% | ||||
Avolon Holdings Funding, Ltd. | ||||
3.95%, 07/01/24 144A | 400,000 | 419,475 | ||
2.88%, 02/15/25 144A | 800,000 | 818,128 | ||
2.13%, 02/21/26 144A | 2,500,000 | 2,457,296 | ||
4.25%, 04/15/26 144A | 125,000 | 132,660 | ||
Baidu, Inc. | ||||
3.43%, 04/07/30 | 400,000 | 420,410 | ||
China Government Bond | ||||
3.31%, 11/30/25(Y) | 1,000,000 | 161,754 | ||
Huarong Finance II Co., Ltd. | ||||
4.88%, 11/22/26 | 200,000 | 207,802 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 15,000 | 15,332 | ||
4.50%, 03/15/23 144A | 20,000 | 20,649 | ||
5.50%, 02/15/24 144A | 60,000 | 64,383 | ||
Sinopec Group Overseas Development 2014, Ltd. | ||||
4.38%, 04/10/24 144A | 390,000 | 416,856 | ||
Tencent Holdings, Ltd. | ||||
3.68%, 04/22/41 144A | 420,000 | 437,621 | ||
3.84%, 04/22/51 144A | 910,000 | 960,739 | ||
6,533,105 | ||||
Colombia — 0.2% | ||||
Colombia Government International Bond | ||||
3.00%, 01/30/30Δ | 200,000 | 183,175 | ||
3.13%, 04/15/31Δ | 460,000 | 413,761 | ||
3.25%, 04/22/32 | 450,000 | 405,563 | ||
4.13%, 02/22/42 | 650,000 | 544,375 | ||
5.63%, 02/26/44 | 1,080,000 | 1,050,937 | ||
4.13%, 05/15/51Δ | 240,000 | 195,600 | ||
3.88%, 02/15/61Δ | 200,000 | 154,752 | ||
Ecopetrol SA | ||||
5.88%, 05/28/45Δ | 1,360,000 | 1,302,832 | ||
4,250,995 | ||||
Denmark — 0.2% | ||||
Danske Bank A/S | ||||
5.00%, 01/12/22 144A | 540,000 | 540,481 | ||
5.38%, 01/12/24 144A | 340,000 | 366,220 | ||
1.23%, 06/22/24 144A | 280,000 | 279,795 | ||
(Variable, ICE LIBOR USD 3M + 1.59%), 3.24%, 12/20/25 144A ^ | 220,000 | 228,787 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.35%), 1.62%, 09/11/26 144A ^ | 1,800,000 | 1,775,772 | ||
Jyske Realkredit A/S | ||||
1.50%, 10/01/53(D) | 10,000,000 | 1,487,282 | ||
Realkredit Danmark A/S | ||||
1.50%, 10/01/53(D) ††† | 6,000,000 | 900,111 | ||
5,578,448 |
Par | Value | |||
Dominican Republic — 0.0% | ||||
Dominican Republic International Bond | ||||
6.40%, 06/05/49 144A | $ 170,000 | $ 178,927 | ||
Finland — 0.0% | ||||
Nokia OYJ | ||||
4.38%, 06/12/27 | 9,000 | 9,731 | ||
France — 0.8% | ||||
BNP Paribas SA | ||||
3.50%, 03/01/23 144A | 925,000 | 953,271 | ||
(Variable, USD Swap 5Y + 4.15%), 6.63%, 03/25/24 144A ρ Δ ^ | 200,000 | 216,010 | ||
3.38%, 01/09/25 144A | 450,000 | 472,969 | ||
(Variable, ICE LIBOR USD 3M + 2.24%), 4.71%, 01/10/25 144A ^ | 450,000 | 479,369 | ||
(Variable, U.S. SOFR + 2.07%), 2.22%, 06/09/26 144A ^ | 1,790,000 | 1,808,902 | ||
(Variable, U.S. SOFR + 1.00%), 1.32%, 01/13/27 144A ^ | 775,000 | 754,916 | ||
4.40%, 08/14/28 144A | 1,340,000 | 1,504,225 | ||
(Variable, U.S. SOFR + 1.61%), 1.90%, 09/30/28 144A ^ | 1,800,000 | 1,759,738 | ||
(Variable, USD Swap 5Y + 1.48%), 4.38%, 03/01/33 144A ^ | 440,000 | 478,005 | ||
BPCE SA | ||||
4.00%, 09/12/23 144A | 750,000 | 785,731 | ||
4.63%, 09/12/28 144A | 375,000 | 427,652 | ||
(Variable, U.S. SOFR + 1.31%), 2.28%, 01/20/32 144A ^ | 375,000 | 362,109 | ||
(Variable, U.S. SOFR + 1.73%), 3.12%, 10/19/32 144A ^ | 875,000 | 879,763 | ||
Credit Agricole SA | ||||
(Variable, USD Swap 5Y + 4.32%), 6.88%, 09/23/24 144A ρ ^ | 300,000 | 327,900 | ||
4.38%, 03/17/25 | 275,000 | 295,758 | ||
(Variable, U.S. SOFR + 1.68%), 1.91%, 06/16/26 144A ^ | 2,025,000 | 2,031,452 | ||
4.13%, 01/10/27 144A | 450,000 | 494,692 | ||
(Variable, USD Swap 5Y + 1.64%), 4.00%, 01/10/33 144A ^ | 250,000 | 266,818 | ||
Danone SA | ||||
2.59%, 11/02/23 144A | 2,350,000 | 2,410,540 | ||
2.95%, 11/02/26 144A Δ | 310,000 | 326,585 | ||
Societe Generale SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.49%, 12/14/26 144A ^ | 1,700,000 | 1,657,468 | ||
XLIT, Ltd. | ||||
4.45%, 03/31/25 | 349,000 | 378,823 | ||
19,072,696 |
Par | Value | |||
Germany — 0.6% | ||||
Commerzbank AG | ||||
(Variable, 6.36% - EUR Swap Rate 5Y), 6.13%, 10/09/25(E) ρ ^ | $ 400,000 | $ 496,955 | ||
Deutsche Bank AG | ||||
5.00%, 02/14/22 | 1,400,000 | 1,406,387 | ||
(Variable, U.S. SOFR + 2.16%), 2.22%, 09/18/24^ | 2,100,000 | 2,128,110 | ||
(Variable, U.S. SOFR + 2.58%), 3.96%, 11/26/25^ | 2,500,000 | 2,642,316 | ||
4.10%, 01/13/26 | 65,000 | 69,880 | ||
(Variable, 1.85% - Euribor 3M), 1.38%, 09/03/26(E) ^ | 1,500,000 | 1,756,967 | ||
(Variable, U.S. SOFR + 1.87%), 2.13%, 11/24/26^ | 450,000 | 449,660 | ||
(Variable, 2.05% - Euribor 3M), 1.75%, 11/19/30(E) ^ | 1,700,000 | 2,013,801 | ||
(Variable, U.S. SOFR + 3.04%), 3.55%, 09/18/31^ | 1,900,000 | 2,004,050 | ||
(Variable, U.S. SOFR + 1.72%), 3.04%, 05/28/32^ | 560,000 | 565,416 | ||
Volkswagen Bank GmbH | ||||
1.88%, 01/31/24(E) | 1,500,000 | 1,773,073 | ||
15,306,615 | ||||
Hong Kong — 0.0% | ||||
AIA Group, Ltd. | ||||
3.90%, 04/06/28 144A | 200,000 | 221,183 | ||
Indonesia — 0.2% | ||||
Indonesia Government International Bond | ||||
3.85%, 07/18/27 144A | 500,000 | 548,310 | ||
3.50%, 01/11/28 | 450,000 | 486,441 | ||
5.25%, 01/08/47 144A | 200,000 | 256,891 | ||
4.35%, 01/11/48 | 1,000,000 | 1,147,726 | ||
3.70%, 10/30/49 | 1,180,000 | 1,250,760 | ||
3.05%, 03/12/51 | 700,000 | 692,657 | ||
3.35%, 03/12/71 | 240,000 | 233,402 | ||
Perusahaan Penerbit SBSN Indonesia III | ||||
2.55%, 06/09/31 144A | 590,000 | 597,988 | ||
5,214,175 | ||||
Ireland — 0.4% | ||||
AerCap Ireland Capital DAC | ||||
4.63%, 07/01/22 | 550,000 | 560,798 | ||
3.30%, 01/23/23 | 525,000 | 536,202 | ||
4.88%, 01/16/24 | 350,000 | 372,432 | ||
3.15%, 02/15/24 | 330,000 | 340,562 | ||
6.50%, 07/15/25 | 290,000 | 331,763 | ||
2.45%, 10/29/26 | 1,785,000 | 1,801,849 | ||
3.00%, 10/29/28 | 1,480,000 | 1,503,367 | ||
3.30%, 01/30/32 | 1,375,000 | 1,404,761 | ||
AIB Group PLC | ||||
4.75%, 10/12/23 144A | 950,000 | 1,005,369 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
4.42%, 11/15/35 | 250,000 | 299,192 |
Par | Value | |||
SMBC Aviation Capital Finance DAC | ||||
4.13%, 07/15/23 144A | $ 900,000 | $ 938,152 | ||
STERIS Irish FinCo Unlimited Co. | ||||
2.70%, 03/15/31 | 625,000 | 631,715 | ||
9,726,162 | ||||
Isle of Man — 0.0% | ||||
Sasol Financing International, Ltd. | ||||
4.50%, 11/14/22 | 370,000 | 374,866 | ||
Israel — 0.7% | ||||
Bank of Israel Bill - Makam | ||||
0.01%, 04/06/22(ZC) Ω | 7,000,000 | 2,256,067 | ||
0.00%, 09/07/22(ZC) Ω | 5,700,000 | 1,836,717 | ||
0.00%, 10/07/22(ZC) Ω | 15,800,000 | 5,094,299 | ||
Israel Government Bond - Fixed | ||||
5.50%, 01/31/22(ZC) | 6,900,000 | 2,229,432 | ||
Israel Government International Bond | ||||
3.25%, 01/17/28 | 1,500,000 | 1,629,613 | ||
2.75%, 07/03/30 | 2,060,000 | 2,194,250 | ||
3.38%, 01/15/50 | 430,000 | 466,049 | ||
15,706,427 | ||||
Italy — 0.3% | ||||
Intesa Sanpaolo SpA | ||||
3.13%, 07/14/22 144A | 580,000 | 586,683 | ||
3.38%, 01/12/23 144A | 220,000 | 224,854 | ||
5.02%, 06/26/24 144A | 1,310,000 | 1,404,833 | ||
3.25%, 09/23/24 144A | 1,400,000 | 1,458,685 | ||
5.71%, 01/15/26 144A Δ | 200,000 | 221,504 | ||
UniCredit SpA | ||||
6.57%, 01/14/22 144A | 530,000 | 530,772 | ||
7.83%, 12/04/23 144A | 3,100,000 | 3,457,831 | ||
7,885,162 | ||||
Japan — 1.0% | ||||
Aircastle, Ltd. | ||||
5.25%, 08/11/25 144A | 10,000 | 11,009 | ||
4.25%, 06/15/26 | 60,000 | 64,368 | ||
Japan Finance Organization for Municipalities | ||||
2.13%, 10/25/23 144A | 2,200,000 | 2,251,250 | ||
Mitsubishi HC Capital, Inc. | ||||
3.41%, 02/28/22 144A | 1,500,000 | 1,502,730 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
3.00%, 02/22/22 | 180,000 | 180,647 | ||
1.41%, 07/17/25 | 2,100,000 | 2,090,854 | ||
3.74%, 03/07/29 | 35,000 | 38,326 | ||
4.29%, 07/26/38 | 30,000 | 36,127 | ||
Mizuho Financial Group, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.99%), 1.11%, 07/10/24† | 1,700,000 | 1,715,346 | ||
(Variable, ICE LIBOR USD 3M + 0.83%), 2.23%, 05/25/26^ | 1,600,000 | 1,625,678 | ||
Nissan Motor Co., Ltd. | ||||
3.04%, 09/15/23 144A | 330,000 | 338,781 | ||
3.52%, 09/17/25 144A | 3,210,000 | 3,369,111 | ||
4.35%, 09/17/27 144A | 770,000 | 832,421 |
Par | Value | |||
4.81%, 09/17/30 144A | $ 2,200,000 | $ 2,465,416 | ||
Nomura Holdings, Inc. | ||||
2.61%, 07/14/31 | 270,000 | 267,038 | ||
Panasonic Corporation | ||||
2.54%, 07/19/22 144A | 1,302,000 | 1,312,474 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
4.44%, 04/02/24 144A | 1,450,000 | 1,539,322 | ||
2.45%, 09/27/24 | 1,600,000 | 1,647,056 | ||
1.90%, 09/17/28 | 2,300,000 | 2,258,583 | ||
Takeda Pharmaceutical Co., Ltd. | ||||
2.05%, 03/31/30 | 700,000 | 687,021 | ||
24,233,558 | ||||
Jersey — 0.0% | ||||
Galaxy Pipeline Assets Bidco, Ltd. | ||||
2.63%, 03/31/36 144A | 200,000 | 195,899 | ||
2.94%, 09/30/40 | 940,000 | 937,784 | ||
1,133,683 | ||||
Kazakhstan — 0.0% | ||||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 200,000 | 233,625 | ||
5.38%, 04/24/30 | 260,000 | 303,713 | ||
537,338 | ||||
Kuwait — 0.1% | ||||
Kuwait International Government Bond | ||||
3.50%, 03/20/27 144A | 1,190,000 | 1,298,236 | ||
Luxembourg — 0.0% | ||||
ArcelorMittal SA | ||||
7.00%, 10/15/39 | 70,000 | 96,537 | ||
Mexico — 1.0% | ||||
Mexican Bonos | ||||
10.00%, 12/05/24(M) | 25,130,000 | 1,315,218 | ||
7.75%, 11/13/42(M) | 245,995,200 | 11,670,760 | ||
8.00%, 11/07/47(M) | 78,860,000 | 3,822,955 | ||
Mexico City Airport Trust | ||||
3.88%, 04/30/28 144A | 360,000 | 373,545 | ||
5.50%, 07/31/47 | 200,000 | 200,597 | ||
5.50%, 07/31/47 144A | 270,000 | 270,806 | ||
Mexico Government International Bond | ||||
4.50%, 04/22/29 | 200,000 | 223,131 | ||
2.66%, 05/24/31Δ | 760,000 | 743,288 | ||
4.75%, 04/27/32 | 2,300,000 | 2,605,900 | ||
6.05%, 01/11/40 | 330,000 | 411,266 | ||
3.77%, 05/24/61 | 702,000 | 648,118 | ||
Orbia Advance Corporation SAB de CV | ||||
1.88%, 05/11/26 144A | 550,000 | 542,545 | ||
2.88%, 05/11/31 144A | 520,000 | 509,374 | ||
Petroleos Mexicanos | ||||
6.88%, 08/04/26 | 200,000 | 220,169 | ||
6.63%, 06/15/35 | 19,000 | 18,287 | ||
5.50%, 06/27/44 | 170,000 | 143,011 | ||
6.38%, 01/23/45 | 370,000 | 322,005 | ||
24,040,975 |
Par | Value | |||
Morocco & Antilles — 0.0% | ||||
OCP SA | ||||
5.13%, 06/23/51 144A | $ 200,000 | $ 189,453 | ||
Netherlands — 1.1% | ||||
ABN AMRO Bank NV | ||||
4.75%, 07/28/25 144A | 200,000 | 218,144 | ||
(Variable, 4.67% - EUR Swap Rate 5Y), 4.38%, 09/22/25(E) ρ Δ ^ | 400,000 | 488,701 | ||
Cooperatieve Rabobank UA | ||||
4.38%, 08/04/25 | 670,000 | 726,683 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 1.34%, 06/24/26 144A ^ | 810,000 | 799,364 | ||
Enel Finance International NV | ||||
1.88%, 07/12/28 144A | 1,150,000 | 1,123,097 | ||
2.88%, 07/12/41 144A Δ | 2,300,000 | 2,215,950 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 520,000 | 566,390 | ||
ING Groep NV | ||||
4.63%, 01/06/26 144A | 1,600,000 | 1,780,295 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.40%, 07/01/26 144A ^ | 1,000,000 | 990,682 | ||
JDE Peet's NV | ||||
1.38%, 01/15/27 144A | 475,000 | 459,258 | ||
Lukoil Securities BV | ||||
3.88%, 05/06/30 144A | 210,000 | 214,206 | ||
3.88%, 05/06/30 | 1,240,000 | 1,264,837 | ||
Lundin Energy Finance BV | ||||
2.00%, 07/15/26 144A | 650,000 | 646,476 | ||
NXP BV | ||||
2.70%, 05/01/25 144A Δ | 1,870,000 | 1,934,982 | ||
3.88%, 06/18/26 144A | 1,500,000 | 1,621,228 | ||
3.40%, 05/01/30 144A | 250,000 | 266,983 | ||
2.50%, 05/11/31 144A | 900,000 | 907,584 | ||
Petrobras Global Finance BV | ||||
5.30%, 01/27/25 | 356,000 | 383,074 | ||
7.38%, 01/17/27Δ | 120,000 | 139,811 | ||
6.00%, 01/27/28 | 1,290,000 | 1,408,390 | ||
6.85%, 06/05/15π | 550,000 | 546,961 | ||
Prosus NV | ||||
3.68%, 01/21/30 144A | 200,000 | 206,237 | ||
3.06%, 07/13/31 144A | 1,430,000 | 1,396,977 | ||
4.03%, 08/03/50 144A | 220,000 | 212,543 | ||
4.03%, 08/03/50 | 200,000 | 193,221 | ||
3.83%, 02/08/51 144A | 420,000 | 394,116 | ||
Shell International Finance BV | ||||
2.88%, 05/10/26 | 660,000 | 701,101 | ||
2.75%, 04/06/30 | 1,600,000 | 1,674,588 | ||
6.38%, 12/15/38 | 20,000 | 29,242 | ||
4.55%, 08/12/43 | 120,000 | 150,411 | ||
4.38%, 05/11/45 | 660,000 | 806,304 | ||
4.00%, 05/10/46 | 330,000 | 385,993 | ||
3.25%, 04/06/50 | 310,000 | 331,965 |
Par | Value | |||
Syngenta Finance NV | ||||
5.18%, 04/24/28 144A | $ 200,000 | $ 224,883 | ||
25,410,677 | ||||
Nigeria — 0.1% | ||||
Nigeria Government International Bond | ||||
7.14%, 02/23/30 | 690,000 | 680,064 | ||
8.75%, 01/21/31 | 210,000 | 221,015 | ||
7.88%, 02/16/32 | 520,000 | 513,890 | ||
1,414,969 | ||||
Norway — 0.1% | ||||
Equinor ASA | ||||
2.88%, 04/06/25 | 60,000 | 62,687 | ||
Yara International ASA | ||||
4.75%, 06/01/28 144A | 1,100,000 | 1,251,099 | ||
1,313,786 | ||||
Panama — 0.0% | ||||
Panama Government International Bond | ||||
2.25%, 09/29/32Δ | 590,000 | 560,942 | ||
4.50%, 04/16/50 | 250,000 | 276,003 | ||
4.50%, 04/01/56 | 280,000 | 309,473 | ||
1,146,418 | ||||
Peru — 0.2% | ||||
Peruvian Government International Bond | ||||
8.20%, 08/12/26 | 7,000,000 | 2,000,468 | ||
6.35%, 08/12/28(ZB) | 6,100,000 | 1,609,211 | ||
2.78%, 01/23/31 | 1,330,000 | 1,326,688 | ||
5.63%, 11/18/50Δ | 330,000 | 465,138 | ||
2.78%, 12/01/60 | 10,000 | 8,800 | ||
3.23%, 07/28/21~ | 50,000 | 43,063 | ||
5,453,368 | ||||
Poland — 0.1% | ||||
Republic of Poland Government International Bond | ||||
4.00%, 01/22/24 | 1,380,000 | 1,461,860 | ||
Qatar — 0.4% | ||||
Qatar Energy | ||||
2.25%, 07/12/31 144A | 680,000 | 675,307 | ||
3.13%, 07/12/41 144A | 630,000 | 638,353 | ||
3.30%, 07/12/51 144A | 640,000 | 661,137 | ||
Qatar Government International Bond | ||||
3.38%, 03/14/24 144A | 560,000 | 587,042 | ||
3.38%, 03/14/24 | 1,700,000 | 1,782,093 | ||
4.00%, 03/14/29 144A | 660,000 | 745,084 | ||
5.10%, 04/23/48Δ | 1,000,000 | 1,355,674 | ||
4.82%, 03/14/49 144A | 1,720,000 | 2,260,029 | ||
8,704,719 | ||||
Romania — 0.1% | ||||
Romanian Government International Bond | ||||
3.62%, 05/26/30(E) 144A | 510,000 | 630,847 |
Par | Value | |||
3.00%, 02/14/31 144A Δ | $ 130,000 | $ 132,340 | ||
2.00%, 01/28/32(E) 144A | 70,000 | 74,209 | ||
3.38%, 01/28/50(E) 144A | 60,000 | 64,536 | ||
3.38%, 01/28/50(E) | 70,000 | 75,292 | ||
4.00%, 02/14/51 144A | 280,000 | 280,870 | ||
1,258,094 | ||||
Russia — 0.5% | ||||
Gazprom PJSC Via Gaz Capital SA | ||||
5.15%, 02/11/26 144A | 340,000 | 364,425 | ||
7.29%, 08/16/37 | 100,000 | 133,241 | ||
Russian Federal Bond - OFZ | ||||
7.00%, 01/25/23(Q) | 34,070,000 | 448,516 | ||
7.00%, 08/16/23(Q) | 52,440,000 | 685,782 | ||
7.75%, 09/16/26(Q) | 9,710,000 | 126,897 | ||
8.15%, 02/03/27(Q) | 87,410,000 | 1,159,018 | ||
7.05%, 01/19/28(Q) | 110,471,000 | 1,384,493 | ||
6.90%, 05/23/29(Q) | 455,677,000 | 5,616,074 | ||
7.25%, 05/10/34(Q) | 48,570,000 | 598,969 | ||
7.70%, 03/16/39(Q) | 135,260,000 | 1,714,150 | ||
12,231,565 | ||||
Saudi Arabia — 0.1% | ||||
Saudi Arabian Oil Co. | ||||
2.75%, 04/16/22 144A | 1,800,000 | 1,812,825 | ||
Singapore — 0.0% | ||||
Greenko Power II, Ltd. | ||||
4.30%, 12/13/28 144A | 200,000 | 203,750 | ||
South Africa — 0.0% | ||||
Republic of South Africa Government International Bond | ||||
4.30%, 10/12/28 | 280,000 | 284,788 | ||
South Korea — 0.0% | ||||
Export-Import Bank of Korea | ||||
5.00%, 04/11/22 | 900,000 | 910,103 | ||
Spain — 0.3% | ||||
Banco Santander SA | ||||
(Floating, ICE LIBOR USD 3M + 1.12%), 1.24%, 04/12/23† | 200,000 | 202,064 | ||
3.85%, 04/12/23 | 400,000 | 413,914 | ||
2.75%, 05/28/25 | 4,500,000 | 4,656,884 | ||
3.31%, 06/27/29 | 400,000 | 423,563 | ||
2.75%, 12/03/30 | 200,000 | 196,157 | ||
Cellnex Finance Co. SA | ||||
1.25%, 01/15/29(E) | 500,000 | 543,717 | ||
Telefonica Emisiones SA | ||||
5.21%, 03/08/47 | 400,000 | 499,367 | ||
6,935,666 | ||||
Supranational — 0.0% | ||||
African Export-Import Bank (The) | ||||
3.80%, 05/17/31 144A | 250,000 | 256,018 | ||
Sweden — 0.0% | ||||
Swedbank AB | ||||
1.30%, 06/02/23 144A | 330,000 | 332,203 |
Par | Value | |||
Switzerland — 0.8% | ||||
Credit Suisse AG | ||||
6.50%, 08/08/23 144A | $ 225,000 | $ 242,697 | ||
2.95%, 04/09/25 | 665,000 | 696,878 | ||
Credit Suisse Group AG | ||||
(Variable, ICE LIBOR USD 3M + 1.24%), 4.21%, 06/12/24 144A ^ | 2,100,000 | 2,185,933 | ||
(Variable, U.S. SOFR + 1.56%), 2.59%, 09/11/25 144A ^ | 250,000 | 255,512 | ||
(Variable, USD ICE Swap Rate 5Y + 4.33%), 7.25%, 09/12/25 144A ρ ^ | 400,000 | 439,612 | ||
4.55%, 04/17/26 | 1,140,000 | 1,257,936 | ||
(Variable, U.S. SOFR + 2.04%), 2.19%, 06/05/26 144A ^ | 610,000 | 614,194 | ||
4.28%, 01/09/28 144A | 1,800,000 | 1,956,485 | ||
(Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 2,525,000 | 2,707,048 | ||
(Variable, U.S. SOFR + 3.73%), 4.19%, 04/01/31 144A ^ | 955,000 | 1,055,361 | ||
(Variable, U.S. SOFR + 1.73%), 3.09%, 05/14/32 144A ^ | 755,000 | 769,907 | ||
Credit Suisse Group Funding Guernsey, Ltd. | ||||
3.80%, 09/15/22 | 1,300,000 | 1,328,290 | ||
UBS AG | ||||
1.75%, 04/21/22 144A | 470,000 | 471,498 | ||
4.50%, 06/26/48 144A | 280,000 | 367,744 | ||
UBS Group AG | ||||
3.49%, 05/23/23 144A | 2,480,000 | 2,505,399 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 2.86%, 08/15/23 144A ^ | 200,000 | 202,435 | ||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ Δ ^ | 840,000 | 906,314 | ||
4.13%, 09/24/25 144A | 440,000 | 475,684 | ||
4.25%, 03/23/28 144A | 760,000 | 842,784 | ||
19,281,711 | ||||
Taiwan — 0.0% | ||||
TSMC Global, Ltd. | ||||
2.25%, 04/23/31 144A | 200,000 | 198,539 | ||
Turkey — 0.1% | ||||
Turkey Government International Bond | ||||
5.25%, 03/13/30 | 200,000 | 172,633 | ||
5.95%, 01/15/31 | 200,000 | 179,478 | ||
5.88%, 06/26/31 | 200,000 | 178,060 | ||
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.20%, 03/15/27 144A | 974,269 | 902,536 | ||
Turkiye Vakiflar Bankasi TAO | ||||
8.13%, 03/28/24 | 200,000 | 201,614 | ||
6.50%, 01/08/26 144A | 200,000 | 188,123 | ||
1,822,444 |
Par | Value | |||
United Arab Emirates — 0.3% | ||||
Abu Dhabi Government International Bond | ||||
2.50%, 10/11/22 144A | $ 810,000 | $ 822,554 | ||
3.13%, 10/11/27 144A | 500,000 | 537,851 | ||
3.13%, 04/16/30 144A | 1,500,000 | 1,627,692 | ||
3.88%, 04/16/50 144A | 2,500,000 | 2,918,485 | ||
DP World, Ltd. | ||||
5.63%, 09/25/48 144A | 620,000 | 763,531 | ||
6,670,113 | ||||
United Kingdom — 1.5% | ||||
Anglo American Capital PLC | ||||
3.63%, 09/11/24 144A | 700,000 | 735,412 | ||
4.00%, 09/11/27 144A | 220,000 | 236,883 | ||
Barclays Bank PLC | ||||
1.70%, 05/12/22 | 200,000 | 200,691 | ||
7.63%, 11/21/22 | 415,000 | 437,931 | ||
Barclays PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 950,000 | 954,097 | ||
(Variable, U.S. SOFR + 2.71%), 2.85%, 05/07/26^ | 800,000 | 826,080 | ||
3.25%, 02/12/27(U) | 1,100,000 | 1,573,188 | ||
(Variable, ICE LIBOR USD 3M + 1.90%), 4.97%, 05/16/29^ | 1,760,000 | 2,010,622 | ||
(Variable, ICE LIBOR USD 3M + 3.05%), 5.09%, 06/20/30^ | 1,450,000 | 1,647,794 | ||
BP Capital Markets PLC | ||||
3.81%, 02/10/24 | 330,000 | 347,955 | ||
3.54%, 11/04/24Δ | 60,000 | 63,920 | ||
3.51%, 03/17/25 | 330,000 | 351,611 | ||
British Telecommunications PLC | ||||
9.63%, 12/15/30 | 45,000 | 66,026 | ||
CK Hutchison International 21, Ltd. | ||||
2.50%, 04/15/31 144A Δ | 200,000 | 202,748 | ||
Gazprom PJSC via Gaz Finance PLC | ||||
3.25%, 02/25/30 144A | 470,000 | 455,056 | ||
Hammerson PLC REIT | ||||
3.50%, 10/27/25(U) | 100,000 | 137,607 | ||
HSBC Holdings PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23^ | 300,000 | 301,434 | ||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.16%, 05/18/24† | 300,000 | 302,903 | ||
(Variable, ICE LIBOR USD 3M + 1.21%), 3.80%, 03/11/25^ | 625,000 | 656,296 | ||
4.25%, 08/18/25 | 220,000 | 236,855 | ||
(Variable, U.S. SOFR + 1.54%), 1.65%, 04/18/26^ | 1,050,000 | 1,042,554 | ||
(Variable, U.S. SOFR + 1.93%), 2.10%, 06/04/26^ | 370,000 | 372,843 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.04%, 03/13/28^ | 300,000 | 324,713 | ||
(Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29^ | 310,000 | 347,828 | ||
4.95%, 03/31/30 | 400,000 | 470,273 |
Par | Value | |||
(Variable, U.S. SOFR + 1.41%), 2.87%, 11/22/32^ | $ 330,000 | $ 333,495 | ||
6.50%, 09/15/37 | 120,000 | 166,669 | ||
Lloyds Bank PLC | ||||
(Step to 0.00% on 02/25/24), 7.50%, 04/02/32 STEP | 2,000,000 | 1,599,963 | ||
Lloyds Banking Group PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.25%), 2.86%, 03/17/23^ | 1,900,000 | 1,907,473 | ||
3.90%, 03/12/24 | 210,000 | 221,974 | ||
4.38%, 03/22/28 | 2,400,000 | 2,696,547 | ||
4.55%, 08/16/28 | 230,000 | 262,014 | ||
NatWest Group PLC | ||||
2.50%, 03/22/23(E) | 1,400,000 | 1,645,933 | ||
(Floating, ICE LIBOR USD 3M + 1.47%), 1.63%, 05/15/23† | 1,300,000 | 1,305,588 | ||
(Variable, ICE LIBOR USD 3M + 1.48%), 3.50%, 05/15/23^ | 429,000 | 432,798 | ||
3.88%, 09/12/23 | 579,000 | 604,063 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.52%, 06/25/24^ | 2,205,000 | 2,307,886 | ||
(Variable, ICE LIBOR USD 3M + 1.76%), 4.27%, 03/22/25^ | 1,215,000 | 1,287,571 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.10%), 3.75%, 11/01/29^ | 200,000 | 208,671 | ||
Reckitt Benckiser Treasury Services PLC | ||||
2.75%, 06/26/24 144A | 600,000 | 620,432 | ||
Royalty Pharma PLC | ||||
1.20%, 09/02/25 | 1,700,000 | 1,666,453 | ||
Santander UK Group Holdings PLC | ||||
(Variable, U.S. SOFR + 1.48%), 2.90%, 03/15/32^ | 1,200,000 | 1,214,489 | ||
Severn Trent Utilities Finance PLC | ||||
6.25%, 06/07/29(U) | 100,000 | 178,452 | ||
Society of Lloyd's | ||||
4.75%, 10/30/24(U) | 100,000 | 145,174 | ||
Standard Chartered PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.15%), 4.25%, 01/20/23 144A ^ | 1,000,000 | 1,001,446 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.78%), 0.99%, 01/12/25 144A ^ | 1,900,000 | 1,880,548 | ||
Vedanta Resources Finance II PLC | ||||
8.95%, 03/11/25 144A | 200,000 | 195,250 | ||
Vodafone Group PLC | ||||
4.38%, 05/30/28 | 340,000 | 383,192 | ||
6.15%, 02/27/37 | 10,000 | 13,606 | ||
36,583,007 | ||||
Uruguay — 0.0% | ||||
Uruguay Government International Bond | ||||
4.38%, 01/23/31Δ | 410,000 | 473,042 | ||
Total Foreign Bonds (Cost $302,746,162) | 301,589,320 |
Par | Value | |||
LOAN AGREEMENTS — 0.4% | ||||
1011778 B.C. Unlimited Liability Co. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 11/19/26† | $117,600 | $116,203 | ||
Ali Group S.R.L. Term Loan B | ||||
0.00%, 10/13/28† Σ | 150,000 | 149,271 | ||
Allied Universal Holdco LLC Initial U.S. Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.75%, 0.50% Floor), 4.25%, 05/12/28† | 196,978 | 196,586 | ||
APi Group DE, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.60%, 10/01/26† | 218,500 | 218,445 | ||
Asurion LLC New B-7 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.10%, 11/03/24† | 262,472 | 261,605 | ||
Asurion LLC New B-9 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 3.35%, 07/31/27† | 238,800 | 237,636 | ||
athenahealth, Inc. Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.25%), 4.40%, 02/11/26† | 81,199 | 81,310 | ||
Avolon TLB Borrower 1 LLC Term B-5 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.50% Floor), 2.75%, 12/01/27† | 178,200 | 178,660 | ||
Brookfield WEC Holdings, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 0.50% Floor), 3.25%, 08/01/25† | 138,600 | 137,762 | ||
Brown Group Holdings LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.50%, 0.50% Floor), 3.00%, 06/07/28† | 319,144 | 318,944 | ||
Castlelake Aviation One Designated Activity Co. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 0.50% Floor), 3.25%, 10/22/26† | 309,225 | 308,308 | ||
Charter Communications Operating LLC Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.86%, 04/30/25† | 152,697 | 152,535 | ||
Charter Communications Operating LLC Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.86%, 02/01/27† | 128,359 | 127,295 | ||
Clarios Global LP Amendment No. 1 Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 3.35%, 04/30/26† | 608,332 | 605,975 | ||
Cloudera, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%, 0.50% Floor), 4.25%, 10/08/28† | 220,000 | 219,691 |
Par | Value | |||
CSC Holdings LLC October 2018 Incremental Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 2.36%, 01/15/26† | $129,335 | $127,848 | ||
DCert Buyer, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.00%), 4.10%, 10/16/26† | 432,300 | 432,030 | ||
Delta Topco, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.75%, 0.75% Floor), 4.50%, 12/01/27† | 497,500 | 498,657 | ||
Energizer Holdings, Inc. 2020 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.50% Floor), 2.75%, 12/22/27† | 138,950 | 138,820 | ||
EyeCare Partners LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.75%), 3.97%, 02/18/27† | 403,432 | 401,794 | ||
Focus Financial Partners LLC Tranche B-3 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 2.10%, 07/03/24† | 85,624 | 85,041 | ||
Four Seasons Holdings, Inc. Term Loan 2013 | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 2.10%, 11/30/23† | 98,322 | 98,077 | ||
Froneri International, Ltd. Facility B2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 2.35%, 01/29/27† | 265,950 | 262,989 | ||
Genesee & Wyoming, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 2.22%, 12/30/26† | 58,950 | 58,655 | ||
Global Medical Response, Inc. 2021 Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.25%, 1.00% Floor), 5.25%, 10/02/25† | 599,881 | 598,231 | ||
Hilton Worldwide Finance LLC Refinanced Series B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 06/22/26† | 68,355 | 67,869 | ||
Hudson River Trading LLC Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.10%, 03/20/28† | 327,525 | 325,537 | ||
iHeartCommunications, Inc. New Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.10%, 05/01/26† | 167,519 | 166,592 | ||
II-VI, Inc. Term Loan B | ||||
0.00%, 12/08/28† Σ | 520,000 | 520,109 | ||
INEOS Styrolution Group GmbH 2026 Tranche B Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 0.50% Floor), 3.25%, 01/29/26† | 159,200 | 158,935 | ||
Jane Street Group LLC Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 2.85%, 01/26/28† | 44,055 | 43,775 |
Par | Value | |||
Level 3 Financing, Inc. Tranche B 2027 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 03/01/27† | $ 227,945 | $ 225,380 | ||
LifePoint Health, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 3.85%, 11/16/25† | 137,463 | 137,531 | ||
Nexstar Media, Inc. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.60%, 09/18/26† | 427,600 | 427,335 | ||
Rackspace Technology Global, Inc. 2021 Term B Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 0.75% Floor), 3.50%, 02/15/28† | 178,650 | 177,550 | ||
Reynolds Consumer Products LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 02/04/27† | 19,869 | 19,789 | ||
Setanta Aircraft Leasing DAC Loan | ||||
(Floating, ICE LIBOR USD 6M + 2.00%), 2.14%, 11/05/28† | 680,000 | 680,425 | ||
TransDigm, Inc. Tranche F Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 2.35%, 12/09/25† | 39,596 | 39,109 | ||
UFC Holdings LLC Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 0.75% Floor), 3.50%, 04/29/26† | 348,218 | 347,285 | ||
Univision Communications, Inc. 2021 Replacement Converted First-Lien Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 0.75% Floor), 4.00%, 03/15/26† | 109,423 | 109,807 | ||
Verscend Holding Corporation Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.00%), 4.10%, 08/27/25† | 207,884 | 208,092 | ||
VFH Parent LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.10%, 03/01/26† | 268,130 | 267,814 | ||
Total Loan Agreements (Cost $9,931,783) | 9,935,302 | |||
MORTGAGE-BACKED SECURITIES — 24.2% | ||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.88%, 0.88% Floor), 0.99%, 09/15/34 144A † | 1,200,000 | 1,200,079 | ||
3650R Commercial Mortgage Trust, Series 2021-PF1, Class AS | ||||
2.78%, 11/15/54 | 750,000 | 766,416 | ||
Alba PLC, Series 2007-1, Class A3 | ||||
(Floating, ICE LIBOR GBP 3M + 0.17%), 0.39%, 03/17/39(U) † | 547,228 | 717,278 | ||
Alternative Loan Trust, Series 2006-OA11, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.38%, 0.38% Floor), 0.48%, 09/25/46† | 207,694 | 204,456 |
Par | Value | |||
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 | ||||
(Floating, ICE LIBOR USD 6M + 1.50%, 1.50% Floor, 11.00% Cap), 1.75%, 09/25/45† | $ 54,405 | $ 54,545 | ||
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A5 | ||||
2.76%, 05/15/53 144A | 1,300,000 | 1,356,254 | ||
AREIT Trust, Series 2020-CRE4, Class A | ||||
(Floating, U.S. 30-Day Average SOFR + 2.73%, 2.62% Floor), 2.78%, 04/15/37 144A † | 351,147 | 351,615 | ||
AREIT Trust, Series 2021-CRE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 1.19%, 07/17/26 144A † | 2,800,000 | 2,803,004 | ||
BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.16%, 09/15/38 144A † | 2,300,000 | 2,302,988 | ||
Banc of America Funding Trust, Series 2005-D, Class A1 | ||||
2.79%, 05/25/35† γ | 239,075 | 246,959 | ||
Banc of America Mortgage Trust, Series 2004-F, Class 1A1 | ||||
2.45%, 07/25/34† γ | 25,501 | 26,114 | ||
BANK, Series 2017-BNK9, Class XA | ||||
0.79%, 11/15/54† IO γ | 9,551,531 | 363,219 | ||
BANK, Series 2018-BNK10, Class D | ||||
2.60%, 02/15/61 144A | 200,000 | 173,560 | ||
BANK, Series 2018-BNK14, Class D | ||||
3.00%, 09/15/60 144A | 250,000 | 223,437 | ||
BANK, Series 2019-BNK19, Class D | ||||
3.00%, 08/15/61 144A | 100,000 | 91,086 | ||
BANK, Series 2021-BN32, Class A5 | ||||
2.64%, 04/15/54 | 1,200,000 | 1,247,354 | ||
BANK, Series 2021-BN32, Class C | ||||
3.37%, 04/15/54 | 300,000 | 305,324 | ||
BANK, Series 2021-BN34, Class A5 | ||||
2.44%, 06/15/63 | 1,500,000 | 1,533,652 | ||
BANK, Series 2021-BN37, Class A5 | ||||
2.62%, 11/15/64 | 1,150,000 | 1,193,699 | ||
Barclays Commercial Mortgage Trust, Series 2019-C4, Class D | ||||
3.25%, 08/15/52 144A | 250,000 | 231,933 | ||
BBCCRE Trust, Series 2015-GTP, Class A | ||||
3.97%, 08/10/33 144A | 1,600,000 | 1,701,098 | ||
BBCCRE Trust, Series 2015-GTP, Class D | ||||
4.56%, 08/10/33 144A † γ | 390,000 | 390,073 | ||
BBCMS Mortgage Trust, Series 2017-C1, Class D | ||||
3.49%, 02/15/50 144A † γ | 200,000 | 183,229 | ||
BBCMS Mortgage Trust, Series 2018-C2, Class A5 | ||||
4.31%, 12/15/51 | 1,700,000 | 1,934,024 |
Par | Value | |||
BBCMS Mortgage Trust, Series 2020-C6, Class ASB | ||||
2.60%, 02/15/53 | $1,800,000 | $1,873,884 | ||
BBCMS Mortgage Trust, Series 2021-C12, Class A5 | ||||
2.69%, 11/15/54 | 1,900,000 | 1,975,951 | ||
BBCMS Mortgage Trust, Series 2021-C9, Class A5 | ||||
2.30%, 02/15/54 | 600,000 | 601,985 | ||
BBCMS Mortgage Trust, Series 2021-C9, Class C | ||||
3.19%, 02/15/54 | 300,000 | 301,898 | ||
Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2 | ||||
2.60%, 05/25/35† γ | 86,428 | 87,223 | ||
Bear Stearns ARM Trust, Series 2002-11, Class 1A1 | ||||
2.50%, 02/25/33† γ | 4,223 | 4,388 | ||
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1 | ||||
2.70%, 01/26/36† γ | 273,275 | 234,753 | ||
Bellemeade Re, Ltd., Series 2021-2A, Class M1B | ||||
(Floating, U.S. 30-Day Average SOFR + 1.50%, 1.50% Floor), 1.55%, 06/25/31 144A † | 310,000 | 309,810 | ||
Benchmark Mortgage Trust, Series 2019-B9, Class A5 | ||||
4.02%, 03/15/52 | 1,800,000 | 2,024,363 | ||
Benchmark Mortgage Trust, Series 2020-B20, Class XA | ||||
1.62%, 10/15/53† IO γ | 3,497,096 | 356,568 | ||
Benchmark Mortgage Trust, Series 2021-B28, Class XA | ||||
1.29%, 08/15/54† IO γ | 3,873,381 | 364,799 | ||
Benchmark Mortgage Trust, Series 2021-B31, Class A5 | ||||
2.67%, 12/15/54 | 1,640,000 | 1,705,611 | ||
BWAY Mortgage Trust, Series 2021-1450, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 1.36%, 09/15/36 144A † | 2,300,000 | 2,302,875 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class F | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 2.00% Floor), 2.11%, 10/15/36 144A † | 1,249,500 | 1,244,306 | ||
BX Commercial Mortgage Trust, Series 2021-21M, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.73%, 0.73% Floor), 0.84%, 10/15/36 144A † | 2,300,000 | 2,287,445 | ||
Cantor Commercial Real Estate Lending, Series 2019-CF2, Class E | ||||
2.50%, 11/15/52 144A | 550,000 | 463,273 | ||
CHL Mortgage Pass-Through Trust, Series 2003-58, Class 2A2 | ||||
2.46%, 02/19/34† γ | 142,308 | 148,023 |
Par | Value | |||
CHL Mortgage Pass-Through Trust, Series 2004-HYB5, Class 2A1 | ||||
2.57%, 04/20/35† γ | $ 3,151 | $ 3,153 | ||
CHT Mortgage Trust, Series 2017-CSMO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.93%, 0.93% Floor), 1.04%, 11/15/36 144A † | 310,000 | 310,227 | ||
CIM Retail Portfolio Trust, Series 2021-RETL, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.40%, 1.40% Floor), 1.51%, 08/15/36 144A † | 1,300,000 | 1,299,187 | ||
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class B | ||||
4.18%, 07/10/47 | 370,000 | 388,728 | ||
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class D | ||||
3.11%, 04/10/48 144A | 550,000 | 530,398 | ||
Citigroup Commercial Mortgage Trust, Series 2017-P7, Class D | ||||
3.25%, 04/14/50 144A | 150,000 | 127,275 | ||
Citigroup Commercial Mortgage Trust, Series 2019-C7, Class E | ||||
2.75%, 12/15/72 144A | 330,000 | 296,038 | ||
Citigroup Commercial Mortgage Trust, Series 2019-GC41, Class A5 | ||||
2.87%, 08/10/56 | 1,450,000 | 1,524,704 | ||
Citigroup Commercial Mortgage Trust, Series 2021-KEYS, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 1.29%, 10/15/36 144A † | 2,300,000 | 2,302,847 | ||
Cold Storage Trust, Series 2020-ICE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 1.01%, 11/15/37 144A † | 648,774 | 649,003 | ||
COMM Mortgage Trust, Series 2013-CR12, Class AM | ||||
4.30%, 10/10/46 | 50,000 | 51,676 | ||
COMM Mortgage Trust, Series 2013-CR12, Class B | ||||
4.76%, 10/10/46 | 40,000 | 41,376 | ||
COMM Mortgage Trust, Series 2013-CR12, Class C | ||||
5.07%, 10/10/46† γ | 20,000 | 19,833 | ||
COMM Mortgage Trust, Series 2013-CR6, Class B | ||||
3.40%, 03/10/46 144A | 390,000 | 395,044 | ||
COMM Mortgage Trust, Series 2014-277P, Class A | ||||
3.61%, 08/10/49 144A † γ | 160,000 | 167,457 | ||
COMM Mortgage Trust, Series 2014-UBS6, Class A5 | ||||
3.64%, 12/10/47 | 2,400,000 | 2,530,319 | ||
COMM Mortgage Trust, Series 2015-DC1, Class C | ||||
4.31%, 02/10/48† γ | 80,000 | 80,331 | ||
COMM Mortgage Trust, Series 2017-COR2, Class C | ||||
4.56%, 09/10/50† γ | 500,000 | 535,178 |
Par | Value | |||
COMM Mortgage Trust, Series 2019-GC44, Class D | ||||
2.50%, 08/15/57 144A | $ 450,000 | $ 400,771 | ||
COMM Mortgage Trust, Series 2020-CX, Class B | ||||
2.45%, 11/10/46 144A | 1,060,000 | 1,048,067 | ||
Connecticut Avenue Securities Trust, Series 2018-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.40%), 2.50%, 04/25/31 144A † | 108,150 | 108,652 | ||
Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.30%, 2.30% Floor), 2.40%, 08/25/31 144A † | 113,508 | 114,028 | ||
Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.55%), 1.60%, 10/25/41 144A † | 279,000 | 279,873 | ||
Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.65%, 1.65% Floor), 1.70%, 12/25/41 144A † | 245,000 | 245,625 | ||
CRSNT Trust, Series 2021-MOON, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.82%, 0.82% Floor), 0.93%, 04/15/36 144A † | 2,500,000 | 2,495,598 | ||
CSAIL Commercial Mortgage Trust, Series 2018-C14, Class D | ||||
4.92%, 11/15/51 144A † γ | 300,000 | 311,582 | ||
CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A3 | ||||
2.80%, 03/15/54 | 800,000 | 834,076 | ||
CSAIL Commercial Mortgage Trust, Series 2021-C20, Class C | ||||
3.73%, 03/15/54† γ | 300,000 | 314,655 | ||
CSMC Trust, Series 2010-16, Class B9 | ||||
3.84%, 06/25/50 144A † γ | 2,123,618 | 1,895,647 | ||
CSMC Trust, Series 2018-J1, Class A2 | ||||
3.50%, 02/25/48 144A † γ | 1,204,496 | 1,224,541 | ||
CSMC Trust, Series 2021-JR2, Class A1 | ||||
2.22%, 11/25/61 144A | 1,878,136 | 1,879,349 | ||
CSMC, Series 2017-TIME, Class A | ||||
3.65%, 11/13/39 144A | 530,000 | 533,939 | ||
CSMC, Series 2020-FACT, Class D | ||||
(Floating, ICE LIBOR USD 1M + 3.71%, 3.71% Floor), 3.82%, 10/15/37 144A † | 670,000 | 677,410 | ||
CSMC, Series 2020-NET, Class A | ||||
2.26%, 08/15/37 144A | 2,000,000 | 2,018,380 | ||
CSMC, Series 2020-NET, Class B | ||||
2.82%, 08/15/37 144A | 650,000 | 658,274 | ||
CSMC, Series 2021-ADV, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.40%, 1.40% Floor), 1.51%, 07/15/38 144A † | 2,600,000 | 2,599,021 |
Par | Value | |||
CSMC, Series 2021-NQM8, Class A1 | ||||
1.84%, 10/25/66 144A † γ | $ 200,000 | $ 200,971 | ||
CSWF, Series 2021-SOP2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.97%, 0.97% Floor), 1.08%, 06/15/34 144A † | 2,300,000 | 2,293,364 | ||
DBJPM Mortgage Trust, Series 2016-C1, Class D | ||||
3.33%, 05/10/49 144A † γ | 500,000 | 387,058 | ||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 3A1 | ||||
3.06%, 02/25/36† γ | 527,379 | 444,035 | ||
DOLP Trust, Series 2021-NYC, Class A | ||||
2.96%, 05/10/41 144A | 3,400,000 | 3,566,476 | ||
ELP Commercial Mortgage Trust, Series 2021-ELP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 0.81%, 11/15/38 144A † | 840,000 | 836,269 | ||
EQUS Mortgage Trust, Series 2021-EQAZ, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.76% Floor), 0.86%, 10/15/38 144A † | 1,100,000 | 1,096,507 | ||
Eurohome UK Mortgages PLC, Series 2007-1, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.15%), 0.25%, 06/15/44(U) † | 1,275,125 | 1,691,362 | ||
Extended Stay America Trust, Series 2021-ESH, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 1.19%, 07/15/38 144A † | 7,411,443 | 7,432,746 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C04, Class 2M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.85%), 2.95%, 11/25/29† | 583,816 | 599,081 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 2.35%, 07/25/30† | 140,854 | 142,585 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C03, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.15%, 2.15% Floor), 2.25%, 10/25/30† | 135,840 | 137,613 | ||
Federal Home Loan Mortgage Corporation | ||||
8.00%, 08/01/24 | 225 | 239 | ||
5.50%, 02/01/27 | 11,233 | 12,316 | ||
4.50%, 10/01/29 | 910 | 975 | ||
7.50%, 11/01/29 | 1,746 | 2,011 | ||
7.50%, 12/01/29 | 1,997 | 2,297 | ||
(Floating, 2.23% - U.S. Treasury Yield Curve Rate CMT 1Y, 2.23% Floor, 11.36% Cap), 2.23%, 07/01/31† | 2,281 | 2,286 |
Par | Value | |||
7.50%, 11/01/31 | $ 6,691 | $ 6,717 | ||
(Floating, ICE LIBOR USD 1Y + 1.98%, 1.98% Floor, 10.60% Cap), 2.23%, 04/01/32† | 231 | 232 | ||
3.00%, 10/01/32 | 60,020 | 63,110 | ||
3.50%, 08/01/33 | 367,630 | 388,303 | ||
5.00%, 08/01/33 | 2,331 | 2,633 | ||
5.00%, 09/01/33 | 383 | 433 | ||
5.00%, 10/01/33 | 1,204 | 1,363 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.37%, 2.37% Floor, 9.23% Cap), 2.49%, 03/01/34† | 599 | 603 | ||
5.00%, 12/01/34 | 28,441 | 31,963 | ||
5.50%, 05/01/35 | 118,469 | 130,364 | ||
5.00%, 07/01/35 | 1,858 | 2,104 | ||
5.00%, 11/01/35 | 62,468 | 70,767 | ||
5.50%, 11/01/35 | 11,463 | 12,796 | ||
5.00%, 12/01/35 | 5,608 | 6,244 | ||
6.00%, 02/01/36 | 174,198 | 192,012 | ||
5.00%, 02/01/37 | 5,214 | 5,920 | ||
5.50%, 07/01/37 | 14,083 | 16,139 | ||
3.50%, 01/01/38 | 295,478 | 317,337 | ||
3.00%, 04/01/38 | 55,865 | 58,281 | ||
5.50%, 04/01/38 | 3,327 | 3,814 | ||
7.00%, 03/01/39 | 8,290 | 9,774 | ||
6.50%, 09/01/39 | 16,228 | 18,276 | ||
4.00%, 02/01/41 | 21,083 | 23,173 | ||
2.50%, 04/01/41 | 92,114 | 94,962 | ||
5.00%, 06/01/41 | 958 | 1,069 | ||
2.00%, 09/01/41 | 1,173,286 | 1,193,133 | ||
3.50%, 10/01/42 | 61,202 | 65,893 | ||
4.00%, 10/01/42 | 21,356 | 23,342 | ||
3.50%, 11/01/42 | 125,726 | 135,313 | ||
3.50%, 12/01/42 | 13,131 | 14,099 | ||
3.50%, 01/01/43 | 19,572 | 20,946 | ||
3.50%, 02/01/43 | 106,723 | 114,549 | ||
4.00%, 04/01/43 | 63,842 | 69,780 | ||
3.50%, 05/01/43 | 211,488 | 228,637 | ||
4.00%, 05/01/43 | 27,691 | 30,476 | ||
4.00%, 06/01/43 | 34,216 | 38,063 | ||
4.00%, 07/01/43 | 120,790 | 133,708 | ||
4.00%, 08/01/43 | 53,926 | 59,120 | ||
4.50%, 12/01/43 | 407,571 | 453,250 | ||
3.50%, 02/01/44 | 29,673 | 31,948 | ||
4.50%, 02/01/44 | 313,547 | 346,433 | ||
4.50%, 03/01/44 | 86,317 | 95,402 | ||
3.50%, 03/01/45 | 289,425 | 311,608 | ||
4.00%, 12/01/45 | 163,116 | 177,406 | ||
3.50%, 06/01/46 | 32,099 | 34,435 | ||
4.00%, 09/01/46 | 174,685 | 188,169 | ||
4.50%, 01/01/47 | 51,140 | 54,809 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 5Y + 1.29%, 1.29% Floor, 7.20% Cap), 2.08%, 03/01/47† | 424,981 | 435,331 | ||
3.50%, 04/01/47 | 4,694,783 | 5,037,691 | ||
3.50%, 06/01/47 | 29,841 | 31,919 |
Par | Value | |||
4.00%, 07/01/47 | $ 220,901 | $ 237,535 | ||
4.00%, 08/01/47 | 57,853 | 62,929 | ||
3.00%, 09/01/47 | 684,202 | 725,276 | ||
3.50%, 09/01/47 | 339,556 | 360,262 | ||
(Floating, ICE LIBOR USD 1Y + 1.62%, 1.62% Floor, 7.88% Cap), 2.88%, 11/01/47† | 348,659 | 360,290 | ||
3.50%, 01/01/48 | 914 | 970 | ||
3.50%, 03/01/48 | 60,203 | 63,822 | ||
4.00%, 03/01/48 | 37,797 | 40,830 | ||
3.50%, 06/01/48 | 181,609 | 193,285 | ||
4.00%, 06/01/48 | 1,422,298 | 1,545,869 | ||
4.50%, 08/01/48 | 716,270 | 787,629 | ||
5.00%, 08/01/48 | 101,882 | 111,414 | ||
3.00%, 09/01/48 | 98,093 | 103,492 | ||
(Floating, ICE LIBOR USD 1Y + 1.63%, 1.63% Floor, 8.02% Cap), 3.02%, 11/01/48† | 1,260,639 | 1,302,758 | ||
4.00%, 04/01/49 | 196,006 | 212,026 | ||
3.00%, 09/01/49 | 2,595,008 | 2,735,550 | ||
4.50%, 09/01/49 | 415,972 | 446,265 | ||
3.50%, 12/01/49 | 331,784 | 349,867 | ||
4.50%, 12/01/49 | 632,038 | 678,045 | ||
3.00%, 01/01/50 | 57,562 | 61,013 | ||
(Floating, ICE LIBOR USD 1Y + 1.62%, 1.62% Floor, 8.09% Cap), 3.09%, 02/01/50† | 179,298 | 185,396 | ||
4.00%, 03/01/50 | 74,675 | 80,101 | ||
4.50%, 05/01/50 | 297,181 | 318,739 | ||
2.00%, 11/01/50 | 451,318 | 451,529 | ||
2.50%, 12/01/50 | 619,481 | 637,326 | ||
3.00%, 12/01/50 | 3,179,072 | 3,353,680 | ||
2.50%, 01/01/51 | 527,520 | 541,742 | ||
2.00%, 02/01/51 | 1,293,853 | 1,294,559 | ||
2.50%, 02/01/51 | 178,456 | 183,229 | ||
2.00%, 03/01/51 | 1,616,259 | 1,617,304 | ||
2.00%, 04/01/51 | 567,818 | 570,658 | ||
2.00%, 05/01/51 | 2,590,399 | 2,592,766 | ||
2.50%, 05/01/51 | 93,952 | 97,620 | ||
2.50%, 07/01/51 | 2,141,879 | 2,202,065 | ||
2.50%, 08/01/51 | 479,841 | 492,809 | ||
2.50%, 09/01/51 | 5,000,686 | 5,139,853 | ||
2.00%, 11/01/51 | 399,241 | 398,955 | ||
2.50%, 01/01/52 | 200,000 | 204,453 | ||
Federal Home Loan Mortgage Corporation Reference REMIC, Series R007 | ||||
6.00%, 05/15/36 | 85,799 | 98,554 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3325 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.75% Cap), 0.61%, 06/15/37† | 56,676 | 57,644 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3621 | ||||
(Floating, 6.23% - ICE LIBOR USD 1M, 6.23% Cap), 6.12%, 01/15/40† IO | 119,528 | 20,538 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 3947 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.84%, 10/15/41† IO | $ 53,670 | $ 8,157 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3973 | ||||
(Floating, 6.49% - ICE LIBOR USD 1M, 6.49% Cap), 6.38%, 12/15/41† IO | 148,818 | 28,400 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4099 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.89%, 08/15/42† IO | 94,154 | 15,180 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4194 | ||||
3.50%, 04/15/43 IO | 130,928 | 15,261 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4210 | ||||
3.00%, 05/15/43 | 109,115 | 113,451 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4239 | ||||
3.50%, 06/15/27 IO | 110,407 | 5,038 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4298 | ||||
4.00%, 04/15/43 IO | 47,287 | 1,209 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4310 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.84%, 02/15/44† IO | 53,387 | 8,244 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4335 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.89%, 05/15/44† IO | 51,970 | 8,370 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4415 | ||||
1.59%, 04/15/41† IO γ | 64,969 | 3,606 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4638 | ||||
(Floating, ICE LIBOR USD 1M + 0.44%), 0.53%, 07/15/40† | 179,948 | 182,223 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4793 | ||||
3.00%, 05/15/48 | 318,429 | 329,225 | ||
3.00%, 06/15/48 | 208,797 | 215,885 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4813 | ||||
3.00%, 08/15/48 | 147,069 | 151,790 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4989 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%), 0.44%, 08/15/40† | 714,131 | 717,397 | ||
(Floating, ICE LIBOR USD 1M + 0.35%), 0.44%, 10/15/40† | 655,744 | 658,741 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5010 | ||||
2.50%, 09/25/50 IO | 594,943 | 83,765 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 5013 | ||||
2.50%, 09/25/50 IO | $186,361 | $ 27,296 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5018 | ||||
2.00%, 10/25/50 IO | 369,310 | 47,034 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5040 | ||||
2.50%, 11/25/50 IO | 85,244 | 10,050 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5059 | ||||
2.50%, 01/25/51 IO | 377,514 | 59,089 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5140 | ||||
2.50%, 05/25/49 IO | 688,765 | 93,312 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA3, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 5.10%), 5.20%, 06/25/50 144A † | 170,000 | 175,696 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA4, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 6.00%), 6.10%, 08/25/50 144A † | 176,000 | 185,687 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA5, Class B1 | ||||
(Floating, U.S. 30-Day Average SOFR + 4.80%), 4.85%, 10/25/50 144A † | 720,000 | 763,948 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA5, Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.65%), 1.70%, 01/25/34 144A † | 200,000 | 200,876 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-HQA1, Class B1 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.00%), 3.05%, 08/25/33 144A † | 970,000 | 974,712 | ||
Federal Home Loan Mortgage Corporation STRIP, Series 353 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.89%, 12/15/46† IO | 214,698 | 35,095 | ||
Federal National Mortgage Association | ||||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.75% Cap), 1.51%, 07/01/22† | 41 | 41 | ||
5.50%, 09/01/23 | 1,764 | 1,790 | ||
5.50%, 10/01/23 | 497 | 504 | ||
2.81%, 04/01/25 | 50,000 | 52,220 |
Par | Value | |||
5.50%, 05/01/25 | $ 56 | $ 56 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.05% Cap), 1.48%, 07/01/27† | 3,228 | 3,238 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 11.79% Cap), 2.26%, 08/01/27† | 3,870 | 3,888 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.61% Cap), 1.48%, 11/01/27 CONV † | 6,034 | 6,059 | ||
3.08%, 01/01/28 | 140,000 | 149,926 | ||
3.16%, 05/01/29 | 144,954 | 158,594 | ||
2.79%, 08/01/29 | 500,000 | 536,735 | ||
2.26%, 04/01/30 | 386,694 | 403,685 | ||
(Floating, 2.38% - U.S. Treasury Yield Curve Rate CMT 1Y, 2.38% Floor, 10.65% Cap), 2.38%, 06/01/30 CONV † | 8,730 | 8,758 | ||
8.00%, 10/01/30 | 5,598 | 6,451 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.51%, 2.51% Floor, 12.62% Cap), 2.63%, 12/01/30 CONV † | 1,369 | 1,373 | ||
4.50%, 04/01/31 | 20,049 | 21,732 | ||
4.50%, 05/01/31 | 78,084 | 84,453 | ||
4.50%, 06/01/31 | 23,932 | 25,886 | ||
4.50%, 11/01/31 | 34,440 | 37,258 | ||
6.00%, 11/01/31 | 1,465 | 1,678 | ||
4.50%, 12/01/31 | 51,208 | 55,394 | ||
6.00%, 01/01/32 | 45,017 | 49,598 | ||
6.00%, 03/01/32 | 1,687 | 1,859 | ||
6.00%, 04/01/32 | 81,825 | 90,293 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.95% Cap), 1.48%, 06/01/32† | 5,424 | 5,447 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.21% Cap), 1.51%, 08/01/32† | 5,520 | 5,544 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 9.75% Cap), 2.25%, 02/01/33† | 759 | 762 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 11.98% Cap), 1.51%, 05/01/33† | 5,738 | 5,762 | ||
5.00%, 07/01/33 | 10,827 | 12,215 | ||
5.00%, 09/01/33 | 13,498 | 15,210 | ||
3.50%, 05/01/34 | 81,040 | 87,059 | ||
6.00%, 10/01/34 | 22,853 | 25,157 | ||
(Floating, ICE LIBOR USD 1Y + 1.55%, 1.55% Floor, 9.67% Cap), 1.92%, 12/01/34† | 11,315 | 11,376 | ||
3.50%, 12/01/34 | 18,880 | 20,204 | ||
3.50%, 01/01/35 | 19,373 | 20,732 | ||
6.00%, 05/01/35 | 122,090 | 135,010 | ||
3.00%, 07/01/35 | 24,711 | 26,102 |
Par | Value | |||
6.00%, 07/01/35 | $ 33,285 | $ 36,771 | ||
5.50%, 09/01/35 | 23,121 | 25,329 | ||
5.00%, 10/01/35 | 37,636 | 42,458 | ||
6.00%, 10/01/35 | 12,049 | 13,856 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.54% Cap), 1.48%, 11/01/35† | 2,311 | 2,313 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.79%, 1.79% Floor, 8.93% Cap), 1.88%, 11/01/35† | 12,012 | 12,523 | ||
6.00%, 11/01/35 | 75,703 | 84,047 | ||
1.50%, 12/01/35 | 91,179 | 91,600 | ||
3.00%, 02/01/36 | 358,517 | 379,070 | ||
3.00%, 04/01/36 | 289,362 | 305,661 | ||
5.50%, 04/01/36 | 1,516 | 1,629 | ||
(Floating, COF 11th District San Francisco + 1.25%, 3.95% Floor, 12.88% Cap), 3.99%, 05/01/36† | 16,035 | 17,266 | ||
3.00%, 07/01/36 | 546,423 | 574,080 | ||
3.00%, 08/01/36 | 216,215 | 227,399 | ||
2.50%, 09/01/36 | 128,182 | 132,075 | ||
3.00%, 10/01/36 | 1,092,628 | 1,150,475 | ||
5.50%, 11/01/36 | 30,839 | 35,165 | ||
3.00%, 12/01/36 | 461,819 | 485,839 | ||
3.50%, 02/01/37 | 82,887 | 88,672 | ||
3.50%, 03/01/37 | 67,147 | 71,518 | ||
5.50%, 03/01/37 | 1,851 | 2,076 | ||
6.00%, 07/01/37 | 330,379 | 383,075 | ||
6.50%, 10/01/37 | 37,488 | 41,594 | ||
7.00%, 10/01/37 | 545 | 562 | ||
7.00%, 11/01/37 | 3,228 | 3,454 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.69% Cap), 1.48%, 12/01/37† | 10,824 | 10,876 | ||
3.00%, 12/01/37 | 63,599 | 66,515 | ||
3.50%, 12/01/37 | 98,009 | 105,794 | ||
7.00%, 12/01/37 | 2,093 | 2,307 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.54% Cap), 1.48%, 01/01/38† | 4,365 | 4,387 | ||
2.50%, 03/01/38 | 453,415 | 467,191 | ||
4.50%, 03/01/38 | 3,190 | 3,458 | ||
4.50%, 04/01/38 | 25,352 | 28,019 | ||
5.00%, 04/01/38 | 36,108 | 40,955 | ||
3.00%, 06/01/38 | 264,110 | 277,456 | ||
5.00%, 06/01/38 | 34,318 | 38,706 | ||
5.50%, 08/01/38 | 21,566 | 24,731 | ||
7.00%, 11/01/38 | 10,751 | 12,527 | ||
7.00%, 02/01/39 | 3,754 | 4,441 | ||
3.50%, 08/01/39 | 66,605 | 70,840 | ||
6.00%, 12/01/39 | 141,290 | 164,018 | ||
3.50%, 02/01/40 | 177,831 | 191,515 | ||
3.00%, 03/01/40 | 262,077 | 275,371 |
Par | Value | |||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor, 9.70% Cap), 1.48%, 06/01/40† | $ 14,450 | $ 14,942 | ||
1.48%, 10/01/40† | 41,916 | 42,306 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.25% Cap), 1.48%, 11/01/40† | 5,886 | 5,911 | ||
2.50%, 03/01/41 | 93,191 | 97,220 | ||
2.50%, 04/01/41 | 660,377 | 687,009 | ||
4.50%, 04/01/41 | 56,780 | 62,800 | ||
2.50%, 05/01/41 | 755,458 | 780,591 | ||
6.00%, 07/01/41 | 119,020 | 137,514 | ||
4.50%, 08/01/41 | 23,460 | 25,878 | ||
2.00%, 10/01/41 | 992,171 | 1,011,411 | ||
4.50%, 11/01/41 | 90,637 | 100,172 | ||
4.00%, 06/01/42 | 20,385 | 21,890 | ||
3.50%, 09/01/42 | 21,532 | 23,173 | ||
4.00%, 10/01/42 | 79,079 | 86,082 | ||
2.50%, 11/01/42 | 12,182 | 12,558 | ||
4.00%, 11/01/42 | 858,544 | 943,045 | ||
2.50%, 12/01/42 | 6,191 | 6,369 | ||
3.00%, 12/01/42 | 10,056 | 10,718 | ||
3.50%, 12/01/42 | 39,521 | 42,679 | ||
4.00%, 12/01/42 | 49,575 | 54,042 | ||
2.50%, 01/01/43 | 8,596 | 8,865 | ||
3.00%, 01/01/43 | 174,790 | 185,516 | ||
3.50%, 01/01/43 | 676,421 | 727,825 | ||
2.50%, 02/01/43 | 11,408 | 11,724 | ||
2.50%, 03/01/43 | 761,694 | 783,961 | ||
3.00%, 03/01/43 | 124,744 | 132,870 | ||
3.50%, 03/01/43 | 313,087 | 338,225 | ||
2.50%, 04/01/43 | 892,898 | 916,869 | ||
3.00%, 04/01/43 | 188,855 | 201,296 | ||
4.00%, 04/01/43 | 29,483 | 32,437 | ||
2.50%, 05/01/43 | 13,962 | 14,297 | ||
3.00%, 05/01/43 | 113,829 | 121,328 | ||
2.50%, 06/01/43 | 17,534 | 18,047 | ||
3.00%, 06/01/43 | 35,575 | 37,917 | ||
4.00%, 06/01/43 | 268,035 | 295,423 | ||
3.00%, 07/01/43 | 307,256 | 327,485 | ||
4.00%, 07/01/43 | 288,102 | 317,182 | ||
2.50%, 08/01/43 | 448,318 | 459,351 | ||
4.00%, 08/01/43 | 80,109 | 87,312 | ||
4.50%, 09/01/43 | 257,547 | 284,494 | ||
2.50%, 10/01/43 | 23,803 | 24,537 | ||
4.50%, 10/01/43 | 79,151 | 87,423 | ||
4.50%, 11/01/43 | 52,551 | 57,706 | ||
4.50%, 12/01/43 | 83,071 | 91,381 | ||
4.50%, 01/01/44 | 47,437 | 52,032 | ||
4.50%, 02/01/44 | 191,392 | 206,957 | ||
3.50%, 08/01/44 | 89,015 | 95,274 | ||
4.50%, 10/01/44 | 188,488 | 208,297 | ||
4.00%, 01/01/45 | 74,606 | 81,972 | ||
4.50%, 02/01/45 | 639,805 | 717,084 |
Par | Value | |||
4.50%, 04/01/45 | $ 315,959 | $ 351,031 | ||
4.50%, 05/01/45 | 38,829 | 43,140 | ||
4.50%, 06/01/45 | 290,322 | 318,618 | ||
3.00%, 11/01/45 | 601,657 | 632,578 | ||
3.50%, 01/01/46 | 196,721 | 211,493 | ||
3.00%, 05/01/46 | 285,150 | 302,144 | ||
3.00%, 07/01/46 | 311,290 | 328,398 | ||
3.00%, 08/01/46 | 471,914 | 499,776 | ||
3.00%, 09/01/46 | 76,076 | 79,971 | ||
3.00%, 10/01/46 | 40,519 | 42,600 | ||
3.00%, 11/01/46 | 982,104 | 1,035,743 | ||
3.50%, 11/01/46 | 27,387 | 29,213 | ||
4.50%, 11/01/46 | 278,601 | 301,695 | ||
5.00%, 11/01/46 | 468,280 | 524,177 | ||
3.50%, 12/01/46 | 163,471 | 174,951 | ||
4.00%, 01/01/47 | 656,381 | 712,331 | ||
3.50%, 02/01/47 | 1,756,609 | 1,867,063 | ||
4.00%, 02/01/47 | 72,091 | 78,006 | ||
3.50%, 03/01/47 | 289,489 | 308,387 | ||
4.50%, 03/01/47 | 388,719 | 423,896 | ||
4.00%, 04/01/47 | 54,255 | 58,636 | ||
3.50%, 05/01/47 | 245,215 | 260,121 | ||
4.00%, 05/01/47 | 56,687 | 61,243 | ||
4.50%, 06/01/47 | 557,584 | 612,609 | ||
3.50%, 07/01/47 | 77,977 | 82,906 | ||
4.50%, 07/01/47 | 539,982 | 586,779 | ||
4.00%, 08/01/47 | 459,549 | 498,468 | ||
3.00%, 09/01/47 | 742,018 | 782,433 | ||
3.50%, 09/01/47 | 10,201,840 | 10,995,587 | ||
3.50%, 10/01/47 | 11,118,794 | 11,986,767 | ||
3.50%, 11/01/47 | 14,559,160 | 15,697,301 | ||
4.50%, 11/01/47 | 141,726 | 154,437 | ||
3.50%, 12/01/47 | 14,138,520 | 15,244,582 | ||
4.00%, 12/01/47 | 268,417 | 292,726 | ||
4.00%, 01/01/48 | 322,652 | 351,683 | ||
3.50%, 02/01/48 | 770,832 | 818,922 | ||
4.00%, 02/01/48 | 887,862 | 966,320 | ||
4.00%, 03/01/48 | 647,742 | 704,451 | ||
4.00%, 06/01/48 | 411,878 | 449,913 | ||
4.00%, 07/01/48 | 733,707 | 798,917 | ||
4.50%, 07/01/48 | 202,223 | 221,012 | ||
3.50%, 08/01/48 | 3,482,949 | 3,730,128 | ||
4.00%, 08/01/48 | 1,969,119 | 2,125,758 | ||
4.50%, 09/01/48 | 389,952 | 428,655 | ||
5.00%, 09/01/48 | 790,974 | 882,351 | ||
4.00%, 10/01/48 | 77,683 | 83,467 | ||
3.50%, 11/01/48 | 336,875 | 358,842 | ||
4.00%, 11/01/48 | 98,855 | 107,319 | ||
5.00%, 11/01/48 | 1,881,477 | 2,104,642 | ||
4.00%, 01/01/49 | 30,168 | 32,148 | ||
4.50%, 01/01/49 | 373,073 | 400,384 | ||
4.00%, 05/01/49 | 49,400 | 53,355 | ||
3.50%, 06/01/49 | 318,690 | 339,004 | ||
4.50%, 06/01/49 | 798,470 | 854,449 | ||
4.50%, 07/01/49 | 497,694 | 534,340 | ||
3.00%, 09/01/49 | 767,502 | 813,278 |
Par | Value | |||
4.00%, 10/01/49 | $ 42,199 | $ 45,464 | ||
3.00%, 12/01/49 | 734,811 | 772,577 | ||
4.00%, 12/01/49 | 153,051 | 165,252 | ||
3.00%, 02/01/50 | 2,303,127 | 2,415,427 | ||
3.00%, 03/01/50 | 293,297 | 310,867 | ||
3.00%, 04/01/50 | 1,412,323 | 1,476,506 | ||
3.00%, 06/01/50 | 783,812 | 817,947 | ||
4.50%, 07/01/50 | 47,076 | 50,376 | ||
2.00%, 08/01/50 | 81,661 | 81,719 | ||
3.00%, 08/01/50 | 136,997 | 142,780 | ||
3.50%, 08/01/50 | 80,716 | 85,785 | ||
2.00%, 09/01/50 | 81,875 | 81,933 | ||
2.50%, 09/01/50 | 94,094 | 97,230 | ||
2.50%, 11/01/50 | 282,875 | 291,643 | ||
3.00%, 11/01/50 | 131,099 | 137,198 | ||
2.50%, 12/01/50 | 89,247 | 91,559 | ||
4.00%, 12/01/50 | 66,227 | 71,157 | ||
4.50%, 12/01/50 | 713,086 | 763,078 | ||
2.00%, 01/01/51 | 461,908 | 461,606 | ||
2.50%, 01/01/51 | 88,937 | 91,496 | ||
2.00%, 02/01/51 | 1,391,486 | 1,392,723 | ||
2.50%, 02/01/51 | 801,935 | 824,234 | ||
2.00%, 03/01/51 | 4,906,501 | 4,908,623 | ||
2.50%, 03/01/51 | 187,223 | 193,290 | ||
2.00%, 04/01/51 | 935,924 | 938,543 | ||
2.50%, 04/01/51 | 190,761 | 196,844 | ||
2.50%, 05/01/51 | 282,382 | 290,862 | ||
2.50%, 06/01/51 | 757,844 | 780,704 | ||
2.50%, 07/01/51 | 875,273 | 900,453 | ||
2.50%, 08/01/51 | 394,665 | 405,094 | ||
2.50%, 09/01/51 | 4,134,077 | 4,250,998 | ||
3.00%, 09/01/51 | 96,813 | 101,510 | ||
2.00%, 10/01/51 | 298,709 | 299,033 | ||
2.50%, 10/01/51 | 691,708 | 711,299 | ||
3.00%, 10/01/51 | 200,000 | 208,458 | ||
2.00%, 11/01/51 | 99,751 | 99,842 | ||
4.00%, 02/01/56 | 329,142 | 365,085 | ||
5.50%, 09/01/56 | 480,785 | 562,170 | ||
4.00%, 01/01/57 | 210,627 | 233,629 | ||
4.00%, 06/01/57 | 329,461 | 362,544 | ||
4.50%, 09/01/57 | 534,022 | 593,674 | ||
4.50%, 08/01/58 | 150,799 | 168,690 | ||
Federal National Mortgage Association ACES, Series 2015-M1 | ||||
0.49%, 09/25/24† IO γ | 2,662,218 | 34,910 | ||
Federal National Mortgage Association ACES, Series 2016-M11 | ||||
2.94%, 07/25/39 | 60,193 | 61,666 | ||
Federal National Mortgage Association ACES, Series 2017-M8 | ||||
3.06%, 05/25/27 | 99,830 | 107,097 |
Par | Value | |||
Federal National Mortgage Association ACES, Series 2019-M23 | ||||
2.72%, 10/25/31 | $ 299,686 | $321,281 | ||
Federal National Mortgage Association ACES, Series 2020-M33 | ||||
2.25%, 01/25/31† IO γ | 7,100,000 | 926,177 | ||
Federal National Mortgage Association ACES, Series 2020-M6 | ||||
2.50%, 10/25/37 | 92,121 | 95,593 | ||
Federal National Mortgage Association Interest STRIP, Series 409 | ||||
3.00%, 04/25/27 IO | 95,298 | 4,668 | ||
4.50%, 11/25/39 IO | 18,343 | 2,560 | ||
3.50%, 11/25/41 IO | 63,404 | 6,232 | ||
4.00%, 11/25/41 IO | 84,339 | 11,422 | ||
4.00%, 04/25/42 IO | 155,267 | 21,704 | ||
Federal National Mortgage Association REMIC, Series 2000-32 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 9.00% Cap), 0.55%, 10/18/30† | 3,903 | 3,921 | ||
Federal National Mortgage Association REMIC, Series 2005-29 | ||||
5.50%, 04/25/35 | 244,229 | 277,172 | ||
Federal National Mortgage Association REMIC, Series 2007-24 | ||||
(Floating, 6.75% - ICE LIBOR USD 1M, 6.75% Cap), 6.65%, 03/25/37† IO | 266,670 | 48,145 | ||
Federal National Mortgage Association REMIC, Series 2011-52 | ||||
5.00%, 06/25/41 | 152,467 | 170,964 | ||
Federal National Mortgage Association REMIC, Series 2011-59 | ||||
5.50%, 07/25/41 | 510,293 | 580,314 | ||
Federal National Mortgage Association REMIC, Series 2011-96 | ||||
(Floating, 6.55% - ICE LIBOR USD 1M, 6.55% Cap), 6.45%, 10/25/41† IO | 209,256 | 33,097 | ||
Federal National Mortgage Association REMIC, Series 2012-101 | ||||
4.00%, 09/25/27 IO | 43,293 | 1,805 | ||
Federal National Mortgage Association REMIC, Series 2012-111 | ||||
7.00%, 10/25/42 | 13,686 | 16,246 | ||
Federal National Mortgage Association REMIC, Series 2012-133 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.05%, 12/25/42† IO | 60,246 | 10,718 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2012-153 | ||||
7.00%, 07/25/42 | $ 46,242 | $ 55,267 | ||
Federal National Mortgage Association REMIC, Series 2012-28 | ||||
6.50%, 06/25/39 | 2,642 | 2,863 | ||
Federal National Mortgage Association REMIC, Series 2012-35 | ||||
(Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 6.40%, 04/25/42† IO | 62,351 | 12,004 | ||
Federal National Mortgage Association REMIC, Series 2012-46 | ||||
6.00%, 05/25/42 | 66,171 | 76,323 | ||
Federal National Mortgage Association REMIC, Series 2012-70 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.55%, 02/25/41† IO | 1,243 | 11 | ||
Federal National Mortgage Association REMIC, Series 2012-74 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.55%, 03/25/42† IO | 83,235 | 11,646 | ||
Federal National Mortgage Association REMIC, Series 2012-75 | ||||
(Floating, 6.60% - ICE LIBOR USD 1M, 6.60% Cap), 6.50%, 07/25/42† IO | 15,606 | 2,584 | ||
Federal National Mortgage Association REMIC, Series 2013-124 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.85%, 12/25/43† IO | 236,712 | 41,541 | ||
Federal National Mortgage Association REMIC, Series 2013-14 | ||||
4.00%, 03/25/43 IO | 63,290 | 6,968 | ||
Federal National Mortgage Association REMIC, Series 2013-17 | ||||
3.00%, 03/25/28 IO | 399,865 | 25,338 | ||
Federal National Mortgage Association REMIC, Series 2013-29 | ||||
4.00%, 04/25/43 IO | 159,653 | 16,332 | ||
Federal National Mortgage Association REMIC, Series 2013-54 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.05%, 06/25/43† IO | 104,520 | 18,449 | ||
Federal National Mortgage Association REMIC, Series 2013-9 | ||||
5.50%, 04/25/42 | 293,982 | 331,118 |
Par | Value | |||
6.50%, 07/25/42 | $ 122,000 | $143,302 | ||
Federal National Mortgage Association REMIC, Series 2014-47 | ||||
1.63%, 08/25/44† IO γ | 196,241 | 10,510 | ||
Federal National Mortgage Association REMIC, Series 2015-55 | ||||
1.42%, 08/25/55† IO γ | 74,694 | 2,976 | ||
Federal National Mortgage Association REMIC, Series 2015-56 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.05%, 08/25/45† IO | 37,542 | 7,516 | ||
Federal National Mortgage Association REMIC, Series 2017-76 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.00%, 10/25/57† IO | 474,633 | 86,817 | ||
Federal National Mortgage Association REMIC, Series 2017-85 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.10%, 11/25/47† IO | 160,890 | 27,658 | ||
Federal National Mortgage Association REMIC, Series 2020-47 | ||||
2.00%, 07/25/50 | 309,129 | 286,307 | ||
Federal National Mortgage Association REMIC, Series 2020-56 | ||||
2.50%, 08/25/50 IO | 347,647 | 51,483 | ||
Federal National Mortgage Association REMIC, Series 2020-74 | ||||
2.50%, 10/25/50 IO | 174,049 | 25,244 | ||
Federal National Mortgage Association REMIC, Series 2020-89 | ||||
2.50%, 12/25/50 IO | 859,829 | 111,715 | ||
Federal National Mortgage Association REMIC, Series 2021-1 | ||||
2.50%, 02/25/51 IO | 660,744 | 92,795 | ||
Federal National Mortgage Association REMIC, Series 2021-3 | ||||
2.50%, 02/25/51 IO | 816,388 | 110,514 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K068 | ||||
0.43%, 08/25/27† IO γ | 2,381,943 | 53,469 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K091 | ||||
0.56%, 03/25/29† IO γ | 1,412,693 | 53,375 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K093 | ||||
0.95%, 05/25/29† IO γ | 1,990,409 | 122,864 |
Par | Value | |||
FHLMC Multifamily Structured Pass-Through Certificates, Series K094 | ||||
0.88%, 06/25/29† IO γ | $ 997,325 | $ 58,411 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K-1519 | ||||
0.61%, 12/25/35† IO γ | 6,050,481 | 386,180 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K723 | ||||
0.91%, 08/25/23† IO γ | 2,818,123 | 35,101 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K736 | ||||
1.31%, 07/25/26† IO γ | 1,037,330 | 50,345 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K741 | ||||
0.57%, 12/25/27† IO γ | 2,998,779 | 92,969 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 3.80%, 3.80% Floor), 3.90%, 03/25/29† | 186,492 | 192,353 | ||
FHLMC Structured Pass-Through Certificates, Series T-61, Class 1A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 1.48%, 07/25/44† | 316,494 | 325,921 | ||
Finsbury Square PLC, Series 2020-2A, Class A | ||||
(Floating, SONIA Interest Rate + 1.30%), 1.35%, 06/16/70(U) 144A † | 1,114,464 | 1,519,349 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
2.08%, 06/25/34† γ | 131,237 | 134,684 | ||
FREMF Mortgage Trust, Series 2012-K20, Class X2A | ||||
0.20%, 05/25/45 144A IO | 4,516,529 | 1,282 | ||
Government National Mortgage Association | ||||
7.00%, 01/15/26 | 1,612 | 1,715 | ||
7.00%, 07/15/27 | 11,186 | 12,249 | ||
7.00%, 01/15/28 | 8,757 | 8,851 | ||
7.00%, 03/15/28 | 15,933 | 17,717 | ||
7.00%, 07/15/28 | 1,524 | 1,557 | ||
6.50%, 08/15/28 | 1,122 | 1,232 | ||
7.00%, 08/15/28 | 1,573 | 1,688 | ||
7.50%, 08/15/28 | 4,990 | 5,486 | ||
6.50%, 09/15/28 | 2,460 | 2,712 | ||
7.00%, 10/15/28 | 9,034 | 9,068 | ||
7.50%, 03/15/29 | 6,243 | 7,002 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 2.13%, 11/20/29† | 11,919 | 12,332 |
Par | Value | |||
8.50%, 08/15/30 | $ 208 | $ 209 | ||
8.50%, 11/20/30 | 4,268 | 4,887 | ||
6.50%, 08/15/31 | 16,702 | 18,344 | ||
7.50%, 08/15/31 | 5,540 | 5,968 | ||
6.50%, 10/15/31 | 19,607 | 21,751 | ||
6.00%, 11/15/31 | 64,538 | 72,319 | ||
6.50%, 11/15/31 | 12,814 | 14,061 | ||
6.00%, 12/15/31 | 8,495 | 9,542 | ||
6.00%, 01/15/32 | 47,741 | 53,066 | ||
6.00%, 02/15/32 | 57,820 | 63,753 | ||
6.50%, 02/15/32 | 22,277 | 24,527 | ||
6.00%, 04/15/32 | 31,838 | 35,059 | ||
6.50%, 06/15/32 | 36,251 | 39,870 | ||
6.50%, 08/15/32 | 48,331 | 53,353 | ||
6.50%, 09/15/32 | 38,650 | 43,549 | ||
6.00%, 10/15/32 | 45,296 | 52,677 | ||
5.50%, 11/15/32 | 7,014 | 7,784 | ||
6.00%, 11/15/32 | 35,148 | 39,044 | ||
6.00%, 12/15/32 | 21,619 | 24,286 | ||
6.50%, 12/15/32 | 4,344 | 4,769 | ||
5.50%, 01/15/33 | 3,409 | 3,757 | ||
6.00%, 01/15/33 | 13,034 | 14,434 | ||
5.50%, 02/15/33 | 7,780 | 8,730 | ||
6.00%, 02/15/33 | 14,728 | 17,104 | ||
5.50%, 03/15/33 | 8,424 | 9,511 | ||
6.50%, 04/15/33 | 80,494 | 92,374 | ||
6.00%, 06/15/33 | 15,954 | 17,565 | ||
5.50%, 07/15/33 | 8,689 | 9,713 | ||
5.50%, 08/15/33 | 2,842 | 3,130 | ||
5.50%, 09/15/33 | 2,269 | 2,510 | ||
6.00%, 10/15/33 | 29,801 | 32,852 | ||
6.50%, 10/15/33 | 45,301 | 50,068 | ||
5.50%, 04/15/34 | 3,283 | 3,611 | ||
5.50%, 05/15/34 | 2,293 | 2,523 | ||
6.50%, 08/15/34 | 51,655 | 58,606 | ||
5.50%, 09/15/34 | 35,517 | 40,700 | ||
5.50%, 12/15/34 | 37,897 | 43,661 | ||
5.50%, 01/15/35 | 24,053 | 27,666 | ||
6.00%, 09/20/38 | 73,687 | 83,475 | ||
5.00%, 07/20/40 | 5,542 | 6,246 | ||
5.00%, 09/20/40 | 26,054 | 29,459 | ||
4.00%, 10/20/40 | 2,989 | 3,240 | ||
6.00%, 10/20/40 | 9,908 | 11,325 | ||
6.00%, 01/20/41 | 9,934 | 11,448 | ||
4.50%, 04/20/41 | 103,377 | 114,076 | ||
3.00%, 09/15/42 | 237,239 | 249,007 | ||
3.00%, 10/15/42 | 108,539 | 113,695 | ||
3.00%, 11/15/42 | 48,078 | 50,376 | ||
4.00%, 08/20/43 | 179,421 | 194,473 | ||
3.50%, 06/20/44 | 62,734 | 66,925 | ||
3.00%, 01/15/45 | 1,204,715 | 1,254,346 | ||
3.50%, 03/20/45 | 27,115 | 28,707 | ||
3.50%, 04/15/45 | 263,042 | 279,275 | ||
4.00%, 05/20/45 | 15,379 | 16,617 | ||
4.00%, 10/20/45 | 112,694 | 119,814 | ||
3.50%, 01/20/46 | 71,766 | 76,123 | ||
3.50%, 04/20/46 | 155,226 | 164,088 | ||
3.50%, 05/20/46 | 78,894 | 83,100 |
Par | Value | |||
3.50%, 06/20/46 | $ 162,840 | $ 171,600 | ||
3.50%, 07/20/46 | 81,832 | 86,229 | ||
3.00%, 08/20/46 | 206,033 | 215,203 | ||
3.50%, 09/20/46 | 727,323 | 764,116 | ||
3.00%, 11/20/46 | 50,044 | 52,274 | ||
3.50%, 04/20/47 | 1,720,852 | 1,808,730 | ||
3.50%, 05/20/47 | 95,643 | 100,525 | ||
4.00%, 06/20/47 | 704,520 | 750,400 | ||
4.50%, 08/20/47 | 33,237 | 35,695 | ||
3.00%, 09/20/47 | 13,852 | 14,460 | ||
4.00%, 09/20/47 | 454,474 | 483,503 | ||
3.50%, 10/20/47 | 439,335 | 464,680 | ||
4.00%, 11/20/47 | 277,002 | 295,417 | ||
3.50%, 12/20/47 | 1,640,872 | 1,723,927 | ||
4.00%, 12/20/47 | 124,266 | 132,525 | ||
3.00%, 02/20/48 | 65,813 | 68,398 | ||
4.00%, 02/20/48 | 79,887 | 85,192 | ||
4.00%, 03/20/48 | 126,424 | 134,490 | ||
4.00%, 04/20/48 | 79,883 | 84,882 | ||
4.50%, 04/20/48 | 217,614 | 231,994 | ||
4.50%, 05/20/48 | 746,431 | 794,402 | ||
3.50%, 06/15/48 | 124,134 | 132,469 | ||
4.50%, 06/20/48 | 217,216 | 231,171 | ||
4.50%, 07/20/48 | 14,963 | 15,924 | ||
5.00%, 07/20/48 | 175,872 | 188,526 | ||
4.50%, 08/20/48 | 1,842,549 | 1,952,608 | ||
5.00%, 08/20/48 | 211,453 | 227,055 | ||
4.50%, 09/20/48 | 1,275,379 | 1,354,624 | ||
4.50%, 10/20/48 | 202,284 | 214,006 | ||
5.00%, 10/20/48 | 847,121 | 906,505 | ||
5.00%, 11/20/48 | 1,558,135 | 1,667,261 | ||
4.50%, 12/20/48 | 817,675 | 865,579 | ||
5.00%, 12/20/48 | 899,723 | 960,950 | ||
4.50%, 01/20/49 | 3,218,300 | 3,405,914 | ||
5.00%, 01/20/49 | 2,757,084 | 2,936,754 | ||
4.00%, 02/20/49 | 1,437,806 | 1,521,432 | ||
4.50%, 02/20/49 | 303,750 | 321,157 | ||
5.00%, 02/20/49 | 63,707 | 68,045 | ||
4.00%, 03/20/49 | 1,534,996 | 1,626,456 | ||
4.50%, 03/20/49 | 221,967 | 234,902 | ||
5.00%, 03/20/49 | 273,375 | 291,996 | ||
4.00%, 05/20/49 | 869,036 | 916,013 | ||
3.50%, 07/20/49 | 263,023 | 274,296 | ||
3.00%, 08/20/49 | 1,896,187 | 1,964,582 | ||
5.00%, 08/20/49 | 4,513,759 | 4,829,744 | ||
3.50%, 10/20/49 | 72,509 | 74,838 | ||
4.00%, 10/20/49 | 50,695 | 54,263 | ||
4.50%, 10/20/49 | 271,482 | 287,266 | ||
4.00%, 11/20/49 | 60,439 | 63,131 | ||
5.00%, 11/20/49 | 345,423 | 369,745 | ||
3.00%, 01/20/50 | 218,386 | 226,354 | ||
4.00%, 01/20/50 | 61,372 | 66,512 | ||
3.50%, 02/20/50 | 1,025,104 | 1,069,457 | ||
4.00%, 02/20/50 | 57,037 | 61,553 | ||
3.00%, 03/20/50 | 7,902,994 | 8,185,339 | ||
4.00%, 03/20/50 | 50,609 | 55,017 | ||
4.00%, 04/20/50 | 224,122 | 241,570 | ||
3.50%, 05/15/50 | 134,904 | 143,119 |
Par | Value | |||
4.50%, 05/20/50 | $ 599,022 | $ 633,983 | ||
3.50%, 07/20/50 | 103,066 | 107,587 | ||
4.50%, 12/20/50 | 410,521 | 436,155 | ||
3.00%, 01/01/51 TBA | 12,100,000 | 12,524,918 | ||
3.50%, 01/01/51 TBA | 3,300,000 | 3,437,156 | ||
4.50%, 01/01/51 TBA | 1,000,000 | 1,056,445 | ||
3.00%, 02/01/51 TBA | 6,000,000 | 6,199,687 | ||
2.50%, 07/20/51 | 6,000,003 | 6,155,527 | ||
3.00%, 07/20/51 | 171,359 | 177,638 | ||
3.00%, 09/20/51 | 293,820 | 304,967 | ||
3.00%, 11/20/51 | 995,389 | 1,033,801 | ||
3.00%, 12/20/51 | 1,000,000 | 1,039,762 | ||
2.50%, 01/01/52 TBA | 16,000,000 | 16,395,625 | ||
2.50%, 01/20/52 | 1,999,800 | 2,047,686 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 0.40%, 05/20/37† | 63,299 | 63,472 | ||
Government National Mortgage Association, Series 2007-51 | ||||
(Floating, 6.58% - ICE LIBOR USD 1M, 6.58% Cap), 6.48%, 08/20/37† IO | 578,103 | 73,058 | ||
Government National Mortgage Association, Series 2010-85 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.55%, 01/20/40† IO | 7,804 | 331 | ||
Government National Mortgage Association, Series 2010-H28 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 0.48%, 12/20/60† | 140,902 | 141,005 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.48%, 0.48% Floor, 10.50% Cap), 0.56%, 03/20/61† | 154,620 | 155,013 | ||
Government National Mortgage Association, Series 2011-H09 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 10.50% Cap), 0.58%, 03/20/61† | 113,389 | 113,677 | ||
Government National Mortgage Association, Series 2012-144 | ||||
0.35%, 01/16/53† IO γ | 2,940,581 | 33,433 | ||
Government National Mortgage Association, Series 2012-34 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.95%, 03/20/42† IO | 21,650 | 4,164 | ||
Government National Mortgage Association, Series 2012-66 | ||||
3.50%, 02/20/38 IO | 4,066 | 5 | ||
Government National Mortgage Association, Series 2012-H27 | ||||
1.76%, 10/20/62† IO γ | 379,572 | 16,777 | ||
Government National Mortgage Association, Series 2012-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor, 10.50% Cap), 0.43%, 12/20/62† | 586,871 | 586,699 |
Par | Value | |||
Government National Mortgage Association, Series 2013-107 | ||||
2.77%, 11/16/47† γ | $ 154,635 | $ 158,304 | ||
Government National Mortgage Association, Series 2013-53 | ||||
3.50%, 04/20/43 IO | 51,384 | 4,942 | ||
Government National Mortgage Association, Series 2014-118 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.10%, 08/20/44† IO | 116,514 | 24,963 | ||
Government National Mortgage Association, Series 2014-17 | ||||
3.37%, 06/16/48† γ | 6,091 | 6,399 | ||
Government National Mortgage Association, Series 2014-93 | ||||
0.51%, 11/16/55† IO γ | 1,267,569 | 32,727 | ||
Government National Mortgage Association, Series 2015-167 | ||||
4.00%, 04/16/45 IO | 57,152 | 9,000 | ||
Government National Mortgage Association, Series 2015-H11 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.50% Cap), 0.63%, 05/20/65† | 1,685,895 | 1,694,598 | ||
Government National Mortgage Association, Series 2015-H14 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 11.00% Cap), 0.51%, 05/20/65† | 1,606,750 | 1,608,451 | ||
(Floating, ICE LIBOR USD 1M + 0.57%, 0.57% Floor, 7.50% Cap), 0.65%, 06/20/65† | 2,864,151 | 2,880,222 | ||
Government National Mortgage Association, Series 2015-H15 | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 7.50% Cap), 0.66%, 06/20/65† | 1,099,947 | 1,107,224 | ||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.68%, 06/20/65† | 2,784,445 | 2,802,708 | ||
Government National Mortgage Association, Series 2015-H16 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.68%, 07/20/65† | 2,638,475 | 2,657,126 | ||
Government National Mortgage Association, Series 2015-H17 | ||||
(Floating, ICE LIBOR USD 1M + 0.46%, 0.46% Floor), 0.54%, 06/20/65† | 385,407 | 386,080 | ||
Government National Mortgage Association, Series 2015-H18 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.68%, 07/20/65† | 382,120 | 384,700 | ||
Government National Mortgage Association, Series 2015-H19 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.68%, 08/20/65† | 428,892 | 431,730 |
Par | Value | |||
Government National Mortgage Association, Series 2015-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.68%, 09/20/65† | $ 457,604 | $ 460,839 | ||
Government National Mortgage Association, Series 2015-H23 | ||||
(Floating, ICE LIBOR USD 1M + 0.62%, 0.62% Floor, 7.50% Cap), 0.70%, 09/20/65† | 490,006 | 493,806 | ||
Government National Mortgage Association, Series 2015-H26 | ||||
(Floating, ICE LIBOR USD 1M + 0.52%, 0.52% Floor, 11.00% Cap), 0.60%, 10/20/65† | 1,059,019 | 1,064,498 | ||
Government National Mortgage Association, Series 2015-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 0.76%, 08/20/61† | 1,819 | 1,838 | ||
Government National Mortgage Association, Series 2016-152 | ||||
0.73%, 08/15/58† IO γ | 2,973,691 | 139,299 | ||
Government National Mortgage Association, Series 2017-190 | ||||
0.54%, 03/16/60† IO γ | 3,887,696 | 167,161 | ||
Government National Mortgage Association, Series 2017-H15 | ||||
(Floating, ICE LIBOR USD 1Y + 0.80%, 0.80% Floor, 7.50% Cap), 1.05%, 07/20/67† | 1,298,747 | 1,311,808 | ||
2.20%, 07/20/67† IO γ | 398,893 | 40,711 | ||
Government National Mortgage Association, Series 2017-H18 | ||||
1.61%, 09/20/67† IO γ | 3,114,723 | 183,359 | ||
Government National Mortgage Association, Series 2017-H20 | ||||
2.03%, 10/20/67† IO γ | 140,336 | 11,375 | ||
Government National Mortgage Association, Series 2017-H22 | ||||
2.36%, 11/20/67† IO γ | 1,132,579 | 78,080 | ||
Government National Mortgage Association, Series 2018-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 11.00% Cap), 0.38%, 05/20/68† | 677,120 | 676,204 | ||
Government National Mortgage Association, Series 2019-28 | ||||
3.15%, 06/16/60 | 22,570 | 22,766 | ||
Government National Mortgage Association, Series 2020-123 | ||||
2.50%, 08/20/50 IO | 638,751 | 81,458 | ||
Government National Mortgage Association, Series 2020-127 | ||||
2.50%, 08/20/50 IO | 180,927 | 24,174 | ||
Government National Mortgage Association, Series 2020-129 | ||||
2.50%, 09/20/50 IO | 185,388 | 25,578 | ||
Government National Mortgage Association, Series 2020-160 | ||||
2.50%, 10/20/50 IO | 833,771 | 109,915 |
Par | Value | |||
Government National Mortgage Association, Series 2020-179 | ||||
1.00%, 09/16/62† IO γ | $7,243,872 | $ 602,491 | ||
Government National Mortgage Association, Series 2020-181 | ||||
2.00%, 12/20/50 IO | 1,457,851 | 148,692 | ||
Government National Mortgage Association, Series 2020-47 | ||||
3.50%, 04/20/50 IO | 424,837 | 57,887 | ||
Government National Mortgage Association, Series 2020-H09 | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor, 11.00% Cap), 1.35%, 04/20/70† | 147,435 | 151,670 | ||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.25%, 05/20/70† | 413,845 | 432,818 | ||
Government National Mortgage Association, Series 2020-H13 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 7.50% Cap), 0.55%, 07/20/70† | 163,232 | 164,394 | ||
Government National Mortgage Association, Series 2021-29 | ||||
2.50%, 02/20/51 IO | 488,592 | 90,604 | ||
GPMT, Ltd., Series 2021-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 1.35%, 07/16/35 144A † | 1,830,615 | 1,832,137 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 0.28%, 01/25/37† | 326,856 | 318,423 | ||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.55%, 1.30% Floor), 1.66%, 09/15/31 144A † | 1,467,300 | 1,338,730 | ||
GS Mortgage Securities Corporation Trust, Series 2021-DM, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.89%, 0.89% Floor), 0.99%, 11/15/36 144A † | 1,570,000 | 1,571,583 | ||
GS Mortgage Securities Corporation Trust, Series 2021-DM, Class AS | ||||
(Floating, ICE LIBOR USD 1M + 1.39%, 1.39% Floor), 1.49%, 11/15/36 144A † | 1,370,000 | 1,371,385 | ||
GS Mortgage Securities Corporation Trust, Series 2021-RENT, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.20%, 11/21/35 144A † | 670,000 | 667,135 | ||
GS Mortgage Securities Trust, Series 2013-GC16, Class B | ||||
5.16%, 11/10/46 | 130,000 | 135,261 | ||
GS Mortgage Securities Trust, Series 2015-GC30, Class AS | ||||
3.78%, 05/10/50 | 370,000 | 388,884 |
Par | Value | |||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
2.85%, 09/25/35† γ | $ 214,082 | $ 219,134 | ||
Harben Finance PLC, Series 2017-1X, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.91%, 08/20/56(U) † | 405,447 | 549,252 | ||
Hawksmoor Mortgages, Series 2019-1A, Class A | ||||
(Floating, SONIA Interest Rate + 1.05%), 1.10%, 05/25/53(U) 144A † | 5,218,657 | 7,084,071 | ||
Impac CMB Trust, Series 2004-8, Class 1A | ||||
(Floating, ICE LIBOR USD 1M + 0.72%, 0.72% Floor, 11.00% Cap), 0.82%, 10/25/34† | 13,551 | 13,328 | ||
IndyMac ARM Trust, Series 2001-H2, Class A1 | ||||
1.66%, 01/25/32† γ | 3,291 | 3,219 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class D | ||||
5.12%, 05/15/45† γ | 280,000 | 273,985 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
2.58%, 02/25/35† γ | 13,481 | 13,561 | ||
JP Morgan Mortgage Trust, Series 2018-3, Class A1 | ||||
3.50%, 09/25/48 144A † γ | 484,015 | 490,811 | ||
JP Morgan Mortgage Trust, Series 2018-4, Class A1 | ||||
3.50%, 10/25/48 144A † γ | 161,399 | 162,657 | ||
JP Morgan Mortgage Trust, Series 2021-14, Class A11 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.95%, 5.00% Cap), 1.00%, 05/25/52 144A † | 2,275,993 | 2,280,953 | ||
JP Morgan Mortgage Trust, Series 2021-6, Class A3 | ||||
2.50%, 10/25/51 144A † γ | 801,587 | 802,765 | ||
JP Morgan Mortgage Trust, Series 2021-LTV2, Class A1 | ||||
2.52%, 05/25/52 144A | 1,138,000 | 1,140,799 | ||
JP Morgan Mortgage Trust, Series 2022 - INV1 | ||||
3.00%, 02/25/52 | 2,200,000 | 2,263,594 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B | ||||
4.89%, 01/15/47† γ | 50,000 | 52,557 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class ASB | ||||
3.41%, 11/15/47 | 487,110 | 502,751 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class ASB | ||||
3.36%, 11/15/48 | 551,734 | 572,077 | ||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class B | ||||
4.01%, 03/15/50 | 630,000 | 654,910 |
Par | Value | |||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class D | ||||
3.00%, 10/15/50 144A | $ 300,000 | $ 278,626 | ||
KREST Commercial Mortgage Securities Trust, Series 2021-CHIP, Class A | ||||
2.56%, 11/05/44 144A | 2,300,000 | 2,330,545 | ||
London Wall Mortgage Capital PLC, Series 2017-FL1, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.85%), 0.95%, 11/15/49(U) † | 202,057 | 273,699 | ||
Ludgate Funding PLC, Series 2007-1, Class A2A | ||||
(Floating, ICE LIBOR GBP 3M + 0.16%), 0.24%, 01/01/61(U) † | 600,249 | 780,302 | ||
Ludgate Funding PLC, Series 2008-W1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.60%), 0.68%, 01/01/61(U) † | 473,661 | 631,647 | ||
LUXE Trust, Series 2021-TRIP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.16%, 10/15/38 144A † | 2,300,000 | 2,302,724 | ||
Manhattan West Mortgage Trust, Series 2020-OMW, Class A | ||||
2.13%, 09/10/39 144A | 1,700,000 | 1,697,245 | ||
Mansard Mortgages PLC, Series 2007-1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.18%), 0.31%, 04/15/47(U) † | 562,895 | 734,929 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7 | ||||
2.73%, 11/21/34† γ | 108,604 | 109,964 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 4A1 | ||||
2.62%, 05/25/34† γ | 52,157 | 52,307 | ||
MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class A | ||||
(Floating, U.S. 30-Day Average SOFR + 0.96%, 0.85% Floor), 1.01%, 07/15/36 144A † | 2,005,577 | 2,006,858 | ||
Mill City Mortgage Loan Trust, Series 2019-GS2, Class M1 | ||||
3.00%, 08/25/59 144A | 870,000 | 896,910 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AS | ||||
3.46%, 05/15/46 | 140,000 | 142,996 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class B | ||||
4.00%, 12/15/47 | 370,000 | 389,140 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class AS | ||||
3.56%, 04/15/48 | 480,000 | 496,088 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4 | ||||
3.73%, 05/15/48 | 850,000 | 907,155 |
Par | Value | |||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A4 | ||||
3.37%, 10/15/48 | $1,400,000 | $1,471,647 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB | ||||
3.56%, 12/15/47 | 614,579 | 638,020 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class D | ||||
2.70%, 11/15/52 144A | 500,000 | 438,083 | ||
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.40%, 1.40% Floor), 1.51%, 05/15/36 144A † | 1,050,000 | 1,038,497 | ||
Morgan Stanley Capital I Trust, Series 2020-CNP, Class A | ||||
2.43%, 04/05/42 144A † γ | 1,600,000 | 1,612,414 | ||
Morgan Stanley Capital I, Series 2017-HR2, Class A4 | ||||
3.59%, 12/15/50 | 550,000 | 597,478 | ||
MortgageIT Trust, Series 2005-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.56%, 0.56% Floor, 11.50% Cap), 0.66%, 10/25/35† | 100,539 | 101,064 | ||
MSCG Trust, Series 2015-ALDR, Class A2 | ||||
3.46%, 06/07/35 144A † γ | 580,000 | 602,154 | ||
NYO Commercial Mortgage Trust, Series 2021-1290, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.21%, 11/15/38 144A † | 2,300,000 | 2,293,212 | ||
OBX Trust, Series 2018-1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 0.75%, 06/25/57 144A † | 1,200,031 | 1,202,392 | ||
PFP, Ltd., Series 2021-8, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 1.11%, 08/09/37 144A † | 2,300,000 | 2,290,375 | ||
Ready Capital Mortgage Financing LLC, Series 2021-FL6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 1.04%, 07/25/36 144A † | 2,300,000 | 2,282,850 | ||
Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%, 1.20% Floor), 1.28%, 11/25/36 144A † | 3,599,806 | 3,600,904 | ||
Resloc UK PLC, Series 2007-1X, Class A3A | ||||
(Floating, 0.16% - Euribor 3M), 0.00%, 12/15/43(E) † | 792,075 | 873,224 |
Par | Value | |||
Resloc UK PLC, Series 2007-1X, Class A3B | ||||
(Floating, ICE LIBOR GBP 3M + 0.16%), 0.26%, 12/15/43(U) † | $ 198,019 | $ 258,658 | ||
Ripon Mortgages PLC, Series 1A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.91%, 08/20/56(U) 144A † | 1,626,468 | 2,202,895 | ||
Ripon Mortgages PLC, Series 1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.91%, 08/20/56(U) † | 117,779 | 159,520 | ||
Ripon Mortgages PLC, Series 1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.91%, 08/20/56(U) † | 2,120,017 | 2,871,360 | ||
Sequoia Mortgage Trust, Series 6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.64% Floor, 11.00% Cap), 0.74%, 04/19/27† | 100,766 | 99,175 | ||
SFO Commercial Mortgage Trust, Series 2021-555, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.40%, 2.40% Floor), 2.51%, 05/15/38 144A † | 970,000 | 973,409 | ||
Shops at Crystals Trust, Series 2016-CSTL, Class A | ||||
3.13%, 07/05/36 144A | 340,000 | 350,084 | ||
SLG Office Trust, Series 2021-OVA, Class A | ||||
2.59%, 07/15/41 144A | 430,000 | 441,476 | ||
SREIT Trust, Series 2021-IND, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 0.81%, 10/15/38 144A † | 2,300,000 | 2,271,726 | ||
SREIT Trust, Series 2021-MFP2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.82%, 0.82% Floor), 0.92%, 11/15/36 144A † | 450,000 | 448,450 | ||
Stratton Mortgage Funding PLC, Series 2019-1, Class A | ||||
(Floating, SONIA Interest Rate + 1.20%), 1.25%, 05/25/51(U) † | 1,274,412 | 1,730,135 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 0.40%, 10/25/35† | 126,003 | 126,766 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 11.00% Cap), 0.60%, 07/19/35† | 36,175 | 35,310 |
Par | Value | |||
STWD Mortgage Trust, Series 2021-HTS, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.16%, 04/15/34 144A † | $ 1,959,000 | $ 1,965,244 | ||
Thornburg Mortgage Securities Trust, Series 2003-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.64% Floor, 11.50% Cap), 0.74%, 09/25/43† | 3,559 | 3,633 | ||
Thornburg Mortgage Securities Trust, Series 2005-1, Class A3 | ||||
2.14%, 04/25/45† γ | 20,770 | 21,193 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 1.03%), 1.24%, 10/20/51(U) 144A † | 1,129,310 | 1,539,938 | ||
Towd Point Mortgage Funding PLC, Series 2020-A14X, Class A | ||||
(Floating, SONIA Interest Rate + 0.90%), 0.95%, 05/20/45(U) † | 3,383,292 | 4,593,327 | ||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class D | ||||
4.46%, 12/10/45 144A † γ | 320,000 | 289,411 | ||
Uniform Mortgage Backed Securities | ||||
4.00%, 01/01/51 TBA | 500,000 | 531,992 | ||
4.50%, 01/01/51 TBA | 4,000,000 | 4,286,250 | ||
2.00%, 02/01/51 TBA | 53,200,000 | 52,961,266 | ||
3.00%, 02/01/51 TBA | 800,000 | 828,070 | ||
2.00%, 01/01/52 TBA | 300,000 | 299,250 | ||
2.50%, 01/01/52 TBA | 11,000,000 | 11,229,023 | ||
3.00%, 01/01/52 TBA | 13,200,000 | 13,682,109 | ||
2.50%, 02/01/52 TBA | 6,700,000 | 6,824,086 | ||
3.50%, 02/01/52 TBA | 2,400,000 | 2,524,683 | ||
UWM Mortgage Trust, Series 2021-INV2, Class A9 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.00%, 5.00% Cap), 1.05%, 09/25/51 144A † | 2,273,476 | 2,273,696 | ||
UWM Mortgage Trust, Series 2021-INV3, Class A3 | ||||
2.50%, 11/25/51 144A † γ | 3,166,974 | 3,167,668 | ||
UWM Mortgage Trust, Series 2021-INV3, Class A9 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.95%, 5.00% Cap), 1.00%, 11/25/51 144A † | 2,276,263 | 2,272,474 | ||
UWM Mortgage Trust, Series 2021-INV4, Class A3 | ||||
2.50%, 12/25/51 144A † γ | 2,189,773 | 2,190,143 | ||
VASA Trust, Series 2021-VASA, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 1.01%, 07/15/39 144A † | 390,000 | 388,939 | ||
Verus Securitization Trust, Series 2021-8, Class A1 | ||||
1.82%, 11/25/66 144A † γ | 147,000 | 147,188 | ||
VLS Commercial Mortgage Trust, Series 2020-LAB, Class A | ||||
2.13%, 10/10/42 144A | 1,610,000 | 1,595,364 |
Par | Value | |||
VLS Commercial Mortgage Trust, Series 2020-LAB, Class B | ||||
2.45%, 10/10/42 144A | $1,610,000 | $1,598,169 | ||
VNDO Mortgage Trust, Series 2012-6AVE, Class A | ||||
3.00%, 11/15/30 144A | 100,000 | 101,389 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR19, Class A7 | ||||
2.61%, 02/25/33† γ | 2,042 | 2,148 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR6, Class A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 1.48%, 06/25/42† | 3,838 | 3,836 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR1, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.78% Floor, 10.50% Cap), 0.88%, 01/25/45† | 603,729 | 596,397 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 10.50% Cap), 0.68%, 10/25/45† | 405,709 | 406,946 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
2.88%, 02/25/37† γ | 125,652 | 119,369 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3 | ||||
3.05%, 02/25/37† γ | 83,359 | 84,676 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA3, Class 2A1A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.76%, 0.76% Floor), 0.84%, 04/25/47† | 324,932 | 313,917 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 1A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 10.50% Cap), 0.64%, 07/25/45† | 302,501 | 299,853 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 10.50% Cap), 0.68%, 07/25/45† | 71,955 | 71,319 | ||
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A | ||||
4.10%, 09/14/22 144A | 62,456 | 63,355 | ||
Wells Fargo Alternative Loan Trust, Series 2007-PA6, Class A1 | ||||
2.69%, 12/28/37† γ | 204,353 | 201,498 | ||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B | ||||
4.31%, 07/15/46† γ | 20,000 | 19,881 |
Par | Value | |||
Wells Fargo Commercial Mortgage Trust, Series 2016-LC25, Class D | ||||
3.04%, 12/15/59 144A † γ | $ 532,000 | $ 484,009 | ||
Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class D | ||||
2.80%, 12/15/50 144A | 650,000 | 580,428 | ||
Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class D | ||||
3.25%, 01/15/60 144A | 150,000 | 139,066 | ||
Wells Fargo Commercial Mortgage Trust, Series 2019-C51, Class ASB | ||||
3.16%, 06/15/52 | 300,000 | 318,616 | ||
Wells Fargo Commercial Mortgage Trust, Series 2021-C59, Class A5 | ||||
2.63%, 04/15/54 | 950,000 | 983,159 | ||
Wells Fargo Mortgage Backed Securities Trust, Series 2019-3, Class A1 | ||||
3.50%, 07/25/49 144A † γ | 54,053 | 54,511 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class XA | ||||
1.28%, 06/15/45 144A † IO γ | 180,502 | 173 | ||
WFRBS Commercial Mortgage Trust, Series 2013-C13, Class XA | ||||
1.18%, 05/15/45 144A �� IO γ | 2,115,653 | 23,608 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C19, Class XA | ||||
1.01%, 03/15/47† IO γ | 831,158 | 13,337 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA | ||||
1.02%, 08/15/47† IO γ | 2,580,679 | 54,627 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class AS | ||||
3.93%, 11/15/47 | 290,000 | 302,188 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class C | ||||
4.29%, 11/15/47 | 300,000 | 278,513 | ||
Worldwide Plaza Trust, Series 2017-WWP, Class A | ||||
3.53%, 11/10/36 144A | 1,900,000 | 2,025,269 | ||
Total Mortgage-Backed Securities (Cost $575,993,370) | 583,449,900 | |||
MUNICIPAL BONDS — 0.5% | ||||
American Municipal Power, Inc., Hydroelectric Projects, Revenue Bond, Series B | ||||
8.08%, 02/15/50 | 600,000 | 1,138,159 | ||
American Municipal Power, Inc., Revenue Bond, Series E | ||||
6.27%, 02/15/50 | 245,000 | 350,530 | ||
Bay Area Toll Authority, Revenue Bond, Series F-1 | ||||
1.63%, 04/01/28 | 300,000 | 296,117 | ||
California Statewide Communities Development Authority, Revenue Bond | ||||
1.81%, 02/01/30 | 25,000 | 24,630 |
Par | Value | |||
1.88%, 02/01/31 | $150,000 | $ 147,205 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue, Revenue Bond, Series A | ||||
6.90%, 12/01/40 | 700,000 | 986,760 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue, Revenue Bond, Series B | ||||
6.90%, 12/01/40 | 300,000 | 422,897 | ||
City of Houston Texas Airport System Revenue, Revenue Bond, Subseries C | ||||
2.24%, 07/01/29 | 110,000 | 110,506 | ||
City of New Orleans Louisiana Sewerage Service Revenue, Revenue Bond (AGM Insured) | ||||
0.96%, 06/01/26 | 25,000 | 24,333 | ||
1.41%, 06/01/28 | 65,000 | 63,096 | ||
City of New Orleans Louisiana Water System Revenue, Revenue Bond (AGM Insured) | ||||
1.01%, 12/01/26 | 30,000 | 28,904 | ||
1.46%, 12/01/28 | 65,000 | 62,617 | ||
City of Tucson Arizona COPS, Series A (AGM Insured) | ||||
1.93%, 07/01/31 | 205,000 | 201,541 | ||
Commonwealth Financing Authority, Revenue Bond, Series C | ||||
2.76%, 06/01/30 | 50,000 | 52,236 | ||
Louisiana State Transportation Authority, Revenue Bond, Series A | ||||
2.00%, 02/15/30 | 50,000 | 48,967 | ||
Metropolitan Transportation Authority, Revenue Bond, Series A-2 | ||||
5.99%, 11/15/30 | 115,000 | 143,217 | ||
Metropolitan Transportation Authority, Revenue Bond, Series C-2 | ||||
5.18%, 11/15/49 | 825,000 | 1,134,935 | ||
Municipal Improvement Corporation of Los Angeles, Revenue Bond, Series A | ||||
1.65%, 11/01/28 | 225,000 | 220,880 | ||
2.07%, 11/01/30 | 670,000 | 664,852 | ||
Municipal Improvement Corporation of Los Angeles, Revenue Bond, Series C | ||||
1.83%, 11/01/29 | 70,000 | 68,749 | ||
Port Authority of New York & New Jersey, Revenue Bond, Series 192 | ||||
4.81%, 10/15/65 | 300,000 | 412,383 | ||
Port of Oakland, Senior Lien Revenue Bond, Series R | ||||
1.95%, 05/01/28 | 90,000 | 90,261 | ||
2.10%, 05/01/30 | 25,000 | 24,900 | ||
2.20%, 05/01/31 | 135,000 | 134,232 |
Par | Value | |||
San Francisco Municipal Transportation Agency, Revenue Bond, Series A | ||||
1.30%, 03/01/28 | $ 155,000 | $ 151,173 | ||
San Jose Financing Authority, Revenue Bond | ||||
1.81%, 06/01/29 | 100,000 | 99,018 | ||
1.86%, 06/01/30 | 55,000 | 53,941 | ||
State Board of Administration Finance Corporation, Revenue Bond, Series A | ||||
2.15%, 07/01/30 | 235,000 | 234,626 | ||
State of California, General Obligation | ||||
7.55%, 04/01/39 | 410,000 | 685,017 | ||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 | 405,000 | 468,437 | ||
6.63%, 02/01/35 | 495,000 | 605,121 | ||
7.35%, 07/01/35 | 465,000 | 585,674 | ||
State of Louisiana, Revenue Bond, I-49 North Project | ||||
1.06%, 09/01/26 | 15,000 | 14,698 | ||
State of Louisiana, Revenue Bond, I-49 South Project | ||||
1.54%, 09/01/28 | 70,000 | 68,509 | ||
University of California, Revenue Bond, Series BG | ||||
1.61%, 05/15/30 | 1,600,000 | 1,553,573 | ||
University of North Carolina at Charlotte (The), Revenue Bond | ||||
1.71%, 04/01/28 | 5,000 | 4,961 | ||
Total Municipal Bonds (Cost $10,189,951) | 11,377,655 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTIONS — 0.0% | ||||
Call Options — 0.0% | ||||
10-Year U.S. Treasury Note Future expiration date 01/2022, Strike Price $130.50, Expires 01/07/22 (GSC) | 37 | $4,827,344 | 13,297 | |
10-Year U.S. Treasury Note Future expiration date 02/2022, Strike Price $131.00, Expires 01/21/22 (GSC) | 35 | 4,566,406 | 12,031 | |
5-Year U.S. Treasury Note Future expiration date 02/2022, Strike Price $130.50, Expires 01/21/22 (GSC) | 35 | 4,566,406 | 20,234 |
Number of Contracts | Notional Amount | Value | |||
Long U.S. Treasury Bond Future expiration date 02/2022, Strike Price $159.50, Expires 01/21/22 (GSC) | 19 | $3,048,312 | $ 36,516 | ||
Long U.S. Treasury Bond Future expiration date 02/2022, Strike Price $161.50, Expires 01/21/22 (GSC) | 38 | �� | 6,096,625 | 33,844 | |
Long U.S. Treasury Bond Future expiration date 02/2022, Strike Price $162.00, Expires 01/21/22 (GSC) | 13 | 2,085,688 | 9,344 | ||
125,266 | |||||
Put Options — 0.0% | |||||
10-Year U.S. Treasury Note Future expiration date 02/2022, Strike Price $130.00, Expires 01/21/22 (GSC) | 44 | 5,740,625 | 17,188 | ||
10-Year U.S. Treasury Note Future expiration date 02/2022, Strike Price $130.50, Expires 01/21/22 (GSC) | 37 | 4,827,344 | 22,547 | ||
10-Year U.S. Treasury Note Future expiration date 03/2022, Strike Price $129.50, Expires 02/18/22 (GSC) | 31 | 4,044,531 | 16,953 | ||
5-Year U.S. Treasury Note Future expiration date 02/2022, Strike Price $120.75, Expires 01/21/22 (GSC) | 66 | 7,984,456 | 17,531 | ||
Long U.S. Treasury Bond Future expiration date 02/2022, Strike Price $160.00, Expires 01/21/22 (GSC) | 21 | 3,369,187 | 24,938 |
Number of Contracts | Notional Amount | Value | |||
Long U.S. Treasury Bond Future expiration date 02/2022, Strike Price $162.00, Expires 01/21/22 (GSC) | 13 | $2,085,688 | $ 29,656 | ||
128,813 | |||||
Total Purchased Options (Premiums paid $273,728) | 254,079 |
Par | |||
U.S. TREASURY OBLIGATIONS — 22.3% | |||
U.S. Treasury Bills | |||
0.05%, 03/10/22Ω ‡‡ | $ 6,100,000 | 6,099,581 | |
0.05%, 03/24/22Ω ‡‡ | 108,000 | 107,988 | |
6,207,569 | |||
U.S. Treasury Bonds | |||
4.38%, 02/15/38 | 10,000 | 13,814 | |
4.25%, 05/15/39 | 4,300,000 | 5,911,324 | |
4.38%, 11/15/39 | 200,000 | 279,523 | |
1.13%, 08/15/40 | 6,750,000 | 5,917,060 | |
1.38%, 11/15/40 | 45,370,000 | 41,494,055 | |
1.88%, 02/15/41 | 14,190,000 | 14,095,770 | |
2.25%, 05/15/41 | 4,150,000 | 4,374,684 | |
1.75%, 08/15/41 | 4,350,000 | 4,232,414 | |
2.00%, 11/15/41 | 6,590,000 | 6,688,335 | |
2.75%, 08/15/42 | 600,000 | 686,086 | |
2.75%, 11/15/42 | 700,000 | 800,680 | |
2.88%, 05/15/43 | 3,200,000 | 3,732,250 | |
3.63%, 02/15/44‡‡ | 6,460,000 | 8,437,366 | |
3.38%, 05/15/44‡‡ | 3,200,000 | 4,043,625 | |
3.13%, 08/15/44 | 4,800,000 | 5,851,125 | |
3.00%, 11/15/44 | 3,100,000 | 3,711,160 | |
2.50%, 02/15/45 | 950,000 | 1,048,971 | |
2.88%, 08/15/45 | 4,340,000 | 5,116,114 | |
2.75%, 08/15/47 | 7,940,000 | 9,279,255 | |
3.00%, 02/15/48 | 6,170,000 | 7,562,829 | |
2.88%, 05/15/49 | 6,200,000 | 7,501,758 | |
2.38%, 11/15/49‡‡ | 4,080,000 | 4,502,822 | |
2.00%, 02/15/50‡‡ | 24,070,000 | 24,567,384 | |
1.25%, 05/15/50 | 28,750,000 | 24,543,066 | |
1.38%, 08/15/50 | 34,060,000 | 29,991,427 | |
1.63%, 11/15/50‡‡ | 16,570,000 | 15,515,604 | |
1.88%, 02/15/51 | 17,070,000 | 16,971,314 | |
2.38%, 05/15/51 | 4,670,000 | 5,182,241 | |
2.00%, 08/15/51 | 2,980,000 | 3,052,637 | |
1.88%, 11/15/51 | 3,580,000 | 3,569,092 | |
268,673,785 | |||
U.S. Treasury Notes | |||
1.88%, 03/31/22‡‡ | 1,900,000 | 1,908,121 | |
1.88%, 09/30/22‡‡ | 3,000,000 | 3,034,682 | |
2.00%, 10/31/22‡‡ | 2,700,000 | 2,736,499 | |
0.13%, 03/31/23‡‡ | 1,000,000 | 995,547 |
Par | Value | |||
0.25%, 09/30/23 | $ 160,000 | $ 158,900 | ||
0.25%, 11/15/23 | 60,000 | 59,517 | ||
0.25%, 05/31/25 | 6,170,000 | 6,004,663 | ||
2.88%, 07/31/25 | 2,330,000 | 2,477,354 | ||
0.25%, 08/31/25 | 170,000 | 164,761 | ||
0.25%, 09/30/25 | 2,800,000 | 2,712,719 | ||
0.25%, 10/31/25 | 500,000 | 483,535 | ||
2.25%, 11/15/25 | 1,480,000 | 1,542,611 | ||
0.38%, 11/30/25 | 20,000 | 19,408 | ||
0.38%, 01/31/26 | 600,000 | 580,875 | ||
2.63%, 01/31/26 | 3,120,000 | 3,300,984 | ||
0.75%, 03/31/26 | 2,850,000 | 2,797,564 | ||
2.25%, 03/31/26 | 1,500,000 | 1,565,156 | ||
2.13%, 05/31/26 | 6,320,000 | 6,568,850 | ||
0.88%, 09/30/26 | 1,050,000 | 1,032,117 | ||
1.25%, 11/30/26 | 27,170,000 | 27,174,245 | ||
1.25%, 12/31/26 | 15,530,000 | 15,525,147 | ||
2.25%, 02/15/27 | 3,518,000 | 3,688,541 | ||
0.63%, 12/31/27 | 4,415,700 | 4,229,585 | ||
0.75%, 01/31/28 | 33,530,000 | 32,323,706 | ||
2.75%, 02/15/28‡‡ | 1,400,000 | 1,514,625 | ||
1.25%, 03/31/28‡‡ | 25,060,000 | 24,863,240 | ||
1.25%, 04/30/28 | 34,790,000 | 34,510,049 | ||
2.88%, 05/15/28‡‡ | 800,000 | 872,469 | ||
1.25%, 05/31/28 | 6,590,000 | 6,531,823 | ||
1.25%, 06/30/28 | 15,080,000 | 14,941,570 | ||
1.00%, 07/31/28 | 2,180,000 | 2,124,563 | ||
1.13%, 08/31/28 | 12,330,000 | 12,104,111 | ||
1.25%, 09/30/28 | 6,350,000 | 6,282,035 | ||
1.38%, 10/31/28 | 750,000 | 747,832 | ||
1.38%, 12/31/28 | 18,070,000 | 18,006,473 | ||
2.63%, 02/15/29 | 1,000,000 | 1,082,227 | ||
1.63%, 05/15/31 | 6,330,000 | 6,418,521 | ||
1.25%, 08/15/31 | 7,530,000 | 7,372,929 | ||
1.38%, 11/15/31 | 2,400,000 | 2,372,812 | ||
260,830,366 | ||||
U.S. Treasury Strips | ||||
2.22%, 02/15/40Ω ‡‡ | 2,790,000 | 1,940,627 | ||
2.18%, 08/15/41Ω ‡‡ | 1,080,000 | 720,054 | ||
2,660,681 | ||||
Total U.S. Treasury Obligations (Cost $544,049,200) | 538,372,401 |
Shares | |||
MONEY MARKET FUNDS — 6.8% | |||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ | 133,664,253 | 133,664,253 | |
Northern Institutional Liquid Assets Portfolio (Shares), 0.04%Ø § | 27,825,685 | 27,825,685 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 1,667,976 | $ 1,667,976 | ||
Total Money Market Funds (Cost $163,157,914) | 163,157,914 |
Par | |||
REPURCHASE AGREEMENTS — 6.9% | |||
Deutsche Bank Securities, Inc. | |||
0.04% (dated 12/31/21, due 01/03/22, repurchase price $83,418,533, collateralized by U.S. Treasury Bond, 1.13%, due 05/15/2040, total market value $85,451,279) | $83,400,000 | 83,400,000 | |
0.04% (dated 12/31/21, due 01/04/22, repurchase price $83,518,556, collateralized by U.S. Treasury Bond, 1.13%, due 05/15/2040, total market value $83,492,668) | 83,500,000 | 83,500,000 | |
Total Repurchase Agreements (Cost $166,900,000) | 166,900,000 | ||
TOTAL INVESTMENTS —109.1% (Cost $2,602,295,417) | 2,627,762,030 |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.0)% | ||||
Call Options — (0.0)% | ||||
10-Year U.S. Treasury Note Future expiration date 02/2022, Strike Price $131.50, Expires 01/21/22 (GSC) | (64) | $ (8,350,000) | (12,000) | |
10-Year U.S. Treasury Note Future expiration date 02/2022, Strike Price $132.00, Expires 01/21/22 (GSC) | (137) | (17,874,219) | (14,985) | |
10-Year U.S. Treasury Note Future expiration date 03/2022, Strike Price $132.00, Expires 02/18/22 (GSC) | (35) | (4,566,406) | (10,938) |
Number of Contracts | Notional Amount | Value | |||
5-Year U.S. Treasury Note Future expiration date 02/2022, Strike Price $121.50, Expires 01/21/22 (GSC) | (117) | $(14,154,262) | $ (17,367) | ||
5-Year U.S. Treasury Note Future expiration date 02/2022, Strike Price $121.50, Expires 01/21/22 (GSC) | (150) | (18,146,490) | (35,156) | ||
5-Year U.S. Treasury Note Future expiration date 02/2022, Strike Price $122.00, Expires 01/21/22 (GSC) | (49) | (5,927,854) | (2,297) | ||
FNCL 2.00% expiration date 02/2022, Strike Price $22.20, Expires 02/07/22 (JPM) | 1 | (2,322,281) | (2,625) | ||
FNCL 3.00% expiration date 03/2022, Strike Price $32.20, Expires 03/07/22 (JPM) | 1 | (2,075,078) | (4,600) | ||
Long U.S. Treasury Bond Future expiration date 02/2022, Strike Price $164.50, Expires 01/21/22 (GSC) | (36) | (5,775,750) | (8,438) | ||
(108,406) | |||||
Call Swaptions — (0.0)% | |||||
Pay 0.02% (Annually); Receive 6-Month EURIBOR (Semiannually); Interest Rate Swap Maturing 12/13/2027 EUR, Strike Price $0.02, Expires 12/09/22 (CITI) | 1 | (2,410,000) | (20,017) |
Number of Contracts | Notional Amount | Value | |||
Pay 0.02% (Annually); Receive 6-Month EURIBOR (Semiannually); Interest Rate Swap Maturing 12/13/2027 EUR, Strike Price $0.02, Expires 12/09/22 (CITI) | 1 | $ (2,360,000) | $(19,602) | ||
Pay 0.87% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 11/04/2023 USD, Strike Price $0.87, Expires 11/02/22 (GSC) | 1 | (25,000,000) | (26,473) | ||
Pay 0.87% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 11/04/2023 USD, Strike Price $0.87, Expires 11/02/22 (GSC) | 1 | (10,200,000) | (10,801) | ||
Pay 0.87% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 11/04/2023 USD, Strike Price $0.87, Expires 11/02/22 (GSC) | 1 | (25,300,000) | (26,790) | ||
Pay 0.87% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 11/04/2023 USD, Strike Price $0.87, Expires 11/02/22 (GSC) | 1 | (14,800,000) | (15,672) | ||
Pay 1.25% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 12/15/2023 USD, Strike Price $1.25, Expires 12/13/22 (CITI) | 1 | (16,400,000) | (42,679) |
Number of Contracts | Notional Amount | Value | |||
Pay 1.26% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 12/15/2023 USD, Strike Price $1.26, Expires 12/13/22 (CITI) | 1 | $(11,400,000) | $ (29,853) | ||
Pay 1.29% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 12/14/2023 USD, Strike Price $1.29, Expires 12/12/22 (CITI) | 1 | (13,600,000) | (38,311) | ||
Pay 1.29% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 12/14/2023 USD, Strike Price $1.29, Expires 12/12/22 (CITI) | 1 | (13,600,000) | (38,311) | ||
(268,509) | |||||
Put Options — (0.0)% | |||||
10-Year U.S. Treasury Note Future expiration date 03/2022, Strike Price $127.50, Expires 02/18/22 (GSC) | (62) | (8,089,063) | (9,688) | ||
10-Year U.S. Treasury Note Future expiration date 03/2022, Strike Price $128.00, Expires 02/18/22 (GSC) | (88) | (11,481,250) | (19,250) | ||
5-Year U.S. Treasury Note Future expiration date 02/2022, Strike Price $120.50, Expires 01/21/22 (GSC) | (66) | (7,984,456) | (11,859) | ||
5-Year U.S. Treasury Note Future expiration date 03/2022, Strike Price $119.50, Expires 02/18/22 (GSC) | (132) | (15,968,911) | (18,562) |
Number of Contracts | Notional Amount | Value | |||
FNCL 2.00% expiration date 02/2022, Strike Price $98.97, Expires 02/07/22 (JPM) | 1 | $ (2,276,281) | $ (8,752) | ||
Long U.S. Treasury Bond Future expiration date 02/2022, Strike Price $157.00, Expires 01/21/22 (GSC) | (42) | (6,738,375) | (14,438) | ||
(82,549) | |||||
Put Swaptions — (0.0)% | |||||
Pay 3-Month LIBOR (Quarterly); Receive 1.25% (Semiannually); Interest Rate Swap Maturing 12/15/2023 USD, Strike Price $1.25, Expires 12/13/22 (CITI) | 1 | (16,400,000) | (51,181) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.26% (Semiannually); Interest Rate Swap Maturing 12/15/2023 USD, Strike Price $1.26, Expires 12/13/22 (CITI) | 1 | (11,400,000) | (35,424) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.27% (Semiannually); Interest Rate Swap Maturing 11/04/2023 USD, Strike Price $1.27, Expires 11/02/22 (GSC) | 1 | (25,000,000) | (62,378) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.27% (Semiannually); Interest Rate Swap Maturing 11/04/2023 USD, Strike Price $1.27, Expires 11/02/22 (GSC) | 1 | (10,200,000) | (25,450) |
Number of Contracts | Notional Amount | Value | |||
Pay 3-Month LIBOR (Quarterly); Receive 1.27% (Semiannually); Interest Rate Swap Maturing 11/04/2023 USD, Strike Price $1.27, Expires 11/02/22 (GSC) | 1 | $(25,300,000) | $(63,126) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.27% (Semiannually); Interest Rate Swap Maturing 11/04/2023 USD, Strike Price $1.27, Expires 11/02/22 (GSC) | 1 | (14,800,000) | (36,927) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.29% (Semiannually); Interest Rate Swap Maturing 12/14/2023 USD, Strike Price $1.29, Expires 12/12/22 (CITI) | 1 | (13,600,000) | (40,013) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.29% (Semiannually); Interest Rate Swap Maturing 12/14/2023 USD, Strike Price $1.29, Expires 12/12/22 (CITI) | 1 | (13,600,000) | (40,013) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.30% (Semiannually); Interest Rate Swap Maturing 5/04/2024 USD, Strike Price $1.30, Expires 04/29/22 (CITI) | 1 | (12,460,000) | (30,344) |
Number of Contracts | Notional Amount | Value | |||
Pay 6-Month EURIBOR (Semiannually); Receive 0.02% (Annually); Interest Rate Swap Maturing 12/13/2027 EUR, Strike Price $0.02, Expires 12/09/22 (CITI) | 1 | $(2,410,000) | $ (42,432) | ||
Pay 6-Month EURIBOR (Semiannually); Receive 0.02% (Annually); Interest Rate Swap Maturing 12/13/2027 EUR, Strike Price $0.02, Expires 12/09/22 (CITI) | 1 | (2,360,000) | (41,552) | ||
(468,840) | |||||
Total Written Options (Premiums received $ (1,096,829)) | (928,304) |
Par | Value | |||
TBA SALE COMMITMENTS — (2.7)% | ||||
Uniform Mortgage Backed Securities 4.00%, 01/01/51 TBA | $ (3,000,000) | $ (3,191,953) | ||
Government National Mortgage Association 3.00%, 01/01/51 TBA | (1,000,000) | (1,031,016) | ||
Government National Mortgage Association 4.00%, 01/01/51 TBA | (2,000,000) | (2,106,562) | ||
Uniform Mortgage Backed Securities 3.50%, 03/01/52 TBA | (52,800,000) | (55,475,811) | ||
JP Morgan Mortgage Trust 2.50%, 02/14/52 TBA | (2,200,000) | (2,264,969) | ||
Total TBA Sale Commitments (Proceeds $(63,990,125)) | (64,070,311) | |||
Liabilities in Excess of Other Assets — (6.4)% | (153,796,105) | |||
NET ASSETS — 100.0% | $2,408,967,310 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 03/2022 | (19) | $ (4,472,096) | $ 171,123 | ||||
Euro-Bund | 03/2022 | (117) | (22,827,255) | 294,140 | ||||
Euro-OAT | 03/2022 | 40 | 7,429,851 | (129,909) | ||||
90-Day Eurodollar | 03/2022 | (147) | (36,623,213) | 31,822 | ||||
10-Year Commonwealth Treasury Bond | 03/2022 | 91 | 9,213,859 | 3,512 | ||||
10-Year Japanese Treasury Bond | 03/2022 | (9) | (11,860,471) | 41,643 | ||||
10-Year U.S. Treasury Note | 03/2022 | 931 | 121,466,406 | 445,674 | ||||
Long GILT | 03/2022 | (70) | (11,834,089) | (18,407) | ||||
U.S. Treasury Long Bond | 03/2022 | (535) | (85,834,063) | 272,993 | ||||
Ultra 10-Year U.S. Treasury Note | 03/2022 | (226) | (33,094,875) | (490,648) | ||||
Ultra Long U.S. Treasury Bond | 03/2022 | 238 | 46,915,750 | 680,197 | ||||
2-Year U.S. Treasury Note | 04/2022 | 803 | 175,192,016 | (141,297) | ||||
5-Year U.S. Treasury Note | 04/2022 | 2,540 | 307,280,469 | 297,623 | ||||
90-Day Eurodollar | 12/2022 | 572 | 141,505,650 | (406,175) | ||||
90-Day Eurodollar | 06/2023 | 156 | 38,465,700 | (238,352) | ||||
90-Day Eurodollar | 09/2023 | 37 | 9,110,325 | (54,800) | ||||
90-Day Eurodollar | 12/2023 | 1,232 | 303,102,800 | (1,243,825) | ||||
Total Futures Contracts outstanding at December 31, 2021 | $953,136,764 | $ (484,686) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
02/02/22 | Brazilian Reals | 23,710,527 | U.S. Dollars | 4,124,502 | MSCS | $98,430 | ||||||
01/21/22 | U.S. Dollars | 5,012,055 | British Pounds | 3,642,019 | DEUT | 82,653 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/07/22 | Australian Dollars | 12,761,525 | U.S. Dollars | 9,212,481 | MSCS | $ 72,379 | ||||||
01/18/22 | Indonesian Rupiahs | 56,877,253,622 | U.S. Dollars | 3,939,632 | CITI | 55,085 | ||||||
01/04/22 | Brazilian Reals | 23,710,527 | U.S. Dollars | 4,209,667 | MSCS | 43,023 | ||||||
04/01/22 | U.S. Dollars | 2,421,054 | Danish Kroner | 15,525,000 | GSC | 39,576 | ||||||
01/07/22 | Australian Dollars | 2,958,000 | U.S. Dollars | 2,117,584 | JPM | 34,558 | ||||||
03/16/22 | Australian Dollars | 970,775 | U.S. Dollars | 682,377 | UBS | 24,048 | ||||||
02/02/22 | U.S. Dollars | 27,715,618 | British Pounds | 20,464,000 | BNP | 19,103 | ||||||
03/16/22 | Norwegian Kroner | 6,735,214 | U.S. Dollars | 744,673 | DEUT | 19,056 | ||||||
01/18/22 | Brazilian Reals | 15,244,857 | U.S. Dollars | 2,706,059 | CITI | 18,928 | ||||||
01/18/22 | U.S. Dollars | 1,066,575 | Euro | 919,896 | CITI | 18,882 | ||||||
01/07/22 | British Pounds | 815,000 | U.S. Dollars | 1,085,160 | MSCS | 17,965 | ||||||
01/18/22 | Canadian Dollars | 4,630,025 | U.S. Dollars | 3,649,048 | CITI | 11,126 | ||||||
03/16/22 | Swiss Francs | 719,356 | U.S. Dollars | 782,664 | CITI | 8,345 | ||||||
01/31/22 | U.S. Dollars | 414,203 | Canadian Dollars | 515,436 | MSCS | 6,741 | ||||||
03/16/22 | Euro | 690,000 | U.S. Dollars | 782,928 | DEUT | 3,857 | ||||||
02/17/22 | U.S. Dollars | 384,714 | Japanese Yen | 43,900,000 | GSC | 2,934 | ||||||
01/18/22 | U.S. Dollars | 257,138 | British Pounds | 188,429 | GSC | 2,101 | ||||||
01/18/22 | U.S. Dollars | 62,110 | Canadian Dollars | 77,000 | CITI | 1,240 | ||||||
Subtotal Appreciation | $ 580,030 | |||||||||||
01/21/22 | U.S. Dollars | 253,286 | British Pounds | 187,559 | MSCS | $ (571) | ||||||
01/18/22 | U.S. Dollars | 1,044,695 | Peruvian Nuevo Soles | 4,177,734 | BNP | (1,099) | ||||||
01/18/22 | U.S. Dollars | 80,690 | Mexican Pesos | 1,688,846 | GSC | (1,535) | ||||||
03/16/22 | Japanese Yen | 12,235,149 | U.S. Dollars | 108,249 | MSCS | (1,816) | ||||||
01/18/22 | U.S. Dollars | 395,770 | Euro | 350,000 | CITI | (2,854) | ||||||
03/16/22 | Japanese Yen | 44,503,836 | U.S. Dollars | 390,000 | UBS | (2,862) | ||||||
01/18/22 | Australian Dollars | 2,211,180 | U.S. Dollars | 1,612,554 | CITI | (3,716) | ||||||
03/16/22 | U.S. Dollars | 361,903 | British Pounds | 271,000 | UBS | (4,787) | ||||||
03/16/22 | U.S. Dollars | 2,539,633 | Euro | 2,231,450 | UBS | (4,817) | ||||||
02/10/22 | U.S. Dollars | 551,421 | Euro | 488,558 | UBS | (5,263) | ||||||
02/17/22 | Norwegian Kroner | 21,815,000 | U.S. Dollars | 2,484,983 | DEUT | (10,011) | ||||||
02/10/22 | U.S. Dollars | 1,141,839 | Peruvian Nuevo Soles | 4,609,488 | GSC | (10,738) | ||||||
01/18/22 | U.S. Dollars | 453,293 | Chinese Offshore Yuan | 2,958,374 | GSC | (11,451) | ||||||
01/07/22 | U.S. Dollars | 1,857,036 | Canadian Dollars | 2,366,000 | GSC | (13,380) | ||||||
02/10/22 | U.S. Dollars | 1,705,628 | Euro | 1,509,119 | DEUT | (13,926) | ||||||
02/02/22 | U.S. Dollars | 13,273,019 | Euro | 11,665,000 | BAR | (16,579) | ||||||
01/07/22 | U.S. Dollars | 1,025,432 | British Pounds | 773,000 | DEUT | (20,844) | ||||||
03/16/22 | U.S. Dollars | 1,554,543 | New Zealand Dollars | 2,303,000 | UBS | (20,862) | ||||||
01/18/22 | Canadian Dollars | 3,995,065 | U.S. Dollars | 3,180,658 | CITI | (22,438) | ||||||
03/02/22 | Chilean Pesos | 1,891,114,500 | U.S. Dollars | 2,227,506 | BNP | (28,268) | ||||||
01/24/22 | U.S. Dollars | 2,172,000 | Chilean Pesos | 1,885,404,600 | BNP | (33,437) | ||||||
02/17/22 | Japanese Yen | 444,800,000 | U.S. Dollars | 3,919,875 | GSC | (51,633) | ||||||
02/17/22 | Norwegian Kroner | 37,365,000 | U.S. Dollars | 4,291,160 | GSC | (51,998) | ||||||
09/07/22 | U.S. Dollars | 1,786,732 | Israeli Shekels | 5,700,570 | JPM | (57,170) | ||||||
10/07/22 | U.S. Dollars | 2,302,621 | Israeli Shekels | 7,300,000 | HSBC | (61,026) | ||||||
01/18/22 | U.S. Dollars | 1,702,055 | Peruvian Nuevo Soles | 7,052,466 | HSBC | (63,357) | ||||||
10/07/22 | U.S. Dollars | 2,664,135 | Israeli Shekels | 8,499,500 | DEUT | (87,894) | ||||||
01/07/22 | U.S. Dollars | 2,637,926 | Australian Dollars | 3,753,000 | DEUT | (92,632) | ||||||
01/04/22 | U.S. Dollars | 4,152,457 | Brazilian Reals | 23,710,527 | MSCS | (100,233) | ||||||
01/18/22 | Japanese Yen | 917,179,528 | U.S. Dollars | 8,079,980 | CITI | (105,421) | ||||||
02/17/22 | Japanese Yen | 805,900,000 | U.S. Dollars | 7,125,611 | BAR | (117,031) | ||||||
01/18/22 | Russian Rubles | 572,480,971 | U.S. Dollars | 7,729,376 | GSC | (117,056) | ||||||
04/06/22 | U.S. Dollars | 2,131,981 | Israeli Shekels | 6,999,294 | GSC | (121,811) | ||||||
01/31/22 | U.S. Dollars | 2,219,614 | Israeli Shekels | 7,282,000 | HSBC | (122,957) | ||||||
01/04/22 | U.S. Dollars | 13,149,533 | Euro | 11,665,000 | BAR | (132,169) | ||||||
01/07/22 | U.S. Dollars | 8,413,694 | Australian Dollars | 11,923,000 | BAR | (261,083) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/05/22 | U.S. Dollars | 27,097,141 | British Pounds | 20,464,000 | BNP | $ (601,571) | ||||||
Subtotal Depreciation | $(2,376,296) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2021 | $(1,796,266) |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Sovereign Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | JPM | USD | 630,000 | $(2,976) | $(6,835) | $3,859 | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | CITI | USD | 70,000 | (331) | (1,226) | 895 | ||||||||
$(3,307) | $(8,061) | $4,754 |
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection | ||||||||||||||||
Citigroup, Inc., 2.88% due 7/24/23 (Receive Quarterly) | 0.29% | 1.00% | 12/20/2022 | USD | 2,200,000 | $ 15,992 | $ 15,971 | $ 21 | ||||||||
The Boeing Co., 2.60% due 10/30/25 (Receive Quarterly) | 0.59% | 1.00% | 6/20/2023 | USD | 2,200,000 | 13,931 | 5,839 | 8,092 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.30% | 1.00% | 12/20/2023 | USD | 600,000 | 8,512 | (25,420) | 33,932 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.36% | 1.00% | 6/20/2024 | USD | 1,000,000 | 16,143 | (20,253) | 36,396 | ||||||||
Republic of Indonesia, 5.88% due 3/13/20 (Receive Quarterly) | 0.35% | 1.00% | 6/20/2024 | USD | 3,470,000 | 56,780 | 13,562 | 43,218 | ||||||||
Rolls-Royce Holdings PLC, 2.13% due 6/18/21 (Receive Quarterly) | 1.37% | 1.00% | 6/20/2025 | EUR | 1,700,000 | (23,705) | (263,901) | 240,196 | ||||||||
Devon Energy Corporation, 7.95% due 4/15/32 (Receive Quarterly) | 0.93% | 1.00% | 6/20/2026 | USD | 2,800,000 | 9,728 | (26,054) | 35,782 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.61% | 1.00% | 6/20/2026 | USD | 2,100,000 | 36,138 | 11,126 | 25,012 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.61% | 1.00% | 6/20/2026 | USD | 1,100,000 | 18,930 | 17,602 | 1,328 | ||||||||
The Boeing Co., 2.60% due 10/30/25 (Receive Quarterly) | 0.97% | 1.00% | 6/20/2026 | USD | 2,400,000 | 3,479 | (17,161) | 20,640 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.67% | 1.00% | 12/20/2026 | USD | 2,600,000 | 41,650 | 29,130 | 12,520 | ||||||||
Subtotal Appreciation | $197,578 | $(259,559) | $457,137 | |||||||||||||
Prudential Financial, Inc., 3.50% due 5/15/24 (Receive Quarterly) | 0.27% | 1.00% | 6/20/2024 | USD | 1,075,000 | $ 19,752 | $ 19,844 | $ (92) | ||||||||
The Boeing Co., 8.75% due 8/15/21 (Receive Quarterly) | 0.73% | 1.00% | 6/20/2024 | USD | 475,000 | 3,291 | 11,966 | (8,675) | ||||||||
Republic of Peru, 8.75% due 11/21/33 (Receive Quarterly) | 0.38% | 1.00% | 12/20/2024 | USD | 290,000 | 5,461 | 6,739 | (1,278) |
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
General Motors Co., 4.88% due 10/2/23 (Pay Quarterly) | 0.97% | 5.00% | 12/20/2026 | USD | 2,200,000 | $426,467 | $443,519 | $ (17,052) | ||||||||
Russian Federation, 7.50% due 3/31/30 (Receive Quarterly) | 1.25% | 1.00% | 12/20/2026 | USD | 220,000 | (2,513) | 1,521 | (4,034) | ||||||||
Stellantis NV, 5.25% due 4/15/23 (Receive Quarterly) | 1.07% | 5.00% | 12/20/2026 | EUR | 1,700,000 | 377,788 | 391,652 | (13,864) | ||||||||
Verizon Communications, Inc, 4.13% due 3/16/27 (Receive Quarterly) | 0.58% | 1.00% | 12/20/2026 | USD | 2,100,000 | 43,071 | 51,189 | (8,118) | ||||||||
British Telecommunications, 5.75% due 12/7/28 (Receive Quarterly) | 1.50% | 1.00% | 6/20/2028 | EUR | 2,000,000 | (71,151) | (11,393) | (59,758) | ||||||||
British Telecommunications, 5.75% due 12/7/28 (Receive Quarterly) | 1.59% | 1.00% | 12/20/2028 | EUR | 2,000,000 | (88,834) | (23,988) | (64,846) | ||||||||
Subtotal Depreciation | $713,332 | $891,049 | $(177,717) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection outstanding at December 31, 2021 | $910,910 | $631,490 | $ 279,420 |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
CDX.NA.HY.37 (Pay Quarterly) | (5.00)% | 12/20/2026 | USD | 1,020,000 | $(95,505) | $(97,955) | $2,450 | |||||||
$(95,505) | $(97,955) | $2,450 |
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection | ||||||||||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.45% | 1.00% | 6/20/2025 | USD | 22,475,000 | $ 434,373 | $ 232,086 | $202,287 | ||||||||
Markit CDX.NA.IG.36 Index (Receive Quarterly) | 0.44% | 1.00% | 6/20/2026 | USD | 18,000,000 | 445,695 | 442,845 | 2,850 | ||||||||
Markit CDX.NA.IG.37 Index (Receive Quarterly) | 0.49% | 1.00% | 12/20/2026 | USD | 77,559,000 | 1,920,928 | 1,869,531 | 51,397 | ||||||||
Subtotal Appreciation | $2,800,996 | $2,544,462 | $256,534 | |||||||||||||
iTraxx Europe & Crossover Series 36 (Receive Quarterly) | 2.42% | 5.00% | 12/20/2026 | EUR | 11,300,000 | $1,546,563 | $1,573,888 | $ (27,325) | ||||||||
Subtotal Depreciation | $1,546,563 | $1,573,888 | $ (27,325) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection outstanding at December 31, 2021 | $4,347,559 | $4,118,350 | $229,209 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Interest Rate Swaps | ||||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.02% (Upon termination) | 1/4/2027 | CITI | BRL | 15,744,748 | $(254,382) | $9,244 | $(263,626) | ||||||||
$(254,382) | $9,244 | $(263,626) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
2.85% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/3/2022 | BRL | 12,735,575 | $ 36,049 | $ (83) | $ 36,132 | |||||||
2.86% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/3/2022 | BRL | 22,364,364 | 63,280 | (495) | 63,775 | |||||||
Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 0.00% (Semiannually) | 3/15/2022 | JPY | 360,000,000 | 493 | (188) | 681 | |||||||
Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 0.00% (Semiannually) | 3/17/2022 | JPY | 111,000,000 | 153 | (56) | 209 | |||||||
Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 0.00% (Semiannually) | 3/19/2022 | JPY | 106,000,000 | 148 | (50) | 198 | |||||||
Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 0.00% (Semiannually) | 3/20/2022 | JPY | 489,200,000 | 683 | (231) | 914 | |||||||
Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 0.00% (Semiannually) | 4/7/2022 | JPY | 48,000,000 | 70 | (16) | 86 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.40% (Upon termination) | 1/2/2023 | BRL | 3,804,163 | 8,440 | (270) | 8,710 | |||||||
5.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 10,262,470 | 89,681 | — | 89,681 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 9/15/2023 | CNY | 40,686,015 | 33,338 | 26,478 | 6,860 | |||||||
3.97% (Upon termination) | U.S. CPI Urban Consumers (Upon termination) | 11/18/2023 | USD | 7,830,000 | (38,577) | (43,299) | 4,722 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.30% (Upon termination) | 1/2/2024 | BRL | 6,716,621 | 37,918 | 4,446 | 33,472 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 9.20% (Upon termination) | 1/2/2024 | BRL | 6,468,748 | (27,962) | (28,018) | 56 | |||||||
7.20% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 3/13/2024 | MXN | 90,910,000 | 28,562 | 1,286 | 27,276 | |||||||
1.50% (Quarterly) | 3-Month KWCDC (Quarterly) | 3/16/2024 | KRW | 2,647,119,417 | 14,781 | 7,206 | 7,575 | |||||||
1-Day SOFR (Annually) | 0.25% (Annually) | 3/16/2024 | USD | 5,470,000 | 67,019 | 52,743 | 14,276 | |||||||
3.15% (Annually) | 6-Month WIBOR (Semiannually) | 3/16/2024 | PLN | 4,849,069 | 21,052 | 881 | 20,171 | |||||||
3-Month STIBOR (Quarterly) | 0.50% (Annually) | 3/16/2024 | SEK | 78,110,000 | 21,404 | 18,730 | 2,674 | |||||||
1-Month LIBOR + 0.09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 41,780,000 | 11,355 | — | 11,355 | |||||||
6.32% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 5,365,429 | 96,351 | — | 96,351 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.75% (Quarterly) | 9/15/2026 | CNY | 11,648,207 | 31,905 | 11,937 | 19,968 | |||||||
2.95% (Upon termination) | U.S. CPI Urban Consumers (Upon termination) | 10/20/2026 | USD | 7,090,000 | 75,841 | (3,705) | 79,546 | |||||||
(0.18)% (Annually) | 1-Day ESTR (Annually) | 12/9/2026 | EUR | 24,160,000 | 106,369 | (2,127) | 108,496 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 12/15/2026 | CNY | 4,040,000 | 3,995 | (4,074) | 8,069 | |||||||
7.40% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 3/10/2027 | MXN | 25,340,000 | 4,970 | (6,096) | 11,066 | |||||||
(0.25)% (Annually) | 6-Month EURIBOR (Semiannually) | 3/16/2027 | EUR | 1,920,000 | 33,093 | 17,199 | 15,894 | |||||||
1.00% (Annually) | 1-Day SOFR (Annually) | 3/16/2027 | USD | 12,620,000 | 105,585 | 85,417 | 20,168 | |||||||
1-Day SONIA (Annually) | 0.50% (Annually) | 3/16/2027 | GBP | 3,240,000 | 121,418 | 83,253 | 38,165 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
3.25% (Annually) | 6-Month WIBOR (Semiannually) | 3/16/2027 | PLN | 5,175,000 | $ 31,222 | $ 17,001 | $ 14,221 | |||||||
0.71% (Annually) | 1-Day SOFR (Annually) | 5/15/2027 | USD | 22,990,000 | 418,968 | 24,706 | 394,262 | |||||||
0.02% (Annually) | 6-Month EURIBOR (Semiannually) | 12/13/2027 | EUR | 1,060,000 | 9,867 | 6,257 | 3,610 | |||||||
1.68% (Semiannually) | 3-Month CDOR (Semiannually) | 8/22/2028 | CAD | 11,720,000 | 134,944 | (12,022) | 146,966 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 3.00% (Semiannually) | 9/16/2031 | NZD | 2,830,000 | 20,923 | 17,904 | 3,019 | |||||||
1-Day SOFR (Annually) | 1.53% (Annually) | 9/22/2031 | USD | 9,100,000 | 5,019 | 1,015 | 4,004 | |||||||
3-Month CDOR (Semiannually) | 2.50% (Semiannually) | 10/14/2031 | CAD | 4,390,000 | 59,765 | 20,356 | 39,409 | |||||||
7.40% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 3/3/2032 | MXN | 7,720,000 | 4,984 | (1,059) | 6,043 | |||||||
0.00% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 3/16/2032 | JPY | 248,890,000 | 17,681 | 9,733 | 7,948 | |||||||
0.25% (Annually) | Swiss Average Overnight Rate (Annually) | 3/16/2032 | CHF | 2,840,000 | 41,584 | 41,190 | 394 | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 3/16/2032 | GBP | 6,200,000 | 168,996 | (47,814) | 216,810 | |||||||
1-Day SONIA (Annually) | 0.75% (Annually) | 3/16/2032 | GBP | 6,990,000 | 190,529 | (2,999) | 193,528 | |||||||
2.75% (Semiannually) | 3-Month New Zealand BBR FRA (Quarterly) | 3/16/2032 | NZD | 3,190,000 | (13,353) | (24,799) | 11,446 | |||||||
3.10% (Annually) | 6-Month WIBOR (Semiannually) | 3/16/2032 | PLN | 3,200,000 | 31,285 | (1,558) | 32,843 | |||||||
3-Month JIBAR (Quarterly) | 7.60% (Quarterly) | 3/16/2032 | ZAR | 8,700,000 | 1,644 | 400 | 1,244 | |||||||
1.00% (Annually) | 1-Day SONIA (Annually) | 3/17/2032 | GBP | 3,170,000 | (30,086) | (58,740) | 28,654 | |||||||
1.50% (Annually) | 1-Day SOFR (Annually) | 3/17/2032 | USD | 5,390,000 | 9,221 | 3,934 | 5,287 | |||||||
2.00% (Semiannually) | 3-Month CDOR (Semiannually) | 3/17/2032 | CAD | 2,230,000 | 12,099 | 9,789 | 2,310 | |||||||
6-Month ASX BBSW (Semiannually) | 2.00% (Semiannually) | 3/17/2032 | AUD | 1,220,000 | (13,909) | (15,487) | 1,578 | |||||||
1.63% (Annually) | 1-Day SOFR (Annually) | 9/22/2036 | USD | 10,960,000 | 23,411 | 3,371 | 20,040 | |||||||
0.75% (Annually) | 6-Month EURIBOR (Semiannually) | 11/26/2041 | EUR | 7,680,000 | 47,190 | (152,109) | 199,299 | |||||||
0.50% (Annually) | 6-Month EURIBOR (Semiannually) | 3/16/2042 | EUR | 130,000 | 1,623 | (4,820) | 6,443 | |||||||
0.56% (Annually) | 1-Day SOFR (Annually) | 7/20/2045 | USD | 5,310,000 | 976,958 | 70,079 | 906,879 | |||||||
0.74% (Annually) | 1-Day SOFR (Annually) | 8/19/2045 | USD | 3,610,000 | 533,614 | — | 533,614 | |||||||
1.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 2,807,000 | 436,561 | 24,617 | 411,944 | |||||||
1.20% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 1,621,000 | 182,558 | 8,929 | 173,629 | |||||||
1.23% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 905,000 | 97,113 | 1,039 | 96,074 | |||||||
1.52% (Annually) | 1-Day SOFR (Annually) | 2/15/2047 | USD | 3,222,000 | (41,012) | (44,743) | 3,731 | |||||||
1.60% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 1,769,000 | 47,682 | 9,710 | 37,972 | |||||||
1.63% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 4,153,000 | 93,523 | 23,910 | 69,613 | |||||||
1.67% (Semiannually) | 3-Month LIBOR (Quarterly) | 7/9/2051 | USD | 2,945,000 | 23,468 | (13,125) | 36,593 | |||||||
2.25% (Semiannually) | 3-Month CDOR (Semiannually) | 12/15/2051 | CAD | 2,230,000 | 65,852 | 21,657 | 44,195 | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 3/16/2052 | GBP | 8,200,000 | 248,911 | (143,996) | 392,907 | |||||||
1-Day SOFR (Annually) | 1.75% (Annually) | 3/16/2052 | USD | 1,260,000 | (87,581) | (108,128) | 20,547 | |||||||
Subtotal Appreciation | $4,698,668 | $ (94,934) | $4,793,602 | |||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.36% (Upon termination) | 1/3/2022 | BRL | 286,224,050 | $ (377,738) | $ 102,156 | $ (479,894) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.35% (Upon termination) | 1/3/2022 | BRL | 94,028,297 | (195,954) | 287 | (196,241) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.70% (Upon termination) | 1/3/2022 | BRL | 88,138,258 | (158,444) | (17,065) | (141,379) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.98% (Upon termination) | 1/3/2022 | BRL | 31,092,652 | (46,489) | — | (46,489) | |||||||
0.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/15/2022 | JPY | 360,000,000 | (1,292) | (572) | (720) | |||||||
0.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/17/2022 | JPY | 111,000,000 | (317) | (137) | (180) | |||||||
0.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2022 | JPY | 106,000,000 | (295) | (118) | (177) | |||||||
0.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/20/2022 | JPY | 489,200,000 | (1,350) | (547) | (803) | |||||||
0.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 4/7/2022 | JPY | 48,000,000 | (109) | (29) | (80) | |||||||
3-Month LIBOR (Quarterly) | 0.19% (Semiannually) | 6/15/2022 | USD | 21,256,000 | (9,302) | (96) | (9,206) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 12/15/2022 | NZD | 9,510,000 | $ (24,228) | $ (10,537) | $ (13,691) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.20% (Upon termination) | 1/2/2023 | BRL | 11,043,254 | (76,691) | 1,084 | (77,775) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 10.57% (Upon termination) | 1/2/2023 | BRL | 4,354,944 | (4,847) | — | (4,847) | |||||||
0.19% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 2/22/2023 | AUD | 86,990,000 | (204,652) | — | (204,652) | |||||||
11.81% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 651,161 | (2,380) | — | (2,380) | |||||||
11.91% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 671,833 | (2,532) | — | (2,532) | |||||||
12.19% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 902,976 | (4,372) | — | (4,372) | |||||||
3-Month JIBAR (Quarterly) | 5.65% (Quarterly) | 3/16/2024 | ZAR | 950,000 | (6) | 143 | (149) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 0.00% (Annually) | 3/17/2024 | JPY | 750,000,000 | 6,345 | 11,605 | (5,260) | |||||||
1-Day ESTR (Annually) | (0.30)% (Annually) | 12/9/2024 | EUR | 10,990,000 | (26,296) | 5,985 | (32,281) | |||||||
1.56% (Semiannually) | 3-Month CDOR (Semiannually) | 8/22/2025 | CAD | 14,710,000 | (122,362) | 6,882 | (129,244) | |||||||
U.S. CPI Urban Consumers (Upon termination) | 3.37% (Upon termination) | 11/18/2026 | USD | 7,830,000 | 95,243 | 122,847 | (27,604) | |||||||
1.52% (Annually) | 1-Day SOFR (Annually) | 11/20/2026 | USD | 8,910,000 | (38,483) | (21,341) | (17,142) | |||||||
1.75% (Semiannually) | 3-Month CDOR (Semiannually) | 3/16/2027 | CAD | 7,980,000 | 35,591 | 55,988 | (20,397) | |||||||
2.00% (Annually) | 6-Month NIBOR (Semiannually) | 3/16/2027 | NOK | 34,420,000 | (17,554) | (13,145) | (4,409) | |||||||
3-Month STIBOR (Quarterly) | 0.75% (Annually) | 3/16/2027 | SEK | 15,520,000 | 388 | 10,702 | (10,314) | |||||||
6-Month ASX BBSW (Semiannually) | 1.25% (Semiannually) | 3/16/2027 | AUD | 27,580,000 | (484,568) | (473,285) | (11,283) | |||||||
1.35% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2028 | USD | 22,903,000 | (3,440) | 18,658 | (22,098) | |||||||
1.13% (Annually) | 1-Day SOFR (Annually) | 8/15/2028 | USD | 13,722,000 | 55,978 | 99,593 | (43,615) | |||||||
1.22% (Annually) | 1-Day SOFR (Annually) | 8/15/2028 | USD | 5,885,000 | (10,186) | (380) | (9,806) | |||||||
1.20% (Annually) | 1-Day SOFR (Annually) | 11/1/2028 | USD | 4,580,000 | (7,957) | (267) | (7,690) | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.45% (Lunar) | 7/18/2029 | MXN | 165,770,000 | 667 | 68,837 | (68,170) | |||||||
2.13% (Annually) | 6-Month NIBOR (Semiannually) | 5/11/2031 | NOK | 32,920,000 | (29,972) | (28,398) | (1,574) | |||||||
3-Month KWCDC (Quarterly) | 1.75% (Quarterly) | 9/15/2031 | KRW | 755,700,000 | 5,852 | 20,560 | (14,708) | |||||||
1.73% (Annually) | 1-Day SOFR (Annually) | 10/20/2031 | USD | 7,100,000 | (69,381) | 27,966 | (97,347) | |||||||
U.S. CPI Urban Consumers (Upon termination) | 2.77% (Upon termination) | 10/20/2031 | USD | 7,090,000 | (66,881) | 6,104 | (72,985) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 11/26/2031 | EUR | 15,050,000 | (64,195) | 109,770 | (173,965) | |||||||
1-Day ESTR (Annually) | 0.14% (Annually) | 12/9/2031 | EUR | 4,330,000 | (52,320) | 3,138 | (55,458) | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 3/16/2032 | EUR | 3,070,000 | (27,095) | 24,553 | (51,648) | |||||||
1-Day SOFR (Annually) | 1.50% (Annually) | 3/16/2032 | USD | 3,160,000 | 45,826 | 61,684 | (15,858) | |||||||
3-Month CDOR (Semiannually) | 2.00% (Semiannually) | 3/16/2032 | CAD | 5,390,000 | 2,068 | 7,992 | (5,924) | |||||||
3-Month STIBOR (Quarterly) | 1.00% (Annually) | 3/16/2032 | SEK | 43,590,000 | 4,151 | 76,770 | (72,619) | |||||||
6-Month ASX BBSW (Semiannually) | 2.00% (Semiannually) | 3/16/2032 | AUD | 4,960,000 | (12,769) | 3,607 | (16,376) | |||||||
6-Month NIBOR (Semiannually) | 2.00% (Annually) | 3/16/2032 | NOK | 9,150,000 | 8,216 | 27,273 | (19,057) | |||||||
3-Month STIBOR (Quarterly) | 1.00% (Annually) | 3/17/2032 | SEK | 11,010,000 | (14,322) | (8,768) | (5,554) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 3/17/2032 | EUR | 8,890,000 | (54,016) | 12,732 | (66,748) | |||||||
3-Month CDOR (Semiannually) | 2.10% (Semiannually) | 12/18/2033 | CAD | 3,260,000 | (10,553) | 16,282 | (26,835) | |||||||
0.75% (Semiannually) | Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 3/20/2038 | JPY | 489,200,000 | (361,589) | 39,965 | (401,554) | |||||||
1.73% (Annually) | 1-Day SOFR (Annually) | 2/15/2047 | USD | 2,706,000 | (167,702) | — | (167,702) | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 1,226,000 | (71,974) | 17,824 | (89,798) | |||||||
0.54% (Semiannually) | Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 3/15/2051 | JPY | 138,000,000 | (15,021) | (4,284) | (10,737) | |||||||
0.56% (Semiannually) | Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 3/15/2051 | JPY | 222,000,000 | (34,245) | (2,942) | (31,303) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
0.35% (Semiannually) | Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 3/17/2051 | JPY | 111,000,000 | $ 39,053 | $ 58,150 | $ (19,097) | |||||||
0.57% (Semiannually) | Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 3/19/2051 | JPY | 106,000,000 | (19,951) | (1,022) | (18,929) | |||||||
0.57% (Semiannually) | Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 4/7/2051 | JPY | 48,000,000 | (9,055) | (364) | (8,691) | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/3/2051 | USD | 1,164,000 | (74,837) | 10,952 | (85,789) | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 9/21/2052 | GBP | 2,000,000 | 59,047 | 130,340 | (71,293) | |||||||
Subtotal Depreciation | $(2,619,297) | $577,132 | $(3,196,429) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at December 31, 2021 | $ 2,079,371 | $482,198 | $ 1,597,173 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 30,850,541 | $ — | $ 30,850,541 | $ — | |||
Asset-Backed Securities | 115,036,785 | — | 115,036,785 | — | |||
Certificates Of Deposit | 6,000,382 | — | 6,000,382 | — | |||
Commercial Paper | 16,698,190 | — | 16,698,190 | — | |||
Corporate Bonds | 684,139,561 | — | 683,758,183 | 381,378 | |||
Foreign Bonds | |||||||
Denmark | 5,578,448 | — | 4,678,337 | 900,111 | |||
Other | 296,010,872 | — | 296,010,872 | — | |||
Total Foreign Bonds | 301,589,320 | — | 300,689,209 | 900,111 | |||
Loan Agreements | 9,935,302 | — | 9,935,302 | — | |||
Money Market Funds | 163,157,914 | 163,157,914 | — | — | |||
Mortgage-Backed Securities | 583,449,900 | — | 583,449,900 | — | |||
Municipal Bonds | 11,377,655 | — | 11,377,655 | — | |||
Purchased Options: | |||||||
Call Options | 125,266 | 125,266 | — | — | |||
Put Options | 128,813 | 128,813 | — | — | |||
Total Purchased Options | 254,079 | 254,079 | — | — | |||
Repurchase Agreements | 166,900,000 | — | 166,900,000 | — | |||
U.S. Treasury Obligations | 538,372,401 | — | 538,372,401 | — | |||
Total Assets - Investments in Securities | $2,627,762,030 | $163,411,993 | $2,463,068,548 | $1,281,489 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 580,030 | $ — | $ 580,030 | $ — | |||
Futures Contracts | 2,238,727 | 2,238,727 | — | — | |||
Swap Agreements | 5,514,477 | — | 5,514,477 | — | |||
Total Assets - Other Financial Instruments | $ 8,333,234 | $ 2,238,727 | $ 6,094,507 | $ — |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
TBA Sale Commitments | $(64,070,311) | $ — | $(64,070,311) | $ — | |||
Written Options: | |||||||
Call Options | (108,406) | (101,181) | (7,225) | — | |||
Call Swaptions | (268,509) | — | (268,509) | — | |||
Put Options | (82,549) | (73,797) | (8,752) | — | |||
Put Swaptions | (468,840) | — | (468,840) | — | |||
Total Written Options | (928,304) | (174,978) | (753,326) | — | |||
Total Liabilities - Investments in Securities | $(64,998,615) | $ (174,978) | $(64,823,637) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (2,376,296) | $ — | $ (2,376,296) | $ — | |||
Futures Contracts | (2,723,413) | (2,723,413) | — | — | |||
Swap Agreements | (3,665,097) | — | (3,665,097) | — | |||
Total Liabilities - Other Financial Instruments | $ (8,764,806) | $(2,723,413) | $ (6,041,393) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
% | |
Foreign Bonds | 39.7 |
U.S. Treasury Obligations | 23.2 |
Corporate Bonds | 19.9 |
Money Market Funds | 7.4 |
Mortgage-Backed Securities | 5.2 |
Loan Agreements | 2.5 |
Asset-Backed Securities | 2.3 |
Mutual Funds | 1.1 |
Communication Services | 0.1 |
Financials | 0.1 |
Information Technology | 0.1 |
Industrials | —** |
Energy | —** |
Consumer Staples | —** |
Health Care | —** |
Utilities | —** |
Consumer Discretionary | —** |
Materials | —** |
Real Estate | —** |
Purchased Options | —** |
101.6 | |
**Rounds to less than 0.05% |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (2.31%) | (2.53%) | (3.22%) | ||||
Five Year | 3.37% | 3.10% | 3.59% | ||||
Ten Year | N/A | 3.50% | 3.40% | ||||
Since Inception(1) | 2.96% | 4.44% | 4.71% | ||||
Inception Date | 05/01/15 | 12/29/06 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(2) | 0.57% | 0.86% |
(1) | The Since Inception benchmark performance is based on the start date of December 29, 2006, which corresponds with the inception date of the Investor Class, the longest operating class of the Fund. |
(2) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Par | Value | |||
ASSET-BACKED SECURITIES — 2.3% | ||||
Aaset Trust, Series 2021-2A, Class A | ||||
2.80%, 01/15/47 144A | $ 250,000 | $ 249,122 | ||
AIMCO CLO 10, Ltd., Series 2019-10A, Class DR | ||||
(Floating, ICE LIBOR USD 3M + 2.90%, 2.90% Floor), 3.03%, 07/22/32 144A † | 1,000,000 | 1,003,634 | ||
American Credit Acceptance Receivables Trust, Series 2021-3, Class D | ||||
1.34%, 11/15/27 144A | 80,000 | 78,986 | ||
American Credit Acceptance Receivables Trust, Series 2021-4, Class D | ||||
1.82%, 02/14/28 144A | 105,000 | 103,723 | ||
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class D | ||||
1.21%, 12/18/26 | 55,000 | 54,322 | ||
Annisa CLO, Ltd., Series 2016-2A, Class DR | ||||
(Floating, ICE LIBOR USD 3M + 3.00%), 3.13%, 07/20/31 144A † | 500,000 | 494,665 | ||
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A | ||||
2.36%, 03/20/26 144A | 145,000 | 148,464 | ||
Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class A | ||||
1.38%, 08/20/27 144A | 770,000 | 757,980 | ||
Bravo Mortgage Asset Trust, Series 2006-1A, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.50%, 07/25/36 144A † | 630,000 | 607,068 | ||
Carvana Auto Receivables Trust, Series 2021-N3, Class C | ||||
1.02%, 06/12/28 | 55,000 | 54,305 | ||
Carvana Auto Receivables Trust, Series 2021-N4, Class C | ||||
1.72%, 09/11/28 | 20,000 | 20,044 | ||
Carvana Auto Receivables Trust, Series 2021-N4, Class D | ||||
2.30%, 09/11/28 | 50,000 | 50,099 | ||
Carvana Auto Receivables Trust, Series 2021-P3, Class C | ||||
1.93%, 10/12/27 | 50,000 | 49,289 | ||
Carvana Auto Receivables Trust, Series 2021-P4, Class C | ||||
2.33%, 02/10/28 | 25,000 | 25,054 | ||
CIFC Funding, Ltd., Series 2018-1A, Class D | ||||
(Floating, ICE LIBOR USD 3M + 2.65%), 2.77%, 04/18/31 144A † | 1,050,000 | 1,033,635 | ||
CIFC Funding, Ltd., Series 2018-2A, Class C | ||||
(Floating, ICE LIBOR USD 3M + 2.85%), 2.98%, 04/20/31 144A † | 250,000 | 248,799 |
Par | Value | |||
CLI Funding VIII LLC, Series 2021-1A, Class A | ||||
1.64%, 02/18/46 144A | $114,610 | $112,188 | ||
DB Master Finance LLC, Series 2021-1A, Class A2II | ||||
2.49%, 11/20/51 144A | 90,000 | 90,056 | ||
Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I | ||||
2.66%, 04/25/51 144A | 139,300 | 140,411 | ||
Drive Auto Receivables Trust, Series 2021-2, Class D | ||||
1.39%, 03/15/29 | 170,000 | 166,880 | ||
DT Auto Owner Trust, Series 2020-3A, Class C | ||||
1.47%, 06/15/26 144A | 210,000 | 210,612 | ||
DT Auto Owner Trust, Series 2021-2A, Class D | ||||
1.50%, 02/16/27 144A | 25,000 | 24,753 | ||
DT Auto Owner Trust, Series 2021-3A, Class D | ||||
1.31%, 05/17/27 144A | 165,000 | 161,481 | ||
DT Auto Owner Trust, Series 2021-4A, Class D | ||||
1.99%, 09/15/27 144A | 65,000 | 64,637 | ||
Exeter Automobile Receivables Trust, Series 2021-1A, Class D | ||||
1.08%, 11/16/26 | 70,000 | 69,194 | ||
Exeter Automobile Receivables Trust, Series 2021-3A, Class D | ||||
1.55%, 06/15/27 | 120,000 | 118,160 | ||
Flagship Credit Auto Trust, Series 2021-2, Class D | ||||
1.59%, 06/15/27 144A | 40,000 | 39,467 | ||
Flagship Credit Auto Trust, Series 2021-3, Class D | ||||
1.65%, 09/15/27 144A | 50,000 | 49,147 | ||
Ford Credit Auto Owner Trust, Series 2021-A, Class A3 | ||||
0.30%, 08/15/25 | 260,000 | 258,343 | ||
GLS Auto Receivables Issuer Trust, Series 2021-1A, Class D | ||||
1.68%, 01/15/27 144A | 175,000 | 174,095 | ||
GLS Auto Receivables Issuer Trust, Series 2021-3A, Class D | ||||
1.48%, 07/15/27 144A | 80,000 | 78,720 | ||
GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D | ||||
2.48%, 10/15/27 144A | 135,000 | 135,669 | ||
GLS Auto Receivables Trust, Series 2021-2A, Class D | ||||
1.42%, 04/15/27 144A | 65,000 | 64,000 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3 | ||||
0.35%, 10/16/25 | 95,000 | 94,426 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3 | ||||
0.51%, 04/16/26 | 195,000 | 193,702 |
Par | Value | |||
Honda Auto Receivables Owner Trust, Series 2021-1, Class A3 | ||||
0.27%, 04/21/25 | $155,000 | $154,197 | ||
Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1 | ||||
(Step to 6.44% on 06/27/22), 3.44%, 05/25/59 144A STEP | 66,274 | 66,376 | ||
MVW LLC, Series 2021-2A, Class C | ||||
2.23%, 05/20/39 144A | 130,000 | 129,531 | ||
Navient Private Education Refinancing Loan Trust, Series 2021-FA, Class B | ||||
2.12%, 02/18/70 144A | 100,000 | 98,444 | ||
Navient Student Loan Trust, Series 2018-EA, Class B | ||||
4.44%, 12/15/59 144A | 560,000 | 579,356 | ||
New Century Home Equity Loan Trust, Series 2003-6, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor, 12.50% Cap), 1.18%, 01/25/34† | 244,356 | 244,358 | ||
Octagon Investment Partners 35, Ltd., Series 2018-1A, Class C | ||||
(Floating, ICE LIBOR USD 3M + 2.60%, 2.60% Floor), 2.73%, 01/20/31 144A † | 250,000 | 247,064 | ||
PFCA Home Equity Investment Trust, Series 2003-IFC5, Class A | ||||
4.35%, 01/22/35 144A † γ | 399,734 | 408,239 | ||
Progress Residential, Series 2021-SFR3, Class E1 | ||||
2.54%, 05/17/26 144A | 20,000 | 19,720 | ||
Santander Drive Auto Receivables Trust, Series 2021-1, Class D | ||||
1.13%, 11/16/26 | 70,000 | 69,629 | ||
Santander Drive Auto Receivables Trust, Series 2021-2, Class D | ||||
1.35%, 07/15/27 | 85,000 | 84,572 | ||
Santander Drive Auto Receivables Trust, Series 2021-3, Class D | ||||
1.33%, 09/15/27 | 115,000 | 113,635 | ||
Santander Drive Auto Receivables Trust, Series 2021-4, Class D | ||||
1.67%, 10/15/27 | 75,000 | 74,582 | ||
Saxon Asset Securities Trust, Series 2006-3, Class A4 | ||||
(Floating, ICE LIBOR USD 1M + 0.24%, 0.24% Floor, 12.25% Cap), 0.34%, 10/25/46† | 600,000 | 556,827 | ||
Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C | ||||
3.12%, 05/20/36 144A | 30,570 | 30,885 | ||
S-Jets, Ltd., Series 2017-1, Class A | ||||
3.97%, 08/15/42 144A | 177,093 | 172,782 | ||
SLM Student Loan Trust, Series 2003-10A, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.67%), 0.87%, 12/17/68 144A † | 640,000 | 640,195 |
Par | Value | |||
SLM Student Loan Trust, Series 2003-4, Class A5E | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 0.95%, 03/15/33 144A † | $ 123,134 | $ 121,885 | ||
SLM Student Loan Trust, Series 2006-10, Class A6 | ||||
(Floating, ICE LIBOR USD 3M + 0.15%), 0.27%, 03/25/44† | 121,021 | 119,151 | ||
SMB Private Education Loan Trust, Seres 2021-A, Class A2A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.73%), 0.84%, 01/15/53 144A † | 100,000 | 100,545 | ||
SMB Private Education Loan Trust, Series 2021-A, Class A2B | ||||
1.59%, 01/15/53 144A | 240,000 | 238,077 | ||
SMB Private Education Loan Trust, Series 2021-E, Class B | ||||
2.49%, 02/15/51 144A | 100,000 | 100,260 | ||
Taco Bell Funding LLC, Series 2021-1A, Class A2II | ||||
2.29%, 08/25/51 144A | 110,000 | 109,166 | ||
Textainer Marine Containers VII, Ltd., Series 2021-1A, Class A | ||||
1.68%, 02/20/46 144A | 93,333 | 90,991 | ||
TIF Funding II LLC, Series 2021-1A, Class A | ||||
1.65%, 02/20/46 144A | 92,896 | 90,246 | ||
Towd Point Mortgage Trust, Series 2019-4, Class A1 | ||||
2.90%, 10/25/59 144A | 78,587 | 80,219 | ||
Toyota Auto Receivables Owner Trust, Series 2021-A, Class A2 | ||||
0.16%, 07/17/23 | 44,083 | 44,067 | ||
Trinitas CLO XII, Ltd., Series 2020-12A, Class D | ||||
(Floating, ICE LIBOR USD 3M + 4.00%, 4.00% Floor), 4.12%, 04/25/33 144A † | 1,250,000 | 1,259,145 | ||
Triton Container Finance VIII LLC, Series 2021-1A, Class A | ||||
1.86%, 03/20/46 144A | 121,712 | 119,508 | ||
VCAT LLC, Series 2021-NPL5, Class A1 | ||||
(Step to 5.87% on 09/25/25), 1.87%, 08/25/51 144A STEP | 96,887 | 95,627 | ||
VCAT LLC, Series 2021-NPL6, Class A1 | ||||
(Step to 4.92% on 10/25/24), 1.92%, 09/25/51 144A STEP | 150,358 | 150,045 | ||
VOLT XCIII LLC, Series 2021-NPL2, Class A1 | ||||
(Step to 4.89% on 02/25/24), 1.89%, 02/27/51 144A STEP | 76,308 | 75,775 | ||
VOLT XCIV LLC, Series 2021-NPL3, Class A1 | ||||
(Step to 5.24% on 02/25/24), 2.24%, 02/27/51 144A STEP | 64,839 | 64,557 |
Par | Value | |||
VOLT XCVII LLC, Series 2021-NPL6, Class A1 | ||||
(Step to 5.24% on 04/25/24), 2.24%, 04/25/51 144A STEP | $ 95,890 | $ 95,411 | ||
Wendy's Funding LLC, Series 2021-1A, Class A2I | ||||
2.37%, 06/15/51 144A | 59,700 | 58,564 | ||
Westlake Automobile Receivables Trust, Series 2021-1A, Class D | ||||
1.23%, 04/15/26 144A | 140,000 | 138,491 | ||
Westlake Automobile Receivables Trust, Series 2021-2A, Class D | ||||
1.23%, 12/15/26 144A | 65,000 | 64,018 | ||
Total Asset-Backed Securities (Cost $14,149,603) | 14,131,270 | |||
CORPORATE BONDS — 19.9% | ||||
Air Lease Corporation | ||||
0.70%, 02/15/24 | 380,000 | 374,223 | ||
2.30%, 02/01/25 | 305,000 | 309,543 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.08%), 4.65%, 06/15/26ρ Δ ^ | 120,000 | 124,650 | ||
4.63%, 10/01/28 | 50,000 | 55,257 | ||
3.00%, 02/01/30 | 30,000 | 30,006 | ||
3.13%, 12/01/30 | 25,000 | 25,566 | ||
Allied Universal Holdco LLC | ||||
6.00%, 06/01/29 144A Δ | 270,000 | 262,984 | ||
Ally Financial, Inc. | ||||
5.13%, 09/30/24 | 465,000 | 508,524 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.87%), 4.70%, 05/15/26ρ ^ | 140,000 | 145,688 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 7Y + 3.48%), 4.70%, 05/15/28ρ Δ ^ | 125,000 | 129,163 | ||
2.20%, 11/02/28 | 50,000 | 49,752 | ||
8.00%, 11/01/31 | 175,000 | 248,268 | ||
Amazon.com, Inc. | ||||
0.45%, 05/12/24 | 595,000 | 589,588 | ||
3.88%, 08/22/37 | 620,000 | 730,883 | ||
4.25%, 08/22/57 | 190,000 | 245,001 | ||
AMC Networks, Inc. | ||||
4.25%, 02/15/29 | 55,000 | 54,756 | ||
American Airlines Group, Inc. | ||||
5.00%, 06/01/22 144A Δ | 90,000 | 90,300 | ||
3.75%, 03/01/25 144A Δ | 5,000 | 4,680 | ||
American Airlines Pass-Through Trust, Series 2016-3, Class B | ||||
3.75%, 10/15/25 | 193,940 | 186,209 | ||
American Airlines Pass-Through Trust, Series 2017-2, Class B | ||||
3.70%, 10/15/25 | 77,535 | 74,917 | ||
American Airlines, Inc. | ||||
5.50%, 04/20/26 144A | 810,000 | 843,558 | ||
5.75%, 04/20/29 144A | 780,000 | 834,307 | ||
American Homes 4 Rent LP REIT | ||||
2.38%, 07/15/31 | 20,000 | 19,659 |
Par | Value | |||
Apple, Inc. | ||||
4.65%, 02/23/46 | $ 145,000 | $ 191,254 | ||
Aramark International Finance S.a.r.l. | ||||
3.13%, 04/01/25(E) | 284,000 | 326,581 | ||
Ares Capital Corporation | ||||
2.88%, 06/15/28 | 365,000 | 364,599 | ||
3.20%, 11/15/31 | 155,000 | 152,739 | ||
AT&T, Inc. | ||||
0.25%, 03/04/26(E) | 650,000 | 738,597 | ||
3.65%, 06/01/51 | 315,000 | 328,153 | ||
Athene Global Funding | ||||
1.61%, 06/29/26 144A | 110,000 | 108,146 | ||
Avantor Funding, Inc. | ||||
3.88%, 11/01/29 144A Δ | 60,000 | 60,741 | ||
Aviation Capital Group LLC | ||||
1.95%, 01/30/26 144A | 50,000 | 48,843 | ||
Avon Products, Inc. | ||||
8.45%, 03/15/43 | 60,000 | 73,884 | ||
Bank of America Corporation | ||||
1.38%, 03/26/25(E) | 595,000 | 705,934 | ||
4.25%, 10/22/26 | 55,000 | 60,763 | ||
(Variable, ICE LIBOR USD 3M + 1.51%), 3.71%, 04/24/28^ | 250,000 | 271,679 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 435,000 | 465,061 | ||
(Variable, ICE LIBOR USD 3M + 0.99%), 2.50%, 02/13/31^ | 155,000 | 155,715 | ||
(Variable, U.S. SOFR + 1.37%), 1.92%, 10/24/31^ | 360,000 | 345,998 | ||
(Variable, U.S. SOFR + 1.58%), 3.31%, 04/22/42^ | 1,860,000 | 1,964,080 | ||
(Variable, ICE LIBOR USD 3M + 3.15%), 4.08%, 03/20/51^ | 170,000 | 205,487 | ||
Barings BDC, Inc. | ||||
3.30%, 11/23/26 144A | 75,000 | 74,265 | ||
Bausch Health Americas, Inc. | ||||
9.25%, 04/01/26 144A | 500,000 | 528,742 | ||
8.50%, 01/31/27 144A | 50,000 | 52,572 | ||
BioMarin Pharmaceutical, Inc. | ||||
0.60%, 08/01/24 CONV | 80,000 | 83,848 | ||
1.25%, 05/15/27 CONV | 235,000 | 246,303 | ||
Blackstone Secured Lending Fund | ||||
2.13%, 02/15/27 144A | 190,000 | 185,167 | ||
Block, Inc. | ||||
3.50%, 06/01/31 144A | 65,000 | 66,737 | ||
Boeing Co. (The) | ||||
4.88%, 05/01/25 | 690,000 | 755,796 | ||
2.20%, 02/04/26 | 280,000 | 280,073 | ||
3.10%, 05/01/26 | 30,000 | 31,305 | ||
3.63%, 03/01/48 | 5,000 | 4,994 | ||
3.85%, 11/01/48 | 35,000 | 36,666 | ||
3.75%, 02/01/50Δ | 425,000 | 444,476 | ||
5.81%, 05/01/50 | 365,000 | 496,802 | ||
3.83%, 03/01/59 | 185,000 | 187,661 | ||
Braskem America Finance Co. | ||||
7.13%, 07/22/41 | 2,440,000 | 3,159,178 |
Par | Value | |||
Brighthouse Financial, Inc. | ||||
5.63%, 05/15/30 | $375,000 | $ 448,347 | ||
Brixmor Operating Partnership LP REIT | ||||
2.25%, 04/01/28 | 15,000 | 14,957 | ||
Broadcom, Inc. | ||||
2.60%, 02/15/33 144A | 385,000 | 376,337 | ||
Carnival Corporation | ||||
5.75%, 03/01/27 144A | 120,000 | 120,180 | ||
6.00%, 05/01/29 144A Δ | 45,000 | 44,864 | ||
Carvana Co. | ||||
5.63%, 10/01/25 144A | 35,000 | 35,044 | ||
5.50%, 04/15/27 144A | 50,000 | 49,553 | ||
5.88%, 10/01/28 144A | 55,000 | 54,871 | ||
Caterpillar Financial Services Corporation | ||||
0.45%, 05/17/24Δ | 595,000 | 588,055 | ||
CCO Holdings LLC | ||||
4.50%, 08/15/30 144A | 650,000 | 666,403 | ||
4.25%, 01/15/34 144A | 405,000 | 399,183 | ||
CDW LLC | ||||
3.57%, 12/01/31 | 220,000 | 229,212 | ||
Centene Corporation | ||||
4.63%, 12/15/29 | 700,000 | 756,133 | ||
3.00%, 10/15/30 | 25,000 | 25,456 | ||
2.50%, 03/01/31 | 215,000 | 209,664 | ||
2.63%, 08/01/31 | 100,000 | 98,167 | ||
Charter Communications Operating LLC | ||||
3.50%, 06/01/41 | 370,000 | 362,391 | ||
6.48%, 10/23/45 | 210,000 | 288,205 | ||
5.75%, 04/01/48 | 890,000 | 1,115,755 | ||
4.80%, 03/01/50 | 335,000 | 377,233 | ||
3.70%, 04/01/51 | 150,000 | 145,936 | ||
3.90%, 06/01/52 | 135,000 | 136,127 | ||
3.85%, 04/01/61 | 270,000 | 256,413 | ||
4.40%, 12/01/61 | 260,000 | 270,686 | ||
3.95%, 06/30/62 | 245,000 | 237,595 | ||
Cigna Corporation | ||||
4.80%, 08/15/38 | 280,000 | 345,825 | ||
3.20%, 03/15/40 | 150,000 | 155,610 | ||
3.40%, 03/15/50 | 260,000 | 272,530 | ||
CIT Group, Inc. | ||||
5.25%, 03/07/25 | 540,000 | 595,504 | ||
Citigroup, Inc. | ||||
3.50%, 05/15/23 | 655,000 | 677,404 | ||
(Variable, ICE LIBOR USD 3M + 3.42%), 6.30%, 05/15/24ρ ^ | 690,000 | 724,935 | ||
(Variable, ICE LIBOR USD 3M + 0.90%), 3.35%, 04/24/25^ | 350,000 | 365,710 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25ρ ^ | 100,000 | 107,250 | ||
(Variable, ICE LIBOR USD 3M + 1.56%), 3.89%, 01/10/28^ | 135,000 | 146,530 | ||
(Variable, ICE LIBOR USD 3M + 1.15%), 3.52%, 10/27/28^ | 200,000 | 214,848 | ||
(Variable, U.S. SOFR + 1.42%), 2.98%, 11/05/30^ | 210,000 | 218,504 |
Par | Value | |||
CME Group, Inc. | ||||
5.30%, 09/15/43 | $ 620,000 | $ 866,024 | ||
Comcast Corporation | ||||
2.94%, 11/01/56 144A | 801,000 | 768,436 | ||
2.99%, 11/01/63 144A | 307,000 | 293,432 | ||
CommScope, Inc. | ||||
4.75%, 09/01/29 144A | 240,000 | 238,933 | ||
Comstock Resources, Inc. | ||||
7.50%, 05/15/25 144A | 93,000 | 96,322 | ||
ConocoPhillips | ||||
6.50%, 02/01/39 | 10,000 | 14,585 | ||
Continental Resources, Inc. | ||||
5.75%, 01/15/31 144A | 190,000 | 224,067 | ||
2.88%, 04/01/32 144A Δ | 25,000 | 24,492 | ||
4.90%, 06/01/44 | 270,000 | 299,668 | ||
Corporate Office Properties LP REIT | ||||
2.75%, 04/15/31 | 20,000 | 19,929 | ||
Crown Castle International Corporation REIT | ||||
1.05%, 07/15/26 | 385,000 | 372,407 | ||
2.50%, 07/15/31 | 185,000 | 184,046 | ||
CVS Health Corporation | ||||
4.13%, 04/01/40 | 105,000 | 121,104 | ||
5.05%, 03/25/48 | 295,000 | 387,635 | ||
4.25%, 04/01/50Δ | 210,000 | 255,412 | ||
DCP Midstream Operating LP | ||||
5.13%, 05/15/29 | 20,000 | 22,628 | ||
3.25%, 02/15/32Δ | 135,000 | 136,231 | ||
6.75%, 09/15/37 144A Δ | 500,000 | 669,512 | ||
Dell International LLC | ||||
5.45%, 06/15/23 | 153,000 | 161,465 | ||
5.30%, 10/01/29 | 365,000 | 428,644 | ||
8.10%, 07/15/36 | 122,000 | 186,167 | ||
8.35%, 07/15/46 | 31,000 | 51,789 | ||
Delta Air Lines, Inc. | ||||
2.90%, 10/28/24Δ | 30,000 | 30,613 | ||
7.00%, 05/01/25 144A | 50,000 | 57,237 | ||
4.50%, 10/20/25 144A | 350,000 | 368,183 | ||
7.38%, 01/15/26Δ | 330,000 | 388,813 | ||
4.75%, 10/20/28 144A | 1,300,000 | 1,421,516 | ||
Devon Energy Corporation | ||||
5.88%, 06/15/28 144A | 384,000 | 416,063 | ||
Diamondback Energy, Inc. | ||||
3.13%, 03/24/31 | 45,000 | 46,476 | ||
Digital Euro Finco LLC REIT | ||||
1.13%, 04/09/28(E) | 305,000 | 352,634 | ||
Dillard's, Inc. | ||||
7.75%, 07/15/26 | 450,000 | 537,855 | ||
Directv Financing LLC | ||||
5.88%, 08/15/27 144A | 1,370,000 | 1,404,003 | ||
Discovery Communications LLC | ||||
3.63%, 05/15/30 | 125,000 | 133,908 | ||
DISH DBS Corporation | ||||
5.88%, 11/15/24 | 1,065,000 | 1,094,437 | ||
7.75%, 07/01/26 | 1,545,000 | 1,631,983 | ||
5.75%, 12/01/28 144A | 770,000 | 779,144 |
Par | Value | |||
5.13%, 06/01/29 | $ 90,000 | $ 82,046 | ||
DISH Network Corporation | ||||
2.38%, 03/15/24 CONV | 900,000 | 865,125 | ||
3.38%, 08/15/26 CONV | 565,000 | 536,215 | ||
DTE Energy Co. | ||||
3.40%, 06/15/29 | 142,000 | 150,471 | ||
Duke Energy Corporation | ||||
2.55%, 06/15/31 | 295,000 | 295,928 | ||
Edison International | ||||
4.95%, 04/15/25 | 35,000 | 38,110 | ||
El Paso Natural Gas Co. LLC | ||||
8.63%, 01/15/22 | 60,000 | 60,146 | ||
8.38%, 06/15/32 | 50,000 | 71,882 | ||
Encore Capital Group, Inc. | ||||
4.88%, 10/15/25(E) | 500,000 | 595,023 | ||
Endeavor Energy Resources LP | ||||
5.75%, 01/30/28 144A | 230,000 | 244,004 | ||
Energy Transfer LP | ||||
5.00%, 10/01/22 | 60,000 | 61,201 | ||
4.50%, 11/01/23 | 500,000 | 524,022 | ||
7.60%, 02/01/24 | 220,000 | 242,012 | ||
Enterprise Products Operating LLC | ||||
5.10%, 02/15/45 | 600,000 | 743,720 | ||
4.80%, 02/01/49 | 290,000 | 354,977 | ||
EOG Resources, Inc. | ||||
4.38%, 04/15/30Δ | 100,000 | 115,782 | ||
EPR Properties REIT | ||||
3.75%, 08/15/29 | 230,000 | 232,563 | ||
3.60%, 11/15/31 | 340,000 | 337,126 | ||
EQT Corporation | ||||
3.13%, 05/15/26 144A | 10,000 | 10,278 | ||
3.90%, 10/01/27 | 30,000 | 32,250 | ||
5.00%, 01/15/29 | 850,000 | 942,586 | ||
3.63%, 05/15/31 144A Δ | 105,000 | 109,101 | ||
ERAC U.S.A. Finance LLC | ||||
7.00%, 10/15/37 144A | 535,000 | 791,213 | ||
Expedia Group, Inc. | ||||
0.00%, 02/15/26 144A Ω CONV Δ | 5,000 | 5,778 | ||
2.95%, 03/15/31 | 440,000 | 440,316 | ||
Exxon Mobil Corporation | ||||
4.33%, 03/19/50 | 300,000 | 370,591 | ||
3.45%, 04/15/51 | 340,000 | 370,664 | ||
Fidelity & Guaranty Life Holdings, Inc. | ||||
5.50%, 05/01/25 144A | 430,000 | 480,831 | ||
Fidelity National Information Services, Inc. | ||||
1.00%, 12/03/28(E) | 300,000 | 347,872 | ||
FirstEnergy Corporation | ||||
7.38%, 11/15/31 | 630,000 | 851,697 | ||
Fiserv, Inc. | ||||
1.63%, 07/01/30(E) | 290,000 | 349,769 | ||
Ford Motor Co. | ||||
6.63%, 10/01/28 | 75,000 | 90,291 | ||
3.25%, 02/12/32 | 1,050,000 | 1,077,300 | ||
4.75%, 01/15/43 | 190,000 | 210,050 |
Par | Value | |||
Ford Motor Credit Co. LLC | ||||
2.75%, 06/14/24(U) | $ 460,000 | $ 627,619 | ||
3.82%, 11/02/27 | 400,000 | 423,498 | ||
4.00%, 11/13/30 | 850,000 | 915,900 | ||
Fox Corporation | ||||
5.58%, 01/25/49 | 215,000 | 295,109 | ||
Freeport-McMoRan, Inc. | ||||
5.40%, 11/14/34Δ | 230,000 | 280,349 | ||
Fresenius Medical Care U.S. Finance II, Inc. | ||||
5.88%, 01/31/22 144A | 540,000 | 541,932 | ||
FS KKR Capital Corporation | ||||
3.40%, 01/15/26 | 75,000 | 76,271 | ||
3.13%, 10/12/28 | 100,000 | 99,658 | ||
GE Capital Funding LLC | ||||
4.55%, 05/15/32 | 1,390,000 | 1,647,431 | ||
General Dynamics Corporation | ||||
4.25%, 04/01/40 | 190,000 | 233,051 | ||
4.25%, 04/01/50 | 460,000 | 590,281 | ||
General Electric Co. | ||||
6.75%, 03/15/32 | 11,000 | 15,036 | ||
General Motors Co. | ||||
5.40%, 10/02/23 | 360,000 | 385,530 | ||
6.13%, 10/01/25 | 250,000 | 287,554 | ||
6.25%, 10/02/43 | 85,000 | 116,875 | ||
5.20%, 04/01/45 | 255,000 | 317,172 | ||
General Motors Financial Co., Inc. | ||||
0.96%, 09/07/23(E) | 415,000 | 480,034 | ||
1.05%, 03/08/24 | 75,000 | 74,659 | ||
5.25%, 03/01/26 | 315,000 | 353,738 | ||
(Variable, ICE LIBOR USD 3M + 3.60%), 5.75%, 09/30/27ρ ^ | 5,000 | 5,363 | ||
3.60%, 06/21/30 | 275,000 | 293,891 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.00%), 5.70%, 09/30/30ρ ^ | 10,000 | 11,438 | ||
GEO Group, Inc. (The) REIT | ||||
5.88%, 10/15/24 | 290,000 | 256,734 | ||
Georgia-Pacific LLC | ||||
8.88%, 05/15/31 | 305,000 | 473,019 | ||
Gilead Sciences, Inc. | ||||
4.00%, 09/01/36 | 670,000 | 773,121 | ||
Glencore Funding LLC | ||||
2.85%, 04/27/31 144A | 450,000 | 445,781 | ||
Go Daddy Operating Co. LLC | ||||
3.50%, 03/01/29 144A | 105,000 | 104,307 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 02/10/22† ρ | 40,000 | 39,300 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Variable, ICE LIBOR USD 3M + 1.20%), 3.27%, 09/29/25^ | 420,000 | 441,049 | ||
(Variable, U.S. SOFR + 0.79%), 1.09%, 12/09/26Δ ^ | 360,000 | 351,169 | ||
(Variable, ICE LIBOR USD 3M + 1.51%), 3.69%, 06/05/28^ | 225,000 | 242,627 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 265,000 | 288,711 |
Par | Value | |||
(Variable, U.S. SOFR + 1.28%), 2.62%, 04/22/32^ | $220,000 | $222,064 | ||
6.75%, 10/01/37 | 180,000 | 256,175 | ||
(Variable, ICE LIBOR USD 3M + 1.37%), 4.02%, 10/31/38^ | 160,000 | 183,749 | ||
5.15%, 05/22/45 | 580,000 | 757,908 | ||
Hanesbrands, Inc. | ||||
4.63%, 05/15/24 144A | 110,000 | 115,310 | ||
4.88%, 05/15/26 144A | 560,000 | 599,197 | ||
HCA, Inc. | ||||
5.38%, 02/01/25 | 20,000 | 22,006 | ||
5.38%, 09/01/26 | 18,000 | 20,251 | ||
3.50%, 09/01/30 | 50,000 | 52,944 | ||
5.25%, 06/15/49 | 170,000 | 219,462 | ||
Hercules LLC | ||||
6.50%, 06/30/29 | 130,000 | 146,239 | ||
Hess Midstream Operations LP | ||||
4.25%, 02/15/30 144A | 30,000 | 29,826 | ||
Hilton Domestic Operating Co., Inc. | ||||
3.63%, 02/15/32 144A | 75,000 | 74,730 | ||
Hilton Grand Vacations Borrower Escrow LLC | ||||
5.00%, 06/01/29 144A | 60,000 | 61,593 | ||
4.88%, 07/01/31 144A | 20,000 | 20,030 | ||
Hilton Worldwide Finance LLC | ||||
4.88%, 04/01/27 | 520,000 | 536,120 | ||
Icahn Enterprises LP | ||||
5.25%, 05/15/27 | 5,000 | 5,144 | ||
4.38%, 02/01/29 | 280,000 | 273,424 | ||
Ideal Standard International SA | ||||
6.38%, 07/30/26(E) 144A | 840,000 | 858,315 | ||
Ionis Pharmaceuticals, Inc. | ||||
0.00%, 04/01/26 144A Ω CONV | 55,000 | 48,642 | ||
Jabil, Inc. | ||||
1.70%, 04/15/26 | 85,000 | 84,893 | ||
JBS U.S.A. LUX SA | ||||
3.75%, 12/01/31 144A | 50,000 | 50,822 | ||
Jefferies Group LLC | ||||
6.25%, 01/15/36 | 570,000 | 757,873 | ||
6.50%, 01/20/43 | 260,000 | 360,723 | ||
JELD-WEN, Inc. | ||||
4.88%, 12/15/27 144A Δ | 380,000 | 390,078 | ||
JetBlue Airways Corporation | ||||
0.50%, 04/01/26 144A CONV | 40,000 | 37,489 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.33%), 6.13%, 04/30/24ρ ^ | 190,000 | 202,825 | ||
(Variable, U.S. SOFR + 0.89%), 1.58%, 04/22/27^ | 110,000 | 108,820 | ||
(Variable, Euribor 3M + 0.84%), 1.64%, 05/18/28(E) ^ | 250,000 | 301,567 | ||
(Variable, U.S. SOFR + 2.04%), 2.52%, 04/22/31^ | 510,000 | 516,556 | ||
(Variable, U.S. SOFR + 2.52%), 2.96%, 05/13/31^ | 285,000 | 295,695 | ||
(Variable, U.S. SOFR + 2.46%), 3.11%, 04/22/41^ | 250,000 | 260,154 | ||
(Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | 460,000 | 478,412 |
Par | Value | |||
(Variable, U.S. SOFR + 1.58%), 3.33%, 04/22/52^ | $1,880,000 | $2,024,473 | ||
Kinder Morgan Energy Partners LP | ||||
6.50%, 02/01/37 | 40,000 | 53,099 | ||
6.95%, 01/15/38 | 50,000 | 69,445 | ||
Kinder Morgan, Inc. | ||||
7.75%, 01/15/32 | 560,000 | 788,445 | ||
5.55%, 06/01/45 | 310,000 | 393,963 | ||
Kraft Heinz Foods Co. | ||||
4.38%, 06/01/46 | 515,000 | 605,231 | ||
Legacy LifePoint Health LLC | ||||
4.38%, 02/15/27 144A | 230,000 | 231,971 | ||
Lennar Corporation | ||||
4.75%, 11/29/27Δ | 1,045,000 | 1,185,166 | ||
Lithia Motors, Inc. | ||||
3.88%, 06/01/29 144A | 45,000 | 46,014 | ||
Livongo Health, Inc. | ||||
0.88%, 06/01/25 CONV | 35,000 | 40,065 | ||
Lumen Technologies, Inc. | ||||
5.63%, 04/01/25 | 50,000 | 52,945 | ||
Marathon Petroleum Corporation | ||||
4.70%, 05/01/25 | 380,000 | 415,039 | ||
Marriott International, Inc. | ||||
2.85%, 04/15/31 | 75,000 | 74,932 | ||
Marriott Ownership Resorts, Inc. | ||||
4.50%, 06/15/29 144A | 45,000 | 45,367 | ||
Marvell Technology, Inc. | ||||
2.45%, 04/15/28 | 70,000 | 71,106 | ||
2.95%, 04/15/31 | 60,000 | 61,267 | ||
Masco Corporation | ||||
7.75%, 08/01/29 | 62,000 | 83,086 | ||
6.50%, 08/15/32 | 27,000 | 35,861 | ||
Match Group Holdings II LLC | ||||
5.00%, 12/15/27 144A | 560,000 | 583,198 | ||
MBIA Insurance Corporation | ||||
11.38%, 01/15/33 144A # | 215,000 | 26,338 | ||
McDonald’s Corporation | ||||
4.20%, 04/01/50 | 300,000 | 365,398 | ||
Microchip Technology, Inc. | ||||
0.98%, 09/01/24 144A | 105,000 | 103,154 | ||
Micron Technology, Inc. | ||||
2.70%, 04/15/32 | 215,000 | 215,615 | ||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | 375,000 | 400,877 | ||
MMS U.S.A. Holdings, Inc. | ||||
1.75%, 06/13/31(E) Δ | 500,000 | 610,159 | ||
Molina Healthcare, Inc. | ||||
3.88%, 05/15/32 144A | 50,000 | 50,394 | ||
Morgan Stanley | ||||
4.10%, 05/22/23 | 190,000 | 197,939 | ||
(Variable, U.S. SOFR + 0.51%), 0.79%, 01/22/25^ | 510,000 | 505,127 | ||
6.25%, 08/09/26 | 205,000 | 244,662 | ||
4.35%, 09/08/26 | 475,000 | 525,318 | ||
3.63%, 01/20/27 | 250,000 | 271,393 | ||
3.95%, 04/23/27 | 65,000 | 71,570 |
Par | Value | |||
(Variable, U.S. SOFR + 1.14%), 2.70%, 01/22/31^ | $ 315,000 | $ 322,926 | ||
(Variable, U.S. SOFR + 4.84%), 5.60%, 03/24/51^ | 230,000 | 345,575 | ||
MPLX LP | ||||
4.50%, 07/15/23Δ | 20,000 | 20,829 | ||
4.88%, 06/01/25 | 40,000 | 43,818 | ||
4.70%, 04/15/48 | 105,000 | 121,838 | ||
MPT Operating Partnership LP REIT | ||||
2.55%, 12/05/23(U) | 350,000 | 480,047 | ||
4.63%, 08/01/29 | 240,000 | 253,615 | ||
3.50%, 03/15/31 | 1,000,000 | 1,012,790 | ||
Murphy Oil U.S.A., Inc. | ||||
3.75%, 02/15/31 144A | 25,000 | 24,880 | ||
Mutual of Omaha Insurance Co. | ||||
6.80%, 06/15/36 144A | 605,000 | 817,481 | ||
Mylan, Inc. | ||||
4.55%, 04/15/28 | 225,000 | 252,244 | ||
Navient Corporation | ||||
6.75%, 06/15/26Δ | 150,000 | 165,965 | ||
5.00%, 03/15/27 | 5,000 | 5,101 | ||
5.63%, 08/01/33 | 10,000 | 9,539 | ||
NCL Corporation, Ltd. | ||||
5.88%, 03/15/26 144A | 65,000 | 64,797 | ||
1.13%, 02/15/27 144A CONV | 155,000 | 145,902 | ||
NCL Finance, Ltd. | ||||
6.13%, 03/15/28 144A | 25,000 | 24,667 | ||
Netflix, Inc. | ||||
4.88%, 04/15/28 | 20,000 | 22,835 | ||
5.88%, 11/15/28 | 60,000 | 72,251 | ||
6.38%, 05/15/29 | 75,000 | 93,305 | ||
5.38%, 11/15/29 144A | 5,000 | 5,946 | ||
4.88%, 06/15/30 144A | 105,000 | 122,637 | ||
Newell Brands, Inc. | ||||
4.35%, 04/01/23 | 320,000 | 330,000 | ||
NGPL PipeCo LLC | ||||
7.77%, 12/15/37 144A | 200,000 | 281,507 | ||
NVIDIA Corporation | ||||
3.70%, 04/01/60 | 280,000 | 337,220 | ||
Occidental Petroleum Corporation | ||||
3.20%, 08/15/26 | 275,000 | 283,682 | ||
3.50%, 08/15/29Δ | 280,000 | 287,750 | ||
4.50%, 07/15/44 | 110,000 | 113,467 | ||
4.63%, 06/15/45 | 5,000 | 5,195 | ||
4.10%, 02/15/47 | 15,000 | 14,723 | ||
4.20%, 03/15/48 | 20,000 | 20,032 | ||
OneMain Finance Corporation | ||||
6.88%, 03/15/25 | 125,000 | 139,221 | ||
ONEOK Partners LP | ||||
4.90%, 03/15/25 | 35,000 | 38,166 | ||
Open Text Holdings, Inc. | ||||
4.13%, 02/15/30 144A | 300,000 | 309,462 | ||
Oracle Corporation | ||||
4.00%, 07/15/46 | 205,000 | 213,986 | ||
3.95%, 03/25/51 | 70,000 | 73,062 | ||
Ovintiv, Inc. | ||||
8.13%, 09/15/30 | 15,000 | 19,986 |
Par | Value | |||
7.20%, 11/01/31 | $ 5,000 | $ 6,499 | ||
7.38%, 11/01/31 | 5,000 | 6,532 | ||
6.50%, 08/15/34Δ | 90,000 | 116,115 | ||
6.63%, 08/15/37 | 30,000 | 39,404 | ||
6.50%, 02/01/38 | 5,000 | 6,509 | ||
Owens Corning | ||||
7.00%, 12/01/36 | 523,000 | 740,785 | ||
Owl Rock Capital Corporation | ||||
4.25%, 01/15/26 | 265,000 | 279,064 | ||
2.88%, 06/11/28 | 120,000 | 117,978 | ||
Owl Rock Technology Finance Corporation | ||||
4.75%, 12/15/25 144A | 265,000 | 282,436 | ||
Pacific Gas and Electric Co. | ||||
3.25%, 06/01/31 | 160,000 | 160,870 | ||
3.30%, 08/01/40 | 120,000 | 111,785 | ||
4.30%, 03/15/45 | 255,000 | 259,185 | ||
Palo Alto Networks, Inc. | ||||
0.38%, 06/01/25 CONV | 120,000 | 227,928 | ||
Peloton Interactive, Inc. | ||||
0.62%, 02/15/26 144A Ω CONV | 60,000 | 51,150 | ||
Penn Mutual Life Insurance Co. (The) | ||||
7.63%, 06/15/40 144A | 345,000 | 509,021 | ||
Pilgrim's Pride Corporation | ||||
4.25%, 04/15/31 144A | 10,000 | 10,515 | ||
3.50%, 03/01/32 144A Δ | 140,000 | 141,632 | ||
Plains All American Pipeline LP | ||||
4.65%, 10/15/25 | 230,000 | 251,187 | ||
3.55%, 12/15/29 | 200,000 | 207,595 | ||
PLT VII Finance S.a.r.l. | ||||
4.63%, 01/05/26(E) | 265,000 | 308,850 | ||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | 610,000 | 649,760 | ||
PulteGroup, Inc. | ||||
6.00%, 02/15/35 | 95,000 | 122,346 | ||
Radiology Partners, Inc. | ||||
9.25%, 02/01/28 144A | 440,000 | 462,675 | ||
Range Resources Corporation | ||||
5.00%, 03/15/23 | 53,000 | 54,249 | ||
4.88%, 05/15/25 | 120,000 | 124,055 | ||
Rocket Mortgage LLC | ||||
2.88%, 10/15/26 144A | 230,000 | 228,583 | ||
3.63%, 03/01/29 144A | 130,000 | 130,674 | ||
3.88%, 03/01/31 144A | 320,000 | 325,293 | ||
4.00%, 10/15/33 144A | 155,000 | 157,172 | ||
Royal Caribbean Cruises, Ltd. | ||||
4.25%, 07/01/26 144A | 10,000 | 9,697 | ||
5.50%, 04/01/28 144A Δ | 130,000 | 131,726 | ||
Sasol Financing U.S.A. LLC | ||||
5.50%, 03/18/31 | 1,470,000 | 1,484,612 | ||
SBA Communications Corporation REIT | ||||
3.13%, 02/01/29 144A | 155,000 | 149,039 | ||
Sensata Technologies, Inc. | ||||
4.38%, 02/15/30 144A | 720,000 | 757,033 |
Par | Value | |||
Skyworks Solutions, Inc. | ||||
1.80%, 06/01/26 | $ 15,000 | $ 14,872 | ||
Southern Co. (The) | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.73%), 4.00%, 01/15/51^ | 200,000 | 205,000 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 870,000 | 1,096,544 | ||
Southwest Airlines Co. | ||||
1.25%, 05/01/25 CONV | 150,000 | 200,513 | ||
Southwestern Energy Co. | ||||
6.45%, 01/23/25 | 20,000 | 22,004 | ||
4.75%, 02/01/32 | 5,000 | 5,273 | ||
Spectrum Brands, Inc. | ||||
5.75%, 07/15/25 | 35,000 | 35,780 | ||
5.00%, 10/01/29 144A | 90,000 | 94,520 | ||
Splunk, Inc. | ||||
1.13%, 06/15/27 CONV | 65,000 | 60,938 | ||
Sprint Capital Corporation | ||||
8.75%, 03/15/32 | 550,000 | 825,924 | ||
Sprint Corporation | ||||
7.88%, 09/15/23 | 490,000 | 540,335 | ||
Stewart Information Services Corporation | ||||
3.60%, 11/15/31 | 135,000 | 136,996 | ||
Synchrony Financial | ||||
2.88%, 10/28/31 | 215,000 | 215,044 | ||
Sysco Corporation | ||||
6.60%, 04/01/50 | 142,000 | 221,831 | ||
Tapestry, Inc. | ||||
3.05%, 03/15/32 | 30,000 | 30,246 | ||
Targa Resources Partners LP | ||||
5.88%, 04/15/26 | 620,000 | 647,733 | ||
5.38%, 02/01/27 | 40,000 | 41,272 | ||
5.50%, 03/01/30 | 280,000 | 306,370 | ||
4.00%, 01/15/32 144A | 35,000 | 36,636 | ||
TD SYNNEX Corporation | ||||
1.75%, 08/09/26 144A | 135,000 | 131,779 | ||
Teladoc Health, Inc. | ||||
1.25%, 06/01/27 CONV | 235,000 | 215,172 | ||
Tennessee Gas Pipeline Co. LLC | ||||
2.90%, 03/01/30 144A | 340,000 | 346,070 | ||
Terminix Co. LLC (The) | ||||
7.45%, 08/15/27 | 120,000 | 150,149 | ||
Teva Pharmaceutical Finance Co. LLC | ||||
6.15%, 02/01/36Δ | 75,000 | 78,728 | ||
Time Warner Cable LLC | ||||
5.50%, 09/01/41 | 35,000 | 42,625 | ||
4.50%, 09/15/42 | 55,000 | 60,253 | ||
T-Mobile U.S.A., Inc. | ||||
2.40%, 03/15/29 144A | 25,000 | 25,286 | ||
3.88%, 04/15/30 | 675,000 | 739,867 | ||
2.70%, 03/15/32 144A | 485,000 | 489,196 | ||
4.50%, 04/15/50 | 360,000 | 423,407 | ||
Toyota Motor Credit Corporation | ||||
0.50%, 06/18/24 | 595,000 | 586,661 |
Par | Value | |||
Transcontinental Gas Pipe Line Co. LLC | ||||
3.25%, 05/15/30 | $320,000 | $337,999 | ||
4.45%, 08/01/42 | 750,000 | 883,080 | ||
TransDigm, Inc. | ||||
4.63%, 01/15/29 | 35,000 | 34,947 | ||
Travel + Leisure Co. | ||||
6.63%, 07/31/26 144A | 10,000 | 11,100 | ||
6.00%, 04/01/27 | 10,000 | 10,905 | ||
4.50%, 12/01/29 144A | 110,000 | 111,100 | ||
4.63%, 03/01/30 144A | 75,000 | 75,600 | ||
TriNet Group, Inc. | ||||
3.50%, 03/01/29 144A | 95,000 | 94,780 | ||
Twitter, Inc. | ||||
0.00%, 03/15/26 144A Ω CONV | 85,000 | 76,551 | ||
U.S. Airways Pass-Through Trust, Series 2012-1, Class A | ||||
5.90%, 10/01/24 | 75,153 | 78,865 | ||
U.S. Airways Pass-Through Trust, Series 2012-2, Class A | ||||
4.63%, 06/03/25 | 63,962 | 63,779 | ||
Uber Technologies, Inc. | ||||
0.00%, 12/15/25Ω CONV Δ | 60,000 | 59,190 | ||
7.50%, 09/15/27 144A | 260,000 | 283,270 | ||
6.25%, 01/15/28 144A Δ | 120,000 | 128,987 | ||
4.50%, 08/15/29 144A | 345,000 | 351,974 | ||
United Airlines Pass-Through Trust, Series 2014-1, Class A | ||||
4.00%, 04/11/26 | 80,314 | 84,226 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class B | ||||
3.65%, 10/07/25 | 65,741 | 65,083 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 338,737 | 371,761 | ||
United Airlines, Inc. | ||||
4.38%, 04/15/26 144A | 25,000 | 26,101 | ||
4.63%, 04/15/29 144A | 35,000 | 36,167 | ||
United Rentals North America, Inc. | ||||
5.25%, 01/15/30 | 410,000 | 444,405 | ||
Verizon Communications, Inc. | ||||
1.13%, 11/03/28(U) | 290,000 | 376,355 | ||
2.36%, 03/15/32 144A | 940,000 | 928,423 | ||
0.75%, 03/22/32(E) Δ | 185,000 | 206,082 | ||
3.40%, 03/22/41 | 620,000 | 652,058 | ||
4.00%, 03/22/50 | 720,000 | 838,956 | ||
3.55%, 03/22/51Δ | 150,000 | 162,522 | ||
3.70%, 03/22/61 | 350,000 | 381,923 | ||
Viatris, Inc. | ||||
3.85%, 06/22/40 | 280,000 | 297,821 | ||
Viking Cruises, Ltd. | ||||
5.88%, 09/15/27 144A Δ | 90,000 | 85,788 | ||
Viking Ocean Cruises Ship VII, Ltd. | ||||
5.63%, 02/15/29 144A | 900,000 | 900,139 | ||
VOC Escrow, Ltd. | ||||
5.00%, 02/15/28 144A | 280,000 | 277,606 |
Par | Value | |||
Wells Fargo & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.99%), 5.88%, 06/15/25ρ ^ | $ 170,000 | $ 186,150 | ||
1.00%, 02/02/27(E) | 400,000 | 464,383 | ||
(Variable, U.S. SOFR + 1.26%), 2.57%, 02/11/31^ | 230,000 | 235,280 | ||
(Variable, U.S. SOFR + 2.53%), 3.07%, 04/30/41^ | 220,000 | 226,700 | ||
(Variable, U.S. SOFR + 4.50%), 5.01%, 04/04/51^ | 840,000 | 1,153,408 | ||
Western Digital Corporation | ||||
2.85%, 02/01/29 | 15,000 | 15,169 | ||
3.10%, 02/01/32 | 10,000 | 10,092 | ||
Western Midstream Operating LP | ||||
4.35%, 02/01/25 | 850,000 | 889,321 | ||
5.30%, 02/01/30Δ | 20,000 | 22,060 | ||
5.45%, 04/01/44 | 10,000 | 11,964 | ||
5.30%, 03/01/48Δ | 35,000 | 42,226 | ||
5.50%, 08/15/48 | 5,000 | 5,987 | ||
6.50%, 02/01/50 | 25,000 | 29,600 | ||
Westlake Chemical Corporation | ||||
3.13%, 08/15/51 | 205,000 | 198,706 | ||
WestRock MWV LLC | ||||
8.20%, 01/15/30 | 75,000 | 104,249 | ||
7.95%, 02/15/31 | 25,000 | 35,321 | ||
Weyerhaeuser Co. REIT | ||||
8.50%, 01/15/25 | 205,000 | 247,095 | ||
6.95%, 10/01/27 | 30,000 | 37,981 | ||
6.88%, 12/15/33 | 250,000 | 342,260 | ||
Williams Cos., Inc. (The) | ||||
7.50%, 01/15/31 | 40,000 | 54,324 | ||
5.75%, 06/24/44 | 320,000 | 417,756 | ||
Yum! Brands, Inc. | ||||
4.63%, 01/31/32 | 195,000 | 207,565 | ||
Total Corporate Bonds (Cost $116,649,160) | 124,294,896 | |||
FOREIGN BONDS — 39.7% | ||||
Angola — 0.1% | ||||
Angolan Government International Bond | ||||
9.50%, 11/12/25 | 200,000 | 214,690 | ||
9.38%, 05/08/48 | 200,000 | 196,388 | ||
411,078 | ||||
Argentina — 0.3% | ||||
Argentine Republic Government International Bond | ||||
1.00%, 07/09/29 | 136,957 | 49,991 | ||
(Step to 0.75% on 07/09/23), 0.50%, 07/09/30 STEP | 828,157 | 291,933 | ||
(Step to 1.50% on 07/09/22), 1.13%, 07/09/35 STEP | 1,625,941 | 522,350 | ||
Pampa Energia SA | ||||
7.50%, 01/24/27 144A | 750,000 | 648,600 | ||
Provincia de Buenos Aires | ||||
(Step to 5.25% on 09/01/22), 3.90%, 09/01/37 144A STEP | 623,391 | 268,228 | ||
1,781,102 |
Par | Value | |||
Australia — 0.2% | ||||
Australia Government Bond | ||||
1.75%, 06/21/51(A) | $ 2,000,000 | $1,264,249 | ||
FMG Resources August 2006 Pty, Ltd. | ||||
4.38%, 04/01/31 144A Δ | 100,000 | 105,173 | ||
1,369,422 | ||||
Austria — 0.4% | ||||
Suzano Austria GmbH | ||||
5.75%, 07/14/26 144A | 370,000 | 422,823 | ||
5.00%, 01/15/30 | 730,000 | 801,482 | ||
3.75%, 01/15/31 | 1,450,000 | 1,476,085 | ||
2,700,390 | ||||
Azerbaijan — 0.1% | ||||
Southern Gas Corridor CJSC | ||||
6.88%, 03/24/26 | 510,000 | 587,275 | ||
State Oil Co. of the Azerbaijan Republic | ||||
6.95%, 03/18/30 | 200,000 | 242,092 | ||
829,367 | ||||
Belgium — 0.2% | ||||
Elia Transmission Belgium SA | ||||
0.88%, 04/28/30(E) | 500,000 | 581,688 | ||
House of Finance NV (The) | ||||
4.38%, 07/15/26(E) | 150,000 | 173,651 | ||
Kingdom of Belgium Government Bond | ||||
3.75%, 06/22/45(E) | 18,000 | 33,610 | ||
Ontex Group NV | ||||
3.50%, 07/15/26(E) Δ | 400,000 | 434,953 | ||
1,223,902 | ||||
Bermuda — 0.1% | ||||
Bermuda Government International Bond | ||||
3.72%, 01/25/27Δ | 200,000 | 215,000 | ||
4.75%, 02/15/29 | 200,000 | 230,250 | ||
445,250 | ||||
Brazil — 1.9% | ||||
Brazil Minas SPE via State of Minas Gerais | ||||
5.33%, 02/15/28 | 140,000 | 146,292 | ||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/23(B) | 9,213,000 | 1,622,760 | ||
10.00%, 01/01/25(B) | 17,777,000 | 3,129,170 | ||
10.00%, 01/01/27(B) | 8,227,000 | 1,443,518 | ||
Brazilian Government International Bond | ||||
10.25%, 01/10/28(B) | 2,630,000 | 460,968 | ||
5.63%, 01/07/41Δ | 230,000 | 235,414 | ||
Itau Unibanco Holding SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.98%), 6.13%, 12/12/22 144A ρ ^ | 760,000 | 765,920 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.98%), 6.13%, 12/12/22ρ ^ | $ 1,110,000 | $ 1,118,647 | ||
Ultrapar International SA | ||||
5.25%, 10/06/26 144A | 1,300,000 | 1,376,629 | ||
Vale Overseas, Ltd. | ||||
6.88%, 11/21/36 | 900,000 | 1,197,432 | ||
11,496,750 | ||||
Canada — 1.2% | ||||
1011778 BC ULC | ||||
3.88%, 01/15/28 144A | 720,000 | 730,433 | ||
Air Canada Pass-Through Trust, Series 2020-2, Class A | ||||
5.25%, 04/01/29 144A | 459,006 | 500,694 | ||
Bausch Health Cos., Inc. | ||||
5.00%, 01/30/28 144A | 15,000 | 13,824 | ||
5.25%, 01/30/30 144A | 20,000 | 17,631 | ||
5.25%, 02/15/31 144A Δ | 65,000 | 57,220 | ||
Canadian Government Bond | ||||
1.00%, 06/01/27(C) | 3,265,000 | 2,548,143 | ||
Clarios Global LP | ||||
4.38%, 05/15/26(E) | 291,000 | 340,741 | ||
Element Fleet Management Corporation | ||||
1.60%, 04/06/24 144A Δ | 25,000 | 25,039 | ||
First Quantum Minerals, Ltd. | ||||
6.50%, 03/01/24 144A | 300,000 | 304,080 | ||
7.50%, 04/01/25 144A Δ | 350,000 | 360,491 | ||
6.88%, 10/15/27 144A | 200,000 | 215,469 | ||
Glencore Finance Canada, Ltd. | ||||
6.00%, 11/15/41 | 340,000 | 449,199 | ||
MEG Energy Corporation | ||||
7.13%, 02/01/27 144A | 1,310,000 | 1,397,023 | ||
Open Text Corporation | ||||
3.88%, 02/15/28 144A | 190,000 | 193,950 | ||
7,153,937 | ||||
Chile — 0.1% | ||||
Corporation Nacional del Cobre de Chile | ||||
3.63%, 08/01/27 144A | 220,000 | 235,168 | ||
Empresa de los Ferrocarriles del Estado | ||||
3.83%, 09/14/61 | 400,000 | 384,724 | ||
619,892 | ||||
China — 5.3% | ||||
Avolon Holdings Funding, Ltd. | ||||
4.25%, 04/15/26 144A | 680,000 | 721,672 | ||
China Government Bond | ||||
2.20%, 07/27/25(Y) | 49,500,000 | 7,697,785 | ||
3.85%, 12/12/26(Y) | 26,000,000 | 4,334,220 | ||
3.48%, 06/29/27(Y) | 47,500,000 | 7,765,932 | ||
4.15%, 12/04/27(Y) | 19,000,000 | 3,228,954 | ||
4.29%, 05/22/29(Y) | 24,000,000 | 4,156,068 | ||
3.60%, 05/21/30(Y) | 10,000,000 | 1,666,056 | ||
3.95%, 06/29/43(Y) | 6,000,000 | 1,057,208 |
Par | Value | |||
4.10%, 05/21/45(Y) | $ 1,500,000 | $ 269,698 | ||
China Minmetals Corporation | ||||
(Variable, 4.72% - U.S. Treasury Yield Curve Rate CMT 5Y), 3.75%, 11/13/22ρ ^ | 250,000 | 255,874 | ||
Dianjian International Finance, Ltd. | ||||
(Variable, 6.93% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.60%, 03/13/23ρ ^ | 200,000 | 206,130 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 15,000 | 15,332 | ||
4.50%, 03/15/23 144A | 190,000 | 196,168 | ||
5.50%, 02/15/24 144A | 830,000 | 890,630 | ||
Sinopec Group Overseas Development 2015, Ltd. | ||||
3.25%, 04/28/25 | 250,000 | 263,031 | ||
Times China Holdings, Ltd. | ||||
6.75%, 07/08/25 | 200,000 | 138,200 | ||
Yuzhou Group Holdings Co., Ltd. | ||||
7.70%, 02/20/25 | 495,000 | 146,025 | ||
33,008,983 | ||||
Colombia — 0.7% | ||||
Colombia Government International Bond | ||||
3.00%, 01/30/30 | 315,000 | 288,501 | ||
6.13%, 01/18/41 | 100,000 | 103,189 | ||
5.63%, 02/26/44 | 3,170,000 | 3,084,695 | ||
5.00%, 06/15/45 | 200,000 | 181,250 | ||
5.20%, 05/15/49 | 200,000 | 184,448 | ||
Ecopetrol SA | ||||
5.88%, 09/18/23 | 140,000 | 148,578 | ||
Millicom International Cellular SA | ||||
5.13%, 01/15/28 144A | 540,000 | 560,582 | ||
4,551,243 | ||||
Costa Rica — 0.1% | ||||
Costa Rica Government International Bond | ||||
7.16%, 03/12/45Δ | 340,000 | 337,453 | ||
Croatia — 0.0% | ||||
Croatia Government International Bond | ||||
1.50%, 06/17/31(E) | 200,000 | 236,192 | ||
Cyprus — 0.0% | ||||
Cyprus Government International Bond | ||||
0.00%, 02/09/26(E) | 34,000 | 38,501 | ||
Czech Republic — 0.1% | ||||
Czech Republic Government Bond | ||||
0.95%, 05/15/30(ZE) | 17,870,000 | 698,508 | ||
Denmark — 0.0% | ||||
DKT Finance ApS | ||||
7.00%, 06/17/23(E) | 204,000 | 235,842 |
Par | Value | |||
Dominican Republic — 0.1% | ||||
Dominican Republic International Bond | ||||
4.88%, 09/23/32 | $ 260,000 | $ 264,875 | ||
6.85%, 01/27/45Δ | 220,000 | 243,100 | ||
507,975 | ||||
Ecuador — 0.1% | ||||
Ecuador Government International Bond | ||||
4.72%, 07/31/30Ω | 16,866 | 9,572 | ||
(Step to 5.50% on 07/31/22), 5.00%, 07/31/30 STEP | 69,140 | 57,473 | ||
(Step to 2.50% on 07/31/22), 1.00%, 07/31/35 STEP | 488,778 | 323,204 | ||
(Step to 1.50% on 07/31/22), 0.50%, 07/31/40 STEP | 59,020 | 34,711 | ||
424,960 | ||||
Egypt — 0.3% | ||||
Egypt Government International Bond | ||||
7.60%, 03/01/29 | 400,000 | 397,727 | ||
6.38%, 04/11/31(E) | 1,200,000 | 1,264,953 | ||
7.63%, 05/29/32 | 200,000 | 190,019 | ||
7.90%, 02/21/48 | 200,000 | 168,337 | ||
2,021,036 | ||||
El Salvador — 0.0% | ||||
El Salvador Government International Bond | ||||
7.12%, 01/20/50 | 150,000 | 82,501 | ||
France — 1.5% | ||||
Accor SA | ||||
(Variable, 3.25% - EUR Swap Rate 5Y), 2.63%, 01/30/25(E) ρ ^ | 400,000 | 434,074 | ||
Altice France SA | ||||
3.38%, 01/15/28(E) | 500,000 | 555,144 | ||
Banijay Group SAS | ||||
6.50%, 03/01/26(E) | 122,000 | 144,787 | ||
BNP Paribas SA | ||||
(Variable, USD Swap 5Y + 5.15%), 7.38%, 08/19/25 144A ρ Δ ^ | 740,000 | 841,339 | ||
(Variable, Euribor 3M + 1.80%), 2.13%, 01/23/27(E) ^ | 300,000 | 364,374 | ||
(Variable, U.S. SOFR + 0.91%), 1.68%, 06/30/27 144A ^ | 210,000 | 206,693 | ||
(Variable, USD Swap 5Y + 3.98%), 7.00%, 08/16/28 144A ρ ^ | 300,000 | 351,323 | ||
Burger King France SAS | ||||
(Floating, 4.75% - Euribor 3M), 4.75%, 11/01/26(E) 144A † | 360,000 | 416,718 | ||
CAB SELAS | ||||
3.38%, 02/01/28(E) 144A | 600,000 | 684,659 | ||
Constellium SE | ||||
4.25%, 02/15/26(E) | 285,000 | 328,155 |
Par | Value | |||
Electricite de France SA | ||||
(Variable, GBP Swap Rate 13Y + 3.96%), 6.00%, 01/29/26(U) ρ ^ | $ 700,000 | $1,032,520 | ||
Faurecia SE | ||||
2.38%, 06/15/27(E) | 365,000 | 417,859 | ||
French Republic Government Bond OAT | ||||
2.10%, 07/25/23(E) 144A | 252,283 | 308,207 | ||
0.11%, 03/01/25(E) | 159,833 | 194,844 | ||
1.00%, 05/25/27(E) | 27,925 | 34,014 | ||
0.10%, 03/01/28(E) | 190,155 | 244,129 | ||
1.50%, 05/25/31(E) | 136,073 | 174,833 | ||
0.00%, 11/25/31(E) | 158,000 | 176,456 | ||
0.10%, 03/01/32(E) | 50,710 | 67,923 | ||
Kapla Holding SAS | ||||
3.38%, 12/15/26(E) | 200,000 | 227,922 | ||
La Financiere Atalian SASU | ||||
4.00%, 05/15/24(E) | 200,000 | 224,524 | ||
Loxam SAS | ||||
3.75%, 07/15/26(E) | 650,000 | 753,901 | ||
5.75%, 07/15/27(E) | 530,000 | 624,524 | ||
Orange SA | ||||
0.50%, 09/04/32(E) | 400,000 | 445,454 | ||
Paprec Holding SA | ||||
4.00%, 03/31/25(E) | 255,000 | 295,536 | ||
9,549,912 | ||||
Gabon — 0.2% | ||||
Gabo Government International Bond | ||||
7.00%, 11/24/31 144A Δ | 1,020,000 | 1,002,150 | ||
Germany — 3.2% | ||||
Allianz SE | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.17%), 3.20%, 10/30/27 144A ρ ^ | 3,200,000 | 3,068,000 | ||
APCOA Parking Holdings GmbH | ||||
4.63%, 01/15/27(E) 144A | 100,000 | 113,161 | ||
Bundesrepublik Deutschland Bundesanleihe | ||||
1.00%, 08/15/24(E) | 2,400,000 | 2,851,623 | ||
0.00%, 08/15/30(E) | 46,241 | 54,183 | ||
0.00%, 02/15/31(E) | 5,423,255 | 6,301,228 | ||
0.00%, 08/15/31(E) | 57,400 | 66,533 | ||
0.00%, 05/15/36(E) | 11,865 | 13,496 | ||
1.25%, 08/15/48(E) | 17,000 | 25,085 | ||
Bundesschatzanweisungen | ||||
0.00%, 12/15/22(E) | 1,350,000 | 1,546,632 | ||
CeramTec BondCo GmbH | ||||
5.25%, 12/15/25(E) | 300,000 | 346,656 | ||
Cheplapharm Arzneimittel GmbH | ||||
4.38%, 01/15/28(E) 144A | 680,000 | 809,442 | ||
Deutsche Bank AG | ||||
(Variable, U.S. SOFR + 2.76%), 3.73%, 01/14/32^ | 201,000 | 205,944 |
Par | Value | |||
EnBW Energie Baden-Wuerttemberg AG | ||||
(Variable, 3.63% - EUR Swap Rate 5Y), 3.38%, 04/05/77(E) ^ | $135,000 | $ 153,819 | ||
IHO Verwaltungs GmbH | ||||
PIK 4.63%, 3.88%, 05/15/27(E) | 215,000 | 250,132 | ||
Infineon Technologies AG | ||||
(Variable, 4.00% - EUR Swap Rate 5Y), 3.63%, 01/01/28(E) ρ ^ | 100,000 | 124,364 | ||
Kreditanstalt fuer Wiederaufbau | ||||
0.00%, 09/15/31(E) | 33,000 | 37,134 | ||
PCF GmbH | ||||
4.75%, 04/15/26(E) | 395,000 | 465,447 | ||
Renk AG | ||||
5.75%, 07/15/25(E) 144A | 210,000 | 248,708 | ||
Schenck Process Holding GmbH | ||||
5.38%, 06/15/23(E) 144A | 340,000 | 387,715 | ||
5.38%, 06/15/23(E) | 200,000 | 228,068 | ||
SGL Carbon SE | ||||
4.63%, 09/30/24(E) | 480,000 | 556,726 | ||
TK Elevator Holdco GmbH | ||||
6.63%, 07/15/28(E) Δ | 238,500 | 287,281 | ||
6.63%, 07/15/28(E) 144A | 243,000 | 292,701 | ||
TK Elevator Midco GmbH | ||||
4.38%, 07/15/27(E) 144A | 350,000 | 413,037 | ||
TUI Cruises GmbH | ||||
6.50%, 05/15/26(E) 144A | 120,000 | 136,364 | ||
Volkswagen Bank GmbH | ||||
1.25%, 12/15/25(E) | 782,000 | 921,746 | ||
19,905,225 | ||||
Ghana — 0.2% | ||||
Ghana Government International Bond | ||||
7.63%, 05/16/29 144A | 640,000 | 535,376 | ||
7.63%, 05/16/29 | 200,000 | 167,305 | ||
10.75%, 10/14/30 | 200,000 | 224,546 | ||
10.75%, 10/14/30 144A | 340,000 | 381,728 | ||
7.88%, 02/11/35 | 200,000 | 157,500 | ||
1,466,455 | ||||
Hong Kong — 0.0% | ||||
Shimao Group Holdings, Ltd. | ||||
6.13%, 02/21/24 | 200,000 | 129,700 | ||
Hungary — 0.0% | ||||
Hungary Government International Bond | ||||
1.75%, 06/05/35(E) | 19,000 | 22,553 | ||
India — 0.0% | ||||
Indian Railway Finance Corporation, Ltd. | ||||
2.80%, 02/10/31 144A | 200,000 | 194,809 | ||
Indonesia — 2.8% | ||||
Indonesia Government International Bond | ||||
0.90%, 02/14/27(E) | 120,000 | 137,038 | ||
1.40%, 10/30/31(E) | 220,000 | 251,674 |
Par | Value | |||
5.25%, 01/17/42 144A | $ 1,940,000 | $ 2,438,478 | ||
5.25%, 01/17/42 | 630,000 | 791,877 | ||
4.20%, 10/15/50Δ | 3,480,000 | 3,977,108 | ||
Indonesia Treasury Bond | ||||
7.00%, 05/15/27(I) | 48,282,000,000 | 3,638,184 | ||
8.25%, 05/15/29(I) | 76,029,000,000 | 5,957,025 | ||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | ||||
5.45%, 05/21/28 | 200,000 | 229,436 | ||
17,420,820 | ||||
Ireland — 0.5% | ||||
AerCap Ireland Capital DAC | ||||
4.45%, 10/01/25 | 400,000 | 431,058 | ||
1.75%, 01/30/26 | 540,000 | 530,445 | ||
3.30%, 01/30/32 | 660,000 | 674,285 | ||
Ardagh Packaging Finance PLC | ||||
5.25%, 08/15/27 144A Δ | 300,000 | 302,213 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
4.42%, 11/15/35 | 448,000 | 536,151 | ||
Ireland Government Bond | ||||
0.20%, 10/18/30(E) | 20,000 | 22,942 | ||
0.40%, 05/15/35(E) | 81,000 | 91,071 | ||
0.55%, 04/22/41(E) | 36,000 | 39,997 | ||
Motion Bondco DAC | ||||
4.50%, 11/15/27(E) | 330,000 | 360,824 | ||
2,988,986 | ||||
Israel — 0.1% | ||||
Energean Israel Finance, Ltd. | ||||
5.38%, 03/30/28 144A | 65,000 | 64,269 | ||
5.88%, 03/30/31 144A | 90,000 | 88,616 | ||
Israel Government International Bond | ||||
3.38%, 01/15/50 | 200,000 | 216,767 | ||
Summit Properties, Ltd. | ||||
2.00%, 01/31/25(E) | 265,000 | 296,293 | ||
665,945 | ||||
Italy — 2.0% | ||||
Autostrade per l'Italia SpA | ||||
1.88%, 09/26/29(E) | 487,000 | 570,321 | ||
Centurion Bidco SpA | ||||
5.88%, 09/30/26(E) | 230,000 | 270,365 | ||
doValue SpA | ||||
5.00%, 08/04/25(E) | 320,000 | 379,111 | ||
Guala Closures SpA | ||||
3.25%, 06/15/28(E) | 100,000 | 112,143 | ||
International Design Group SpA | ||||
(Floating, 4.25% - Euribor 3M), 4.25%, 05/15/26(E) 144A † | 250,000 | 286,610 | ||
Italy Buoni Poliennali Del Tesoro | ||||
1.45%, 05/15/25(E) | 81,000 | 96,237 | ||
1.41%, 05/26/25(E) 144A | 497,936 | 604,030 | ||
1.60%, 06/01/26(E) | 87,000 | 104,516 | ||
3.10%, 09/15/26(E) 144A | 21,917 | 30,411 | ||
2.05%, 08/01/27(E) | 4,240,000 | 5,228,251 | ||
1.35%, 04/01/30(E) | 2,145,000 | 2,524,053 | ||
0.60%, 08/01/31(E) 144A | 1,301,000 | 1,410,959 |
Par | Value | |||
0.95%, 12/01/31(E) 144A | $ 55,000 | $ 61,390 | ||
0.95%, 06/01/32(E) | 35,000 | 38,745 | ||
1.50%, 04/30/45(E) 144A | 7,000 | 7,491 | ||
Mooney Group SpA | ||||
(Floating, 3.88% - Euribor 3M), 3.88%, 12/17/26(E) † | 300,000 | 342,783 | ||
Telecom Italia Capital SA | ||||
6.38%, 11/15/33 | 255,000 | 274,970 | ||
Telecom Italia SpA | ||||
3.63%, 05/25/26(E) Δ | 255,000 | 306,356 | ||
12,648,742 | ||||
Ivory Coast — 0.3% | ||||
Ivory Coast Government International Bond | ||||
5.25%, 03/22/30(E) | 460,000 | 536,200 | ||
5.88%, 10/17/31(E) | 200,000 | 234,467 | ||
4.88%, 01/30/32(E) 144A | 340,000 | 373,368 | ||
4.88%, 01/30/32(E) | 110,000 | 120,795 | ||
5.75%, 12/31/32 144A STEP | 321,903 | 324,208 | ||
1,589,038 | ||||
Japan — 0.3% | ||||
Japan Government Ten Year Bond | ||||
0.10%, 12/20/28(J) | 140,000,000 | 1,230,523 | ||
Japan Government Thirty Year Bond | ||||
0.70%, 12/20/48(J) | 30,000,000 | 264,548 | ||
SoftBank Group Corporation | ||||
5.00%, 04/15/28(E) | 245,000 | 287,700 | ||
4.63%, 07/06/28 | 200,000 | 195,407 | ||
1,978,178 | ||||
Jersey — 0.1% | ||||
AA Bond Co., Ltd. | ||||
6.50%, 01/31/26(U) | 300,000 | 413,840 | ||
Avis Budget Finance PLC | ||||
4.75%, 01/30/26(E) | 100,000 | 116,434 | ||
CPUK Finance, Ltd. | ||||
6.50%, 08/28/26(U) | 100,000 | 141,344 | ||
671,618 | ||||
Kazakhstan — 0.3% | ||||
Kazakhstan Government International Bond | ||||
2.38%, 11/09/28(E) | 300,000 | 373,927 | ||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 500,000 | 584,063 | ||
5.38%, 04/24/30 | 300,000 | 350,438 | ||
KazTransGas JSC | ||||
4.38%, 09/26/27 144A | 630,000 | 686,590 | ||
1,995,018 | ||||
Luxembourg — 0.3% | ||||
Altice Finco SA | ||||
4.75%, 01/15/28(E) | 679,000 | 737,939 | ||
Altice France Holding SA | ||||
8.00%, 05/15/27(E) | 300,000 | 361,886 |
Par | Value | |||
Vivion Investments S.a.r.l. | ||||
3.00%, 08/08/24(E) Δ | $ 300,000 | $ 335,402 | ||
3.50%, 11/01/25(E) | 200,000 | 223,806 | ||
1,659,033 | ||||
Mexico — 3.0% | ||||
Banco Mercantil del Norte SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.04%), 6.88%, 07/06/22 144A ρ ^ | 260,000 | 263,307 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 5.47%), 7.50%, 06/27/29 144A ρ ^ | 1,125,000 | 1,198,592 | ||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||
5.38%, 04/17/25 144A | 580,000 | 633,685 | ||
BBVA Bancomer SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.65%), 5.13%, 01/18/33 144A Δ ^ | 630,000 | 647,555 | ||
Cemex SAB de CV | ||||
3.88%, 07/11/31 144A | 400,000 | 399,166 | ||
Mexican Bonos | ||||
8.00%, 12/07/23(M) | 5,818,600 | 288,141 | ||
7.50%, 06/03/27(M) | 151,900,000 | 7,444,740 | ||
8.50%, 11/18/38(M) | 3,089,400 | 158,985 | ||
7.75%, 11/13/42(M) | 76,750,000 | 3,641,254 | ||
Mexico Government International Bond | ||||
2.88%, 04/08/39(E) | 700,000 | 805,805 | ||
5.75%, 10/12/10« | 320,000 | 370,003 | ||
Orbia Advance Corp SAB de CV | ||||
5.88%, 09/17/44 144A | 1,100,000 | 1,353,011 | ||
Orbia Advance Corporation SAB de CV | ||||
2.88%, 05/11/31 144A | 200,000 | 195,913 | ||
Petroleos Mexicanos | ||||
4.75%, 02/26/29(E) | 400,000 | 450,176 | ||
5.95%, 01/28/31 | 140,000 | 136,318 | ||
7.69%, 01/23/50 | 390,000 | 377,120 | ||
18,363,771 | ||||
Mongolia — 0.0% | ||||
Mongolia Government International Bond | ||||
8.75%, 03/09/24 | 200,000 | 221,010 | ||
Morocco & Antilles — 0.1% | ||||
OCP SA | ||||
5.63%, 04/25/24 144A | 350,000 | 375,601 | ||
4.50%, 10/22/25 144A | 320,000 | 338,628 | ||
714,229 |
Par | Value | |||
Netherlands — 2.5% | ||||
Abertis Infraestructuras Finance BV | ||||
(Variable, 3.69% - EUR Swap Rate 5Y), 3.25%, 11/24/25(E) ρ ^ | $ 100,000 | $ 116,295 | ||
ABN AMRO Bank NV | ||||
7.13%, 07/06/22(E) | 540,000 | 637,270 | ||
Cooperatieve Rabobank UA | ||||
5.75%, 12/01/43 | 630,000 | 883,355 | ||
Dufry One BV | ||||
2.00%, 02/15/27(E) | 345,000 | 365,553 | ||
E.ON International Finance BV | ||||
6.38%, 06/07/32(U) | 155,000 | 293,823 | ||
Embraer Netherlands Finance BV | ||||
5.40%, 02/01/27 | 130,000 | 135,769 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 380,000 | 413,900 | ||
IPD 3 BV | ||||
5.50%, 12/01/25(E) 144A | 560,000 | 657,229 | ||
5.50%, 12/01/25(E) | 417,000 | 489,401 | ||
Lincoln Financing S.a.r.l. | ||||
3.63%, 04/01/24(E) | 215,000 | 247,170 | ||
(Floating, 3.88% - Euribor 3M), 3.88%, 04/01/24(E) † | 118,000 | 134,679 | ||
Maxeda DIY Holding BV | ||||
5.88%, 10/01/26(E) | 200,000 | 233,046 | ||
Petrobras Global Finance BV | ||||
6.25%, 03/17/24Δ | 2,110,000 | 2,281,195 | ||
6.88%, 01/20/40Δ | 80,000 | 87,807 | ||
6.90%, 03/19/49 | 880,000 | 938,533 | ||
Prosus NV | ||||
3.83%, 02/08/51 | 1,020,000 | 957,138 | ||
Repsol International Finance BV | ||||
(Variable, EUR Swap Rate 10Y + 4.20%), 4.50%, 03/25/75(E) ^ | 530,000 | 648,654 | ||
Summer BidCo BV | ||||
Cash Coupon 9.00% or PIK 9.75%, 9.00%, 11/15/25(E) | 446,768 | 521,018 | ||
Syngenta Finance NV | ||||
4.44%, 04/24/23 144A | 460,000 | 475,702 | ||
Teva Pharmaceutical Finance Netherlands II BV | ||||
4.50%, 03/01/25(E) | 635,000 | 751,576 | ||
1.88%, 03/31/27(E) | 200,000 | 210,053 | ||
Teva Pharmaceutical Finance Netherlands III BV | ||||
4.75%, 05/09/27Δ | 200,000 | 198,250 | ||
4.10%, 10/01/46Δ | 175,000 | 148,149 | ||
Trivium Packaging Finance BV | ||||
3.75%, 08/15/26(E) | 250,000 | 289,150 | ||
United Group BV | ||||
3.13%, 02/15/26(E) Δ | 200,000 | 221,700 | ||
UPC Holding BV | ||||
5.50%, 01/15/28 144A | 310,000 | 322,056 | ||
3.88%, 06/15/29(E) | 300,000 | 349,303 | ||
Volkswagen International Finance NV | ||||
(Variable, 3.96% - EUR Swap Rate 9Y), 3.88%, 06/17/29(E) ρ ^ | 300,000 | 371,905 |
Par | Value | |||
Wintershall Dea Finance 2 BV | ||||
(Variable, 3.32% - EUR Swap Rate 5Y), 3.00%, 07/20/28(E) ρ ^ | $ 200,000 | $ 221,908 | ||
WP/AP Telecom Holdings IV BV | ||||
3.75%, 01/15/29(E) 144A | 480,000 | 553,377 | ||
ZF Europe Finance BV | ||||
3.00%, 10/23/29(E) Δ | 700,000 | 825,313 | ||
Ziggo BV | ||||
4.25%, 01/15/27(E) | 320,800 | 373,648 | ||
15,353,925 | ||||
New Zealand — 0.7% | ||||
New Zealand Government Bond | ||||
3.50%, 04/14/33(Z) | 5,374,000 | 4,064,766 | ||
Nigeria — 0.2% | ||||
Nigeria Government International Bond | ||||
7.14%, 02/23/30 144A | 440,000 | 433,664 | ||
7.88%, 02/16/32 | 200,000 | 197,650 | ||
7.63%, 11/28/47 144A | 940,000 | 843,960 | ||
1,475,274 | ||||
Norway — 0.2% | ||||
Adevinta ASA | ||||
3.00%, 11/15/27(E) 144A | 540,000 | 631,856 | ||
3.00%, 11/15/27(E) Δ | 150,000 | 175,515 | ||
Aker BP ASA | ||||
3.75%, 01/15/30 144A | 150,000 | 159,150 | ||
4.00%, 01/15/31 144A | 150,000 | 162,545 | ||
1,129,066 | ||||
Oman — 0.0% | ||||
Oman Government International Bond | ||||
6.75%, 01/17/48 | 200,000 | 203,943 | ||
Panama — 0.4% | ||||
Panama Government International Bond | ||||
3.75%, 03/16/25 | 860,000 | 912,039 | ||
6.70%, 01/26/36 | 202,000 | 271,043 | ||
4.50%, 04/01/56 | 1,140,000 | 1,259,996 | ||
2,443,078 | ||||
Paraguay — 0.0% | ||||
Paraguay Government International Bond | ||||
6.10%, 08/11/44 | 200,000 | 246,750 | ||
Peru — 0.8% | ||||
Peruvian Government International Bond | ||||
2.39%, 01/23/26 | 1,370,000 | 1,393,304 | ||
1.25%, 03/11/33(E) | 200,000 | 218,349 | ||
1.95%, 11/17/36(E) | 100,000 | 112,234 | ||
6.55%, 03/14/37 | 640,000 | 874,755 | ||
Petroleos del Peru SA | ||||
5.63%, 06/19/47 144A | 750,000 | 743,835 | ||
Transportadora de Gas del Peru SA | ||||
4.25%, 04/30/28 144A | 1,670,000 | 1,770,584 |
Par | Value | |||
Volcan Cia Minera SAA, Class B | ||||
4.38%, 02/11/26 144A | $ 20,000 | $ 19,525 | ||
5,132,586 | ||||
Philippines — 0.0% | ||||
Philippine Government International Bond | ||||
1.75%, 04/28/41(E) Δ | 100,000 | 113,373 | ||
Poland — 0.3% | ||||
Republic of Poland Government Bond | ||||
2.75%, 04/25/28(P) | 5,370,000 | 1,256,953 | ||
1.25%, 10/25/30(P) | 3,060,000 | 626,829 | ||
1,883,782 | ||||
Qatar — 0.0% | ||||
Qatar Government International Bond | ||||
4.82%, 03/14/49 | 200,000 | 262,794 | ||
Romania — 0.2% | ||||
RCS & RDS SA | ||||
3.25%, 02/05/28(E) | 200,000 | 223,715 | ||
Romanian Government International Bond | ||||
3.62%, 05/26/30(E) | 42,000 | 51,952 | ||
1.75%, 07/13/30(E) | 41,000 | 43,663 | ||
2.00%, 04/14/33(E) 144A | 560,000 | 582,623 | ||
3.88%, 10/29/35(E) | 248,000 | 306,691 | ||
2.88%, 04/13/42(E) | 18,000 | 18,418 | ||
4.63%, 04/03/49(E) | 100,000 | 128,856 | ||
3.38%, 01/28/50(E) | 84,000 | 90,350 | ||
1,446,268 | ||||
Russia — 1.8% | ||||
Russian Federal Bond - OFZ | ||||
7.05%, 01/19/28(Q) | 423,153,000 | 5,303,223 | ||
6.90%, 05/23/29(Q) | 205,550,000 | 2,533,338 | ||
7.25%, 05/10/34(Q) | 262,547,000 | 3,237,749 | ||
Russian Foreign Bond - Eurobond | ||||
5.10%, 03/28/35 | 200,000 | 236,250 | ||
11,310,560 | ||||
Senegal — 0.0% | ||||
Senegal Government International Bond | ||||
4.75%, 03/13/28(E) | 100,000 | 115,767 | ||
Serbia — 0.0% | ||||
Serbia International Bond | ||||
1.50%, 06/26/29(E) | 190,000 | 209,699 | ||
Slovakia — 0.0% | ||||
Slovakia Government Bond | ||||
0.38%, 04/21/36(E) | 18,400 | 20,573 | ||
South Africa — 1.2% | ||||
Republic of South Africa Government Bond | ||||
6.25%, 03/31/36(S) | 2,140,000 | 93,966 | ||
6.50%, 02/28/41(S) | 56,596,000 | 2,353,189 |
Par | Value | |||
Republic of South Africa Government International Bond | ||||
4.88%, 04/14/26Δ | $ 200,000 | $ 213,588 | ||
4.85%, 09/27/27Δ | 200,000 | 211,244 | ||
4.85%, 09/30/29Δ | 2,190,000 | 2,267,307 | ||
5.88%, 06/22/30Δ | 200,000 | 223,405 | ||
5.75%, 09/30/49 | 2,420,000 | 2,333,485 | ||
7,696,184 | ||||
South Korea — 0.1% | ||||
Export-Import Bank of Korea | ||||
6.75%, 08/09/22(I) | 4,500,000 | 61,058 | ||
4.89%, 08/09/23 144A ††† | 24,800,000 | 330,217 | ||
391,275 | ||||
Spain — 0.7% | ||||
Banco Santander SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%), 0.70%, 06/30/24^ | 200,000 | 199,018 | ||
Iberdrola Finanzas SA | ||||
7.38%, 01/29/24(U) | 100,000 | 152,300 | ||
Lorca Telecom Bondco SA | ||||
4.00%, 09/18/27(E) Δ | 680,000 | 788,728 | ||
4.00%, 09/18/27(E) 144A | 400,000 | 463,958 | ||
Spain Government Bond | ||||
0.80%, 07/30/27(E) 144A | 26,000 | 30,893 | ||
1.40%, 07/30/28(E) 144A | 73,000 | 90,157 | ||
0.50%, 10/31/31(E) 144A | 1,271,000 | 1,439,272 | ||
1.00%, 07/30/42(E) 144A | 29,000 | 32,174 | ||
Spain Government Inflation Linked Bond | ||||
0.65%, 11/30/27(E) 144A | 75,893 | 99,268 | ||
Tendam Brands SAU | ||||
5.00%, 09/15/24(E) 144A | 510,000 | 576,607 | ||
(Floating, 5.25% - Euribor 3M), 5.25%, 09/15/24(E) 144A † | 160,000 | 181,822 | ||
(Floating, 5.25% - Euribor 3M), 5.25%, 09/15/24(E) † | 160,000 | 181,822 | ||
4,236,019 | ||||
Sri Lanka — 0.1% | ||||
Sri Lanka Government International Bond | ||||
6.85%, 11/03/25 | 200,000 | 104,036 | ||
6.75%, 04/18/28 | 500,000 | 254,730 | ||
358,766 | ||||
Supranational — 0.1% | ||||
Banque Ouest Africaine de Developpement | ||||
5.00%, 07/27/27 | 200,000 | 221,456 | ||
European Union | ||||
0.00%, 07/06/26(E) | 68,000 | 78,563 | ||
0.00%, 10/04/28(E) | 46,000 | 52,847 | ||
0.00%, 04/22/31(E) | 32,000 | 36,210 | ||
0.40%, 02/04/37(E) | 43,000 | 49,504 |
Par | Value | |||
International Finance Corporation | ||||
5.85%, 11/25/22(I) | $5,190,000 | $ 70,299 | ||
508,879 | ||||
Sweden — 0.3% | ||||
Intrum AB | ||||
3.50%, 07/15/26(E) | 495,000 | 571,646 | ||
Samhallsbyggnadsbolaget i Norden AB | ||||
(Variable, 2.81% - EUR Swap Rate 5Y), 2.62%, 01/30/25(E) ρ ^ | 321,000 | 359,024 | ||
Unilabs Subholding AB | ||||
5.75%, 05/15/25(E) | 299,000 | 343,814 | ||
Verisure Midholding AB | ||||
5.25%, 02/15/29(E) 144A | 240,000 | 277,926 | ||
1,552,410 | ||||
Switzerland — 0.7% | ||||
Cidron Aida Finco S.a.r.l. | ||||
6.25%, 04/01/28(U) 144A | 580,000 | 779,171 | ||
Credit Suisse Group AG | ||||
(Variable, USD Swap 5Y + 4.60%), 7.50%, 07/17/23 144A ρ ^ | 330,000 | 349,552 | ||
(Variable, EUR Swap Rate 1Y + 0.75%), 1.25%, 07/17/25(E) ^ | 500,000 | 582,135 | ||
(Variable, U.S. SOFR + 1.73%), 3.09%, 05/14/32 144A ^ | 335,000 | 341,614 | ||
UBS Group AG | ||||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | 1,420,000 | 1,532,102 | ||
(Variable, EUR Swap Rate 1Y + 0.75%), 1.25%, 04/17/25(E) ^ | 400,000 | 467,708 | ||
4,052,282 | ||||
Turkey — 0.4% | ||||
Turkey Government International Bond | ||||
6.38%, 10/14/25 | 200,000 | 195,763 | ||
6.00%, 03/25/27 | 1,570,000 | 1,484,262 | ||
4.88%, 04/16/43 | 500,000 | 384,425 | ||
Turkiye Ihracat Kredi Bankasi AS | ||||
5.38%, 10/24/23 | 200,000 | 193,968 | ||
2,258,418 | ||||
Ukraine — 0.1% | ||||
Ukraine Government International Bond | ||||
7.75%, 09/01/25 | 100,000 | 96,335 | ||
6.75%, 06/20/26(E) | 200,000 | 217,383 | ||
9.75%, 11/01/28 | 250,000 | 253,647 | ||
0.00%, 05/31/401 | 43,000 | 39,301 | ||
606,666 | ||||
United Arab Emirates — 0.4% | ||||
Abu Dhabi Crude Oil Pipeline LLC | ||||
4.60%, 11/02/47 | 200,000 | 237,130 |
Par | Value | |||
DP World Crescent, Ltd. | ||||
3.88%, 07/18/29 | $200,000 | $ 213,650 | ||
DP World, Ltd. | ||||
5.63%, 09/25/48 144A | 970,000 | 1,194,557 | ||
5.63%, 09/25/48 | 600,000 | 738,901 | ||
2,384,238 | ||||
United Kingdom — 2.3% | ||||
Anglo American Capital PLC | ||||
4.75%, 04/10/27 144A | 200,000 | 222,738 | ||
3.38%, 03/11/29(U) | 250,000 | 362,066 | ||
2.88%, 03/17/31 144A Δ | 200,000 | 199,489 | ||
Antofagasta PLC | ||||
2.38%, 10/14/30 144A Δ | 300,000 | 285,430 | ||
Aviva PLC | ||||
(Variable, UK Gilts 5Y + 2.40%), 6.13%, 09/29/22(U) ρ ^ | 490,000 | 685,313 | ||
Barclays Bank PLC | ||||
7.63%, 11/21/22 | 291,000 | 307,080 | ||
Barclays PLC | ||||
(Variable, EUR Swap Rate 1Y + 0.78%), 1.38%, 01/24/26(E) ^ | 300,000 | 352,732 | ||
(Variable, U.S. SOFR + 2.71%), 2.85%, 05/07/26^ | 380,000 | 392,388 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.05%), 2.28%, 11/24/27^ | 235,000 | 235,682 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.41%), 4.38%, 03/15/28ρ ^ | 200,000 | 196,400 | ||
Bellis Acquisition Co. PLC | ||||
4.50%, 02/16/26(U) 144A | 260,000 | 352,451 | ||
Bellis Finco PLC | ||||
4.00%, 02/16/27(U) | 213,000 | 273,487 | ||
Constellation Automotive Financing PLC | ||||
4.88%, 07/15/27(U) | 100,000 | 133,660 | ||
eG Global Finance PLC | ||||
4.38%, 02/07/25(E) Δ | 440,000 | 504,384 | ||
HSBC Holdings PLC | ||||
(Variable, USD ICE Swap Rate 5Y + 4.37%), 6.38%, 03/30/25ρ ^ | 400,000 | 432,262 | ||
(Variable, USD ICE Swap Rate 5Y + 3.75%), 6.00%, 05/22/27ρ ^ | 400,000 | 431,500 | ||
Iceland Bondco PLC | ||||
4.63%, 03/15/25(U) Δ | 230,000 | 293,442 | ||
INEOS Finance PLC | ||||
3.38%, 03/31/26(E) | 200,000 | 233,107 | ||
2.88%, 05/01/26(E) | 250,000 | 287,720 | ||
INEOS Quattro Finance 1 PLC | ||||
3.75%, 07/15/26(E) 144A | 110,000 | 126,215 | ||
Jaguar Land Rover Automotive PLC | ||||
5.88%, 11/15/24(E) | 215,000 | 265,017 | ||
4.50%, 01/15/26(E) Δ | 245,000 | 290,412 |
Par | Value | |||
Lloyds Banking Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.33%, 06/15/23^ | $310,000 | $ 310,562 | ||
Miller Homes Group Holdings PLC | ||||
5.50%, 10/15/24(U) | 530,000 | 727,540 | ||
National Express Group PLC | ||||
(Variable, UK Gilts 5Y + 4.14%), 4.25%, 11/26/25(U) ρ ^ | 200,000 | 276,667 | ||
National Grid Electricity Transmission PLC | ||||
0.19%, 01/20/25(E) | 154,000 | 175,890 | ||
NatWest Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.90%), 1.64%, 06/14/27^ | 200,000 | 197,476 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.55%), 3.07%, 05/22/28^ | 545,000 | 567,633 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.35%), 3.03%, 11/28/35^ | 200,000 | 197,788 | ||
NGG Finance PLC | ||||
(Variable, GBP Swap Rate 12Y + 3.48%), 5.63%, 06/18/73(U) ^ | 296,000 | 435,958 | ||
Pinnacle Bidco PLC | ||||
6.38%, 02/15/25(U) | 310,000 | 425,509 | ||
Santander UK Group Holdings PLC | ||||
(Variable, GBP Swap Rate 5Y + 5.54%), 7.38%, 06/24/22(U) ρ ^ | 820,000 | 1,136,965 | ||
SSE PLC | ||||
1.75%, 04/16/30(E) | 350,000 | 430,110 | ||
Tesco Property Finance 6 PLC | ||||
5.41%, 07/13/44(U) | 380,665 | 655,367 | ||
United Kingdom Gilt | ||||
4.50%, 09/07/34(U) | 220,000 | 419,276 | ||
Virgin Media Secured Finance PLC | ||||
4.25%, 01/15/30(U) | 890,000 | 1,196,574 | ||
Vodafone Group PLC | ||||
5.25%, 05/30/48 | 190,000 | 248,881 | ||
14,265,171 | ||||
Total Foreign Bonds (Cost $253,788,922) | 247,083,988 | |||
LOAN AGREEMENTS — 2.5% | ||||
1011778 B.C. Unlimited Liability Company Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 11/19/26† | 453,065 | 447,685 | ||
Allied Universal Holdco LLC Initial U.S. Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.75%, 0.50% Floor), 4.25%, 05/12/28† | 492,516 | 491,533 | ||
Apollo Commercial Real Estate Finance, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 2.85%, 05/15/26† | 494,923 | 489,974 |
Par | Value | |||
Asurion LLC New B-7 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.10%, 11/03/24† | $517,924 | $516,212 | ||
Asurion LLC New B-9 Term Loan | ||||
0.00%, 07/31/27Σ | 797,990 | 794,100 | ||
Asurion LLC Replacement B-6 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.13%), 3.23%, 11/03/23† | 250,395 | 250,082 | ||
Asurion LLC Replacement B-8 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 3.35%, 12/23/26† | 158,400 | 157,542 | ||
Bausch Health Companies, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.10%, 06/02/25† | 221,534 | 220,786 | ||
Berry Global, Inc. Term Z Loan | ||||
(Floating, ICE LIBOR USD 2M + 1.75%), 1.86%, 07/01/26† | 446,802 | 444,456 | ||
Brookfield WEC Holdings, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 0.50% Floor), 3.25%, 08/01/25† | 85,436 | 84,920 | ||
Charter Communications Operating LLC Term B-2 Loan | ||||
0.00%, 02/01/27Σ | 28 | 27 | ||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.86%, 02/01/27† | 494,909 | 490,809 | ||
CWGS Group LLC Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 0.75% Floor), 3.25%, 06/03/28† | 137,870 | 136,991 | ||
Energizer Holdings, Inc. 2020 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.50% Floor), 2.75%, 12/22/27† | 893,250 | 892,415 | ||
Entercom Media Corporation Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.60%, 11/18/24† | 150,083 | 148,563 | ||
Focus Financial Partners LLC Tranche B-3 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 2.10%, 07/03/24† | 273,620 | 271,757 | ||
Four Seasons Holdings, Inc. Term Loan 2013 | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 2.10%, 11/30/23† | 224,679 | 224,117 | ||
Froneri International Limited Facility B1 | ||||
(Floating, ICE EURIBOR USD 6M + 2.38%), 2.38%, 01/29/27† | 380,000 | 424,456 | ||
Garda World Security Corporation Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.25%), 4.36%, 10/30/26† | 405,369 | 405,328 |
Par | Value | |||
Genesee & Wyoming, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 2.22%, 12/30/26† | $176,850 | $175,966 | ||
Global Medical Response, Inc. 2020 Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.25%, 1.00% Floor), 5.25%, 10/02/25† | 354,487 | 353,513 | ||
INEOS Styrolution Group GmbH 2026 Tranche B Euro Term Loan | ||||
(Floating, ICE EURIBOR USD 1M + 2.75%), 2.75%, 01/29/26† | 450,000 | 509,202 | ||
IU Finance Management GmbH Facility B | ||||
(Floating, ICE EURIBOR USD 3M + 5.00%), 5.00%, 12/08/28† | 690,000 | 781,637 | ||
Lakeshore Learning Materials LLC Initial Term loan | ||||
(Floating, ICE LIBOR USD 3M + 3.50%, 0.50% Floor), 4.00%, 09/29/28† | 800,000 | 798,752 | ||
Leslie's Poolmart, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.50%, 0.50% Floor), 3.00%, 03/09/28† | 797,990 | 796,354 | ||
Level 3 Financing, Inc. Tranche B 2027 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 03/01/27† | 574,212 | 567,752 | ||
Mister Car Wash Holdings, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.10%, 05/14/26† | 370,269 | 368,741 | ||
Nexstar Broadcasting, Inc. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.60%, 09/18/26† | 103,529 | 103,465 | ||
Pilot Travel Centers LLC Initial Tranche B Term Loan | ||||
0.00%, 08/04/28Σ | 798,000 | 794,293 | ||
Prime Security Services Borrower LLC 2021 Refinancing Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 0.75% Floor), 3.50%, 09/23/26† | 403,842 | 403,933 | ||
Reynolds Consumer Products LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 02/04/27† | 71,265 | 70,979 | ||
Sedgwick Claims Management Services, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 3.35%, 12/31/25† | 254,106 | 252,439 | ||
TransDigm, Inc. Tranche F Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 2.35%, 12/09/25† | 797,964 | 788,141 |
Par | Value | |||
U.S. Renal Care, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 5.00%), 5.08%, 06/26/26† | $296,962 | $ 289,577 | ||
UFC Holdings LLC Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 0.75% Floor), 3.50%, 04/29/26† | 108,547 | 108,256 | ||
Univision Communications, Inc. 2020 Replacement First-Lien Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 0.75% Floor), 4.00%, 03/15/26† | 529,878 | 531,741 | ||
Virgin Media Bristol LLC N Facility | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.61%, 01/31/28† | 370,000 | 367,149 | ||
Whatabrands LLC Initial Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 0.50% Floor), 3.75%, 08/03/28† | 510,000 | 508,927 | ||
Total Loan Agreements (Cost $15,510,374) | 15,462,570 | |||
MORTGAGE-BACKED SECURITIES — 5.2% | ||||
510 Asset Backed Trust, Series 2021-NPL1, Class A1 | ||||
(Step to 5.24% on 07/25/24), 2.24%, 06/25/61 144A STEP | 108,467 | 107,746 | ||
BANK, Series 2018-BNK15, Class B | ||||
4.65%, 11/15/61† γ | 260,000 | 290,141 | ||
BANK, Series 2021-BN35, Class AS | ||||
2.46%, 06/15/64 | 85,000 | 85,344 | ||
BPR Trust, Series 2021-NRD, Class B | ||||
(Floating, U.S. 30-Day Average SOFR + 2.12%, 2.12% Floor), 2.22%, 12/15/23 144A † | 25,000 | 25,001 | ||
BPR Trust, Series 2021-NRD, Class C | ||||
(Floating, U.S. 30-Day Average SOFR + 2.42%, 2.42% Floor), 2.52%, 12/15/23 144A † | 25,000 | 25,009 | ||
BPR Trust, Series 2021-NRD, Class D | ||||
(Floating, U.S. 30-Day Average SOFR + 3.72%, 3.72% Floor), 3.82%, 12/15/23 144A † | 15,000 | 15,025 | ||
CAFL Issuer LLC, Series 2021-RTL1, Class A1 | ||||
(Step to 4.24% on 04/30/25), 2.24%, 03/28/29 144A STEP | 105,000 | 104,751 | ||
CIM Trust, Series 2021-NR2, Class A1 | ||||
(Step to 5.57% on 04/25/24), 2.57%, 07/25/59 144A STEP | 119,234 | 119,054 | ||
COMM Mortgage Trust, Series 2012-CR3, Class AM | ||||
3.42%, 10/15/45 144A | 20,000 | 20,004 | ||
COMM Mortgage Trust, Series 2012-LC4, Class B | ||||
4.93%, 12/10/44 | 35,000 | 34,982 |
Par | Value | |||
Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.10%), 2.20%, 10/25/39 144A † | $ 158,044 | $ 158,485 | ||
Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.05%, 2.05% Floor), 2.15%, 01/25/40 144A † | 279,791 | 281,111 | ||
Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.10%), 3.15%, 10/25/41 144A † | 790,000 | 795,925 | ||
Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.65%, 1.65% Floor), 1.70%, 12/25/41 144A † | 424,000 | 425,082 | ||
CSMC OA LLC, Series 2014-USA, Class F | ||||
4.37%, 09/15/37 144A | 1,610,000 | 1,257,085 | ||
CSMC Trust, Series 2021-RPL1, Class A1 | ||||
1.67%, 09/27/60 144A † γ | 83,380 | 82,763 | ||
CSMC Trust, Series 2021-RPL3, Class M2 | ||||
3.75%, 01/25/60 144A | 100,000 | 107,564 | ||
CSMC Trust, Series 2021-RPL4, Class A1 | ||||
1.80%, 12/27/60 144A † γ | 132,544 | 132,653 | ||
CSMC, Series 2019-RIO, Class B | ||||
(Floating, ICE LIBOR USD 1M + 7.00%, 8.00% Floor), 8.00%, 12/15/22 144A † | 1,120,000 | 1,090,195 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C04, Class 2M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.85%), 2.95%, 11/25/29† | 396,161 | 406,519 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 2.35%, 07/25/30† | 1,873,355 | 1,896,385 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C04, Class 2M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.55%, 2.55% Floor), 2.65%, 12/25/30† | 1,186,197 | 1,209,247 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C05, Class 1B1 | ||||
(Floating, ICE LIBOR USD 1M + 4.25%, 4.25% Floor), 4.35%, 01/25/31† | 270,000 | 283,569 | ||
Federal Home Loan Mortgage Corporation | ||||
3.00%, 03/01/50 | 84,921 | 88,641 | ||
3.50%, 04/01/50 | 65,608 | 69,232 | ||
3.00%, 07/01/50 | 91,287 | 94,978 |
Par | Value | |||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA1, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 2.30%), 2.40%, 01/25/50 144A † | $ 770,000 | $ 770,952 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.85%, 1.85% Floor), 1.95%, 02/25/50 144A † | 510,008 | 512,204 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA6, Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 2.00%), 2.05%, 12/25/50 144A † | 310,000 | 311,929 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA3, Class B1 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.50%), 3.55%, 10/25/33 144A † | 610,000 | 633,341 | ||
Federal Home Loan Mortgage Corporation STACR Trust, Series 2018-HQA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.30%), 2.40%, 10/25/48 144A † | 1,110,000 | 1,124,140 | ||
Federal National Mortgage Association | ||||
3.00%, 08/01/46 | 95,083 | 99,736 | ||
3.00%, 12/01/47 | 297,939 | 311,558 | ||
3.50%, 08/01/49 | 150,524 | 158,532 | ||
4.00%, 08/01/49 | 144,758 | 154,050 | ||
3.50%, 09/01/49 | 256,331 | 270,420 | ||
4.00%, 10/01/49 | 207,587 | 220,914 | ||
3.00%, 03/01/50 | 147,161 | 153,692 | ||
3.00%, 05/01/50 | 170,150 | 176,818 | ||
3.50%, 06/01/50 | 48,053 | 50,683 | ||
3.00%, 07/01/50 | 49,781 | 51,772 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 4.95%, 4.95% Floor), 5.05%, 07/25/29† | 760,000 | 822,199 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-HQA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.65%), 2.75%, 12/25/29† | 1,117,256 | 1,146,754 | ||
GCAT Trust, Series 2019-RPL1, Class A1 | ||||
2.65%, 10/25/68 144A | 58,452 | 59,366 | ||
Government National Mortgage Association | ||||
4.50%, 08/20/48 | 95,611 | 101,322 | ||
3.00%, 01/01/51 TBA | 1,210,000 | 1,252,492 |
Par | Value | |||
2.50%, 01/01/52 TBA | $ 575,000 | $589,218 | ||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class C | ||||
(Floating, ICE LIBOR USD 1M + 4.00%, 3.75% Floor), 4.11%, 09/15/31 144A † | 1,524,842 | 491,615 | ||
GS Mortgage Securities Trust, Series 2014-GC18, Class AS | ||||
4.38%, 01/10/47 | 45,000 | 46,436 | ||
GS Mortgage Securities Trust, Series 2014-GC18, Class B | ||||
4.89%, 01/10/47 | 25,000 | 24,841 | ||
Hawaii Hotel Trust, Series 2019-MAUI, Class F | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 2.75% Floor), 2.86%, 05/15/38 144A † | 780,000 | 774,524 | ||
Hilton U.S.A. Trust, Series 2016-HHV, Class D | ||||
4.19%, 11/05/38 144A † γ | 540,000 | 564,147 | ||
Impac Secured Assets Trust, Series 2006-2, Class 2M3 | ||||
(Floating, ICE LIBOR USD 1M + 1.65%, 1.65% Floor, 11.50% Cap), 1.75%, 08/25/36† | 254,137 | 257,739 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ | ||||
6.50%, 02/15/51† γ | 2,437 | 2,253 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M | ||||
(Floating, ICE LIBOR USD 1M + 8.36%, 8.21% Floor), 8.47%, 06/15/35 144A † | 1,500,000 | 120,150 | ||
Legacy Mortgage Asset Trust, Series 2020-RPL1, Class A2 | ||||
3.25%, 09/25/59 144A | 120,000 | 126,393 | ||
PMT Credit Risk Transfer Trust, Series 2021-1R, Class A | ||||
(Floating, ICE LIBOR USD 1M + 2.90%, 2.90% Floor), 3.00%, 02/27/24 144A † | 132,933 | 134,851 | ||
PRPM LLC, Series 2021-1, Class A1 | ||||
2.12%, 01/25/26 144A † γ | 102,865 | 102,323 | ||
PRPM LLC, Series 2021-3, Class A1 | ||||
(Step to 4.87% on 05/25/24), 1.87%, 04/25/26 144A STEP | 88,403 | 87,953 | ||
PRPM LLC, Series 2021-5, Class A1 | ||||
(Step to 4.79% on 07/25/24), 1.79%, 06/25/26 144A STEP | 93,523 | 92,713 | ||
PRPM LLC, Series 2021-8, Class A1 | ||||
1.74%, 09/25/26 144A † γ | 91,401 | 91,152 | ||
Radnor RE, Ltd., Series 2021-1, Class M1C | ||||
(Floating, U.S. 30-Day Average SOFR + 2.70%, 2.70% Floor), 2.75%, 12/27/33 144A † | 790,000 | 780,726 |
Par | Value | |||
RBS Commercial Funding, Inc. Trust, Series 2013-GSP, Class A | ||||
3.83%, 01/15/32 144A † γ | $ 100,000 | $ 103,627 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M1 | ||||
4.00%, 08/25/56 144A | 440,000 | 443,833 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M2 | ||||
4.00%, 08/25/56 144A | 570,000 | 581,757 | ||
Seasoned Credit Risk Transfer Trust, Series 2020-2, Class M | ||||
4.25%, 11/25/59 144A | 1,170,000 | 1,197,753 | ||
SFO Commercial Mortgage Trust, Series 2021-555, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.40%, 2.40% Floor), 2.51%, 05/15/38 144A † | 760,000 | 762,671 | ||
Toorak Mortgage Corporation, Ltd., Series 2021-1, Class A1 | ||||
(Step to 3.24% on 01/25/24), 2.24%, 06/25/24 144A STEP | 100,000 | 99,734 | ||
UBS Commercial Mortgage Trust, Series 2017-C3, Class C | ||||
4.31%, 08/15/50† γ | 410,000 | 412,922 | ||
UBS Commercial Mortgage Trust, Series 2018-C13, Class B | ||||
4.79%, 10/15/51 | 270,000 | 296,256 | ||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class BEC | ||||
4.81%, 05/10/63 144A † γ | 123,000 | 118,247 | ||
Uniform Mortgage Backed Securities | ||||
2.00%, 01/01/52 TBA | 675,000 | 673,312 | ||
2.50%, 01/01/52 TBA | 3,925,000 | 4,006,720 | ||
3.00%, 01/01/52 TBA | 1,320,000 | 1,368,211 | ||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B | ||||
4.31%, 07/15/46† γ | 25,000 | 24,852 | ||
Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B | ||||
3.67%, 11/15/59 | 25,000 | 24,458 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class AS | ||||
4.09%, 06/15/45 | 45,000 | 45,049 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C | ||||
4.79%, 06/15/45† γ | 40,000 | 30,979 | ||
WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B | ||||
4.50%, 08/15/46† γ | 35,000 | 34,682 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B | ||||
4.38%, 05/15/47 | 35,000 | 35,624 | ||
Total Mortgage-Backed Securities (Cost $34,513,938) | 32,137,086 |
Number of Contracts | Notional Amount | Value | |||
PURCHASED OPTIONS — 0.0% | |||||
Put Options — 0.0% | |||||
Euro Bund 2/2022, Strike Price $171.00, Expires 01/21/22 (CITI) | 3 | $514,110 | $2,528 | ||
Euro Bund 2/2022, Strike Price $172.00, Expires 01/21/22 (CITI) | 2 | 342,740 | 2,869 | ||
Total Purchased Options (Premiums paid $2,262) | 5,397 |
Par | |||
U.S. TREASURY OBLIGATIONS — 23.2% | |||
U.S. Treasury Bonds | |||
3.50%, 02/15/39 | $ 3,540,000 | 4,453,348 | |
4.25%, 05/15/39 | 30,000 | 41,242 | |
3.88%, 08/15/40 | 20,000 | 26,443 | |
1.75%, 08/15/41 | 1,321,000 | 1,285,292 | |
2.00%, 11/15/41 | 40,000 | 40,597 | |
2.75%, 08/15/42 | 90,000 | 102,913 | |
2.88%, 05/15/43 | 2,045,000 | 2,385,141 | |
3.00%, 05/15/45 | 250,000 | 300,195 | |
3.00%, 11/15/45 | 920,000 | 1,109,678 | |
2.50%, 05/15/46 | 820,000 | 910,072 | |
2.25%, 08/15/46 | 960,000 | 1,019,437 | |
2.88%, 11/15/46 | 1,520,000 | 1,805,297 | |
3.00%, 05/15/47 | 60,000 | 73,125 | |
2.75%, 08/15/47 | 90,000 | 105,180 | |
3.13%, 05/15/48 | 40,000 | 50,200 | |
3.00%, 08/15/48 | 630,000 | 774,211 | |
3.38%, 11/15/48 | 770,000 | 1,011,738 | |
1.25%, 05/15/50 | 50,000 | 42,684 | |
1.38%, 08/15/50 | 3,730,000 | 3,284,440 | |
2.38%, 05/15/51 | 870,000 | 965,428 | |
2.00%, 08/15/51 | 4,716,000 | 4,830,952 | |
24,617,613 | |||
U.S. Treasury Notes | |||
1.88%, 01/31/22 | 710,000 | 710,980 | |
2.00%, 02/15/22 | 90,000 | 90,205 | |
1.63%, 08/15/22 | 23,540,000 | 23,742,109 | |
1.38%, 10/15/22 | 5,859,000 | 5,906,376 | |
0.13%, 12/31/22 | 2,310,000 | 2,302,985 | |
0.13%, 02/28/23 | 1,795,000 | 1,787,953 | |
0.13%, 06/30/23 | 615,000 | 610,916 | |
2.88%, 09/30/23 | 9,510,000 | 9,874,426 | |
2.88%, 10/31/23 | 2,975,000 | 3,092,954 | |
0.50%, 11/30/23Δ | 610,000 | 607,784 | |
2.75%, 02/15/24 | 5,655,000 | 5,891,361 | |
2.38%, 02/29/24 | 10,000 | 10,342 | |
1.50%, 10/31/24 | 570,000 | 579,129 | |
2.25%, 11/15/24 | 20,520,000 | 21,281,484 | |
2.00%, 02/15/25 | 70,000 | 72,133 | |
2.88%, 05/31/25 | 315,000 | 334,146 | |
0.38%, 11/30/25 | 26,242,000 | 25,464,991 | |
1.63%, 02/15/26 | 6,460,000 | 6,575,069 |
Par | Value | |||
1.63%, 05/15/26 | $ 340,000 | $ 345,937 | ||
2.00%, 11/15/26 | 870,000 | 900,654 | ||
1.25%, 11/30/26Δ | 200,000 | 200,031 | ||
0.88%, 11/15/30 | 8,550,000 | 8,139,867 | ||
1.25%, 08/15/31 | 730,000 | 714,773 | ||
1.38%, 11/15/31Δ | 550,000 | 543,770 | ||
119,780,375 | ||||
Total U.S. Treasury Obligations (Cost $142,164,221) | 144,397,988 |
Shares | |||
COMMON STOCKS — 0.2% | |||
Communication Services — 0.1% | |||
Altice U.S.A., Inc. Class A* | 10,645 | 172,236 | |
Comcast Corporation Class A | 473 | 23,806 | |
T-Mobile US, Inc.* | 5,206 | 603,792 | |
799,834 | |||
Consumer Discretionary — 0.0% | |||
Home Depot, Inc. (The) | 37 | 15,355 | |
Starbucks Corporation | 184 | 21,523 | |
36,878 | |||
Consumer Staples — 0.0% | |||
Coca-Cola Co. (The) | 390 | 23,092 | |
Procter & Gamble Co. (The) | 141 | 23,065 | |
Walmart, Inc. | 140 | 20,256 | |
66,413 | |||
Energy — 0.0% | |||
Berry Corporation | 2,492 | 20,983 | |
Chevron Corporation | 194 | 22,766 | |
Hercules Offshore, Inc.Ψ ††† Δ * | 46,644 | — | |
Whiting Petroleum Corporation* | 255 | 16,493 | |
Williams Cos., Inc. (The) | 562 | 14,635 | |
74,877 | |||
Financials — 0.0% | |||
BlackRock, Inc. | 21 | 19,227 | |
Morgan Stanley | 203 | 19,926 | |
39,153 | |||
Health Care — 0.0% | |||
Abbott Laboratories | 147 | 20,689 | |
Anthem, Inc. | 43 | 19,932 | |
UnitedHealth Group, Inc. | 28 | 14,060 | |
54,681 | |||
Industrials — 0.0% | |||
Cummins, Inc. | 87 | 18,978 | |
Deere & Co. | 57 | 19,545 | |
Lockheed Martin Corporation | 65 | 23,102 | |
Union Pacific Corporation | 85 | 21,414 | |
United Parcel Service, Inc. Class B | 96 | 20,576 | |
103,615 | |||
Information Technology — 0.1% | |||
Apple, Inc. | 144 | 25,570 | |
Automatic Data Processing, Inc. | 44 | 10,849 |
Shares | Value | |||
Broadcom, Inc. | 19 | $ 12,643 | ||
Cisco Systems, Inc. | 367 | 23,257 | ||
Corning, Inc. | 3,787 | 140,990 | ||
Microsoft Corporation | 61 | 20,515 | ||
Texas Instruments, Inc. | 63 | 11,874 | ||
245,698 | ||||
Materials — 0.0% | ||||
Newmont Corporation | 389 | 24,126 | ||
Real Estate — 0.0% | ||||
American Tower Corporation REIT | 75 | 21,938 | ||
Utilities — 0.0% | ||||
Duke Energy Corporation | 205 | 21,504 | ||
NextEra Energy, Inc. | 241 | 22,500 | ||
44,004 | ||||
Total Common Stocks (Cost $4,203,977) | 1,511,217 | |||
FOREIGN COMMON STOCKS — 0.0% | ||||
Ireland — 0.0% | ||||
Accenture PLC Class A | 55 | 22,800 | ||
Jersey — 0.0% | ||||
Clarivate PLC* | 59 | 1,388 | ||
Total Foreign Common Stocks (Cost $16,244) | 24,188 | |||
PREFERRED STOCKS — 0.1% | ||||
Bank of America Corporation | ||||
7.25% CONV | 387 | 559,370 | ||
El Paso Energy Capital Trust I | ||||
4.75%, 03/31/28 CONV | 2,799 | 141,601 |
Shares | Value | |||
Wells Fargo & Co. | ||||
7.50%, 02/27/20 CONV | 69 | $ 102,847 | ||
Total Preferred Stocks (Cost $592,008) | 803,818 | |||
FOREIGN PREFERRED STOCK — 0.0% | ||||
Jersey — 0.0% | ||||
Clarivate PLC | ||||
5.25%, 06/01/24 CONV Δ (Cost $128,000) | 1,280 | 116,301 | ||
MUTUAL FUNDS — 1.1% | ||||
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF (Cost $7,572,406) | 238,000 | 6,806,800 | ||
MONEY MARKET FUNDS — 7.4% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ | 33,009,006 | 33,009,006 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.04%Ø § | 12,778,817 | 12,778,817 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 217,087 | 217,087 | ||
Total Money Market Funds (Cost $46,004,910) | 46,004,910 | |||
TOTAL INVESTMENTS —101.6% (Cost $635,296,025) | 632,780,429 | |||
Liabilities in Excess of Other Assets — (1.6)% | (9,786,657) | |||
NET ASSETS — 100.0% | $622,993,772 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 03/2022 | 13 | $ 3,059,855 | $(166,531) | ||||
Euro-Bobl | 03/2022 | (30) | (4,550,812) | 38,029 | ||||
Euro-BTP Italian Government Bond | 03/2022 | (1) | (167,371) | 3,543 | ||||
Euro-Bund | 03/2022 | (16) | (3,121,676) | 59,698 | ||||
Euro-Schatz | 03/2022 | 70 | 8,928,231 | (15,190) | ||||
10-Year Japanese E-Mini | 03/2022 | 184 | 24,251,274 | (98,891) | ||||
10-Year Commonwealth Treasury Bond | 03/2022 | 19 | 1,923,773 | 1,853 | ||||
3-Year Commonwealth Treasury Bond | 03/2022 | 170 | 14,118,487 | 15,552 | ||||
10-Year Bond | 03/2022 | 18 | 2,029,456 | 50,347 | ||||
10-Year U.S. Treasury Note | 03/2022 | 58 | 7,567,188 | 86,357 | ||||
Long GILT | 03/2022 | 31 | 5,240,811 | 4,935 | ||||
U.S. Treasury Long Bond | 03/2022 | (42) | (6,738,375) | 71,614 | ||||
Ultra 10-Year U.S. Treasury Note | 03/2022 | (87) | (12,740,063) | (117,482) | ||||
Ultra Long U.S. Treasury Bond | 03/2022 | (57) | (11,236,125) | (235,325) | ||||
2-Year U.S. Treasury Note | 04/2022 | 209 | 45,597,922 | (38,187) | ||||
5-Year U.S. Treasury Note | 04/2022 | (375) | (45,366,211) | 13,505 | ||||
3-Month Euribor | 12/2022 | 3 | 856,565 | 779 | ||||
90-Day Eurodollar | 12/2022 | 157 | 38,839,838 | (94,200) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
90-Day Eurodollar | 12/2023 | 146 | $ 35,919,650 | $(344,925) | ||||
Total Futures Contracts outstanding at December 31, 2021 | $104,412,417 | $(764,519) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/19/22 | U.S. Dollars | 255,648,538 | Euro | 220,893,694 | SS | $4,062,140 | ||||||
01/19/22 | U.S. Dollars | 1,258,808 | Turkish Lira | 11,970,755 | RBC | 369,164 | ||||||
01/19/22 | U.S. Dollars | 16,886,594 | Euro | 14,564,810 | CITI | 298,034 | ||||||
01/19/22 | U.S. Dollars | 15,669,996 | Euro | 13,535,373 | UBS | 253,911 | ||||||
01/19/22 | U.S. Dollars | 6,473,104 | Norwegian Kroner | 55,320,604 | SS | 193,523 | ||||||
01/19/22 | U.S. Dollars | 11,502,519 | Canadian Dollars | 14,339,064 | SS | 167,070 | ||||||
01/19/22 | U.S. Dollars | 11,653,971 | Japanese Yen | 1,321,688,511 | SS | 162,253 | ||||||
01/19/22 | U.S. Dollars | 4,520,240 | Swedish Kronor | 39,552,963 | SC | 142,414 | ||||||
01/19/22 | U.S. Dollars | 18,583,923 | British Pounds | 13,639,192 | SS | 123,449 | ||||||
01/18/22 | U.S. Dollars | 2,368,949 | Russian Rubles | 169,920,000 | CITI | 109,511 | ||||||
01/19/22 | U.S. Dollars | 8,494,449 | Australian Dollars | 11,537,099 | SC | 100,113 | ||||||
01/19/22 | U.S. Dollars | 4,037,615 | Euro | 3,458,476 | BNP | 98,592 | ||||||
01/19/22 | U.S. Dollars | 4,957,754 | Euro | 4,280,587 | RBC | 82,390 | ||||||
01/19/22 | U.S. Dollars | 1,620,089 | Swedish Kronor | 13,900,307 | CITI | 81,567 | ||||||
01/18/22 | U.S. Dollars | 2,357,668 | South African Rand | 36,380,000 | CITI | 80,693 | ||||||
01/19/22 | U.S. Dollars | 4,562,180 | New Zealand Dollars | 6,557,852 | CITI | 71,836 | ||||||
01/19/22 | U.S. Dollars | 5,488,084 | New Zealand Dollars | 7,910,548 | SC | 71,512 | ||||||
01/19/22 | U.S. Dollars | 2,233,112 | Swedish Kronor | 19,532,304 | BNP | 71,225 | ||||||
01/18/22 | U.S. Dollars | 5,836,422 | Russian Rubles | 434,043,000 | GSC | 64,920 | ||||||
01/19/22 | U.S. Dollars | 1,470,512 | Australian Dollars | 1,953,017 | BNP | 49,507 | ||||||
01/19/22 | U.S. Dollars | 4,617,483 | Japanese Yen | 525,590,556 | BNP | 47,618 | ||||||
01/19/22 | Swiss Francs | 2,181,897 | U.S. Dollars | 2,354,785 | SS | 40,945 | ||||||
01/19/22 | U.S. Dollars | 694,905 | South African Rand | 10,538,726 | SS | 35,398 | ||||||
01/18/22 | Mexican Pesos | 25,706,691 | U.S. Dollars | 1,216,868 | CITI | 34,702 | ||||||
01/19/22 | U.S. Dollars | 2,233,968 | Australian Dollars | 3,025,782 | RBC | 32,424 | ||||||
01/18/22 | U.S. Dollars | 2,308,915 | Euro | 2,000,000 | CITI | 31,066 | ||||||
01/19/22 | U.S. Dollars | 1,043,217 | Norwegian Kroner | 8,916,706 | UBS | 31,060 | ||||||
01/19/22 | U.S. Dollars | 1,543,785 | Russian Rubles | 113,882,449 | SC | 29,613 | ||||||
01/19/22 | U.S. Dollars | 751,396 | Hungarian Forint | 234,839,935 | UBS | 28,924 | ||||||
01/18/22 | Indian Rupees | 301,423,535 | U.S. Dollars | 4,013,095 | CITI | 28,528 | ||||||
01/19/22 | U.S. Dollars | 2,433,022 | Japanese Yen | 276,846,790 | CITI | 25,915 | ||||||
01/19/22 | U.S. Dollars | 567,125 | Norwegian Kroner | 4,775,489 | BNP | 25,047 | ||||||
01/19/22 | U.S. Dollars | 1,627,684 | Canadian Dollars | 2,028,920 | BNP | 23,764 | ||||||
01/19/22 | U.S. Dollars | 1,477,921 | Canadian Dollars | 1,841,039 | CITI | 22,526 | ||||||
01/19/22 | Mexican Pesos | 17,444,985 | U.S. Dollars | 826,997 | BNP | 22,191 | ||||||
01/19/22 | Swiss Francs | 1,824,717 | U.S. Dollars | 1,982,255 | CITI | 21,291 | ||||||
01/19/22 | U.S. Dollars | 985,327 | Australian Dollars | 1,325,987 | CITI | 20,546 | ||||||
01/19/22 | U.S. Dollars | 546,389 | Hungarian Forint | 170,955,840 | SC | 20,453 | ||||||
01/18/22 | Hungarian Forint | 639,305,000 | U.S. Dollars | 1,946,785 | CITI | 20,190 | ||||||
01/19/22 | U.S. Dollars | 2,116,715 | British Pounds | 1,550,589 | BNP | 18,011 | ||||||
01/18/22 | U.S. Dollars | 599,060 | Australian Dollars | 800,000 | CITI | 16,986 | ||||||
01/19/22 | British Pounds | 603,440 | U.S. Dollars | 799,808 | SC | 16,940 | ||||||
01/19/22 | U.S. Dollars | 1,069,100 | Polish Zloty | 4,248,028 | SS | 16,168 | ||||||
01/19/22 | Mexican Pesos | 11,128,938 | U.S. Dollars | 527,666 | RBC | 14,070 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/19/22 | U.S. Dollars | 457,374 | Australian Dollars | 609,385 | UBS | $ 13,988 | ||||||
01/19/22 | U.S. Dollars | 1,639,803 | British Pounds | 1,202,559 | RBC | 12,155 | ||||||
01/19/22 | U.S. Dollars | 753,736 | Canadian Dollars | 938,880 | RBC | 11,524 | ||||||
01/19/22 | U.S. Dollars | 288,290 | Russian Rubles | 20,871,183 | BNP | 10,789 | ||||||
01/19/22 | Canadian Dollars | 977,109 | U.S. Dollars | 763,764 | CITI | 8,669 | ||||||
01/18/22 | U.S. Dollars | 3,991,475 | Taiwan Dollars | 110,204,629 | CITI | 8,353 | ||||||
01/19/22 | New Zealand Dollars | 1,134,996 | U.S. Dollars | 769,014 | CITI | 8,150 | ||||||
01/19/22 | Euro | 765,567 | U.S. Dollars | 864,611 | CITI | 7,329 | ||||||
01/19/22 | Euro | 582,366 | U.S. Dollars | 656,072 | BNP | 7,213 | ||||||
01/19/22 | Brazilian Reals | 4,521,270 | U.S. Dollars | 801,257 | SC | 6,714 | ||||||
01/19/22 | Swedish Kronor | 7,319,859 | U.S. Dollars | 803,629 | SS | 6,552 | ||||||
01/19/22 | U.S. Dollars | 359,144 | New Zealand Dollars | 516,418 | RBC | 5,538 | ||||||
01/19/22 | Euro | 674,626 | U.S. Dollars | 763,000 | SC | 5,365 | ||||||
01/19/22 | U.S. Dollars | 156,326 | Swedish Kronor | 1,365,893 | RBC | 5,145 | ||||||
01/19/22 | Czech Republic Koruna | 16,304,593 | U.S. Dollars | 740,774 | CITI | 4,117 | ||||||
01/19/22 | Czech Republic Koruna | 9,393,086 | U.S. Dollars | 425,203 | SC | 3,929 | ||||||
01/19/22 | Polish Zloty | 417,611 | U.S. Dollars | 99,769 | SC | 3,742 | ||||||
01/19/22 | Swedish Kronor | 10,434,759 | U.S. Dollars | 1,151,438 | CITI | 3,508 | ||||||
01/19/22 | Australian Dollars | 137,992 | U.S. Dollars | 97,275 | SC | 3,128 | ||||||
01/19/22 | U.S. Dollars | 146,151 | Euro | 125,897 | SC | 2,761 | ||||||
01/19/22 | Norwegian Kroner | 728,807 | U.S. Dollars | 79,990 | SC | 2,738 | ||||||
01/19/22 | U.S. Dollars | 907,387 | Canadian Dollars | 1,144,552 | SC | 2,585 | ||||||
01/19/22 | Mexican Pesos | 2,140,706 | U.S. Dollars | 101,647 | CITI | 2,559 | ||||||
01/19/22 | Brazilian Reals | 1,467,624 | U.S. Dollars | 260,140 | CITI | 2,131 | ||||||
01/19/22 | U.S. Dollars | 75,601 | Polish Zloty | 300,000 | UBS | 1,241 | ||||||
01/19/22 | U.S. Dollars | 154,441 | British Pounds | 113,248 | CITI | 1,161 | ||||||
01/19/22 | Swiss Francs | 142,513 | U.S. Dollars | 155,487 | SC | 993 | ||||||
01/19/22 | Swiss Francs | 48,044 | U.S. Dollars | 51,815 | BNP | 937 | ||||||
01/19/22 | U.S. Dollars | 95,526 | Japanese Yen | 10,879,284 | SC | 934 | ||||||
01/18/22 | Brazilian Reals | 593,000 | U.S. Dollars | 105,261 | CITI | 736 | ||||||
01/19/22 | Czech Republic Koruna | 2,300,136 | U.S. Dollars | 104,441 | RBC | 643 | ||||||
01/19/22 | U.S. Dollars | 35,458 | Polish Zloty | 140,864 | BNP | 543 | ||||||
01/19/22 | British Pounds | 69,049 | U.S. Dollars | 93,408 | SS | 49 | ||||||
01/19/22 | U.S. Dollars | 10 | Chilean Pesos | 7,984 | CITI | —* | ||||||
Subtotal Appreciation | $7,434,119 | |||||||||||
01/19/22 | U.S. Dollars | 240 | South Korean Won | 288,311 | SC | $ (2) | ||||||
01/19/22 | South African Rand | 1,403 | U.S. Dollars | 93 | RBC | (5) | ||||||
01/19/22 | U.S. Dollars | 521 | Mexican Pesos | 10,990 | SS | (14) | ||||||
01/19/22 | U.S. Dollars | 20,452 | Czech Republic Koruna | 450,000 | UBS | (106) | ||||||
01/19/22 | U.S. Dollars | 101,308 | British Pounds | 75,066 | SS | (292) | ||||||
01/19/22 | U.S. Dollars | 95,142 | New Zealand Dollars | 140,145 | SS | (820) | ||||||
01/19/22 | U.S. Dollars | 139,133 | Euro | 123,313 | SS | (1,314) | ||||||
01/19/22 | South African Rand | 435,791 | U.S. Dollars | 28,743 | BNP | (1,472) | ||||||
01/18/22 | U.S. Dollars | 79,665 | Mexican Pesos | 1,667,393 | GSC | (1,515) | ||||||
01/19/22 | Polish Zloty | 388,709 | U.S. Dollars | 97,866 | CITI | (1,519) | ||||||
01/19/22 | Japanese Yen | 10,972,867 | U.S. Dollars | 96,946 | SS | (1,540) | ||||||
01/19/22 | Euro | 433,855 | British Pounds | 366,387 | SC | (1,762) | ||||||
01/19/22 | U.S. Dollars | 99,798 | Swiss Francs | 92,618 | SS | (1,897) | ||||||
01/19/22 | Polish Zloty | 544,827 | U.S. Dollars | 137,001 | SC | (1,959) | ||||||
01/19/22 | U.S. Dollars | 99,451 | British Pounds | 75,112 | SC | (2,212) | ||||||
01/19/22 | U.S. Dollars | 435,892 | Euro | 385,133 | SC | (2,755) | ||||||
01/19/22 | New Zealand Dollars | 112,256 | U.S. Dollars | 80,412 | SC | (3,547) | ||||||
01/19/22 | U.S. Dollars | 135,444 | Mexican Pesos | 2,858,984 | BNP | (3,726) | ||||||
01/19/22 | Euro | 200,000 | U.S. Dollars | 231,639 | RBC | (3,849) | ||||||
01/19/22 | U.S. Dollars | 119,456 | Brazilian Reals | 690,429 | BNP | (3,926) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/19/22 | Australian Dollars | 275,151 | U.S. Dollars | 204,364 | SC | $ (4,165) | ||||||
01/19/22 | Hungarian Forint | 36,669,187 | U.S. Dollars | 117,244 | RBC | (4,433) | ||||||
01/19/22 | British Pounds | 500,000 | U.S. Dollars | 681,798 | RBC | (5,054) | ||||||
01/18/22 | Australian Dollars | 3,163,635 | U.S. Dollars | 2,307,153 | CITI | (5,316) | ||||||
01/19/22 | British Pounds | 588,908 | U.S. Dollars | 802,405 | UBS | (5,325) | ||||||
01/19/22 | British Pounds | 612,588 | U.S. Dollars | 834,529 | SS | (5,398) | ||||||
01/18/22 | Euro | 782,670 | Polish Zloty | 3,620,000 | CITI | (5,928) | ||||||
01/19/22 | U.S. Dollars | 412,756 | Swiss Francs | 382,246 | CITI | (6,952) | ||||||
01/19/22 | Canadian Dollars | 500,526 | U.S. Dollars | 404,868 | UBS | (9,187) | ||||||
01/19/22 | U.S. Dollars | 1,199,103 | Euro | 1,060,918 | CITI | (9,227) | ||||||
01/19/22 | Norwegian Kroner | 3,096,314 | U.S. Dollars | 362,281 | BNP | (10,810) | ||||||
01/19/22 | Polish Zloty | 3,151,405 | U.S. Dollars | 793,114 | SS | (11,994) | ||||||
01/19/22 | Canadian Dollars | 738,857 | U.S. Dollars | 598,048 | BNP | (13,960) | ||||||
01/19/22 | Japanese Yen | 115,825,811 | U.S. Dollars | 1,021,229 | UBS | (14,155) | ||||||
01/19/22 | Canadian Dollars | 1,080,875 | U.S. Dollars | 868,755 | SS | (14,292) | ||||||
01/19/22 | Polish Zloty | 3,706,086 | U.S. Dollars | 933,191 | RBC | (14,587) | ||||||
01/19/22 | U.S. Dollars | 742,525 | British Pounds | 559,805 | CITI | (15,164) | ||||||
01/19/22 | Euro | 684,073 | U.S. Dollars | 794,656 | CITI | (15,532) | ||||||
01/19/22 | Swiss Francs | 6,078,943 | U.S. Dollars | 6,690,609 | BNP | (15,909) | ||||||
01/19/22 | U.S. Dollars | 837,849 | Australian Dollars | 1,174,977 | BNP | (17,058) | ||||||
01/18/22 | South Korean Won | 3,422,044,000 | U.S. Dollars | 2,893,759 | CITI | (17,172) | ||||||
01/19/22 | British Pounds | 895,932 | U.S. Dollars | 1,230,151 | CITI | (17,519) | ||||||
01/19/22 | New Zealand Dollars | 929,524 | U.S. Dollars | 655,919 | CITI | (19,448) | ||||||
01/19/22 | U.S. Dollars | 1,146,396 | Swiss Francs | 1,062,973 | UBS | (20,752) | ||||||
01/18/22 | Russian Rubles | 105,720,000 | U.S. Dollars | 1,427,383 | GSC | (21,616) | ||||||
01/18/22 | Hungarian Forint | 629,506,000 | Euro | 1,721,421 | CITI | (23,742) | ||||||
01/18/22 | U.S. Dollars | 5,868,246 | Chinese Offshore Yuan | 37,511,000 | CITI | (24,530) | ||||||
01/19/22 | U.S. Dollars | 2,070,489 | Czech Republic Koruna | 45,900,141 | BNP | (26,501) | ||||||
01/19/22 | U.S. Dollars | 1,065,811 | Mexican Pesos | 22,528,873 | SC | (30,851) | ||||||
01/19/22 | Canadian Dollars | 1,649,951 | U.S. Dollars | 1,335,388 | CITI | (31,053) | ||||||
01/19/22 | Swedish Kronor | 6,913,838 | U.S. Dollars | 804,922 | UBS | (39,680) | ||||||
01/19/22 | South African Rand | 11,639,916 | U.S. Dollars | 768,669 | SC | (40,250) | ||||||
01/19/22 | U.S. Dollars | 4,067,400 | New Zealand Dollars | 6,000,000 | UBS | (40,966) | ||||||
01/18/22 | British Pounds | 3,769,249 | U.S. Dollars | 5,143,676 | GSC | (42,032) | ||||||
01/19/22 | Australian Dollars | 4,202,672 | U.S. Dollars | 3,101,433 | BNP | (43,590) | ||||||
01/19/22 | Hungarian Forint | 373,386,382 | U.S. Dollars | 1,192,872 | SS | (44,169) | ||||||
01/19/22 | U.S. Dollars | 2,266,568 | Chinese Yuan | 14,763,741 | SS | (49,729) | ||||||
01/19/22 | Norwegian Kroner | 15,996,502 | U.S. Dollars | 1,867,108 | SC | (51,305) | ||||||
01/19/22 | Norwegian Kroner | 14,916,230 | U.S. Dollars | 1,745,813 | CITI | (52,635) | ||||||
01/18/22 | Canadian Dollars | 9,608,964 | U.S. Dollars | 7,650,145 | CITI | (53,969) | ||||||
01/19/22 | Russian Rubles | 173,934,394 | U.S. Dollars | 2,375,660 | SC | (63,039) | ||||||
01/19/22 | New Zealand Dollars | 2,498,746 | U.S. Dollars | 1,775,305 | BNP | (64,345) | ||||||
01/19/22 | Australian Dollars | 5,867,449 | U.S. Dollars | 4,334,613 | CITI | (65,487) | ||||||
01/19/22 | British Pounds | 10,512,411 | U.S. Dollars | 14,302,648 | SC | (74,232) | ||||||
01/19/22 | Japanese Yen | 637,956,674 | U.S. Dollars | 5,629,207 | CITI | (82,349) | ||||||
01/19/22 | Japanese Yen | 660,162,753 | U.S. Dollars | 5,827,590 | RBC | (87,656) | ||||||
01/19/22 | New Zealand Dollars | 8,324,722 | U.S. Dollars | 5,788,029 | SS | (87,861) | ||||||
01/19/22 | Euro | 4,922,992 | U.S. Dollars | 5,696,926 | BNP | (89,895) | ||||||
01/19/22 | U.S. Dollars | 6,061,199 | Swiss Francs | 5,612,131 | RBC | (100,940) | ||||||
01/19/22 | Swedish Kronor | 27,790,863 | U.S. Dollars | 3,177,120 | SS | (101,154) | ||||||
01/18/22 | U.S. Dollars | 11,430,449 | Euro | 10,132,000 | CITI | (109,132) | ||||||
01/19/22 | Canadian Dollars | 10,543,869 | U.S. Dollars | 8,453,609 | SC | (118,371) | ||||||
01/19/22 | Japanese Yen | 1,118,624,798 | U.S. Dollars | 9,847,437 | SC | (121,302) | ||||||
01/19/22 | Australian Dollars | 11,902,147 | U.S. Dollars | 8,783,547 | SS | (123,604) | ||||||
01/19/22 | Swedish Kronor | 33,209,674 | U.S. Dollars | 3,801,129 | CITI | (125,395) | ||||||
01/19/22 | Norwegian Kroner | 43,623,989 | U.S. Dollars | 5,106,112 | RBC | (154,244) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
01/19/22 | U.S. Dollars | 9,648,760 | Swiss Francs | 8,949,976 | SC | $ (178,345) | ||||||
01/18/22 | Japanese Yen | 3,079,952,000 | U.S. Dollars | 27,133,129 | CITI | (354,012) | ||||||
01/19/22 | Turkish Lira | 11,918,698 | U.S. Dollars | 1,260,272 | SS | (374,496) | ||||||
01/19/22 | Euro | 26,860,624 | U.S. Dollars | 31,087,817 | SS | (494,967) | ||||||
01/18/22 | Euro | 40,566,940 | U.S. Dollars | 47,026,110 | CITI | (823,437) | ||||||
01/19/22 | Euro | 47,514,435 | U.S. Dollars | 54,990,831 | UBS | (874,368) | ||||||
01/19/22 | Euro | 138,800,104 | U.S. Dollars | 160,640,602 | SC | (2,554,524) | ||||||
Subtotal Depreciation | $(8,153,342) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2021 | $ (719,223) |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
iTraxx Europe & Crossover Series 35 (Pay Quarterly) | (5.00)% | 12/20/2026 | EUR | 14,077,000 | $(1,926,633) | $(1,909,386) | $(17,247) | |||||||
$(1,926,633) | $(1,909,386) | $(17,247) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
US CPI Urban Consumers (Upon termination) | 2.50% (Upon termination) | 4/28/2026 | USD | 3,690,000 | $(225,429) | $(263,537) | $38,108 | |||||||
$(225,429) | $(263,537) | $38,108 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Securities | $ 14,131,270 | $ — | $ 14,131,270 | $ — | |||
Common Stocks | 1,511,217 | 1,511,217 | — | — | |||
Corporate Bonds | 124,294,896 | — | 124,294,896 | — | |||
Foreign Bonds: | |||||||
South Korea | 391,275 | — | 61,058 | 330,217 | |||
Other ^^ | 246,692,713 | — | 246,692,713 | — | |||
Total Foreign Bonds | 247,083,988 | — | 246,753,771 | 330,217 | |||
Foreign Common Stocks | 24,188 | 24,188 | — | — | |||
Foreign Preferred Stock | 116,301 | 116,301 | — | — | |||
Loan Agreements | 15,462,570 | — | 15,462,570 | — | |||
Money Market Funds | 46,004,910 | 46,004,910 | — | — | |||
Mortgage-Backed Securities | 32,137,086 | — | 32,137,086 | — | |||
Mutual Funds | 6,806,800 | 6,806,800 | — | — | |||
Preferred Stocks | 803,818 | 803,818 | — | — | |||
Purchased Options: | |||||||
Put Options | 5,397 | 5,397 | — | — | |||
U.S. Treasury Obligations | 144,397,988 | — | 144,397,988 | — | |||
Total Assets - Investments in Securities | $632,780,429 | $55,272,631 | $577,177,581 | $330,217 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 7,434,119 | $ — | $ 7,434,119 | $ — | |||
Futures Contracts | 346,212 | 346,212 | — | — | |||
Swap Agreements | 38,108 | — | 38,108 | — | |||
Total Assets - Other Financial Instruments | $ 7,818,439 | $ 346,212 | $ 7,472,227 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (8,153,342) | $ — | $ (8,153,342) | $ — | |||
Futures Contracts | (1,110,731) | (1,110,731) | — | — | |||
Swap Agreements | (17,247) | — | (17,247) | — | |||
Total Liabilities - Other Financial Instruments | $ (9,281,320) | $ (1,110,731) | $ (8,170,589) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2021 |
Money Market Fund | Low-Duration Bond Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $1,146,985,819 | $1,071,356,879 | |
Investments in repurchase agreements, at value | 496,000,000 | — | |
Investments in securities of affiliated issuers, at value | — | 28,508,385 | |
Total investments, at value(1), (2) | 1,642,985,819 | 1,099,865,264 | |
Cash | — | 4,524 | |
Cash collateral for derivatives | — | 1,694,766 | |
Deposits with broker for futures contracts | — | 2,188,232 | |
Foreign currency(3) | — | 1,093,112 | |
Upfront premiums paid from swap agreements | — | — | |
Receivables: | |||
Dividends and reclaims | — | 1,055 | |
Interest | 196,128 | 2,880,844 | |
Securities lending | — | 5,544 | |
From advisor | 44,218 | — | |
Investment securities sold | — | 7,153,360 | |
Fund shares sold | 20,451,813 | 148,856 | |
Variation margin on centrally cleared swaps | — | — | |
Variation margin on futures contracts | — | — | |
Unrealized appreciation on foreign currency exchange contracts | — | 393,338 | |
Unrealized appreciation on swap agreements | — | 3,039 | |
Prepaid expenses and other assets | 28,907 | 21,455 | |
Total Assets | 1,663,706,885 | 1,115,453,389 | |
Liabilities | |||
TBA sale commitments, at value(4) | — | — | |
Options written, at value(5) | — | 29,906 | |
Upfront premiums received from swap agreements | — | 1,038,272 | |
Unrealized depreciation on foreign currency exchange contracts | — | 832,952 | |
Unrealized depreciation on swap agreements | — | — | |
Collateral held for securities on loan, at value | — | 8,092,328 | |
Collateral from counterparty | — | 176,296 | |
Payables: | |||
Investment securities purchased | 53,859,061 | 31,802,452 | |
Fund shares redeemed | 5,754,525 | 31,571 | |
Variation margin on centrally cleared swaps | — | 9,332 | |
Variation margin on futures contracts | — | 57,576 | |
Accrued expenses: | |||
Investment advisory fees | — | 264,136 | |
Shareholder servicing fees | 96,774 | 50,580 | |
Trustee fees | 1,941 | 616 | |
Other expenses | 132,801 | 168,098 | |
Total Liabilities | 59,845,102 | 42,554,115 | |
Net Assets | $1,603,861,783 | $1,072,899,274 | |
Net Assets Consist of: | |||
Paid-in-capital | $1,603,852,602 | $1,078,603,286 | |
Distributable earnings (loss) | 9,181 | (5,704,012) | |
Net Assets | $1,603,861,783 | $1,072,899,274 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $1,154,219,213 | $ 835,297,137 | |
Institutional shares outstanding | 1,154,180,997 | 62,222,671 | |
Net asset value, offering and redemption price per Institutional share | $ 1.00 | $ 13.42 | |
Net assets applicable to the Investor Class | $ 449,642,570 | $ 237,602,137 | |
Investor shares outstanding | 449,583,791 | 17,685,327 | |
Net asset value, offering and redemption price per Investor share | $ 1.00 | $ 13.43 | |
(1)Investments in securities of unaffiliated issuers, at cost | $1,146,985,819 | $1,072,880,889 | |
Investments in repurchase agreements, at cost | 496,000,000 | — | |
Investments in securities of affiliated issuers, at cost | — | 28,508,385 | |
Total investments, at cost | $1,642,985,819 | $1,101,389,274 | |
(2)Includes securities loaned of: | $ — | $ 10,974,907 | |
(3)Foreign currency, at cost | $ — | $ 1,080,366 | |
(4)TBA sale commitments, at cost | $ — | $ — | |
(5)Premiums received on options written | $ — | $ 105,645 |
Medium-Duration Bond Fund | Global Bond Fund | |
$2,327,197,777 | $599,771,423 | |
166,900,000 | — | |
133,664,253 | 33,009,006 | |
2,627,762,030 | 632,780,429 | |
— | 199,457 | |
20,370,514 | 7,478,985 | |
5,775,382 | 1,825,869 | |
7,542,522 | 7,704,275 | |
6,932,856 | — | |
129,097 | 48,283 | |
11,695,409 | 4,976,248 | |
10,311 | 2,841 | |
— | — | |
279,935,948 | — | |
231,524 | 233,384 | |
— | 5,331 | |
311,199 | — | |
580,030 | 7,434,119 | |
4,754 | — | |
33,795 | 14,004 | |
2,961,315,371 | 662,703,225 | |
64,070,311 | — | |
928,304 | — | |
1,797,590 | 2,172,924 | |
2,376,296 | 8,153,342 | |
263,626 | — | |
27,825,685 | 12,778,817 | |
9,419,392 | 5,830,000 | |
443,527,200 | 10,136,660 | |
721,605 | 43,603 | |
333,855 | — | |
— | 175,882 | |
645,155 | 248,131 | |
97,448 | 25,576 | |
883 | 338 | |
340,711 | 144,180 | |
552,348,061 | 39,709,453 | |
$2,408,967,310 | $622,993,772 | |
$2,398,206,139 | $633,794,439 | |
10,761,171 | (10,800,667) | |
$2,408,967,310 | $622,993,772 | |
$1,950,665,531 | $502,292,045 | |
129,670,832 | 51,425,088 | |
$ 15.04 | $ 9.77 | |
$ 458,301,779 | $120,701,727 | |
30,455,884 | 12,410,557 | |
$ 15.05 | $ 9.73 | |
$2,301,731,164 | $602,287,019 | |
166,900,000 | — | |
133,664,253 | 33,009,006 | |
$2,602,295,417 | $635,296,025 | |
$ 56,108,216 | $ 20,294,920 | |
$ 7,596,950 | $ 7,846,299 | |
$ 63,990,125 | $ — | |
$ 1,096,830 | $ — |
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2021 |
Money Market Fund | Low-Duration Bond Fund | ||
Investment Income | |||
Dividends | $ — | $ — | |
Interest | 1,298,157 | 12,663,066 | |
Securities lending, net | — | 98,668 | |
Less foreign taxes withheld | — | (8,800) | |
Total Investment Income | 1,298,157 | 12,752,934 | |
Expenses | |||
Investment advisory fees | 1,906,920 | 3,112,327 | |
Transfer agent fees: | |||
Institutional shares | 4,552 | 5,019 | |
Investor shares | 39,533 | 20,063 | |
Custodian fees | 19,542 | 128,173 | |
Shareholder servicing fees: | |||
Investor shares | 1,169,500 | 600,946 | |
Accounting and administration fees | 304,832 | 155,199 | |
Professional fees | 92,982 | 130,984 | |
Shareholder reporting fees: | |||
Institutional shares | — | 2,153 | |
Investor shares | — | 15,404 | |
Trustees expenses | 11,133 | 4,401 | |
Line of credit facility fees | 6,245 | 3,892 | |
Other expenses | 118,924 | 110,059 | |
Total Expenses | 3,674,163 | 4,288,620 | |
Expenses waived/reimbursed(1) | (2,376,006) | — | |
Net Expenses | 1,298,157 | 4,288,620 | |
Net Investment Income | — | 8,464,314 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities | 20,629 | 1,661,521 | |
Investment securities sold short | — | — | |
Futures transactions | — | 1,507,865 | |
Swap agreements | — | (1,327,157) | |
Option contracts written | — | 214,115 | |
Option contracts purchased | — | (8,539) | |
Forward foreign currency contracts | — | 1,588,941 | |
Foreign currency | — | 137,265 | |
Net realized gain (loss) | 20,629 | 3,774,011 | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | — | (17,263,413) | |
Investment securities sold short | — | — | |
Futures | — | (2,231,095) | |
Swap agreements | — | 1,033,875 | |
Option contracts written | — | 57,046 | |
Option contracts purchased | — | 1,458 | |
Forward foreign currency contracts | — | 1,618,670 | |
Foreign currency | — | 7,241 | |
Net change in unrealized appreciation (depreciation) | — | (16,776,218) | |
Net Realized and Unrealized Gain (Loss) | 20,629 | (13,002,207) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | $ 20,629 | $ (4,537,893) |
(1) | See Note 3c in Notes to Financial Statements. |
Medium-Duration Bond Fund | Global Bond Fund | |
$ — | $ 308,631 | |
46,490,800 | 19,525,232 | |
145,156 | 86,437 | |
(5,532) | (70,257) | |
46,630,424 | 19,850,043 | |
7,486,411 | 2,882,185 | |
5,278 | 4,846 | |
46,560 | 28,565 | |
335,001 | 177,127 | |
1,136,899 | 297,424 | |
377,636 | 95,580 | |
116,636 | 122,516 | |
1,517 | 1,483 | |
6,394 | 4,896 | |
5,947 | 2,499 | |
6,540 | 2,682 | |
206,354 | 129,397 | |
9,731,173 | 3,749,200 | |
— | — | |
9,731,173 | 3,749,200 | |
36,899,251 | 16,100,843 | |
(656,772) | 6,128,089 | |
1,190,090 | — | |
(9,902,557) | 3,997,426 | |
320,479 | (817,277) | |
3,852,411 | — | |
(3,848,072) | (209,494) | |
2,472,569 | (5,852,985) | |
180,297 | (419,820) | |
(6,391,555) | 2,825,939 | |
(74,345,915) | (33,682,849) | |
(4,443) | — | |
343,810 | (968,762) | |
(1,961,832) | 20,861 | |
(33,984) | — | |
(21,609) | 3,134 | |
(387,054) | 1,725,567 | |
(201,618) | (230,638) | |
(76,612,645) | (33,132,687) | |
(83,004,200) | (30,306,748) | |
$(46,104,949) | $(14,205,905) |
STATEMENTS OF CHANGES IN NET ASSETS |
Money Market Fund | |||
For the Year Ended | |||
12/31/21 | 12/31/20 | ||
Operations: | |||
Net investment income | $ — | $ 5,470,866 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 20,629 | 14,329 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | — | — | |
Net increase (decrease) in net assets resulting from operations | 20,629 | 5,485,195 | |
Distributions to Shareholders: | |||
Institutional shares | — | (4,317,024) | |
Investor shares | — | (1,153,842) | |
Total distributions | — | (5,470,866) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 6,595,566,663 | 6,163,830,444 | |
Investor shares | 478,461,978 | 592,641,013 | |
Reinvestment of dividends and distributions | |||
Institutional shares | — | 956,522 | |
Investor shares | — | 1,146,594 | |
Total proceeds from shares sold and reinvested | 7,074,028,641 | 6,758,574,573 | |
Value of shares redeemed | |||
Institutional shares | (6,609,506,460) | (5,900,852,959) | |
Investor shares | (503,905,897) | (510,679,541) | |
Total value of shares redeemed | (7,113,412,357) | (6,411,532,500) | |
Net increase (decrease) from capital share transactions(1) | (39,383,716) | 347,042,073 | |
Total increase (decrease) in net assets | (39,363,087) | 347,056,402 | |
Net Assets: | |||
Beginning of Year | 1,643,224,870 | 1,296,168,468 | |
End of Year | $ 1,603,861,783 | $ 1,643,224,870 |
(1) | See Note 6 in Notes to Financial Statements. |
Low-Duration Bond Fund | Medium-Duration Bond Fund | |||||
For the Year Ended | For the Year Ended | |||||
12/31/21 | 12/31/20 | 12/31/21 | 12/31/20 | |||
$ 8,464,314 | $ 13,748,439 | $ 36,899,251 | $ 38,500,778 | |||
3,774,011 | 11,196,237 | (6,391,555) | 68,842,443 | |||
(16,776,218) | 7,711,659 | (76,612,645) | 52,899,798 | |||
(4,537,893) | 32,656,335 | (46,104,949) | 160,243,019 | |||
(8,959,518) | (13,268,366) | (38,009,278) | (75,595,690) | |||
(1,796,689) | (3,506,890) | (7,677,777) | (17,458,099) | |||
(10,756,207) | (16,775,256) | (45,687,055) | (93,053,789) | |||
167,502,457 | 176,339,136 | 459,996,914 | 364,783,068 | |||
56,105,985 | 89,879,934 | 136,555,002 | 178,590,044 | |||
8,907,777 | 13,190,460 | 37,771,638 | 75,272,959 | |||
1,796,053 | 3,502,365 | 7,443,560 | 17,182,553 | |||
234,312,272 | 282,911,895 | 641,767,114 | 635,828,624 | |||
(151,204,553) | (141,363,518) | (168,105,314) | (277,633,544) | |||
(57,675,217) | (89,372,346) | (88,866,964) | (93,617,926) | |||
(208,879,770) | (230,735,864) | (256,972,278) | (371,251,470) | |||
25,432,502 | 52,176,031 | 384,794,836 | 264,577,154 | |||
10,138,402 | 68,057,110 | 293,002,832 | 331,766,384 | |||
1,062,760,872 | 994,703,762 | 2,115,964,478 | 1,784,198,094 | |||
$1,072,899,274 | $1,062,760,872 | $2,408,967,310 | $2,115,964,478 |
STATEMENTS OF CHANGES IN NET ASSETS |
Global Bond Fund | |||
For the Year Ended | |||
12/31/21 | 12/31/20 | ||
Operations: | |||
Net investment income | $ 16,100,843 | $ 17,127,875 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 2,825,939 | (6,807,750) | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (33,132,687) | 20,298,840 | |
Net increase (decrease) in net assets resulting from operations | (14,205,905) | 30,618,965 | |
Distributions to Shareholders: | |||
Institutional shares | (18,325,938) | (7,088,527) | |
Investor shares | (4,199,565) | (1,604,868) | |
Total distributions | (22,525,503) | (8,693,395) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 81,970,787 | 46,411,542 | |
Investor shares | 32,131,805 | 36,929,960 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 18,310,684 | 7,083,831 | |
Investor shares | 4,112,049 | 1,575,516 | |
Total proceeds from shares sold and reinvested | 136,525,325 | 92,000,849 | |
Value of shares redeemed | |||
Institutional shares | (29,454,921) | (98,572,205) | |
Investor shares | (26,144,322) | (46,644,841) | |
Total value of shares redeemed | (55,599,243) | (145,217,046) | |
Net increase (decrease) from capital share transactions(1) | 80,926,082 | (53,216,197) | |
Total increase (decrease) in net assets | 44,194,674 | (31,290,627) | |
Net Assets: | |||
Beginning of Year | 578,799,098 | 610,089,725 | |
End of Year | $622,993,772 | $ 578,799,098 |
(1) | See Note 6 in Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Money Market Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $ 1.00 | $ — | $ —† | $ —† | $ — | $ — | $ — | $ 1.00 | —% | $1,154,219 | 0.07% | 0.14% | —% | N/A |
2020 | 1.00 | —† | —† | —† | —† | — | —† | 1.00 | 0.43 | 1,168,144 | 0.14 | 0.15 | 0.39 | N/A |
2019 | 1.00 | 0.02 | —† | 0.02 | (0.02) | — | (0.02) | 1.00 | 2.13 | 904,202 | 0.14 | 0.14 | 2.10 | N/A |
2018 | 1.00 | 0.02 | —† | 0.02 | (0.02) | — | (0.02) | 1.00 | 1.74 | 841,532 | 0.15 | 0.15 | 1.74 | N/A |
2017 | 1.00 | 0.01 | —† | 0.01 | (0.01) | —† | (0.01) | 1.00 | 0.76 | 268,948 | 0.17 | 0.17 | 0.77 | N/A |
Investor Class | ||||||||||||||
2021 | $ 1.00 | $ — | $ —† | $ —† | $ — | $ — | $ — | $ 1.00 | —% | $ 449,643 | 0.08% | 0.41% | —% | N/A |
2020 | 1.00 | —† | —† | —† | —† | — | —† | 1.00 | 0.28 | 475,081 | 0.29 | 0.42 | 0.25 | N/A |
2019 | 1.00 | 0.02 | —† | 0.02 | (0.02) | — | (0.02) | 1.00 | 1.85 | 391,966 | 0.42 | 0.42 | 1.83 | N/A |
2018 | 1.00 | 0.01 | —† | 0.01 | (0.01) | — | (0.01) | 1.00 | 1.48 | 408,231 | 0.40 | 0.40 | 1.47 | N/A |
2017 | 1.00 | 0.01 | —† | 0.01 | (0.01) | —† | (0.01) | 1.00 | 0.51 | 894,563 | 0.42 | 0.42 | 0.52 | N/A |
Low-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $13.62 | $0.12 | $(0.17) | $(0.05) | $(0.14) | $(0.01) | $(0.15) | $13.42 | (0.40)% | $ 835,297 | 0.34% | 0.34% | 0.85% | 304% |
2020 | 13.40 | 0.19 | 0.26 | 0.45 | (0.23) | — | (0.23) | 13.62 | 3.42 | 822,079 | 0.35 | 0.35 | 1.44 | 220 |
2019 | 13.21 | 0.32 | 0.20 | 0.52 | (0.33) | — | (0.33) | 13.40 | 3.99 | 761,737 | 0.35 | 0.35 | 2.39 | 525 |
2018 | 13.35 | 0.30 | (0.12) | 0.18 | (0.32) | — | (0.32) | 13.21 | 1.36 | 602,968 | 0.35 | 0.35 | 2.30 | 513 |
2017 | 13.34 | 0.21 | 0.01 | 0.22 | (0.21) | — | (0.21) | 13.35 | 1.69 | 592,325 | 0.35 | 0.36 | 1.60 | 102 |
Investor Class | ||||||||||||||
2021 | $13.62 | $0.08 | $(0.17) | $(0.09) | $(0.09) | $(0.01) | $(0.10) | $13.43 | (0.65)% | $ 237,602 | 0.61% | 0.61% | 0.58% | 304% |
2020 | 13.40 | 0.16 | 0.26 | 0.42 | (0.20) | — | (0.20) | 13.62 | 3.16 | 240,682 | 0.62 | 0.62 | 1.17 | 220 |
2019 | 13.21 | 0.29 | 0.20 | 0.49 | (0.30) | — | (0.30) | 13.40 | 3.71 | 232,967 | 0.62 | 0.62 | 2.16 | 525 |
2018 | 13.35 | 0.27 | (0.13) | 0.14 | (0.28) | — | (0.28) | 13.21 | 1.10 | 305,475 | 0.61 | 0.61 | 2.03 | 513 |
2017 | 13.34 | 0.18 | 0.01 | 0.19 | (0.18) | — | (0.18) | 13.35 | 1.42 | 310,208 | 0.62 | 0.63 | 1.33 | 102 |
Medium-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $15.65 | $0.24 | $(0.56) | $(0.32) | $(0.27) | $(0.02) | $(0.29) | $15.04 | (2.01)% | $1,950,666 | 0.36% | 0.36% | 1.60% | 347% |
2020 | 15.05 | 0.33 | 1.03 | 1.36 | (0.37) | (0.39) | (0.76) | 15.65 | 9.13 | 1,694,858 | 0.38 | 0.38 | 2.12 | 444 |
2019 | 14.28 | 0.43 | 0.96 | 1.39 | (0.42) | (0.20) | (0.62) | 15.05 | 9.81 | 1,476,286 | 0.39 | 0.39 | 2.90 | 433 |
2018 | 14.75 | 0.40 | (0.47) | (0.07) | (0.40) | — | (0.40) | 14.28 | (0.46) | 1,240,967 | 0.37 | 0.38 | 2.76 | 431 |
2017 | 14.46 | 0.34 | 0.26 | 0.60 | (0.31) | — | (0.31) | 14.75 | 4.13 | 1,138,597 | 0.39 | 0.40 | 2.32 | 387 |
Investor Class | ||||||||||||||
2021 | $15.66 | $0.20 | $(0.56) | $(0.36) | $(0.23) | $(0.02) | $(0.25) | $15.05 | (2.27)% | $ 458,302 | 0.62% | 0.62% | 1.33% | 347% |
2020 | 15.06 | 0.29 | 1.02 | 1.31 | (0.32) | (0.39) | (0.71) | 15.66 | 8.84 | 421,106 | 0.65 | 0.65 | 1.84 | 444 |
2019 | 14.28 | 0.39 | 0.97 | 1.36 | (0.38) | (0.20) | (0.58) | 15.06 | 9.58 | 307,912 | 0.65 | 0.65 | 2.63 | 433 |
2018 | 14.75 | 0.36 | (0.47) | (0.11) | (0.36) | — | (0.36) | 14.28 | (0.72) | 270,107 | 0.64 | 0.65 | 2.49 | 431 |
2017 | 14.46 | 0.30 | 0.26 | 0.56 | (0.27) | — | (0.27) | 14.75 | 3.93 | 269,362 | 0.66 | 0.67 | 2.05 | 387 |
Global Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $10.38 | $0.27 | $(0.51) | $(0.24) | $(0.21) | $(0.16) | $(0.37) | $ 9.77 | (2.31)% | $ 502,292 | 0.56% | 0.56% | 2.69% | 57% |
2020 | 10.01 | 0.29 | 0.23 | 0.52 | (0.07) | (0.08) | (0.15) | 10.38 | 5.28 | 460,852 | 0.56 | 0.56 | 2.91 | 95 |
2019 | 9.32 | 0.42 | 0.62 | 1.04 | (0.35) | — | (0.35) | 10.01 | 11.31 | 486,865 | 0.54 | 0.54 | 4.30 | 59 |
2018 | 10.08 | 0.43 | (0.88) | (0.45) | (0.31) | — | (0.31) | 9.32 | (4.51) | 409,257 | 0.53 | 0.55 | 4.50 | 23 |
2017 | 9.68 | 0.42 | 0.35 | 0.77 | (0.37) | — | (0.37) | 10.08 | 8.09 | 405,411 | 0.56 | 0.58 | 4.18 | 31 |
Investor Class | ||||||||||||||
2021 | $10.34 | $0.24 | $(0.50) | $(0.26) | $(0.19) | $(0.16) | $(0.35) | $ 9.73 | (2.53)% | $ 120,702 | 0.85% | 0.85% | 2.40% | 57% |
2020 | 10.00 | 0.26 | 0.22 | 0.48 | (0.06) | (0.08) | (0.14) | 10.34 | 4.93 | 117,947 | 0.85 | 0.85 | 2.64 | 95 |
2019 | 9.31 | 0.40 | 0.62 | 1.02 | (0.33) | — | (0.33) | 10.00 | 11.03 | 123,225 | 0.82 | 0.82 | 4.02 | 59 |
2018 | 10.07 | 0.41 | (0.88) | (0.47) | (0.29) | — | (0.29) | 9.31 | (4.73) | 114,418 | 0.80 | 0.82 | 4.22 | 23 |
2017 | 9.68 | 0.39 | 0.35 | 0.74 | (0.35) | — | (0.35) | 10.07 | 7.69 | 123,120 | 0.83 | 0.85 | 3.89 | 31 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
% | |
U.S. Treasury Obligations | 32.4 |
Money Market Funds | 22.2 |
Corporate Bonds | 20.7 |
Purchased Options | 6.1 |
Health Care | 3.3 |
Consumer Staples | 3.3 |
Financials | 3.2 |
Information Technology | 2.0 |
Foreign Bonds | 1.9 |
Industrials | 1.8 |
Utilities | 1.7 |
Materials | 1.1 |
Energy | 1.0 |
Communication Services | 0.7 |
Equity-Linked Securities | 0.6 |
Consumer Discretionary | 0.2 |
Mutual Funds | 0.1 |
Real Estate | 0.1 |
Written Options | (0.2) |
102.2 |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 12.15% | 11.79% | 13.70% | ||||
Five Year | 10.43% | 10.12% | 9.79% | ||||
Ten Year | 10.37% | 10.08% | 8.53% | ||||
Since Inception | 10.28% | 9.99% | 8.47% | ||||
Inception Date | 09/01/11 | 09/01/11 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.68% | 0.95% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 13.1% | ||||
Communication Services — 0.6% | ||||
Comcast Corporation Class A | 10,300 | $ 518,399 | ||
Verizon Communications, Inc. | 158,200 | 8,220,072 | ||
8,738,471 | ||||
Consumer Staples — 2.2% | ||||
Colgate-Palmolive Co. | 77,800 | 6,639,452 | ||
Hershey Co. (The) | 25,200 | 4,875,444 | ||
Mondelez International, Inc. Class A | 67,300 | 4,462,663 | ||
PepsiCo, Inc. | 36,100 | 6,270,931 | ||
Procter & Gamble Co. (The) | 19,300 | 3,157,094 | ||
Walmart, Inc. | 51,805 | 7,495,666 | ||
32,901,250 | ||||
Energy — 0.8% | ||||
Baker Hughes Co. | 101,000 | 2,430,060 | ||
Chevron Corporation | 60,400 | 7,087,940 | ||
Exxon Mobil Corporation | 45,000 | 2,753,550 | ||
12,271,550 | ||||
Financials — 2.7% | ||||
Aflac, Inc. | 34,774 | 2,030,454 | ||
Allstate Corporation (The) | 10,200 | 1,200,030 | ||
Ameriprise Financial, Inc. | 8,602 | 2,594,879 | ||
Bank of New York Mellon Corporation (The) | 78,500 | 4,559,280 | ||
BlackRock, Inc. | 746 | 683,008 | ||
Capitol Federal Financial, Inc. | 222,500 | 2,520,925 | ||
Commerce Bancshares, Inc. | 22,143 | 1,522,068 | ||
Hartford Financial Services Group, Inc. (The) | 24,200 | 1,670,768 | ||
JPMorgan Chase & Co. | 37,856 | 5,994,498 | ||
Marsh & McLennan Cos., Inc. | 49,561 | 8,614,693 | ||
MetLife, Inc. | 20,900 | 1,306,041 | ||
Northern Trust Corporation | 28,600 | 3,420,846 | ||
PNC Financial Services Group, Inc. (The) | 8,700 | 1,744,524 | ||
T. Rowe Price Group, Inc. | 4,100 | 806,224 | ||
U.S. Bancorp | 44,600 | 2,505,182 | ||
41,173,420 | ||||
Health Care — 1.0% | ||||
Amgen, Inc. | 13,600 | 3,059,592 | ||
Cardinal Health, Inc. | 22,500 | 1,158,525 | ||
Cerner Corporation | 69,700 | 6,473,039 | ||
Eli Lilly and Co. | 2,700 | 745,794 | ||
Quest Diagnostics, Inc. | 6,830 | 1,181,659 | ||
UnitedHealth Group, Inc. | 3,500 | 1,757,490 | ||
14,376,099 | ||||
Industrials — 1.8% | ||||
Emerson Electric Co. | 76,410 | 7,103,838 | ||
Hubbell, Inc. | 23,889 | 4,975,362 | ||
Norfolk Southern Corporation | 15,114 | 4,499,589 | ||
PACCAR, Inc. | 3,700 | 326,562 | ||
Raytheon Technologies Corporation | 76,178 | 6,555,878 | ||
Republic Services, Inc. | 19,233 | 2,682,042 | ||
United Parcel Service, Inc. Class B | 4,700 | 1,007,398 | ||
27,150,669 |
Shares | Value | |||
Information Technology — 2.0% | ||||
Automatic Data Processing, Inc. | 24,533 | $ 6,049,347 | ||
Cisco Systems, Inc. | 127,278 | 8,065,607 | ||
Corning, Inc. | 116,400 | 4,333,572 | ||
Microsoft Corporation | 17,400 | 5,851,968 | ||
Oracle Corporation | 17,800 | 1,552,338 | ||
Texas Instruments, Inc. | 24,600 | 4,636,362 | ||
30,489,194 | ||||
Materials — 0.2% | ||||
Packaging Corporation of America | 19,400 | 2,641,310 | ||
Real Estate — 0.1% | ||||
American Tower Corporation REIT | 1,462 | 427,635 | ||
Equinix, Inc. REITΔ | 414 | 350,178 | ||
Orion Office REIT, Inc.* | 0 € | 3 | ||
Welltower, Inc. REIT | 13,800 | 1,183,626 | ||
1,961,442 | ||||
Utilities — 1.7% | ||||
Atmos Energy CorporationΔ | 48,085 | 5,037,865 | ||
Duke Energy Corporation | 29,484 | 3,092,872 | ||
Evergy, Inc. | 16,300 | 1,118,343 | ||
Eversource EnergyΔ | 33,743 | 3,069,938 | ||
ONE Gas, Inc. | 90,602 | 7,029,809 | ||
Spire, Inc. | 97,640 | 6,368,081 | ||
25,716,908 | ||||
Total Common Stocks (Cost $160,278,266) | 197,420,313 | |||
FOREIGN COMMON STOCKS — 4.6% | ||||
France — 0.2% | ||||
TotalEnergies SEΔ | 64,623 | 3,283,576 | ||
Germany — 0.1% | ||||
Deutsche Telekom AG | 82,000 | 1,515,155 | ||
Ireland — 1.4% | ||||
Linde PLC | 21,400 | 7,413,602 | ||
Medtronic PLC | 128,591 | 13,302,739 | ||
20,716,341 | ||||
Japan — 0.2% | ||||
Bridgestone CorporationΔ | 33,100 | 1,421,071 | ||
Toyota Motor Corporation | 61,600 | 1,138,528 | ||
2,559,599 | ||||
Jersey — 0.2% | ||||
Amcor PLC | 205,500 | 2,468,055 | ||
Netherlands — 0.5% | ||||
Akzo Nobel NV | 35,500 | 3,900,216 | ||
Koninklijke Ahold Delhaize NV | 122,553 | 4,204,634 | ||
8,104,850 | ||||
Switzerland — 1.6% | ||||
Chubb, Ltd. | 25,017 | 4,836,036 | ||
Nestle SA | 37,100 | 5,179,803 | ||
Novartis AG | 52,000 | 4,569,345 | ||
Roche Holding AG | 22,100 | 9,168,434 | ||
23,753,618 |
Shares | Value | |||
United Kingdom — 0.4% | ||||
Unilever PLC | 112,200 | $ 6,010,792 | ||
Total Foreign Common Stocks (Cost $60,887,463) | 68,411,986 | |||
PREFERRED STOCKS — 0.7% | ||||
Bank of America Corporation | ||||
7.25% CONV | 1,700 | 2,457,180 | ||
Becton Dickinson and Co. | ||||
6.00% 06/01/23 CONV | 138,928 | 7,328,452 | ||
Total Preferred Stocks (Cost $9,684,998) | 9,785,632 | |||
MUTUAL FUNDS — 0.1% | ||||
iShares Russell 1000 Value ETF (Cost $1,925,250) | 11,900 | 1,998,367 |
Par | |||
CORPORATE BONDS — 20.7% | |||
Affirm Holdings, Inc. | |||
0.00%, 11/15/26 144AΩ CONV | $ 974,000 | 880,496 | |
Airbnb, Inc. | |||
0.00%, 03/15/26 144AΩ CONV | 2,241,000 | 2,198,421 | |
Akamai Technologies, Inc. | |||
0.13%, 05/01/25 CONV | 493,000 | 647,703 | |
0.38%, 09/01/27 CONV | 1,836,000 | 2,156,198 | |
Alarm.com Holdings, Inc. | |||
0.43%, 01/15/26 144AΩ CONV | 2,216,000 | 2,005,480 | |
Allscripts Healthcare Solutions, Inc. | |||
0.88%, 01/01/27 CONV | 2,007,000 | 2,979,091 | |
Altair Engineering, Inc. | |||
0.25%, 06/01/24 CONV | 625,000 | 1,065,250 | |
Alteryx, Inc. | |||
1.00%, 08/01/26 CONVΔ | 706,000 | 634,518 | |
Ares Capital Corporation | |||
4.63%, 03/01/24 CONV | 505,000 | 580,144 | |
Avalara, Inc. | |||
0.25%, 08/01/26 144A CONV | 1,920,000 | 1,781,760 | |
Bank of America Corporation | |||
(Variable, ICE LIBOR USD 3M + 2.66%), 4.30%, 01/28/25ρ^ | 1,034,000 | 1,046,925 | |
(Variable, ICE LIBOR USD 3M + 2.93%), 5.88%, 03/15/28ρ^ | 3,011,000 | 3,353,501 | |
Bank of New York Mellon Corporation (The) | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.36%), 4.70%, 09/20/25ρ^ | 268,000 | 286,559 | |
Bentley Systems, Inc. | |||
0.13%, 01/15/26 144A CONV | 951,000 | 983,144 | |
0.38%, 07/01/27 144A CONV | 1,491,000 | 1,379,175 |
Par | Value | |||
Beyond Meat, Inc. | ||||
0.37%, 03/15/27 144AΩ CONV | $3,062,000 | $2,137,582 | ||
BioMarin Pharmaceutical, Inc. | ||||
0.60%, 08/01/24 CONV | 4,310,000 | 4,517,311 | ||
Blackline, Inc. | ||||
0.00%, 03/15/26 144AΩ CONV | 2,907,000 | 2,715,138 | ||
Blackstone Mortgage Trust, Inc. REIT | ||||
4.75%, 03/15/23 CONV | 2,245,000 | 2,313,697 | ||
Block, Inc. | ||||
0.25%, 11/01/27 CONVΔ | 2,084,000 | 2,220,762 | ||
BofA Finance LLC | ||||
0.25%, 05/01/23 CONV | 1,496,000 | 1,638,868 | ||
Booking Holdings, Inc. | ||||
0.75%, 05/01/25 CONVΔ | 1,562,000 | 2,301,607 | ||
Box, Inc. | ||||
0.00%, 01/15/26 144AΩ CONV | 2,457,000 | 2,963,879 | ||
Burlington Stores, Inc. | ||||
2.25%, 04/15/25 CONV | 1,965,000 | 2,929,078 | ||
Cable One, Inc. | ||||
0.00%, 03/15/26 144AΩ CONV | 1,559,000 | 1,498,199 | ||
Ceridian HCM Holding, Inc. | ||||
0.25%, 03/15/26 144A CONV | 1,784,000 | 1,872,486 | ||
Charles Schwab Corporation (The) | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.97%), 5.38%, 06/01/25ρΔ^ | 974,000 | 1,064,095 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.17%), 4.00%, 06/01/26ρ^ | 3,860,000 | 3,942,025 | ||
(Variable, ICE LIBOR USD 3M + 2.58%), 5.00%, 12/01/27ρΔ^ | 1,119,000 | 1,163,395 | ||
Cheesecake Factory, Inc. (The) | ||||
0.38%, 06/15/26 CONV | 2,226,000 | 2,004,791 | ||
Chegg, Inc. | ||||
0.00%, 09/01/26Ω CONV | 3,908,000 | 3,253,410 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23ρ^ | 1,792,000 | 1,850,240 | ||
Coherus Biosciences, Inc. | ||||
1.50%, 04/15/26 CONV | 1,260,000 | 1,393,088 | ||
CONMED Corporation | ||||
2.63%, 02/01/24 CONV | 967,000 | 1,612,473 | ||
Coupa Software, Inc. | ||||
0.38%, 06/15/26 CONV | 1,601,000 | 1,520,950 | ||
Cracker Barrel Old Country Store, Inc. | ||||
0.63%, 06/15/26 144A CONV | 2,417,000 | 2,327,873 | ||
Datadog, Inc. | ||||
0.13%, 06/15/25 CONV | 920,000 | 1,848,280 | ||
Dexcom, Inc. | ||||
0.25%, 11/15/25 CONV | 2,444,000 | 2,912,942 |
Par | Value | |||
DigitalOcean Holdings, Inc. | ||||
0.00%, 12/01/26 144AΩ CONV | $1,823,000 | $1,621,376 | ||
DISH Network Corporation | ||||
0.00%, 12/15/25Ω CONV | 1,209,000 | 1,221,090 | ||
3.38%, 08/15/26 CONV | 5,486,000 | 5,206,505 | ||
DocuSign, Inc. | ||||
0.00%, 01/15/24 144AΩ CONVΔ | 1,946,000 | 1,885,674 | ||
Dominion Energy, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.99%), 4.65%, 12/15/24ρ^ | 2,125,000 | 2,220,625 | ||
Dropbox, Inc. | ||||
0.00%, 03/01/26 144AΩ CONV | 1,707,000 | 1,668,593 | ||
0.00%, 03/01/28 144AΩ CONV | 1,707,000 | 1,684,596 | ||
Duke Energy Corporation | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.39%), 4.88%, 09/16/24ρΔ^ | 2,407,000 | 2,503,280 | ||
Enphase Energy, Inc. | ||||
0.00%, 03/01/26 144AΩ CONV | 1,862,000 | 1,873,172 | ||
1.86%, 03/01/28 144AΩ CONVΔ | 1,809,000 | 1,875,029 | ||
Envestnet, Inc. | ||||
0.75%, 08/15/25 144A CONV | 2,227,000 | 2,245,094 | ||
EQT Corporation | ||||
1.75%, 05/01/26 CONV | 1,331,000 | 2,224,766 | ||
Etsy, Inc. | ||||
0.13%, 09/01/27 CONVΔ | 1,095,000 | 1,474,418 | ||
0.25%, 06/15/28 144A CONV | 1,892,000 | 2,233,695 | ||
Euronet Worldwide, Inc. | ||||
0.75%, 03/15/49 CONVΔ | 2,663,000 | 2,902,670 | ||
Exact Sciences Corporation | ||||
0.38%, 03/15/27 CONV | 1,840,000 | 1,881,400 | ||
Expedia Group, Inc. | ||||
0.00%, 02/15/26 144AΩ CONVΔ | 2,271,000 | 2,624,140 | ||
Five9, Inc. | ||||
0.50%, 06/01/25 CONV | 542,000 | 666,985 | ||
Ford Motor Co. | ||||
0.00%, 03/15/26 144AΩ CONVΔ | 1,892,000 | 2,612,142 | ||
FTI Consulting, Inc. | ||||
2.00%, 08/15/23 CONV | 1,261,000 | 1,958,333 | ||
Greenbrier Cos., Inc. (The) | ||||
2.88%, 04/15/28 144A CONV | 2,776,000 | 3,032,780 | ||
Guardant Health, Inc. | ||||
0.00%, 11/15/27Ω CONV | 1,569,000 | 1,595,045 | ||
Haemonetics Corporation | ||||
3.70%, 03/01/26 144AΩ CONVΔ | 1,004,000 | 844,489 | ||
Halozyme Therapeutics, Inc. | ||||
0.25%, 03/01/27 144A CONV | 1,736,000 | 1,554,805 | ||
Herbalife Nutrition, Ltd. | ||||
2.63%, 03/15/24 CONV | 89,000 | 89,392 |
Par | Value | |||
II-VI, Inc. | ||||
0.25%, 09/01/22 CONV | $1,002,000 | $1,485,465 | ||
Illumina, Inc. | ||||
0.00%, 08/15/23Ω CONVΔ | 2,349,000 | 2,691,073 | ||
Insight Enterprises, Inc. | ||||
0.75%, 02/15/25 CONV | 2,137,000 | 3,429,885 | ||
Insulet Corporation | ||||
0.38%, 09/01/26 CONV | 1,611,000 | 2,139,213 | ||
Integra LifeSciences Holdings Corporation | ||||
0.50%, 08/15/25 CONV | 1,738,000 | 1,891,118 | ||
InterDigital, Inc. | ||||
2.00%, 06/01/24 CONV | 1,042,000 | 1,148,805 | ||
Ionis Pharmaceuticals, Inc. | ||||
0.13%, 12/15/24 CONV | 1,179,000 | 1,059,626 | ||
Ironwood Pharmaceuticals, Inc. | ||||
0.75%, 06/15/24 CONV | 1,001,000 | 1,121,746 | ||
1.50%, 06/15/26 CONV | 746,000 | 854,170 | ||
Itron, Inc. | ||||
0.00%, 03/15/26 144AΩ CONV | 1,969,000 | 1,797,688 | ||
Jamf Holding Corporation | ||||
0.13%, 09/01/26 144A CONV | 2,206,000 | 2,298,376 | ||
Jazz Investments I, Ltd. | ||||
1.50%, 08/15/24 CONVΔ | 282,000 | 283,234 | ||
2.00%, 06/15/26 CONVΔ | 1,648,000 | 1,868,420 | ||
JetBlue Airways Corporation | ||||
0.50%, 04/01/26 144A CONV | 2,602,000 | 2,438,640 | ||
John Bean Technologies Corporation | ||||
0.25%, 05/15/26 144A CONV | 685,000 | 756,240 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.47%), 3.60%, 04/30/22†ρΔ | 2,686,000 | 2,699,449 | ||
(Variable, U.S. SOFR + 3.38%), 5.00%, 08/01/24ρ^ | 5,266,000 | 5,414,106 | ||
(Variable, U.S. SOFR + 3.13%), 4.60%, 02/01/25ρ^ | 1,083,000 | 1,112,783 | ||
KBR, Inc. | ||||
2.50%, 11/01/23 CONV | 865,000 | 1,649,192 | ||
LCI Industries | ||||
1.13%, 05/15/26 CONV | 1,203,000 | 1,326,909 | ||
LendingTree, Inc. | ||||
0.50%, 07/15/25 CONVΔ | 195,000 | 162,581 | ||
Liberty Broadband Corporation | ||||
1.25%, 09/30/50 144A CONV | 1,080,000 | 1,070,280 | ||
2.75%, 09/30/50 144A CONV | 1,915,000 | 1,944,654 | ||
Liberty Media Corp-Liberty Formula One | ||||
1.00%, 01/30/23 CONV | 1,231,000 | 2,127,535 |
Par | Value | |||
Liberty Media Corporation | ||||
1.38%, 10/15/23 CONV | $ 636,000 | $ 960,226 | ||
2.13%, 03/31/48 144A CONV | 3,665,000 | 3,800,605 | ||
Liberty TripAdvisor Holdings, Inc. | ||||
0.50%, 06/30/51 144A CONV | 1,896,000 | 1,546,378 | ||
Live Nation Entertainment, Inc. | ||||
2.00%, 02/15/25 CONV | 2,623,000 | 3,459,737 | ||
Lumentum Holdings, Inc. | ||||
0.50%, 12/15/26 CONV | 1,996,000 | 2,492,505 | ||
MACOM Technology Solutions Holdings, Inc. | ||||
0.25%, 03/15/26 144A CONV | 1,666,000 | 1,958,591 | ||
Mandiant, Inc. | ||||
0.88%, 06/01/24 CONV | 1,025,000 | 1,071,125 | ||
Marriott Vacations Worldwide Corporation | ||||
1.50%, 09/15/22 CONV | 1,000 | 1,221 | ||
0.00%, 01/15/26 144AΩ CONV | 2,707,000 | 3,181,376 | ||
Match Group Financeco 3, Inc. | ||||
2.00%, 01/15/30 144A CONV | 675,000 | 1,190,970 | ||
Meritor, Inc. | ||||
3.25%, 10/15/37 CONV | 1,981,000 | 2,161,865 | ||
Microchip Technology, Inc. | ||||
0.13%, 11/15/24 CONVΔ | 5,410,000 | 6,721,925 | ||
National Vision Holdings, Inc. | ||||
2.50%, 05/15/25 CONV | 434,000 | 727,764 | ||
NCL Corporation, Ltd. | ||||
1.13%, 02/15/27 144A CONV | 2,152,000 | 2,025,678 | ||
Neurocrine Biosciences, Inc. | ||||
2.25%, 05/15/24 CONV | 838,000 | 1,053,261 | ||
New Relic, Inc. | ||||
0.50%, 05/01/23 CONV | 1,051,000 | 1,254,684 | ||
NextEra Energy Partners LP | ||||
0.00%, 11/15/25 144AΩ CONV | 1,921,000 | 2,198,584 | ||
NuVasive, Inc. | ||||
0.38%, 03/15/25 CONV | 1,990,000 | 1,917,863 | ||
Okta, Inc. | ||||
0.38%, 06/15/26 CONV | 2,162,000 | 2,583,590 | ||
ON Semiconductor Corporation | ||||
0.00%, 05/01/27 144AΩ CONVΔ | 1,812,000 | 2,645,520 | ||
Opendoor Technologies, Inc. | ||||
0.25%, 08/15/26 144A CONV | 1,776,000 | 1,849,260 | ||
Palo Alto Networks, Inc. | ||||
0.75%, 07/01/23 CONV | 971,000 | 2,037,935 | ||
Pandora Media LLC | ||||
1.75%, 12/01/23 CONV | 1,378,000 | 1,569,041 |
Par | Value | |||
Parsons Corporation | ||||
0.25%, 08/15/25 CONV | $1,822,000 | $1,815,987 | ||
Patrick Industries, Inc. | ||||
1.75%, 12/01/28 144A CONV | 331,000 | 344,986 | ||
Pegasystems, Inc. | ||||
0.75%, 03/01/25 CONV | 2,396,000 | 2,542,875 | ||
Peloton Interactive, Inc. | ||||
3.63%, 02/15/26 144AΩ CONV | 2,265,000 | 1,930,912 | ||
Perficient, Inc. | ||||
0.13%, 11/15/26 144A CONV | 355,000 | 337,715 | ||
Pioneer Natural Resources Co. | ||||
0.25%, 05/15/25 CONV | 1,216,000 | 2,172,840 | ||
Progressive Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 2.54%), 5.38%, 03/15/23ρ^ | 1,321,000 | 1,354,025 | ||
Pure Storage, Inc. | ||||
0.13%, 04/15/23 CONV | 2,376,000 | 3,177,900 | ||
Q2 Holdings, Inc. | ||||
0.13%, 11/15/25 CONV | 1,445,000 | 1,331,137 | ||
0.75%, 06/01/26 CONV | 1,051,000 | 1,183,398 | ||
Rapid7, Inc. | ||||
2.25%, 05/01/25 CONV | 679,000 | 1,362,882 | ||
0.25%, 03/15/27 144A CONV | 1,832,000 | 2,370,242 | ||
Realogy Group LLC | ||||
0.25%, 06/15/26 144A CONV | 1,597,000 | 1,580,156 | ||
Redfin Corporation | ||||
0.00%, 10/15/25Ω CONV | 1,761,000 | 1,577,196 | ||
0.50%, 04/01/27 144A CONV | 1,747,000 | 1,425,727 | ||
Repligen Corporation | ||||
0.38%, 07/15/24 CONV | 473,000 | 1,107,707 | ||
RingCentral, Inc. | ||||
0.00%, 03/01/25Ω CONV | 3,273,000 | 3,091,218 | ||
0.00%, 03/15/26Ω CONV | 1,298,000 | 1,155,829 | ||
Royal Caribbean Cruises, Ltd. | ||||
2.88%, 11/15/23 CONV | 1,400,000 | 1,656,200 | ||
Shake Shack, Inc. | ||||
0.23%, 03/01/28 144AΩ CONV | 2,174,000 | 1,809,855 | ||
Shift4 Payments, Inc. | ||||
0.00%, 12/15/25 144AΩ CONV | 1,055,000 | 1,117,667 | ||
0.50%, 08/01/27 144A CONV | 221,000 | 195,165 | ||
Silicon Laboratories, Inc. | ||||
0.63%, 06/15/25 CONV | 1,233,000 | 2,167,737 | ||
Snap, Inc. | ||||
0.00%, 05/01/27 144AΩ CONV | 2,523,000 | 2,452,459 | ||
SoFi Technologies, Inc. | ||||
0.00%, 10/15/26 144AΩ CONV | 714,000 | 740,811 | ||
SolarEdge Technologies, Inc. | ||||
0.00%, 09/15/25Ω CONV | 1,622,000 | 2,063,995 | ||
Southwest Airlines Co. | ||||
1.25%, 05/01/25 CONV | 1,660,000 | 2,219,005 | ||
Spirit Airlines, Inc. | ||||
1.00%, 05/15/26 CONVΔ | 2,252,000 | 1,952,575 |
Par | Value | |||
Splunk, Inc. | ||||
0.50%, 09/15/23 CONV | $1,762,000 | $1,888,578 | ||
1.13%, 06/15/27 CONV | 3,898,000 | 3,654,375 | ||
Spotify U.S.A., Inc. | ||||
2.01%, 03/15/26 144AΩ CONV | 2,171,000 | 1,968,880 | ||
Stride, Inc. | ||||
1.13%, 09/01/27 CONV | 2,322,000 | 2,270,619 | ||
Sunrun, Inc. | ||||
0.00%, 02/01/26 144AΩ CONV | 1,301,000 | 1,019,688 | ||
Supernus Pharmaceuticals, Inc. | ||||
0.63%, 04/01/23 CONV | 1,007,000 | 997,559 | ||
Tandem Diabetes Care, Inc. | ||||
1.50%, 05/01/25 144A CONV | 1,209,000 | 1,798,388 | ||
Teladoc Health, Inc. | ||||
1.25%, 06/01/27 CONV | 2,343,000 | 2,145,309 | ||
TripAdvisor, Inc. | ||||
0.25%, 04/01/26 144A CONV | 1,498,000 | 1,321,985 | ||
Twitter, Inc. | ||||
0.25%, 06/15/24 CONV | 1,174,000 | 1,282,041 | ||
0.00%, 03/15/26 144AΩ CONV | 2,780,000 | 2,503,668 | ||
U.S. Bancorp | ||||
(Variable, ICE LIBOR USD 3M + 2.91%), 5.30%, 04/15/27ρ^ | 2,949,000 | 3,193,384 | ||
Uber Technologies, Inc. | ||||
0.00%, 12/15/25Ω CONVΔ | 2,112,000 | 2,083,488 | ||
Unity Software, Inc. | ||||
0.00%, 11/15/26 144AΩ CONV | 1,226,000 | 1,124,855 | ||
Upstart Holdings, Inc. | ||||
0.25%, 08/15/26 144A CONV | 1,081,000 | 1,037,760 | ||
Vail Resorts, Inc. | ||||
0.00%, 01/01/26Ω CONVΔ | 3,486,000 | 3,732,726 | ||
Verint Systems, Inc. | ||||
0.25%, 04/15/26 144A CONV | 1,161,000 | 1,241,573 | ||
Vonage Holdings Corporation | ||||
1.75%, 06/01/24 CONV | 653,000 | 875,347 | ||
Wayfair, Inc. | ||||
0.63%, 10/01/25 CONVΔ | 2,208,000 | 2,018,608 | ||
Wells Fargo & Co. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.45%), 3.90%, 03/15/26ρ^ | 1,291,000 | 1,327,309 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 CONV | 236,000 | 239,393 | ||
Winnebago Industries, Inc. | ||||
1.50%, 04/01/25 CONV | 1,762,000 | 2,359,156 | ||
Workiva, Inc. | ||||
1.13%, 08/15/26 CONV | 52,000 | 92,032 | ||
Zendesk, Inc. | ||||
0.63%, 06/15/25 CONV | 2,450,000 | 2,935,345 | ||
Ziff Davis, Inc. | ||||
1.75%, 11/01/26 144A CONV | 1,153,000 | 1,430,598 | ||
Zillow Group, Inc. | ||||
2.75%, 05/15/25 CONV | 1,191,000 | 1,538,892 |
Par | Value | |||
Zscaler, Inc. | ||||
0.13%, 07/01/25 CONV | $ 863,000 | $ 1,890,411 | ||
Zynga, Inc. | ||||
0.25%, 06/01/24 CONV | 1,399,000 | 1,517,076 | ||
0.00%, 12/15/26Ω CONV | 1,347,000 | 1,235,995 | ||
Total Corporate Bonds (Cost $290,190,702) | 311,824,759 | |||
FOREIGN BONDS — 1.9% | ||||
Canada — 0.4% | ||||
IMAX Corporation | ||||
0.50%, 04/01/26 144A CONV | 3,538,000 | 3,420,133 | ||
Shopify, Inc. | ||||
0.13%, 11/01/25 CONVΔ | 1,522,000 | 1,906,305 | ||
5,326,438 | ||||
France — 0.2% | ||||
TotalEnergies SE | ||||
0.50%, 12/02/22 CONV | 3,000,000 | 3,065,246 | ||
Israel — 0.7% | ||||
CyberArk Software, Ltd. | ||||
0.05%, 11/15/24Ω CONV | 2,729,000 | 3,452,185 | ||
Fiverr International, Ltd. | ||||
0.00%, 11/01/25Ω CONVΔ | 2,063,000 | 1,925,810 | ||
Nice, Ltd. | ||||
0.00%, 09/15/25Ω CONVΔ | 2,509,000 | 3,059,412 | ||
Wix.com, Ltd. | ||||
0.00%, 08/15/25Ω CONVΔ | 2,735,000 | 2,455,702 | ||
10,893,109 | ||||
Jersey — 0.1% | ||||
Novocure, Ltd. | ||||
0.00%, 11/01/25Ω CONV | 1,258,000 | 1,155,850 | ||
Netherlands — 0.5% | ||||
QIAGEN NV | ||||
0.00%, 12/17/27Ω CONV | 2,800,000 | 3,000,138 | ||
STMicroelectronics NV | ||||
0.00%, 08/04/25Ω CONVΔ | 3,200,000 | 4,206,722 | ||
7,206,860 | ||||
Total Foreign Bonds (Cost $26,271,569) | 27,647,503 |
Shares | |||
EQUITY-LINKED SECURITIES — 0.6% | |||
Berkshire Hathaway, Inc., Issued by Credit Suisse AG, Maturity Date 06/28/22††† | 8,600 | 2,465,792 | |
Berkshire Hathaway, Inc., Issued by JPMorgan Chase Bank, Maturity Date 05/24/22††† | 3,200 | 908,002 | |
Berkshire Hathaway, Inc., Issued by Merrill Lynch International & Co. CV, Maturity Date 01/24/22††† | 4,300 | 1,189,853 | |
Berkshire Hathaway, Inc., Issued by Merrill Lynch International & Co. CV, Maturity Date 03/24/22††† | 5,100 | 1,407,753 |
Shares | Value | |||
Berkshire Hathaway, Inc., Issued by Royal Bank of Canada, Maturity Date 06/01/22 144A††† | 5,100 | $ 1,462,629 | ||
Emerson Electric Co., Issued by Royal Bank of Canada, Maturity Date 04/19/22 144A††† | 9,300 | 871,596 | ||
Martin Marietta Materials, Inc., Issued by Citigroup Global Markets Holdings Inc., Maturity Date 02/02/22 144A††† | 1,600 | 605,824 | ||
Total Equity-Linked Securities (Cost $8,833,113) | 8,911,449 | |||
MONEY MARKET FUNDS — 22.2% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 39,220,393 | 39,220,393 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.04%ا | 34,282,159 | 34,282,159 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 260,174,152 | 260,174,152 | ||
Total Money Market Funds (Cost $333,676,704) | 333,676,704 |
Par | |||
U.S. TREASURY OBLIGATIONS — 32.4% | |||
U.S. Treasury Bill | |||
0.03%, 03/17/22Ω | $ 5,500,000 | 5,499,439 | |
U.S. Treasury Notes | |||
1.75%, 06/15/22 | 50,000,000 | 50,362,456 | |
1.50%, 09/15/22 | 50,000,000 | 50,429,486 | |
1.63%, 12/15/22 | 41,900,000 | 42,396,288 | |
0.50%, 03/15/23 | 41,900,000 | 41,919,641 | |
0.25%, 06/15/23 | 50,000,000 | 49,775,390 | |
0.13%, 09/15/23 | 50,000,000 | 49,552,735 | |
0.13%, 12/15/23 | 26,900,000 | 26,598,951 | |
1.13%, 02/28/27 | 86,000,000 | 85,402,031 | |
0.75%, 01/31/28 | 89,000,000 | 85,798,086 | |
Total U.S. Treasury Obligations (Cost $488,385,677) | 487,734,503 |
Number of Contracts | Notional Amount | ||||
PURCHASED OPTIONS — 6.1% | |||||
Call Options — 6.1% | |||||
S&P 500®, Strike Price $4,590.00, Expires 11/30/26 (MSCS) | 440 | $209,711,920 | 43,317,248 | ||
S&P 500®, Strike Price $4,650.00, Expires 11/30/27 (MSCS) | 460 | 219,244,280 | 48,302,562 | ||
Total Purchased Options (Premiums paid $79,843,114) | 91,619,810 | ||||
TOTAL INVESTMENTS — 102.4% (Cost $1,459,976,856) | 1,539,031,026 |
Number ofContracts | NotionalAmount | Value | |||
WRITTEN OPTIONS — (0.2)% | |||||
Put Options — (0.2)% | |||||
S&P 500®, Strike Price $4,535.00, Expires 01/21/22 (MSCS) | (2) | $ (953,236) | $ (2,620) | ||
S&P 500®, Strike Price $4,605.00, Expires 01/07/22 (MSCS) | (17) | (8,102,506) | (3,400) | ||
S&P 500®, Strike Price $4,605.00, Expires 01/14/22 (MSCS) | (7) | (3,336,326) | (7,665) | ||
S&P 500®, Strike Price $4,610.00, Expires 01/14/22 (MSCS) | (1) | (476,618) | (1,135) | ||
S&P 500®, Strike Price $4,645.00, Expires 01/14/22 (MSCS) | (140) | (66,726,520) | (208,600) | ||
S&P 500®, Strike Price $4,645.00, Expires 01/21/22 (MSCS) | (15) | (7,149,270) | (35,475) | ||
S&P 500®, Strike Price $4,680.00, Expires 01/21/22 (MSCS) | (3) | (1,429,854) | (8,715) | ||
S&P 500®, Strike Price $4,685.00, Expires 01/07/22 (MSCS) | (8) | (3,812,944) | (5,200) | ||
S&P 500®, Strike Price $4,685.00, Expires 01/14/22 (MSCS) | (17) | (8,102,506) | (34,255) | ||
S&P 500®, Strike Price $4,695.00, Expires 01/07/22 (MSCS) | (8) | (3,812,944) | (6,160) | ||
S&P 500®, Strike Price $4,695.00, Expires 01/14/22 (MSCS) | (16) | (7,625,888) | (35,200) | ||
S&P 500®, Strike Price $4,730.00, Expires 01/21/22 (MSCS) | (159) | (75,782,262) | (632,820) | ||
S&P 500®, Strike Price $4,760.00, Expires 01/07/22 (MSCS) | (16) | (7,625,888) | (36,560) | ||
S&P 500®, Strike Price $4,765.00, Expires 01/07/22 (MSCS) | (93) | (44,325,474) | (230,175) | ||
S&P 500®, Strike Price $4,775.00, Expires 01/28/22 (MSCS) | (80) | (38,129,440) | (542,000) | ||
S&P 500®, Strike Price $4,780.00, Expires 01/07/22 (MSCS) | (34) | (16,205,012) | (106,080) | ||
S&P 500®, Strike Price $4,780.00, Expires 01/28/22 (MSCS) | (10) | (4,766,180) | (69,750) | ||
S&P 500®, Strike Price $4,780.00, Expires 02/04/22 (MSCS) | (4) | (1,906,472) | (32,180) | ||
S&P 500®, Strike Price $4,785.00, Expires 01/28/22 (MSCS) | (72) | (34,316,496) | (516,600) |
Number ofContracts | NotionalAmount | Value | |||
S&P 500®, Strike Price $4,795.00, Expires 01/28/22 (MSCS) | (15) | $(7,149,270) | $ (114,000) | ||
Total Written Options (Premiums received $(4,851,262)) | (2,628,590) | ||||
Liabilities in Excess of Other Assets — (2.2)% | (32,545,999) | ||||
NET ASSETS — 100.0% | $1,503,856,437 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 03/2022 | 154 | $ 36,640,450 | $ 628,226 | ||||
10-Year U.S. Treasury Note | 03/2022 | 90 | 11,742,187 | (15,469) | ||||
U.S. Treasury Long Bond | 03/2022 | 33 | 5,294,438 | (43,313) | ||||
2-Year U.S. Treasury Note | 04/2022 | 450 | 98,177,344 | (129,594) | ||||
5-Year U.S. Treasury Note | 04/2022 | 605 | 73,190,820 | (100,545) | ||||
Total Futures Contracts outstanding at December 31, 2021 | $225,045,239 | $ 339,305 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/31/22 | U.S. Dollars | 2,437,965 | Japanese Yen | 276,699,780 | BOA | $ 30,499 | ||||||
Subtotal Appreciation | $ 30,499 | |||||||||||
03/31/22 | Japanese Yen | 11,609,190 | U.S. Dollars | 102,205 | BOA | $ (1,198) | ||||||
03/31/22 | U.S. Dollars | 16,821,433 | Euro | 14,865,504 | GSC | (135,469) | ||||||
03/31/22 | U.S. Dollars | 17,167,896 | Swiss Francs | 15,782,447 | MSCS | (194,398) | ||||||
Subtotal Depreciation | $(331,065) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2021 | $(300,566) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 197,420,313 | $197,420,313 | $ — | $ — | |||
Corporate Bonds | 311,824,759 | — | 311,824,759 | — | |||
Equity-Linked Securities | 8,911,449 | — | — | 8,911,449 | |||
Foreign Bonds | 27,647,503 | — | 27,647,503 | — | |||
Foreign Common Stocks: | |||||||
Germany | 1,515,155 | — | 1,515,155 | — | |||
Japan | 2,559,599 | — | 2,559,599 | — | |||
Switzerland | 23,753,618 | 4,836,036 | 18,917,582 | — | |||
Other ^^ | 40,583,614 | 40,583,614 | — | — | |||
Total Foreign Common Stocks | 68,411,986 | 45,419,650 | 22,992,336 | — | |||
Money Market Funds | 333,676,704 | 333,676,704 | — | — | |||
Mutual Funds | 1,998,367 | 1,998,367 | — | — | |||
Preferred Stocks | 9,785,632 | 9,785,632 | — | — | |||
Purchased Options: | |||||||
Call Options | 91,619,810 | — | 91,619,810 | — | |||
U.S. Treasury Obligations | 487,734,503 | — | 487,734,503 | — | |||
Total Assets - Investments in Securities | $1,539,031,026 | $588,300,666 | $941,818,911 | $8,911,449 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 30,499 | $ — | $ 30,499 | $ — | |||
Futures Contracts | 628,226 | 628,226 | — | — | |||
Total Assets - Other Financial Instruments | $ 658,725 | $ 628,226 | $ 30,499 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Options: | |||||||
Put Options | $ (2,628,590) | $ (2,628,590) | $ — | $ — | |||
Total Liabilities - Investments in Securities | $ (2,628,590) | $ (2,628,590) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (331,065) | $ — | $ (331,065) | $ — | |||
Futures Contracts | (288,921) | (288,921) | — | — | |||
Total Liabilities - Other Financial Instruments | $ (619,986) | $ (288,921) | $ (331,065) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts and forward contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" and "Forward Foreign Currency Contracts outstanding" disclosures. |
% | |
Information Technology | 27.9 |
Mortgage-Backed Securities | 12.3 |
Industrials | 10.6 |
Municipal Bonds | 10.4 |
Financials | 8.2 |
Corporate Bonds | 5.4 |
Consumer Discretionary | 4.8 |
Health Care | 4.5 |
Money Market Funds | 3.0 |
Real Estate | 2.8 |
Asset-Backed Securities | 2.5 |
Utilities | 2.4 |
Communication Services | 1.1 |
Foreign Bonds | 1.0 |
Materials | 0.9 |
Private Investment | 0.6 |
Agency Obligations | 0.6 |
Consumer Staples | 0.3 |
Loan Agreements | 0.1 |
99.4 |
Par | Value | |||
AGENCY OBLIGATIONS — 0.6% | ||||
United States International Development Finance Corporation | ||||
1.44%, 04/15/28 | $500,000 | $ 494,603 | ||
1.65%, 04/15/28 | 500,000 | 500,129 | ||
Total Agency Obligations (Cost $1,000,000) | 994,732 | |||
ASSET-BACKED SECURITIES — 2.5% | ||||
Loanpal Solar Loan, Ltd., Series 2021-2GS, Class A | ||||
2.22%, 03/20/48 144A | 494,903 | 492,377 | ||
Sunnova Helios II Issuer LLC, Series 2019-AA, Class A | ||||
3.75%, 06/20/46 144A | 554,776 | 577,009 | ||
Sunnova Helios II Issuer LLC, Series 2021-A, Class A | ||||
1.80%, 02/20/48 144A | 368,055 | 363,062 | ||
Sunnova Helios II Issuer LLC, Series 2021-B, Class A | ||||
1.62%, 07/20/48 144A | 334,143 | 326,580 | ||
Sunnova Helios VII Issuer LLC, Series 2021-C, Class A | ||||
2.03%, 10/20/48 144A | 494,182 | 490,296 | ||
Sunrun Vulcan Issuer LLC, Series 2021-1A, Class A | ||||
2.46%, 01/30/52 144A | 663,584 | 657,710 | ||
Tesla Auto Lease Trust, Series 2021-A, Class D | ||||
1.34%, 03/20/25 144A | 890,000 | 884,558 | ||
Tesla Auto Lease Trust, Series 2021-B, Class D | ||||
1.32%, 09/22/25 144A | 500,000 | 492,113 | ||
Total Asset-Backed Securities (Cost $4,322,020) | 4,283,705 | |||
CORPORATE BONDS — 5.4% | ||||
Agilent Technologies, Inc. | ||||
2.30%, 03/12/31 | 250,000 | 248,109 | ||
Amgen, Inc. | ||||
2.80%, 08/15/41 | 100,000 | 96,635 | ||
4.40%, 05/01/45 | 197,000 | 236,396 | ||
3.00%, 01/15/52 | 75,000 | 73,245 | ||
Avangrid, Inc. | ||||
3.15%, 12/01/24 | 850,000 | 890,648 | ||
3.80%, 06/01/29 | 250,000 | 272,311 | ||
Becton, Dickinson and Co. | ||||
3.73%, 12/15/24 | 274,000 | 291,489 | ||
1.96%, 02/11/31 | 165,000 | 158,968 | ||
4.69%, 12/15/44 | 150,000 | 189,236 | ||
BlueHub Loan Fund, Inc. | ||||
3.10%, 01/01/30 | 625,000 | 647,911 | ||
Bridge Housing Corporation | ||||
3.25%, 07/15/30 | 300,000 | 321,167 | ||
DH Europe Finance II S.a.r.l. | ||||
2.60%, 11/15/29 | 300,000 | 310,588 |
Par | Value | |||
Gilead Sciences, Inc. | ||||
3.65%, 03/01/26 | $ 392,000 | $ 422,867 | ||
1.20%, 10/01/27 | 200,000 | 193,605 | ||
5.65%, 12/01/41 | 238,000 | 329,070 | ||
Low Income Investment Fund | ||||
3.39%, 07/01/26 | 600,000 | 624,104 | ||
Mary Free Bed Rehabilitation Hospital | ||||
3.79%, 04/01/51 | 300,000 | 327,735 | ||
Mead Johnson Nutrition Co. | ||||
4.13%, 11/15/25 | 650,000 | 709,258 | ||
Medtronic, Inc. | ||||
3.50%, 03/15/25 | 448,000 | 477,512 | ||
NextEra Energy Capital Holdings, Inc. | ||||
3.55%, 05/01/27 | 500,000 | 542,269 | ||
1.90%, 06/15/28 | 475,000 | 470,762 | ||
2.44%, 01/15/32 | 580,000 | 582,465 | ||
PerkinElmer, Inc. | ||||
1.90%, 09/15/28 | 60,000 | 58,708 | ||
2.25%, 09/15/31 | 175,000 | 170,560 | ||
Reinvestment Fund, Inc. (The) | ||||
3.93%, 02/15/28 | 500,000 | 554,330 | ||
Verizon Communications, Inc. | ||||
3.88%, 02/08/29 | 300,000 | 333,046 | ||
Total Corporate Bonds (Cost $9,643,797) | 9,532,994 | |||
FOREIGN BONDS — 1.0% | ||||
Ireland — 0.3% | ||||
Shire Acquisitions Investments Ireland DAC | ||||
3.20%, 09/23/26 | 500,000 | 531,220 | ||
Japan — 0.4% | ||||
Takeda Pharmaceutical Co., Ltd. | ||||
5.00%, 11/26/28 | 600,000 | 706,038 | ||
United Kingdom — 0.3% | ||||
Vodafone Group PLC | ||||
5.25%, 05/30/48 | 400,000 | 523,959 | ||
Total Foreign Bonds (Cost $1,778,321) | 1,761,217 | |||
LOAN AGREEMENTS — 0.1% | ||||
Ciello Supermarket, Inc. STRIP, SBA Loan | ||||
0.23%, 09/15/31 IO ††† | 1,875,000 | 13,047 | ||
Georgia Act and Healthcare Services, Inc. STRIP, SBA Loan | ||||
1.28%, 03/15/46 IO ††† | 285,734 | 14,622 | ||
Ideal Therapy Rehabilitative Services II LLC STRIP, SBA Loan | ||||
0.48%, 01/15/46 IO ††† | 484,457 | 9,297 | ||
JILS Corporation STRIP, SBA Loan | ||||
1.23%, 08/15/31 IO ††† | 446,862 | 17,484 | ||
MBT Industries LLC STRIP, SBA Loan | ||||
0.53%, 08/15/31 IO ††† | 522,000 | 8,370 |
Par | Value | |||
MCJT Phamaceutical Care, Inc. STRIP, SBA Loan | ||||
1.28%, 08/15/46 IO ††† | $ 363,600 | $ 18,606 | ||
N&K Market, Inc. STRIP, SBA Loan | ||||
0.73%, 02/15/31 IO ††† | 310,910 | 6,109 | ||
Southwest Technologies, Inc. STRIP, SBA Loan | ||||
1.23%, 06/15/31 IO ††† | 432,677 | 16,929 | ||
Total Loan Agreements (Cost $118,318) | 104,464 | |||
MORTGAGE-BACKED SECURITIES — 12.3% | ||||
Federal Home Loan Mortgage Corporation | ||||
2.00%, 02/01/51 | 7,747,385 | 7,736,706 | ||
2.00%, 03/01/51 | 2,260,960 | 2,257,843 | ||
Federal National Mortgage Association | ||||
1.19%, 03/01/26 | 500,000 | 497,417 | ||
1.59%, 03/01/31 | 500,000 | 492,282 | ||
1.61%, 03/01/31 | 492,396 | 487,558 | ||
1.62%, 03/01/31 | 500,000 | 493,567 | ||
2.03%, 04/01/31 | 250,000 | 254,317 | ||
1.65%, 03/01/33 | 500,000 | 489,023 | ||
2.01%, 03/01/33 | 100,000 | 101,064 | ||
2.00%, 02/01/51 | 2,941,709 | 2,937,654 | ||
2.00%, 03/01/51 | 2,235,358 | 2,232,276 | ||
FRESB Mortgage Trust, Series 2021-SB87, Class A5H | ||||
0.78%, 04/25/41 | 596,637 | 585,953 | ||
Small Business Administration | ||||
(Floating, Prime Rate U.S. + 1.07%), 4.32%, 06/25/30† | 80,361 | 87,501 | ||
(Floating, Prime Rate U.S. + 0.92%), 4.17%, 12/25/30† | 174,204 | 194,381 | ||
(Floating, Prime Rate U.S. + 2.33%), 5.58%, 01/25/31† | 125,176 | 142,921 | ||
(Floating, Prime Rate U.S. + 1.03%), 4.28%, 02/25/31† | 220,176 | 245,950 | ||
(Floating, Prime Rate U.S. + 0.33%), 3.58%, 07/25/31† | 359,412 | 390,394 | ||
(Floating, Prime Rate U.S. + 0.85%), 4.10%, 08/25/31† | 334,571 | 378,495 | ||
(Floating, Prime Rate U.S. - 0.36%), 2.89%, 12/25/45† | 241,466 | 267,863 | ||
(Floating, Prime Rate U.S. + 0.54%), 3.79%, 12/25/45† | 244,393 | 282,368 | ||
(Floating, Prime Rate U.S. + 0.12%), 3.37%, 01/25/46† | 184,801 | 211,122 | ||
(Floating, Prime Rate U.S. + 0.33%), 3.58%, 04/25/46† | 244,316 | 283,820 | ||
(Floating, Prime Rate U.S. + 0.38%), 3.63%, 08/25/46† | 498,958 | 557,852 | ||
Total Mortgage-Backed Securities (Cost $22,224,605) | 21,608,327 | |||
MUNICIPAL BONDS — 10.4% | ||||
Arlington Higher Education Finance Corporation, Revenue Bond (PSF-Gtd.) | ||||
0.50%, 08/15/23 | 410,000 | 408,510 |
Par | Value | |||
Boston Water & Sewer Commission, Revenue Bond | ||||
0.97%, 11/01/25 | $200,000 | $197,689 | ||
California State Health Facilities Financing Authority, Revenue Bond | ||||
1.98%, 06/01/30 | 600,000 | 592,456 | ||
Carroll County Water Authority, Revenue Bond, Series B | ||||
1.08%, 07/01/25 | 290,000 | 288,403 | ||
1.96%, 07/01/29 | 150,000 | 151,800 | ||
City & County of San Francisco, General Obligation, Series A | ||||
1.78%, 06/15/29 | 600,000 | 598,645 | ||
City of Bossier Utilities, Revenue Bond (BAM Insured) | ||||
1.00%, 10/01/25 | 370,000 | 366,596 | ||
City of Columbia Waterworks & Sewer System, Revenue Bond, Series B | ||||
0.78%, 02/01/25 | 400,000 | 394,824 | ||
1.29%, 02/01/27 | 165,000 | 163,344 | ||
City of Deltona Utility System, Revenue Bond (BAM Insured) | ||||
1.54%, 10/01/29 | 250,000 | 244,010 | ||
City of Phoenix Civic Improvement Corporation, Junior Lien Revenue Bond, Series C | ||||
1.84%, 07/01/29 | 640,000 | 641,826 | ||
City of Tacoma Washington Electric System Revenue, Revenue Bond | ||||
5.64%, 01/01/27 | 600,000 | 719,435 | ||
Connecticut Green Bank, Revenue Bond | ||||
2.15%, 11/15/29 | 207,000 | 208,485 | ||
Connecticut Housing Finance Authority, Revenue Bond, Series 29 | ||||
1.20%, 06/15/25 | 400,000 | 396,587 | ||
County of Hernando Water & Sewer, Revenue Bond, Series A | ||||
1.01%, 06/01/25 | 300,000 | 299,063 | ||
Coweta County Water & Sewage Authority, Revenue Bond, Series A | ||||
2.00%, 06/01/25 | 200,000 | 204,600 | ||
Cucamonga Valley Water District Financing Authority, Revenue Bond, Series A | ||||
0.99%, 09/01/25 | 150,000 | 148,719 | ||
Cucamonga Valley Water District Financing Authority, Revenue Bond, Series B | ||||
3.86%, 09/01/30 | 140,000 | 157,200 | ||
Denver City & County Housing Authority, Revenue Bond (HUD Sector 8 Program) | ||||
0.84%, 08/01/24 | 500,000 | 493,519 | ||
District of Columbia Housing Finance Agency, Revenue Bond, Series A-2 (FHA Insured) | ||||
1.90%, 03/01/29 | 140,000 | 136,924 |
Par | Value | |||
2.05%, 03/01/30 | $420,000 | $411,060 | ||
Economy Borough Municipal Authority, Revenue Bond, Series A (BAM Insured) | ||||
0.42%, 12/15/22 | 660,000 | 659,665 | ||
Honolulu City & County Board of Water Supply, Revenue Bond, Series B | ||||
1.16%, 07/01/26 | 580,000 | 574,026 | ||
Iowa State Finance Authority, Revenue Bond, Series B | ||||
0.47%, 08/01/24 | 350,000 | 345,412 | ||
Lancaster Power Authority, Revenue Bond (AGM Insured) | ||||
2.56%, 11/01/33 | 275,000 | 276,117 | ||
2.68%, 11/01/34 | 275,000 | 276,801 | ||
Metropolitan Water District of Salt Lake & Sandy, Revenue Bond, Series B | ||||
0.82%, 07/01/25 | 475,000 | 468,178 | ||
1.52%, 07/01/28 | 200,000 | 198,738 | ||
Monterey Regional Waste Management Authority, Revenue Bond | ||||
2.31%, 04/01/32 | 700,000 | 695,377 | ||
Montgomery Water Works & Sanitary Sewer Board, Revenue Bond | ||||
2.00%, 09/01/26 | 400,000 | 410,627 | ||
Narragansett Bay Commission, Revenue Bond | ||||
2.09%, 09/01/30 | 500,000 | 507,808 | ||
New York City Housing Development Corporation, Revenue Bond, Series B | ||||
0.82%, 05/01/25 | 150,000 | 147,280 | ||
0.92%, 11/01/25 | 200,000 | 195,612 | ||
1.02%, 05/01/26 | 250,000 | 243,936 | ||
New York State Housing Finance Agency, Revenue Bond (SonyMA Insured) | ||||
1.13%, 11/01/25 | 165,000 | 162,675 | ||
North Carolina Capital Facilities Finance Agency, Revenue Bond, Series B | ||||
1.05%, 10/01/23 | 150,000 | 148,966 | ||
1.43%, 10/01/24 | 100,000 | 98,697 | ||
Redevelopment Authority of the City of Philadelphia, Revenue Bond, Series A | ||||
1.93%, 09/01/27 | 500,000 | 495,926 | ||
Regional Transportation District Sales Tax, Revenue Bond, Series A | ||||
0.70%, 11/01/25 | 600,000 | 586,048 | ||
Riverside Community College District, General Obligation | ||||
0.82%, 08/01/25 | 195,000 | 191,797 | ||
Romulus Community Schools, General Obligation, Series B (Q-SBLF Insured) | ||||
1.00%, 05/01/25 | 200,000 | 197,648 |
Par | Value | |||
Rowland Water District, Revenue Bond, Series A | ||||
2.56%, 12/01/36 | $ 590,000 | $ 596,733 | ||
San Antonio Education Facilities Corporation, Revenue Bond | ||||
1.74%, 04/01/25 | 250,000 | 246,897 | ||
San Diego Public Facilities Financing Authority, Revenue Bond, Series A | ||||
2.13%, 08/01/29 | 290,000 | 296,575 | ||
Santa Clara Valley Water District COPS, Series D | ||||
1.78%, 06/01/31 | 440,000 | 435,316 | ||
Silicon Valley Clean Water, Revenue Bond, Series A | ||||
1.38%, 08/01/27 | 240,000 | 238,189 | ||
Somerset County Improvement Authority, Revenue Bond (County Gtd.) | ||||
0.97%, 04/15/25 | 530,000 | 526,014 | ||
Spartanburg Sanitary Sewer District, Revenue Bond | ||||
1.19%, 03/01/26 | 300,000 | 296,946 | ||
State of California Department of Water Resources, Revenue Bond | ||||
0.51%, 12/01/24 | 750,000 | 737,229 | ||
Tift County Hospital Authority, Revenue Bond (County Gtd.) | ||||
1.05%, 12/01/25 | 325,000 | 321,095 | ||
United Independent School District, General Obligation (PSF-Gtd.) | ||||
5.00%, 08/15/25 | 160,000 | 181,121 | ||
Upper Santa Clara Valley Joint Powers Authority, Revenue Bond, Series B | ||||
1.18%, 08/01/26 | 360,000 | 357,085 | ||
Total Municipal Bonds (Cost $18,511,214) | 18,338,229 | |||
PRIVATE INVESTMENT — 0.6% | ||||
Calvert Impact Capital, Inc. (Cost $1,000,000) | 1,000,000 | 1,000,000 |
Shares | |||
COMMON STOCKS — 36.0% | |||
Consumer Discretionary — 1.4% | |||
Home Depot, Inc. (The) | 3,053 | 1,267,025 | |
NIKE, Inc. Class B | 7,583 | 1,263,859 | |
2,530,884 | |||
Consumer Staples — 0.3% | |||
McCormick & Co., Inc. (Non-Voting Shares) | 5,417 | 523,337 | |
Financials — 4.0% | |||
Marsh & McLennan Cos., Inc. | 15,067 | 2,618,946 | |
Progressive Corporation (The) | 15,559 | 1,597,131 | |
Walker & Dunlop, Inc. | 19,104 | 2,882,412 | |
7,098,489 |
Shares | Value | |||
Health Care — 2.8% | ||||
Accolade, Inc.* | 12,015 | $ 316,715 | ||
Encompass Health Corporation | 24,423 | 1,593,845 | ||
Humana, Inc. | 6,401 | 2,969,168 | ||
4,879,728 | ||||
Industrials — 5.0% | ||||
Advanced Drainage Systems, Inc. | 8,900 | 1,211,557 | ||
Evoqua Water Technologies Corporation* | 81,738 | 3,821,251 | ||
Westinghouse Air Brake Technologies Corporation | 22,714 | 2,092,187 | ||
Xylem, Inc. | 13,689 | 1,641,585 | ||
8,766,580 | ||||
Information Technology — 19.7% | ||||
Adobe, Inc.* | 6,106 | 3,462,468 | ||
Autodesk, Inc.* | 12,113 | 3,406,054 | ||
Avalara, Inc.Δ * | 12,655 | 1,633,887 | ||
Bill.com Holdings, Inc.* | 4,708 | 1,172,998 | ||
Cadence Design Systems, Inc.* | 9,750 | 1,816,912 | ||
IPG Photonics Corporation* | 11,627 | 2,001,472 | ||
Lam Research Corporation | 3,940 | 2,833,451 | ||
Mastercard, Inc. Class A | 5,102 | 1,833,251 | ||
Microchip Technology, Inc. | 25,112 | 2,186,251 | ||
Microsoft Corporation | 19,695 | 6,623,822 | ||
NVIDIA Corporation | 14,969 | 4,402,533 | ||
Texas Instruments, Inc. | 9,651 | 1,818,924 | ||
Zendesk, Inc.* | 13,885 | 1,448,067 | ||
34,640,090 | ||||
Real Estate — 2.8% | ||||
Crown Castle International Corporation REIT | 8,076 | 1,685,784 | ||
Equinix, Inc. REIT | 2,035 | 1,721,285 | ||
Prologis, Inc. REIT | 8,765 | 1,475,675 | ||
4,882,744 | ||||
Total Common Stocks (Cost $50,271,404) | 63,321,852 | |||
FOREIGN COMMON STOCKS — 27.5% | ||||
Australia — 0.3% | ||||
Nanosonics, Ltd.* | 97,002 | 445,321 | ||
Canada — 2.7% | ||||
Boralex, Inc. Class AΔ | 44,020 | 1,206,857 | ||
Innergex Renewable Energy, Inc. | 82,919 | 1,219,253 | ||
Intact Financial Corporation | 17,529 | 2,278,444 | ||
4,704,554 | ||||
France — 2.7% | ||||
Legrand SA | 15,559 | 1,822,762 | ||
Schneider Electric SE | 14,575 | 2,861,739 | ||
4,684,501 | ||||
Germany — 1.7% | ||||
adidas AG | 5,121 | 1,474,568 |
Shares | Value | |||
Knorr-Bremse AG | 16,219 | $ 1,601,862 | ||
3,076,430 | ||||
Hong Kong — 1.3% | ||||
AIA Group, Ltd. | 186,000 | 1,874,896 | ||
Linklogis, Inc. Class B 144A * | 462,887 | 433,351 | ||
2,308,247 | ||||
Ireland — 3.2% | ||||
Aon PLC Class A | 10,625 | 3,193,450 | ||
ICON PLC* | 8,100 | 2,508,570 | ||
5,702,020 | ||||
Japan — 5.5% | ||||
Murata Manufacturing Co., Ltd. | 23,700 | 1,890,371 | ||
Nidec Corporation | 14,500 | 1,715,269 | ||
Nintendo Co., Ltd. | 4,300 | 2,011,787 | ||
Shimadzu Corporation | 48,000 | 2,027,424 | ||
Shimano, Inc. | 7,700 | 2,050,659 | ||
9,695,510 | ||||
Jersey — 1.4% | ||||
Aptiv PLC* | 14,870 | 2,452,806 | ||
Netherlands — 2.3% | ||||
ASML Holding NV | 2,856 | 2,297,875 | ||
Wolters Kluwer NV | 14,969 | 1,765,572 | ||
4,063,447 | ||||
Switzerland — 1.6% | ||||
TE Connectivity, Ltd. | 17,037 | 2,748,750 | ||
Taiwan — 1.8% | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 26,800 | 3,224,308 | ||
United Kingdom — 3.0% | ||||
Atlassian Corporation PLC Class A* | 5,121 | 1,952,586 | ||
DS Smith PLC | 295,734 | 1,536,316 | ||
SSE PLC | 81,047 | 1,808,973 | ||
5,297,875 | ||||
Total Foreign Common Stocks (Cost $45,514,357) | 48,403,769 | |||
MONEY MARKET FUNDS — 3.0% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ (Cost $5,291,910) | 5,291,910 | 5,291,910 | ||
TOTAL INVESTMENTS —99.4% (Cost $159,675,946) | 174,641,199 | |||
Other Assets in Excess of Liabilities — 0.6% | 1,138,470 | |||
NET ASSETS — 100.0% | $175,779,669 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Canadian Dollars/U.S. Dollars | 03/2022 | 3 | $ 237,150 | $ 113 | ||||
MSCI EAFE Index | 03/2022 | 27 | 3,134,430 | 40,598 | ||||
MSCI Emerging Markets | 03/2022 | 25 | 1,532,875 | (6,230) | ||||
S&P/TSX 60 Index | 03/2022 | 1 | 202,522 | 3,374 | ||||
10-Year U.S. Treasury Note | 03/2022 | (40) | (5,218,750) | (48,125) | ||||
Ultra 10-Year U.S. Treasury Note | 03/2022 | (21) | (3,075,188) | (21,844) | ||||
Ultra Long U.S. Treasury Bond | 03/2022 | 31 | 6,110,875 | 90,094 | ||||
2-Year U.S. Treasury Note | 04/2022 | 22 | 4,799,781 | (2,750) | ||||
Total Futures Contracts outstanding at December 31, 2021 | $ 7,723,695 | $ 55,230 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 994,732 | $ — | $ 994,732 | $ — | |||
Asset-Backed Securities | 4,283,705 | — | 4,283,705 | — | |||
Common Stocks | 63,321,852 | 63,321,852 | — | — | |||
Corporate Bonds | 9,532,994 | — | 9,532,994 | — | |||
Foreign Bonds | 1,761,217 | — | 1,761,217 | — | |||
Foreign Common Stocks: | |||||||
Germany | 3,076,430 | — | 3,076,430 | — | |||
Japan | 9,695,510 | — | 9,695,510 | — | |||
Other ^^ | 35,631,829 | 35,631,829 | — | — | |||
Total Foreign Common Stocks | 48,403,769 | 35,631,829 | 12,771,940 | — | |||
Loan Agreements | 104,464 | — | — | 104,464 | |||
Money Market Funds | 5,291,910 | 5,291,910 | — | — | |||
Mortgage-Backed Securities | 21,608,327 | — | 21,608,327 | — | |||
Municipal Bonds | 18,338,229 | — | 18,338,229 | — | |||
Private Investment | 1,000,000 | — | 1,000,000 | — | |||
Total Assets - Investments in Securities | $174,641,199 | $104,245,591 | $70,291,144 | $104,464 | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 134,179 | $ 134,179 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 134,179 | $ 134,179 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (78,949) | $ (78,949) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (78,949) | $ (78,949) | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
% | |
Information Technology | 28.7 |
Health Care | 12.0 |
Consumer Discretionary | 11.9 |
Financials | 10.7 |
Communication Services | 10.2 |
Industrials | 7.7 |
Consumer Staples | 6.2 |
Real Estate | 2.8 |
Energy | 2.6 |
Materials | 2.6 |
Utilities | 2.6 |
Money Market Funds | 1.9 |
99.9 |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 28.28% | 27.95% | 28.71% | ||||
Five Year | 18.44% | 18.13% | 18.46% | ||||
Ten Year | 16.45% | 16.19% | 16.54% | ||||
Since Inception | 9.03% | 8.86% | 9.20% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.13% | 0.40% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 94.8% | ||||
Communication Services — 10.2% | ||||
Activision Blizzard, Inc. | 67,691 | $ 4,503,482 | ||
Alphabet, Inc. Class A* | 24,283 | 70,348,822 | ||
Alphabet, Inc. Class C* | 22,760 | 65,858,108 | ||
AT&T, Inc. | 621,024 | 15,277,190 | ||
Charter Communications, Inc. Class AΔ* | 11,090 | 7,230,347 | ||
Comcast Corporation Class A | 376,227 | 18,935,505 | ||
Discovery, Inc. Class AΔ* | 27,796 | 654,318 | ||
Discovery, Inc. Class CΔ* | 15,921 | 364,591 | ||
DISH Network Corporation Class A* | 18,408 | 597,156 | ||
Electronic Arts, Inc. | 25,211 | 3,325,331 | ||
Fox Corporation Class A | 31,129 | 1,148,660 | ||
Fox Corporation Class B | 9,099 | 311,823 | ||
Interpublic Group of Cos., Inc. (The) | 47,139 | 1,765,356 | ||
Live Nation Entertainment, Inc.Δ* | 10,940 | 1,309,409 | ||
Lumen Technologies, Inc.Δ | 121,774 | 1,528,264 | ||
Match Group, Inc.Δ* | 21,213 | 2,805,419 | ||
Meta Platforms, Inc. Class A* | 193,191 | 64,979,793 | ||
Netflix, Inc.* | 35,817 | 21,577,593 | ||
News Corporation Class A | 13,865 | 309,328 | ||
News Corporation Class B | 13,984 | 314,640 | ||
Omnicom Group, Inc. | 24,095 | 1,765,441 | ||
Take-Two Interactive Software, Inc.* | 10,102 | 1,795,327 | ||
T-Mobile US, Inc.* | 47,662 | 5,527,839 | ||
Twitter, Inc.* | 60,429 | 2,611,741 | ||
Verizon Communications, Inc. | 435,557 | 22,631,542 | ||
ViacomCBS, Inc. Class B | 52,671 | 1,589,611 | ||
Walt Disney Co. (The)* | 146,419 | 22,678,839 | ||
341,745,475 | ||||
Consumer Discretionary — 11.8% | ||||
Advance Auto Parts, Inc. | 6,948 | 1,666,686 | ||
Amazon.com, Inc.* | 35,432 | 118,142,335 | ||
AutoZone, Inc.* | 2,011 | 4,215,840 | ||
Bath & Body Works, Inc. | 13,836 | 965,614 | ||
Best Buy Co., Inc. | 15,833 | 1,608,633 | ||
Booking Holdings, Inc.* | 3,294 | 7,903,064 | ||
BorgWarner, Inc. | 6,279 | 282,995 | ||
CarMax, Inc.Δ* | 12,596 | 1,640,377 | ||
Carnival CorporationΔ* | 84,836 | 1,706,900 | ||
Chipotle Mexican Grill, Inc.* | 2,169 | 3,791,954 | ||
D.R. Horton, Inc. | 16,760 | 1,817,622 | ||
Darden Restaurants, Inc. | 9,727 | 1,465,275 | ||
Dollar General Corporation | 18,720 | 4,414,738 | ||
Dollar Tree, Inc.* | 18,243 | 2,563,506 | ||
Domino’s Pizza, Inc.Δ | 3,030 | 1,709,920 | ||
eBay, Inc. | 57,037 | 3,792,960 | ||
Etsy, Inc.* | 9,267 | 2,028,917 | ||
Expedia Group, Inc.* | 10,462 | 1,890,693 | ||
Ford Motor Co. | 308,985 | 6,417,618 | ||
Gap, Inc. (The)Δ | 12,531 | 221,172 | ||
General Motors Co.* | 106,950 | 6,270,478 | ||
Genuine Parts Co. | 12,313 | 1,726,283 | ||
Hasbro, Inc. | 10,784 | 1,097,596 | ||
Hilton Worldwide Holdings, Inc.* | 23,098 | 3,603,057 | ||
Home Depot, Inc. (The) | 84,598 | 35,109,016 |
Shares | Value | |||
Lennar Corporation Class A | 14,886 | $ 1,729,158 | ||
LKQ Corporation | 18,658 | 1,120,040 | ||
Lowe’s Cos., Inc. | 57,516 | 14,866,736 | ||
Marriott International, Inc. Class A* | 21,380 | 3,532,831 | ||
McDonald’s Corporation | 63,693 | 17,074,183 | ||
Mohawk Industries, Inc.Δ* | 2,387 | 434,864 | ||
Newell Brands, Inc.Δ | 39,118 | 854,337 | ||
NIKE, Inc. Class B | 104,453 | 17,409,182 | ||
Norwegian Cruise Line Holdings, Ltd.* | 41,279 | 856,126 | ||
NVR, Inc.* | 171 | 1,010,417 | ||
O’Reilly Automotive, Inc.* | 5,716 | 4,036,811 | ||
Pool Corporation | 3,147 | 1,781,202 | ||
PulteGroup, Inc.Δ | 5,415 | 309,521 | ||
PVH Corporation | 2,959 | 315,577 | ||
Ralph Lauren Corporation | 2,058 | 244,614 | ||
Ross Stores, Inc. | 25,592 | 2,924,654 | ||
Royal Caribbean Cruises, Ltd.* | 22,682 | 1,744,246 | ||
Starbucks Corporation | 98,522 | 11,524,118 | ||
Tapestry, Inc. | 24,199 | 982,479 | ||
Target Corporation | 41,380 | 9,576,987 | ||
Tesla, Inc.* | 65,435 | 69,150,399 | ||
TJX Cos., Inc. (The) | 90,590 | 6,877,593 | ||
Tractor Supply Co. | 7,490 | 1,787,114 | ||
Ulta Beauty, Inc.* | 3,840 | 1,583,386 | ||
Under Armour, Inc. Class AΔ* | 20,379 | 431,831 | ||
Under Armour, Inc. Class C* | 9,410 | 169,756 | ||
VF Corporation | 27,573 | 2,018,895 | ||
Whirlpool Corporation | 4,600 | 1,079,436 | ||
Yum! Brands, Inc. | 24,402 | 3,388,462 | ||
394,868,204 | ||||
Consumer Staples — 6.2% | ||||
Archer-Daniels-Midland Co. | 58,262 | 3,937,929 | ||
Campbell Soup Co. | 28,952 | 1,258,254 | ||
Church & Dwight Co., Inc. | 27,416 | 2,810,140 | ||
Clorox Co. (The) | 12,213 | 2,129,459 | ||
Coca-Cola Co. (The) | 374,142 | 22,152,948 | ||
Colgate-Palmolive Co. | 83,433 | 7,120,172 | ||
Conagra Brands, Inc. | 80,687 | 2,755,461 | ||
Costco Wholesale Corporation | 36,347 | 20,634,192 | ||
Estee Lauder Cos., Inc. (The) Class A | 19,563 | 7,242,223 | ||
General Mills, Inc. | 82,355 | 5,549,080 | ||
Hershey Co. (The) | 19,352 | 3,744,031 | ||
Hormel Foods CorporationΔ | 43,964 | 2,145,883 | ||
J.M. Smucker Co. (The)Δ | 15,075 | 2,047,487 | ||
Kellogg Co. | 42,353 | 2,728,380 | ||
Kimberly-Clark Corporation | 31,736 | 4,535,709 | ||
Kraft Heinz Co. (The) | 63,648 | 2,284,963 | ||
Kroger Co. (The) | 81,475 | 3,687,558 | ||
Lamb Weston Holdings, Inc. | 17,029 | 1,079,298 | ||
McCormick & Co., Inc. (Non-Voting Shares)Δ | 25,400 | 2,453,894 | ||
Mondelez International, Inc. Class A | 158,472 | 10,508,278 | ||
Monster Beverage Corporation* | 36,278 | 3,484,139 | ||
PepsiCo, Inc. | 145,366 | 25,251,528 | ||
Procter & Gamble Co. (The) | 235,667 | 38,550,408 | ||
Sysco Corporation | 37,870 | 2,974,689 |
Shares | Value | |||
Tyson Foods, Inc. Class A | 27,409 | $ 2,388,968 | ||
Walgreens Boots Alliance, Inc. | 61,239 | 3,194,226 | ||
Walmart, Inc. | 131,003 | 18,954,824 | ||
205,604,121 | ||||
Energy — 2.5% | ||||
APA CorporationΔ | 18,290 | 491,818 | ||
Archrock, Inc. | 13 | 97 | ||
Baker Hughes Co. | 60,056 | 1,444,947 | ||
Chevron Corporation | 161,435 | 18,944,397 | ||
ConocoPhillips | 112,555 | 8,124,220 | ||
Coterra Energy, Inc. | 73,032 | 1,387,608 | ||
Devon Energy CorporationΔ | 49,912 | 2,198,624 | ||
Diamondback Energy, Inc. | 10,890 | 1,174,487 | ||
EOG Resources, Inc. | 47,427 | 4,212,940 | ||
Exterran Corporation* | 6 | 18 | ||
Exxon Mobil Corporation | 355,827 | 21,773,054 | ||
Halliburton Co. | 68,091 | 1,557,241 | ||
Hess Corporation | 18,891 | 1,398,501 | ||
Kinder Morgan, Inc.Δ | 146,006 | 2,315,655 | ||
Marathon Oil Corporation | 59,299 | 973,690 | ||
Marathon Petroleum Corporation | 50,234 | 3,214,474 | ||
Occidental Petroleum Corporation | 65,681 | 1,904,092 | ||
ONEOK, Inc. | 35,809 | 2,104,137 | ||
Phillips 66 | 31,961 | 2,315,894 | ||
Pioneer Natural Resources Co. | 18,667 | 3,395,154 | ||
Valero Energy Corporation | 31,110 | 2,336,672 | ||
Williams Cos., Inc. (The) | 96,309 | 2,507,886 | ||
83,775,606 | ||||
Financials — 10.2% | ||||
Aflac, Inc. | 55,516 | 3,241,578 | ||
Allstate Corporation (The) | 28,840 | 3,393,026 | ||
American Express Co. | 56,945 | 9,316,202 | ||
American International Group, Inc. | 67,569 | 3,841,973 | ||
Ameriprise Financial, Inc. | 10,345 | 3,120,673 | ||
Arthur J. Gallagher & Co. | 15,093 | 2,560,829 | ||
Assurant, Inc. | 2,341 | 364,868 | ||
Bank of America Corporation | 621,241 | 27,639,012 | ||
Bank of New York Mellon Corporation (The) | 72,967 | 4,237,923 | ||
Berkshire Hathaway, Inc. Class B* | 155,715 | 46,558,785 | ||
BlackRock, Inc. | 12,151 | 11,124,970 | ||
Brown & Brown, Inc.Δ | 18,702 | 1,314,377 | ||
Capital One Financial Corporation | 34,907 | 5,064,657 | ||
Cboe Global Markets, Inc. | 8,664 | 1,129,786 | ||
Charles Schwab Corporation (The) | 124,970 | 10,509,977 | ||
Cincinnati Financial Corporation | 10,988 | 1,251,863 | ||
Citigroup, Inc. | 170,029 | 10,268,051 | ||
Citizens Financial Group, Inc. | 18,464 | 872,424 | ||
CME Group, Inc. | 28,081 | 6,415,385 | ||
Comerica, Inc. | 10,547 | 917,589 | ||
Discover Financial Services | 22,685 | 2,621,479 | ||
Everest Re Group, Ltd. | 3,173 | 869,148 | ||
FactSet Research Systems, Inc. | 3,042 | 1,478,442 | ||
Fifth Third BancorpΔ | 52,084 | 2,268,258 | ||
First Republic Bank | 11,885 | 2,454,371 | ||
Franklin Resources, Inc. | 23,495 | 786,848 | ||
Globe Life, Inc. | 4,186 | 392,312 |
Shares | Value | |||
Goldman Sachs Group, Inc. (The) | 27,330 | $ 10,455,092 | ||
Hartford Financial Services Group, Inc. (The) | 28,747 | 1,984,693 | ||
Huntington Bancshares, Inc.Δ | 118,830 | 1,832,359 | ||
Intercontinental Exchange, Inc. | 43,068 | 5,890,410 | ||
Invesco, Ltd. | 17,740 | 408,375 | ||
JPMorgan Chase & Co. | 249,235 | 39,466,362 | ||
KeyCorp | 64,549 | 1,493,018 | ||
Lincoln National Corporation | 16,646 | 1,136,256 | ||
Loews Corporation | 3,079 | 177,843 | ||
M&T Bank Corporation | 10,059 | 1,544,861 | ||
MarketAxess Holdings, Inc. | 2,840 | 1,168,007 | ||
Marsh & McLennan Cos., Inc. | 39,915 | 6,938,025 | ||
MetLife, Inc. | 64,005 | 3,999,672 | ||
Moody’s Corporation | 11,483 | 4,485,030 | ||
Morgan Stanley | 122,245 | 11,999,569 | ||
MSCI, Inc. | 6,284 | 3,850,144 | ||
Nasdaq, Inc. | 9,140 | 1,919,491 | ||
Northern Trust Corporation | 16,617 | 1,987,559 | ||
People’s United Financial, Inc. | 11,480 | 204,574 | ||
PNC Financial Services Group, Inc. (The) | 34,137 | 6,845,151 | ||
Principal Financial Group, Inc. | 22,421 | 1,621,711 | ||
Progressive Corporation (The) | 45,104 | 4,629,926 | ||
Prudential Financial, Inc. | 36,128 | 3,910,495 | ||
Raymond James Financial, Inc. | 13,842 | 1,389,737 | ||
Regions Financial Corporation | 40,587 | 884,797 | ||
S&P Global, Inc. | 18,528 | 8,743,919 | ||
Signature Bank | 4,900 | 1,585,003 | ||
State Street Corporation | 30,870 | 2,870,910 | ||
SVB Financial Group* | 4,898 | 3,322,020 | ||
Synchrony Financial | 55,655 | 2,581,835 | ||
T. Rowe Price Group, Inc. | 22,044 | 4,334,732 | ||
Travelers Cos., Inc. (The) | 21,004 | 3,285,656 | ||
Truist Financial Corporation | 104,234 | 6,102,901 | ||
U.S. Bancorp | 117,801 | 6,616,882 | ||
W.R. Berkley Corporation | 11,267 | 928,288 | ||
Wells Fargo & Co. | 334,461 | 16,047,439 | ||
Zions Bancorp NA | 7,446 | 470,289 | ||
341,127,837 | ||||
Health Care — 11.6% | ||||
Abbott Laboratories | 164,886 | 23,206,056 | ||
ABIOMED, Inc.* | 4,950 | 1,777,891 | ||
Agilent Technologies, Inc. | 45,567 | 7,274,771 | ||
Align Technology, Inc.* | 6,636 | 4,361,046 | ||
AmerisourceBergen CorporationΔ | 17,971 | 2,388,166 | ||
Amgen, Inc. | 77,723 | 17,485,343 | ||
Anthem, Inc. | 21,194 | 9,824,267 | ||
Baxter International, Inc. | 49,046 | 4,210,109 | ||
Becton, Dickinson and Co. | 34,256 | 8,614,699 | ||
Biogen, Inc.* | 17,530 | 4,205,798 | ||
Bio-Rad Laboratories, Inc. Class A* | 4,307 | 3,254,240 | ||
Boston Scientific Corporation* | 120,221 | 5,106,988 | ||
Cardinal Health, Inc. | 27,527 | 1,417,365 | ||
Catalent, Inc.Δ* | 45,285 | 5,797,838 | ||
Centene Corporation* | 48,859 | 4,025,982 | ||
Cerner Corporation | 28,126 | 2,612,062 |
Shares | Value | |||
Charles River Laboratories International, Inc.* | 10,283 | $ 3,874,429 | ||
Cigna Corporation | 29,323 | 6,733,440 | ||
CVS Health Corporation | 111,494 | 11,501,721 | ||
Danaher Corporation | 58,941 | 19,392,178 | ||
DaVita, Inc.* | 13,768 | 1,566,248 | ||
DENTSPLY SIRONA, Inc. | 26,241 | 1,463,985 | ||
DexCom, Inc.Δ* | 8,564 | 4,598,440 | ||
Edwards Lifesciences Corporation* | 57,327 | 7,426,713 | ||
Eli Lilly and Co. | 85,714 | 23,675,921 | ||
Gilead Sciences, Inc. | 235,975 | 17,134,145 | ||
HCA Healthcare, Inc. | 23,088 | 5,931,769 | ||
Henry Schein, Inc.* | 11,738 | 910,047 | ||
Hologic, Inc.* | 29,305 | 2,243,591 | ||
Humana, Inc. | 10,676 | 4,952,169 | ||
IDEXX Laboratories, Inc.* | 7,551 | 4,972,031 | ||
Illumina, Inc.* | 14,975 | 5,697,089 | ||
Incyte Corporation* | 41,125 | 3,018,575 | ||
Intuitive Surgical, Inc.* | 30,693 | 11,027,995 | ||
IQVIA Holdings, Inc.* | 33,184 | 9,362,534 | ||
Laboratory Corporation of America Holdings* | 7,436 | 2,336,466 | ||
McKesson Corporation | 13,291 | 3,303,744 | ||
Mettler-Toledo International, Inc.* | 2,979 | 5,055,989 | ||
Moderna, Inc.* | 30,751 | 7,810,139 | ||
Organon & Co. | 54,009 | 1,644,574 | ||
PerkinElmer, Inc.Δ | 16,506 | 3,318,696 | ||
Quest Diagnostics, Inc. | 16,017 | 2,771,101 | ||
Regeneron Pharmaceuticals, Inc.* | 12,710 | 8,026,619 | ||
ResMed, Inc. | 11,820 | 3,078,874 | ||
Stryker Corporation | 27,962 | 7,477,598 | ||
Teleflex, Inc. | 4,060 | 1,333,629 | ||
UnitedHealth Group, Inc. | 82,292 | 41,322,105 | ||
Universal Health Services, Inc. Class B | 6,340 | 822,044 | ||
Vertex Pharmaceuticals, Inc.* | 40,955 | 8,993,718 | ||
Viatris, Inc. | 339,730 | 4,596,547 | ||
Waters Corporation* | 8,175 | 3,046,005 | ||
West Pharmaceutical Services, Inc. | 12,656 | 5,935,791 | ||
Zimmer Biomet Holdings, Inc. | 21,341 | 2,711,161 | ||
Zoetis, Inc. | 94,276 | 23,006,172 | ||
387,636,613 | ||||
Industrials — 7.2% | ||||
3M Co. | 52,910 | 9,398,403 | ||
A.O. Smith Corporation | 16,217 | 1,392,229 | ||
Alaska Air Group, Inc.* | 10,021 | 522,094 | ||
American Airlines Group, Inc.Δ* | 66,936 | 1,202,171 | ||
AMETEK, Inc. | 16,745 | 2,462,185 | ||
Boeing Co. (The)Δ* | 45,776 | 9,215,624 | ||
C.H. Robinson Worldwide, Inc. | 12,459 | 1,340,962 | ||
Carrier Global Corporation | 63,362 | 3,436,755 | ||
Caterpillar, Inc. | 44,540 | 9,208,200 | ||
Cintas Corporation | 6,438 | 2,853,128 | ||
Copart, Inc.* | 11,178 | 1,694,808 | ||
CSX Corporation | 195,759 | 7,360,538 | ||
Cummins, Inc. | 10,680 | 2,329,735 | ||
Deere & Co. | 24,563 | 8,422,407 | ||
Delta Air Lines, Inc.* | 64,874 | 2,535,276 |
Shares | Value | |||
Dover Corporation | 13,712 | $ 2,490,099 | ||
Emerson Electric Co. | 55,944 | 5,201,114 | ||
Equifax, Inc. | 11,124 | 3,256,996 | ||
Expeditors International of Washington, Inc. | 6,818 | 915,589 | ||
Fastenal Co. | 36,004 | 2,306,416 | ||
FedEx Corporation | 19,831 | 5,129,090 | ||
Fortive Corporation | 28,093 | 2,143,215 | ||
Fortune Brands Home & Security, Inc. | 13,017 | 1,391,517 | ||
Generac Holdings, Inc.* | 4,876 | 1,715,962 | ||
General Dynamics Corporation | 20,407 | 4,254,247 | ||
General Electric Co. | 90,769 | 8,574,947 | ||
Honeywell International, Inc. | 55,553 | 11,583,356 | ||
Howmet Aerospace, Inc. | 32,372 | 1,030,401 | ||
Huntington Ingalls Industries, Inc. | 2,805 | 523,806 | ||
IDEX Corporation | 5,716 | 1,350,805 | ||
IHS Markit, Ltd. | 29,494 | 3,920,343 | ||
Illinois ToolWorks, Inc. | 25,469 | 6,285,749 | ||
Ingersoll-Rand, Inc. | 30,890 | 1,911,164 | ||
J.B. Hunt Transport Services, Inc. | 9,677 | 1,977,979 | ||
Jacobs Engineering Group, Inc. | 12,155 | 1,692,341 | ||
L3Harris Technologies, Inc. | 16,801 | 3,582,645 | ||
Leidos Holdings, Inc. | 10,893 | 968,388 | ||
Lockheed Martin Corporation | 22,033 | 7,830,749 | ||
Masco Corporation | 23,878 | 1,676,713 | ||
Norfolk Southern Corporation | 19,839 | 5,906,269 | ||
Northrop Grumman Corporation | 12,728 | 4,926,627 | ||
Old Dominion Freight Line, Inc. | 7,428 | 2,662,047 | ||
Otis Worldwide Corporation | 31,681 | 2,758,465 | ||
PACCAR, Inc. | 22,794 | 2,011,798 | ||
Parker-Hannifin Corporation | 8,815 | 2,804,228 | ||
Quanta Services, Inc. | 5,431 | 622,718 | ||
Raytheon Technologies Corporation | 126,686 | 10,902,597 | ||
Republic Services, Inc. | 19,655 | 2,740,890 | ||
Robert Half International, Inc. | 4,920 | 548,678 | ||
Rockwell Automation, Inc.Δ | 11,922 | 4,158,990 | ||
Rollins, Inc. | 21,375 | 731,239 | ||
Roper Technologies, Inc. | 8,524 | 4,192,615 | ||
Snap-on, Inc. | 5,899 | 1,270,527 | ||
Southwest Airlines Co.* | 54,434 | 2,331,953 | ||
Stanley Black & Decker, Inc. | 10,352 | 1,952,594 | ||
Textron, Inc. | 19,700 | 1,520,840 | ||
TransDigm Group, Inc.* | 3,870 | 2,462,404 | ||
Union Pacific Corporation | 55,813 | 14,060,969 | ||
United Airlines Holdings, Inc.Δ* | 19,397 | 849,201 | ||
United Parcel Service, Inc. Class B | 59,797 | 12,816,889 | ||
United Rentals, Inc.* | 4,677 | 1,554,120 | ||
Verisk Analytics, Inc. | 12,729 | 2,911,504 | ||
W.W. Grainger, Inc. | 3,321 | 1,721,075 | ||
Waste Management, Inc. | 33,085 | 5,521,887 | ||
Westinghouse Air Brake Technologies CorporationΔ | 11,295 | 1,040,382 | ||
Xylem, Inc. | 9,669 | 1,159,506 | ||
241,229,158 | ||||
Information Technology — 27.7% | ||||
Adobe, Inc.* | 38,494 | 21,828,408 | ||
Advanced Micro Devices, Inc.* | 97,492 | 14,029,099 |
Shares | Value | |||
Akamai Technologies, Inc.* | 12,022 | $ 1,407,055 | ||
Amphenol Corporation Class A | 53,795 | 4,704,911 | ||
Analog Devices, Inc. | 49,747 | 8,744,030 | ||
ANSYS, Inc.* | 6,671 | 2,675,872 | ||
Apple, Inc. | 1,270,282 | 225,563,975 | ||
Applied Materials, Inc. | 71,724 | 11,286,489 | ||
Arista Networks, Inc.* | 18,552 | 2,666,850 | ||
Autodesk, Inc.Δ* | 18,555 | 5,217,480 | ||
Automatic Data Processing, Inc. | 36,726 | 9,055,897 | ||
Broadcom, Inc. | 34,492 | 22,951,322 | ||
Broadridge Financial Solutions, Inc. | 6,807 | 1,244,456 | ||
Cadence Design Systems, Inc.Δ* | 18,580 | 3,462,383 | ||
CDW Corporation | 11,000 | 2,252,580 | ||
Ceridian HCM Holding, Inc.Δ* | 10,792 | 1,127,332 | ||
Cisco Systems, Inc. | 350,235 | 22,194,392 | ||
Citrix Systems, Inc. | 9,508 | 899,362 | ||
Cognizant Technology Solutions Corporation Class A | 43,559 | 3,864,554 | ||
Corning, Inc. | 59,799 | 2,226,317 | ||
DXC Technology Co.* | 18,725 | 602,758 | ||
Enphase Energy, Inc.* | 10,555 | 1,930,932 | ||
EPAM Systems, Inc.* | 4,569 | 3,054,148 | ||
F5, Inc.* | 6,504 | 1,591,594 | ||
Fidelity National Information Services, Inc. | 47,995 | 5,238,654 | ||
Fiserv, Inc.Δ* | 43,328 | 4,497,013 | ||
FleetCor Technologies, Inc.* | 6,254 | 1,399,895 | ||
Fortinet, Inc.* | 11,550 | 4,151,070 | ||
Gartner, Inc.* | 5,295 | 1,770,224 | ||
Global Payments, Inc. | 22,769 | 3,077,913 | ||
Hewlett Packard Enterprise Co. | 113,804 | 1,794,689 | ||
HP, Inc.Δ | 103,716 | 3,906,982 | ||
Intel Corporation | 328,598 | 16,922,797 | ||
International Business Machines Corporation | 75,798 | 10,131,161 | ||
Intuit, Inc. | 22,108 | 14,220,308 | ||
IPG Photonics Corporation* | 2,807 | 483,197 | ||
Jack Henry & Associates, Inc. | 5,530 | 923,455 | ||
Juniper Networks, Inc. | 50,500 | 1,803,355 | ||
Keysight Technologies, Inc.* | 13,420 | 2,771,364 | ||
KLA Corporation | 11,211 | 4,821,963 | ||
Lam Research Corporation | 10,705 | 7,698,501 | ||
Mastercard, Inc. Class A | 71,135 | 25,560,228 | ||
Microchip Technology, Inc. | 41,030 | 3,572,072 | ||
Micron Technology, Inc. | 84,017 | 7,826,184 | ||
Microsoft Corporation | 611,985 | 205,822,795 | ||
Monolithic Power Systems, Inc. | 3,300 | 1,627,989 | ||
Motorola Solutions, Inc.Δ | 13,048 | 3,545,142 | ||
NetApp, Inc. | 18,482 | 1,700,159 | ||
NortonLifeLock, Inc. | 47,298 | 1,228,802 | ||
NVIDIA Corporation | 201,327 | 59,212,284 | ||
Oracle Corporation | 144,267 | 12,581,525 | ||
Paychex, Inc. | 27,668 | 3,776,682 | ||
Paycom Software, Inc.* | 3,850 | 1,598,481 | ||
PayPal Holdings, Inc.* | 93,571 | 17,645,619 | ||
PTC, Inc.* | 6,734 | 815,824 | ||
Qorvo, Inc.* | 8,118 | 1,269,574 | ||
QUALCOMM, Inc. | 91,816 | 16,790,392 |
Shares | Value | |||
salesforce.com, Inc.* | 80,450 | $ 20,444,758 | ||
ServiceNow, Inc.* | 16,274 | 10,563,616 | ||
Skyworks Solutions, Inc. | 14,117 | 2,190,111 | ||
SolarEdge Technologies, Inc.* | 4,244 | 1,190,739 | ||
Synopsys, Inc.* | 12,360 | 4,554,660 | ||
Teledyne Technologies, Inc.* | 3,268 | 1,427,757 | ||
Teradyne, Inc.Δ | 9,806 | 1,603,575 | ||
Texas Instruments, Inc. | 78,134 | 14,725,915 | ||
Trimble, Inc.Δ* | 19,275 | 1,680,587 | ||
Tyler Technologies, Inc.* | 3,141 | 1,689,701 | ||
VeriSign, Inc.* | 7,867 | 1,996,802 | ||
Visa, Inc. Class AΔ | 135,771 | 29,422,933 | ||
Western Digital Corporation* | 22,012 | 1,435,403 | ||
Xilinx, Inc. | 18,364 | 3,893,719 | ||
Zebra Technologies Corporation Class A* | 4,187 | 2,492,102 | ||
924,080,867 | ||||
Materials — 2.0% | ||||
Air Products and Chemicals, Inc. | 18,561 | 5,647,370 | ||
Albemarle Corporation | 8,321 | 1,945,200 | ||
Avery Dennison Corporation | 3,272 | 708,617 | ||
Ball Corporation | 26,240 | 2,526,125 | ||
Celanese Corporation | 9,582 | 1,610,351 | ||
CF Industries Holdings, Inc. | 17,082 | 1,209,064 | ||
Corteva, Inc. | 55,219 | 2,610,754 | ||
Dow, Inc. | 72,331 | 4,102,614 | ||
DuPont de Nemours, Inc. | 47,302 | 3,821,056 | ||
Eastman Chemical Co. | 14,389 | 1,739,774 | ||
Ecolab, Inc. | 16,680 | 3,912,961 | ||
FMC CorporationΔ | 5,397 | 593,076 | ||
Freeport-McMoRan, Inc. | 112,863 | 4,709,773 | ||
International Flavors & Fragrances, Inc. | 19,185 | 2,890,220 | ||
International Paper Co. | 43,581 | 2,047,435 | ||
Martin Marietta Materials, Inc. | 5,969 | 2,629,464 | ||
Mosaic Co. (The) | 26,057 | 1,023,780 | ||
Newmont Corporation | 67,991 | 4,216,802 | ||
Nucor Corporation | 32,443 | 3,703,368 | ||
Packaging Corporation of America | 6,567 | 894,097 | ||
PPG Industries, Inc.Δ | 18,443 | 3,180,311 | ||
Sealed Air Corporation | 10,710 | 722,604 | ||
Sherwin-Williams Co. (The) | 19,044 | 6,706,535 | ||
Vulcan Materials Co. | 11,222 | 2,329,463 | ||
Westrock Co. | 21,818 | 967,847 | ||
66,448,661 | ||||
Real Estate — 2.8% | ||||
Alexandria Real Estate Equities, Inc. REIT | 11,494 | 2,562,702 | ||
American Tower Corporation REIT | 37,022 | 10,828,935 | ||
AvalonBay Communities, Inc. REIT | 11,730 | 2,962,881 | ||
Boston Properties, Inc. REITΔ | 11,272 | 1,298,309 | ||
CBRE Group, Inc. Class A* | 35,708 | 3,874,675 | ||
Crown Castle International Corporation REIT | 35,778 | 7,468,300 | ||
Digital Realty Trust, Inc. REITΔ | 25,560 | 4,520,797 | ||
Duke Realty Corporation REIT | 32,547 | 2,136,385 |
Shares | Value | |||
Equinix, Inc. REIT | 8,002 | $ 6,768,412 | ||
Equity Residential REIT | 36,341 | 3,288,860 | ||
Essex Property Trust, Inc. REIT | 5,627 | 1,981,998 | ||
Extra Space Storage, Inc. REIT | 8,534 | 1,934,914 | ||
Federal Realty Investment Trust REIT | 2,600 | 354,432 | ||
Healthpeak Properties, Inc. REITΔ | 46,597 | 1,681,686 | ||
Host Hotels & Resorts, Inc. REIT* | 47,435 | 824,895 | ||
Iron Mountain, Inc. REITΔ | 32,755 | 1,714,069 | ||
Kimco Realty Corporation REIT | 56,971 | 1,404,335 | ||
Mid-America Apartment Communities, Inc. REIT | 7,607 | 1,745,350 | ||
Prologis, Inc. REIT | 61,392 | 10,335,957 | ||
Public Storage REIT | 13,141 | 4,922,093 | ||
Realty Income Corporation REIT | 28,647 | 2,050,839 | ||
Regency Centers Corporation REITΔ | 15,104 | 1,138,086 | ||
SBA Communications Corporation REIT | 9,082 | 3,533,080 | ||
Simon Property Group, Inc. REIT | 25,427 | 4,062,472 | ||
UDR, Inc. REITΔ | 16,995 | 1,019,530 | ||
Ventas, Inc. REIT | 33,547 | 1,714,923 | ||
Vornado Realty Trust REITΔ | 15,993 | 669,467 | ||
Welltower, Inc. REIT | 31,626 | 2,712,562 | ||
Weyerhaeuser Co. REIT | 57,740 | 2,377,733 | ||
91,888,677 | ||||
Utilities — 2.6% | ||||
AES Corporation (The) | 56,201 | 1,365,684 | ||
Alliant Energy Corporation | 22,632 | 1,391,189 | ||
Ameren Corporation | 19,884 | 1,769,875 | ||
American Electric Power Co., Inc. | 43,060 | 3,831,048 | ||
American Water Works Co., Inc.Δ | 16,760 | 3,165,294 | ||
Atmos Energy CorporationΔ | 8,640 | 905,213 | ||
CenterPoint Energy, Inc.Δ | 50,231 | 1,401,947 | ||
CMS Energy Corporation | 24,417 | 1,588,326 | ||
Consolidated Edison, Inc.Δ | 33,879 | 2,890,556 | ||
Dominion Energy, Inc. | 72,926 | 5,729,067 | ||
DTE Energy Co. | 16,224 | 1,939,417 | ||
Duke Energy Corporation | 81,288 | 8,527,111 | ||
Edison International | 40,240 | 2,746,380 | ||
Entergy Corporation | 21,410 | 2,411,836 | ||
Evergy, Inc. | 17,247 | 1,183,317 | ||
Eversource Energy | 30,559 | 2,780,258 | ||
Exelon Corporation | 65,931 | 3,808,175 | ||
FirstEnergy Corporation | 51,603 | 2,146,169 | ||
NextEra Energy, Inc. | 152,587 | 14,245,522 | ||
NiSource, Inc. | 23,079 | 637,211 | ||
NRG Energy, Inc.Δ | 19,377 | 834,761 | ||
Pinnacle West Capital Corporation | 4,108 | 289,984 | ||
PPL Corporation | 73,784 | 2,217,947 | ||
Public Service Enterprise Group, Inc. | 46,751 | 3,119,694 | ||
Sempra Energy | 20,984 | 2,775,763 | ||
Southern Co. (The) | 92,202 | 6,323,213 | ||
WEC Energy Group, Inc. | 26,694 | 2,591,187 | ||
Xcel Energy, Inc. | 35,982 | 2,435,981 | ||
85,052,125 | ||||
Total Common Stocks (Cost $1,634,987,290) | 3,163,457,344 |
Shares | Value | |||
FOREIGN COMMON STOCKS — 3.2% | ||||
Curacao — 0.1% | ||||
Schlumberger NV | 110,484 | $ 3,308,996 | ||
Ireland — 2.3% | ||||
Accenture PLC Class A | 50,763 | 21,043,802 | ||
Allegion PLC | 11,277 | 1,493,526 | ||
Aon PLC Class A | 19,060 | 5,728,674 | ||
Eaton Corporation PLC | 34,612 | 5,981,646 | ||
Johnson Controls International PLC | 75,803 | 6,163,542 | ||
Linde PLC | 42,397 | 14,687,593 | ||
Medtronic PLC | 114,412 | 11,835,921 | ||
Pentair PLC | 6,692 | 488,717 | ||
Seagate Technology Holdings PLCΔ | 20,280 | 2,291,234 | ||
STERIS PLC | 7,533 | 1,833,607 | ||
Trane Technologies PLC | 16,206 | 3,274,098 | ||
Willis Towers Watson PLC | 12,561 | 2,983,112 | ||
77,805,472 | ||||
Jersey — 0.2% | ||||
Amcor PLC | 120,129 | 1,442,749 | ||
Aptiv PLC* | 21,684 | 3,576,776 | ||
5,019,525 | ||||
Netherlands — 0.2% | ||||
LyondellBasell Industries NV Class A | 27,312 | 2,518,986 | ||
NXP Semiconductor NV | 19,939 | 4,541,706 | ||
7,060,692 | ||||
Switzerland — 0.4% | ||||
Chubb, Ltd. | 35,583 | 6,878,550 | ||
Garmin, Ltd. | 8,253 | 1,123,811 | ||
TE Connectivity, Ltd. | 28,610 | 4,615,937 | ||
12,618,298 | ||||
United Kingdom — 0.0% | ||||
Nielsen Holdings PLC | 40,749 | 835,762 | ||
Total Foreign Common Stocks (Cost $62,614,483) | 106,648,745 | |||
MONEY MARKET FUNDS — 1.9% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 62,134,618 | 62,134,618 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.04%ا | 1,227,216 | 1,227,216 | ||
Total Money Market Funds (Cost $63,361,834) | 63,361,834 | |||
TOTAL INVESTMENTS — 99.9% (Cost $1,760,963,607) | 3,333,467,923 | |||
Other Assets in Excess of Liabilities — 0.1% | 3,083,823 | |||
NET ASSETS — 100.0% | $3,336,551,746 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 03/2022 | 264 | $62,812,200 | $1,295,866 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $3,163,457,344 | $3,163,457,344 | $ — | $ — | |||
Foreign Common Stocks | 106,648,745 | 106,648,745 | — | — | |||
Money Market Funds | 63,361,834 | 63,361,834 | — | — | |||
Total Assets - Investments in Securities | $3,333,467,923 | $3,333,467,923 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 1,295,866 | $ 1,295,866 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 1,295,866 | $ 1,295,866 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
% | |
Financials | 20.3 |
Health Care | 13.9 |
Information Technology | 11.7 |
Industrials | 10.9 |
Consumer Discretionary | 10.3 |
Consumer Staples | 6.2 |
Communication Services | 6.0 |
Materials | 5.9 |
Energy | 5.4 |
Utilities | 3.7 |
Money Market Funds | 3.3 |
Real Estate | 2.0 |
Mutual Funds | 0.4 |
100.0 |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 24.61% | 24.27% | 25.16% | ||||
Five Year | 11.17% | 10.87% | 11.16% | ||||
Ten Year | 12.69% | 12.40% | 12.96% | ||||
Since Inception | 7.73% | 7.45% | 8.01% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.69% | 0.95% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 84.7% | ||||
Communication Services — 5.7% | ||||
Altice U.S.A., Inc. Class A* | 682,878 | $ 11,048,966 | ||
AT&T, Inc. | 187,264 | 4,606,694 | ||
Comcast Corporation Class A | 469,819 | 23,645,990 | ||
Discovery, Inc. Class AΔ* | 148,389 | 3,493,077 | ||
Fox Corporation Class A | 128,654 | 4,747,333 | ||
T-Mobile US, Inc.* | 74,794 | 8,674,608 | ||
Verizon Communications, Inc. | 377,527 | 19,616,303 | ||
ViacomCBS, Inc. Class B | 155,710 | 4,699,328 | ||
80,532,299 | ||||
Consumer Discretionary — 9.9% | ||||
Advance Auto Parts, Inc. | 94,065 | 22,564,312 | ||
Aramark | 311,434 | 11,476,343 | ||
Darden Restaurants, Inc. | 39,925 | 6,014,302 | ||
Dick's Sporting Goods, Inc.Δ | 32,695 | 3,759,598 | ||
Dollar General Corporation | 62,759 | 14,800,455 | ||
Lennar Corporation Class A | 151,803 | 17,633,437 | ||
Lithia Motors, Inc. | 24,779 | 7,358,124 | ||
Lowe’s Cos., Inc. | 113,688 | 29,386,074 | ||
Ralph Lauren Corporation | 105,297 | 12,515,601 | ||
Target Corporation | 60,927 | 14,100,945 | ||
139,609,191 | ||||
Consumer Staples — 4.6% | ||||
Church & Dwight Co., Inc. | 64,417 | 6,602,742 | ||
Colgate-Palmolive Co. | 104,047 | 8,879,371 | ||
Conagra Brands, Inc. | 351,963 | 12,019,536 | ||
Kimberly-Clark Corporation | 44,079 | 6,299,771 | ||
Lamb Weston Holdings, Inc. | 91,527 | 5,800,981 | ||
Mondelez International, Inc. Class A | 125,800 | 8,341,798 | ||
PepsiCo, Inc. | 63,000 | 10,943,730 | ||
Walmart, Inc. | 46,242 | 6,690,755 | ||
65,578,684 | ||||
Energy — 4.6% | ||||
Baker Hughes Co. | 212,735 | 5,118,404 | ||
Chevron Corporation | 157,370 | 18,467,370 | ||
Exxon Mobil Corporation | 75,685 | 4,631,165 | ||
Hess Corporation | 175,260 | 12,974,498 | ||
Phillips 66 | 189,037 | 13,697,621 | ||
Pioneer Natural Resources Co. | 28,399 | 5,165,210 | ||
Valero Energy Corporation | 64,384 | 4,835,882 | ||
64,890,150 | ||||
Financials — 18.6% | ||||
Aflac, Inc. | 116,238 | 6,787,137 | ||
Allstate Corporation (The) | 186,058 | 21,889,724 | ||
American Express Co. | 39,804 | 6,511,934 | ||
American International Group, Inc. | 218,900 | 12,446,654 | ||
Ameriprise Financial, Inc. | 23,878 | 7,203,037 | ||
Apollo Asset Management, Inc.Δ | 14,000 | 1,014,020 | ||
Bank of New York Mellon Corporation (The) | 188,492 | 10,947,615 | ||
Berkshire Hathaway, Inc. Class B* | 78,667 | 23,521,433 | ||
BlackRock, Inc. | 10,625 | 9,727,825 | ||
Blackstone, Inc. | 33,100 | 4,282,809 | ||
Cincinnati Financial Corporation | 37,810 | 4,307,693 |
Shares | Value | |||
Citigroup, Inc. | 178,891 | $ 10,803,228 | ||
Franklin Resources, Inc. | 84,825 | 2,840,789 | ||
Goldman Sachs Group, Inc. (The) | 14,160 | 5,416,908 | ||
Intercontinental Exchange, Inc. | 66,374 | 9,077,972 | ||
JPMorgan Chase & Co. | 199,519 | 31,593,834 | ||
Marsh & McLennan Cos., Inc. | 31,994 | 5,561,197 | ||
MetLife, Inc. | 121,951 | 7,620,718 | ||
Morgan Stanley | 59,900 | 5,879,784 | ||
Northern Trust Corporation | 84,561 | 10,114,341 | ||
Progressive Corporation (The) | 67,840 | 6,963,776 | ||
Reinsurance Group of America, Inc. | 90,071 | 9,861,874 | ||
Signature Bank | 24,022 | 7,770,396 | ||
Truist Financial Corporation | 129,248 | 7,567,470 | ||
U.S. Bancorp | 207,874 | 11,676,283 | ||
Wells Fargo & Co. | 426,424 | 20,459,824 | ||
261,848,275 | ||||
Health Care — 9.3% | ||||
Anthem, Inc. | 35,233 | 16,331,905 | ||
Becton, Dickinson and Co. | 35,342 | 8,887,806 | ||
Centene Corporation* | 115,343 | 9,504,263 | ||
Cerner Corporation | 140,288 | 13,028,547 | ||
CVS Health Corporation | 146,965 | 15,160,910 | ||
Gilead Sciences, Inc. | 71,040 | 5,158,215 | ||
Humana, Inc. | 23,776 | 11,028,735 | ||
McKesson Corporation | 34,135 | 8,484,937 | ||
Molina Healthcare, Inc.* | 33,025 | 10,504,592 | ||
UnitedHealth Group, Inc. | 36,695 | 18,426,027 | ||
Zimmer Biomet Holdings, Inc. | 111,032 | 14,105,505 | ||
130,621,442 | ||||
Industrials — 9.5% | ||||
AECOM* | 75,201 | 5,816,797 | ||
Deere & Co. | 45,598 | 15,635,098 | ||
Emerson Electric Co. | 82,905 | 7,707,678 | ||
Fastenal Co. | 93,741 | 6,005,049 | ||
General Electric Co. | 75,766 | 7,157,614 | ||
Hubbell, Inc. | 8,963 | 1,866,724 | ||
J.B. Hunt Transport Services, Inc. | 98,248 | 20,081,891 | ||
Norfolk Southern Corporation | 27,085 | 8,063,475 | ||
Raytheon Technologies Corporation | 178,317 | 15,345,961 | ||
Southwest Airlines Co.* | 105,052 | 4,500,428 | ||
Stanley Black & Decker, Inc. | 45,044 | 8,496,199 | ||
Textron, Inc. | 110,657 | 8,542,720 | ||
United Parcel Service, Inc. Class B | 76,114 | 16,314,275 | ||
Vertiv Holdings Co. | 313,919 | 7,838,558 | ||
133,372,467 | ||||
Information Technology — 10.9% | ||||
Apple, Inc. | 67,302 | 11,950,816 | ||
Broadcom, Inc. | 37,123 | 24,702,015 | ||
Cisco Systems, Inc. | 345,422 | 21,889,392 | ||
Cognizant Technology Solutions Corporation Class A | 166,316 | 14,755,556 | ||
Corning, Inc. | 85,002 | 3,164,625 | ||
F5, Inc.* | 17,470 | 4,275,084 | ||
Fiserv, Inc.Δ* | 49,950 | 5,184,311 | ||
HP, Inc.Δ | 103,003 | 3,880,123 |
Shares | Value | |||
Intel Corporation | 92,630 | $ 4,770,445 | ||
International Business Machines Corporation | 50,928 | 6,807,037 | ||
Juniper Networks, Inc. | 95,065 | 3,394,771 | ||
Microsoft Corporation | 21,694 | 7,296,126 | ||
ON Semiconductor Corporation* | 143,872 | 9,771,786 | ||
Oracle Corporation | 65,311 | 5,695,772 | ||
Paychex, Inc. | 47,472 | 6,479,928 | ||
QUALCOMM, Inc. | 35,830 | 6,552,232 | ||
Texas Instruments, Inc. | 68,537 | 12,917,168 | ||
153,487,187 | ||||
Materials — 5.9% | ||||
Air Products and Chemicals, Inc. | 50,110 | 15,246,469 | ||
Axalta Coating Systems, Ltd.* | 316,368 | 10,478,108 | ||
Corteva, Inc. | 304,796 | 14,410,755 | ||
DuPont de Nemours, Inc. | 125,469 | 10,135,386 | ||
Freeport-McMoRan, Inc. | 182,406 | 7,611,802 | ||
International Flavors & Fragrances, Inc. | 128,006 | 19,284,104 | ||
Sonoco Products Co. | 98,154 | 5,682,135 | ||
82,848,759 | ||||
Real Estate — 2.0% | ||||
American Tower Corporation REIT | 20,357 | 5,954,423 | ||
Crown Castle International Corporation REIT | 40,676 | 8,490,708 | ||
Jones Lang LaSalle, Inc.* | 16,025 | 4,316,173 | ||
STORE Capital Corporation REIT | 161,949 | 5,571,046 | ||
Weyerhaeuser Co. REITΔ | 100,873 | 4,153,950 | ||
28,486,300 | ||||
Utilities — 3.7% | ||||
AES Corporation (The) | 257,310 | 6,252,633 | ||
Atmos Energy CorporationΔ | 116,962 | 12,254,109 | ||
Dominion Energy, Inc. | 82,084 | 6,448,519 | ||
Duke Energy Corporation | 62,517 | 6,558,033 | ||
Edison International | 84,741 | 5,783,573 | ||
Exelon Corporation | 149,669 | 8,644,882 | ||
Pinnacle West Capital Corporation | 95,258 | 6,724,262 | ||
52,666,011 | ||||
Total Common Stocks (Cost $896,083,703) | 1,193,940,765 | |||
FOREIGN COMMON STOCKS — 11.6% | ||||
Canada — 0.4% | ||||
Open Text Corporation | 123,915 | 5,883,484 | ||
France — 1.2% | ||||
Sodexo SAΔ | 64,525 | 5,660,959 |
Shares | Value | |||
TotalEnergies SE ADRΔ | 223,260 | $ 11,042,440 | ||
16,703,399 | ||||
Germany — 0.6% | ||||
Siemens AG | 48,645 | 8,425,455 | ||
Ireland — 4.8% | ||||
Johnson Controls International PLC | 147,351 | 11,981,110 | ||
Medtronic PLC | 299,217 | 30,953,999 | ||
STERIS PLC | 32,684 | 7,955,612 | ||
Willis Towers Watson PLC | 70,879 | 16,833,054 | ||
67,723,775 | ||||
Japan — 0.3% | ||||
Nintendo Co., Ltd. ADRΔ | 67,345 | 3,930,928 | ||
Singapore — 0.4% | ||||
Flex, Ltd.* | 283,418 | 5,195,052 | ||
Switzerland — 2.8% | ||||
Chubb, Ltd. | 32,858 | 6,351,780 | ||
Nestle SA ADR | 54,119 | 7,596,684 | ||
Novartis AG | 106,286 | 9,339,566 | ||
Roche Holding AG | 38,040 | 15,781,322 | ||
39,069,352 | ||||
United Kingdom — 1.1% | ||||
Unilever PLC ADR | 304,138 | 16,359,583 | ||
Total Foreign Common Stocks (Cost $144,172,208) | 163,291,028 | |||
MUTUAL FUNDS — 0.4% | ||||
iShares Russell 1000 Value ETFΔ (Cost $5,288,654) | 32,408 | 5,442,276 | ||
MONEY MARKET FUNDS — 3.3% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 44,330,279 | 44,330,279 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.04%ا | 1,685,880 | 1,685,880 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 69,988 | 69,988 | ||
Total Money Market Funds (Cost $46,086,147) | 46,086,147 | |||
TOTAL INVESTMENTS — 100.0% (Cost $1,091,630,712) | 1,408,760,216 | |||
Liabilities in Excess of Other Assets — (0.0)% | (107,581) | |||
NET ASSETS — 100.0% | $1,408,652,635 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 03/2022 | 192 | $45,681,600 | $947,811 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/31/22 | U.S. Dollars | 24,221,558 | Euro | 21,390,522 | CS | $(178,354) | ||||||
03/31/22 | U.S. Dollars | 24,331,282 | Swiss Francs | 22,367,748 | MSCS | (275,512) | ||||||
03/31/22 | U.S. Dollars | 15,361,641 | British Pounds | 11,618,155 | JPM | (357,689) | ||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2021 | $(811,555) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,193,940,765 | $1,193,940,765 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Germany | 8,425,455 | — | 8,425,455 | — | |||
Switzerland | 39,069,352 | 13,948,464 | 25,120,888 | — | |||
Other ^^ | 115,796,221 | 115,796,221 | — | — | |||
Total Foreign Common Stocks | 163,291,028 | 129,744,685 | 33,546,343 | — | |||
Money Market Funds | 46,086,147 | 46,086,147 | — | — | |||
Mutual Funds | 5,442,276 | 5,442,276 | — | — | |||
Total Assets - Investments in Securities | $1,408,760,216 | $1,375,213,873 | $33,546,343 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 947,811 | $ 947,811 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 947,811 | $ 947,811 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (811,555) | $ — | $ (811,555) | $ — | |||
Total Liabilities - Other Financial Instruments | $ (811,555) | $ — | $ (811,555) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts and forward contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" and "Forward Foreign Currency Contracts outstanding" disclosures. |
% | |
Information Technology | 40.7 |
Consumer Discretionary | 14.0 |
Communication Services | 13.9 |
Health Care | 12.8 |
Industrials | 9.1 |
Money Market Funds | 4.1 |
Consumer Staples | 2.8 |
Real Estate | 1.3 |
Materials | 0.8 |
Financials | 0.6 |
Energy | 0.3 |
100.4 |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 17.68% | 17.41% | 27.60% | ||||
Five Year | 23.62% | 23.30% | 25.30% | ||||
Ten Year | 18.07% | 17.79% | 19.77% | ||||
Since Inception | 9.43% | 9.26% | 10.56% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.70% | 0.96% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 88.2% | ||||
Communication Services — 13.9% | ||||
Alphabet, Inc. Class A* | 5,462 | $ 15,823,632 | ||
Alphabet, Inc. Class C* | 12,944 | 37,454,629 | ||
Charter Communications, Inc. Class AΔ* | 14,237 | 9,282,097 | ||
Match Group, Inc.Δ* | 197,517 | 26,121,623 | ||
Meta Platforms, Inc. Class A* | 248,117 | 83,454,153 | ||
Netflix, Inc.* | 73,456 | 44,252,833 | ||
Pinterest, Inc. Class A* | 192,265 | 6,988,833 | ||
Sea, Ltd. ADRΔ* | 151,244 | 33,834,795 | ||
Walt Disney Co. (The)* | 162,600 | 25,185,114 | ||
Warner Music Group Corporation Class A | 180,777 | 7,805,951 | ||
290,203,660 | ||||
Consumer Discretionary — 12.7% | ||||
Advance Auto Parts, Inc. | 46,347 | 11,117,718 | ||
Airbnb, Inc. Class A* | 39,225 | 6,530,570 | ||
Amazon.com, Inc.* | 37,043 | 123,513,957 | ||
Booking Holdings, Inc.* | 3,989 | 9,570,529 | ||
Carvana Co.* | 18,736 | 4,342,817 | ||
Chewy, Inc. Class AΔ* | 146,239 | 8,623,714 | ||
DoorDash, Inc. Class A* | 51,307 | 7,639,612 | ||
Floor & Decor Holdings, Inc. Class A* | 67,424 | 8,765,794 | ||
Home Depot, Inc. (The) | 47,932 | 19,892,259 | ||
Lululemon Athletica, Inc.* | 23,956 | 9,377,576 | ||
NIKE, Inc. Class B | 78,800 | 13,133,596 | ||
Starbucks Corporation | 84,241 | 9,853,670 | ||
Tractor Supply Co. | 46,760 | 11,156,936 | ||
Ulta Beauty, Inc.* | 32,975 | 13,596,912 | ||
Yum China Holdings, Inc. | 55,597 | 2,770,955 | ||
Yum! Brands, Inc. | 41,109 | 5,708,396 | ||
265,595,011 | ||||
Consumer Staples — 2.8% | ||||
Colgate-Palmolive Co. | 61,196 | 5,222,467 | ||
Costco Wholesale Corporation | 22,685 | 12,878,274 | ||
Estee Lauder Cos., Inc. (The) Class A | 42,867 | 15,869,363 | ||
Monster Beverage Corporation* | 258,470 | 24,823,459 | ||
58,793,563 | ||||
Financials — 0.6% | ||||
FactSet Research Systems, Inc. | 15,621 | 7,591,962 | ||
SEI Investments Co. | 88,163 | 5,372,653 | ||
12,964,615 | ||||
Health Care — 11.3% | ||||
10X Genomics, Inc. Class AΔ* | 26,550 | 3,954,888 | ||
Align Technology, Inc.* | 18,565 | 12,200,547 | ||
BioMarin Pharmaceutical, Inc.* | 65,073 | 5,749,200 | ||
DexCom, Inc.Δ* | 46,651 | 25,049,254 | ||
Edwards Lifesciences Corporation* | 190,262 | 24,648,442 | ||
Illumina, Inc.* | 23,680 | 9,008,819 | ||
Intuitive Surgical, Inc.* | 103,329 | 37,126,110 | ||
Regeneron Pharmaceuticals, Inc.* | 18,245 | 11,522,082 |
Shares | Value | |||
Sarepta Therapeutics, Inc.* | 83,558 | $ 7,524,398 | ||
UnitedHealth Group, Inc. | 53,377 | 26,802,727 | ||
Veeva Systems, Inc. Class A* | 49,774 | 12,716,262 | ||
Vertex Pharmaceuticals, Inc.* | 47,095 | 10,342,062 | ||
Zoetis, Inc. | 200,843 | 49,011,717 | ||
235,656,508 | ||||
Industrials — 8.6% | ||||
Boeing Co. (The)* | 87,835 | 17,682,942 | ||
Cintas Corporation | 34,293 | 15,197,629 | ||
CoStar Group, Inc.* | 130,976 | 10,351,033 | ||
Deere & Co. | 29,911 | 10,256,183 | ||
Expeditors International of Washington, Inc. | 70,494 | 9,466,639 | ||
IDEX Corporation | 44,918 | 10,615,022 | ||
IHS Markit, Ltd. | 118,733 | 15,781,990 | ||
L3Harris Technologies, Inc. | 47,830 | 10,199,269 | ||
Raytheon Technologies Corporation | 123,454 | 10,624,451 | ||
Roper Technologies, Inc. | 23,341 | 11,480,504 | ||
Uber Technologies, Inc.* | 596,531 | 25,012,545 | ||
United Parcel Service, Inc. Class B | 84,407 | 18,091,797 | ||
W.W. Grainger, Inc. | 27,127 | 14,058,297 | ||
178,818,301 | ||||
Information Technology — 36.2% | ||||
Adobe, Inc.* | 66,056 | 37,457,715 | ||
Apple, Inc. | 810,626 | 143,942,859 | ||
Autodesk, Inc.Δ* | 112,873 | 31,738,759 | ||
Automatic Data Processing, Inc. | 14,031 | 3,459,764 | ||
Block, Inc.* | 114,971 | 18,568,966 | ||
Cisco Systems, Inc. | 129,767 | 8,223,335 | ||
Cloudflare, Inc. Class A* | 31,557 | 4,149,746 | ||
Coupa Software, Inc.* | 41,406 | 6,544,218 | ||
Fidelity National Information Services, Inc. | 71,229 | 7,774,645 | ||
Intuit, Inc. | 57,674 | 37,097,070 | ||
Mastercard, Inc. Class A | 42,169 | 15,152,165 | ||
Microsoft Corporation | 261,138 | 87,825,932 | ||
NVIDIA Corporation | 217,105 | 63,852,752 | ||
Oracle Corporation | 206,926 | 18,046,017 | ||
Palo Alto Networks, Inc.Δ* | 39,413 | 21,943,582 | ||
PayPal Holdings, Inc.* | 116,536 | 21,976,359 | ||
QUALCOMM, Inc. | 57,714 | 10,554,159 | ||
salesforce.com, Inc.* | 166,901 | 42,414,551 | ||
ServiceNow, Inc.* | 70,288 | 45,624,644 | ||
Snowflake, Inc. Class A* | 25,339 | 8,583,586 | ||
Splunk, Inc.* | 70,328 | 8,138,356 | ||
Twilio, Inc. Class A* | 54,242 | 14,284,088 | ||
UiPath, Inc. Class AΔ* | 103,138 | 4,448,342 | ||
Visa, Inc. Class AΔ | 348,268 | 75,473,158 | ||
Workday, Inc. Class A* | 65,822 | 17,981,254 | ||
Xperi Holding Corporation | 3 | 57 | ||
755,256,079 | ||||
Materials — 0.8% | ||||
Sherwin-Williams Co. (The) | 43,646 | 15,370,375 |
Shares | Value | |||
Real Estate — 1.3% | ||||
Equinix, Inc. REIT | 13,443 | $ 11,370,627 | ||
SBA Communications Corporation REIT | 41,390 | 16,101,538 | ||
27,472,165 | ||||
Total Common Stocks (Cost $1,116,052,066) | 1,840,130,277 | |||
FOREIGN COMMON STOCKS — 8.1% | ||||
Canada — 1.3% | ||||
Shopify, Inc. Class A* | 19,105 | 26,315,036 | ||
China — 0.6% | ||||
Alibaba Group Holding, Ltd. ADR* | 106,262 | 12,622,863 | ||
Curacao — 0.3% | ||||
Schlumberger NV | 180,826 | 5,415,739 | ||
Ireland — 0.5% | ||||
Eaton Corporation PLC | 65,810 | 11,373,284 | ||
Israel — 0.1% | ||||
Fiverr International, Ltd.* | 25,348 | 2,882,068 | ||
Jersey — 0.6% | ||||
Aptiv PLC* | 77,117 | 12,720,449 | ||
Netherlands — 1.8% | ||||
ASML Holding NV (NASDAQ Exchange) | 12,700 | 10,110,978 | ||
NXP Semiconductor NV | 116,270 | 26,483,980 | ||
36,594,958 |
Shares | Value | |||
Switzerland — 1.5% | ||||
Alcon, Inc.Δ | 128,230 | $ 11,171,398 | ||
Novartis AG ADR | 121,352 | 10,614,659 | ||
Roche Holding AG ADR | 201,897 | 10,436,056 | ||
32,222,113 | ||||
United Kingdom — 1.4% | ||||
Atlassian Corporation PLC Class A* | 75,934 | 28,952,875 | ||
Total Foreign Common Stocks (Cost $131,186,613) | 169,099,385 | |||
MONEY MARKET FUNDS — 4.1% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 76,063,715 | 76,063,715 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.04%ا | 10,176,712 | 10,176,712 | ||
Total Money Market Funds (Cost $86,240,427) | 86,240,427 | |||
TOTAL INVESTMENTS — 100.4% (Cost $1,333,479,106) | 2,095,470,089 | |||
Liabilities in Excess of Other Assets — (0.4)% | (7,838,873) | |||
NET ASSETS — 100.0% | $2,087,631,216 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 03/2022 | 326 | $77,563,550 | $1,659,661 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,840,130,277 | $1,840,130,277 | $ — | $ — | |||
Foreign Common Stocks | 169,099,385 | 169,099,385 | — | — | |||
Money Market Funds | 86,240,427 | 86,240,427 | — | — | |||
Total Assets - Investments in Securities | $2,095,470,089 | $2,095,470,089 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 1,659,661 | $ 1,659,661 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 1,659,661 | $ 1,659,661 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
% | |
Industrials | 18.2 |
Information Technology | 16.7 |
Financials | 16.5 |
Health Care | 15.8 |
Consumer Discretionary | 11.8 |
Money Market Funds | 5.6 |
Real Estate | 5.2 |
Materials | 3.4 |
Consumer Staples | 2.9 |
Energy | 2.5 |
Communication Services | 1.8 |
Utilities | 1.7 |
Rights | —** |
102.1 | |
**Rounds to less than 0.05% |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 22.09% | 21.79% | 14.82% | ||||
Five Year | 12.80% | 12.51% | 12.01% | ||||
Ten Year | 12.88% | 12.60% | 13.22% | ||||
Since Inception | 8.81% | 8.59% | 9.30% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 1.00% | 1.26% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 94.1% | ||||
Communication Services — 1.8% | ||||
ATN International, Inc. | 20,753 | $ 829,082 | ||
Bandwidth, Inc. Class A* | 24,314 | 1,744,773 | ||
Cinemark Holdings, Inc.Δ* | 62,680 | 1,010,402 | ||
comScore, Inc.* | 42,720 | 142,685 | ||
Consolidated Communications Holdings, Inc.* | 33,400 | 249,832 | ||
Cumulus Media, Inc. Class A* | 4,213 | 47,396 | ||
CuriosityStream, Inc.Δ* | 119,720 | 709,940 | ||
DHI Group, Inc.* | 14,410 | 89,918 | ||
Entravision Communications Corporation Class AΔ | 201,226 | 1,364,312 | ||
Integral Ad Science Holding CorporationΔ* | 115,400 | 2,563,034 | ||
Nexstar Media Group, Inc. Class AΔ | 7,922 | 1,196,064 | ||
Telephone & Data Systems, Inc.Δ | 78,725 | 1,586,309 | ||
Townsquare Media, Inc. Class A* | 18,671 | 248,884 | ||
TrueCar, Inc.* | 53,602 | 182,247 | ||
United States Cellular Corporation* | 15,570 | 490,766 | ||
Yelp, Inc.* | 80,428 | 2,914,711 | ||
15,370,355 | ||||
Consumer Discretionary — 11.4% | ||||
Aaron's Co, Inc. (The) | 31,102 | 766,664 | ||
Academy Sports & Outdoors, Inc.* | 44,709 | 1,962,725 | ||
Adtalem Global Education, Inc.* | 27,923 | 825,404 | ||
American Axle & Manufacturing Holdings, Inc.* | 122,558 | 1,143,466 | ||
American Eagle Outfitters, Inc.Δ | 137,552 | 3,482,817 | ||
American Outdoor Brands, Inc.Δ* | 11,336 | 225,926 | ||
American Public Education, Inc.* | 14,768 | 328,588 | ||
Barnes & Noble Education, Inc.* | 33,450 | 227,795 | ||
Bassett Furniture Industries, Inc. | 9,223 | 154,670 | ||
Beazer Homes U.S.A., Inc.* | 46,805 | 1,086,812 | ||
Boot Barn Holdings, Inc.* | 14,300 | 1,759,615 | ||
Brinker International, Inc.* | 44,275 | 1,620,022 | ||
Brunswick Corporation | 26,123 | 2,631,370 | ||
Callaway Golf Co.* | 99,500 | 2,730,280 | ||
Children's Place, Inc. (The)* | 12,890 | 1,022,048 | ||
Chuy's Holdings, Inc.* | 27,149 | 817,728 | ||
Container Store Group, Inc. (The)* | 10,800 | 107,784 | ||
Cooper-Standard Holdings, Inc.* | 16,176 | 362,504 | ||
Cracker Barrel Old Country Store, Inc. | 14,280 | 1,836,979 | ||
Dana, Inc.Δ | 94,689 | 2,160,803 | ||
Dave & Buster's Entertainment, Inc.* | 54,295 | 2,084,928 | ||
Dillard's, Inc. Class AΔ | 1,407 | 344,743 | ||
F45 Training Holdings, Inc.Δ* | 66,000 | 718,740 | ||
Genesco, Inc.* | 8,992 | 577,017 | ||
Goodyear Tire & Rubber Co. (The)* | 72,145 | 1,538,131 | ||
Helen of Troy, Ltd.Δ* | 8,551 | 2,090,463 | ||
Hibbett, Inc.Δ | 15,193 | 1,092,833 | ||
Hilton Grand Vacations, Inc.* | 49,500 | 2,579,445 | ||
Hooker Furnishings Corporation | 2,792 | 64,998 | ||
Jack in the Box, Inc.Δ | 22,878 | 2,001,367 | ||
KB HomeΔ | 56,974 | 2,548,447 | ||
La-Z-Boy, Inc. | 32,393 | 1,176,190 | ||
Leslie's, Inc.* | 134,100 | 3,172,806 |
Shares | Value | |||
Lifetime Brands, Inc. | 2,450 | $ 39,127 | ||
LL Flooring Holdings, Inc.* | 3,359 | 57,338 | ||
Malibu Boats, Inc. Class A* | 81,674 | 5,613,454 | ||
MarineMax, Inc.* | 55,527 | 3,278,314 | ||
Modine Manufacturing Co.Δ* | 39,494 | 398,494 | ||
Mohawk Industries, Inc.Δ* | 4,871 | 887,399 | ||
National Vision Holdings, Inc.* | 77,100 | 3,700,029 | ||
ODP Corporation (The)Δ* | 17,103 | 671,806 | ||
OneSpaWorld Holdings, Ltd.Δ* | 154,100 | 1,544,082 | ||
OneWater Marine, Inc. Class AΔ | 30,212 | 1,842,026 | ||
Penske Automotive Group, Inc.Δ | 30,887 | 3,311,704 | ||
Perdoceo Education Corporation* | 46,693 | 549,110 | ||
Planet Fitness, Inc. Class A* | 31,300 | 2,835,154 | ||
PowerSchool Holdings, Inc. Class AΔ* | 92,300 | 1,520,181 | ||
RealReal, Inc. (The)Δ* | 148,100 | 1,719,441 | ||
Red Robin Gourmet Burgers, Inc.* | 47,091 | 778,414 | ||
Signet Jewelers, Ltd. | 10,438 | 908,419 | ||
Skyline Champion Corporation* | 25,290 | 1,997,404 | ||
Solo Brands, Inc. Class AΔ* | 21,704 | 339,234 | ||
Sonic Automotive, Inc. Class A | 15,258 | 754,508 | ||
Standard Motor Products, Inc. | 2,940 | 154,027 | ||
Steven Madden, Ltd. | 74,589 | 3,466,151 | ||
Tapestry, Inc. | 62,319 | 2,530,151 | ||
Taylor Morrison Home Corporation Class AΔ* | 86,158 | 3,012,084 | ||
Tenneco, Inc. Class A* | 68,291 | 771,688 | ||
Texas Roadhouse, Inc. | 33,363 | 2,978,649 | ||
Tilly's, Inc. Class A | 22,359 | 360,203 | ||
Unifi, Inc.* | 11,316 | 261,965 | ||
Universal Electronics, Inc.* | 6,855 | 279,341 | ||
Universal Technical Institute, Inc.* | 7,811 | 61,082 | ||
Vera Bradley, Inc.* | 21,100 | 179,561 | ||
Vista Outdoor, Inc.* | 25,952 | 1,195,609 | ||
Visteon Corporation* | 20,200 | 2,245,028 | ||
Wendy's Co. (The) | 60,087 | 1,433,075 | ||
Wingstop, Inc. | 11,000 | 1,900,800 | ||
98,819,160 | ||||
Consumer Staples — 2.8% | ||||
Albertsons Cos., Inc. Class AΔ | 18,043 | 544,718 | ||
Andersons, Inc. (The) | 16,449 | 636,741 | ||
BJ's Wholesale Club Holdings, Inc.* | 101,045 | 6,766,984 | ||
Edgewell Personal Care Co.Δ | 102,271 | 4,674,807 | ||
Fresh Del Monte Produce, Inc. | 16,001 | 441,628 | ||
Honest Co., Inc. (The)Δ* | 18,957 | 153,362 | ||
J&J Snack Foods Corporation | 16,395 | 2,589,754 | ||
Landec Corporation* | 11,463 | 127,239 | ||
Nature's Sunshine Products, Inc. | 7,293 | 134,921 | ||
Simply Good Foods Co. (The)Δ* | 70,100 | 2,914,057 | ||
SpartanNash Co.Δ | 23,725 | 611,156 | ||
Spectrum Brands Holdings, Inc. | 39,753 | 4,043,675 | ||
Vita Coco Co., Inc. (The)Δ* | 44,700 | 499,299 | ||
24,138,341 | ||||
Energy — 2.5% | ||||
Arch Resources, Inc.Δ | 7,583 | 692,480 | ||
ChampionX Corporation* | 70,589 | 1,426,604 |
Shares | Value | |||
CVR Energy, Inc. | 71,528 | $ 1,202,386 | ||
Delek U.S. Holdings, Inc.* | 88,897 | 1,332,566 | ||
DHT Holdings, Inc.Δ | 211,770 | 1,099,086 | ||
Dorian LPG, Ltd. | 26,950 | 341,995 | ||
Dril-Quip, Inc.* | 9,160 | 180,269 | ||
Earthstone Energy, Inc. Class A* | 89,483 | 978,944 | ||
Enviva Partners LP | 16,152 | 1,137,424 | ||
HollyFrontier Corporation | 15,639 | 512,646 | ||
Nabors Industries, Ltd.* | 2,205 | 178,803 | ||
NCS Multistage Holdings, Inc.Δ* | 1,539 | 44,631 | ||
Newpark Resources, Inc.* | 2,464 | 7,244 | ||
Oil States International, Inc.* | 88,180 | 438,255 | ||
Ovintiv, Inc. | 20,797 | 700,859 | ||
Patterson-UTI Energy, Inc.Δ | 365,569 | 3,089,058 | ||
PDC Energy, Inc. | 82,791 | 4,038,545 | ||
Plains GP Holdings LP Class A* | 18,685 | 189,466 | ||
REX American Resources Corporation* | 3,600 | 345,600 | ||
SFL Corporation, Ltd. | 113,541 | 925,359 | ||
Southwestern Energy Co.* | 335,468 | 1,563,281 | ||
W&T Offshore, Inc.Δ* | 1,000 | 3,230 | ||
Whiting Petroleum Corporation* | 7,694 | 497,648 | ||
World Fuel Services Corporation | 35,867 | 949,399 | ||
21,875,778 | ||||
Financials — 16.5% | ||||
1st Source Corporation | 2,553 | 126,629 | ||
Alerus Financial Corporation | 802 | 23,483 | ||
Amalgamated Financial CorporationΔ | 7,301 | 122,438 | ||
A-Mark Precious Metals, Inc. | 10,144 | 619,798 | ||
American Equity Investment Life Holding Co. | 46,757 | 1,819,782 | ||
American National Bankshares, Inc.Δ | 996 | 37,529 | ||
Ameris Bancorp | 32,578 | 1,618,475 | ||
Argo Group International Holdings, Ltd. | 17,098 | 993,565 | ||
Associated Banc-Corp | 61,859 | 1,397,395 | ||
Axis Capital Holdings, Ltd. | 45,117 | 2,457,523 | ||
Bakkt Holdings, Inc.* | 58,100 | 494,431 | ||
Banc of California, Inc. | 28,553 | 560,210 | ||
Bank First CorporationΔ | 790 | 57,070 | ||
Bank of Marin Bancorp | 3,903 | 145,309 | ||
Bank of Princeton (The) | 700 | 20,531 | ||
BankUnited, Inc. | 49,281 | 2,085,079 | ||
Bankwell Financial Group, Inc. | 2,224 | 73,036 | ||
Banner Corporation | 5,563 | 337,507 | ||
Bar Harbor Bankshares | 900 | 26,037 | ||
BayCom Corporation* | 1,431 | 26,846 | ||
BCB Bancorp, Inc. | 4,310 | 66,503 | ||
Berkshire Hills Bancorp, Inc. | 23,390 | 664,978 | ||
Blucora, Inc.* | 32,593 | 564,511 | ||
Bridgewater Bancshares, Inc.* | 7,186 | 127,120 | ||
Bryn Mawr Bank Corporation | 20,273 | 912,488 | ||
Business First Bancshares, Inc. | 4,303 | 121,818 | ||
Byline Bancorp, Inc. | 8,086 | 221,152 | ||
Camden National Corporation | 3,260 | 157,002 | ||
Capital Bancorp, Inc. | 2,033 | 53,265 | ||
Capital City Bank Group, Inc. | 3,249 | 85,774 | ||
Capstar Financial Holdings, Inc. | 7,586 | 159,534 |
Shares | Value | |||
Carter Bankshares, Inc.* | 4,771 | $ 73,426 | ||
CBTX, Inc. | 6,076 | 176,204 | ||
Central Pacific Financial Corporation | 20,523 | 578,133 | ||
Central Valley Community Bancorp | 3,819 | 79,321 | ||
Chemung Financial CorporationΔ | 841 | 38,501 | ||
City Holding Co. | 18,825 | 1,539,697 | ||
CNB Financial Corporation | 2,452 | 64,978 | ||
CNO Financial Group, Inc. | 72,911 | 1,738,198 | ||
Community Trust Bancorp, Inc. | 4,965 | 216,524 | ||
Compass Diversified Holdings | 105,074 | 3,213,163 | ||
Cowen, Inc. Class A | 29,359 | 1,059,860 | ||
CVB Financial Corporation | 35,400 | 757,914 | ||
Donegal Group, Inc. Class A | 4,457 | 63,691 | ||
Donnelley Financial Solutions, Inc.* | 43,437 | 2,047,620 | ||
Eagle Bancorp, Inc. | 23,084 | 1,346,721 | ||
Employers Holdings, Inc. | 17,350 | 717,943 | ||
Enact Holdings, Inc.Δ | 27,319 | 564,684 | ||
Enova International, Inc.* | 21,308 | 872,776 | ||
Enstar Group, Ltd.Δ* | 1,460 | 361,481 | ||
Enterprise Financial Services Corporation | 22,772 | 1,072,333 | ||
Essent Group, Ltd. | 49,058 | 2,233,611 | ||
Evans Bancorp, Inc. | 119 | 4,796 | ||
Evercore, Inc. Class A | 11,700 | 1,589,445 | ||
EZCORP, Inc. Class A* | 33,756 | 248,782 | ||
FB Financial Corporation | 5,204 | 228,039 | ||
Financial Institutions, Inc. | 7,086 | 225,335 | ||
First American Financial Corporation | 8,703 | 680,836 | ||
First Bancorp | 37,307 | 1,705,676 | ||
First BanCorp | 208,514 | 2,873,323 | ||
First Business Financial Services, Inc. | 1,700 | 49,589 | ||
First Commonwealth Financial Corporation | 19,467 | 313,224 | ||
First Financial Bancorp | 79,535 | 1,939,063 | ||
First Financial Corporation | 5,060 | 229,167 | ||
First Foundation, Inc. | 35,080 | 872,089 | ||
First Hawaiian, Inc. | 18,628 | 509,103 | ||
First Internet Bancorp | 2,863 | 134,675 | ||
First Interstate BancSystem, Inc. Class A | 41,130 | 1,672,757 | ||
First Mid Bancshares, Inc. | 7,366 | 315,191 | ||
First Savings Financial Group, Inc. | 900 | 23,760 | ||
First Western Financial, Inc.* | 980 | 29,753 | ||
FNB Corporation | 174,118 | 2,112,051 | ||
Focus Financial Partners, Inc. Class A* | 56,000 | 3,344,320 | ||
FS Bancorp, Inc. | 1,380 | 46,409 | ||
Genworth Financial, Inc. Class A* | 314,862 | 1,275,191 | ||
Global Indemnity Group LLC Class AΔ | 1,048 | 26,336 | ||
Great Southern Bancorp, Inc. | 3,097 | 183,497 | ||
Great Western Bancorp, Inc. | 38,793 | 1,317,410 | ||
Greenlight Capital Re, Ltd. Class AΔ* | 14,919 | 116,965 | ||
Guaranty Bancshares, Inc. | 1,775 | 66,704 | ||
Hamilton Lane, Inc. Class A | 42,231 | 4,375,976 | ||
Hanmi Financial Corporation | 23,041 | 545,611 | ||
HarborOne Bancorp, Inc. | 25,066 | 371,979 | ||
HBT Financial, Inc.Δ | 5,253 | 98,389 | ||
Heartland Financial U.S.A., Inc. | 4,209 | 213,017 |
Shares | Value | |||
Heritage Commerce Corporation | 2,100 | $ 25,074 | ||
Heritage Financial Corporation | 4,368 | 106,754 | ||
Heritage Insurance Holdings, Inc. | 9,217 | 54,196 | ||
Hilltop Holdings, Inc. | 14,793 | 519,826 | ||
Home Bancorp, Inc. | 799 | 33,166 | ||
Home BancShares, Inc. | 66,245 | 1,613,066 | ||
HomeStreet, Inc. | 14,388 | 748,176 | ||
HomeTrust Bancshares, Inc. | 5,932 | 183,773 | ||
Horace Mann Educators Corporation | 2,040 | 78,948 | ||
Independent Bank CorporationΔ | 44,001 | 3,136,270 | ||
Independent Bank Group, Inc. | 57,400 | 4,141,410 | ||
Investar Holding CorporationΔ | 1,835 | 33,782 | ||
James River Group Holdings, Ltd. | 32,616 | 939,667 | ||
Kearny Financial Corporation | 5,401 | 71,563 | ||
Kemper CorporationΔ | 25,392 | 1,492,796 | ||
Lakeland Bancorp, Inc. | 15,918 | 302,283 | ||
Lakeland Financial Corporation | 5,651 | 452,871 | ||
Luther Burbank Corporation | 1,800 | 25,272 | ||
Macatawa Bank Corporation | 5,951 | 52,488 | ||
Merchants Bancorp | 6,722 | 318,152 | ||
Metropolitan Bank Holding Corporation* | 1,806 | 192,393 | ||
Midland States Bancorp, Inc. | 5,833 | 144,600 | ||
MidWestOne Financial Group, Inc. | 2,974 | 96,268 | ||
Mr Cooper Group, Inc.* | 34,081 | 1,418,110 | ||
MVB Financial Corporation | 61,000 | 2,532,720 | ||
NBT Bancorp, Inc. | 4,980 | 191,830 | ||
Nicolet Bankshares, Inc.* | 4,151 | 355,948 | ||
NMI Holdings, Inc. Class A* | 77,988 | 1,704,038 | ||
Northeast Bank | 2,400 | 85,752 | ||
Northfield Bancorp, Inc. | 2,850 | 46,056 | ||
Northrim BanCorp, Inc. | 2,640 | 114,734 | ||
OceanFirst Financial Corporation | 26,356 | 585,103 | ||
Ocwen Financial Corporation* | 2,357 | 94,209 | ||
OFG Bancorp | 29,975 | 796,136 | ||
Old National Bancorp | 258,936 | 4,691,920 | ||
Old Second Bancorp, Inc. | 8,304 | 104,547 | ||
Origin Bancorp, Inc. | 17,742 | 761,487 | ||
Pacific Premier Bancorp, Inc. | 106,164 | 4,249,745 | ||
Patria Investments, Ltd. Class A | 17,347 | 281,021 | ||
PCSB Financial Corporation | 5,554 | 105,748 | ||
Peapack-Gladstone Financial Corporation | 8,906 | 315,272 | ||
PennyMac Financial Services, Inc. | 26,707 | 1,863,614 | ||
Preferred Bank | 1,617 | 116,084 | ||
Premier Financial Corporation | 17,386 | 537,401 | ||
Primis Financial Corporation | 8,221 | 123,644 | ||
ProAssurance Corporation | 61,019 | 1,543,781 | ||
Professional Holding Corporation Class A* | 1,233 | 23,624 | ||
Provident Financial Services, Inc. | 26,198 | 634,516 | ||
QCR Holdings, Inc. | 12,849 | 719,544 | ||
RBB Bancorp | 6,004 | 157,305 | ||
Reinsurance Group of America, Inc. | 6,036 | 660,882 | ||
Renasant Corporation | 9,464 | 359,159 | ||
RLI Corporation | 11,337 | 1,270,878 | ||
S&T Bancorp, Inc. | 1,340 | 42,237 | ||
Selective Insurance Group, Inc.Δ | 28,852 | 2,364,133 |
Shares | Value | |||
Shore Bancshares, Inc. | 1,456 | $ 30,358 | ||
Sierra Bancorp | 3,346 | 90,844 | ||
Silvergate Capital Corporation Class A* | 16,300 | 2,415,660 | ||
SLM Corporation | 12,808 | 251,933 | ||
SmartFinancial, Inc. | 2,579 | 70,561 | ||
South Plains Financial, Inc. | 506 | 14,072 | ||
Southern First Bancshares, Inc.* | 1,003 | 62,677 | ||
SouthState Corporation | 62,901 | 5,038,999 | ||
Stewart Information Services Corporation | 17,534 | 1,397,986 | ||
Stifel Financial Corporation | 37,699 | 2,654,764 | ||
StoneX Group, Inc.* | 4,875 | 298,594 | ||
Towne Bank/Portsmouth VA | 18,441 | 582,551 | ||
Trean Insurance Group, Inc.* | 2,650 | 23,611 | ||
TriCo Bancshares | 6,844 | 294,018 | ||
UMB Financial Corporation | 35,026 | 3,716,609 | ||
Umpqua Holdings Corporation | 98,186 | 1,889,099 | ||
United Community Banks, Inc. | 73,844 | 2,653,953 | ||
United Fire Group, Inc. | 9,225 | 213,928 | ||
United Insurance Holdings Corporation | 11,143 | 48,361 | ||
Universal Insurance Holdings, Inc. | 12,829 | 218,093 | ||
Unum Group | 51,676 | 1,269,679 | ||
Valley National Bancorp | 375,233 | 5,159,454 | ||
Veritex Holdings, Inc. | 20,945 | 833,192 | ||
Victory Capital Holdings, Inc. Class A | 83,400 | 3,046,602 | ||
Washington Federal, Inc. | 17,692 | 590,559 | ||
Waterstone Financial, Inc. | 10,189 | 222,732 | ||
WesBanco, Inc. | 52,020 | 1,820,180 | ||
Western New England Bancorp, Inc. | 2,800 | 24,528 | ||
WSFS Financial Corporation | 48,707 | 2,441,195 | ||
143,720,819 | ||||
Health Care — 15.6% | ||||
2seventy bio, Inc.* | 6,560 | 168,133 | ||
4D Molecular Therapeutics, Inc.Δ* | 2,837 | 62,244 | ||
Aadi Bioscience, Inc.Δ* | 1,019 | 24,609 | ||
ACADIA Pharmaceuticals, Inc.* | 8,964 | 209,220 | ||
Adagio Therapeutics, Inc.Δ* | 4,288 | 31,131 | ||
Adaptive Biotechnologies CorporationΔ* | 30,000 | 841,800 | ||
Addus HomeCare CorporationΔ* | 15,300 | 1,430,703 | ||
Adverum Biotechnologies, Inc.* | 21,300 | 37,488 | ||
Aeglea BioTherapeutics, Inc.* | 2,600 | 12,350 | ||
Agenus, Inc.* | 59,319 | 191,007 | ||
Agios Pharmaceuticals, Inc.* | 50,363 | 1,655,432 | ||
Akebia Therapeutics, Inc.* | 28,079 | 63,459 | ||
Akero Therapeutics, Inc.Δ* | 2,234 | 47,249 | ||
Albireo Pharma, Inc.* | 2,653 | 61,788 | ||
Aldeyra Therapeutics, Inc.* | 7,972 | 31,888 | ||
Alector, Inc.* | 6,828 | 140,998 | ||
Allakos, Inc.* | 2,551 | 24,974 | ||
Allogene Therapeutics, Inc.Δ* | 10,369 | 154,705 | ||
Allovir, Inc.Δ* | 2,664 | 34,472 | ||
Allscripts Healthcare Solutions, Inc.Δ* | 87,898 | 1,621,718 | ||
Alnylam Pharmaceuticals, Inc.* | 1,142 | 193,660 |
Shares | Value | |||
Altimmune, Inc.Δ* | 12,826 | $ 117,486 | ||
ALX Oncology Holdings, Inc.Δ* | 3,942 | 84,714 | ||
Amgen, Inc. | 1,076 | 242,068 | ||
Amicus Therapeutics, Inc.Δ* | 204,025 | 2,356,489 | ||
AMN Healthcare Services, Inc.* | 6,067 | 742,176 | ||
AnaptysBio, Inc.Δ* | 4,159 | 144,525 | ||
Anavex Life Sciences CorporationΔ* | 8,792 | 152,453 | ||
AngioDynamics, Inc.* | 19,655 | 542,085 | ||
Anika Therapeutics, Inc.* | 997 | 35,723 | ||
Annexon, Inc.Δ* | 2,609 | 29,977 | ||
Apellis Pharmaceuticals, Inc.* | 45,018 | 2,128,451 | ||
Apria, Inc.* | 43,253 | 1,410,048 | ||
Arcturus Therapeutics Holdings, Inc.Δ* | 5,526 | 204,517 | ||
Arcus Biosciences, Inc.* | 45,989 | 1,861,175 | ||
Arcutis Biotherapeutics, Inc.* | 2,142 | 44,425 | ||
Arena Pharmaceuticals, Inc.* | 3,804 | 353,544 | ||
Arrowhead Pharmaceuticals, Inc.Δ* | 2,767 | 183,452 | ||
Atara Biotherapeutics, Inc.* | 8,897 | 140,217 | ||
Athenex, Inc.Δ* | 75,452 | 102,615 | ||
Atreca, Inc. Class AΔ* | 3,700 | 11,211 | ||
AtriCure, Inc.Δ* | 65,514 | 4,555,188 | ||
Avanos Medical, Inc.* | 2,700 | 93,609 | ||
Aveanna Healthcare Holdings, Inc.Δ* | 132,900 | 983,460 | ||
Avid Bioservices, Inc.Δ* | 6,502 | 189,728 | ||
Avidity Biosciences, Inc.Δ* | 2,508 | 59,615 | ||
Avita Medical, Inc.Δ* | 1,611 | 19,300 | ||
Beam Therapeutics, Inc.Δ* | 2,581 | 205,680 | ||
BioAtla, Inc.Δ* | 2,848 | 55,906 | ||
BioCryst Pharmaceuticals, Inc.Δ* | 16,525 | 228,871 | ||
Biogen, Inc.* | 825 | 197,934 | ||
Biohaven Pharmaceutical Holding Co., Ltd.Δ* | 22,185 | 3,057,315 | ||
BioLife Solutions, Inc.* | 29,200 | 1,088,284 | ||
BioMarin Pharmaceutical, Inc.* | 2,471 | 218,313 | ||
Bioxcel Therapeutics, Inc.Δ* | 3,574 | 72,659 | ||
Bluebird Bio, Inc.Δ* | 22,495 | 224,725 | ||
Blueprint Medicines Corporation* | 69,635 | 7,458,605 | ||
Bridgebio Pharma, Inc.Δ* | 5,362 | 89,438 | ||
C4 Therapeutics, Inc.Δ* | 3,573 | 115,051 | ||
Cara Therapeutics, Inc.* | 47,350 | 576,723 | ||
CareDx, Inc.* | 4,411 | 200,612 | ||
Castlight Health, Inc. Class B* | 97,730 | 150,504 | ||
Catalyst Pharmaceuticals, Inc.* | 67,119 | 454,396 | ||
Celldex Therapeutics, Inc.* | 5,244 | 202,628 | ||
CEL-SCI CorporationΔ* | 9,117 | 64,731 | ||
Cerevel Therapeutics Holdings, Inc.Δ* | 4,899 | 158,826 | ||
Certara, Inc.Δ* | 19,300 | 548,506 | ||
ChemoCentryx, Inc.Δ* | 5,691 | 207,209 | ||
Chimerix, Inc.* | 8,968 | 57,664 | ||
Chinook Therapeutics, Inc.* | 2,368 | 38,622 | ||
Clovis Oncology, Inc.Δ* | 50,093 | 135,752 | ||
Codex DNA, Inc.Δ* | 34,400 | 371,520 | ||
Coherus Biosciences, Inc.* | 7,190 | 114,752 | ||
Computer Programs and Systems, Inc.Δ* | 11,878 | 348,025 | ||
CONMED CorporationΔ | 22,240 | 3,152,742 | ||
Crinetics Pharmaceuticals, Inc.* | 2,094 | 59,491 |
Shares | Value | |||
CryoLife, Inc.* | 70,276 | $1,430,117 | ||
Cue Biopharma, Inc.* | 3,151 | 35,638 | ||
Cullinan Oncology, Inc.Δ* | 2,477 | 38,220 | ||
Curis, Inc.* | 21,702 | 103,302 | ||
Cytokinetics, Inc.Δ* | 5,281 | 240,708 | ||
CytomX Therapeutics, Inc.* | 27,087 | 117,287 | ||
Deciphera Pharmaceuticals, Inc.* | 19,690 | 192,371 | ||
Denali Therapeutics, Inc.* | 4,425 | 197,355 | ||
DermTech, Inc.Δ* | 8,079 | 127,648 | ||
Dynavax Technologies CorporationΔ* | 14,427 | 202,988 | ||
Eagle Pharmaceuticals, Inc.* | 1,404 | 71,492 | ||
Editas Medicine, Inc.* | 6,493 | 172,389 | ||
Emergent BioSolutions, Inc.* | 4,883 | 212,264 | ||
Enanta Pharmaceuticals, Inc.Δ* | 13,446 | 1,005,492 | ||
Exact Sciences Corporation* | 2,388 | 185,858 | ||
Exelixis, Inc.* | 33,749 | 616,932 | ||
Fate Therapeutics, Inc.Δ* | 3,825 | 223,801 | ||
FibroGen, Inc.Δ* | 25,070 | 353,487 | ||
Forma Therapeutics Holdings, Inc.* | 4,092 | 58,188 | ||
Frequency Therapeutics, Inc.Δ* | 9,894 | 50,756 | ||
G1 Therapeutics, Inc.Δ* | 12,938 | 132,097 | ||
Generation Bio Co.Δ* | 3,849 | 27,251 | ||
Geron CorporationΔ* | 23,027 | 28,093 | ||
Gilead Sciences, Inc. | 3,244 | 235,547 | ||
Global Blood Therapeutics, Inc.* | 7,187 | 210,363 | ||
Gossamer Bio, Inc.Δ* | 54,283 | 613,941 | ||
Gritstone bio, Inc.Δ* | 9,708 | 124,845 | ||
Halozyme Therapeutics, Inc.Δ* | 72,137 | 2,900,629 | ||
HealthStream, Inc.* | 11,096 | 292,491 | ||
Heron Therapeutics, Inc.Δ* | 20,338 | 185,686 | ||
Homology Medicines, Inc.Δ* | 69,900 | 254,436 | ||
Hookipa Pharma, Inc.Δ* | 7,400 | 17,242 | ||
Ideaya Biosciences, Inc.Δ* | 3,959 | 93,591 | ||
IGM Biosciences, Inc.Δ* | 1,964 | 57,604 | ||
ImmunityBio, Inc.Δ* | 16,422 | 99,846 | ||
ImmunoGen, Inc.* | 15,109 | 112,109 | ||
Immunovant, Inc.Δ* | 7,236 | 61,651 | ||
Incyte Corporation* | 3,138 | 230,329 | ||
Inhibrx, Inc.Δ* | 1,417 | 61,880 | ||
Inovio Pharmaceuticals, Inc.Δ* | 31,892 | 159,141 | ||
Insmed, Inc.Δ* | 80,695 | 2,198,132 | ||
Inspire Medical Systems, Inc.* | 20,813 | 4,788,239 | ||
Intellia Therapeutics, Inc.* | 1,664 | 196,751 | ||
Intercept Pharmaceuticals, Inc.Δ* | 30,535 | 497,415 | ||
Intra-Cellular Therapies, Inc.Δ* | 53,000 | 2,774,020 | ||
Invacare CorporationΔ* | 53,326 | 145,047 | ||
Invitae CorporationΔ* | 11,909 | 181,850 | ||
Ionis Pharmaceuticals, Inc.* | 9,830 | 299,127 | ||
Iovance Biotherapeutics, Inc.* | 10,337 | 197,333 | ||
Ironwood Pharmaceuticals, Inc.Δ* | 17,720 | 206,615 | ||
iTeos Therapeutics, Inc.* | 1,462 | 68,071 | ||
IVERIC bio, Inc.* | 13,260 | 221,707 | ||
Jounce Therapeutics, Inc.* | 9,900 | 82,665 | ||
KalVista Pharmaceuticals, Inc.* | 2,448 | 32,387 | ||
Karuna Therapeutics, Inc.Δ* | 1,542 | 202,002 | ||
Karyopharm Therapeutics, Inc.Δ* | 14,262 | 91,705 | ||
Keros Therapeutics, Inc.* | 1,329 | 77,760 |
Shares | Value | |||
Kezar Life Sciences, Inc.* | 2,468 | $ 41,265 | ||
Kiniksa Pharmaceuticals, Ltd. Class AΔ* | 3,397 | 39,983 | ||
Kodiak Sciences, Inc.* | 2,274 | 192,790 | ||
Kronos Bio, Inc.Δ* | 2,477 | 33,662 | ||
Krystal Biotech, Inc.Δ* | 1,282 | 89,676 | ||
Kura Oncology, Inc.* | 7,700 | 107,800 | ||
Kymera Therapeutics, Inc.Δ* | 3,513 | 223,040 | ||
LHC Group, Inc.* | 14,300 | 1,962,389 | ||
Ligand Pharmaceuticals, Inc.Δ* | 19,439 | 3,002,548 | ||
MacroGenics, Inc.* | 6,328 | 101,564 | ||
Madrigal Pharmaceuticals, Inc.Δ* | 1,304 | 110,501 | ||
MannKind CorporationΔ* | 29,702 | 129,798 | ||
Merit Medical Systems, Inc.* | 46,286 | 2,883,618 | ||
Mersana Therapeutics, Inc.* | 10,101 | 62,828 | ||
MiMedx Group, Inc.Δ* | 7,678 | 46,375 | ||
Mirati Therapeutics, Inc.* | 1,467 | 215,194 | ||
Mirum Pharmaceuticals, Inc.* | 17,397 | 277,482 | ||
Moderna, Inc.* | 754 | 191,501 | ||
Molina Healthcare, Inc.* | 4,137 | 1,315,897 | ||
Morphic Holding, Inc.Δ* | 2,051 | 97,176 | ||
Myovant Sciences, Ltd.Δ* | 8,917 | 138,838 | ||
Myriad Genetics, Inc.Δ* | 6,426 | 177,358 | ||
NanoString Technologies, Inc.Δ* | 32,400 | 1,368,252 | ||
Natera, Inc.* | 2,138 | 199,668 | ||
National HealthCare CorporationΔ | 7,988 | 542,705 | ||
NeoGenomics, Inc.* | 41,004 | 1,399,056 | ||
Neurocrine Biosciences, Inc.* | 2,409 | 205,175 | ||
NexImmune, Inc.Δ* | 13,197 | 60,838 | ||
NextCure, Inc.* | 4,665 | 27,990 | ||
NextGen Healthcare, Inc.* | 7,250 | 128,977 | ||
NGM Biopharmaceuticals, Inc.* | 21,387 | 378,764 | ||
Novavax, Inc.Δ* | 1,135 | 162,384 | ||
Nurix Therapeutics, Inc.* | 3,286 | 95,130 | ||
NuVasive, Inc.* | 37,618 | 1,974,193 | ||
Ocugen, Inc.Δ* | 36,245 | 164,915 | ||
Omnicell, Inc.* | 17,366 | 3,133,521 | ||
OPKO Health, Inc.Δ* | 31,727 | 152,607 | ||
Organogenesis Holdings, Inc.Δ* | 13,597 | 125,636 | ||
ORIC Pharmaceuticals, Inc.Δ* | 2,442 | 35,897 | ||
Orthofix Medical, Inc.* | 6,653 | 206,842 | ||
Outset Medical, Inc.* | 33,000 | 1,520,970 | ||
Pacific Biosciences of California, Inc.* | 54,962 | 1,124,523 | ||
Patterson Cos., Inc. | 53,338 | 1,565,470 | ||
Phreesia, Inc.* | 54,200 | 2,257,972 | ||
PMV Pharmaceuticals, Inc.* | 4,664 | 107,738 | ||
Poseida Therapeutics, Inc.Δ* | 10,819 | 73,677 | ||
Praxis Precision Medicines, Inc.* | 2,395 | 47,181 | ||
Precigen, Inc.Δ* | 16,965 | 62,940 | ||
Precision BioSciences, Inc.* | 5,728 | 42,387 | ||
Prestige Consumer Healthcare, Inc.Δ* | 57,683 | 3,498,474 | ||
Protagonist Therapeutics, Inc.Δ* | 5,907 | 202,019 | ||
PTC Therapeutics, Inc.Δ* | 80,232 | 3,195,641 | ||
Pulmonx CorporationΔ* | 46,100 | 1,478,427 | ||
Radius Health, Inc.Δ* | 11,505 | 79,615 |
Shares | Value | |||
RAPT Therapeutics, Inc.* | 2,967 | $ 108,978 | ||
Recursion Pharmaceuticals, Inc. Class AΔ* | 10,271 | 175,942 | ||
Regeneron Pharmaceuticals, Inc.* | 291 | 183,772 | ||
REGENXBIO, Inc.* | 4,445 | 145,351 | ||
Relay Therapeutics, Inc.* | 6,785 | 208,367 | ||
Replimune Group, Inc.* | 2,573 | 69,728 | ||
REVOLUTION Medicines, Inc.Δ* | 5,872 | 147,798 | ||
Rhythm Pharmaceuticals, Inc.* | 4,223 | 42,146 | ||
Rigel Pharmaceuticals, Inc.Δ* | 18,771 | 49,743 | ||
Rocket Pharmaceuticals, Inc.Δ* | 5,571 | 121,615 | ||
Rubius Therapeutics, Inc.Δ* | 4,473 | 43,299 | ||
Sage Therapeutics, Inc.* | 4,883 | 207,723 | ||
Sangamo Therapeutics, Inc.Δ* | 13,855 | 103,912 | ||
Sarepta Therapeutics, Inc.* | 2,325 | 209,366 | ||
Scholar Rock Holding CorporationΔ* | 2,330 | 57,877 | ||
Seagen, Inc.* | 1,373 | 212,266 | ||
Selecta Biosciences, Inc.* | 66,738 | 217,566 | ||
Seres Therapeutics, Inc.Δ* | 11,881 | 98,969 | ||
Shockwave Medical, Inc.* | 25,045 | 4,466,275 | ||
Silk Road Medical, Inc.Δ* | 36,800 | 1,568,048 | ||
Sorrento Therapeutics, Inc.Δ* | 30,424 | 141,472 | ||
Spero Therapeutics, Inc.Δ* | 1,021 | 16,346 | ||
SpringWorks Therapeutics, Inc.* | 2,836 | 175,775 | ||
STAAR Surgical Co.* | 15,900 | 1,451,670 | ||
Stoke Therapeutics, Inc.* | 1,736 | 41,647 | ||
Supernus Pharmaceuticals, Inc.* | 65,490 | 1,909,688 | ||
Sutro Biopharma, Inc.* | 3,209 | 47,750 | ||
Syndax Pharmaceuticals, Inc.* | 5,725 | 125,320 | ||
Tabula Rasa HealthCare, Inc.Δ* | 42,810 | 642,150 | ||
Tandem Diabetes Care, Inc.Δ* | 14,800 | 2,227,696 | ||
Tarsus Pharmaceuticals, Inc.Δ* | 39,100 | 879,750 | ||
Taysha Gene Therapies, Inc.Δ* | 36,400 | 424,060 | ||
TG Therapeutics, Inc.* | 11,484 | 218,196 | ||
TransMedics Group, Inc.* | 51,965 | 995,649 | ||
Travere Therapeutics, Inc.* | 166,785 | 5,177,006 | ||
Treace Medical Concepts, Inc.Δ* | 53,600 | 999,104 | ||
Turning Point Therapeutics, Inc.* | 4,754 | 226,766 | ||
Twist Bioscience Corporation* | 2,271 | 175,753 | ||
Ultragenyx Pharmaceutical, Inc.* | 27,077 | 2,276,905 | ||
United Therapeutics Corporation* | 1,075 | 232,286 | ||
Vanda Pharmaceuticals, Inc.* | 96,168 | 1,508,876 | ||
Varex Imaging Corporation* | 48,942 | 1,544,120 | ||
Vaxart, Inc.Δ* | 30,557 | 191,592 | ||
Vaxcyte, Inc.Δ* | 1,988 | 47,295 | ||
Veracyte, Inc.* | 4,814 | 198,337 | ||
Verastem, Inc.* | 21,247 | 43,556 | ||
Vericel CorporationΔ* | 4,620 | 181,566 | ||
Vertex Pharmaceuticals, Inc.* | 940 | 206,424 | ||
Verve Therapeutics, Inc.Δ* | 5,218 | 192,388 | ||
Viking Therapeutics, Inc.Δ* | 8,300 | 38,180 | ||
Vir Biotechnology, Inc.* | 4,357 | 182,428 | ||
VistaGen Therapeutics, Inc.Δ* | 17,758 | 34,628 | ||
Xencor, Inc.* | 2,905 | 116,549 | ||
Y-mAbs Therapeutics, Inc.* | 2,666 | 43,216 |
Shares | Value | |||
Zentalis Pharmaceuticals, Inc.Δ* | 2,361 | $ 198,466 | ||
ZIOPHARM Oncology, Inc.Δ* | 30,350 | 33,082 | ||
136,123,954 | ||||
Industrials — 17.9% | ||||
ABM Industries, Inc. | 45,497 | 1,858,553 | ||
Acacia Research Corporation* | 43,913 | 225,274 | ||
ACCO Brands Corporation | 63,854 | 527,434 | ||
ACV Auctions, Inc. Class AΔ* | 69,800 | 1,315,032 | ||
AGCO Corporation | 7,270 | 843,465 | ||
Albany International Corporation Class A | 8,136 | 719,629 | ||
Allegiant Travel Co.Δ* | 12,111 | 2,265,241 | ||
Ameresco, Inc. Class AΔ* | 31,118 | 2,534,250 | ||
Apogee Enterprises, Inc.Δ | 16,769 | 807,427 | ||
Applied Industrial Technologies, Inc. | 26,372 | 2,708,404 | ||
ArcBest Corporation | 17,062 | 2,044,881 | ||
Arcosa, Inc. | 17,287 | 911,025 | ||
Argan, Inc. | 5,066 | 196,004 | ||
ASGN, Inc.* | 69,294 | 8,550,880 | ||
Astec Industries, Inc. | 8,518 | 590,042 | ||
Astronics CorporationΔ* | 17,730 | 212,760 | ||
AZEK Co., Inc. (The)* | 89,600 | 4,143,104 | ||
Barnes Group, Inc. | 19,554 | 911,021 | ||
Barrett Business Services, Inc. | 12,243 | 845,502 | ||
Beacon Roofing Supply, Inc.Δ* | 41,281 | 2,367,465 | ||
Boise Cascade Co. | 80,156 | 5,707,107 | ||
BrightView Holdings, Inc.* | 94,845 | 1,335,418 | ||
Brink's Co. (The) | 41,141 | 2,697,615 | ||
Cadre Holdings, Inc.Δ | 8,008 | 203,563 | ||
Casella Waste Systems, Inc. Class A* | 59,367 | 5,071,129 | ||
CECO Environmental Corporation* | 52,463 | 326,845 | ||
Charah Solutions, Inc.Δ* | 51,311 | 242,701 | ||
Colfax Corporation* | 46,981 | 2,159,717 | ||
Columbus McKinnon Corporation | 43,767 | 2,024,661 | ||
Commercial Vehicle Group, Inc.* | 18,680 | 150,561 | ||
CoreCivic, Inc. REIT* | 112,472 | 1,121,346 | ||
Cornerstone Building Brands, Inc.* | 95,241 | 1,661,003 | ||
Covenant Logistics Group, Inc.* | 18,785 | 496,488 | ||
Deluxe Corporation | 55,365 | 1,777,770 | ||
Driven Brands Holdings, Inc.* | 84,500 | 2,840,890 | ||
DXP Enterprises, Inc.* | 29,242 | 750,642 | ||
Dycom Industries, Inc.* | 21,275 | 1,994,744 | ||
EMCOR Group, Inc. | 38,463 | 4,899,802 | ||
Encore Wire Corporation | 12,552 | 1,796,191 | ||
EnPro Industries, Inc. | 5,903 | 649,743 | ||
ESCO Technologies, Inc. | 11,306 | 1,017,427 | ||
Exponent, Inc. | 17,600 | 2,054,448 | ||
Federal Signal Corporation | 62,074 | 2,690,287 | ||
First Advantage Corporation* | 31,300 | 595,952 | ||
Fluor CorporationΔ* | 83,168 | 2,060,071 | ||
Genco Shipping & Trading, Ltd. | 52,680 | 842,880 | ||
GMS, Inc.* | 21,631 | 1,300,239 | ||
Graham CorporationΔ | 19,662 | 244,595 | ||
Healthcare Services Group, Inc. | 31,577 | 561,755 | ||
Heidrick & Struggles International, Inc. | 5,420 | 237,017 |
Shares | Value | |||
Hexcel Corporation* | 49,200 | $2,548,560 | ||
Hub Group, Inc. Class A* | 36,674 | 3,089,418 | ||
Hyster-Yale Materials Handling, Inc. | 8,039 | 330,403 | ||
Kadant, Inc.Δ | 11,393 | 2,625,859 | ||
KAR Auction Services, Inc.Δ* | 104,276 | 1,628,791 | ||
Karat Packaging, Inc.* | 9,433 | 190,641 | ||
KBR, Inc. | 82,149 | 3,911,935 | ||
Kelly Services, Inc. Class A | 13,315 | 223,293 | ||
Kimball International, Inc. Class B | 23,385 | 239,229 | ||
Korn Ferry | 25,825 | 1,955,727 | ||
LSI Industries, Inc. | 7,105 | 48,740 | ||
Manitowoc Co., Inc. (The)* | 21,409 | 397,993 | ||
ManpowerGroup, Inc. | 3,974 | 386,789 | ||
Matrix Service Co.* | 1,033 | 7,768 | ||
Mistras Group, Inc.* | 2,172 | 16,138 | ||
MRC Global, Inc.* | 67,988 | 467,757 | ||
MYR Group, Inc.Δ* | 36,995 | 4,089,797 | ||
NN, Inc.* | 8,200 | 33,620 | ||
NOW, Inc.* | 121,502 | 1,037,627 | ||
Park-Ohio Holdings CorporationΔ | 3,996 | 84,595 | ||
Parsons Corporation* | 14,798 | 497,953 | ||
Powell Industries, Inc. | 4,776 | 140,844 | ||
Primoris Services Corporation | 23,834 | 571,539 | ||
Quanex Building Products Corporation | 12,296 | 304,695 | ||
Radiant Logistics, Inc.* | 18,667 | 136,082 | ||
RBC Bearings, Inc.Δ* | 10,200 | 2,060,094 | ||
Regal Beloit Corporation | 32,313 | 5,499,026 | ||
Resources Connection, Inc. | 11,908 | 212,439 | ||
REV Group, Inc. | 13,650 | 193,148 | ||
Rush Enterprises, Inc. Class A | 2,258 | 125,635 | ||
Ryder System, Inc. | 1,990 | 164,036 | ||
Saia, Inc.* | 3,300 | 1,112,199 | ||
Steelcase, Inc. Class A | 70,772 | 829,448 | ||
Sterling Check CorporationΔ* | 41,600 | 853,216 | ||
Sun Country Airlines Holdings, Inc.* | 55,500 | 1,512,375 | ||
Tecnoglass, Inc.Δ | 43,665 | 1,143,586 | ||
Tetra Tech, Inc. | 40,052 | 6,800,830 | ||
Textainer Group Holdings, Ltd. | 23,428 | 836,614 | ||
Timken Co. (The) | 45,716 | 3,167,662 | ||
Titan International, Inc.* | 7,300 | 80,008 | ||
Titan Machinery, Inc.* | 1,080 | 36,385 | ||
TrueBlue, Inc.* | 20,564 | 569,006 | ||
Tutor Perini Corporation* | 38,716 | 478,917 | ||
U.S. Ecology, Inc.Δ* | 23,743 | 758,351 | ||
U.S. Xpress Enterprises, Inc. Class A* | 27,477 | 161,290 | ||
Upwork, Inc.* | 29,062 | 992,758 | ||
Vectrus, Inc.* | 7,595 | 347,623 | ||
Veritiv Corporation* | 6,759 | 828,451 | ||
Wabash National CorporationΔ | 32,601 | 636,372 | ||
Werner Enterprises, Inc. | 38,367 | 1,828,571 | ||
WESCO International, Inc.* | 34,534 | 4,544,329 | ||
WillScot Mobile Mini Holdings Corporation* | 151,155 | 6,173,170 | ||
Yellow Corporation* | 17,691 | 222,730 |
Shares | Value | |||
Zurn Water Solutions Corporation | 118,490 | $ 4,313,036 | ||
155,537,098 | ||||
Information Technology — 15.3% | ||||
908 Devices, Inc.Δ* | 23,400 | 605,358 | ||
ADTRAN, Inc. | 14,899 | 340,144 | ||
Advanced Energy Industries, Inc.Δ | 6,935 | 631,501 | ||
Allegro MicroSystems, Inc.Δ* | 86,300 | 3,122,334 | ||
Applied Optoelectronics, Inc.Δ* | 36,133 | 185,724 | ||
Avaya Holdings Corporation* | 92,395 | 1,829,421 | ||
Aviat Networks, Inc.* | 9,060 | 290,645 | ||
Avnet, Inc. | 72,674 | 2,996,349 | ||
Azenta, Inc. | 39,470 | 4,069,752 | ||
Belden, Inc. | 25,319 | 1,664,218 | ||
Benchmark Electronics, Inc. | 20,994 | 568,937 | ||
Blackline, Inc.* | 9,108 | 943,042 | ||
Box, Inc. Class AΔ* | 43,931 | 1,150,553 | ||
BTRS Holdings, Inc.* | 287,100 | 2,245,122 | ||
Coherent, Inc.* | 8,844 | 2,357,280 | ||
Cohu, Inc.* | 15,482 | 589,709 | ||
Comtech Telecommunications Corporation | 22,931 | 543,235 | ||
Conduent, Inc.* | 99,940 | 533,680 | ||
Consensus Cloud Solutions, Inc.Δ* | 8,746 | 506,131 | ||
DZS, Inc.Δ* | 5,273 | 85,528 | ||
EMCORE Corporation* | 21,867 | 152,632 | ||
Enfusion, Inc. Class AΔ* | 91,900 | 1,924,386 | ||
Envestnet, Inc.* | 31,300 | 2,483,342 | ||
Euronet Worldwide, Inc.* | 11,850 | 1,412,164 | ||
EVERTEC, Inc. | 67,388 | 3,368,052 | ||
Evo Payments, Inc. Class A* | 69,500 | 1,779,200 | ||
ExlService Holdings, Inc.* | 50,140 | 7,258,768 | ||
IBEX Holdings, Ltd.* | 22,249 | 286,790 | ||
Ichor Holdings, Ltd.* | 18,989 | 874,064 | ||
II-VI, Inc.Δ* | 91,804 | 6,272,967 | ||
Juniper Networks, Inc. | 50,395 | 1,799,605 | ||
Kimball Electronics, Inc.Δ* | 4,378 | 95,265 | ||
Kulicke & Soffa Industries, Inc.Δ | 31,806 | 1,925,535 | ||
KVH Industries, Inc.* | 4,620 | 42,458 | ||
Limelight Networks, Inc.Δ* | 30,450 | 104,444 | ||
Littelfuse, Inc.Δ | 5,300 | 1,667,804 | ||
MACOM Technology Solutions Holdings, Inc.* | 38,335 | 3,001,630 | ||
MaxLinear, Inc.* | 53,125 | 4,005,094 | ||
NETGEAR, Inc.* | 57,796 | 1,688,221 | ||
NetScout Systems, Inc.* | 29,957 | 990,978 | ||
New Relic, Inc.* | 34,600 | 3,804,616 | ||
nLight, Inc.* | 97,000 | 2,323,150 | ||
Onto Innovation, Inc.* | 42,600 | 4,312,398 | ||
Paycor HCM, Inc.Δ* | 104,600 | 3,013,526 | ||
PC Connection, Inc. | 4,130 | 178,127 | ||
Ping Identity Holding Corporation* | 21,334 | 488,122 | ||
Plantronics, Inc.* | 23,368 | 685,617 | ||
Priority Technology Holdings, Inc.Δ* | 121,700 | 861,636 | ||
Q2 Holdings, Inc.* | 50,889 | 4,042,622 | ||
Quantum Corporation* | 32,568 | 179,775 | ||
Rapid7, Inc.* | 33,148 | 3,901,188 | ||
Repay Holdings CorporationΔ* | 77,400 | 1,414,098 |
Shares | Value | |||
Ribbon Communications, Inc.* | 42,290 | $ 255,854 | ||
Sailpoint Technologies Holdings, Inc.Δ* | 85,400 | 4,128,236 | ||
ScanSource, Inc.* | 8,261 | 289,796 | ||
SecureWorks Corporation Class AΔ* | 12,451 | 198,842 | ||
SEMrush Holdings, Inc. Class A* | 27,800 | 579,630 | ||
Semtech Corporation* | 26,668 | 2,371,585 | ||
Silicon Laboratories, Inc.* | 12,465 | 2,573,025 | ||
Smartsheet, Inc. Class A* | 40,500 | 3,136,725 | ||
Sprout Social, Inc. Class A* | 34,127 | 3,094,978 | ||
Super Micro Computer, Inc.* | 9,183 | 403,593 | ||
Synaptics, Inc.Δ* | 13,700 | 3,966,287 | ||
Synchronoss Technologies, Inc.* | 29,166 | 71,165 | ||
Teradata Corporation* | 55,488 | 2,356,575 | ||
Unisys Corporation* | 19,156 | 394,039 | ||
Varonis Systems, Inc.* | 41,414 | 2,020,175 | ||
Veeco Instruments, Inc.Δ* | 26,729 | 760,975 | ||
Vertex, Inc. Class AΔ* | 58,600 | 929,982 | ||
Vonage Holdings Corporation* | 264,100 | 5,490,639 | ||
Vontier Corporation | 21,661 | 665,643 | ||
Workiva, Inc.* | 22,400 | 2,922,976 | ||
Xerox Holdings Corporation | 73,656 | 1,667,572 | ||
Ziff Davis, Inc.Δ* | 26,238 | 2,908,745 | ||
132,783,974 | ||||
Materials — 3.4% | ||||
AdvanSix, Inc. | 20,519 | 969,523 | ||
American Vanguard Corporation | 2,290 | 37,533 | ||
Balchem CorporationΔ | 5,959 | 1,004,687 | ||
Clearwater Paper CorporationΔ* | 14,816 | 543,303 | ||
Coeur Mining, Inc.* | 114,834 | 578,763 | ||
Ecovyst, Inc. | 25,811 | 264,305 | ||
Ferro Corporation* | 19,963 | 435,792 | ||
Graphic Packaging Holding Co. | 173,102 | 3,375,489 | ||
Huntsman Corporation | 30,011 | 1,046,784 | ||
Kaiser Aluminum CorporationΔ | 22,837 | 2,145,308 | ||
Koppers Holdings, Inc.Δ* | 1,620 | 50,706 | ||
Minerals Technologies, Inc. | 60,949 | 4,458,419 | ||
Neenah, Inc. | 37,154 | 1,719,487 | ||
Olin Corporation | 14,413 | 829,036 | ||
Olympic Steel, Inc. | 7,364 | 173,054 | ||
Pactiv Evergreen, Inc.Δ | 133,239 | 1,689,470 | ||
Quaker Chemical CorporationΔ | 8,234 | 1,900,242 | ||
Rayonier Advanced Materials, Inc.* | 24,700 | 141,037 | ||
Schnitzer Steel Industries, Inc. Class A | 26,836 | 1,393,325 | ||
Stepan Co. | 2,637 | 327,753 | ||
Summit Materials, Inc. Class A* | 64,954 | 2,607,254 | ||
SunCoke Energy, Inc. | 101,398 | 668,213 | ||
TimkenSteel Corporation* | 54,314 | 896,181 | ||
Verso Corporation Class A | 4,279 | 115,619 | ||
Worthington Industries, Inc. | 46,600 | 2,547,156 | ||
29,918,439 | ||||
Real Estate — 5.2% | ||||
American Assets Trust, Inc. REITΔ | 45,051 | 1,690,764 | ||
Apple Hospitality REIT, Inc. | 116,965 | 1,888,985 | ||
Armada Hoffler Properties, Inc. REIT | 113,103 | 1,721,428 |
Shares | Value | |||
Brandywine Realty Trust REIT | 104,785 | $ 1,406,215 | ||
CareTrust REIT, Inc.Δ | 38,860 | 887,174 | ||
CatchMark Timber Trust, Inc. Class A REIT | 19,797 | 172,432 | ||
Cedar Realty Trust, Inc. REIT | 3,502 | 87,935 | ||
Centerspace REIT | 8,889 | 985,790 | ||
Cousins Properties, Inc. REIT | 26,056 | 1,049,536 | ||
CTO Realty Growth, Inc. REITΔ | 4,739 | 291,069 | ||
DiamondRock Hospitality Co. REIT* | 130,459 | 1,253,711 | ||
Diversified Healthcare Trust REIT | 119,574 | 369,484 | ||
Easterly Government Properties, Inc. REITΔ | 25,243 | 578,570 | ||
EastGroup Properties, Inc. REIT | 13,623 | 3,104,001 | ||
Equity Commonwealth REITΔ* | 64,280 | 1,664,852 | ||
Farmland Partners, Inc. REIT | 23,010 | 274,969 | ||
Forestar Group, Inc.Δ* | 9,962 | 216,673 | ||
Four Corners Property Trust, Inc. REIT | 41,540 | 1,221,691 | ||
Franklin Street Properties Corporation REITΔ | 37,165 | 221,132 | ||
GEO Group, Inc. (The) REITΔ | 142,943 | 1,107,808 | ||
Getty Realty Corporation REIT | 19,168 | 615,101 | ||
Healthcare Realty Trust, Inc. REITΔ | 13,732 | 434,480 | ||
Highwoods Properties, Inc. REIT | 12,073 | 538,335 | ||
Industrial Logistics Properties Trust REIT | 9,258 | 231,913 | ||
Kennedy-Wilson Holdings, Inc. | 164,511 | 3,928,523 | ||
Kite Realty Group Trust REITΔ | 119,253 | 2,597,330 | ||
LXP Industrial Trust REIT | 121,230 | 1,893,613 | ||
National Health Investors, Inc. REITΔ | 16,802 | 965,611 | ||
National Storage Affiliates Trust REIT | 34,188 | 2,365,810 | ||
NETSTREIT Corporation | 1,864 | 42,686 | ||
Office Properties Income Trust REIT | 22,397 | 556,341 | ||
Pebblebrook Hotel Trust REITΔ | 65,011 | 1,454,296 | ||
Physicians Realty Trust REITΔ | 135,765 | 2,556,455 | ||
Piedmont Office Realty Trust, Inc. Class A REIT | 57,951 | 1,065,139 | ||
Realogy Holdings Corporation* | 79,973 | 1,344,346 | ||
RLJ Lodging Trust REIT | 123,358 | 1,718,377 | ||
RPT Realty REIT | 112,147 | 1,500,527 | ||
Sabra Health Care REIT, Inc.Δ | 23,417 | 317,066 | ||
Spirit Realty Capital, Inc. REIT | 2,243 | 108,090 | ||
Summit Hotel Properties, Inc. REIT* | 32,820 | 320,323 | ||
Whitestone REIT | 33,354 | 337,876 | ||
45,086,457 | ||||
Utilities — 1.7% | ||||
Black Hills Corporation | 23,731 | 1,674,697 | ||
Northwest Natural Holding Co. | 14,607 | 712,530 | ||
NorthWestern CorporationΔ | 31,577 | 1,804,941 | ||
NRG Energy, Inc.Δ | 16,328 | 703,410 | ||
Pinnacle West Capital CorporationΔ | 7,266 | 512,907 | ||
Portland General Electric Co. | 37,740 | 1,997,201 | ||
South Jersey Industries, Inc.Δ | 105,753 | 2,762,268 | ||
Southwest Gas Holdings, Inc. | 25,567 | 1,790,968 |
Shares | Value | |||
Spire, Inc. | 27,917 | $ 1,820,747 | ||
Sunnova Energy International, Inc.Δ* | 46,900 | 1,309,448 | ||
15,089,117 | ||||
Total Common Stocks (Cost $649,403,737) | 818,463,492 | |||
FOREIGN COMMON STOCKS — 2.4% | ||||
Canada — 0.1% | ||||
DIRTT Environmental SolutionsΔ* | 96,127 | 209,557 | ||
Primo Water Corporation | 51,574 | 909,249 | ||
VBI Vaccines, Inc.Δ* | 30,129 | 70,502 | ||
1,189,308 | ||||
Germany — 0.0% | ||||
SiriusPoint, Ltd.* | 33,622 | 273,347 | ||
Ireland — 0.2% | ||||
Alkermes PLC* | 8,789 | 204,432 | ||
GH Research PLCΔ* | 28,500 | 664,905 | ||
Horizon Therapeutics PLC* | 1,939 | 208,947 | ||
Prothena Corporation PLC* | 4,373 | 216,026 | ||
1,294,310 | ||||
Israel — 0.5% | ||||
Caesarstone, Ltd. | 5,236 | 59,376 | ||
Global-e Online, Ltd.Δ* | 30,600 | 1,939,734 | ||
JFrog, Ltd.* | 45,800 | 1,360,260 | ||
Tufin Software Technologies, Ltd.Δ* | 72,300 | 762,765 | ||
4,122,135 | ||||
Jersey — 1.1% | ||||
Mimecast, Ltd.* | 31,429 | 2,500,806 | ||
Quotient, Ltd.Δ* | 168,100 | 435,379 | ||
WNS Holdings, Ltd. ADR* | 77,822 | 6,865,457 | ||
9,801,642 | ||||
Netherlands — 0.2% | ||||
MYT Netherlands Parent BV ADRΔ* | 64,700 | 1,372,287 | ||
uniQure NVΔ* | 5,091 | 105,587 | ||
1,477,874 | ||||
Sweden — 0.1% | ||||
Loomis AB | 38,958 | 1,037,736 | ||
United Kingdom — 0.2% | ||||
Gates Industrial Corporation PLC* | 111,556 | 1,774,856 | ||
Luxfer Holdings PLC | 17,494 | 337,809 | ||
2,112,665 | ||||
Total Foreign Common Stocks (Cost $19,871,458) | 21,309,017 | |||
RIGHTS — 0.0% | ||||
Aduro Biotech, Inc.†††Δ* (Cost $—) | 2,713 | — | ||
MONEY MARKET FUNDS — 5.6% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 30,899,191 | 30,899,191 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 0.04%ا | 17,934,148 | $ 17,934,148 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 36,436 | 36,436 | ||
Total Money Market Funds (Cost $48,869,775) | 48,869,775 | |||
TOTAL INVESTMENTS — 102.1% (Cost $718,144,970) | 888,642,284 | |||
Liabilities in Excess of Other Assets — (2.1)% | (18,401,915) | |||
NET ASSETS — 100.0% | $870,240,369 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
CME Russell 2000 Index E-Mini | 03/2022 | 281 | $31,511,340 | $476,169 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/31/22 | U.S. Dollars | 993,817 | Swedish Kronor | 9,061,865 | UBS | $(9,816) | ||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2021 | $(9,816) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $818,463,492 | $818,463,492 | $ — | $ — | |||
Foreign Common Stocks | 21,309,017 | 21,309,017 | — | — | |||
Money Market Funds | 48,869,775 | 48,869,775 | — | — | |||
Rights | — | — | — | —** | |||
Total Assets - Investments in Securities | $888,642,284 | $888,642,284 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 476,169 | $ 476,169 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 476,169 | $ 476,169 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (9,816) | $ — | $ (9,816) | $ — | |||
Total Liabilities - Other Financial Instruments | $ (9,816) | $ — | $ (9,816) | $ — |
** | Level 3 security has zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts and forward contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" and "Forward Foreign Currency Contracts outstanding" disclosures. |
% | |
Financials | 16.1 |
Industrials | 15.7 |
Consumer Discretionary | 11.5 |
Health Care | 10.8 |
Information Technology | 9.3 |
Consumer Staples | 8.6 |
Materials | 7.1 |
Money Market Funds | 6.6 |
Communication Services | 4.4 |
Utilities | 3.8 |
Energy | 3.1 |
Real Estate | 3.0 |
100.0 |
Average Annual Total Returns as of 12/31/21 | |||||
Institutional Class* | Benchmark** | ||||
One Year | 10.43% | 11.26% | |||
Five Year | 9.48% | 9.54% | |||
Ten Year | N/A | N/A | |||
Since Inception | 5.70% | 5.86% | |||
Inception Date | 06/01/15 | ||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.23% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 0.2% | ||||
Communication Services — 0.2% | ||||
Sea, Ltd. ADR* | 6,309 | $1,411,386 | ||
Financials — 0.0% | ||||
Futu Holdings, Ltd. ADRΔ* | 2,522 | 109,203 | ||
Total Common Stocks (Cost $2,323,040) | 1,520,589 | |||
FOREIGN COMMON STOCKS — 92.7% | ||||
Australia — 6.5% | ||||
Afterpay, Ltd.* | 11,107 | 670,795 | ||
Ampol, Ltd. | 12,404 | 267,668 | ||
APA Group | 56,822 | 415,889 | ||
ASX, Ltd. | 9,397 | 635,138 | ||
Aurizon Holdings, Ltd. | 144,275 | 366,336 | ||
Australia & New Zealand Banking Group, Ltd. | 133,614 | 2,674,271 | ||
BHP Group, Ltd.Δ | 135,994 | 4,106,111 | ||
BlueScope Steel, Ltd. | 21,263 | 323,321 | ||
Brambles, Ltd. | 72,678 | 562,081 | ||
Cochlear, Ltd. | 3,288 | 516,999 | ||
Coles Group, Ltd. | 79,057 | 1,031,872 | ||
Commonwealth Bank of Australia | 82,859 | 6,088,691 | ||
Computershare, Ltd. | 24,948 | 363,018 | ||
CSL, Ltd. | 23,068 | 4,879,190 | ||
Dexus REITΔ | 65,896 | 533,122 | ||
Domino’s Pizza Enterprises, Ltd. | 4,484 | 385,053 | ||
Fortescue Metals Group, Ltd. | 86,232 | 1,205,199 | ||
Goodman Group REIT | 96,925 | 1,868,721 | ||
GPT Group (The) REIT (Athens Exchange) | 137,876 | 543,689 | ||
IDP Education, Ltd.Δ | 17,951 | 452,538 | ||
Insurance Australia Group, Ltd. | 115,449 | 357,818 | ||
Lendlease Corporation, Ltd.Δ | 36,784 | 286,088 | ||
Macquarie Group, Ltd. | 18,802 | 2,809,748 | ||
Magellan Financial Group, Ltd. | 5,400 | 83,447 | ||
Medibank Pvt., Ltd. | 94,662 | 230,719 | ||
Mirvac Group REIT | 260,355 | 551,216 | ||
National Australia Bank, Ltd. | 161,573 | 3,390,212 | ||
Newcrest Mining, Ltd. | 38,206 | 680,465 | ||
Northern Star Resources, Ltd. | 45,766 | 313,325 | ||
Orica, Ltd. | 7,637 | 76,066 | ||
Origin Energy, Ltd. | 62,971 | 240,068 | ||
Qantas Airways, Ltd.* | 66,392 | 242,001 | ||
QBE Insurance Group, Ltd. | 75,406 | 622,680 | ||
REA Group, Ltd. | 4,130 | 503,722 | ||
Reece, Ltd. | 18,888 | 371,445 | ||
Rio Tinto, Ltd. | 12,648 | 921,218 | ||
Santos, Ltd. | 177,590 | 815,287 | ||
Scentre Group REIT | 265,947 | 611,428 | ||
SEEK, Ltd.Δ | 16,462 | 392,604 | ||
Sonic Healthcare, Ltd. | 26,549 | 900,692 | ||
South32, Ltd. | 212,814 | 620,880 | ||
Stockland REIT | 133,688 | 412,402 | ||
Suncorp Group, Ltd. | 68,156 | 548,927 | ||
Sydney Airport* | 25,788 | 162,855 | ||
Telstra Corporation, Ltd. | 188,332 | 572,748 |
Shares | Value | |||
Transurban Group (Athen Exchange) | 138,068 | $ 1,388,238 | ||
Vicinity Centres REIT | 137,781 | 169,410 | ||
Washington H Soul Pattinson & Co., Ltd. | 6,495 | 139,920 | ||
Wesfarmers, Ltd. | 63,489 | 2,739,151 | ||
Westpac Banking Corporation | 164,250 | 2,551,327 | ||
WiseTech Global, Ltd. | 3,675 | 156,628 | ||
Woodside Petroleum, Ltd. | 45,699 | 729,135 | ||
Woolworths Group, Ltd. | 57,600 | 1,592,881 | ||
54,074,453 | ||||
Austria — 0.3% | ||||
Erste Group Bank AG | 15,407 | 722,286 | ||
OMV AG | 10,806 | 611,109 | ||
Raiffeisen Bank International AG | 5,232 | 153,667 | ||
Verbund AGΔ | 5,255 | 590,580 | ||
voestalpine AG | 4,506 | 163,492 | ||
2,241,134 | ||||
Belgium — 0.7% | ||||
Ageas SA/NV | 4,155 | 215,473 | ||
Etablissements Franz Colruyt NV | 5,111 | 216,811 | ||
Groupe Bruxelles Lambert SA | 11,620 | 1,298,595 | ||
KBC Group NV | 13,105 | 1,125,866 | ||
Proximus SADP | 7,723 | 150,706 | ||
Sofina SA | 865 | 425,435 | ||
Solvay SA | 4,910 | 571,302 | ||
UCB SA | 14,083 | 1,608,961 | ||
Umicore SA | 9,507 | 386,948 | ||
6,000,097 | ||||
Denmark — 2.2% | ||||
Ambu A/S Class BΔ | 12,493 | 329,738 | ||
AP Moeller - Maersk A/S Class A | 549 | 1,821,342 | ||
AP Moeller - Maersk A/S Class B | 60 | 214,159 | ||
Chr. Hansen Holding A/S | 9,414 | 742,298 | ||
Coloplast A/S Class B | 9,701 | 1,708,106 | ||
Danske Bank A/SΔ | 52,273 | 902,441 | ||
Demant A/SΔ* | 13,113 | 671,466 | ||
DSV A/S | 11,994 | 2,794,941 | ||
Genmab A/S* | 4,030 | 1,608,587 | ||
GN Store Nord A/S | 5,764 | 361,667 | ||
Novozymes A/S, B Shares | 15,803 | 1,297,581 | ||
Orsted A/S 144A | 10,730 | 1,374,160 | ||
Pandora A/S | 9,048 | 1,125,489 | ||
ROCKWOOL International A/S, B Shares | 1,073 | 468,556 | ||
Tryg A/S | 43,880 | 1,082,854 | ||
Vestas Wind Systems A/S | 61,690 | 1,878,778 | ||
18,382,163 | ||||
Finland — 1.2% | ||||
Elisa OYJ | 7,229 | 445,133 | ||
Fortum OYJ | 22,487 | 689,686 | ||
Kesko OYJ, B Shares | 12,949 | 431,601 | ||
Kone OYJ Class B | 11,915 | 855,006 | ||
Neste OYJ | 18,827 | 926,586 | ||
Nokia OYJ* | 251,591 | 1,593,499 |
Shares | Value | |||
Nordea Bank Abp | 1,819 | $ 22,287 | ||
Nordea Bank Abp (NASDAQ Exchange) | 155,036 | 1,891,214 | ||
Orion OYJ Class B | 19,705 | 818,522 | ||
Sampo OYJ, A Shares | 19,367 | 969,281 | ||
Stora Enso OYJ, R Shares | 22,882 | 419,962 | ||
UPM-Kymmene OYJ | 27,891 | 1,061,214 | ||
Wartsila OYJ Abp | 14,669 | 205,744 | ||
10,329,735 | ||||
France — 10.0% | ||||
Accor SA* | 16,778 | 543,445 | ||
Air Liquide SA | 24,343 | 4,249,188 | ||
Alstom SAΔ | 13,522 | 480,626 | ||
Amundi SA 144A | 3,229 | 266,710 | ||
Arkema SA | 2,715 | 382,824 | ||
AXA SA | 94,288 | 2,810,878 | ||
BioMerieux | 1,757 | 249,843 | ||
BNP Paribas SA | 51,911 | 3,591,548 | ||
Bollore SA | 53,876 | 301,782 | ||
Bouygues SA | 11,283 | 404,511 | ||
Bureau Veritas SA | 15,449 | 513,238 | ||
Capgemini SE | 7,893 | 1,936,522 | ||
Carrefour SA | 29,587 | 542,494 | ||
Cie de St-Gobain | 26,241 | 1,848,390 | ||
Cie Generale des Etablissements Michelin SCA | 8,634 | 1,416,967 | ||
CNP Assurances | 6,718 | 166,354 | ||
Credit Agricole SA | 66,291 | 947,177 | ||
Danone SA | 36,549 | 2,271,546 | ||
Dassault Systemes SE | 37,571 | 2,237,538 | ||
Edenred | 13,754 | 635,283 | ||
Eiffage SA | 4,139 | 426,270 | ||
Electricite de France SA | 32,416 | 381,235 | ||
Engie SA | 92,715 | 1,373,706 | ||
EssilorLuxottica SA | 18,021 | 3,841,586 | ||
Eurazeo SE | 3,083 | 269,568 | ||
Eurofins Scientific SE | 7,098 | 879,221 | ||
Faurecia SE | 977 | 45,694 | ||
Faurecia SE (Euronext Paris Exchange) | 5,122 | 243,927 | ||
Gecina SA REIT | 2,894 | 404,933 | ||
Getlink SE | 33,090 | 548,518 | ||
Hermes International | 1,835 | 3,208,931 | ||
Ipsen SA | 3,144 | 288,145 | ||
Kering SA | 4,361 | 3,509,757 | ||
Klepierre REITΔ* | 14,221 | 337,574 | ||
L’Oreal SA | 12,212 | 5,797,007 | ||
Legrand SA | 15,118 | 1,771,099 | ||
Orange SA | 111,352 | 1,193,326 | ||
Orpea SA | 3,616 | 362,691 | ||
Publicis Groupe SA | 15,647 | 1,054,595 | ||
Renault SA* | 7,966 | 277,021 | ||
Safran SA | 14,290 | 1,751,538 | ||
Sanofi | 72,120 | 7,273,182 | ||
Sartorius Stedim Biotech | 2,225 | 1,221,998 | ||
Schneider Electric SE | 24,838 | 4,876,835 | ||
SEB SA | 1,871 | 291,615 | ||
Societe Generale SA | 43,102 | 1,482,209 |
Shares | Value | |||
Sodexo SA | 2,396 | $ 210,208 | ||
Suez SA | 19,394 | 437,406 | ||
Teleperformance | 2,675 | 1,193,831 | ||
Thales SA | 4,648 | 395,823 | ||
TotalEnergies SE | 112,755 | 5,729,223 | ||
Ubisoft Entertainment SA* | 5,285 | 259,151 | ||
Unibail-Rodamco-Westfield CDI* | 10,140 | 35,190 | ||
Unibail-Rodamco-Westfield REIT* | 6,095 | 427,591 | ||
Valeo | 12,169 | 368,250 | ||
Veolia Environnement SA | 22,865 | 839,786 | ||
Vinci SA | 28,384 | 3,002,404 | ||
Vivendi SEΔ | 34,973 | 473,421 | ||
Wendel SE | 1,720 | 206,396 | ||
Worldline SA 144A* | 13,200 | 736,532 | ||
83,224,257 | ||||
Germany — 7.8% | ||||
adidas AG | 11,373 | 3,274,803 | ||
Allianz SE | 19,260 | 4,542,642 | ||
Aroundtown SA | 49,132 | 296,382 | ||
BASF SE | 41,014 | 2,878,583 | ||
Bayerische Motoren Werke AG | 15,493 | 1,549,955 | ||
Bechtle AG | 3,882 | 276,242 | ||
Beiersdorf AG | 7,547 | 773,606 | ||
Brenntag SE | 7,869 | 710,601 | ||
Carl Zeiss Meditec AG | 1,414 | 296,624 | ||
Commerzbank AG* | 39,511 | 298,924 | ||
Continental AG* | 4,960 | 521,125 | ||
Covestro AG 144A | 8,920 | 549,009 | ||
Daimler AG | 39,166 | 2,992,447 | ||
Daimler Truck Holding AG* | 19,583 | 719,913 | ||
Delivery Hero SE 144A* | 6,459 | 714,950 | ||
Deutsche Bank AG* | 96,500 | 1,201,909 | ||
Deutsche Boerse AG | 8,824 | 1,473,382 | ||
Deutsche Post AG | 48,326 | 3,108,367 | ||
Deutsche Telekom AG | 179,440 | 3,315,603 | ||
E.ON SE | 119,140 | 1,655,742 | ||
Evonik Industries AG | 13,302 | 429,728 | ||
Fresenius Medical Care AG & Co. KGaA | 8,805 | 570,812 | ||
Fresenius SE & Co. KGaA | 22,478 | 903,468 | ||
GEA Group AG | 7,555 | 412,649 | ||
Hannover Rueck SE | 3,483 | 660,365 | ||
HeidelbergCement AG | 2,223 | 150,446 | ||
HelloFresh SE* | 7,006 | 536,927 | ||
Henkel AG & Co. KGaA | 8,746 | 681,761 | ||
Infineon Technologies AG | 57,165 | 2,631,789 | ||
KION Group AG | 3,513 | 383,710 | ||
Knorr-Bremse AG | 3,578 | 353,380 | ||
LANXESS AG | 3,845 | 237,770 | ||
LEG Immobilien SE | 2,998 | 417,990 | ||
MTU Aero Engines AG | 2,932 | 595,325 | ||
Muenchener Rueckversicherungs-Gesellschaft AG | 6,780 | 2,001,516 | ||
Nemetschek SE | 2,312 | 295,622 | ||
Puma SE | 17,232 | 2,104,447 | ||
Rational AG | 243 | 248,532 | ||
RWE AG | 29,703 | 1,203,464 |
Shares | Value | |||
SAP SE | 50,683 | $ 7,133,103 | ||
Siemens AG | 34,686 | 6,007,715 | ||
Siemens Energy AG* | 18,963 | 483,828 | ||
Siemens Healthineers AG 144A | 17,555 | 1,308,887 | ||
Symrise AG | 6,729 | 995,184 | ||
Telefonica Deutschland Holding AG | 56,298 | 156,159 | ||
Volkswagen AG | 247 | 72,206 | ||
Vonovia SE | 37,687 | 2,076,636 | ||
Zalando SE 144A* | 10,454 | 842,138 | ||
65,046,366 | ||||
Hong Kong — 2.6% | ||||
AIA Group, Ltd. | 555,600 | 5,600,498 | ||
BOC Hong Kong Holdings, Ltd. | 214,500 | 702,846 | ||
Chow Tai Fook Jewellery Group, Ltd.* | 180,800 | 325,078 | ||
CK Asset Holdings, Ltd. | 102,557 | 646,444 | ||
CK Hutchison Holdings, Ltd. | 157,000 | 1,012,767 | ||
CK Infrastructure Holdings, Ltd. | 35,000 | 222,858 | ||
CLP Holdings, Ltd. | 96,000 | 969,535 | ||
ESR Cayman, Ltd. 144A* | 115,800 | 391,319 | ||
Hang Lung Properties, Ltd.Δ | 117,000 | 240,676 | ||
Hang Seng Bank, Ltd. | 46,300 | 847,319 | ||
Henderson Land Development Co., Ltd. | 71,275 | 303,471 | ||
HKT Trust & HKT, Ltd. | 266,000 | 357,507 | ||
Hong Kong & China Gas Co., Ltd. | 394,138 | 613,633 | ||
Hong Kong Exchanges and Clearing, Ltd. | 60,197 | 3,515,683 | ||
Link REITΔ | 79,111 | 696,497 | ||
MTR Corporation, Ltd.Δ | 98,963 | 531,141 | ||
New World Development Co., Ltd. | 83,466 | 330,222 | ||
Power Assets Holdings, Ltd. | 81,000 | 504,851 | ||
Sino Land Co., Ltd.Δ | 330,331 | 411,349 | ||
Sun Hung Kai Properties, Ltd. | 68,000 | 824,977 | ||
Swire Pacific, Ltd. Class A | 22,500 | 127,973 | ||
Swire Properties, Ltd. | 63,800 | 159,877 | ||
Techtronic Industries Co., Ltd. | 71,500 | 1,423,114 | ||
WH Group, Ltd. 144A | 585,591 | 367,236 | ||
Wharf Real Estate Investment Co., Ltd. | 115,000 | 584,030 | ||
Xinyi Glass Holdings, Ltd. | 96,000 | 240,075 | ||
21,950,976 | ||||
Ireland — 0.7% | ||||
CRH PLC | 29,482 | 1,561,456 | ||
DCC PLC | 5,616 | 459,893 | ||
James Hardie Industries PLC CDI | 25,315 | 1,018,511 | ||
Kerry Group PLC Class A | 8,753 | 1,128,569 | ||
Kingspan Group PLC | 7,807 | 933,268 | ||
Smurfit Kappa Group PLC | 17,166 | 946,687 | ||
6,048,384 | ||||
Israel — 0.7% | ||||
Azrieli Group, Ltd. | 1,239 | 118,214 | ||
Bank Hapoalim BM | 48,532 | 499,490 | ||
Bank Leumi Le-Israel BM | 65,831 | 706,105 | ||
Check Point Software Technologies, Ltd.* | 4,629 | 539,556 | ||
CyberArk Software, Ltd.* | 2,381 | 412,580 |
Shares | Value | |||
Elbit Systems, Ltd. | 1,618 | $ 279,679 | ||
ICL Group, Ltd. | 53,933 | 519,489 | ||
Israel Discount Bank, Ltd. Class A | 52,953 | 355,540 | ||
Kornit Digital, Ltd.* | 2,834 | 431,476 | ||
Nice, Ltd.* | 2,756 | 835,773 | ||
Teva Pharmaceutical Industries, Ltd. ADR* | 51,301 | 410,921 | ||
Wix.com, Ltd.* | 2,346 | 370,175 | ||
5,478,998 | ||||
Italy — 2.0% | ||||
Amplifon SpA | 5,903 | 317,630 | ||
Assicurazioni Generali SpA | 54,201 | 1,145,524 | ||
Atlantia SpA* | 29,878 | 592,833 | ||
DiaSorin SpAΔ | 692 | 131,650 | ||
Enel SpA | 375,358 | 3,001,395 | ||
Eni SpA | 112,690 | 1,566,142 | ||
FinecoBank Banca Fineco SpA | 27,715 | 485,360 | ||
Infrastrutture Wireless Italiane SpA 144A | 26,318 | 319,133 | ||
Intesa Sanpaolo SpA | 830,817 | 2,145,938 | ||
Mediobanca Banca di Credito Finanziario SpA | 21,353 | 245,143 | ||
Moncler SpA | 19,299 | 1,394,706 | ||
Nexi SpA 144A* | 24,702 | 391,438 | ||
Poste Italiane SpA 144A | 25,999 | 340,594 | ||
Prysmian SpA | 8,844 | 332,678 | ||
Recordati Industria Chimica e Farmaceutica SpA | 20,453 | 1,313,372 | ||
Snam SpA | 106,584 | 641,974 | ||
Terna - Rete Elettrica Nazionale | 90,920 | 735,511 | ||
UniCredit SpA | 99,177 | 1,524,485 | ||
16,625,506 | ||||
Japan — 21.2% | ||||
Advantest Corporation | 6,200 | 587,135 | ||
Aeon Co., Ltd. | 32,800 | 772,971 | ||
AGC, Inc. | 7,200 | 343,966 | ||
Aisin Corporation | 5,800 | 222,532 | ||
Ajinomoto Co., Inc. | 17,300 | 526,649 | ||
ANA Holdings, Inc.* | 7,400 | 154,696 | ||
Asahi Intecc Co., Ltd. | 7,400 | 158,979 | ||
Asahi Kasei Corporation | 78,000 | 734,788 | ||
Bandai Namco Holdings, Inc. | 9,100 | 711,515 | ||
Bridgestone Corporation | 21,000 | 901,586 | ||
Canon, Inc.Δ | 50,800 | 1,239,198 | ||
Capcom Co., Ltd. | 8,400 | 197,831 | ||
Central Japan Railway Co. | 7,300 | 971,426 | ||
Chubu Electric Power Co., Inc. | 40,800 | 430,951 | ||
Chugai Pharmaceutical Co., Ltd. | 43,000 | 1,401,629 | ||
Concordia Financial Group, Ltd. | 10,800 | 39,221 | ||
CyberAgent, Inc. | 23,800 | 396,742 | ||
Dai Nippon Printing Co., Ltd. | 11,500 | 289,418 | ||
Daifuku Co., Ltd. | 4,700 | 384,342 | ||
Dai-ichi Life Holdings, Inc. | 49,600 | 1,000,431 | ||
Daiichi Sankyo Co., Ltd. | 92,700 | 2,359,348 | ||
Daikin Industries, Ltd. | 10,700 | 2,423,757 | ||
Daito Trust Construction Co., Ltd. | 3,500 | 401,524 | ||
Daiwa House Industry Co., Ltd. | 25,600 | 735,720 |
Shares | Value | |||
Daiwa House REIT Investment CorporationΔ | 101 | $ 305,968 | ||
Daiwa Securities Group, Inc. | 52,000 | 293,436 | ||
Denso Corporation | 22,400 | 1,856,308 | ||
Dentsu Group, Inc. | 11,700 | 416,441 | ||
East Japan Railway Co. | 17,300 | 1,063,526 | ||
Eisai Co., Ltd. | 11,100 | 630,123 | ||
ENEOS Holdings, Inc. | 144,150 | 538,517 | ||
FANUC Corporation | 8,900 | 1,891,802 | ||
Fast Retailing Co., Ltd. | 2,900 | 1,648,490 | ||
Fuji Electric Co., Ltd. | 2,700 | 147,496 | ||
FUJIFILM Holdings Corporation | 15,300 | 1,134,255 | ||
Fujitsu, Ltd. | 8,800 | 1,512,074 | ||
GLP J-REITΔ | 117 | 202,237 | ||
GMO Payment Gateway, Inc. | 1,900 | 236,601 | ||
Hakuhodo DY Holdings, Inc. | 7,900 | 131,456 | ||
Hamamatsu Photonics KK | 6,400 | 408,767 | ||
Hankyu Hanshin Holdings, Inc. | 14,100 | 400,705 | ||
Hikari Tsushin, Inc. | 1,200 | 184,809 | ||
Hirose Electric Co., Ltd. | 605 | 101,676 | ||
Hitachi Metals, Ltd.* | 2,000 | 37,058 | ||
Hitachi, Ltd. | 45,400 | 2,459,469 | ||
Honda Motor Co., Ltd. | 70,900 | 2,017,158 | ||
Hoya Corporation | 16,500 | 2,448,465 | ||
Hulic Co., Ltd. | 4,000 | 38,038 | ||
Ibiden Co., Ltd. | 1,800 | 106,894 | ||
Idemitsu Kosan Co., Ltd. | 8,736 | 222,941 | ||
Iida Group Holdings Co., Ltd. | 2,500 | 58,144 | ||
Inpex CorporationΔ | 45,600 | 396,520 | ||
Isuzu Motors, Ltd. | 18,100 | 225,281 | ||
Ito En, Ltd. | 15,500 | 814,406 | ||
ITOCHU Corporation | 58,600 | 1,792,803 | ||
Japan Airlines Co., Ltd.* | 6,100 | 115,798 | ||
Japan Exchange Group, Inc. | 25,800 | 565,262 | ||
Japan Metropolitan Fund Invest REIT | 228 | 196,421 | ||
Japan Post Holdings Co., Ltd.* | 110,700 | 862,384 | ||
Japan Real Estate Investment Corporation REITΔ | 46 | 261,125 | ||
JFE Holdings, Inc. | 24,900 | 317,675 | ||
JSR Corporation | 2,200 | 83,608 | ||
Kajima Corporation | 17,500 | 201,119 | ||
Kakaku.com, Inc. | 3,900 | 104,260 | ||
Kansai Electric Power Co., Inc. (The) | 36,300 | 339,296 | ||
Kansai Paint Co., Ltd. | 1,400 | 30,444 | ||
Kao Corporation | 25,200 | 1,319,833 | ||
KDDI Corporation | 66,900 | 1,956,405 | ||
Keio Corporation | 7,300 | 322,092 | ||
Keisei Electric Railway Co., Ltd. | 5,400 | 146,084 | ||
Keyence Corporation | 9,200 | 5,784,576 | ||
Kikkoman Corporation | 9,000 | 757,899 | ||
Kobayashi Pharmaceutical Co., Ltd. | 2,300 | 180,912 | ||
Koito Manufacturing Co., Ltd. | 4,300 | 227,745 | ||
Komatsu, Ltd. | 29,500 | 689,887 | ||
Konami Holdings CorporationΔ | 5,500 | 263,997 | ||
Kose CorporationΔ | 1,400 | 158,819 | ||
Kubota Corporation | 52,500 | 1,167,393 | ||
KuritaWater Industries, Ltd. | 900 | 42,668 | ||
Kyocera Corporation | 17,300 | 1,081,700 |
Shares | Value | |||
Kyowa Kirin Co., Ltd. | 19,400 | $ 528,955 | ||
Lasertec Corporation | 4,200 | 1,286,467 | ||
Lion Corporation | 12,600 | 168,437 | ||
Lixil Corporation | 12,900 | 344,133 | ||
M3, Inc. | 21,000 | 1,058,849 | ||
Makita Corporation | 7,900 | 335,353 | ||
Marubeni Corporation | 67,200 | 654,729 | ||
Mazda Motor Corporation* | 20,700 | 158,829 | ||
McDonald’s Holdings Co. Japan, Ltd.Δ | 8,800 | 389,453 | ||
Medipal Holdings Corporation | 4,500 | 84,352 | ||
MEIJI Holdings Co., Ltd. | 8,000 | 477,550 | ||
Mercari, Inc.Δ* | 6,500 | 330,703 | ||
MINEBEA MITSUMI, Inc. | 14,700 | 417,680 | ||
MISUMI Group, Inc. | 10,900 | 447,794 | ||
Mitsubishi Chemical Holdings Corporation | 63,200 | 468,778 | ||
Mitsubishi Corporation | 52,400 | 1,663,863 | ||
Mitsubishi Electric Corporation | 86,100 | 1,092,871 | ||
Mitsubishi Estate Co., Ltd. | 66,800 | 926,683 | ||
Mitsubishi HC Capital, Inc. | 38,900 | 192,459 | ||
Mitsubishi Heavy Industries, Ltd. | 14,700 | 339,870 | ||
Mitsubishi UFJ Financial Group, Inc. | 552,300 | 3,005,770 | ||
Mitsui & Co., Ltd. | 64,200 | 1,521,404 | ||
Mitsui Chemicals, Inc. | 9,400 | 252,674 | ||
Mitsui Fudosan Co., Ltd. | 36,200 | 717,512 | ||
Mizuho Financial Group, Inc. | 85,790 | 1,089,641 | ||
MonotaRO Co., Ltd. | 8,000 | 143,888 | ||
MS&AD Insurance Group Holdings, Inc. | 24,200 | 745,174 | ||
Murata Manufacturing Co., Ltd. | 29,000 | 2,313,111 | ||
NEC Corporation | 9,300 | 430,029 | ||
Nexon Co., Ltd. | 24,400 | 471,804 | ||
Nidec Corporation | 21,800 | 2,578,818 | ||
Nihon M&A Center, Inc. | 11,800 | 289,444 | ||
Nintendo Co., Ltd. | 5,400 | 2,526,430 | ||
Nippon Building Fund, Inc. REIT | 69 | 401,901 | ||
Nippon Express Co., Ltd. | 4,000 | 239,379 | ||
Nippon Paint Holdings Co., Ltd.Δ | 31,500 | 344,005 | ||
Nippon Prologis REIT, Inc. | 121 | 427,703 | ||
Nippon Sanso Holdings Corporation | 8,800 | 192,479 | ||
Nippon Shinyaku Co., Ltd. | 9,600 | 668,498 | ||
Nippon Steel Corporation | 37,900 | 619,136 | ||
Nippon Telegraph & Telephone Corporation | 64,300 | 1,758,494 | ||
Nippon Yusen KK | 8,500 | 648,150 | ||
Nissan Chemical Corporation | 5,900 | 343,144 | ||
Nissan Motor Co., Ltd.* | 112,800 | 543,307 | ||
Nisshin Seifun Group, Inc. | 16,300 | 235,150 | ||
Nissin Foods Holdings Co., Ltd. | 4,300 | 313,829 | ||
Nitori Holdings Co., Ltd. | 4,000 | 598,286 | ||
Nitto Denko Corporation | 7,100 | 548,493 | ||
Nomura Holdings, Inc. | 168,800 | 735,234 | ||
Nomura Real Estate Master Fund, Inc. REIT | 184 | 258,950 | ||
Nomura Research Institute, Ltd. | 18,157 | 776,226 | ||
NTT Data Corporation | 31,300 | 671,423 | ||
Obayashi Corporation | 26,400 | 204,319 |
Shares | Value | |||
Obic Co., Ltd. | 3,600 | $ 673,737 | ||
Odakyu Electric Railway Co., Ltd.Δ | 16,900 | 314,196 | ||
Oji Holdings Corporation | 31,000 | 150,197 | ||
Olympus Corporation | 57,000 | 1,312,553 | ||
Omron Corporation | 8,300 | 827,073 | ||
Ono Pharmaceutical Co., Ltd. | 65,400 | 1,625,543 | ||
Oracle Corporation | 700 | 53,181 | ||
Oriental Land Co., Ltd. | 9,500 | 1,601,958 | ||
ORIX Corporation | 63,200 | 1,289,797 | ||
Orix JREIT, Inc. | 119 | 186,026 | ||
Osaka Gas Co., Ltd. | 15,000 | 248,089 | ||
Otsuka Corporation | 6,900 | 329,010 | ||
Otsuka Holdings Co., Ltd. | 41,900 | 1,524,361 | ||
Pan Pacific International Holdings Corporation | 27,100 | 373,542 | ||
Panasonic Corporation | 118,600 | 1,303,745 | ||
Pola Orbis Holdings, Inc. | 7,300 | 121,660 | ||
Rakuten Group, Inc. | 37,400 | 375,244 | ||
Recruit Holdings Co., Ltd. | 65,200 | 3,967,793 | ||
Renesas Electronics Corporation* | 63,600 | 789,957 | ||
Ricoh Co., Ltd. | 26,200 | 244,213 | ||
Rohm Co., Ltd. | 3,100 | 282,005 | ||
Ryohin Keikaku Co., Ltd. | 12,000 | 182,976 | ||
Santen Pharmaceutical Co., Ltd. | 55,200 | 673,923 | ||
SBI Holdings, Inc. | 9,400 | 256,390 | ||
Secom Co., Ltd. | 12,500 | 868,578 | ||
Seiko Epson Corporation | 18,200 | 327,790 | ||
Sekisui House, Ltd. | 33,600 | 722,929 | ||
Seven & i Holdings Co., Ltd. | 31,000 | 1,363,629 | ||
SG Holdings Co., Ltd. | 8,800 | 206,346 | ||
Sharp Corporation | 9,500 | 109,103 | ||
Shimadzu Corporation | 12,300 | 519,528 | ||
Shimano, Inc. | 3,200 | 852,222 | ||
Shimizu Corporation | 26,800 | 166,169 | ||
Shin-Etsu Chemical Co., Ltd. | 14,800 | 2,568,916 | ||
Shionogi & Co., Ltd. | 19,200 | 1,350,650 | ||
Shiseido Co., Ltd. | 21,800 | 1,216,146 | ||
SMC Corporation | 2,700 | 1,824,817 | ||
SoftBank Corporation | 137,600 | 1,737,967 | ||
SoftBank Group Corporation | 55,500 | 2,660,679 | ||
Sohgo Security Services Co., Ltd. | 600 | 23,842 | ||
Sompo Holdings, Inc. | 14,400 | 607,301 | ||
Sony Group Corporation | 57,100 | 7,210,489 | ||
Subaru Corporation | 32,200 | 575,344 | ||
SUMCO Corporation | 15,200 | 309,515 | ||
Sumitomo Corporation | 54,900 | 812,487 | ||
Sumitomo Dainippon Pharma Co., Ltd. | 13,500 | 155,755 | ||
Sumitomo Electric Industries, Ltd. | 36,000 | 469,835 | ||
Sumitomo Metal Mining Co., Ltd. | 10,900 | 412,832 | ||
Sumitomo Mitsui Financial Group, Inc. | 58,300 | 1,990,788 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 14,800 | 494,888 | ||
Sumitomo Realty & Development Co., Ltd. | 21,100 | 622,046 | ||
Suntory Beverage & Food, Ltd. | 24,900 | 901,703 | ||
Suzuki Motor Corporation | 11,100 | 428,047 | ||
Sysmex Corporation | 7,300 | 985,365 |
Shares | Value | |||
T&D Holdings, Inc. | 22,500 | $ 287,455 | ||
Taisho Pharmaceutical Holdings Co., Ltd. | 15,300 | 706,248 | ||
Takeda Pharmaceutical Co., Ltd. | 99,536 | 2,718,160 | ||
TDK Corporation | 19,900 | 776,615 | ||
Terumo Corporation | 35,100 | 1,482,645 | ||
TIS, Inc. | 8,000 | 237,888 | ||
Tobu Railway Co., Ltd. | 11,900 | 271,558 | ||
Toho Co., Ltd. | 2,900 | 124,098 | ||
Tokio Marine Holdings, Inc. | 31,100 | 1,731,326 | ||
Tokyo Electric Power Co. Holdings, Inc.* | 56,100 | 145,030 | ||
Tokyo Electron, Ltd. | 7,000 | 4,029,010 | ||
Tokyo Gas Co., Ltd. | 21,300 | 382,343 | ||
Tokyu Corporation | 16,400 | 218,016 | ||
TOPPAN, Inc. | 15,000 | 281,486 | ||
Toray Industries, Inc. | 89,700 | 531,440 | ||
Toshiba Corporation | 17,900 | 736,557 | ||
Toyo Suisan Kaisha, Ltd. | 4,200 | 178,073 | ||
Toyota Industries Corporation | 8,800 | 703,939 | ||
Toyota Motor Corporation | 483,580 | 8,937,812 | ||
Toyota Tsusho Corporation | 7,800 | 359,555 | ||
Trend Micro, Inc. | 4,300 | 238,719 | ||
Tsuruha Holdings, Inc. | 1,900 | 182,436 | ||
Unicharm Corporation | 25,000 | 1,087,680 | ||
Welcia Holdings Co., Ltd. | 4,600 | 143,672 | ||
West Japan Railway Co. | 9,300 | 388,953 | ||
Yakult Honsha Co., Ltd.Δ | 11,500 | 599,946 | ||
Yamaha Corporation | 5,400 | 266,411 | ||
Yamaha Motor Co., Ltd. | 14,300 | 343,473 | ||
Yamato Holdings Co., Ltd. | 11,600 | 272,502 | ||
Yaskawa Electric Corporation | 9,000 | 441,591 | ||
Z Holdings Corporation | 129,000 | 744,329 | ||
ZOZO, Inc. | 5,700 | 177,727 | ||
177,196,802 | ||||
Jersey — 1.0% | ||||
Experian PLC | 53,919 | 2,650,709 | ||
Ferguson PLC | 12,836 | 2,276,885 | ||
Glencore PLC* | 458,703 | 2,327,980 | ||
WPP PLC | 75,700 | 1,147,082 | ||
8,402,656 | ||||
Netherlands — 5.9% | ||||
Adyen NV 144A* | 927 | 2,439,533 | ||
Aegon NV | 97,467 | 487,474 | ||
Airbus SE* | 27,433 | 3,509,280 | ||
Akzo Nobel NV | 7,083 | 778,176 | ||
ArcelorMittal SA | 34,529 | 1,106,416 | ||
Argenx SE* | 2,200 | 789,732 | ||
ASM International NV | 2,234 | 988,623 | ||
ASML Holding NV | 18,835 | 15,154,226 | ||
CNH Industrial NV | 43,467 | 840,400 | ||
Euronext NV 144A | 4,841 | 502,922 | ||
EXOR NV | 3,560 | 318,683 | ||
Ferrari NV | 5,605 | 1,442,762 | ||
IMCD NV | 2,480 | 549,732 | ||
ING Groep NV | 182,403 | 2,542,245 |
Shares | Value | |||
InPost SA* | 16,419 | $ 198,109 | ||
JDE Peet's NVΔ | 8,224 | 253,738 | ||
Just Eat Takeaway.com NV 144A* | 6,526 | 360,125 | ||
Koninklijke Ahold Delhaize NV | 58,297 | 2,000,094 | ||
Koninklijke DSM NV | 6,940 | 1,564,436 | ||
Koninklijke KPN NV | 184,467 | 573,343 | ||
Koninklijke Philips NV | 45,034 | 1,679,901 | ||
NN Group NVΔ | 4,404 | 238,714 | ||
Prosus NV* | 43,666 | 3,655,451 | ||
QIAGEN NVΔ* | 24,023 | 1,332,090 | ||
Randstad NV | 7,963 | 544,315 | ||
Stellantis NV | 98,407 | 1,857,786 | ||
STMicroelectronics NV | 30,860 | 1,523,766 | ||
Universal Music Group NV | 34,973 | 986,659 | ||
Wolters Kluwer NV | 10,268 | 1,211,096 | ||
49,429,827 | ||||
New Zealand — 0.2% | ||||
Auckland International Airport, Ltd.Δ* | 11,623 | 61,296 | ||
Fisher & Paykel Healthcare Corporation, Ltd. | 28,390 | 636,996 | ||
Ryman Healthcare, Ltd. | 22,949 | 192,543 | ||
Xero, Ltd.* | 5,756 | 592,319 | ||
1,483,154 | ||||
Norway — 0.7% | ||||
Adevinta ASA* | 16,796 | 223,119 | ||
DNB Bank ASA | 42,506 | 972,271 | ||
Equinor ASA | 43,834 | 1,160,694 | ||
Gjensidige Forsikring ASA | 8,027 | 194,743 | ||
Mowi ASA | 26,051 | 616,543 | ||
Norsk Hydro ASA | 56,215 | 442,333 | ||
Orkla ASA | 60,619 | 607,618 | ||
Schibsted ASA Class A | 9,647 | 371,937 | ||
Telenor ASA | 36,667 | 576,371 | ||
Yara International ASA | 10,434 | 526,063 | ||
5,691,692 | ||||
Portugal — 0.2% | ||||
EDP - Energias de Portugal SA | 154,225 | 848,428 | ||
Galp Energia SGPS SA | 27,004 | 261,939 | ||
Jeronimo Martins SGPS SA | 14,871 | 340,306 | ||
1,450,673 | ||||
Singapore — 0.9% | ||||
Ascendas REIT | 157,957 | 345,780 | ||
CapitaLand Integrated Commercial Trust REITΔ | 154,203 | 233,433 | ||
Capitaland Investment, Ltd.* | 42,360 | 107,189 | ||
DBS Group Holdings, Ltd. | 71,260 | 1,727,034 | ||
Jardine Matheson Holdings, Ltd. | 13,200 | 726,132 | ||
Mapletree Logistics Trust REIT | 7,947 | 11,205 | ||
Oversea-Chinese Banking Corporation, Ltd. | 124,940 | 1,056,928 | ||
Singapore Airlines, Ltd.Δ* | 134,450 | 497,852 | ||
Singapore Telecommunications, Ltd. | 454,500 | 782,458 | ||
United Overseas Bank, Ltd. | 56,959 | 1,136,982 | ||
UOL Group, Ltd.Δ | 7,561 | 39,780 |
Shares | Value | |||
Wilmar International, Ltd. | 198,000 | $ 608,281 | ||
7,273,054 | ||||
Spain — 2.3% | ||||
ACS Actividades de Construccion y Servicios SAΔ | 18,362 | 489,550 | ||
Aena SME SA 144AΔ* | 3,930 | 618,912 | ||
Amadeus IT Group SA* | 22,411 | 1,516,424 | ||
Banco Bilbao Vizcaya Argentaria SA | 319,952 | 1,897,630 | ||
Banco Santander SA | 789,110 | 2,620,696 | ||
CaixaBank SA | 185,397 | 506,438 | ||
Cellnex Telecom SA 144AΔ* | 23,609 | 1,367,613 | ||
EDP Renovaveis SA | 12,583 | 313,734 | ||
Enagas SAΔ | 17,674 | 410,591 | ||
Endesa SA | 13,556 | 312,079 | ||
Ferrovial SA | 28,612 | 894,803 | ||
Grifols SA | 15,393 | 296,202 | ||
Iberdrola SA | 270,908 | 3,207,546 | ||
Industria de Diseno Textil SA | 56,903 | 1,835,124 | ||
Naturgy Energy Group SAΔ | 9,244 | 300,663 | ||
Red Electrica Corporation SAΔ | 23,715 | 512,823 | ||
Repsol SA | 42,415 | 502,326 | ||
Siemens Gamesa Renewable Energy SAΔ* | 6,866 | 163,053 | ||
Telefonica SAΔ | 281,234 | 1,219,490 | ||
18,985,697 | ||||
Sweden — 3.5% | ||||
Alfa Laval AB | 14,717 | 591,175 | ||
Assa Abloy AB, B Shares | 39,827 | 1,213,966 | ||
Atlas Copco AB, A Shares | 28,714 | 1,984,162 | ||
Atlas Copco AB, B Shares | 19,228 | 1,129,458 | ||
Boliden AB | 9,794 | 377,654 | ||
Electrolux AB, B Shares | 13,970 | 338,349 | ||
Embracer Group ABΔ* | 27,006 | 286,507 | ||
Epiroc AB, A Shares | 31,158 | 787,855 | ||
Epiroc AB, B Shares | 20,075 | 424,530 | ||
EQT AB | 12,795 | 693,617 | ||
Essity AB, B SharesΔ | 36,031 | 1,175,504 | ||
Fastighets AB Balder, B Shares* | 4,801 | 345,499 | ||
Getinge AB, B Shares | 12,152 | 529,610 | ||
H & M Hennes & Mauritz AB, B SharesΔ | 42,435 | 832,664 | ||
Hexagon AB, B Shares | 97,566 | 1,545,499 | ||
Husqvarna AB, B Shares | 23,565 | 376,779 | ||
Industrivarden AB, A Shares | 1,009 | 32,060 | ||
Industrivarden AB, C Shares | 18,571 | 581,842 | ||
Investment AB Latour, B Shares | 9,171 | 372,604 | ||
Investor AB, B Shares | 120,422 | 3,021,786 | ||
Kinnevik AB, B Shares* | 10,870 | 386,468 | ||
L E Lundbergforetagen AB, B Shares | 5,888 | 329,879 | ||
Lifco AB, B Shares | 16,505 | 492,982 | ||
Lundin Energy AB | 8,084 | 289,268 | ||
Nibe Industrier AB, B Shares | 74,413 | 1,124,376 | ||
Sagax AB, B Shares | 11,741 | 394,938 | ||
Sandvik AB | 51,379 | 1,432,115 | ||
Securitas AB, B Shares | 14,981 | 206,086 | ||
Sinch AB 144A* | 22,610 | 285,301 |
Shares | Value | |||
Skandinaviska Enskilda Banken AB, A Shares | 79,780 | $ 1,107,630 | ||
Skanska AB, B Shares | 13,311 | 343,971 | ||
SKF AB, B Shares | 13,321 | 315,038 | ||
Svenska Cellulosa AB SCA, B Shares | 26,301 | 466,693 | ||
Svenska Handelsbanken AB, A SharesΔ | 65,615 | 709,164 | ||
Swedbank AB, A Shares | 41,659 | 837,173 | ||
Tele2 AB, B Shares | 19,177 | 273,573 | ||
Telefonaktiebolaget LM Ericsson, B Shares | 138,995 | 1,529,368 | ||
Telia Co ABΔ | 126,527 | 494,843 | ||
Volvo AB, B Shares | 76,978 | 1,780,232 | ||
29,440,218 | ||||
Switzerland — 10.0% | ||||
ABB, Ltd. | 68,606 | 2,614,767 | ||
Adecco Group AG | 8,557 | 436,042 | ||
Alcon, Inc. | 23,311 | 2,056,156 | ||
Bachem Holding AG | 662 | 518,377 | ||
Barry Callebaut AG | 219 | 531,656 | ||
Chocoladefabriken Lindt & Spruengli AG | 12 | 1,609,306 | ||
Cie Financiere Richemont SA Class A | 26,655 | 3,983,187 | ||
Coca-Cola HBC AG* | 53,299 | 1,843,250 | ||
Credit Suisse Group AGΔ | 104,613 | 1,014,288 | ||
EMS-Chemie Holding AG | 154 | 172,107 | ||
Geberit AG | 1,584 | 1,291,172 | ||
Givaudan SA | 437 | 2,292,767 | ||
Holcim, Ltd.* | 1,494 | 76,116 | ||
Holcim, Ltd. (Swiss Exchange)* | 13,262 | 674,493 | ||
Julius Baer Group, Ltd. | 11,052 | 739,073 | ||
Kuehne + Nagel International AG | 2,592 | 834,773 | ||
Logitech International SA | 9,124 | 765,391 | ||
Nestle SA | 134,853 | 18,827,814 | ||
Novartis AG | 112,422 | 9,878,749 | ||
Partners Group Holding AG | 915 | 1,510,491 | ||
Roche Holding AG (Swiss Exchange) | 33,516 | 13,904,490 | ||
Schindler Holding AG (Swiss Exchange) | 2,186 | 586,788 | ||
SGS SA | 175 | 583,397 | ||
Sika AG | 6,515 | 2,707,748 | ||
Sonova Holding AG | 2,443 | 954,717 | ||
Straumann Holding AG | 637 | 1,346,995 | ||
Swatch Group AG (The) (Swiss Exchange)Δ | 3,611 | 1,099,680 | ||
Swiss Life Holding AG | 1,166 | 712,399 | ||
Swiss Re AG | 8,814 | 870,061 | ||
Swisscom AG | 1,391 | 784,697 | ||
Temenos AG | 3,832 | 528,208 | ||
UBS Group AG | 170,452 | 3,059,494 | ||
VAT Group AG 144A | 1,112 | 551,022 | ||
Vifor Pharma AGΔ | 6,734 | 1,196,280 | ||
Zurich Insurance Group AG | 7,211 | 3,158,988 | ||
83,714,939 | ||||
United Kingdom — 12.1% | ||||
3i Group PLC | 69,134 | 1,355,921 | ||
Abrdn PLC | 114,480 | 373,285 |
Shares | Value | |||
Admiral Group PLC | 9,123 | $ 389,840 | ||
Anglo American PLC | 61,836 | 2,524,336 | ||
Antofagasta PLC | 23,560 | 426,842 | ||
Ashtead Group PLC | 24,479 | 1,968,796 | ||
Associated British Foods PLC | 22,791 | 619,443 | ||
Auto Trader Group PLC 144AΔ | 39,162 | 392,257 | ||
AVEVA Group PLC | 8,238 | 379,565 | ||
Aviva PLC | 204,349 | 1,135,153 | ||
BAE Systems PLC | 224,084 | 1,667,593 | ||
Barclays PLC | 828,179 | 2,096,236 | ||
Barratt Developments PLC | 50,118 | 507,423 | ||
Berkeley Group Holdings PLC | 6,217 | 401,817 | ||
BHP Group PLC | 108,550 | 3,231,678 | ||
BP PLC | 1,002,493 | 4,484,636 | ||
British Land Co. PLC (The) REIT | 31,612 | 227,207 | ||
BT Group PLCΔ | 453,308 | 1,040,317 | ||
Bunzl PLC | 26,142 | 1,020,843 | ||
Burberry Group PLC | 30,456 | 749,241 | ||
Coca-Cola Europacific Partners PLC | 21,997 | 1,230,292 | ||
Compass Group PLC* | 98,923 | 2,210,643 | ||
Croda International PLC | 8,431 | 1,154,872 | ||
Evraz PLC | 31,936 | 260,054 | ||
Halma PLC | 23,059 | 998,768 | ||
Hargreaves Lansdown PLC | 13,678 | 250,863 | ||
Hikma Pharmaceuticals PLC | 34,178 | 1,026,546 | ||
HSBC Holdings PLC | 1,023,312 | 6,214,270 | ||
Informa PLC* | 87,112 | 609,125 | ||
InterContinental Hotels Group PLCΔ* | 14,742 | 954,002 | ||
Intertek Group PLC | 8,134 | 619,850 | ||
J Sainsbury PLCΔ | 118,172 | 441,147 | ||
JD Sports Fashion PLC | 99,615 | 293,668 | ||
Johnson Matthey PLCΔ | 13,222 | 366,165 | ||
Kingfisher PLC | 108,273 | 495,789 | ||
Land Securities Group PLC REIT | 42,490 | 446,526 | ||
Legal & General Group PLC | 335,080 | 1,349,304 | ||
Lloyds Banking Group PLC | 4,171,424 | 2,698,899 | ||
London Stock Exchange Group PLC | 19,997 | 1,875,739 | ||
M&G PLC | 308,841 | 833,973 | ||
Melrose Industries PLC | 238,315 | 515,792 | ||
Mondi PLC | 49,454 | 1,222,296 | ||
National Grid PLC | 211,420 | 3,032,804 | ||
Natwest Group PLC | 383,851 | 1,172,651 | ||
Next PLC | 7,706 | 850,082 | ||
Ocado Group PLCΔ* | 22,804 | 517,937 | ||
Pearson PLCΔ | 41,042 | 340,647 | ||
Persimmon PLC | 15,563 | 601,625 | ||
Phoenix Group Holdings PLC | 26,052 | 230,336 | ||
Prudential PLC | 141,564 | 2,442,120 | ||
Reckitt Benckiser Group PLC | 35,666 | 3,061,646 | ||
RELX PLC | 107,525 | 3,495,882 | ||
Rentokil Initial PLC | 101,023 | 798,560 | ||
Rio Tinto PLC | 52,168 | 3,454,339 | ||
Rolls-Royce Holdings PLCΔ* | 419,124 | 697,105 | ||
Royal Dutch Shell PLC, A Shares | 196,480 | 4,313,105 | ||
Royal Dutch Shell PLC, B Shares | 154,577 | 3,394,511 | ||
Sage Group PLC (The) | 68,811 | 794,104 | ||
Schroders PLC | 6,913 | 333,112 |
Shares | Value | |||
Segro PLC REIT | 73,703 | $ 1,433,063 | ||
Severn Trent PLC | 25,238 | 1,006,722 | ||
Smith & Nephew PLCΔ | 46,538 | 814,795 | ||
Smiths Group PLCΔ | 26,226 | 560,694 | ||
Spirax-Sarco Engineering PLC | 3,343 | 726,249 | ||
SSE PLC | 59,270 | 1,322,909 | ||
St. James’s Place PLC | 37,454 | 853,465 | ||
Standard Chartered PLC | 131,722 | 799,463 | ||
Taylor Wimpey PLC | 203,676 | 483,828 | ||
Tesco PLC | 510,319 | 2,002,462 | ||
Unilever PLC | 128,803 | 6,878,637 | ||
United Utilities Group PLC | 48,952 | 721,560 | ||
Vodafone Group PLC | 1,476,417 | 2,243,409 | ||
Whitbread PLCΔ* | 15,331 | 621,501 | ||
101,060,335 | ||||
Total Foreign Common Stocks (Cost $646,799,910) | 773,531,116 | |||
FOREIGN PREFERRED STOCKS — 0.5% | ||||
Germany — 0.5% | ||||
Henkel AG & Co. KGaA | ||||
2.52%◊ | 8,912 | 719,119 | ||
Porsche Automobil Holding SE | ||||
2.45%◊ | 6,508 | 614,439 |
Shares | Value | |||
Sartorius AG | ||||
0.13%◊ | 1,199 | $ 810,933 | ||
Volkswagen AG | ||||
2.59%◊ | 11,005 | 2,210,721 | ||
4,355,212 | ||||
Total Foreign Preferred Stocks (Cost $3,524,310) | 4,355,212 | |||
MONEY MARKET FUNDS — 6.6% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 46,086,919 | 46,086,919 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.04%ا | 8,717,861 | 8,717,861 | ||
Total Money Market Funds (Cost $54,804,780) | 54,804,780 | |||
TOTAL INVESTMENTS — 100.0% (Cost $707,452,040) | 834,211,697 | |||
Liabilities in Excess of Other Assets — (0.0)% | (317,650) | |||
NET ASSETS — 100.0% | $833,894,047 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 03/2022 | 457 | $53,053,130 | $867,855 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 1,520,589 | $ 1,520,589 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Austria | 2,241,134 | — | 2,241,134 | — | |||
Denmark | 18,382,163 | — | 18,382,163 | — | |||
Finland | 10,329,735 | — | 10,329,735 | — | |||
Germany | 65,046,366 | 719,913 | 64,326,453 | — | |||
Israel | 5,478,998 | 2,164,708 | 3,314,290 | — | |||
Italy | 16,625,506 | — | 16,625,506 | — | |||
Japan | 177,196,802 | — | 177,196,802 | — | |||
Netherlands | 49,429,827 | 43,638,106 | 5,791,721 | — | |||
Norway | 5,691,692 | — | 5,691,692 | — | |||
Spain | 18,985,697 | 313,734 | 18,671,963 | — | |||
Sweden | 29,440,218 | — | 29,440,218 | — | |||
Switzerland | 83,714,939 | 3,528,672 | 80,186,267 | — | |||
Other ^^ | 290,968,039 | 290,968,039 | — | — | |||
Total Foreign Common Stocks | 773,531,116 | 341,333,172 | 432,197,944 | — | |||
Foreign Preferred Stocks | 4,355,212 | — | 4,355,212 | — | |||
Money Market Funds | 54,804,780 | 54,804,780 | — | — | |||
Total Assets - Investments in Securities | $834,211,697 | $397,658,541 | $436,553,156 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 867,855 | $ 867,855 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 867,855 | $ 867,855 | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
% | |
Financials | 18.8 |
Industrials | 15.6 |
Information Technology | 13.7 |
Health Care | 12.1 |
Consumer Discretionary | 11.1 |
Consumer Staples | 6.9 |
Money Market Funds | 6.4 |
Materials | 5.6 |
Communication Services | 4.2 |
Energy | 1.3 |
Real Estate | 1.2 |
Utilities | 0.7 |
Foreign Common Stocks Sold Short | (0.1) |
97.5 |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 9.61% | 9.35% | 11.26% | ||||
Five Year | 10.02% | 9.75% | 9.54% | ||||
Ten Year | 7.87% | 7.60% | 7.43% | ||||
Since Inception | 6.22% | 6.00% | 6.45% | ||||
Inception Date | 08/27/01 | 08/27/01 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.95% | 1.22% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 3.5% | ||||
Communication Services — 0.0% | ||||
Universal Music Group NV | 9,145 | $ 257,999 | ||
Consumer Discretionary — 1.1% | ||||
Booking Holdings, Inc.* | 1,898 | 4,553,739 | ||
Lululemon Athletica, Inc.* | 15,530 | 6,079,218 | ||
Trip.com Group, Ltd. ADR* | 160,082 | 3,941,219 | ||
14,574,176 | ||||
Financials — 0.6% | ||||
Everest Re Group, Ltd. | 27,696 | 7,586,488 | ||
Health Care — 1.1% | ||||
Mettler-Toledo International, Inc.* | 3,930 | 6,670,035 | ||
ResMed, Inc. | 29,550 | 7,697,184 | ||
14,367,219 | ||||
Information Technology — 0.7% | ||||
Cognizant Technology Solutions Corporation Class A | 37,063 | 3,288,230 | ||
EPAM Systems, Inc.* | 9,220 | 6,163,109 | ||
9,451,339 | ||||
Total Common Stocks (Cost $33,438,400) | 46,237,221 | |||
FOREIGN COMMON STOCKS — 87.0% | ||||
Australia — 2.3% | ||||
Afterpay, Ltd.* | 2,670 | 161,252 | ||
AMP, Ltd.* | 844,647 | 620,668 | ||
Ampol, Ltd. | 43,629 | 941,476 | ||
Ansell, Ltd. | 7,496 | 171,846 | ||
ASX, Ltd.‡‡ | 2,303 | 155,658 | ||
Aurizon Holdings, Ltd. | 481,126 | 1,221,651 | ||
Australia & New Zealand Banking Group, Ltd. | 46,976 | 940,220 | ||
BHP Group, Ltd.‡‡ | 37,978 | 1,146,682 | ||
BlueScope Steel, Ltd.‡‡ | 149,008 | 2,265,785 | ||
Brambles, Ltd. | 223,109 | 1,725,493 | ||
carsales.com, Ltd. | 15,155 | 276,643 | ||
Coles Group, Ltd. | 35,308 | 460,849 | ||
Computershare, Ltd. | 12,190 | 177,377 | ||
CSL, Ltd. | 32,693 | 6,915,006 | ||
Dexus REIT‡‡ | 55,775 | 451,240 | ||
Fortescue Metals Group, Ltd. | 11,628 | 162,516 | ||
Goodman Group REIT‡‡ | 50,048 | 964,929 | ||
GPT Group (The) REITΨ†††* | 63,198 | — | ||
GPT Group (The) REIT (Athens Exchange) | 104,984 | 413,986 | ||
Harvey Norman Holdings, Ltd. | 365,388 | 1,313,240 | ||
Incitec Pivot, Ltd. | 29,002 | 68,365 | ||
JB Hi-Fi, Ltd. | 47,241 | 1,660,768 | ||
Mineral Resources, Ltd. | 6,340 | 258,309 | ||
Mirvac Group REIT‡‡ | 355,598 | 752,862 | ||
NEXTDC, Ltd.* | 7,655 | 71,233 | ||
Orica, Ltd. | 257,918 | 2,568,905 | ||
Rio Tinto, Ltd.‡‡ | 4,796 | 349,317 | ||
Santos, Ltd. | 15,116 | 69,395 | ||
Scentre Group REIT‡‡ | 186,809 | 429,485 | ||
Seven Group Holdings, Ltd. | 9,416 | 147,973 | ||
Sonic Healthcare, Ltd. | 25,444 | 863,204 |
Shares | Value | |||
South32, Ltd. | 278,436 | $ 812,330 | ||
Stockland REIT‡‡ | 206,720 | 637,692 | ||
Suncorp Group, Ltd. | 116,868 | 941,252 | ||
Telstra Corporation, Ltd. | 28,813 | 87,625 | ||
Vicinity Centres REIT‡‡ | 336,787 | 414,100 | ||
Westpac Banking Corporation | 28,678 | 445,461 | ||
WiseTech Global, Ltd. | 5,486 | 233,813 | ||
Woodside Petroleum, Ltd. | 6,369 | 101,618 | ||
31,400,224 | ||||
Belgium — 0.2% | ||||
Ageas SA/NV | 5,301 | 274,903 | ||
Etablissements Franz Colruyt NV | 10,545 | 447,324 | ||
Groupe Bruxelles Lambert SA‡‡ | 415 | 46,379 | ||
KBC Group NV | 3,973 | 341,325 | ||
Proximus SADP | 43,796 | 854,630 | ||
Telenet Group Holding NV | 6,362 | 232,215 | ||
2,196,776 | ||||
Canada — 3.2% | ||||
Agnico Eagle Mines, Ltd. | 39,278 | 2,087,233 | ||
Canadian National Railway Co. | 78,714 | 9,670,802 | ||
Canadian Pacific Railway, Ltd. | 103,620 | 7,454,423 | ||
Kinross Gold Corporation | 536,066 | 3,110,577 | ||
Open Text Corporation | 41,800 | 1,984,009 | ||
Restaurant Brands International, Inc.Δ | 31,010 | 1,881,687 | ||
Shopify, Inc. Class A* | 4,950 | 6,818,080 | ||
Toronto-Dominion Bank (The) | 123,469 | 9,466,005 | ||
42,472,816 | ||||
China — 1.0% | ||||
Tencent Holdings, Ltd. | 204,700 | 11,991,839 | ||
Vipshop Holdings, Ltd. ADR* | 196,000 | 1,646,400 | ||
13,638,239 | ||||
Denmark — 1.1% | ||||
AP Moeller - Maersk A/S Class B | 1,057 | 3,772,765 | ||
Danske Bank A/S | 12,095 | 208,808 | ||
DSV A/S | 33,640 | 7,839,072 | ||
Genmab A/S* | 642 | 256,256 | ||
GN Store Nord A/S | 10,945 | 686,753 | ||
H Lundbeck A/S | 10,608 | 273,130 | ||
Pandora A/S‡‡ | 9,870 | 1,227,738 | ||
14,264,522 | ||||
Finland — 0.4% | ||||
Huhtamaki OYJ | 9,348 | 413,472 | ||
Kone OYJ Class B | 29,819 | 2,139,774 | ||
Nokian Renkaat OYJ | 10,972 | 414,584 | ||
UPM-Kymmene OYJ | 46,511 | 1,769,680 | ||
Valmet OYJ | 4,661 | 199,843 | ||
4,937,353 | ||||
France — 10.9% | ||||
Accor SA* | 231,253 | 7,490,360 | ||
Air Liquide SA | 55,467 | 9,682,032 | ||
AXA SA | 236,036 | 7,036,616 | ||
BNP Paribas SA | 101,892 | 7,049,566 | ||
Bureau Veritas SA | 228,257 | 7,583,024 | ||
Capgemini SE | 68,687 | 16,852,132 |
Shares | Value | |||
Danone SA | 119,409 | $ 7,421,355 | ||
Engie SA | 335,445 | 4,970,100 | ||
Hermes International | 7,285 | 12,739,542 | ||
L’Oreal SA | 34,197 | 16,233,233 | ||
Publicis Groupe SA | 45,956 | 3,097,398 | ||
Sanofi | 90,819 | 9,158,945 | ||
Schneider Electric SE | 106,142 | 20,840,527 | ||
SCOR SE | 48,487 | 1,514,755 | ||
TotalEnergies SEΔ | 146,646 | 7,451,267 | ||
Valeo | 108,461 | 3,282,174 | ||
Worldline SA 144A* | 75,000 | 4,184,841 | ||
146,587,867 | ||||
Germany — 9.6% | ||||
adidas AG | 14,067 | 4,050,528 | ||
Allianz SE | 32,635 | 7,697,254 | ||
Aurubis AG | 13,702 | 1,369,679 | ||
BASF SE | 6,088 | 427,289 | ||
Bayerische Motoren Werke AG | 81,971 | 8,200,565 | ||
Beiersdorf AG | 93,277 | 9,561,366 | ||
Brenntag SE | 9,121 | 823,662 | ||
Continental AG* | 84,187 | 8,845,147 | ||
Covestro AG 144A | 6,692 | 411,880 | ||
Daimler AG | 78,921 | 6,029,896 | ||
Daimler Truck Holding AG* | 47,761 | 1,755,779 | ||
Deutsche Bank AG* | 161,606 | 2,012,806 | ||
Deutsche Boerse AG | 75,138 | 12,546,126 | ||
Deutsche Post AG | 53,613 | 3,448,431 | ||
Freenet AG | 21,875 | 578,113 | ||
Fresenius Medical Care AG & Co. KGaA | 130,170 | 8,438,689 | ||
Fresenius SE & Co. KGaA‡‡ | 76,433 | 3,072,104 | ||
GEA Group AG | 7,576 | 413,797 | ||
HelloFresh SE* | 10,186 | 780,636 | ||
Henkel AG & Co. KGaA | 31,000 | 2,416,487 | ||
HOCHTIEF AG | 4,372 | 352,103 | ||
Infineon Technologies AG‡‡ | 21,813 | 1,004,237 | ||
LANXESS AG | 1,068 | 66,044 | ||
METRO AG | 70,956 | 744,359 | ||
ProSiebenSat.1 Media SE | 15,298 | 243,023 | ||
Rheinmetall AG | 8,469 | 797,019 | ||
RWE AG‡‡ | 4,397 | 178,151 | ||
SAP SE | 175,966 | 24,765,376 | ||
Siemens AG | 54,523 | 9,443,541 | ||
Siemens Energy AG* | 74,311 | 1,895,993 | ||
Software AG | 1,456 | 58,008 | ||
Telefonica Deutschland Holding AG | 180,754 | 501,374 | ||
thyssenkrupp AG* | 329,984 | 3,615,172 | ||
Uniper SE | 17,475 | 829,716 | ||
United Internet AG | 2,292 | 90,869 | ||
Vitesco Technologies Group AG* | 9,253 | 453,776 | ||
Vonovia SE | 8,154 | 449,303 | ||
Wacker Chemie AG | 2,045 | 304,013 | ||
128,672,311 | ||||
Hong Kong — 3.0% | ||||
AIA Group, Ltd. | 1,629,326 | 16,423,752 | ||
Alibaba Group Holding, Ltd.* | 477,259 | 7,277,426 | ||
Baidu, Inc. Class A* | 223,107 | 4,137,360 |
Shares | Value | |||
Li Ning Co., Ltd. | 367,000 | $ 4,017,089 | ||
Shenzhou International Group Holdings, Ltd. | 188,900 | 3,631,411 | ||
Trip.com Group, Ltd.* | 17,700 | 433,105 | ||
Wuxi Biologics Cayman, Inc. 144A* | 336,275 | 3,991,286 | ||
39,911,429 | ||||
India — 0.8% | ||||
Axis Bank, Ltd.* | 216,718 | 1,978,243 | ||
HDFC Bank, Ltd. | 435,878 | 8,674,679 | ||
10,652,922 | ||||
Indonesia — 0.1% | ||||
PT Bank Mandiri Persero Tbk | 2,663,300 | 1,315,082 | ||
Ireland — 3.9% | ||||
Accenture PLC Class A | 19,800 | 8,208,090 | ||
Aon PLC Class A | 31,024 | 9,324,573 | ||
ICON PLC* | 23,050 | 7,138,585 | ||
Linde PLC | 5,045 | 1,750,654 | ||
Medtronic PLC | 82,665 | 8,551,694 | ||
Ryanair Holdings PLC* | 7,800 | 135,425 | ||
Ryanair Holdings PLC ADR* | 28,610 | 2,927,661 | ||
STERIS PLC | 21,770 | 5,299,036 | ||
Willis Towers Watson PLC | 36,275 | 8,614,950 | ||
51,950,668 | ||||
Israel — 0.6% | ||||
Check Point Software Technologies, Ltd.* | 65,608 | 7,647,269 | ||
Italy — 0.8% | ||||
Assicurazioni Generali SpA | 18,699 | 395,198 | ||
Atlantia SpA* | 3,435 | 68,157 | ||
Azimut Holding SpA | 3,677 | 102,795 | ||
Banco BPM SpA | 71,752 | 214,833 | ||
Brembo SpA | 14,267 | 202,952 | ||
Buzzi Unicem SpA | 60,245 | 1,298,033 | ||
Hera SpA | 27,467 | 114,163 | ||
Intesa Sanpaolo SpA | 2,344,337 | 6,055,246 | ||
Italgas SpA | 63,499 | 436,484 | ||
Prysmian SpA | 10,942 | 411,596 | ||
Telecom Italia SpA | 121,188 | 59,622 | ||
UniCredit SpA | 53,655 | 824,750 | ||
Unipol Gruppo SpA | 121,643 | 658,742 | ||
10,842,571 | ||||
Japan — 14.9% | ||||
Advantest Corporation | 8,500 | 804,943 | ||
Aeon Co., Ltd. | 13,000 | 306,361 | ||
AEON Financial Service Co., Ltd. | 49,800 | 537,170 | ||
Aisin Corporation | 20,900 | 801,882 | ||
Ajinomoto Co., Inc. | 12,400 | 377,482 | ||
Alfresa Holdings Corporation | 13,700 | 182,564 | ||
Amada Co., Ltd. | 19,300 | 191,106 | ||
Bandai Namco Holdings, Inc. | 4,500 | 351,848 | ||
Bridgestone CorporationΔ | 9,900 | 425,034 | ||
Brother Industries, Ltd.‡‡ | 56,100 | 1,081,301 | ||
Canon, Inc.Δ | 10,000 | 243,937 | ||
Central Japan Railway Co. | 1,300 | 172,994 | ||
Chugai Pharmaceutical Co., Ltd. | 5,800 | 189,057 |
Shares | Value | |||
Concordia Financial Group, Ltd. | 60,800 | $ 220,798 | ||
Dai Nippon Printing Co., Ltd. | 2,800 | 70,467 | ||
Dai-ichi Life Holdings, Inc. | 51,500 | 1,038,754 | ||
Daiichi Sankyo Co., Ltd. | 20,700 | 526,845 | ||
Daikin Industries, Ltd. | 55,300 | 12,526,519 | ||
Daito Trust Construction Co., Ltd.‡‡ | 73,633 | 8,447,258 | ||
Daiwa House Industry Co., Ltd.‡‡ | 21,100 | 606,395 | ||
DeNA Co., Ltd. | 58,800 | 905,452 | ||
Denso Corporation | 7,200 | 596,670 | ||
Disco Corporation | 1,900 | 580,740 | ||
East Japan Railway Co. | 4,300 | 264,345 | ||
Eisai Co., Ltd. | 5,400 | 306,546 | ||
Electric Power Development Co., Ltd. | 45,800 | 608,664 | ||
ENEOS Holdings, Inc. | 124,000 | 463,241 | ||
FANUC Corporation | 1,800 | 382,612 | ||
Fast Retailing Co., Ltd. | 700 | 397,911 | ||
Food & Life Cos., Ltd. | 11,400 | 430,449 | ||
Fuji Electric Co., Ltd. | 5,200 | 284,066 | ||
FUJIFILM Holdings Corporation | 4,600 | 341,018 | ||
Fujitsu General, Ltd. | 7,300 | 173,478 | ||
Fujitsu, Ltd.‡‡ | 6,800 | 1,168,421 | ||
Fukuoka Financial Group, Inc. | 10,900 | 186,660 | ||
GMO Payment Gateway, Inc. | 500 | 62,263 | ||
Hakuhodo DY Holdings, Inc. | 14,100 | 234,623 | ||
Hankyu Hanshin Holdings, Inc. | 8,300 | 235,876 | ||
Haseko Corporation‡‡ | 29,300 | 363,444 | ||
Hirose Electric Co., Ltd. | 400 | 67,224 | ||
Hitachi Transport System, Ltd. | 10,000 | 470,128 | ||
Hitachi, Ltd.‡‡ | 13,000 | 704,253 | ||
Honda Motor Co., Ltd. | 45,300 | 1,288,819 | ||
Hoya Corporation‡‡ | 90,100 | 13,370,103 | ||
Ibiden Co., Ltd. | 4,700 | 279,112 | ||
Iida Group Holdings Co., Ltd. | 19,000 | 441,892 | ||
Inpex CorporationΔ | 15,600 | 135,651 | ||
Ito En, Ltd. | 3,800 | 199,661 | ||
ITOCHU Corporation | 12,700 | 388,543 | ||
Japan Airlines Co., Ltd.* | 4,800 | 91,120 | ||
Japan Exchange Group, Inc. | 226,421 | 4,960,748 | ||
Japan Metropolitan Fund Invest REIT | 166 | 143,008 | ||
Japan Post Holdings Co., Ltd.* | 46,500 | 362,248 | ||
Japan Post Insurance Co., Ltd. | 46,400 | 745,363 | ||
Japan Real Estate Investment Corporation REITΔ | 64 | 363,304 | ||
JSR Corporation | 8,400 | 319,229 | ||
JTEKT Corporation | 20,800 | 181,909 | ||
Kajima Corporation | 82,400 | 946,984 | ||
Kamigumi Co., Ltd. | 63,400 | 1,200,527 | ||
Kaneka Corporation | 5,400 | 177,300 | ||
Kao CorporationΔ | 3,900 | 204,260 | ||
KDDI Corporation | 20,600 | 602,421 | ||
Keyence Corporation | 12,600 | 7,922,353 | ||
Kinden Corporation | 67,100 | 1,008,914 | ||
Kintetsu Group Holdings Co., Ltd.* | 8,200 | 229,228 | ||
Komatsu, Ltd. | 67,200 | 1,571,539 | ||
Kubota CorporationΔ | 171,797 | 3,820,087 | ||
KuritaWater Industries, Ltd. | 4,900 | 232,302 | ||
Kyocera Corporation | 9,600 | 600,250 | ||
Kyowa Exeo Corporation | 11,700 | 246,702 |
Shares | Value | |||
Kyushu Electric Power Co., Inc. | 23,600 | $ 176,200 | ||
Lasertec Corporation | 27,200 | 8,331,403 | ||
Lixil Corporation | 9,700 | 258,766 | ||
M3, Inc. | 4,600 | 231,938 | ||
Mabuchi Motor Co., Ltd. | 27,800 | 919,514 | ||
Makita Corporation | 133,373 | 5,661,643 | ||
Marubeni Corporation | 164,500 | 1,602,723 | ||
Medipal Holdings Corporation | 4,200 | 78,729 | ||
MISUMI Group, Inc. | 8,300 | 340,981 | ||
Mitsubishi Chemical Holdings Corporation | 35,500 | 263,317 | ||
Mitsubishi Corporation | 17,300 | 549,329 | ||
Mitsubishi Electric Corporation | 52,500 | 666,385 | ||
Mitsubishi Estate Co., Ltd.‡‡ | 45,500 | 631,198 | ||
Mitsubishi HC Capital, Inc. | 30,300 | 149,910 | ||
Mitsubishi Heavy Industries, Ltd. | 19,400 | 448,536 | ||
Mitsubishi UFJ Financial Group, Inc. | 153,200 | 833,757 | ||
Mitsui & Co., Ltd. | 41,000 | 971,613 | ||
Mitsui Chemicals, Inc. | 10,400 | 279,554 | ||
Mitsui Fudosan Co., Ltd.‡‡ | 33,300 | 660,032 | ||
Mizuho Financial Group, Inc. | 257,000 | 3,264,223 | ||
Murata Manufacturing Co., Ltd. | 12,300 | 981,078 | ||
Nabtesco Corporation | 6,600 | 195,558 | ||
NEC Corporation | 5,600 | 258,942 | ||
NET One Systems Co., Ltd. | 18,000 | 484,341 | ||
Nexon Co., Ltd. | 8,900 | 172,093 | ||
NGK Insulators, Ltd. | 6,400 | 108,320 | ||
NGK Spark Plug Co., Ltd. | 54,900 | 955,934 | ||
NH Foods, Ltd. | 7,200 | 259,603 | ||
Nidec Corporation | 4,900 | 579,643 | ||
Nifco, Inc. | 2,200 | 69,178 | ||
Nihon Kohden Corporation | 4,000 | 109,659 | ||
Nihon M&A Center, Inc. | 10,600 | 260,009 | ||
Nihon Unisys, Ltd. | 40,900 | 1,147,800 | ||
Nikon Corporation | 10,100 | 108,799 | ||
Nintendo Co., Ltd. | 9,024 | 4,221,946 | ||
Nippo Corporation | 31,900 | 1,107,439 | ||
Nippon Building Fund, Inc. REIT | 16 | 93,194 | ||
Nippon Steel Corporation | 33,600 | 548,891 | ||
Nippon Telegraph & Telephone Corporation | 59,400 | 1,624,487 | ||
Nisshin Seifun Group, Inc. | 15,800 | 227,937 | ||
Nitori Holdings Co., Ltd. | 1,400 | 209,400 | ||
Nitto Denko Corporation‡‡ | 14,200 | 1,096,985 | ||
NOF Corporation | 1,300 | 65,734 | ||
Nomura Holdings, Inc. | 249,400 | 1,086,299 | ||
NS Solutions Corporation | 23,800 | 733,882 | ||
Obayashi Corporation | 144,900 | 1,121,431 | ||
Obic Co., Ltd. | 1,600 | 299,439 | ||
Olympus Corporation | 12,300 | 283,235 | ||
Omron Corporation | 4,000 | 398,590 | ||
Ono Pharmaceutical Co., Ltd. | 17,600 | 437,455 | ||
Oriental Land Co., Ltd. | 2,100 | 354,117 | ||
ORIX Corporation | 44,700 | 912,246 | ||
Osaka Gas Co., Ltd. | 15,300 | 253,051 | ||
Otsuka Holdings Co., Ltd. | 8,200 | 298,324 | ||
Panasonic Corporation | 102,900 | 1,131,158 | ||
Rakus Co., Ltd. | 3,100 | 83,191 |
Shares | Value | |||
Recruit Holdings Co., Ltd. | 13,200 | $ 803,296 | ||
Renesas Electronics Corporation* | 82,200 | 1,020,982 | ||
Resona Holdings, Inc.‡‡ | 349,800 | 1,359,385 | ||
Ricoh Co., Ltd. | 31,400 | 292,683 | ||
Rohm Co., Ltd. | 2,700 | 245,617 | ||
Rohto Pharmaceutical Co., Ltd. | 8,400 | 253,972 | ||
Sankyu, Inc. | 22,700 | 941,961 | ||
Santen Pharmaceutical Co., Ltd. | 18,400 | 224,641 | ||
SCREEN Holdings Co., Ltd. | 14,300 | 1,536,580 | ||
SCSK Corporation | 13,500 | 268,680 | ||
Secom Co., Ltd. | 2,900 | 201,510 | ||
Seino Holdings Co., Ltd. | 31,500 | 319,242 | ||
Sekisui Chemical Co., Ltd. | 14,700 | 245,845 | ||
Sekisui House, Ltd. | 47,700 | 1,026,301 | ||
Seria Co., Ltd. | 3,800 | 110,068 | ||
Seven & i Holdings Co., Ltd. | 31,700 | 1,394,420 | ||
Shimamura Co., Ltd. | 18,200 | 1,527,354 | ||
Shimano, Inc. | 1,200 | 319,583 | ||
Shimizu Corporation | 92,200 | 571,672 | ||
Shin-Etsu Chemical Co., Ltd. | 3,600 | 624,871 | ||
Shiseido Co., Ltd. | 5,600 | 312,404 | ||
SMC Corporation | 15,000 | 10,137,872 | ||
SoftBank Corporation | 32,100 | 405,441 | ||
SoftBank Group Corporation | 13,200 | 632,810 | ||
Sojitz Corporation‡‡ | 61,760 | 927,993 | ||
Sony Group Corporation | 14,800 | 1,868,918 | ||
Stanley Electric Co., Ltd. | 7,600 | 190,814 | ||
Subaru Corporation | 47,900 | 855,868 | ||
Sumitomo Corporation | 44,100 | 652,653 | ||
Sumitomo Electric Industries, Ltd. | 20,100 | 262,325 | ||
Sumitomo Forestry Co., Ltd. | 23,800 | 460,086 | ||
Sumitomo Heavy Industries, Ltd. | 18,200 | 441,765 | ||
Sumitomo Metal Mining Co., Ltd. | 3,500 | 132,561 | ||
Sumitomo Mitsui Financial Group, Inc. | 34,000 | 1,161,008 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 188,500 | 6,303,130 | ||
Sumitomo Realty & Development Co., Ltd.‡‡ | 6,000 | 176,885 | ||
Sumitomo Rubber Industries, Ltd. | 53,700 | 547,750 | ||
Sundrug Co., Ltd. | 7,200 | 188,233 | ||
Suzuken Co., Ltd. | 11,800 | 340,522 | ||
Suzuki Motor Corporation | 4,900 | 188,958 | ||
Sysmex Corporation | 2,900 | 391,447 | ||
T&D Holdings, Inc. | 21,100 | 269,569 | ||
Taiheiyo Cement Corporation | 61,800 | 1,220,398 | ||
Taisei Corporation | 24,200 | 735,924 | ||
Takeda Pharmaceutical Co., Ltd. | 23,400 | 639,015 | ||
TDK Corporation | 8,000 | 312,207 | ||
Teijin, Ltd. | 9,800 | 120,622 | ||
Terumo Corporation | 171,800 | 7,256,935 | ||
Tokio Marine Holdings, Inc. | 153,037 | 8,519,515 | ||
Tokyo Electric Power Co. Holdings, Inc.* | 201,300 | 520,403 | ||
Tokyo Electron, Ltd.‡‡ | 3,000 | 1,726,718 | ||
Tokyu Corporation | 18,500 | 245,933 | ||
Toshiba Corporation | 5,600 | 230,431 | ||
Tosoh Corporation | 17,600 | 261,475 |
Shares | Value | |||
Toyo Suisan Kaisha, Ltd. | 10,000 | $ 423,984 | ||
Toyoda Gosei Co., Ltd. | 32,300 | 702,554 | ||
Toyota Boshoku Corporation | 54,800 | 1,075,198 | ||
Toyota Motor Corporation | 237,700 | 4,393,312 | ||
Toyota Tsusho Corporation | 11,700 | 539,332 | ||
Trend Micro, Inc. | 6,100 | 338,648 | ||
Unicharm Corporation | 7,600 | 330,655 | ||
USS Co., Ltd. | 12,900 | 201,546 | ||
Yakult Honsha Co., Ltd. | 2,100 | 109,555 | ||
Yamada Holdings Co., Ltd. | 335,900 | 1,148,343 | ||
Yamaha Motor Co., Ltd. | 6,700 | 160,928 | ||
Yamato Holdings Co., Ltd. | 11,400 | 267,803 | ||
Yokohama Rubber Co., Ltd. (The) | 26,600 | 426,626 | ||
Z Holdings Corporation | 29,600 | 170,792 | ||
201,180,042 | ||||
Jersey — 2.2% | ||||
Experian PLC | 437,902 | 21,527,674 | ||
Glencore PLC* | 1,173,465 | 5,955,495 | ||
WPP PLC | 145,998 | 2,212,307 | ||
29,695,476 | ||||
Mexico — 0.2% | ||||
Grupo Televisa SAB SA ADR | 233,300 | 2,186,021 | ||
Netherlands — 5.3% | ||||
Adyen NV 144A* | 2,000 | 5,263,286 | ||
Aegon NV | 315 | 1,575 | ||
Akzo Nobel NV | 53,369 | 5,863,399 | ||
ASML Holding NV‡‡ | 8,684 | 6,986,955 | ||
ASML Holding NV (NASDAQ Exchange) | 10,630 | 8,462,968 | ||
ASR Nederland NV‡‡ | 12,165 | 560,919 | ||
CNH Industrial NV | 294,105 | 5,686,287 | ||
Euronext NV 144A | 85,039 | 8,834,542 | ||
EXOR NV | 46,023 | 4,119,875 | ||
Ferrari NV | 25,800 | 6,641,079 | ||
ING Groep NV‡‡ | 48,701 | 678,771 | ||
Just Eat Takeaway.com NV 144A* | 2,119 | 116,933 | ||
Koninklijke Ahold Delhaize NV‡‡ | 115,230 | 3,953,391 | ||
Koninklijke Philips NV | 179,752 | 6,705,280 | ||
Koninklijke Vopak NV | 3,559 | 124,799 | ||
NN Group NV | 3,978 | 215,623 | ||
Prosus NV* | 49,022 | 4,103,823 | ||
QIAGEN NV* | 7,121 | 394,864 | ||
Signify NV 144A‡‡ | 18,484 | 858,176 | ||
Stellantis NV | 78,129 | 1,474,966 | ||
71,047,511 | ||||
Nigeria — 0.0% | ||||
Afriland Properties PLCΨ††† | 364,373 | — | ||
Norway — 0.2% | ||||
DNB Bank ASA | 15,435 | 353,056 | ||
Equinor ASA | 18,702 | 495,216 | ||
Leroy Seafood Group ASA | 38,539 | 301,178 | ||
Orkla ASA | 59,890 | 600,311 | ||
Telenor ASA | 32,965 | 518,179 |
Shares | Value | |||
Yara International ASA | 22,189 | $ 1,118,729 | ||
3,386,669 | ||||
Peru — 0.2% | ||||
Credicorp, Ltd. | 19,654 | 2,399,164 | ||
Portugal — 0.3% | ||||
Galp Energia SGPS SA | 448,879 | 4,354,135 | ||
Singapore — 0.5% | ||||
Ascendas REIT‡‡ | 158,700 | 347,406 | ||
CapitaLand Integrated Commercial Trust REIT‡‡ | 233,640 | 353,685 | ||
Mapletree Commercial Trust REIT | 136,500 | 202,582 | ||
Singapore Exchange, Ltd.‡‡ | 930,232 | 6,419,678 | ||
7,323,351 | ||||
South Africa — 0.1% | ||||
Naspers, Ltd. N Shares | 8,241 | 1,278,428 | ||
South Korea — 0.9% | ||||
KB Financial Group, Inc. | 150,484 | 6,959,029 | ||
NAVER Corporation | 8,175 | 2,594,920 | ||
Samsung Electronics Co., Ltd. GDR Class S | 1,899 | 3,131,451 | ||
12,685,400 | ||||
Spain — 1.4% | ||||
Aena SME SA 144AΔ* | 32,905 | 5,182,011 | ||
Amadeus IT Group SA* | 209,488 | 14,174,849 | ||
19,356,860 | ||||
Sweden — 2.5% | ||||
Assa Abloy AB, B Shares | 111,940 | 3,412,041 | ||
Atlas Copco AB, A Shares | 85,550 | 5,911,577 | ||
Atlas Copco AB, B Shares | 6,930 | 407,070 | ||
Electrolux AB, B Shares | 76,864 | 1,861,622 | ||
Getinge AB, B Shares‡‡ | 24,531 | 1,069,114 | ||
H & M Hennes & Mauritz AB, B SharesΔ | 194,233 | 3,811,261 | ||
Husqvarna AB, B Shares | 75,682 | 1,210,073 | ||
Investor AB, B Shares | 22,531 | 565,377 | ||
Saab AB, B Shares | 49,705 | 1,262,492 | ||
Skanska AB, B Shares | 11,709 | 302,574 | ||
SKF AB, B Shares | 139,477 | 3,298,593 | ||
Svenska Handelsbanken AB, A Shares | 265,190 | 2,866,160 | ||
Swedbank AB, A Shares | 37,171 | 746,982 | ||
Swedish Orphan Biovitrum AB‡���* | 17,165 | 351,017 | ||
Tele2 AB, B Shares | 19,205 | 273,972 | ||
Telefonaktiebolaget LM Ericsson, B Shares‡‡ | 346,611 | 3,813,775 | ||
Trelleborg AB, B Shares | 20,232 | 530,835 | ||
Volvo AB, B Shares | 115,611 | 2,673,679 | ||
34,368,214 | ||||
Switzerland — 13.1% | ||||
ABB, Ltd. | 3,345 | 127,487 | ||
Adecco Group AG‡‡ | 31,256 | 1,592,724 | ||
Alcon, Inc. | 71,870 | 6,339,321 | ||
Baloise Holding AG | 6,266 | 1,022,692 | ||
BKW AG | 8,890 | 1,154,320 |
Shares | Value | |||
Bucher Industries AG | 279 | $ 137,483 | ||
Chubb, Ltd. | 60,190 | 11,635,329 | ||
Cie Financiere Richemont SA Class A | 6,007 | 897,655 | ||
Credit Suisse Group AGΔ | 667,861 | 6,475,326 | ||
DKSH Holding AG | 12,992 | 1,070,869 | ||
dormakaba Holding AG | 317 | 209,364 | ||
Galenica AG 144A | 6,892 | 517,583 | ||
Georg Fischer AG | 57 | 86,242 | ||
Holcim, Ltd. (Swiss Exchange)‡‡* | 117,852 | 5,993,844 | ||
Julius Baer Group, Ltd. | 95,661 | 6,397,072 | ||
Kuehne + Nagel International AG | 652 | 209,981 | ||
Nestle SA‡‡ | 244,110 | 34,081,983 | ||
Novartis AG‡‡ | 294,719 | 25,897,556 | ||
OC Oerlikon Corporation AG | 62,835 | 642,619 | ||
Roche Holding AG (Swiss Exchange)‡‡ | 68,150 | 28,272,794 | ||
Sika AG | 42,556 | 17,687,016 | ||
Swatch Group AG (The) (Swiss Exchange)Δ | 7,922 | 2,412,534 | ||
Swiss Life Holding AG | 456 | 278,606 | ||
Swiss Re AG | 5,901 | 582,509 | ||
Temenos AG | 2,892 | 398,637 | ||
UBS Group AG | 695,545 | 12,484,545 | ||
Zurich Insurance Group AG | 21,943 | 9,612,767 | ||
176,218,858 | ||||
Taiwan — 1.8% | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 197,541 | 23,766,158 | ||
Turkey — 0.0% | ||||
Yapi ve Kredi Bankasi AS | 1 | — | ||
United Kingdom — 5.5% | ||||
Atlassian Corporation PLC Class A* | 12,150 | 4,632,674 | ||
BP PLC ADR | 159,196 | 4,239,389 | ||
BT Group PLC | 747,844 | 1,716,260 | ||
Compass Group PLC* | 518,023 | 11,576,318 | ||
Informa PLC* | 203,500 | 1,422,962 | ||
Liberty Global PLC Class A* | 350,845 | 9,732,440 | ||
Lloyds Banking Group PLC‡‡ | 17,205,779 | 11,132,087 | ||
Natwest Group PLC | 774,350 | 2,365,610 | ||
Prudential PLC | 110,100 | 1,899,335 | ||
Reckitt Benckiser Group PLC | 87,529 | 7,513,678 | ||
Rolls-Royce Holdings PLCΔ* | 2,833,497 | 4,712,792 | ||
Schroders PLC | 64,418 | 3,104,071 | ||
Smiths Group PLC | 231,704 | 4,953,675 | ||
Vodafone Group PLC ADRΔ | 369,156 | 5,511,499 | ||
74,512,790 | ||||
Total Foreign Common Stocks (Cost $975,508,857) | 1,170,249,126 | |||
FOREIGN PREFERRED STOCKS — 0.7% | ||||
Germany — 0.5% | ||||
FUCHS PETROLUB SE | ||||
2.46%◊ | 1,913 | 86,447 |
Shares | Value | |||
Henkel AG & Co. KGaA | ||||
2.52%◊ | 71,285 | $ 5,752,068 | ||
Porsche Automobil Holding SE | ||||
2.45%‡‡◊ | 2,638 | 249,061 | ||
Volkswagen AG | ||||
2.59%◊ | 5,599 | 1,124,746 | ||
7,212,322 | ||||
South Korea — 0.2% | ||||
Samsung Electronics Co., Ltd. | ||||
2.02% 03/29/18◊ | 44,100 | 2,636,548 | ||
Total Foreign Preferred Stocks (Cost $11,453,360) | 9,848,870 | |||
MONEY MARKET FUNDS — 6.4% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 85,821,408 | 85,821,408 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.04%ا | 40,586 | 40,586 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 350,061 | $ 350,061 | ||
Total Money Market Funds (Cost $86,212,055) | 86,212,055 | |||
TOTAL INVESTMENTS — 97.6% (Cost $1,106,612,672) | 1,312,547,272 | |||
FOREIGN COMMON STOCKS SOLD SHORT — (0.1)% | ||||
United Kingdom — (0.1)% | ||||
Ocado Group PLC* (Proceeds $(803,636)) | (47,886) | (1,087,614) | ||
TOTAL SECURITIES SOLD SHORT — (0.1)% (Proceeds $(803,636)) | (1,087,614) | |||
Other Assets in Excess of Liabilities — 2.5% | 34,195,177 | |||
NET ASSETS — 100.0% | $1,345,654,835 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
AEX Index | 01/2022 | 41 | $ 7,446,995 | $ 145,814 | ||||
CAC40 10 Euro | 01/2022 | 301 | 24,478,240 | 583,136 | ||||
IBEX 35 Index | 01/2022 | (72) | (7,118,776) | (297,794) | ||||
OMXS30 Index | 01/2022 | (27) | (722,868) | (27,413) | ||||
Hang Seng Index | 01/2022 | (38) | (5,714,218) | (67,666) | ||||
MSCI Singapore Index | 01/2022 | 84 | 2,120,258 | 12,968 | ||||
Topix Index® | 03/2022 | 171 | 29,612,449 | 249,084 | ||||
ASX SPI 200 Index | 03/2022 | (94) | (12,561,479) | (152,529) | ||||
DAX Index | 03/2022 | 5 | 2,256,507 | 38,352 | ||||
FTSE 100 Index | 03/2022 | (257) | (25,477,441) | (331,793) | ||||
FTSE/MIB Index | 03/2022 | 84 | 13,029,176 | 297,507 | ||||
MSCI EAFE Index | 03/2022 | 472 | 54,794,480 | 742,218 | ||||
S&P/TSX 60 Index | 03/2022 | (43) | (8,708,439) | (145,521) | ||||
Total Futures Contracts outstanding at December 31, 2021 | $ 73,434,884 | $1,046,363 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/16/22 | Euro | 44,919,000 | U.S. Dollars | 50,780,883 | CITI | $438,791 | ||||||
03/16/22 | Canadian Dollars | 53,272,000 | U.S. Dollars | 41,736,577 | CITI | 370,500 | ||||||
03/16/22 | Australian Dollars | 28,402,750 | U.S. Dollars | 20,344,679 | CITI | 323,777 | ||||||
03/16/22 | Swiss Francs | 26,383,000 | U.S. Dollars | 28,717,984 | CITI | 292,964 | ||||||
03/16/22 | British Pounds | 9,852,000 | U.S. Dollars | 13,150,854 | CITI | 179,888 | ||||||
03/16/22 | Norwegian Kroner | 108,131,000 | U.S. Dollars | 12,143,159 | CITI | 118,191 | ||||||
03/16/22 | U.S. Dollars | 8,668,192 | Japanese Yen | 988,111,000 | CITI | 72,639 | ||||||
03/16/22 | Swedish Kronor | 66,051,853 | U.S. Dollars | 7,268,260 | CITI | 45,991 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/16/22 | Singapore Dollars | 3,144,000 | U.S. Dollars | 2,304,818 | CITI | $ 27,326 | ||||||
03/16/22 | Danish Kroner | 8,854,000 | U.S. Dollars | 1,346,298 | CITI | 11,330 | ||||||
03/16/22 | U.S. Dollars | 4,379,721 | Swedish Kronor | 39,490,000 | CITI | 6,795 | ||||||
03/16/22 | Israeli Shekels | 1,008,000 | U.S. Dollars | 320,550 | CITI | 3,891 | ||||||
03/16/22 | Japanese Yen | 991,450,500 | U.S. Dollars | 8,622,312 | CITI | 2,291 | ||||||
03/16/22 | Hong Kong Dollars | 31,023,994 | U.S. Dollars | 3,978,404 | CITI | 812 | ||||||
03/16/22 | U.S. Dollars | 125,260 | Israeli Shekels | 387,000 | CITI | 699 | ||||||
03/16/22 | U.S. Dollars | 57,511 | Hong Kong Dollars | 448,000 | CITI | 50 | ||||||
Subtotal Appreciation | $ 1,895,935 | |||||||||||
03/16/22 | U.S. Dollars | 765,356 | Hong Kong Dollars | 5,969,000 | CITI | $ (241) | ||||||
03/16/22 | U.S. Dollars | 2,736,960 | Japanese Yen | 314,704,000 | CITI | (642) | ||||||
03/16/22 | Australian Dollars | 9,205,250 | U.S. Dollars | 6,699,481 | CITI | (894) | ||||||
03/16/22 | U.S. Dollars | 106,478 | Israeli Shekels | 335,000 | CITI | (1,347) | ||||||
03/16/22 | Hong Kong Dollars | 29,277,993 | U.S. Dollars | 3,759,014 | CITI | (3,745) | ||||||
03/16/22 | U.S. Dollars | 323,424 | Singapore Dollars | 442,000 | CITI | (4,441) | ||||||
03/16/22 | U.S. Dollars | 1,106,034 | Danish Kroner | 7,265,000 | CITI | (7,944) | ||||||
03/16/22 | Israeli Shekels | 5,286,000 | U.S. Dollars | 1,709,948 | CITI | (8,568) | ||||||
06/15/22 | U.S. Dollars | 2,881,418 | Swiss Francs | 2,646,000 | NT | (37,005) | ||||||
03/16/22 | Swedish Kronor | 173,548,147 | U.S. Dollars | 19,332,573 | CITI | (114,721) | ||||||
03/16/22 | Japanese Yen | 1,606,420,500 | U.S. Dollars | 14,146,589 | CITI | (172,377) | ||||||
03/16/22 | U.S. Dollars | 23,463,573 | Swedish Kronor | 213,582,000 | CITI | (187,427) | ||||||
03/16/22 | New Zealand Dollars | 14,539,000 | U.S. Dollars | 10,142,792 | CITI | (197,149) | ||||||
03/16/22 | U.S. Dollars | 16,540,750 | British Pounds | 12,383,000 | CITI | (214,690) | ||||||
03/16/22 | U.S. Dollars | 33,970,687 | Euro | 30,022,000 | CITI | (262,423) | ||||||
03/16/22 | U.S. Dollars | 14,019,315 | Norwegian Kroner | 126,684,000 | CITI | (345,825) | ||||||
03/16/22 | U.S. Dollars | 18,838,248 | Australian Dollars | 26,499,000 | CITI | (444,865) | ||||||
03/16/22 | U.S. Dollars | 62,098,154 | Swiss Francs | 57,230,000 | CITI | (832,389) | ||||||
Subtotal Depreciation | $(2,836,693) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2021 | $ (940,758) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Decrease in total return of Tel Aviv 35 Index (At Termination) | Increase in total return of Tel Aviv 35 Index (At Termination) | 1/28/2022 | GSC | ILS | 5,538,568 | $ 15,370 | $ — | $ 15,370 | ||||||||
Financing Index: Euro Short Term Rate - 0.01% | MSCI Italy Net Return EUR Index (Monthly) | 3/16/2022 | GSC | EUR | 2,899,638 | 76,906 | — | 76,906 | ||||||||
Financing Index: Euro Short Term Rate + 0.10% | MSCI Netherlands Net Return EUR Index (Monthly) | 3/16/2022 | GSC | EUR | 100,976 | 215 | — | 215 | ||||||||
Financing Index: Overnight Bank Funding Rate - 0.30% | MSCI Daily TR Net Israel Index (Monthly) | 3/16/2022 | JPM | USD | 51,759 | 624 | — | 624 | ||||||||
Financing Index: Swiss Average Rate Overnight + 0.025% | MSCI Switzerland Net Return CHF Index (Monthly) | 3/16/2022 | GSC | CHF | 2,414,963 | 59,383 | — | 59,383 | ||||||||
Decrease in total return of Swiss Market Index (At Termination) | Increase in total return of Swiss Market Index (At Termination) | 3/18/2022 | CITI | CHF | 9,207,360 | 312,289 | — | 312,289 | ||||||||
Subtotal Appreciation | $464,787 | $ — | $464,787 | |||||||||||||
Financing Index: Bank of Japan Unsecured Overnight Call Rate + 0.00% | MSCI Japan Net Return JPY Index (Monthly) | 3/16/2022 | GSC | JPY | 55,631,956 | $ (964) | $ — | $ (964) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
MSCI Australia Net Return AUD Index (Monthly) | Financing Index: 1-Month ASX BBSW + 0.07% | 3/16/2022 | GSC | AUD | 918,758 | $ (21) | $ — | $ (21) | ||||||||
MSCI Spain Net Return EUR Index (Monthly) | Financing Index: Euro Short Term Rate - 0.22% | 3/16/2022 | GSC | EUR | 7,369,720 | (248,873) | — | (248,873) | ||||||||
Subtotal Depreciation | $(249,858) | $ — | $(249,858) | |||||||||||||
Net Total Return Swaps outstanding at December 31, 2021 | $ 214,929 | $ — | $ 214,929 |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the DETNT/N minus a specified spread (-0.35%), which is denominated in DKK based on the local currencies of the positions within the swap. | 44-58 months maturity ranging from 08/08/2025 - 10/21/2026 | GSC | $ 11,764,537 | $ 81,551 | $ — | $ 81,551 | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread(-.85% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swap (Monthly).* | 44-60 months maturity ranging from 08/08/2025 - 12/16/2026 | GSC | 53,047,447 | 215,665 | — | 215,665 | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the SONIA plus or minus a specified spread(-0.25% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swap (Monthly).** | 44-60 months maturity ranging from 08/08/2025 - 12/16/2026 | GSC | 36,912,420 | 761,352 | — | 761,352 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the MUTSCALM minus a specified spread(-0.60% to -0.33%), which is denominated in JPY based on the local currencies of the positions within the swap (Monthly).*** | 44-60 months maturity ranging from 08/08/2025 - 12/16/2026 | GSC | 1,587,194,988 | 396,407 | — | 396,407 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the NOWA minus a specified spread (-0.35%), which is denominated in NOK based on the local currencies of the positions within the swap (Monthly). | 44-53 months maturity ranging from 08/08/2025 - 05/11/2026 | GSC | 7,908,284 | 36,944 | — | 36,944 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the SORA minus a specified spread (-0.40%), which is denominated in SGD based on the local currencies of the positions within the swap (Monthly). | 55 months to maturity 07/27/2026 | GSC | 146,207 | 1,728 | — | 1,728 | ||||||
Subtotal Appreciation | $1,493,647 | $ — | $1,493,647 | |||||||||
* The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
SEB SA | 18,648 | $ 2,552,911 | $ 51,411 | 23.84% | ||||
STMicroelectronics NV | 57,583 | 2,497,375 | 36,607 | 16.97 | ||||
Orange SA | 226,054 | 2,127,846 | 130,096 | 60.32 | ||||
Unibail-Rodamco-Westfield REIT | (33,054) | �� | 2,036,788 | (43,277) | (20.07) | |||
Carrefour SA | 114,683 | 1,846,970 | 125,667 | 58.27 | ||||
Cie de St-Gobain | 28,583 | 1,768,430 | 21,803 | 10.11 | ||||
Publicis Groupe SA | 29,056 | 1,720,115 | 36,702 | 17.02 | ||||
Delivery Hero SE | (17,553) | 1,706,589 | 193,221 | 89.59 | ||||
Aeroports de Paris | (12,986) | 1,471,314 | (102,703) | (47.62) | ||||
Argenx SE | (4,526) | 1,427,048 | (230,463) | (106.86) | ||||
Prosus NV | (19,227) | 1,413,761 | (5,997) | (2.78) | ||||
Amadeus IT Group SA | (22,440) | 1,333,672 | (46,959) | (21.77) | ||||
Telefonica SA | 323,932 | 1,233,761 | 41,972 | 19.46 | ||||
Rexel SA | 68,022 | 1,212,832 | 612 | 0.28 | ||||
Iberdrola SA | 112,716 | 1,172,205 | 68,686 | 31.85 | ||||
Cie Generale des Etablissements Michelin SCA | 7,778 | 1,121,199 | 24,556 | 11.39 | ||||
Electricite de France SA | 107,976 | 1,115,392 | (271,425) | (125.85) | ||||
Repsol SA | 105,897 | 1,101,583 | 32,317 | 14.99 | ||||
Eutelsat Communications SA | 93,837 | 1,007,340 | (43,607) | (20.22) | ||||
Fluidra SA | 27,160 | 951,429 | 41,312 | 19.16 | ||||
Sanofi | 10,559 | 935,316 | 54,141 | 25.10 | ||||
TotalEnergies SE | 20,503 | 915,049 | 15,924 | 7.38 | ||||
BNP Paribas SA | 13,946 | 847,498 | 53,338 | 24.73 | ||||
Atos SE | 22,524 | 842,172 | 26,565 | 12.32 | ||||
Casino Guichard Perrachon SA | 35,356 | 818,491 | 27,120 | 12.58 | ||||
Endesa SA | 39,611 | 800,968 | 40,320 | 18.70 | ||||
CaixaBank SA | 327,870 | 786,670 | 27,889 | 12.93 | ||||
Ferrovial SA | (25,976) | 713,540 | (52,064) | (24.14) | ||||
Sodexo SA | 8,931 | 688,223 | 22,903 | 10.62 | ||||
Rubis | 25,720 | 675,407 | 30,284 | 14.04 | ||||
Societe BIC SA | 14,115 | 667,922 | 7,515 | 3.48 | ||||
Rational AG | (738) | 662,978 | (32,410) | (15.03) | ||||
Mapfre SA | 366,008 | 657,292 | (3,486) | (1.62) | ||||
thyssenkrupp AG | (68,252) | 656,778 | (22,296) | (10.34) | ||||
Alstom SA | (20,719) | 646,847 | 4,393 | 2.04 | ||||
Thales SA | 8,504 | 636,099 | 19,667 | 9.12 | ||||
Bouygues SA | 19,899 | 626,620 | 27,524 | 12.76 | ||||
CTS Eventim AG & Co. KGaA | (9,635) | 618,578 | (27,733) | (12.86) | ||||
Enagas SA | 30,225 | 616,748 | 14,803 | 6.86 | ||||
Eurofins Scientific SE | 5,574 | 606,451 | 10,011 | 4.64 | ||||
Ipsen SA | 6,595 | 530,898 | (86,234) | (39.98) | ||||
Fraport AG Frankfurt Airport Services Worldwide | (8,816) | 518,479 | (19,031) | (8.82) | ||||
Red Electrica Corporation SA | 25,063 | 476,041 | 5,046 | 2.34 | ||||
ACS Actividades de Construccion y Servicios SA | (19,385) | 453,952 | (44,517) | (20.64) | ||||
BioMerieux | 3,415 | 426,534 | 11,352 | 5.26 | ||||
Accor SA | (14,842) | 422,255 | (24,533) | (11.38) | ||||
Nexi SpA | (29,329) | 408,221 | 17,352 | 8.05 | ||||
EssilorLuxottica SA | 2,024 | 378,974 | 4,680 | 2.17 | ||||
Societe Generale SA | 12,207 | 368,712 | 13,616 | 6.31 | ||||
SES SA | 48,451 | 337,800 | 173 | 0.08 | ||||
Other | 84,291 | 3,487,374 | 32,822 | 15.22 | ||||
$53,047,447 | $ 215,665 | 100.00% |
** The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Rio Tinto PLC | 66,970 | $ 3,276,172 | $105,193 | 13.82% | ||||
BHP Group PLC | 108,537 | 2,387,271 | 97,804 | 12.85 | ||||
Evraz PLC | 327,644 | 1,971,106 | 68,533 | 9.00 | ||||
Royal Dutch Shell PLC, A Shares | 102,256 | 1,658,388 | (27,960) | (3.67) | ||||
Man Group PLC | 709,250 | 1,612,834 | 45,654 | 6.00 | ||||
Barclays PLC | 832,126 | 1,556,076 | 46,444 | 6.10 | ||||
Rolls-Royce Holdings PLC | (1,194,933) | 1,468,334 | 22,873 | 3.00 | ||||
HSBC Holdings PLC | 319,624 | 1,433,993 | 35,095 | 4.61 | ||||
Ocado Group PLC | (83,939) | 1,408,496 | (51,214) | (6.73) | ||||
BP PLC | 417,733 | 1,380,608 | (44,074) | (5.79) | ||||
Inchcape PLC | 126,466 | 1,150,208 | 42,492 | 5.58 | ||||
Kingfisher PLC | 298,495 | 1,009,809 | (12,800) | (1.68) | ||||
Barratt Developments PLC | 133,239 | 996,628 | 13,440 | 1.77 | ||||
Anglo American PLC | 32,095 | 967,985 | 18,422 | 2.42 | ||||
Aviva PLC | 235,201 | 965,265 | 53,552 | 7.03 | ||||
Sage Group PLC (The) | 108,055 | 921,277 | 49,489 | 6.50 | ||||
Royal Dutch Shell PLC, B Shares | 46,826 | 759,705 | (16,272) | (2.14) | ||||
Tate & Lyle PLC | 113,730 | 752,210 | 44,261 | 5.81 | ||||
BT Group PLC | (441,897) | 749,236 | 28,604 | 3.76 | ||||
M&G PLC | 372,321 | 742,780 | 19,206 | 2.52 | ||||
Carnival PLC | (49,559) | 685,698 | (57,844) | (7.60) | ||||
Royal Mail PLC | 133,918 | 677,625 | 91,955 | 12.08 | ||||
Ashtead Group PLC | 11,350 | 674,417 | (59,495) | (7.81) | ||||
easyJet PLC | (107,413) | 597,216 | (28,824) | (3.79) | ||||
Persimmon PLC | 19,437 | 555,121 | 6,071 | 0.80 | ||||
DCC PLC | 8,353 | 505,357 | 38,086 | 5.00 | ||||
ASOS PLC | (20,586) | 492,211 | 36,469 | 4.79 | ||||
Smith & Nephew PLC | 36,321 | 469,812 | 28,147 | 3.70 | ||||
Standard Life Aberdeen PLC | 182,733 | 440,204 | 5,818 | 0.76 | ||||
Standard Chartered PLC | 77,560 | 347,779 | 18,807 | 2.47 | ||||
Lloyds Banking Group PLC | 707,129 | 338,008 | 21,442 | 2.82 | ||||
Burberry Group PLC | 18,075 | 328,513 | 5,739 | 0.75 | ||||
Vodafone Group PLC | 284,685 | 319,587 | 10,866 | 1.43 | ||||
BAE Systems PLC | 49,090 | 269,897 | (206) | (0.03) | ||||
London Stock Exchange Group PLC | 3,641 | 252,321 | 14,128 | 1.86 | ||||
Informa PLC | (43,389) | 224,148 | (6,122) | (0.80) | ||||
3i Group PLC | 15,222 | 220,567 | 14,108 | 1.85 | ||||
WH Smith PLC | (14,256) | 210,989 | (9,179) | (1.21) | ||||
Mondi PLC | 10,775 | 196,752 | (2,095) | (0.27) | ||||
boohoo Group PLC | (153,219) | 188,766 | 78,170 | 10.27 | ||||
Investec PLC | 42,542 | 171,232 | 15,100 | 1.98 | ||||
Unilever PLC | 4,294 | 169,420 | (2,168) | (0.28) | ||||
Natwest Group PLC | 74,558 | 168,277 | 6,617 | 0.87 | ||||
Dunelm Group PLC | 12,159 | 167,916 | (539) | (0.07) | ||||
Spirax-Sarco Engineering PLC | 998 | 160,179 | (584) | (0.08) | ||||
Howden Joinery Group PLC | 16,137 | 145,427 | 5,930 | 0.78 | ||||
Intertek Group PLC | 2,548 | 143,452 | (3,902) | (0.51) | ||||
Intermediate Capital Group PLC | 5,844 | 128,217 | 574 | 0.08 | ||||
Berkeley Group Holdings PLC | 2,445 | 116,749 | 1,729 | 0.23 | ||||
ABCAM PLC | (5,486) | 95,072 | (1,640) | (0.22) | ||||
Other | 31,969 | 283,110 | (4,548) | (0.61) | ||||
$36,912,420 | $761,352 | 100.00% |
*** The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
East Japan Railway Co. | (19,600) | $ 138,601,965 | $ 9,073 | 2.29% | ||||
Nippon Paint Holdings Co., Ltd. | (101,700) | 127,757,442 | 39,212 | 9.89 | ||||
Rakuten, Inc. | (110,600) | 127,646,350 | 11,847 | 2.99 | ||||
Mercari, Inc. | (18,000) | 105,343,804 | 123,060 | 31.04 | ||||
West Japan Railway Co. | (21,700) | 104,396,310 | 57,581 | 14.53 | ||||
Japan Airlines Co., Ltd. | (47,600) | 103,941,746 | 7,901 | 1.99 | ||||
Harmonic Drive Systems, Inc. | (21,000) | 101,867,321 | (30,296) | (7.64) | ||||
ANA Holdings, Inc. | (39,800) | 95,706,612 | (2,630) | (0.66) | ||||
Central Japan Railway Co. | (4,900) | 75,005,659 | 32,584 | 8.22 | ||||
Japan Airport Terminal Co., Ltd. | (12,400) | 59,490,085 | 34,660 | 8.74 | ||||
Sysmex Corporation | (3,600) | 55,896,948 | (32,687) | (8.25) | ||||
Park24 Co., Ltd. | (34,600) | 54,557,454 | 48,998 | 12.36 | ||||
Toho Gas Co., Ltd. | (16,000) | 46,881,274 | 14,520 | 3.66 | ||||
Odakyu Electric Railway Co., Ltd. | (21,700) | 46,407,151 | 7,932 | 2.00 | ||||
Seibu Holdings, Inc. | (42,400) | 45,607,249 | 21,807 | 5.50 | ||||
Nexon Co., Ltd. | (19,900) | 44,262,539 | 6,156 | 1.55 | ||||
Koei Tecmo Holdings Co., Ltd. | (7,000) | 31,616,316 | 18,289 | 4.61 | ||||
Showa Denko KK | (12,300) | 29,750,705 | 9,900 | 2.50 | ||||
MonotaRO Co., Ltd. | (14,000) | 28,965,024 | 17,387 | 4.39 | ||||
Yaskawa Electric Corporation | (3,900) | 22,011,690 | (847) | (0.21) | ||||
Kikkoman Corporation | (2,200) | 21,310,953 | (13,356) | (3.37) | ||||
Keisei Electric Railway Co., Ltd. | (6,600) | 20,538,217 | 3,879 | 0.98 | ||||
Kobe Bussan Co., Ltd. | (4,600) | 20,486,895 | (18,829) | (4.75) | ||||
Z Holdings Corporation | (26,500) | 17,588,639 | 14,710 | 3.71 | ||||
Keikyu Corporation | (11,500) | 13,232,858 | (2,360) | (0.59) | ||||
Kakaku.com, Inc. | (3,400) | 10,455,439 | 8,403 | 2.12 | ||||
Aeon Co., Ltd. | (3,100) | 8,403,542 | 3,077 | 0.78 | ||||
Oriental Land Co., Ltd. | (400) | 7,758,872 | (1,466) | (0.37) | ||||
M3, Inc. | (1,300) | 7,539,963 | 876 | 0.22 | ||||
Daifuku Co., Ltd. | (800) | 7,525,255 | 2,112 | 0.53 | ||||
PeptiDream, Inc. | (2,600) | 6,640,711 | 4,914 | 1.24 | ||||
$1,587,194,988 | $396,407 | 100.00% |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the RBA minus a specified spread(-0.40%), which is denominated in AUD based on the local currencies of the positions within the swap (Monthly). | 44-59 months maturity ranging from 08/08/2025 - 11/16/2026 | GSC | $10,401,876 | $(126,364) | $— | $(126,364) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the SSARON minus a specified spread(-0.35%), which is denominated in CHF based on the local currencies of the positions within the swap (Monthly). | 44-54 months maturity ranging from 08/08/2025 - 06/12/2026 | GSC | 4,891,938 | (216,994) | — | (216,994) |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of long equity positions and pays HIBOR plus a specified spread (.33%), which is denominated in HKD based on the local currencies of the positions within the swap (Monthly). | 44-60 months maturity ranging from 08/08/2025 - 12/16/2026 | GSC | $63,565,226 | $ (84,521) | $ — | $ (84,521) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the STIBOR minus a specified spread(-0.35%), which is denominated in SEK based on the local currencies of the positions within the swap (Monthly). | 46-58 months maturity ranging from 10/15/2025 - 10/21/2026 | GSC | 31,104,469 | (9,457) | — | (9,457) | ||||||
Subtotal Depreciation | $ (437,336) | $ — | $ (437,336) | |||||||||
Net Total Return Basket Swaps | $1,056,311 | $ — | $1,056,311 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 46,237,221 | $ 46,237,221 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Denmark | 14,264,522 | — | 14,264,522 | — | |||
Finland | 4,937,353 | — | 4,937,353 | — | |||
Germany | 128,672,311 | 1,755,779 | 126,916,532 | — | |||
Indonesia | 1,315,082 | — | 1,315,082 | — | |||
Ireland | 51,950,668 | 50,200,014 | 1,750,654 | — | |||
Italy | 10,842,571 | — | 10,842,571 | — | |||
Japan | 201,180,042 | — | 201,180,042 | — | |||
Netherlands | 71,047,511 | 52,730,440 | 18,317,071 | — | |||
Norway | 3,386,669 | — | 3,386,669 | — | |||
Singapore | 7,323,351 | 7,120,769 | 202,582 | — | |||
South Korea | 12,685,400 | 3,131,451 | 9,553,949 | — | |||
Spain | 19,356,860 | — | 19,356,860 | — | |||
Sweden | 34,368,214 | — | 34,368,214 | — | |||
Switzerland | 176,218,858 | 11,635,329 | 164,583,529 | — | |||
Other ^^ | 432,699,714 | 432,699,714 | — | —** | |||
Total Foreign Common Stocks | 1,170,249,126 | 559,273,496 | 610,975,630 | — | |||
Foreign Preferred Stocks | 9,848,870 | — | 9,848,870 | — | |||
Money Market Funds | 86,212,055 | 86,212,055 | — | — | |||
Total Assets - Investments in Securities | $1,312,547,272 | $691,722,772 | $620,824,500 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 1,895,935 | $ — | $ 1,895,935 | $ — | |||
Futures Contracts | 2,069,079 | 2,069,079 | — | — | |||
Swap Agreements | 1,958,434 | — | 1,958,434 | — | |||
Total Assets - Other Financial Instruments | $ 5,923,448 | $ 2,069,079 | $ 3,854,369 | $ — | |||
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Foreign Common Stocks Sold Short | $(1,087,614) | $(1,087,614) | $ — | $ — | |||
Total Liabilities - Investments in Securities | $(1,087,614) | $(1,087,614) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(2,836,693) | $ — | $(2,836,693) | $ — | |||
Futures Contracts | (1,022,716) | (1,022,716) | — | — | |||
Swap Agreements | (687,194) | — | (687,194) | — | |||
Total Liabilities - Other Financial Instruments | $(4,546,603) | $(1,022,716) | $(3,523,887) | $ — |
** | Level 3 security has zero value. |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
% | |
Information Technology | 25.1 |
Financials | 16.2 |
Consumer Discretionary | 12.7 |
Communication Services | 9.2 |
Money Market Funds | 9.1 |
Consumer Staples | 7.5 |
Materials | 6.0 |
Industrials | 5.6 |
Energy | 3.3 |
Health Care | 2.0 |
Real Estate | 1.2 |
Utilities | 1.1 |
99.0 |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | (1.85%) | (2.12%) | (2.54%) | ||||
Five Year | 9.28% | 8.91% | 9.87% | ||||
Ten Year | N/A | N/A | N/A | ||||
Since Inception | 3.65% | 3.34% | 4.55% | ||||
Inception Date | 10/31/13 | 10/31/13 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 1.12% | 1.52% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 4.0% | ||||
Communication Services — 0.5% | ||||
Bilibili, Inc. ADRΔ* | 3,322 | $ 154,141 | ||
Kanzhun, Ltd. ADRΔ* | 36,764 | 1,282,328 | ||
Sea, Ltd. ADR* | 8,241 | 1,843,594 | ||
Tencent Music Entertainment Group ADR* | 10,477 | 71,767 | ||
VTEX Class AΔ* | 36,862 | 395,161 | ||
3,746,991 | ||||
Consumer Discretionary — 2.3% | ||||
Arco Platform, Ltd. Class AΔ* | 43,040 | 899,106 | ||
Coupang, Inc.Δ* | 36,967 | 1,086,090 | ||
Huazhu Group, Ltd. ADR* | 3,029 | 113,103 | ||
Li Auto, Inc. ADR* | 13,378 | 429,434 | ||
MercadoLibre, Inc.* | 4,742 | 6,394,113 | ||
NIO, Inc. ADR* | 36,022 | 1,141,177 | ||
Ozon Holdings PLC ADRΔ* | 32,420 | 959,956 | ||
Pinduoduo, Inc. ADR* | 10,227 | 596,234 | ||
Trip.com Group, Ltd. ADR* | 83,437 | 2,054,219 | ||
XPeng, Inc. ADR* | 11,092 | 558,260 | ||
Yum China Holdings, Inc. | 96,320 | 4,800,589 | ||
19,032,281 | ||||
Financials — 0.2% | ||||
NU Holdings, Ltd. Class AΔ* | 51,396 | 482,094 | ||
Patria Investments, Ltd. Class A | 90,960 | 1,473,552 | ||
1,955,646 | ||||
Health Care — 0.2% | ||||
BeiGene, Ltd. ADR* | 1,264 | 342,456 | ||
Zai Lab, Ltd. ADR* | 17,459 | 1,097,298 | ||
1,439,754 | ||||
Industrials — 0.4% | ||||
Full Truck Alliance Co., Ltd. ADRΔ* | 37,426 | 313,256 | ||
ZTO Express Cayman, Inc. ADR | 99,746 | 2,814,832 | ||
3,128,088 | ||||
Information Technology — 0.4% | ||||
Dlocal, Ltd.* | 10,490 | 374,388 | ||
EPAM Systems, Inc.* | 850 | 568,183 | ||
GDS Holdings, Ltd. ADRΔ* | 2,167 | 102,196 | ||
Globant SA* | 5,171 | 1,624,159 | ||
Pagseguro Digital, Ltd. Class AΔ* | 10,247 | 268,676 | ||
TDCX, Inc. ADRΔ* | 22,048 | 422,219 | ||
Zepp Health Corporation ADRΔ* | 8,091 | 40,860 | ||
3,400,681 | ||||
Materials — 0.0% | ||||
Southern Copper Corporation | 2,441 | 150,634 | ||
Real Estate — 0.0% | ||||
KE Holdings, Inc. ADR* | 14,003 | 281,740 | ||
Total Common Stocks (Cost $33,961,783) | 33,135,815 | |||
FOREIGN COMMON STOCKS — 85.2% | ||||
Brazil — 2.8% | ||||
Aeris Industria E Comercio De Equipamentos Para Geracao De Energia SA* | 325,541 | 382,360 |
Shares | Value | |||
B3 SA - Brasil Bolsa Balcao | 1,850,400 | $ 3,684,858 | ||
Banco BTG Pactual SA* | 272,200 | 1,022,407 | ||
Banco do Brasil SA | 356,200 | 1,840,981 | ||
Blau Farmaceutica SA* | 45,978 | 299,871 | ||
Boa Vista Servicos SA | 173,393 | 186,779 | ||
Caixa Seguridade Participacoes S/A | 850,321 | 1,270,116 | ||
CCR SA | 119,800 | 248,717 | ||
Hapvida Participacoes e Investimentos SA 144A | 249,900 | 463,880 | ||
JBS SA | 218,300 | 1,489,471 | ||
Localiza Rent a Car SA | 97,600 | 926,005 | ||
Locaweb Servicos de Internet SA 144A* | 290,300 | 673,504 | ||
Magazine Luiza SA* | 591,600 | 762,563 | ||
Notre Dame Intermedica Participacoes SA | 14,300 | 154,379 | ||
Qualicorp Consultoria e Corretora de Seguros SA | 1,652 | 4,998 | ||
Raia Drogasil SA | 915,400 | 3,985,389 | ||
Rede D'Or Sao Luiz SA 144A | 69,871 | 561,200 | ||
Telefonica Brasil SA | 66,500 | 577,290 | ||
Vale SA ADR | 250,292 | 3,509,094 | ||
Vibra Energia SA | 300,223 | 1,151,132 | ||
23,194,994 | ||||
Canada — 0.2% | ||||
Parex Resources, Inc. | 111,651 | 1,907,410 | ||
Chile — 0.8% | ||||
Banco de Chile ADRΔ | 7,668 | 120,464 | ||
Banco de Credito e Inversiones SA | 2,008 | 58,652 | ||
Banco Santander Chile ADR | 3,609 | 58,791 | ||
Cencosud SA | 819,586 | 1,370,786 | ||
Empresas CMPC SA | 130,129 | 218,104 | ||
Empresas COPEC SA | 35,154 | 271,742 | ||
Falabella SA | 1,343,766 | 4,383,011 | ||
6,481,550 | ||||
China — 16.5% | ||||
Agricultural Bank of China, Ltd. Class A | 252,800 | 116,906 | ||
Agricultural Bank of China, Ltd. Class H | 7,548,000 | 2,594,230 | ||
Alibaba Group Holding, Ltd. ADR* | 48,300 | 5,737,557 | ||
Amoy Diagnostics Co., Ltd. Class A | 96,900 | 1,150,911 | ||
Anhui Conch Cement Co., Ltd. Class A | 40,100 | 254,193 | ||
Anhui Conch Cement Co., Ltd. Class H | 34,500 | 172,333 | ||
Baidu, Inc. ADR* | 7,509 | 1,117,264 | ||
Bank of Beijing Co., Ltd. Class A | 149,800 | 104,619 | ||
Bank of China, Ltd. Class A | 203,500 | 97,629 | ||
Bank of China, Ltd. Class H | 4,683,000 | 1,687,611 | ||
Bank of Communications Co., Ltd. Class A | 110,200 | 79,909 | ||
Bank of Ningbo Co., Ltd. Class A | 29,700 | 178,831 | ||
Bank of Shanghai Co., Ltd. Class A | 85,980 | 96,427 | ||
Baoshan Iron & Steel Co., Ltd. Class A | 212,500 | 239,324 | ||
Beijing Easpring Material Technology Co., Ltd. Class A | 40,300 | 550,666 |
Shares | Value | |||
BOE Technology Group Co., Ltd. Class A | 620,900 | $ 493,204 | ||
BYD Co., Ltd. Class A | 15,500 | 653,694 | ||
China Cinda Asset Management Co., Ltd. Class H | 3,325,000 | 605,511 | ||
China CITIC Bank Corporation, Ltd. Class H | 3,832,000 | 1,661,055 | ||
China Construction Bank Corporation Class H | 1,477,000 | 1,022,860 | ||
China Everbright Bank Co., Ltd. Class A | 131,700 | 68,776 | ||
China Everbright Bank Co., Ltd. Class H | 1,777,000 | 628,982 | ||
China Mengniu Dairy Co., Ltd.* | 351,730 | 1,993,763 | ||
China Merchants Bank Co., Ltd. Class A | 37,756 | 289,280 | ||
China Merchants Bank Co., Ltd. Class H | 465,000 | 3,610,846 | ||
China Merchants Securities Co., Ltd. Class A | 80,400 | 223,210 | ||
China Minsheng Banking Corporation, Ltd. Class A | 139,200 | 85,392 | ||
China National Building Material Co., Ltd. Class H | 766,000 | 939,136 | ||
China Pacific Insurance Group Co., Ltd. Class A | 21,100 | 90,009 | ||
China Petroleum & Chemical Corporation Class A | 424,000 | 282,111 | ||
China Petroleum & Chemical Corporation Class H | 906,000 | 421,771 | ||
China Railway Group, Ltd. Class H | 510,000 | 269,469 | ||
China State Construction Engineering Corporation, Ltd. Class A | 394,700 | 310,421 | ||
China Tourism Group Duty Free Corporation, Ltd. Class A | 16,712 | 576,764 | ||
China Tower Corporation, Ltd. Class H 144A | 3,756,000 | 414,253 | ||
China Vanke Co., Ltd. Class H | 99,950 | 232,521 | ||
CITIC Securities Co., Ltd. Class A | 48,700 | 202,307 | ||
Contemporary Amperex Technology Co., Ltd. Class A | 12,899 | 1,193,018 | ||
Country Garden Holdings Co., Ltd. | 360,632 | 320,046 | ||
CSC Financial Co., Ltd. Class H 144AΔ | 640,500 | 700,664 | ||
Dongfeng Motor Group Co., Ltd. Class H | 2,814,000 | 2,338,519 | ||
East Money Information Co., Ltd. Class A | 384,000 | 2,241,485 | ||
Ecovacs Robotics Co., Ltd. Class A | 26,200 | 622,083 | ||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 32,301 | 534,040 | ||
Guotai Junan Securities Co., Ltd. Class A | 45,900 | 129,163 | ||
Haier Smart Home Co., Ltd. Class A | 104,200 | 489,900 | ||
Haitian International Holdings, Ltd. | 520,000 | 1,443,787 | ||
Haitong Securities Co., Ltd. Class A | 60,600 | 116,863 | ||
Haitong Securities Co., Ltd. Class H | 380,000 | 336,747 | ||
Hangzhou Robam Appliances Co., Ltd. Class A | 147,032 | 833,046 | ||
Huatai Securities Co., Ltd. Class A | 39,636 | 110,725 |
Shares | Value | |||
Huaxia Bank Co., Ltd. Class A | 113,607 | $ 100,071 | ||
Industrial & Commercial Bank of China, Ltd. Class A | 169,700 | 123,588 | ||
Industrial Bank Co., Ltd. Class A | 40,800 | 122,191 | ||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 124,762 | 813,627 | ||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 157,800 | 2,030,364 | ||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 80,775 | 644,299 | ||
LONGi Green Energy Technology Co., Ltd. Class A | 90,200 | 1,223,003 | ||
Luxshare Precision Industry Co., Ltd. Class A | 226,212 | 1,750,630 | ||
Midea Group Co., Ltd. Class A | 190,300 | 2,209,366 | ||
NARI Technology Co., Ltd. Class A | 775,441 | 4,882,563 | ||
NetEase, Inc. ADR | 31,981 | 3,255,026 | ||
New China Life Insurance Co., Ltd. Class A | 21,100 | 129,039 | ||
PetroChina Co., Ltd. Class A | 148,700 | 114,843 | ||
PetroChina Co., Ltd. Class H | 440,000 | 195,805 | ||
PICC Property & Casualty Co., Ltd. Class H | 77,803 | 63,559 | ||
Ping An Bank Co., Ltd. Class A | 50,900 | 131,944 | ||
Ping An Insurance Group Co. of China, Ltd. Class A | 20,100 | 159,377 | ||
Ping An Insurance Group Co. of China, Ltd. Class H | 1,074,996 | 7,741,025 | ||
Qingdao Haier Biomedical Co., Ltd. Class A | 33,550 | 479,278 | ||
SAIC Motor Corporation, Ltd. Class A | 81,900 | 265,764 | ||
Sany Heavy Industry Co., Ltd. Class A | 561,500 | 2,013,716 | ||
SF Holding Co., Ltd. Class A | 70,599 | 765,345 | ||
Shandong Sinocera Functional Material Co., Ltd. Class A | 316,800 | 2,121,302 | ||
Shanghai International Airport Co., Ltd. Class A* | 219,800 | 1,614,229 | ||
Shanghai Pudong Development Bank Co., Ltd. Class A | 60,200 | 80,772 | ||
Shenwan Hongyuan Group Co., Ltd. Class A | 160,100 | 128,936 | ||
Shenzhen Inovance Technology Co., Ltd. Class A | 233,427 | 2,518,777 | ||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 31,800 | 1,904,749 | ||
Sinopharm Group Co., Ltd. Class H | 297,200 | 646,423 | ||
Sunac China Holdings, Ltd. | 142,859 | 215,822 | ||
Suning.com Co., Ltd. Class A* | 202,175 | 131,020 | ||
Sunny Optical Technology Group Co., Ltd. | 260,576 | 8,240,799 | ||
Tencent Holdings, Ltd. | 599,430 | 35,116,110 | ||
Vipshop Holdings, Ltd. ADR* | 8,678 | 72,895 | ||
Will Semiconductor Co., Ltd. Class A | 55,958 | 2,735,363 | ||
WuXi AppTec Co., Ltd. Class H 144A | 56,502 | 978,220 | ||
Yifeng Pharmacy Chain Co., Ltd. Class A | 335,026 | 2,904,172 | ||
Yonghui Superstores Co., Ltd. Class A | 364,632 | 232,286 |
Shares | Value | |||
YTO Express Group Co., Ltd. Class A | 326,000 | $ 855,317 | ||
Yunnan Aluminium Co., Ltd. Class A* | 343,749 | 603,960 | ||
Yunnan Energy New Material Co., Ltd. Class A | 67,200 | 2,646,776 | ||
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 240,430 | 956,804 | ||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H | 780,200 | 491,280 | ||
ZTE Corporation Class H | 448,200 | 1,227,189 | ||
136,301,455 | ||||
Egypt — 0.3% | ||||
Commercial International Bank Egypt SAE* | 652,960 | 2,197,594 | ||
E-Finance for Digital & Financial Investments* | 271,463 | 350,604 | ||
2,548,198 | ||||
Greece — 0.2% | ||||
Hellenic Exchanges - Athens Stock Exchange SA | 54,765 | 231,318 | ||
JUMBO SA | 38,114 | 546,749 | ||
Sarantis SA | 51,117 | 517,951 | ||
1,296,018 | ||||
Hong Kong — 9.6% | ||||
3SBio, Inc. 144A* | 671,000 | 559,342 | ||
AIA Group, Ltd. | 1,043,625 | 10,519,833 | ||
Akeso, Inc. 144A* | 235,000 | 1,024,681 | ||
Alibaba Group Holding, Ltd.* | 637,340 | 9,718,402 | ||
ANTA Sports Products, Ltd. | 89,000 | 1,334,278 | ||
Beijing Enterprises Holdings, Ltd. | 54,000 | 186,289 | ||
Bilibili, Inc. Class ZΔ* | 35,525 | 1,633,752 | ||
Brilliance China Automotive Holdings, Ltd.Ψ†††* | 2,064,000 | 966,150 | ||
China Everbright Environment Group, Ltd. | 158,000 | 126,845 | ||
China Feihe, Ltd. 144A | 464,000 | 622,431 | ||
China Hongqiao Group, Ltd. | 2,186,000 | 2,307,235 | ||
China Medical System Holdings, Ltd. | 707,000 | 1,180,517 | ||
China Merchants Port Holdings Co., Ltd. | 250,000 | 455,271 | ||
China Overseas Land & Investment, Ltd. | 121,500 | 287,640 | ||
China Resources Cement Holdings, Ltd. | 614,398 | 464,095 | ||
China Resources Land, Ltd.Δ | 1,359,987 | 5,720,717 | ||
China Taiping Insurance Holdings Co., Ltd. | 527,400 | 723,712 | ||
China Traditional Chinese Medicine Holdings Co., Ltd. | 702,000 | 465,446 | ||
China Yuhua Education Corporation, Ltd. 144A | 1,088,000 | 389,292 | ||
CITIC, Ltd. | 713,000 | 704,080 | ||
COSCO SHIPPING Ports, Ltd. | 290,000 | 251,784 | ||
Country Garden Services Holdings Co., Ltd. | 33,000 | 197,639 | ||
CSPC Pharmaceutical Group, Ltd. | 2,756,000 | 2,993,674 | ||
ENN Energy Holdings, Ltd. | 201,300 | 3,789,760 | ||
Hong Kong Exchanges and Clearing, Ltd. | 119,362 | 6,971,094 |
Shares | Value | |||
Hua Hong Semiconductor, Ltd. 144A* | 85,000 | $ 468,737 | ||
JD.com, Inc. Class AΔ* | 46,906 | 1,648,241 | ||
Jiumaojiu International Holdings, Ltd. 144A | 236,000 | 414,643 | ||
Kingboard Holdings, Ltd. | 295,500 | 1,438,173 | ||
Kingdee International Software Group Co., Ltd.* | 409,000 | 1,258,857 | ||
Kingsoft Corporation, Ltd. | 195,800 | 860,033 | ||
Kunlun Energy Co., Ltd. | 1,036,000 | 971,223 | ||
Lenovo Group, Ltd. | 60,000 | 68,945 | ||
Longfor Group Holdings, Ltd. 144A | 71,384 | 335,976 | ||
Meituan Class B 144A* | 299,821 | 8,666,780 | ||
Minth Group, Ltd. | 236,000 | 1,039,634 | ||
NetEase, Inc. | 107,700 | 2,175,395 | ||
Samsonite International SA 144A* | 327,000 | 664,270 | ||
Shenzhen International Holdings, Ltd. | 93,500 | 97,127 | ||
Sino Biopharmaceutical, Ltd. | 1,541,000 | 1,079,039 | ||
Sinotruk Hong Kong, Ltd. | 686,000 | 1,055,716 | ||
Techtronic Industries Co., Ltd. | 49,000 | 975,281 | ||
Topsports International Holdings, Ltd. 144A | 535,000 | 541,343 | ||
Uni-President China Holdings, Ltd. | 112,000 | 108,588 | ||
Wharf Holdings, Ltd. (The) | 58,000 | 178,146 | ||
Zhongsheng Group Holdings, Ltd. | 174,000 | 1,356,734 | ||
ZTO Express Cayman, Inc. | 18,600 | 516,193 | ||
79,513,033 | ||||
Hungary — 0.5% | ||||
OTP Bank Nyrt PLC* | 81,964 | 4,179,454 | ||
India — 11.9% | ||||
Amber Enterprises India, Ltd.* | 19,905 | 887,985 | ||
Atul, Ltd. | 3,082 | 374,766 | ||
Avenue Supermarts, Ltd. 144A* | 17,304 | 1,087,429 | ||
Axis Bank, Ltd.* | 130,648 | 1,192,580 | ||
Bharat Electronics, Ltd. | 586,049 | 1,655,208 | ||
Bharat Petroleum Corporation, Ltd. | 93,521 | 484,931 | ||
Bharti Airtel, Ltd.* | 549,152 | 5,051,549 | ||
Bharti Airtel, Ltd. (Partly Paid)* | 27,702 | 131,419 | ||
Cartrade Tech, Ltd.* | 17,215 | 196,453 | ||
Coal India, Ltd. | 250,574 | 492,312 | ||
Computer Age Management Services, Ltd. | 19,308 | 692,495 | ||
Container Corporation Of India, Ltd. | 13,279 | 109,781 | ||
Crompton Greaves Consumer Electricals, Ltd. | 106,768 | 628,308 | ||
FSN E-Commerce Ventures, Ltd.* | 14,662 | 414,511 | ||
Godrej Properties, Ltd.* | 49,541 | 1,247,461 | ||
HCL Technologies, Ltd. | 458,203 | 8,130,898 | ||
Hero MotoCorp, Ltd. | 64,301 | 2,129,739 | ||
Hindustan Petroleum Corporation, Ltd. | 28,273 | 111,193 | ||
Housing Development Finance Corporation, Ltd. | 441,704 | 15,368,741 | ||
ICICI Bank, Ltd. | 417,059 | 4,152,600 | ||
ICICI Lombard General Insurance Co., Ltd. 144A | 42,519 | 801,496 | ||
Indian Oil Corporation, Ltd. | 732,041 | 1,098,027 | ||
Info Edge India, Ltd. | 12,231 | 917,576 |
Shares | Value | |||
Infosys, Ltd. | 90,518 | $ 2,298,700 | ||
Infosys, Ltd. ADR | 141,202 | 3,573,823 | ||
Kotak Mahindra Bank, Ltd. | 40,987 | 990,329 | ||
Larsen & Toubro, Ltd. | 24,980 | 637,105 | ||
Macrotech Developers, Ltd. 144A* | 50,025 | 830,131 | ||
Mahindra & Mahindra, Ltd. | 583,435 | 6,570,503 | ||
Marico, Ltd. | 961,692 | 6,632,234 | ||
MRF, Ltd. | 353 | 348,262 | ||
Navin Fluorine International, Ltd. | 25,365 | 1,429,211 | ||
NTPC, Ltd. | 1,573,417 | 2,633,098 | ||
Page Industries, Ltd. | 1,307 | 710,708 | ||
Petronet LNG, Ltd. | 209,549 | 610,022 | ||
Power Grid Corporation of India, Ltd. | 173,584 | 477,302 | ||
REC, Ltd. | 540,412 | 972,711 | ||
Route Mobile, Ltd. | 30,711 | 736,793 | ||
SBI Life Insurance Co., Ltd. 144A | 46,329 | 745,396 | ||
Sona Blw Precision Forgings, Ltd. 144A* | 91,204 | 912,277 | ||
Tata Consultancy Services, Ltd. | 202,623 | 10,189,938 | ||
Tata Consumer Products, Ltd. | 82,317 | 823,274 | ||
Tata Steel, Ltd. | 28,647 | 428,324 | ||
TeamLease Services, Ltd.* | 13,419 | 751,735 | ||
Tech Mahindra, Ltd. | 144,780 | 3,487,369 | ||
Vedanta, Ltd. | 107,515 | 493,493 | ||
Wipro, Ltd. | 244,851 | 2,356,261 | ||
Zomato, Ltd.* | 615,325 | 1,137,350 | ||
98,133,807 | ||||
Indonesia — 2.4% | ||||
PT Astra International Tbk | 3,119,400 | 1,248,547 | ||
PT Bank BTPN Syariah Tbk | 2,177,400 | 546,838 | ||
PT Bank Central Asia Tbk | 14,627,200 | 7,491,331 | ||
PT Bank Mandiri Persero Tbk | 3,307,100 | 1,632,977 | ||
PT Bank Rakyat Indonesia Persero Tbk | 4,454,000 | 1,282,423 | ||
PT BFI Finance Indonesia Tbk | 7,874,800 | 649,212 | ||
PT Cisarua Mountain Dairy TBK* | 1,308,400 | 312,125 | ||
PT Dayamitra Telekomunikasi Tbk* | 11,848,600 | 690,008 | ||
PT Indah Kiat Pulp & Paper Tbk | 125,000 | 68,663 | ||
PT Indofood Sukses Makmur Tbk | 154,400 | 68,558 | ||
PT Kalbe Farma Tbk | 2,346,100 | 265,845 | ||
PT Map Aktif Adiperkasa* | 977,200 | 174,151 | ||
PT Pakuwon Jati Tbk* | 8,454,300 | 274,738 | ||
PT Semen Indonesia Persero Tbk | 505,152 | 256,835 | ||
PT Telkom Indonesia Persero Tbk | 10,305,700 | 2,941,269 | ||
PT Unilever Indonesia Tbk | 774,100 | 223,236 | ||
PT United Tractors Tbk | 1,278,560 | 1,985,064 | ||
20,111,820 | ||||
Kazakhstan — 0.1% | ||||
Kaspi.KZ JSC GDR 144A | 3,113 | 369,762 | ||
Kaspi.KZ JSC GDR (London Exchange) | 4,799 | 556,684 | ||
926,446 | ||||
Malaysia — 0.1% | ||||
Kossan Rubber Industries | 44,000 | 20,278 | ||
RHB Bank Bhd | 59,600 | 76,825 |
Shares | Value | |||
Sime Darby Bhd | 965,400 | $ 537,621 | ||
Sime Darby Plantation Bhd | 247,400 | 223,289 | ||
858,013 | ||||
Mexico — 2.7% | ||||
Alpek SAB de CV | 1,534,300 | 1,667,270 | ||
America Movil SAB de CV, Series L | 3,815,300 | 4,039,740 | ||
America Movil SAB de CV, Series L ADR | 11,811 | 249,330 | ||
Arca Continental SAB de CV | 212,421 | 1,348,879 | ||
Cemex SAB de CV ADR* | 160,855 | 1,090,597 | ||
Coca-Cola Femsa SAB de CV ADR | 10,684 | 585,376 | ||
Fomento Economico Mexicano SAB de CV ADR | 95,200 | 7,397,992 | ||
Gentera SAB de CV* | 330,350 | 212,968 | ||
Gruma SAB de CV Series B | 8,225 | 105,121 | ||
Grupo Aeroportuario del Sureste SAB de CV ADR | 546 | 112,563 | ||
Grupo Bimbo SAB de CV Series A | 200,900 | 619,022 | ||
Grupo Financiero Banorte SAB de CV Series O | 69,310 | 450,783 | ||
Grupo Televisa SAB SA ADR | 25,585 | 239,732 | ||
Industrias Penoles SAB de CV | 34,800 | 401,155 | ||
Kimberly-Clark de Mexico SAB de CV Series A | 337,801 | 513,247 | ||
Orbia Advance Corporation SAB de CV | 544,400 | 1,389,482 | ||
Prologis Property Mexico SA de CV REIT | 126,005 | 348,928 | ||
Promotora y Operadora de Infraestructura SAB de CV | 58,870 | 459,333 | ||
Wal-Mart de Mexico SAB de CV | 379,600 | 1,413,060 | ||
22,644,578 | ||||
Netherlands — 0.2% | ||||
InPost SA* | 57,197 | 690,129 | ||
Yandex NV Class A* | 17,169 | 1,038,724 | ||
1,728,853 | ||||
Peru — 0.3% | ||||
Credicorp, Ltd. | 23,217 | 2,834,099 | ||
Philippines — 0.5% | ||||
Ayala Land, Inc. | 2,749,100 | 1,978,565 | ||
BDO Unibank, Inc. | 34,770 | 82,301 | ||
International Container Terminal Services, Inc. | 95,860 | 375,977 | ||
Jollibee Foods Corporation | 108,620 | 460,957 | ||
Monde Nissin Corporation 144A* | 3,088,200 | 981,102 | ||
PLDT, Inc. | 4,180 | 148,535 | ||
SM Prime Holdings, Inc. | 381,000 | 253,290 | ||
4,280,727 | ||||
Poland — 1.4% | ||||
Allegro.eu SA 144A* | 102,499 | 986,720 | ||
Bank Polska Kasa Opieki SA | 100,319 | 3,027,997 | ||
Cyfrowy Polsat SA | 8,219 | 70,825 | ||
Dino Polska SA 144A* | 11,869 | 1,081,986 | ||
Grupa Lotos SA* | 190,854 | 2,884,631 | ||
PGE Polska Grupa Energetyczna SA* | 348,677 | 695,760 |
Shares | Value | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 726,670 | $ 1,136,431 | ||
Powszechna Kasa Oszczednosci Bank Polski SA* | 113,631 | 1,260,362 | ||
11,144,712 | ||||
Qatar — 0.1% | ||||
Industries Qatar QSC | 17,530 | 74,563 | ||
Qatar Islamic Bank SAQ | 6,620 | 33,320 | ||
Qatar National Bank QPSC | 108,220 | 599,976 | ||
707,859 | ||||
Russia — 1.9% | ||||
Gazprom PJSC ADR | 262,446 | 2,411,879 | ||
Gazprom PJSC ADR (London Exchange) | 170,565 | 1,576,021 | ||
LUKOIL PJSC ADR | 43,247 | 3,870,606 | ||
Magnit PJSC GDR | 26,957 | 404,355 | ||
MMC Norilsk Nickel PJSC ADR | 52,463 | 1,622,681 | ||
Novatek PJSC GDR | 1,991 | 466,292 | ||
Novolipetsk Steel PJSC GDR | 7,762 | 229,134 | ||
Rosneft Oil Co. PJSC GDR | 16,843 | 135,451 | ||
Sberbank of Russia PJSC ADR | 29,379 | 462,719 | ||
Sberbank of Russia PJSC ADR (London Exchange) | 182,426 | 2,927,937 | ||
Severstal PAO GDR | 19,892 | 428,474 | ||
Surgutneftegas PJSC ADR | 19,506 | 104,260 | ||
Tatneft PJSC ADR | 15,007 | 622,941 | ||
15,262,750 | ||||
Saudi Arabia — 0.8% | ||||
Abdullah Al Othaim Markets Co. | 4,970 | 143,233 | ||
Almarai Co. JSC | 14,810 | 192,525 | ||
Arab National Bank | 94,170 | 573,511 | ||
Bank Al-Jazira | 12,790 | 65,613 | ||
Banque Saudi Fransi | 21,896 | 275,093 | ||
Etihad Etisalat Co. | 24,130 | 200,146 | ||
Jarir Marketing Co. | 10,125 | 529,839 | ||
Mobile Telecommunications Co.* | 192,865 | 617,331 | ||
Saudi Arabian Mining Co.* | 8,575 | 178,958 | ||
Saudi Basic Industries Corporation | 25,575 | 788,718 | ||
Saudi National Bank (The) | 68,142 | 1,168,854 | ||
Saudi Tadawul Group Holding Co.* | 14,960 | 501,270 | ||
Saudi Telecom Co. | 50,918 | 1,523,024 | ||
Savola Group (The) | 11,168 | 95,065 | ||
Yanbu National Petrochemical Co. | 5,657 | 103,286 | ||
6,956,466 | ||||
Singapore — 0.1% | ||||
Del Monte Pacific, Ltd. | 250,300 | 75,224 | ||
Nanofilm Technologies International, Ltd. | 235,806 | 668,432 | ||
743,656 | ||||
Slovenia — 0.1% | ||||
Nova Ljubljanska Banka dd GDR | 29,269 | 501,508 | ||
South Africa — 2.4% | ||||
African Rainbow Minerals, Ltd. | 14,120 | 204,884 | ||
Anglo American Platinum, Ltd. | 5,307 | 605,058 | ||
AngloGold Ashanti, Ltd. ADRΔ | 69,271 | 1,453,306 |
Shares | Value | |||
Bid Corporation, Ltd. | 3,218 | $ 65,921 | ||
Clicks Group, Ltd. | 100,688 | 1,993,730 | ||
Exxaro Resources, Ltd. | 62,898 | 603,402 | ||
Gold Fields, Ltd. ADRΔ | 160,149 | 1,760,038 | ||
Impala Platinum Holdings, Ltd. | 16,628 | 234,785 | ||
JSE, Ltd. | 64,435 | 452,885 | ||
Kumba Iron Ore, Ltd. | 14,307 | 413,085 | ||
Mr Price Group, Ltd. | 69,051 | 864,492 | ||
MultiChoice Group, Ltd. | 174,360 | 1,335,246 | ||
Naspers, Ltd. N Shares | 28,017 | 4,346,283 | ||
Nedbank Group, Ltd.Δ | 6,009 | 65,999 | ||
Rand Merchant Investment Holdings, Ltd. | 348,370 | 987,504 | ||
Santam, Ltd. | 15,690 | 264,864 | ||
Sasol, Ltd.* | 120,378 | 1,956,567 | ||
Shoprite Holdings, Ltd. | 55,560 | 728,295 | ||
SPAR Group, Ltd. (The) | 32,780 | 343,784 | ||
Standard Bank Group, Ltd. | 48,734 | 428,192 | ||
Tiger Brands, Ltd. | 12,975 | 147,378 | ||
Transaction Capital, Ltd. | 284,070 | 802,741 | ||
20,058,439 | ||||
South Korea — 11.1% | ||||
BGF retail Co., Ltd. | 6,171 | 754,029 | ||
CJ ENM Co., Ltd. | 5,785 | 674,415 | ||
CJ Logistics Corporation* | 6,537 | 692,296 | ||
DB Insurance Co., Ltd. | 6,809 | 309,147 | ||
Doosan Bobcat, Inc.* | 3,699 | 126,590 | ||
E-MART, Inc. | 7,358 | 932,785 | ||
Fila Holdings Corporation | 12,238 | 368,806 | ||
Hana Financial Group, Inc. | 48,367 | 1,708,762 | ||
Hankook Tire & Technology Co., Ltd. | 17,499 | 584,594 | ||
HMM Co., Ltd.* | 19,665 | 444,833 | ||
Hyundai Heavy Industries Co., Ltd.* | 9,258 | 735,911 | ||
Hyundai Mobis Co., Ltd. | 478 | 102,176 | ||
Industrial Bank of Korea | 197,834 | 1,711,413 | ||
KB Financial Group, Inc. | 21,662 | 1,001,744 | ||
Kia Corporation | 53,340 | 3,681,159 | ||
Korea Investment Holdings Co., Ltd. | 8,900 | 602,980 | ||
Krafton, Inc.* | 1,533 | 592,495 | ||
LG Corporation* | 39,393 | 2,681,379 | ||
LG Electronic, Inc. | 28,121 | 3,255,868 | ||
LG Household & Health Care, Ltd. | 1,137 | 1,049,412 | ||
LG Uplus Corporation | 13,101 | 149,487 | ||
Lotte Chemical Corporation | 1,127 | 205,588 | ||
NAVER Corporation | 5,112 | 1,622,658 | ||
NCSoft Corporation | 5,885 | 3,178,657 | ||
NH Investment & Securities Co., Ltd. | 29,024 | 304,841 | ||
NHN KCP Corporation* | 16,132 | 411,334 | ||
Orion Corporation | 8,607 | 749,248 | ||
POSCO | 10,873 | 2,521,306 | ||
Samsung Electro-Mechanics Co., Ltd. | 12,232 | 2,028,692 | ||
Samsung Electronics Co., Ltd. | 413,160 | 27,134,271 | ||
Samsung Fire & Marine Insurance Co., Ltd. | 30,940 | 5,255,958 | ||
Samsung Life Insurance Co., Ltd. | 3,598 | 193,742 | ||
Samsung SDS Co., Ltd. | 2,855 | 375,023 | ||
Shinhan Financial Group Co., Ltd. | 7,496 | 231,619 |
Shares | Value | |||
SK Hynix, Inc. | 201,877 | $ 22,172,677 | ||
SK Telecom Co., Ltd. | 24,448 | 1,188,085 | ||
Woori Financial Group, Inc. | 216,215 | 2,305,787 | ||
92,039,767 | ||||
Taiwan — 14.2% | ||||
Advantech Co., Ltd. | 128,087 | 1,831,041 | ||
ASE Technology Holding Co., Ltd. | 93,000 | 359,372 | ||
ASMedia Technology, Inc. | 13,000 | 852,484 | ||
AU Optronics Corporation | 2,379,000 | 1,966,626 | ||
Catcher Technology Co., Ltd. | 100,000 | 565,319 | ||
Cathay Financial Holding Co., Ltd. | 1,379,000 | 3,106,683 | ||
Chailease Holding Co., Ltd. | 99,578 | 947,168 | ||
Cheng Shin Rubber Industry Co., Ltd. | 729,000 | 950,036 | ||
China Development Financial Holding Corporation | 116,548 | 73,611 | ||
China Steel Corporation | 1,210,000 | 1,544,040 | ||
CTBC Financial Holding Co., Ltd. | 650,000 | 608,920 | ||
Delta Electronics, Inc. | 410,982 | 4,077,840 | ||
Formosa Chemicals & Fibre Corporation | 32,000 | 93,331 | ||
Formosa Plastics Corporation | 142,000 | 532,965 | ||
Globalwafers Co., Ltd. | 85,000 | 2,723,077 | ||
Hon Hai Precision Industry Co., Ltd. | 357,000 | 1,338,801 | ||
Innolux Corporation | 1,553,000 | 1,097,429 | ||
Lite-On Technology Corporation | 316,000 | 727,668 | ||
MediaTek, Inc. | 277,396 | 11,902,931 | ||
momo.com, Inc. | 13,200 | 772,805 | ||
Nan Ya Plastics Corporation | 68,000 | 209,491 | ||
Nanya Technology Corporation | 886,000 | 2,495,523 | ||
Nien Made Enterprise Co., Ltd. | 40,000 | 595,591 | ||
Novatek Microelectronics Corporation | 34,000 | 660,223 | ||
Pou Chen Corporation | 1,211,000 | 1,448,752 | ||
Powertech Technology, Inc. | 439,763 | 1,549,742 | ||
President Chain Store Corporation | 594,000 | 5,865,199 | ||
Realtek Semiconductor Corporation | 107,000 | 2,235,583 | ||
Silergy Corporation | 23,800 | 4,307,712 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,815,986 | 40,171,424 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 130,552 | 15,706,711 | ||
Tong Hsing Electronic Industries, Ltd. | 65,720 | 703,741 | ||
United Microelectronics Corporation | 799,000 | 1,871,874 | ||
Voltronic Power Technology Corporation | 52,000 | 2,900,976 | ||
Win Semiconductors Corporation | 36,000 | 485,760 | ||
117,280,449 | ||||
Thailand — 1.3% | ||||
Advanced Info Service PCL NVDR | 10,100 | 69,477 | ||
Airports of Thailand PCL* | 1,290,200 | 2,356,001 | ||
Berli Jucker PCL NVDR | 241,900 | 224,301 | ||
Central Retail Corporation PCL | 1,281,400 | 1,227,505 |
Shares | Value | |||
Charoen Pokphand Foods PCL NVDR | 2,644,100 | $ 2,020,274 | ||
CP ALL PCL NVDR | 83,700 | 147,724 | ||
Kasikornbank PCL | 252,600 | 1,071,163 | ||
PTT Exploration & Production PCL | 275,200 | 972,118 | ||
PTT Global Chemical PCL NVDR | 1,222,100 | 2,147,984 | ||
PTT PCL NVDR | 95,900 | 108,830 | ||
10,345,377 | ||||
United Arab Emirates — 0.1% | ||||
Abu Dhabi Commercial Bank PJSC | 361,205 | 838,027 | ||
United Kingdom — 2.6% | ||||
Anglo American PLC | 86,113 | 3,515,397 | ||
Antofagasta PLC | 408,681 | 7,404,183 | ||
Fix Price Group, Ltd. GDR | 96,790 | 730,764 | ||
Network International Holdings PLC 144A* | 411,626 | 1,628,011 | ||
TCS Group Holding PLC GDR | 21,683 | 1,828,311 | ||
Unilever PLC | 115,860 | 6,187,425 | ||
21,294,091 | ||||
Total Foreign Common Stocks (Cost $629,264,954) | 704,113,556 | |||
FOREIGN PREFERRED STOCKS — 0.7% | ||||
Brazil — 0.5% | ||||
Banco Bradesco SA | ||||
1.09%◊ | 185,371 | 642,646 | ||
Braskem SA Class A | ||||
13.35%◊ | 17,700 | 187,060 | ||
Cia Energetica de Minas Gerais | ||||
4.26%◊ | 1 | 2 | ||
Petroleo Brasileiro SA | ||||
7.52%◊ | 430,200 | 2,185,480 | ||
Raizen SA | ||||
0.00%* | 1,095,000 | 1,261,000 | ||
4,276,188 | ||||
Chile — 0.2% | ||||
Embotelladora Andina SA Class B | ||||
5.05%◊ | 551,512 | 1,197,532 | ||
Taiwan — 0.0% | ||||
China Development Financial Holding Corporation | ||||
0.00%* | 106,350 | 36,863 | ||
Total Foreign Preferred Stocks (Cost $5,891,032) | 5,510,583 | |||
MONEY MARKET FUNDS — 9.1% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 48,866,558 | 48,866,558 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 0.04%ا | 4,026,413 | $ 4,026,413 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 22,218,973 | 22,218,973 | ||
Total Money Market Funds (Cost $75,111,944) | 75,111,944 | |||
TOTAL INVESTMENTS — 99.0% (Cost $744,229,713) | 817,871,898 | |||
Other Assets in Excess of Liabilities — 1.0% | 8,371,216 | |||
NET ASSETS — 100.0% | $826,243,114 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
FTSE Taiwan Index | 01/2022 | 263 | $ 16,868,820 | $ 31,552 | ||||
SGX Nifty 50 Index | 01/2022 | 142 | 4,952,818 | 74,955 | ||||
Hang Seng China Enterprises Index | 01/2022 | (110) | (5,831,126) | (70,768) | ||||
FTSE KLCI | 01/2022 | 114 | 2,132,369 | 26,942 | ||||
KOSPI2 Index | 03/2022 | 331 | 27,444,111 | 134,865 | ||||
Mexican Bolsa Index | 03/2022 | 2 | 52,513 | 2,154 | ||||
MSCI Emerging Markets | 03/2022 | 1,195 | 73,271,425 | (177,723) | ||||
Total Futures Contracts outstanding at December 31, 2021 | $118,890,930 | $ 21,977 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/16/22 | Mexican Pesos | 665,424,479 | U.S. Dollars | (30,728,484) | CITI | $1,341,756 | ||||||
03/16/22 | U.S. Dollars | 21,758,692 | Philippine Pesos | (1,105,458,000) | CITI | 379,591 | ||||||
03/16/22 | Polish Zloty | 65,728,000 | U.S. Dollars | (15,903,671) | CITI | 317,359 | ||||||
03/16/22 | Brazilian Reals | 116,034,000 | U.S. Dollars | (20,217,869) | CITI | 231,038 | ||||||
03/16/22 | Chinese Offshore Yuan | 143,236,079 | U.S. Dollars | (22,276,397) | CITI | 144,828 | ||||||
03/16/22 | U.S. Dollars | 29,388,266 | South Korean Won | (34,862,149,000) | CITI | 123,096 | ||||||
03/16/22 | Russian Rubles | 1,041,564,500 | U.S. Dollars | (13,591,203) | CITI | 105,686 | ||||||
03/16/22 | U.S. Dollars | 8,297,120 | Russian Rubles | (623,000,000) | CITI | 104,481 | ||||||
03/16/22 | Indian Rupees | 1,048,062,125 | U.S. Dollars | (13,838,301) | CITI | 101,072 | ||||||
03/16/22 | U.S. Dollars | 4,024,053 | Colombian Pesos | (16,100,000,000) | CITI | 97,424 | ||||||
03/16/22 | Singapore Dollars | 10,330,000 | U.S. Dollars | (7,571,859) | CITI | 90,689 | ||||||
03/16/22 | Czech Republic Koruna | 83,000,000 | U.S. Dollars | (3,691,388) | CITI | 80,103 | ||||||
03/16/22 | U.S. Dollars | 4,461,617 | Chilean Pesos | (3,792,030,000) | CITI | 61,861 | ||||||
03/16/22 | Thai Baht | 205,513,375 | U.S. Dollars | (6,093,609) | CITI | 56,839 | ||||||
03/16/22 | U.S. Dollars | 8,584,782 | Israeli Shekels | (26,514,000) | CITI | 50,845 | ||||||
03/16/22 | South African Rand | 52,134,875 | U.S. Dollars | (3,199,239) | CITI | 37,822 | ||||||
03/16/22 | Indonesian Rupiahs | 36,861,457,000 | U.S. Dollars | (2,543,597) | CITI | 27,121 | ||||||
03/16/22 | U.S. Dollars | 4,548,965 | South African Rand | (72,880,000) | CITI | 23,836 | ||||||
03/16/22 | U.S. Dollars | 1,328,635 | Thai Baht | (43,727,999) | CITI | 19,976 | ||||||
03/16/22 | Hungarian Forint | 880,000,000 | U.S. Dollars | (2,672,401) | CITI | 19,077 | ||||||
03/16/22 | Israeli Shekels | 4,325,000 | U.S. Dollars | (1,375,660) | CITI | 16,407 | ||||||
03/16/22 | Euro | 543,000 | U.S. Dollars | (614,305) | CITI | 4,861 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/16/22 | U.S. Dollars | 2,853,658 | Taiwan Dollars | (78,536,167) | CITI | $ 4,631 | ||||||
03/16/22 | Peruvian Nuevo Soles | 829,874 | U.S. Dollars | (204,554) | CITI | 2,522 | ||||||
03/16/22 | South Korean Won | 2,306,548,000 | U.S. Dollars | (1,933,915) | CITI | 2,326 | ||||||
03/16/22 | U.S. Dollars | 4,128,296 | Hong Kong Dollars | (32,169,000) | CITI | 2,219 | ||||||
03/16/22 | Hong Kong Dollars | 73,026,000 | U.S. Dollars | (9,364,477) | CITI | 2,021 | ||||||
03/16/22 | Taiwan Dollars | 28,732,000 | U.S. Dollars | (1,040,279) | CITI | 2,021 | ||||||
03/16/22 | U.S. Dollars | 961,129 | Saudi Riyal | (3,607,000) | CITI | 531 | ||||||
Subtotal Appreciation | $ 3,452,039 | |||||||||||
03/16/22 | U.S. Dollars | 5,158 | South Korean Won | (6,145,000) | CITI | $ — | ||||||
03/16/22 | Taiwan Dollars | 44,000 | U.S. Dollars | (1,599) | CITI | (3) | ||||||
03/16/22 | Hungarian Forint | 510,000,000 | U.S. Dollars | (1,560,102) | CITI | (268) | ||||||
03/16/22 | Chinese Offshore Yuan | 6,396,000 | U.S. Dollars | (1,001,570) | CITI | (383) | ||||||
03/16/22 | U.S. Dollars | 90,408 | Euro | (80,000) | CITI | (813) | ||||||
03/16/22 | Indian Rupees | 118,957,875 | U.S. Dollars | (1,583,003) | CITI | (847) | ||||||
03/16/22 | U.S. Dollars | 73,700 | Peruvian Nuevo Soles | (300,000) | CITI | (1,158) | ||||||
03/16/22 | U.S. Dollars | 5,064,977 | Hong Kong Dollars | (39,500,000) | CITI | (1,392) | ||||||
03/16/22 | Saudi Riyal | 15,314,000 | U.S. Dollars | (4,081,027) | CITI | (2,677) | ||||||
03/16/22 | U.S. Dollars | 3,812,907 | Taiwan Dollars | (105,246,943) | CITI | (5,097) | ||||||
03/16/22 | U.S. Dollars | 393,470 | Hungarian Forint | (130,344,000) | CITI | (5,187) | ||||||
03/16/22 | Israeli Shekels | 7,560,000 | U.S. Dollars | (2,440,689) | CITI | (7,387) | ||||||
03/16/22 | Hong Kong Dollars | 68,703,000 | U.S. Dollars | (8,819,569) | CITI | (7,549) | ||||||
03/16/22 | U.S. Dollars | 499,659 | Polish Zloty | (2,089,000) | CITI | (15,886) | ||||||
03/16/22 | U.S. Dollars | 1,283,388 | South African Rand | (20,932,000) | CITI | (16,283) | ||||||
03/16/22 | U.S. Dollars | 2,137,636 | Thai Baht | (72,076,001) | CITI | (19,400) | ||||||
03/16/22 | U.S. Dollars | 2,783,558 | Indonesian Rupiahs | (40,275,718,212) | CITI | (25,270) | ||||||
03/16/22 | U.S. Dollars | 4,502,844 | Chinese Offshore Yuan | (28,944,000) | CITI | (27,857) | ||||||
03/16/22 | U.S. Dollars | 7,720,954 | Russian Rubles | (590,078,000) | CITI | (38,751) | ||||||
03/16/22 | U.S. Dollars | 2,732,999 | Chilean Pesos | (2,400,000,000) | CITI | (51,635) | ||||||
03/16/22 | South Korean Won | 12,779,483,000 | U.S. Dollars | (10,798,546) | CITI | (70,758) | ||||||
03/16/22 | South African Rand | 179,534,125 | U.S. Dollars | (11,227,882) | CITI | (80,584) | ||||||
03/16/22 | U.S. Dollars | 5,992,267 | Israeli Shekels | (18,871,000) | CITI | (81,653) | ||||||
03/16/22 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | (8,649,000) | SC | (116,826) | ||||||
03/16/22 | Thai Baht | 345,820,625 | U.S. Dollars | (10,506,486) | CITI | (157,029) | ||||||
03/16/22 | U.S. Dollars | 14,075,528 | Singapore Dollars | (19,190,000) | CITI | (159,157) | ||||||
03/16/22 | Russian Rubles | 1,313,743,500 | U.S. Dollars | (17,435,650) | CITI | (159,525) | ||||||
03/16/22 | Colombian Pesos | 31,700,000,000 | U.S. Dollars | (7,955,883) | CITI | (224,570) | ||||||
03/16/22 | U.S. Dollars | 16,257,217 | Indian Rupees | (1,242,686,000) | CITI | (270,681) | ||||||
03/16/22 | U.S. Dollars | 10,425,598 | Brazilian Reals | (60,699,000) | CITI | (271,509) | ||||||
03/16/22 | Philippine Pesos | 602,000,000 | U.S. Dollars | (11,978,591) | CITI | (336,160) | ||||||
03/16/22 | U.S. Dollars | 9,106,153 | Mexican Pesos | (196,883,000) | CITI | (382,655) | ||||||
03/16/22 | Chilean Pesos | 10,620,937,890 | U.S. Dollars | (12,725,966) | CITI | (402,874) | ||||||
03/16/22 | U.S. Dollars | 3,253,457 | Chinese Offshore Yuan | (24,819,000) | MSCS | (446,677) | ||||||
03/16/22 | U.S. Dollars | 18,350,631 | Czech Republic Koruna | (415,500,000) | CITI | (529,543) | ||||||
Subtotal Depreciation | $(3,918,044) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2021 | $ (466,005) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Decrease in total return of Tel Aviv 35 Index (At Termination) | Increase in total return of Tel Aviv 35 Index (At Termination) | 1/28/2022 | GSC | ILS | 3,956,120 | $ 10,978 | $ — | $ 10,978 | ||||||||
Increase in total return of Bovespa Index (At Termination) | Decrease in total return of Bovespa Index (At Termination) | 2/16/2022 | GSC | BRL | 11,639,650 | 69,215 | — | 69,215 | ||||||||
Financing Index: 1-Month WIBOR + 1.4% | MSCI Poland Net Return PLN Index (Monthly) | 3/16/2022 | GSC | PLN | 1,856,395 | 9,828 | — | 9,828 | ||||||||
Financing Index: 1-Month WIBOR + 1.4% | MSCI Poland Net Return PLN Index (Monthly) | 3/16/2022 | GSC | PLN | 1,222,580 | 9,199 | — | 9,199 | ||||||||
Financing Index: 28-Day Mexico Interbank TIIE + 0.15% | MSCI Mexico Net MXN Index (Monthly) | 3/16/2022 | GSC | MXN | 60,942,407 | 128,382 | — | 128,382 | ||||||||
MSCI Brazil Net Return BRL Index (Monthly) | Financing Index: Brazil Cetip Di Interbank Deposit Rate - 0.45% | 3/16/2022 | GSC | BRL | 4,165,455 | 25,531 | — | 25,531 | ||||||||
MSCI Singapore Net Return SGD Index (Monthly) | Financing Index: Singapore Overnight Rate + 0.2% | 3/16/2022 | GSC | SGD | 1,363,499 | 26,921 | — | 26,921 | ||||||||
Decrease in total return of WIG20 Index (At Termination) | Increase in total return of WIG20 Index (At Termination) | 3/18/2022 | GSC | PLN | 4,649,160 | 26,237 | — | 26,237 | ||||||||
Subtotal Appreciation | $ 306,291 | $ — | $ 306,291 | |||||||||||||
Decrease in total return of SGX Nifty 50 Index (At Termination) | Increase in total return of SGX Nifty 50 Index (At Termination) | 1/27/2022 | GSC | USD | 1,983,300 | $ (8,281) | $ — | $ (8,281) | ||||||||
Increase in total return of HSCEI Index (At Termination) | Decrease in total return of HSCEI Index (At Termination) | 1/28/2022 | CITI | HKD | 24,387,650 | (46,535) | — | (46,535) | ||||||||
Increase in total return of HSCEI Index (At Termination) | Decrease in total return of HSCEI Index (At Termination) | 1/28/2022 | GSC | HKD | 11,160,450 | (16,086) | — | (16,086) | ||||||||
Financing Index: Overnight Bank Funding Rate + 0% | MSCI Daily Total Return Net Emerging Markets USD Index (Monthly) | 3/16/2022 | GSC | USD | 345,679 | (3,828) | — | (3,828) | ||||||||
MSCI Emerging Markets Thailand Net Total Return USD Index (Monthly) | Financing Index: Overnight Bank Funding Rate - 0.25% | 3/16/2022 | GSC | USD | 13,421,458 | (343,748) | — | (343,748) | ||||||||
MSCI South Africa Net Return ZAR Index (Monthly) | Financing Index: 1-Month SAFE South Africa JIBAR + 0.28% | 3/16/2022 | GSC | ZAR | 20,455,855 | (15,844) | — | (15,844) | ||||||||
Subtotal Depreciation | $(434,322) | $ — | $(434,322) | |||||||||||||
Net Total Return Swaps outstanding at December 31, 2021 | $(128,031) | $ — | $(128,031) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 33,135,815 | $ 33,135,815 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Brazil | 23,194,994 | 3,695,873 | 19,499,121 | — | |||
Egypt | 2,548,198 | 350,604 | 2,197,594 | — | |||
Hong Kong | 79,513,033 | 78,546,883 | — | 966,150 | |||
Hungary | 4,179,454 | — | 4,179,454 | — | |||
Indonesia | 20,111,820 | 2,091,341 | 18,020,479 | — | |||
Poland | 11,144,712 | 1,152,811 | 9,991,901 | — | |||
Saudi Arabia | 6,956,466 | 1,813,357 | 5,143,109 | — | |||
South Korea | 92,039,767 | — | 92,039,767 | — | |||
Taiwan ^^ | 117,280,449 | 15,706,711 | 101,573,738 | — | |||
Thailand | 10,345,377 | — | 10,345,377 | — | |||
United Arab Emirates | 838,027 | — | 838,027 | — | |||
Other ^^ | 335,961,259 | 335,961,259 | — | — | |||
Total Foreign Common Stocks | 704,113,556 | 439,318,839 | 263,828,567 | 966,150 | |||
Foreign Preferred Stocks: | |||||||
Brazil | 4,276,188 | — | 4,276,188 | — | |||
Other ^^ | 1,234,395 | 1,234,395 | — | — | |||
Total Foreign Preferred Stocks | 5,510,583 | 1,234,395 | 4,276,188 | — | |||
Money Market Funds | 75,111,944 | 75,111,944 | — | — | |||
Total Assets - Investments in Securities | $817,871,898 | $548,800,993 | $268,104,755 | $966,150 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 3,452,039 | $ — | $ 3,452,039 | $ — | |||
Futures Contracts | 270,468 | 270,468 | — | — | |||
Swap Agreements | 306,291 | — | 306,291 | — | |||
Total Assets - Other Financial Instruments | $ 4,028,798 | $ 270,468 | $ 3,758,330 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (3,918,044) | $ — | $ (3,918,044) | $ — | |||
Futures Contracts | (248,491) | (248,491) | — | — | |||
Swap Agreements | (434,322) | — | (434,322) | — | |||
Total Liabilities - Other Financial Instruments | $ (4,600,857) | $ (248,491) | $ (4,352,366) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2021 |
Defensive Market Strategies® Fund | Global Impact Fund | Equity Index Fund | |||
Assets | |||||
Investments in securities of unaffiliated issuers, at value | $1,499,810,633 | $169,349,289 | $3,271,333,305 | ||
Investments in securities of affiliated issuers, at value | 39,220,393 | 5,291,910 | 62,134,618 | ||
Total investments, at value(1), (2) | 1,539,031,026 | 174,641,199 | 3,333,467,923 | ||
Cash | 717,912 | 5,576 | — | ||
Cash collateral for derivatives | — | — | — | ||
Deposits with broker for futures contracts | — | 930,173 | 3,146,206 | ||
Foreign currency(3) | — | 9,458 | — | ||
Receivables: | |||||
Dividends and reclaims | 796,540 | 56,501 | 1,588,853 | ||
Interest | 1,774,028 | 243,891 | — | ||
Securities lending | 20,354 | 196 | 27,157 | ||
From broker | — | — | — | ||
Investment securities sold | 215,427 | — | — | ||
Fund shares sold | 346,447 | 10,000 | 719,370 | ||
Variation margin on futures contracts | — | 31,834 | — | ||
Unrealized appreciation on foreign currency exchange contracts | 30,499 | — | — | ||
Unrealized appreciation on swap agreements | — | — | — | ||
Prepaid expenses and other assets | 15,268 | 26,686 | 21,518 | ||
Total Assets | 1,542,947,501 | 175,955,514 | 3,338,971,027 | ||
Liabilities | |||||
Cash Overdraft | — | — | — | ||
Securities sold short, at value(4) | — | — | — | ||
Options written, at value(5) | 2,628,590 | — | — | ||
Unrealized depreciation on foreign currency exchange contracts | 331,065 | — | — | ||
Unrealized depreciation on swap agreements | — | — | — | ||
Collateral held for securities on loan, at value | 34,282,159 | — | 1,227,216 | ||
Collateral from counterparty | — | — | — | ||
Payables: | |||||
Investment securities purchased | 573,882 | — | — | ||
Fund shares redeemed | 199,402 | 3,651 | 191,238 | ||
Variation margin on futures contracts | 18,055 | — | 181,500 | ||
Foreign capital gains taxes | — | — | — | ||
Accrued expenses: | |||||
Investment advisory fees | 766,633 | 94,821 | 240,141 | ||
Shareholder servicing fees | 94,787 | 6,371 | 193,018 | ||
Trustee fees | 783 | 6 | 1,461 | ||
Other expenses | 195,708 | 70,996 | 384,707 | ||
Total Liabilities | 39,091,064 | 175,845 | 2,419,281 | ||
Net Assets | $1,503,856,437 | $175,779,669 | $3,336,551,746 | ||
Net Assets Consist of: | |||||
Paid-in-capital | $1,238,072,496 | $160,495,690 | $1,745,929,012 | ||
Distributable earnings (loss) | 265,783,941 | 15,283,979 | 1,590,622,734 | ||
Net Assets | $1,503,856,437 | $175,779,669 | $3,336,551,746 | ||
Net Asset Value: | |||||
$0.001 par value, unlimited shares authorized | |||||
Net assets applicable to the Institutional Class | $1,049,002,675 | $145,392,904 | $2,403,000,490 | ||
Institutional shares outstanding | 73,381,915 | 13,281,289 | 47,498,514 | ||
Net asset value, offering and redemption price per Institutional share | $ 14.30 | $ 10.95 | $ 50.59 | ||
Net assets applicable to the Investor Class | $ 454,853,762 | $ 30,386,765 | $ 933,551,256 | ||
Investor shares outstanding | 31,812,136 | 2,779,075 | 18,445,836 | ||
Net asset value, offering and redemption price per Investor share | $ 14.30 | $ 10.93 | $ 50.61 | ||
(1)Investments in securities of unaffiliated issuers, at cost | $1,420,756,463 | $154,384,036 | $1,698,828,989 | ||
Investments in securities of affiliated issuers, at cost | 39,220,393 | 5,291,910 | 62,134,618 | ||
Total investments, at cost | $1,459,976,856 | $159,675,946 | $1,760,963,607 | ||
(2)Includes securities loaned of: | $ 50,672,747 | $ 1,702,427 | $ 93,675,896 | ||
(3)Foreign currency, at cost | $ — | $ 9,458 | $ — | ||
(4)Proceeds from securities sold short | $ — | $ — | $ — | ||
(5)Premiums received on options written | $ 4,851,262 | $ — | $ — | ||
(6)Net of $(144,598) and $(3,097,752) accrued foreign capital gains taxed on appreciated securities for International Equity Fund and Emerging Markets Equity Fund, respectively. |
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | |||||
$1,364,429,937 | $2,019,406,374 | $857,743,093 | $788,124,778 | $1,226,725,864 | $769,005,340 | |||||
44,330,279 | 76,063,715 | 30,899,191 | 46,086,919 | 85,821,408 | 48,866,558 | |||||
1,408,760,216 | 2,095,470,089 | 888,642,284 | 834,211,697 | 1,312,547,272 | 817,871,898 | |||||
2,682 | — | 11,071 | 1,327 | — | — | |||||
— | — | — | — | 17,270,000 | 10,200,000 | |||||
2,319,008 | 4,015,468 | 1,853,000 | 2,912,376 | 12,930,132 | 8,678,182 | |||||
— | — | — | 2,970,291 | 4,408,753 | 1,592,935 | |||||
1,662,466 | 448,025 | 542,670 | 2,632,650 | 5,955,647 | 1,556,897 | |||||
— | — | — | — | — | — | |||||
17,708 | 15,461 | 21,330 | 4,743 | 2,968 | 906 | |||||
— | — | — | — | — | 447,007 | |||||
112,929 | 73,006 | 483,161 | — | 10,966 | 2,282,871 | |||||
346,730 | 31,225 | 163,038 | 256,577 | 136,081 | 67,918 | |||||
— | — | — | — | 124,255 | — | |||||
— | — | — | — | 1,895,935 | 3,452,039 | |||||
— | — | — | — | 1,958,434 | 306,291 | |||||
16,969 | 24,548 | 19,712 | 4,486 | 12,118 | 23,004 | |||||
1,413,238,708 | 2,100,077,822 | 891,736,266 | 842,994,147 | 1,357,252,561 | 846,479,948 | |||||
— | — | — | — | 4,143,120 | 3,393,610 | |||||
— | — | — | — | 1,087,614 | — | |||||
— | — | — | — | — | — | |||||
811,555 | — | 9,816 | — | 2,836,693 | 3,918,044 | |||||
— | — | — | — | 687,194 | 434,322 | |||||
1,685,880 | 10,176,712 | 17,934,148 | 8,717,861 | 40,586 | 4,026,413 | |||||
— | — | — | — | 1,195,944 | 489,480 | |||||
911,304 | — | 2,468,092 | — | 20,708 | 2,759,730 | |||||
89,335 | 481,866 | 201,898 | 54,867 | 91,707 | 707,697 | |||||
132,000 | 224,125 | 57,605 | 29,705 | — | 471,375 | |||||
— | — | — | — | 144,598 | 3,097,752 | |||||
693,915 | 1,119,488 | 611,039 | 85,916 | 867,122 | 577,544 | |||||
88,903 | 203,896 | 72,111 | — | 73,949 | 23,186 | |||||
596 | 1,421 | 877 | — | 933 | 516 | |||||
172,585 | 239,098 | 140,311 | 211,751 | 407,558 | 337,165 | |||||
4,586,073 | 12,446,606 | 21,495,897 | 9,100,100 | 11,597,726 | 20,236,834 | |||||
$1,408,652,635 | $2,087,631,216 | $870,240,369 | $833,894,047 | $1,345,654,835 | $826,243,114 | |||||
$1,092,982,151 | $1,265,608,006 | $692,838,010 | $706,877,415 | $1,161,928,205 | $769,035,410 | |||||
315,670,484 | 822,023,210 | 177,402,359 | 127,016,632 | 183,726,630 (6) | 57,207,704 (6) | |||||
$1,408,652,635 | $2,087,631,216 | $870,240,369 | $833,894,047 | $1,345,654,835 | $826,243,114 | |||||
$ 971,585,662 | $1,108,030,609 | $519,549,203 | $833,894,047 | $ 987,438,664 | $714,817,906 | |||||
45,465,309 | 37,027,596 | 26,584,658 | 69,122,186 | 66,500,731 | 67,005,245 | |||||
$ 21.37 | $ 29.92 | $ 19.54 | $ 12.06 | $ 14.85 | $ 10.67 | |||||
$ 437,066,973 | $ 979,600,607 | $350,691,166 | N/A | $ 358,216,171 | $111,425,208 | |||||
20,469,451 | 33,275,322 | 18,124,971 | N/A | 24,146,188 | 10,482,361 | |||||
$ 21.35 | $ 29.44 | $ 19.35 | N/A | $ 14.84 | $ 10.63 | |||||
$1,047,300,433 | $1,257,415,391 | $687,245,779 | $661,365,121 | $1,020,791,264 | $695,363,155 | |||||
44,330,279 | 76,063,715 | 30,899,191 | 46,086,919 | 85,821,408 | 48,866,558 | |||||
$1,091,630,712 | $1,333,479,106 | $718,144,970 | $707,452,040 | $1,106,612,672 | $744,229,713 | |||||
$ 29,420,706 | $ 167,628,183 | $ 93,396,584 | $ 23,787,825 | $ 21,147,390 | $ 11,370,117 | |||||
$ — | $ — | $ — | $ 2,946,047 | $ 4,466,040 | $ 1,587,325 | |||||
$ — | $ — | $ — | $ — | $ 803,636 | $ — | |||||
$ — | $ — | $ — | $ — | $ — | $ — | |||||
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2021 |
Defensive Market Strategies® Fund | Global Impact Fund(1) | Equity Index Fund | |||
Investment Income | |||||
Dividends | $ 13,530,790 | $ 1,084,821 | $ 38,400,524 | ||
Non Cash Dividends | — | — | — | ||
Interest | 2,368,261 | 718,324 | 163 | ||
Securities lending, net | 189,782 | 4,277 | 246,186 | ||
Less foreign taxes withheld | (27,120) | (77,030) | (206,716) | ||
Total Investment Income | 16,061,713 | 1,730,392 | 38,440,157 | ||
Expenses | |||||
Investment advisory fees | 8,739,328 | 1,003,694 | 2,524,137 | ||
Transfer agent fees: | |||||
Institutional shares | 5,146 | 3,346 | 5,212 | ||
Investor shares | 36,896 | 11,271 | 71,220 | ||
Custodian fees | 80,409 | 29,693 | 49,704 | ||
Shareholder servicing fees: | |||||
Investor shares | 1,084,789 | 65,559 | 2,061,464 | ||
Accounting and administration fees | 223,384 | 23,214 | 458,096 | ||
Professional fees | 47,881 | 131,133 | 98,062 | ||
Shareholder reporting fees: | |||||
Institutional shares | 2,452 | 1,589 | 1,568 | ||
Investor shares | 12,640 | 7,918 | 13,769 | ||
Trustees expenses | 5,386 | 162 | 10,686 | ||
Line of credit facility fees | 4,600 | 642 | 8,083 | ||
S&P license fees | — | — | 302,177 | ||
MSCI license fees | — | — | — | ||
Dividends on securities sold short | — | — | — | ||
Other expenses | 179,708 | 105,947 | 184,548 | ||
Recoupment of prior expenses reduced by the Advisor | — | — | — | ||
Total Expenses | 10,422,619 | 1,384,168 | 5,788,726 | ||
Expenses waived/reimbursed(2) | — | — | — | ||
Fees paid indirectly | — | — | — | ||
Net Expenses | 10,422,619 | 1,384,168 | 5,788,726 | ||
Net Investment Income (Loss) | 5,639,094 | 346,224 | 32,651,431 | ||
Realized and Unrealized Gain (Loss) | |||||
Net realized gain (loss) from: | |||||
Investment securities (net of capital gains taxes of $(1,393,231) and $(1,113,888) for International Equity Fund and Emerging Markets Equity Fund, respectively) | 276,000,185 | 364,431 | 48,166,976 | ||
Investment securities sold short | — | — | — | ||
Futures transactions | (286,846) | 774,734 | 16,050,263 | ||
Swap agreements | — | — | — | ||
Option contracts written | 26,986,233 | — | — | ||
Forward foreign currency contracts | 2,343,713 | — | — | ||
Foreign currency | (24,407) | (4,151) | — | ||
Net realized gain | 305,018,878 | 1,135,014 | 64,217,239 | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investment securities (net of estimated capital gains taxes of $(144,598) and $(3,097,752) for International Equity Fund and Emerging Markets Fund, respectively) | (163,946,178) | 14,965,253 | 618,141,856 | ||
Investment securities sold short | — | — | — | ||
Futures | 339,305 | 55,230 | 316,156 | ||
Swap agreements | — | — | — | ||
Option contracts written | 1,631,848 | — | — | ||
Option contracts purchased | 11,776,696 | — | — | ||
Forward foreign currency contracts | (326,563) | — | — | ||
Foreign currency | (15,635) | 15 | — | ||
Net change in unrealized appreciation (depreciation) | (150,540,527) | 15,020,498 | 618,458,012 | ||
Net Realized and Unrealized Gain (Loss) | 154,478,351 | 16,155,512 | 682,675,251 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ 160,117,445 | $16,501,736 | $715,326,682 |
(1) | For the period January 29, 2021 (commencement of operations) through December 31, 2021. | |
(2) | See Note 3c in Notes to Financial Statements. |
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | |||||
$ 27,034,365 | $ 10,218,572 | $ 7,436,461 | $20,868,843 | $ 24,019,245 | $ 17,688,480 | |||||
— | — | — | 2,825,576 | 1,823,454 | — | |||||
— | 2 | 74,397 | — | 11,580 | — | |||||
160,487 | 353,469 | 533,172 | 224,223 | 122,371 | 60,013 | |||||
(544,266) | (215,567) | (6,111) | (1,537,817) | (2,443,765) | (2,127,461) | |||||
26,650,586 | 10,356,476 | 8,037,919 | 22,380,825 | 23,532,885 | 15,621,032 | |||||
8,067,541 | 13,318,385 | 6,977,126 | 910,208 | 10,233,032 | 6,931,176 | |||||
4,837 | 5,139 | 5,062 | 4,121 | 5,197 | 4,990 | |||||
21,859 | 49,013 | 25,884 | — | 34,618 | 17,997 | |||||
37,927 | 46,816 | 77,339 | 191,330 | 724,028 | 1,162,826 | |||||
1,014,847 | 2,399,783 | 851,643 | — | 885,157 | 282,807 | |||||
209,665 | 323,443 | 136,444 | 128,992 | 207,687 | 130,938 | |||||
99,983 | 97,951 | 111,279 | 109,223 | 108,809 | 112,120 | |||||
1,478 | 1,666 | 1,629 | 5,051 | 652 | 1,641 | |||||
10,771 | 13,150 | 10,623 | — | 9,124 | 7,693 | |||||
5,392 | 10,111 | 6,425 | 252 | 5,391 | 3,650 | |||||
4,460 | 6,825 | 3,779 | 2,630 | 4,545 | 3,328 | |||||
— | — | — | — | — | — | |||||
— | — | — | 260,240 | — | — | |||||
— | — | — | — | 34,466 | — | |||||
134,324 | 187,480 | 114,856 | 120,813 | 277,540 | 210,151 | |||||
— | — | — | 86,299 | — | — | |||||
9,613,084 | 16,459,762 | 8,322,089 | 1,819,159 | 12,530,246 | 8,869,317 | |||||
— | — | — | (4,928) | — | — | |||||
(20,498) | (43,997) | (57,447) | — | — | (1,963) | |||||
9,592,586 | 16,415,765 | 8,264,642 | 1,814,231 | 12,530,246 | 8,867,354 | |||||
17,058,000 | (6,059,289) | (226,723) | 20,566,594 | 11,002,639 | 6,753,678 | |||||
145,125,611 | 381,816,729 | 131,332,798 | 26,018,194 | 101,536,723 | 68,365,892 | |||||
— | — | — | — | (2,025,963) | — | |||||
10,091,869 | 14,525,795 | 3,063,481 | 5,507,743 | 11,422,115 | 1,842,239 | |||||
— | — | — | — | 6,801,048 | 4,186,171 | |||||
— | — | — | — | — | — | |||||
2,757,551 | — | 103,558 | — | (7,855,214) | (1,104,514) | |||||
2,400 | — | 2,194 | (117,608) | (645,431) | (560,401) | |||||
157,977,431 | 396,342,524 | 134,502,031 | 31,408,329 | 109,233,278 | 72,729,387 | |||||
113,201,859 | (56,695,959) | 19,566,655 | 31,975,042 | (668,362) | (89,346,109) | |||||
— | — | — | — | 1,814,107 | — | |||||
514,976 | 284,589 | (118,290) | 404,213 | (1,392,531) | (2,380,566) | |||||
— | — | — | — | 3,650,429 | (1,537,325) | |||||
— | — | — | — | — | — | |||||
— | — | — | — | — | — | |||||
(575,964) | — | (9,816) | — | (2,597,095) | (478,289) | |||||
— | — | — | (125,209) | (377,908) | 79,123 | |||||
113,140,871 | (56,411,370) | 19,438,549 | 32,254,046 | 428,640 | (93,663,166) | |||||
271,118,302 | 339,931,154 | 153,940,580 | 63,662,375 | 109,661,918 | (20,933,779) | |||||
$288,176,302 | $333,871,865 | $153,713,857 | $84,228,969 | $120,664,557 | $(14,180,101) |
STATEMENTS OF CHANGES IN NET ASSETS |
Defensive Market Strategies® Fund | |||
For the Year Ended | |||
12/31/21 | 12/31/20 | ||
Operations: | |||
Net investment income | $ 5,639,094 | $ 10,012,122 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 305,018,878 | 48,320,242 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (150,540,527) | 58,324,843 | |
Net increase in net assets resulting from operations | 160,117,445 | 116,657,207 | |
Distributions to Shareholders: | |||
Institutional shares | (102,492,352) | (28,360,215) | |
Investor shares | (43,892,585) | (11,880,888) | |
Total distributions | (146,384,937) | (40,241,103) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 101,913,277 | 113,480,463 | |
Investor shares | 77,253,297 | 109,047,446 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 102,410,835 | 28,332,976 | |
Investor shares | 43,392,557 | 11,614,320 | |
Total proceeds from shares sold and reinvested | 324,969,966 | 262,475,205 | |
Value of shares redeemed | |||
Institutional shares | (92,325,267) | (77,994,633) | |
Investor shares | (79,559,985) | (186,378,333) | |
Total value of shares redeemed | (171,885,252) | (264,372,966) | |
Net increase (decrease) from capital share transactions(2) | 153,084,714 | (1,897,761) | |
Total increase in net assets | 166,817,222 | 74,518,343 | |
Net Assets: | |||
Beginning of Year | 1,337,039,215 | 1,262,520,872 | |
End of Year | $1,503,856,437 | $1,337,039,215 |
(2) | See Note 6 in Notes to Financial Statements. |
Global Impact Fund(1) | Equity Index Fund | Value Equity Fund | ||||||
For the Period Ended | For the Year Ended | For the Year Ended | ||||||
12/31/21 | 12/31/21 | 12/31/20 | 12/31/21 | 12/31/20 | ||||
$ 346,224 | $ 32,651,431 | $ 32,674,137 | $ 17,058,000 | $ 19,065,258 | ||||
1,135,014 | 64,217,239 | 47,322,749 | 157,977,431 | (5,835,474) | ||||
15,020,498 | 618,458,012 | 308,888,250 | 113,140,871 | 39,259,823 | ||||
16,501,736 | 715,326,682 | 388,885,136 | 288,176,302 | 52,489,607 | ||||
(1,065,554) | (75,568,513) | (41,880,879) | (110,145,870) | (17,764,971) | ||||
(152,203) | (27,787,525) | (15,314,572) | (48,291,794) | (6,799,021) | ||||
(1,217,757) | (103,356,038) | (57,195,451) | (158,437,664) | (24,563,992) | ||||
139,196,191 | 300,877,960 | 245,735,231 | 53,440,513 | 125,871,724 | ||||
28,726,035 | 125,608,438 | 141,664,866 | 72,355,582 | 29,220,026 | ||||
1,065,554 | 73,903,137 | 40,937,745 | 110,083,989 | 17,755,900 | ||||
152,203 | 27,665,076 | 15,249,001 | 48,224,945 | 6,781,640 | ||||
169,139,983 | 528,054,611 | 443,586,843 | 284,105,029 | 179,629,290 | ||||
(7,676,291) | (181,914,711) | (256,623,744) | (181,628,402) | (107,218,689) | ||||
(968,002) | (110,582,572) | (165,282,938) | (62,099,803) | (76,694,657) | ||||
(8,644,293) | (292,497,283) | (421,906,682) | (243,728,205) | (183,913,346) | ||||
160,495,690 | 235,557,328 | 21,680,161 | 40,376,824 | (4,284,056) | ||||
175,779,669 | 847,527,972 | 353,369,846 | 170,115,462 | 23,641,559 | ||||
— | 2,489,023,774 | 2,135,653,928 | 1,238,537,173 | 1,214,895,614 | ||||
$175,779,669 | $3,336,551,746 | $2,489,023,774 | $1,408,652,635 | $1,238,537,173 |
(1) | For the period January 29, 2021 (commencement of operations) through December 31, 2021. |
STATEMENTS OF CHANGES IN NET ASSETS |
Growth Equity Fund | Small Cap Equity Fund | ||||||
For the Year Ended | For the Year Ended | ||||||
12/31/21 | 12/31/20 | 12/31/21 | 12/31/20 | ||||
Operations: | |||||||
Net investment income (loss) | $ (6,059,289) | $ (892,507) | $ (226,723) | $ 66,077 | |||
Net realized gain (loss) on investment securities, foreign currency and derivatives | 396,342,524 | 288,812,882 | 134,502,031 | (1,140,081) | |||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (56,411,370) | 255,761,652 | 19,438,549 | 114,909,817 | |||
Net increase (decrease) in net assets resulting from operations | 333,871,865 | 543,682,027 | 153,713,857 | 113,835,813 | |||
Distributions to Shareholders: | |||||||
Institutional shares | (192,668,583) | (144,758,996) | (72,575,649) | (4,586,466) | |||
Investor shares | (172,602,822) | (130,715,878) | (49,546,274) | (2,914,331) | |||
Total distributions | (365,271,405) | (275,474,874) | (122,121,923) | (7,500,797) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 90,705,263 | 119,129,235 | 80,586,854 | 82,357,232 | |||
Investor shares | 73,022,150 | 157,705,761 | 80,131,997 | 28,232,380 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 192,563,028 | 144,705,800 | 72,378,323 | 4,574,145 | |||
Investor shares | 172,275,100 | 130,472,321 | 49,454,914 | 2,908,010 | |||
Total proceeds from shares sold and reinvested | 528,565,541 | 552,013,117 | 282,552,088 | 118,071,767 | |||
Value of shares redeemed | |||||||
Institutional shares | (229,277,241) | (278,950,981) | (81,879,444) | (66,161,278) | |||
Investor shares | (202,669,619) | (217,006,766) | (58,839,422) | (57,888,097) | |||
Total value of shares redeemed | (431,946,860) | (495,957,747) | (140,718,866) | (124,049,375) | |||
Net increase (decrease) from capital share transactions(1) | 96,618,681 | 56,055,370 | 141,833,222 | (5,977,608) | |||
Total increase in net assets | 65,219,141 | 324,262,523 | 173,425,156 | 100,357,408 | |||
Net Assets: | |||||||
Beginning of Year | 2,022,412,075 | 1,698,149,552 | 696,815,213 | 596,457,805 | |||
End of Year | $2,087,631,216 | $2,022,412,075 | $ 870,240,369 | $ 696,815,213 |
(1) | See Note 6 in Notes to Financial Statements. |
International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | ||||||||
For the Year Ended | For the Year Ended | For the Year Ended | ||||||||
12/31/21 | 12/31/20 | 12/31/21 | 12/31/20 | 12/31/21 | 12/31/20 | |||||
$ 20,566,594 | $ 15,157,530 | $ 11,002,639 | $ 12,376,126 | $ 6,753,678 | $ 3,652,842 | |||||
31,408,329 | (4,430,596) | 109,233,278 | (16,830,329) | 72,729,387 | 22,991,721 | |||||
32,254,046 | 51,948,096 | 428,640 | 104,788,164 | (93,663,166) | 114,479,212 | |||||
84,228,969 | 62,675,030 | 120,664,557 | 100,333,961 | (14,180,101) | 141,123,775 | |||||
(43,509,882) | (14,997,073) | (77,005,074) | (10,269,203) | (84,909,583) | (6,348,367) | |||||
— | — | (27,107,306) | (3,636,168) | (13,090,539) | (847,376) | |||||
(43,509,882) | (14,997,073) | (104,112,380) | (13,905,371) | (98,000,122) | (7,195,743) | |||||
123,432,374 | 122,470,218 | 55,330,718 | 87,698,895 | 167,423,077 | 154,100,342 | |||||
— | — | 38,974,229 | 54,503,766 | 49,270,743 | 34,698,746 | |||||
42,924,287 | 14,797,848 | 75,977,628 | 10,156,580 | 84,887,665 | 6,345,885 | |||||
— | — | 27,023,555 | 3,607,389 | 13,032,918 | 843,033 | |||||
166,356,661 | 137,268,066 | 197,306,130 | 155,966,630 | 314,614,403 | 195,988,006 | |||||
(152,511,004) | (119,480,679) | (129,428,176) | (153,711,495) | (127,087,014) | (51,696,785) | |||||
— | — | (57,247,307) | (84,381,452) | (30,712,692) | (29,550,228) | |||||
(152,511,004) | (119,480,679) | (186,675,483) | (238,092,947) | (157,799,706) | (81,247,013) | |||||
13,845,657 | 17,787,387 | 10,630,647 | (82,126,317) | 156,814,697 | 114,740,993 | |||||
54,564,744 | 65,465,344 | 27,182,824 | 4,302,273 | 44,634,474 | 248,669,025 | |||||
779,329,303 | 713,863,959 | 1,318,472,011 | 1,314,169,738 | 781,608,640 | 532,939,615 | |||||
$ 833,894,047 | $ 779,329,303 | $1,345,654,835 | $1,318,472,011 | $ 826,243,114 | $781,608,640 |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income/ (Loss)# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income/ (Loss), Net | Portfolio Turnover Rate | |
Defensive Market Strategies® Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $14.14 | $ 0.07 | $ 1.62 | $ 1.69 | $(0.11) | $(1.42) | $(1.53) | $14.30 | 12.15% | $1,049,002 | 0.65% | 0.65% | 0.48% | 79% |
2020 | 13.27 | 0.12 | 1.19 | 1.31 | (0.16) | (0.28) | (0.44) | 14.14 | 10.08 | 927,539 | 0.67 | 0.67 | 0.90 | 67 |
2019 | 11.73 | 0.17 | 2.13 | 2.30 | (0.17) | (0.59) | (0.76) | 13.27 | 19.78 | 803,696 | 0.67 | 0.67 | 1.29 | 55 |
2018 | 12.68 | 0.15 | (0.32) | (0.17) | (0.17) | (0.61) | (0.78) | 11.73 | (1.51) | 653,481 | 0.67 | 0.67 | 1.17 | 65 |
2017 | 11.90 | 0.09 | 1.42 | 1.51 | (0.08) | (0.65) | (0.73) | 12.68 | 12.74 | 602,011 | 0.67(1) | 0.68 | 0.70 | 60 |
Investor Class | ||||||||||||||
2021 | $14.15 | $ 0.03 | $ 1.61 | $ 1.64 | $(0.07) | $(1.42) | $(1.49) | $14.30 | 11.79% | $ 454,854 | 0.92% | 0.92% | 0.21% | 79% |
2020 | 13.27 | 0.08 | 1.20 | 1.28 | (0.12) | (0.28) | (0.40) | 14.15 | 9.86 | 409,500 | 0.94 | 0.94 | 0.64 | 67 |
2019 | 11.74 | 0.13 | 2.13 | 2.26 | (0.14) | (0.59) | (0.73) | 13.27 | 19.38 | 458,825 | 0.93 | 0.93 | 1.02 | 55 |
2018 | 12.68 | 0.12 | (0.32) | (0.20) | (0.13) | (0.61) | (0.74) | 11.74 | (1.69) | 358,777 | 0.93 | 0.93 | 0.90 | 65 |
2017 | 11.91 | 0.05 | 1.41 | 1.46 | (0.04) | (0.65) | (0.69) | 12.68 | 12.35 | 360,533 | 0.95(1) | 0.96 | 0.43 | 60 |
Global Impact Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(2) | $10.00 | $ 0.03 | $ 1.01 | $ 1.04 | $(0.03) | $(0.06) | $(0.09) | $10.95 | 10.31% | $ 145,393 | 0.81% | 0.81% | 0.28% | 56% |
Investor Class | ||||||||||||||
2021(2) | $10.00 | $(0.01) | $ 1.00 | $ 0.99 | $ — | $(0.06) | $(0.06) | $10.93 | 9.85% | $ 30,387 | 1.20% | 1.20% | (0.11)% | 56% |
Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $40.83 | $ 0.56 | $10.86 | $11.42 | $(0.54) | $(1.12) | $(1.66) | $50.59 | 28.28% | $2,403,001 | 0.12% | 0.12% | 1.21% | 4% |
2020 | 35.45 | 0.57 | 5.78 | 6.35 | (0.57) | (0.40) | (0.97) | 40.83 | 18.19 | 1,772,397 | 0.13 | 0.13 | 1.60 | 3 |
2019 | 27.56 | 0.59 | 8.11 | 8.70 | (0.58) | (0.23) | (0.81) | 35.45 | 31.68 | 1,501,076 | 0.13 | 0.13 | 1.82 | 2 |
2018 | 29.43 | 0.55 | (1.79) | (1.24) | (0.48) | (0.15) | (0.63) | 27.56 | (4.29) | 1,107,944 | 0.12 | 0.13 | 1.81 | 3 |
2017 | 24.68 | 0.47 | 4.92 | 5.39 | (0.46) | (0.18) | (0.64) | 29.43 | 21.97 | 483,275 | 0.19 | 0.20 | 1.72 | 2 |
Investor Class | ||||||||||||||
2021 | $40.85 | $ 0.44 | $10.86 | $11.30 | $(0.42) | $(1.12) | $(1.54) | $50.61 | 27.95% | $ 933,551 | 0.39% | 0.39% | 0.95% | 4% |
2020 | 35.47 | 0.47 | 5.79 | 6.26 | (0.48) | (0.40) | (0.88) | 40.85 | 17.89 | 716,627 | 0.40 | 0.40 | 1.34 | 3 |
2019 | 27.58 | 0.50 | 8.11 | 8.61 | (0.49) | (0.23) | (0.72) | 35.47 | 31.33 | 634,578 | 0.39 | 0.39 | 1.56 | 2 |
2018 | 29.44 | 0.47 | (1.78) | (1.31) | (0.40) | (0.15) | (0.55) | 27.58 | (4.55) | 490,513 | 0.37 | 0.38 | 1.56 | 3 |
2017 | 24.70 | 0.40 | 4.91 | 5.31 | (0.39) | (0.18) | (0.57) | 29.44 | 21.65 | 494,771 | 0.45 | 0.46 | 1.46 | 2 |
# | Calculated using the average shares outstanding method. |
(1) | The ratio for the Defensive Market Strategies® Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the year 2017. |
(2) | For the period January 29, 2021 (commencement of operations) through December 31, 2021. All ratios for the period have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income/ (Loss)# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income/ (Loss), Net | Portfolio Turnover Rate | |
Value Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $19.35 | $ 0.30 | $ 4.38 | $ 4.68 | $(0.40) | $(2.26) | $(2.66) | $21.37 | 24.61% | $ 971,586 | 0.64%(1) | 0.64% | 1.35% | 38% |
2020 | 19.02 | 0.30 | 0.42 | 0.72 | (0.15) | (0.24) | (0.39) | 19.35 | 4.19 | 896,523 | 0.64(1) | 0.64 | 1.80 | 97 |
2019 | 16.79 | 0.35 | 4.16 | 4.51 | (0.34) | (1.94) | (2.28) | 19.02 | 27.14 | 831,854 | 0.62(1) | 0.62 | 1.81 | 92 |
2018 | 22.76 | 0.39 | (2.75) | (2.36) | (0.40) | (3.21) | (3.61) | 16.79 | (10.97) | 703,135 | 0.56(1) | 0.57 | 1.75 | 38 |
2017 | 21.18 | 0.39 | 2.85 | 3.24 | (0.37) | (1.29) | (1.66) | 22.76 | 15.54 | 1,128,445 | 0.57(1) | 0.58 | 1.78 | 38 |
Investor Class | ||||||||||||||
2021 | $19.34 | $ 0.24 | $ 4.37 | $ 4.61 | $(0.34) | $(2.26) | $(2.60) | $21.35 | 24.27% | $ 437,067 | 0.90%(1) | 0.90% | 1.09% | 38% |
2020 | 19.04 | 0.26 | 0.40 | 0.66 | (0.12) | (0.24) | (0.36) | 19.34 | 3.89 | 342,014 | 0.90(1) | 0.90 | 1.54 | 97 |
2019 | 16.81 | 0.30 | 4.16 | 4.46 | (0.29) | (1.94) | (2.23) | 19.04 | 26.80 | 383,041 | 0.89(1) | 0.89 | 1.55 | 92 |
2018 | 22.78 | 0.34 | (2.75) | (2.41) | (0.35) | (3.21) | (3.56) | 16.81 | (11.19) | 335,568 | 0.83(1) | 0.84 | 1.50 | 38 |
2017 | 21.20 | 0.34 | 2.85 | 3.19 | (0.32) | (1.29) | (1.61) | 22.78 | 15.25 | 397,231 | 0.83(1) | 0.84 | 1.52 | 38 |
Growth Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $30.63 | $(0.06) | $ 5.44 | $ 5.38 | $ — | $(6.09) | $(6.09) | $29.92 | 17.68% | $1,108,031 | 0.68%(2) | 0.68% | (0.17)% | 25% |
2020 | 26.23 | 0.02 | 9.11 | 9.13 | (0.05) | (4.68) | (4.73) | 30.63 | 35.75 | 1,064,559 | 0.69(2) | 0.69 | 0.08 | 40 |
2019 | 21.47 | 0.03 | 7.36 | 7.39 | (0.03) | (2.60) | (2.63) | 26.23 | 34.79 | 934,297 | 0.71(2) | 0.71 | 0.13 | 21 |
2018 | 25.18 | 0.05 | 0.41 | 0.46 | (0.01) | (4.16) | (4.17) | 21.47 | 1.22 | 765,738 | 0.70(2) | 0.71 | 0.18 | 19 |
2017 | 21.08 | 0.03 | 6.80 | 6.83 | (0.02) | (2.71) | (2.73) | 25.18 | 32.43 | 1,150,773 | 0.72(2) | 0.73 | 0.12 | 41 |
Investor Class | ||||||||||||||
2021 | $30.29 | $(0.14) | $ 5.38 | $ 5.24 | $ — | $(6.09) | $(6.09) | $29.44 | 17.41% | $ 979,600 | 0.94%(2) | 0.94% | (0.43)% | 25% |
2020 | 26.02 | (0.05) | 9.02 | 8.97 | (0.02) | (4.68) | (4.70) | 30.29 | 35.39 | 957,853 | 0.95(2) | 0.95 | (0.19) | 40 |
2019 | 21.35 | (0.03) | 7.30 | 7.27 | — | (2.60) | (2.60) | 26.02 | 34.42 | 763,853 | 0.96(2) | 0.96 | (0.13) | 21 |
2018 | 25.11 | (0.02) | 0.42 | 0.40 | — | (4.16) | (4.16) | 21.35 | 0.99 | 622,379 | 0.96(2) | 0.97 | (0.06) | 19 |
2017 | 21.07 | (0.04) | 6.79 | 6.75 | — | (2.71) | (2.71) | 25.11 | 32.06 | 584,764 | 0.98(2) | 0.99 | (0.14) | 41 |
# | Calculated using the average shares outstanding method. |
(1) | The ratio for the Value Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2017, 2018, 2019, 2020 and for 2021. |
(2) | The ratio for the Growth Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2017, 2018, 2019, 2020 and 2021. |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income/ (Loss)# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income/ (Loss), Net | Portfolio Turnover Rate | |
Small Cap Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $18.67 | $ 0.02 | $ 4.03 | $ 4.05 | $(0.02) | $(3.16) | $(3.18) | $19.54 | 22.09% | $519,549 | 0.90%(1) | 0.91% | 0.08% | 54% |
2020 | 15.72 | 0.02 | 3.13 | 3.15 | (—)† | (0.20) | (0.20) | 18.67 | 20.07 | 428,451 | 0.98(1) | 0.99 | 0.12 | 90 |
2019 | 13.04 | 0.03 | 3.26 | 3.29 | (0.02) | (0.59) | (0.61) | 15.72 | 25.29 | 338,440 | 1.00(1) | 1.01 | 0.20 | 84 |
2018 | 18.36 | 0.04 | (2.13) | (2.09) | — | (3.23) | (3.23) | 13.04 | (12.01) | 256,242 | 0.98(1) | 0.99 | 0.20 | 172 |
2017 | 17.53 | 0.02 | 2.24 | 2.26 | (0.03) | (1.40) | (1.43) | 18.36 | 12.98 | 293,953 | 0.98(1) | 1.00 | 0.09 | 80 |
Investor Class | ||||||||||||||
2021 | $18.54 | $(0.04) | $ 4.01 | $ 3.97 | $ — | $(3.16) | $(3.16) | $19.35 | 21.79% | $350,691 | 1.16%(1) | 1.17% | (0.18)% | 54% |
2020 | 15.66 | (0.02) | 3.11 | 3.09 | (0.01) | (0.20) | (0.21) | 18.54 | 19.75 | 268,364 | 1.24(1) | 1.25 | (0.15) | 90 |
2019 | 13.01 | (0.01) | 3.25 | 3.24 | — | (0.59) | (0.59) | 15.66 | 24.97 | 258,018 | 1.26(1) | 1.27 | (0.06) | 84 |
2018 | 18.37 | (0.01) | (2.12) | (2.13) | — | (3.23) | (3.23) | 13.01 | (12.22) | 231,456 | 1.24(1) | 1.25 | (0.06) | 172 |
2017 | 17.56 | (0.03) | 2.24 | 2.21 | — | (1.40) | (1.40) | 18.37 | 12.67 | 261,943 | 1.25(1) | 1.27 | (0.17) | 80 |
International Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $11.53 | $ 0.31 | $ 0.88 | $ 1.19 | $(0.35) | $(0.31) | $(0.66) | $12.06 | 10.43% | $833,894 | 0.22% | 0.22% | 2.52% | 18% |
2020 | 10.87 | 0.22 | 0.67 | 0.89 | (0.23) | — | (0.23) | 11.53 | 8.17 | 779,329 | 0.22 | 0.22 | 2.16 | 12 |
2019 | 9.24 | 0.31 | 1.65 | 1.96 | (0.33) | — | (0.33) | 10.87 | 21.21 | 713,864 | 0.22 | 0.23 | 3.05 | 5 |
2018 | 10.76 | 0.27 | (1.66) | (1.39) | (0.13) | — | (0.13) | 9.24 | (12.86) | 545,427 | 0.27 | 0.27 | 2.64 | 4 |
2017 | 8.86 | 0.25 | 1.93 | 2.18 | (0.25) | (0.03) | (0.28) | 10.76 | 24.69 | 188,122 | 0.41 | 0.35 | 2.45 | 4 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | The ratio for the Small Cap Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01% for the year 2017. For the year ended December 31, 2018, the effect of fees paid indirectly decreased the ratio by 0.00% and 0.01% for the Institutional and Investor Class, respectively. For the years ended 2019, 2020 and 2021, the effect of fees paid indirectly decreased the ratio by 0.01%, 0.01% and 0.01%, respectively. |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
International Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $14.70 | $0.14 | $ 1.25 | $ 1.39 | $(0.18) | $(1.06) | $(1.24) | $14.85 | 9.61% | $ 987,439 | 0.87%(1) | 0.87%(1) | 0.90% | 37% |
2020 | 13.78 | 0.14 | 0.93 | 1.07 | (0.13) | (0.02) | (0.15) | 14.70 | 7.81(2) | 973,352 | 0.93(1) | 0.93(1) | 1.10 | 90 |
2019 | 11.74 | 0.31(3) | 2.44 | 2.75 | (0.31) | (0.40) | (0.71) | 13.78 | 23.45 | 963,046 | 1.07(1) | 1.07(1) | 2.31(3) | 54 |
2018 | 15.72 | 0.32 | (2.65) | (2.33) | (0.32) | (1.33) | (1.65) | 11.74 | (14.90) | 795,484 | 1.07(1) | 1.08(1) | 2.08 | 73 |
2017 | 13.16 | 0.25 | 3.65 | 3.90 | (0.25) | (1.09) | (1.34) | 15.72 | 29.85 | 1,279,089 | 0.92(1)(4) | 0.93(1) | 1.63 | 42 |
Investor Class | ||||||||||||||
2021 | $14.69 | $0.10 | $ 1.25 | $ 1.35 | $(0.14) | $(1.06) | $(1.20) | $14.84 | 9.35% | $ 358,216 | 1.14%(1) | 1.14%(1) | 0.64% | 37% |
2020 | 13.81 | 0.11 | 0.93 | 1.04 | (0.14) | (0.02) | (0.16) | 14.69 | 7.52(2) | 345,120 | 1.20(1) | 1.20(1) | 0.84 | 90 |
2019 | 11.77 | 0.27(3) | 2.45 | 2.72 | (0.28) | (0.40) | (0.68) | 13.81 | 23.10 | 351,124 | 1.35(1) | 1.34(1) | 2.05(3) | 54 |
2018 | 15.74 | 0.27 | (2.63) | (2.36) | (0.28) | (1.33) | (1.61) | 11.77 | (15.06) | 285,252 | 1.33(1) | 1.35(1) | 1.76 | 73 |
2017 | 13.18 | 0.21 | 3.66 | 3.87 | (0.22) | (1.09) | (1.31) | 15.74 | 29.50 | 345,545 | 1.18(1)(4) | 1.19(1) | 1.37 | 42 |
Emerging Markets Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $12.33 | $0.11 | $(0.34) | $(0.23) | $(0.08) | $(1.35) | $(1.43) | $10.67 | (1.85)% | $ 714,818 | 1.04%(5) | 1.04% | 0.86% | 62% |
2020 | 10.19 | 0.07 | 2.19 | 2.26 | (0.12) | — | (0.12) | 12.33 | 22.15 | 685,246 | 1.11(5) | 1.11 | 0.70 | 67 |
2019 | 8.71 | 0.18(6) | 1.57 | 1.75 | (0.27) | — | (0.27) | 10.19 | 20.06 | 457,074 | 1.19(5) | 1.19 | 1.92(6) | 92 |
2018 | 11.00 | 0.13 | (2.36) | (2.23) | (0.06) | — | (0.06) | 8.71 | (20.26) | 359,815 | 1.30(5) | 1.21 | 1.26 | 155 |
2017 | 8.18 | 0.08 | 2.85 | 2.93 | (0.11) | — | (0.11) | 11.00 | 35.80 | 404,641 | 1.30(5) | 1.31 | 0.83 | 56 |
Investor Class | ||||||||||||||
2021 | $12.29 | $0.08 | $(0.34) | $(0.26) | $(0.05) | $(1.35) | $(1.40) | $10.63 | (2.12)% | $ 111,425 | 1.33%(5) | 1.33% | 0.60% | 62% |
2020 | 10.20 | 0.03 | 2.17 | 2.20 | (0.11) | — | (0.11) | 12.29 | 21.60 | 96,362 | 1.51(5) | 1.51 | 0.30 | 67 |
2019 | 8.72 | 0.14(6) | 1.57 | 1.71 | (0.23) | — | (0.23) | 10.20 | 19.64 | 75,866 | 1.57(5) | 1.57 | 1.48(6) | 92 |
2018 | 11.00 | 0.10 | (2.35) | (2.25) | (0.03) | — | (0.03) | 8.72 | (20.49) | 65,354 | 1.56(5) | 1.52 | 0.96 | 155 |
2017 | 8.19 | 0.06 | 2.84 | 2.90 | (0.09) | — | (0.09) | 11.00 | 35.37 | 94,346 | 1.57(5) | 1.66 | 0.57 | 56 |
# | Calculated using the average shares outstanding method. |
(1) | The ratio for the International Equity Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.08% for the year ended December 31, 2017. For the year ended December 31, 2018, the effect of dividend expense on securities sold short increased the ratio by 0.23% and 0.29% for Institutional Class and Investor Class, respectively. For the years ended December 31, 2019, 2020 and 2021, the effect of dividend expense on securities sold short increased the ratio by 0.19%, 0.06% and 0.00%, respectively. |
(2) | Amount includes the effect of the Adviser pay-in for an economic loss. Had the pay-in not been made, the net asset value total return would have been 7.77% and 7.46% for the Institutional Class and Investor Class, respectively. In addition, the portfolio turnover calculation includes the value of securities purchased and sold related to this transaction. |
(3) | Net investment income per share and the ratio of net investment income to average net assets include $0.01 and 0.09% for the Institutional Class and $0.01 and 0.09% for the Investor Class, respectively, resulting from a special dividend from Naspers Ltd. in September 2019. |
(4) | The ratio for the International Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the year 2017. |
(5) | The ratio for the Emerging Markets Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2017, 2018, 2019, 2020 and 2021. |
(6) | Net investment income per share and the ratio of net investment income to average net assets include $0.06 and 0.68% for the Institutional Class and $0.06 and 0.62% for the Investor Class, respectively, resulting from a special dividend from Naspers Ltd. in September 2019. |
% | |
Real Estate | 96.1 |
Money Market Funds | 3.0 |
Health Care | 0.5 |
99.6 |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 29.97% | 29.61% | 26.09% | ||||
Five Year | 10.39% | 10.09% | 7.80% | ||||
Ten Year | N/A | 8.80% | 7.49% | ||||
Since Inception | 8.03% | 5.19% | 4.15% | ||||
Inception Date | 05/01/15 | 12/29/06 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 0.87% | 1.14% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Shares | Value | |||
COMMON STOCKS — 59.2% | ||||
Real Estate — 59.2% | ||||
Agree Realty Corporation REITΔ | 64,777 | $ 4,622,487 | ||
Alexandria Real Estate Equities, Inc. REIT | 5,267 | 1,174,330 | ||
American Homes 4 Rent Class A REIT | 69,031 | 3,010,442 | ||
Americold Realty Trust REITΔ | 48,395 | 1,586,872 | ||
Apartment Income REIT Corporation | 72,186 | 3,946,409 | ||
AvalonBay Communities, Inc. REIT | 53,241 | 13,448,144 | ||
Boston Properties, Inc. REIT | 29,159 | 3,358,534 | ||
Camden Property Trust REIT | 8,191 | 1,463,568 | ||
CareTrust REIT, Inc. | 29,223 | 667,161 | ||
Centerspace REIT | 7,221 | 800,809 | ||
DiamondRock Hospitality Co. REIT* | 186,674 | 1,793,937 | ||
Digital Realty Trust, Inc. REITΔ | 61,895 | 10,947,369 | ||
Duke Realty Corporation REIT | 65,223 | 4,281,238 | ||
EastGroup Properties, Inc. REIT | 18,927 | 4,312,517 | ||
Empire State Realty Trust, Inc. Class A REIT | 104,228 | 927,629 | ||
Equinix, Inc. REIT | 8,888 | 7,517,826 | ||
Essential Properties Realty Trust, Inc. REIT | 100,424 | 2,895,224 | ||
Extra Space Storage, Inc. REIT | 32,536 | 7,376,887 | ||
Federal Realty Investment Trust REIT | 14,214 | 1,937,652 | ||
First Industrial Realty Trust, Inc. REIT | 41,991 | 2,779,804 | ||
Independence Realty Trust, Inc. REIT | 124,507 | 3,216,016 | ||
Kilroy Realty Corporation REIT | 26,500 | 1,761,190 | ||
Kimco Realty Corporation REIT | 335,710 | 8,275,252 | ||
Kite Realty Group Trust REIT | 115,161 | 2,508,206 | ||
Lamar Advertising Co. Class A REIT | 15,854 | 1,923,090 | ||
Life Storage, Inc. REIT | 51,154 | 7,835,770 | ||
Medical Properties Trust, Inc. REIT | 143,959 | 3,401,751 | ||
Mid-America Apartment Communities, Inc. REIT | 25,836 | 5,927,812 | ||
NETSTREIT Corporation | 91,549 | 2,096,472 | ||
Omega Healthcare Investors, Inc. REITΔ | 31,765 | 939,926 | ||
Pebblebrook Hotel Trust REIT | 58,892 | 1,317,414 | ||
Physicians Realty Trust REIT | 78,381 | 1,475,914 | ||
Piedmont Office Realty Trust, Inc. Class A REIT | 91,266 | 1,677,469 | ||
Postal Realty Trust, Inc. Class A REITΔ | 56,666 | 1,121,987 | ||
Prologis, Inc. REIT | 116,187 | 19,561,243 | ||
Public Storage REIT | 11,653 | 4,364,748 | ||
Realty Income Corporation REIT | 31,761 | 2,273,770 | ||
Regency Centers Corporation REIT | 35,362 | 2,664,527 | ||
Rexford Industrial Realty, Inc. REITΔ | 43,540 | 3,531,529 | ||
Ryman Hospitality Properties, Inc. REITΔ* | 35,348 | 3,250,602 | ||
SBA Communications Corporation REIT | 11,474 | 4,463,616 | ||
Simon Property Group, Inc. REIT | 62,660 | 10,011,188 | ||
STAG Industrial, Inc. REITΔ | 60,917 | 2,921,579 | ||
Sun Communities, Inc. REIT | 47,907 | 10,059,033 | ||
UDR, Inc. REIT | 33,723 | 2,023,043 | ||
Ventas, Inc. REIT | 52,657 | 2,691,826 |
Shares | Value | |||
Welltower, Inc. REIT | 112,121 | $ 9,616,618 | ||
199,760,430 | ||||
Total Common Stocks (Cost $152,870,012) | 199,760,430 | |||
FOREIGN COMMON STOCKS — 37.4% | ||||
Australia — 3.9% | ||||
Dexus REIT | 324,034 | 2,621,551 | ||
GPT Group (The) REIT | 523,216 | 2,063,209 | ||
Mirvac Group REIT | 1,112,391 | 2,355,121 | ||
Scentre Group REIT | 1,535,500 | 3,530,204 | ||
Shopping Centres Australasia Property Group REIT | 429,589 | 928,266 | ||
Stockland REIT | 325,972 | 1,005,562 | ||
Waypoint REIT | 283,811 | 584,358 | ||
13,088,271 | ||||
Belgium — 1.0% | ||||
Aedifica SA REITΔ | 6,326 | 827,527 | ||
Cofinimmo SA REIT | 3,384 | 541,302 | ||
VGP NV | 3,624 | 1,056,237 | ||
Warehouses De Pauw CVA REIT | 17,440 | 837,502 | ||
3,262,568 | ||||
Canada — 3.8% | ||||
Canadian Apartment Properties REIT | 55,866 | 2,648,109 | ||
Chartwell Retirement Residences | 189,297 | 1,768,837 | ||
Granite REIT | 17,948 | 1,495,489 | ||
RioCan REIT | 62,747 | 1,137,924 | ||
Summit Industrial Income REIT | 65,903 | 1,224,333 | ||
Tricon Residential, Inc. | 287,084 | 4,388,714 | ||
12,663,406 | ||||
Finland — 0.1% | ||||
Kojamo OYJ | 19,165 | 463,443 | ||
France — 1.7% | ||||
Gecina SA REIT | 10,108 | 1,414,328 | ||
ICADE REIT | 12,116 | 870,405 | ||
Klepierre REITΔ* | 22,347 | 530,467 | ||
Unibail-Rodamco-Westfield REIT* | 39,702 | 2,785,269 | ||
5,600,469 | ||||
Germany — 3.2% | ||||
Aroundtown SA | 125,980 | 759,958 | ||
LEG Immobilien SE | 1,959 | 273,130 | ||
Vonovia SE | 179,521 | 9,892,000 | ||
10,925,088 | ||||
Hong Kong — 3.8% | ||||
CK Asset Holdings, Ltd. | 512,855 | 3,232,659 | ||
Hang Lung Properties, Ltd. | 242,961 | 499,785 | ||
Hysan Development Co., Ltd. | 156,466 | 483,592 | ||
Link REIT | 361,773 | 3,185,067 | ||
Sun Hung Kai Properties, Ltd. | 271,459 | 3,293,345 | ||
Swire Properties, Ltd. | 503,688 | 1,262,199 | ||
Wharf Real Estate Investment Co., Ltd. | 159,000 | 807,484 | ||
12,764,131 |
Shares | Value | |||
Japan — 8.1% | ||||
Activia Properties, Inc. REITΔ | 662 | $ 2,393,373 | ||
Daibiru Corporation | 37,300 | 718,959 | ||
Global One Real Estate Investment Corporation REIT | 853 | 892,342 | ||
GLP J-REITΔ | 347 | 599,796 | ||
Heiwa Real Estate Co., Ltd. | 13,013 | 438,596 | ||
Hulic Reit, Inc. | 899 | 1,352,647 | ||
Ichigo Office REIT Investment Corporation | 845 | 609,140 | ||
Japan Excellent, Inc. REIT | 245 | 283,979 | ||
Japan Hotel REIT Investment Corporation | 1,395 | 681,555 | ||
Japan Metropolitan Fund Invest REIT | 728 | 627,169 | ||
Japan Real Estate Investment Corporation REITΔ | 90 | 510,897 | ||
Keihanshin Building Co., Ltd. | 39,700 | 539,312 | ||
Kenedix Retail REIT Corporation | 798 | 1,963,593 | ||
LaSalle Logiport REIT | 783 | 1,379,315 | ||
Mitsubishi Estate Co., Ltd. | 233,605 | 3,240,684 | ||
Mitsubishi Estate Logistics REIT Investment Corporation | 88 | 400,998 | ||
Mitsui Fudosan Co., Ltd. | 159,380 | 3,159,034 | ||
Mori Trust Hotel Reit, Inc. | 1,095 | 1,182,209 | ||
Mori Trust Sogo REIT, Inc. | 1,089 | 1,370,922 | ||
Nippon Prologis REIT, Inc. | 166 | 586,766 | ||
Nomura Real Estate Holdings, Inc. | 10,734 | 247,332 | ||
Nomura Real Estate Master Fund, Inc. REIT | 471 | 662,856 | ||
One REIT, Inc. | 206 | 540,868 | ||
Samty Residential Investment Corporation REIT | 775 | 867,825 | ||
TOC Co., Ltd. | 8,800 | 50,832 | ||
Tokaido REIT, Inc.* | 346 | 334,442 | ||
Tokyu Fudosan Holdings Corporation | 191,048 | 1,070,331 | ||
United Urban Investment Corporation REIT | 609 | 715,756 | ||
27,421,528 | ||||
Netherlands — 0.2% | ||||
CTP NV 144A | 30,640 | 652,324 | ||
Singapore — 2.9% | ||||
Ascott Residence Trust | 566,500 | 432,988 | ||
CapitaLand China Trust REIT | 253,978 | 224,275 | ||
CapitaLand Integrated Commercial Trust REIT | 1,261,936 | 1,910,322 | ||
Capitaland Investment, Ltd.Δ* | 818,645 | 2,071,519 | ||
City Developments, Ltd.Δ | 236,218 | 1,193,711 | ||
Daiwa House Logistics Trust REIT* | 708,044 | 420,329 | ||
Digital Core REIT Management Pte, Ltd.* | 1,163,898 | 1,350,122 | ||
Hongkong Land Holdings, Ltd. | 137,300 | 713,960 | ||
Mapletree Industrial Trust REIT | 332,600 | 668,853 | ||
Mapletree Logistics Trust REITΔ | 486,762 | 686,292 | ||
9,672,371 | ||||
Spain — 0.7% | ||||
Arima Real Estate SOCIMI SA REITΔ* | 42,485 | 444,029 |
Shares | Value | |||
Inmobiliaria Colonial Socimi SA REIT* | 103,807 | $ 971,293 | ||
Merlin Properties Socimi SA REIT | 80,237 | 869,324 | ||
2,284,646 | ||||
Sweden — 2.3% | ||||
Castellum ABΔ | 67,438 | 1,813,423 | ||
Fabege AB | 165,649 | 2,772,407 | ||
Fastighets AB Balder, B Shares* | 31,517 | 2,268,090 | ||
Nyfosa AB | 49,417 | 850,546 | ||
Sagax AB, B Shares | 7,018 | 236,068 | ||
7,940,534 | ||||
Switzerland — 0.2% | ||||
PSP Swiss Property AG | 5,742 | 715,540 | ||
United Kingdom — 5.5% | ||||
Big Yellow Group PLC REIT | 53,921 | 1,245,850 | ||
British Land Co. PLC (The) REIT | 511,699 | 3,677,760 | ||
Derwent London PLC REIT | 32,829 | 1,517,479 | ||
Grainger PLC | 537,296 | 2,290,860 | ||
Hammerson PLC REIT | 667,878 | 296,514 | ||
Life Science Reit PLC REIT* | 230,500 | 315,893 | ||
PRS REIT PLC (The) | 252,691 | 376,233 | ||
Safestore Holdings PLC REIT | 25,891 | 493,781 | ||
Segro PLC REIT | 196,623 | 3,823,088 | ||
Sirius Real Estate, Ltd. | 226,567 | 433,631 | ||
Target Healthcare REIT PLC | 203,541 | 325,094 | ||
Tritax Big Box REIT PLC | 303,390 | 1,022,527 | ||
Tritax EuroBox PLC 144A | 411,616 | 648,577 | ||
UNITE Group PLC (The) REIT | 104,115 | 1,564,971 | ||
Urban Logistics REIT PLC | 220,591 | 555,361 | ||
18,587,619 | ||||
Total Foreign Common Stocks (Cost $116,907,860) | 126,041,938 | |||
MONEY MARKET FUNDS — 3.0% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 9,831,569 | 9,831,569 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.04%ا | 67,622 | 67,622 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 17,660 | 17,660 | ||
Total Money Market Funds (Cost $9,916,851) | 9,916,851 | |||
TOTAL INVESTMENTS — 99.6% (Cost $279,694,723) | 335,719,219 | |||
Other Assets in Excess of Liabilities — 0.4% | 1,515,352 | |||
NET ASSETS — 100.0% | $337,234,571 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P MidCap 400 Index E-Mini | 03/2022 | 41 | $11,634,570 | $229,185 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $199,760,430 | $199,760,430 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Germany | 10,925,088 | — | 10,925,088 | — | |||
Japan | 27,421,528 | — | 27,421,528 | — | |||
Spain | 2,284,646 | 444,029 | 1,840,617 | — | |||
Sweden | 7,940,534 | — | 7,940,534 | — | |||
Switzerland | 715,540 | — | 715,540 | — | |||
Other ^^ | 76,754,602 | 76,754,602 | — | — | |||
Total Foreign Common Stocks | 126,041,938 | 77,198,631 | 48,843,307 | — | |||
Money Market Funds | 9,916,851 | 9,916,851 | — | — | |||
Total Assets - Investments in Securities | $335,719,219 | $286,875,912 | $48,843,307 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 229,185 | $ 229,185 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 229,185 | $ 229,185 | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2021 |
Global Real Estate Securities Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $325,887,650 |
Investments in securities of affiliated issuers, at value | 9,831,569 |
Total investments, at value(1), (2) | 335,719,219 |
Deposits with broker for futures contracts | 508,999 |
Foreign currency(3) | 287,688 |
Receivables: | |
Dividends and reclaims | 1,019,101 |
Securities lending | 3,503 |
Investment securities sold | 995,856 |
Fund shares sold | 287,277 |
Prepaid expenses and other assets | 10,810 |
Total Assets | 338,832,453 |
Liabilities | |
Collateral held for securities on loan, at value | 67,622 |
Payables: | |
Investment securities purchased | 955,033 |
Fund shares redeemed | 275,089 |
Accrued expenses: | |
Investment advisory fees | 186,007 |
Shareholder servicing fees | 23,785 |
Trustee fees | 413 |
Other expenses | 89,933 |
Total Liabilities | 1,597,882 |
Net Assets | $337,234,571 |
Net Assets Consist of: | |
Paid-in-capital | $285,910,589 |
Distributable earnings (loss) | 51,323,982 |
Net Assets | $337,234,571 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $218,704,581 |
Institutional shares outstanding | 18,967,834 |
Net asset value, offering and redemption price per Institutional share | $ 11.53 |
Net assets applicable to the Investor Class | $118,529,990 |
Investor shares outstanding | 10,237,273 |
Net asset value, offering and redemption price per Investor share | $ 11.58 |
(1)Investments in securities of unaffiliated issuers, at cost | $269,863,154 |
Investments in securities of affiliated issuers, at cost | 9,831,569 |
Total investments, at cost | $279,694,723 |
(2)Includes securities loaned of: | $ 24,651,876 |
(3)Foreign currency, at cost | $ 286,589 |
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2021 |
Global Real Estate Securities Fund | |
Investment Income | |
Dividends | $ 7,426,420 |
Securities lending, net | 54,074 |
Less foreign taxes withheld | (338,446) |
Total Investment Income | 7,142,048 |
Expenses | |
Investment advisory fees | 2,024,950 |
Transfer agent fees: | |
Institutional shares | 4,732 |
Investor shares | 18,745 |
Custodian fees | 116,972 |
Shareholder servicing fees: | |
Investor shares | 247,061 |
Accounting and administration fees | 47,591 |
Professional fees | 100,199 |
Shareholder reporting fees: | |
Institutional shares | 1,932 |
Investor shares | 7,474 |
Trustees expenses | 3,287 |
Line of credit facility fees | 2,183 |
Other expenses | 97,337 |
Total Expenses | 2,672,463 |
Fees paid indirectly | (14,188) |
Net Expenses | 2,658,275 |
Net Investment Income | 4,483,773 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | 38,583,247 |
Futures transactions | 1,823,778 |
Foreign currency | (21,452) |
Net realized gain | 40,385,573 |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | 32,562,785 |
Futures | 128,267 |
Foreign currency | (9,413) |
Net change in unrealized appreciation (depreciation) | 32,681,639 |
Net Realized and Unrealized Gain | 73,067,212 |
Net Increase in Net Assets Resulting from Operations | $77,550,985 |
STATEMENTS OF CHANGES IN NET ASSETS |
Global Real Estate Securities Fund | |||
For the Year Ended | |||
12/31/21 | 12/31/20 | ||
Operations: | |||
Net investment income | $ 4,483,773 | $ 4,368,630 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 40,385,573 | (17,765,105) | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 32,681,639 | 1,257,093 | |
Net increase (decrease) in net assets resulting from operations | 77,550,985 | (12,139,382) | |
Distributions to Shareholders: | |||
Institutional shares | (13,454,207) | (4,221,953) | |
Investor shares | (6,736,082) | (2,121,821) | |
Total distributions | (20,190,289) | (6,343,774) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 23,655,678 | 30,682,021 | |
Investor shares | 28,230,636 | 17,283,750 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 13,303,961 | 4,189,261 | |
Investor shares | 6,696,269 | 2,106,503 | |
Total proceeds from shares sold and reinvested | 71,886,544 | 54,261,535 | |
Value of shares redeemed | |||
Institutional shares | (32,747,061) | (9,850,171) | |
Investor shares | (15,702,833) | (33,326,479) | |
Total value of shares redeemed | (48,449,894) | (43,176,650) | |
Net increase from capital share transactions(1) | 23,436,650 | 11,084,885 | |
Total increase (decrease) in net assets | 80,797,346 | (7,398,271) | |
Net Assets: | |||
Beginning of Year | 256,437,225 | 263,835,496 | |
End of Year | $337,234,571 | $256,437,225 |
(1) | See Note 6 in Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Global Real Estate Securities Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $ 9.47 | $0.17 | $ 2.63 | $ 2.80 | $(0.40) | $(0.34) | $(0.74) | $11.53 | 29.97% | $218,705 | 0.79%(1) | 0.80% | 1.59% | 105% |
2020 | 10.21 | 0.18 | (0.67) | (0.49) | (0.18) | (0.07) | (0.25) | 9.47 | (4.54) | 175,384 | 0.86(1) | 0.87 | 1.98 | 141 |
2019 | 8.83 | 0.22 | 1.95 | 2.17 | (0.61) | (0.18) | (0.79) | 10.21 | 24.87 | 159,523 | 0.82(1) | 0.83 | 2.13 | 118 |
2018 | 9.69 | 0.21 | (0.65) | (0.44) | (0.42) | — | (0.42) | 8.83 | (4.70) | 133,341 | 0.86(1) | 0.87 | 2.26 | 128 |
2017 | 9.10 | 0.27 | 0.73 | 1.00 | (0.41) | — | (0.41) | 9.69 | 11.05 | 133,656 | 0.87(1) | 0.88 | 2.86 | 138 |
Investor Class | ||||||||||||||
2021 | $ 9.51 | $0.14 | $ 2.64 | $ 2.78 | $(0.37) | $(0.34) | $(0.71) | $11.58 | 29.61% | $118,530 | 1.07%(1) | 1.08% | 1.31% | 105% |
2020 | 10.25 | 0.15 | (0.67) | (0.52) | (0.15) | (0.07) | (0.22) | 9.51 | (4.79) | 81,053 | 1.13(1) | 1.14 | 1.68 | 141 |
2019 | 8.87 | 0.19 | 1.95 | 2.14 | (0.58) | (0.18) | (0.76) | 10.25 | 24.42 | 104,312 | 1.09(1) | 1.10 | 1.87 | 118 |
2018 | 9.72 | 0.19 | (0.65) | (0.46) | (0.39) | — | (0.39) | 8.87 | (4.86) | 82,133 | 1.14(1) | 1.15 | 1.97 | 128 |
2017 | 9.13 | 0.24 | 0.73 | 0.97 | (0.38) | — | (0.38) | 9.72 | 10.72 | 97,741 | 1.12(1) | 1.13 | 2.56 | 138 |
# | Calculated using the average shares outstanding method. |
(1) | The ratio for the Global Real Estate Securities Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01% for the years 2017, 2018, 2019, 2020 and 2021. |
% | |
Money Market Funds | 38.0 |
U.S. Treasury Obligations | 29.0 |
Corporate Bonds | 14.3 |
Financials | 2.6 |
Materials | 1.9 |
Information Technology | 1.4 |
Consumer Discretionary | 1.4 |
Mortgage-Backed Securities | 1.0 |
Consumer Staples | 0.9 |
Foreign Bonds | 0.4 |
Industrials | 0.3 |
Utilities | 0.1 |
Mutual Funds | 0.1 |
Purchased Options | —** |
Communication Services | —** |
Rights | —** |
Foreign Common Stocks Sold Short | (0.2) |
Written Options | (0.3) |
Common Stocks Sold Short | (5.0) |
85.9 | |
**Rounds to less than 0.05% |
Average Annual Total Returns as of 12/31/21 | |||||||
Institutional Class* | Investor Class* | Benchmark** | |||||
One Year | 4.96% | 4.57% | 0.04% | ||||
Five Year | N/A | N/A | N/A | ||||
Ten Year | N/A | N/A | N/A | ||||
Since Inception | 2.47% | 2.16% | 1.20% | ||||
Inception Date | 06/30/17 | 06/30/17 | |||||
Total Fund Operating Expenses (May 1, 2021 Prospectus)(1) | 1.30% | 1.56% |
(1) | Current information regarding the Fund’s Operating Expenses can be found in the Financial Highlights. |
Par | Value | |||
CORPORATE BONDS — 14.3% | ||||
2U, Inc. | ||||
2.25%, 05/01/25‡‡ CONV | $314,000 | $333,566 | ||
8x8, Inc. | ||||
0.50%, 02/01/24‡‡ CONV | 250,000 | 249,855 | ||
Affirm Holdings, Inc. | ||||
0.00%, 11/15/26 144A Ω CONV | 270,000 | 244,080 | ||
Air Transport Services Group, Inc. | ||||
1.13%, 10/15/24‡‡ CONV | 500,000 | 558,750 | ||
Alphatec Holdings, Inc. | ||||
0.75%, 08/01/26 144A ‡‡ CONV | 210,000 | 204,488 | ||
Apollo Commercial Real Estate Finance, Inc. REIT | ||||
5.38%, 10/15/23 CONV | 920,000 | 940,700 | ||
Array Technologies, Inc. | ||||
1.00%, 12/01/28 144A CONV | 108,000 | 102,654 | ||
Avaya Holdings Corporation | ||||
2.25%, 06/15/23‡‡ CONV | 393,000 | 415,990 | ||
Avid SPV LLC | ||||
1.25%, 03/15/26 144A ‡‡ CONV | 225,000 | 352,125 | ||
Bentley Systems, Inc. | ||||
0.38%, 07/01/27 144A ‡‡ CONV | 313,000 | 289,525 | ||
Beyond Meat, Inc. | ||||
0.37%, 03/15/27 144A Ω ‡‡ CONV | 289,000 | 201,751 | ||
BigCommerce Holdings, Inc. | ||||
0.25%, 10/01/26 144A ‡‡ CONV | 354,000 | 316,157 | ||
Bloom Energy Corporation | ||||
2.50%, 08/15/25 CONV | 242,000 | 376,644 | ||
Burlington Stores, Inc. | ||||
2.25%, 04/15/25‡‡ CONV | 400,000 | 596,250 | ||
Cable One, Inc. | ||||
1.13%, 03/15/28 144A ‡‡ CONV | 503,000 | 500,397 | ||
Callaway Golf Co. | ||||
2.75%, 05/01/26‡‡ CONV | 264,000 | 456,225 | ||
Centennial Resource Production LLC | ||||
3.25%, 04/01/28‡‡ CONV | 500,000 | 624,687 | ||
Ceridian HCM Holding, Inc. | ||||
0.25%, 03/15/26 144A ‡‡ CONV | 428,000 | 449,229 | ||
Cheesecake Factory, Inc. (The) | ||||
0.38%, 06/15/26‡‡ CONV | 285,000 | 256,678 | ||
Chefs' Warehouse, Inc. (The) | ||||
1.88%, 12/01/24‡‡ CONV | 500,000 | 534,687 | ||
Chegg, Inc. | ||||
0.00%, 09/01/26Ω CONV | 498,000 | 414,585 | ||
Cheniere Energy, Inc. | ||||
4.25%, 03/15/45‡‡ CONV | 604,000 | 511,316 | ||
Coherus Biosciences, Inc. | ||||
1.50%, 04/15/26‡‡ CONV | 512,000 | 566,080 | ||
Coinbase Global, Inc. | ||||
0.50%, 06/01/26 144A ‡‡ CONV | 314,000 | 337,707 | ||
Confluent, Inc. | ||||
0.00%, 01/15/27 144A Ω CONV | 200,000 | 217,750 | ||
CryoPort, Inc. | ||||
0.75%, 12/01/26 144A CONV | 108,000 | 99,790 | ||
Danimer Scientific, Inc. | ||||
3.25%, 12/15/26 144A CONV | 301,000 | 318,488 |
Par | Value | |||
DigitalOcean Holdings, Inc. | ||||
0.00%, 12/01/26 144A Ω CONV | $ 216,000 | $ 192,110 | ||
DISH Network Corporation | ||||
3.38%, 08/15/26‡‡ CONV | 600,000 | 569,432 | ||
Enphase Energy, Inc. | ||||
1.86%, 03/01/28 144A Ω ‡‡ CONV | 707,000 | 732,805 | ||
Envestnet, Inc. | ||||
1.75%, 06/01/23‡‡ CONV | 250,000 | 315,313 | ||
Everbridge, Inc. | ||||
0.13%, 12/15/24‡‡ CONV | 250,000 | 243,906 | ||
Exact Sciences Corporation | ||||
0.38%, 03/15/27‡‡ CONV | 500,000 | 511,250 | ||
Fastly, Inc. | ||||
2.64%, 03/15/26 144A Ω ‡‡ CONV | 712,000 | 585,620 | ||
Flexion Therapeutics, Inc. | ||||
3.38%, 05/01/24 CONV | 98,000 | 98,494 | ||
FTI Consulting, Inc. | ||||
2.00%, 08/15/23‡‡ CONV | 325,000 | 504,725 | ||
fuboTV, Inc. | ||||
3.25%, 02/15/26 144A ‡‡ CONV | 629,000 | 512,242 | ||
GoPro, Inc. | ||||
1.25%, 11/15/25 144A ‡‡ CONV | 220,000 | 289,232 | ||
Gossamer Bio, Inc. | ||||
5.00%, 06/01/27‡‡ CONV | 510,000 | 499,800 | ||
Granite Point Mortgage Trust, Inc. REIT | ||||
6.38%, 10/01/23‡‡ CONV | 1,425,000 | 1,459,770 | ||
Greenbrier Cos., Inc. (The) | ||||
2.88%, 04/15/28 144A ‡‡ CONV | 519,000 | 567,007 | ||
Groupon, Inc. | ||||
1.13%, 03/15/26 144A ‡‡ CONV | 493,000 | 390,702 | ||
Haemonetics Corporation | ||||
3.70%, 03/01/26 144A Ω CONV | 430,000 | 361,684 | ||
Halozyme Therapeutics, Inc. | ||||
0.25%, 03/01/27 144A ‡‡ CONV | 697,000 | 624,251 | ||
Helix Energy Solutions Group, Inc. | ||||
4.13%, 09/15/23 CONV | 193,000 | 185,763 | ||
6.75%, 02/15/26‡‡ CONV | 250,000 | 249,375 | ||
i3 Verticals LLC | ||||
1.00%, 02/15/25‡‡ CONV | 593,000 | 552,261 | ||
II-VI, Inc. | ||||
0.25%, 09/01/22‡‡ CONV | 250,000 | 370,625 | ||
Impinj, Inc. | ||||
1.13%, 05/15/27 144A CONV | 32,000 | 35,082 | ||
Infinera Corporation | ||||
2.13%, 09/01/24‡‡ CONV | 400,000 | 475,600 | ||
Innoviva, Inc. | ||||
2.13%, 01/15/23‡‡ CONV | 520,000 | 568,100 | ||
Insmed, Inc. | ||||
0.75%, 06/01/28‡‡ CONV | 613,000 | 667,250 | ||
Ionis Pharmaceuticals, Inc. | ||||
0.13%, 12/15/24‡‡ CONV | 500,000 | 449,375 | ||
iStar, Inc. REIT | ||||
3.13%, 09/15/22‡‡ CONV | 300,000 | 564,930 |
Par | Value | |||
Jamf Holding Corporation | ||||
0.13%, 09/01/26 144A ‡‡ CONV | $ 316,000 | $ 329,233 | ||
Jazz Investments I, Ltd. | ||||
2.00%, 06/15/26 CONV | 500,000 | 566,875 | ||
Kaman Corporation | ||||
3.25%, 05/01/24‡‡ CONV | 365,000 | 378,505 | ||
Liberty TripAdvisor Holdings, Inc. | ||||
0.50%, 06/30/51 144A ‡‡ CONV | 500,000 | 407,800 | ||
Ligand Pharmaceuticals, Inc. | ||||
0.75%, 05/15/23‡‡ CONV | 500,000 | 500,312 | ||
LivePerson, Inc. | ||||
2.95%, 12/15/26Ω CONV | 370,000 | 313,797 | ||
Lucid Group, Inc. | ||||
1.25%, 12/15/26 144A CONV | 325,000 | 321,653 | ||
Lumentum Holdings, Inc. | ||||
0.50%, 12/15/26‡‡ CONV | 204,000 | 254,745 | ||
MACOM Technology Solutions Holdings, Inc. | ||||
0.25%, 03/15/26 144A ‡‡ CONV | 350,000 | 411,469 | ||
Magnite, Inc. | ||||
0.25%, 03/15/26 144A ‡‡ CONV | 962,000 | 755,170 | ||
Marathon Digital Holdings, Inc. | ||||
1.00%, 12/01/26 144A CONV | 323,000 | 260,847 | ||
Meritor, Inc. | ||||
3.25%, 10/15/37‡‡ CONV | 315,000 | 343,760 | ||
MFA Financial, Inc. REIT | ||||
6.25%, 06/15/24‡‡ CONV | 1,154,000 | 1,200,160 | ||
MGIC Investment Corporation | ||||
9.00%, 04/01/63 144A ‡‡ CONV | 602,000 | 809,690 | ||
MicroStrategy, Inc. | ||||
4.54%, 02/15/27 144A Ω ‡‡ CONV | 667,000 | 484,442 | ||
Mitek Systems, Inc. | ||||
0.75%, 02/01/26 144A ‡‡ CONV | 360,000 | 395,732 | ||
NCL Corporation, Ltd. | ||||
1.13%, 02/15/27 144A CONV | 264,000 | 248,503 | ||
New Relic, Inc. | ||||
0.50%, 05/01/23‡‡ CONV | 483,000 | 576,605 | ||
NRG Energy, Inc. | ||||
2.75%, 06/01/48‡‡ CONV | 600,000 | 714,780 | ||
OSI Systems, Inc. | ||||
1.25%, 09/01/22‡‡ CONV | 445,000 | 456,994 | ||
Patrick Industries, Inc. | ||||
1.75%, 12/01/28 144A CONV | 217,000 | 226,169 | ||
Pebblebrook Hotel Trust REIT | ||||
1.75%, 12/15/26‡‡ CONV | 587,000 | 649,310 | ||
Peloton Interactive, Inc. | ||||
3.63%, 02/15/26 144A Ω CONV | 377,000 | 321,393 | ||
PennyMac Corporation REIT | ||||
5.50%, 11/01/24‡‡ CONV | 500,000 | 501,875 | ||
5.50%, 03/15/26 144A CONV | 1,000,000 | 980,000 | ||
Perficient, Inc. | ||||
0.13%, 11/15/26 144A CONV | 53,000 | 50,419 | ||
Porch Group, Inc. | ||||
0.75%, 09/15/26 144A ‡‡ CONV | 322,000 | 308,734 |
Par | Value | |||
PRA Group, Inc. | ||||
3.50%, 06/01/23‡‡ CONV | $500,000 | $584,687 | ||
Progress Software Corporation | ||||
1.00%, 04/15/26 144A ‡‡ CONV | 376,000 | 391,805 | ||
Q2 Holdings, Inc. | ||||
0.75%, 06/01/26‡‡ CONV | 274,000 | 308,517 | ||
Realogy Group LLC | ||||
0.25%, 06/15/26 144A ‡‡ CONV | 424,000 | 419,528 | ||
RealReal, Inc. (The) | ||||
1.00%, 03/01/28 144A ‡‡ CONV | 494,000 | 407,007 | ||
Redfin Corporation | ||||
0.50%, 04/01/27 144A ‡‡ CONV | 589,000 | 480,683 | ||
Redwood Trust, Inc. REIT | ||||
5.63%, 07/15/24‡‡ CONV | 228,000 | 231,135 | ||
Royal Caribbean Cruises, Ltd. | ||||
4.25%, 06/15/23 CONV | 467,000 | 596,592 | ||
RWT Holdings, Inc. | ||||
5.75%, 10/01/25‡‡ CONV | 890,000 | 914,475 | ||
Sabre GLBL, Inc. | ||||
4.00%, 04/15/25‡‡ CONV | 350,000 | 479,278 | ||
SoFi Technologies, Inc. | ||||
0.00%, 10/15/26 144A Ω CONV | 322,000 | 334,091 | ||
Spirit Airlines, Inc. | ||||
1.00%, 05/15/26‡‡ CONV | 324,000 | 280,921 | ||
Splunk, Inc. | ||||
1.13%, 06/15/27‡‡ CONV | 322,000 | 301,875 | ||
Spotify U.S.A., Inc. | ||||
2.01%, 03/15/26 144A Ω ‡‡ CONV | 524,000 | 475,216 | ||
Stride, Inc. | ||||
1.13%, 09/01/27 CONV | 536,000 | 524,139 | ||
Summit Hotel Properties, Inc. REIT | ||||
1.50%, 02/15/26‡‡ CONV | 500,000 | 524,000 | ||
Sunnova Energy International, Inc. | ||||
0.25%, 12/01/26 144A ‡‡ CONV | 419,000 | 435,781 | ||
Sunrun, Inc. | ||||
0.00%, 02/01/26 144A Ω ‡‡ CONV | 608,000 | 476,534 | ||
Travere Therapeutics, Inc. | ||||
2.50%, 09/15/25‡‡ CONV | 524,000 | 578,706 | ||
Two Harbors Investment Corporation REIT | ||||
6.25%, 01/15/26‡‡ CONV | 480,000 | 486,000 | ||
Unity Software, Inc. | ||||
0.00%, 11/15/26 144A Ω CONV | 271,000 | 248,643 | ||
Upwork, Inc. | ||||
0.25%, 08/15/26 144A ‡‡ CONV | 322,000 | 296,561 | ||
Verint Systems, Inc. | ||||
0.25%, 04/15/26 144A ‡‡ CONV | 524,000 | 560,366 | ||
Vocera Communications, Inc. | ||||
0.50%, 09/15/26 144A ‡‡ CONV | 673,000 | 856,465 | ||
Vroom, Inc. | ||||
0.75%, 07/01/26 144A ‡‡ CONV | 375,000 | 236,250 | ||
Winnebago Industries, Inc. | ||||
1.50%, 04/01/25‡‡ CONV | 375,000 | 502,091 |
Par | Value | |||
WisdomTree Investments, Inc. | ||||
4.25%, 06/15/23 CONV | $ 450,000 | $ 541,687 | ||
3.25%, 06/15/26 144A CONV | 104,000 | 100,817 | ||
Workiva, Inc. | ||||
1.13%, 08/15/26‡‡ CONV | 500,000 | 884,924 | ||
Ziff Davis, Inc. | ||||
1.75%, 11/01/26 144A CONV | 300,000 | 372,228 | ||
Zillow Group, Inc. | ||||
2.75%, 05/15/25‡‡ CONV | 325,000 | 419,933 | ||
Zogenix, Inc. | ||||
2.75%, 10/01/27 CONV | 350,000 | 346,605 | ||
Total Corporate Bonds (Cost $50,161,315) | 50,413,370 | |||
FOREIGN BONDS — 0.4% | ||||
Cameroon — 0.1% | ||||
Golar LNG, Ltd. | ||||
2.75%, 02/15/22‡‡ CONV | 300,000 | 300,912 | ||
Jersey — 0.2% | ||||
Encore Capital Europe Finance, Ltd. | ||||
4.50%, 09/01/23‡‡ CONV | 366,000 | 542,595 | ||
Norway — 0.1% | ||||
SFL Corporation, Ltd. | ||||
4.88%, 05/01/23‡‡ CONV | 427,000 | 435,044 | ||
Turkey — 0.0% | ||||
Turkey Government Bond | ||||
12.20%, 01/18/23(T) | 10,000 | 693 | ||
Total Foreign Bonds (Cost $1,150,229) | 1,279,244 | |||
MORTGAGE-BACKED SECURITIES — 1.0% | ||||
Federal Home Loan Mortgage Corporation REMIC, Series 4248 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.89%, 09/15/43† IO | 279,598 | 46,960 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4468 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.99%, 05/15/45† IO | 291,801 | 52,855 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4583 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.89%, 05/15/46† IO | 714,029 | 117,966 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4905 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.00%, 08/25/49† IO | 452,794 | 77,473 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4991 | ||||
5.00%, 07/25/50 IO | 1,273,377 | 215,823 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5009 | ||||
2.00%, 09/25/50 IO | 956,859 | 112,022 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 5012 | ||||
4.00%, 09/25/50 IO | $ 205,567 | $ 33,433 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5020 | ||||
3.00%, 08/25/50 IO | 371,931 | 57,942 | ||
Federal National Mortgage Association REMIC, Series 2012-115 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.00%, 10/25/42† IO | 300,503 | 49,876 | ||
Federal National Mortgage Association REMIC, Series 2017-31 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.00%, 05/25/47† IO | 408,690 | 72,525 | ||
Federal National Mortgage Association REMIC, Series 2017-86 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.05%, 11/25/47† IO | 531,812 | 96,676 | ||
Federal National Mortgage Association REMIC, Series 2018-17 | ||||
(Floating, 3.45% - ICE LIBOR USD 1M, 2.50% Cap), 2.50%, 03/25/48† IO | 2,307,828 | 173,848 | ||
Federal National Mortgage Association REMIC, Series 2018-8 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.05%, 02/25/48† IO | 255,719 | 38,466 | ||
Federal National Mortgage Association REMIC, Series 2020-38 | ||||
4.00%, 06/25/50 IO | 1,092,115 | 164,073 | ||
Federal National Mortgage Association REMIC, Series 2020-49 | ||||
4.00%, 07/25/50 IO | 476,855 | 76,754 | ||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.00%, 07/25/50† IO | 582,208 | 126,985 | ||
Federal National Mortgage Association REMIC, Series 2020-60 | ||||
4.00%, 09/25/50 IO | 190,912 | 29,072 | ||
Federal National Mortgage Association REMIC, Series 2020-62 | ||||
4.00%, 06/25/48 IO | 633,763 | 115,031 | ||
Federal National Mortgage Association STRIP, Series 405 | ||||
(Floating, 5.05% - ICE LIBOR USD 1M, 5.05% Cap), 4.95%, 10/25/40† IO | 684,244 | 112,841 |
Par | Value | |||
Government National Mortgage Association, Series 2015-110 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 5.60%, 08/20/45† IO | $ 160,316 | $ 25,960 | ||
Government National Mortgage Association, Series 2016-109 | ||||
4.00%, 10/20/45 IO | 128,156 | 12,964 | ||
Government National Mortgage Association, Series 2018-124 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.10%, 09/20/48† IO | 473,941 | 85,644 | ||
Government National Mortgage Association, Series 2018-139 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.05%, 10/20/48† IO | 198,794 | 26,642 | ||
Government National Mortgage Association, Series 2018-7 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 5.60%, 01/20/48† IO | 403,784 | 71,290 | ||
Government National Mortgage Association, Series 2019-1 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.95%, 01/20/49† IO | 221,464 | 29,740 | ||
Government National Mortgage Association, Series 2019-110 | ||||
6.00%, 09/20/49† IO | 714,931 | 99,416 | ||
Government National Mortgage Association, Series 2019-111 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.05%, 01/20/49† IO | 612,939 | 97,055 | ||
Government National Mortgage Association, Series 2019-151 | ||||
3.50%, 10/20/49 IO | 969,577 | 80,445 | ||
3.50%, 12/20/49 IO | 544,018 | 58,985 | ||
Government National Mortgage Association, Series 2019-153 | ||||
4.00%, 12/20/49 IO | 2,808,440 | 372,300 | ||
Government National Mortgage Association, Series 2019-20 | ||||
(Floating, 3.79% - ICE LIBOR USD 1M, 3.79% Cap), 3.69%, 02/20/49† IO | 524,895 | 36,000 | ||
Government National Mortgage Association, Series 2019-6 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.95%, 01/20/49† IO | 185,803 | 28,297 | ||
Government National Mortgage Association, Series 2019-69 | ||||
(Floating, 3.27% - ICE LIBOR USD 1M, 3.27% Cap), 3.17%, 06/20/49† IO | 208,006 | 17,315 |
Par | Value | |||
Government National Mortgage Association, Series 2019-97 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.00%, 08/20/49† IO | $297,486 | $ 36,841 | ||
Government National Mortgage Association, Series 2020-146 | ||||
2.50%, 10/20/50 IO | 386,682 | 48,751 | ||
Government National Mortgage Association, Series 2020-21 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.95%, 02/20/50† IO | 405,804 | 63,844 | ||
Government National Mortgage Association, Series 2020-55 | ||||
3.50%, 04/20/50 IO | 385,178 | 46,441 | ||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.95%, 04/20/50† IO | 627,903 | 110,637 | ||
Government National Mortgage Association, Series 2020-61 | ||||
(Floating, 6.44% - ICE LIBOR USD 1M, 6.44% Cap), 6.34%, 07/20/43† IO | 626,071 | 111,470 | ||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.95%, 08/20/49† IO | 949,745 | 127,456 | ||
Government National Mortgage Association, Series 2020-78 | ||||
4.00%, 06/20/50 IO | 743,299 | 77,529 | ||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.05%, 06/20/50† IO | 953,986 | 153,782 | ||
Government National Mortgage Association, Series 2020-79 | ||||
4.00%, 06/20/50 IO | 199,105 | 23,839 | ||
Total Mortgage-Backed Securities (Cost $4,164,889) | 3,613,264 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTIONS — 0.0% | ||||
Call Swaptions — 0.0% | ||||
Pay 1-Day SONIA (Annually); Receive 0.42% (Annually); Interest Rate Swap Maturing 10/10/2023 GBP, Strike Price $0.42, Expires 10/10/22 (CITI) | 1 | $8,270,000 | 3,114 |
Number of Contracts | Notional Amount | Value | |||
Pay 1-Day SONIA (Annually); Receive 0.46% (Annually); Interest Rate Swap Maturing 10/10/2023 GBP, Strike Price $0.46, Expires 10/10/22 (CITI) | 1 | $ 7,550,000 | $ 3,236 | ||
Pay 1-Day SONIA (Annually); Receive 0.52% (Annually); Interest Rate Swap Maturing 11/15/2023 GBP, Strike Price $0.52, Expires 11/15/22 (CITI) | 1 | 8,700,000 | 5,171 | ||
Pay 1-Day SONIA (Annually); Receive 0.54% (Annually); Interest Rate Swap Maturing 11/16/2023 GBP, Strike Price $0.54, Expires 11/16/22 (MSCS) | 1 | 7,920,000 | 5,149 | ||
Pay 3-Month LIBOR (Quarterly); Receive 0.47% (Semiannually); Interest Rate Swap Maturing 2/24/2025 USD, Strike Price $0.47, Expires 02/22/22 (CITI) | 1 | 7,540,000 | 115 | ||
Pay 3-Month LIBOR (Quarterly); Receive 0.61% (Semiannually); Interest Rate Swap Maturing 1/11/2025 USD, Strike Price $0.61, Expires 01/07/22 (CITI) | 1 | 7,340,000 | — | ||
16,785 | |||||
Put Swaption — 0.0% | |||||
Pay 0.37% (Annually); Receive 1-Month IBOR (Annually); Interest Rate Swap Maturing 5/30/2042 JPY, Strike Price $0.37, Expires 05/26/22 (BAR) | 1 | 195,390,000 | 15,092 | ||
Total Purchased Options (Premiums paid $115,308) | 31,877 |
Par | Value | |||
U.S. TREASURY OBLIGATIONS — 29.0% | ||||
U.S. Treasury Bills | ||||
0.02%, 01/13/22Ω | $ 4,300,000 | $ 4,299,988 | ||
0.03%, 01/20/22Ω | 4,300,000 | 4,299,985 | ||
0.04%, 01/27/22Ω | 4,300,000 | 4,299,935 | ||
0.04%, 02/10/22Ω | 4,300,000 | 4,299,875 | ||
0.04%, 02/17/22Ω | 4,300,000 | 4,299,866 | ||
0.04%, 03/03/22Ω | 4,300,000 | 4,299,700 | ||
0.05%, 03/10/22Ω | 4,300,000 | 4,299,704 | ||
0.03%, 03/17/22Ω | 4,300,000 | 4,299,562 | ||
0.05%, 03/24/22Ω | 4,300,000 | 4,299,513 | ||
0.03%, 04/07/22Ω | 4,300,000 | 4,299,237 | ||
0.07%, 04/28/22Ω | 29,500,000 | 29,493,286 | ||
0.12%, 06/16/22Ω | 29,500,000 | 29,483,033 | ||
Total U.S. Treasury Obligations (Cost $101,974,063) | 101,973,684 |
Shares | |||
COMMON STOCKS — 6.5% | |||
Communication Services — 0.0% | |||
Escrow NII Holdings, Inc.††† * | 76,167 | 19,803 | |
Consumer Discretionary — 1.4% | |||
Advance Auto Parts, Inc. | 584 | 140,090 | |
Amazon.com, Inc.* | 70 | 233,404 | |
American Eagle Outfitters, Inc. | 9,998 | 253,149 | |
AutoNation, Inc.* | 639 | 74,667 | |
AutoZone, Inc.* | 151 | 316,555 | |
Best Buy Co., Inc. | 4,107 | 417,271 | |
Chewy, Inc. Class A* | 2,662 | 156,978 | |
Dick's Sporting Goods, Inc. | 2,331 | 268,042 | |
Etsy, Inc.* | 677 | 148,222 | |
Floor & Decor Holdings, Inc. Class A* | 286 | 37,183 | |
Foot Locker, Inc. | 5,118 | 223,298 | |
Genuine Parts Co. | 379 | 53,136 | |
Home Depot, Inc. (The) | 117 | 48,556 | |
Kohl’s Corporation | 508 | 25,090 | |
Lithia Motors, Inc. | 521 | 154,711 | |
Lowe’s Cos., Inc. | 756 | 195,411 | |
Murphy U.S.A., Inc. | 447 | 89,060 | |
O’Reilly Automotive, Inc.* | 489 | 345,347 | |
Ollie's Bargain Outlet Holdings, Inc.* | 669 | 34,246 | |
Penske Automotive Group, Inc. | 1,049 | 112,474 | |
Pool Corporation | 366 | 207,156 | |
Target Corporation | 3,002 | 694,783 | |
Tractor Supply Co. | 538 | 128,367 | |
Ulta Beauty, Inc.* | 431 | 177,719 | |
Williams-Sonoma, Inc. | 2,055 | 347,562 | |
4,882,477 | |||
Consumer Staples — 0.8% | |||
Albertsons Cos., Inc. Class A | 4,537 | 136,972 | |
BJ's Wholesale Club Holdings, Inc.* | 696 | 46,611 | |
Casey’s General Stores, Inc. | 1,162 | 229,321 | |
Church & Dwight Co., Inc. | 1,736 | 177,940 |
Shares | Value | |||
Colgate-Palmolive Co. | 4,853 | $ 414,155 | ||
Costco Wholesale Corporation | 481 | 273,064 | ||
Estee Lauder Cos., Inc. (The) Class A | 121 | 44,794 | ||
Nu Skin Enterprises, Inc. Class A | 1,299 | 65,924 | ||
Procter & Gamble Co. (The) | 3,192 | 522,147 | ||
Sprouts Farmers Market, Inc.* | 6,821 | 202,447 | ||
Walmart, Inc. | 4,911 | 710,573 | ||
2,823,948 | ||||
Financials — 1.1% | ||||
Aflac, Inc. | 4,441 | 259,310 | ||
Alleghany Corporation* | 149 | 99,471 | ||
Allstate Corporation (The) | 7,489 | 881,081 | ||
Arch Capital Group, Ltd.* | 1,765 | 78,454 | ||
Brighthouse Financial, Inc.* | 532 | 27,558 | ||
Brown & Brown, Inc. | 876 | 61,565 | ||
Cincinnati Financial Corporation | 2,088 | 237,886 | ||
CNA Financial Corporation | 1,815 | 80,005 | ||
CNO Financial Group, Inc. | 2,794 | 66,609 | ||
Erie Indemnity Co. Class A | 1,022 | 196,898 | ||
Fidelity National Financial, Inc. | 2,473 | 129,041 | ||
First American Financial Corporation | 2,112 | 165,222 | ||
Globe Life, Inc. | 2,511 | 235,331 | ||
Hanover Insurance Group, Inc. (The) | 919 | 120,444 | ||
Kinsale Capital Group, Inc. | 535 | 127,271 | ||
Markel Corporation* | 159 | 196,206 | ||
Mercury General Corporation | 5,587 | 296,446 | ||
Old Republic International Corporation | 3,638 | 89,422 | ||
Primerica, Inc. | 1,244 | 190,668 | ||
Selective Insurance Group, Inc. | 1,040 | 85,218 | ||
Travelers Cos., Inc. (The) | 912 | 142,664 | ||
W.R. Berkley Corporation | 536 | 44,161 | ||
3,810,931 | ||||
Information Technology — 1.3% | ||||
Amphenol Corporation Class A | 520 | 45,479 | ||
Apple, Inc. | 2,971 | 527,561 | ||
Arista Networks, Inc.* | 1,246 | 179,113 | ||
Arrow Electronics, Inc.* | 2,091 | 280,759 | ||
CDW Corporation | 3,851 | 788,608 | ||
Ciena Corporation* | 1,830 | 140,855 | ||
Cisco Systems, Inc. | 8,875 | 562,409 | ||
Cognex Corporation | 712 | 55,365 | ||
Dell Technologies, Inc. Class C* | 488 | 27,411 | ||
F5, Inc.* | 47 | 11,501 | ||
HP, Inc. | 15,817 | 595,826 | ||
IPG Photonics Corporation* | 629 | 108,276 | ||
Keysight Technologies, Inc.* | 967 | 199,695 | ||
Motorola Solutions, Inc. | 206 | 55,970 | ||
National Instruments Corporation | 1,951 | 85,200 | ||
NetApp, Inc. | 1,032 | 94,934 | ||
Trimble, Inc.* | 689 | 60,074 | ||
Ubiquiti, Inc. | 993 | 304,553 |
Shares | Value | |||
Vishay Intertechnology, Inc. | 11,098 | $ 242,713 | ||
VMware, Inc. Class A | 215 | 24,914 | ||
Zebra Technologies Corporation Class A* | 242 | 144,038 | ||
4,535,254 | ||||
Materials — 1.9% | ||||
AptarGroup, Inc. | 1,423 | 174,289 | ||
Axalta Coating Systems, Ltd.* | 1,616 | 53,522 | ||
Ball Corporation | 5,852 | 563,372 | ||
Berry Global Group, Inc.* | 148 | 10,920 | ||
Celanese Corporation | 1,352 | 227,217 | ||
Corteva, Inc. | 1,149 | 54,325 | ||
Eagle Materials, Inc. | 278 | 46,276 | ||
Ecolab, Inc. | 830 | 194,710 | ||
Element Solutions, Inc. | 18,311 | 444,591 | ||
FMC Corporation‡‡ | 540 | 59,341 | ||
Huntsman Corporation | 1,371 | 47,821 | ||
Ingevity Corporation* | 382 | 27,389 | ||
Louisiana-Pacific Corporation | 1,084 | 84,931 | ||
Mosaic Co. (The) | 15,373 | 604,005 | ||
NewMarket Corporation | 745 | 255,326 | ||
Newmont Corporation | 1,750 | 108,535 | ||
Nucor Corporation | 2,936 | 335,144 | ||
Packaging Corporation of America | 4,479 | 609,816 | ||
Reliance Steel & Aluminum Co. | 2,488 | 403,603 | ||
Royal Gold, Inc. | 2,423 | 254,924 | ||
RPM International, Inc. | 1,279 | 129,179 | ||
Sealed Air Corporation | 5,507 | 371,557 | ||
Sensient Technologies Corporation | 2,288 | 228,937 | ||
Sherwin-Williams Co. (The) | 1,894 | 666,991 | ||
Silgan Holdings, Inc. | 596 | 25,533 | ||
Steel Dynamics, Inc. | 3,908 | 242,570 | ||
United States Steel Corporation | 10,372 | 246,957 | ||
Valvoline, Inc. | 2,636 | 98,297 | ||
Westlake Chemical Corporation | 1,264 | 122,772 | ||
6,692,850 | ||||
Total Common Stocks (Cost $21,345,097) | 22,765,263 | |||
FOREIGN COMMON STOCKS — 0.1% | ||||
Ireland — 0.1% | ||||
Seagate Technology Holdings PLC | 668 | 75,471 | ||
Willis Towers Watson PLC | 502 | 119,220 | ||
194,691 | ||||
Jersey — 0.0% | ||||
Amcor PLC | 2,092 | 25,125 | ||
Netherlands — 0.0% | ||||
LyondellBasell Industries NV Class A | 1,071 | 98,778 |
Shares | Value | |||
Switzerland — 0.0% | ||||
Chubb, Ltd. | 546 | $ 105,547 | ||
Total Foreign Common Stocks (Cost $381,771) | 424,141 | |||
PREFERRED STOCKS — 1.8% | ||||
AGNC Investment Corporation | ||||
(Variable, ICE LIBOR USD 3M + 4.70%), 6.13% † | 11,804 | 298,169 | ||
AMG Capital Trust II | ||||
5.15%, 10/15/37 CONV | 13,938 | 817,986 | ||
Arbor Realty Trust, Inc. | ||||
(Variable, U.S. SOFR + 5.44%), 0.00% * | 11,512 | 292,980 | ||
Bunge, Ltd. | ||||
4.88% CONV | 3,500 | 443,590 | ||
Cowen, Inc. | ||||
5.63% CONV | 320 | 460,337 | ||
Fluor Corporation | ||||
6.50% 144A CONV | 576 | 759,398 | ||
Granite Point Mortgage Trust, Inc. | ||||
(Variable, U.S. SOFR + 5.83%), 7.00% † | 7,798 | 199,239 | ||
MFA Financial, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 5.35%), 6.50% † | 20,886 | 493,745 | ||
NCR Corporation | ||||
PIK, 5.50% CONV | 250 | 371,925 | ||
New Residential Investment Corporation | ||||
(Variable, ICE LIBOR USD 3M + 4.97%), 6.38% † | 20,512 | 475,058 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 6.22%), 7.00% † | 7,755 | 198,838 | ||
New York Community Capital Trust V | ||||
6.00%, 11/01/51 CONV | 15,402 | 814,823 | ||
New York Mortgage Trust, Inc. | ||||
(Variable, U.S. SOFR + 6.13%), 6.88% † | 11,165 | 274,101 | ||
RBC Bearings, Inc. | ||||
5.00%, 10/15/24 CONV | 1,916 | 200,912 | ||
Ready Capital Corporation | ||||
7.00%, 08/15/23 CONV | 11,500 | 309,235 | ||
Total Preferred Stocks (Cost $6,220,603) | 6,410,336 | |||
FOREIGN PREFERRED STOCKS — 0.2% | ||||
Canada — 0.1% | ||||
Algonquin Power & Utilities Corporation | ||||
7.75%, 06/15/24 CONV | 6,766 | 319,626 | ||
Jersey — 0.1% | ||||
Clarivate PLC | ||||
5.25%, 06/01/24 CONV | 2,815 | 255,771 | ||
Total Foreign Preferred Stocks (Cost $620,160) | 575,397 |
Shares | Value | |||
RIGHTS — 0.0% | ||||
Alder Biopharmaceuticals, Inc. ††† * (Cost $3,155) | 3,505 | $ 7,010 | ||
MUTUAL FUNDS — 0.1% | ||||
ProShares Short 20+ Year Treasury* (Cost $296,408) | 17,007 | 271,942 | ||
MONEY MARKET FUNDS — 38.0% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ | 13,188,960 | 13,188,960 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 120,507,337 | 120,507,337 | ||
Total Money Market Funds (Cost $133,696,297) | 133,696,297 | |||
TOTAL INVESTMENTS —91.4% (Cost $320,129,295) | 321,461,825 | |||
COMMON STOCKS SOLD SHORT — (5.0)% | ||||
Communication Services — (0.2)% | ||||
Cable One, Inc. | (133) | (234,539) | ||
DISH Network Corporation Class A * | (3,871) | (125,575) | ||
fuboTV, Inc. * | (3,932) | (61,025) | ||
Magnite, Inc. * | (3,848) | (67,340) | ||
Spotify Technology SA * | (377) | (88,229) | ||
TripAdvisor, Inc. * | (1,575) | (42,934) | ||
Zillow Group, Inc. Class C * | (2,336) | (149,154) | ||
(768,796) | ||||
Consumer Discretionary — (0.7)% | ||||
2U, Inc. * | (4,843) | (97,199) | ||
Burlington Stores, Inc. * | (1,122) | (327,074) | ||
Callaway Golf Co. * | (10,414) | (285,760) | ||
Cheesecake Factory, Inc. (The) * | (1,444) | (56,533) | ||
Chegg, Inc. * | (916) | (28,121) | ||
GoPro, Inc. Class A * | (18,150) | (187,127) | ||
Groupon, Inc. * | (1,831) | (42,406) | ||
Lucid Group, Inc. * | (3,467) | (131,919) | ||
Norwegian Cruise Line Holdings, Ltd. * | (3,907) | (81,031) | ||
Patrick Industries, Inc. | (1,193) | (96,263) | ||
Peloton Interactive, Inc. Class A * | (323) | (11,550) | ||
Porch Group, Inc. * | (7,084) | (110,440) | ||
RealReal, Inc. (The) * | (7,060) | (81,967) | ||
Royal Caribbean Cruises, Ltd. * | (3,944) | (303,294) | ||
Stride, Inc. * | (5,789) | (192,947) | ||
Vroom, Inc. * | (2,014) | (21,731) | ||
Winnebago Industries, Inc. | (3,496) | (261,920) | ||
(2,317,282) | ||||
Consumer Staples — (0.1)% | ||||
Beyond Meat, Inc. * | (511) | (33,297) | ||
Bunge, Ltd. | (1,969) | (183,826) |
Shares | Value | |||
Chefs' Warehouse, Inc. (The) * | (6,100) | $ (203,130) | ||
(420,253) | ||||
Energy — (0.1)% | ||||
Centennial Resource Development, Inc. Class A * | (61,818) | (369,671) | ||
Helix Energy Solutions Group, Inc. * | (18,597) | (58,023) | ||
SFL Corporation, Ltd. | (6,100) | (49,715) | ||
(477,409) | ||||
Financials — (0.4)% | ||||
Affiliated Managers Group, Inc. | (721) | (118,612) | ||
Coinbase Global, Inc. Class A * | (391) | (98,676) | ||
Cowen, Inc. Class A | (9,208) | (332,409) | ||
Encore Capital Group, Inc. * | (6,149) | (381,914) | ||
PRA Group, Inc. * | (5,100) | (256,071) | ||
SoFi Technologies, Inc. * | (6,942) | (109,753) | ||
WisdomTree Investments, Inc. | (45,565) | (278,858) | ||
(1,576,293) | ||||
Health Care — (0.8)% | ||||
Alphatec Holdings, Inc. * | (6,300) | (72,009) | ||
Avid Bioservices, Inc. * | (7,545) | (220,163) | ||
Coherus Biosciences, Inc. * | (18,509) | (295,404) | ||
CryoPort, Inc. * | (432) | (25,561) | ||
Exact Sciences Corporation * | (2,173) | (169,125) | ||
Gossamer Bio, Inc. * | (22,996) | (260,085) | ||
Haemonetics Corporation * | (494) | (26,202) | ||
Halozyme Therapeutics, Inc. * | (3,646) | (146,606) | ||
Innoviva, Inc. * | (12,785) | (220,541) | ||
Insmed, Inc. * | (13,241) | (360,685) | ||
Ionis Pharmaceuticals, Inc. * | (1,229) | (37,398) | ||
Ligand Pharmaceuticals, Inc. * | (400) | (61,784) | ||
Travere Therapeutics, Inc. * | (6,097) | (189,251) | ||
Vocera Communications, Inc. * | (7,869) | (510,226) | ||
Zogenix, Inc. * | (7,933) | (128,911) | ||
(2,723,951) | ||||
Industrials — (0.6)% | ||||
Air Transport Services Group, Inc. * | (8,750) | (257,075) | ||
Array Technologies, Inc. * | (2,851) | (44,732) | ||
Bloom Energy Corporation Class A * | (12,003) | (263,226) | ||
Fluor Corporation * | (17,804) | (441,005) | ||
FTI Consulting, Inc. * | (2,724) | (417,916) | ||
Greenbrier Cos., Inc. (The) | (5,605) | (257,214) | ||
Kaman Corporation | (1,707) | (73,657) | ||
Meritor, Inc. * | (3,150) | (78,057) | ||
RBC Bearings, Inc. * | (707) | (142,793) | ||
Spirit Airlines, Inc. * | (2,651) | (57,924) | ||
Sunrun, Inc. * | (1,115) | (38,245) | ||
Upwork, Inc. * | (2,333) | (79,695) | ||
(2,151,539) | ||||
Information Technology — (1.5)% | ||||
8x8, Inc. * | (3,500) | (58,660) | ||
Affirm Holdings, Inc. * | (562) | (56,515) | ||
Avaya Holdings Corporation * | (5,659) | (112,048) | ||
Bentley Systems, Inc. Class B | (1,878) | (90,764) |
Shares | Value | |||
BigCommerce Holdings, Inc. Series 1 * | (2,183) | $ (77,213) | ||
Ceridian HCM Holding, Inc. * | (1,957) | (204,428) | ||
Confluent, Inc. Class A * | (1,081) | (82,415) | ||
DigitalOcean Holdings, Inc. * | (540) | (43,378) | ||
Enphase Energy, Inc. * | (1,458) | (266,727) | ||
Envestnet, Inc. * | (2,270) | (180,102) | ||
Everbridge, Inc. * | (940) | (63,290) | ||
Fastly, Inc. Class A * | (2,095) | (74,268) | ||
I3 Verticals, Inc. Class A * | (4,341) | (98,931) | ||
II-VI, Inc. * | (4,052) | (276,873) | ||
Impinj, Inc. * | (181) | (16,055) | ||
Infinera Corporation * | (16,254) | (155,876) | ||
Jamf Holding Corporation * | (3,476) | (132,123) | ||
LivePerson, Inc. * | (1,961) | (70,047) | ||
Lumentum Holdings, Inc. * | (1,546) | (163,520) | ||
MACOM Technology Solutions Holdings, Inc. * | (2,683) | (210,079) | ||
Marathon Digital Holdings, Inc. * | (2,476) | (81,361) | ||
MicroStrategy, Inc. Class A * | (236) | (128,500) | ||
Mitek Systems, Inc. * | (11,592) | (205,758) | ||
NCR Corporation * | (5,464) | (219,653) | ||
New Relic, Inc. * | (1,987) | (218,491) | ||
OSI Systems, Inc. * | (1,246) | (116,127) | ||
Perficient, Inc. * | (148) | (19,135) | ||
Progress Software Corporation | (3,631) | (175,268) | ||
Q2 Holdings, Inc. * | (2,014) | (159,992) | ||
Sabre Corporation * | (28,204) | (242,272) | ||
Splunk, Inc. * | (504) | (58,323) | ||
Unity Software, Inc. * | (369) | (52,763) | ||
Verint Systems, Inc. * | (4,899) | (257,247) | ||
Workiva, Inc. * | (5,072) | (661,845) | ||
Ziff Davis, Inc. * | (2,000) | (221,720) | ||
(5,251,767) | ||||
Materials — (0.0)% | ||||
Danimer Scientific, Inc. * | (16,736) | (142,591) | ||
Real Estate — (0.4)% | ||||
iStar, Inc. REIT | (19,615) | (506,655) | ||
Pebblebrook Hotel Trust REIT | (15,458) | (345,796) | ||
Realogy Holdings Corporation * | (9,611) | (161,561) | ||
Redfin Corporation * | (1,993) | (76,511) | ||
Summit Hotel Properties, Inc. REIT * | (25,240) | (246,342) | ||
(1,336,865) | ||||
Utilities — (0.2)% | ||||
NRG Energy, Inc. | (6,947) | (299,277) | ||
Sunnova Energy International, Inc. * | (7,957) | (222,159) | ||
(521,436) | ||||
Total Common Stocks Sold Short (Proceeds $(17,839,523)) | (17,688,182) | |||
FOREIGN COMMON STOCKS SOLD SHORT — (0.2)% | ||||
Canada — (0.1)% | ||||
Algonquin Power & Utilities Corporation | (13,918) | (201,115) |
Shares | Value | |||
Ireland — (0.1)% | ||||
Jazz Pharmaceuticals PLC * | (1,767) | $ (225,116) | ||
Jersey — (0.0)% | ||||
Clarivate PLC * | (7,770) | (182,750) | ||
Total Foreign Common Stocks Sold Short (Proceeds $(722,343)) | (608,981) | |||
TOTAL SECURITIES SOLD SHORT —(5.2)% (Proceeds $(18,561,866)) | (18,297,163) |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.3)% | ||||
Call Options — (0.0)% | ||||
2U, Inc., Strike Price $20.00, Expires 01/21/22 (Evercore) | (22) | $ (44,154) | (2,365) | |
Avid Bioservices, Inc., Strike Price $30.00, Expires 01/21/22 (Evercore) | (21) | (61,278) | (2,520) | |
BigCommerce, Inc., Strike Price $55.00, Expires 01/21/22 (Evercore) | (6) | (21,222) | (54) | |
Burlington Stores, Inc., Strike Price $280.00, Expires 03/18/22 (Evercore) | (4) | (116,604) | (10,580) | |
Callaway Golf Co., Strike Price $29.00, Expires 02/18/22 (Evercore) | (30) | (82,320) | (3,450) | |
Enphase Energy, Inc., Strike Price $250.00, Expires 02/18/22 (Evercore) | (5) | (91,470) | (1,307) | |
Exact Sciences, Inc., Strike Price $85.00, Expires 01/21/22 (Evercore) | (9) | (70,047) | (1,989) | |
fuboTV Inc., Strike Price $30.00, Expires 01/21/22 (Evercore) | (22) | (34,144) | (176) | |
II-VI, Inc., Strike Price $70.00, Expires 01/21/22 (Evercore) | (11) | (75,163) | (1,683) |
Number of Contracts | Notional Amount | Value | |||
Infinera Corp., Strike Price $9.00, Expires 01/21/22 (Evercore) | (81) | $ (77,679) | $ (5,670) | ||
New Relic, Inc., Strike Price $105.00, Expires 02/18/22 (Evercore) | (9) | (98,964) | (11,205) | ||
Realreal, Inc., Strike Price $15.00, Expires 01/21/22 (Evercore) | (31) | (35,991) | (434) | ||
Redfin Corp., Strike Price $40.00, Expires 02/18/22 (Evercore) | (13) | (49,907) | (3,510) | ||
Sabre Corp., Strike Price $9.00, Expires 01/21/22 (Evercore) | (89) | (76,451) | (3,204) | ||
SoFi Technologies, Inc., Strike Price $15.00, Expires 02/18/22 (Evercore) | (29) | (45,849) | (6,293) | ||
Sunnova Energy Intl., Strike Price $40.00, Expires 01/21/22 (Evercore) | (24) | (67,008) | (240) | ||
Winnebago Industries, Inc., Strike Price $70.00, Expires 01/21/22 (Evercore) | (12) | (89,904) | (6,600) | ||
Zillow Group, Inc., Strike Price $60.00, Expires 02/18/22 (Evercore) | (10) | (63,850) | (7,800) | ||
(69,080) | |||||
Call Swaptions — (0.1)% | |||||
Pay 0.02% (Annually); Receive 6-Month EURIBOR (Semiannually); Interest Rate Swap Maturing 12/13/2027 EUR, Strike Price $0.02, Expires 12/09/22 (CITI) | (2) | (7,440,000) | (61,796) |
Number of Contracts | Notional Amount | Value | |||
Pay -0.08% (Annually); Receive 6-Month EURIBOR (Semiannually); Interest Rate Swap Maturing 3/18/2027 EUR, Strike Price $0.08, Expires 03/16/22 (BNP) | (2) | $(15,740,000) | $(38,815) | ||
Pay 0.38% (Annually); Receive 1-Day SONIA (Annually); Interest Rate Swap Maturing 10/10/2032 GBP, Strike Price $0.38, Expires 10/10/22 (CITI) | (1) | (850,000) | (8,321) | ||
Pay 0.43% (Annually); Receive 1-Day SONIA (Annually); Interest Rate Swap Maturing 10/10/2032 GBP, Strike Price $0.42, Expires 10/10/22 (CITI) | (1) | (780,000) | (8,562) | ||
Pay 0.55% (Annually); Receive 1-Day SONIA (Annually); Interest Rate Swap Maturing 11/15/2032 GBP, Strike Price $0.55, Expires 11/15/22 (CITI) | (1) | (900,000) | (15,404) | ||
Pay 0.60% (Annually); Receive 1-Day SONIA (Annually); Interest Rate Swap Maturing 11/16/2032 GBP, Strike Price $0.60, Expires 11/16/22 (MSCS) | (1) | (820,000) | (15,169) | ||
Pay 0.85% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 2/24/2032 USD, Strike Price $0.85, Expires 02/22/22 (CITI) | (1) | (2,380,000) | (190) |
Number of Contracts | Notional Amount | Value | |||
Pay 1.12% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 1/11/2032 USD, Strike Price $1.12, Expires 01/07/22 (CITI) | (1) | $ (2,380,000) | $ — | ||
Pay 1.25% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 12/15/2023 USD, Strike Price $1.25, Expires 12/13/22 (CITI) | (1) | (12,400,000) | (32,270) | ||
Pay 1.26% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 12/15/2023 USD, Strike Price $1.26, Expires 12/13/22 (CITI) | (1) | (17,800,000) | (46,613) | ||
Pay 1.29% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 12/14/2023 USD, Strike Price $1.29, Expires 12/12/22 (CITI) | (2) | (42,400,000) | (119,441) | ||
Pay 1.30% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 12/19/2023 USD, Strike Price $1.30, Expires 12/15/22 (CITI) | (1) | (13,100,000) | (36,913) | ||
(383,494) |
Number of Contracts | Notional Amount | Value | |||
Put Swaptions — (0.2)% | |||||
Pay 3-Month LIBOR (Quarterly); Receive 1.25% (Semiannually); Interest Rate Swap Maturing 12/15/2023 USD, Strike Price $1.25, Expires 12/13/22 (CITI) | (1) | $(12,400,000) | $ (38,698) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.26% (Semiannually); Interest Rate Swap Maturing 12/15/2023 USD, Strike Price $1.26, Expires 12/13/22 (CITI) | (1) | (17,800,000) | (55,312) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.29% (Semiannually); Interest Rate Swap Maturing 12/14/2023 USD, Strike Price $1.29, Expires 12/12/22 (CITI) | (2) | (42,400,000) | (124,745) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.30% (Semiannually); Interest Rate Swap Maturing 12/19/2023 USD, Strike Price $1.30, Expires 12/15/22 (CITI) | (1) | (13,100,000) | (38,942) | ||
Pay 6-Month EURIBOR (Semiannually); Receive 0.02% (Annually); Interest Rate Swap Maturing 12/13/2027 EUR, Strike Price $0.02, Expires 12/09/22 (CITI) | (2) | (7,440,000) | (130,995) |
Number of Contracts | Notional Amount | Value | |||
Pay 6-Month EURIBOR (Semiannually); Receive -0.08% (Annually); Interest Rate Swap Maturing 3/18/2027 EUR, Strike Price $0.08, Expires 03/16/22 (BNP) | (2) | $(15,740,000) | $ (159,230) | ||
Pay 6-Month EURIBOR (Semiannually); Receive -0.11% (Annually); Interest Rate Swap Maturing 5/30/2027 EUR, Strike Price $0.11, Expires 05/26/22 (BNP) | (1) | (3,450,000) | (49,870) | ||
(597,792) | |||||
Total Written Options (Premiums received $ (1,199,864)) | (1,050,366) | ||||
Other Assets in Excess of Liabilities — 14.1% | 49,566,216 | ||||
NET ASSETS — 100.0% | $351,680,512 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bund | 03/2022 | (1) | $ (195,105) | $ 3,154 | ||||
Euro-OAT | 03/2022 | (1) | (185,746) | 3,190 | ||||
Australian Dollars/U.S. Dollars | 03/2022 | (277) | (20,160,060) | (374,050) | ||||
British Pounds/U.S. Dollars | 03/2022 | (13) | (1,099,394) | (27,219) | ||||
Mexican Pesos/U.S. Dollars | 03/2022 | (8) | (193,040) | (5,480) | ||||
New Zealand Dollars/U.S. Dollars | 03/2022 | (2) | (136,870) | (1,550) | ||||
South African Rand/U.S. Dollars | 03/2022 | (15) | (465,563) | 2,813 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Swiss Francs/U.S. Dollars | 03/2022 | (1) | $ (137,400) | $ (1,800) | ||||
U.S. Dollars/Czech Republic Koruna | 03/2022 | 1 | 100,669 | (3,343) | ||||
U.S. Dollars/Norwegian Kroner | 03/2022 | 1 | 100,143 | (1,874) | ||||
U.S. Dollars/Swedish Kroner | 03/2022 | 7 | 699,721 | (2,931) | ||||
Canadian Dollars/U.S. Dollars | 03/2022 | (3) | (237,150) | 441 | ||||
Euro/U.S. Dollars | 03/2022 | (210) | (29,931,563) | (194,825) | ||||
Japanese Yen/U.S. Dollars | 03/2022 | (6) | (652,350) | 7,275 | ||||
S&P 500® E-Mini | 03/2022 | 100 | 23,792,500 | 332,000 | ||||
10-Year Bond | 03/2022 | (16) | (1,803,961) | (46,218) | ||||
10-Year U.S. Treasury Note | 03/2022 | 450 | 58,710,938 | 455,350 | ||||
Long GILT | 03/2022 | (8) | (1,352,467) | (314) | ||||
U.S. Treasury Long Bond | 03/2022 | 12 | 1,925,250 | 21,945 | ||||
Ultra 10-Year U.S. Treasury Note | 03/2022 | (184) | (26,944,500) | (347,833) | ||||
Ultra Long U.S. Treasury Bond | 03/2022 | (1) | (197,125) | (899) | ||||
2-Year U.S. Treasury Note | 04/2022 | 10 | 2,181,719 | (813) | ||||
5-Year U.S. Treasury Note | 04/2022 | (294) | (35,567,109) | (51,597) | ||||
Total Futures Contracts outstanding at December 31, 2021 | $(31,748,463) | $(234,578) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
06/14/22 | U.S. Dollars | 979,000 | Turkish Lira | 9,446,860 | MSCS | $354,336 | ||||||
03/16/22 | Australian Dollars | 7,881,082 | U.S. Dollars | 5,587,237 | MSCS | 147,763 | ||||||
01/20/22 | U.S. Dollars | 1,962,573 | Swedish Kronor | 16,821,732 | MSCS | 100,685 | ||||||
01/25/22 | U.S. Dollars | 1,372,063 | Norwegian Kroner | 11,443,377 | MSCS | 73,239 | ||||||
02/10/22 | Euro | 4,190,111 | U.S. Dollars | 4,734,907 | MSCS | 39,481 | ||||||
01/31/22 | U.S. Dollars | 1,826,484 | Australian Dollars | 2,466,715 | MSCS | 31,648 | ||||||
03/16/22 | Norwegian Kroner | 9,862,509 | U.S. Dollars | 1,090,315 | MSCS | 28,031 | ||||||
03/16/22 | Swiss Francs | 2,412,505 | U.S. Dollars | 2,624,829 | MSCS | 27,979 | ||||||
03/16/22 | Czech Republic Koruna | 21,657,232 | U.S. Dollars | 956,245 | MSCS | 27,852 | ||||||
03/16/22 | Turkish Lira | 5,885,020 | U.S. Dollars | 389,815 | MSCS | 27,250 | ||||||
03/16/22 | U.S. Dollars | 1,674,391 | Japanese Yen | 189,667,091 | MSCS | 24,481 | ||||||
01/31/22 | U.S. Dollars | 1,477,083 | Canadian Dollars | 1,838,053 | MSCS | 24,069 | ||||||
01/26/22 | U.S. Dollars | 395,810 | Hungarian Forint | 123,964,000 | MSCS | 14,696 | ||||||
02/03/22 | U.S. Dollars | 389,653 | South African Rand | 6,009,000 | MSCS | 14,417 | ||||||
02/07/22 | U.S. Dollars | 355,677 | Chilean Pesos | 292,739,678 | MSCS | 13,977 | ||||||
01/21/22 | U.S. Dollars | 762,752 | British Pounds | 553,893 | MSCS | 13,067 | ||||||
03/16/22 | Euro | 1,693,510 | U.S. Dollars | 1,918,064 | MSCS | 12,992 | ||||||
02/10/22 | U.S. Dollars | 729,265 | Russian Rubles | 54,101,734 | MSCS | 12,245 | ||||||
03/16/22 | Canadian Dollars | 726,730 | U.S. Dollars | 563,319 | MSCS | 11,101 | ||||||
03/16/22 | Mexican Pesos | 10,355,259 | U.S. Dollars | 488,618 | MSCS | 10,456 | ||||||
03/16/22 | Chinese Offshore Yuan | 11,499,744 | U.S. Dollars | 1,790,438 | MSCS | 9,655 | ||||||
06/14/22 | Turkish Lira | 4,310,191 | U.S. Dollars | 276,020 | MSCS | 8,987 | ||||||
02/10/22 | U.S. Dollars | 1,471,709 | South Korean Won | 1,741,594,001 | MSCS | 8,768 | ||||||
03/16/22 | New Zealand Dollars | 3,087,130 | U.S. Dollars | 2,105,257 | MSCS | 6,545 | ||||||
03/16/22 | Swedish Kronor | 9,629,455 | U.S. Dollars | 1,059,971 | MSCS | 6,346 | ||||||
03/16/22 | Israeli Shekels | 1,548,367 | U.S. Dollars | 492,278 | MSCS | 6,088 | ||||||
02/16/22 | U.S. Dollars | 351,421 | New Zealand Dollars | 504,613 | MSCS | 6,047 | ||||||
02/16/22 | U.S. Dollars | 469,808 | Japanese Yen | 53,421,888 | MSCS | 5,223 | ||||||
01/24/22 | Mexican Pesos | 6,907,669 | U.S. Dollars | 330,859 | MSCS | 5,100 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/16/22 | Polish Zloty | 1,702,501 | U.S. Dollars | 415,198 | MSCS | $ 4,962 | ||||||
02/10/22 | Indonesian Rupiahs | 6,907,536,267 | U.S. Dollars | 479,790 | MSCS | 4,615 | ||||||
03/16/22 | U.S. Dollars | 1,180,438 | Swedish Kronor | 10,624,406 | MSCS | 3,945 | ||||||
03/16/22 | British Pounds | 369,909 | Euro | 435,536 | MSCS | 3,897 | ||||||
02/10/22 | Polish Zloty | 2,039,000 | U.S. Dollars | 500,923 | MSCS | 3,669 | ||||||
01/24/22 | U.S. Dollars | 411,933 | Mexican Pesos | 8,425,043 | MSCS | 2,174 | ||||||
03/16/22 | U.S. Dollars | 392,697 | Hungarian Forint | 127,686,316 | MSCS | 2,169 | ||||||
03/16/22 | British Pounds | 115,890 | U.S. Dollars | 154,754 | MSCS | 2,056 | ||||||
01/19/22 | Taiwan Dollars | 13,647,920 | U.S. Dollars | 491,392 | MSCS | 1,883 | ||||||
03/16/22 | Hungarian Forint | 79,898,400 | U.S. Dollars | 243,000 | MSCS | 1,369 | ||||||
01/19/22 | U.S. Dollars | 2,464,845 | Taiwan Dollars | 68,159,706 | MSCS | 1,355 | ||||||
03/16/22 | New Zealand Dollars | 362,786 | Euro | 216,899 | MSCS | 846 | ||||||
03/16/22 | South African Rand | 6,942,409 | U.S. Dollars | 430,321 | MSCS | 734 | ||||||
01/21/22 | British Pounds | 203,533 | U.S. Dollars | 275,019 | MSCS | 459 | ||||||
01/25/22 | Swiss Francs | 207,059 | U.S. Dollars | 226,969 | MSCS | 418 | ||||||
03/16/22 | Swiss Francs | 225,387 | Euro | 217,000 | MSCS | 400 | ||||||
01/31/22 | U.S. Dollars | 84,364 | Czech Republic Koruna | 1,841,000 | MSCS | 352 | ||||||
03/16/22 | U.S. Dollars | 48,811 | South African Rand | 784,135 | MSCS | 124 | ||||||
02/07/22 | Singapore Dollars | 103,302 | U.S. Dollars | 76,538 | MSCS | 99 | ||||||
03/16/22 | Thai Baht | 3,241,708 | U.S. Dollars | 96,944 | MSCS | 71 | ||||||
02/10/22 | U.S. Dollars | 74,135 | Hong Kong Dollars | 577,594 | MSCS | 56 | ||||||
Subtotal Appreciation | $1,108,177 | |||||||||||
03/16/22 | U.S. Dollars | 78,793 | Thai Baht | 2,639,574 | MSCS | $ (202) | ||||||
03/16/22 | U.S. Dollars | 429,046 | South African Rand | 6,916,760 | MSCS | (417) | ||||||
01/25/22 | U.S. Dollars | 233,482 | Swiss Francs | 213,000 | MSCS | (430) | ||||||
03/16/22 | U.S. Dollars | 60,956 | Swiss Francs | 55,868 | MSCS | (477) | ||||||
03/16/22 | Euro | 433,261 | Chinese Offshore Yuan | 3,159,559 | MSCS | (542) | ||||||
01/31/22 | Czech Republic Koruna | 3,295,307 | U.S. Dollars | 151,008 | MSCS | (630) | ||||||
01/19/22 | Taiwan Dollars | 27,121,246 | U.S. Dollars | 980,985 | MSCS | (745) | ||||||
03/16/22 | Australian Dollars | 344,405 | British Pounds | 186,008 | MSCS | (1,067) | ||||||
03/16/22 | Swedish Kronor | 2,340,555 | Euro | 228,244 | MSCS | (1,078) | ||||||
01/21/22 | U.S. Dollars | 163,025 | British Pounds | 121,479 | MSCS | (1,394) | ||||||
02/10/22 | South Korean Won | 876,059,390 | U.S. Dollars | 737,697 | MSCS | (1,806) | ||||||
03/16/22 | Swedish Kronor | 6,070,881 | U.S. Dollars | 674,513 | MSCS | (2,254) | ||||||
02/16/22 | Japanese Yen | 25,938,328 | U.S. Dollars | 227,867 | MSCS | (2,294) | ||||||
02/10/22 | U.S. Dollars | 483,154 | Russian Rubles | 36,631,143 | MSCS | (2,325) | ||||||
03/16/22 | U.S. Dollars | 243,215 | Polish Zloty | 997,594 | MSCS | (2,982) | ||||||
01/24/22 | Mexican Pesos | 12,421,871 | U.S. Dollars | 607,353 | MSCS | (3,206) | ||||||
01/26/22 | U.S. Dollars | 512,085 | Hungarian Forint | 167,670,843 | MSCS | (3,401) | ||||||
01/19/22 | U.S. Dollars | 492,840 | Taiwan Dollars | 13,731,995 | MSCS | (3,474) | ||||||
03/16/22 | Euro | 215,747 | Czech Republic Koruna | 5,492,166 | MSCS | (3,553) | ||||||
03/16/22 | U.S. Dollars | 981,872 | Chinese Offshore Yuan | 6,299,222 | MSCS | (4,166) | ||||||
03/16/22 | U.S. Dollars | 874,698 | Swedish Kronor | 7,939,125 | MSCS | (4,440) | ||||||
03/16/22 | Euro | 214,922 | British Pounds | 184,610 | MSCS | (4,727) | ||||||
02/03/22 | South African Rand | 2,269,389 | U.S. Dollars | 147,158 | MSCS | (5,445) | ||||||
02/10/22 | U.S. Dollars | 837,912 | Polish Zloty | 3,410,710 | MSCS | (6,137) | ||||||
03/16/22 | Euro | 871,749 | Swiss Francs | 911,366 | MSCS | (8,118) | ||||||
03/15/22 | U.S. Dollars | 390,000 | South African Rand | 6,413,711 | MSCS | (8,291) | ||||||
01/21/22 | British Pounds | 368,662 | U.S. Dollars | 507,676 | MSCS | (8,698) | ||||||
03/16/22 | U.S. Dollars | 5,676,680 | Euro | 4,986,962 | MSCS | (9,791) | ||||||
03/16/22 | Japanese Yen | 86,126,951 | U.S. Dollars | 759,867 | MSCS | (10,650) | ||||||
01/24/22 | U.S. Dollars | 392,095 | Mexican Pesos | 8,289,000 | MSCS | (11,047) | ||||||
03/16/22 | U.S. Dollars | 795,000 | Israeli Shekels | 2,514,505 | MSCS | (14,332) | ||||||
03/16/22 | U.S. Dollars | 1,671,352 | New Zealand Dollars | 2,464,254 | MSCS | (14,361) | ||||||
03/16/22 | U.S. Dollars | 557,137 | Norwegian Kroner | 5,049,372 | MSCS | (15,429) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
03/16/22 | U.S. Dollars | 717,056 | Australian Dollars | 1,006,810 | MSCS | $ (15,592) | ||||||
01/18/22 | U.S. Dollars | 733,882 | Indian Rupees | 55,980,040 | MSCS | (16,723) | ||||||
03/16/22 | U.S. Dollars | 447,365 | Mexican Pesos | 9,652,485 | MSCS | (17,838) | ||||||
03/16/22 | U.S. Dollars | 1,645,006 | Canadian Dollars | 2,104,379 | MSCS | (18,332) | ||||||
01/26/22 | Hungarian Forint | 163,348,569 | U.S. Dollars | 521,562 | MSCS | (19,365) | ||||||
01/31/22 | Canadian Dollars | 1,844,128 | U.S. Dollars | 1,481,965 | MSCS | (24,148) | ||||||
02/07/22 | Chilean Pesos | 388,046,202 | U.S. Dollars | 480,806 | MSCS | (27,861) | ||||||
03/16/22 | Turkish Lira | 5,400,027 | U.S. Dollars | 413,231 | MSCS | (30,537) | ||||||
01/31/22 | Australian Dollars | 2,561,666 | U.S. Dollars | 1,896,790 | MSCS | (32,866) | ||||||
02/10/22 | U.S. Dollars | 4,254,812 | Euro | 3,765,293 | MSCS | (35,520) | ||||||
02/10/22 | Russian Rubles | 75,915,292 | U.S. Dollars | 1,052,814 | MSCS | (46,696) | ||||||
03/16/22 | U.S. Dollars | 3,448,134 | British Pounds | 2,587,034 | MSCS | (52,381) | ||||||
01/25/22 | Norwegian Kroner | 9,606,767 | U.S. Dollars | 1,146,761 | MSCS | (56,391) | ||||||
03/16/22 | U.S. Dollars | 1,173,609 | Turkish Lira | 17,652,226 | MSCS | (77,386) | ||||||
01/20/22 | Swedish Kronor | 14,285,000 | U.S. Dollars | 1,666,362 | MSCS | (85,248) | ||||||
06/14/22 | Turkish Lira | 5,136,670 | U.S. Dollars | 490,000 | MSCS | (150,343) | ||||||
Subtotal Depreciation | $(865,136) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at December 31, 2021 | $ 243,041 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.40% (Upon termination) | 1/2/2023 | BRL | 3,175,953 | $ 7,047 | $ (298) | $ 7,345 | |||||||
5.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 11,831,600 | 103,394 | 7,701 | 95,693 | |||||||
2.50% (Quarterly) | 7-Day CFETS Repo Rate (Quarterly) | 9/15/2023 | CNY | 87,203,057 | 71,454 | 56,867 | 14,587 | |||||||
1-Day SOFR (Annually) | 0.50% (Annually) | 12/15/2023 | USD | 7,470,000 | 29,964 | 21,128 | 8,836 | |||||||
3-Month CDOR (Semiannually) | 1.00% (Semiannually) | 12/15/2023 | CAD | 4,910,000 | 37,937 | 6,346 | 31,591 | |||||||
12.30% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 7,176,343 | 40,513 | 8,106 | 32,407 | |||||||
7.20% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 3/13/2024 | MXN | 92,270,000 | 28,989 | 1,305 | 27,684 | |||||||
0.25% (Annually) | 1-Day SOFR (Annually) | 3/16/2024 | USD | 5,360,000 | 65,671 | 51,552 | 14,119 | |||||||
3.15% (Annually) | 6-Month WIBOR (Semiannually) | 3/16/2024 | PLN | 12,139,408 | 52,704 | 1,374 | 51,330 | |||||||
3-Month KWCDC (Quarterly) | 1.50% (Quarterly) | 3/16/2024 | KRW | 3,908,240,000 | 21,823 | 10,936 | 10,887 | |||||||
3-Month STIBOR (Quarterly) | 0.50% (Annually) | 3/16/2024 | SEK | 77,230,000 | 21,163 | 18,519 | 2,644 | |||||||
4.00% (Annually) | 6-Month PRIBOR (Semiannually) | 3/16/2024 | CZK | 142,775,000 | 61,276 | 12,612 | 48,664 | |||||||
5.30% (Semiannually) | 1-Day CLP-TNA (Semiannually) | 3/16/2024 | CLP | 5,330,090,000 | 16,895 | 3,750 | 13,145 | |||||||
6-Month BUBOR (Semiannually) | 4.60% (Annually) | 3/16/2024 | HUF | 1,982,444,968 | 82,184 | 306 | 81,878 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.32% (Upon termination) | 1/2/2025 | BRL | 9,063,249 | 162,755 | 24,417 | 138,338 | |||||||
0.27% (Annually) | 1-Day SONIA (Annually) | 6/17/2025 | GBP | 10,000 | 355 | (174) | 529 | |||||||
1-Day MIBOR (Semiannually) | 5.50% (Semiannually) | 9/15/2026 | INR | 170,050,000 | 29,561 | (7,803) | 37,364 | |||||||
(0.18)% (Annually) | 1-Day ESTR (Annually) | 12/9/2026 | EUR | 46,610,000 | 205,209 | 9,011 | 196,198 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 12/15/2026 | CNY | 20,600,000 | 20,373 | (22,835) | 43,208 | |||||||
11.23% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 6,682,183 | 55,290 | (21,296) | 76,586 | |||||||
8.50% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 6,939,535 | 85,435 | (24,999) | 110,434 | |||||||
7.40% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 3/10/2027 | MXN | 85,570,000 | 16,782 | (16,936) | 33,718 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
(0.25)% (Annually) | 1-Day ESTR (Annually) | 3/16/2027 | EUR | 4,530,000 | $ 27,189 | $ (4,770) | $ 31,959 | |||||||
0.00% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 3/16/2027 | JPY | 1,862,700,000 | (8,615) | (26,562) | 17,947 | |||||||
1.00% (Annually) | 1-Day SOFR (Annually) | 3/16/2027 | USD | 13,000,000 | 108,764 | 87,777 | 20,987 | |||||||
1-Day SONIA (Annually) | 0.50% (Annually) | 3/16/2027 | GBP | 9,620,000 | 360,503 | 244,640 | 115,863 | |||||||
3.25% (Annually) | 6-Month WIBOR (Semiannually) | 3/16/2027 | PLN | 11,075,000 | 66,819 | 36,445 | 30,374 | |||||||
6-Month EURIBOR (Semiannually) | (0.25)% (Annually) | 3/16/2027 | EUR | 6,390,000 | 110,138 | 90,428 | 19,710 | |||||||
6-Month NIBOR (Semiannually) | 2.00% (Annually) | 3/16/2027 | NOK | 29,660,000 | (15,127) | (21,509) | 6,382 | |||||||
0.02% (Annually) | 6-Month EURIBOR (Semiannually) | 12/13/2027 | EUR | 1,290,000 | 12,008 | 8,366 | 3,642 | |||||||
1.68% (Semiannually) | 3-Month CDOR (Semiannually) | 8/22/2028 | CAD | 17,030,000 | 196,083 | (17,478) | 213,561 | |||||||
3-Month HIBOR (Quarterly) | 1.50% (Quarterly) | 9/15/2031 | HKD | 15,128,144 | (2,689) | (11,751) | 9,062 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 3.00% (Semiannually) | 9/16/2031 | NZD | 2,640,000 | 19,519 | 16,816 | 2,703 | |||||||
1-Day SOFR (Annually) | 1.53% (Annually) | 9/22/2031 | USD | 13,790,000 | 7,607 | 1,501 | 6,106 | |||||||
3-Month CDOR (Semiannually) | 2.50% (Semiannually) | 10/14/2031 | CAD | 4,460,000 | 60,717 | 21,380 | 39,337 | |||||||
3-Month JIBAR (Quarterly) | 7.40% (Quarterly) | 12/15/2031 | ZAR | 5,960,000 | 108 | (2,636) | 2,744 | |||||||
7.40% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 3/3/2032 | MXN | 30,070,000 | 19,415 | (4,124) | 23,539 | |||||||
0.00% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 3/16/2032 | JPY | 247,390,000 | 17,575 | 9,675 | 7,900 | |||||||
0.25% (Annually) | Swiss Average Overnight Rate (Annually) | 3/16/2032 | CHF | 2,740,000 | 40,120 | 39,740 | 380 | |||||||
1-Day SONIA (Annually) | 0.75% (Annually) | 3/16/2032 | GBP | 6,940,000 | 189,166 | (2,977) | 192,143 | |||||||
2.75% (Semiannually) | 3-Month New Zealand BBR FRA (Quarterly) | 3/16/2032 | NZD | 3,180,000 | (13,311) | (24,724) | 11,413 | |||||||
2.80% (Annually) | 6-Month PRIBOR (Semiannually) | 3/16/2032 | CZK | 35,800,000 | 61,192 | — | 61,192 | |||||||
3.10% (Annually) | 6-Month WIBOR (Semiannually) | 3/16/2032 | PLN | 5,675,000 | 55,482 | (2,818) | 58,300 | |||||||
3-Month JIBAR (Quarterly) | 7.60% (Quarterly) | 3/16/2032 | ZAR | 11,225,000 | 2,121 | 516 | 1,605 | |||||||
3-Month TELBOR (Quarterly) | 1.25% (Annually) | 3/16/2032 | ILS | 6,311,083 | 3,517 | 2,917 | 600 | |||||||
4.30% (Annually) | 6-Month BUBOR (Semiannually) | 3/16/2032 | HUF | 456,097,782 | 23,342 | 1,860 | 21,482 | |||||||
1.50% (Annually) | 1-Day SOFR (Annually) | 3/17/2032 | USD | 5,470,000 | 9,357 | 3,828 | 5,529 | |||||||
1-Day SONIA (Annually) | 1.00% (Annually) | 3/17/2032 | GBP | 3,260,000 | (30,941) | (61,769) | 30,828 | |||||||
2.00% (Semiannually) | 3-Month CDOR (Semiannually) | 3/17/2032 | CAD | 2,280,000 | 12,371 | 9,643 | 2,728 | |||||||
2.00% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 3/17/2032 | AUD | 1,210,000 | (13,795) | (15,360) | 1,565 | |||||||
1.63% (Annually) | 1-Day SOFR (Annually) | 9/22/2036 | USD | 16,630,000 | 35,523 | 5,100 | 30,423 | |||||||
0.75% (Annually) | 6-Month EURIBOR (Semiannually) | 11/26/2041 | EUR | 12,070,000 | 74,164 | (237,155) | 311,319 | |||||||
2.25% (Semiannually) | 3-Month CDOR (Semiannually) | 12/15/2051 | CAD | 2,060,000 | 60,832 | 1,121 | 59,711 | |||||||
1-Day SOFR (Annually) | 1.75% (Annually) | 3/16/2052 | USD | 1,270,000 | (88,275) | (108,876) | 20,601 | |||||||
Subtotal Appreciation | $2,617,653 | $ 178,833 | $2,438,820 | |||||||||||
0.50% (Semiannually) | 3-Month New Zealand BBR FRA (Quarterly) | 9/15/2022 | NZD | 91,250,000 | $ (339,221) | (296,390) | $ (42,831) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 12/15/2022 | NZD | 3,850,000 | (9,809) | (4,266) | (5,543) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.20% (Upon termination) | 1/2/2023 | BRL | 22,194,952 | (154,134) | 2,179 | (156,313) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 10.57% (Upon termination) | 1/2/2023 | BRL | 1,667,474 | (1,856) | — | (1,856) | |||||||
3-Month ASX BBSW (Quarterly) | 0.19% (Quarterly) | 2/22/2023 | AUD | 37,480,000 | (88,175) | (22,765) | (65,410) | |||||||
11.81% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 966,875 | (3,535) | — | (3,535) | |||||||
11.91% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 1,027,510 | (3,872) | — | (3,872) | |||||||
12.19% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 1,315,204 | (6,368) | — | (6,368) | |||||||
3-Month JIBAR (Quarterly) | 5.65% (Quarterly) | 3/16/2024 | ZAR | 53,805,000 | (388) | 4,588 | (4,976) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
6.25% (Quarterly) | 1-Day COP-IBR-OIS (Quarterly) | 3/16/2024 | COP | 8,120,328,748 | $ (6,759) | $ (642) | $ (6,117) | |||||||
6-Month PRIBOR (Semiannually) | 3.70% (Annually) | 3/16/2024 | CZK | 44,850,000 | (31,005) | (14,662) | (16,343) | |||||||
1-Month LIBOR + .09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 68,000,000 | 18,481 | 22,829 | (4,348) | |||||||
1-Day ESTR (Annually) | (0.30)% (Annually) | 12/9/2024 | EUR | 21,210,000 | (50,748) | 5,860 | (56,608) | |||||||
1.56% (Semiannually) | 3-Month CDOR (Semiannually) | 8/22/2025 | CAD | 21,350,000 | (177,595) | 9,989 | (187,584) | |||||||
6-Month THBFIX (Semiannually) | 1.00% (Semiannually) | 9/15/2026 | THB | 80,505,000 | (12,265) | (1,421) | (10,844) | |||||||
1.75% (Semiannually) | 3-Month CDOR (Semiannually) | 3/16/2027 | CAD | 8,880,000 | 39,604 | 56,655 | (17,051) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 2.75% (Semiannually) | 3/16/2027 | NZD | 9,870,000 | 40,102 | 45,120 | (5,018) | |||||||
3-Month STIBOR (Quarterly) | 0.75% (Annually) | 3/16/2027 | SEK | 62,390,000 | 1,560 | 41,496 | (39,936) | |||||||
6-Month ASX BBSW (Semiannually) | 1.25% (Semiannually) | 3/16/2027 | AUD | 39,300,000 | (690,483) | (677,844) | (12,639) | |||||||
6-Month THBFIX (Semiannually) | 1.00% (Semiannually) | 3/16/2027 | THB | 60,420,000 | (22,202) | (8,624) | (13,578) | |||||||
Swiss Average Overnight Rate (Annually) | (0.25)% (Annually) | 3/16/2027 | CHF | 1,110,000 | (3,681) | (2,201) | (1,480) | |||||||
1-Day SONIA (Annually) | 0.31% (Annually) | 6/17/2030 | GBP | 10,000 | (695) | 307 | (1,002) | |||||||
2.13% (Annually) | 6-Month NIBOR (Semiannually) | 5/11/2031 | NOK | 37,680,000 | (34,306) | (33,728) | (578) | |||||||
1.75% (Quarterly) | 3-Month KWCDC (Quarterly) | 9/15/2031 | KRW | 3,258,080,000 | 25,229 | 44,166 | (18,937) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 11/26/2031 | EUR | 23,600,000 | (100,666) | 170,782 | (271,448) | |||||||
1-Day ESTR (Annually) | 0.14% (Annually) | 12/9/2031 | EUR | 8,330,000 | (100,652) | (2,455) | (98,197) | |||||||
1.50% (Annually) | 1-Day SOFR (Annually) | 3/16/2032 | USD | 2,130,000 | 30,889 | 41,578 | (10,689) | |||||||
2.00% (Semiannually) | 3-Month CDOR (Semiannually) | 3/16/2032 | CAD | 5,520,000 | 2,118 | 8,185 | (6,067) | |||||||
3-Month STIBOR (Quarterly) | 1.00% (Annually) | 3/16/2032 | SEK | 43,330,000 | 4,126 | 76,312 | (72,186) | |||||||
5.40% (Semiannually) | 1-Day CLP-TNA (Semiannually) | 3/16/2032 | CLP | 270,700,000 | (733) | (377) | (356) | |||||||
6.60% (Quarterly) | 1-Day COP-IBR-OIS (Quarterly) | 3/16/2032 | COP | 4,683,740,000 | (9,294) | 1,315 | (10,609) | |||||||
6-Month ASX BBSW (Semiannually) | 2.00% (Semiannually) | 3/16/2032 | AUD | 5,300,000 | (13,644) | 3,854 | (17,498) | |||||||
6-Month EURIBOR (Semiannually) | 0.25% (Annually) | 3/16/2032 | EUR | 4,180,000 | (36,891) | 38,533 | (75,424) | |||||||
6-Month NIBOR (Semiannually) | 2.00% (Annually) | 3/16/2032 | NOK | 9,400,000 | 8,440 | 28,140 | (19,700) | |||||||
3-Month STIBOR (Quarterly) | 1.00% (Annually) | 3/17/2032 | SEK | 11,860,000 | (15,427) | (9,445) | (5,982) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 3/17/2032 | EUR | 8,990,000 | (54,623) | 11,439 | (66,062) | |||||||
3-Month CDOR (Semiannually) | 2.10% (Semiannually) | 12/18/2033 | CAD | 4,720,000 | (15,279) | 23,574 | (38,853) | |||||||
1-Day SONIA (Annually) | 0.40% (Annually) | 6/17/2040 | GBP | 10,000 | (1,105) | 512 | (1,617) | |||||||
Subtotal Depreciation | $(1,814,862) | $(437,407) | $(1,377,455) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at December 31, 2021 | $ 802,791 | $(258,574) | $ 1,061,365 |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the USFFE or plus or minus a specified spread (-6.45% to 0.15%), which is denominated in USD based on the local currencies of the positions within the swap (Monthly).* | 53-60 months maturity ranging from 05/26/2026 - 12/18/2026 | GSC | $176,323,405 | $1,326,194 | $— | $1,326,194 |
* The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Cerner Corporation | 13,455 | $1,249,566 | $241,939 | 18.24% | ||||
General Electric Co. | (11,206) | 1,058,631 | 37,609 | 2.84 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Microsoft Corporation | 3,027 | $ 1,018,041 | $ 9,631 | 0.73% | ||||
Abbott Laboratories | 7,031 | 989,543 | 57,617 | 4.34 | ||||
Facebook, Inc. Class A | 2,595 | 872,828 | 16,847 | 1.27 | ||||
Charles Schwab Corporation (The) | (8,941) | 751,938 | (30,784) | (2.32) | ||||
American Express Co. | (4,586) | 750,270 | 20,236 | 1.53 | ||||
Crown Holdings, Inc. | (6,677) | 738,610 | (45,294) | (3.42) | ||||
Fortive Corporation | (9,117) | 695,536 | (11,172) | (0.84) | ||||
Westinghouse Air Brake Technologies Corporation | (7,439) | 685,206 | (3,967) | (0.30) | ||||
Boeing Co. (The) | (3,330) | 670,396 | 20,746 | 1.56 | ||||
Gentex Corporation | 18,853 | 657,027 | (3,847) | (0.29) | ||||
Nordson Corporation | 2,531 | 646,088 | (26,526) | (2.00) | ||||
Loews Corporation | (10,970) | 633,627 | (12,317) | (0.93) | ||||
Aramark | (17,022) | 627,261 | (13,641) | (1.03) | ||||
National Retail Properties, Inc. REIT | 12,877 | 618,997 | 31,739 | 2.39 | ||||
SYNNEX Corporation | (5,316) | 607,938 | (35,332) | (2.66) | ||||
Lockheed Martin Corporation | 1,710 | 607,751 | 24,916 | 1.88 | ||||
NXP Semiconductor NV | 2,647 | 602,934 | 8,543 | 0.64 | ||||
Universal Display Corporation | 3,649 | 602,194 | 28,535 | 2.15 | ||||
Old Dominion Freight Line, Inc. | 1,659 | 594,552 | 6,353 | 0.48 | ||||
EOG Resources, Inc. | 6,684 | 593,740 | 12,821 | 0.97 | ||||
American International Group, Inc. | (10,385) | 590,491 | (24,614) | (1.86) | ||||
Marvell Technology, Inc. | (6,689) | 585,221 | 16,969 | 1.28 | ||||
Public Service Enterprise Group, Inc. | (8,768) | 585,089 | (30,703) | (2.32) | ||||
NextEra Energy, Inc. | (6,224) | 581,073 | (23,615) | (1.78) | ||||
Hershey Co. (The) | 2,997 | 579,830 | 32,517 | 2.45 | ||||
Adobe, Inc. | 1,019 | 577,834 | (66,829) | (5.04) | ||||
Signature Bank | (1,769) | 572,218 | (14,387) | (1.08) | ||||
Ventas, Inc. REIT | (11,068) | 565,796 | (20,144) | (1.52) | ||||
Chemed Corporation | 1,043 | 551,789 | 29,718 | 2.24 | ||||
SEI Investments Co. | 8,942 | 544,925 | 3,425 | 0.26 | ||||
Regal Rexnord Corporation | 3,152 | 536,407 | 23,013 | 1.74 | ||||
3M Co. | 2,994 | 531,824 | 4,999 | 0.38 | ||||
CMS Energy Corporation | 8,038 | 522,872 | 23,253 | 1.75 | ||||
Coupa Software, Inc. | (3,237) | 511,608 | 10,277 | 0.77 | ||||
PS Business Parks, Inc. REIT | 2,774 | 510,888 | 36,649 | 2.76 | ||||
Ross Stores, Inc. | (4,446) | 508,089 | (9,114) | (0.69) | ||||
Zoetis, Inc. | 2,066 | 504,166 | 28,601 | 2.16 | ||||
Gap, Inc. (The) | (28,503) | 503,078 | (13,141) | (0.99) | ||||
DuPont de Nemours, Inc. | (6,227) | 503,017 | (13,337) | (1.01) | ||||
Visa, Inc. Class A | 2,291 | 496,483 | 12,132 | 0.91 | ||||
Domino’s Pizza, Inc. | 878 | 495,482 | 30,788 | 2.32 | ||||
Alphabet, Inc. Class A | 171 | 495,394 | (9,588) | (0.72) | ||||
Sirius XM Holdings, Inc. | 76,157 | 483,597 | 14,416 | 1.09 | ||||
BorgWarner, Inc. | (10,719) | 483,105 | 10,447 | 0.79 | ||||
Wells Fargo & Co. | 10,026 | 481,047 | (17,202) | (1.30) | ||||
Ingersoll-Rand, Inc. | (7,771) | 480,792 | (15,330) | (1.16) | ||||
International Flavors & Fragrances, Inc. | (3,176) | 478,464 | (12,586) | (0.95) | ||||
LPL Financial Holdings, Inc. | (2,978) | 476,748 | 3,795 | 0.29 | ||||
Other | (553,189) | 145,313,404 | 981,133 | 74.00 | ||||
$176,323,405 | $1,326,194 | 100.00% |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks: | |||||||
Communication Services | $ 19,803 | $ — | $ — | $ 19,803 | |||
Other ^^ | 22,745,460 | 22,745,460 | — | — | |||
Total Common Stocks | 22,765,263 | 22,745,460 | — | 19,803 | |||
Corporate Bonds | 50,413,370 | — | 50,413,370 | — | |||
Foreign Bonds | 1,279,244 | — | 1,279,244 | — | |||
Foreign Common Stocks | 424,141 | 424,141 | — | — | |||
Foreign Preferred Stocks | 575,397 | 575,397 | — | — | |||
Money Market Funds | 133,696,297 | 133,696,297 | — | — | |||
Mortgage-Backed Securities | 3,613,264 | — | 3,613,264 | — | |||
Mutual Funds | 271,942 | 271,942 | — | — | |||
Preferred Stocks: | |||||||
Consumer Staples | 443,590 | 443,590 | — | — | |||
Financials | 4,835,423 | 3,560,263 | 1,275,160 | — | |||
Other ^^ | 1,131,323 | — | 1,131,323 | — | |||
Total Preferred Stocks | 6,410,336 | 4,003,853 | 2,406,483 | — | |||
Purchased Options: | |||||||
Call Swaptions | 16,785 | 16,785 | — | — | |||
Put Swaption | 15,092 | 15,092 | — | — | |||
Total Purchased Options | 31,877 | 31,877 | — | — | |||
Rights | 7,010 | — | — | 7,010 | |||
U.S. Treasury Obligations | 101,973,684 | — | 101,973,684 | — | |||
Total Assets - Investments in Securities | $321,461,825 | $161,748,967 | $159,686,045 | $ 26,813 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 1,108,177 | $ — | $ 1,108,177 | $ — | |||
Futures Contracts | 826,168 | 826,168 | — | — | |||
Swap Agreements | 3,765,014 | — | 3,765,014 | — | |||
Total Assets - Other Financial Instruments | $ 5,699,359 | $ 826,168 | $ 4,873,191 | $ — |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Common Stocks Sold Short | $(17,688,182) | $(17,688,182) | $ — | $ — | |||
Foreign Common Stocks Sold Short | (608,981) | (608,981) | — | — | |||
Written Options: | |||||||
Call Options | (69,080) | (69,080) | — | — | |||
Call Swaptions | (383,494) | (383,494) | — | — | |||
Put Swaptions | (597,792) | (597,792) | — | — | |||
Total Written Options | (1,050,366) | (1,050,366) | — | — | |||
Total Liabilities - Investments in Securities | $(19,347,529) | $(19,347,529) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (865,136) | $ — | $ (865,136) | $ — | |||
Futures Contracts | (1,060,746) | (1,060,746) | — | — | |||
Swap Agreements | (1,377,455) | — | (1,377,455) | — | |||
Total Liabilities - Other Financial Instruments | $ (3,303,337) | $ (1,060,746) | $(2,242,591) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
STATEMENTS OF ASSETS AND LIABILITIES | December 31, 2021 |
Strategic Alternatives Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $308,272,865 |
Investments in securities of affiliated issuers, at value | 13,188,960 |
Total investments, at value(1) | 321,461,825 |
Cash | 18,688,431 |
Cash collateral for derivatives | 14,342,701 |
Deposits with broker for futures contracts | 10,218,858 |
Foreign currency(2) | 4,513 |
Upfront premiums paid from swap agreements | 1,453,096 |
Receivables: | |
Dividends and reclaims | 50,549 |
Interest | 295,071 |
Investment securities sold | 140,928 |
Fund shares sold | 8,621,145 |
Variation margin on centrally cleared swaps | 144,067 |
Unrealized appreciation on foreign currency exchange contracts | 1,108,177 |
Unrealized appreciation on swap agreements | 1,326,194 |
Prepaid expenses and other assets | 1,967 |
Total Assets | 377,857,522 |
Liabilities | |
Securities sold short, at value(3) | 18,297,163 |
Options written, at value(4) | 1,050,366 |
Upfront premiums received from swap agreements | 1,711,670 |
Unrealized depreciation on foreign currency exchange contracts | 865,136 |
Collateral from counterparty | 2,717,192 |
Payables: | |
Investment securities purchased | 887,621 |
Dividends on short sales | 2,870 |
Fund shares redeemed | 4,727 |
Variation margin on futures contracts | 303,840 |
Accrued expenses: | |
Investment advisory fees | 163,361 |
Shareholder servicing fees | 8,227 |
Trustee fees | 227 |
Other expenses | 164,610 |
Total Liabilities | 26,177,010 |
Net Assets | $351,680,512 |
Net Assets Consist of: | |
Paid-in-capital | $344,373,219 |
Distributable earnings (loss) | 7,307,293 |
Net Assets | $351,680,512 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $312,466,033 |
Institutional shares outstanding | 30,378,863 |
Net asset value, offering and redemption price per Institutional share | $ 10.29 |
Net assets applicable to the Investor Class | $ 39,214,479 |
Investor shares outstanding | 3,833,362 |
Net asset value, offering and redemption price per Investor share | $ 10.23 |
(1)Investments in securities of unaffiliated issuers, at cost | $306,940,335 |
Investments in securities of affiliated issuers, at cost | 13,188,960 |
Total investments, at cost | $320,129,295 |
(2)Foreign currency, at cost | $ 4,513 |
(3)Proceeds from securities sold short | $ 18,561,866 |
(3)Premiums received on options written | $ 1,199,864 |
STATEMENTS OF OPERATIONS | For the Year Ended December 31, 2021 |
Strategic Alternatives Fund | |
Investment Income | |
Dividends | $ 412,725 |
Income distributions received from affiliated funds | 1,063 |
Interest | 1,679,942 |
Less foreign taxes withheld | (1,281) |
Total Investment Income | 2,092,449 |
Expenses | |
Investment advisory fees | 3,007,309 |
Transfer agent fees: | |
Institutional shares | 4,482 |
Investor shares | 14,102 |
Custodian fees | 453,614 |
Shareholder servicing fees: | |
Investor shares | 94,878 |
Accounting and administration fees | 52,893 |
Professional fees | 129,930 |
Shareholder reporting fees: | |
Institutional shares | 2,744 |
Investor shares | 10,136 |
Trustees expenses | 1,672 |
Line of credit facility fees | 1,978 |
Dividends on securities sold short | 131,561 |
Other expenses | 99,866 |
Total Expenses | 4,005,165 |
Expenses waived/reimbursed | (289,263) |
Net Expenses | 3,715,902 |
Net Investment Loss | (1,623,453) |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | 2,653,009 |
Investment securities sold short | 209,451 |
Futures transactions | 6,536,350 |
Swap agreements | 4,676,945 |
Option contracts written | 2,262,224 |
Option contracts purchased | (114,642) |
Forward foreign currency contracts | 109,941 |
Non-deliverable bond forward contracts | (133,950) |
Foreign currency | 266,263 |
Net realized gain | 16,465,591 |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | (1,401,025) |
Investment securities sold short | 264,703 |
Futures | 114,093 |
Swap agreements | 2,127,582 |
Option contracts written | (42,942) |
Option contracts purchased | (83,431) |
Forward foreign currency contracts | 185,699 |
Non-deliverable bond forward contracts | (29,258) |
Foreign currency | (1,387) |
Net change in unrealized appreciation (depreciation) | 1,134,034 |
Net Realized and Unrealized Gain | 17,599,625 |
Net Increase in Net Assets Resulting from Operations | $15,976,172 |
STATEMENTS OF CHANGES IN NET ASSETS |
Strategic Alternatives Fund | |||
For the Year Ended | |||
12/31/21 | 12/31/20 | ||
Operations: | |||
Net investment income (loss) | $ (1,623,453) | $ 2,905,432 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 16,465,591 | (3,833,145) | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 1,134,034 | (533,047) | |
Net increase (decrease) in net assets resulting from operations | 15,976,172 | (1,460,760) | |
Distributions to Shareholders: | |||
Institutional shares | (4,703,936) | (4,362,601) | |
Investor shares | (537,123) | (710,735) | |
Total distributions | (5,241,059) | (5,073,336) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 49,942,634 | 34,762,066 | |
Investor shares | 7,143,417 | 13,672,247 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 4,701,917 | 4,362,239 | |
Investor shares | 536,950 | 710,466 | |
Total proceeds from shares sold and reinvested | 62,324,918 | 53,507,018 | |
Value of shares redeemed | |||
Institutional shares | (38,806,306) | (76,935,331) | |
Investor shares | (15,350,178) | (23,353,274) | |
Total value of shares redeemed | (54,156,484) | (100,288,605) | |
Net increase (decrease) from capital share transactions(1) | 8,168,434 | (46,781,587) | |
Total increase (decrease) in net assets | 18,903,547 | (53,315,683) | |
Net Assets: | |||
Beginning of Year | 332,776,965 | 386,092,648 | |
End of Year | $351,680,512 | $ 332,776,965 |
(1) | See Note 6 in Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income/ (Loss)# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Year | Total Return | Net Assets, End of Year (000) | Expenses, Net | Expenses, Gross | Investment Income/ (Loss), Net | Portfolio Turnover Rate | |
Strategic Alternatives Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021 | $ 9.96 | $(0.05) | $ 0.54 | $ 0.49 | $(0.02) | $(0.14) | $(0.16) | $10.29 | 4.96% | $312,466 | 1.09%(1) | 1.17%(1) | (0.46)% | 377% |
2020 | 10.13 | 0.08 | (0.10) | (0.02) | (0.14) | (0.01) | (0.15) | 9.96 | (0.20) | 287,088 | 1.10(1) | 1.10(1) | 0.82 | 483 |
2019 | 9.87 | 0.13 | 0.36 | 0.49 | (0.19) | (0.04) | (0.23) | 10.13 | 4.93 | 330,017 | 1.12(1) | 1.12(1) | 1.32 | 364 |
2018 | 10.07 | 0.20 | (0.19) | 0.01 | (0.18) | (0.03) | (0.21) | 9.87 | 0.15 | 320,404 | 1.01(1) | 1.02(1) | 1.96 | 172 |
2017(2) | 10.00 | 0.04 | 0.10 | 0.14 | (0.05) | (0.02) | (0.07) | 10.07 | 1.40 | 302,592 | 1.26(1) | 1.28(1) | 0.69 | 88 |
Investor Class | ||||||||||||||
2021 | $ 9.92 | $(0.08) | $ 0.53 | $ 0.45 | $ — | $(0.14) | $(0.14) | $10.23 | 4.57% | $ 39,214 | 1.41%(1) | 1.52%(1) | (0.76)% | 377% |
2020 | 10.13 | 0.06 | (0.11) | (0.05) | (0.15) | (0.01) | (0.16) | 9.92 | (0.51) | 45,689 | 1.36(1) | 1.36(1) | 0.59 | 483 |
2019 | 9.87 | 0.10 | 0.36 | 0.46 | (0.16) | (0.04) | (0.20) | 10.13 | 4.62 | 56,076 | 1.46(1) | 1.46(1) | 0.99 | 364 |
2018 | 10.07 | 0.17 | (0.19) | (0.02) | (0.15) | (0.03) | (0.18) | 9.87 | (0.17) | 66,652 | 1.36(1) | 1.37(1) | 1.65 | 172 |
2017(2) | 10.00 | 0.01 | 0.12 | 0.13 | (0.04) | (0.02) | (0.06) | 10.07 | 1.31 | 58,599 | 1.63(1) | 1.65(1) | 0.25 | 88 |
# | Calculated using the average shares outstanding method. |
(1) | The ratio for the Strategic Alternatives Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.11%, 0.14%, 0.10%, 0.11% and 0.04% for the period ended December 31, 2017 and for the years 2018, 2019, 2020 and 2021. |
(2) | Inception date was June 30, 2017. All ratios for the period have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
Fund/Counterparty | Repurchase Agreements | Fair Value of Non-cash Collateral Received(1) | Cash Collateral Received | Net Amount(2) | ||||
Money Market | ||||||||
Bank of Nova Scotia | $ 65,000,000 | $ (65,000,000) | $ — | $ — | ||||
BNP Paribas | 68,000,000 | (68,000,000) | — | — | ||||
Citigroup Global Markets, Inc. | 58,000,000 | (58,000,000) | — | — | ||||
Goldman Sachs & Co. | 50,000,000 | (50,000,000) | — | — | ||||
Mitsubishi UFJ Securities USA, Inc. | 70,000,000 | (70,000,000) | — | — | ||||
Mizuho Securities USA, Inc. | 65,000,000 | (65,000,000) | — | — | ||||
Natixis S.A. | 70,000,000 | (70,000,000) | — | — | ||||
TD Securities USA LLC | 50,000,000 | (50,000,000) | — | — | ||||
Total Repurchase Agreements | $ 496,000,000 | $ (496,000,000) | $ — | $ — | ||||
Medium-Duration Bond | ||||||||
Deutsche Bank Securities, Inc. | $ 166,900,000 | $ (166,900,000) | $ — | $ — |
Fund | Assets | Liabilities | ||
MyDestination 2015 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 6,107 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 6,107 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 6,107 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
MyDestination 2025 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 24,248 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 24,248 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 24,248 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
MyDestination 2035 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 47,925 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 47,925 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 47,925 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
MyDestination 2045 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 48,447 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 48,447 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 48,447 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
MyDestination 2055 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 18,590 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 18,590 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 18,590 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Conservative Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 3,721 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 3,721 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 3,721 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
Fund | Assets | Liabilities | ||
Balanced Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 16,329 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 16,329 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 16,329 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Growth Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 54,787 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 54,787 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 54,787 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Aggressive Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 70,977 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 70,977 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 70,977 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Low-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 57,576 | ||
Forward foreign currency contracts | 393,338 | 832,952 | ||
Options | — | 29,906 | ||
Centrally cleared swaps | — | 9,332 | ||
Swap agreements | 3,039 | — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 396,377 | 929,766 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 204,585 | ||
Total assets and liabilities subject to an ISDA MA | $ 396,377 | $ 725,181 | ||
Medium-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 311,199 | $ — | ||
Forward foreign currency contracts | 580,030 | 2,376,296 | ||
Options | 254,079 | 928,304 | ||
Centrally cleared swaps | — | 333,855 | ||
Swap agreements | 4,754 | 263,626 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,150,062 | 3,902,081 | ||
Derivatives not subject to an ISDA MA or similar agreement | 565,278 | 539,174 | ||
Total assets and liabilities subject to an ISDA MA | $ 584,784 | $ 3,362,907 |
Fund | Assets | Liabilities | ||
Global Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 175,882 | ||
Forward foreign currency contracts | 7,434,119 | 8,153,342 | ||
Options | 5,397 | — | ||
Centrally cleared swaps | 5,331 | — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 7,444,847 | 8,329,224 | ||
Derivatives not subject to an ISDA MA or similar agreement | 10,728 | 175,882 | ||
Total assets and liabilities subject to an ISDA MA | $ 7,434,119 | $ 8,153,342 | ||
Defensive Market Strategies® | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 18,055 | ||
Forward foreign currency contracts | 30,499 | 331,065 | ||
Options | 91,619,810 | 2,628,590 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 91,650,309 | 2,977,710 | ||
Derivatives not subject to an ISDA MA or similar agreement | 91,650,309 | 2,977,710 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Global Impact Fund | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 31,834 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 31,834 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 31,834 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 181,500 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 181,500 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 181,500 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Value Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 132,000 | ||
Forward foreign currency contracts | — | 811,555 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 943,555 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 943,555 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
Fund | Assets | Liabilities | ||
Growth Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 224,125 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 224,125 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 224,125 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Small Cap Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 57,605 | ||
Forward foreign currency contracts | — | 9,816 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 67,421 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 67,421 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
International Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 29,705 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 29,705 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 29,705 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
International Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 124,255 | $ — | ||
Forward foreign currency contracts | 1,895,935 | 2,836,693 | ||
Swap agreements | 1,958,434 | 687,194 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,978,624 | 3,523,887 | ||
Derivatives not subject to an ISDA MA or similar agreement | 124,255 | — | ||
Total assets and liabilities subject to an ISDA MA | $ 3,854,369 | $ 3,523,887 | ||
Emerging Markets Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 471,375 | ||
Forward foreign currency contracts | 3,452,039 | 3,918,044 | ||
Swap agreements | 306,291 | 434,322 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,758,330 | 4,823,741 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 471,375 | ||
Total assets and liabilities subject to an ISDA MA | $ 3,758,330 | $ 4,352,366 |
Fund | Assets | Liabilities | ||
Strategic Alternatives | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 303,840 | ||
Forward foreign currency contracts | 1,108,177 | 865,136 | ||
Options | 31,877 | 1,050,366 | ||
Centrally cleared swaps | 144,067 | — | ||
Swap agreements | 1,326,194 | — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 2,610,315 | 2,219,342 | ||
Derivatives not subject to an ISDA MA or similar agreement | 144,067 | 372,919 | ||
Total assets and liabilities subject to an ISDA MA | $ 2,466,248 | $ 1,846,423 |
Fund/Sub-adviser/Counterparty | Derivative Assets Subject to an ISDA MA | Derivative Liabilities Subject to an ISDA MA | Value of Derivatives Subject to an ISDA MA | Collateral (Received)/ Pledged | Net Exposure | |||||
Low-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $ 3,039 | $ — | $ 3,039 | $ (3,039) | $ — | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 191,126 | (718,599) | (527,473) | 109,518 | (417,955) | |||||
Sub-adviser C | ||||||||||
Other Counterparties* | 202,212 | (6,582) | 195,630 | — | 195,630 | |||||
Total Derivatives | $ 396,377 | $ (725,181) | $ (328,804) | $ 106,479 | $ (222,325) | |||||
Medium-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $ 149,455 | $ (494,294) | $ (344,839) | $ 426,289 | $ 81,450 | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 327,968 | (2,340,516) | (2,012,548) | 1,570,273 | (442,275) | |||||
Sub-adviser C | ||||||||||
Other Counterparties* | 107,361 | (528,097) | (420,736) | 387,941 | (32,795) | |||||
Total Derivatives | $ 584,784 | $(3,362,907) | $(2,778,123) | $2,384,503 | $ (393,620) | |||||
Global Bond | ||||||||||
Sub-adviser A | ||||||||||
CITI | $ 330,765 | $(1,417,237) | $(1,086,472) | $ 80,000 | $(1,006,472) | |||||
Other Counterparties* | 64,923 | (65,163) | (240) | — | (240) | |||||
395,688 | (1,482,400) | (1,086,712) | 80,000 | (1,006,712) | ||||||
Sub-adviser B | ||||||||||
Other Counterparties* | 7,038,431 | (6,670,942) | 367,489 | (283,237) | 84,252 | |||||
Total Derivatives | $7,434,119 | $(8,153,342) | $ (719,223) | $ (203,237) | $ (922,460) |
Fund/Sub-adviser/Counterparty | Derivative Assets Subject to an ISDA MA | Derivative Liabilities Subject to an ISDA MA | Value of Derivatives Subject to an ISDA MA | Collateral (Received)/ Pledged | Net Exposure | |||||
International Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $3,854,369 | $(3,486,882) | $ 367,487 | $ (366,863) | $ 624 | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | — | (37,005) | (37,005) | — | (37,005) | |||||
Total Derivatives | $3,854,369 | $(3,523,887) | $ 330,482 | $ (366,863) | $ (36,381) | |||||
Emerging Markets Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $3,758,330 | $(3,788,863) | $ (30,533) | $ 30,533 | $ — | |||||
Sub-adviser B | ||||||||||
MSCS | — | (446,677) | (446,677) | — | (446,677) | |||||
Other Counterparties* | — | (116,826) | (116,826) | — | (116,826) | |||||
— | (563,503) | (563,503) | — | (563,503) | ||||||
Total Derivatives | $3,758,330 | $(4,352,366) | $ (594,036) | $ 30,533 | $(563,503) | |||||
Strategic Alternatives | ||||||||||
Sub-adviser B | ||||||||||
Other Counterparties* | $1,140,054 | $(1,846,423) | $ (706,369) | $ 653,547 | $ (52,822) | |||||
Sub-adviser E | ||||||||||
Other Counterparties* | 1,326,194 | — | 1,326,194 | (1,326,194) | — | |||||
Total Derivatives | $2,466,248 | $(1,846,423) | $ 619,825 | $ (672,647) | $ (52,822) |
Location on the Statements of Assets and Liabilities | ||||
Derivative Type | Asset Derivatives | Liability Derivatives | ||
Interest rate contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Receivables: Variation margin* | Payables: Variation margin* | |||
Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | |||
Unrealized gain on non-deliverable bond forward contracts | Unrealized loss on non-deliverable bond forwards contracts | |||
Foreign exchange contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Unrealized appreciation on foreign currency exchange contracts | Unrealized depreciation on foreign currency exchange contracts | |||
Credit contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | ||
Equity contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Receivables: Variation margin* | Payables: Variation margin* |
Asset Derivative Value | ||||||||||
Fund | Total Value at 12/31/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ 75,976 | $ 29,748 | $ — | $ — | $ 46,228 | |||||
MyDestination 2025 | ||||||||||
Futures | $ 270,099 | $ 95,746 | $ — | $ — | $ 174,353 | |||||
MyDestination 2035 | ||||||||||
Futures | $ 462,969 | $ 83,295 | $ — | $ — | $ 379,674 | |||||
MyDestination 2045 | ||||||||||
Futures | $ 405,558 | $ 37,243 | $ — | $ — | $ 368,315 | |||||
MyDestination 2055 | ||||||||||
Futures | $ 137,549 | $ 5,208 | $ — | $ — | $ 132,341 | |||||
Conservative Allocation | ||||||||||
Futures | $ 29,542 | $ — | $ — | $ — | $ 29,542 | |||||
Balanced Allocation | ||||||||||
Futures | $ 358,706 | $ 72,044 | $ — | $ — | $ 286,662 | |||||
Growth Allocation | ||||||||||
Futures | $ 491,512 | $ 43,275 | $ — | $ — | $ 448,237 | |||||
Aggressive Allocation | ||||||||||
Futures | $ 459,500 | $ — | $ — | $ — | $ 459,500 |
Asset Derivative Value | ||||||||||
Fund | Total Value at 12/31/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 393,338 | $ — | $ 393,338 | $ — | $ — | |||||
Futures | 54,567 | 54,567 | — | — | — | |||||
Swaps | 3,039 | — | — | 3,039 | — | |||||
Totals | $ 450,944 | $ 54,567 | $ 393,338 | $ 3,039 | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 580,030 | $ — | $ 580,030 | $ — | $ — | |||||
Futures | 2,238,727 | 2,238,727 | — | — | — | |||||
Purchased Options | 254,079 | 254,079 | — | — | — | |||||
Swaps | 5,514,477 | 4,793,602 | — | 720,875 | — | |||||
Totals | $ 8,587,313 | $ 7,286,408 | $ 580,030 | $ 720,875 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 7,434,119 | $ — | $ 7,434,119 | $ — | $ — | |||||
Futures | 346,212 | 346,212 | — | — | — | |||||
Purchased Options | 5,397 | 5,397 | — | — | — | |||||
Swaps | 38,108 | 38,108 | — | — | — | |||||
Totals | $ 7,823,836 | $ 389,717 | $ 7,434,119 | $ — | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 30,499 | $ — | $ 30,499 | $ — | $ — | |||||
Futures | 628,226 | — | — | — | 628,226 | |||||
Purchased Options | 91,619,810 | — | — | — | 91,619,810 | |||||
Totals | $ 92,278,535 | $ — | $ 30,499 | $ — | $ 92,248,036 | |||||
Global Impact Fund | ||||||||||
Futures | $ 134,179 | $ 90,094 | $ 113 | $ — | $ 43,972 | |||||
Equity Index | ||||||||||
Futures | $ 1,295,866 | $ — | $ — | $ — | $ 1,295,866 | |||||
Value Equity | ||||||||||
Futures | $ 947,811 | $ — | $ — | $ — | $ 947,811 | |||||
Growth Equity | ||||||||||
Futures | $ 1,659,661 | $ — | $ — | $ — | $ 1,659,661 | |||||
Small Cap Equity | ||||||||||
Futures | $ 476,169 | $ — | $ — | $ — | $ 476,169 | |||||
International Equity Index | ||||||||||
Futures | $ 867,855 | $ — | $ — | $ — | $ 867,855 | |||||
International Equity | ||||||||||
Forwards | $ 1,895,935 | $ — | $ 1,895,935 | $ — | $ — | |||||
Futures | 2,069,079 | — | — | — | 2,069,079 | |||||
Swaps | 1,958,434 | — | — | — | 1,958,434 | |||||
Totals | $ 5,923,448 | $ — | $ 1,895,935 | $ — | $ 4,027,513 |
Asset Derivative Value | ||||||||||
Fund | Total Value at 12/31/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 3,452,039 | $ — | $ 3,452,039 | $ — | $ — | |||||
Futures | 270,468 | — | — | — | 270,468 | |||||
Swaps | 306,291 | — | — | — | 306,291 | |||||
Totals | $ 4,028,798 | $ — | $ 3,452,039 | $ — | $ 576,759 | |||||
Global Real Estate Securities | ||||||||||
Futures | $ 229,185 | $ — | $ — | $ — | $ 229,185 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 1,108,177 | $ — | $ 1,108,177 | $ — | $ — | |||||
Futures | 826,168 | 477,295 | 16,873 | — | 332,000 | |||||
Purchased Options | 31,877 | 31,877 | — | — | — | |||||
Swaps | 3,765,014 | 2,438,820 | — | — | 1,326,194 | |||||
Totals | $ 5,731,236 | $ 2,947,992 | $ 1,125,050 | $ — | $ 1,658,194 |
Liabilities Derivative Value | ||||||||||
Fund | Total Value at 12/31/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ 942 | $ — | $ — | $ — | $ 942 | |||||
MyDestination 2025 | ||||||||||
Futures | $ 2,615 | $ — | $ — | $ — | $ 2,615 | |||||
MyDestination 2035 | ||||||||||
Futures | $ 10,065 | $ — | $ — | $ — | $ 10,065 | |||||
MyDestination 2045 | ||||||||||
Futures | $ 10,196 | $ — | $ — | $ — | $ 10,196 | |||||
Conservative Allocation | ||||||||||
Futures | $ 6,674 | $ 5,731 | $ — | $ — | $ 943 | |||||
Balanced Allocation | ||||||||||
Futures | $ 14,470 | $ 4,902 | $ — | $ — | $ 9,568 | |||||
Growth Allocation | ||||||||||
Futures | $ 21,724 | $ 3,470 | $ — | $ — | $ 18,254 | |||||
Aggressive Allocation | ||||||||||
Futures | $ 20,597 | $ — | $ — | $ — | $ 20,597 | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 832,952 | $ — | $ 832,952 | $ — | $ — | |||||
Futures | 2,060,166 | 2,060,166 | — | — | — | |||||
Written Options | 29,906 | 11,084 | — | 18,822 | — | |||||
Swaps | 15,628 | 9,877 | — | 5,751 | — | |||||
Totals | $ 2,938,652 | $ 2,081,127 | $ 832,952 | $ 24,573 | $ — |
Liabilities Derivative Value | ||||||||||
Fund | Total Value at 12/31/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 2,376,296 | $ — | $ 2,376,296 | $ — | $ — | |||||
Futures | 2,723,413 | 2,723,413 | — | — | — | |||||
Written Options | 928,304 | 928,304 | — | — | — | |||||
Swaps | 3,665,097 | 3,460,055 | — | 205,042 | — | |||||
Totals | $ 9,693,110 | $ 7,111,772 | $ 2,376,296 | $ 205,042 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 8,153,342 | $ — | $ 8,153,342 | $ — | $ — | |||||
Futures | 1,110,731 | 1,110,731 | — | — | — | |||||
Swaps | 17,247 | — | — | 17,247 | — | |||||
Totals | $ 9,281,320 | $ 1,110,731 | $ 8,153,342 | $ 17,247 | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 331,065 | $ — | $ 331,065 | $ — | $ — | |||||
Futures | 288,921 | 288,921 | — | — | — | |||||
Written Options | 2,628,590 | — | — | — | 2,628,590 | |||||
Totals | $ 3,248,576 | $ 288,921 | $ 331,065 | $ — | $ 2,628,590 | |||||
Global Impact Fund | ||||||||||
Futures | $ 78,949 | $ 72,719 | $ — | $ — | $ 6,230 | |||||
Value Equity | ||||||||||
Forwards | $ 811,555 | $ — | $ 811,555 | $ — | $ — | |||||
Small Cap Equity | ||||||||||
Forwards | $ 9,816 | $ — | $ 9,816 | $ — | $ — | |||||
International Equity | ||||||||||
Forwards | $ 2,836,693 | $ — | $ 2,836,693 | $ — | $ — | |||||
Futures | 1,022,716 | — | — | — | 1,022,716 | |||||
Swaps | 687,194 | — | — | — | 687,194 | |||||
Totals | 4,546,603 | $ — | $ 2,836,693 | $ — | $ 1,709,910 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 3,918,044 | $ — | $ 3,918,044 | $ — | $ — | |||||
Futures | 248,491 | — | — | — | 248,491 | |||||
Swaps | 434,322 | — | — | — | 434,322 | |||||
Totals | $ 4,600,857 | $ — | $ 3,918,044 | $ — | $ 682,813 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 865,136 | $ — | $ 865,136 | $ — | $ — | |||||
Futures | 1,060,746 | 447,674 | 613,072 | — | — | |||||
Written Options | 1,050,366 | 981,286 | — | — | 69,080 | |||||
Swaps | 1,377,455 | 1,377,455 | — | — | — | |||||
Totals | $ 4,353,703 | $ 2,806,415 | $ 1,478,208 | $ — | $ 69,080 |
Derivative Type | Location on the Statements of Operations | |
Interest rate contracts | Net realized gain (loss) from: Futures transactions | |
Net realized gain (loss) from: Swap agreements | ||
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Futures | ||
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Non-deliverable bond forward contracts | ||
Foreign exchange contracts | Net realized gain (loss) from: Foreign currency | |
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Foreign currency | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
Credit contracts | Net realized gain (loss) from: Swap agreements | |
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Equity contracts | Net realized gain (loss) from: Futures transactions | |
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net unrealized appreciation (depreciation) on: Futures | ||
Net unrealized appreciation (depreciation) on: Option contracts written | ||
Net unrealized appreciation (depreciation) on: Option contracts purchased |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ 418,829 | $ (144,722) | $ — | $ — | $ 563,551 | |||||
MyDestination 2025 | ||||||||||
Futures | $ 1,895,997 | $ (374,461) | $ — | $ — | $ 2,270,458 | |||||
MyDestination 2035 | ||||||||||
Futures | $ 3,247,579 | $ (303,841) | $ — | $ — | $ 3,551,420 | |||||
MyDestination 2045 | ||||||||||
Futures | $ 3,029,003 | $ (120,939) | $ — | $ — | $ 3,149,942 | |||||
MyDestination 2055 | ||||||||||
Futures | $ 1,262,293 | $ (26,919) | $ — | $ — | $ 1,289,212 | |||||
Conservative Allocation | ||||||||||
Futures | $ 383,973 | $ (52,481) | $ — | $ — | $ 436,454 | |||||
Balanced Allocation | ||||||||||
Futures | $ 2,160,363 | $ (461,245) | $ — | $ — | $ 2,621,608 | |||||
Growth Allocation | ||||||||||
Futures | $ 3,396,829 | $ (183,844) | $ — | $ — | $ 3,580,673 | |||||
Aggressive Allocation | ||||||||||
Futures | $ 4,523,657 | $ — | $ — | $ — | $ 4,523,657 |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 1,588,941 | $ — | $ 1,588,941 | $ — | $ — | |||||
Futures | 1,507,865 | 1,507,865 | — | — | — | |||||
Purchased Options | (8,539) | (8,539) | — | — | — | |||||
Swaps | (1,327,157) | (1,045,783) | — | (281,374) | — | |||||
Written Options | 214,115 | 170,875 | — | 43,240 | — | |||||
Totals | $ 1,975,225 | $ 624,418 | $ 1,588,941 | $ (238,134) | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 2,472,569 | $ — | $ 2,472,569 | $ — | $ — | |||||
Futures | (9,902,557) | (9,902,557) | — | — | — | |||||
Purchased Options | (3,848,072) | (3,521,411) | (326,661) | — | — | |||||
Swaps | 320,479 | (2,114,121) | — | 2,434,600 | — | |||||
Written Options | 3,852,411 | 3,823,565 | 28,846 | — | — | |||||
Totals | $ (7,105,170) | $ (11,714,524) | $ 2,174,754 | $ 2,434,600 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ (5,852,985) | $ — | $ (5,852,985) | $ — | $ — | |||||
Futures | 3,997,426 | 3,997,426 | — | — | — | |||||
Purchased Options | (209,494) | (2,489) | (207,005) | — | — | |||||
Swaps | (817,277) | 1,005 | — | (818,282) | — | |||||
Totals | $ (2,882,330) | $ 3,995,942 | $ (6,059,990) | $ (818,282) | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 2,343,713 | $ — | $ 2,343,713 | $ — | $ — | |||||
Futures | (286,846) | (12,621) | — | — | (274,225) | |||||
Written Options | 26,986,233 | — | — | — | 26,986,233 | |||||
Totals | $ 29,043,100 | $ (12,621) | $ 2,343,713 | $ — | $ 26,712,008 | |||||
Global Impact Fund | ||||||||||
Futures | $ 774,734 | $ 350,400 | $ 6,662 | $ — | $ 417,672 | |||||
Equity Index | ||||||||||
Futures | $ 16,050,263 | $ — | $ — | $ — | $ 16,050,263 | |||||
Value Equity | ||||||||||
Forwards | $ 2,757,551 | $ — | $ 2,757,551 | $ — | $ — | |||||
Futures | 10,091,869 | — | — | — | 10,091,869 | |||||
Totals | $ 12,849,420 | $ — | $ 2,757,551 | $ — | $ 10,091,869 | |||||
Growth Equity | ||||||||||
Futures | $ 14,525,795 | $ — | $ — | $ — | $ 14,525,795 | |||||
Small Cap Equity | ||||||||||
Forwards | $ 103,558 | $ — | $ 103,558 | $ — | $ — | |||||
Futures | 3,063,481 | — | — | — | 3,063,481 | |||||
Totals | $ 3,167,039 | $ — | $ 103,558 | $ — | $ 3,063,481 | |||||
International Equity Index | ||||||||||
Futures | $ 5,507,743 | $ — | $ — | $ — | $ 5,507,743 |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
International Equity | ||||||||||
Forwards | $ (7,855,214) | $ — | $ (7,855,214) | $ — | $ — | |||||
Futures | 11,422,115 | — | — | — | 11,422,115 | |||||
Swaps | 6,801,048 | — | — | — | 6,801,048 | |||||
Totals | $ 10,367,949 | $ — | $ (7,855,214) | $ — | $ 18,223,163 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ (1,104,514) | $ — | $ (1,104,514) | $ — | $ — | |||||
Futures | 1,842,239 | — | — | — | 1,842,239 | |||||
Swaps | 4,186,171 | — | — | — | 4,186,171 | |||||
Totals | $ 4,923,896 | $ — | $ (1,104,514) | $ — | $ 6,028,410 | |||||
Global Real Estate Securities | ||||||||||
Futures | $ 1,823,778 | $ — | $ — | $ — | $ 1,823,778 | |||||
Totals | $ 1,823,778 | $ — | $ — | $ — | $ 1,823,778 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 109,941 | $ — | $ 109,941 | $ — | $ — | |||||
Futures | 6,536,350 | 442,316 | 3,958,523 | — | 2,135,511 | |||||
Non-Deliverable Bond Forwards | (133,950) | — | (133,950) | — | — | |||||
Purchased Options | (114,642) | (114,642) | — | — | — | |||||
Swaps | 4,676,945 | (527,413) | — | 25,235 | 5,179,123 | |||||
Written Options | 2,262,224 | 481,327 | — | — | 1,780,897 | |||||
Totals | $ 13,336,868 | $ 281,588 | $ 3,934,514 | $ 25,235 | $ 9,095,531 |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ 23,379 | $ 23,390 | $ — | $ — | $ (11) | |||||
MyDestination 2025 | ||||||||||
Futures | $ 44,841 | $ 78,591 | $ — | $ — | $ (33,750) | |||||
MyDestination 2035 | ||||||||||
Futures | $ 134,771 | $ 77,447 | $ — | $ — | $ 57,324 | |||||
MyDestination 2045 | ||||||||||
Futures | $ 117,207 | $ 34,989 | $ — | $ — | $ 82,218 | |||||
MyDestination 2055 | ||||||||||
Futures | $ 23,329 | $ 4,376 | $ — | $ — | $ 18,953 | |||||
Conservative Allocation | ||||||||||
Futures | $ (17,601) | $ (7,009) | $ — | $ — | $ (10,592) | |||||
Balanced Allocation | ||||||||||
Futures | $ (11,600) | $ 79,104 | $ — | $ — | $ (90,704) | |||||
Growth Allocation | ||||||||||
Futures | $ 94,018 | $ 40,418 | $ — | $ — | $ 53,600 |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Aggressive Allocation | ||||||||||
Futures | $ 106,659 | $ — | $ — | $ — | $ 106,659 | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 1,618,670 | $ — | $ 1,618,670 | $ — | $ — | |||||
Futures | (2,231,095) | (2,231,095) | — | — | — | |||||
Purchased Options | 1,458 | 1,458 | — | — | — | |||||
Swaps | 1,033,875 | 1,283,828 | — | (249,953) | — | |||||
Written Options | 57,046 | 57,046 | — | — | — | |||||
Totals | $ 479,954 | $ (888,763) | $ 1,618,670 | $ (249,953) | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ (387,054) | $ — | $ (387,054) | $ — | $ — | |||||
Futures | 343,810 | — | — | — | 343,810 | |||||
Purchased Options | (21,609) | (21,609) | — | — | — | |||||
Swaps | (1,961,832) | 854,129 | — | (2,815,961) | — | |||||
Written Options | (33,984) | (33,984) | — | — | — | |||||
Totals | $ (2,060,669) | $ 798,536 | $ (387,054) | $ (2,815,961) | $ 343,810 | |||||
Global Bond | ||||||||||
Forwards | $ 1,725,567 | $ — | $ 1,725,567 | $ — | $ — | |||||
Futures | (968,762) | (968,762) | — | — | — | |||||
Purchased Options | 3,134 | 3,134 | — | — | — | |||||
Swaps | 20,861 | 38,108 | — | (17,247) | — | |||||
Totals | $ 780,800 | $ (927,520) | $ 1,725,567 | $ (17,247) | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ (326,563) | $ — | $ (326,563) | $ — | $ — | |||||
Futures | 339,305 | (288,921) | — | — | 628,226 | |||||
Purchased Options | 11,776,696 | — | — | — | 11,776,696 | |||||
Written Options | 1,631,848 | — | — | — | 1,631,848 | |||||
Totals | $ 13,421,286 | $ (288,921) | $ (326,563) | $ — | $ 14,036,770 | |||||
Global Impact Fund | ||||||||||
Futures | $ 55,230 | $ 17,375 | $ 113 | $ — | $ 37,742 | |||||
Equity Index | ||||||||||
Futures | $ 316,156 | $ — | $ — | $ — | $ 316,156 | |||||
Value Equity | ||||||||||
Forwards | $ (575,964) | $ — | $ (575,964) | $ — | $ — | |||||
Futures | 514,976 | — | — | — | 514,976 | |||||
Totals | $ (60,988) | $ — | $ (575,964) | $ — | $ 514,976 | |||||
Growth Equity | ||||||||||
Futures | $ 284,589 | $ — | $ — | $ — | $ 284,589 |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 12/31/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Small Cap Equity | ||||||||||
Forwards | $ (9,816) | $ — | $ (9,816) | $ — | $ — | |||||
Futures | (118,290) | — | — | — | (118,290) | |||||
Totals | $ (128,106) | $ — | $ (9,816) | $ — | $ (118,290) | |||||
International Equity Index | ||||||||||
Futures | $ 404,213 | $ — | $ — | $ — | $ 404,213 | |||||
International Equity | ||||||||||
Forwards | $ (2,597,095) | $ — | $ (2,597,095) | $ — | $ — | |||||
Futures | (1,392,531) | — | — | — | (1,392,531) | |||||
Swaps | 3,650,429 | — | — | — | 3,650,429 | |||||
Totals | $ (339,197) | $ — | $ (2,597,095) | $ — | $ 2,257,898 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ (478,289) | $ — | $ (478,289) | $ — | $ — | |||||
Futures | (2,380,566) | — | — | — | (2,380,566) | |||||
Swaps | (1,537,325) | — | — | — | (1,537,325) | |||||
Totals | $ (4,396,180) | $ — | $ (478,289) | $ — | $ (3,917,891) | |||||
Global Real Estate Securities | ||||||||||
Futures | $ 128,267 | $ — | $ — | $ — | $ 128,267 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 185,699 | $ — | $ 185,699 | $ — | $ — | |||||
Futures | 114,093 | 114,093 | — | — | — | |||||
Purchased Options | (83,431) | (83,431) | — | — | — | |||||
Swaps | 2,127,582 | 804,075 | — | (2,686) | 1,326,193 | |||||
Written Options | (42,942) | 31,945 | — | — | (74,887) | |||||
Non-deliverable Bond Forwards | (29,258) | — | (29,258) | — | — | |||||
Totals | $ 2,271,743 | $ 866,682 | $ 156,441 | $ (2,686) | $ 1,251,306 |
Fund | Number of transactions | Average notional market value of contracts | |
Low-Duration Bond | 253 | $3,936,596 | |
Medium-Duration Bond | 542 | 2,801,409 | |
Global Bond | 1,603 | 3,172,887 | |
Defensive Market Strategies® | 156 | 2,059,996 | |
Value Equity | 177 | 2,859,231 | |
Small Cap Equity | 46 | 184,665 | |
International Equity | 2,649 | 1,529,468 | |
Emerging Markets Equity | 4,100 | 879,675 | |
Strategic Alternatives | 3,497 | 1,113,113 |
Fund | Long average notional market value of contracts | Short average notional market value of contracts | |
MyDestination 2015 | $ 706,507 | $ — | |
MyDestination 2025 | 1,360,715 | — | |
MyDestination 2035 | 1,295,533 | — | |
MyDestination 2045 | 982,704 | 534,680 | |
MyDestination 2055 | 362,504 | — | |
Conservative Allocation | 990,968 | — | |
Balanced Allocation | 1,899,196 | 312,125 | |
Growth Allocation | 1,429,616 | — | |
Aggressive Allocation | 1,736,704 | — | |
Low-Duration Bond | 18,016,025 | 2,980,427 | |
Medium-Duration Bond | 5,546,097 | 3,617,095 | |
Global Bond | 5,900,110 | 5,334,339 | |
Defensive Market Strategies® | 34,190,223 | — | |
Global Impact Fund | 929,015 | 2,578,765 | |
Equity Index | 10,861,540 | — | |
Value Equity | 11,536,163 | — | |
Growth Equity | 24,787,010 | — | |
Small Cap Equity | 5,675,002 | — | |
International Equity Index | 2,567,745 | — | |
International Equity | 2,456,006 | 2,266,731 | |
Emerging Markets Equity | 1,669,093 | 1,027,362 | |
Global Real Estate Securities | 1,947,933 | — | |
Strategic Alternatives | 1,789,232 | 1,936,775 |
Fund | Number of transactions | Average premiums paid and received | |
Low-Duration Bond | 60 | $ 5,188 | |
Medium-Duration Bond | 776 | 13,563 | |
Global Bond | 48 | 5,154 | |
Defensive Market Strategies® | 707 | 167,341 | |
Strategic Alternatives | 225 | 20,258 |
Fund | Buy protection average notional market value | Sell protection average notional market value | |
Low-Duration Bond | $6,022,222 | $16,800,000 | |
Medium-Duration Bond | 176,429 | 2,597,903 | |
Global Bond | 4,609,220 | — |
Fund | Paid fixed rate average notional market value | Received fixed rate average notional market value | |
Low-Duration Bond | $2,455,812 | $3,396,619 | |
Medium-Duration Bond | 2,141,393 | 3,440,669 | |
Global Bond | — | 2,042,960 | |
Strategic Alternatives | 2,108,183 | 2,334,337 |
Fund | Average notional market value of transactions |
International Equity | $ 440,312 |
Emerging Markets Equity | 1,125,391 |
Strategic Alternatives | 95,904 |
Fund | Average notional market value of contracts |
Strategic Alternatives | $930,617 |
Fund | Advisory Fees | Sub-Adviser Fees | ||
MyDestination 2015 | 0.10% | 0.01% | ||
MyDestination 2025 | 0.10% | 0.00% | ||
MyDestination 2035 | 0.10% | 0.00% | ||
MyDestination 2045 | 0.10% | 0.00% | ||
MyDestination 2055 | 0.10% | 0.00% | ||
Conservative Allocation | 0.10% | 0.00% | ||
Balanced Allocation | 0.10% | 0.00% | ||
Growth Allocation | 0.10% | 0.00% | ||
Aggressive Allocation | 0.10% | 0.00% | ||
Money Market | 0.07% | 0.04% | ||
Low-Duration Bond | 0.11% | 0.18% | ||
Medium-Duration Bond | 0.13% | 0.18% | ||
Global Bond | 0.25% | 0.22% | ||
Defensive Market Strategies® | 0.33% | 0.29% | ||
Global Impact Fund | 0.36% | 0.27% | ||
Equity Index | 0.08% | 0.01% | ||
Value Equity | 0.33% | 0.27% | ||
Growth Equity | 0.33% | 0.32% | ||
Small Cap Equity | 0.33% | 0.52% | ||
International Equity Index | 0.10% | 0.01% | ||
International Equity | 0.33% | 0.44% | ||
Emerging Markets Equity | 0.33% | 0.52% | ||
Global Real Estate Securities | 0.30% | 0.38% | ||
Strategic Alternatives | 0.40% | 0.51% |
For the Period January 1, 2021 to April 30, 2021 | For the Period May 1, 2021 to December 31, 2021 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2015 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2025 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2035 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2045 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2055 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
International Equity Index | 0.22% | N/A | 0.22% | N/A | ||||
Emerging Markets Equity | N/A | 1.57% | N/A | N/A | ||||
Strategic Alternatives | N/A | N/A | 1.08% | 1.40% |
Institutional Class | Investor Class | |||||||||||
Fund | 2022 | 2023 | 2024 | 2022 | 2023 | 2024 | ||||||
MyDestination 2015 | $ 85,750 | $114,196 | $ 44,635 | $356,438 | $368,132 | $110,648 | ||||||
MyDestination 2025 | 107,568 | 153,908 | 44,948 | 352,125 | 415,281 | 119,203 | ||||||
MyDestination 2035 | — | — | — | — | — | — | ||||||
MyDestination 2045 | — | — | — | — | — | — | ||||||
MyDestination 2055 | 22,333 | 19,316 | 8,367 | 40,211 | 29,868 | 4,715 | ||||||
International Equity Index | — | — | — | N/A | N/A | N/A | ||||||
Emerging Markets Equity | N/A | N/A | N/A | — | — | — | ||||||
Strategic Alternatives | — | — | 246,313 | — | — | 42,950 |
Fund | Expenses Paid Through Brokerage Service Agreements | |
Value Equity | $20,498 | |
Growth Equity | 43,997 | |
Small Cap Equity | 57,447 | |
Emerging Markets Equity | 1,963 | |
Global Real Estate Securities | 14,188 |
Fund | MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||||
Money Market | 0.59% | 1.57% | 1.96% | 1.63% | 0.57% | |||||||
Low-Duration Bond | 10.69 | 13.90 | — | — | — | |||||||
Medium-Duration Bond | 7.47 | 17.67 | 10.88 | 3.65 | 0.77 | |||||||
Global Bond | 6.14 | 15.42 | 10.63 | 3.49 | 0.74 | |||||||
Defensive Market Strategies® | 5.63 | 14.46 | 7.40 | 3.72 | 1.46 | |||||||
Equity Index | 4.15 | 13.24 | 16.22 | 15.71 | 6.56 | |||||||
Small Cap Equity | 2.00 | 6.21 | 7.39 | 7.37 | 3.09 | |||||||
International Equity Index | 7.13 | 22.61 | 27.42 | 26.48 | 11.11 | |||||||
Emerging Markets Equity | 2.94 | 9.58 | 11.64 | 11.21 | 4.82 | |||||||
Global Real Estate Securities | 2.02 | 6.17 | 6.49 | 5.96 | 2.48 | |||||||
Strategic Alternatives | 6.28 | 9.85 | 1.47 | — | — |
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||||
Money Market | 0.39% | 2.12% | 2.06% | 1.73% | ||||||
Low-Duration Bond | 25.03 | 6.51 | 2.30 | — | ||||||
Medium-Duration Bond | 2.98 | 20.08 | 6.99 | — | ||||||
Global Bond | 2.83 | 22.41 | 7.81 | — | ||||||
Defensive Market Strategies® | 2.86 | 11.87 | 4.36 | — | ||||||
Value Equity | 2.18 | 12.61 | 18.57 | 23.91 | ||||||
Growth Equity | 1.43 | 8.00 | 11.92 | 15.31 | ||||||
Small Cap Equity | 0.66 | 3.92 | 5.78 | 7.41 | ||||||
International Equity | 2.27 | 13.15 | 19.37 | 25.52 |
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||||
Emerging Markets Equity | 1.54% | 8.82% | 13.00% | 16.96% | ||||||
Global Real Estate Securities | 2.12 | 10.65 | 13.45 | — | ||||||
Strategic Alternatives | 8.04 | 19.57 | 10.08 | — | ||||||
Global Impact | 10.04 | 40.24 | 31.88 | — |
Total Value at 12/31/20 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/21 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2015 | |||||||||||||||
Money Market | $ 9,284 | $ 145,292 | $ 145,166 | $ — | $ — | $ 9,410 | $ — | $ — | |||||||
Low-Duration Bond | 112,047 | 14,038 | 9,720 | 111 | (1,833) | 114,643 | 1,161 | 95 | |||||||
Medium-Duration Bond | 188,415 | 36,672 | 37,540 | 347 | (8,003) | 179,891 | 3,350 | 322 | |||||||
Global Bond | 37,775 | 5,091 | 2,200 | 84 | (2,429) | 38,321 | 826 | 609 | |||||||
Defensive Market Strategies® | 72,416 | 14,039 | 2,591 | 566 | 209 | 84,639 | 590 | 7,699 | |||||||
Equity Index | 113,332 | 29,166 | 30,944 | 9,598 | 17,409 | 138,561 | 1,484 | 3,053 | |||||||
Small Cap Equity | 13,824 | 4,691 | 1,590 | 297 | 288 | 17,510 | 21 | 2,428 | |||||||
International Equity Index | 60,312 | 14,104 | 18,266 | 3,209 | 85 | 59,444 | 1,676 | 1,427 | |||||||
Emerging Markets Equity | 26,523 | 7,019 | 6,060 | 1,909 | (5,043) | 24,348 | 184 | 2,714 | |||||||
Global Real Estate Securities | 5,509 | 1,016 | 1,020 | 74 | 1,215 | 6,794 | 242 | 196 | |||||||
Strategic Alternatives | 20,611 | 2,154 | 1,380 | 31 | 698 | 22,114 | 45 | 313 | |||||||
$ 660,048 | $ 273,282 | $ 256,477 | $16,226 | $ 2,596 | $ 695,675 | $ 9,579 | $ 18,856 | ||||||||
MyDestination 2025 | |||||||||||||||
Money Market | $ 26,446 | $ 155,921 | $ 157,203 | $ — | $ — | $ 25,164 | $ — | $ — | |||||||
Low-Duration Bond | 110,274 | 46,116 | 5,100 | 85 | (2,328) | 149,047 | 1,470 | 122 | |||||||
Medium-Duration Bond | 400,140 | 61,884 | 19,970 | 158 | (16,774) | 425,438 | 7,700 | 684 | |||||||
Global Bond | 89,006 | 16,036 | 3,200 | 179 | (5,844) | 96,177 | 2,009 | 1,508 | |||||||
Defensive Market Strategies® | 179,947 | 36,010 | 94 | 21 | 1,634 | 217,518 | 1,484 | 19,625 | |||||||
Equity Index | 356,143 | 46,337 | 44,662 | 13,646 | 70,350 | 441,814 | 4,632 | 9,505 | |||||||
Small Cap Equity | 44,282 | 15,123 | 7,000 | 808 | 1,068 | 54,281 | 65 | 7,528 | |||||||
International Equity Index | 191,791 | 29,343 | 42,870 | 7,624 | 2,632 | 188,520 | 5,317 | 4,526 | |||||||
Emerging Markets Equity | 82,255 | 25,371 | 18,130 | 4,876 | (15,195) | 79,177 | 597 | 8,824 | |||||||
Global Real Estate Securities | 17,708 | 1,728 | 2,500 | 178 | 3,676 | 20,790 | 694 | 581 | |||||||
Strategic Alternatives | 28,222 | 5,398 | — | — | 1,043 | 34,663 | 68 | 474 | |||||||
$1,526,214 | $ 439,267 | $ 300,729 | $27,575 | $ 40,262 | $1,732,589 | $24,036 | $ 53,377 |
Total Value at 12/31/20 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/21 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2035 | |||||||||||||||
Money Market | $ 26,107 | $ 147,809 | $ 142,433 | $ — | $ — | $ 31,483 | $ — | $ — | |||||||
Medium-Duration Bond | 214,587 | 77,602 | 20,763 | 208 | (9,593) | 262,041 | 4,631 | 386 | |||||||
Global Bond | 50,996 | 22,034 | 3,000 | (16) | (3,707) | 66,307 | 1,336 | 1,046 | |||||||
Defensive Market Strategies® | 74,913 | 36,387 | — | — | 67 | 111,367 | 741 | 9,946 | |||||||
Equity Index | 400,025 | 69,408 | 26,784 | 12,767 | 85,833 | 541,249 | 5,555 | 11,406 | |||||||
Small Cap Equity | 49,849 | 20,266 | 7,500 | 1,277 | 686 | 64,578 | 77 | 8,956 | |||||||
International Equity Index | 216,992 | 37,791 | 37,442 | 7,607 | 3,640 | 228,588 | 6,447 | 5,488 | |||||||
Emerging Markets Equity | 91,962 | 42,155 | 25,308 | 7,135 | (19,674) | 96,270 | 726 | 10,729 | |||||||
Global Real Estate Securities | 16,768 | 2,250 | 1,000 | 73 | 3,771 | 21,862 | 734 | 610 | |||||||
Strategic Alternatives | 2,548 | 2,700 | 204 | — | 115 | 5,159 | 10 | 71 | |||||||
$1,144,747 | $ 458,402 | $ 264,434 | $29,051 | $ 61,138 | $1,428,904 | $20,257 | $ 48,638 | ||||||||
MyDestination 2045 | |||||||||||||||
Money Market | $ 19,105 | $ 110,615 | $ 103,588 | $ — | $ — | $ 26,132 | $ — | $ — | |||||||
Medium-Duration Bond | 76,230 | 28,895 | 13,940 | 392 | (3,684) | 87,893 | 1,608 | 137 | |||||||
Global Bond | 18,246 | 8,052 | 3,266 | 153 | (1,414) | 21,771 | 461 | 334 | |||||||
Defensive Market Strategies® | 41,072 | 14,583 | — | — | 252 | 55,907 | 375 | 4,981 | |||||||
Equity Index | 371,295 | 76,897 | 18,000 | 8,855 | 85,044 | 524,091 | 5,327 | 10,948 | |||||||
Small Cap Equity | 46,852 | 21,873 | 5,977 | 1,057 | 576 | 64,381 | 76 | 8,788 | |||||||
International Equity Index | 202,512 | 43,121 | 35,300 | 6,544 | 3,838 | 220,715 | 6,224 | 5,299 | |||||||
Emerging Markets Equity | 85,829 | 40,332 | 21,122 | 6,566 | (18,887) | 92,718 | 699 | 10,333 | |||||||
Global Real Estate Securities | 14,680 | 2,492 | 527 | (21) | 3,438 | 20,062 | 655 | 560 | |||||||
$ 875,821 | $ 346,860 | $ 201,720 | $23,546 | $ 69,163 | $1,113,670 | $15,425 | $ 41,380 | ||||||||
MyDestination 2055 | |||||||||||||||
Money Market | $ 7,667 | $ 63,762 | $ 62,313 | $ — | $ — | $ 9,116 | $ — | $ — | |||||||
Medium-Duration Bond | 17,627 | 8,215 | 6,615 | 222 | (985) | 18,464 | 361 | 32 | |||||||
Global Bond | 4,404 | 2,108 | 1,604 | 41 | (329) | 4,620 | 105 | 72 | |||||||
Defensive Market Strategies® | 15,424 | 6,777 | 235 | 28 | 4 | 21,998 | 146 | 1,949 | |||||||
Equity Index | 142,573 | 47,082 | 8,053 | 3,181 | 34,097 | 218,880 | 2,193 | 4,512 | |||||||
Small Cap Equity | 17,459 | 13,007 | 3,845 | 781 | (403) | 26,999 | 32 | 3,700 | |||||||
International Equity Index | 75,238 | 26,522 | 12,899 | 2,457 | 1,283 | 92,601 | 2,606 | 2,219 | |||||||
Emerging Markets Equity | 32,382 | 19,535 | 6,591 | 1,435 | (6,892) | 39,869 | 295 | 4,355 | |||||||
Global Real Estate Securities | 5,846 | 1,776 | 613 | 47 | 1,291 | 8,347 | 262 | 230 | |||||||
$ 318,620 | $ 188,784 | $ 102,768 | $ 8,192 | $ 28,066 | $ 440,894 | $ 6,000 | $ 17,069 |
Total Value at 12/31/20 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/21 | Dividend Income | Distributions of Realized Gains | ||||||||
Conservative Allocation | |||||||||||||||
Money Market | $ 8,807 | $ 62,580 | $ 65,139 | $ — | $ — | $ 6,248 | $ — | $ — | |||||||
Low-Duration Bond | 262,080 | 12,200 | 1,900 | 25 | (4,004) | 268,401 | 2,678 | 223 | |||||||
Medium-Duration Bond | 68,319 | 7,499 | 1,400 | 15 | (2,769) | 71,664 | 1,284 | 115 | |||||||
Global Bond | 17,340 | 1,656 | 280 | 2 | (1,044) | 17,674 | 375 | 281 | |||||||
Defensive Market Strategies® | 40,752 | 4,249 | 2,600 | 573 | 48 | 43,022 | 305 | 3,943 | |||||||
Global Impact | — | 16,129 | — | — | 1,521 | 17,650 | 42 | 88 | |||||||
Value Equity | 32,737 | 3,472 | 8,800 | 324 | 3,017 | 30,750 | 539 | 2,933 | |||||||
Growth Equity | 31,877 | 6,139 | 7,900 | 1,838 | (1,896) | 30,058 | 7 | 5,239 | |||||||
Small Cap Equity | 6,421 | 803 | 2,000 | 692 | (173) | 5,743 | — | 797 | |||||||
International Equity | 34,598 | 2,384 | 7,000 | 1,087 | (491) | 30,578 | 96 | 2,017 | |||||||
Emerging Markets Equity | 14,137 | 2,214 | 2,000 | 774 | (2,398) | 12,727 | 366 | 1,418 | |||||||
Global Real Estate Securities | 6,684 | 442 | 1,450 | 123 | 1,341 | 7,140 | 243 | 199 | |||||||
Strategic Alternatives | 26,728 | 1,455 | 800 | 19 | 894 | 28,296 | 57 | 398 | |||||||
$ 550,480 | $ 121,222 | $ 101,269 | $ 5,472 | $ (5,954) | $ 569,951 | $ 5,992 | $ 17,651 | ||||||||
Balanced Allocation | |||||||||||||||
Money Market | $ 35,198 | $ 175,568 | $ 176,807 | $ — | $ — | $ 33,959 | $ — | $ — | |||||||
Low-Duration Bond | 103,592 | 4,750 | 37,600 | 538 | (1,485) | 69,795 | 692 | 58 | |||||||
Medium-Duration Bond | 385,477 | 134,949 | 18,700 | 151 | (18,198) | 483,679 | 8,671 | 777 | |||||||
Global Bond | 137,177 | 15,935 | 5,000 | 92 | (8,412) | 139,792 | 2,921 | 2,213 | |||||||
Defensive Market Strategies® | 171,724 | 17,753 | 13,600 | 2,876 | (258) | 178,495 | 1,287 | 16,467 | |||||||
Global Impact | — | 66,519 | 2,000 | 148 | 6,098 | 70,765 | 165 | 353 | |||||||
Extended-Duration Bond Fund | 69,462 | — | 68,234 | 1,045 | (2,273) | — | — | — | |||||||
Value Equity | 181,702 | 25,072 | 47,428 | (1,665) | 20,041 | 177,722 | 3,119 | 16,954 | |||||||
Growth Equity | 177,367 | 40,023 | 48,598 | 15,393 | (15,849) | 168,336 | — | 29,423 | |||||||
Small Cap Equity | 35,903 | 4,787 | 8,700 | 2,443 | (211) | 34,222 | 41 | 4,746 | |||||||
International Equity | 193,375 | 19,909 | 39,500 | (308) | 3,496 | 176,972 | 2,120 | 11,675 | |||||||
Emerging Markets Equity | 79,096 | 16,875 | 14,000 | 3,802 | (12,866) | 72,907 | 550 | 8,125 | |||||||
Global Real Estate Securities | 33,524 | 2,341 | 7,150 | 434 | 6,727 | 35,876 | 1,297 | 1,044 | |||||||
Strategic Alternatives | 64,381 | 3,179 | 800 | 18 | 2,120 | 68,898 | 136 | 943 | |||||||
$1,667,978 | $ 527,660 | $ 488,117 | $24,967 | $(21,070) | $1,711,418 | $20,999 | $ 92,778 |
Total Value at 12/31/20 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/21 | Dividend Income | Distributions of Realized Gains | ||||||||
Growth Allocation | |||||||||||||||
Money Market | $ 26,309 | $ 132,102 | $ 125,429 | $ — | $ — | $ 32,982 | $ — | $ — | |||||||
Low-Duration Bond | 35,515 | 3,515 | 14,000 | 251 | (598) | 24,683 | 245 | 20 | |||||||
Medium-Duration Bond | 136,994 | 44,087 | 6,600 | 30 | (6,266) | 168,245 | 3,020 | 268 | |||||||
Global Bond | 46,960 | 7,487 | 2,900 | 56 | (2,915) | 48,688 | 1,017 | 771 | |||||||
Defensive Market Strategies® | 59,721 | 7,371 | 2,350 | 295 | 501 | 65,538 | 465 | 6,006 | |||||||
Global Impact | — | 53,111 | 1,944 | 144 | 4,747 | 56,058 | 131 | 279 | |||||||
Extended-Duration Bond Fund | 24,154 | 2,000 | 25,729 | 1,001 | (1,426) | — | — | — | |||||||
Value Equity | 252,615 | 34,574 | 51,753 | (6,351) | 32,577 | 261,662 | 4,604 | 24,970 | |||||||
Growth Equity | 246,973 | 59,607 | 54,741 | 14,840 | (16,047) | 250,632 | — | 43,758 | |||||||
Small Cap Equity | 48,319 | 7,068 | 7,800 | 1,707 | 1,237 | 50,531 | 60 | 7,008 | |||||||
International Equity | 265,837 | 26,326 | 34,994 | (376) | 3,966 | 260,759 | 3,123 | 17,202 | |||||||
Emerging Markets Equity | 108,579 | 28,792 | 15,550 | 4,098 | (18,417) | 107,502 | 811 | 11,981 | |||||||
Global Real Estate Securities | 39,588 | 4,771 | 7,800 | 252 | 8,479 | 45,290 | 1,506 | 1,265 | |||||||
Strategic Alternatives | 31,518 | 3,456 | 560 | 4 | 1,077 | 35,495 | 70 | 486 | |||||||
$1,323,082 | $ 414,267 | $ 352,150 | $15,951 | $ 6,915 | $1,408,065 | $15,052 | $114,014 | ||||||||
Aggressive Allocation | |||||||||||||||
Money Market | $ 19,020 | $ 87,384 | $ 78,682 | $ — | $ — | $ 27,722 | $ — | $ — | |||||||
Value Equity | 303,980 | 46,472 | 46,120 | (4,660) | 37,168 | 336,840 | 5,968 | 32,505 | |||||||
Growth Equity | 304,001 | 74,951 | 55,495 | 13,522 | (14,956) | 322,023 | — | 55,951 | |||||||
Small Cap Equity | 61,249 | 10,558 | 10,673 | 1,224 | 2,395 | 64,753 | 77 | 8,980 | |||||||
International Equity | 320,381 | 35,772 | 16,128 | (253) | 3,690 | 343,462 | 4,114 | 22,658 | |||||||
Emerging Markets Equity | 131,199 | 36,685 | 8,083 | 2,166 | (21,744) | 140,223 | 1,058 | 15,627 | |||||||
$1,139,830 | $ 291,822 | $ 215,181 | $11,999 | $ 6,553 | $1,235,023 | $11,217 | $135,721 | ||||||||
Low-Duration Bond | |||||||||||||||
Money Market | $ 34,879 | $ 620,699 | $ 627,070 | $ — | $ — | $ 28,508 | $ — | $ — | |||||||
Medium-Duration Bond | |||||||||||||||
Money Market | $ 118,803 | $1,603,023 | $1,588,162 | $ — | $ — | $ 133,664 | $ — | $ — | |||||||
Global Bond | |||||||||||||||
Money Market | $ 46,167 | $ 297,604 | $ 310,762 | $ — | $ — | $ 33,009 | $ — | $ — | |||||||
Defensive Market Strategies® | |||||||||||||||
Money Market | $ 85,866 | $1,009,149 | $1,055,795 | $ — | $ — | $ 39,220 | $ — | $ — | |||||||
Global Impact Fund | |||||||||||||||
Money Market | $ — | $ 75,050 | $ 69,758 | $ — | $ — | $ 5,292 | $ — | $ — | |||||||
Equity Index | |||||||||||||||
Money Market | $ 40,898 | $ 622,205 | $ 600,968 | $ — | $ — | $ 62,135 | $ — | $ — | |||||||
Value Equity | |||||||||||||||
Money Market | $ 36,795 | $ 413,558 | $ 406,023 | $ — | $ — | $ 44,330 | $ — | $ — |
Total Value at 12/31/20 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 12/31/21 | Dividend Income | Distributions of Realized Gains | ||||||||
Growth Equity | |||||||||||||||
Money Market | $ 62,159 | $ 698,283 | $ 684,378 | $ — | $ — | $ 76,064 | $ — | $ — | |||||||
Small Cap Equity | |||||||||||||||
Money Market | $ 25,631 | $ 267,453 | $ 262,185 | $ — | $ — | $ 30,899 | $ — | $ — | |||||||
International Equity Index | |||||||||||||||
Money Market | $ 21,415 | $ 344,069 | $ 319,397 | $ — | $ — | $ 46,087 | $ — | $ — | |||||||
International Equity | |||||||||||||||
Money Market | $ 86,428 | $ 466,425 | $ 467,032 | $ — | $ — | $ 85,821 | $ — | $ — | |||||||
Emerging Markets Equity | |||||||||||||||
Money Market | $ 21,824 | $ 470,218 | $ 443,175 | $ — | $ — | $ 48,867 | $ — | $ — | |||||||
Global Real Estate Securities | |||||||||||||||
Money Market | $ 7,709 | $ 74,133 | $ 72,010 | $ — | $ — | $ 9,832 | $ — | $ — | |||||||
Strategic Alternatives | |||||||||||||||
Money Market | $ 67,070 | $ 358,826 | $ 412,707 | $ — | $ — | $ 13,189 | $ — | $ — |
Fund | Value of Securities Loaned | Value of Non-cash Collateral | Value of Cash Collateral | Total Value of Collateral * | ||||
Low-Duration Bond | $ 10,974,907 | $ 3,227,489 | $ 8,092,328 | $ 11,319,817 | ||||
Medium-Duration Bond | 56,108,216 | 29,881,594 | 27,825,685 | 57,707,279 | ||||
Global Bond | 20,294,920 | 8,299,506 | 12,778,817 | 21,078,323 | ||||
Defensive Market Strategies® | 50,672,747 | 17,784,948 | 34,282,159 | 52,067,107 | ||||
Global Impact Fund | 1,702,427 | 1,796,990 | — | 1,796,990 | ||||
Equity Index | 93,675,896 | 94,779,298 | 1,227,216 | 96,006,514 | ||||
Value Equity | 29,420,706 | 28,774,647 | 1,685,880 | 30,460,527 | ||||
Growth Equity | 167,628,183 | 162,461,518 | 10,176,712 | 172,638,230 | ||||
Small Cap Equity | 93,396,584 | 78,396,213 | 17,934,148 | 96,330,361 | ||||
International Equity Index | 23,787,825 | 16,357,055 | 8,717,861 | 25,074,916 | ||||
International Equity | 21,147,390 | 24,465,650 | 40,586 | 24,506,236 | ||||
Emerging Markets Equity | 11,370,117 | 7,850,723 | 4,026,413 | 11,877,136 | ||||
Global Real Estate Securities | 24,651,876 | 25,346,246 | 67,622 | 25,413,868 |
Cost of Purchases and Proceeds from Sales and Maturities of Long-Term Securities (other than U.S. Government Obligations) | Cost of Purchases and Proceeds from Sales and Maturities of Long-Term U.S Government Obligations | |||||||
Fund | Purchases | Sale and Maturity Proceeds | Purchases | Sale and Maturity Proceeds | ||||
MyDestination 2015 | $127,987,801 | $111,310,133 | $ 23,603,966 | $ 12,746,802 | ||||
MyDestination 2025 | 283,344,994 | 143,526,019 | 20,541,706 | 10,342,875 | ||||
MyDestination 2035 | 310,593,461 | 122,001,128 | — | — | ||||
MyDestination 2045 | 236,245,025 | 98,132,417 | — | — | ||||
MyDestination 2055 | 125,020,281 | 40,454,471 | — | — | ||||
Conservative Allocation | 58,642,588 | 36,130,000 | — | — |
Cost of Purchases and Proceeds from Sales and Maturities of Long-Term Securities (other than U.S. Government Obligations) | Cost of Purchases and Proceeds from Sales and Maturities of Long-Term U.S Government Obligations | |||||||
Fund | Purchases | Sale and Maturity Proceeds | Purchases | Sale and Maturity Proceeds | ||||
Balanced Allocation | $352,092,142 | $311,309,300 | $ — | $ — | ||||
Growth Allocation | 282,165,268 | 226,720,778 | — | — | ||||
Aggressive Allocation | 204,438,174 | 136,500,000 | — | — | ||||
Low-Duration Bond | 408,236,528 | 362,889,095 | 2,741,656,856 | 2,680,339,893 | ||||
Medium-Duration Bond | 525,333,414 | 313,227,009 | 7,541,910,478 | 7,547,686,359 | ||||
Global Bond | 200,059,713 | 142,361,535 | 200,640,693 | 180,536,809 | ||||
Defensive Market Strategies® | 491,492,447 | 915,097,141 | 339,562,477 | — | ||||
Global Impact Fund | 154,478,609 | 20,708,628 | 90,146,421 | 69,607,762 | ||||
Equity Index | 287,153,498 | 124,473,778 | — | — | ||||
Value Equity | 486,978,735 | 581,504,587 | — | — | ||||
Growth Equity | 498,346,863 | 772,330,813 | — | — | ||||
Small Cap Equity | 439,646,649 | 419,555,516 | — | — | ||||
International Equity Index | 139,115,459 | 170,010,191 | — | — | ||||
International Equity | 445,837,165 | 519,670,364 | — | — | ||||
Emerging Markets Equity | 497,871,314 | 460,464,916 | — | — | ||||
Global Real Estate Securities | 308,763,735 | 302,199,768 | — | — | ||||
Strategic Alternatives | 143,699,037 | 198,901,758 | 330,705,150 | 352,912,945 |
Year Ended 12/31/21 | Year Ended 12/31/20 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2015 | ||||||||
Shares sold | 4,844,150 | 5,226,545 | 3,954,586 | 5,841,286 | ||||
Shares reinvested | 1,001,867 | 2,486,585 | 584,325 | 1,712,284 | ||||
Shares redeemed | (2,642,499) | (7,315,739) | (2,774,775) | (9,781,383) | ||||
Net increase (decrease) | 3,203,518 | 397,391 | 1,764,136 | (2,227,813) | ||||
MyDestination 2025 | ||||||||
Shares sold | 7,699,621 | 11,913,369 | 9,502,995 | 10,223,052 | ||||
Shares reinvested | 2,219,905 | 5,057,284 | 1,613,446 | 3,787,610 | ||||
Shares redeemed | (4,967,608) | (8,259,662) | (5,285,427) | (13,900,994) | ||||
Net increase (decrease) | 4,951,918 | 8,710,991 | 5,831,014 | 109,668 | ||||
MyDestination 2035 | ||||||||
Shares sold | 7,371,277 | 9,546,137 | 9,316,171 | 7,801,251 | ||||
Shares reinvested | 2,187,422 | 4,015,920 | 1,092,132 | 2,060,346 | ||||
Shares redeemed | (2,781,760) | (3,609,896) | (2,464,219) | (6,219,666) | ||||
Net increase (decrease) | 6,776,939 | 9,952,161 | 7,944,084 | 3,641,931 |
Year Ended 12/31/21 | Year Ended 12/31/20 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2045 | ||||||||
Shares sold | 5,208,028 | 6,187,399 | 7,274,383 | 5,459,257 | ||||
Shares reinvested | 1,887,851 | 2,968,234 | 752,810 | 1,174,641 | ||||
Shares redeemed | (1,694,482) | (2,320,015) | (1,856,485) | (3,891,331) | ||||
Net increase (decrease) | 5,401,397 | 6,835,618 | 6,170,708 | 2,742,567 | ||||
MyDestination 2055 | ||||||||
Shares sold | 2,243,114 | 2,971,428 | 3,221,084 | 2,974,790 | ||||
Shares reinvested | 546,705 | 768,682 | 192,281 | 255,699 | ||||
Shares redeemed | (799,085) | (701,731) | (544,192) | (1,329,427) | ||||
Net increase (decrease) | 1,990,734 | 3,038,379 | 2,869,173 | 1,901,062 | ||||
Conservative Allocation | ||||||||
Shares sold | 1,789,607 | 4,484,988 | 3,115,181 | 6,025,256 | ||||
Shares reinvested | 456,714 | 1,239,603 | 345,262 | 972,786 | ||||
Shares redeemed | (1,368,515) | (5,081,411) | (1,814,211) | (8,399,243) | ||||
Net increase (decrease) | 877,806 | 643,180 | 1,646,232 | (1,401,201) | ||||
Balanced Allocation | ||||||||
Shares sold | 3,094,219 | 3,693,466 | 6,048,706 | 3,807,383 | ||||
Shares reinvested | 2,070,923 | 5,088,637 | 1,679,755 | 4,353,835 | ||||
Shares redeemed | (3,187,287) | (9,005,150) | (3,762,664) | (14,949,314) | ||||
Net increase (decrease) | 1,977,855 | (223,047) | 3,965,797 | (6,788,096) | ||||
Growth Allocation | ||||||||
Shares sold | 1,687,894 | 2,458,447 | 6,985,174 | 2,555,985 | ||||
Shares reinvested | 2,118,339 | 4,513,988 | 1,523,051 | 3,326,240 | ||||
Shares redeemed | (2,493,913) | (6,321,515) | (3,351,456) | (12,391,878) | ||||
Net increase (decrease) | 1,312,320 | 650,920 | 5,156,769 | (6,509,653) | ||||
Aggressive Allocation | ||||||||
Shares sold | 1,550,024 | 1,747,896 | 3,705,297 | 2,019,950 | ||||
Shares reinvested | 1,764,819 | 4,706,171 | 1,334,823 | 3,803,971 | ||||
Shares redeemed | (1,782,441) | (6,557,198) | (2,725,590) | (10,759,488) | ||||
Net increase (decrease) | 1,532,402 | (103,131) | 2,314,530 | (4,935,567) | ||||
Money Market | ||||||||
Shares sold | 6,595,566,663 | 478,461,978 | 6,163,830,443 | 592,641,014 | ||||
Shares reinvested | — | — | 956,522 | 1,146,593 | ||||
Shares redeemed | (6,609,506,460) | (503,905,897) | (5,900,852,960) | (510,679,540) | ||||
Net increase (decrease) | (13,939,797) | (25,443,919) | 263,934,005 | 83,108,067 | ||||
Low-Duration Bond | ||||||||
Shares sold | 12,297,352 | 4,121,869 | 13,014,811 | 6,641,741 | ||||
Shares reinvested | 660,541 | 133,558 | 977,656 | 259,595 | ||||
Shares redeemed | (11,092,405) | (4,237,065) | (10,491,843) | (6,615,258) | ||||
Net increase (decrease) | 1,865,488 | 18,362 | 3,500,624 | 286,078 |
Year Ended 12/31/21 | Year Ended 12/31/20 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
Medium-Duration Bond | ||||||||
Shares sold | 30,002,575 | 8,924,700 | 23,174,330 | 11,372,906 | ||||
Shares reinvested | 2,496,653 | 492,007 | 4,833,083 | 1,102,570 | ||||
Shares redeemed | (11,091,537) | (5,852,084) | (17,808,905) | (6,032,291) | ||||
Net increase (decrease) | 21,407,691 | 3,564,623 | 10,198,508 | 6,443,185 | ||||
Global Bond | ||||||||
Shares sold | 8,076,227 | 3,182,942 | 4,679,608 | 3,717,306 | ||||
Shares reinvested | 1,844,923 | 416,321 | 748,219 | 167,753 | ||||
Shares redeemed | (2,909,811) | (2,594,597) | (9,666,069) | (4,803,998) | ||||
Net increase (decrease) | 7,011,339 | 1,004,666 | (4,238,242) | (918,939) | ||||
Defensive Market Strategies® | ||||||||
Shares sold | 6,902,932 | 5,231,876 | 8,837,431 | 8,553,413 | ||||
Shares reinvested | 7,183,992 | 3,045,077 | 2,102,310 | 863,559 | ||||
Shares redeemed | (6,285,174) | (5,409,566) | (5,938,430) | (15,047,761) | ||||
Net increase (decrease) | 7,801,750 | 2,867,387 | 5,001,311 | (5,630,789) | ||||
Global Impact Fund(1) | ||||||||
Shares sold | 13,898,564 | 2,857,207 | ||||||
Shares reinvested | 98,040 | 13,964 | ||||||
Shares redeemed | (715,315) | (92,096) | ||||||
Net increase (decrease) | 13,281,289 | 2,779,075 | ||||||
Equity Index | ||||||||
Shares sold | 6,459,229 | 2,714,850 | 7,172,193 | 4,028,675 | ||||
Shares reinvested | 1,550,151 | 580,780 | 1,094,506 | 407,965 | ||||
Shares redeemed | (3,920,446) | (2,392,583) | (7,203,880) | (4,783,978) | ||||
Net increase (decrease) | 4,088,934 | 903,047 | 1,062,819 | (347,338) | ||||
Value Equity | ||||||||
Shares sold | 2,429,719 | 3,353,149 | 7,795,853 | 1,777,945 | ||||
Shares reinvested | 5,205,254 | 2,284,610 | 1,118,804 | 427,101 | ||||
Shares redeemed | (8,502,943) | (2,853,079) | (6,309,723) | (4,638,934) | ||||
Net increase (decrease) | (867,970) | 2,784,680 | 2,604,934 | (2,433,888) | ||||
Growth Equity | ||||||||
Shares sold | 2,838,191 | 2,248,238 | 4,120,060 | 5,586,233 | ||||
Shares reinvested | 6,350,653 | 5,774,226 | 4,898,291 | 4,462,768 | ||||
Shares redeemed | (6,916,409) | (6,366,272) | (9,884,270) | (7,786,124) | ||||
Net increase (decrease) | 2,272,435 | 1,656,192 | (865,919) | 2,262,877 | ||||
Small Cap Equity | ||||||||
Shares sold | 3,728,451 | 3,807,008 | 5,631,789 | 1,898,770 | ||||
Shares reinvested | 3,780,241 | 2,611,136 | 253,228 | 161,944 | ||||
Shares redeemed | (3,876,671) | (2,771,764) | (4,462,268) | (4,061,625) | ||||
Net increase (decrease) | 3,632,021 | 3,646,380 | 1,422,749 | (2,000,911) |
Year Ended 12/31/21 | Year Ended 12/31/20 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
International Equity Index | ||||||||
Shares sold | 10,004,669 | 12,672,824 | ||||||
Shares reinvested | 3,598,778 | 1,293,518 | ||||||
Shares redeemed | (12,093,750) | (12,004,967) | ||||||
Net increase (decrease) | 1,509,697 | 1,961,375 | ||||||
International Equity | ||||||||
Shares sold | 3,523,313 | 2,489,465 | 7,361,947 | 4,542,828 | ||||
Shares reinvested | 5,146,144 | 1,834,359 | 698,441 | 248,191 | ||||
Shares redeemed | (8,391,353) | (3,674,758) | (11,713,326) | (6,717,160) | ||||
Net increase (decrease) | 278,104 | 649,066 | (3,652,938) | (1,926,141) | ||||
Emerging Markets Equity | ||||||||
Shares sold | 13,190,047 | 3,838,437 | 15,079,591 | 3,378,715 | ||||
Shares reinvested | 7,911,253 | 1,221,571 | 524,454 | 69,903 | ||||
Shares redeemed | (9,678,323) | (2,416,761) | (4,887,986) | (3,050,235) | ||||
Net increase (decrease) | 11,422,977 | 2,643,247 | 10,716,059 | 398,383 | ||||
Global Real Estate Securities | ||||||||
Shares sold | 2,223,392 | 2,568,833 | 3,516,750 | 1,923,142 | ||||
Shares reinvested | 1,199,318 | 600,819 | 485,813 | 244,982 | ||||
Shares redeemed | (2,981,327) | (1,458,760) | (1,093,397) | (3,814,177) | ||||
Net increase (decrease) | 441,383 | 1,710,892 | 2,909,166 | (1,646,053) | ||||
Strategic Alternatives | ||||||||
Shares sold | 4,924,640 | 709,263 | 3,501,927 | 1,381,827 | ||||
Shares reinvested | 458,724 | 52,746 | 437,942 | 71,618 | ||||
Shares redeemed | (3,836,192) | (1,535,551) | (7,675,637) | (2,384,115) | ||||
Net increase (decrease) | 1,547,172 | (773,542) | (3,735,768) | (930,670) |
(1) | For the period January 29, 2021 (commencement of operations) through December 31, 2021. |
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
MyDestination 2015 | 2021 | $16,366,140 | $ 22,651,767 | $— | $ 39,017,907 | |||||
2020 | 12,565,070 | 12,607,570 | — | 25,172,640 | ||||||
MyDestination 2025 | 2021 | 40,508,972 | 44,139,652 | — | 84,648,624 | |||||
2020 | 27,713,188 | 32,209,350 | — | 59,922,538 | ||||||
MyDestination 2035 | 2021 | 33,393,700 | 41,638,226 | — | 75,031,926 | |||||
2020 | 17,996,374 | 17,071,606 | — | 35,067,980 | ||||||
MyDestination 2045 | 2021 | 26,310,514 | 32,873,431 | — | 59,183,945 | |||||
2020 | 12,069,806 | 8,891,954 | — | 20,961,760 | ||||||
MyDestination 2055 | 2021 | 10,461,781 | 12,177,927 | — | 22,639,708 | |||||
2020 | 4,190,065 | 2,627,172 | — | 6,817,237 | ||||||
Conservative Allocation | 2021 | 9,264,362 | 11,278,760 | — | 20,543,122 | |||||
2020 | 8,066,854 | 7,767,774 | — | 15,834,628 | ||||||
Balanced Allocation | 2021 | 41,868,787 | 52,429,849 | — | 94,298,636 | |||||
2020 | 28,506,102 | 49,210,305 | — | 77,716,407 | ||||||
Growth Allocation | 2021 | 38,017,659 | 54,761,306 | — | 92,778,965 | |||||
2020 | 17,369,914 | 46,300,306 | — | 63,670,220 | ||||||
Aggressive Allocation | 2021 | 38,902,102 | 52,142,935 | — | 91,045,037 | |||||
2020 | 8,916,496 | 56,673,604 | — | 65,590,100 | ||||||
Money Market | 2021 | — | — | — | — | |||||
2020 | 5,470,866 | — | — | 5,470,866 | ||||||
Low-Duration Bond | 2021 | 10,274,701 | 481,506 | — | 10,756,207 | |||||
2020 | 16,775,256 | — | — | 16,775,256 | ||||||
Medium-Duration Bond | 2021 | 43,133,548 | 2,553,507 | — | 45,687,055 | |||||
2020 | 75,884,836 | 17,168,953 | — | 93,053,789 | ||||||
Global Bond | 2021 | 18,993,319 | 3,532,184 | — | 22,525,503 | |||||
2020 | 5,241,240 | 3,452,155 | — | 8,693,395 | ||||||
Defensive Market Strategies® | 2021 | 61,857,721 | 84,527,216 | — | 146,384,937 | |||||
2020 | 23,036,188 | 17,204,915 | — | 40,241,103 | ||||||
Global Impact Fund | 2021 | 736,151 | 481,606 | — | 1,217,757 |
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
Equity Index | 2021 | $40,916,918 | $ 62,439,120 | $— | $103,356,038 | |||||
2020 | 35,622,071 | 21,573,380 | — | 57,195,451 | ||||||
Value Equity | 2021 | 53,580,516 | 104,857,148 | — | 158,437,664 | |||||
2020 | 19,235,843 | 5,328,149 | — | 24,563,992 | ||||||
Growth Equity | 2021 | 13,290,950 | 351,980,455 | — | 365,271,405 | |||||
2020 | 7,209,774 | 268,265,100 | — | 275,474,874 | ||||||
Small Cap Equity | 2021 | 63,621,325 | 58,500,598 | — | 122,121,923 | |||||
2020 | 141,264 | 7,359,533 | — | 7,500,797 | ||||||
International Equity Index | 2021 | 24,814,894 | 18,694,988 | — | 43,509,882 | |||||
2020 | 14,997,073 | — | — | 14,997,073 | ||||||
International Equity | 2021 | 49,827,532 | 54,284,848 | — | 104,112,380 | |||||
2020 | 12,000,055 | 1,905,316 | — | 13,905,371 | ||||||
Emerging Markets Equity | 2021 | 44,331,334 | 53,668,789 | — | 98,000,123 | |||||
2020 | 7,195,743 | — | — | 7,195,743 | ||||||
Global Real Estate Securities | 2021 | 16,177,915 | 4,012,374 | — | 20,190,289 | |||||
2020 | 6,343,774 | — | — | 6,343,774 | ||||||
Strategic Alternatives | 2021 | 4,747,893 | 493,166 | — | 5,241,059 | |||||
2020 | 5,034,145 | 39,191 | — | 5,073,336 |
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Qualified Late Year Losses | Net Unrealized Appreciation Depreciation | ||||
MyDestination 2015 | $ 257,111 | $ 13,245,720 | $ — | $ 62,994,835 | ||||
MyDestination 2025 | 612,220 | 34,356,542 | — | 205,393,659 | ||||
MyDestination 2035 | 672,419 | 32,587,635 | — | 218,443,599 | ||||
MyDestination 2045 | 743,999 | 28,337,200 | — | 211,021,785 | ||||
MyDestination 2055 | 257,479 | 11,505,126 | — | 75,598,682 | ||||
Conservative Allocation | 146,141 | 11,999,506 | — | 18,164,135 | ||||
Balanced Allocation | 634,889 | 63,533,258 | — | 72,619,171 | ||||
Growth Allocation | 772,142 | 81,735,315 | — | 77,441,041 | ||||
Aggressive Allocation | 1,074,804 | 102,159,450 | — | 68,614,401 | ||||
Money Market | 6,949 | — | — | — | ||||
Low-Duration Bond | 535,388 | — | (1,493,460) | (4,745,940) | ||||
Medium-Duration Bond | — | — | (2,510,520) | 19,583,781 | ||||
Global Bond | 69,075 | 323,287 | (1,356,507) | (9,836,522) | ||||
Defensive Market Strategies® | 16,581,189 | 186,894,401 | — | 62,313,792 | ||||
Global Impact Fund | 370,218 | — | (57,274) | 14,971,035 | ||||
Equity Index | 1,964,677 | 21,048,481 | — | 1,567,609,576 | ||||
Value Equity | 2,194,089 | 19,805,269 | — | 293,671,126 | ||||
Growth Equity | 1,197,031 | 63,602,721 | — | 757,223,458 | ||||
Small Cap Equity | 1,233,863 | 13,631,809 | — | 162,536,687 | ||||
International Equity Index | 1,756,139 | 2,765,624 | — | 122,494,868 | ||||
International Equity | 2,739,083 | 1,252,957 | — | 179,734,590 | ||||
Emerging Markets Equity | — | — | (8,169,353) | 65,377,056 | ||||
Global Real Estate Securities | 979,972 | 3,604,566 | — | 46,739,444 |
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Qualified Late Year Losses | Net Unrealized Appreciation Depreciation | ||||
Strategic Alternatives | $ 5,492,945 | $ 644,482 | $ — | $ 1,228,944 |
Fund | Unlimited | |
Medium-Duration Bond | $6,312,090 |
Fund | Carryforward Utilized | |
International Equity Index | $ 6,911,397 | |
International Equity | 9,212,708 | |
Global Real Estate Securities | 18,847,410 | |
Strategic Alternatives | 7,356,834 | |
Fund | Capital | Ordinary Income | Total | |||
Low-Duration Bond | $1,493,460 | $ — | $1,493,460 | |||
Medium-Duration Bond | — | 2,510,549 | 2,510,549 | |||
Global Bond | — | 1,356,507 | 1,356,507 | |||
Global Impact Fund | 57,274 | — | 57,274 | |||
Emerging Markets Equity | 5,155,498 | 3,013,855 | 8,169,353 |
Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Investments | Depreciated Investments | ||||
MyDestination 2015 | $ 683,588,032 | $ 62,994,835 | $ 63,938,742 | $ (943,907) | ||||
MyDestination 2025 | 1,580,941,635 | 205,393,659 | 207,656,363 | (2,262,704) | ||||
MyDestination 2035 | 1,210,460,650 | 218,443,599 | 221,026,528 | (2,582,929) | ||||
MyDestination 2045 | 902,648,098 | 211,021,785 | 212,352,799 | (1,331,014) | ||||
MyDestination 2055 | 365,294,879 | 75,598,682 | 76,675,382 | (1,076,700) | ||||
Conservative Allocation | 551,786,606 | 18,164,135 | 18,856,463 | (692,328) | ||||
Balanced Allocation | 1,638,799,197 | 72,619,171 | 77,833,388 | (5,214,217) | ||||
Growth Allocation | 1,330,623,760 | 77,441,042 | 79,554,139 | (2,113,097) |
Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Investments | Depreciated Investments | ||||
Aggressive Allocation | $1,166,408,705 | $ 68,614,401 | $ 68,614,401 | $ — | ||||
Money Market | 1,642,985,821 | (2) | (2) | — | ||||
Low-Duration Bond | 1,103,775,804 | (4,915,163) | 6,928,085 | (11,843,248) | ||||
Medium-Duration Bond | 2,545,878,898 | 19,378,111 | 58,560,247 | (39,182,136) | ||||
Global Bond | 642,431,405 | (9,658,298) | 19,522,344 | (29,180,642) | ||||
Defensive Market Strategies® | 1,460,095,480 | 62,307,588 | 77,233,316 | (14,925,728) | ||||
Global Impact Fund | 159,673,554 | 14,971,020 | 21,669,323 | (6,698,303) | ||||
Equity Index | 1,765,858,347 | 1,567,609,576 | 1,613,128,149 | (45,518,573) | ||||
Value Equity | 1,115,089,090 | 293,671,126 | 315,468,246 | (21,797,120) | ||||
Growth Equity | 1,338,246,631 | 757,223,458 | 785,498,457 | (28,274,999) | ||||
Small Cap Equity | 726,105,597 | 162,536,687 | 206,307,149 | (43,770,462) | ||||
International Equity Index | 711,789,980 | 122,421,717 | 164,730,127 | (42,308,410) | ||||
International Equity | 1,132,291,663 | 179,767,613 | 224,114,991 | (44,347,378) | ||||
Emerging Markets Equity | 751,588,904 | 66,391,493 | 124,060,979 | (57,669,486) | ||||
Global Real Estate Securities | 288,980,959 | 46,738,260 | 51,257,729 | (4,519,469) | ||||
Strategic Alternatives | 303,024,746 | 1,230,777 | 7,807,124 | (6,576,347) |
Fund | Ordinary Income | Long-Term Capital Gain (20% rate) | Return of Capital | |||
MyDestination 2015 | $ 16,366,140 | $ 22,651,767 | $ — | |||
MyDestination 2025 | 40,508,972 | 44,139,652 | — | |||
MyDestination 2035 | 33,393,700 | 41,638,226 | — | |||
MyDestination 2045 | 26,310,514 | 32,873,431 | — | |||
MyDestination 2055 | 10,461,781 | 12,177,927 | — | |||
Conservative Allocation | 9,264,362 | 11,278,760 | — | |||
Balanced Allocation | 41,868,787 | 52,429,849 | — | |||
Growth Allocation | 38,017,659 | 54,761,306 | — | |||
Aggressive Allocation | 38,902,102 | 52,142,935 | — | |||
Money Market | — | — | — | |||
Low-Duration Bond | 10,274,701 | 481,506 | — | |||
Medium-Duration Bond | 43,133,548 | 2,553,507 | — | |||
Global Bond | 18,993,319 | 3,532,184 | — | |||
Defensive Market Strategies® | 61,857,721 | 84,527,216 | — | |||
Global Impact Fund | 736,151 | 481,606 | — | |||
Equity Index | 40,916,918 | 62,439,120 | — | |||
Value Equity | 53,580,516 | 104,857,148 | — | |||
Growth Equity | 13,290,950 | 351,980,455 | — | |||
Small Cap Equity | 63,621,325 | 58,500,598 | — | |||
International Equity Index | 24,814,894 | 18,694,988 | — | |||
International Equity | 49,827,532 | 54,284,848 | — | |||
Emerging Markets Equity | 44,331,334 | 53,668,789 | — | |||
Global Real Estate Securities | 16,177,915 | 4,012,374 | — | |||
Strategic Alternatives | 4,747,893 | 493,166 | — | |||
Fund | Qualified Dividend Income | Qualified Short Term | ||
MyDestination 2015 | 26.03 % | — % | ||
MyDestination 2025 | 31.69 % | — % | ||
MyDestination 2035 | 42.73 % | — % | ||
MyDestination 2045 | 50.74 % | — % | ||
MyDestination 2055 | 52.99 % | — % | ||
Conservative Allocation | 21.53 % | — % | ||
Balanced Allocation | 25.48 % | — % | ||
Growth Allocation | 35.13 % | — % | ||
Aggressive Allocation | 41.78 % | — % | ||
Global Bond | 0.70 % | — % | ||
Defensive Market Strategies® | 100.00 % | 5.72 % | ||
Global Impact Fund | 100.00 % | 100.00 % | ||
Equity Index | 100.00 % | 35.72 % | ||
Value Equity | 100.00 % | 6.64 % | ||
Growth Equity | — % | 70.42 % | ||
Small Cap Equity | 100.00 % | 8.38 % | ||
International Equity Index | 75.52 % | — % | ||
International Equity | 100.00 % | 14.75 % | ||
Emerging Markets Equity | 100.00 % | 12.73 % | ||
Global Real Estate Securities | 16.65 % | — % | ||
Strategic Alternatives | 50.05 % | — % | ||
Fund | Long Term Capital Gain Rate |
MyDestination 2015 | $0.3528 |
MyDestination 2025 | 0.2983 |
MyDestination 2035 | 0.3680 |
MyDestination 2045 | 0.3776 |
MyDestination 2055 | 0.5001 |
Conservative Allocation | 0.2453 |
Balanced Allocation | 0.4201 |
Growth Allocation | 0.5738 |
Aggressive Allocation | 0.6293 |
Low-Duration Bond | 0.0061 |
Global Bond | 0.0566 |
Defensive Market Strategies® | 0.7299 |
Global Impact Fund | 0.3020 |
Equity Index | 0.5663 |
Value Equity | 1.5788 |
Growth Equity | 5.2420 |
Small Cap Equity | 1.5220 |
International Equity Index | 0.2856 |
International Equity | 0.6490 |
Global Real Estate Securities | 0.1439 |
Strategic Alternatives | 0.0152 |
Name, (Year of Birth), Address and Position(s) with Trust | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ Directorships Held by Trustee2 |
INDEPENDENT TRUSTEES | ||||
Thomas G. Evans (1961) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2020 | President and Owner, Encompass Financial Services, Inc., 1985 – present; Trustee, GuideStone Financial Resources, 2010 – 2018. | 24 | None |
William Craig George (1958) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2004 | Senior Vice President and Regional Credit Officer, First National Bank, 2017 – present. | 24 | None |
Barry D. Hartis (1945) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2014 | Retired – Certified Public Accountant, 1975 – 2021. | 24 | None |
Grady R. Hazel (1947) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2011 | Chief Financial Officer, The Dunham School, 2015 – present; Certified Public Accountant, 1978 – present. | 24 | None |
David B. McMillan (1957) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2019 | Chief Executive Officer and Founder, Peridot Energy LLC, 2008 – present; Trustee, GuideStone Financial Resources, 2010 – 2018; Trustee, GuideStone Investment Services and GuideStone Resource Management, Inc., 2014 – 2018. | 24 | None |
Franklin R. Morgan (1943) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2005 | Retired – Senior Vice President, Director of International Administration, Prudential Securities, Inc., 1962 – 2003. | 24 | None |
Ronald D. Murff (1953) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2019 | President, JKL Group, LLC, 2010 – present; Principal, Dalcor Companies, 2012 – present. | 24 | None |
INTERESTED TRUSTEES3 | ||||
David Cox, Sr. (1972) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2020 | Supply Chain Manager, Penske Logistics, Inc., 2004 – present. | 24 | None |
Randall T. Hahn, D.Min. (1965) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2018 | Senior Pastor, The Heights Baptist Church, 2002 – present. | 24 | None |
Name, (Year of Birth), Address and Position(s) with Trust | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ Directorships Held by Trustee2 |
OFFICERS WHO ARE NOT TRUSTEES4 | ||||
Melanie Childers (1971) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Vice President – Fund Operations and Secretary | Since 20145 | Managing Director, Fund Operations, GuideStone Financial Resources, 2014 – present. | N/A | N/A |
John R. Jones (1953) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 President | Since 2000 | Executive Vice President and Chief Operating Officer, GuideStone Financial Resources, 1997 – present. | N/A | N/A |
Patrick Pattison (1974) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Vice President and Treasurer | Since 2008 | Chief Accounting Officer, GuideStone Financial Resources, 2015 – present. | N/A | N/A |
Brandon Pizzurro (1981) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Vice President and Investment Officer | Since 2021 | Director of Public Investments, GuideStone Financial Resources, 2021 – present; Portfolio Manager, GuideStone Financial Resources, 2019 - 2021; Senior Investment Analyst, GuideStone Financial Resources, 2017 – 2019. | N/A | N/A |
David S. Spika (1964) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Executive Vice President | Since 2019 | Vice President and Chief Investment Officer GuideStone Financial Resources, 2021 – present; Vice President and Chief Strategic Investment Officer, GuideStone Financial Resources, 2016 – 2021. | N/A | N/A |
Brandon Waldeck (1977) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 AML Compliance Officer | Since 2020 | Senior Manager – Fraud Risk, GuideStone Financial Resources, 2019 – present; Director of Ethics Office Trade Monitoring, Fidelity Investments, 2001 – 2019. | N/A | N/A |
Matthew A. Wolfe (1982) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Chief Compliance Officer and Chief Legal Officer | Since 20176 | Managing Director, Compliance and Legal, GuideStone Financial Resources, 2020 – present; Associate Counsel – Investment and Corporate Services, GuideStone Financial Resources, 2015 – 2020. | N/A | N/A |
Erin Wynne (1981) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Assistant Treasurer | Since 2016 | Director, Financial Reporting & Analysis, GuideStone Financial Resources, 2015 – present. | N/A | N/A |
GuideStone Financial Resources.
Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
Money Market | BlackRock Advisors, LLC | 1994 | $10.0Tr | |||
Low-Duration Bond | BlackRock Financial Management, Inc.(1) | 1994 | $10.0Tr | |||
Pacific Investment Management Company LLC | 1971 | $2.2Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $428.9B | ||||
Payden & Rygel | 1983 | $151.6B | ||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $2.2Tr | |||
Pacific Investment Management Company LLC | 1971 | $2.2Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $428.9B | ||||
Western Asset Management Company, LLC | 1971 | $492.4B | ||||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $363.1B | |||
Neuberger Berman Investment Advisers LLC | 2002 | $460.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $428.9B | ||||
Western Asset Management Company, LLC | 1971 | $492.4B | ||||
Defensive Market Strategies® | American Century Investment Management, Inc. | 1958 | $246.9B | |||
Neuberger Berman Investment Advisers LLC | 2002 | $460.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $428.9B | ||||
PGIM Quantitative Solutions LLC | 1975 | $116.4B | ||||
Shenkman Capital Management, Inc. | 1985 | $30.9B | ||||
Global Impact | Janus Capital Management LLC | 1969 | $432.0B | |||
Parametric Portfolio Associates LLC | 1987 | $428.9B | ||||
RBC Global Asset Management (U.S.) Inc. | 1983 | $63.2B | ||||
Equity Index | Legal & General Investment Management America, Inc. | 2006 | $275.0B | |||
Value Equity | American Century Investment Management, Inc. | 1958 | $246.9B | |||
Barrow, Hanley, Mewhinney & Strauss, LLC | 1979 | $50.6B | ||||
The London Company of Virginia, LLC | 1994 | $17.1B | ||||
Parametric Portfolio Associates LLC | 1987 | $428.9B | ||||
TCW Investment Management Company LLC | 1971 | $264.5B | ||||
Growth Equity | Brown Advisory, LLC | 1993 | $79.7B | |||
ClearBridge Investments, LLC | 2005 | $208.3B | ||||
Loomis, Sayles & Company, L.P. | 1926 | $363.1B | ||||
Parametric Portfolio Associates LLC | 1987 | $428.9B | ||||
Sands Capital Management, LLC | 1992 | $73.1B | ||||
Small Cap Equity | American Century Investment Management, Inc. | 1958 | $246.9B | |||
Delaware Investments Fund Advisers | 1929 | $545.7B | ||||
Jacobs Levy Equity Management, Inc. | 1986 | $14.7B | ||||
Parametric Portfolio Associates LLC | 1987 | $428.9B | ||||
TimesSquare Capital Management, LLC | 2000 | $15.1B | ||||
International Equity Index | Legal & General Investment Management America, Inc. | 2006 | $275.0B | |||
International Equity | Altrinsic Global Advisors, LLC | 2000 | $10.5B | |||
AQR Capital Management, LLC | 1998 | $123.5B | ||||
Harris Associates L.P. | 1976 | $123.8B | ||||
MFS Institutional Advisors, Inc. | 1924 | $692.6B | ||||
Parametric Portfolio Associates LLC | 1987 | $428.9B | ||||
WCM Investment Management, LLC | 1976 | $107.5B | ||||
Emerging Markets Equity | AQR Capital Management, LLC | 1998 | $123.5B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $2.2Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $428.9B | ||||
RBC Global Asset Management (UK) Limited | 2013 | $71.7B | ||||
Wellington Management Company LLP | 1928 | $1.4B | ||||
Global Real Estate Securities | Heitman Real Estate Securities, LLC | 1989 | $51.0B | |||
RREEF America L.L.C. | 1975 | $86.5B | ||||
Strategic Alternatives Fund | AQR Capital Management, LLC | 1998 | $123.5B | |||
Forward Management, LLC (d/b/a Salient) | 1998 | $1.7B |
Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
Broadmark Asset Management LLC | 1999 | $1.4B | ||||
Goldman Sachs Asset Management, L.P. | 1984 | $2.2Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $428.9B | ||||
P/E Global LLC | 2000 | $14.9B | ||||
SSI Investment Management LLC | 1973 | $2.6B | ||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $12.6Tr | |||
Cash Overlay for All Funds, except the Money Market Fund | Parametric Portfolio Associates LLC | 1987 | $428.9B |
Item 1. Reports to Stockholders (cont.).
(b) | Not applicable. |
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of directors has determined that Grady R. Hazel is qualified to serve as an audit committee financial expert serving on its audit committee and that he is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $791,260 and $815,000 for 2020 and 2021, respectively. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 and $0 for 2020 and 2021, respectively. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $123,260 and $139,000 for 2020 and 2021, respectively. Tax fees are related to tax services in connection with Funds’ excise tax calculations and review of the Funds’ applicable tax returns. |
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $19,975 and $0 for 2020 and 2021, respectively. $19,975 of fees were for tax and accounting services rendered to implement a change in accounting method for the Defensive Market Strategies Fund. |
(e)(1) | The policy of the registrant’s Audit Committee is to pre-approve all permissible non-audit services (e.g., tax services) to be provided to the registrant by the Auditors, including the fees therefor; provided, that if the Committee chooses to delegate the authority to grant pre-approvals to one or more Committee members, each acting on behalf of the Committee, then the Committee shall adopt policies and procedures detailed as to the particular service and designed to safeguard the continued independence of the auditors, consistent with the requirements of the Sarbanes-Oxley Act of 2002 (the “S-O Act”) and related SEC regulations, which shall then be used in making such pre-approvals; and, further provided, that each delegated pre-approval shall be reported to the Committee during its next regularly scheduled meeting. |
The pre-approval requirement for a permitted non-audit service may be waived if:
(1) | the aggregate amount of all such non-audit services provided constitutes not more than 5% of the total revenues paid by the registrant to the Auditors in the fiscal year in which the non-audit services are provided; |
(2) | such services were not recognized by the registrant at the time of the engagement to be non-audit services; and |
(3) | such services are promptly brought to the attention of, and approved by, the Audit Committee or by a member of the Audit Committee to whom the Committee has delegated the authority to grant such approvals, if any, prior to the Auditors’ completion of the registrant’s audit. |
Additionally, if the Auditors’ engagement relates directly to the operations and financial reporting of the registrant, to the extent required by Rule 2-01 of Regulation S-X, the Audit Committee shall pre-approve their engagements for non-audit services with:
(1) | the registrant’s investment adviser (the “Adviser”) (excluding any subadviser whose role is primarily portfolio management and is sub-contracted or overseen by the Adviser), and |
(2) | any entity controlling, controlled by, or under common control with such Adviser that provides ongoing services to the registrant (each, a “Control Entity”), |
in accordance with the foregoing paragraph, unless the aggregate amount of all services provided constitutes no more than 5% of the total amount of revenues paid to the Auditors by the registrant, the Adviser and any such Control Entity during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee pursuant to this paragraph (in the absence of this exception). The Auditors may not perform contemporaneously any prohibited non-audit services for the registrant, which currently include the following:
1. bookkeeping or other services related to the accounting records or financial statements of the registrant;
2. financial information systems design and implementation;
3. appraisal or valuation services, fairness opinions, or contribution-in-kind reports;
4. actuarial services;
5. internal audit outsourcing services;
6. management functions or human resources;
7. broker or dealer, investment adviser, or investment banking services;
8. legal services and expert services unrelated to the audit; and
9. any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) | Not applicable |
(c) | 100% |
(d) | 100% |
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant was $166,760 and $139,000 for 2020 and 2021, respectively; for services rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) was $0 and $0 for 2020 and 2021, respectively, and for services rendered to GuideStone Financial Resources was $75,000 and $130,000 for 2020 and 2021, respectively. |
(h) | The registrant’s audit committee of the board of directors has not considered whether the provision of non-audit services that were rendered to any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
(i) | Not applicable. |
(j) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(2) |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | GuideStone Funds |
By (Signature and Title)* | /s/ John R. Jones | |
John R. Jones, President | ||
(Principal Executive Officer) |
Date | March 4, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ John R. Jones | |
John R. Jones, President | ||
(Principal Executive Officer) |
Date | March 4, 2022 |
By (Signature and Title)* | /s/ Patrick Pattison | |
Patrick Pattison, Vice President and Treasurer | ||
(Principal Financial Officer) |
Date | March 4, 2022 |
* | Print the name and title of each signing officer under his or her signature. |