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: June 30, 2022
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 | 1 st Quarter 2022 Return | 2 nd Quarter 2022 Return | YTD Returns as of June 30, 2022 |
U.S. Equities | |||
S&P 500® | -4.60% | -16.10% | -19.96% |
Russell 2000® | -7.53% | -17.20% | -23.43% |
International Equities | |||
MSCI EAFE | -5.91% | -14.51% | -19.57% |
MSCI Emerging Markets | -6.97% | -11.45% | -17.63% |
U.S. Fixed Income | |||
Bloomberg US Aggregate | -5.93% | -4.69% | -10.35% |
Bloomberg US High Yield Corporate | -4.84% | -9.83% | -14.19% |
Global Fixed Income | |||
Bloomberg Global Aggregate Bond | -6.16% | -8.26% | -13.91% |
President and Chief Investment Officer
GuideStone Capital Management, LLC
Actual | ||||||||||
Fund | Class | Beginning Account Value 01/01/22 | Ending Account Value 06/30/22 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $ 1,000.00 | $ 868.30 | 0.12% | $ 0.55 | |||||
Investor | 1,000.00 | 867.40 | 0.37 | 1.71 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 852.60 | 0.11 | 0.51 | |||||
Investor | 1,000.00 | 851.80 | 0.36 | 1.66 | ||||||
MyDestination 2035 | Institutional | 1,000.00 | 826.70 | 0.12 | 0.56 | |||||
Investor | 1,000.00 | 825.00 | 0.38 | 1.70 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 812.40 | 0.13 | 0.58 | |||||
Investor | 1,000.00 | 811.40 | 0.38 | 1.71 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 808.30 | 0.17 | 0.76 | |||||
Investor | 1,000.00 | 807.30 | 0.42 | 1.88 | ||||||
Conservative Allocation | Institutional | 1,000.00 | 898.30 | 0.15 | 0.73 | |||||
Investor | 1,000.00 | 897.40 | 0.41 | 1.91 | ||||||
Balanced Allocation | Institutional | 1,000.00 | 841.90 | 0.12 | 0.57 | |||||
Investor | 1,000.00 | 841.00 | 0.38 | 1.73 | ||||||
Growth Allocation | Institutional | 1,000.00 | 809.10 | 0.13 | 0.57 | |||||
Investor | 1,000.00 | 807.50 | 0.38 | 1.71 | ||||||
Aggressive Allocation | Institutional | 1,000.00 | 783.80 | 0.13 | 0.58 | |||||
Investor | 1,000.00 | 782.10 | 0.38 | 1.69 | ||||||
Money Market | Institutional | 1,000.00 | 1,001.60 | 0.12 | 0.60 | |||||
Investor | 1,000.00 | 1,000.90 | 0.27 | 1.33 |
Actual | ||||||||||
Fund | Class | Beginning Account Value 01/01/22 | Ending Account Value 06/30/22 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Low-Duration Bond | Institutional | $ 1,000.00 | $ 962.60 | 0.34 | $ 1.66 | |||||
Investor | 1,000.00 | 961.60 | 0.61 | 2.97 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 877.20 | 0.37 | 1.73 | |||||
Investor | 1,000.00 | 875.50 | 0.64 | 2.99 | ||||||
Global Bond | Institutional | 1,000.00 | 861.00 | 0.57 | 2.63 | |||||
Investor | 1,000.00 | 859.20 | 0.87 | 4.01 | ||||||
Defensive Market Strategies® | Institutional | 1,000.00 | 870.50 | 0.66 | 3.06 | |||||
Investor | 1,000.00 | 869.20 | 0.92 | 4.26 | ||||||
Global Impact | Institutional | 1,000.00 | 788.10 | 0.84 | 3.72 | |||||
Investor | 1,000.00 | 786.80 | 1.22 | 5.40 | ||||||
Equity Index | Institutional | 1,000.00 | 795.90 | 0.12 | 0.55 | |||||
Investor | 1,000.00 | 794.80 | 0.39 | 1.72 | ||||||
Value Equity | Institutional | 1,000.00 | 880.60 | 0.64 | 2.97 | |||||
Investor | 1,000.00 | 879.30 | 0.90 | 4.18 | ||||||
Growth Equity | Institutional | 1,000.00 | 653.00 | 0.66 | 2.70 | |||||
Investor | 1,000.00 | 652.10 | 0.92 | 3.77 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 786.10 | 0.92 | 4.06 | |||||
Investor | 1,000.00 | 785.00 | 1.18 | 5.23 | ||||||
International Equity Index | Institutional | 1,000.00 | 800.20 | 0.21 | 0.94 | |||||
Investor (3) | 1,000.00 | 924.30 | 0.50 | 0.82 | ||||||
International Equity (4) | Institutional | 1,000.00 | 803.40 | 0.87 | 3.89 | |||||
Investor | 1,000.00 | 802.60 | 1.14 | 5.10 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 807.90 | 1.05 | 4.71 | |||||
Investor | 1,000.00 | 807.10 | 1.35 | 6.05 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 792.10 | 0.81 | 3.60 | |||||
Investor | 1,000.00 | 791.00 | 1.09 | 4.85 | ||||||
Strategic Alternatives (4) | Institutional | 1,000.00 | 984.40 | 1.15 | 5.66 | |||||
Investor | 1,000.00 | 983.40 | 1.47 | 7.23 |
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 01/01/22 | Ending Account Value 06/30/22 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $ 1,000.00 | $ 1,024.20 | 0.12% | $ 0.60 | |||||
Investor | 1,000.00 | 1,022.97 | 0.37 | 1.85 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 1,024.24 | 0.11 | 0.56 | |||||
Investor | 1,000.00 | 1,023.00 | 0.36 | 1.81 | ||||||
MyDestination 2035 | Institutional | 1,000.00 | 1,024.18 | 0.12 | 0.63 | |||||
Investor | 1,000.00 | 1,022.93 | 0.38 | 1.89 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 1,024.16 | 0.13 | 0.64 | |||||
Investor | 1,000.00 | 1,022.91 | 0.38 | 1.91 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 1,023.96 | 0.17 | 0.85 | |||||
Investor | 1,000.00 | 1,022.72 | 0.42 | 2.10 | ||||||
Conservative Allocation | Institutional | 1,000.00 | 1,024.03 | 0.15 | 0.77 |
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 01/01/22 | Ending Account Value 06/30/22 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Investor | $ 1,000.00 | $ 1,022.78 | 0.41 | $ 2.04 | ||||||
Balanced Allocation | Institutional | 1,000.00 | 1,024.18 | 0.12 | 0.63 | |||||
Investor | 1,000.00 | 1,022.92 | 0.38 | 1.90 | ||||||
Growth Allocation | Institutional | 1,000.00 | 1,024.16 | 0.13 | 0.64 | |||||
Investor | 1,000.00 | 1,022.90 | 0.38 | 1.92 | ||||||
Aggressive Allocation | Institutional | 1,000.00 | 1,024.15 | 0.13 | 0.66 | |||||
Investor | 1,000.00 | 1,022.90 | 0.38 | 1.92 | ||||||
Money Market | Institutional | 1,000.00 | 1,024.19 | 0.12 | 0.61 | |||||
Investor | 1,000.00 | 1,023.47 | 0.27 | 1.34 | ||||||
Low-Duration Bond | Institutional | 1,000.00 | 1,023.11 | 0.34 | 1.71 | |||||
Investor | 1,000.00 | 1,021.77 | 0.61 | 3.06 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 1,022.95 | 0.37 | 1.86 | |||||
Investor | 1,000.00 | 1,021.61 | 0.64 | 3.22 | ||||||
Global Bond | Institutional | 1,000.00 | 1,021.97 | 0.57 | 2.86 | |||||
Investor | 1,000.00 | 1,020.48 | 0.87 | 4.36 | ||||||
Defensive Market Strategies® | Institutional | 1,000.00 | 1,021.52 | 0.66 | 3.31 | |||||
Investor | 1,000.00 | 1,020.23 | 0.92 | 4.61 | ||||||
Global Impact | Institutional | 1,000.00 | 1,020.63 | 0.84 | 4.21 | |||||
Investor | 1,000.00 | 1,018.74 | 1.22 | 6.11 | ||||||
Equity Index | Institutional | 1,000.00 | 1,024.19 | 0.12 | 0.61 | |||||
Investor | 1,000.00 | 1,022.88 | 0.39 | 1.94 | ||||||
Value Equity | Institutional | 1,000.00 | 1,021.64 | 0.64 | 3.19 | |||||
Investor | 1,000.00 | 1,020.34 | 0.90 | 4.50 | ||||||
Growth Equity | Institutional | 1,000.00 | 1,021.53 | 0.66 | 3.30 | |||||
Investor | 1,000.00 | 1,020.24 | 0.92 | 4.60 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 1,020.25 | 0.92 | 4.59 | |||||
Investor | 1,000.00 | 1,018.93 | 1.18 | 5.92 | ||||||
International Equity Index | Institutional | 1,000.00 | 1,023.75 | 0.21 | 1.06 | |||||
Investor (3) | 1,000.00 | 1,007.64 | 0.50 | 0.85 | ||||||
International Equity (4) | Institutional | 1,000.00 | 1,020.48 | 0.87 | 4.36 | |||||
Investor | 1,000.00 | 1,019.14 | 1.14 | 5.71 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 1,019.59 | 1.05 | 5.26 | |||||
Investor | 1,000.00 | 1,018.10 | 1.35 | 6.76 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 1,020.78 | 0.81 | 4.06 | |||||
Investor | 1,000.00 | 1,019.38 | 1.09 | 5.47 | ||||||
Strategic Alternatives (4) | Institutional | 1,000.00 | 1,019.09 | 1.15 | 5.76 | |||||
Investor | 1,000.00 | 1,017.50 | 1.47 | 7.35 |
INVESTMENT ABBREVIATIONS: | ||
10Y | — | 10 Year |
12Y | — | 12 Year |
1M | — | 1 Month |
1Y | — | 1 Year |
2M | — | 2 Month |
3M | — | 3 Month |
5Y | — | 5 Year |
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 |
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) |
iTraxx | — | A group of international credit derivative indexes that are monitored by the International Index Company (IIC). iTraxx indexes cover credit derivatives markets in Europe, Asia and Australia |
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 |
MMY | — | Money Market Yield |
MSCI | — | Morgan Stanley Capital International |
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 |
SDR | — | Special Drawing Rights |
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 |
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 June 30, 2022, 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 | $346,704,669 | 33.44% | ||
Medium-Duration Bond | 446,073,915 | 22.36 | ||
Global Bond | 88,195,775 | 16.81 | ||
Defensive Market Strategies® | 43,458,984 | 3.45 | ||
Global Impact Fund | 7,043,866 | 5.69 | ||
International Equity Index | 9,603,737 | 1.29 | ||
International Equity | 15,925,521 | 1.60 | ||
Emerging Markets Equity | 27,002,289 | 3.98 | ||
Global Real Estate Securities | 1,033,887 | 0.40 | ||
Strategic Alternatives | 7,465,199 | 2.21 |
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 June 30, 2022. |
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 June 30, 2022. |
∞ | — | 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 June 30, 2022 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. |
≈ | — | Unfunded loan commitment. An unfunded loan commitment is a contractual obligation for future funding at the option of the Borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. |
» | — | Zero coupon bond. |
Ψ | — | Security is valued at fair value by the Valuation Committee (see Note 2 in Notes to Financial Statements). As of June 30, 2022, 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 | $8,097,384 | 0.41% | ||
Global Bond | 1,437,055 | 0.27 | ||
Defensive Market Strategies® | 5,977,362 | 0.47 | ||
Global Impact | 888,859 | 0.72 | ||
Small Cap Equity | — | 0.00 | ||
International Equity | — | 0.00 | ||
Emerging Markets Equity | 1,101,837 | 0.16 | ||
Strategic Alternatives | 19,803 | 0.01 |
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). |
FOREIGN BOND FOOTNOTES: | ||
(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). |
(ZF) | — | Par is denominated in Thai Baht (THB). |
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. |
DEUT | — | Counterparty to contract is Deutsche Bank AG. |
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. |
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. |
Shares | Value | |||
MUTUAL FUNDS — 92.7% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 8,262,231 | $106,252,294 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 12,602,709 | 165,221,517 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 4,191,968 | 35,170,607 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 7,003,400 | 72,765,321 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 3,060,178 | 121,397,272 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 987,500 | 15,168,000 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 5,343,636 | 51,566,086 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 2,616,884 | 22,557,543 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 657,962 | 5,862,439 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,023,983 | 20,502,950 | ||
Total Mutual Funds (Cost $661,807,881) | 616,464,029 | |||
MONEY MARKET FUNDS — 1.0% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ | 6,897,481 | 6,897,481 | ||
Northern Institutional U.S. Government Portfolio (Shares), 1.12%Ø | 47,157 | 47,157 | ||
Total Money Market Funds (Cost $6,944,638) | 6,944,638 |
Par | |||
U.S. TREASURY OBLIGATIONS — 6.4% | |||
U.S. Treasury Bill | |||
0.25%, 07/07/22Ω | $1,945,000 | 1,944,758 |
Par | Value | |||
U.S. Treasury Inflationary Index Bonds | ||||
0.13%, 07/15/24 | $ 5,960,000 | $ 7,327,722 | ||
0.13%, 07/15/26 | 10,601,795 | 10,520,164 | ||
0.38%, 07/15/27 | 2,470,129 | 2,462,383 | ||
3.88%, 04/15/29 | 7,579,739 | 9,156,833 | ||
3.38%, 04/15/32 | 4,283,691 | 5,355,574 | ||
0.63%, 02/15/43 | 3,275,735 | 2,899,591 | ||
1.00%, 02/15/48 | 1,946,184 | 1,861,568 | ||
0.13%, 02/15/51 | 1,277,029 | 985,763 | ||
Total U.S. Treasury Obligations (Cost $47,062,101) | 42,514,356 | |||
TOTAL INVESTMENTS — 100.1% (Cost $715,814,620) | 665,923,023 | |||
Liabilities in Excess of Other Assets — (0.1)% | (690,712) | |||
NET ASSETS — 100.0% | $665,232,311 |
% | |
Fixed Income Select Funds | 46.1 |
U.S. Equity Select Funds | 31.4 |
Non-U.S. Equity Select Funds | 11.2 |
U.S. Treasury Obligations | 6.4 |
Alternative Select Funds | 3.1 |
Money Market Funds | 1.0 |
Real Assets Select Funds | 0.9 |
100.1 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 6,944,638 | $ 6,944,638 | $ — | $ — | |||
Mutual Funds | 616,464,029 | 616,464,029 | — | — | |||
U.S. Treasury Obligations | 42,514,356 | — | 42,514,356 | — | |||
Total Assets - Investments in Securities | $665,923,023 | $623,408,667 | $42,514,356 | $ — |
Shares | Value | |||
MUTUAL FUNDS — 96.1% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 12,247,283 | $ 157,500,063 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 29,909,687 | 392,116,001 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 10,617,143 | 89,077,832 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 19,416,626 | 201,738,745 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 9,859,437 | 391,123,863 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,158,486 | 48,514,344 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 17,146,760 | 165,466,235 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 8,225,117 | 70,900,503 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 2,038,536 | 18,163,356 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 3,314,132 | 33,572,156 | ||
Total Mutual Funds (Cost $1,665,944,451) | 1,568,173,098 | |||
MONEY MARKET FUNDS — 1.1% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ | 17,589,388 | 17,589,388 | ||
Northern Institutional U.S. Government Portfolio (Shares), 1.12%Ø | 60,727 | 60,727 | ||
Total Money Market Funds (Cost $17,650,115) | 17,650,115 |
Par | |||
U.S. TREASURY OBLIGATIONS — 2.9% | |||
U.S. Treasury Bill | |||
0.25%, 07/07/22Ω | $2,135,000 | 2,134,735 |
Par | Value | |||
U.S. Treasury Inflationary Index Bonds | ||||
0.13%, 07/15/24 | $ 7,987,325 | $ 8,065,412 | ||
0.13%, 07/15/26 | 11,693,333 | 11,603,298 | ||
0.38%, 07/15/27 | 2,730,143 | 2,721,581 | ||
3.88%, 04/15/29 | 8,309,574 | 10,038,523 | ||
3.38%, 04/15/32 | 4,707,174 | 5,885,023 | ||
0.63%, 02/15/43 | 3,564,956 | 3,155,601 | ||
1.00%, 02/15/48 | 2,139,630 | 2,046,604 | ||
0.13%, 02/15/51 | 1,410,284 | 1,088,624 | ||
Total U.S. Treasury Obligations (Cost $51,705,279) | 46,739,401 | |||
TOTAL INVESTMENTS — 100.1% (Cost $1,735,299,845) | 1,632,562,614 | |||
Liabilities in Excess of Other Assets — (0.1)% | (1,325,923) | |||
NET ASSETS — 100.0% | $1,631,236,691 |
% | |
U.S. Equity Select Funds | 39.4 |
Fixed Income Select Funds | 39.1 |
Non-U.S. Equity Select Funds | 14.4 |
U.S. Treasury Obligations | 2.9 |
Alternative Select Funds | 2.1 |
Real Assets Select Funds | 1.1 |
Money Market Funds | 1.1 |
100.1 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 17,650,115 | $ 17,650,115 | $ — | $ — | |||
Mutual Funds | 1,568,173,098 | 1,568,173,098 | — | — | |||
U.S. Treasury Obligations | 46,739,401 | — | 46,739,401 | — | |||
Total Assets - Investments in Securities | $1,632,562,614 | $1,585,823,213 | $46,739,401 | $ — |
Shares | Value | |||
MUTUAL FUNDS — 98.1% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 19,876,227 | $ 260,577,333 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 7,692,210 | 64,537,643 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 10,615,240 | 110,292,342 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 12,215,022 | 484,569,933 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,878,050 | 59,566,851 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 21,017,431 | 202,818,213 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 9,988,158 | 86,097,922 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 2,186,886 | 19,485,154 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 705,316 | 7,144,851 | ||
Total Mutual Funds (Cost $1,364,821,511) | 1,295,090,242 | |||
MONEY MARKET FUNDS — 1.9% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ (Cost $25,514,216) | 25,514,216 | 25,514,216 | ||
TOTAL INVESTMENTS — 100.0% (Cost $1,390,335,727) | 1,320,604,458 | |||
Liabilities in Excess of Other Assets — (0.0)% | (538,482) | |||
NET ASSETS — 100.0% | $1,320,065,976 |
% | |
U.S. Equity Select Funds | 49.6 |
Fixed Income Select Funds | 24.6 |
Non-U.S. Equity Select Funds | 21.9 |
Money Market Funds | 1.9 |
Real Assets Select Funds | 1.5 |
Alternative Select Funds | 0.5 |
100.0 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 25,514,216 | $ 25,514,216 | $ — | $ — | |||
Mutual Funds | 1,295,090,242 | 1,295,090,242 | — | — | |||
Total Assets - Investments in Securities | $1,320,604,458 | $1,320,604,458 | $ — | $ — |
Shares | Value | |||
MUTUAL FUNDS — 98.0% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 6,362,514 | $ 83,412,560 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 2,465,789 | 20,687,969 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 4,802,158 | 49,894,425 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 11,525,940 | 457,234,028 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,656,061 | 56,157,098 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 19,990,395 | 192,907,314 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 9,575,429 | 82,540,196 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,909,940 | 17,017,568 | ||
Total Mutual Funds (Cost $982,298,573) | 959,851,158 | |||
MONEY MARKET FUNDS — 2.0% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ (Cost $20,188,057) | 20,188,057 | 20,188,057 | ||
TOTAL INVESTMENTS — 100.0% (Cost $1,002,486,630) | 980,039,215 | |||
Liabilities in Excess of Other Assets — (0.0)% | (271,486) | |||
NET ASSETS — 100.0% | $979,767,729 |
% | |
U.S. Equity Select Funds | 57.5 |
Non-U.S. Equity Select Funds | 28.1 |
Fixed Income Select Funds | 10.6 |
Money Market Funds | 2.0 |
Real Assets Select Funds | 1.8 |
100.0 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 20,188,057 | $ 20,188,057 | $ — | $ — | |||
Mutual Funds | 959,851,158 | 959,851,158 | — | — | |||
Total Assets - Investments in Securities | $980,039,215 | $980,039,215 | $ — | $ — |
Shares | Value | |||
MUTUAL FUNDS — 97.9% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 1,299,363 | $ 17,034,653 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 503,572 | 4,224,968 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 1,882,862 | 19,562,934 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 4,869,347 | 193,166,988 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 1,544,537 | 23,724,086 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 8,445,414 | 81,498,248 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 4,046,052 | 34,876,971 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 803,104 | 7,155,657 | ||
Total Mutual Funds (Cost $399,810,322) | 381,244,505 | |||
MONEY MARKET FUNDS — 2.1% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ (Cost $8,221,631) | 8,221,631 | 8,221,631 | ||
TOTAL INVESTMENTS — 100.0% (Cost $408,031,953) | 389,466,136 | |||
Other Assets in Excess of Liabilities — 0.0% | 134,159 | |||
NET ASSETS — 100.0% | $389,600,295 |
% | |
U.S. Equity Select Funds | 60.7 |
Non-U.S. Equity Select Funds | 29.9 |
Fixed Income Select Funds | 5.5 |
Money Market Funds | 2.1 |
Real Assets Select Funds | 1.8 |
100.0 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 8,221,631 | $ 8,221,631 | $ — | $ — | |||
Mutual Funds | 381,244,505 | 381,244,505 | — | — | |||
Total Assets - Investments in Securities | $389,466,136 | $389,466,136 | $ — | $ — |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2022 (Unaudited) |
MyDestination 2015 Fund | MyDestination 2025 Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $ 42,561,513 | $ 46,800,128 | |
Investments in securities of affiliated issuers, at value | 623,361,510 | 1,585,762,486 | |
Total investments, at value(1) | 665,923,023 | 1,632,562,614 | |
Receivables: | |||
Dividends | 6,071 | 12,873 | |
Interest | 122,383 | 134,309 | |
Investment securities sold | 292,973 | 496,518 | |
Fund shares sold | 717,677 | 3,076,529 | |
Prepaid expenses and other assets | 17,817 | 18,660 | |
Total Assets | 667,079,944 | 1,636,301,503 | |
Liabilities | |||
Payables: | |||
Investment securities purchased | 325,760 | 530,051 | |
Fund shares redeemed | 1,334,282 | 4,134,604 | |
Accrued expenses: | |||
Investment advisory fees | 38,302 | 112,997 | |
Shareholder servicing fees | 91,588 | 215,196 | |
Trustee fees | 2,600 | 4,590 | |
Other expenses | 55,101 | 67,374 | |
Total Liabilities | 1,847,633 | 5,064,812 | |
Net Assets | $665,232,311 | $1,631,236,691 | |
Net Assets Consist of: | |||
Paid-in-capital | $684,632,685 | $1,653,314,801 | |
Distributable earnings (loss) | (19,400,374) | (22,078,110) | |
Net Assets | $665,232,311 | $1,631,236,691 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $229,661,136 | $ 607,460,905 | |
Institutional shares outstanding | 23,838,370 | 61,767,291 | |
Net asset value, offering and redemption price per Institutional share | $ 9.63 | $ 9.83 | |
Net assets applicable to the Investor Class | $435,571,175 | $1,023,775,786 | |
Investor shares outstanding | 45,280,236 | 104,175,929 | |
Net asset value, offering and redemption price per Investor share | $ 9.62 | $ 9.83 | |
(1)Investments in securities of unaffiliated issuers, at cost | $ 47,109,258 | $ 51,766,006 | |
Investments in securities of affiliated issuers, at cost | 668,705,362 | 1,683,533,839 | |
Total investments, at cost | $715,814,620 | $1,735,299,845 |
MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||
$ — | $ — | $ — | ||
1,320,604,458 | 980,039,215 | 389,466,136 | ||
1,320,604,458 | 980,039,215 | 389,466,136 | ||
20,969 | 18,596 | 5,949 | ||
— | — | — | ||
— | — | — | ||
2,254,189 | 1,239,112 | 588,532 | ||
23,046 | 21,861 | 18,751 | ||
1,322,902,662 | 981,318,784 | 390,079,368 | ||
— | — | — | ||
2,501,914 | 1,287,720 | 342,754 | ||
105,448 | 80,559 | 33,670 | ||
162,964 | 120,801 | 48,010 | ||
3,377 | 2,778 | 1,957 | ||
62,983 | 59,197 | 52,682 | ||
2,836,686 | 1,551,055 | 479,073 | ||
$1,320,065,976 | $ 979,767,729 | $389,600,295 | ||
$1,320,632,506 | $ 953,728,687 | $390,796,038 | ||
(566,530) | 26,039,042 | (1,195,743) | ||
$1,320,065,976 | $ 979,767,729 | $389,600,295 | ||
$ 545,956,971 | $ 406,765,493 | $161,009,650 | ||
55,060,990 | 41,375,829 | 11,642,751 | ||
$ 9.92 | $ 9.83 | $ 13.83 | ||
$ 774,109,005 | $ 573,002,236 | $228,590,645 | ||
78,194,475 | 58,414,854 | 16,585,652 | ||
$ 9.90 | $ 9.81 | $ 13.78 | ||
$ — | $ — | $ — | ||
1,390,335,727 | 1,002,486,630 | 408,031,953 | ||
$1,390,335,727 | $1,002,486,630 | $408,031,953 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2022 (Unaudited) |
MyDestination 2015 Fund | |
Investment Income | |
Income distributions received from affiliated funds | $ 2,671,680 |
Interest | 1,520,830 |
Total Investment Income | 4,192,510 |
Expenses | |
Investment advisory fees | 360,945 |
Transfer agent fees: | |
Institutional shares | 1,876 |
Investor shares | 10,018 |
Custodian fees | 14,695 |
Shareholder servicing fees: | |
Investor shares | 603,330 |
Accounting and administration fees | 12,625 |
Professional fees | 46,781 |
Shareholder reporting fees: | |
Institutional shares | 422 |
Investor shares | 6,113 |
Trustees expenses | 2,656 |
Line of credit facility fees | 1,166 |
Other expenses | 40,404 |
Recoupment of prior expenses reduced by the Advisor | — |
Total Expenses | 1,101,031 |
Expenses waived/reimbursed(1) | (96,617) |
Net Expenses | 1,004,414 |
Net Investment Income | 3,188,096 |
Realized and Unrealized Gain (Loss) | |
Capital gain distributions received from affiliated funds | 12,736,375 |
Net realized gain on investment securities of affiliated issuers | 4,464,454 |
Net realized gain on investment securities of unaffiliated issuers | (365,168) |
Net realized loss on futures transactions | (276,489) |
Net realized gain | 16,559,172 |
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (109,952,601) |
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | (5,617,673) |
Change in unrealized appreciation (depreciation) on futures | (75,034) |
Net change in unrealized appreciation (depreciation) | (115,645,308) |
Net Realized and Unrealized Loss | (99,086,136) |
Net Decrease in Net Assets Resulting from Operations | $ (95,898,040) |
(1) | See Note 3c in Notes to Financial Statements. |
MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||
$ 6,707,189 | $ 5,409,215 | $ 3,819,977 | $ 1,485,245 | |||
1,631,319 | 44 | 26 | 21 | |||
8,338,508 | 5,409,259 | 3,820,003 | 1,485,266 | |||
841,335 | 657,889 | 511,789 | 206,532 | |||
1,993 | 2,016 | 1,943 | 1,931 | |||
16,298 | 11,996 | 10,090 | 9,097 | |||
18,884 | 17,379 | 15,949 | 14,176 | |||
1,410,165 | 1,063,024 | 784,713 | 305,387 | |||
29,270 | 23,781 | 18,584 | 7,701 | |||
48,041 | 47,309 | 46,889 | 46,472 | |||
618 | 690 | 664 | 654 | |||
8,738 | 6,609 | 5,595 | 4,376 | |||
4,749 | 3,514 | 2,830 | 2,099 | |||
3,063 | 2,501 | 1,914 | 602 | |||
50,678 | 53,306 | 47,846 | 38,019 | |||
— | — | — | 21,174 | |||
2,433,832 | 1,890,014 | 1,448,806 | 658,220 | |||
(116,510) | — | — | (3,165) | |||
2,317,322 | 1,890,014 | 1,448,806 | 655,055 | |||
6,021,186 | 3,519,245 | 2,371,197 | 830,211 | |||
35,490,454 | 21,694,189 | 11,736,504 | 4,738,052 | |||
9,781,950 | 14,463,525 | 8,218,728 | 2,495,304 | |||
(279,643) | — | — | — | |||
(683,909) | (1,488,604) | (1,237,312) | (543,804) | |||
44,308,852 | 34,669,110 | 18,717,920 | 6,689,552 | |||
(306,394,907) | (290,005,634) | (234,757,697) | (95,939,244) | |||
(6,108,178) | — | — | — | |||
(267,484) | (452,904) | (395,362) | (137,549) | |||
(312,770,569) | (290,458,538) | (235,153,059) | (96,076,793) | |||
(268,461,717) | (255,789,428) | (216,435,139) | (89,387,241) | |||
$(262,440,531) | $(252,270,183) | $(214,063,942) | $(88,557,030) |
STATEMENTS OF CHANGES IN NET ASSETS |
MyDestination 2015 Fund | MyDestination 2025 Fund | ||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | ||||
06/30/22 | 12/31/21 | 06/30/22 | 12/31/21 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $ 3,188,096 | $ 9,163,731 | $ 6,021,186 | $ 20,893,751 | |||
Net realized gain on investment securities and futures transactions | 16,559,172 | 35,681,463 | 44,308,852 | 82,977,728 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (115,645,308) | 3,541,415 | (312,770,569) | 41,287,989 | |||
Net increase (decrease) in net assets resulting from operations | (95,898,040) | 48,386,609 | (262,440,531) | 145,159,468 | |||
Distributions to Shareholders: | |||||||
Institutional shares | — | (11,212,826) | — | (25,822,026) | |||
Investor shares | — | (27,805,081) | — | (58,826,598) | |||
Total distributions | — | (39,017,907) | — | (84,648,624) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 71,868,739 | 54,762,341 | 184,825,087 | 89,820,222 | |||
Investor shares | 18,124,485 | 58,612,402 | 32,510,280 | 137,601,889 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | — | 11,212,826 | — | 25,822,025 | |||
Investor shares | — | 27,798,484 | — | 58,817,400 | |||
Total proceeds from shares sold and reinvested | 89,993,224 | 152,386,053 | 217,335,367 | 312,061,536 | |||
Value of shares redeemed | |||||||
Institutional shares | (23,041,662) | (30,077,650) | (22,562,893) | (58,008,101) | |||
Investor shares | (52,521,761) | (82,876,873) | (87,787,162) | (96,067,512) | |||
Total value of shares redeemed | (75,563,423) | (112,954,523) | (110,350,055) | (154,075,613) | |||
Net increase from capital share transactions(1) | 14,429,801 | 39,431,530 | 106,985,312 | 157,985,923 | |||
Total increase (decrease) in net assets | (81,468,239) | 48,800,232 | (155,455,219) | 218,496,767 | |||
Net Assets: | |||||||
Beginning of Period | 746,700,550 | 697,900,318 | 1,786,691,910 | 1,568,195,143 | |||
End of Period | $ 665,232,311 | $ 746,700,550 | $1,631,236,691 | $1,786,691,910 |
(1) | See Note 6 in Notes to Financial Statements. |
MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||||
06/30/22 | 12/31/21 | 06/30/22 | 12/31/21 | 06/30/22 | 12/31/21 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$ 3,519,245 | $ 16,416,327 | $ 2,371,197 | $ 12,555,366 | $ 830,211 | $ 4,793,877 | |||||
34,669,110 | 80,937,218 | 18,717,920 | 67,954,490 | 6,689,552 | 26,523,555 | |||||
(290,458,538) | 61,272,571 | (235,153,059) | 69,280,136 | (96,076,793) | 28,089,280 | |||||
(252,270,183) | 158,626,116 | (214,063,942) | 149,789,992 | (88,557,030) | 59,406,712 | |||||
— | (26,474,371) | — | (23,036,550) | — | (9,426,520) | |||||
— | (48,557,555) | — | (36,147,395) | — | (13,213,188) | |||||
— | (75,031,926) | — | (59,183,945) | — | (22,639,708) | |||||
160,832,731 | 88,740,477 | 77,687,946 | 62,655,462 | 24,203,385 | 38,018,347 | |||||
35,137,273 | 113,685,881 | 32,591,704 | 73,883,374 | 26,706,735 | 49,961,631 | |||||
— | 26,474,370 | — | 23,036,551 | — | 9,426,520 | |||||
— | 48,549,290 | — | 36,147,394 | — | 13,212,942 | |||||
195,970,004 | 277,450,018 | 110,279,650 | 195,722,781 | 50,910,120 | 110,619,440 | |||||
(15,740,527) | (33,544,937) | (10,898,190) | (20,402,162) | (6,092,816) | (13,472,797) | |||||
(37,501,381) | (43,751,182) | (20,262,161) | (28,092,752) | (7,972,228) | (12,028,307) | |||||
(53,241,908) | (77,296,119) | (31,160,351) | (48,494,914) | (14,065,044) | (25,501,104) | |||||
142,728,096 | 200,153,899 | 79,119,299 | 147,227,867 | 36,845,076 | 85,118,336 | |||||
(109,542,087) | 283,748,089 | (134,944,643) | 237,833,914 | (51,711,954) | 121,885,340 | |||||
1,429,608,063 | 1,145,859,974 | 1,114,712,372 | 876,878,458 | 441,312,249 | 319,426,909 | |||||
$1,320,065,976 | $1,429,608,063 | $ 979,767,729 | $1,114,712,372 | $389,600,295 | $441,312,249 |
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | 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 Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
MyDestination 2015 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(3) | $11.09 | $0.06 | $(1.52) | $(1.46) | $ — | $ — | $ — | $ 9.63 | (13.17)% | $ 229,661 | 0.12% | 0.15% | 1.21% | 12% |
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(4) | 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 | ||||||||||||||
2022(3) | $11.09 | $0.04 | $(1.51) | $(1.47) | $ — | $ — | $ — | $ 9.62 | (13.26)% | $ 435,571 | 0.37% | 0.40% | 0.84% | 12% |
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 | ||||||||||||||
2022(3) | $11.53 | $0.05 | $(1.75) | $(1.70) | $ — | $ — | $ — | $ 9.83 | (14.74)% | $ 607,461 | 0.11% | 0.12% | 1.01% | 8% |
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(4) | 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 | ||||||||||||||
2022(3) | $11.54 | $0.03 | $(1.74) | $(1.71) | $ — | $ — | $ — | $ 9.83 | (14.82)% | $1,023,776 | 0.36% | 0.38% | 0.62% | 8% |
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 | ||||||||||||||
2022(3) | $12.00 | $0.04 | $(2.12) | $(2.08) | $ — | $ — | $ — | $ 9.92 | (17.33)% | $ 545,957 | 0.12% | 0.12% | 0.80% | 6% |
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(4) | 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 | ||||||||||||||
2022(3) | $12.00 | $0.02 | $(2.12) | $(2.10) | $ — | $ — | $ — | $ 9.90 | (17.50)% | $ 774,109 | 0.38% | 0.38% | 0.39% | 6% |
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%, 0.39%, 0.36%, 0.34% and 0.33%, respectively for 2022. 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) | For the six months ended June 30, 2022, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
(4) | 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 Period | 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 Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
MyDestination 2045 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(3) | $12.10 | $0.04 | $(2.31) | $(2.27) | $ — | $ — | $ — | $ 9.83 | (18.76)% | $406,766 | 0.13% | 0.13% | 0.66% | 4% |
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(4) | 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 | ||||||||||||||
2022(3) | $12.09 | $0.02 | $(2.30) | $(2.28) | $ — | $ — | $ — | $ 9.81 | (18.86)% | $573,002 | 0.38% | 0.38% | 0.34% | 4% |
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 | ||||||||||||||
2022(3) | $17.11 | $0.04 | $(3.32) | $(3.28) | $ — | $ — | $ — | $13.83 | (19.17)% | $161,010 | 0.17% | 0.17% | 0.56% | 6% |
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(4) | 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 | ||||||||||||||
2022(3) | $17.07 | $0.02 | $(3.31) | $(3.29) | $ — | $ — | $ — | $13.78 | (19.27)% | $228,590 | 0.42% | 0.42% | 0.30% | 6% |
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%, 0.39%, 0.36%, 0.34% and 0.33%, respectively for 2022. 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) | For the six months ended June 30, 2022, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
(4) | 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. |
Shares | Value | |||
MUTUAL FUNDS — 99.0% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 16,824,861 | $216,367,712 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 4,396,053 | 57,632,258 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 1,715,893 | 14,396,339 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 3,251,472 | 33,782,791 | ||
GuideStone Global Impact Fund (Institutional Class)∞ | 1,567,447 | 13,527,068 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 1,306,207 | 23,890,521 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 1,253,838 | 23,308,852 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 292,524 | 4,493,167 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 2,043,034 | 24,373,396 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 1,201,196 | 10,354,312 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 597,306 | 5,321,995 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,293,882 | 23,237,029 | ||
Total Mutual Funds (Cost $490,029,383) | 450,685,440 |
Shares | Value | |||
MONEY MARKET FUNDS — 0.9% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ (Cost $4,196,720) | 4,196,720 | $ 4,196,720 | ||
TOTAL INVESTMENTS — 99.9% (Cost $494,226,103) | 454,882,160 | |||
Other Assets in Excess of Liabilities — 0.1% | 384,464 | |||
NET ASSETS — 100.0% | $455,266,624 |
% | |
Fixed Income Select Funds | 63.4 |
U.S. Equity Select Funds | 18.7 |
Non-U.S. Equity Select Funds | 7.6 |
Alternative Select Funds | 5.1 |
Impact Select Funds | 3.0 |
Real Assets Select Funds | 1.2 |
Money Market Funds | 0.9 |
99.9 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 4,196,720 | $ 4,196,720 | $ — | $ — | |||
Mutual Funds | 450,685,440 | 450,685,440 | — | — | |||
Total Assets - Investments in Securities | $454,882,160 | $454,882,160 | $ — | $ — |
Shares | Value | |||
MUTUAL FUNDS — 98.2% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 4,058,437 | $ 52,191,494 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 27,786,703 | 364,283,670 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 12,208,466 | 102,429,030 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 12,419,540 | 129,039,017 | ||
GuideStone Global Impact Fund (Institutional Class)∞ | 5,705,243 | 49,236,247 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 6,825,676 | 124,841,610 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 6,684,022 | 124,255,978 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 1,584,800 | 24,342,525 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 10,702,715 | 127,683,395 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 6,364,689 | 54,863,620 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 2,876,955 | 25,633,665 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 4,910,487 | 49,743,230 | ||
Total Mutual Funds (Cost $1,406,613,073) | 1,228,543,481 |
Shares | Value | |||
MONEY MARKET FUNDS — 1.9% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ (Cost $23,387,537) | 23,387,537 | $ 23,387,537 | ||
TOTAL INVESTMENTS — 100.1% (Cost $1,430,000,610) | 1,251,931,018 | |||
Liabilities in Excess of Other Assets — (0.1)% | (1,155,384) | |||
NET ASSETS — 100.0% | $1,250,775,634 |
% | |
Fixed Income Select Funds | 41.5 |
U.S. Equity Select Funds | 32.1 |
Non-U.S. Equity Select Funds | 14.6 |
Alternative Select Funds | 4.0 |
Impact Select Funds | 3.9 |
Real Assets Select Funds | 2.1 |
Money Market Funds | 1.9 |
100.1 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 23,387,537 | $ 23,387,537 | $ — | $ — | |||
Mutual Funds | 1,228,543,481 | 1,228,543,481 | — | — | |||
Total Assets - Investments in Securities | $1,251,931,018 | $1,251,931,018 | $ — | $ — |
Shares | Value | |||
MUTUAL FUNDS — 98.3% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 1,378,793 | $ 17,731,272 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 9,022,210 | 118,281,176 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 3,934,344 | 33,009,148 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 4,221,476 | 43,861,131 | ||
GuideStone Global Impact Fund (Institutional Class)∞ | 4,369,050 | 37,704,899 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 9,401,414 | 171,951,857 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 9,329,732 | 173,439,725 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,196,868 | 33,743,897 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 14,837,831 | 177,015,330 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 8,810,340 | 75,945,134 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,252,619 | 28,980,834 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,382,299 | 24,132,684 | ||
Total Mutual Funds (Cost $1,097,874,643) | 935,797,087 |
Shares | Value | |||
MONEY MARKET FUNDS — 1.8% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ (Cost $17,062,107) | 17,062,107 | $ 17,062,107 | ||
TOTAL INVESTMENTS — 100.1% (Cost $1,114,936,750) | 952,859,194 | |||
Liabilities in Excess of Other Assets — (0.1)% | (1,056,583) | |||
NET ASSETS — 100.0% | $951,802,611 |
% | |
U.S. Equity Select Funds | 44.4 |
Non-U.S. Equity Select Funds | 26.6 |
Fixed Income Select Funds | 17.8 |
Impact Select Funds | 4.0 |
Real Assets Select Funds | 3.0 |
Alternative Select Funds | 2.5 |
Money Market Funds | 1.8 |
100.1 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 17,062,107 | $ 17,062,107 | $ — | $ — | |||
Mutual Funds | 935,797,087 | 935,797,087 | — | — | |||
Total Assets - Investments in Securities | $952,859,194 | $952,859,194 | $ — | $ — |
Shares | Value | |||
MUTUAL FUNDS — 98.2% | ||||
GuideStone Value Equity Fund (Institutional Class)∞ | 12,749,128 | $233,181,553 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 12,702,876 | 236,146,472 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,020,801 | 46,399,500 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 20,113,456 | 239,953,530 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 11,785,181 | 101,588,256 | ||
Total Mutual Funds (Cost $1,026,074,613) | 857,269,311 | |||
MONEY MARKET FUNDS — 1.8% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ (Cost $15,983,752) | 15,983,752 | 15,983,752 | ||
TOTAL INVESTMENTS — 100.0% (Cost $1,042,058,365) | 873,253,063 | |||
Liabilities in Excess of Other Assets — (0.0)% | (282,008) | |||
NET ASSETS — 100.0% | $872,971,055 |
% | |
U.S. Equity Select Funds | 59.1 |
Non-U.S. Equity Select Funds | 39.1 |
Money Market Funds | 1.8 |
100.0 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 15,983,752 | $ 15,983,752 | $ — | $ — | |||
Mutual Funds | 857,269,311 | 857,269,311 | — | — | |||
Total Assets - Investments in Securities | $873,253,063 | $873,253,063 | $ — | $ — |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2022 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Assets | |||||||
Investments in securities of affiliated issuers, at value | $454,882,160 | $1,251,931,018 | $ 952,859,194 | $ 873,253,063 | |||
Total investments, at value(1) | 454,882,160 | 1,251,931,018 | 952,859,194 | 873,253,063 | |||
Receivables: | |||||||
Dividends from affiliated funds | 6,492 | 19,648 | 17,386 | 14,340 | |||
Investment securities sold | 670,000 | — | — | — | |||
Fund shares sold | 180,039 | 379,534 | 769,243 | 281,746 | |||
Prepaid expenses and other assets | 11,656 | 11,816 | 14,634 | 13,086 | |||
Total Assets | 455,750,347 | 1,252,342,016 | 953,660,457 | 873,562,235 | |||
Liabilities | |||||||
Payables: | |||||||
Fund shares redeemed | 310,637 | 1,179,048 | 1,547,971 | 308,585 | |||
Accrued expenses: | |||||||
Investment advisory fees | 39,892 | 110,582 | 87,143 | 76,908 | |||
Shareholder servicing fees | 74,990 | 202,015 | 153,341 | 141,558 | |||
Trustee fees | 4,039 | 6,654 | 5,097 | 4,418 | |||
Other expenses | 54,165 | 68,083 | 64,294 | 59,711 | |||
Total Liabilities | 483,723 | 1,566,382 | 1,857,846 | 591,180 | |||
Net Assets | $455,266,624 | $1,250,775,634 | $ 951,802,611 | $ 872,971,055 | |||
Net Assets Consist of: | |||||||
Paid-in-capital | $482,741,462 | $1,380,519,709 | $1,056,342,877 | $ 964,340,465 | |||
Distributable earnings (loss) | (27,474,838) | (129,744,075) | (104,540,266) | (91,369,410) | |||
Net Assets | $455,266,624 | $1,250,775,634 | $ 951,802,611 | $ 872,971,055 | |||
Net Asset Value: | |||||||
$0.001 par value, unlimited shares authorized | |||||||
Net assets applicable to the Institutional Class | $ 98,441,013 | $ 287,889,191 | $ 229,928,128 | $ 207,594,508 | |||
Institutional shares outstanding | 9,136,909 | 26,247,199 | 20,556,796 | 19,034,183 | |||
Net asset value, offering and redemption price per Institutional share | $ 10.77 | $ 10.97 | $ 11.19 | $ 10.91 | |||
Net assets applicable to the Investor Class | $356,825,611 | $ 962,886,443 | $ 721,874,483 | $ 665,376,547 | |||
Investor shares outstanding | 33,175,358 | 87,940,949 | 64,689,464 | 61,392,184 | |||
Net asset value, offering and redemption price per Investor share | $ 10.76 | $ 10.95 | $ 11.16 | $ 10.84 | |||
(1)Investments in securities of affiliated issuers, at cost | 494,226,103 | 1,430,000,610 | 1,114,936,750 | 1,042,058,365 | |||
Total investments, at cost | $494,226,103 | $1,430,000,610 | $1,114,936,750 | $1,042,058,365 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2022 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Investment Income | |||||||
Income distributions received from affiliated funds | $ 1,908,725 | $ 5,038,628 | $ 3,131,968 | $ 2,222,397 | |||
Interest | 1,113 | — | 15 | — | |||
Total Investment Income | 1,909,838 | 5,038,628 | 3,131,983 | 2,222,397 | |||
Expenses | |||||||
Investment advisory fees | 262,892 | 758,124 | 613,442 | 533,396 | |||
Transfer agent fees: | |||||||
Institutional shares | 1,954 | 2,034 | 1,924 | 1,878 | |||
Investor shares | 15,188 | 24,378 | 18,881 | 16,867 | |||
Custodian fees | 12,211 | 21,797 | 20,603 | 15,999 | |||
Shareholder servicing fees: | |||||||
Investor shares | 483,367 | 1,345,734 | 1,036,769 | 964,712 | |||
Accounting and administration fees | 7,576 | 21,667 | 17,294 | 15,002 | |||
Professional fees | 47,613 | 49,164 | 48,326 | 47,949 | |||
Shareholder reporting fees: | |||||||
Institutional shares | 374 | 432 | 346 | 281 | |||
Investor shares | 8,826 | 13,112 | 10,686 | 8,772 | |||
Trustees expenses | 4,071 | 6,705 | 5,203 | 4,605 | |||
Line of credit facility fees | 540 | 2,552 | 2,155 | 1,894 | |||
Other expenses | 48,828 | 66,995 | 62,683 | 56,209 | |||
Total Expenses | 893,440 | 2,312,694 | 1,838,312 | 1,667,564 | |||
Net Investment Income | 1,016,398 | 2,725,934 | 1,293,671 | 554,833 | |||
Realized and Unrealized Gain (Loss) | |||||||
Capital gain distributions received from affiliated funds | 7,038,686 | 29,187,647 | 18,787,251 | 15,419,124 | |||
Net realized loss on investment securities of affiliated issuers | (3,512,303) | (17,752,880) | (23,890,256) | (19,608,742) | |||
Net realized loss on futures transactions | (346,062) | (2,551,871) | (4,069,455) | (2,167,023) | |||
Net realized gain (loss) | 3,180,321 | 8,882,896 | (9,172,460) | (6,356,641) | |||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (61,958,471) | (277,795,987) | (256,140,187) | (256,977,354) | |||
Change in unrealized appreciation (depreciation) on futures | (22,868) | (344,236) | (469,788) | (438,903) | |||
Net change in unrealized appreciation (depreciation) | (61,981,339) | (278,140,223) | (256,609,975) | (257,416,257) | |||
Net Realized and Unrealized Loss | (58,801,018) | (269,257,327) | (265,782,435) | (263,772,898) | |||
Net Decrease in Net Assets Resulting from Operations | $(57,784,620) | $(266,531,393) | $(264,488,764) | $(263,218,065) |
STATEMENTS OF CHANGES IN NET ASSETS |
Conservative Allocation Fund | Balanced Allocation Fund | ||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | ||||
06/30/22 | 12/31/21 | 06/30/22 | 12/31/21 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $ 1,016,398 | $ 4,092,381 | $ 2,725,934 | $ 15,806,479 | |||
Net realized gain (loss) on investment securities and futures transactions | 3,180,321 | 23,506,834 | 8,882,896 | 119,905,737 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (61,981,339) | (5,971,898) | (278,140,223) | (21,081,651) | |||
Net increase (decrease) in net assets resulting from operations | (57,784,620) | 21,627,317 | (266,531,393) | 114,630,565 | |||
Distributions to Shareholders: | |||||||
Institutional shares | — | (5,541,335) | — | (27,359,647) | |||
Investor shares | — | (15,001,787) | — | (66,938,989) | |||
Total distributions | — | (20,543,122) | — | (94,298,636) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 22,850,705 | 21,965,761 | 35,792,914 | 41,748,442 | |||
Investor shares | 19,642,137 | 54,732,442 | 15,536,582 | 49,371,634 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | — | 5,516,854 | — | 27,265,118 | |||
Investor shares | — | 14,960,820 | — | 66,890,632 | |||
Total proceeds from shares sold and reinvested | 42,492,842 | 97,175,877 | 51,329,496 | 185,275,826 | |||
Value of shares redeemed | |||||||
Institutional shares | (55,484,478) | (16,821,639) | (151,125,358) | (42,703,474) | |||
Investor shares | (43,963,791) | (62,286,281) | (94,769,953) | (120,774,383) | |||
Total value of shares redeemed | (99,448,269) | (79,107,920) | (245,895,311) | (163,477,857) | |||
Net increase (decrease) from capital share transactions(1) | (56,955,427) | 18,067,957 | (194,565,815) | 21,797,969 | |||
Total increase (decrease) in net assets | (114,740,047) | 19,152,152 | (461,097,208) | 42,129,898 | |||
Net Assets: | |||||||
Beginning of Period | 570,006,671 | 550,854,519 | 1,711,872,842 | 1,669,742,944 | |||
End of Period | $ 455,266,624 | $570,006,671 | $1,250,775,634 | $1,711,872,842 |
(1) | See Note 6 in Notes to Financial Statements. |
Growth Allocation Fund | Aggressive Allocation Fund | |||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||
06/30/22 | 12/31/21 | 06/30/22 | 12/31/21 | |||
(Unaudited) | (Unaudited) | |||||
$ 1,293,671 | $ 10,913,518 | $ 554,833 | $ 7,444,729 | |||
(9,172,460) | 133,361,259 | (6,356,641) | 152,243,823 | |||
(256,609,975) | 7,009,108 | (257,416,257) | 6,659,818 | |||
(264,488,764) | 151,283,885 | (263,218,065) | 166,348,370 | |||
— | (29,681,445) | — | (24,946,452) | |||
— | (63,097,520) | — | (66,098,585) | |||
— | (92,778,965) | — | (91,045,037) | |||
31,480,345 | 24,402,267 | 18,110,974 | 22,637,067 | |||
10,788,553 | 35,000,220 | 7,711,680 | 24,902,131 | |||
— | 29,656,423 | — | 24,928,211 | |||
— | 63,050,192 | — | 66,089,225 | |||
42,268,898 | 152,109,102 | 25,822,654 | 138,556,634 | |||
(155,904,864) | (35,615,928) | (69,206,838) | (25,412,801) | |||
(79,301,733) | (90,074,062) | (56,589,611) | (93,175,612) | |||
(235,206,597) | (125,689,990) | (125,796,449) | (118,588,413) | |||
(192,937,699) | 26,419,112 | (99,973,795) | 19,968,221 | |||
(457,426,463) | 84,924,032 | (363,191,860) | 95,271,554 | |||
1,409,229,074 | 1,324,305,042 | 1,236,162,915 | 1,140,891,361 | |||
$ 951,802,611 | $1,409,229,074 | $ 872,971,055 | $1,236,162,915 |
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | 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 Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
Conservative Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(3) | $11.99 | $0.03 | $(1.25) | $(1.22) | $ — | $ — | $ — | $10.77 | (10.17)% | $ 98,441 | 0.15% | 0.15% | 0.53% | 8% |
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 | ||||||||||||||
2022(3) | $11.99 | $0.02 | $(1.25) | $(1.23) | $ — | $ — | $ — | $10.76 | (10.26)% | $ 356,826 | 0.41% | 0.41% | 0.34% | 8% |
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 | ||||||||||||||
2022(3) | $13.03 | $0.03 | $(2.09) | $(2.06) | $ — | $ — | $ — | $10.97 | (15.81)% | $ 287,890 | 0.12% | 0.12% | 0.48% | 8% |
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 | ||||||||||||||
2022(3) | $13.02 | $0.02 | $(2.09) | $(2.07) | $ — | $ — | $ — | $10.95 | (15.90)% | $ 962,886 | 0.38% | 0.38% | 0.31% | 8% |
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 2022. 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) | For the six months ended June 30, 2022, all ratios 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 Period | 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 Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(2) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
Growth Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(3) | $13.83 | $0.02 | $(2.66) | $(2.64) | $ — | $ — | $ — | $11.19 | (19.09)% | $229,928 | 0.13% | 0.13% | 0.29% | 8% |
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 | ||||||||||||||
2022(3) | $13.82 | $0.01 | $(2.67) | $(2.66) | $ — | $ — | $ — | $11.16 | (19.25)% | $721,875 | 0.38% | 0.38% | 0.17% | 8% |
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 | ||||||||||||||
2022(3) | $13.92 | $0.01 | $(3.02) | $(3.01) | $ — | $ — | $ — | $10.91 | (21.62)% | $207,594 | 0.13% | 0.13% | 0.23% | 10% |
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 | ||||||||||||||
2022(3) | $13.86 | $ —† | $(3.02) | $(3.02) | $ — | $ — | $ — | $10.84 | (21.79)% | $665,377 | 0.38% | 0.38% | 0.06% | 10% |
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. |
† | Amount represents less than $0.005 per share. |
(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 2022. 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) | For the six months ended June 30, 2022, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
Par | Value | |||
AGENCY OBLIGATIONS — 36.2% | ||||
Federal Farm Credit Bank Discount Notes | ||||
1.21%, 09/01/22 | $ 5,825,000 | $ 5,812,861 | ||
0.40%, 11/01/22 | 6,825,000 | 6,815,673 | ||
1.30%, 11/14/22 | 8,710,000 | 8,667,224 | ||
Federal Farm Credit Banks Funding Corporation | ||||
(Floating, U.S. SOFR + 0.19%), 1.69%, 07/14/22† | 4,580,000 | 4,580,000 | ||
(Floating, U.S. Federal Funds + 0.18%), 1.76%, 07/20/22† | 16,000,000 | 15,999,917 | ||
0.07%, 08/10/22 | 22,505,000 | 22,504,877 | ||
(Floating, U.S. SOFR + 0.05%), 1.55%, 09/08/22† | 9,530,000 | 9,530,273 | ||
(Floating, U.S. SOFR + 0.06%), 1.56%, 10/21/22† | 13,335,000 | 13,335,000 | ||
(Floating, U.S. SOFR + 0.08%), 1.58%, 11/03/22† | 7,810,000 | 7,810,000 | ||
(Floating, U.S. SOFR + 0.02%), 1.52%, 11/28/22† | 26,670,000 | 26,669,724 | ||
(Floating, U.S. SOFR + 0.03%), 1.53%, 01/12/23† | 15,770,000 | 15,769,574 | ||
(Floating, U.S. SOFR + 0.05%), 1.55%, 02/17/23† | 7,350,000 | 7,350,000 | ||
(Floating, U.S. SOFR + 0.04%), 1.54%, 03/10/23† | 4,560,000 | 4,560,479 | ||
(Floating, U.S. SOFR + 0.02%), 1.52%, 05/16/23† | 11,045,000 | 11,044,766 | ||
2.25%, 06/07/23 | 2,260,000 | 2,259,827 | ||
(Floating, U.S. SOFR + 0.04%), 1.54%, 07/12/23† | 1,180,000 | 1,179,938 | ||
(Floating, U.S. SOFR + 0.03%), 1.53%, 07/25/23† | 4,655,000 | 4,654,849 | ||
(Floating, U.S. SOFR + 0.05%), 1.55%, 08/22/23† | 9,040,000 | 9,040,000 | ||
(Floating, U.S. SOFR + 0.05%), 1.55%, 09/28/23† | 6,010,000 | 6,010,000 | ||
(Floating, U.S. SOFR + 0.05%), 1.55%, 10/16/23† | 9,935,000 | 9,935,000 | ||
(Floating, U.S. SOFR + 0.06%), 1.56%, 11/22/23† | 11,060,000 | 11,060,000 | ||
(Floating, U.S. SOFR + 0.06%), 1.56%, 01/10/24† | 1,660,000 | 1,660,000 | ||
(Floating, U.S. SOFR + 0.05%), 1.55%, 02/20/24† | 13,140,000 | 13,140,000 | ||
(Floating, U.S. SOFR + 0.05%), 1.55%, 05/09/24† | 7,680,000 | 7,680,000 | ||
Federal Home Loan Bank | ||||
(Floating, U.S. SOFR + 0.01%), 1.51%, 08/02/22† | 37,695,000 | 37,695,664 | ||
(Floating, U.S. SOFR + 0.01%), 1.51%, 08/04/22† | 7,570,000 | 7,570,000 | ||
(Floating, U.S. SOFR + 0.00%), 1.50%, 08/19/22† | 16,500,000 | 16,500,000 | ||
(Floating, U.S. SOFR + 0.01%), 1.51%, 09/06/22† | 9,525,000 | 9,525,000 | ||
(Floating, U.S. SOFR + 0.01%), 1.51%, 10/21/22† | 17,945,000 | 17,945,000 |
Par | Value | |||
(Floating, U.S. SOFR + 0.02%), 1.52%, 12/16/22† | $19,240,000 | $ 19,240,000 | ||
2.08%, 02/13/23 | 13,300,000 | 13,300,000 | ||
(Floating, U.S. SOFR + 0.02%), 1.52%, 03/02/23† | 26,525,000 | 26,525,000 | ||
(Floating, U.S. SOFR + 0.02%), 1.52%, 05/02/23† | 2,725,000 | 2,725,000 | ||
Federal Home Loan Bank Discount Notes | ||||
0.83%, 07/08/22 | 46,700,000 | 46,692,372 | ||
0.79%, 07/15/22 | 11,525,000 | 11,521,280 | ||
1.57%, 08/05/22 | 13,705,000 | 13,683,681 | ||
1.23%, 08/24/22 | 77,140,000 | 76,996,520 | ||
1.91%, 09/20/22 | 36,545,000 | 36,385,892 | ||
1.07%, 10/03/22 | 6,205,000 | 6,187,340 | ||
Federal Home Loan Mortgage Corporation | ||||
0.13%, 07/25/22 | 6,835,000 | 6,835,199 | ||
(Floating, U.S. SOFR + 0.07%), 1.57%, 11/10/22† | 5,065,000 | 5,065,000 | ||
Total Agency Obligations (Cost $581,462,930) | 581,462,930 | |||
U.S. TREASURY OBLIGATIONS — 15.6% | ||||
U.S. Treasury Bills | ||||
0.22%, 07/07/22Ω | 10,990,000 | 10,989,597 | ||
0.37%, 07/28/22Ω | 4,105,000 | 4,103,830 | ||
0.76%, 08/18/22Ω | 4,735,000 | 4,730,139 | ||
0.66%, 09/01/22Ω | 10,690,000 | 10,677,665 | ||
0.60%, 09/08/22Ω | 42,460,000 | 42,410,520 | ||
0.81%, 09/15/22Ω | 7,735,000 | 7,721,610 | ||
0.86%, 09/22/22Ω | 6,195,000 | 6,182,574 | ||
1.04%, 09/29/22Ω | 4,970,000 | 4,956,954 | ||
1.09%, 10/06/22Ω | 11,631,400 | 11,596,612 | ||
2.06%, 12/29/22Ω | 11,635,000 | 11,512,571 | ||
0.63%, 01/26/23Ω | 7,800,000 | 7,771,471 | ||
1.14%, 02/23/23Ω | 6,730,000 | 6,679,270 | ||
2.09%, 05/18/23Ω | 2,595,000 | 2,546,408 | ||
131,879,221 | ||||
U.S. Treasury Floating Rate Notes | ||||
(Floating, U.S. Treasury 3M Bill MMY + 0.06%), 1.81%, 07/31/22† | 19,672,100 | 19,672,100 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.05%), 1.81%, 01/31/23† | 17,000,000 | 17,000,656 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.04%), 1.79%, 10/31/23† | 8,885,000 | 8,885,000 | ||
45,557,756 | ||||
U.S. Treasury Notes | ||||
1.63%, 12/15/22 | 5,000,000 | 5,006,195 | ||
0.13%, 02/28/23 | 32,780,000 | 32,373,330 | ||
2.63%, 02/28/23 | 14,230,000 | 14,352,500 | ||
2.50%, 03/31/23 | 14,560,000 | 14,611,534 |
Par | Value | |||
0.13%, 04/30/23 | $2,100,000 | $ 2,065,628 | ||
1.75%, 05/15/23 | 4,010,000 | 3,994,891 | ||
72,404,078 | ||||
Total U.S. Treasury Obligations (Cost $249,841,055) | 249,841,055 |
Shares | |||
MONEY MARKET FUNDS — 0.0% | |||
Northern Institutional Funds - U.S. Government Select Portfolio (Shares), 1.11%Ø (Cost $465,408) | 465,408 | 465,408 |
Par | |||
REPURCHASE AGREEMENTS — 49.0% | |||
Bank of Nova Scotia | |||
1.50% (dated 06/30/2022, due 07/01/22, repurchase price 80,003,333, collateralized by U.S. Treasury Bills, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 3.250%, due 10/25/22 to 02/15/44, total market value $81,603,428) | $80,000,000 | 80,000,000 | |
BNP Paribas | |||
1.48% (dated 06/30/2022, due 07/01/22, repurchase price $30,001,233, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 3.000%, due 06/30/24 to 02/15/51, total market value $30,600,000) | 30,000,000 | 30,000,000 | |
1.55% (dated 06/30/2022, due 07/01/22, repurchase price $40,001,722, 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 06/30/24 to 10/20/51, total market value $41,020,090) | 40,000,000 | 40,000,000 | |
Citigroup Global Markets, Inc. | |||
1.55% (dated 06/30/2022, due 07/01/22, repurchase price $75,003,229, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.750% to 3.250%, due 03/31/26 to 05/15/42, total market value $,76,510,296) | 75,000,000 | 75,000,000 |
Par | Value | |||
Goldman Sachs & Co. | ||||
1.55% (dated 06/30/2022, due 07/01/22, repurchase price $107,004,607, collateralized by Government National Mortgage Association, 3.000% to 4.000%, due 07/20/51 to 12/20/51, total market value $109,140,000) | $107,000,000 | $107,000,000 | ||
Mitsubishi UFJ Securities USA, Inc. | ||||
1.52% (dated 06/30/2022, due 07/01/22, repurchase price $48,002,027, collateralized by Government National Mortgage Association, Federal Home Loan Mortgage Corporation, Federal Home Loan Banks and Federal Farm Credit Banks, 2.000% to 5.000%, due 12/30/24 to 06/20/52, total market value $48,960,000) | 48,000,000 | 48,000,000 | ||
Mizuho Securities USA, Inc. | ||||
1.55% Mizuho Securities USA, Inc. (dated 06/30/2022, due 07/01/22, repurchase price $80,003,444, collateralized by U.S. Treasury Notes, 2.750%, due 05/31/29, total market value $81,600,085) | 80,000,000 | 80,000,000 | ||
Morgan Stanley | ||||
1.55% (dated 06/30/2022, due 07/01/22, repurchase price $137,005,899, collateralized by Federal National Mortgage Association and Federal Home Loan Mortgage Corporation, 1.500% to 6.500%, due 04/01/23 to 07/01/52, total market value $141,110,000) | 137,000,000 | 137,000,000 | ||
Natixis S.A. | ||||
1.48% (dated 06/30/2022, due 07/01/22, repurchase price $110,004,522, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.250% to 3.000%, due 02/15/23 to 05/15/47, total market value $112,200,037) | 110,000,000 | 110,000,000 |
Par | Value | |||
TD Securities USA LLC | ||||
1.55% (dated 06/30/2022, due 07/01/22, repurchase price $80,003,444, collateralized by Federal Home Loan Mortgage Corporation, 3.000% to 4.500%, due 02/01/33 to 02/01/52, total market value $82,400,000) | $80,000,000 | $ 80,000,000 | ||
Total Repurchase Agreements (Cost $787,000,000) | 787,000,000 | |||
TOTAL INVESTMENTS —100.8% (Cost $1,618,769,393) | 1,618,769,393 | |||
Liabilities in Excess of Other Assets — (0.8)% | (13,632,561) | |||
NET ASSETS — 100.0% | $1,605,136,832 |
% | |
Repurchase Agreements | 49.0 |
Agency Obligations | 36.2 |
U.S. Treasury Obligations | 15.6 |
Money Market Funds | —** |
100.8 | |
**Rounds to less than 0.05% |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 581,462,930 | $ — | $ 581,462,930 | $ — | |||
Money Market Funds | 465,408 | 465,408 | — | — | |||
Repurchase Agreements | 787,000,000 | — | 787,000,000 | — | |||
U.S. Treasury Obligations | 249,841,055 | — | 249,841,055 | — | |||
Total Assets - Investments in Securities | $1,618,769,393 | $465,408 | $1,618,303,985 | $ — |
Par | Value | |||
AGENCY OBLIGATIONS — 2.5% | ||||
Federal Home Loan Bank | ||||
0.90%, 02/26/27 | $3,300,000 | $ 2,962,493 | ||
0.92%, 02/26/27 | 3,300,000 | 2,964,648 | ||
Federal Home Loan Mortgage Corporation | ||||
0.80%, 10/27/26 | 3,000,000 | 2,714,140 | ||
0.80%, 10/28/26 | 4,000,000 | 3,602,239 | ||
Federal National Mortgage Association | ||||
0.70%, 07/30/25 | 6,000,000 | 5,568,925 | ||
0.88%, 12/18/26 | 8,700,000 | 7,827,926 | ||
Total Agency Obligations (Cost $28,297,575) | 25,640,371 | |||
ASSET-BACKED SECURITIES — 16.3% | ||||
ACRES Commercial Realty, Ltd., Series 2021-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.40%, 1.40% Floor), 2.92%, 01/15/37 144A † | 240,000 | 235,338 | ||
AGL CLO 20, Ltd., Series 2022-20A, Class B | ||||
(Floating, CME Term SOFR 3M + 2.95%, 2.95% Floor), 0.00%, 07/20/35 144A † | 250,000 | 250,000 | ||
AIMCO CLO, Series 2017-AA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 2.11%, 04/20/34 144A † | 1,000,000 | 960,381 | ||
Ally Auto Receivables Trust, Series 2019-3, Class A3 | ||||
1.93%, 05/15/24 | 233,742 | 233,530 | ||
American Express Credit Account Master Trust, Series 2022-2, Class A | ||||
3.39%, 05/15/27 | 3,081,000 | 3,077,527 | ||
AmeriCredit Automobile Receivables Trust, Series 2020-2, Class B | ||||
0.97%, 02/18/26 | 180,000 | 176,189 | ||
AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3 | ||||
4.38%, 04/18/28 | 3,250,000 | 3,281,444 | ||
AMMC CLO XIII, Ltd., Series 2013-13A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.05%), 2.23%, 07/24/29 144A † | 1,992,814 | 1,972,079 | ||
Anchorage Capital CLO 7, Ltd., Series 2015-7A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 2.20%, 2.20% Floor), 3.44%, 01/28/31 144A † | 450,000 | 431,503 |
Par | Value | |||
Apidos CLO XII, Series 2013-12A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%), 2.12%, 04/15/31 144A † | $2,100,000 | $2,061,440 | ||
Apidos CLO XXII, Series 2015-22A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.50%), 2.56%, 04/20/31 144A † | 250,000 | 237,735 | ||
Arbor Realty Commercial Real Estate Notes, Ltd., Series 2021-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 2.42%, 05/15/36 144A † | 500,000 | 487,767 | ||
Arbor Realty Commercial Real Estate Notes, Ltd., Series 2021-FL4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 2.67%, 11/15/36 144A † | 580,000 | 565,296 | ||
Arbor Realty Commercial Real Estate Notes, Ltd., Series 2022-FL2, Class A | ||||
(Floating, CME Term SOFR 1M + 1.85%, 1.85% Floor), 3.13%, 05/15/37 144A † | 220,000 | 215,888 | ||
Ares LVI CLO, Ltd., Series 2020-56A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.16%, 1.16% Floor), 2.34%, 10/25/34 144A † | 250,000 | 241,876 | ||
BA Credit Card Trust, Series 2022-A1, Class A1 | ||||
3.53%, 11/15/27 | 1,613,000 | 1,617,314 | ||
Bain Capital Credit CLO, Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.96%), 2.14%, 04/23/31 144A † | 330,000 | 323,043 | ||
Barings CLO, Ltd., Series 2013-IA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 1.86%, 01/20/28 144A † | 904,333 | 892,262 | ||
BDS, Ltd., Series 2020-FL5, Class A | ||||
(Floating, CME Term SOFR 1M + 1.26%, 1.15% Floor), 2.77%, 02/16/37 144A † | 434,873 | 424,954 | ||
BDS, Ltd., Series 2021-FL10, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 2.96%, 12/16/36 144A † | 585,000 | 562,286 | ||
BDS, Ltd., Series 2021-FL7, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.07%, 1.07% Floor), 2.68%, 06/16/36 144A † | 1,450,000 | 1,394,737 |
Par | Value | |||
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE7, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 2.62%, 08/25/37† | $ 31,585 | $ 31,522 | ||
Bear Stearns Asset Backed Securities Trust, Series 2004-SD1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor, 11.00% Cap), 2.52%, 12/25/42† | 6,502 | 6,517 | ||
Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A2R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.45%, 1.45% Floor), 2.49%, 07/15/29 144A † | 300,000 | 292,028 | ||
BHG Securitization Trust, Series 2022-B, Class A | ||||
3.75%, 06/18/35 144A | 112,000 | 111,531 | ||
BMW Canada Auto Trust, Series 2021-1A, Class A2 | ||||
0.50%, 07/20/24(C) 144A | 1,500,000 | 1,143,435 | ||
BMW Vehicle Owner Trust, Series 2022-A, Class A3 | ||||
3.21%, 08/25/26 | 2,154,000 | 2,131,309 | ||
BRSP, Ltd., Series 2021-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 2.76%, 08/19/38 144A † | 2,600,000 | 2,529,493 | ||
BSPRT Issuer, Ltd., Series 2021-FL7, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.32%, 1.32% Floor), 2.64%, 12/15/38 144A † | 290,000 | 278,117 | ||
Capital One Multi-Asset Execution Trust, Series 2022-A2, Class A | ||||
3.49%, 05/15/27 | 2,148,000 | 2,151,414 | ||
CarMax Auto Owner Trust, Series 2022-2, Class A3 | ||||
3.49%, 02/16/27 | 1,138,000 | 1,132,554 | ||
CARS-DB4 LP, Series 2020-1A, Class A1 | ||||
2.69%, 02/15/50 144A | 313,431 | 297,082 | ||
CARS-DB5 LP, Series 2021-1A, Class A1 | ||||
1.44%, 08/15/51 144A | 1,956,723 | 1,727,841 | ||
Carvana Auto Receivables Trust, Series 2022-P2, Class A3 | ||||
4.13%, 04/12/27 | 2,350,000 | 2,336,418 | ||
CCG Receivables Trust, Series 2022-1, Class A2 | ||||
3.91%, 07/16/29 144A | 3,450,000 | 3,431,006 | ||
Cedar Funding VI CLO, Ltd., Series 2016-6A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 2.11%, 04/20/34 144A † | 550,000 | 527,959 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class B | ||||
3.11%, 04/15/31 144A | 240,000 | 240,034 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class C | ||||
3.36%, 04/15/31 144A | 230,000 | 230,033 |
Par | Value | |||
Chesapeake Funding II LLC, Series 2019-1A, Class D | ||||
3.80%, 04/15/31 144A | $370,000 | $370,047 | ||
Chesapeake Funding II LLC, Series 2020-1A, Class B | ||||
1.24%, 08/15/32 144A | 100,000 | 96,574 | ||
CIFC Funding, Ltd., Series 2012-2RA, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%), 1.86%, 01/20/28 144A † | 164,537 | 162,711 | ||
CIFC Funding, Ltd., Series 2018-3A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 2.14%, 07/18/31 144A † | 500,000 | 489,580 | ||
CIFC Funding, Ltd., Series 2021-5A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.14%, 1.14% Floor), 2.18%, 07/15/34 144A † | 250,000 | 241,049 | ||
CLNC, Ltd., Series 2019-FL1, Class A | ||||
(Floating, CME Term SOFR 1M + 1.36%, 1.25% Floor), 2.87%, 08/20/35 144A † | 952,202 | 937,530 | ||
College Ave Student Loans LLC, Series 2021-B, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 1.81%, 06/25/52 144A † | 220,947 | 213,388 | ||
College Ave Student Loans LLC, Series 2021-C, Class B | ||||
2.72%, 07/26/55 144A | 100,000 | 88,854 | ||
Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A | ||||
2.38%, 11/15/28 144A | 140,931 | 140,774 | ||
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A | ||||
2.01%, 02/15/29 144A | 617,796 | 615,739 | ||
Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A | ||||
1.37%, 07/16/29 144A | 300,000 | 295,586 | ||
Credit Acceptance Auto Loan Trust, Series 2021-2A, Class A | ||||
0.96%, 02/15/30 144A | 800,000 | 766,246 | ||
Credit Acceptance Auto Loan Trust, Series 2022-1A, Class A | ||||
4.60%, 06/15/32 144A | 620,000 | 617,421 | ||
CSAB Mortgage-Backed Trust, Series 2006-2, Class A6A | ||||
(Step to 6.20% on 04/25/36), 6.22%, 09/25/36 STEP | 244,377 | 90,233 | ||
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor), 2.16%, 12/25/34† | 663,185 | 630,015 | ||
DataBank Issuer, Series 2021-1A, Class A2 | ||||
2.06%, 02/27/51 144A | 650,000 | 588,976 |
Par | Value | |||
DataBank Issuer, Series 2021-2A, Class A2 | ||||
2.40%, 10/25/51 144A | $1,200,000 | $1,071,358 | ||
Dewolf Park CLO, Ltd., Series 2017-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.92%, 0.90% Floor), 1.96%, 10/15/30 144A † | 2,950,000 | 2,891,822 | ||
Diamond Infrastructure Funding LLC, Series 2021-1A, Class A | ||||
1.76%, 04/15/49 144A | 1,650,000 | 1,420,396 | ||
Diamond Issuer, Series 2021-1A, Class A | ||||
2.31%, 11/20/51 144A | 1,750,000 | 1,541,575 | ||
Discover Card Execution Note Trust, Series 2022-A2, Class A | ||||
3.32%, 05/15/27 | 670,000 | 667,962 | ||
Drive Auto Receivables Trust, Series 2020-1, Class C | ||||
2.36%, 03/16/26 | 478,493 | 477,915 | ||
Drive Auto Receivables Trust, Series 2020-2, Class B | ||||
1.42%, 03/17/25 | 90,395 | 90,348 | ||
Drive Auto Receivables Trust, Series 2021-1, Class B | ||||
0.65%, 07/15/25 | 1,650,000 | 1,642,773 | ||
Drive Auto Receivables Trust, Series 2021-3, Class B | ||||
1.11%, 05/15/26 | 1,350,000 | 1,295,606 | ||
Dryden 36 Senior Loan Fund, Series 2014-36A, Class AR3 | ||||
(Floating, ICE LIBOR USD 3M + 1.02%, 1.02% Floor), 2.06%, 04/15/29 144A † | 235,554 | 231,978 | ||
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 2.10%, 04/20/34 144A † | 1,000,000 | 957,177 | ||
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 1.94%, 04/15/29 144A † | 918,868 | 906,812 | ||
EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A | ||||
3.58%, 11/25/38 144A | 198,910 | 191,204 | ||
EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A | ||||
1.80%, 11/25/45 144A | 74,203 | 65,978 | ||
ELFI Graduate Loan Program LLC, Series 2021-A, Class A | ||||
1.53%, 12/26/46 144A | 3,846,064 | 3,494,608 | ||
ELFI Graduate Loan Program LLC, Series 2022-A, Class A | ||||
4.51%, 08/26/47 144A | 450,000 | 448,899 | ||
Elmwood CLO II, Ltd., Series 2019-2A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 2.21%, 04/20/34 144A † | 1,700,000 | 1,644,973 |
Par | Value | |||
Enterprise Fleet Financing LLC, Series 2022-1, Class A2 | ||||
3.03%, 01/20/28 144A | $ 925,000 | $ 909,079 | ||
Fairstone Financial Issuance Trust I, Series 2020-1A, Class A | ||||
2.51%, 10/20/39(C) 144A | 460,000 | 336,377 | ||
FHLMC Structured Pass-Through Certificates, Series T-32, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.26%, 0.26% Floor), 1.88%, 08/25/31† | 159,512 | 156,424 | ||
FirstKey Homes Trust, Series 2020-SFR2, Class A | ||||
1.27%, 10/19/37 144A | 2,482,321 | 2,288,301 | ||
Flexential Issuer, Series 2021-1A, Class A2 | ||||
3.25%, 11/27/51 144A | 1,250,000 | 1,145,587 | ||
Ford Auto Securitization Trust, Series 2020-AA, Class A2 | ||||
0.89%, 08/15/24(C) 144A | 1,628,970 | 1,251,992 | ||
FS Rialto Issuer LLC, Series 2022-FL4, Class A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.90%, 1.90% Floor), 2.69%, 01/19/39 144A † | 375,000 | 368,167 | ||
FS RIALTO, Series 2021-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.22%, 1.22% Floor), 2.73%, 05/16/38 144A † | 270,000 | 264,619 | ||
FS Rialto, Series 2021-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 2.76%, 11/16/36 144A † | 515,000 | 492,608 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class B | ||||
2.03%, 04/16/25 | 390,000 | 383,250 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class C | ||||
2.18%, 05/16/25 | 300,000 | 294,260 | ||
GMF Canada Leasing Trust, Series 2020-1A, Class A2 | ||||
0.91%, 07/20/23(C) 144A | 49,939 | 38,786 | ||
GMF Canada Leasing Trust, Series 2020-1A, Class A3 | ||||
1.05%, 11/20/25(C) 144A | 1,690,000 | 1,306,638 | ||
GMF Canada Leasing Trust, Series 2021-1A, Class A2 | ||||
0.64%, 03/20/24(C) 144A | 1,426,001 | 1,099,606 | ||
GMF Floorplan Owner Revolving Trust, Series 2019-2, Class A | ||||
2.90%, 04/15/26 144A | 2,000,000 | 1,971,635 | ||
Goldentree Loan Management U.S. CLO 1, Ltd., Series 2017-1A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.02%, 1.02% Floor), 2.08%, 04/20/34 144A † | 348,000 | 332,605 |
Par | Value | |||
GoodLeap Sustainable Home Solutions Trust, Series 2021-4GS, Class A | ||||
1.93%, 07/20/48 144A | $ 193,151 | $ 164,979 | ||
GoodLeap Sustainable Home Solutions Trust, Series 2022-1GS, Class A | ||||
2.70%, 01/20/49 144A | 118,806 | 106,598 | ||
GoodLeap Sustainable Home Solutions Trust, Series 2022-2CS, Class A | ||||
4.00%, 04/20/49 144A | 67,891 | 66,237 | ||
GPMT, Ltd., Series 2021-FL4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 2.99%, 12/15/36 144A † | 500,000 | 484,498 | ||
GreatAmerica Leasing Receivables Funding LLC, Series 2021-1, Class A3 | ||||
0.34%, 08/15/24 144A | 1,100,000 | 1,064,635 | ||
Greystone CRE Notes, Ltd., Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 2.50%, 09/15/37 144A † | 1,770,000 | 1,750,062 | ||
Gulf Stream Meridian 4, Ltd., Series 2021-4A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 2.24%, 07/15/34 144A † | 900,000 | 873,239 | ||
Harley-Davidson Motorcycle Trust, Series 2020-A, Class A3 | ||||
1.87%, 10/15/24 | 215,641 | 215,126 | ||
Hertz Vehicle Financing LLC, Series 2021-1A, Class A | ||||
1.21%, 12/26/25 144A | 1,700,000 | 1,591,852 | ||
ITE Rail Fund Levered LP, Series 2021-3, Class A | ||||
2.21%, 06/28/51 144A | 1,524,681 | 1,368,009 | ||
Kubota Credit Owner Trust, Series 2020-2A, Class A3 | ||||
0.59%, 10/15/24 144A | 1,469,854 | 1,441,160 | ||
LCCM Trust, Series 2021-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%, 1.20% Floor), 2.52%, 12/13/38 144A † | 1,600,000 | 1,568,720 | ||
LCM XX LP, Series 20A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.04%), 2.10%, 10/20/27 144A † | 483,239 | 479,253 | ||
Lendmark Funding Trust, Series 2019-2A, Class A | ||||
2.78%, 04/20/28 144A | 350,000 | 342,889 | ||
Lendmark Funding Trust, Series 2021-1A, Class A | ||||
1.90%, 11/20/31 144A | 280,000 | 243,405 |
Par | Value | |||
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 2.45%, 05/15/28 144A † | $ 36,594 | $ 36,524 | ||
LoanCore Issuer, Ltd., Series 2021-CRE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 2.62%, 07/15/36 144A † | 2,490,000 | 2,431,878 | ||
LoanCore Issuer, Ltd., Series 2021-CRE6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 2.62%, 11/15/38 144A † | 300,000 | 288,521 | ||
Madison Park Funding XIII, Ltd., Series 2014-13A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.90%), 2.94%, 04/19/30 144A † | 400,000 | 387,231 | ||
Madison Park Funding XIX, Ltd., Series 2015-19A, Class A2R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.50%, 1.50% Floor), 2.64%, 01/22/28 144A † | 600,000 | 583,135 | ||
Madison Park Funding XVII, Ltd., Series 2015-17A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 2.10%, 07/21/30 144A † | 4,300,000 | 4,230,383 | ||
Magnetite VII, Ltd., Series 2012-7A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%), 1.84%, 01/15/28 144A † | 2,730,929 | 2,693,588 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 0.98%, 0.98% Floor), 2.02%, 04/15/31 144A † | 530,000 | 521,043 | ||
Mariner Finance Issuance Trust, Series 2019-AA, Class A | ||||
2.96%, 07/20/32 144A | 308,000 | 305,664 | ||
Mariner Finance Issuance Trust, Series 2020-AA, Class A | ||||
2.19%, 08/21/34 144A | 140,000 | 134,538 | ||
Mariner Finance Issuance Trust, Series 2021-AA, Class A | ||||
1.86%, 03/20/36 144A | 110,000 | 97,419 | ||
MBarc Credit Canada, Inc., Series 2021-AA, Class A2 | ||||
0.63%, 05/15/24(C) 144A | 1,700,000 | 1,298,673 | ||
MMAF Equipment Finance LLC, Series 2020-BA, Class A3 | ||||
0.49%, 08/14/25 144A | 1,360,000 | 1,303,284 | ||
Mosaic Solar Loan Trust, Series 2022-1A, Class A | ||||
2.64%, 01/20/53 144A | 218,688 | 197,329 |
Par | Value | |||
Navient Private Education Loan Trust, Series 2020-IA, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 2.32%, 04/15/69 144A † | $1,643,168 | $1,618,659 | ||
Navient Private Education Refinancing Loan Trust, Series 2019-CA, Class A2 | ||||
3.13%, 02/15/68 144A | 190,633 | 186,182 | ||
Navient Private Education Refinancing Loan Trust, Series 2019-EA, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.92%), 2.24%, 05/15/68 144A † | 361,419 | 358,940 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-A, Class A2A | ||||
2.46%, 11/15/68 144A | 519,605 | 493,048 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.90%), 2.22%, 11/15/68 144A † | 86,601 | 85,234 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-DA, Class A | ||||
1.69%, 05/15/69 144A | 731,874 | 691,845 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-FA, Class A | ||||
1.22%, 07/15/69 144A | 331,523 | 316,635 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-HA, Class A | ||||
1.31%, 01/15/69 144A | 1,132,438 | 1,056,206 | ||
Navient Private Education Refinancing Loan Trust, Series 2021-A, Class A | ||||
0.84%, 05/15/69 144A | 466,913 | 427,723 | ||
Navient Private Education Refinancing Loan Trust, Series 2021-CA, Class A | ||||
1.06%, 10/15/69 144A | 1,306,928 | 1,205,146 | ||
Navient Private Education Refinancing Loan Trust, Series 2021-DA, Class A | ||||
(Floating, Prime Rate U.S. - 1.99%), 2.01%, 04/15/60 144A † | 475,402 | 453,878 | ||
Navient Private Education Refinancing Loan Trust, Series 2021-FA, Class A | ||||
1.11%, 02/18/70 144A | 1,445,592 | 1,267,635 | ||
Navient Private Education Refinancing Loan Trust, Series 2022-A, Class A | ||||
2.23%, 07/15/70 144A | 1,667,223 | 1,554,400 | ||
Navient Private Education Refinancing Loan Trust, Series 2022-BA, Class A | ||||
4.16%, 10/15/70 144A | 1,311,000 | 1,302,101 |
Par | Value | |||
Navient Student Loan Trust, Series 2016-6A, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%), 2.37%, 03/25/66 144A † | $ 341,459 | $ 341,225 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 2.67%, 12/27/66 144A † | 817,071 | 807,093 | ||
Navient Student Loan Trust, Series 2017-5A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 2.42%, 07/26/66 144A † | 803,170 | 778,391 | ||
Navient Student Loan Trust, Series 2018-EA, Class A2 | ||||
4.00%, 12/15/59 144A | 49,836 | 49,702 | ||
Navient Student Loan Trust, Series 2019-BA, Class A2A | ||||
3.39%, 12/15/59 144A | 271,844 | 263,176 | ||
Nelnet Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 2.42%, 09/25/65 144A † | 728,086 | 717,879 | ||
Nelnet Student Loan Trust, Series 2021-A, Class APT2 | ||||
1.36%, 04/20/62 144A | 685,083 | 633,584 | ||
Nelnet Student Loan Trust, Series 2021-BA, Class AFX | ||||
1.42%, 04/20/62 144A | 642,522 | 596,144 | ||
Nelnet Student Loan Trust, Series 2021-CA, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 0.74%), 2.34%, 04/20/62 144A † | 521,674 | 509,455 | ||
Nelnet Student Loan Trust, Series 2021-DA, Class AFX | ||||
1.63%, 04/20/62 144A | 559,394 | 521,557 | ||
Neuberger Berman CLO XVI-S, Ltd., Series 2017-16SA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 2.08%, 04/15/34 144A † | 1,145,000 | 1,097,780 | ||
Neuberger Berman Loan Advisers CLO, Ltd., Series 2017-26A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.92%, 0.92% Floor), 1.96%, 10/18/30 144A † | 680,000 | 666,198 | ||
NLY Commercial Mortgage Trust, Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 2.62%, 02/15/36 144A † | 62,013 | 61,910 | ||
OCP CLO, Ltd., Series 2017-13A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.55%, 1.55% Floor), 2.59%, 07/15/30 144A † | 900,000 | 855,950 |
Par | Value | |||
OCP CLO, Ltd., Series 2020-19A, Class BR | ||||
(Floating, ICE LIBOR USD 3M + 1.70%, 1.70% Floor), 2.76%, 10/20/34 144A † | $ 250,000 | $ 234,504 | ||
Octagon Investment Partners 36, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.97%), 2.01%, 04/15/31 144A † | 500,000 | 488,018 | ||
OHA Credit Funding 2, Ltd., Series 2019-2A , Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 2.25%, 04/21/34 144A † | 750,000 | 729,366 | ||
OHA Credit Funding 4, Ltd., Series 2019-4A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 2.29%, 10/22/36 144A † | 750,000 | 724,134 | ||
OneMain Direct Auto Receivables Trust, Series 2022-1A, Class A1 | ||||
4.65%, 03/14/29 144A | 2,450,000 | 2,463,650 | ||
OneMain Financial Issuance Trust, Series 2022-S1, Class A | ||||
4.13%, 05/14/35 144A | 566,000 | 558,202 | ||
OZLM Funding IV, Ltd., Series 2013-4A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 2.39%, 10/22/30 144A † | 981,168 | 969,224 | ||
Palmer Square CLO, Ltd., Series 2013-2A, Class A1A3 | ||||
(Floating, ICE LIBOR USD 3M + 1.00%, 1.00% Floor), 2.04%, 10/17/31 144A † | 250,000 | 244,193 | ||
Palmer Square CLO, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.03%, 1.03% Floor), 2.07%, 04/18/31 144A † | 1,550,000 | 1,518,981 | ||
Palmer Square Loan Funding, Ltd., Series 2020-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 2.28%, 02/20/28 144A † | 404,483 | 400,759 | ||
PFS Financing Corporation, Series 2020-F, Class A | ||||
0.93%, 08/15/24 144A | 684,000 | 682,685 | ||
PFS Financing Corporation, Series 2020-G, Class A | ||||
0.97%, 02/15/26 144A | 330,000 | 313,564 | ||
PFS Financing Corporation, Series 2021-A, Class A | ||||
0.71%, 04/15/26 144A | 230,000 | 215,571 | ||
PFS Financing Corporation, Series 2022-C, Class A | ||||
3.89%, 05/15/27 144A | 1,005,000 | 995,068 | ||
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 | 548,564 | 516,253 |
Par | Value | |||
Prodigy Finance CM DAC, Series 2021-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%), 2.87%, 07/25/51 144A † | $ 150,160 | $ 147,634 | ||
Progress Residential Trust, Series 2021-SFR10, Class A | ||||
2.39%, 12/17/40 144A | 152,000 | 133,649 | ||
Regional Management Issuance Trust, Series 2020-1, Class A | ||||
2.34%, 10/15/30 144A | 110,000 | 104,522 | ||
Regional Management Issuance Trust, Series 2021-2, Class A | ||||
1.90%, 08/15/33 144A | 221,000 | 190,730 | ||
Regional Management Issuance Trust, Series 2022-1, Class B | ||||
3.71%, 03/15/32 144A | 100,000 | 93,592 | ||
Santander Bank NA, Series 2021-1A, Class B | ||||
1.83%, 12/15/31 144A | 439,145 | 426,927 | ||
Santander Drive Auto Receivables Trust, Series 2020-2, Class C | ||||
1.46%, 09/15/25 | 363,816 | 362,707 | ||
Santander Drive Auto Receivables Trust, Series 2022-2, Class A3 | ||||
2.98%, 10/15/26 | 1,500,000 | 1,479,523 | ||
Santander Drive Auto Receivables Trust, Series 2022-3, Class A3 | ||||
3.40%, 12/15/26 | 1,300,000 | 1,292,001 | ||
Signal Peak CLO 12, Ltd., Series 2022-12A, Class A1 | ||||
3.66%, 07/18/34 144A | 350,000 | 349,717 | ||
Signal Peak CLO 5, Ltd., Series 2018-5A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.11%, 1.11% Floor), 2.29%, 04/25/31 144A † | 400,000 | 392,663 | ||
SLM Private Credit Student Loan Trust, Series 2004-A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 2.23%, 06/15/33† | 230,894 | 224,901 | ||
SLM Private Credit Student Loan Trust, Series 2007-A, Class A4A | ||||
(Floating, ICE LIBOR USD 3M + 0.24%), 2.07%, 12/16/41† | 183,599 | 177,179 | ||
SMB Private Education Loan Trust, Series 2016-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 1.50%), 2.82%, 05/15/31 144A † | 331,496 | 330,636 | ||
SMB Private Education Loan Trust, Series 2018-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.72%), 2.04%, 01/15/37 144A † | 345,204 | 338,236 | ||
SMB Private Education Loan Trust, Series 2020-A, Class A2A | ||||
2.23%, 09/15/37 144A | 778,823 | 743,925 |
Par | Value | |||
SMB Private Education Loan Trust, Series 2020-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.83%), 2.15%, 09/15/37 144A † | $ 77,882 | $ 76,226 | ||
SMB Private Education Loan Trust, Series 2020-PTA, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.85%), 2.47%, 09/15/54 144A † | 2,200,843 | 2,152,842 | ||
SMB Private Education Loan Trust, Series 2021-A, Class APL | ||||
0.00%, 01/15/53 144A | 714,808 | 693,715 | ||
SMB Private Education Loan Trust, Series 2021-A, Class B | ||||
2.31%, 01/15/53 144A | 160,000 | 145,862 | ||
SMB Private Education Loan Trust, Series 2021-B, Class A | ||||
1.31%, 07/17/51 144A | 501,992 | 466,082 | ||
SMB Private Education Loan Trust, Series 2022-A, Class APT | ||||
2.85%, 11/16/54 144A | 945,951 | 876,454 | ||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B | ||||
2.36%, 12/27/32 144A | 5,160 | 5,158 | ||
SoFi Professional Loan Program LLC, Series 2016-D, Class A2B | ||||
2.34%, 04/25/33 144A | 21,245 | 21,072 | ||
SoFi Professional Loan Program LLC, Series 2016-F, Class A2 | ||||
3.02%, 02/25/40 144A | 308,373 | 302,574 | ||
SoFi Professional Loan Program LLC, Series 2019-B, Class A2FX | ||||
3.09%, 08/17/48 144A | 97,112 | 95,021 | ||
SoFi Professional Loan Program Trust, Series 2018-C, Class A2FX | ||||
3.59%, 01/25/48 144A | 97,796 | 96,395 | ||
SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX | ||||
2.54%, 05/15/46 144A | 383,177 | 367,532 | ||
SoFi Professional Loan Program Trust, Series 2021-B, Class AFX | ||||
1.14%, 02/15/47 144A | 1,697,128 | 1,531,328 | ||
SoFi Professional Loan Program, Series 2018-B, Class A2FX | ||||
3.34%, 08/25/47 144A | 254,818 | 251,262 | ||
Stack Infrastructure Issuer LLC, Series 2021-1A, Class A2 | ||||
1.88%, 03/26/46 144A | 1,600,000 | 1,440,326 | ||
Structured Asset Securities Corporation Mortgage Loan Trust, Series 2005-7XS, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 1.50%, 1.50% Floor), 2.56%, 04/25/35† | 96,899 | 95,590 | ||
STWD, Ltd., Series 2019-FL1, Class A | ||||
(Floating, CME Term SOFR 1M + 1.19%, 1.08% Floor), 2.53%, 07/15/38 144A † | 1,085,359 | 1,078,812 |
Par | Value | |||
TCI-Symphony CLO, Ltd., Series 2017-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.93%, 0.93% Floor), 1.97%, 07/15/30 144A † | $3,100,000 | $3,048,053 | ||
TICP CLO VI, Ltd., Series 2016-6A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.12%, 1.12% Floor), 2.16%, 01/15/34 144A † | 1,000,000 | 970,038 | ||
Towd Point Mortgage Trust, Series 2019-MH1, Class A1 | ||||
3.00%, 11/25/58 144A | 266,259 | 263,223 | ||
Toyota Auto Receivables Owner Trust, Series 2022-B, Class A3 | ||||
2.93%, 09/15/26 | 1,457,000 | 1,439,085 | ||
Transportation Finance Equipment Trust, Series 2019-1, Class A3 | ||||
1.85%, 04/24/23 144A | 64,883 | 64,835 | ||
TRESTLES CLO, Ltd., Series 2017-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.99%, 0.99% Floor), 2.17%, 04/25/32 144A † | 550,000 | 537,126 | ||
Trinitas CLO XVIII, Ltd., Series 2021-18A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.17%, 1.17% Floor), 2.23%, 01/20/35 144A † | 250,000 | 239,929 | ||
TRP - TRIP Rail Master Funding LLC, Series 2021-2, Class A | ||||
2.15%, 06/19/51 144A | 1,688,102 | 1,515,153 | ||
TRTX Issuer, Ltd., Series 2019-FL3, Class A | ||||
(Floating, CME Term SOFR 1M + 1.26%, 1.15% Floor), 2.74%, 10/15/34 144A † | 870,045 | 866,564 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 199,008 | 195,883 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class B | ||||
4.88%, 01/15/26 | 37,350 | 35,524 | ||
Venture XVII CLO, Ltd., Series 2014-17A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 1.92%, 04/15/27 144A † | 262,629 | 259,207 | ||
Verizon Owner Trust, Series 2020-A, Class A1A | ||||
1.85%, 07/22/24 | 228,875 | 228,208 | ||
Voya CLO, Ltd., Series 2018-4A, Class BR | ||||
(Floating, ICE LIBOR USD 3M + 1.65%, 1.65% Floor), 2.69%, 01/15/32 144A † | 250,000 | 245,190 | ||
Westlake Automobile Receivables Trust, Series 2020-1A, Class C | ||||
2.52%, 04/15/25 144A | 620,000 | 618,557 |
Par | Value | |||
Westlake Automobile Receivables Trust, Series 2020-2A, Class B | ||||
1.32%, 07/15/25 144A | $ 717,625 | $ 716,414 | ||
Westlake Automobile Receivables Trust, Series 2022-1A, Class A3 | ||||
2.42%, 07/15/25 144A | 1,750,000 | 1,708,438 | ||
Westlake Automobile Receivables Trust, Series 2022-2A, Class A3 | ||||
3.75%, 04/15/26 144A | 3,550,000 | 3,534,073 | ||
Wingstop Funding LLC, Series 2020-1A, Class A2 | ||||
2.84%, 12/05/50 144A | 1,044,750 | 933,016 | ||
World Omni Automobile Lease Securitization Trust, Series 2022-A, Class A3 | ||||
3.21%, 02/18/25 | 2,300,000 | 2,289,003 | ||
Total Asset-Backed Securities (Cost $174,528,583) | 168,700,955 | |||
COMMERCIAL PAPER — 1.5% | ||||
CenterPoint Energy, Inc. | ||||
1.50%, 07/13/22Ω | 3,600,000 | 3,598,140 | ||
Duke Energy Corporation | ||||
1.88%, 07/26/22Ω | 3,600,000 | 3,595,125 | ||
Fiserv, Inc. | ||||
1.82%, 07/12/22Ω | 3,600,000 | 3,597,855 | ||
HSBC U.S.A., Inc. | ||||
3.84%, 06/14/23Ω | 1,160,000 | 1,117,705 | ||
TransCanada PipeLines, Ltd. | ||||
1.45%, 07/25/22Ω | 3,600,000 | 3,594,995 | ||
Total Commercial Paper (Cost $15,504,349) | 15,503,820 | |||
CORPORATE BONDS — 20.0% | ||||
7-Eleven, Inc. | ||||
0.95%, 02/10/26 144A Δ | 1,600,000 | 1,414,312 | ||
AES Corporation (The) | ||||
1.38%, 01/15/26 | 1,700,000 | 1,501,290 | ||
Air Lease Corporation | ||||
2.63%, 07/01/22 | 150,000 | 150,000 | ||
2.25%, 01/15/23 | 1,355,000 | 1,341,531 | ||
2.75%, 01/15/23 | 175,000 | 173,792 | ||
0.80%, 08/18/24 | 490,000 | 449,064 | ||
1.88%, 08/15/26 | 200,000 | 173,159 | ||
Albertsons Cos., Inc. | ||||
7.50%, 03/15/26 144A | 485,000 | 483,300 | ||
Alexander Funding Trust | ||||
1.84%, 11/15/23 144A | 1,355,000 | 1,297,986 | ||
Ally Financial, Inc. | ||||
1.45%, 10/02/23 | 2,135,000 | 2,065,117 | ||
3.88%, 05/21/24 | 400,000 | 396,757 | ||
Ameren Corporation | ||||
2.50%, 09/15/24 | 610,000 | 591,758 | ||
American Electric Power Co., Inc. | ||||
0.75%, 11/01/23 | 180,000 | 173,210 | ||
2.03%, 03/15/24 | 360,000 | 348,494 | ||
American International Group, Inc. | ||||
1.88%, 06/21/27(E) | 100,000 | 99,285 | ||
American Tower Corporation REIT | ||||
0.60%, 01/15/24Δ | 1,300,000 | 1,235,057 |
Par | Value | |||
2.40%, 03/15/25 | $ 215,000 | $ 203,389 | ||
1.60%, 04/15/26Δ | 570,000 | 510,162 | ||
1.45%, 09/15/26 | 600,000 | 525,243 | ||
0.45%, 01/15/27(E) | 205,000 | 187,396 | ||
0.40%, 02/15/27(E) | 300,000 | 271,231 | ||
Aon Corporation | ||||
2.85%, 05/28/27 | 290,000 | 272,240 | ||
AT&T, Inc. | ||||
(Floating, Australian BBSW 3M + 1.25%), 3.11%, 09/19/23(A) † | 1,620,000 | 1,123,433 | ||
Aviation Capital Group LLC | ||||
4.38%, 01/30/24 144A | 1,000,000 | 982,749 | ||
1.95%, 01/30/26 144A | 285,000 | 248,231 | ||
1.95%, 09/20/26 144A | 345,000 | 293,435 | ||
Bank of America Corporation | ||||
(Variable, ICE LIBOR USD 3M + 0.79%), 3.00%, 12/20/23^ | 330,000 | 329,001 | ||
(Variable, CAD Offered Rate 3M + 0.82%), 3.30%, 04/24/24(C) ^ | 2,000,000 | 1,544,228 | ||
(Variable, U.S. SOFR + 0.74%), 0.81%, 10/24/24^ | 1,850,000 | 1,764,370 | ||
(Variable, U.S. SOFR + 0.67%), 1.84%, 02/04/25^ | 1,635,000 | 1,577,334 | ||
(Variable, U.S. SOFR + 0.69%), 0.98%, 04/22/25^ | 1,555,000 | 1,463,944 | ||
(Variable, U.S. SOFR + 1.11%), 3.84%, 04/25/25Δ ^ | 1,765,000 | 1,757,633 | ||
(Variable, U.S. SOFR + 0.65%), 1.53%, 12/06/25^ | 1,860,000 | 1,732,688 | ||
(Variable, U.S. SOFR + 1.33%), 3.38%, 04/02/26^ | 480,000 | 465,900 | ||
(Variable, U.S. SOFR + 1.15%), 1.32%, 06/19/26^ | 429,000 | 390,539 | ||
(Variable, U.S. SOFR + 0.91%), 1.66%, 03/11/27^ | 500,000 | 448,949 | ||
Bank of New York Mellon Corporation (The) | ||||
(Variable, U.S. SOFR + 0.57%), 3.43%, 06/13/25Δ ^ | 335,000 | 332,542 | ||
Becton Dickinson Euro Finance S.a.r.l. | ||||
1.21%, 06/04/26(E) | 120,000 | 118,266 | ||
Becton, Dickinson and Co. | ||||
0.03%, 08/13/25(E) | 100,000 | 97,130 | ||
Berry Global, Inc. | ||||
0.95%, 02/15/24 | 1,035,000 | 980,973 | ||
1.57%, 01/15/26 | 1,600,000 | 1,429,343 | ||
Blackstone Private Credit Fund | ||||
3.25%, 03/15/27 144A | 700,000 | 594,455 | ||
4.00%, 01/15/29 144A | 320,000 | 262,540 | ||
Blackstone Secured Lending Fund | ||||
3.65%, 07/14/23 | 985,000 | 965,672 | ||
Boeing Co. (The) | ||||
4.51%, 05/01/23 | 3,000,000 | 3,008,246 | ||
1.43%, 02/04/24 | 1,970,000 | 1,883,396 | ||
2.20%, 02/04/26 | 200,000 | 180,586 | ||
Booking Holdings, Inc. | ||||
0.10%, 03/08/25(E) | 160,000 | 158,169 |
Par | Value | |||
Brighthouse Financial Global Funding | ||||
1.00%, 04/12/24 144A | $ 330,000 | $ 311,764 | ||
1.75%, 01/13/25 144A | 1,330,000 | 1,237,857 | ||
Broadcom Corporation | ||||
3.88%, 01/15/27 | 100,000 | 96,309 | ||
Broadcom, Inc. | ||||
3.15%, 11/15/25 | 1,075,000 | 1,036,531 | ||
Brunswick Corporation | ||||
0.85%, 08/18/24Δ | 1,045,000 | 966,547 | ||
Calpine Corporation | ||||
5.25%, 06/01/26 144A Δ | 67,000 | 63,772 | ||
Cantor Fitzgerald LP | ||||
4.88%, 05/01/24 144A | 1,800,000 | 1,809,032 | ||
Capital One Financial Corporation | ||||
(Variable, U.S. SOFR + 2.06%), 4.93%, 05/10/28Δ ^ | 1,015,000 | 1,006,065 | ||
Carnival Corporation | ||||
4.00%, 08/01/28 144A Δ | 375,000 | 308,827 | ||
CCO Holdings LLC | ||||
5.13%, 05/01/27 144A | 750,000 | 710,242 | ||
CDK Global, Inc. | ||||
4.88%, 06/01/27 | 125,000 | 122,162 | ||
CDW LLC | ||||
5.50%, 12/01/24 | 275,000 | 276,485 | ||
CenterPoint Energy Resources Corporation | ||||
0.70%, 03/02/23 | 400,000 | 391,821 | ||
(Floating, ICE LIBOR USD 3M + 0.50%), 2.11%, 03/02/23† | 172,000 | 171,544 | ||
Charles Schwab Corporation (The) | ||||
2.45%, 03/03/27 | 300,000 | 280,019 | ||
Charter Communications Operating LLC | ||||
4.50%, 02/01/24 | 2,700,000 | 2,718,155 | ||
Cheniere Corpus Christi Holdings LLC | ||||
5.88%, 03/31/25 | 630,000 | 645,758 | ||
Cheniere Energy, Inc. | ||||
4.63%, 10/15/28 | 425,000 | 384,109 | ||
Citigroup, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.02%), 2.60%, 06/01/24† | 1,000,000 | 993,664 | ||
(Variable, U.S. SOFR + 1.53%), 3.29%, 03/17/26^ | 1,325,000 | 1,282,582 | ||
(Variable, U.S. SOFR + 2.84%), 3.11%, 04/08/26^ | 525,000 | 504,631 | ||
(Variable, U.S. SOFR + 0.77%), 1.46%, 06/09/27^ | 1,365,000 | 1,209,179 | ||
Citrix Systems, Inc. | ||||
1.25%, 03/01/26 | 600,000 | 581,250 | ||
CommonSpirit Health | ||||
1.55%, 10/01/25 | 800,000 | 738,813 | ||
ConocoPhillips Co. | ||||
2.40%, 03/07/25 | 1,300,000 | 1,255,787 | ||
Corebridge Financial, Inc. | ||||
3.50%, 04/04/25 144A | 2,000,000 | 1,945,141 | ||
3.65%, 04/05/27 144A | 600,000 | 564,554 | ||
Crown Americas LLC | ||||
4.75%, 02/01/26 | 150,000 | 143,027 |
Par | Value | |||
Crown Castle International Corporation REIT | ||||
1.35%, 07/15/25 | $ 335,000 | $ 306,562 | ||
CrownRock LP | ||||
5.63%, 10/15/25 144A | 500,000 | 471,355 | ||
CVS Health Corporation | ||||
1.30%, 08/21/27 | 500,000 | 431,211 | ||
Daimler Finance North America LLC | ||||
2.55%, 08/15/22 144A Δ | 1,000,000 | 1,000,298 | ||
0.75%, 03/01/24 144A | 1,790,000 | 1,701,912 | ||
Daimler Trucks Finance North America LLC | ||||
1.13%, 12/14/23 144A | 1,640,000 | 1,575,445 | ||
1.63%, 12/13/24 144A | 590,000 | 555,225 | ||
2.00%, 12/14/26 144A | 150,000 | 134,902 | ||
Dell International LLC | ||||
5.45%, 06/15/23 | 316,000 | 319,291 | ||
Devon Energy Corporation | ||||
5.25%, 09/15/24 | 915,000 | 934,119 | ||
Discover Bank | ||||
3.35%, 02/06/23 | 1,590,000 | 1,590,437 | ||
Endeavor Energy Resources LP | ||||
6.63%, 07/15/25 144A | 400,000 | 402,538 | ||
Energy Transfer LP | ||||
3.60%, 02/01/23 | 105,000 | 104,726 | ||
4.25%, 03/15/23 | 1,880,000 | 1,879,553 | ||
2.90%, 05/15/25 | 260,000 | 247,391 | ||
EnLink Midstream Partners LP | ||||
4.15%, 06/01/25 | 275,000 | 256,520 | ||
EQM Midstream Partners LP | ||||
6.50%, 07/01/27 144A | 330,000 | 307,422 | ||
5.50%, 07/15/28 | 220,000 | 190,356 | ||
Equinix, Inc. REIT | ||||
2.63%, 11/18/24 | 985,000 | 945,686 | ||
1.45%, 05/15/26 | 570,000 | 506,713 | ||
Equitable Financial Life Global Funding | ||||
1.00%, 01/09/26 144A | 1,600,000 | 1,425,253 | ||
Evergy, Inc. | ||||
2.45%, 09/15/24 | 1,020,000 | 981,577 | ||
Eversource Energy | ||||
2.90%, 03/01/27 | 400,000 | 375,863 | ||
Exelon Corporation | ||||
2.75%, 03/15/27 144A | 150,000 | 140,346 | ||
F&G Global Funding | ||||
0.90%, 09/20/24 144A | 1,860,000 | 1,726,256 | ||
Fidelity National Information Services, Inc. | ||||
0.13%, 12/03/22(E) | 300,000 | 314,185 | ||
0.60%, 03/01/24 | 445,000 | 421,468 | ||
First-Citizens Bank & Trust Co. | ||||
(Variable, CME Term SOFR 3M + 1.72%), 2.97%, 09/27/25^ | 440,000 | 424,245 | ||
FirstEnergy Corporation | ||||
4.40%, 07/15/27 | 235,000 | 222,090 | ||
Fiserv, Inc. | ||||
3.20%, 07/01/26 | 395,000 | 374,767 |
Par | Value | |||
Ford Motor Credit Co. LLC | ||||
3.55%, 10/07/22 | $ 200,000 | $ 199,342 | ||
3.37%, 11/17/23 | 750,000 | 732,000 | ||
5.58%, 03/18/24 | 300,000 | 299,064 | ||
2.30%, 02/10/25 | 1,300,000 | 1,170,123 | ||
5.13%, 06/16/25 | 640,000 | 612,506 | ||
FS KKR Capital Corporation | ||||
4.25%, 02/14/25 144A | 880,000 | 830,440 | ||
GA Global Funding Trust | ||||
1.63%, 01/15/26 144A | 400,000 | 362,861 | ||
Gartner, Inc. | ||||
4.50%, 07/01/28 144A | 350,000 | 322,000 | ||
General Mills, Inc. | ||||
0.45%, 01/15/26(E) | 100,000 | 97,506 | ||
General Motors Co. | ||||
5.40%, 10/02/23 | 230,000 | 233,550 | ||
General Motors Financial Co., Inc. | ||||
(Floating, U.S. SOFR + 1.20%), 2.43%, 11/17/23† | 2,014,000 | 1,985,707 | ||
1.05%, 03/08/24 | 675,000 | 640,318 | ||
3.95%, 04/13/24 | 925,000 | 918,759 | ||
1.20%, 10/15/24Δ | 900,000 | 837,658 | ||
0.85%, 02/26/26(E) | 300,000 | 281,743 | ||
1.50%, 06/10/26 | 500,000 | 437,093 | ||
2.35%, 02/26/27Δ | 600,000 | 528,977 | ||
Glencore Funding LLC | ||||
4.63%, 04/29/24 144A | 1,800,000 | 1,801,771 | ||
Global Payments, Inc. | ||||
1.20%, 03/01/26 | 2,000,000 | 1,765,220 | ||
Goldman Sachs Group, Inc. (The) | ||||
1.38%, 07/26/22(E) | 220,000 | 230,723 | ||
(Floating, Australian BBSW 3M + 1.20%), 2.20%, 05/16/23(A) † | 2,000,000 | 1,382,605 | ||
(Variable, U.S. SOFR + 0.57%), 0.67%, 03/08/24^ | 1,830,000 | 1,788,501 | ||
(Variable, U.S. SOFR + 0.51%), 0.66%, 09/10/24^ | 215,000 | 205,835 | ||
(Variable, U.S. SOFR + 0.49%), 0.93%, 10/21/24^ | 1,900,000 | 1,818,151 | ||
3.50%, 04/01/25 | 380,000 | 372,993 | ||
(Variable, U.S. SOFR + 0.61%), 0.86%, 02/12/26^ | 810,000 | 737,624 | ||
(Variable, U.S. SOFR + 1.11%), 2.64%, 02/24/28^ | 540,000 | 490,488 | ||
(Variable, U.S. SOFR + 1.85%), 3.62%, 03/15/28^ | 265,000 | 250,997 | ||
Golub Capital BDC, Inc. | ||||
3.38%, 04/15/24 | 575,000 | 552,500 | ||
Graphic Packaging International LLC | ||||
0.82%, 04/15/24 144A | 735,000 | 691,931 | ||
Gray Oak Pipeline LLC | ||||
2.00%, 09/15/23 144A | 905,000 | 882,177 | ||
HCA, Inc. | ||||
5.00%, 03/15/24 | 1,400,000 | 1,407,549 | ||
5.38%, 02/01/25 | 525,000 | 523,837 | ||
5.88%, 02/15/26 | 295,000 | 297,078 | ||
Healthpeak Properties, Inc. REIT | ||||
1.35%, 02/01/27Δ | 145,000 | 127,160 |
Par | Value | |||
Hilton Domestic Operating Co., Inc. | ||||
5.38%, 05/01/25 144A | $ 500,000 | $ 491,250 | ||
Home Depot, Inc. (The) | ||||
2.88%, 04/15/27Δ | 180,000 | 174,049 | ||
Humana, Inc. | ||||
2.90%, 12/15/22 | 1,700,000 | 1,700,153 | ||
Huntington Ingalls Industries, Inc. | ||||
0.67%, 08/16/23 | 510,000 | 491,998 | ||
Hyundai Capital America | ||||
1.15%, 11/10/22 144A Δ | 3,840,000 | 3,813,072 | ||
1.25%, 09/18/23 144A | 900,000 | 872,534 | ||
1.00%, 09/17/24 144A | 855,000 | 794,338 | ||
1.65%, 09/17/26 144A | 360,000 | 317,734 | ||
Illinois Tool Works, Inc. | ||||
0.25%, 12/05/24(E) | 180,000 | 181,092 | ||
Infor, Inc. | ||||
1.45%, 07/15/23 144A | 365,000 | 355,269 | ||
Intercontinental Exchange, Inc. | ||||
4.00%, 09/15/27 | 495,000 | 487,646 | ||
International Flavors & Fragrances, Inc. | ||||
1.23%, 10/01/25 144A | 2,695,000 | 2,434,317 | ||
International Lease Finance Corporation | ||||
5.88%, 08/15/22 | 500,000 | 500,968 | ||
IQVIA, Inc. | ||||
5.00%, 05/15/27 144A Δ | 200,000 | 189,737 | ||
iStar, Inc. REIT | ||||
4.75%, 10/01/24 | 150,000 | 141,454 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 0.89%), 3.80%, 07/23/24^ | 374,000 | 372,818 | ||
1.50%, 01/27/25(E) | 120,000 | 123,393 | ||
(Variable, U.S. SOFR + 0.42%), 0.56%, 02/16/25^ | 790,000 | 744,501 | ||
(Variable, U.S. SOFR + 0.98%), 3.85%, 06/14/25^ | 1,770,000 | 1,754,258 | ||
(Variable, CME Term SOFR 3M + 0.58%), 0.97%, 06/23/25^ | 1,000,000 | 935,699 | ||
(Variable, U.S. SOFR + 1.16%), 2.30%, 10/15/25^ | 290,000 | 276,456 | ||
(Variable, U.S. SOFR + 0.92%), 2.60%, 02/24/26^ | 1,600,000 | 1,522,608 | ||
(Variable, U.S. SOFR + 1.85%), 2.08%, 04/22/26^ | 376,000 | 352,061 | ||
(Variable, U.S. SOFR + 1.32%), 4.08%, 04/26/26Δ ^ | 1,400,000 | 1,384,475 | ||
Kraft Heinz Foods Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.82%), 2.22%, 08/10/22† | 400,000 | 399,312 | ||
3.88%, 05/15/27Δ | 809,000 | 783,071 | ||
Lehman Brothers Holdings, Inc. | ||||
0.47%, 01/18/12ρ # | 600,000 | 2,400 | ||
Lennar Corporation | ||||
4.50%, 04/30/24 | 1,000,000 | 998,398 | ||
Level 3 Financing, Inc. | ||||
5.25%, 03/15/26 | 500,000 | 472,255 |
Par | Value | |||
Live Nation Entertainment, Inc. | ||||
6.50%, 05/15/27 144A | $ 125,000 | $ 123,189 | ||
Lowe's Cos., Inc. | ||||
3.35%, 04/01/27Δ | 810,000 | 780,145 | ||
Lumen Technologies, Inc. | ||||
5.13%, 12/15/26 144A Δ | 615,000 | 518,937 | ||
4.00%, 02/15/27 144A | 300,000 | 254,529 | ||
Magallanes, Inc. | ||||
3.43%, 03/15/24 144A | 665,000 | 652,499 | ||
3.64%, 03/15/25 144A | 300,000 | 290,933 | ||
3.79%, 03/15/25 144A | 600,000 | 582,170 | ||
Marathon Petroleum Corporation | ||||
4.70%, 05/01/25 | 130,000 | 131,696 | ||
Matador Resources Co. | ||||
5.88%, 09/15/26 | 500,000 | 481,570 | ||
McCormick & Co., Inc. | ||||
2.70%, 08/15/22 | 200,000 | 200,002 | ||
McDonald’s Corporation | ||||
(Floating, Australian BBSW 3M + 1.13%), 2.59%, 03/08/24(A) † | 2,000,000 | 1,385,297 | ||
Medtronic Global Holdings SCA | ||||
0.00%, 12/02/22(E) | 255,000 | 267,027 | ||
0.00%, 10/15/25(E) | 100,000 | 97,477 | ||
Metropolitan Life Global Funding I | ||||
2.80%, 03/21/25 144A | 765,000 | 745,001 | ||
Microchip Technology, Inc. | ||||
2.67%, 09/01/23 | 745,000 | 732,923 | ||
0.97%, 02/15/24 | 1,380,000 | 1,311,395 | ||
4.25%, 09/01/25 | 250,000 | 243,761 | ||
MMS U.S.A. Holdings, Inc. | ||||
0.63%, 06/13/25(E) | 100,000 | 98,779 | ||
Morgan Stanley | ||||
(Variable, U.S. SOFR + 0.46%), 0.53%, 01/25/24^ | 280,000 | 274,554 | ||
1.75%, 03/11/24(E) Δ | 205,000 | 213,621 | ||
(Variable, U.S. SOFR + 0.62%), 0.73%, 04/05/24^ | 70,000 | 68,269 | ||
(Variable, ICE LIBOR USD 3M + 0.85%), 3.74%, 04/24/24^ | 955,000 | 952,082 | ||
(Variable, U.S. SOFR + 0.51%), 0.79%, 01/22/25^ | 2,015,000 | 1,906,235 | ||
(Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 790,000 | 761,852 | ||
(Variable, U.S. SOFR + 0.75%), 0.86%, 10/21/25^ | 525,000 | 484,691 | ||
(Variable, U.S. SOFR + 0.56%), 1.16%, 10/21/25^ | 3,060,000 | 2,838,321 | ||
(Variable, U.S. SOFR + 1.00%), 2.48%, 01/21/28^ | 515,000 | 468,571 | ||
MUFG Union Bank NA | ||||
2.10%, 12/09/22 | 1,000,000 | 996,020 | ||
Mylan, Inc. | ||||
3.13%, 01/15/23 144A | 1,700,000 | 1,690,061 | ||
National Grid North America, Inc. | ||||
0.41%, 01/20/26(E) | 100,000 | 96,051 |
Par | Value | |||
New Fortress Energy, Inc. | ||||
6.50%, 09/30/26 144A | $ 710,000 | $ 644,394 | ||
NextEra Energy Capital Holdings, Inc. | ||||
1.88%, 01/15/27 | 412,000 | 371,909 | ||
NextEra Energy Operating Partners LP | ||||
4.25%, 07/15/24 144A | 405,000 | 388,111 | ||
Nissan Motor Acceptance Co. LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.69%), 2.92%, 09/28/22 144A † | 300,000 | 299,008 | ||
3.45%, 03/15/23 144A | 1,350,000 | 1,342,855 | ||
1.13%, 09/16/24 144A | 675,000 | 620,898 | ||
Nordstrom, Inc. | ||||
2.30%, 04/08/24 | 250,000 | 239,198 | ||
NRG Energy, Inc. | ||||
6.63%, 01/15/27 | 44,000 | 43,168 | ||
Nucor Corporation | ||||
4.30%, 05/23/27Δ | 440,000 | 438,761 | ||
Occidental Petroleum Corporation | ||||
5.50%, 12/01/25 | 750,000 | 739,972 | ||
OGE Energy Corporation | ||||
0.70%, 05/26/23 | 380,000 | 370,427 | ||
ONE Gas, Inc. | ||||
0.85%, 03/11/23Δ | 780,000 | 763,058 | ||
1.10%, 03/11/24 | 1,835,000 | 1,749,178 | ||
OneMain Finance Corporation | ||||
5.63%, 03/15/23 | 435,000 | 430,038 | ||
6.63%, 01/15/28 | 170,000 | 152,243 | ||
Oracle Corporation | ||||
2.95%, 11/15/24Δ | 2,000,000 | 1,940,398 | ||
Owl Rock Capital Corporation | ||||
4.25%, 01/15/26 | 510,000 | 469,731 | ||
Owl Rock Technology Finance Corporation | ||||
3.75%, 06/17/26 144A | 345,000 | 312,550 | ||
Pacific Gas and Electric Co. | ||||
1.37%, 03/10/23 | 1,835,000 | 1,807,501 | ||
3.25%, 06/15/23 | 100,000 | 98,605 | ||
4.25%, 08/01/23 | 200,000 | 198,960 | ||
3.85%, 11/15/23 | 100,000 | 98,704 | ||
3.75%, 02/15/24 | 200,000 | 195,600 | ||
4.95%, 06/08/25 | 1,000,000 | 981,577 | ||
3.45%, 07/01/25 | 146,000 | 137,446 | ||
2.10%, 08/01/27 | 600,000 | 503,469 | ||
PeaceHealth Obligated Group | ||||
1.38%, 11/15/25 | 104,000 | 95,843 | ||
Penske Truck Leasing Co. LP | ||||
3.45%, 07/01/24 144A | 1,500,000 | 1,469,324 | ||
2.70%, 11/01/24 144A | 1,105,000 | 1,061,687 | ||
1.20%, 11/15/25 144A | 295,000 | 263,716 | ||
Phillips 66 | ||||
0.90%, 02/15/24 | 585,000 | 557,413 |
Par | Value | |||
Pioneer Natural Resources Co. | ||||
1.13%, 01/15/26 | $ 280,000 | $ 250,521 | ||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | 250,000 | 244,828 | ||
PulteGroup, Inc. | ||||
5.00%, 01/15/27Δ | 64,000 | 64,048 | ||
Qorvo, Inc. | ||||
1.75%, 12/15/24 144A Δ | 620,000 | 580,379 | ||
Quanta Services, Inc. | ||||
0.95%, 10/01/24 | 385,000 | 356,386 | ||
Roche Holdings, Inc. | ||||
2.31%, 03/10/27 144A Δ | 425,000 | 398,200 | ||
Ryder System, Inc. | ||||
2.85%, 03/01/27 | 325,000 | 303,270 | ||
Sabine Pass Liquefaction LLC | ||||
5.75%, 05/15/24 | 1,048,000 | 1,069,708 | ||
SBA Tower Trust REIT | ||||
2.84%, 01/15/25 144A | 3,225,000 | 3,114,881 | ||
1.88%, 01/15/26 144A | 680,000 | 628,579 | ||
1.63%, 11/15/26 144A | 800,000 | 716,573 | ||
Sempra Energy | ||||
3.30%, 04/01/25 | 290,000 | 283,594 | ||
Simon International Finance SCA REIT | ||||
1.38%, 11/18/22(E) | 105,000 | 110,197 | ||
Sirius XM Radio, Inc. | ||||
3.13%, 09/01/26 144A Δ | 600,000 | 536,952 | ||
Skyworks Solutions, Inc. | ||||
0.90%, 06/01/23 | 125,000 | 120,858 | ||
SL Green Operating Partnership LP REIT | ||||
3.25%, 10/15/22 | 820,000 | 818,037 | ||
SM Energy Co. | ||||
6.50%, 07/15/28 | 515,000 | 474,385 | ||
Sonoco Products Co. | ||||
1.80%, 02/01/25 | 1,840,000 | 1,728,691 | ||
2.25%, 02/01/27 | 320,000 | 288,091 | ||
Southern Co. (The) | ||||
4.48%, 08/01/24 STEP | 1,815,000 | 1,823,334 | ||
Southwest Airlines Co. | ||||
4.75%, 05/04/23 | 675,000 | 680,641 | ||
Sprint Corporation | ||||
7.88%, 09/15/23 | 665,000 | 687,610 | ||
Sprint Spectrum Co. LLC | ||||
4.74%, 03/20/25 144A | 305,938 | 306,218 | ||
Steel Dynamics, Inc. | ||||
2.40%, 06/15/25Δ | 35,000 | 33,143 | ||
Stellantis Finance U.S., Inc. | ||||
1.71%, 01/29/27 144A | 1,000,000 | 870,397 | ||
Synchrony Financial | ||||
4.88%, 06/13/25 | 18,000 | 17,818 | ||
4.50%, 07/23/25 | 843,000 | 821,091 | ||
Tenet Healthcare Corporation | ||||
4.63%, 09/01/24 144A | 675,000 | 648,992 |
Par | Value | |||
Texas Electric Market Stabilization Funding N LLC | ||||
4.27%, 08/01/34 144A | $ 277,000 | $ 275,240 | ||
T-Mobile U.S.A., Inc. | ||||
1.50%, 02/15/26Δ | 3,352,000 | 3,032,819 | ||
2.25%, 02/15/26Δ | 205,000 | 184,859 | ||
2.63%, 04/15/26 | 84,000 | 76,387 | ||
3.75%, 04/15/27 | 600,000 | 578,240 | ||
Toll Brothers Finance Corporation | ||||
4.38%, 04/15/23 | 200,000 | 199,707 | ||
Truist Financial Corporation | ||||
2.20%, 03/16/23 | 1,185,000 | 1,179,010 | ||
U.S. Bancorp | ||||
(Variable, U.S. SOFR + 0.73%), 2.22%, 01/27/28^ | 400,000 | 366,730 | ||
Union Pacific Corporation | ||||
2.75%, 03/01/26 | 750,000 | 720,592 | ||
Verizon Communications, Inc. | ||||
2.63%, 08/15/26 | 382,000 | 361,628 | ||
2.10%, 03/22/28 | 670,000 | 595,657 | ||
1.75%, 01/20/31 | 220,000 | 176,915 | ||
Viasat, Inc. | ||||
5.63%, 04/15/27 144A | 475,000 | 411,600 | ||
Virginia Electric and Power Co. | ||||
3.75%, 05/15/27 | 265,000 | 262,494 | ||
Vistra Operations Co. LLC | ||||
4.88%, 05/13/24 144A | 365,000 | 363,577 | ||
3.55%, 07/15/24 144A | 900,000 | 869,596 | ||
5.63%, 02/15/27 144A Δ | 250,000 | 235,578 | ||
VMware, Inc. | ||||
1.00%, 08/15/24 | 1,691,000 | 1,583,566 | ||
1.40%, 08/15/26 | 430,000 | 380,728 | ||
3.90%, 08/21/27 | 510,000 | 489,978 | ||
Volkswagen Group of America Finance LLC | ||||
0.88%, 11/22/23 144A | 1,305,000 | 1,251,324 | ||
3.95%, 06/06/25 144A | 2,410,000 | 2,367,381 | ||
Wells Fargo & Co. | ||||
(Variable, U.S. SOFR + 0.51%), 0.81%, 05/19/25^ | 405,000 | 379,496 | ||
(Variable, U.S. SOFR + 1.32%), 3.91%, 04/25/26^ | 1,805,000 | 1,777,466 | ||
(Variable, U.S. SOFR + 1.51%), 3.53%, 03/24/28^ | 330,000 | 312,854 | ||
WESCO Distribution, Inc. | ||||
7.13%, 06/15/25 144A | 520,000 | 519,935 | ||
Western Midstream Operating LP | ||||
4.65%, 07/01/26Δ | 160,000 | 151,059 | ||
Westinghouse Air Brake Technologies Corporation | ||||
4.40%, 03/15/24 | 1,600,000 | 1,603,795 | ||
3.20%, 06/15/25 | 325,000 | 310,225 | ||
Workday, Inc. | ||||
3.50%, 04/01/27 | 170,000 | 162,709 |
Par | Value | |||
Zimmer Biomet Holdings, Inc. | ||||
1.45%, 11/22/24 | $1,075,000 | $ 1,012,901 | ||
Total Corporate Bonds (Cost $218,440,760) | 207,509,835 | |||
FOREIGN BONDS — 12.6% | ||||
Australia — 0.5% | ||||
Macquarie Group, Ltd. | ||||
(Variable, U.S. SOFR + 0.69%), 1.20%, 10/14/25 144A ^ | 800,000 | 742,376 | ||
NBN Co., Ltd. | ||||
0.88%, 10/08/24 144A | 880,000 | 822,276 | ||
Transurban Queensland Finance Pty., Ltd. | ||||
(Floating, Australian BBSW 3M + 2.05%), 3.79%, 12/16/24(A) † | 720,000 | 507,899 | ||
Westpac Banking Corporation | ||||
3.15%, 01/16/24 144A | 1,275,000 | 1,270,720 | ||
Woodside Finance, Ltd. | ||||
3.65%, 03/05/25 144A | 1,900,000 | 1,868,641 | ||
3.70%, 09/15/26 144A | 400,000 | 386,119 | ||
5,598,031 | ||||
Belgium — 0.1% | ||||
KBC Group NV | ||||
1.13%, 01/25/24(E) | 200,000 | 206,496 | ||
(Variable, Euribor 3M + 0.90%), 1.50%, 03/29/26(E) ^ | 100,000 | 100,815 | ||
(Variable, 1.10% - EUR Swap Rate 5Y), 0.50%, 12/03/29(E) ^ | 300,000 | 285,519 | ||
592,830 | ||||
Bermuda — 0.1% | ||||
Triton Container International, Ltd. | ||||
0.80%, 08/01/23 144A | 630,000 | 597,235 | ||
Brazil — 0.2% | ||||
Banco Bradesco SA | ||||
2.85%, 01/27/23 144A | 1,495,000 | 1,488,609 | ||
Itau Unibanco Holding SA | ||||
2.90%, 01/24/23 144A | 920,000 | 917,056 | ||
2,405,665 | ||||
Canada — 1.1% | ||||
1011778 BC ULC | ||||
5.75%, 04/15/25 144A Δ | 200,000 | 201,500 | ||
Air Canada | ||||
3.88%, 08/15/26 144A | 250,000 | 211,986 | ||
Canadian Pacific Railway Co. | ||||
1.75%, 12/02/26Δ | 205,000 | 185,672 | ||
CDP Financial, Inc. | ||||
1.00%, 05/26/26 144A | 520,000 | 476,815 | ||
CPPIB Capital, Inc. | ||||
0.50%, 09/16/24 144A | 1,265,000 | 1,192,876 | ||
Element Fleet Management Corporation | ||||
1.60%, 04/06/24 144A Δ | 315,000 | 300,176 |
Par | Value | |||
Enbridge, Inc. | ||||
2.50%, 02/14/25 | $ 600,000 | $ 576,487 | ||
GFL Environmental, Inc. | ||||
3.75%, 08/01/25 144A | 175,000 | 162,616 | ||
5.13%, 12/15/26 144A Δ | 400,000 | 383,200 | ||
National Bank of Canada | ||||
0.75%, 08/06/24Δ | 1,485,000 | 1,385,784 | ||
OMERS Finance Trust | ||||
1.13%, 04/14/23 144A | 1,770,000 | 1,744,082 | ||
1.10%, 03/26/26 144A | 675,000 | 622,561 | ||
Rogers Communications, Inc. | ||||
2.95%, 03/15/25 144A | 600,000 | 580,174 | ||
Toronto-Dominion Bank (The) | ||||
0.38%, 04/25/24(E) | 305,000 | 310,993 | ||
3.77%, 06/06/25 | 1,710,000 | 1,702,655 | ||
TransCanada PipeLines, Ltd. | ||||
1.00%, 10/12/24 | 1,000,000 | 933,850 | ||
10,971,427 | ||||
China — 0.4% | ||||
Avolon Holdings Funding, Ltd. | ||||
5.50%, 01/15/23 144A | 900,000 | 902,640 | ||
Baidu, Inc. | ||||
2.88%, 07/06/22Δ | 235,000 | 235,000 | ||
NXP BV | ||||
4.88%, 03/01/24 | 975,000 | 985,089 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 700,000 | 700,037 | ||
4.50%, 03/15/23 144A | 1,000,000 | 996,639 | ||
3,819,405 | ||||
Denmark — 0.4% | ||||
Danske Bank A/S | ||||
3.88%, 09/12/23 144A | 400,000 | 398,453 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.03%), 1.17%, 12/08/23 144A ^ | 2,400,000 | 2,368,546 | ||
5.38%, 01/12/24 144A | 600,000 | 605,795 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.55%), 0.98%, 09/10/25 144A ^ | 200,000 | 184,325 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.35%), 1.62%, 09/11/26 144A ^ | 540,000 | 483,858 | ||
4,040,977 | ||||
Finland — 0.1% | ||||
CRH Finland Services OYJ | ||||
0.88%, 11/05/23(E) | 180,000 | 186,294 | ||
Nordea Bank Abp | ||||
1.50%, 09/30/26 144A | 700,000 | 622,386 | ||
808,680 |
Par | Value | |||
France — 0.7% | ||||
Banque Federative du Credit Mutuel SA | ||||
0.75%, 06/15/23(E) | $ 100,000 | $ 104,262 | ||
0.65%, 02/27/24 144A Δ | 1,140,000 | 1,083,242 | ||
1.00%, 02/04/25 144A | 1,865,000 | 1,719,012 | ||
BPCE SA | ||||
0.63%, 04/28/25(E) | 100,000 | 100,049 | ||
Capgemini SE | ||||
0.63%, 06/23/25(E) | 200,000 | 199,089 | ||
Credit Agricole SA | ||||
(Variable, U.S. SOFR + 0.89%), 1.25%, 01/26/27 144A ^ | 250,000 | 220,481 | ||
Electricite de France SA | ||||
3.63%, 10/13/25 144A | 500,000 | 491,799 | ||
Engie SA | ||||
0.38%, 02/28/23(E) | 200,000 | 208,942 | ||
PSA Banque France SA | ||||
0.00%, 01/22/25(E) | 100,000 | 98,152 | ||
Societe Generale SA | ||||
2.63%, 01/22/25 144A | 2,800,000 | 2,664,784 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.49%, 12/14/26 144A ^ | 200,000 | 176,717 | ||
(Variable, EUR Swap Rate 5Y + 0.90%), 1.38%, 02/23/28(E) ^ | 400,000 | 412,320 | ||
7,478,849 | ||||
Germany — 0.3% | ||||
Amphenol Technologies Holding GmbH | ||||
0.75%, 05/04/26(E) | 120,000 | 117,428 | ||
Commerzbank AG | ||||
(Variable, 1.30% - Euribor 3M), 0.75%, 03/24/26(E) ^ | 100,000 | 97,908 | ||
Deutsche Bank AG | ||||
(Variable, U.S. SOFR + 1.13%), 1.45%, 04/01/25^ | 150,000 | 140,263 | ||
(Variable, 1.60% - Euribor 3M), 1.00%, 11/19/25(E) ^ | 100,000 | 98,915 | ||
(Variable, U.S. SOFR + 1.32%), 2.55%, 01/07/28^ | 650,000 | 563,159 | ||
(Variable, Euribor 3M + 1.38%), 1.88%, 02/23/28(E) ^ | 200,000 | 189,309 | ||
E.ON SE | ||||
0.00%, 10/24/22(E) Δ | 240,000 | 251,274 | ||
0.88%, 01/08/25(E) | 50,000 | 50,961 | ||
KION Group AG | ||||
1.63%, 09/24/25(E) | 100,000 | 99,158 | ||
Traton Finance Luxembourg SA | ||||
0.00%, 06/14/24(E) | 100,000 | 99,924 | ||
0.13%, 11/10/24(E) | 100,000 | 98,955 | ||
0.13%, 03/24/25(E) | 200,000 | 194,700 | ||
Volkswagen Bank GmbH | ||||
0.38%, 07/05/22(E) | 300,000 | 314,388 | ||
1.88%, 01/31/24(E) | 300,000 | 312,577 | ||
2.50%, 07/31/26(E) | 100,000 | 101,653 |
Par | Value | |||
Volkswagen Financial Services AG | ||||
0.88%, 01/31/28(E) | $ 120,000 | $ 108,507 | ||
Volkswagen Leasing GmbH | ||||
1.00%, 02/16/23(E) | 260,000 | 272,625 | ||
0.38%, 07/20/26(E) | 60,000 | 56,056 | ||
Vonovia SE | ||||
0.00%, 09/16/24(E) | 100,000 | 98,687 | ||
1.38%, 01/28/26(E) | 100,000 | 97,227 | ||
3,363,674 | ||||
India — 0.0% | ||||
Shriram Transport Finance Co., Ltd. | ||||
5.10%, 07/16/23 144A | 275,000 | 263,699 | ||
Indonesia — 0.1% | ||||
Pelabuhan Indonesia Persero PT | ||||
4.50%, 05/02/23 144A | 1,175,000 | 1,176,439 | ||
Ireland — 0.9% | ||||
AerCap Ireland Capital DAC | ||||
3.30%, 01/23/23 | 155,000 | 154,418 | ||
4.50%, 09/15/23 | 1,000,000 | 995,849 | ||
1.15%, 10/29/23 | 1,330,000 | 1,268,151 | ||
2.88%, 08/14/24Δ | 150,000 | 143,014 | ||
1.65%, 10/29/24 | 2,585,000 | 2,389,659 | ||
3.50%, 01/15/25 | 350,000 | 334,602 | ||
2.45%, 10/29/26 | 405,000 | 352,941 | ||
Ardagh Packaging Finance PLC | ||||
5.25%, 04/30/25 144A Δ | 250,000 | 231,607 | ||
ESB Finance DAC | ||||
3.49%, 01/12/24(E) | 100,000 | 107,827 | ||
Fresenius Finance Ireland PLC | ||||
0.00%, 10/01/25(E) | 100,000 | 95,363 | ||
SMBC Aviation Capital Finance DAC | ||||
3.00%, 07/15/22 144A | 540,000 | 539,932 | ||
4.13%, 07/15/23 144A | 1,800,000 | 1,785,540 | ||
3.55%, 04/15/24 144A | 800,000 | 779,028 | ||
9,177,931 | ||||
Italy — 0.1% | ||||
ACEA SpA | ||||
0.00%, 09/28/25(E) | 100,000 | 96,998 | ||
ASTM SpA | ||||
1.00%, 11/25/26(E) Δ | 170,000 | 156,570 | ||
FCA Bank SpA | ||||
0.50%, 09/18/23(E) | 110,000 | 113,726 | ||
0.00%, 04/16/24(E) | 100,000 | 101,119 | ||
Snam SpA | ||||
0.00%, 08/15/25(E) | 100,000 | 97,074 | ||
Telecom Italia SpA | ||||
5.30%, 05/30/24 144A | 200,000 | 192,676 | ||
UniCredit SpA | ||||
6.95%, 10/31/22(E) | 225,000 | 239,743 | ||
997,906 |
Par | Value | |||
Japan — 2.3% | ||||
Mitsubishi UFJ Financial Group, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.55%), 0.95%, 07/19/25^ | $1,880,000 | $ 1,756,109 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%), 0.96%, 10/11/25^ | 3,185,000 | 2,952,755 | ||
Mizuho Financial Group, Inc. | ||||
(Floating, Australian BBSW 3M + 1.40%), 1.76%, 07/19/23(A) † | 3,100,000 | 2,149,515 | ||
0.52%, 06/10/24(E) | 100,000 | 101,591 | ||
(Variable, 1.25% - U.S. SOFR), 1.24%, 07/10/24^ | 520,000 | 505,764 | ||
(Floating, ICE LIBOR USD 3M + 0.99%), 1.98%, 07/10/24† Δ | 1,000,000 | 996,317 | ||
Nissan Motor Co., Ltd. | ||||
3.04%, 09/15/23 144A | 3,485,000 | 3,428,338 | ||
3.52%, 09/17/25 144A | 600,000 | 568,591 | ||
2.65%, 03/17/26(E) | 110,000 | 107,817 | ||
4.35%, 09/17/27 144A | 215,000 | 197,528 | ||
Nomura Holdings, Inc. | ||||
1.85%, 07/16/25 | 2,700,000 | 2,476,059 | ||
2.33%, 01/22/27 | 600,000 | 531,742 | ||
Renesas Electronics Corporation | ||||
1.54%, 11/26/24 144A | 1,245,000 | 1,163,530 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
0.51%, 01/12/24 | 1,600,000 | 1,524,524 | ||
(Floating, Australian BBSW 3M + 1.25%), 1.61%, 10/16/24(A) † | 1,000,000 | 691,360 | ||
1.47%, 07/08/25 | 1,100,000 | 1,011,789 | ||
Sumitomo Mitsui Trust Bank, Ltd. | ||||
0.80%, 09/16/24 144A | 3,500,000 | 3,261,283 | ||
2.55%, 03/10/25 144A Δ | 1,000,000 | 961,989 | ||
24,386,601 | ||||
Jersey — 0.1% | ||||
Aptiv PLC | ||||
2.40%, 02/18/25 | 787,000 | 752,291 | ||
Heathrow Funding, Ltd. | ||||
1.50%, 10/12/25(E) | 185,000 | 185,237 | ||
937,528 | ||||
Netherlands — 0.9% | ||||
American Medical Systems Europe BV | ||||
1.38%, 03/08/28(E) Δ | 160,000 | 153,409 | ||
BMW Finance NV | ||||
0.00%, 04/14/23(E) | 290,000 | 301,970 | ||
Conti-Gummi Finance BV | ||||
1.13%, 09/25/24(E) | 110,000 | 112,864 | ||
Cooperatieve Rabobank UA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.73%), 1.98%, 12/15/27 144A ^ | 1,000,000 | 889,954 | ||
Digital Dutch Finco BV REIT | ||||
0.63%, 07/15/25(E) | 300,000 | 289,887 | ||
E.ON International Finance BV | ||||
0.75%, 11/30/22(E) | 50,000 | 52,413 |
Par | Value | |||
Enel Finance International NV | ||||
0.00%, 06/17/24(E) | $ 200,000 | $ 202,079 | ||
2.65%, 09/10/24Δ | 500,000 | 484,758 | ||
1.38%, 07/12/26 144A | 370,000 | 325,120 | ||
Heimstaden Bostad Treasury BV | ||||
0.25%, 10/13/24(E) | 110,000 | 104,998 | ||
IMCD NV | ||||
2.13%, 03/31/27(E) | 110,000 | 103,794 | ||
ING Groep NV | ||||
1.00%, 09/20/23(E) | 200,000 | 208,368 | ||
(Variable, 0.60% - Euribor 3M), 0.10%, 09/03/25(E) ^ | 100,000 | 98,853 | ||
(Variable, U.S. SOFR + 1.64%), 3.87%, 03/28/26^ | 800,000 | 784,988 | ||
JDE Peet's NV | ||||
0.80%, 09/24/24 144A | 430,000 | 399,924 | ||
LeasePlan Corporation NV | ||||
2.88%, 10/24/24 144A | 1,900,000 | 1,821,071 | ||
Louis Dreyfus Co. Finance BV | ||||
2.38%, 11/27/25(E) Δ | 200,000 | 202,918 | ||
Mercedes-Benz International Finance BV | ||||
0.25%, 11/06/23(E) | 90,000 | 92,780 | ||
NXP BV | ||||
2.70%, 05/01/25 | 50,000 | 47,582 | ||
3.88%, 06/18/26 | 300,000 | 289,373 | ||
Redexis Gas Finance BV | ||||
1.88%, 05/28/25(E) | 100,000 | 100,808 | ||
Sensata Technologies BV | ||||
5.00%, 10/01/25 144A | 200,000 | 192,331 | ||
Siemens Financieringsmaatschappij NV | ||||
0.38%, 09/06/23(E) | 235,000 | 244,320 | ||
Stellantis NV | ||||
5.25%, 04/15/23 | 1,000,000 | 1,008,735 | ||
3.38%, 07/07/23(E) | 145,000 | 153,886 | ||
Toyota Motor Finance Netherlands BV | ||||
0.00%, 10/27/25(E) Δ | 100,000 | 96,664 | ||
Vonovia Finance BV | ||||
0.13%, 04/06/23(E) | 200,000 | 207,046 | ||
8,970,893 | ||||
Norway — 0.1% | ||||
Aker BP ASA | ||||
2.88%, 01/15/26 144A | 895,000 | 847,195 | ||
Saudi Arabia — 0.0% | ||||
Saudi Arabian Oil Co. | ||||
1.25%, 11/24/23 144A | 490,000 | 474,290 | ||
South Korea — 0.8% | ||||
Export-Import Bank of Korea | ||||
(Floating, Australian BBSW 3M + 1.07%), 2.25%, 05/29/23(A) † | 1,000,000 | 692,645 | ||
(Floating, Australian BBSW 3M + 0.95%), 1.66%, 10/30/23(A) † | 2,000,000 | 1,384,497 | ||
Hana Bank | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 2.62%, 09/14/22† | 1,000,000 | 1,000,535 |
Par | Value | |||
(Floating, ICE LIBOR USD 3M + 0.80%), 2.52%, 03/13/23† | $ 500,000 | $ 500,956 | ||
Industrial Bank of Korea | ||||
2.13%, 10/23/24 144A | 3,100,000 | 3,014,328 | ||
Kia Corporation | ||||
3.00%, 04/25/23 | 510,000 | 508,763 | ||
SK Telecom Co., Ltd. | ||||
3.75%, 04/16/23 | 900,000 | 902,028 | ||
8,003,752 | ||||
Spain — 0.2% | ||||
Banco de Sabadell SA | ||||
(Variable, 0.97% - EUR Swap Rate 1Y), 0.63%, 11/07/25(E) ^ | 100,000 | 98,447 | ||
(Variable, 1.55% - EUR Swap Rate 1Y), 1.13%, 03/11/27(E) ^ | 100,000 | 96,028 | ||
Banco Santander SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%), 0.70%, 06/30/24^ | 1,200,000 | 1,156,560 | ||
2.75%, 05/28/25 | 400,000 | 379,319 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.90%), 1.72%, 09/14/27^ | 200,000 | 173,737 | ||
Cellnex Finance Co. SA | ||||
2.25%, 04/12/26(E) | 100,000 | 97,608 | ||
Merlin Properties Socimi SA REIT | ||||
1.88%, 11/02/26(E) | 200,000 | 197,053 | ||
2,198,752 | ||||
Sweden — 0.0% | ||||
Volvo Treasury AB | ||||
0.00%, 05/09/24(E) Δ | 310,000 | 314,397 | ||
Switzerland — 0.5% | ||||
Credit Suisse Group AG | ||||
(Variable, ICE LIBOR USD 3M + 1.24%), 4.21%, 06/12/24 144A ^ | 450,000 | 446,085 | ||
(Variable, 3.50% - EURIBOR ICE SWAP RATE), 3.25%, 04/02/26(E) ^ | 300,000 | 307,246 | ||
(Variable, U.S. SOFR + 0.98%), 1.31%, 02/02/27 144A ^ | 700,000 | 602,375 | ||
SIG Combibloc PurchaseCo S.a.r.l. | ||||
1.88%, 06/18/23(E) Δ | 300,000 | 310,615 | ||
2.13%, 06/18/25(E) | 100,000 | 100,111 | ||
UBS AG | ||||
(Floating, U.S. SOFR + 0.36%), 1.53%, 02/09/24 144A † | 3,000,000 | 2,981,484 | ||
UBS Group AG | ||||
(Variable, 0.55% - EUR Swap Rate 1Y), 0.25%, 01/29/26(E) ^ | 200,000 | 195,536 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.85%), 1.49%, 08/10/27 144A ^ | 600,000 | 525,470 | ||
5,468,922 |
Par | Value | |||
United Arab Emirates — 0.2% | ||||
First Abu Dhabi Bank PJSC | ||||
1.38%, 02/19/23(U) | $1,666,000 | $2,009,942 | ||
United Kingdom — 2.5% | ||||
Barclays PLC | ||||
(Floating, Australian BBSW 3M + 1.80%), 3.51%, 06/15/23(A) † | 1,000,000 | 694,640 | ||
(Variable, ICE LIBOR USD 3M + 1.36%), 4.34%, 05/16/24^ | 900,000 | 899,935 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.80%), 1.01%, 12/10/24^ | 1,545,000 | 1,467,453 | ||
(Variable, U.S. SOFR + 2.71%), 2.85%, 05/07/26^ | 1,000,000 | 945,670 | ||
HSBC Holdings PLC | ||||
(Floating, Australian BBSW 3M + 1.10%), 2.10%, 02/16/24(A) † | 1,300,000 | 896,858 | ||
(Floating, ICE LIBOR USD 3M + 1.23%), 2.95%, 03/11/25† | 3,000,000 | 2,979,004 | ||
(Variable, U.S. SOFR + 1.43%), 3.00%, 03/10/26^ | 200,000 | 190,610 | ||
Informa PLC | ||||
1.50%, 07/05/23(E) | 200,000 | 206,238 | ||
2.13%, 10/06/25(E) | 485,000 | 493,696 | ||
Lloyds Banking Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.60%), 3.51%, 03/18/26^ | 1,500,000 | 1,461,778 | ||
LSEGA Financing PLC | ||||
0.65%, 04/06/24 144A | 200,000 | 188,782 | ||
1.38%, 04/06/26 144A | 1,010,000 | 908,114 | ||
National Grid Electricity Transmission PLC | ||||
0.19%, 01/20/25(E) | 100,000 | 99,213 | ||
Nationwide Building Society | ||||
2.00%, 01/27/23 144A | 900,000 | 893,057 | ||
1.70%, 02/13/23 144A | 2,900,000 | 2,876,215 | ||
0.55%, 01/22/24 144A | 1,845,000 | 1,753,655 | ||
NatWest Markets PLC | ||||
2.38%, 05/21/23 144A Δ | 2,495,000 | 2,460,465 | ||
0.13%, 06/18/26(E) | 200,000 | 187,459 | ||
1.60%, 09/29/26 144A | 545,000 | 480,466 | ||
Rolls-Royce PLC | ||||
5.75%, 10/15/27 144A Δ | 350,000 | 316,367 | ||
Royalty Pharma PLC | ||||
0.75%, 09/02/23 | 920,000 | 886,306 | ||
Santander UK Group Holdings PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.08%), 3.37%, 01/05/24^ | 215,000 | 214,043 | ||
Santander UK PLC | ||||
1.63%, 02/12/23 144A | 2,100,000 | 2,086,329 | ||
Sky, Ltd. | ||||
3.13%, 11/26/22 144A | 1,500,000 | 1,500,848 | ||
Standard Chartered PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.17%), 1.32%, 10/14/23 144A ^ | 200,000 | 198,577 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.78%), 0.99%, 01/12/25 144A ^ | $ 440,000 | $ 415,937 | ||
Virgin Money UK PLC | ||||
(Variable, 0.85% - EUR Swap Rate 1Y), 0.38%, 05/27/24(E) ^ | 110,000 | 113,115 | ||
WPP Finance 2013 | ||||
3.00%, 11/20/23(E) | 200,000 | 211,524 | ||
26,026,354 | ||||
Total Foreign Bonds (Cost $138,543,945) | 130,931,374 | |||
MORTGAGE-BACKED SECURITIES — 14.3% | ||||
Alen Mortgage Trust, Series 2021-ACEN, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 2.47%, 04/15/34 144A † | 350,000 | 336,765 | ||
American Home Mortgage Assets Trust, Series 2006-5, Class A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.92%, 0.92% Floor), 1.40%, 11/25/46† | 548,014 | 178,898 | ||
Angel Oak Mortgage Trust, Series 2022-1, Class A1 | ||||
(Step to 3.88% on 02/25/26), 2.88%, 12/25/66 144A STEP | 279,646 | 265,295 | ||
Angel Oak Mortgage Trust, Series 2022-2, Class A1 | ||||
3.35%, 01/25/67 144A † γ | 334,553 | 321,968 | ||
Avon Finance No. 2 PLC, Class A | ||||
(Floating, SONIA Interest Rate + 0.90%), 1.69%, 09/20/48(U) 144A † | 1,121,176 | 1,359,380 | ||
Banc of America Mortgage Trust, Series 2003-L, Class 3A1 | ||||
2.37%, 01/25/34† γ | 22,108 | 20,730 | ||
BANK, Series 2019-BNK18, Class A2 | ||||
3.47%, 05/15/62 | 610,000 | 599,652 | ||
BANK, Series 2022-BNK42, Class A5 | ||||
4.49%, 06/15/55 | 140,000 | 142,502 | ||
BBCMS Mortgage Trust, Series 2022-C16, Class A5 | ||||
4.60%, 06/15/55 | 370,000 | 378,864 | ||
Bear Stearns ARM Trust, Series 2003-8, Class 4A1 | ||||
2.37%, 01/25/34† γ | 52,010 | 51,370 | ||
Bear Stearns ARM Trust, Series 2004-5, Class 2A | ||||
3.23%, 07/25/34† γ | 50,815 | 48,165 | ||
Bellemeade RE, Ltd., Series 2021-3A, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.00%, 1.00% Floor), 1.93%, 09/25/31 144A † | 900,000 | 888,859 | ||
Benchmark Mortgage Trust, Series 2022-B34, Class AM | ||||
3.96%, 04/15/55† γ | 225,000 | 210,893 |
Par | Value | |||
Brass No. 8 PLC, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.70%), 2.11%, 11/16/66 144A † | $ 70,804 | $ 70,833 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.92%, 0.92% Floor), 2.24%, 10/15/36 144A † | 853,631 | 839,384 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 2.40%, 10/15/36 144A † | 569,500 | 555,839 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.45%, 1.45% Floor), 2.77%, 10/15/36 144A † | 522,750 | 506,442 | ||
BX Commercial Mortgage Trust, Series 2020-VKNG, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 2.45%, 10/15/37 144A † | 1,067,754 | 1,021,504 | ||
BX Commercial Mortgage Trust, Series 2021-SOAR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.67%, 0.67% Floor), 2.00%, 06/15/38 144A † | 456,542 | 438,904 | ||
BX Commercial Mortgage Trust, Series 2021-VINO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.65%, 0.65% Floor), 1.98%, 05/15/38 144A † | 280,000 | 267,113 | ||
BX Commercial Mortgage Trust, Series 2021-XL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.69%, 0.69% Floor), 2.01%, 10/15/38 144A † | 639,421 | 610,053 | ||
BX Trust, Series 2018-BILT, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.77%, 1.77% Floor), 3.09%, 05/15/30 144A † | 235,000 | 223,848 | ||
BX Trust, Series 2021-LBA, Class AJV | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 2.13%, 02/15/36 144A † | 240,000 | 227,358 | ||
BX Trust, Series 2021-LBA, Class AV | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 2.13%, 02/15/36 144A † | 330,000 | 313,329 | ||
BX Trust, Series 2021-VIEW, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.28%, 1.28% Floor), 2.60%, 06/15/23 144A † | 150,000 | 144,836 | ||
Canterbury Finance PLC, No. 1, Class A2 | ||||
(Floating, SONIA Interest Rate + 1.35%), 1.95%, 05/16/56(U) † | 746,180 | 909,065 | ||
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB | ||||
3.37%, 06/15/50 | 1,452,693 | 1,425,762 |
Par | Value | |||
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A11 | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 6.50% Cap), 2.52%, 07/25/49 144A † | $ 40,381 | $ 38,845 | ||
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A3 | ||||
3.50%, 07/25/49 144A † γ | 82,495 | 78,380 | ||
CHC Commercial Mortgage Trust, Series 2019-CHC, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.05%, 2.05% Floor), 3.37%, 06/15/34 144A † | 2,123,962 | 2,037,891 | ||
CHL Mortgage Pass-Through Trust, Series 2004-29, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 11.50% Cap), 2.16%, 02/25/35† | 36,746 | 34,086 | ||
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A4 | ||||
2.90%, 07/10/49 | 641,000 | 611,106 | ||
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class AAB | ||||
2.78%, 07/10/49 | 502,219 | 490,705 | ||
Citigroup Commercial Mortgage Trust, Series 2016-P5, Class AAB | ||||
2.84%, 10/10/49 | 856,960 | 840,019 | ||
COLT Mortgage Loan Trust, Series 2022-3, Class A1 | ||||
3.90%, 02/25/67 144A † γ | 237,189 | 229,734 | ||
COMM Mortgage Trust, Series 2012-CR4, Class ASB | ||||
2.44%, 10/15/45 | 14,240 | 14,215 | ||
COMM Mortgage Trust, Series 2013-CR8, Class A5 | ||||
3.61%, 06/10/46 | 750,000 | 747,077 | ||
COMM Mortgage Trust, Series 2013-CR8, Class B | ||||
2.47%, 06/10/46 144A † γ | 170,000 | 168,531 | ||
COMM Mortgage Trust, Series 2013-SFS, Class A1 | ||||
1.87%, 04/12/35 144A | 74,307 | 73,495 | ||
COMM Mortgage Trust, Series 2014-CR21, Class A3 | ||||
3.53%, 12/10/47 | 566,458 | 558,233 | ||
COMM Mortgage Trust, Series 2014-LC15, Class A4 | ||||
4.01%, 04/10/47 | 170,000 | 169,255 | ||
COMM Mortgage Trust, Series 2014-UBS5, Class ASB | ||||
3.55%, 09/10/47 | 157,416 | 156,815 | ||
COMM Mortgage Trust, Series 2015-CR24, Class ASB | ||||
3.45%, 08/10/48 | 102,637 | 101,879 | ||
COMM Mortgage Trust, Series 2015-PC1, Class A4 | ||||
3.62%, 07/10/50 | 262,939 | 258,486 |
Par | Value | |||
COMM Mortgage Trust, Series 2018-COR3, Class A3 | ||||
4.23%, 05/10/51 | $ 160,000 | $ 158,675 | ||
Connecticut Avenue Securities Trust, Series 2019-HRP1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.15%), 3.77%, 11/25/39 144A † | 2,085,935 | 2,028,674 | ||
Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.55%), 2.48%, 10/25/41 144A † | 1,050,000 | 975,832 | ||
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA | ||||
2.03%, 01/15/49† IO γ | 623,009 | 34,488 | ||
CSMC, Series 2020-NET, Class A | ||||
2.26%, 08/15/37 144A | 308,333 | 284,754 | ||
CSMC, Series 2021-980M, Class C | ||||
3.20%, 07/15/31 144A | 150,000 | 133,981 | ||
CSMC, Series 2021-BHAR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 2.48%, 11/15/38 144A † | 770,000 | 748,634 | ||
CSMC, Series 2022-ATH1, Class A1A | ||||
2.87%, 01/25/67 144A † γ | 330,732 | 320,866 | ||
Deephaven Residential Mortgage Trust, Series 2022-2, Class A1 | ||||
4.30%, 03/25/67 144A † γ | 115,992 | 112,887 | ||
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A6A1 | ||||
(Step to 5.28% on 08/25/22), 6.37%, 10/25/36 STEP | 104,796 | 93,933 | ||
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A6A2 | ||||
(Step to 5.28% on 08/25/22), 6.39%, 10/25/36 STEP | 104,796 | 93,932 | ||
Eagle RE, Ltd., Series 2021-2, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.55%, 1.55% Floor), 2.48%, 04/25/34 144A † | 800,000 | 793,216 | ||
Extended Stay America Trust, Series 2021-ESH, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 2.41%, 07/15/38 144A † | 2,236,237 | 2,183,607 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 3.87%, 07/25/30† | 603,665 | 604,192 |
Par | Value | |||
Fannie Mae Connecticut Avenue Securities, Series 2021-R02, Class 2M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 2.00%), 2.93%, 11/25/41 144A † | $3,000,000 | $2,685,732 | ||
Federal Home Loan Mortgage Corporation | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.36%, 2.36% Floor, 13.19% Cap), 2.69%, 07/01/27† | 1,214 | 1,209 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 11.22% Cap), 2.34%, 11/01/31† | 8,129 | 8,043 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 10.78% Cap), 3.25%, 04/01/32† | 2,445 | 2,451 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.04%, 2.04% Floor, 9.75% Cap), 2.86%, 06/01/33† | 184,453 | 188,839 | ||
(Floating, ICE LIBOR USD 1Y + 1.75%, 1.75% Floor, 10.84% Cap), 3.50%, 08/01/35† | 23,149 | 23,477 | ||
(Floating, ICE LIBOR USD 1Y + 1.35%, 1.35% Floor, 10.39% Cap), 1.62%, 09/01/35† | 59,740 | 60,719 | ||
(Floating, ICE LIBOR USD 1Y + 1.63%, 1.63% Floor, 10.82% Cap), 1.88%, 10/01/35† | 79,754 | 81,673 | ||
3.00%, 02/01/36 | 45,909 | 45,142 | ||
4.00%, 11/01/36 | 5,551 | 5,653 | ||
4.00%, 06/01/37 | 68,839 | 70,111 | ||
4.50%, 07/01/47 | 38,359 | 39,255 | ||
4.50%, 03/01/49 | 1,837,665 | 1,886,481 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3228 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 1.82%, 10/15/36† | 726,186 | 727,175 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3710 | ||||
4.00%, 08/15/25 STEP | 29,878 | 30,187 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3959 | ||||
4.50%, 11/15/41 | 125,414 | 128,836 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3986 | ||||
4.50%, 09/15/41 | 55,349 | 56,232 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4459 | ||||
3.00%, 08/15/43 | 255,497 | 246,617 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4494 | ||||
3.75%, 10/15/42 | 120,635 | 121,763 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4752 | ||||
3.00%, 09/15/46 | 246,746 | 239,605 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 4777 | ||||
3.50%, 10/15/45 | $ 474,311 | $ 474,057 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4904 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 1.77%, 06/15/49† | 418,817 | 417,098 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4941 | ||||
3.00%, 07/25/49 | 197,083 | 188,836 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4948 | ||||
2.50%, 10/25/48 | 123,379 | 116,840 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5000 | ||||
2.00%, 06/25/44 | 156,947 | 149,506 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5006 | ||||
2.00%, 06/25/45 | 439,800 | 417,424 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5047 | ||||
0.75%, 10/15/28 | 2,970,421 | 2,765,471 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5057 | ||||
1.00%, 04/15/54 | 2,101,806 | 1,940,527 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5105 | ||||
1.50%, 04/15/44 | 1,139,578 | 1,099,010 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5115 | ||||
1.00%, 02/25/42 | 2,395,125 | 2,185,299 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.70%), 3.32%, 01/25/50 144A † | 120,977 | 119,673 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.85%), 3.47%, 02/25/50 144A † | 116,593 | 115,526 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA5, Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.65%), 2.58%, 01/25/34 144A † | 1,039,294 | 1,003,197 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA6 Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.50%), 2.43%, 10/25/41 144A † | 1,850,000 | 1,692,986 |
Par | Value | |||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2022-HQA1, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 2.10%), 3.03%, 03/25/42 144A † | $648,492 | $643,208 | ||
Federal Home Loan Mortgage Corporation STACR Trust, Series 2019-DNA4, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.95%), 3.57%, 10/25/49 144A † | 90,466 | 89,685 | ||
Federal National Mortgage Association | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.99%, 1.99% Floor, 10.74% Cap), 2.23%, 12/01/24 CONV † | 1,321 | 1,314 | ||
2.50%, 12/01/27 | 285,318 | 281,369 | ||
3.00%, 09/01/30 | 142,713 | 142,287 | ||
3.00%, 02/01/31 | 817,236 | 814,800 | ||
3.00%, 04/01/31 | 13,503 | 13,463 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.22%, 2.22% Floor, 11.63% Cap), 2.51%, 09/01/31† | 22,774 | 22,678 | ||
2.50%, 10/01/31 | 327,459 | 321,278 | ||
2.50%, 11/01/31 | 752,727 | 738,529 | ||
2.50%, 01/01/32 | 5,262 | 5,163 | ||
3.00%, 03/01/32 | 488,525 | 487,065 | ||
(Floating, ICE LIBOR USD 1M + 1.31%, 1.31% Floor, 11.27% Cap), 1.81%, 08/01/32† | 140,920 | 141,185 | ||
3.00%, 11/01/32 | 43,616 | 43,244 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 9.73% Cap), 2.37%, 12/01/32† | 220,853 | 219,348 | ||
3.00%, 12/01/32 | 559,948 | 551,554 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.41%, 2.41% Floor, 9.34% Cap), 2.98%, 06/01/33† | 7,587 | 7,595 | ||
4.00%, 09/01/33 | 917,539 | 931,136 | ||
4.00%, 03/01/34 | 34,770 | 35,371 | ||
4.00%, 05/01/34 | 494,834 | 506,570 | ||
(Floating, ICE LIBOR USD 1Y + 1.66%, 1.66% Floor, 9.99% Cap), 1.97%, 02/01/35† | 52,880 | 53,923 | ||
3.00%, 09/01/35 | 80,817 | 79,411 | ||
4.00%, 07/01/37 | 25,936 | 26,390 | ||
4.00%, 09/01/37 | 31,160 | 31,245 | ||
4.00%, 03/01/38 | 22,034 | 22,095 | ||
(Floating, ICE LIBOR USD 1Y + 1.73%, 1.73% Floor, 9.50% Cap), 2.35%, 05/01/38† | 521,750 | 537,654 | ||
1.52%, 08/01/42† | 153,895 | 156,661 |
Par | Value | |||
(Floating, ICE LIBOR USD 1Y + 1.74%, 1.74% Floor, 8.60% Cap), 2.57%, 09/01/42† | $ 140,358 | $ 144,108 | ||
(Floating, ICE LIBOR USD 1Y + 1.69%, 1.69% Floor, 7.75% Cap), 2.88%, 07/01/43† | 258,912 | 265,400 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 8.51% Cap), 1.52%, 07/01/44† | 49,105 | 50,049 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 9.33% Cap), 1.52%, 10/01/44† | 39,471 | 40,254 | ||
4.00%, 12/01/44 | 1,131,152 | 1,139,872 | ||
(Floating, ICE LIBOR USD 1Y + 1.59%, 1.59% Floor, 7.85% Cap), 2.85%, 06/01/45† | 281,712 | 288,608 | ||
4.50%, 03/01/47 | 112,235 | 114,647 | ||
4.50%, 05/01/47 | 336,893 | 343,596 | ||
4.50%, 07/01/47 | 45,595 | 46,624 | ||
4.50%, 11/01/47 | 378,249 | 388,272 | ||
4.00%, 03/01/48 | 1,945,220 | 1,968,479 | ||
4.50%, 06/01/48 | 60,908 | 62,501 | ||
4.50%, 11/01/48 | 188,270 | 193,194 | ||
4.50%, 02/01/49 | 604,232 | 621,727 | ||
4.50%, 04/01/49 | 167,513 | 172,804 | ||
Federal National Mortgage Association REMIC, Series 2006-98 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 7.00% Cap), 2.05%, 10/25/36† | 123,593 | 123,378 | ||
Federal National Mortgage Association REMIC, Series 2007-100 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.00% Cap), 2.17%, 10/25/37† | 160,600 | 161,242 | ||
Federal National Mortgage Association REMIC, Series 2011-48 | ||||
4.00%, 06/25/26 STEP | 59,640 | 60,299 | ||
Federal National Mortgage Association REMIC, Series 2012-79 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 2.07%, 07/25/42† | 122,102 | 122,209 | ||
Federal National Mortgage Association REMIC, Series 2015-38 | ||||
(Floating, ICE LIBOR USD 1M + 0.31%, 0.31% Floor), 1.11%, 06/25/55† | 144,432 | 144,177 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2016-11 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor), 1.30%, 03/25/46† | $ 718,332 | $ 713,085 | ||
Federal National Mortgage Association REMIC, Series 2016-40 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 1.25%, 07/25/46† | 848,594 | 843,149 | ||
Federal National Mortgage Association REMIC, Series 2018-21 | ||||
3.50%, 04/25/45 | 158,588 | 158,170 | ||
Federal National Mortgage Association REMIC, Series 2019-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 2.12%, 07/25/49† | 516,657 | 515,981 | ||
Federal National Mortgage Association REMIC, Series 2019-53 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 1.20%, 09/25/49† | 958,053 | 950,475 | ||
Federal National Mortgage Association REMIC, Series 2019-60 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 1.20%, 10/25/59† | 1,035,025 | 1,023,974 | ||
Federal National Mortgage Association REMIC, Series 2019-9 | ||||
3.50%, 06/25/48 | 820,100 | 809,647 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K121 | ||||
1.12%, 10/25/30† IO γ | 594,979 | 39,012 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K727 | ||||
2.95%, 07/25/24 | 3,713,816 | 3,684,779 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KIR2 | ||||
2.75%, 03/25/27 | 271,435 | 269,614 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class M1 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.80%), 1.73%, 08/25/33 144A † | 562,109 | 558,555 | ||
FHLMC Structured Pass-Through Certificates, Series T-56, Class 3AF | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor, 8.50% Cap), 2.62%, 05/25/43† | 339,298 | 346,685 |
Par | Value | |||
FHLMC Structured Pass-Through Certificates, Series T-61, Class 1A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 1.88%, 07/25/44† | $ 271,935 | $ 282,845 | ||
Finsbury Square PLC, Series 2020-2A, Class A | ||||
(Floating, SONIA Interest Rate + 1.30%), 2.06%, 06/16/70(U) 144A † | 673,681 | 820,561 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
2.78%, 06/25/34† γ | 84,800 | 82,116 | ||
FREMF Mortgage Trust, Series 2013-K27, Class B | ||||
3.61%, 01/25/46 144A † γ | 130,000 | 129,537 | ||
FREMF Mortgage Trust, Series 2013-K31, Class B | ||||
3.75%, 07/25/46 144A † γ | 105,000 | 104,523 | ||
FREMF Mortgage Trust, Series 2015-K45, Class B | ||||
3.73%, 04/25/48 144A † γ | 250,000 | 245,315 | ||
FREMF Mortgage Trust, Series 2015-K720, Class B | ||||
3.60%, 07/25/22 144A † γ | 100,654 | 100,501 | ||
GCAT Trust, Series 2021-NQM7, Class A1 | ||||
1.92%, 08/25/66 144A | 263,336 | 251,503 | ||
Gemgarto PLC, Series 2021-1A, Class A | ||||
(Floating, SONIA Interest Rate + 0.59%), 1.35%, 12/16/67(U) 144A † | 1,742,362 | 2,099,462 | ||
Gosforth Funding PLC, Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 1.97%, 08/25/60 144A † | 40,227 | 40,221 | ||
Government National Mortgage Association | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 2.63%, 01/20/23† | 302 | 301 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 1.88%, 05/20/24† | 4,359 | 4,368 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 1.63%, 07/20/25† | 9,424 | 9,470 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 1.63%, 08/20/25† | 2,780 | 2,796 |
Par | Value | |||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 1.75%, 11/20/25† | $ 8,678 | $ 8,675 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 1.75%, 12/20/26† | 17,897 | 18,088 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 1.63%, 07/20/27† | 397 | 393 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 1.75%, 10/20/27† | 6,195 | 6,217 | ||
8.50%, 10/15/29 | 15,644 | 15,788 | ||
8.50%, 04/15/30 | 1,680 | 1,685 | ||
8.50%, 05/15/30 | 44,056 | 45,034 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 1.88%, 05/20/30† | 11,344 | 11,348 | ||
8.50%, 07/15/30 | 17,660 | 17,919 | ||
8.50%, 08/15/30 | 2,860 | 2,883 | ||
8.50%, 11/15/30 | 2,958 | 2,967 | ||
8.50%, 12/15/30 | 2,362 | 2,368 | ||
8.50%, 02/15/31 | 11,990 | 12,263 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 1.90%, 05/20/37† | 54,508 | 54,401 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 10.50% Cap), 1.40%, 02/20/61† | 391,627 | 389,625 | ||
Government National Mortgage Association, Series 2013-H13 | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%, 0.45% Floor, 15.00% Cap), 2.46%, 05/20/63† | 898,686 | 893,747 | ||
Government National Mortgage Association, Series 2016-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor), 1.57%, 02/20/66† | 6,586 | 6,569 | ||
Government National Mortgage Association, Series 2016-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor, 7.50% Cap), 1.57%, 10/20/66† | 1,298,992 | 1,294,979 | ||
Government National Mortgage Association, Series 2017-136 | ||||
3.00%, 03/20/47 | 106,419 | 103,943 | ||
Government National Mortgage Association, Series 2017-H09 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 1.97%, 04/20/67† | 1,662,143 | 1,642,734 |
Par | Value | |||
Government National Mortgage Association, Series 2017-H10 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 1.97%, 04/20/67† | $1,944,841 | $1,922,084 | ||
Government National Mortgage Association, Series 2020-17 | ||||
2.50%, 10/20/49 | 85,512 | 80,797 | ||
GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 10.50% Cap), 2.16%, 11/25/45† | 83,304 | 73,181 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 1.80%, 01/25/37† | 238,230 | 210,620 | ||
GS Mortgage Securities Corporation Trust, Series 2020-TWN3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 2.00% Floor), 3.32%, 11/15/37 144A † | 560,000 | 555,559 | ||
GS Mortgage Securities Trust, Series 2011-GC5, Class AS | ||||
5.21%, 08/10/44 144A † γ | 286,067 | 284,668 | ||
GS Mortgage Securities Trust, Series 2013-GC12, Class A3 | ||||
2.86%, 06/10/46 | 1,308,886 | 1,297,929 | ||
GS Mortgage Securities Trust, Series 2019-GC38, Class A2 | ||||
3.87%, 02/10/52 | 373,644 | 371,327 | ||
GS Mortgage-Backed Securities Corporation Trust, Series 2020-PJ4, Class A2 | ||||
3.00%, 01/25/51 144A † γ | 183,511 | 159,614 | ||
GS Mortgage-Backed Securities Corporation Trust, Series 2022-PJ2, Class A4 | ||||
2.50%, 06/25/52 144A † γ | 560,780 | 480,262 | ||
GSR Mortgage Loan Trust, Series 2004-11, Class 5A1 | ||||
2.65%, 09/25/34† γ | 64,648 | 63,574 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
2.94%, 09/25/35† γ | 36,850 | 35,880 | ||
Hawaii Hotel Trust, Series 2019-MAUI, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 2.47%, 05/15/38 144A † | 429,000 | 417,898 | ||
Hawksmoor Mortgage Funding PLC, Series 2019-1X, Class A | ||||
(Floating, SONIA Interest Rate + 1.05%), 1.70%, 05/25/53(U) † | 714,830 | 870,439 | ||
Hawksmoor Mortgages, Series 2019-1A, Class A | ||||
(Floating, SONIA Interest Rate + 1.05%), 1.70%, 05/25/53(U) 144A † | 909,783 | 1,107,831 |
Par | Value | |||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.38%, 0.38% Floor), 2.00%, 09/25/46† | $ 279,505 | $ 251,167 | ||
IndyMac INDX Mortgage Loan Trust, Series 2007-FLX3, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.27%, 0.27% Floor), 1.89%, 06/25/37† | 108,919 | 123,773 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-HSBC, Class D | ||||
4.67%, 07/05/32 144A † γ | 610,000 | 609,688 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class ASB | ||||
2.55%, 04/15/46 | 172,032 | 171,571 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX | ||||
4.25%, 07/05/33 144A | 190,000 | 188,488 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.96%, 0.96% Floor), 2.28%, 07/15/36 144A † | 1,710,000 | 1,677,396 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 2.12%, 04/15/38 144A † | 141,735 | 136,979 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2021-NYAH, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.76%, 0.76% Floor), 2.08%, 06/15/38 144A † | 560,000 | 532,971 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class B | ||||
3.38%, 01/05/39 144A | 145,000 | 133,162 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
2.50%, 02/25/35† γ | 9,771 | 9,346 | ||
JP Morgan Mortgage Trust, Series 2016-2, Class A1 | ||||
2.47%, 06/25/46 144A † γ | 192,860 | 187,637 | ||
JP Morgan Mortgage Trust, Series 2020-7, Class A3 | ||||
3.00%, 01/25/51 144A † γ | 141,817 | 126,912 | ||
JP Morgan Mortgage Trust, Series 2020-LTV1, Class A11 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 6.00% Cap), 2.01%, 06/25/50 144A † | 29,194 | 28,918 | ||
JP Morgan Mortgage Trust, Series 2021-12, Class A11 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.85%, 5.00% Cap), 1.78%, 02/25/52 144A † | 175,325 | 163,659 |
Par | Value | |||
JP Morgan Mortgage Trust, Series 2022-INV3, Class A3B | ||||
3.00%, 09/25/52 144A † γ | $ 384,810 | $ 343,619 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class ASB | ||||
3.66%, 09/15/47 | 167,339 | 166,377 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class A3 | ||||
3.50%, 12/15/48 | 325,618 | 314,467 | ||
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class A3 | ||||
3.38%, 09/15/50 | 1,500,000 | 1,470,609 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 2.12%, 05/15/36 144A † | 409,000 | 401,112 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 2.67%, 05/15/36 144A † | 136,000 | 131,442 | ||
Life Mortgage Trust, Series 2021-BMR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 2.02%, 03/15/38 144A † | 982,970 | 952,682 | ||
Luminent Mortgage Trust, Series 2006-7, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.34%, 0.34% Floor, 10.50% Cap), 1.96%, 12/25/36† | 276,869 | 247,546 | ||
LUXE Trust, Series 2021-TRIP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 2.37%, 10/15/38 144A † | 1,500,000 | 1,446,864 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 3A1 | ||||
2.19%, 12/25/33† γ | 34,760 | 34,878 | ||
Mello Mortgage Capital Acceptance, Series 2022-INV2, Class A3 | ||||
3.00%, 04/25/52 144A † γ | 459,833 | 409,971 | ||
MF1 Multifamily Housing Mortgage Loan Trust, Series 2020-FL3, Class AS | ||||
(Floating, CME Term SOFR 1M + 2.96%, 2.85% Floor), 4.24%, 07/15/35 144A † | 260,000 | 258,847 | ||
MF1, Series 2021-W10, Class A | ||||
(Floating, CME Term SOFR 1M + 1.07%, 1.07% Floor), 2.35%, 12/15/34 144A † | 110,000 | 108,357 | ||
MF1, Series 2021-W10, Class B | ||||
(Floating, CME Term SOFR 1M + 1.37%, 1.37% Floor), 2.65%, 12/15/34 144A † | 100,000 | 95,658 |
Par | Value | |||
MFA Trust, Series 2021-INV2, Class A1 | ||||
1.91%, 11/25/56 144A | $ 293,053 | $266,502 | ||
MFA Trust, Series 2021-RPL1, Class A1 | ||||
1.13%, 07/25/60 144A | 905,959 | 838,507 | ||
MHC Commercial Mortgage Trust, Series 2021-MHC, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 2.12%, 04/15/38 144A † | 480,000 | 468,396 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class ASB | ||||
3.82%, 10/15/46 | 323,293 | 323,047 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 | ||||
3.77%, 11/15/46 | 484,630 | 478,578 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AAB | ||||
2.66%, 05/15/46 | 42,821 | 42,692 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15, Class A4 | ||||
4.05%, 04/15/47 | 285,000 | 284,000 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class ASB | ||||
3.62%, 10/15/47 | 201,592 | 200,770 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class ASB | ||||
3.04%, 04/15/48 | 986,785 | 971,324 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4 | ||||
3.73%, 05/15/48 | 955,000 | 939,854 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A5 | ||||
3.64%, 10/15/48 | 535,000 | 526,897 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class XA | ||||
0.80%, 12/15/49† IO γ | 1,812,746 | 43,566 | ||
Morgan Stanley Capital I Trust, Series 2018-H4, Class A4 | ||||
4.31%, 12/15/51 | 249,000 | 246,431 | ||
Morgan Stanley Capital I Trust, Series 2021-230P, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.17%, 1.17% Floor), 2.49%, 12/15/23 144A † | 1,000,000 | 979,334 | ||
MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A | ||||
(Floating, CME Term SOFR 1M + 1.40%, 1.40% Floor), 2.68%, 03/15/39 144A † | 590,000 | 580,555 |
Par | Value | |||
Natixis Commercial Mortgage Securities Trust, Series 2022-RRI, Class A | ||||
(Floating, CME Term SOFR 1M + 1.82%, 1.82% Floor), 3.10%, 03/15/35 144A † | $1,700,000 | $1,666,069 | ||
New Residential Mortgage Loan Trust, Series 2017-3A, Class A1 | ||||
4.00%, 04/25/57 144A | 2,120,136 | 2,078,651 | ||
New Residential Mortgage Loan Trust, Series 2017-4A, Class A1 | ||||
4.00%, 05/25/57 144A | 626,624 | 609,274 | ||
New Residential Mortgage Loan Trust, Series 2018-1A, Class A1A | ||||
4.00%, 12/25/57 144A † γ | 961,020 | 936,899 | ||
New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1 | ||||
2.75%, 07/25/59 144A | 1,073,398 | 1,040,299 | ||
New Residential Mortgage Loan Trust, Series 2020-1A, Class A1B | ||||
3.50%, 10/25/59 144A † γ | 464,569 | 447,615 | ||
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 | ||||
2.75%, 11/25/59 144A | 1,306,486 | 1,253,609 | ||
Oaktown Re VII, Ltd., Series 2021-2, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.60%, 1.60% Floor), 2.53%, 04/25/34 144A † | 700,000 | 687,743 | ||
OBX Trust, Series 2020-EXP3, Class 2A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.90%), 2.52%, 01/25/60 144A † | 450,000 | 442,866 | ||
OBX Trust, Series 2022-INV3, Class A1 | ||||
3.00%, 02/25/52 144A † γ | 208,234 | 185,135 | ||
ONE Mortgage Trust, Series 2021-PARK, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 2.02%, 03/15/36 144A † | 1,900,000 | 1,828,705 | ||
One New York Plaza Trust, Series 2020-1NYP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 2.27%, 01/15/36 144A † | 240,000 | 232,874 | ||
PFP, Ltd., Series 2019-6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 2.56%, 04/14/37 144A † | 46,048 | 45,784 | ||
PFP, Ltd., Series 2021-8, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 2.51%, 08/09/37 144A † | 1,700,000 | 1,638,931 |
Par | Value | |||
PKHL Commercial Mortgage Trust, Series 2021-MF, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.88%, 0.88% Floor), 2.21%, 07/15/38 144A † | $ 678,000 | $ 654,921 | ||
PRKCM Trust, Series 2021-AFC2, Class A1 | ||||
2.07%, 11/25/56 144A | 333,263 | 285,799 | ||
Radnor RE, Ltd., Series 2021-2, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.85%, 1.85% Floor), 2.78%, 11/25/31 144A † | 400,000 | 396,212 | ||
Ready Capital Mortgage Financing LLC, Series 2021-FL6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 2.57%, 07/25/36 144A † | 1,499,645 | 1,433,002 | ||
Ready Capital Mortgage Financing LLC, Series 2022-FL9, Class A | ||||
(Floating, CME Term SOFR 1M + 2.47%, 2.47% Floor), 3.72%, 06/25/37 144A † | 250,000 | 248,328 | ||
Residential Mortgage Securities 32 PLC, Class A | ||||
(Floating, SONIA Interest Rate + 1.25%), 2.04%, 06/20/70(U) 144A † | 740,032 | 898,629 | ||
Resimac Bastille Trust, Series 2021-2NCA, Class A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 1.77%, 02/03/53 144A † | 1,050,807 | 1,043,413 | ||
RFMSI Trust, Series 2003-S9, Class A1 | ||||
6.50%, 03/25/32 | 4,295 | 4,154 | ||
Seasoned Credit Risk Transfer Trust Series, Series 2019-4, Class MA | ||||
3.00%, 02/25/59 | 630,324 | 613,953 | ||
Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA | ||||
3.50%, 11/25/57 | 242,599 | 240,508 | ||
Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA | ||||
3.50%, 08/25/57 | 288,037 | 285,443 | ||
Sequoia Mortgage Trust, Series 2017-CH1, Class A2 | ||||
3.50%, 08/25/47 144A | 30,711 | 29,708 | ||
STACR Trust, Series 2018-HRP1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.65%), 3.27%, 04/25/43 144A † | 828,659 | 822,534 | ||
STACR Trust, Series 2018-HRP2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.25%), 2.87%, 02/25/47 144A † | 163,188 | 162,881 |
Par | Value | |||
Starwood Mortgage Residential Trust, Series 2020-3, Class A1 | ||||
1.49%, 04/25/65 144A | $ 214,405 | $ 209,266 | ||
Starwood Mortgage Residential Trust, Series 2020-INV1, Class A1 | ||||
1.03%, 11/25/55 144A | 141,121 | 137,128 | ||
Stratton Mortgage Funding, Series 2021-2A, Class A | ||||
(Floating, SONIA Interest Rate + 0.90%), 1.36%, 07/20/60(U) 144A † | 241,541 | 292,392 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 1.92%, 09/25/34† | 44,686 | 40,211 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 11.00% Cap), 2.10%, 07/19/35† | 24,411 | 22,490 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.56%, 0.56% Floor, 10.50% Cap), 2.18%, 02/25/36† | 228,421 | 210,067 | ||
STWD Mortgage Trust, Series 2021-HTS, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 2.37%, 04/15/34 144A † | 1,700,000 | 1,651,795 | ||
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A | ||||
(Floating, CME Term SOFR 1M + 2.19%, 2.19% Floor), 3.46%, 05/15/37 144A † | 210,000 | 204,876 | ||
TBW Mortgage-Backed Trust, Series 2007-2, Class A6A | ||||
(Step to 4.29% on 08/25/22), 6.51%, 07/25/37 STEP | 179,449 | 83,107 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, SONIA Interest Rate + 1.14%), 1.61%, 10/20/51(U) 144A † | 980,853 | 1,191,107 | ||
Towd Point Mortgage Funding, Series 2019-A13A, Class A1 | ||||
(Floating, SONIA Interest Rate + 0.90%), 1.36%, 07/20/45(U) 144A † | 1,947,790 | 2,369,381 | ||
Towd Point Mortgage Trust, Series 2020-1, Class A1 | ||||
2.71%, 01/25/60 144A † γ | 617,186 | 593,963 | ||
Towd Point Mortgage Trust, Series 2020-2, Class A1A | ||||
1.64%, 04/25/60 144A | 1,827,882 | 1,700,320 |
Par | Value | |||
Towd Point Mortgage Trust, Series 2021-SJ2, Class A1A | ||||
2.25%, 12/25/61 144A | $ 998,051 | $ 976,737 | ||
TPGI Trust, Series 2021-DGWD, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 2.02%, 06/15/26 144A † | 450,000 | 430,418 | ||
Trinity Square PLC, Series 2021-1A, Class A | ||||
(Floating, SONIA Interest Rate + 0.85%), 1.30%, 07/15/59(U) 144A † | 1,128,079 | 1,365,673 | ||
TTAN, Series 2021-MHC, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.85%, 0.85% Floor), 2.18%, 03/15/38 144A † | 299,236 | 288,456 | ||
UBS Commercial Mortgage Trust, Series 2017-C1, Class A4 | ||||
3.46%, 06/15/50 | 500,000 | 475,280 | ||
UBS Commercial Mortgage Trust, Series 2019-C16, Class ASB | ||||
3.46%, 04/15/52 | 540,000 | 523,443 | ||
UBS Commercial Mortgage Trust, Series 2019-C18, Class A4 | ||||
3.04%, 12/15/52 | 330,000 | 299,657 | ||
Uniform Mortgage Backed Securities | ||||
4.00%, 08/01/52 TBA | 3,435,000 | 3,382,469 | ||
Verus Securitization Trust, Series 2021-6, Class A1 | ||||
1.63%, 10/25/66 144A | 1,046,438 | 931,765 | ||
Verus Securitization Trust, Series 2022-1, Class A1 | ||||
(Step to 3.72% on 02/25/26), 2.72%, 01/25/67 144A STEP | 165,826 | 156,913 | ||
Verus Securitization Trust, Series 2022-3, Class A1 | ||||
(Step to 4.12% on 08/25/22), 4.13%, 02/25/67 144A STEP | 423,930 | 416,232 | ||
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), 1.88%, 06/25/42† | 2,625 | 2,455 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A | ||||
2.77%, 08/25/33† γ | 76,014 | 74,573 | ||
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), 2.24%, 01/25/45† | 110,512 | 107,136 | ||
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), 1.22%, 01/25/47† | 155,476 | 140,654 |
Par | Value | |||
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), 1.46%, 06/25/46† | $ 301,791 | $ 288,711 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
2.78%, 02/25/37† γ | 116,533 | 105,056 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 2A1 | ||||
3.34%, 05/25/37† γ | 155,057 | 128,697 | ||
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), 1.32%, 05/25/47† | 37,351 | 4,592 | ||
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4 | ||||
3.17%, 02/15/48 | 500,000 | 488,242 | ||
Wells Fargo Commercial Mortgage Trust, Series 2015-C27, Class A5 | ||||
3.45%, 02/15/48 | 435,000 | 426,519 | ||
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class A6FL | ||||
(Floating, ICE LIBOR USD 1M + 1.55%, 1.55% Floor), 3.07%, 01/15/59 144A † | 2,000,000 | 2,045,771 | ||
Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class A5 | ||||
3.42%, 09/15/50 | 1,096,000 | 1,055,104 | ||
Wells Fargo Mortgage Backed Securities Trust, Series 2020-RR1, Class A1 | ||||
3.00%, 05/25/50 144A † γ | 79,101 | 71,161 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class ASB | ||||
3.39%, 08/15/47 | 276,485 | 276,057 | ||
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class ASB | ||||
3.52%, 03/15/47 | 208,062 | 207,522 | ||
Total Mortgage-Backed Securities (Cost $154,492,809) | 148,278,163 | |||
MUNICIPAL BONDS — 0.1% | ||||
California State Earthquake Authority, Revenue Bond, Series B | ||||
1.48%, 07/01/23 | 315,000 | 309,151 | ||
Hawaii State, General Obligation, Series GB | ||||
0.80%, 10/01/24 | 1,000,000 | 945,824 | ||
Total Municipal Bonds (Cost $1,315,000) | 1,254,975 | |||
U.S. TREASURY OBLIGATIONS — 30.6% | ||||
U.S. Treasury Bills | ||||
1.45%, 08/23/22Ω | 600,000 | 598,699 |
Par | Value | |||
1.53%, 09/22/22Ω Δ | $ 6,300,000 | $ 6,276,457 | ||
1.85%, 04/20/23Ω | 6,000,000 | 5,876,391 | ||
12,751,547 | ||||
U.S. Treasury Bonds | ||||
1.75%, 08/15/41‡‡ | 4,300,000 | 3,272,535 | ||
U.S. Treasury Inflationary Indexed Bonds | ||||
0.13%, 04/15/27 | 7,085,734 | 6,979,730 | ||
U.S. Treasury Notes | ||||
0.38%, 10/31/23 | 10,106,000 | 9,767,291 | ||
0.88%, 01/31/24 | 34,835,000 | 33,713,748 | ||
0.25%, 03/15/24 | 4,060,000 | 3,877,141 | ||
2.25%, 03/31/24Δ | 12,235,000 | 12,082,541 | ||
2.50%, 04/30/24Δ | 4,355,000 | 4,317,659 | ||
0.25%, 06/15/24 | 15,860,000 | 15,042,219 | ||
0.38%, 08/15/24 | 12,495,000 | 11,821,197 | ||
0.38%, 09/15/24 | 10,600,000 | 10,006,234 | ||
0.75%, 11/15/24Δ | 83,056,000 | 78,766,936 | ||
1.00%, 12/15/24 | 20,600,000 | 19,622,305 | ||
1.13%, 01/15/25 | 11,785,000 | 11,240,865 | ||
1.50%, 02/15/25 | 20,296,000 | 19,510,323 | ||
1.75%, 03/15/25 | 12,175,000 | 11,772,179 | ||
2.63%, 04/15/25 | 7,245,000 | 7,167,173 | ||
2.75%, 05/15/25Δ | 17,540,000 | 17,407,080 | ||
2.88%, 06/15/25Δ | 27,990,000 | 27,880,664 | ||
293,995,555 | ||||
Total U.S. Treasury Obligations (Cost $324,557,008) | 316,999,367 |
Shares | |||
MONEY MARKET FUNDS — 3.4% | |||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø ∞ | 26,297,776 | 26,297,776 | |
Northern Institutional Liquid Assets Portfolio (Shares), 1.46%Ø § | 8,486,598 | 8,486,598 | |
Northern Institutional U.S. Government Portfolio (Shares), 1.12%Ø | 971,596 | 971,596 | |
Total Money Market Funds (Cost $35,755,970) | 35,755,970 | ||
TOTAL INVESTMENTS —101.3% (Cost $1,091,435,999) | 1,050,574,830 |
Number of Contracts | Notional Amount | Value | |||
WRITTEN OPTION — (0.0)% | |||||
Call Swaption — (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 $120.00, Expires 04/02/24 (BNP) | (1) | $(1,300,000) | $ (531) | ||
Total Written Options (Premiums received $ (2,353)) | (531) | ||||
Liabilities in Excess of Other Assets — (1.3)% | (13,812,378) | ||||
NET ASSETS — 100.0% | $1,036,761,921 |
% | |
U.S. Treasury Obligations | 30.6 |
Corporate Bonds | 20.0 |
Asset-Backed Securities | 16.3 |
Mortgage-Backed Securities | 14.3 |
Foreign Bonds | 12.6 |
Money Market Funds | 3.4 |
Agency Obligations | 2.5 |
Commercial Paper | 1.5 |
Municipal Bonds | 0.1 |
Written Option | —** |
101.3 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 09/2022 | (53) | $(6,897,680) | $ 29,844 | ||||
Euro-Bund | 09/2022 | (1) | (155,914) | 2,380 | ||||
Euro-Schatz | 09/2022 | (29) | (3,316,977) | 3,444 | ||||
10-Year Japanese Treasury Bond | 09/2022 | (4) | (4,381,191) | 12,019 | ||||
10-Year U.S. Treasury Note | 09/2022 | (28) | (3,318,875) | (31,302) | ||||
U.S. Treasury Long Bond | 09/2022 | (6) | (831,750) | (20,246) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2022 | (152) | $ (19,361,000) | $ 122,739 | ||||
Ultra Long U.S. Treasury Bond | 09/2022 | (49) | (7,562,843) | 119,901 | ||||
2-Year U.S. Treasury Note | 10/2022 | 1,813 | 380,758,328 | (1,140,695) | ||||
5-Year U.S. Treasury Note | 10/2022 | (1,475) | (165,568,750) | 587,329 | ||||
Total Futures Contracts outstanding at June 30, 2022 | $ 169,363,348 | $ (314,587) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/05/22 | U.S. Dollars | 16,650,937 | British Pounds | 13,210,000 | BNP | $ 568,956 | ||||||
08/16/22 | U.S. Dollars | 7,903,564 | Austalian Dollars | 11,216,000 | BNP | 158,602 | ||||||
07/05/22 | U.S. Dollars | 7,053,483 | Canadian Dollars | 8,944,205 | BNP | 104,958 | ||||||
07/05/22 | U.S. Dollars | 3,383,022 | Euro | 3,147,000 | MSCS | 84,002 | ||||||
09/21/22 | U.S. Dollars | 15,566,858 | Euro | 14,699,000 | BNP | 68,922 | ||||||
08/02/22 | Japanese Yen | 867,037,244 | U.S. Dollars | 6,392,791 | BNP | 10,836 | ||||||
09/15/22 | U.S. Dollars | 1,658,941 | Canadian Dollars | 2,124,000 | HSBC | 8,609 | ||||||
07/05/22 | Canadian Dollars | 731,000 | U.S. Dollars | 564,097 | JPM | 3,798 | ||||||
09/21/22 | U.S. Dollars | 296,357 | Canadian Dollars | 379,000 | JPM | 1,878 | ||||||
09/15/22 | Canadian Dollars | 175,000 | Canadian Dollars | 134,695 | HSBC | 1,279 | ||||||
Subtotal Appreciation | $1,011,840 | |||||||||||
09/15/22 | Canadian Dollars | 257,000 | U.S. Dollars | 201,409 | HSBC | $ (1,722) | ||||||
07/05/22 | British Pounds | 412,000 | U.S. Dollars | 504,413 | BNP | (2,840) | ||||||
08/02/22 | U.S. Dollars | 6,363,865 | Canadian Dollars | 8,217,723 | MSCS | (20,175) | ||||||
08/02/22 | U.S. Dollars | 15,559,340 | British Pounds | 12,798,000 | HSBC | (29,075) | ||||||
08/16/22 | Australian Dollars | 2,344,000 | U.S. Dollars | 1,681,322 | DEUT | (62,725) | ||||||
07/05/22 | Japanese Yen | 870,762,069 | U.S. Dollars | 6,759,712 | BNP | (339,970) | ||||||
Subtotal Depreciation | $ (456,507) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2022 | $ 555,333 |
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)% | 6/20/2024 | MSCS | USD | 1,600,000 | $(18,689) | $(35,993) | $17,304 | ||||||||
$(18,689) | $(35,993) | $17,304 |
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 | 36,100,000 | $(87,227) | $(887,430) | $800,203 | |||||||
Markit CDX.NA.IG.38 Index (Pay Quarterly) | (1.00)% | 6/20/2027 | USD | 1,800,000 | 72 | (17,447) | 17,519 | |||||||
$(87,155) | $(904,877) | $817,722 |
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.HY.38 Index (Receive Quarterly) | 5.75% | 5.00% | 6/20/2027 | USD | 2,534,400 | $(70,302) | $(36,194) | $(34,108) | ||||||||
$(70,302) | $(36,194) | $(34,108) |
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 | ||||||||||||||
0.05% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/15/2031 | JPY | 670,000,000 | $ 172,281 | $152,646 | $ 19,635 | |||||||
Subtotal Appreciation | $ 172,281 | $152,646 | $ 19,635 | |||||||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Month LIBOR + .098% (Quarterly) | 3-Month LIBOR (Quarterly) | 1/13/2023 | USD | 25,000,000 | $ (1,046) | $ — | $ (1,046) | |||||||
2.71% (Annually) | 1-Day SOFR (Annually) | 3/31/2024 | USD | 97,600,000 | (465,873) | — | (465,873) | |||||||
Subtotal Depreciation | $(466,919) | $ — | $(466,919) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2022 | $(294,638) | $152,646 | $(447,284) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 25,640,371 | $ — | $ 25,640,371 | $ — | |||
Asset-Backed Securities | 168,700,955 | — | 168,700,955 | — | |||
Commercial Paper | 15,503,820 | — | 15,503,820 | — | |||
Corporate Bonds | 207,509,835 | — | 207,509,835 | — | |||
Foreign Bonds | 130,931,374 | — | 130,931,374 | — | |||
Money Market Funds | 35,755,970 | 35,755,970 | — | — | |||
Mortgage-Backed Securities | 148,278,163 | — | 148,278,163 | — | |||
Municipal Bonds | 1,254,975 | — | 1,254,975 | — | |||
U.S. Treasury Obligations | 316,999,367 | — | 316,999,367 | — | |||
Total Assets - Investments in Securities | $1,050,574,830 | $35,755,970 | $1,014,818,860 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 1,011,840 | $ — | $ 1,011,840 | $ — | |||
Futures Contracts | 877,656 | 877,656 | — | — | |||
Swap Agreements | 854,661 | — | 854,661 | — | |||
Total Assets - Other Financial Instruments | $ 2,744,157 | $ 877,656 | $ 1,866,501 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Option: | |||||||
Call Swaption | $ (531) | $ (531) | $ — | $ — | |||
Total Liabilities - Investments in Securities | $ (531) | $ (531) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (456,507) | $ — | $ (456,507) | $ — | |||
Futures Contracts | (1,192,243) | (1,192,243) | — | — | |||
Swap Agreements | (501,027) | — | (501,027) | — | |||
Total Liabilities - Other Financial Instruments | $ (2,149,777) | $ (1,192,243) | $ (957,534) | $ — |
*** | 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. |
Par | Value | |||
AGENCY OBLIGATIONS — 1.6% | ||||
Federal Farm Credit Banks Funding Corporation | ||||
2.90%, 04/12/32 | $2,640,000 | $ 2,517,715 | ||
3.30%, 05/19/32 | 1,310,000 | 1,295,828 | ||
2.85%, 03/28/34 | 2,880,000 | 2,689,035 | ||
1.70%, 04/23/35 | 3,800,000 | 3,040,120 | ||
3.08%, 03/30/37 | 1,770,000 | 1,627,090 | ||
Federal Home Loan Mortgage Corporation | ||||
0.65%, 10/22/25 | 7,100,000 | 6,539,658 | ||
0.65%, 10/27/25 | 7,200,000 | 6,613,077 | ||
0.80%, 10/28/26 | 7,200,000 | 6,484,031 | ||
Federal National Mortgage Association | ||||
6.63%, 11/15/30 | 670,000 | 828,505 | ||
Tennessee Valley Authority | ||||
3.50%, 12/15/42 | 500,000 | 459,676 | ||
Tennessee Valley Authority Principal Strip | ||||
2.25%, 04/01/56Ω | 1,000,000 | 228,416 | ||
Total Agency Obligations (Cost $35,196,846) | 32,323,151 | |||
ASSET-BACKED SECURITIES — 7.5% | ||||
522 Funding CLO, Ltd., Series 2020-6A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 2.33%, 10/23/34 144A † | 1,110,000 | 1,074,529 | ||
A10 Bridge Asset Financing LLC, Series 2020-C, Class A | ||||
2.02%, 08/15/40 144A | 245,267 | 245,251 | ||
ABPCI Direct Lending Fund CLO X LP, Series 2020-10A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.95%, 1.95% Floor), 3.01%, 01/20/32 144A † | 970,000 | 963,390 | ||
ACE Securities Corporation Home Equity Loan Trust, Series 2007-ASP1, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.20%, 0.20% Floor), 2.02%, 03/25/37† | 2,362,364 | 1,197,436 | ||
Alaska Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
4.80%, 08/15/27 144A | 1,500,110 | 1,483,147 | ||
Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2 | ||||
1.94%, 08/15/46 144A | 900,000 | 796,706 | ||
American Airlines Pass-Through Trust, Series 2013-1, Class A | ||||
4.00%, 07/15/25 | 683,095 | 629,209 | ||
American Airlines Pass-Through Trust, Series 2017-2, Class AA | ||||
3.35%, 10/15/29Δ | 1,645,373 | 1,515,489 |
Par | Value | |||
American Airlines Pass-Through Trust, Series 2021-1, Class A | ||||
2.88%, 07/11/34Δ | $2,300,000 | $1,965,779 | ||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R10, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 2.30%, 01/25/36† | 2,900,000 | 2,859,518 | ||
AMMC CLO XI, Ltd., Series 2012-11A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.01%), 2.30%, 04/30/31 144A † | 710,000 | 694,189 | ||
Apidos CLO XXIII, Series 2015-23A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.22%, 1.22% Floor), 2.26%, 04/15/33 144A † | 1,500,000 | 1,463,594 | ||
Apidos CLO XXXV, Series 2021-35A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 2.11%, 04/20/34 144A † | 540,000 | 518,659 | ||
Arbor Realty Commercial Real Estate Notes, Ltd., Series 2022-FL1, Class A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.45%, 1.45% Floor), 2.23%, 01/15/37 144A † | 1,500,000 | 1,457,717 | ||
Arbys Funding LLC, Series 2020-1A, Class A2 | ||||
3.24%, 07/30/50 144A | 982,500 | 887,132 | ||
Ballyrock CLO, Ltd., Series 2018-1A, Class C | ||||
(Floating, ICE LIBOR USD 3M + 3.15%), 4.21%, 04/20/31 144A † | 750,000 | 674,282 | ||
Ballyrock CLO, Ltd., Series 2019-2A, Class A1BR | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 2.68%, 11/20/30 144A † | 490,000 | 479,370 | ||
Basswood Park CLO, Ltd., Series 2021-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.00%, 1.00% Floor), 2.06%, 04/20/34 144A † | 1,500,000 | 1,444,213 | ||
BCRED MML CLO LLC, Series 2022-1A, Class A1 | ||||
(Floating, CME Term SOFR 3M + 1.65%, 1.65% Floor), 2.24%, 04/20/35 144A † | 820,000 | 793,424 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A2A | ||||
6.00%, 10/25/36 | 795,499 | 473,589 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A3A | ||||
6.50%, 10/25/36 | 2,062,024 | 1,204,735 |
Par | Value | |||
BlueMountain CLO XXVIII, Ltd., Series 2021-28A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.26%, 1.26% Floor), 2.30%, 04/15/34 144A † | $ 400,000 | $ 388,694 | ||
BlueMountain CLO, Ltd., Series 2013-2A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.18%), 2.32%, 10/22/30 144A † | 2,313,710 | 2,287,722 | ||
BSPRT Issuer, Ltd., Series 2022-FL9, Class B | ||||
(Floating, CME Term SOFR 1M + 3.37%, 3.37% Floor), 5.32%, 07/15/39 144A † | 2,000,000 | 1,991,804 | ||
Carrington Mortgage Loan Trust, Series 2005-OPT2, Class M4 | ||||
(Floating, ICE LIBOR USD 1M + 0.98%, 0.98% Floor), 2.60%, 05/25/35† | 460,331 | 459,658 | ||
Carvana Auto Receivables Trust, Series 2022-P2, Class A2 | ||||
3.33%, 07/10/25 | 2,000,000 | 1,988,728 | ||
Cayuga Park CLO, Ltd., Series 2020-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.12%, 1.12% Floor), 2.16%, 07/17/34 144A † | 790,000 | 762,514 | ||
Cedar Funding V CLO, Ltd., Series 2016-5A, Class AFRR | ||||
1.94%, 07/17/31 144A | 560,000 | 529,719 | ||
Cerberus Loan Funding XXXII LP, Series 2021-2A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.62%, 1.62% Floor), 2.66%, 04/22/33 144A † | 1,000,000 | 969,993 | ||
Credit Suisse European Mortgage Capital, Ltd., Series 2019-1OTF, Class A | ||||
(Floating, ICE LIBOR USD 3M + 2.90%), 4.19%, 08/09/24 144A † | 950,000 | 929,113 | ||
CVS Pass-Through Trust | ||||
6.94%, 01/10/30 | 464,655 | 495,037 | ||
CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.75% Floor), 2.37%, 03/25/34† | 74,321 | 72,483 | ||
CWHEQ Revolving Home Equity Loan Trust, Series 2005-F, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.24%, 0.24% Floor, 16.00% Cap), 1.56%, 12/15/35† | 21,705 | 20,791 | ||
DB Master Finance LLC, Series 2019-1A, Class A23 | ||||
4.35%, 05/20/49 144A | 1,264,250 | 1,183,301 | ||
Domino's Pizza Master Issuer LLC, Series 2019-1A, Class A2 | ||||
3.67%, 10/25/49 144A | 1,222,852 | 1,110,718 |
Par | Value | |||
Dryden 75 CLO, Ltd., Series 2019-75A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 2.08%, 04/15/34 144A † | $ 250,000 | $ 240,056 | ||
Dryden 77 CLO, Ltd., Series 2020-77A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.12%, 1.12% Floor), 2.60%, 05/20/34 144A † | 6,500,000 | 6,291,374 | ||
Dryden 87 CLO, Ltd., Series 2021-87A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.10%, 1.10% Floor), 2.58%, 05/20/34 144A † | 480,000 | 462,330 | ||
ECMC Group Student Loan Trust, Series 2017-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%), 2.82%, 12/27/66 144A † | 767,856 | 759,982 | ||
Elmwood CLO IV, Ltd., Series 2020-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.24%, 1.24% Floor), 2.28%, 04/15/33 144A † | 2,550,000 | 2,490,150 | ||
Federal National Mortgage Association Grantor Trust, Series 2017-T1 | ||||
2.90%, 06/25/27 | 99,471 | 96,821 | ||
Financial Asset Securities Corporation AAA Trust, Series 2005-1A, Class 1A3B | ||||
(Floating, ICE LIBOR USD 1M + 0.41%, 0.41% Floor), 2.06%, 02/27/35 144A † | 317,085 | 298,117 | ||
Fortress Credit Bsl X, Ltd., Series 2021-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.47%, 1.47% Floor), 2.53%, 04/20/33 144A † | 2,190,000 | 2,143,602 | ||
FS Rialto Issuer LLC, Series 2022-FL5, Class AS | ||||
(Floating, CME Term SOFR 1M + 2.87%, 2.87% Floor), 3.77%, 06/19/37 144A † | 1,800,000 | 1,783,565 | ||
FS Rialto Issuer LLC, Series 2022-FL5, Class B | ||||
(Floating, CME Term SOFR 1M + 3.37%, 3.37% Floor), 4.27%, 06/19/27 144A † | 550,000 | 544,996 | ||
GLS Auto Receivables Issuer Trust, Series 2022-1A, Class A | ||||
1.98%, 08/15/25 144A | 1,736,960 | 1,716,195 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2022-2, Class A2 | ||||
2.52%, 05/16/25 | 2,000,000 | 1,983,392 | ||
GMACM Home Equity Loan Trust, Series 2007-HE3, Class 2A1 | ||||
7.00%, 09/25/37 | 24,688 | 22,841 |
Par | Value | |||
GoldenTree Loan Opportunities IX, Ltd., Series 2014-9A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.11%, 1.11% Floor), 2.35%, 10/29/29 144A † | $ 970,803 | $ 960,092 | ||
Golub Capital Partners CLO 16, Ltd., Series 2013-16A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.61%, 1.61% Floor), 2.79%, 07/25/33 144A † | 2,450,000 | 2,349,509 | ||
Golub Capital Partners CLO 25M, Ltd., Series 2015-25A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.38%, 1.38% Floor), 2.74%, 05/05/30 144A † | 500,000 | 494,759 | ||
Golub Capital Partners CLO 36M, Ltd., Series 2018-36A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.30%), 2.66%, 02/05/31 144A † | 2,500,000 | 2,475,773 | ||
Golub Capital Partners CLO 45M, Ltd., Series 2019-45A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.72%, 1.72% Floor), 2.78%, 10/20/31 144A † | 250,000 | 248,938 | ||
GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class A | ||||
2.10%, 05/20/48 144A | 2,091,825 | 1,807,274 | ||
GoodLeap Sustainable Home Solutions Trust, Series 2022-2CS, Class A | ||||
4.00%, 04/20/49 144A | 1,959,217 | 1,911,489 | ||
Greywolf CLO V, Ltd., Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.16%, 1.16% Floor), 2.34%, 01/27/31 144A † | 500,000 | 490,884 | ||
Higher Education Funding I, Series 2014-1, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%), 2.57%, 05/25/34 144A † | 302,709 | 301,961 | ||
Hildene Community Funding CDO, Ltd., Series 2015-1A, Class ARR | ||||
2.60%, 11/01/35 144A | 750,000 | 688,410 | ||
Hotwire Funding LLC, Series 2021-1, Class A2 | ||||
2.31%, 11/20/51 144A | 1,350,000 | 1,200,401 | ||
HPS Loan Management, Ltd., Series 2021-16A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.14%, 1.14% Floor), 2.32%, 01/23/35 144A † | 640,000 | 613,046 | ||
ICG U.S. CLO, Ltd., Series 2017-1A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 1.17%, 1.17% Floor), 2.41%, 07/28/34 144A † | 1,500,000 | 1,438,155 | ||
InStar Leasing III LLC, Series 2021-1A, Class A | ||||
2.30%, 02/15/54 144A | 940,420 | 830,347 |
Par | Value | |||
JetBlue Pass-Through Trust, Series 2019-1, Class AA | ||||
2.75%, 05/15/32 | $1,869,555 | $1,623,479 | ||
KKR CLO, Ltd., Series 32A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.32%, 1.32% Floor), 2.36%, 01/15/32 144A † | 340,000 | 335,633 | ||
LCCM Trust, Series 2021-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%, 1.20% Floor), 2.52%, 12/13/38 144A † | 750,000 | 735,338 | ||
LCM XVIII LP, Series 19A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.24%, 1.24% Floor), 2.28%, 07/15/27 144A † | 82,772 | 82,387 | ||
Lendmark Funding Trust, Series 2021-1A, Class A | ||||
1.90%, 11/20/31 144A | 2,200,000 | 1,912,466 | ||
LL ABS Trust, Series 2022-1A, Class A | ||||
3.76%, 11/15/29 144A | 1,800,642 | 1,783,910 | ||
LoanCore Issuer, Ltd., Series 2019-CRE2, Class C | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 2.00% Floor), 3.32%, 05/15/36 144A † | 250,000 | 242,346 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.85%, 1.85% Floor), 2.89%, 04/15/31 144A † | 500,000 | 478,895 | ||
Mariner Finance Issuance Trust, Series 2021-AA, Class A | ||||
1.86%, 03/20/36 144A | 2,200,000 | 1,948,381 | ||
MF1, Ltd., Series 2021-FL6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 2.62%, 07/16/36 144A † | 900,000 | 872,406 | ||
Mississippi Higher Education Assistance Corporation, Series 2014-1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 2.30%, 10/25/35† | 316,589 | 312,868 | ||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-NC3, Class A2C | ||||
(Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 1.81%, 05/25/37† | 1,505,676 | 1,158,310 | ||
Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.15%, 0.15% Floor), 1.77%, 11/25/36† | 3,219,662 | 1,208,032 | ||
Mosaic Solar Loan Trust, Series 2021-1A, Class D | ||||
3.71%, 12/20/46 144A | 359,842 | 331,583 |
Par | Value | |||
Mosaic Solar Loan Trust, Series 2022-1A, Class A | ||||
2.64%, 01/20/53 144A | $2,032,060 | $1,833,591 | ||
Navient Private Education Loan Trust, Series 2015-BA, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.45%), 2.77%, 07/16/40 144A † | 1,992,712 | 1,986,906 | ||
Navient Student Loan Trust, Series 2016-6A, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.30%), 2.92%, 03/25/66 144A † | 2,176,000 | 2,196,825 | ||
Navient Student Loan Trust, Series 2020-1A, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 2.67%, 06/25/69 144A † | 1,903,496 | 1,885,503 | ||
Neuberger Berman Loan Advisers CLO, Ltd., Series 2018-29A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 1.13% Floor), 2.17%, 10/19/31 144A † | 750,000 | 735,843 | ||
Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A1 | ||||
1.85%, 11/20/50 144A | 661,224 | 605,822 | ||
Octagon Investment Partners 36, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.97%), 2.01%, 04/15/31 144A † | 700,000 | 683,226 | ||
Octagon Investment Partners XXI, Ltd., Series 2014-1A, Class AAR3 | ||||
(Floating, ICE LIBOR USD 3M + 1.00%, 1.00% Floor), 2.41%, 02/14/31 144A † | 530,000 | 516,852 | ||
Option One Mortgage Loan Trust, Series 2007-5, Class 2A4 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 1.92%, 05/25/37† | 1,763,740 | 1,023,002 | ||
Owl Rock CLO III, Ltd., Series 2020-3A, Class A1L | ||||
(Floating, ICE LIBOR USD 3M + 1.80%), 2.86%, 04/20/32 144A † | 600,000 | 595,642 | ||
PHEAA Student Loan Trust, Series 2012-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 2.17%, 05/25/57 144A † | 364,475 | 356,145 | ||
PHEAA Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 2.77%, 09/25/65 144A † | 341,740 | 337,208 | ||
PHEAA Student Loan Trust, Series 2016-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%), 2.57%, 11/25/65 144A † | 309,128 | 301,291 |
Par | Value | |||
Point Au Roche Park CLO, Ltd., Series 2021-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.08%, 1.08% Floor), 2.14%, 07/20/34 144A † | $1,170,000 | $1,124,917 | ||
Progress Residential Trust, Series 2022-SFR5, Class C | ||||
5.19%, 06/17/39 144A | 1,000,000 | 1,002,604 | ||
Recette CLO, Ltd., Series 2015-1A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%), 2.14%, 04/20/34 144A † | 340,000 | 328,155 | ||
REESE PARK CLO, Ltd., Series 2020-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 1.13% Floor), 2.17%, 10/15/34 144A † | 1,350,000 | 1,290,089 | ||
Saxon Asset Securities Trust, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor, 10.28% Cap), 1.68%, 03/25/35† | 84,214 | 81,627 | ||
SBA Small Business Investment Cos., Series 2018-10B, Class 1 | ||||
3.55%, 09/10/28 | 119,771 | 118,001 | ||
Secured Tenant Site Contract Revenue Notes, Series 2018-1A, Class C | ||||
3.97%, 06/15/48 144A | 1,017,692 | 1,001,178 | ||
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR2, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 1.80%, 02/25/37 144A † | 2,205,212 | 1,872,695 | ||
SERVPRO Master Issuer LLC, Series 2019-1A, Class A2 | ||||
3.88%, 10/25/49 144A | 633,750 | 593,194 | ||
Shackleton CLO, Ltd., Series 2019-14A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 2.26%, 07/20/34 144A † | 4,200,000 | 4,027,195 | ||
Sierra Timeshare Receivables Funding LLC, Series 2021-2A, Class A | ||||
1.35%, 09/20/38 144A | 364,775 | 346,002 | ||
Slam, Ltd., Series 2021-1A, Class A | ||||
2.43%, 06/15/46 144A | 1,406,250 | 1,215,968 | ||
SLC Student Loan Trust, Series 2005-3, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 1.95%, 06/15/29† | 134,191 | 133,389 | ||
SLM Student Loan Trust, Series 2005-4, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 1.30%, 01/25/27† | 28,832 | 28,701 | ||
SLM Student Loan Trust, Series 2005-5, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.14%, 0.14% Floor), 1.32%, 10/25/28† | 244,851 | 241,725 |
Par | Value | |||
SMB Private Education Loan Trust, Series 2020-BA, Class A1A | ||||
1.29%, 07/15/53 144A | $ 360,164 | $ 326,756 | ||
SMB Private Education Loan Trust, Series 2021-A, Class A2B | ||||
1.59%, 01/15/53 144A | 1,526,581 | 1,396,557 | ||
SMB Private Education Loan Trust, Series 2021-A, Class B | ||||
2.31%, 01/15/53 144A | 660,000 | 601,681 | ||
SMB Private Education Loan Trust, Series 2021-C, Class B | ||||
2.30%, 01/15/53 144A | 580,000 | 517,321 | ||
Sonic Capital LLC, Series 2020-1A, Class A2I | ||||
3.85%, 01/20/50 144A | 658,275 | 624,720 | ||
Sound Point CLO XX, Ltd., Series 2018-2A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 2.31%, 07/26/31 144A † | 500,000 | 488,906 | ||
Soundview Home Loan Trust, Series 2007-OPT1, Class 2A4 | ||||
(Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor), 1.90%, 06/25/37† | 1,720,691 | 1,243,765 | ||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.10%, 04/01/28 | 953,493 | 914,942 | ||
Stonepeak, Series 2021-1A, Class AA | ||||
2.30%, 02/28/33 144A | 2,062,694 | 1,926,259 | ||
Structured Asset Investment Loan Trust, Series 2005-1, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.78% Floor), 2.40%, 02/25/35 144A † | 2,318,454 | 2,286,038 | ||
STWD, Ltd., Series 2022-FL3, Class E | ||||
(Floating, U.S. 30-Day Average SOFR + 3.25%, 3.25% Floor), 4.03%, 11/15/38 144A † | 1,210,000 | 1,114,466 | ||
Sunrun Demeter Issuer LLC, Series 2021-2A, Class A | ||||
2.27%, 01/30/57 144A | 2,254,876 | 1,896,137 | ||
Taco Bell Funding LLC, Series 2018-1, Class A2II | ||||
4.94%, 11/25/48 144A | 1,254,500 | 1,204,523 | ||
TIF Funding II LLC, Series 2021-1A, Class A | ||||
1.65%, 02/20/46 144A | 1,335,312 | 1,151,361 | ||
Trysail CLO, Ltd., Series 2021-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.32%, 1.32% Floor), 2.38%, 07/20/32 144A † | 2,900,000 | 2,838,392 | ||
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.20%, 03/15/27 144A | 930,403 | 774,104 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class A | ||||
3.10%, 10/07/28 | 609,697 | 522,319 |
Par | Value | |||
United Airlines Pass-Through Trust, Series 2016-2, Class AA | ||||
2.88%, 10/07/28 | $ 609,697 | $ 557,426 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 1,863,052 | 1,833,803 | ||
United States Small Business Administration, Series 2019-20D, Class 1 | ||||
2.98%, 04/01/39 | 98,182 | 95,451 | ||
United States Small Business Administration, Series 2019-25G, Class 1 | ||||
2.69%, 07/01/44 | 184,418 | 170,329 | ||
Venture 39 CLO, Ltd., Series 2020-39A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.28%, 1.28% Floor), 2.32%, 04/15/33 144A † | 2,525,000 | 2,446,259 | ||
Voya CLO, Ltd., Series 2016-3A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.19%), 2.23%, 10/18/31 144A † | 500,000 | 489,445 | ||
Voya CLO, Ltd., Series 2017-3A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.04%), 2.10%, 04/20/34 144A † | 490,000 | 470,405 | ||
Voya CLO, Ltd., Series 2018-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 2.19%, 10/15/31 144A † | 1,250,000 | 1,226,587 | ||
Voya CLO, Ltd., Series 2019-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.06%, 1.06% Floor), 2.10%, 04/15/31 144A † | 1,700,000 | 1,666,466 | ||
WAVE LLC, Series 2019-1, Class A | ||||
3.60%, 09/15/44 144A | 210,979 | 172,904 | ||
Wellfleet CLO X, Ltd., Series 2019-XA, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.17%), 2.23%, 07/20/32 144A † | 6,900,000 | 6,708,666 | ||
Whitebox CLO II, Ltd., Series 2020-2A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.22%, 1.22% Floor), 2.40%, 10/24/34 144A † | 650,000 | 626,399 | ||
Whitebox CLO III, Ltd., Series 2021-3A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.22%, 1.22% Floor), 2.26%, 10/15/34 144A † | 780,000 | 747,923 | ||
Whitehorse XII, Ltd., Series 2018-12A, Class D | ||||
(Floating, ICE LIBOR USD 3M + 3.65%, 3.65% Floor), 4.69%, 10/15/31 144A † | 750,000 | 652,837 |
Par | Value | |||
Wingstop Funding LLC, Series 2020-1A, Class A2 | ||||
2.84%, 12/05/50 144A | $1,393,000 | $ 1,244,021 | ||
Total Asset-Backed Securities (Cost $155,214,674) | 149,082,590 | |||
COMMERCIAL PAPER — 1.3% | ||||
AT&T, Inc. | ||||
0.91%, 08/16/22Ω | 3,500,000 | 3,490,139 | ||
Banque et Caisse d'Epargne de l'Etat | ||||
0.99%, 07/20/22Ω | 1,375,000 | 1,373,752 | ||
BASF SE | ||||
1.69%, 09/06/22Ω | 2,855,000 | 2,843,740 | ||
First Abu Dhabi Bank PJSC | ||||
(Floating, U.S. SOFR + 0.40%), 1.91%, 07/01/22 144A † | 5,583,000 | 5,583,000 | ||
Liberty Street Funding LLC | ||||
2.48%, 10/12/22Ω | 5,088,000 | 5,051,607 | ||
LMA-Americas LLC | ||||
1.20%, 07/27/22Ω | 5,500,000 | 5,492,996 | ||
Royal Bank of Canada | ||||
(Floating, U.S. Federal Funds + 0.43%), 2.01%, 12/23/22 144A † | 2,174,000 | 2,174,151 | ||
Salisbury Receivables Co. LLC | ||||
1.40%, 08/08/22Ω | 523,000 | 521,994 | ||
Total Commercial Paper (Cost $26,542,239) | 26,531,379 | |||
CORPORATE BONDS — 27.3% | ||||
3M Co. | ||||
3.05%, 04/15/30 | 50,000 | 46,686 | ||
3.70%, 04/15/50Δ | 570,000 | 489,688 | ||
7-Eleven, Inc. | ||||
1.30%, 02/10/28 144A | 725,000 | 603,550 | ||
Abbott Laboratories | ||||
4.75%, 11/30/36 | 170,000 | 180,419 | ||
4.90%, 11/30/46 | 210,000 | 220,640 | ||
Adobe, Inc. | ||||
2.30%, 02/01/30 | 650,000 | 574,578 | ||
Adventist Health System | ||||
2.95%, 03/01/29 | 160,000 | 146,773 | ||
Aetna, Inc. | ||||
2.80%, 06/15/23 | 50,000 | 49,405 | ||
Air Lease Corporation | ||||
3.38%, 07/01/25 | 1,430,000 | 1,348,102 | ||
2.88%, 01/15/26Δ | 950,000 | 873,564 | ||
3.75%, 06/01/26 | 875,000 | 824,757 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.15%), 4.13%, 12/15/26ρ Δ ^ | 600,000 | 432,000 | ||
3.25%, 10/01/29 | 45,000 | 37,953 | ||
3.00%, 02/01/30 | 40,000 | 32,681 | ||
Alexandria Real Estate Equities, Inc. REIT | ||||
2.75%, 12/15/29 | 1,400,000 | 1,225,887 | ||
3.38%, 08/15/31 | 325,000 | 288,160 | ||
Allegion U.S. Holding Co., Inc. | ||||
3.20%, 10/01/24 | 400,000 | 390,565 |
Par | Value | |||
Alliant Energy Finance LLC | ||||
3.75%, 06/15/23 144A | $1,375,000 | $1,376,520 | ||
4.25%, 06/15/28 144A | 75,000 | 73,594 | ||
Allied Universal Holdco LLC | ||||
6.63%, 07/15/26 144A | 10,000 | 9,196 | ||
Ally Financial, Inc. | ||||
1.45%, 10/02/23 | 250,000 | 241,817 | ||
Alphabet, Inc. | ||||
0.45%, 08/15/25Δ | 110,000 | 101,210 | ||
0.80%, 08/15/27 | 130,000 | 113,024 | ||
1.10%, 08/15/30 | 150,000 | 123,242 | ||
1.90%, 08/15/40 | 140,000 | 100,604 | ||
2.05%, 08/15/50 | 90,000 | 60,536 | ||
Amazon.com, Inc. | ||||
5.20%, 12/03/25 | 45,000 | 47,269 | ||
3.30%, 04/13/27 | 100,000 | 98,189 | ||
1.20%, 06/03/27 | 390,000 | 347,314 | ||
3.45%, 04/13/29Δ | 220,000 | 214,035 | ||
1.50%, 06/03/30 | 190,000 | 158,013 | ||
2.10%, 05/12/31 | 170,000 | 145,755 | ||
3.60%, 04/13/32Δ | 850,000 | 819,351 | ||
4.80%, 12/05/34 | 125,000 | 131,103 | ||
3.88%, 08/22/37 | 1,710,000 | 1,624,239 | ||
4.95%, 12/05/44 | 220,000 | 230,895 | ||
4.05%, 08/22/47 | 290,000 | 272,221 | ||
2.50%, 06/03/50 | 310,000 | 219,144 | ||
4.25%, 08/22/57 | 160,000 | 150,596 | ||
Amdocs, Ltd. | ||||
2.54%, 06/15/30 | 1,975,000 | 1,665,447 | ||
American Campus Communities Operating Partnership LP REIT | ||||
3.75%, 04/15/23 | 525,000 | 525,693 | ||
2.85%, 02/01/30 | 40,000 | 38,003 | ||
American Equity Investment Life Holding Co. | ||||
5.00%, 06/15/27 | 1,250,000 | 1,235,180 | ||
American Express Co. | ||||
3.38%, 05/03/24Δ | 210,000 | 208,683 | ||
2.50%, 07/30/24 | 1,995,000 | 1,943,064 | ||
4.05%, 05/03/29 | 540,000 | 529,864 | ||
American Homes 4 Rent LP REIT | ||||
4.90%, 02/15/29 | 309,000 | 301,508 | ||
2.38%, 07/15/31 | 205,000 | 163,689 | ||
American International Group, Inc. | ||||
2.50%, 06/30/25 | 150,000 | 143,166 | ||
3.40%, 06/30/30Δ | 250,000 | 229,066 | ||
3.88%, 01/15/35 | 35,000 | 31,680 | ||
American National Group, Inc. | ||||
6.14%, 06/13/32 144A | 600,000 | 595,081 | ||
American Tower Corporation REIT | ||||
3.38%, 05/15/24 | 825,000 | 813,511 | ||
3.38%, 10/15/26 | 1,500,000 | 1,419,492 | ||
American Transmission Systems, Inc. | ||||
2.65%, 01/15/32 144A | 260,000 | 220,508 | ||
Americo Life, Inc. | ||||
3.45%, 04/15/31 144A | 1,450,000 | 1,181,046 |
Par | Value | |||
AmerisourceBergen Corporation | ||||
2.70%, 03/15/31 | $ 25,000 | $ 21,445 | ||
Amgen, Inc. | ||||
3.63%, 05/22/24 | 50,000 | 49,944 | ||
4.66%, 06/15/51 | 34,000 | 31,879 | ||
Amphenol Corporation | ||||
2.80%, 02/15/30 | 70,000 | 61,348 | ||
Amsted Industries, Inc. | ||||
4.63%, 05/15/30 144A | 200,000 | 170,859 | ||
Appalachian Power Co. | ||||
2.70%, 04/01/31 | 2,200,000 | 1,900,452 | ||
Apple, Inc. | ||||
1.13%, 05/11/25 | 630,000 | 592,188 | ||
3.25%, 02/23/26 | 30,000 | 29,837 | ||
2.45%, 08/04/26 | 650,000 | 623,024 | ||
2.70%, 08/05/51 | 60,000 | 44,883 | ||
Arch Capital Finance LLC | ||||
4.01%, 12/15/26 | 600,000 | 588,962 | ||
Arch Capital Group, Ltd. | ||||
7.35%, 05/01/34 | 175,000 | 209,238 | ||
Archer-Daniels-Midland Co. | ||||
3.25%, 03/27/30 | 150,000 | 141,211 | ||
Ares Finance Co. II LLC | ||||
3.25%, 06/15/30 144A | 1,800,000 | 1,597,682 | ||
Arrow Electronics, Inc. | ||||
4.50%, 03/01/23 | 1,200,000 | 1,204,725 | ||
Ashtead Capital, Inc. | ||||
1.50%, 08/12/26 144A | 350,000 | 305,895 | ||
Assured Guaranty U.S. Holdings, Inc. | ||||
3.15%, 06/15/31 | 100,000 | 86,878 | ||
AT&T, Inc. | ||||
2.30%, 06/01/27 | 430,000 | 392,830 | ||
1.65%, 02/01/28Δ | 540,000 | 467,637 | ||
2.75%, 06/01/31 | 175,000 | 151,286 | ||
2.25%, 02/01/32 | 50,000 | 40,897 | ||
2.55%, 12/01/33 | 2,294,000 | 1,863,621 | ||
4.90%, 08/15/37 | 200,000 | 199,557 | ||
5.35%, 09/01/40 | 80,000 | 79,157 | ||
3.50%, 06/01/41 | 400,000 | 320,057 | ||
5.55%, 08/15/41 | 40,000 | 41,242 | ||
4.35%, 06/15/45 | 94,000 | 82,262 | ||
5.15%, 11/15/46 | 125,000 | 123,257 | ||
4.50%, 03/09/48 | 197,000 | 175,006 | ||
3.65%, 06/01/51 | 725,000 | 568,145 | ||
3.30%, 02/01/52 | 80,000 | 58,889 | ||
3.50%, 09/15/53 | 2,143,000 | 1,628,011 | ||
3.55%, 09/15/55 | 301,000 | 226,023 | ||
3.80%, 12/01/57 | 90,000 | 69,717 | ||
3.65%, 09/15/59 | 127,000 | 95,399 | ||
Automatic Data Processing, Inc. | ||||
3.38%, 09/15/25 | 60,000 | 60,070 | ||
AutoNation, Inc. | ||||
1.95%, 08/01/28 | 150,000 | 124,958 | ||
4.75%, 06/01/30 | 225,000 | 211,898 | ||
Avangrid, Inc. | ||||
3.20%, 04/15/25 | 275,000 | 267,677 | ||
Aviation Capital Group LLC | ||||
5.50%, 12/15/24 144A | 2,000,000 | 1,984,192 |
Par | Value | |||
1.95%, 01/30/26 144A | $ 400,000 | $ 348,394 | ||
Baker Hughes Holdings LLC | ||||
4.49%, 05/01/30 | 35,000 | 34,539 | ||
Ball Corporation | ||||
3.13%, 09/15/31Δ | 280,000 | 226,330 | ||
Bank of America Corporation | ||||
3.30%, 01/11/23 | 120,000 | 120,227 | ||
(Variable, ICE LIBOR USD 3M + 0.79%), 3.00%, 12/20/23^ | 329,000 | 328,004 | ||
(Variable, ICE LIBOR USD 3M + 0.78%), 3.55%, 03/05/24^ | 530,000 | 528,489 | ||
4.00%, 04/01/24 | 420,000 | 423,268 | ||
(Floating, ICE LIBOR USD 3M + 0.96%), 2.14%, 07/23/24† | 900,000 | 897,835 | ||
(Variable, ICE LIBOR USD 3M + 0.94%), 3.86%, 07/23/24^ | 225,000 | 224,141 | ||
4.20%, 08/26/24 | 1,295,000 | 1,298,840 | ||
(Variable, ICE LIBOR USD 3M + 3.71%), 6.25%, 09/05/24ρ ^ | 300,000 | 292,350 | ||
(Variable, ICE LIBOR USD 3M + 4.17%), 6.50%, 10/23/24ρ Δ ^ | 150,000 | 148,932 | ||
4.00%, 01/22/25 | 440,000 | 438,572 | ||
(Variable, ICE LIBOR USD 3M + 1.09%), 3.09%, 10/01/25^ | 2,200,000 | 2,131,210 | ||
4.45%, 03/03/26 | 420,000 | 418,676 | ||
3.50%, 04/19/26 | 600,000 | 585,620 | ||
(Variable, U.S. SOFR + 1.15%), 1.32%, 06/19/26^ | 60,000 | 54,621 | ||
4.25%, 10/22/26 | 480,000 | 473,600 | ||
3.25%, 10/21/27Δ | 875,000 | 823,280 | ||
4.18%, 11/25/27 | 950,000 | 924,138 | ||
(Variable, ICE LIBOR USD 3M + 1.58%), 3.82%, 01/20/28^ | 15,000 | 14,396 | ||
(Variable, ICE LIBOR USD 3M + 1.37%), 3.59%, 07/21/28^ | 860,000 | 811,889 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 368,000 | 343,038 | ||
(Variable, ICE LIBOR USD 3M + 1.07%), 3.97%, 03/05/29^ | 1,190,000 | 1,135,975 | ||
(Variable, ICE LIBOR USD 3M + 1.31%), 4.27%, 07/23/29^ | 525,000 | 505,023 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 2.88%, 10/22/30^ | 500,000 | 437,033 | ||
(Variable, ICE LIBOR USD 3M + 0.99%), 2.50%, 02/13/31^ | 75,000 | 63,449 | ||
(Variable, U.S. SOFR + 2.15%), 2.59%, 04/29/31^ | 1,010,000 | 857,492 | ||
(Variable, U.S. SOFR + 1.53%), 1.90%, 07/23/31^ | 1,150,000 | 920,129 | ||
(Variable, U.S. SOFR + 1.22%), 2.30%, 07/21/32^ | 755,000 | 610,871 | ||
(Variable, U.S. SOFR + 1.21%), 2.57%, 10/20/32^ | 1,550,000 | 1,280,068 | ||
(Variable, U.S. SOFR + 1.33%), 2.97%, 02/04/33^ | 775,000 | 660,952 | ||
(Variable, U.S. SOFR + 1.83%), 4.57%, 04/27/33^ | 1,965,000 | 1,914,674 | ||
6.11%, 01/29/37Δ | 500,000 | 538,805 | ||
5.00%, 01/21/44 | 790,000 | 777,801 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 3.95%, 01/23/49^ | 270,000 | 230,023 |
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 1.52%), 4.33%, 03/15/50^ | $ 170,000 | $ 153,102 | ||
(Variable, ICE LIBOR USD 3M + 3.15%), 4.08%, 03/20/51^ | 670,000 | 579,087 | ||
(Variable, U.S. SOFR + 1.88%), 2.83%, 10/24/51^ | 500,000 | 343,342 | ||
Banner Health | ||||
2.34%, 01/01/30 | 865,000 | 764,570 | ||
Barrick North America Finance LLC | ||||
5.70%, 05/30/41 | 150,000 | 155,600 | ||
Bausch Health Americas, Inc. | ||||
9.25%, 04/01/26 144A Δ | 200,000 | 143,551 | ||
Baxter International, Inc. | ||||
1.92%, 02/01/27 | 1,075,000 | 963,574 | ||
Baylor Scott & White Holdings | ||||
1.78%, 11/15/30 | 305,000 | 251,887 | ||
Becton, Dickinson and Co. | ||||
3.36%, 06/06/24 | 377,000 | 373,379 | ||
3.73%, 12/15/24 | 47,000 | 46,824 | ||
2.82%, 05/20/30Δ | 650,000 | 572,388 | ||
4.69%, 12/15/44 | 94,000 | 87,036 | ||
Berkshire Hathaway Energy Co. | ||||
3.25%, 04/15/28 | 725,000 | 689,844 | ||
3.70%, 07/15/30 | 400,000 | 384,147 | ||
Berkshire Hathaway Finance Corporation | ||||
1.85%, 03/12/30Δ | 725,000 | 618,488 | ||
4.25%, 01/15/49 | 350,000 | 323,279 | ||
Berkshire Hathaway, Inc. | ||||
3.13%, 03/15/26 | 60,000 | 58,901 | ||
Berry Global, Inc. | ||||
1.57%, 01/15/26 | 2,475,000 | 2,211,015 | ||
Biogen, Inc. | ||||
2.25%, 05/01/30 | 70,000 | 57,439 | ||
Black Hills Corporation | ||||
2.50%, 06/15/30 | 490,000 | 409,750 | ||
BlackRock, Inc. | ||||
2.40%, 04/30/30 | 70,000 | 61,364 | ||
Block Financial LLC | ||||
3.88%, 08/15/30 | 1,600,000 | 1,440,557 | ||
Boardwalk Pipelines LP | ||||
3.60%, 09/01/32 | 700,000 | 593,400 | ||
Boeing Co. (The) | ||||
1.43%, 02/04/24 | 920,000 | 879,556 | ||
4.88%, 05/01/25 | 450,000 | 448,965 | ||
2.20%, 02/04/26 | 180,000 | 162,527 | ||
2.70%, 02/01/27 | 70,000 | 62,353 | ||
5.04%, 05/01/27 | 1,250,000 | 1,235,732 | ||
3.20%, 03/01/29 | 25,000 | 21,655 | ||
5.15%, 05/01/30 | 1,710,000 | 1,642,836 | ||
3.25%, 02/01/35 | 1,575,000 | 1,193,814 | ||
6.63%, 02/15/38Δ | 210,000 | 212,908 | ||
3.55%, 03/01/38 | 70,000 | 51,127 | ||
5.71%, 05/01/40 | 70,000 | 65,414 | ||
3.85%, 11/01/48 | 25,000 | 17,753 | ||
3.75%, 02/01/50 | 200,000 | 141,509 | ||
5.81%, 05/01/50 | 1,080,000 | 993,909 |
Par | Value | |||
5.93%, 05/01/60 | $ 100,000 | $ 91,272 | ||
BorgWarner, Inc. | ||||
5.00%, 10/01/25 144A | 60,000 | 60,595 | ||
Boston Properties LP REIT | ||||
4.50%, 12/01/28 | 900,000 | 876,006 | ||
2.55%, 04/01/32Δ | 1,100,000 | 876,673 | ||
BP Capital Markets America, Inc. | ||||
3.79%, 02/06/24 | 50,000 | 50,234 | ||
3.12%, 05/04/26 | 610,000 | 592,397 | ||
3.54%, 04/06/27 | 50,000 | 48,588 | ||
4.23%, 11/06/28 | 150,000 | 149,121 | ||
3.63%, 04/06/30 | 270,000 | 255,707 | ||
3.00%, 02/24/50 | 550,000 | 400,458 | ||
Broadcom, Inc. | ||||
2.45%, 02/15/31 144A | 2,000,000 | 1,608,874 | ||
4.15%, 04/15/32 144A | 710,000 | 641,799 | ||
4.30%, 11/15/32 | 2,000,000 | 1,819,121 | ||
3.42%, 04/15/33 144A | 900,000 | 745,219 | ||
3.47%, 04/15/34 144A | 2,090,000 | 1,703,763 | ||
3.14%, 11/15/35 144A | 2,687,000 | 2,044,186 | ||
3.19%, 11/15/36 144A | 28,000 | 21,324 | ||
3.50%, 02/15/41 144A | 325,000 | 245,646 | ||
Brunswick Corporation | ||||
2.40%, 08/18/31 | 50,000 | 37,045 | ||
Builders FirstSource, Inc. | ||||
4.25%, 02/01/32 144A | 20,000 | 15,262 | ||
Bunge, Ltd. Finance Corporation | ||||
2.75%, 05/14/31 | 75,000 | 61,984 | ||
Burlington Northern Santa Fe LLC | ||||
2.88%, 06/15/52 | 70,000 | 52,427 | ||
Calpine Corporation | ||||
4.50%, 02/15/28 144A | 495,000 | 450,379 | ||
Camden Property Trust REIT | ||||
3.15%, 07/01/29 | 65,000 | 59,449 | ||
Cameron LNG LLC | ||||
2.90%, 07/15/31 144A | 70,000 | 61,719 | ||
3.30%, 01/15/35 144A | 460,000 | 394,231 | ||
Capital One Financial Corporation | ||||
3.50%, 06/15/23 | 325,000 | 323,271 | ||
3.30%, 10/30/24 | 345,000 | 336,979 | ||
Cargill, Inc. | ||||
2.13%, 04/23/30 144A | 65,000 | 55,742 | ||
Carrier Global Corporation | ||||
2.49%, 02/15/27Δ | 1,225,000 | 1,115,496 | ||
2.72%, 02/15/30 | 650,000 | 561,876 | ||
3.58%, 04/05/50 | 20,000 | 15,180 | ||
CCO Holdings LLC | ||||
4.75%, 02/01/32 144A Δ | 770,000 | 632,401 | ||
4.50%, 05/01/32 | 10,000 | 8,131 | ||
4.50%, 06/01/33 144A | 980,000 | 774,367 | ||
CDW LLC | ||||
3.25%, 02/15/29 | 70,000 | 59,119 | ||
3.57%, 12/01/31 | 700,000 | 579,628 |
Par | Value | |||
CenterPoint Energy Resources Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 2.11%, 03/02/23† | $1,208,000 | $1,204,796 | ||
CenterPoint Energy, Inc. | ||||
4.25%, 11/01/28 | 206,000 | 201,208 | ||
Central Parent, Inc. | ||||
7.25%, 06/15/29 144A | 600,000 | 578,367 | ||
CH Robinson Worldwide, Inc. | ||||
4.20%, 04/15/28 | 1,500,000 | 1,448,445 | ||
Charles Schwab Corporation (The) | ||||
3.25%, 05/22/29 | 10,000 | 9,310 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 3.08%), 4.00%, 12/01/30ρ ^ | 1,000,000 | 771,000 | ||
Charter Communications Operating LLC | ||||
4.91%, 07/23/25 | 6,920,000 | 6,945,455 | ||
4.20%, 03/15/28 | 510,000 | 477,008 | ||
2.25%, 01/15/29 | 2,300,000 | 1,891,864 | ||
5.05%, 03/30/29 | 460,000 | 443,254 | ||
2.80%, 04/01/31 | 750,000 | 601,422 | ||
4.40%, 04/01/33 | 170,000 | 152,002 | ||
6.38%, 10/23/35 | 475,000 | 478,447 | ||
5.38%, 04/01/38 | 540,000 | 480,836 | ||
3.50%, 03/01/42 | 120,000 | 83,464 | ||
6.48%, 10/23/45 | 90,000 | 87,682 | ||
5.38%, 05/01/47 | 30,000 | 25,603 | ||
5.13%, 07/01/49 | 120,000 | 99,565 | ||
4.80%, 03/01/50 | 140,000 | 111,212 | ||
5.50%, 04/01/63 | 220,000 | 187,367 | ||
Cheniere Corpus Christi Holdings LLC | ||||
2.74%, 12/31/39 | 750,000 | 593,243 | ||
Cheniere Energy Partners LP | ||||
4.00%, 03/01/31 | 170,000 | 144,946 | ||
3.25%, 01/31/32 144A | 80,000 | 63,176 | ||
Chevron Corporation | ||||
1.55%, 05/11/25 | 310,000 | 294,346 | ||
2.95%, 05/16/26 | 30,000 | 29,291 | ||
2.00%, 05/11/27 | 100,000 | 91,995 | ||
Chevron U.S.A., Inc. | ||||
1.02%, 08/12/27 | 55,000 | 48,021 | ||
3.85%, 01/15/28 | 550,000 | 546,846 | ||
Choice Hotels International, Inc. | ||||
3.70%, 12/01/29 | 1,500,000 | 1,352,176 | ||
Chubb INA Holdings, Inc. | ||||
3.35%, 05/03/26 | 120,000 | 117,565 | ||
Ciena Corporation | ||||
4.00%, 01/31/30 144A Δ | 400,000 | 345,726 | ||
Cigna Corporation | ||||
3.75%, 07/15/23 | 293,000 | 293,784 | ||
4.13%, 11/15/25 | 180,000 | 180,471 | ||
4.38%, 10/15/28 | 510,000 | 506,591 | ||
2.40%, 03/15/30 | 550,000 | 474,182 | ||
4.80%, 08/15/38 | 900,000 | 876,999 | ||
3.20%, 03/15/40 | 675,000 | 533,977 | ||
4.90%, 12/15/48 | 1,350,000 | 1,298,997 |
Par | Value | |||
3.40%, 03/15/50 | $ 80,000 | $ 61,231 | ||
Cintas Corporation No. 2 | ||||
3.70%, 04/01/27 | 190,000 | 187,804 | ||
4.00%, 05/01/32 | 140,000 | 137,653 | ||
Cisco Systems, Inc. | ||||
5.50%, 01/15/40 | 75,000 | 81,964 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23ρ ^ | 170,000 | 166,991 | ||
3.50%, 05/15/23 | 220,000 | 219,993 | ||
(Variable, U.S. SOFR + 1.67%), 1.68%, 05/15/24^ | 290,000 | 284,294 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25ρ ^ | 350,000 | 325,360 | ||
4.40%, 06/10/25 | 450,000 | 449,959 | ||
5.50%, 09/13/25 | 490,000 | 504,199 | ||
(Variable, U.S. SOFR + 2.84%), 3.11%, 04/08/26^ | 190,000 | 182,629 | ||
3.40%, 05/01/26 | 2,075,000 | 2,007,877 | ||
(Variable, ICE LIBOR USD 3M + 4.52%), 6.25%, 08/15/26ρ Δ ^ | 150,000 | 146,608 | ||
4.30%, 11/20/26 | 575,000 | 567,207 | ||
4.45%, 09/29/27 | 2,505,000 | 2,455,398 | ||
(Variable, U.S. SOFR + 1.28%), 3.07%, 02/24/28^ | 2,000,000 | 1,856,722 | ||
(Variable, U.S. SOFR + 1.89%), 4.66%, 05/24/28^ | 230,000 | 228,428 | ||
(Variable, ICE LIBOR USD 3M + 1.39%), 3.67%, 07/24/28^ | 150,000 | 141,736 | ||
4.13%, 07/25/28Δ | 1,750,000 | 1,680,467 | ||
(Variable, U.S. SOFR + 3.91%), 4.41%, 03/31/31^ | 710,000 | 678,860 | ||
(Variable, U.S. SOFR + 2.11%), 2.57%, 06/03/31^ | 790,000 | 664,745 | ||
6.63%, 06/15/32 | 50,000 | 54,742 | ||
(Variable, U.S. SOFR + 1.18%), 2.52%, 11/03/32^ | 860,000 | 698,659 | ||
(Variable, U.S. SOFR + 1.94%), 3.79%, 03/17/33^ | 540,000 | 487,012 | ||
(Variable, U.S. SOFR + 2.09%), 4.91%, 05/24/33^ | 270,000 | 266,726 | ||
8.13%, 07/15/39 | 260,000 | 338,844 | ||
6.68%, 09/13/43 | 10,000 | 11,238 | ||
5.30%, 05/06/44 | 24,000 | 23,037 | ||
4.65%, 07/30/45 | 294,000 | 269,471 | ||
4.75%, 05/18/46 | 40,000 | 35,799 | ||
4.65%, 07/23/48 | 160,000 | 149,351 | ||
Citizens Financial Group, Inc. | ||||
2.85%, 07/27/26 | 65,000 | 61,086 | ||
Citrix Systems, Inc. | ||||
1.25%, 03/01/26 | 2,100,000 | 2,034,373 | ||
4.50%, 12/01/27 | 60,000 | 59,414 | ||
Coca-Cola Co. (The) | ||||
3.38%, 03/25/27Δ | 120,000 | 119,071 | ||
1.45%, 06/01/27Δ | 265,000 | 240,029 | ||
2.50%, 06/01/40 | 20,000 | 15,679 | ||
2.60%, 06/01/50 | 130,000 | 97,043 | ||
Cogent Communications Group, Inc. | ||||
7.00%, 06/15/27 144A | 600,000 | 575,565 |
Par | Value | |||
Comcast Corporation | ||||
3.38%, 08/15/25 | $ 275,000 | $ 271,505 | ||
3.95%, 10/15/25 | 477,000 | 479,557 | ||
3.30%, 02/01/27 | 344,000 | 334,612 | ||
3.30%, 04/01/27 | 1,710,000 | 1,658,101 | ||
4.15%, 10/15/28 | 1,180,000 | 1,177,858 | ||
3.40%, 04/01/30 | 320,000 | 300,536 | ||
4.25%, 10/15/30 | 520,000 | 513,249 | ||
5.65%, 06/15/35 | 420,000 | 457,652 | ||
4.40%, 08/15/35 | 60,000 | 58,245 | ||
6.50%, 11/15/35 | 7,000 | 8,184 | ||
3.90%, 03/01/38 | 30,000 | 27,180 | ||
3.25%, 11/01/39 | 400,000 | 329,393 | ||
3.75%, 04/01/40 | 265,000 | 232,711 | ||
3.40%, 07/15/46Δ | 50,000 | 40,039 | ||
4.00%, 08/15/47 | 360,000 | 312,104 | ||
3.97%, 11/01/47 | 60,000 | 52,014 | ||
4.00%, 03/01/48 | 40,000 | 34,858 | ||
4.70%, 10/15/48 | 100,000 | 97,080 | ||
4.00%, 11/01/49 | 40,000 | 34,970 | ||
3.45%, 02/01/50 | 100,000 | 79,751 | ||
2.80%, 01/15/51Δ | 340,000 | 241,236 | ||
2.89%, 11/01/51 | 450,000 | 322,060 | ||
2.94%, 11/01/56Δ | 135,000 | 94,086 | ||
4.95%, 10/15/58 | 40,000 | 40,058 | ||
CommonSpirit Health | ||||
4.35%, 11/01/42Δ | 40,000 | 36,205 | ||
Commonwealth Edison Co. | ||||
3.80%, 10/01/42 | 300,000 | 259,146 | ||
3.13%, 03/15/51 | 65,000 | 50,035 | ||
CommScope, Inc. | ||||
6.00%, 03/01/26 144A Δ | 130,000 | 119,992 | ||
4.75%, 09/01/29 144A Δ | 10,000 | 8,095 | ||
ConocoPhillips Co. | ||||
6.95%, 04/15/29 | 220,000 | 252,064 | ||
3.80%, 03/15/52 | 10,000 | 8,580 | ||
Consolidated Edison Co. of New York, Inc. | ||||
3.35%, 04/01/30 | 130,000 | 121,245 | ||
3.95%, 04/01/50 | 140,000 | 121,735 | ||
Constellation Energy Generation LLC | ||||
3.25%, 06/01/25 | 1,600,000 | 1,534,037 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23 | 556,000 | 558,833 | ||
2.27%, 11/15/26 144A | 140,000 | 124,382 | ||
4.38%, 01/15/28 | 320,000 | 301,402 | ||
5.75%, 01/15/31 144A | 270,000 | 261,554 | ||
4.90%, 06/01/44 | 180,000 | 142,061 | ||
Corebridge Financial, Inc. | ||||
3.65%, 04/05/27 144A | 30,000 | 28,228 | ||
3.90%, 04/05/32 144A | 685,000 | 615,208 | ||
4.40%, 04/05/52 144A | 40,000 | 33,440 | ||
CoStar Group, Inc. | ||||
2.80%, 07/15/30 144A | 625,000 | 520,965 | ||
Costco Wholesale Corporation | ||||
1.60%, 04/20/30 | 570,000 | 481,374 | ||
Coterra Energy, Inc. | ||||
3.90%, 05/15/27 144A | 725,000 | 695,809 |
Par | Value | |||
4.38%, 03/15/29 144A | $ 650,000 | $ 638,214 | ||
Cox Communications, Inc. | ||||
2.95%, 10/01/50 144A | 45,000 | 29,882 | ||
Crestwood Midstream Partners LP | ||||
5.63%, 05/01/27 144A | 200,000 | 178,333 | ||
CRH America Finance, Inc. | ||||
3.40%, 05/09/27 144A | 2,100,000 | 2,005,225 | ||
3.95%, 04/04/28 144A Δ | 500,000 | 485,945 | ||
Crown Castle International Corporation REIT | ||||
3.15%, 07/15/23 | 725,000 | 717,414 | ||
3.10%, 11/15/29 | 70,000 | 61,865 | ||
CSC Holdings LLC | ||||
3.38%, 02/15/31 144A | 980,000 | 727,312 | ||
4.50%, 11/15/31 144A | 220,000 | 170,346 | ||
CSX Corporation | ||||
3.80%, 04/15/50 | 300,000 | 253,731 | ||
CubeSmart LP REIT | ||||
2.50%, 02/15/32 | 650,000 | 528,618 | ||
Cummins, Inc. | ||||
1.50%, 09/01/30 | 75,000 | 60,854 | ||
CVS Health Corporation | ||||
2.75%, 12/01/22 | 210,000 | 209,932 | ||
2.63%, 08/15/24Δ | 205,000 | 200,574 | ||
3.88%, 07/20/25 | 143,000 | 142,310 | ||
3.63%, 04/01/27 | 200,000 | 194,998 | ||
4.30%, 03/25/28 | 565,000 | 559,582 | ||
3.75%, 04/01/30 | 1,090,000 | 1,020,640 | ||
1.88%, 02/28/31 | 70,000 | 56,123 | ||
2.13%, 09/15/31Δ | 1,440,000 | 1,169,553 | ||
4.13%, 04/01/40 | 460,000 | 402,329 | ||
2.70%, 08/21/40 | 360,000 | 260,501 | ||
5.13%, 07/20/45 | 250,000 | 241,357 | ||
5.05%, 03/25/48 | 1,530,000 | 1,466,796 | ||
4.25%, 04/01/50 | 80,000 | 69,062 | ||
D.R. Horton, Inc. | ||||
4.38%, 09/15/22 | 800,000 | 800,628 | ||
Darling Ingredients, Inc. | ||||
6.00%, 06/15/30 144A | 325,000 | 324,456 | ||
Deere & Co. | ||||
3.10%, 04/15/30 | 50,000 | 46,741 | ||
3.75%, 04/15/50Δ | 480,000 | 439,148 | ||
Dell International LLC | ||||
5.45%, 06/15/23 | 735,000 | 742,654 | ||
5.85%, 07/15/25 | 25,000 | 25,810 | ||
6.02%, 06/15/26 | 1,025,000 | 1,065,794 | ||
8.10%, 07/15/36 | 20,000 | 23,380 | ||
8.35%, 07/15/46 | 19,000 | 23,710 | ||
Delta Air Lines, Inc. | ||||
7.00%, 05/01/25 144A | 2,460,000 | 2,493,317 | ||
4.50%, 10/20/25 144A | 700,000 | 680,828 | ||
4.75%, 10/20/28 144A | 860,000 | 813,038 | ||
Devon Energy Corporation | ||||
5.85%, 12/15/25 | 310,000 | 323,041 | ||
5.25%, 10/15/27 | 38,000 | 38,499 | ||
4.50%, 01/15/30 | 32,000 | 30,261 | ||
5.60%, 07/15/41Δ | 477,000 | 474,726 | ||
4.75%, 05/15/42Δ | 710,000 | 644,990 |
Par | Value | |||
5.00%, 06/15/45Δ | $1,240,000 | $1,152,656 | ||
DH Europe Finance II S.a.r.l. | ||||
2.20%, 11/15/24 | 2,275,000 | 2,184,317 | ||
2.60%, 11/15/29 | 225,000 | 201,958 | ||
Diamondback Energy, Inc. | ||||
3.25%, 12/01/26Δ | 90,000 | 87,878 | ||
3.50%, 12/01/29 | 310,000 | 284,240 | ||
Discover Financial Services | ||||
3.75%, 03/04/25 | 450,000 | 442,723 | ||
Discovery Communications LLC | ||||
3.63%, 05/15/30Δ | 1,800,000 | 1,602,219 | ||
DISH DBS Corporation | ||||
5.88%, 11/15/24Δ | 170,000 | 143,806 | ||
7.75%, 07/01/26 | 150,000 | 117,451 | ||
5.25%, 12/01/26 144A | 120,000 | 94,286 | ||
5.75%, 12/01/28 144A | 20,000 | 14,846 | ||
5.13%, 06/01/29 | 140,000 | 85,512 | ||
Dollar Tree, Inc. | ||||
4.00%, 05/15/25 | 325,000 | 323,265 | ||
4.20%, 05/15/28 | 400,000 | 388,964 | ||
Dominion Energy, Inc. | ||||
3.07%, 08/15/24 STEP | 675,000 | 659,530 | ||
3.38%, 04/01/30Δ | 225,000 | 205,897 | ||
2.25%, 08/15/31 | 2,300,000 | 1,893,475 | ||
Duke Energy Corporation | ||||
3.75%, 04/15/24 | 200,000 | 199,922 | ||
3.15%, 08/15/27Δ | 550,000 | 519,974 | ||
2.45%, 06/01/30Δ | 1,800,000 | 1,518,972 | ||
3.50%, 06/15/51 | 80,000 | 60,434 | ||
Duke Energy Ohio, Inc. | ||||
3.65%, 02/01/29 | 350,000 | 334,890 | ||
Duke Energy Progress LLC | ||||
3.40%, 04/01/32 | 2,300,000 | 2,141,124 | ||
DuPont de Nemours, Inc. | ||||
4.21%, 11/15/23 | 1,000,000 | 1,006,723 | ||
4.49%, 11/15/25 | 350,000 | 352,914 | ||
4.73%, 11/15/28 | 350,000 | 351,471 | ||
East Ohio Gas Co. (The) | ||||
2.00%, 06/15/30 144A | 125,000 | 104,021 | ||
Eaton Corporation | ||||
2.75%, 11/02/22 | 410,000 | 409,795 | ||
4.15%, 11/02/42 | 200,000 | 179,878 | ||
Ecolab, Inc. | ||||
4.80%, 03/24/30 | 60,000 | 62,274 | ||
2.75%, 08/18/55Δ | 68,000 | 47,513 | ||
Elevance Health, Inc. | ||||
2.95%, 12/01/22 | 390,000 | 389,844 | ||
3.35%, 12/01/24 | 130,000 | 128,322 | ||
3.65%, 12/01/27 | 250,000 | 243,512 | ||
4.10%, 05/15/32Δ | 450,000 | 438,380 | ||
4.55%, 05/15/52 | 180,000 | 169,725 | ||
Emory University | ||||
1.57%, 09/01/25 | 1,600,000 | 1,490,308 | ||
2.14%, 09/01/30 | 1,170,000 | 1,026,117 | ||
Energy Transfer LP | ||||
(Variable, ICE LIBOR USD 3M + 4.03%), 6.25%, 02/15/23ρ Δ ^ | 60,000 | 45,051 |
Par | Value | |||
4.20%, 09/15/23 | $ 625,000 | $ 626,209 | ||
4.50%, 11/01/23 | 310,000 | 311,684 | ||
4.25%, 04/01/24Δ | 100,000 | 100,072 | ||
4.50%, 04/15/24 | 230,000 | 230,259 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.13%), 6.75%, 05/15/25ρ ^ | 280,000 | 234,693 | ||
5.95%, 12/01/25 | 300,000 | 310,913 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.69%), 6.50%, 11/15/26ρ Δ ^ | 60,000 | 53,185 | ||
5.50%, 06/01/27 | 1,175,000 | 1,193,675 | ||
4.95%, 05/15/28 | 900,000 | 880,681 | ||
4.95%, 06/15/28Δ | 110,000 | 108,504 | ||
5.25%, 04/15/29 | 1,640,000 | 1,626,356 | ||
3.75%, 05/15/30 | 1,090,000 | 983,409 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.31%), 7.13%, 05/15/30ρ ^ | 360,000 | 309,835 | ||
5.30%, 04/01/44 | 20,000 | 17,386 | ||
5.30%, 04/15/47 | 125,000 | 108,488 | ||
5.40%, 10/01/47 | 50,000 | 43,971 | ||
6.00%, 06/15/48 | 50,000 | 47,073 | ||
6.25%, 04/15/49 | 590,000 | 573,162 | ||
Entegris Escrow Corporation | ||||
5.95%, 06/15/30 144A | 650,000 | 619,801 | ||
Entergy Louisiana LLC | ||||
5.40%, 11/01/24Δ | 1,200,000 | 1,240,908 | ||
Enterprise Products Operating LLC | ||||
4.15%, 10/16/28 | 600,000 | 586,819 | ||
3.13%, 07/31/29 | 100,000 | 90,090 | ||
2.80%, 01/31/30Δ | 620,000 | 543,374 | ||
7.55%, 04/15/38 | 50,000 | 59,399 | ||
5.70%, 02/15/42 | 60,000 | 60,572 | ||
4.85%, 03/15/44 | 550,000 | 502,158 | ||
4.80%, 02/01/49 | 30,000 | 27,194 | ||
4.20%, 01/31/50 | 680,000 | 568,513 | ||
3.70%, 01/31/51Δ | 220,000 | 172,389 | ||
3.95%, 01/31/60 | 120,000 | 95,179 | ||
(Variable, ICE LIBOR USD 3M + 2.57%), 5.38%, 02/15/78^ | 100,000 | 79,024 | ||
EOG Resources, Inc. | ||||
4.15%, 01/15/26 | 160,000 | 161,403 | ||
4.38%, 04/15/30Δ | 40,000 | 40,202 | ||
3.90%, 04/01/35 | 260,000 | 240,310 | ||
4.95%, 04/15/50Δ | 490,000 | 507,576 | ||
EPR Properties REIT | ||||
4.75%, 12/15/26 | 1,265,000 | 1,189,732 | ||
3.60%, 11/15/31 | 2,300,000 | 1,820,628 | ||
EQM Midstream Partners LP | ||||
4.13%, 12/01/26 | 1,800,000 | 1,557,945 | ||
5.50%, 07/15/28 | 20,000 | 17,305 | ||
EQT Corporation | ||||
6.63%, 02/01/25 | 20,000 | 20,615 | ||
3.13%, 05/15/26 144A | 10,000 | 9,378 | ||
3.90%, 10/01/27 | 910,000 | 848,316 | ||
5.00%, 01/15/29 | 100,000 | 96,966 | ||
3.63%, 05/15/31 144A | 210,000 | 181,863 |
Par | Value | |||
Equinix, Inc. REIT | ||||
2.63%, 11/18/24 | $1,700,000 | $1,632,148 | ||
1.55%, 03/15/28 | 2,200,000 | 1,852,580 | ||
3.00%, 07/15/50 | 10,000 | 6,866 | ||
Equitable Holdings, Inc. | ||||
4.35%, 04/20/28 | 2,600,000 | 2,510,755 | ||
Exelon Corporation | ||||
4.05%, 04/15/30Δ | 325,000 | 312,204 | ||
5.63%, 06/15/35 | 415,000 | 438,131 | ||
4.70%, 04/15/50 | 25,000 | 23,488 | ||
Expedia Group, Inc. | ||||
6.25%, 05/01/25 144A | 2,054,000 | 2,118,011 | ||
4.63%, 08/01/27 | 525,000 | 504,895 | ||
3.80%, 02/15/28 | 300,000 | 273,700 | ||
2.95%, 03/15/31 | 2,350,000 | 1,871,641 | ||
Exxon Mobil Corporation | ||||
1.57%, 04/15/23 | 30,000 | 29,714 | ||
2.99%, 03/19/25 | 660,000 | 650,715 | ||
3.04%, 03/01/26 | 730,000 | 717,286 | ||
3.48%, 03/19/30 | 540,000 | 518,343 | ||
4.23%, 03/19/40 | 55,000 | 52,084 | ||
4.11%, 03/01/46 | 230,000 | 210,299 | ||
4.33%, 03/19/50 | 190,000 | 179,633 | ||
3.45%, 04/15/51 | 60,000 | 49,167 | ||
F&G Global Funding | ||||
5.15%, 07/07/25 144A | 1,200,000 | 1,208,408 | ||
Federal Realty OP LP REIT | ||||
3.50%, 06/01/30 | 1,900,000 | 1,727,747 | ||
FedEx Corporation | ||||
4.05%, 02/15/48 | 375,000 | 314,647 | ||
Fidelity National Information Services, Inc. | ||||
1.15%, 03/01/26 | 2,200,000 | 1,948,951 | ||
Fifth Third Bancorp | ||||
2.38%, 01/28/25 | 375,000 | 359,451 | ||
First-Citizens Bank & Trust Co. | ||||
(Variable, CME Term SOFR 3M + 1.72%), 2.97%, 09/27/25^ | 550,000 | 530,306 | ||
Fiserv, Inc. | ||||
2.75%, 07/01/24 | 1,900,000 | 1,855,244 | ||
4.20%, 10/01/28 | 375,000 | 361,695 | ||
Florida Power & Light Co. | ||||
3.80%, 12/15/42Δ | 425,000 | 379,507 | ||
Ford Motor Co. | ||||
3.25%, 02/12/32 | 600,000 | 450,825 | ||
Ford Motor Credit Co. LLC | ||||
2.98%, 08/03/22Δ | 1,800,000 | 1,800,000 | ||
3.37%, 11/17/23 | 1,900,000 | 1,854,400 | ||
4.95%, 05/28/27Δ | 580,000 | 540,003 | ||
2.90%, 02/16/28 | 380,000 | 306,810 | ||
2.90%, 02/10/29 | 200,000 | 157,159 | ||
5.11%, 05/03/29Δ | 220,000 | 197,693 | ||
4.00%, 11/13/30 | 1,220,000 | 990,969 | ||
Fortune Brands Home & Security, Inc. | ||||
4.00%, 03/25/32 | 650,000 | 575,624 | ||
Fox Corporation | ||||
4.03%, 01/25/24 | 300,000 | 300,275 | ||
4.71%, 01/25/29 | 250,000 | 245,392 |
Par | Value | |||
3.50%, 04/08/30Δ | $ 125,000 | $ 113,546 | ||
5.48%, 01/25/39 | 250,000 | 243,158 | ||
Freeport-McMoRan, Inc. | ||||
3.88%, 03/15/23 | 10,000 | 9,976 | ||
4.55%, 11/14/24 | 10,000 | 9,969 | ||
5.45%, 03/15/43Δ | 362,000 | 335,675 | ||
GA Global Funding Trust | ||||
1.25%, 12/08/23 144A | 2,300,000 | 2,208,800 | ||
2.90%, 01/06/32 144A | 1,450,000 | 1,206,488 | ||
General Dynamics Corporation | ||||
3.50%, 05/15/25 | 40,000 | 39,853 | ||
3.75%, 05/15/28 | 40,000 | 39,290 | ||
4.25%, 04/01/40 | 30,000 | 28,739 | ||
4.25%, 04/01/50Δ | 160,000 | 154,233 | ||
General Electric Co. | ||||
6.75%, 03/15/32Δ | 44,000 | 49,266 | ||
5.88%, 01/14/38Δ | 20,000 | 20,719 | ||
4.35%, 05/01/50 | 45,000 | 38,380 | ||
General Mills, Inc. | ||||
2.88%, 04/15/30 | 70,000 | 62,078 | ||
General Motors Co. | ||||
5.40%, 10/02/23 | 535,000 | 543,257 | ||
4.00%, 04/01/25Δ | 200,000 | 197,531 | ||
6.13%, 10/01/25 | 190,000 | 196,699 | ||
6.60%, 04/01/36 | 20,000 | 20,284 | ||
5.15%, 04/01/38 | 50,000 | 43,677 | ||
5.95%, 04/01/49Δ | 300,000 | 279,195 | ||
General Motors Financial Co., Inc. | ||||
4.30%, 07/13/25 | 300,000 | 295,477 | ||
4.35%, 01/17/27 | 560,000 | 537,672 | ||
5.65%, 01/17/29 | 500,000 | 499,360 | ||
4.30%, 04/06/29Δ | 400,000 | 367,470 | ||
2.70%, 06/10/31 | 575,000 | 453,661 | ||
3.10%, 01/12/32Δ | 100,000 | 80,465 | ||
Gilead Sciences, Inc. | ||||
3.70%, 04/01/24 | 230,000 | 230,376 | ||
4.50%, 02/01/45 | 275,000 | 253,792 | ||
4.75%, 03/01/46 | 20,000 | 19,222 | ||
Glencore Funding LLC | ||||
3.00%, 10/27/22 144A Δ | 10,000 | 9,973 | ||
4.13%, 05/30/23 144A | 20,000 | 19,969 | ||
4.13%, 03/12/24 144A | 1,155,000 | 1,149,980 | ||
4.63%, 04/29/24 144A | 658,000 | 658,647 | ||
1.63%, 04/27/26 144A | 525,000 | 465,078 | ||
4.00%, 03/27/27 144A | 480,000 | 461,987 | ||
3.88%, 10/27/27 144A | 210,000 | 199,036 | ||
2.63%, 09/23/31 144A | 575,000 | 463,982 | ||
3.38%, 09/23/51 144A | 80,000 | 54,705 | ||
Global Payments, Inc. | ||||
2.65%, 02/15/25 | 400,000 | 382,105 | ||
2.90%, 05/15/30Δ | 1,600,000 | 1,351,590 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 08/01/22† ρ | 3,000 | 2,152 | ||
Goldman Sachs Group, Inc. (The) | ||||
3.20%, 02/23/23 | 250,000 | 250,163 | ||
3.85%, 07/08/24 | 150,000 | 150,457 |
Par | Value | |||
3.50%, 04/01/25 | $ 320,000 | $ 314,100 | ||
4.25%, 10/21/25 | 530,000 | 526,766 | ||
3.50%, 11/16/26 | 700,000 | 672,152 | ||
(Floating, ICE LIBOR USD 3M + 1.75%), 2.99%, 10/28/27† | 1,800,000 | 1,780,842 | ||
(Variable, U.S. SOFR + 1.85%), 3.62%, 03/15/28^ | 120,000 | 113,659 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 530,000 | 500,251 | ||
(Variable, ICE LIBOR USD 3M + 1.30%), 4.22%, 05/01/29^ | 1,350,000 | 1,298,918 | ||
(Variable, U.S. SOFR + 1.26%), 2.65%, 10/21/32^ | 1,450,000 | 1,196,452 | ||
6.75%, 10/01/37 | 110,000 | 122,002 | ||
6.25%, 02/01/41 | 540,000 | 599,518 | ||
(Variable, U.S. SOFR + 1.51%), 3.21%, 04/22/42^ | 60,000 | 45,919 | ||
(Variable, U.S. SOFR + 1.47%), 2.91%, 07/21/42^ | 150,000 | 109,781 | ||
5.15%, 05/22/45 | 550,000 | 523,529 | ||
4.75%, 10/21/45 | 220,000 | 204,929 | ||
Goodman U.S. Finance Five LLC REIT | ||||
4.63%, 05/04/32 144A | 2,000,000 | 1,964,440 | ||
Goodman U.S. Finance Three LLC REIT | ||||
3.70%, 03/15/28 144A | 1,000,000 | 958,245 | ||
Great Lakes Dredge & Dock Corporation | ||||
5.25%, 06/01/29 144A | 450,000 | 390,007 | ||
Great-West Lifeco Finance 2018 LP | ||||
4.05%, 05/17/28 144A | 89,000 | 87,055 | ||
Guardian Life Global Funding | ||||
1.10%, 06/23/25 144A | 100,000 | 92,411 | ||
H&E Equipment Services, Inc. | ||||
3.88%, 12/15/28 144A | 375,000 | 304,223 | ||
Halliburton Co. | ||||
3.80%, 11/15/25 | 26,000 | 25,772 | ||
6.70%, 09/15/38 | 50,000 | 55,023 | ||
5.00%, 11/15/45Δ | 190,000 | 174,654 | ||
HCA, Inc. | ||||
5.25%, 04/15/25 | 120,000 | 120,348 | ||
5.25%, 06/15/26 | 10,000 | 9,968 | ||
5.38%, 09/01/26 | 1,600,000 | 1,589,264 | ||
3.13%, 03/15/27 144A Δ | 2,100,000 | 1,909,766 | ||
3.50%, 09/01/30 | 180,000 | 153,649 | ||
3.63%, 03/15/32 144A | 700,000 | 591,325 | ||
5.50%, 06/15/47 | 50,000 | 44,705 | ||
Healthcare Realty Trust, Inc. REIT | ||||
2.05%, 03/15/31 | 175,000 | 137,751 | ||
Healthcare Trust of America Holdings LP REIT | ||||
3.10%, 02/15/30 | 1,500,000 | 1,293,872 | ||
Hewlett Packard Enterprise Co. | ||||
2.25%, 04/01/23Δ | 1,000,000 | 993,084 | ||
4.45%, 10/02/23 | 1,350,000 | 1,364,349 | ||
4.90%, 10/15/25 | 915,000 | 930,150 | ||
6.35%, 10/15/45 | 155,000 | 156,237 |
Par | Value | |||
Hilton Domestic Operating Co., Inc. | ||||
4.00%, 05/01/31 144A Δ | $ 986,000 | $ 822,334 | ||
3.63%, 02/15/32 144A | 657,000 | 523,412 | ||
Home Depot, Inc. (The) | ||||
2.50%, 04/15/27Δ | 150,000 | 141,741 | ||
3.90%, 12/06/28 | 270,000 | 270,168 | ||
2.70%, 04/15/30 | 170,000 | 154,337 | ||
3.30%, 04/15/40 | 450,000 | 382,820 | ||
5.95%, 04/01/41 | 25,000 | 28,491 | ||
4.50%, 12/06/48 | 35,000 | 34,189 | ||
3.35%, 04/15/50 | 540,000 | 439,718 | ||
Honeywell International, Inc. | ||||
1.35%, 06/01/25 | 180,000 | 169,664 | ||
1.10%, 03/01/27Δ | 70,000 | 62,263 | ||
Hormel Foods Corporation | ||||
1.80%, 06/11/30Δ | 35,000 | 29,377 | ||
Host Hotels & Resorts LP REIT | ||||
2.90%, 12/15/31 | 475,000 | 377,681 | ||
HP, Inc. | ||||
4.00%, 04/15/29 | 1,705,000 | 1,598,914 | ||
Humana, Inc. | ||||
3.15%, 12/01/22 | 70,000 | 70,029 | ||
4.50%, 04/01/25 | 40,000 | 40,329 | ||
3.95%, 03/15/27 | 150,000 | 147,263 | ||
2.15%, 02/03/32Δ | 90,000 | 72,957 | ||
4.63%, 12/01/42 | 60,000 | 55,859 | ||
4.95%, 10/01/44 | 70,000 | 68,201 | ||
4.80%, 03/15/47 | 10,000 | 9,647 | ||
Huntington Bancshares, Inc. | ||||
4.00%, 05/15/25 | 550,000 | 547,795 | ||
Huntington Ingalls Industries, Inc. | ||||
0.67%, 08/16/23 | 2,500,000 | 2,411,757 | ||
Huntsman International LLC | ||||
4.50%, 05/01/29 | 325,000 | 306,774 | ||
2.95%, 06/15/31 | 250,000 | 207,849 | ||
Hyatt Hotels Corporation | ||||
1.80%, 10/01/24 | 2,875,000 | 2,719,821 | ||
5.63%, 04/23/25 | 1,250,000 | 1,267,345 | ||
Hyundai Capital America | ||||
1.00%, 09/17/24 144A | 1,150,000 | 1,068,407 | ||
1.65%, 09/17/26 144A | 2,300,000 | 2,029,968 | ||
2.75%, 09/27/26 | 70,000 | 64,598 | ||
Intel Corporation | ||||
3.70%, 07/29/25 | 110,000 | 110,840 | ||
1.60%, 08/12/28 | 250,000 | 219,003 | ||
2.45%, 11/15/29 | 35,000 | 31,257 | ||
4.60%, 03/25/40 | 10,000 | 9,783 | ||
3.73%, 12/08/47 | 76,000 | 64,589 | ||
4.75%, 03/25/50Δ | 160,000 | 157,383 | ||
3.05%, 08/12/51 | 120,000 | 89,598 | ||
Intercontinental Exchange, Inc. | ||||
3.00%, 06/15/50 | 1,500,000 | 1,097,315 | ||
International Business Machines Corporation | ||||
3.00%, 05/15/24 | 720,000 | 714,905 |
Par | Value | |||
International Flavors & Fragrances, Inc. | ||||
1.83%, 10/15/27 144A | $ 650,000 | $ 560,604 | ||
4.38%, 06/01/47 | 1,000,000 | 852,625 | ||
Intuit, Inc. | ||||
1.35%, 07/15/27 | 175,000 | 152,942 | ||
Invitation Homes Operating Partnership LP REIT | ||||
2.30%, 11/15/28 | 375,000 | 315,760 | ||
IPALCO Enterprises, Inc. | ||||
4.25%, 05/01/30 | 1,800,000 | 1,673,786 | ||
ITC Holdings Corporation | ||||
2.95%, 05/14/30 144A | 1,900,000 | 1,677,018 | ||
Jackson Financial, Inc. | ||||
5.67%, 06/08/32 | 600,000 | 580,452 | ||
JBS U.S.A. LUX SA | ||||
5.13%, 02/01/28 144A | 1,200,000 | 1,174,074 | ||
5.50%, 01/15/30 144A Δ | 55,000 | 52,136 | ||
Jefferies Finance LLC | ||||
5.00%, 08/15/28 144A | 650,000 | 536,451 | ||
Jefferies Group LLC | ||||
4.15%, 01/23/30 | 25,000 | 22,484 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 0.73%), 3.56%, 04/23/24^ | 800,000 | 797,885 | ||
(Variable, U.S. SOFR + 1.46%), 1.51%, 06/01/24^ | 770,000 | 750,971 | ||
(Variable, ICE LIBOR USD 3M + 0.89%), 3.80%, 07/23/24^ | 175,000 | 174,447 | ||
(Variable, ICE LIBOR USD 3M + 1.00%), 4.02%, 12/05/24^ | 1,425,000 | 1,421,163 | ||
(Variable, U.S. SOFR + 3.13%), 4.60%, 02/01/25ρ ^ | 632,000 | 535,317 | ||
(Variable, U.S. SOFR + 1.16%), 2.30%, 10/15/25^ | 650,000 | 619,643 | ||
(Variable, U.S. SOFR + 1.85%), 2.08%, 04/22/26^ | 460,000 | 430,713 | ||
2.95%, 10/01/26 | 700,000 | 666,523 | ||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.96%, 01/29/27^ | 875,000 | 855,241 | ||
4.25%, 10/01/27 | 130,000 | 128,898 | ||
3.63%, 12/01/27Δ | 900,000 | 864,695 | ||
(Variable, ICE LIBOR USD 3M + 1.34%), 3.78%, 02/01/28^ | 2,394,000 | 2,300,981 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 3.51%, 01/23/29^ | 1,720,000 | 1,610,586 | ||
(Variable, ICE LIBOR USD 3M + 1.26%), 4.20%, 07/23/29^ | 380,000 | 366,925 | ||
(Variable, ICE LIBOR USD 3M + 1.33%), 4.45%, 12/05/29^ | 65,000 | 63,382 | ||
(Variable, U.S. SOFR + 1.75%), 4.57%, 06/14/30^ | 1,200,000 | 1,179,157 | ||
(Variable, U.S. SOFR + 3.79%), 4.49%, 03/24/31^ | 75,000 | 73,330 | ||
(Variable, U.S. SOFR + 2.04%), 2.52%, 04/22/31^ | 550,000 | 468,935 | ||
(Variable, U.S. SOFR + 2.52%), 2.96%, 05/13/31^ | 200,000 | 172,849 | ||
(Variable, U.S. SOFR + 1.18%), 2.55%, 11/08/32^ | 880,000 | 732,033 | ||
4.95%, 06/01/45Δ | 400,000 | 382,680 |
Par | Value | |||
(Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | $ 170,000 | $ 124,933 | ||
Kennedy-Wilson, Inc. | ||||
4.75%, 03/01/29 | 100,000 | 81,147 | ||
Keurig Dr. Pepper, Inc. | ||||
4.42%, 05/25/25 | 15,000 | 15,132 | ||
4.50%, 04/15/52 | 550,000 | 486,133 | ||
Keysight Technologies, Inc. | ||||
3.00%, 10/30/29 | 475,000 | 422,602 | ||
Kilroy Realty LP REIT | ||||
4.75%, 12/15/28 | 1,750,000 | 1,716,153 | ||
Kimberly-Clark Corporation | ||||
2.88%, 02/07/50Δ | 5,000 | 3,799 | ||
Kinder Morgan Energy Partners LP | ||||
3.50%, 09/01/23 | 2,250,000 | 2,244,193 | ||
4.25%, 09/01/24 | 980,000 | 981,242 | ||
Kinder Morgan, Inc. | ||||
4.30%, 03/01/28 | 50,000 | 48,691 | ||
5.20%, 03/01/48 | 10,000 | 9,157 | ||
KKR Group Finance Co. II LLC | ||||
5.50%, 02/01/43 144A | 30,000 | 29,999 | ||
Kraft Heinz Foods Co. | ||||
4.88%, 10/01/49 | 650,000 | 575,191 | ||
L3Harris Technologies, Inc. | ||||
5.05%, 04/27/45 | 50,000 | 48,710 | ||
Lear Corporation | ||||
5.25%, 05/15/49Δ | 35,000 | 30,406 | ||
Lehman Escrow Bonds | ||||
0.00%, 01/18/12# | 200,000 | 800 | ||
0.00%, 01/24/13# | 2,300,000 | 9,200 | ||
0.00%, 07/19/17Ψ ††† # | 150,000 | — | ||
0.00%, 12/28/17Ψ ††† # | 3,340,000 | — | ||
0.00%, 08/22/22Ψ ††† # | 2,330,000 | — | ||
Level 3 Financing, Inc. | ||||
3.40%, 03/01/27 144A | 1,600,000 | 1,381,165 | ||
Life Storage LP REIT | ||||
3.88%, 12/15/27 | 900,000 | 858,031 | ||
Lincoln National Corporation | ||||
3.05%, 01/15/30Δ | 20,000 | 17,663 | ||
Lockheed Martin Corporation | ||||
3.90%, 06/15/32 | 160,000 | 158,065 | ||
4.50%, 05/15/36 | 50,000 | 49,775 | ||
4.15%, 06/15/53 | 860,000 | 804,458 | ||
Louisville Gas and Electric Co. | ||||
4.25%, 04/01/49 | 50,000 | 45,593 | ||
Lowe's Cos., Inc. | ||||
1.70%, 09/15/28 | 900,000 | 766,974 | ||
4.50%, 04/15/30 | 110,000 | 108,795 | ||
1.70%, 10/15/30 | 675,000 | 541,928 | ||
3.00%, 10/15/50 | 150,000 | 104,825 | ||
4.25%, 04/01/52 | 475,000 | 412,420 | ||
Magallanes, Inc. | ||||
3.76%, 03/15/27 144A | 140,000 | 131,439 | ||
4.05%, 03/15/29 144A | 180,000 | 165,006 | ||
4.28%, 03/15/32 144A | 2,875,000 | 2,572,264 | ||
5.05%, 03/15/42 144A | 370,000 | 315,364 | ||
5.14%, 03/15/52 144A | 1,090,000 | 916,319 |
Par | Value | |||
Maple Grove Funding Trust I | ||||
4.16%, 08/15/51 144A | $ 495,000 | $ 386,422 | ||
Marathon Petroleum Corporation | ||||
3.80%, 04/01/28 | 125,000 | 118,487 | ||
Marriott International, Inc. | ||||
2.13%, 10/03/22 | 1,500,000 | 1,495,990 | ||
4.63%, 06/15/30 | 600,000 | 575,817 | ||
Mars, Inc. | ||||
2.70%, 04/01/25 144A | 400,000 | 391,124 | ||
3.20%, 04/01/30 144A | 475,000 | 441,530 | ||
2.38%, 07/16/40 144A | 150,000 | 109,372 | ||
Marsh & McLennan Cos., Inc. | ||||
3.75%, 03/14/26 | 1,100,000 | 1,090,012 | ||
4.38%, 03/15/29 | 500,000 | 494,623 | ||
Martin Marietta Materials, Inc. | ||||
3.20%, 07/15/51Δ | 325,000 | 231,081 | ||
Masco Corporation | ||||
1.50%, 02/15/28 | 2,575,000 | 2,162,925 | ||
Mastercard, Inc. | ||||
3.30%, 03/26/27 | 250,000 | 245,847 | ||
2.95%, 06/01/29 | 65,000 | 60,955 | ||
3.85%, 03/26/50Δ | 310,000 | 284,516 | ||
McDonald’s Corporation | ||||
1.45%, 09/01/25 | 40,000 | 37,257 | ||
3.50%, 03/01/27 | 360,000 | 353,182 | ||
3.50%, 07/01/27 | 390,000 | 382,463 | ||
3.80%, 04/01/28 | 90,000 | 88,273 | ||
3.60%, 07/01/30 | 160,000 | 152,465 | ||
6.30%, 03/01/38 | 50,000 | 56,843 | ||
3.63%, 09/01/49 | 130,000 | 107,646 | ||
4.20%, 04/01/50 | 600,000 | 537,257 | ||
Medtronic, Inc. | ||||
4.63%, 03/15/45Δ | 36,000 | 36,157 | ||
MetLife Capital Trust IV | ||||
7.88%, 12/15/37 144A | 300,000 | 324,111 | ||
MetLife, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.58%), 3.85%, 09/15/25ρ ^ | 1,000,000 | 892,954 | ||
6.40%, 12/15/36 | 50,000 | 50,408 | ||
Metropolitan Life Global Funding I | ||||
3.45%, 12/18/26 144A | 2,000,000 | 1,931,666 | ||
Microchip Technology, Inc. | ||||
2.67%, 09/01/23 | 675,000 | 664,058 | ||
Microsoft Corporation | ||||
2.88%, 02/06/24 | 470,000 | 468,877 | ||
2.70%, 02/12/25 | 120,000 | 119,424 | ||
3.13%, 11/03/25Δ | 55,000 | 55,048 | ||
2.40%, 08/08/26Δ | 1,380,000 | 1,328,923 | ||
3.30%, 02/06/27 | 800,000 | 795,445 | ||
4.20%, 11/03/35 | 10,000 | 10,282 | ||
3.45%, 08/08/36 | 515,000 | 486,346 | ||
2.53%, 06/01/50 | 18,000 | 13,281 | ||
2.92%, 03/17/52Δ | 37,000 | 29,246 | ||
2.68%, 06/01/60 | 22,000 | 15,808 | ||
3.04%, 03/17/62 | 108,000 | 84,006 |
Par | Value | |||
MidAmerican Energy Co. | ||||
3.65%, 04/15/29 | $ 350,000 | $ 340,339 | ||
Midwest Connector Capital Co. LLC | ||||
4.63%, 04/01/29 144A | 65,000 | 61,373 | ||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | 290,000 | 285,889 | ||
Mondelez International, Inc. | ||||
1.50%, 05/04/25 | 670,000 | 626,125 | ||
Morgan Stanley | ||||
3.70%, 10/23/24 | 1,150,000 | 1,148,865 | ||
(Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 725,000 | 699,168 | ||
(Variable, U.S. SOFR + 1.99%), 2.19%, 04/28/26^ | 750,000 | 703,077 | ||
3.63%, 01/20/27 | 1,475,000 | 1,429,880 | ||
3.95%, 04/23/27 | 398,000 | 385,761 | ||
(Variable, ICE LIBOR USD 3M + 1.14%), 3.77%, 01/24/29^ | 220,000 | 208,949 | ||
(Variable, ICE LIBOR USD 3M + 1.63%), 4.43%, 01/23/30^ | 195,000 | 189,662 | ||
(Variable, U.S. SOFR + 1.14%), 2.70%, 01/22/31^ | 1,895,000 | 1,643,042 | ||
(Variable, U.S. SOFR + 3.12%), 3.62%, 04/01/31^ | 760,000 | 698,819 | ||
(Variable, U.S. SOFR + 1.03%), 1.79%, 02/13/32^ | 725,000 | 570,995 | ||
(Variable, U.S. SOFR + 1.20%), 2.51%, 10/20/32^ | 560,000 | 463,370 | ||
(Variable, U.S. SOFR + 1.36%), 2.48%, 09/16/36^ | 1,530,000 | 1,178,067 | ||
(Variable, U.S. SOFR + 1.43%), 2.80%, 01/25/52^ | 70,000 | 48,745 | ||
MPLX LP | ||||
4.88%, 12/01/24 | 230,000 | 231,825 | ||
4.88%, 06/01/25 | 100,000 | 100,609 | ||
4.00%, 03/15/28 | 50,000 | 47,546 | ||
4.80%, 02/15/29 | 575,000 | 566,074 | ||
4.50%, 04/15/38 | 430,000 | 377,733 | ||
4.70%, 04/15/48 | 320,000 | 269,693 | ||
5.50%, 02/15/49 | 595,000 | 553,228 | ||
MPT Operating Partnership LP REIT | ||||
5.00%, 10/15/27 | 60,000 | 55,003 | ||
4.63%, 08/01/29Δ | 465,000 | 408,944 | ||
3.50%, 03/15/31 | 190,000 | 150,314 | ||
Nasdaq, Inc. | ||||
3.25%, 04/28/50 | 800,000 | 583,708 | ||
National Retail Properties, Inc. REIT | ||||
3.90%, 06/15/24 | 255,000 | 254,392 | ||
3.60%, 12/15/26 | 250,000 | 240,798 | ||
National Securities Clearing Corporation | ||||
1.50%, 04/23/25 144A | 400,000 | 376,800 | ||
Nature Conservancy (The) | ||||
0.94%, 07/01/26 | 25,000 | 22,501 | ||
1.30%, 07/01/28 | 25,000 | 21,585 | ||
NetApp, Inc. | ||||
2.38%, 06/22/27 | 45,000 | 40,942 |
Par | Value | |||
New York Life Global Funding | ||||
0.95%, 06/24/25 144A | $ 200,000 | $ 184,465 | ||
NextEra Energy Capital Holdings, Inc. | ||||
1.90%, 06/15/28 | 965,000 | 840,032 | ||
2.25%, 06/01/30 | 1,900,000 | 1,597,318 | ||
5.00%, 07/15/32 | 450,000 | 461,442 | ||
Niagara Mohawk Power Corporation | ||||
4.28%, 12/15/28 144A | 2,000,000 | 1,970,252 | ||
Nielsen Finance LLC | ||||
4.50%, 07/15/29 144A | 150,000 | 135,706 | ||
5.88%, 10/01/30 144A | 83,000 | 76,360 | ||
4.75%, 07/15/31 144A | 400,000 | 360,367 | ||
NIKE, Inc. | ||||
2.40%, 03/27/25 | 140,000 | 136,463 | ||
2.75%, 03/27/27 | 20,000 | 19,262 | ||
3.25%, 03/27/40 | 110,000 | 94,345 | ||
3.38%, 03/27/50Δ | 270,000 | 230,257 | ||
NiSource, Inc. | ||||
0.95%, 08/15/25 | 70,000 | 62,976 | ||
3.49%, 05/15/27Δ | 725,000 | 694,676 | ||
3.60%, 05/01/30Δ | 100,000 | 91,717 | ||
3.95%, 03/30/48 | 450,000 | 374,268 | ||
Nissan Motor Acceptance Co. LLC | ||||
2.00%, 03/09/26 144A Δ | 70,000 | 60,646 | ||
2.75%, 03/09/28 144A | 2,200,000 | 1,841,387 | ||
Northrop Grumman Corporation | ||||
2.93%, 01/15/25 | 350,000 | 342,711 | ||
3.25%, 01/15/28 | 900,000 | 856,278 | ||
5.25%, 05/01/50 | 180,000 | 191,049 | ||
Northwell Healthcare, Inc. | ||||
6.15%, 11/01/43 | 375,000 | 408,548 | ||
Northwestern Mutual Life Insurance Co. (The) | ||||
6.06%, 03/30/40 144A | 300,000 | 328,450 | ||
3.85%, 09/30/47 144A | 250,000 | 208,090 | ||
NOV, Inc. | ||||
3.95%, 12/01/42 | 40,000 | 29,427 | ||
Novartis Capital Corporation | ||||
2.20%, 08/14/30 | 70,000 | 61,757 | ||
NRG Energy, Inc. | ||||
3.75%, 06/15/24 144A | 625,000 | 613,589 | ||
3.38%, 02/15/29 144A | 318,000 | 257,009 | ||
3.63%, 02/15/31 144A | 850,000 | 668,227 | ||
NVIDIA Corporation | ||||
2.85%, 04/01/30 | 415,000 | 380,296 | ||
3.50%, 04/01/40 | 620,000 | 543,823 | ||
3.50%, 04/01/50 | 870,000 | 740,544 | ||
3.70%, 04/01/60 | 460,000 | 387,215 | ||
Occidental Petroleum Corporation | ||||
6.95%, 07/01/24 | 290,000 | 299,212 | ||
5.55%, 03/15/26 | 435,000 | 432,790 | ||
3.20%, 08/15/26 | 260,000 | 234,333 | ||
7.88%, 09/15/31 | 280,000 | 307,847 | ||
6.45%, 09/15/36 | 205,000 | 210,621 | ||
4.63%, 06/15/45Δ | 130,000 | 107,085 | ||
6.60%, 03/15/46 | 220,000 | 234,291 | ||
4.20%, 03/15/48 | 80,000 | 62,455 |
Par | Value | |||
Omega Healthcare Investors, Inc. REIT | ||||
3.63%, 10/01/29 | $1,600,000 | $1,359,612 | ||
ONEOK, Inc. | ||||
4.55%, 07/15/28 | 30,000 | 29,036 | ||
6.35%, 01/15/31 | 1,600,000 | 1,673,206 | ||
Oracle Corporation | ||||
1.65%, 03/25/26 | 65,000 | 58,335 | ||
3.85%, 07/15/36 | 35,000 | 28,172 | ||
3.60%, 04/01/40 | 400,000 | 299,551 | ||
4.00%, 07/15/46 | 250,000 | 185,295 | ||
Otis Worldwide Corporation | ||||
2.06%, 04/05/25 | 130,000 | 123,276 | ||
2.29%, 04/05/27Δ | 200,000 | 181,238 | ||
2.57%, 02/15/30 | 25,000 | 21,622 | ||
Owl Rock Capital Corporation | ||||
2.88%, 06/11/28 | 2,200,000 | 1,729,559 | ||
Pacific Gas and Electric Co. | ||||
1.70%, 11/15/23 | 2,200,000 | 2,121,279 | ||
3.40%, 08/15/24 | 600,000 | 577,148 | ||
3.15%, 01/01/26 | 1,335,000 | 1,224,150 | ||
2.95%, 03/01/26Δ | 800,000 | 727,915 | ||
2.10%, 08/01/27 | 370,000 | 310,473 | ||
4.55%, 07/01/30 | 1,865,000 | 1,658,936 | ||
2.50%, 02/01/31 | 610,000 | 467,168 | ||
3.30%, 08/01/40Δ | 165,000 | 114,007 | ||
3.50%, 08/01/50Δ | 70,000 | 46,890 | ||
PacifiCorp | ||||
4.15%, 02/15/50 | 60,000 | 54,249 | ||
Paramount Global | ||||
4.95%, 05/19/50 | 700,000 | 588,172 | ||
Parsley Energy LLC | ||||
4.13%, 02/15/28 144A | 30,000 | 27,367 | ||
PayPal Holdings, Inc. | ||||
1.65%, 06/01/25 | 1,805,000 | 1,704,449 | ||
2.65%, 10/01/26 | 1,175,000 | 1,115,033 | ||
2.30%, 06/01/30 | 300,000 | 257,819 | ||
Penske Truck Leasing Co. LP | ||||
1.20%, 11/15/25 144A | 70,000 | 62,577 | ||
PepsiCo, Inc. | ||||
0.75%, 05/01/23 | 300,000 | 295,050 | ||
2.25%, 03/19/25 | 20,000 | 19,504 | ||
2.63%, 03/19/27 | 30,000 | 28,811 | ||
1.63%, 05/01/30 | 250,000 | 212,213 | ||
2.88%, 10/15/49 | 100,000 | 79,591 | ||
PerkinElmer, Inc. | ||||
3.30%, 09/15/29 | 65,000 | 57,678 | ||
Phillips 66 | ||||
3.70%, 04/06/23 | 1,475,000 | 1,475,328 | ||
3.85%, 04/09/25 | 100,000 | 99,475 | ||
1.30%, 02/15/26 | 175,000 | 157,602 | ||
4.65%, 11/15/34 | 65,000 | 63,189 | ||
Physicians Realty LP REIT | ||||
3.95%, 01/15/28 | 2,400,000 | 2,290,604 | ||
Pioneer Natural Resources Co. | ||||
1.13%, 01/15/26 | 70,000 | 62,630 | ||
2.15%, 01/15/31 | 290,000 | 239,070 |
Par | Value | |||
Plains All American Pipeline LP | ||||
3.85%, 10/15/23 | $1,625,000 | $1,616,455 | ||
PNC Financial Services Group, Inc. (The) | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.60%), 3.40%, 09/15/26ρ ^ | 1,000,000 | 761,821 | ||
Post Holdings, Inc. | ||||
5.50%, 12/15/29 144A Δ | 350,000 | 313,590 | ||
PPG Industries, Inc. | ||||
1.20%, 03/15/26 | 70,000 | 62,969 | ||
Prime Security Services Borrower LLC | ||||
3.38%, 08/31/27 144A | 770,000 | 636,690 | ||
Principal Life Global Funding II | ||||
1.25%, 06/23/25 144A | 90,000 | 82,743 | ||
Procter & Gamble Co. (The) | ||||
2.80%, 03/25/27 | 75,000 | 72,618 | ||
2.85%, 08/11/27 | 10,000 | 9,687 | ||
3.00%, 03/25/30 | 160,000 | 151,130 | ||
Progress Energy, Inc. | ||||
7.75%, 03/01/31 | 350,000 | 409,455 | ||
Public Storage REIT | ||||
1.85%, 05/01/28Δ | 70,000 | 60,690 | ||
0.50%, 09/09/30(E) | 2,000,000 | 1,645,304 | ||
QUALCOMM, Inc. | ||||
4.65%, 05/20/35 | 60,000 | 61,537 | ||
Range Resources Corporation | ||||
5.00%, 03/15/23 | 322,000 | 320,120 | ||
4.88%, 05/15/25 | 10,000 | 9,772 | ||
Raymond James Financial, Inc. | ||||
4.65%, 04/01/30 | 75,000 | 74,278 | ||
Raytheon Technologies Corporation | ||||
3.15%, 12/15/24 | 120,000 | 118,622 | ||
3.95%, 08/16/25 | 530,000 | 531,869 | ||
3.50%, 03/15/27 | 550,000 | 537,867 | ||
4.13%, 11/16/28 | 665,000 | 656,937 | ||
2.25%, 07/01/30 | 270,000 | 233,010 | ||
4.50%, 06/01/42 | 90,000 | 85,983 | ||
4.05%, 05/04/47Δ | 375,000 | 332,971 | ||
Realty Income Corporation REIT | ||||
4.63%, 11/01/25Δ | 600,000 | 609,222 | ||
3.95%, 08/15/27 | 150,000 | 146,472 | ||
3.40%, 01/15/28 | 625,000 | 591,028 | ||
3.25%, 01/15/31 | 1,800,000 | 1,638,141 | ||
2.85%, 12/15/32 | 800,000 | 688,634 | ||
Regency Centers LP REIT | ||||
2.95%, 09/15/29 | 775,000 | 681,938 | ||
Regeneron Pharmaceuticals, Inc. | ||||
1.75%, 09/15/30 | 1,500,000 | 1,204,098 | ||
Reinsurance Group of America, Inc. | ||||
3.90%, 05/15/29 | 65,000 | 61,196 | ||
RELX Capital, Inc. | ||||
3.50%, 03/16/23 | 300,000 | 299,675 | ||
Republic Services, Inc. | ||||
2.50%, 08/15/24 | 190,000 | 184,119 | ||
Roche Holdings, Inc. | ||||
2.61%, 12/13/51 144A | 820,000 | 596,574 |
Par | Value | |||
Rocket Mortgage LLC | ||||
4.00%, 10/15/33 144A | $ 850,000 | $ 605,412 | ||
Roper Technologies, Inc. | ||||
4.20%, 09/15/28 | 500,000 | 490,819 | ||
Rush Obligated Group | ||||
3.92%, 11/15/29 | 400,000 | 385,434 | ||
Sabine Pass Liquefaction LLC | ||||
5.63%, 04/15/23 | 400,000 | 403,910 | ||
5.63%, 03/01/25 | 450,000 | 459,503 | ||
5.00%, 03/15/27 | 425,000 | 426,895 | ||
4.20%, 03/15/28 | 300,000 | 288,829 | ||
4.50%, 05/15/30 | 600,000 | 575,630 | ||
Sabra Health Care LP REIT | ||||
3.90%, 10/15/29 | 1,500,000 | 1,325,698 | ||
Safehold Operating Partnership LP REIT | ||||
2.85%, 01/15/32 | 750,000 | 603,357 | ||
Salesforce, Inc. | ||||
3.25%, 04/11/23 | 300,000 | 300,871 | ||
Santander Holdings U.S.A., Inc. | ||||
4.50%, 07/17/25 | 60,000 | 59,498 | ||
3.24%, 10/05/26 | 1,100,000 | 1,032,444 | ||
SBA Communications Corporation REIT | ||||
3.13%, 02/01/29 | 598,000 | 490,907 | ||
SBA Tower Trust REIT | ||||
2.84%, 01/15/25 144A | 2,200,000 | 2,124,880 | ||
2.33%, 01/15/28 144A | 2,300,000 | 2,043,597 | ||
Schlumberger Holdings Corporation | ||||
4.00%, 12/21/25 144A | 190,000 | 189,059 | ||
3.90%, 05/17/28 144A | 252,000 | 238,357 | ||
Sempra Energy | ||||
3.40%, 02/01/28 | 275,000 | 259,943 | ||
ServiceNow, Inc. | ||||
1.40%, 09/01/30 | 675,000 | 528,861 | ||
Sherwin-Williams Co. (The) | ||||
3.13%, 06/01/24 | 700,000 | 690,470 | ||
3.45%, 06/01/27 | 350,000 | 333,886 | ||
2.95%, 08/15/29Δ | 475,000 | 425,411 | ||
Skyworks Solutions, Inc. | ||||
1.80%, 06/01/26 | 2,200,000 | 1,954,329 | ||
Sotheby's | ||||
5.88%, 06/01/29 144A | 325,000 | 279,433 | ||
Southern California Edison Co. | ||||
3.70%, 08/01/25 | 2,830,000 | 2,786,432 | ||
4.20%, 03/01/29 | 400,000 | 385,283 | ||
4.88%, 03/01/49 | 55,000 | 49,962 | ||
Southern California Gas Co. | ||||
2.95%, 04/15/27 | 2,100,000 | 1,989,467 | ||
Southern Co. (The) | ||||
3.25%, 07/01/26 | 1,400,000 | 1,342,369 | ||
Southern Co. Gas Capital Corporation | ||||
3.25%, 06/15/26Δ | 300,000 | 288,303 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 2,310,000 | 2,263,049 | ||
Southern Natural Gas Co. LLC | ||||
8.00%, 03/01/32 | 400,000 | 468,676 |
Par | Value | |||
Southern Power Co. | ||||
0.90%, 01/15/26Δ | $2,200,000 | $1,967,504 | ||
4.95%, 12/15/46 | 50,000 | 46,088 | ||
Southwest Gas Corporation | ||||
4.05%, 03/15/32 | 35,000 | 31,800 | ||
Southwestern Electric Power Co. | ||||
2.75%, 10/01/26 | 65,000 | 60,872 | ||
Southwestern Energy Co. | ||||
5.38%, 02/01/29 | 10,000 | 9,295 | ||
5.38%, 03/15/30Δ | 70,000 | 64,542 | ||
4.75%, 02/01/32 | 120,000 | 102,833 | ||
Spirit AeroSystems, Inc. | ||||
3.95%, 06/15/23 | 1,500,000 | 1,408,545 | ||
Spirit Realty LP REIT | ||||
4.45%, 09/15/26 | 1,200,000 | 1,182,211 | ||
4.00%, 07/15/29 | 750,000 | 686,668 | ||
Sprint Capital Corporation | ||||
8.75%, 03/15/32 | 60,000 | 72,404 | ||
Standard Industries, Inc. | ||||
5.00%, 02/15/27 144A | 200,000 | 178,795 | ||
Starbucks Corporation | ||||
3.80%, 08/15/25 | 625,000 | 623,145 | ||
2.55%, 11/15/30Δ | 1,900,000 | 1,622,540 | ||
State Street Corporation | ||||
(Variable, ICE LIBOR USD 3M + 1.03%), 4.14%, 12/03/29Δ ^ | 60,000 | 58,802 | ||
(Variable, U.S. SOFR + 2.65%), 3.15%, 03/30/31^ | 240,000 | 218,189 | ||
Steel Dynamics, Inc. | ||||
2.40%, 06/15/25 | 140,000 | 132,572 | ||
1.65%, 10/15/27 | 275,000 | 236,312 | ||
Stifel Financial Corporation | ||||
4.00%, 05/15/30 | 1,900,000 | 1,767,244 | ||
Sutter Health | ||||
2.29%, 08/15/30 | 215,000 | 184,796 | ||
Syneos Health, Inc. | ||||
3.63%, 01/15/29 144A | 225,000 | 190,818 | ||
Sysco Corporation | ||||
6.60%, 04/01/40Δ | 675,000 | 770,127 | ||
Take-Two Interactive Software, Inc. | ||||
3.70%, 04/14/27 | 470,000 | 456,654 | ||
Tallgrass Energy Partners LP | ||||
6.00%, 12/31/30 144A | 10,000 | 8,313 | ||
Targa Resources Corporation | ||||
4.20%, 02/01/33Δ | 610,000 | 553,352 | ||
Targa Resources Partners LP | ||||
6.50%, 07/15/27 | 355,000 | 364,239 | ||
5.00%, 01/15/28 | 70,000 | 66,746 | ||
6.88%, 01/15/29 | 1,150,000 | 1,175,495 | ||
5.50%, 03/01/30 | 120,000 | 114,721 | ||
4.88%, 02/01/31 | 250,000 | 228,359 | ||
4.00%, 01/15/32 | 30,000 | 25,729 | ||
Teachers Insurance & Annuity Association of America | ||||
6.85%, 12/16/39 144A | 46,000 | 54,330 | ||
4.90%, 09/15/44 144A | 280,000 | 269,102 | ||
Tennessee Gas Pipeline Co. LLC | ||||
2.90%, 03/01/30 144A | 1,440,000 | 1,245,279 |
Par | Value | |||
Texas Instruments, Inc. | ||||
2.25%, 09/04/29 | $ 50,000 | $ 45,124 | ||
1.75%, 05/04/30 | 145,000 | 124,506 | ||
Textron, Inc. | ||||
2.45%, 03/15/31 | 1,700,000 | 1,398,424 | ||
Time Warner Cable LLC | ||||
6.55%, 05/01/37Δ | 90,000 | 90,267 | ||
7.30%, 07/01/38 | 880,000 | 920,431 | ||
5.88%, 11/15/40 | 300,000 | 275,436 | ||
Time Warner Entertainment Co. LP | ||||
8.38%, 03/15/23 | 975,000 | 1,003,560 | ||
8.38%, 07/15/33 | 390,000 | 451,688 | ||
TJX Cos., Inc. (The) | ||||
2.25%, 09/15/26 | 40,000 | 37,532 | ||
3.88%, 04/15/30 | 45,000 | 43,832 | ||
T-Mobile U.S.A., Inc. | ||||
3.50%, 04/15/25 | 1,495,000 | 1,464,076 | ||
1.50%, 02/15/26Δ | 400,000 | 361,912 | ||
3.75%, 04/15/27 | 1,250,000 | 1,204,666 | ||
2.05%, 02/15/28 | 1,025,000 | 890,867 | ||
3.38%, 04/15/29 | 170,000 | 149,244 | ||
3.88%, 04/15/30 | 3,290,000 | 3,073,501 | ||
2.55%, 02/15/31 | 1,570,000 | 1,322,723 | ||
3.50%, 04/15/31Δ | 260,000 | 225,021 | ||
3.50%, 04/15/31 144A | 190,000 | 164,438 | ||
2.70%, 03/15/32 144A Δ | 610,000 | 512,520 | ||
3.00%, 02/15/41 | 365,000 | 272,776 | ||
3.40%, 10/15/52 144A Δ | 380,000 | 281,476 | ||
Toyota Motor Credit Corporation | ||||
1.90%, 01/13/27 | 30,000 | 27,588 | ||
3.38%, 04/01/30 | 60,000 | 56,498 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
7.85%, 02/01/26 | 880,000 | 972,877 | ||
3.25%, 05/15/30 | 870,000 | 782,210 | ||
TransDigm, Inc. | ||||
6.38%, 06/15/26 | 350,000 | 327,950 | ||
7.50%, 03/15/27 | 300,000 | 283,392 | ||
4.63%, 01/15/29 | 130,000 | 104,955 | ||
Tronox, Inc. | ||||
4.63%, 03/15/29 144A | 1,225,000 | 987,650 | ||
Trustage Financial Group, Inc. | ||||
4.63%, 04/15/32 144A | 1,300,000 | 1,193,694 | ||
U.S. Bancorp | ||||
1.45%, 05/12/25 | 580,000 | 544,283 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.54%), 3.70%, 01/15/27ρ ^ | 775,000 | 596,750 | ||
UDR, Inc. REIT | ||||
3.20%, 01/15/30 | 1,200,000 | 1,078,482 | ||
2.10%, 08/01/32 | 150,000 | 116,829 | ||
Union Pacific Corporation | ||||
3.75%, 07/15/25 | 210,000 | 210,452 | ||
3.70%, 03/01/29Δ | 65,000 | 63,202 | ||
2.80%, 02/14/32Δ | 725,000 | 646,112 | ||
2.89%, 04/06/36 | 670,000 | 554,888 | ||
3.84%, 03/20/60 | 480,000 | 401,926 | ||
3.75%, 02/05/70 | 80,000 | 63,690 |
Par | Value | |||
United Airlines, Inc. | ||||
4.38%, 04/15/26 144A | $ 210,000 | $ 185,791 | ||
4.63%, 04/15/29 144A | 310,000 | 264,025 | ||
United Rentals North America, Inc. | ||||
3.88%, 02/15/31Δ | 60,000 | 50,735 | ||
3.75%, 01/15/32 | 190,000 | 156,397 | ||
UnitedHealth Group, Inc. | ||||
2.38%, 10/15/22 | 40,000 | 40,002 | ||
3.50%, 06/15/23 | 90,000 | 90,331 | ||
3.75%, 07/15/25 | 45,000 | 45,002 | ||
1.25%, 01/15/26Δ | 90,000 | 83,112 | ||
4.00%, 05/15/29Δ | 290,000 | 287,471 | ||
2.00%, 05/15/30 | 150,000 | 128,670 | ||
2.30%, 05/15/31 | 50,000 | 43,354 | ||
4.20%, 05/15/32Δ | 200,000 | 200,007 | ||
2.75%, 05/15/40 | 700,000 | 546,347 | ||
4.25%, 06/15/48 | 215,000 | 200,972 | ||
4.45%, 12/15/48 | 50,000 | 48,123 | ||
3.70%, 08/15/49 | 170,000 | 145,356 | ||
2.90%, 05/15/50 | 290,000 | 217,792 | ||
3.88%, 08/15/59 | 190,000 | 164,564 | ||
3.13%, 05/15/60Δ | 30,000 | 21,955 | ||
Universal Health Services, Inc. | ||||
2.65%, 10/15/30 144A | 700,000 | 560,532 | ||
University of Chicago (The) | ||||
5.42%, 10/01/30 | 100,000 | 105,376 | ||
Valero Energy Corporation | ||||
2.85%, 04/15/25 | 600,000 | 580,433 | ||
Vanguard Group, Inc. (The) | ||||
3.05%, 08/22/50Ψ ††† | 390,000 | 283,533 | ||
Ventas Realty LP REIT | ||||
3.00%, 01/15/30 | 1,700,000 | 1,489,041 | ||
Venture Global Calcasieu Pass LLC | ||||
3.88%, 11/01/33 144A | 200,000 | 165,595 | ||
Verizon Communications, Inc. | ||||
3.00%, 03/22/27 | 70,000 | 66,545 | ||
2.10%, 03/22/28 | 290,000 | 257,822 | ||
4.33%, 09/21/28 | 2,018,000 | 2,009,107 | ||
3.88%, 02/08/29 | 660,000 | 639,165 | ||
3.15%, 03/22/30 | 1,465,000 | 1,333,501 | ||
1.75%, 01/20/31 | 250,000 | 201,040 | ||
2.55%, 03/21/31 | 1,860,000 | 1,591,894 | ||
2.36%, 03/15/32 | 3,561,000 | 2,955,622 | ||
4.50%, 08/10/33 | 520,000 | 507,691 | ||
5.25%, 03/16/37 | 530,000 | 550,011 | ||
2.65%, 11/20/40 | 840,000 | 617,605 | ||
3.40%, 03/22/41 | 80,000 | 65,267 | ||
3.85%, 11/01/42 | 40,000 | 34,182 | ||
4.13%, 08/15/46 | 890,000 | 790,928 | ||
4.86%, 08/21/46 | 290,000 | 286,081 | ||
5.50%, 03/16/47 | 40,000 | 43,163 | ||
4.00%, 03/22/50 | 160,000 | 138,635 | ||
2.88%, 11/20/50Δ | 830,000 | 590,207 | ||
2.99%, 10/30/56 | 746,000 | 519,612 | ||
Vertiv Group Corporation | ||||
4.13%, 11/15/28 144A Δ | 100,000 | 81,346 | ||
Visa, Inc. | ||||
3.15%, 12/14/25 | 510,000 | 502,882 |
Par | Value | |||
2.05%, 04/15/30 | $ 270,000 | $ 237,126 | ||
4.30%, 12/14/45 | 460,000 | 455,129 | ||
Vistra Operations Co. LLC | ||||
3.55%, 07/15/24 144A | 1,850,000 | 1,787,502 | ||
VMware, Inc. | ||||
4.65%, 05/15/27Δ | 700,000 | 697,060 | ||
3.90%, 08/21/27Δ | 500,000 | 480,370 | ||
1.80%, 08/15/28 | 225,000 | 187,081 | ||
2.20%, 08/15/31 | 600,000 | 473,084 | ||
Volkswagen Group of America Finance LLC | ||||
3.13%, 05/12/23 144A | 1,600,000 | 1,589,070 | ||
Vontier Corporation | ||||
2.40%, 04/01/28 | 700,000 | 590,264 | ||
Voya Financial, Inc. | ||||
5.70%, 07/15/43 | 170,000 | 173,584 | ||
Walmart, Inc. | ||||
1.50%, 09/22/28 | 150,000 | 131,660 | ||
1.80%, 09/22/31 | 80,000 | 67,998 | ||
5.25%, 09/01/35Δ | 55,000 | 61,165 | ||
Walt Disney Co. (The) | ||||
3.70%, 09/15/24 | 625,000 | 627,000 | ||
6.65%, 11/15/37 | 150,000 | 179,012 | ||
Waste Management, Inc. | ||||
1.15%, 03/15/28 | 250,000 | 213,267 | ||
WEA Finance LLC REIT | ||||
3.75%, 09/17/24 144A | 770,000 | 743,693 | ||
Wells Fargo & Co. | ||||
4.48%, 01/16/24 | 396,000 | 400,997 | ||
3.75%, 01/24/24 | 365,000 | 366,139 | ||
(Variable, U.S. SOFR + 2.00%), 2.19%, 04/30/26^ | 1,540,000 | 1,442,719 | ||
4.10%, 06/03/26 | 440,000 | 433,572 | ||
3.00%, 10/23/26 | 2,210,000 | 2,086,741 | ||
4.30%, 07/22/27 | 1,780,000 | 1,761,914 | ||
4.15%, 01/24/29 | 125,000 | 120,970 | ||
(Variable, U.S. SOFR + 1.43%), 2.88%, 10/30/30^ | 410,000 | 360,886 | ||
(Variable, U.S. SOFR + 4.03%), 4.48%, 04/04/31^ | 420,000 | 411,161 | ||
(Variable, U.S. SOFR + 1.50%), 3.35%, 03/02/33^ | 150,000 | 133,242 | ||
5.38%, 11/02/43 | 190,000 | 186,543 | ||
4.65%, 11/04/44Δ | 770,000 | 694,184 | ||
4.90%, 11/17/45 | 370,000 | 343,793 | ||
4.75%, 12/07/46 | 260,000 | 238,615 | ||
(Variable, U.S. SOFR + 4.50%), 5.01%, 04/04/51^ | 3,450,000 | 3,393,065 | ||
Welltower, Inc. REIT | ||||
4.25%, 04/01/26 | 898,000 | 889,477 | ||
3.10%, 01/15/30 | 65,000 | 57,628 | ||
Western Digital Corporation | ||||
2.85%, 02/01/29 | 20,000 | 16,316 | ||
3.10%, 02/01/32 | 40,000 | 30,747 | ||
Western Midstream Operating LP | ||||
(Floating, ICE LIBOR USD 3M + 1.85%), 2.62%, 01/13/23† | 80,000 | 79,606 | ||
3.60%, 02/01/25 | 220,000 | 203,111 | ||
4.50%, 03/01/28 | 60,000 | 54,398 |
Par | Value | |||
4.55%, 02/01/30 | $ 780,000 | $ 676,880 | ||
5.45%, 04/01/44 | 75,000 | 62,480 | ||
5.30%, 03/01/48 | 65,000 | 52,525 | ||
5.50%, 08/15/48 | 160,000 | 130,708 | ||
5.75%, 02/01/50 | 130,000 | 104,781 | ||
Williams Cos., Inc. (The) | ||||
3.90%, 01/15/25 | 300,000 | 296,647 | ||
7.50%, 01/15/31 | 100,000 | 115,141 | ||
7.75%, 06/15/31 | 1,005,000 | 1,180,296 | ||
8.75%, 03/15/32 | 181,000 | 226,166 | ||
5.75%, 06/24/44 | 160,000 | 159,920 | ||
Workday, Inc. | ||||
3.50%, 04/01/27 | 445,000 | 425,915 | ||
3.70%, 04/01/29Δ | 515,000 | 482,226 | ||
3.80%, 04/01/32Δ | 1,185,000 | 1,084,003 | ||
WP Carey, Inc. REIT | ||||
4.60%, 04/01/24 | 1,160,000 | 1,166,476 | ||
4.00%, 02/01/25 | 105,000 | 104,390 | ||
3.85%, 07/15/29 | 900,000 | 839,226 | ||
WR Grace Holdings LLC | ||||
4.88%, 06/15/27 144A Δ | 730,000 | 636,188 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 | 500,000 | 496,029 | ||
4.00%, 03/15/28 | 1,100,000 | 1,074,220 | ||
WW Grainger, Inc. | ||||
4.60%, 06/15/45 | 55,000 | 52,802 | ||
Xerox Holdings Corporation | ||||
5.00%, 08/15/25 144A | 1,240,000 | 1,155,252 | ||
XPO Logistics, Inc. | ||||
6.25%, 05/01/25 144A Δ | 22,000 | 21,872 | ||
Total Corporate Bonds (Cost $601,822,537) | 545,348,757 | |||
FOREIGN BONDS — 10.3% | ||||
Argentina — 0.0% | ||||
Argentine Republic Government International Bond | ||||
1.00%, 07/09/29 | 93,932 | 21,595 | ||
(Step to 0.75% on 07/09/23), 0.50%, 07/09/30 STEP | 1,614,303 | 382,886 | ||
(Step to 1.50% on 07/09/22), 1.13%, 07/09/35 STEP | 451,796 | 97,870 | ||
(Step to 3.50% on 07/09/22), 2.50%, 07/09/41 STEP | 810,000 | 218,465 | ||
720,816 | ||||
Australia — 0.2% | ||||
BHP Billiton Finance U.S.A., Ltd. | ||||
5.00%, 09/30/43 | 170,000 | 175,028 | ||
Commonwealth Bank of Australia | ||||
3.90%, 07/12/47 144A Δ | 110,000 | 97,593 | ||
Macquarie Bank, Ltd. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 1.70%), 3.05%, 03/03/36 144A ^ | 225,000 | 178,653 | ||
Macquarie Group, Ltd. | ||||
(Variable, U.S. SOFR + 1.07%), 1.34%, 01/12/27 144A ^ | 1,175,000 | 1,034,563 |
Par | Value | |||
(Variable, U.S. SOFR + 2.41%), 4.44%, 06/21/33 144A ^ | $ 650,000 | $ 601,954 | ||
Newcrest Finance Pty, Ltd. | ||||
3.25%, 05/13/30 144A | 1,575,000 | 1,393,038 | ||
Westpac Banking Corporation | ||||
(Variable, USD ICE Swap Rate 5Y + 2.24%), 4.32%, 11/23/31^ | 175,000 | 168,401 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.00%), 4.11%, 07/24/34^ | 275,000 | 251,614 | ||
3,900,844 | ||||
Austria — 0.1% | ||||
Suzano Austria GmbH | ||||
3.75%, 01/15/31 | 460,000 | 372,697 | ||
3.13%, 01/15/32Δ | 720,000 | 543,722 | ||
916,419 | ||||
Brazil — 0.1% | ||||
Brazilian Government International Bond | ||||
5.63%, 01/07/41Δ | 340,000 | 272,063 | ||
5.00%, 01/27/45 | 2,050,000 | 1,469,195 | ||
Vale Overseas, Ltd. | ||||
6.25%, 08/10/26Δ | 105,000 | 109,808 | ||
6.88%, 11/21/36 | 484,000 | 520,612 | ||
2,371,678 | ||||
Canada — 0.5% | ||||
1011778 BC ULC | ||||
4.00%, 10/15/30 144A | 446,000 | 359,358 | ||
Alimentation Couche-Tard, Inc. | ||||
3.55%, 07/26/27 144A | 75,000 | 70,006 | ||
Bank of Montreal | ||||
1.85%, 05/01/25Δ | 500,000 | 473,636 | ||
(Variable, USD Swap 5Y + 1.43%), 3.80%, 12/15/32^ | 100,000 | 92,771 | ||
Bank of Nova Scotia (The) | ||||
1.30%, 06/11/25Δ | 270,000 | 250,763 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.05%), 4.59%, 05/04/37^ | 260,000 | 239,346 | ||
Barrick Gold Corporation | ||||
5.25%, 04/01/42 | 330,000 | 325,567 | ||
Bausch Health Cos., Inc. | ||||
9.00%, 12/15/25 144A Δ | 600,000 | 444,948 | ||
Brookfield Finance, Inc. | ||||
4.85%, 03/29/29 | 30,000 | 29,743 | ||
3.50%, 03/30/51 | 800,000 | 577,069 | ||
Canadian Imperial Bank of Commerce | ||||
0.95%, 06/23/23 | 270,000 | 262,333 | ||
Canadian National Railway Co. | ||||
2.45%, 05/01/50 | 35,000 | 23,639 | ||
Canadian Pacific Railway Co. | ||||
2.45%, 12/02/31 | 400,000 | 342,661 | ||
3.00%, 12/02/41 | 30,000 | 23,520 | ||
3.10%, 12/02/51 | 370,000 | 273,162 |
Par | Value | |||
Cenovus Energy, Inc. | ||||
6.75%, 11/15/39 | $ 25,000 | $ 26,712 | ||
CGI, Inc. | ||||
1.45%, 09/14/26 | 2,300,000 | 2,032,949 | ||
Enbridge, Inc. | ||||
2.50%, 08/01/33 | 850,000 | 687,908 | ||
GFL Environmental, Inc. | ||||
3.75%, 08/01/25 144A | 1,025,000 | 952,466 | ||
Rogers Communications, Inc. | ||||
3.80%, 03/15/32 144A | 650,000 | 595,152 | ||
3.70%, 11/15/49Δ | 50,000 | 38,203 | ||
Royal Bank of Canada | ||||
1.60%, 04/17/23Δ | 430,000 | 425,376 | ||
1.15%, 06/10/25 | 260,000 | 240,885 | ||
Teck Resources, Ltd. | ||||
3.90%, 07/15/30Δ | 275,000 | 253,221 | ||
6.00%, 08/15/40 | 10,000 | 10,048 | ||
Toronto-Dominion Bank (The) | ||||
0.75%, 06/12/23 | 500,000 | 486,430 | ||
1.15%, 06/12/25 | 260,000 | 240,130 | ||
4.46%, 06/08/32 | 775,000 | 767,065 | ||
10,545,067 | ||||
Chile — 0.1% | ||||
Chile Government International Bond | ||||
2.45%, 01/31/31Δ | 1,800,000 | 1,539,283 | ||
China — 0.3% | ||||
Avolon Holdings Funding, Ltd. | ||||
3.95%, 07/01/24 144A | 1,175,000 | 1,125,864 | ||
2.88%, 02/15/25 144A | 800,000 | 736,838 | ||
2.13%, 02/21/26 144A | 2,500,000 | 2,164,344 | ||
4.25%, 04/15/26 144A | 125,000 | 115,915 | ||
Baidu, Inc. | ||||
3.43%, 04/07/30 | 400,000 | 367,829 | ||
China Government Bond | ||||
3.31%, 11/30/25(Y) | 1,000,000 | 152,606 | ||
Huarong Finance II Co., Ltd. | ||||
4.88%, 11/22/26 | 200,000 | 183,750 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A Δ | 15,000 | 15,001 | ||
4.50%, 03/15/23 144A | 20,000 | 19,933 | ||
5.50%, 02/15/24 144A | 60,000 | 59,553 | ||
Sinopec Group Overseas Development 2014, Ltd. | ||||
4.38%, 04/10/24 144A | 390,000 | 396,764 | ||
Tencent Holdings, Ltd. | ||||
3.84%, 04/22/51 144A | 910,000 | 707,586 | ||
6,045,983 | ||||
Colombia — 0.1% | ||||
Colombia Government International Bond | ||||
4.13%, 02/22/42Δ | 650,000 | 405,487 | ||
5.63%, 02/26/44 | 1,080,000 | 779,687 | ||
Ecopetrol SA | ||||
5.88%, 05/28/45Δ | 1,160,000 | 791,700 | ||
1,976,874 |
Par | Value | |||
Denmark — 0.2% | ||||
Danske Bank A/S | ||||
5.38%, 01/12/24 144A | $ 340,000 | $ 343,284 | ||
1.23%, 06/22/24 144A | 280,000 | 263,666 | ||
(Variable, ICE LIBOR USD 3M + 1.59%), 3.24%, 12/20/25 144A ^ | 220,000 | 209,844 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.35%), 1.62%, 09/11/26 144A ^ | 1,800,000 | 1,612,859 | ||
Jyske Realkredit A/S | ||||
1.50%, 10/01/53(D) Ψ ††† | 9,967,165 | 1,098,967 | ||
Realkredit Danmark A/S | ||||
1.50%, 10/01/53(D) Ψ ††† | 5,935,154 | 688,883 | ||
4,217,503 | ||||
Dominican Republic — 0.0% | ||||
Dominican Republic International Bond | ||||
6.40%, 06/05/49 144A | 170,000 | 127,421 | ||
Finland — 0.0% | ||||
Nokia OYJ | ||||
4.38%, 06/12/27 | 9,000 | 8,515 | ||
France — 0.8% | ||||
Altice France SA | ||||
5.50%, 10/15/29 144A Δ | 250,000 | 191,746 | ||
BNP Paribas SA | ||||
3.50%, 03/01/23 144A | 925,000 | 922,937 | ||
(Variable, USD Swap 5Y + 4.15%), 6.63%, 03/25/24 144A ρ ^ | 200,000 | 192,500 | ||
3.38%, 01/09/25 144A | 450,000 | 440,019 | ||
(Variable, ICE LIBOR USD 3M + 2.24%), 4.71%, 01/10/25 144A ^ | 450,000 | 450,121 | ||
(Variable, U.S. SOFR + 2.07%), 2.22%, 06/09/26 144A ^ | 1,790,000 | 1,654,945 | ||
(Variable, U.S. SOFR + 1.00%), 1.32%, 01/13/27 144A ^ | 775,000 | 685,867 | ||
4.40%, 08/14/28 144A | 1,040,000 | 996,169 | ||
(Variable, U.S. SOFR + 1.61%), 1.90%, 09/30/28 144A ^ | 1,800,000 | 1,539,750 | ||
(Variable, USD Swap 5Y + 1.48%), 4.38%, 03/01/33 144A ^ | 440,000 | 408,522 | ||
BPCE SA | ||||
4.00%, 09/12/23 144A | 750,000 | 749,645 | ||
4.63%, 09/12/28 144A | 375,000 | 363,280 | ||
(Variable, U.S. SOFR + 1.31%), 2.28%, 01/20/32 144A ^ | 375,000 | 297,027 | ||
(Variable, U.S. SOFR + 1.73%), 3.12%, 10/19/32 144A ^ | 875,000 | 706,005 | ||
Credit Agricole SA | ||||
(Variable, USD Swap 5Y + 4.32%), 6.88%, 09/23/24 144A ρ ^ | 300,000 | 289,796 | ||
4.38%, 03/17/25 | 275,000 | 270,747 |
Par | Value | |||
(Variable, U.S. SOFR + 1.68%), 1.91%, 06/16/26 144A ^ | $2,025,000 | $ 1,865,087 | ||
4.13%, 01/10/27 144A Δ | 450,000 | 438,287 | ||
(Variable, USD Swap 5Y + 1.64%), 4.00%, 01/10/33 144A ^ | 250,000 | 228,600 | ||
Danone SA | ||||
2.59%, 11/02/23 144A | 650,000 | 642,748 | ||
2.95%, 11/02/26 144A | 310,000 | 297,689 | ||
Societe Generale SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.49%, 12/14/26 144A ^ | 1,700,000 | 1,502,094 | ||
15,133,581 | ||||
Germany — 0.4% | ||||
Commerzbank AG | ||||
(Variable, 6.36% - EUR Swap Rate 5Y), 6.13%, 10/09/25(E) ρ ^ | 400,000 | 379,964 | ||
Deutsche Bank AG | ||||
(Variable, U.S. SOFR + 2.16%), 2.22%, 09/18/24^ | 2,100,000 | 2,025,933 | ||
4.10%, 01/13/26 | 65,000 | 64,303 | ||
(Variable, 1.85% - Euribor 3M), 1.38%, 09/03/26(E) ^ | 1,500,000 | 1,462,420 | ||
(Variable, U.S. SOFR + 1.87%), 2.13%, 11/24/26^ | 450,000 | 400,235 | ||
(Variable, 2.05% - Euribor 3M), 1.75%, 11/19/30(E) ^ | 900,000 | 778,929 | ||
(Variable, 2.05% - Euribor 3M), 1.75%, 11/19/30(E) ^ | 800,000 | 692,381 | ||
(Variable, U.S. SOFR + 1.72%), 3.04%, 05/28/32^ | 560,000 | 443,669 | ||
Volkswagen Bank GmbH | ||||
1.88%, 01/31/24(E) | 1,100,000 | 1,146,115 | ||
7,393,949 | ||||
Hong Kong — 0.0% | ||||
AIA Group, Ltd. | ||||
3.90%, 04/06/28 144A Δ | 200,000 | 198,436 | ||
Hungary — 0.0% | ||||
Hungary Government International Bond | ||||
5.50%, 06/16/34 144A | 330,000 | 320,836 | ||
Indonesia — 0.1% | ||||
Indonesia Government International Bond | ||||
3.05%, 03/12/51Δ | 700,000 | 537,238 | ||
3.35%, 03/12/71 | 240,000 | 170,399 | ||
Perusahaan Penerbit SBSN Indonesia III | ||||
2.55%, 06/09/31 144A | 590,000 | 502,828 | ||
1,210,465 | ||||
Ireland — 0.4% | ||||
AerCap Ireland Capital DAC | ||||
3.30%, 01/23/23 | 525,000 | 523,028 | ||
4.88%, 01/16/24 | 350,000 | 348,380 |
Par | Value | |||
3.15%, 02/15/24 | $ 330,000 | $ 319,573 | ||
6.50%, 07/15/25 | 290,000 | 297,144 | ||
2.45%, 10/29/26 | 1,160,000 | 1,010,894 | ||
3.00%, 10/29/28 | 1,480,000 | 1,248,031 | ||
3.30%, 01/30/32 | 1,375,000 | 1,102,092 | ||
AIB Group PLC | ||||
4.75%, 10/12/23 144A | 950,000 | 951,181 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
4.42%, 11/15/35 | 250,000 | 233,818 | ||
SMBC Aviation Capital Finance DAC | ||||
4.13%, 07/15/23 144A | 900,000 | 892,770 | ||
STERIS Irish FinCo Unlimited Co. | ||||
2.70%, 03/15/31 | 843,000 | 709,688 | ||
7,636,599 | ||||
Isle of Man — 0.0% | ||||
Sasol Financing International, Ltd. | ||||
4.50%, 11/14/22 | 370,000 | 368,372 | ||
Israel — 0.6% | ||||
Bank of Israel Bill - Makam | ||||
0.00%, 09/07/22(ZC) » | 5,700,000 | 1,634,143 | ||
0.00%, 10/07/22(ZC) » | 15,800,000 | 4,524,754 | ||
0.73%, 04/05/23(ZC) Ω | 6,600,000 | 1,879,884 | ||
Israel Government International Bond | ||||
3.25%, 01/17/28 | 1,500,000 | 1,464,375 | ||
2.75%, 07/03/30 | 2,060,000 | 1,912,945 | ||
3.38%, 01/15/50 | 430,000 | 348,632 | ||
11,764,733 | ||||
Italy — 0.3% | ||||
Intesa Sanpaolo SpA | ||||
3.13%, 07/14/22 144A | 580,000 | 580,032 | ||
3.38%, 01/12/23 144A | 220,000 | 219,080 | ||
5.02%, 06/26/24 144A | 1,310,000 | 1,251,184 | ||
3.25%, 09/23/24 144A | 1,400,000 | 1,356,521 | ||
5.71%, 01/15/26 144A | 200,000 | 190,836 | ||
UniCredit SpA | ||||
7.83%, 12/04/23 144A | 3,100,000 | 3,211,347 | ||
6,809,000 | ||||
Japan — 0.9% | ||||
Japan Finance Organization for Municipalities | ||||
2.13%, 10/25/23 144A | 2,200,000 | 2,175,587 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
1.41%, 07/17/25 | 2,100,000 | 1,931,051 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.13%), 3.84%, 04/17/26^ | 270,000 | 266,542 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.30%), 4.08%, 04/19/28Δ ^ | 270,000 | 263,258 | ||
4.29%, 07/26/38 | 30,000 | 27,931 | ||
Mizuho Financial Group, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 0.83%), 2.23%, 05/25/26^ | 1,600,000 | 1,497,032 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.25%), 3.26%, 05/22/30^ | $ 2,100,000 | $ 1,884,492 | ||
Nissan Motor Co., Ltd. | ||||
3.04%, 09/15/23 144A | 330,000 | 324,635 | ||
3.52%, 09/17/25 144A | 3,210,000 | 3,041,964 | ||
4.35%, 09/17/27 144A | 770,000 | 707,428 | ||
Nomura Holdings, Inc. | ||||
2.61%, 07/14/31 | 270,000 | 215,624 | ||
Panasonic Holdings Corporation | ||||
2.54%, 07/19/22 144A | 1,302,000 | 1,301,895 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
4.44%, 04/02/24 144A | 2,375,000 | 2,377,846 | ||
1.90%, 09/17/28 | 2,300,000 | 1,951,584 | ||
Takeda Pharmaceutical Co., Ltd. | ||||
2.05%, 03/31/30 | 700,000 | 586,165 | ||
18,553,034 | ||||
Jersey — 0.0% | ||||
Galaxy Pipeline Assets Bidco, Ltd. | ||||
2.94%, 09/30/40 | 923,654 | 755,760 | ||
Kazakhstan — 0.0% | ||||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 200,000 | 176,855 | ||
Luxembourg — 0.0% | ||||
ArcelorMittal SA | ||||
7.00%, 10/15/39Δ | 70,000 | 70,747 | ||
Mexico — 1.0% | ||||
Mexican Bonos | ||||
7.75%, 11/23/34(M) | 15,250,000 | 684,872 | ||
7.75%, 11/13/42(M) | 245,995,200 | 10,702,586 | ||
8.00%, 11/07/47(M) | 55,770,000 | 2,475,353 | ||
Mexico City Airport Trust | ||||
3.88%, 04/30/28 144A | 360,000 | 309,816 | ||
5.50%, 07/31/47 | 200,000 | 137,734 | ||
Mexico Government International Bond | ||||
2.66%, 05/24/31 | 760,000 | 627,364 | ||
4.75%, 04/27/32Δ | 2,300,000 | 2,210,741 | ||
3.50%, 02/12/34 | 2,011,000 | 1,666,092 | ||
4.28%, 08/14/41 | 200,000 | 158,567 | ||
3.77%, 05/24/61Δ | 702,000 | 457,256 | ||
Orbia Advance Corporation SAB de CV | ||||
1.88%, 05/11/26 144A | 350,000 | 312,963 | ||
2.88%, 05/11/31 144A | 520,000 | 418,314 | ||
Petroleos Mexicanos | ||||
6.88%, 08/04/26 | 200,000 | 180,607 | ||
6.63%, 06/15/35 | 19,000 | 13,016 | ||
6.38%, 01/23/45 | 370,000 | 224,910 | ||
20,580,191 | ||||
Netherlands — 1.0% | ||||
ABN AMRO Bank NV | ||||
4.75%, 07/28/25 144A | 200,000 | 199,213 |
Par | Value | |||
(Variable, 4.67% - EUR Swap Rate 5Y), 4.38%, 09/22/25(E) ρ ^ | $ 400,000 | $ 372,477 | ||
Cooperatieve Rabobank UA | ||||
4.38%, 08/04/25 | 670,000 | 665,387 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 1.34%, 06/24/26 144A ^ | 810,000 | 739,646 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.22%), 3.65%, 04/06/28 144A Δ ^ | 280,000 | 266,183 | ||
Deutsche Telekom International Finance BV | ||||
8.75%, 06/15/30 | 35,000 | 43,190 | ||
Enel Finance International NV | ||||
1.88%, 07/12/28 144A | 1,150,000 | 965,321 | ||
5.00%, 06/15/32 144A | 1,200,000 | 1,159,855 | ||
2.88%, 07/12/41 144A | 2,300,000 | 1,552,416 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 520,000 | 510,922 | ||
ING Groep NV | ||||
4.63%, 01/06/26 144A | 1,600,000 | 1,599,205 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.40%, 07/01/26 144A ^ | 1,000,000 | 909,391 | ||
JDE Peet's NV | ||||
1.38%, 01/15/27 144A | 475,000 | 408,938 | ||
Lundin Energy Finance BV | ||||
2.00%, 07/15/26 144A | 650,000 | 581,438 | ||
NXP BV | ||||
2.70%, 05/01/25 | 1,870,000 | 1,779,573 | ||
3.88%, 06/18/26Δ | 1,500,000 | 1,446,864 | ||
3.40%, 05/01/30 | 250,000 | 220,778 | ||
2.50%, 05/11/31 | 1,200,000 | 987,743 | ||
Petrobras Global Finance BV | ||||
6.00%, 01/27/28Δ | 1,290,000 | 1,284,472 | ||
6.85%, 06/05/15π Δ | 550,000 | 452,944 | ||
Prosus NV | ||||
3.68%, 01/21/30 144A | 200,000 | 159,513 | ||
3.06%, 07/13/31 144A | 1,120,000 | 825,662 | ||
4.03%, 08/03/50 144A | 220,000 | 136,968 | ||
3.83%, 02/08/51 144A | 420,000 | 253,707 | ||
Shell International Finance BV | ||||
2.88%, 05/10/26 | 360,000 | 348,210 | ||
2.38%, 11/07/29 | 35,000 | 30,932 | ||
4.13%, 05/11/35 | 60,000 | 57,231 | ||
4.55%, 08/12/43 | 120,000 | 114,100 | ||
4.38%, 05/11/45 | 660,000 | 615,191 | ||
4.00%, 05/10/46 | 330,000 | 294,657 | ||
3.25%, 04/06/50Δ | 310,000 | 245,027 | ||
Syngenta Finance NV | ||||
5.18%, 04/24/28 144A | 200,000 | 202,652 | ||
19,429,806 |
Par | Value | |||
New Zealand — 0.0% | ||||
ASB Bank, Ltd. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.25%), 5.28%, 06/17/32 144A ^ | $ 600,000 | $ 594,284 | ||
Nigeria — 0.1% | ||||
Nigeria Government International Bond | ||||
7.14%, 02/23/30 | 690,000 | 489,555 | ||
7.88%, 02/16/32 | 520,000 | 363,610 | ||
853,165 | ||||
Norway — 0.0% | ||||
Equinor ASA | ||||
1.75%, 01/22/26 | 65,000 | 60,637 | ||
Panama — 0.1% | ||||
Panama Government International Bond | ||||
2.25%, 09/29/32 | 890,000 | 696,120 | ||
4.50%, 04/16/50 | 250,000 | 204,060 | ||
900,180 | ||||
Paraguay — 0.0% | ||||
Paraguay Government International Bond | ||||
3.85%, 06/28/33 144A | 240,000 | 196,229 | ||
Peru — 0.2% | ||||
Peruvian Government International Bond | ||||
8.20%, 08/12/26 | 7,000,000 | 1,913,908 | ||
6.35%, 08/12/28(ZB) | 6,100,000 | 1,503,586 | ||
2.78%, 01/23/31 | 320,000 | 272,848 | ||
5.63%, 11/18/50Δ | 330,000 | 342,806 | ||
2.78%, 12/01/60Δ | 10,000 | 6,215 | ||
3.23%, 07/28/21~ Δ | 50,000 | 30,800 | ||
4,070,163 | ||||
Poland — 0.1% | ||||
Republic of Poland Government International Bond | ||||
4.00%, 01/22/24 | 1,080,000 | 1,081,667 | ||
Qatar — 0.1% | ||||
Qatar Energy | ||||
3.13%, 07/12/41 144A | 200,000 | 157,342 | ||
3.30%, 07/12/51 144A | 200,000 | 154,923 | ||
Qatar Government International Bond | ||||
3.38%, 03/14/24 144A | 560,000 | 558,686 | ||
5.10%, 04/23/48Δ | 1,000,000 | 1,049,765 | ||
1,920,716 | ||||
Romania — 0.2% | ||||
Romanian Government International Bond | ||||
3.00%, 02/27/27 144A | 2,670,000 | 2,360,558 | ||
3.62%, 05/26/30(E) 144A Δ | 510,000 | 438,160 | ||
3.00%, 02/14/31 144A | 130,000 | 100,517 | ||
2.00%, 01/28/32(E) 144A | 70,000 | 50,234 |
Par | Value | |||
2.00%, 04/14/33(E) | $ 2,400,000 | $1,637,061 | ||
3.38%, 01/28/50(E) 144A | 60,000 | 37,583 | ||
3.38%, 01/28/50(E) | 70,000 | 43,847 | ||
4,667,960 | ||||
Russia — 0.1% | ||||
Russian Federal Bond - OFZ | ||||
7.00%, 08/16/23(Q) Ψ ††† | 52,440,000 | 85,811 | ||
7.75%, 09/16/26(Q) Ψ ††† | 9,710,000 | 15,889 | ||
8.15%, 02/03/27(Q) Ψ ††† | 87,410,000 | 143,035 | ||
7.05%, 01/19/28(Q) Ψ ††† | 110,471,000 | 180,771 | ||
6.90%, 05/23/29(Q) Ψ ††† | 455,677,000 | 745,653 | ||
7.25%, 05/10/34(Q) Ψ ††† | 48,570,000 | 79,478 | ||
7.70%, 03/16/39(Q) Ψ ††† | 135,260,000 | 221,334 | ||
1,471,971 | ||||
Saudi Arabia — 0.1% | ||||
Saudi Arabian Oil Co. | ||||
3.50%, 04/16/29 | 1,130,000 | 1,080,053 | ||
Singapore — 0.0% | ||||
Greenko Power II, Ltd. | ||||
4.30%, 12/13/28 144A Δ | 195,500 | 156,644 | ||
South Africa — 0.1% | ||||
Republic of South Africa Government International Bond | ||||
4.30%, 10/12/28 | 280,000 | 239,882 | ||
5.88%, 04/20/32 | 360,000 | 308,203 | ||
7.30%, 04/20/52 | 370,000 | 296,814 | ||
844,899 | ||||
South Korea — 0.0% | ||||
Korea Development Bank (The) | ||||
2.00%, 02/24/25Δ | 220,000 | 211,390 | ||
Spain — 0.2% | ||||
Banco Santander SA | ||||
3.85%, 04/12/23 | 400,000 | 399,808 | ||
2.75%, 05/28/25 | 2,200,000 | 2,086,254 | ||
3.31%, 06/27/29 | 400,000 | 363,557 | ||
2.75%, 12/03/30 | 200,000 | 159,049 | ||
Cellnex Finance Co. SA | ||||
1.25%, 01/15/29(E) | 500,000 | 391,467 | ||
Telefonica Emisiones SA | ||||
5.21%, 03/08/47 | 400,000 | 355,322 | ||
3,755,457 | ||||
Supranational — 0.1% | ||||
African Export-Import Bank (The) | ||||
3.80%, 05/17/31 144A | 250,000 | 205,775 | ||
Asian Development Bank | ||||
6.55%, 01/26/25(S) | 34,000,000 | 2,029,588 | ||
2,235,363 |
Par | Value | |||
Sweden — 0.0% | ||||
Samhallsbyggnadsbolaget i Norden AB | ||||
(Variable, 3.23% - EUR Swap Rate 5Y), 2.63%, 12/14/25(E) ρ Δ ^ | $ 565,000 | $ 193,466 | ||
Swedbank AB | ||||
1.30%, 06/02/23 144A | 330,000 | 323,125 | ||
516,591 | ||||
Switzerland — 0.6% | ||||
Credit Suisse AG | ||||
6.50%, 08/08/23 144A | 225,000 | 225,563 | ||
2.95%, 04/09/25 | 665,000 | 637,354 | ||
Credit Suisse Group AG | ||||
(Variable, ICE LIBOR USD 3M + 1.24%), 4.21%, 06/12/24 144A ^ | 2,100,000 | 2,081,729 | ||
(Variable, U.S. SOFR + 1.56%), 2.59%, 09/11/25 144A ^ | 250,000 | 235,474 | ||
(Variable, USD ICE Swap Rate 5Y + 4.33%), 7.25%, 09/12/25 144A ρ Δ ^ | 400,000 | 347,600 | ||
4.55%, 04/17/26 | 1,140,000 | 1,116,244 | ||
(Variable, U.S. SOFR + 2.04%), 2.19%, 06/05/26 144A ^ | 610,000 | 553,699 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 6.38%), 9.75%, 06/23/27 144A ρ ^ | 1,270,000 | 1,300,162 | ||
4.28%, 01/09/28 144A | 1,800,000 | 1,682,153 | ||
(Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 425,000 | 382,310 | ||
(Variable, U.S. SOFR + 3.73%), 4.19%, 04/01/31 144A ^ | 630,000 | 558,041 | ||
(Variable, U.S. SOFR + 1.73%), 3.09%, 05/14/32 144A ^ | 755,000 | 601,626 | ||
UBS AG | ||||
4.50%, 06/26/48 144A | 280,000 | 266,140 | ||
UBS Group AG | ||||
(Variable, ICE LIBOR USD 3M + 0.95%), 2.86%, 08/15/23 144A ^ | 200,000 | 199,943 | ||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | 840,000 | 820,363 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.55%), 4.49%, 05/12/26 144A ^ | 270,000 | 269,340 | ||
4.25%, 03/23/28 144A | 760,000 | 737,993 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 2.75%, 02/11/33 144A ^ | 395,000 | 321,821 | ||
12,337,555 | ||||
Taiwan — 0.0% | ||||
TSMC Global, Ltd. | ||||
2.25%, 04/23/31 144A | 200,000 | 169,139 |
Par | Value | |||
Turkey — 0.0% | ||||
Turkey Government International Bond | ||||
5.25%, 03/13/30 | $ 200,000 | $ 143,379 | ||
5.88%, 06/26/31 | 200,000 | 143,976 | ||
287,355 | ||||
United Arab Emirates — 0.1% | ||||
Abu Dhabi Government International Bond | ||||
2.50%, 10/11/22 144A | 410,000 | 410,180 | ||
3.13%, 04/16/30 144A | 1,500,000 | 1,426,053 | ||
3.88%, 04/16/50 144A | 260,000 | 231,615 | ||
DP World, Ltd. | ||||
5.63%, 09/25/48 144A | 620,000 | 582,648 | ||
2,650,496 | ||||
United Kingdom — 1.1% | ||||
Anglo American Capital PLC | ||||
3.63%, 09/11/24 144A | 700,000 | 687,059 | ||
4.00%, 09/11/27 144A | 220,000 | 209,356 | ||
Barclays Bank PLC | ||||
7.63%, 11/21/22 | 415,000 | 419,168 | ||
Barclays PLC | ||||
(Variable, U.S. SOFR + 2.71%), 2.85%, 05/07/26^ | 800,000 | 756,536 | ||
(Variable, ICE LIBOR USD 3M + 1.90%), 4.97%, 05/16/29^ | 1,760,000 | 1,731,424 | ||
(Variable, ICE LIBOR USD 3M + 3.05%), 5.09%, 06/20/30^ | 1,450,000 | 1,370,011 | ||
British Telecommunications PLC | ||||
9.63%, 12/15/30 | 45,000 | 56,053 | ||
CK Hutchison International 21, Ltd. | ||||
2.50%, 04/15/31 144A | 200,000 | 173,602 | ||
CSL Finance PLC | ||||
3.85%, 04/27/27 144A | 150,000 | 148,708 | ||
4.25%, 04/27/32 144A | 460,000 | 450,294 | ||
Hammerson PLC REIT | ||||
3.50%, 10/27/25(U) | 100,000 | 106,076 | ||
HSBC Holdings PLC | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 2.46%, 05/18/24† | 300,000 | 297,644 | ||
(Variable, ICE LIBOR USD 3M + 1.21%), 3.80%, 03/11/25^ | 625,000 | 616,766 | ||
4.25%, 08/18/25 | 220,000 | 217,234 | ||
(Variable, U.S. SOFR + 1.54%), 1.65%, 04/18/26^ | 1,050,000 | 963,267 | ||
(Variable, U.S. SOFR + 1.93%), 2.10%, 06/04/26^ | 370,000 | 342,240 | ||
(Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29Δ ^ | 310,000 | 299,150 | ||
4.95%, 03/31/30 | 200,000 | 197,782 | ||
(Variable, U.S. SOFR + 1.41%), 2.87%, 11/22/32Δ ^ | 330,000 | 270,365 | ||
(Variable, U.S. SOFR + 2.53%), 4.76%, 03/29/33^ | 580,000 | 535,571 | ||
6.50%, 09/15/37 | 120,000 | 128,243 |
Par | Value | |||
Lloyds Bank PLC | ||||
0.00%, 04/02/32 STEP | $2,000,000 | $ 1,286,847 | ||
Lloyds Banking Group PLC | ||||
3.90%, 03/12/24 | 210,000 | 208,874 | ||
4.38%, 03/22/28 | 2,400,000 | 2,334,273 | ||
4.55%, 08/16/28 | 230,000 | 224,975 | ||
NatWest Group PLC | ||||
3.88%, 09/12/23 | 579,000 | 577,463 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.52%, 06/25/24^ | 2,205,000 | 2,200,450 | ||
(Variable, ICE LIBOR USD 3M + 1.76%), 4.27%, 03/22/25^ | 1,215,000 | 1,203,556 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.10%), 3.75%, 11/01/29^ | 200,000 | 192,245 | ||
Royalty Pharma PLC | ||||
1.20%, 09/02/25 | 1,700,000 | 1,517,357 | ||
Santander UK Group Holdings PLC | ||||
(Variable, U.S. SOFR + 1.48%), 2.90%, 03/15/32^ | 1,200,000 | 996,673 | ||
Society of Lloyd's | ||||
4.75%, 10/30/24(U) | 100,000 | 121,055 | ||
Virgin Media Secured Finance PLC | ||||
5.50%, 05/15/29 144A | 210,000 | 188,188 | ||
Vmed O2 UK Financing I PLC | ||||
4.25%, 01/31/31 144A | 400,000 | 322,654 | ||
4.75%, 07/15/31 144A | 220,000 | 178,200 | ||
Vodafone Group PLC | ||||
4.38%, 05/30/28 | 340,000 | 338,752 | ||
6.15%, 02/27/37 | 10,000 | 10,809 | ||
21,878,920 | ||||
Uruguay — 0.0% | ||||
Uruguay Government International Bond | ||||
4.38%, 01/23/31Δ | 200,000 | 202,562 | ||
Total Foreign Bonds (Cost $244,306,379) | 204,916,163 | |||
LOAN AGREEMENTS — 0.7% | ||||
1011778 B.C. Unlimited Liability Co. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 3.42%, 11/19/26† | 117,300 | 112,315 | ||
Ali Group S.R.L. Term Loan B | ||||
0.00%, 10/13/28† Σ | 150,000 | 143,850 | ||
APi Group DE, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.17%, 10/01/26† | 216,061 | 208,229 | ||
Ascend Performance Materials Operations LLC 2021 Refinancing Term Loan | ||||
0.00%, 08/27/26† Σ | 598,481 | 585,015 | ||
Asurion LLC New B-7 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 4.67%, 11/03/24† | 261,792 | 246,216 | ||
Asurion LLC New B-9 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 4.92%, 07/31/27† | 237,600 | 215,622 |
Par | Value | |||
athenahealth Group, Inc. Initial DDTL | ||||
0.00%, 02/15/29† ≈ | $152,174 | $140,571 | ||
athenahealth Group, Inc. Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.50%, 0.50% Floor), 5.01%, 02/15/29† | 897,826 | 829,371 | ||
Avolon TLB Borrower 1 LLC Term B-5 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.50% Floor), 3.85%, 12/01/27† | 177,750 | 169,363 | ||
BCPE Empire Holdings, Inc. Amendment No.3 Term Loan | ||||
0.00%, 06/11/26† Σ | 500,000 | 471,250 | ||
Brookfield WEC Holdings, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 0.50% Floor), 4.42%, 08/01/25† | 138,250 | 131,086 | ||
Brown Group Holdings LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 0.50% Floor), 4.17%, 06/07/28† | 318,288 | 302,672 | ||
Brown Group Holdings LLC Term Loan B2 | ||||
0.00%, 06/08/29† Σ | 600,000 | 577,248 | ||
Castlelake Aviation One Designated Activity Co. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 0.50% Floor), 4.58%, 10/22/26† | 138,102 | 132,354 | ||
Charter Communications Operating LLC Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 3.42%, 04/30/25† | 151,904 | 148,375 | ||
Charter Communications Operating LLC Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 3.42%, 02/01/27† | 128,030 | 122,383 | ||
Clarios Global LP Amendment No. 1 Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 4.92%, 04/30/26† | 608,332 | 569,551 | ||
Cloudera, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%, 0.50% Floor), 5.42%, 10/08/28† | 219,450 | 202,626 | ||
CSC Holdings LLC October 2018 Incremental Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 3.57%, 01/15/26† | 128,670 | 120,066 | ||
DCert Buyer, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.00%), 5.67%, 10/16/26† | 431,200 | 413,335 | ||
DCG Acquisition Corporation Term Loan B | ||||
0.00%, 09/30/26† Σ | 299,242 | 281,288 |
Par | Value | |||
Del Monte Foods, Inc. Initial Term Loan | ||||
0.00%, 05/16/29† Σ | $600,000 | $567,000 | ||
Delta Topco, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.75%, 0.75% Floor), 5.84%, 12/01/27† | 385,277 | 349,882 | ||
Energizer Holdings, Inc. 2020 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.50% Floor), 3.88%, 12/22/27† | 138,250 | 131,597 | ||
EyeCare Partners LLC Amendment No. 1 Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.75%, 0.50% Floor), 6.00%, 11/15/28† | 600,000 | 554,751 | ||
EyeCare Partners LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.75%), 6.00%, 02/18/27† | 402,413 | 373,365 | ||
First Brands Group LLC 2021 Term Loan | ||||
0.00%, 03/30/27† Σ | 598,485 | 570,954 | ||
Focus Financial Partners LLC Tranche B-3 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 3.67%, 07/03/24† | 85,402 | 82,224 | ||
Four Seasons Holdings, Inc. Term Loan 2013 | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 3.67%, 11/30/23† | 96,119 | 95,298 | ||
Froneri International Limited Facility B2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 3.92%, 01/29/27† | 265,275 | 244,828 | ||
Genesee & Wyoming Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 4.25%, 12/30/26† | 58,800 | 56,628 | ||
Global Medical Response, Inc. 2021 Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.25%, 1.00% Floor), 5.25%, 10/02/25† | 598,366 | 558,165 | ||
Hilton Worldwide Finance LLC Refinanced Series B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 3.37%, 06/22/26† | 68,355 | 65,874 | ||
Hudson River Trading LLC Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.00%), 4.64%, 03/20/28† | 326,700 | 306,730 | ||
iHeartCommunications, Inc. New Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 4.67%, 05/01/26† | 167,519 | 156,072 |
Par | Value | |||
II-VI, Inc. Term Loan B | ||||
0.00%, 12/08/28† Σ | $520,000 | $499,850 | ||
INEOS Styrolution Group GmbH 2026 Tranche B Dollar Term Loan | �� | |||
(Floating, ICE LIBOR USD 1M + 2.75%, 0.50% Floor), 4.42%, 01/29/26† | 78,551 | 74,353 | ||
Jane Street Group LLC Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 4.42%, 01/26/28† | 43,944 | 42,362 | ||
Level 3 Financing, Inc. Tranche B 2027 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 3.42%, 03/01/27† | 227,945 | 211,800 | ||
LifePoint Health, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 5.42%, 11/16/25† | 57,463 | 53,778 | ||
New Trojan Parent, Inc. Initial Term Loan | ||||
0.00%, 01/06/28† Σ | 498,741 | 448,036 | ||
Nexstar Media, Inc. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.17%, 09/18/26† | 282,063 | 278,791 | ||
PECF USS Intermediate Holding III Corporation Initial Term Loan | ||||
0.00%, 12/15/28† Σ | 398,998 | 361,508 | ||
Pelican Products, Inc. Initial Term Loan | ||||
0.00%, 12/29/28† Σ | 99,749 | 93,266 | ||
Rackspace Technology Global, Inc. 2021 Term B Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 0.75% Floor), 3.50%, 02/15/28† | 158,200 | 144,654 | ||
Setanta Aircraft Leasing DAC Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 4.25%, 11/05/28† | 680,000 | 648,836 | ||
TransDigm, Inc. Tranche F Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 3.92%, 12/09/25† | 39,495 | 37,553 | ||
UFC Holdings LLC Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 0.75% Floor), 3.50%, 04/29/26† | 347,268 | 324,522 | ||
Univision Communications, Inc. 2021 Replacement Converted First-Lien Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 0.75% Floor), 4.92%, 03/15/26† | 109,148 | 103,327 | ||
Verscend Holding Corporation Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.00%), 5.67%, 08/27/25† | 206,931 | 198,654 |
Par | Value | |||
VFH Parent LLC Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.00%, 0.50% Floor), 4.43%, 01/13/29† | $ 280,000 | $ 266,118 | ||
Total Loan Agreements (Cost $14,646,743) | 14,023,562 | |||
MORTGAGE-BACKED SECURITIES — 34.4% | ||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.88%, 0.88% Floor), 2.07%, 09/15/34 144A † | 1,200,000 | 1,178,390 | ||
Alameda Corridor Transportation Authority Senior Lien, Series 2022-B | ||||
5.40%, 10/01/46 | 1,250,000 | 1,250,000 | ||
Alba PLC, Series 2007-1, Class A3 | ||||
(Floating, SONIA Interest Rate + 0.29%), 1.06%, 03/17/39(U) † | 505,978 | 584,953 | ||
Alternative Loan Trust, Series 2006-OA11, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.38%, 0.38% Floor), 2.00%, 09/25/46† | 181,325 | 172,734 | ||
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A5 | ||||
2.76%, 05/15/53 144A | 1,300,000 | 1,161,366 | ||
AREIT LLC, Series 2022-CRE7, Class A | ||||
(Floating, CME Term SOFR 1M + 2.24%, 2.24% Floor), 3.24%, 06/17/39 144A † | 1,440,000 | 1,432,230 | ||
AREIT Trust, Series 2020-CRE4, Class A | ||||
(Floating, U.S. 30-Day Average SOFR + 2.73%, 2.62% Floor), 3.51%, 04/15/37 144A † | 97,399 | 96,581 | ||
AREIT Trust, Series 2021-CRE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 2.60%, 11/17/38 144A † | 2,646,380 | 2,562,628 | ||
BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 2.37%, 09/15/38 144A † | 2,300,000 | 2,228,141 | ||
Banc of America Funding Trust, Series 2005-D, Class A1 | ||||
2.97%, 05/25/35† γ | 217,650 | 213,547 | ||
Banc of America Mortgage Trust, Series 2004-F, Class 1A1 | ||||
3.54%, 07/25/34† γ | 24,564 | 23,500 | ||
BANK, Series 2017-BNK9, Class XA | ||||
0.91%, 11/15/54† IO γ | 9,503,927 | 311,426 |
Par | Value | |||
BANK, Series 2018-BNK14, Class D | ||||
3.00%, 09/15/60 144A | $ 250,000 | $ 186,611 | ||
BANK, Series 2019-BNK19, Class D | ||||
3.00%, 08/15/61 144A | 100,000 | 72,467 | ||
BANK, Series 2021-BN32, Class C | ||||
3.37%, 04/15/54† γ | 300,000 | 248,045 | ||
BANK, Series 2022-BNK40, Class A4 | ||||
3.51%, 03/15/64† γ | 2,100,000 | 1,962,099 | ||
BBCCRE Trust, Series 2015-GTP, Class A | ||||
3.97%, 08/10/33 144A | 1,600,000 | 1,548,977 | ||
BBCCRE Trust, Series 2015-GTP, Class D | ||||
4.71%, 08/10/33 144A † γ | 390,000 | 356,650 | ||
BBCMS Mortgage Trust, Series 2017-C1, Class D | ||||
3.66%, 02/15/50 144A † γ | 200,000 | 159,565 | ||
BBCMS Mortgage Trust, Series 2018-C2, Class A5 | ||||
4.31%, 12/15/51 | 1,700,000 | 1,702,886 | ||
BBCMS Mortgage Trust, Series 2020-C6, Class ASB | ||||
2.60%, 02/15/53 | 1,800,000 | 1,674,403 | ||
BBCMS Mortgage Trust, Series 2021-C9, Class A5 | ||||
2.30%, 02/15/54 | 600,000 | 514,190 | ||
Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2 | ||||
2.75%, 05/25/35† γ | 78,700 | 75,848 | ||
Bear Stearns ARM Trust, Series 2002-11, Class 1A1 | ||||
2.55%, 02/25/33† γ | 4,057 | 3,988 | ||
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1 | ||||
3.49%, 01/26/36† γ | 251,874 | 200,497 | ||
Bellemeade Re, Ltd., Series 2021-2A, Class M1B | ||||
(Floating, U.S. 30-Day Average SOFR + 1.50%, 1.50% Floor), 2.43%, 06/25/31 144A † | 310,000 | 298,187 | ||
Benchmark Mortgage Trust, Series 2019-B9, Class A5 | ||||
4.02%, 03/15/52 | 1,800,000 | 1,769,990 | ||
Benchmark Mortgage Trust, Series 2020-B20, Class XA | ||||
1.74%, 10/15/53† IO γ | 3,490,727 | 300,342 | ||
Benchmark Mortgage Trust, Series 2021-B28, Class XA | ||||
1.40%, 08/15/54† IO γ | 3,863,208 | 308,732 | ||
BWAY Mortgage Trust, Series 2021-1450, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 2.57%, 09/15/36 144A † | 2,300,000 | 2,260,369 |
Par | Value | |||
BX Commercial Mortgage Trust, Series 2019-XL, Class F | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 2.00% Floor), 3.32%, 10/15/36 144A † | $1,249,500 | $1,201,606 | ||
BX Commercial Mortgage Trust, Series 2021-21M, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.73%, 0.73% Floor), 2.05%, 10/15/36 144A † | 2,300,000 | 2,191,016 | ||
Cantor Commercial Real Estate Lending, Series 2019-CF2, Class E | ||||
2.50%, 11/15/52 144A | 550,000 | 359,479 | ||
CFMT LLC, Series 2022-HB8, Class M2 | ||||
3.75%, 04/25/25 144A | 2,500,000 | 2,275,059 | ||
CHL Mortgage Pass-Through Trust, Series 2003-58, Class 2A2 | ||||
2.50%, 02/19/34† γ | 131,167 | 129,649 | ||
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class B | ||||
4.18%, 07/10/47 | 370,000 | 363,540 | ||
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class D | ||||
3.11%, 04/10/48 144A | 550,000 | 482,882 | ||
Citigroup Commercial Mortgage Trust, Series 2017-P7, Class D | ||||
3.25%, 04/14/50 144A | 150,000 | 109,606 | ||
Citigroup Commercial Mortgage Trust, Series 2019-C7, Class E | ||||
2.75%, 12/15/72 144A | 330,000 | 227,039 | ||
Citigroup Commercial Mortgage Trust, Series 2019-GC41, Class A5 | ||||
2.87%, 08/10/56 | 1,450,000 | 1,321,673 | ||
Citigroup Commercial Mortgage Trust, Series 2021-KEYS, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 2.50%, 10/15/36 144A † | 2,300,000 | 2,260,615 | ||
Cold Storage Trust, Series 2020-ICE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 2.22%, 11/15/37 144A † | 648,774 | 633,315 | ||
COMM Mortgage Trust, Series 2013-CR12, Class AM | ||||
4.30%, 10/10/46 | 50,000 | 49,566 | ||
COMM Mortgage Trust, Series 2013-CR12, Class B | ||||
4.76%, 10/10/46 | 40,000 | 38,799 | ||
COMM Mortgage Trust, Series 2013-CR12, Class C | ||||
5.24%, 10/10/46† γ | 20,000 | 16,394 | ||
COMM Mortgage Trust, Series 2013-CR6, Class B | ||||
3.40%, 03/10/46 144A | 390,000 | 384,951 | ||
COMM Mortgage Trust, Series 2014-277P, Class A | ||||
3.73%, 08/10/49 144A † γ | 160,000 | 155,525 |
Par | Value | |||
COMM Mortgage Trust, Series 2014-UBS6, Class A5 | ||||
3.64%, 12/10/47 | $2,400,000 | $2,369,802 | ||
COMM Mortgage Trust, Series 2015-DC1, Class C | ||||
4.44%, 02/10/48† γ | 80,000 | 74,868 | ||
COMM Mortgage Trust, Series 2020-CX, Class B | ||||
2.45%, 11/10/46 144A | 1,060,000 | 859,127 | ||
Connecticut Avenue Securities Trust, Series 2018-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.40%), 4.02%, 04/25/31 144A † | 59,034 | 58,790 | ||
Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.30%, 2.30% Floor), 3.92%, 08/25/31 144A † | 52,760 | 52,773 | ||
Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.55%), 2.48%, 10/25/41 144A † | 279,000 | 259,293 | ||
Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.65%, 1.65% Floor), 2.58%, 12/25/41 144A † | 245,000 | 218,830 | ||
Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.00%), 3.93%, 01/25/42 144A † | 430,000 | 397,641 | ||
CRSNT Trust, Series 2021-MOON, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.82%, 0.82% Floor), 2.15%, 04/15/36 144A † | 2,500,000 | 2,414,731 | ||
CSAIL Commercial Mortgage Trust, Series 2018-C14, Class D | ||||
5.09%, 11/15/51 144A † γ | 300,000 | 249,120 | ||
CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A3 | ||||
2.80%, 03/15/54 | 800,000 | 707,642 | ||
CSAIL Commercial Mortgage Trust, Series 2021-C20, Class C | ||||
3.85%, 03/15/54† γ | 300,000 | 256,592 | ||
CSMC Trust, Series 2010-16, Class B9 | ||||
3.70%, 06/25/50 144A † γ | 2,123,618 | 1,766,367 | ||
CSMC Trust, Series 2018-J1, Class A2 | ||||
3.50%, 02/25/48 144A † γ | 1,004,629 | 934,012 | ||
CSMC Trust, Series 2021-JR2, Class A1 | ||||
2.22%, 11/25/61 144A † γ | 1,426,700 | 1,369,503 | ||
CSMC, Series 2017-TIME, Class A | ||||
3.65%, 11/13/39 144A | 530,000 | 473,945 |
Par | Value | |||
CSMC, Series 2020-FACT, Class D | ||||
(Floating, ICE LIBOR USD 1M + 3.71%, 3.71% Floor), 5.03%, 10/15/37 144A † | $ 670,000 | $ 640,167 | ||
CSMC, Series 2020-NET, Class A | ||||
2.26%, 08/15/37 144A | 1,957,668 | 1,807,964 | ||
CSMC, Series 2020-NET, Class B | ||||
2.82%, 08/15/37 144A | 650,000 | 598,785 | ||
CSMC, Series 2021-ADV, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.40%, 1.40% Floor), 2.73%, 07/15/38 144A † | 2,600,000 | 2,505,913 | ||
CSMC, Series 2021-NQM8, Class A1 | ||||
1.84%, 10/25/66 144A † γ | 312,500 | 281,545 | ||
CSWF, Series 2021-SOP2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.97%, 0.97% Floor), 2.29%, 06/15/34 144A † | 1,551,053 | 1,505,408 | ||
DBJPM Mortgage Trust, Series 2016-C3, Class A4 | ||||
2.63%, 08/10/49 | 310,000 | 294,053 | ||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 3A1 | ||||
3.17%, 02/25/36† γ | 504,199 | 387,808 | ||
DOLP Trust, Series 2021-NYC, Class A | ||||
2.96%, 05/10/41 144A | 3,400,000 | 2,984,399 | ||
ELP Commercial Mortgage Trust, Series 2021-ELP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 2.03%, 11/15/38 144A † | 840,000 | 803,501 | ||
EQUS Mortgage Trust, Series 2021-EQAZ, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.76% Floor), 2.08%, 10/15/38 144A † | 1,100,000 | 1,052,307 | ||
Eurohome UK Mortgages PLC, Series 2007-1, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.15%), 1.74%, 06/15/44(U) † | 1,119,392 | 1,324,554 | ||
Extended Stay America Trust, Series 2021-ESH, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 2.41%, 07/15/38 144A † | 6,659,017 | 6,502,297 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C04, Class 2M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.85%), 4.47%, 11/25/29† | 512,282 | 514,087 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 3.87%, 07/25/30† | 109,757 | 109,853 |
Par | Value | |||
Fannie Mae Connecticut Avenue Securities, Series 2018-C03, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.15%, 2.15% Floor), 3.77%, 10/25/30† | $ 113,375 | $ 113,964 | ||
Federal Home Loan Mortgage Corporation | ||||
8.00%, 08/01/24 | 185 | 190 | ||
5.50%, 02/01/27 | 8,902 | 9,264 | ||
4.50%, 10/01/29 | 731 | 741 | ||
7.50%, 11/01/29 | 1,596 | 1,743 | ||
7.50%, 12/01/29 | 1,728 | 1,876 | ||
(Floating, 2.23% - U.S. Treasury Yield Curve Rate CMT 1Y, 2.23% Floor, 11.36% Cap), 2.23%, 07/01/31† | 2,150 | 2,144 | ||
7.50%, 11/01/31 | 6,458 | 6,475 | ||
(Floating, ICE LIBOR USD 1Y + 1.98%, 1.98% Floor, 10.60% Cap), 3.35%, 04/01/32† | 216 | 215 | ||
3.00%, 10/01/32 | 50,872 | 50,438 | ||
3.50%, 08/01/33 | 340,667 | 341,098 | ||
5.00%, 08/01/33 | 2,031 | 2,139 | ||
5.00%, 09/01/33 | 344 | 363 | ||
5.00%, 10/01/33 | 1,157 | 1,215 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.37%, 2.37% Floor, 9.23% Cap), 2.68%, 03/01/34† | 576 | 571 | ||
5.00%, 12/01/34 | 24,116 | 25,332 | ||
5.50%, 05/01/35 | 34,626 | 36,064 | ||
5.00%, 07/01/35 | 1,633 | 1,720 | ||
5.00%, 11/01/35 | 42,800 | 44,658 | ||
5.50%, 11/01/35 | 8,185 | 8,588 | ||
5.00%, 12/01/35 | 4,810 | 5,004 | ||
5.00%, 02/01/37 | 5,093 | 5,375 | ||
5.50%, 07/01/37 | 12,134 | 13,059 | ||
3.50%, 01/01/38 | 258,539 | 257,045 | ||
3.00%, 04/01/38 | 46,487 | 44,848 | ||
5.50%, 04/01/38 | 2,884 | 3,102 | ||
7.00%, 03/01/39 | 6,730 | 7,436 | ||
6.50%, 09/01/39 | 14,562 | 15,480 | ||
4.00%, 02/01/41 | 17,963 | 18,195 | ||
2.50%, 04/01/41 | 84,455 | 77,754 | ||
5.00%, 06/01/41 | 938 | 985 | ||
2.00%, 09/01/41 | 1,118,692 | 1,000,477 | ||
1.50%, 10/01/41 | 75,961 | 65,088 | ||
1.50%, 11/01/41 | 19,196 | 16,448 | ||
2.00%, 12/01/41 | 96,238 | 86,068 | ||
2.00%, 02/01/42 | 195,131 | 174,508 | ||
2.50%, 04/01/42 | 296,587 | 273,059 | ||
3.00%, 05/01/42 | 98,902 | 93,703 | ||
3.50%, 10/01/42 | 52,958 | 51,911 | ||
4.00%, 10/01/42 | 17,426 | 17,524 |
Par | Value | |||
3.50%, 11/01/42 | $ 111,405 | $ 109,072 | ||
3.50%, 12/01/42 | 6,722 | 6,532 | ||
3.50%, 01/01/43 | 16,409 | 16,100 | ||
3.50%, 02/01/43 | 85,347 | 83,533 | ||
4.00%, 04/01/43 | 53,275 | 53,667 | ||
3.50%, 05/01/43 | 192,320 | 189,228 | ||
4.00%, 05/01/43 | 27,090 | 27,403 | ||
4.00%, 06/01/43 | 31,876 | 32,244 | ||
4.00%, 07/01/43 | 109,751 | 110,900 | ||
4.00%, 08/01/43 | 44,604 | 45,254 | ||
4.50%, 12/01/43 | 355,789 | 368,738 | ||
3.50%, 02/01/44 | 25,720 | 25,210 | ||
4.50%, 02/01/44 | 261,548 | 271,253 | ||
4.50%, 03/01/44 | 68,922 | 70,731 | ||
3.50%, 03/01/45 | 247,908 | 242,999 | ||
4.00%, 12/01/45 | 136,246 | 137,422 | ||
3.50%, 06/01/46 | 27,240 | 26,667 | ||
4.00%, 09/01/46 | 148,611 | 149,743 | ||
4.50%, 01/01/47 | 50,264 | 50,996 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 5Y + 1.28%, 1.28% Floor, 7.19% Cap), 2.10%, 03/01/47† | 345,676 | 337,225 | ||
3.50%, 04/01/47 | 4,200,221 | 4,111,860 | ||
3.50%, 06/01/47 | 26,033 | 25,485 | ||
4.00%, 07/01/47 | 184,515 | 185,584 | ||
4.00%, 08/01/47 | 54,821 | 54,550 | ||
3.00%, 09/01/47 | 638,455 | 605,353 | ||
3.50%, 09/01/47 | 286,005 | 279,997 | ||
(Floating, ICE LIBOR USD 1Y + 1.62%, 1.62% Floor, 7.87% Cap), 2.87%, 11/01/47† | 279,093 | 276,016 | ||
3.50%, 03/01/48 | 51,155 | 50,109 | ||
4.00%, 03/01/48 | 31,851 | 31,909 | ||
3.50%, 06/01/48 | 159,556 | 156,203 | ||
4.00%, 06/01/48 | 1,221,975 | 1,226,878 | ||
4.50%, 08/01/48 | 613,773 | 627,751 | ||
5.00%, 08/01/48 | 70,771 | 72,966 | ||
3.00%, 09/01/48 | 88,415 | 83,799 | ||
(Floating, ICE LIBOR USD 1Y + 1.63%, 1.63% Floor, 8.01% Cap), 3.01%, 11/01/48† | 1,030,018 | 1,014,824 | ||
3.00%, 02/01/49 | 987,432 | 938,668 | ||
4.00%, 04/01/49 | 165,047 | 165,299 | ||
3.50%, 07/01/49 | 111,444 | 108,766 | ||
4.00%, 07/01/49 | 600,000 | 601,955 | ||
3.00%, 09/01/49 | 2,358,128 | 2,234,315 | ||
4.50%, 09/01/49 | 324,671 | 327,450 | ||
3.00%, 11/01/49 | 265,018 | 249,716 | ||
3.50%, 12/01/49 | 296,458 | 287,772 | ||
4.50%, 12/01/49 | 548,165 | 553,683 | ||
3.00%, 01/01/50 | 53,993 | 50,439 | ||
(Floating, ICE LIBOR USD 1Y + 1.62%, 1.62% Floor, 8.08% Cap), 3.08%, 02/01/50† | 141,826 | 140,562 | ||
4.00%, 03/01/50 | 3,990,654 | 4,027,826 | ||
3.00%, 05/01/50 | 67,731 | 63,990 | ||
4.50%, 05/01/50 | 232,611 | 234,533 |
Par | Value | |||
4.50%, 09/01/50 | $1,757,314 | $1,778,818 | ||
2.00%, 11/01/50 | 429,159 | 375,500 | ||
2.50%, 11/01/50 | 408,538 | 372,941 | ||
2.50%, 12/01/50 | 573,090 | 519,315 | ||
3.00%, 12/01/50 | 2,855,710 | 2,685,795 | ||
2.50%, 01/01/51 | 638,708 | 578,658 | ||
2.00%, 02/01/51 | 1,301,869 | 1,137,964 | ||
2.50%, 02/01/51 | 246,726 | 223,783 | ||
2.00%, 03/01/51 | 1,506,617 | 1,316,788 | ||
2.50%, 03/01/51 | 286,082 | 257,853 | ||
2.00%, 04/01/51 | 525,393 | 459,760 | ||
2.00%, 05/01/51 | 1,532,889 | 1,340,465 | ||
2.50%, 05/01/51 | 89,362 | 81,689 | ||
2.50%, 05/01/51Ψ ††† | 5,047,304 | 4,554,030 | ||
2.50%, 07/01/51 | 2,328,395 | 2,104,934 | ||
2.50%, 08/01/51 | 935,088 | 848,424 | ||
2.00%, 09/01/51 | 189,070 | 165,076 | ||
2.50%, 09/01/51 | 2,610,672 | 2,359,529 | ||
3.00%, 10/01/51 | 193,706 | 181,904 | ||
4.00%, 10/01/51 | 172,508 | 171,128 | ||
2.00%, 11/01/51 | 775,405 | 676,576 | ||
2.50%, 11/01/51 | 2,210,173 | 2,007,013 | ||
2.50%, 01/01/52 | 679,181 | 617,004 | ||
3.00%, 01/01/52 | 485,504 | 453,575 | ||
2.50%, 02/01/52 | 295,581 | 267,900 | ||
2.50%, 03/01/52 | 197,584 | 178,470 | ||
4.50%, 03/01/52 | 244,065 | 245,488 | ||
3.00%, 04/01/52 | 1,398,076 | 1,313,589 | ||
3.50%, 04/01/52 | 986,448 | 954,421 | ||
3.50%, 05/01/52 | 198,685 | 192,225 | ||
4.00%, 05/01/52 | 697,022 | 689,718 | ||
3.00%, 06/01/52 | 999,900 | 932,377 | ||
4.00%, 06/01/52 | 99,756 | 98,916 | ||
3.00%, 07/01/52 | 1,999,800 | 1,881,361 | ||
4.00%, 08/01/52 | 300,000 | 295,782 | ||
4.50%, 08/01/52 | 100,000 | 100,153 | ||
Federal Home Loan Mortgage Corporation Reference REMIC, Series R007 | ||||
6.00%, 05/15/36 | 74,640 | 80,396 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3325 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.75% Cap), 1.82%, 06/15/37† | 44,185 | 44,248 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3621 | ||||
(Floating, 6.23% - ICE LIBOR USD 1M, 6.23% Cap), 4.91%, 01/15/40† IO | 103,053 | 12,640 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3947 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 4.63%, 10/15/41† IO | 42,470 | 5,124 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 3973 | ||||
(Floating, 6.49% - ICE LIBOR USD 1M, 6.49% Cap), 5.17%, 12/15/41† IO | $128,158 | $ 17,013 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4099 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 4.68%, 08/15/42† IO | 82,564 | 10,993 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4194 | ||||
3.50%, 04/15/43 IO | 116,875 | 18,424 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4210 | ||||
3.00%, 05/15/43 | 104,627 | 93,230 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4239 | ||||
3.50%, 06/15/27 IO | 86,485 | 4,342 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4298 | ||||
4.00%, 04/15/43 IO | 34,629 | 1,938 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4310 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 4.63%, 02/15/44† IO | 41,891 | 5,257 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4335 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 4.68%, 05/15/44† IO | 42,859 | 5,661 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4415 | ||||
1.00%, 04/15/41† IO γ | 56,883 | 2,275 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4638 | ||||
(Floating, ICE LIBOR USD 1M + 0.44%), 1.24%, 07/15/40† | 156,861 | 155,126 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4793 | ||||
3.00%, 05/15/48 | 250,305 | 239,070 | ||
3.00%, 06/15/48 | 159,602 | 152,386 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4813 | ||||
3.00%, 08/15/48 | 117,213 | 111,698 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4989 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%), 1.15%, 08/15/40† | 611,710 | 604,192 | ||
(Floating, ICE LIBOR USD 1M + 0.35%), 1.15%, 10/15/40† | 559,405 | 556,196 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5010 | ||||
2.50%, 09/25/50 IO | 568,636 | 87,158 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5013 | ||||
2.50%, 09/25/50 IO | 179,119 | 28,567 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5018 | ||||
2.00%, 10/25/50 IO | 356,676 | 50,280 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 5040 | ||||
2.50%, 11/25/50 IO | $ 77,945 | $ 11,495 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5059 | ||||
2.50%, 01/25/51 IO | 365,347 | 59,195 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5140 | ||||
2.50%, 05/25/49 IO | 667,259 | 95,191 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5224 | ||||
4.00%, 04/25/52 | 900,000 | 879,941 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA3, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 5.10%), 6.72%, 06/25/50 144A † | 150,888 | 153,982 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA4, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 6.00%), 7.62%, 08/25/50 144A † | 176,000 | 183,687 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA5, Class B1 | ||||
(Floating, U.S. 30-Day Average SOFR + 4.80%), 5.73%, 10/25/50 144A † | 720,000 | 729,914 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA5, Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.65%), 2.58%, 01/25/34 144A † | 188,963 | 182,399 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-HQA1, Class B1 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.00%), 3.93%, 08/25/33 144A † | 970,000 | 764,229 | ||
Federal Home Loan Mortgage Corporation STRIP, Series 353 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 4.68%, 12/15/46† IO | 189,915 | 24,825 | ||
Federal National Mortgage Association | ||||
5.50%, 09/01/23 | 624 | 626 | ||
5.50%, 10/01/23 | 193 | 194 | ||
2.81%, 04/01/25 | 50,000 | 49,301 | ||
5.50%, 05/01/25 | 16 | 16 | ||
(Floating, Enterprise 11th District COFI Index + 1.35%, 1.35% Floor, 12.05% Cap), 1.65%, 07/01/27† | 2,896 | 2,835 |
Par | Value | |||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 11.80% Cap), 2.79%, 08/01/27† | $ 3,129 | $ 3,121 | ||
(Floating, Enterprise 11th District COFI Index + 1.29%, 1.32% Floor, 10.61% Cap), 1.60%, 11/01/27 CONV † | 5,457 | 5,340 | ||
3.08%, 01/01/28 | 140,000 | 138,005 | ||
3.16%, 05/01/29 | 143,899 | 141,027 | ||
3.25%, 05/01/29 | 19,668 | 19,380 | ||
3.47%, 03/01/30 | 19,634 | 19,486 | ||
(Floating, 2.38% - U.S. Treasury Yield Curve Rate CMT 1Y, 2.38% Floor, 10.63% Cap), 2.38%, 06/01/30 CONV † | 7,688 | 7,676 | ||
2.93%, 06/01/30 | 19,243 | 18,395 | ||
8.00%, 10/01/30 | 5,055 | 5,509 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.51%, 2.51% Floor, 12.62% Cap), 2.63%, 12/01/30 CONV † | 1,292 | 1,281 | ||
4.50%, 04/01/31 | 16,886 | 17,188 | ||
4.50%, 05/01/31 | 67,468 | 68,675 | ||
4.50%, 06/01/31 | 20,526 | 20,894 | ||
4.50%, 11/01/31 | 31,227 | 31,787 | ||
6.00%, 11/01/31 | 1,327 | 1,432 | ||
4.50%, 12/01/31 | 43,084 | 43,856 | ||
6.00%, 01/01/32 | 43,293 | 45,576 | ||
2.15%, 02/01/32† γ | 39,896 | 35,352 | ||
6.00%, 03/01/32 | 1,596 | 1,680 | ||
6.00%, 04/01/32 | 76,375 | 80,481 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.13%, 1.25% Floor, 10.95% Cap), 1.45%, 06/01/32† | 5,192 | 5,211 | ||
(Floating, Enterprise 11th District COFI Index + 1.25%, 1.25% Floor, 12.21% Cap), 1.47%, 08/01/32† | 5,282 | 5,085 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 9.75% Cap), 2.38%, 02/01/33† | 730 | 722 | ||
(Floating, Enterprise 11th District COFI Index + 1.31%, 1.31% Floor, 11.99% Cap), 1.53%, 05/01/33† | 5,175 | 4,982 | ||
5.00%, 07/01/33 | 9,664 | 9,976 | ||
5.00%, 09/01/33 | 11,829 | 12,440 | ||
3.50%, 05/01/34 | 77,577 | 77,833 | ||
6.00%, 10/01/34 | 22,135 | 23,288 | ||
(Floating, ICE LIBOR USD 1Y + 1.55%, 1.55% Floor, 9.67% Cap), 1.80%, 12/01/34† | 10,944 | 10,872 | ||
3.50%, 12/01/34 | 16,009 | 16,015 | ||
3.50%, 01/01/35 | 16,748 | 16,753 | ||
6.00%, 05/01/35 | 117,538 | 124,286 | ||
3.00%, 07/01/35 | 21,555 | 21,177 | ||
6.00%, 07/01/35 | 32,420 | 34,255 |
Par | Value | |||
5.50%, 09/01/35 | $ 21,379 | $ 22,231 | ||
5.00%, 10/01/35 | 33,085 | 34,805 | ||
6.00%, 10/01/35 | 11,252 | 12,262 | ||
(Floating, Enterprise 11th District COFI Index + 1.30%, 1.30% Floor, 10.55% Cap), 1.60%, 11/01/35† | 2,157 | 2,151 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.83%, 1.83% Floor, 8.96% Cap), 2.16%, 11/01/35† | 8,865 | 9,226 | ||
6.00%, 11/01/35 | 73,321 | 77,514 | ||
3.00%, 02/01/36 | 313,732 | 308,232 | ||
3.00%, 04/01/36 | 252,404 | 247,977 | ||
5.50%, 04/01/36 | 1,433 | 1,476 | ||
(Floating, Enterprise 11th District COFI Index + 1.26%, 3.91% Floor, 12.86% Cap), 3.96%, 05/01/36† | 13,672 | 13,932 | ||
3.00%, 07/01/36 | 481,668 | 473,218 | ||
3.00%, 08/01/36 | 190,804 | 187,456 | ||
2.50%, 09/01/36 | 114,488 | 105,197 | ||
3.00%, 10/01/36 | 967,193 | 946,058 | ||
5.50%, 11/01/36 | 27,216 | 29,249 | ||
3.00%, 12/01/36 | 408,931 | 399,997 | ||
3.50%, 02/01/37 | 72,366 | 72,035 | ||
3.50%, 03/01/37 | 57,201 | 57,248 | ||
5.50%, 03/01/37 | 1,632 | 1,740 | ||
6.00%, 07/01/37 | 305,986 | 335,417 | ||
6.50%, 10/01/37 | 36,393 | 38,233 | ||
7.00%, 10/01/37 | 536 | 542 | ||
7.00%, 11/01/37 | 3,178 | 3,273 | ||
(Floating, Enterprise 11th District COFI Index + 1.26%, 1.29% Floor, 10.71% Cap), 1.57%, 12/01/37† | 8,550 | 8,356 | ||
3.00%, 12/01/37 | 55,027 | 53,047 | ||
3.50%, 12/01/37 | 90,058 | 89,645 | ||
7.00%, 12/01/37 | 1,269 | 1,300 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.19%, 1.27% Floor, 10.58% Cap), 1.51%, 01/01/38† | 2,777 | 2,780 | ||
2.50%, 03/01/38 | 406,898 | 374,383 | ||
4.50%, 03/01/38 | 3,125 | 3,173 | ||
4.50%, 04/01/38 | 20,862 | 21,484 | ||
5.00%, 04/01/38 | 30,156 | 31,791 | ||
3.00%, 06/01/38 | 232,702 | 228,639 | ||
5.00%, 06/01/38 | 31,508 | 32,891 | ||
5.50%, 08/01/38 | 19,254 | 20,703 | ||
7.00%, 11/01/38 | 8,019 | 8,742 | ||
7.00%, 02/01/39 | 3,251 | 3,574 | ||
3.50%, 08/01/39 | 58,990 | 58,721 | ||
6.00%, 12/01/39 | 119,388 | 130,975 | ||
3.50%, 02/01/40 | 159,290 | 158,085 | ||
3.00%, 03/01/40 | 229,456 | 221,250 |
Par | Value | |||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor, 9.68% Cap), 1.72%, 06/01/40† | $ 12,573 | $ 12,819 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor, 10.75% Cap), 1.72%, 10/01/40† | 2,078 | 2,086 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor, 10.57% Cap), 1.72%, 10/01/40† | 35,602 | 35,727 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.18%, 1.25% Floor, 10.25% Cap), 1.50%, 11/01/40† | 3,568 | 3,575 | ||
3.00%, 02/01/41 | 88,195 | 83,429 | ||
2.50%, 03/01/41 | 88,148 | 81,429 | ||
2.50%, 04/01/41 | 627,995 | 579,339 | ||
4.50%, 04/01/41 | 52,495 | 54,208 | ||
2.50%, 05/01/41 | 720,451 | 664,184 | ||
2.00%, 06/01/41 | 180,524 | 161,469 | ||
6.00%, 07/01/41 | 104,182 | 113,199 | ||
4.50%, 08/01/41 | 21,325 | 22,023 | ||
2.00%, 09/01/41 | 98,163 | 87,849 | ||
2.00%, 10/01/41 | 963,825 | 858,991 | ||
2.50%, 11/01/41 | 94,949 | 87,416 | ||
3.00%, 11/01/41 | 97,413 | 92,263 | ||
4.50%, 11/01/41 | 69,765 | 71,593 | ||
2.00%, 02/01/42 | 98,408 | 87,705 | ||
2.50%, 04/01/42 | 492,519 | 453,444 | ||
3.00%, 04/01/42 | 197,255 | 186,883 | ||
2.00%, 05/01/42 | 197,571 | 176,099 | ||
3.00%, 05/01/42 | 198,504 | 187,969 | ||
3.00%, 06/01/42 | 895,347 | 848,013 | ||
4.00%, 06/01/42 | 19,974 | 19,893 | ||
3.50%, 09/01/42 | 18,768 | 18,378 | ||
4.00%, 10/01/42 | 67,723 | 68,156 | ||
2.50%, 11/01/42 | 10,883 | 9,903 | ||
4.00%, 11/01/42 | 747,382 | 755,515 | ||
2.50%, 12/01/42 | 5,475 | 4,988 | ||
3.00%, 12/01/42 | 8,843 | 8,438 | ||
3.50%, 12/01/42 | 36,087 | 35,477 | ||
4.00%, 12/01/42 | 43,098 | 43,476 | ||
2.50%, 01/01/43 | 7,867 | 7,166 | ||
3.00%, 01/01/43 | 157,526 | 149,709 | ||
3.50%, 01/01/43 | 588,667 | 576,446 | ||
2.50%, 02/01/43 | 11,211 | 10,201 | ||
2.50%, 03/01/43 | 665,681 | 606,377 | ||
3.00%, 03/01/43 | 114,730 | 109,587 | ||
3.50%, 03/01/43 | 287,049 | 282,524 | ||
2.50%, 04/01/43 | 844,030 | 765,285 | ||
3.00%, 04/01/43 | 171,840 | 164,267 | ||
4.00%, 04/01/43 | 26,047 | 26,295 | ||
2.50%, 05/01/43 | 12,570 | 11,365 | ||
3.00%, 05/01/43 | 105,881 | 101,199 | ||
2.50%, 06/01/43 | 13,722 | 12,478 | ||
3.00%, 06/01/43 | 94,449 | 90,231 | ||
4.00%, 06/01/43 | 233,381 | 235,790 | ||
3.00%, 07/01/43 | 440,419 | 420,801 |
Par | Value | |||
4.00%, 07/01/43 | $ 255,171 | $ 257,392 | ||
2.50%, 08/01/43 | 127,975 | 115,866 | ||
4.00%, 08/01/43 | 76,124 | 76,616 | ||
4.50%, 09/01/43 | 146,972 | 149,817 | ||
2.50%, 10/01/43 | 23,102 | 21,045 | ||
3.00%, 10/01/43 | 146,219 | 139,685 | ||
4.50%, 10/01/43 | 69,087 | 71,575 | ||
4.50%, 11/01/43 | 43,927 | 45,183 | ||
4.50%, 12/01/43 | 69,719 | 71,718 | ||
4.50%, 01/01/44 | 39,891 | 41,032 | ||
4.50%, 02/01/44 | 187,325 | 190,146 | ||
3.50%, 08/01/44 | 82,962 | 81,562 | ||
4.50%, 10/01/44 | 167,833 | 172,918 | ||
4.00%, 12/01/44 | 961,194 | 968,604 | ||
3.00%, 01/01/45 | 192,053 | 183,673 | ||
4.00%, 01/01/45 | 64,416 | 64,911 | ||
4.50%, 02/01/45 | 578,064 | 596,332 | ||
4.50%, 04/01/45 | 279,674 | 288,155 | ||
4.50%, 05/01/45 | 35,127 | 36,192 | ||
4.50%, 06/01/45 | 239,587 | 246,500 | ||
3.50%, 07/01/45 | 5,888,553 | 5,760,265 | ||
4.00%, 08/01/45 | 3,902,557 | 3,932,518 | ||
3.00%, 11/01/45 | 530,644 | 503,868 | ||
3.50%, 01/01/46 | 173,914 | 170,109 | ||
3.00%, 05/01/46 | 274,904 | 262,279 | ||
3.00%, 07/01/46 | 276,065 | 261,833 | ||
3.00%, 08/01/46 | 431,202 | 408,615 | ||
3.00%, 09/01/46 | 67,201 | 63,692 | ||
3.00%, 10/01/46 | 36,740 | 34,772 | ||
3.00%, 11/01/46 | 944,705 | 894,277 | ||
3.50%, 11/01/46 | 23,576 | 23,256 | ||
4.50%, 11/01/46 | 223,698 | 228,501 | ||
5.00%, 11/01/46 | 400,592 | 415,609 | ||
3.50%, 12/01/46 | 143,190 | 140,060 | ||
4.00%, 01/01/47 | 571,270 | 576,110 | ||
4.50%, 01/01/47 | 23,362 | 23,849 | ||
3.50%, 02/01/47 | 1,479,567 | 1,445,595 | ||
4.00%, 02/01/47 | 54,716 | 55,025 | ||
3.50%, 03/01/47 | 251,792 | 246,577 | ||
4.50%, 03/01/47 | 345,861 | 352,158 | ||
4.00%, 04/01/47 | 45,792 | 45,958 | ||
3.50%, 05/01/47 | 207,598 | 203,142 | ||
4.00%, 05/01/47 | 48,964 | 49,166 | ||
4.50%, 06/01/47 | 539,536 | 550,653 | ||
3.50%, 07/01/47 | 55,421 | 54,285 | ||
4.50%, 07/01/47 | 457,446 | 466,896 | ||
4.00%, 08/01/47 | 399,155 | 402,581 | ||
3.00%, 09/01/47 | 671,449 | 636,390 | ||
3.50%, 09/01/47 | 9,175,751 | 8,975,228 | ||
3.50%, 10/01/47 | 10,013,286 | 9,794,502 | ||
3.50%, 11/01/47 | 13,105,575 | 12,818,867 | ||
4.50%, 11/01/47 | 120,574 | 123,165 | ||
3.50%, 12/01/47 | 12,761,452 | 12,482,168 | ||
4.00%, 12/01/47 | 235,234 | 236,243 | ||
3.50%, 01/01/48 | 677,884 | 662,929 | ||
4.00%, 01/01/48 | 218,111 | 218,735 | ||
3.50%, 02/01/48 | 667,312 | 652,884 |
Par | Value | |||
4.00%, 02/01/48 | $ 782,301 | $ 784,731 | ||
4.00%, 03/01/48 | 557,497 | 558,684 | ||
4.00%, 06/01/48 | 356,655 | 357,676 | ||
4.00%, 07/01/48 | 679,526 | 680,929 | ||
4.50%, 07/01/48 | 166,568 | 169,957 | ||
3.50%, 08/01/48 | 3,111,934 | 3,044,027 | ||
4.00%, 08/01/48 | 1,721,852 | 1,726,278 | ||
4.50%, 09/01/48 | 325,648 | 332,987 | ||
5.00%, 09/01/48 | 664,145 | 695,624 | ||
3.00%, 11/01/48 | 194,709 | 185,914 | ||
3.50%, 11/01/48 | 290,356 | 284,074 | ||
4.00%, 11/01/48 | 85,800 | 86,008 | ||
5.00%, 11/01/48 | 1,523,459 | 1,591,230 | ||
4.00%, 01/01/49 | 24,591 | 24,695 | ||
4.50%, 01/01/49 | 261,851 | 264,113 | ||
4.50%, 02/01/49 | 61,123 | 61,585 | ||
4.00%, 05/01/49 | 42,660 | 42,897 | ||
4.50%, 05/01/49 | 918,011 | 925,501 | ||
3.50%, 06/01/49 | 1,325,781 | 1,295,975 | ||
4.50%, 06/01/49 | 597,563 | 601,591 | ||
3.50%, 07/01/49 | 1,086,367 | 1,057,047 | ||
4.50%, 07/01/49 | 437,541 | 441,430 | ||
3.50%, 08/01/49 | 775,186 | 754,261 | ||
3.00%, 09/01/49 | 2,706 | 2,527 | ||
4.50%, 09/01/49 | 75,371 | 75,794 | ||
4.00%, 10/01/49 | 37,560 | 37,432 | ||
3.00%, 12/01/49 | 666,526 | 626,006 | ||
4.00%, 12/01/49 | 128,364 | 128,025 | ||
3.50%, 01/01/50 | 383,282 | 372,618 | ||
4.50%, 01/01/50 | 6,921 | 6,976 | ||
3.00%, 02/01/50 | 2,034,462 | 1,926,840 | ||
3.50%, 03/01/50 | 285,424 | 279,277 | ||
4.50%, 03/01/50 | 7,514 | 7,565 | ||
3.00%, 04/01/50 | 1,257,455 | 1,184,479 | ||
4.50%, 05/01/50 | 730,485 | 743,884 | ||
2.50%, 06/01/50 | 139,646 | 126,588 | ||
3.00%, 06/01/50 | 666,342 | 623,651 | ||
4.50%, 06/01/50 | 79,697 | 80,259 | ||
4.50%, 07/01/50 | 36,510 | 36,715 | ||
2.00%, 08/01/50 | 76,037 | 66,584 | ||
3.00%, 08/01/50 | 272,622 | 255,660 | ||
3.50%, 08/01/50 | 71,425 | 69,839 | ||
2.00%, 09/01/50 | 74,200 | 64,861 | ||
2.50%, 09/01/50 | 213,475 | 192,687 | ||
2.00%, 10/01/50 | 236,163 | 206,497 | ||
2.50%, 10/01/50 | 617,033 | 557,696 | ||
2.00%, 11/01/50 | 84,470 | 73,762 | ||
2.50%, 11/01/50 | 365,727 | 331,016 | ||
3.00%, 11/01/50 | 205,954 | 193,618 | ||
2.50%, 12/01/50 | 82,490 | 74,791 | ||
4.00%, 12/01/50 | 56,947 | 56,555 | ||
4.50%, 12/01/50 | 550,428 | 554,314 | ||
2.00%, 01/01/51 | 436,254 | 380,781 | ||
2.50%, 01/01/51 | 170,823 | 155,206 | ||
2.00%, 02/01/51 | 1,371,927 | 1,198,360 | ||
2.50%, 02/01/51 | 813,352 | 736,445 |
Par | Value | |||
4.50%, 02/01/51 | $1,584,550 | $1,595,938 | ||
2.00%, 03/01/51 | 4,703,289 | 4,110,768 | ||
2.50%, 03/01/51 | 1,109,841 | 1,001,574 | ||
2.00%, 04/01/51 | 2,647,376 | 2,306,493 | ||
2.50%, 04/01/51 | 273,126 | 246,900 | ||
2.50%, 05/01/51 | 366,853 | 329,266 | ||
3.00%, 05/01/51 | 88,028 | 82,712 | ||
3.50%, 05/01/51 | 218,833 | 211,474 | ||
2.50%, 06/01/51 | 698,879 | 634,205 | ||
3.00%, 06/01/51 | 171,690 | 162,703 | ||
2.50%, 07/01/51 | 839,720 | 760,834 | ||
3.50%, 07/01/51 | 319,363 | 310,619 | ||
2.00%, 08/01/51 | 283,699 | 247,429 | ||
2.50%, 08/01/51 | 371,673 | 337,274 | ||
3.00%, 08/01/51 | 712,505 | 674,756 | ||
2.50%, 09/01/51 | 1,609,088 | 1,457,590 | ||
3.00%, 09/01/51 | 91,461 | 85,459 | ||
3.50%, 09/01/51 | 76,914 | 74,122 | ||
2.00%, 10/01/51 | 289,180 | 252,210 | ||
2.50%, 10/01/51 | 1,316,271 | 1,189,569 | ||
3.00%, 10/01/51 | 746,506 | 698,784 | ||
2.00%, 11/01/51 | 96,779 | 84,427 | ||
2.50%, 11/01/51 | 382,009 | 347,933 | ||
3.00%, 11/01/51 | 1,039,924 | 980,813 | ||
2.50%, 12/01/51 | 770,125 | 697,985 | ||
3.00%, 12/01/51 | 194,311 | 183,597 | ||
2.00%, 01/01/52 | 583,279 | 508,703 | ||
2.50%, 01/01/52 | 977,301 | 884,695 | ||
3.00%, 01/01/52 | 1,062,605 | 1,000,581 | ||
3.50%, 01/01/52 | 294,297 | 286,074 | ||
2.00%, 02/01/52 | 979,831 | 854,550 | ||
2.50%, 02/01/52 | 3,822,357 | 3,453,844 | ||
3.00%, 02/01/52 | 196,983 | 185,173 | ||
2.00%, 03/01/52 | 494,080 | 432,903 | ||
2.50%, 03/01/52 | 883,067 | 797,312 | ||
3.00%, 03/01/52 | 2,360,018 | 2,227,260 | ||
3.50%, 03/01/52 | 393,993 | 381,200 | ||
2.50%, 04/01/52 | 97,108 | 87,760 | ||
3.00%, 04/01/52 | 1,198,537 | 1,126,271 | ||
3.50%, 05/01/52 | 1,591,859 | 1,541,015 | ||
4.00%, 05/01/52 | 796,156 | 792,968 | ||
3.00%, 06/01/52 | 1,999,801 | 1,880,756 | ||
4.00%, 06/01/52 | 397,088 | 393,645 | ||
4.50%, 06/01/52 | 1,092,226 | 1,100,846 | ||
3.00%, 07/01/52 | 1,790,857 | 1,675,701 | ||
4.50%, 07/01/52 | 400,000 | 401,564 | ||
3.00%, 08/01/52 | 999,900 | 939,907 | ||
4.00%, 02/01/56 | 293,298 | 293,747 | ||
5.50%, 09/01/56 | 424,088 | 463,212 | ||
4.00%, 01/01/57 | 190,221 | 190,512 | ||
4.00%, 06/01/57 | 286,775 | 286,328 | ||
4.50%, 09/01/57 | 463,363 | 480,006 | ||
4.50%, 08/01/58 | 128,871 | 133,489 | ||
2.50%, 07/01/61 | 3,485,112 | 3,111,884 |
Par | Value | |||
Federal National Mortgage Association ACES, Series 2015-M1 | ||||
0.60%, 09/25/24† IO γ | $2,471,365 | $ 22,923 | ||
Federal National Mortgage Association ACES, Series 2016-M11 | ||||
2.94%, 07/25/39 | 56,088 | 53,563 | ||
Federal National Mortgage Association ACES, Series 2017-M8 | ||||
3.06%, 05/25/27 | 96,212 | 94,659 | ||
Federal National Mortgage Association ACES, Series 2019-M23 | ||||
2.72%, 10/25/31 | 275,299 | 257,858 | ||
Federal National Mortgage Association ACES, Series 2020-M33 | ||||
2.36%, 01/25/31† IO γ | 6,982,810 | 839,326 | ||
Federal National Mortgage Association ACES, Series 2020-M6 | ||||
2.50%, 10/25/37 | 90,018 | 83,084 | ||
Federal National Mortgage Association Interest STRIP, Series 409 | ||||
3.00%, 04/25/27 IO | 76,712 | 3,724 | ||
4.50%, 11/25/39 IO | 15,727 | 2,810 | ||
3.50%, 11/25/41 IO | 54,356 | 8,455 | ||
4.00%, 11/25/41 IO | 73,540 | 12,743 | ||
4.00%, 04/25/42 IO | 134,936 | 24,783 | ||
Federal National Mortgage Association REMIC, Series 2000-32 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 9.00% Cap), 2.05%, 10/18/30† | 3,544 | 3,542 | ||
Federal National Mortgage Association REMIC, Series 2005-29 | ||||
5.50%, 04/25/35 | 226,241 | 243,073 | ||
Federal National Mortgage Association REMIC, Series 2007-24 | ||||
(Floating, 6.75% - ICE LIBOR USD 1M, 6.75% Cap), 5.13%, 03/25/37† IO | 232,407 | 30,773 | ||
Federal National Mortgage Association REMIC, Series 2011-52 | ||||
5.00%, 06/25/41 | 132,511 | 138,542 | ||
Federal National Mortgage Association REMIC, Series 2011-59 | ||||
5.50%, 07/25/41 | 445,748 | 477,034 | ||
Federal National Mortgage Association REMIC, Series 2011-96 | ||||
(Floating, 6.55% - ICE LIBOR USD 1M, 6.55% Cap), 4.93%, 10/25/41† IO | 181,408 | 18,814 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2012-101 | ||||
4.00%, 09/25/27 IO | $ 31,744 | $ 1,115 | ||
Federal National Mortgage Association REMIC, Series 2012-111 | ||||
7.00%, 10/25/42 | 11,774 | 12,998 | ||
Federal National Mortgage Association REMIC, Series 2012-133 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 4.53%, 12/25/42† IO | 51,392 | 7,450 | ||
Federal National Mortgage Association REMIC, Series 2012-153 | ||||
7.00%, 07/25/42 | 39,892 | 44,424 | ||
Federal National Mortgage Association REMIC, Series 2012-28 | ||||
6.50%, 06/25/39 | 1,915 | 2,000 | ||
Federal National Mortgage Association REMIC, Series 2012-35 | ||||
(Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 4.88%, 04/25/42† IO | 63,533 | 9,348 | ||
Federal National Mortgage Association REMIC, Series 2012-46 | ||||
6.00%, 05/25/42 | 57,071 | 61,598 | ||
Federal National Mortgage Association REMIC, Series 2012-74 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 5.03%, 03/25/42† IO | 71,681 | 6,657 | ||
Federal National Mortgage Association REMIC, Series 2012-75 | ||||
(Floating, 6.60% - ICE LIBOR USD 1M, 6.60% Cap), 4.98%, 07/25/42† IO | 13,923 | 2,033 | ||
Federal National Mortgage Association REMIC, Series 2013-124 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 4.33%, 12/25/43† IO | 201,503 | 25,994 | ||
Federal National Mortgage Association REMIC, Series 2013-14 | ||||
4.00%, 03/25/43 IO | 53,856 | 8,106 | ||
Federal National Mortgage Association REMIC, Series 2013-17 | ||||
3.00%, 03/25/28 IO | 339,720 | 20,342 | ||
Federal National Mortgage Association REMIC, Series 2013-29 | ||||
4.00%, 04/25/43 IO | 149,047 | 24,443 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2013-54 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 4.53%, 06/25/43† IO | $ 87,366 | $ 12,695 | ||
Federal National Mortgage Association REMIC, Series 2013-9 | ||||
5.50%, 04/25/42 | 260,087 | 275,523 | ||
6.50%, 07/25/42 | 106,513 | 116,087 | ||
Federal National Mortgage Association REMIC, Series 2014-47 | ||||
1.15%, 08/25/44† IO γ | 171,109 | 7,087 | ||
Federal National Mortgage Association REMIC, Series 2015-55 | ||||
0.95%, 08/25/55† IO γ | 61,843 | 2,081 | ||
Federal National Mortgage Association REMIC, Series 2015-56 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 4.53%, 08/25/45† IO | 34,196 | 5,115 | ||
Federal National Mortgage Association REMIC, Series 2017-76 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 4.48%, 10/25/57† IO | 399,083 | 55,519 | ||
Federal National Mortgage Association REMIC, Series 2017-85 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 4.58%, 11/25/47† IO | 138,293 | 13,989 | ||
Federal National Mortgage Association REMIC, Series 2020-47 | ||||
2.00%, 07/25/50 | 312,233 | 217,125 | ||
Federal National Mortgage Association REMIC, Series 2020-56 | ||||
2.50%, 08/25/50 IO | 334,285 | 53,484 | ||
Federal National Mortgage Association REMIC, Series 2020-74 | ||||
2.50%, 10/25/50 IO | 164,130 | 26,817 | ||
Federal National Mortgage Association REMIC, Series 2020-89 | ||||
2.50%, 12/25/50 IO | 813,988 | 122,227 | ||
Federal National Mortgage Association REMIC, Series 2021-1 | ||||
2.50%, 02/25/51 IO | 621,399 | 100,135 | ||
Federal National Mortgage Association REMIC, Series 2021-3 | ||||
2.50%, 02/25/51 IO | 772,774 | 119,134 |
Par | Value | |||
FHLMC Multifamily Structured Pass-Through Certificates, Series K068 | ||||
0.56%, 08/25/27† IO γ | $2,364,313 | $ 45,573 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K091 | ||||
0.71%, 03/25/29† IO γ | 1,407,894 | 46,053 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K093 | ||||
1.09%, 05/25/29† IO γ | 1,987,551 | 106,571 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K094 | ||||
1.02%, 06/25/29† IO γ | 996,395 | 50,748 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K-1519 | ||||
0.70%, 12/25/35† IO γ | 6,038,094 | 334,763 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K723 | ||||
1.04%, 08/25/23† IO γ | 2,750,969 | 22,082 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K736 | ||||
1.43%, 07/25/26† IO γ | 1,022,731 | 41,752 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K741 | ||||
0.66%, 12/25/27† IO γ | 2,997,321 | 79,893 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 3.80%), 5.42%, 03/25/29† | 147,300 | 150,405 | ||
FHLMC Structured Pass-Through Certificates, Series T-61, Class 1A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 1.88%, 07/25/44† | 274,363 | 285,371 | ||
Finsbury Square PLC, Series 2020-2A, Class A | ||||
(Floating, SONIA Interest Rate + 1.30%), 2.06%, 06/16/70(U) 144A † | 785,961 | 957,321 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
2.78%, 06/25/34† γ | 113,067 | 109,488 | ||
GCAT Trust, Series 2022-NQM3, Class A3 | ||||
4.35%, 04/25/67 144A † γ | 2,500,000 | 2,392,044 | ||
Government National Mortgage Association | ||||
7.00%, 01/15/26 | 1,410 | 1,451 | ||
7.00%, 07/15/27 | 9,138 | 9,324 | ||
7.00%, 01/15/28 | 8,161 | 8,203 |
Par | Value | |||
7.00%, 03/15/28 | $ 14,194 | $ 14,497 | ||
7.00%, 07/15/28 | 1,373 | 1,388 | ||
6.50%, 08/15/28 | 1,040 | 1,093 | ||
7.00%, 08/15/28 | 1,452 | 1,504 | ||
7.50%, 08/15/28 | 4,687 | 4,926 | ||
6.50%, 09/15/28 | 2,038 | 2,143 | ||
7.00%, 10/15/28 | 8,510 | 8,531 | ||
7.50%, 03/15/29 | 5,454 | 5,589 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 1.75%, 11/20/29† | 10,446 | 10,335 | ||
8.50%, 08/15/30 | 139 | 139 | ||
8.50%, 11/20/30 | 4,055 | 4,401 | ||
6.50%, 08/15/31 | 14,311 | 15,048 | ||
7.50%, 08/15/31 | 5,177 | 5,378 | ||
6.50%, 10/15/31 | 18,210 | 19,262 | ||
6.00%, 11/15/31 | 55,065 | 58,780 | ||
6.50%, 11/15/31 | 5,478 | 5,754 | ||
6.00%, 12/15/31 | 7,067 | 7,564 | ||
6.00%, 01/15/32 | 45,507 | 48,272 | ||
6.00%, 02/15/32 | 30,196 | 31,812 | ||
6.50%, 02/15/32 | 21,343 | 22,442 | ||
6.00%, 04/15/32 | 29,307 | 30,871 | ||
6.50%, 06/15/32 | 25,934 | 27,267 | ||
6.50%, 08/15/32 | 38,517 | 40,487 | ||
6.50%, 09/15/32 | 34,474 | 36,727 | ||
6.00%, 10/15/32 | 43,486 | 47,812 | ||
5.50%, 11/15/32 | 4,965 | 5,232 | ||
6.00%, 11/15/32 | 32,373 | 34,345 | ||
6.00%, 12/15/32 | 20,281 | 21,650 | ||
6.50%, 12/15/32 | 1,954 | 2,053 | ||
5.50%, 01/15/33 | 3,270 | 3,427 | ||
6.00%, 01/15/33 | 12,088 | 12,790 | ||
5.50%, 02/15/33 | 5,739 | 6,100 | ||
6.00%, 02/15/33 | 13,176 | 14,588 | ||
5.50%, 03/15/33 | 6,919 | 7,397 | ||
6.50%, 04/15/33 | 73,739 | 79,574 | ||
6.00%, 06/15/33 | 15,462 | 16,288 | ||
5.50%, 07/15/33 | 8,307 | 8,827 | ||
5.50%, 08/15/33 | 2,611 | 2,734 | ||
5.50%, 09/15/33 | 2,154 | 2,257 | ||
6.00%, 10/15/33 | 28,640 | 30,196 | ||
6.50%, 10/15/33 | 43,554 | 45,878 | ||
5.50%, 04/15/34 | 3,148 | 3,296 | ||
5.50%, 05/15/34 | 2,230 | 2,334 | ||
6.50%, 08/15/34 | 42,674 | 45,850 | ||
5.50%, 09/15/34 | 30,631 | 33,167 | ||
5.50%, 12/15/34 | 33,740 | 36,654 | ||
5.50%, 01/15/35 | 23,268 | 25,301 | ||
6.00%, 09/20/38 | 66,090 | 72,079 | ||
5.00%, 07/20/40 | 4,840 | 5,130 | ||
5.00%, 09/20/40 | 23,076 | 24,545 | ||
4.00%, 10/20/40 | 2,625 | 2,670 | ||
6.00%, 10/20/40 | 8,080 | 8,843 | ||
6.00%, 01/20/41 | 7,372 | 7,979 | ||
4.50%, 04/20/41 | 91,012 | 95,200 | ||
3.00%, 09/15/42 | 211,524 | 202,421 |
Par | Value | |||
3.00%, 10/15/42 | $ 99,488 | $ 95,326 | ||
3.00%, 11/15/42 | 42,527 | 40,762 | ||
4.00%, 08/20/43 | 155,930 | 157,285 | ||
3.50%, 06/20/44 | 53,960 | 53,388 | ||
3.00%, 01/15/45 | 924,268 | 877,421 | ||
3.50%, 03/20/45 | 23,115 | 22,861 | ||
3.50%, 04/15/45 | 249,289 | 249,141 | ||
4.00%, 05/20/45 | 13,104 | 13,218 | ||
4.00%, 10/20/45 | 94,794 | 95,618 | ||
3.50%, 01/20/46 | 60,626 | 59,987 | ||
3.50%, 04/20/46 | 130,207 | 128,414 | ||
3.50%, 05/20/46 | 66,045 | 65,132 | ||
3.50%, 06/20/46 | 134,708 | 132,739 | ||
3.50%, 07/20/46 | 67,949 | 67,002 | ||
3.00%, 08/20/46 | 174,345 | 167,283 | ||
3.50%, 09/20/46 | 613,176 | 601,419 | ||
3.00%, 11/20/46 | 42,393 | 40,674 | ||
3.50%, 04/20/47 | 1,438,774 | 1,414,795 | ||
3.50%, 05/20/47 | 79,538 | 78,410 | ||
4.00%, 06/20/47 | 570,862 | 574,787 | ||
4.50%, 08/20/47 | 26,650 | 27,669 | ||
3.00%, 09/20/47 | 11,728 | 11,200 | ||
4.00%, 09/20/47 | 361,822 | 364,767 | ||
3.50%, 10/20/47 | 378,987 | 374,188 | ||
4.00%, 11/20/47 | 220,337 | 221,850 | ||
3.50%, 12/20/47 | 1,346,749 | 1,324,368 | ||
4.00%, 12/20/47 | 99,512 | 100,321 | ||
3.00%, 02/20/48 | 55,176 | 52,524 | ||
4.00%, 02/20/48 | 62,374 | 62,988 | ||
4.00%, 03/20/48 | 99,091 | 99,655 | ||
4.00%, 04/20/48 | 62,878 | 63,383 | ||
4.50%, 04/20/48 | 169,047 | 173,462 | ||
4.50%, 05/20/48 | 571,807 | 585,253 | ||
3.50%, 06/15/48 | 110,341 | 110,342 | ||
4.50%, 06/20/48 | 167,742 | 171,744 | ||
4.50%, 07/20/48 | 11,393 | 11,661 | ||
5.00%, 07/20/48 | 132,848 | 137,212 | ||
4.50%, 08/20/48 | 1,441,625 | 1,467,928 | ||
5.00%, 08/20/48 | 158,001 | 162,621 | ||
4.50%, 09/20/48 | 984,639 | 1,002,605 | ||
4.50%, 10/20/48 | 155,683 | 159,687 | ||
5.00%, 10/20/48 | 636,923 | 656,538 | ||
5.00%, 11/20/48 | 1,145,739 | 1,181,112 | ||
4.50%, 12/20/48 | 636,160 | 647,767 | ||
5.00%, 12/20/48 | 666,381 | 686,774 | ||
4.50%, 01/20/49 | 2,448,782 | 2,506,339 | ||
5.00%, 01/20/49 | 2,021,533 | 2,079,256 | ||
4.00%, 02/20/49 | 1,124,748 | 1,132,578 | ||
4.50%, 02/20/49 | 230,031 | 235,377 | ||
5.00%, 02/20/49 | 48,214 | 49,689 | ||
4.00%, 03/20/49 | 957,362 | 960,393 | ||
4.50%, 03/20/49 | 167,901 | 170,965 | ||
5.00%, 03/20/49 | 205,484 | 211,822 | ||
3.50%, 07/20/49 | 208,969 | 204,473 | ||
3.00%, 08/20/49 | 1,569,495 | 1,488,575 | ||
5.00%, 08/20/49 | 3,411,084 | 3,516,956 | ||
3.50%, 10/20/49 | 41,722 | 40,172 |
Par | Value | |||
4.00%, 10/20/49 | $ 39,912 | $ 40,559 | ||
4.50%, 10/20/49 | 199,252 | 202,887 | ||
4.00%, 11/20/49 | 45,328 | 44,853 | ||
5.00%, 11/20/49 | 267,831 | 277,165 | ||
3.00%, 01/20/50 | 197,858 | 184,875 | ||
4.00%, 01/20/50 | 50,888 | 52,339 | ||
3.50%, 02/20/50 | 783,037 | 766,104 | ||
4.00%, 02/20/50 | 44,484 | 45,550 | ||
3.00%, 03/20/50 | 6,374,622 | 6,035,988 | ||
4.00%, 03/20/50 | 30,393 | 31,376 | ||
4.00%, 04/20/50 | 167,265 | 171,051 | ||
3.50%, 05/15/50 | 103,720 | 102,735 | ||
4.50%, 05/20/50 | 472,382 | 482,776 | ||
3.50%, 07/20/50 | 83,664 | 81,846 | ||
4.50%, 12/20/50 | 297,420 | 304,050 | ||
3.00%, 07/20/51 | 151,466 | 143,282 | ||
3.00%, 09/20/51 | 1,615,971 | 1,526,636 | ||
3.00%, 11/20/51 | 1,150,610 | 1,086,525 | ||
3.00%, 12/20/51 | 962,022 | 908,774 | ||
3.00%, 02/20/52 | 691,116 | 648,728 | ||
3.50%, 02/20/52 | 591,062 | 575,420 | ||
3.00%, 03/20/52 | 294,520 | 275,640 | ||
3.50%, 03/20/52 | 199,335 | 192,401 | ||
3.00%, 04/20/52 | 1,094,742 | 1,024,475 | ||
3.50%, 06/20/52 | 200,000 | 194,464 | ||
2.00%, 07/01/52 TBA | 2,000,000 | 1,776,719 | ||
2.50%, 07/01/52 TBA | 6,000,000 | 5,492,813 | ||
3.50%, 07/01/52 TBA | 1,000,000 | 971,875 | ||
4.00%, 07/01/52 TBA | 1,400,000 | 1,394,285 | ||
4.50%, 07/01/52 TBA | 7,000,000 | 7,105,000 | ||
5.00%, 07/01/52 TBA | 3,000,000 | 3,075,000 | ||
4.00%, 07/20/52 | 100,000 | 99,603 | ||
3.50%, 08/01/52 TBA | 500,000 | 485,273 | ||
4.00%, 08/01/52 TBA | 100,000 | 99,373 | ||
4.50%, 08/01/52 TBA | 9,800,000 | 9,909,484 | ||
5.00%, 08/01/52 TBA | 1,000,000 | 1,021,094 | ||
4.50%, 09/01/52 TBA | 100,000 | 100,727 | ||
5.00%, 09/01/52 TBA | 100,000 | 101,719 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 1.90%, 05/20/37† | 56,266 | 56,156 | ||
Government National Mortgage Association, Series 2007-51 | ||||
(Floating, 6.58% - ICE LIBOR USD 1M, 6.58% Cap), 4.98%, 08/20/37† IO | 522,435 | 37,011 | ||
Government National Mortgage Association, Series 2010-85 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 5.05%, 01/20/40† IO | 4,964 | 126 |
Par | Value | |||
Government National Mortgage Association, Series 2010-H28 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 1.20%, 12/20/60† | $ 120,918 | $ 119,818 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.48%, 0.48% Floor, 10.50% Cap), 1.28%, 03/20/61† | 138,845 | 137,742 | ||
Government National Mortgage Association, Series 2011-H09 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 10.50% Cap), 1.30%, 03/20/61† | 97,191 | 96,542 | ||
Government National Mortgage Association, Series 2012-144 | ||||
0.33%, 01/16/53† IO γ | 2,766,886 | 26,695 | ||
Government National Mortgage Association, Series 2012-34 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 4.45%, 03/20/42† IO | 19,561 | 2,724 | ||
Government National Mortgage Association, Series 2012-H27 | ||||
1.77%, 10/20/62† IO γ | 330,292 | 10,050 | ||
Government National Mortgage Association, Series 2012-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor, 10.50% Cap), 1.15%, 12/20/62† | 433,312 | 429,720 | ||
Government National Mortgage Association, Series 2013-107 | ||||
2.85%, 11/16/47† γ | 119,481 | 113,539 | ||
Government National Mortgage Association, Series 2013-53 | ||||
3.50%, 04/20/43 IO | 42,547 | 4,435 | ||
Government National Mortgage Association, Series 2014-118 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 4.60%, 08/20/44† IO | 103,840 | 14,540 | ||
Government National Mortgage Association, Series 2014-17 | ||||
3.34%, 06/16/48† γ | 4,251 | 4,198 | ||
Government National Mortgage Association, Series 2014-93 | ||||
0.65%, 11/16/55† IO γ | 792,240 | 21,231 | ||
Government National Mortgage Association, Series 2015-167 | ||||
4.00%, 04/16/45 IO | 51,052 | 8,784 | ||
Government National Mortgage Association, Series 2015-H11 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.50% Cap), 1.35%, 05/20/65† | 1,442,484 | 1,429,311 |
Par | Value | |||
Government National Mortgage Association, Series 2015-H14 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 11.00% Cap), 1.23%, 05/20/65† | $1,354,607 | $1,345,020 | ||
(Floating, ICE LIBOR USD 1M + 0.57%, 0.57% Floor, 7.50% Cap), 1.37%, 06/20/65† | 2,625,102 | 2,606,108 | ||
Government National Mortgage Association, Series 2015-H15 | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 7.50% Cap), 1.38%, 06/20/65† | 1,009,184 | 1,001,226 | ||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 1.40%, 06/20/65† | 2,488,866 | 2,471,473 | ||
Government National Mortgage Association, Series 2015-H16 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 1.40%, 07/20/65† | 2,342,939 | 2,325,984 | ||
Government National Mortgage Association, Series 2015-H17 | ||||
(Floating, ICE LIBOR USD 1M + 0.46%, 0.46% Floor), 0.90%, 06/20/65† | 328,242 | 325,902 | ||
Government National Mortgage Association, Series 2015-H18 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 1.40%, 07/20/65† | 336,017 | 333,715 | ||
Government National Mortgage Association, Series 2015-H19 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 1.40%, 08/20/65† | 370,080 | 367,553 | ||
Government National Mortgage Association, Series 2015-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 1.40%, 09/20/65† | 411,126 | 408,201 | ||
Government National Mortgage Association, Series 2015-H23 | ||||
(Floating, ICE LIBOR USD 1M + 0.62%, 0.62% Floor, 7.50% Cap), 1.42%, 09/20/65† | 420,831 | 417,935 | ||
Government National Mortgage Association, Series 2015-H26 | ||||
(Floating, ICE LIBOR USD 1M + 0.52%, 0.52% Floor, 11.00% Cap), 1.32%, 10/20/65† | 963,031 | 953,945 | ||
Government National Mortgage Association, Series 2015-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 1.48%, 08/20/61† | 1,777 | 1,766 | ||
Government National Mortgage Association, Series 2016-152 | ||||
0.73%, 08/15/58† IO γ | 2,934,235 | 115,085 | ||
Government National Mortgage Association, Series 2017-190 | ||||
0.54%, 03/16/60† IO γ | 2,651,074 | 100,355 |
Par | Value | |||
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† | $1,128,268 | $1,125,314 | ||
2.22%, 07/20/67† IO γ | 329,513 | 20,295 | ||
Government National Mortgage Association, Series 2017-H18 | ||||
1.62%, 09/20/67† IO γ | 2,692,991 | 77,038 | ||
Government National Mortgage Association, Series 2017-H20 | ||||
2.04%, 10/20/67† IO γ | 120,841 | 7,341 | ||
Government National Mortgage Association, Series 2017-H22 | ||||
2.59%, 11/20/67† IO γ | 983,270 | 51,161 | ||
Government National Mortgage Association, Series 2018-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 11.00% Cap), 1.10%, 05/20/68† | 575,572 | 569,320 | ||
Government National Mortgage Association, Series 2020-123 | ||||
2.50%, 08/20/50 IO | 595,400 | 83,479 | ||
Government National Mortgage Association, Series 2020-127 | ||||
2.50%, 08/20/50 IO | 168,942 | 23,803 | ||
Government National Mortgage Association, Series 2020-129 | ||||
2.50%, 09/20/50 IO | 174,539 | 24,726 | ||
Government National Mortgage Association, Series 2020-160 | ||||
2.50%, 10/20/50 IO | 794,342 | 114,434 | ||
Government National Mortgage Association, Series 2020-179 | ||||
1.01%, 09/16/62† IO γ | 6,940,139 | 530,076 | ||
Government National Mortgage Association, Series 2020-181 | ||||
2.00%, 12/20/50 IO | 1,352,834 | 154,504 | ||
Government National Mortgage Association, Series 2020-47 | ||||
3.50%, 04/20/50 IO | 376,717 | 60,314 | ||
Government National Mortgage Association, Series 2020-H09 | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor, 11.00% Cap), 2.05%, 04/20/70† | 134,219 | 135,573 | ||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.95%, 05/20/70† | 340,547 | 342,553 | ||
Government National Mortgage Association, Series 2020-H13 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 7.50% Cap), 1.25%, 07/20/70† | 138,682 | 135,510 | ||
Government National Mortgage Association, Series 2021-29 | ||||
2.50%, 02/20/51 IO | 480,354 | 89,123 | ||
Government National Mortgage Association, Series 2022-3 | ||||
0.64%, 02/16/61† IO γ | 99,244 | 6,074 |
Par | Value | |||
GPMT, Ltd., Series 2021-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 2.86%, 07/16/35 144A † | $1,805,874 | $1,764,161 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 1.80%, 01/25/37† | 301,758 | 266,786 | ||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.55%, 1.30% Floor), 3.12%, 09/15/31 144A † | 1,418,028 | 1,256,192 | ||
GS Mortgage Securities Corporation Trust, Series 2021-DM, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.89%, 0.89% Floor), 2.21%, 11/15/36 144A † | 1,570,000 | 1,510,864 | ||
GS Mortgage Securities Corporation Trust, Series 2021-DM, Class AS | ||||
(Floating, ICE LIBOR USD 1M + 1.39%, 1.39% Floor), 2.71%, 11/15/36 144A † | 1,370,000 | 1,321,629 | ||
GS Mortgage Securities Corporation Trust, Series 2021-RENT, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 2.71%, 11/21/35 144A † | 663,129 | 645,865 | ||
GS Mortgage Securities Trust, Series 2013-GC16, Class B | ||||
5.16%, 11/10/46 | 130,000 | 128,569 | ||
GS Mortgage Securities Trust, Series 2015-GC30, Class AS | ||||
3.78%, 05/10/50 | 370,000 | 360,993 | ||
GS Mortgage Securities Trust, Series 2017-GS6, Class A2 | ||||
3.16%, 05/10/50 | 303,345 | 287,240 | ||
GS Mortgage-Backed Securities Trust, Series 2022-GR2, Class A2 | ||||
3.00%, 08/26/52 144A † γ | 2,542,814 | 2,264,620 | ||
GS Mortgage-Backed Securities Trust, Series 2022-PJ3, Class A4 | ||||
2.50%, 08/25/52 144A † γ | 2,166,571 | 1,855,490 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
2.94%, 09/25/35† γ | 174,304 | 169,718 | ||
Hawksmoor Mortgages, Series 2019-1A, Class A | ||||
(Floating, SONIA Interest Rate + 1.05%), 1.70%, 05/25/53(U) 144A † | 4,743,870 | 5,776,550 | ||
Impac CMB Trust, Series 2004-8, Class 1A | ||||
(Floating, ICE LIBOR USD 1M + 0.72%, 0.72% Floor, 11.00% Cap), 2.34%, 10/25/34† | 11,867 | 11,185 | ||
IndyMac ARM Trust, Series 2001-H2, Class A1 | ||||
1.69%, 01/25/32† γ | 2,188 | 2,051 |
Par | Value | |||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class D | ||||
5.11%, 05/15/45† γ | $ 280,000 | $ 268,743 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2021-410T, Class A | ||||
2.29%, 03/05/42 144A | 1,900,000 | 1,664,600 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
2.50%, 02/25/35† γ | 12,824 | 12,267 | ||
JP Morgan Mortgage Trust, Series 2018-4, Class A1 | ||||
3.50%, 10/25/48 144A † γ | 126,329 | 119,586 | ||
JP Morgan Mortgage Trust, Series 2021-14, Class A11 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.95%, 5.00% Cap), 1.88%, 05/25/52 144A † | 2,139,001 | 2,016,000 | ||
JP Morgan Mortgage Trust, Series 2021-6, Class A3 | ||||
2.50%, 10/25/51 144A † γ | 1,972,046 | 1,700,829 | ||
JP Morgan Mortgage Trust, Series 2021-LTV2, Class A1 | ||||
2.52%, 05/25/52 144A | 1,051,370 | 885,559 | ||
JP Morgan Mortgage Trust, Series 2022-INV1, Class A3 | ||||
3.00%, 03/25/52 144A † γ | 2,106,404 | 1,880,670 | ||
JP Morgan Mortgage Trust, Series 2022-LTV2, Class A3 | ||||
3.50%, 09/25/52 144A † γ | 2,085,425 | 1,933,137 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B | ||||
5.05%, 01/15/47† γ | 50,000 | 49,579 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class ASB | ||||
3.41%, 11/15/47 | 403,011 | 399,617 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class ASB | ||||
3.36%, 11/15/48 | 476,555 | 471,250 | ||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class B | ||||
4.01%, 03/15/50 | 630,000 | 561,832 | ||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class D | ||||
3.00%, 10/15/50 144A | 300,000 | 224,935 | ||
KREST Commercial Mortgage Securities Trust, Series 2021-CHIP, Class A | ||||
2.56%, 11/05/44 144A | 2,300,000 | 1,901,287 | ||
London Wall Mortgage Capital PLC, Series 2017-FL1, Class A | ||||
(Floating, SONIA Interest Rate + 0.97%), 1.57%, 11/15/49(U) † | 127,182 | 154,819 |
Par | Value | |||
Ludgate Funding PLC, Series 2007-1, Class A2A | ||||
(Floating, ICE LIBOR GBP 3M + 0.16%), 1.20%, 01/01/61(U) † | $ 558,289 | $ 630,706 | ||
Ludgate Funding PLC, Series 2008-W1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.60%), 1.64%, 01/01/61(U) † | 451,747 | 535,932 | ||
Luminace ABS-2022 Issuer LLC, Series 2021-PF1, Class AS | ||||
2.78%, 11/15/54 | 750,000 | 634,309 | ||
LUXE Trust, Series 2021-TRIP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 2.37%, 10/15/38 144A † | 2,300,000 | 2,218,524 | ||
Manhattan West Mortgage Trust, Series 2020-OMW, Class A | ||||
2.13%, 09/10/39 144A | 1,700,000 | 1,498,078 | ||
Mansard Mortgages PLC, Series 2007-1X, Class A2 | ||||
(Floating, SONIA Interest Rate + 0.30%), 0.75%, 04/15/47(U) † | 531,189 | 620,539 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7 | ||||
3.05%, 11/21/34† γ | 89,061 | 85,175 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 4A1 | ||||
2.43%, 05/25/34† γ | 46,615 | 44,960 | ||
MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class A | ||||
(Floating, CME Term SOFR 1M + 0.96%, 0.85% Floor), 2.30%, 07/15/36 144A † | 1,341,614 | 1,298,116 | ||
Mill City Mortgage Loan Trust, Series 2017-2, Class A3 | ||||
3.09%, 07/25/59 144A † γ | 150,031 | 147,226 | ||
Mill City Mortgage Loan Trust, Series 2019-GS2, Class M1 | ||||
3.00%, 08/25/59 144A | 870,000 | 811,192 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AS | ||||
3.46%, 05/15/46 | 140,000 | 138,664 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class B | ||||
4.00%, 12/15/47 | 370,000 | 359,929 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class AS | ||||
3.56%, 05/15/46 | 480,000 | 464,271 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A4 | ||||
3.37%, 10/15/48 | 1,400,000 | 1,365,923 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB | ||||
3.56%, 12/15/47 | 530,311 | 525,921 |
Par | Value | |||
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.65%, 1.40% Floor), 2.97%, 05/15/36 144A † | $ 920,626 | $ 889,309 | ||
Morgan Stanley Capital I Trust, Series 2020-CNP, Class A | ||||
2.51%, 04/05/42 144A † γ | 1,600,000 | 1,343,966 | ||
MortgageIT Trust, Series 2005-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.56%, 0.56% Floor, 11.50% Cap), 2.18%, 10/25/35† | 89,756 | 85,720 | ||
MSCG Trust, Series 2015-ALDR, Class A2 | ||||
3.58%, 06/07/35 144A † γ | 580,000 | 545,518 | ||
NADG NNN Operating LP, Series 2019-1, Class A | ||||
3.37%, 12/28/49 144A | 878,875 | 838,847 | ||
NYO Commercial Mortgage Trust, Series 2021-1290, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 2.42%, 11/15/38 144A † | 2,300,000 | 2,203,997 | ||
OBX Trust, Series 2018-1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 2.27%, 06/25/57 144A † | 965,509 | 946,871 | ||
PFP, Ltd., Series 2021-8, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 2.51%, 08/09/37 144A † | 2,300,000 | 2,217,378 | ||
PRKCM Trust, Series 2022-AFC1, Class A1A | ||||
4.10%, 04/25/57 144A † γ | 1,176,481 | 1,151,014 | ||
Ready Capital Mortgage Financing LLC, Series 2021-FL6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 2.57%, 07/25/36 144A † | 2,299,456 | 2,197,270 | ||
Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%, 1.20% Floor), 2.82%, 11/25/36 144A † | 2,296,839 | 2,199,126 | ||
Resloc UK PLC, Series 2007-1X, Class A3A | ||||
(Floating, 0.16% - Euribor 3M), 0.00%, 12/15/43(E) † | 732,241 | 724,024 | ||
Resloc UK PLC, Series 2007-1X, Class A3B | ||||
(Floating, ICE LIBOR GBP 3M + 0.16%), 1.75%, 12/15/43(U) † | 183,060 | 214,930 | ||
Ripon Mortgages PLC, Series 1RA, Class A | ||||
(Floating, SONIA Interest Rate + 0.70%), 1.35%, 08/28/56(U) 144A † | 4,333,343 | 5,204,131 |
Par | Value | |||
Ripon Mortgages PLC, Series 1RA, Class C | ||||
(Floating, SONIA Interest Rate + 1.15%), 1.80%, 08/28/56(U) 144A † | $3,100,000 | $3,616,666 | ||
Sequoia Mortgage Trust, Series 6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.64% Floor, 11.00% Cap), 2.24%, 04/19/27† | 83,045 | 79,822 | ||
SFO Commercial Mortgage Trust, Series 2021-555, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.40%, 2.40% Floor), 3.72%, 05/15/38 144A † | 970,000 | 913,230 | ||
Shops at Crystals Trust, Series 2016-CSTL, Class A | ||||
3.13%, 07/05/36 144A | 340,000 | 310,865 | ||
SLG Office Trust, Series 2021-OVA, Class A | ||||
2.59%, 07/15/41 144A | 430,000 | 365,913 | ||
SMRT, Series 2022-MINI, Class D | ||||
(Floating, CME Term SOFR 1M + 1.95%, 1.95% Floor), 3.23%, 01/15/39 144A † | 1,290,000 | 1,210,384 | ||
SREIT Trust, Series 2021-IND, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 2.02%, 10/15/38 144A † | 2,300,000 | 2,188,262 | ||
SREIT Trust, Series 2021-MFP2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.82%, 0.82% Floor), 2.15%, 11/15/36 144A † | 450,000 | 432,093 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 1.92%, 10/25/35† | 69,010 | 68,990 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 11.00% Cap), 2.10%, 07/19/35† | 32,040 | 29,518 | ||
STWD Mortgage Trust, Series 2021-HTS, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 2.37%, 04/15/34 144A † | 1,959,000 | 1,903,451 | ||
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A | ||||
(Floating, CME Term SOFR 1M + 2.19%, 2.19% Floor), 3.46%, 05/15/37 144A † | 850,000 | 829,259 |
Par | Value | |||
Thornburg Mortgage Securities Trust, Series 2003-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.64% Floor, 11.50% Cap), 2.26%, 09/25/43† | $ 3,251 | $ 3,150 | ||
Thornburg Mortgage Securities Trust, Series 2005-1, Class A3 | ||||
2.18%, 04/25/45† γ | 18,756 | 18,201 | ||
Towd Point Mortgage Funding PLC, Series 2019-A13X, Class A1 | ||||
(Floating, SONIA Interest Rate + 0.90%), 1.36%, 07/20/45(U) † | 1,498,300 | 1,822,600 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, SONIA Interest Rate + 1.14%), 1.61%, 10/20/51(U) 144A † | 980,853 | 1,191,107 | ||
Towd Point Mortgage Funding PLC, Series 2020-A14X, Class A | ||||
(Floating, SONIA Interest Rate + 0.90%), 1.53%, 05/20/45(U) † | 3,217,954 | 3,909,303 | ||
Towd Point Mortgage Funding, Series 2019-A13A, Class A1 | ||||
(Floating, SONIA Interest Rate + 0.90%), 1.36%, 07/20/45(U) 144A † | 1,498,300 | 1,822,600 | ||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class D | ||||
4.61%, 12/10/45 144A † γ | 320,000 | 301,762 | ||
Uniform Mortgage Backed Securities | ||||
2.00%, 07/01/52 TBA | 17,000,000 | 14,758,125 | ||
2.50%, 07/01/52 TBA | 25,000,000 | 22,490,235 | ||
3.50%, 07/01/52 TBA | 6,000,000 | 5,771,719 | ||
4.00%, 07/01/52 TBA | 9,000,000 | 8,877,480 | ||
4.50%, 07/01/52 TBA | 11,600,000 | 11,647,579 | ||
5.00%, 07/01/52 TBA | 11,400,000 | 11,638,688 | ||
3.00%, 08/01/52 TBA | 95,808,964 | 89,162,217 | ||
4.00%, 08/01/52 TBA | 26,400,000 | 25,996,266 | ||
4.50%, 08/01/52 TBA | 100,000 | 100,191 | ||
5.00%, 09/01/52 TBA | 100,000 | 101,596 | ||
UWM Mortgage Trust, Series 2021-INV2, Class A9 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.00%, 5.00% Cap), 1.93%, 09/25/51 144A † | 2,139,843 | 2,019,186 | ||
UWM Mortgage Trust, Series 2021-INV3, Class A3 | ||||
2.50%, 11/25/51 144A † γ | 3,035,688 | 2,613,047 | ||
UWM Mortgage Trust, Series 2021-INV3, Class A9 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.95%, 5.00% Cap), 1.88%, 11/25/51 144A † | 2,181,900 | 2,049,180 | ||
UWM Mortgage Trust, Series 2021-INV4, Class A3 | ||||
2.50%, 12/25/51 144A † γ | 2,098,505 | 1,808,485 |
Par | Value | |||
VASA Trust, Series 2021-VASA, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 2.22%, 07/15/39 144A † | $ 390,000 | $ 373,088 | ||
Verus Securitization Trust, Series 2022-6, Class A3 | ||||
4.91%, 06/25/67 144A † γ | 2,500,000 | 2,426,069 | ||
VLS Commercial Mortgage Trust, Series 2020-LAB, Class B | ||||
2.45%, 10/10/42 144A | 1,610,000 | 1,309,777 | ||
VNDO Mortgage Trust, Series 2012-6AVE, Class A | ||||
3.00%, 11/15/30 144A | 100,000 | 99,861 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR19, Class A7 | ||||
2.61%, 02/25/33† γ | 1,976 | 1,963 | ||
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), 1.88%, 06/25/42† | 3,118 | 2,915 | ||
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), 2.40%, 01/25/45† | 547,768 | 517,664 | ||
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), 2.20%, 10/25/45† | 361,992 | 346,366 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
2.78%, 02/25/37† γ | 116,668 | 105,178 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3 | ||||
3.04%, 02/25/37† γ | 77,892 | 73,583 | ||
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), 1.24%, 04/25/47† | 283,665 | 255,235 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 1A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 10.50% Cap), 2.16%, 07/25/45† | 257,303 | 246,179 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 10.50% Cap), 2.20%, 07/25/45† | 66,623 | 62,551 |
Par | Value | |||
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A | ||||
4.10%, 09/14/22 144A | $ 51,018 | $ 49,623 | ||
Wells Fargo Alternative Loan Trust, Series 2007-PA6, Class A1 | ||||
2.89%, 12/28/37† γ | 165,487 | 156,751 | ||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B | ||||
4.43%, 07/15/46† γ | 20,000 | 18,800 | ||
Wells Fargo Commercial Mortgage Trust, Series 2016-LC25, Class D | ||||
3.18%, 12/15/59 144A † γ | 532,000 | 419,201 | ||
Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class D | ||||
2.80%, 12/15/50 144A | 650,000 | 487,077 | ||
Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class D | ||||
3.25%, 01/15/60 144A | 150,000 | 118,916 | ||
Wells Fargo Commercial Mortgage Trust, Series 2019-C51, Class ASB | ||||
3.16%, 06/15/52 | 300,000 | 287,407 | ||
Wells Fargo Mortgage Backed Securities Trust, Series 2019-3, Class A1 | ||||
3.50%, 07/25/49 144A † γ | 35,754 | 33,636 | ||
WFRBS Commercial Mortgage Trust, Series 2013-C13, Class XA | ||||
1.31%, 05/15/45 144A † IO γ | 2,055,808 | 11,748 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C19, Class XA | ||||
1.14%, 03/15/47† IO γ | 753,945 | 8,248 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA | ||||
1.17%, 08/15/47† IO γ | 2,492,152 | 40,739 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class AS | ||||
3.93%, 11/15/47 | 290,000 | 284,364 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class C | ||||
4.29%, 11/15/47 | 300,000 | 256,201 | ||
Worldwide Plaza Trust, Series 2017-WWP, Class A | ||||
3.53%, 11/10/36 144A | 1,900,000 | 1,771,979 | ||
Total Mortgage-Backed Securities (Cost $711,402,201) | 685,151,433 | |||
MUNICIPAL BONDS — 0.6% | ||||
American Municipal Power, Inc., Hydroelectric Projects, Revenue Bond, Series B | ||||
8.08%, 02/15/50 | 600,000 | 882,691 | ||
American Municipal Power, Inc., Revenue Bond, Series E | ||||
6.27%, 02/15/50 | 235,000 | 272,043 | ||
Bay Area Toll Authority, Revenue Bond, Series F-1 | ||||
1.63%, 04/01/28 | 300,000 | 266,993 |
Par | Value | |||
California Statewide Communities Development Authority, Revenue Bond | ||||
1.81%, 02/01/30 | $ 25,000 | $ 20,653 | ||
1.88%, 02/01/31 | 150,000 | 121,316 | ||
Central Texas Regional Mobility Authority, Revenue Bond, Series E | ||||
3.17%, 01/01/41 | 1,000,000 | 793,561 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue, Revenue Bond, Series A | ||||
6.90%, 12/01/40 | 700,000 | 840,805 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue, Revenue Bond, Series B | ||||
6.90%, 12/01/40 | 300,000 | 360,345 | ||
City of Houston Texas Airport System Revenue, Revenue Bond, Subseries C | ||||
2.24%, 07/01/29 | 110,000 | 97,231 | ||
City of New Orleans Louisiana Sewerage Service Revenue, Revenue Bond (AGM Insured) | ||||
0.96%, 06/01/26 | 25,000 | 22,196 | ||
1.41%, 06/01/28 | 65,000 | 55,167 | ||
City of New Orleans Louisiana Water System Revenue, Revenue Bond (AGM Insured) | ||||
1.01%, 12/01/26 | 30,000 | 26,123 | ||
1.46%, 12/01/28 | 65,000 | 54,086 | ||
City of Tucson Arizona COPS, Series A (AGM Insured) | ||||
1.93%, 07/01/31 | 205,000 | 170,883 | ||
Commonwealth Financing Authority, Revenue Bond, Series C | ||||
2.76%, 06/01/30 | 50,000 | 45,509 | ||
Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bond | ||||
4.28%, 02/01/36 | 1,300,000 | 1,294,856 | ||
Louisiana State Transportation Authority, Revenue Bond, Series A | ||||
2.00%, 02/15/30 | 50,000 | 43,018 | ||
Metropolitan Transportation Authority, Revenue Bond, Series A-2 | ||||
5.99%, 11/15/30 | 115,000 | 126,306 | ||
Metropolitan Transportation Authority, Revenue Bond, Series C-2 | ||||
5.18%, 11/15/49 | 825,000 | 854,959 | ||
Municipal Improvement Corporation of Los Angeles, Revenue Bond, Series A | ||||
1.65%, 11/01/28 | 225,000 | 196,044 | ||
2.07%, 11/01/30 | 670,000 | 569,172 |
Par | Value | |||
Municipal Improvement Corporation of Los Angeles, Revenue Bond, Series C | ||||
1.83%, 11/01/29 | $ 70,000 | $ 59,991 | ||
Port Authority of New York & New Jersey, Revenue Bond, Series 192 | ||||
4.81%, 10/15/65 | 300,000 | 310,687 | ||
Port of Oakland, Senior Lien Revenue Bond, Series R | ||||
1.95%, 05/01/28 | 90,000 | 80,387 | ||
2.10%, 05/01/30 | 25,000 | 21,450 | ||
2.20%, 05/01/31 | 135,000 | 114,217 | ||
San Francisco Municipal Transportation Agency, Revenue Bond, Series A | ||||
1.30%, 03/01/28 | 155,000 | 134,650 | ||
San Jose Financing Authority, Revenue Bond | ||||
1.81%, 06/01/29 | 100,000 | 86,536 | ||
1.86%, 06/01/30 | 55,000 | 46,593 | ||
State Board of Administration Finance Corporation, Revenue Bond, Series A | ||||
2.15%, 07/01/30 | 235,000 | 204,445 | ||
State of California, General Obligation | ||||
7.55%, 04/01/39 | 410,000 | 557,338 | ||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 | 405,000 | 407,954 | ||
6.63%, 02/01/35 | 495,000 | 527,692 | ||
7.35%, 07/01/35 | 465,000 | 507,748 | ||
State of Louisiana, Revenue Bond, I-49 North Project | ||||
1.06%, 09/01/26 | 15,000 | 13,486 | ||
State of Louisiana, Revenue Bond, I-49 South Project | ||||
1.54%, 09/01/28 | 70,000 | 61,053 | ||
Tarrant County Cultural Education Facilities Finance Corporation, Revenue Bond | ||||
2.78%, 09/01/34 | 1,000,000 | 814,095 | ||
University of North Carolina at Charlotte (The), Revenue Bond | ||||
1.71%, 04/01/28 | 5,000 | 4,356 | ||
Total Municipal Bonds (Cost $11,439,421) | 11,066,635 |
Number of Contracts | Notional Amount | Value | |||
PURCHASED OPTIONS — 0.0% | |||||
Call Swaption — 0.0% | |||||
Pay 1-Day SOFR (Annually); Receive 2.70% (Annually); Interest Rate Swap Maturing 4/04/2025 USD, Strike Price $2.70, Expires 10/10/22 (GSC) | 1 | $ 100 | $ 43,166 | ||
Call Options — 0.0% | |||||
10-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $117.00, Expires 07/22/22 (GSC) | 42 | 4,978,312 | 80,719 | ||
5-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $112.20, Expires 07/22/22 (GSC) | 60 | 6,735,000 | 29,063 | ||
Long U.S. Treasury Bond Future expiration date 8/2022, Strike Price $136.00, Expires 07/22/22 (GSC) | 22 | 3,049,750 | 75,969 | ||
Long U.S. Treasury Bond Future expiration date 8/2022, Strike Price $138.50, Expires 07/22/22 (GSC) | 22 | 3,049,750 | 32,866 | ||
218,617 | |||||
Put Options — 0.0% | |||||
10-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $116.50, Expires 07/22/22 (GSC) | 90 | 10,667,813 | 25,313 | ||
5-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $110.20, Expires 07/22/22 (GSC) | 45 | 5,051,250 | 4,570 | ||
5-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $110.70, Expires 07/22/22 (GSC) | 17 | 1,908,250 | 2,789 | ||
32,672 |
Number of Contracts | Notional Amount | Value | |||
Put Swaption — 0.0% | |||||
Pay 2.71% (Annually); Receive 1-Day SOFR (Annually); Interest Rate Swap Maturing 4/04/2025 USD, Strike Price $2.70, Expires 10/10/22 (GSC) | 1 | $100 | $ 43,166 | ||
Total Purchased Options (Premiums paid $263,547) | 337,621 |
Par | |||
U.S. TREASURY OBLIGATIONS — 19.5% | |||
U.S. Treasury Bills | |||
1.02%, 08/23/22Ω ‡‡ | $ 3,696,000 | 3,687,988 | |
1.22%, 09/08/22Ω ‡‡ Δ | 4,100,000 | 4,087,927 | |
7,775,915 | |||
U.S. Treasury Bonds | |||
4.38%, 02/15/38 | 10,000 | 11,648 | |
4.25%, 05/15/39 | 4,300,000 | 4,915,354 | |
4.38%, 11/15/39 | 200,000 | 231,227 | |
1.13%, 08/15/40 | 6,360,000 | 4,396,598 | |
1.38%, 11/15/40 | 42,260,000 | 30,451,962 | |
1.88%, 02/15/41 | 9,190,000 | 7,211,458 | |
2.25%, 05/15/41Δ | 4,150,000 | 3,464,602 | |
1.75%, 08/15/41 | 1,350,000 | 1,027,424 | |
3.13%, 11/15/41 | 3,580,000 | 3,439,177 | |
2.38%, 02/15/42 | 2,800,000 | 2,375,187 | |
3.25%, 05/15/42 | 150,000 | 146,438 | |
2.75%, 08/15/42 | 10,430,000 | 9,367,036 | |
2.75%, 11/15/42 | 7,050,000 | 6,318,838 | |
2.88%, 05/15/43Δ | 3,200,000 | 2,920,750 | |
3.63%, 08/15/43 | 280,000 | 287,612 | |
3.63%, 02/15/44 | 6,460,000 | 6,633,612 | |
3.38%, 05/15/44 | 3,200,000 | 3,161,125 | |
3.13%, 08/15/44 | 4,800,000 | 4,551,000 | |
3.00%, 11/15/44 | 3,100,000 | 2,875,613 | |
2.50%, 02/15/45Δ | 950,000 | 806,461 | |
2.88%, 08/15/45 | 4,340,000 | 3,946,009 | |
3.00%, 02/15/48 | 6,170,000 | 5,816,189 | |
2.88%, 05/15/49Δ | 6,200,000 | 5,783,680 | |
2.00%, 02/15/50 | 19,830,000 | 15,375,996 | |
1.25%, 05/15/50 | 28,190,000 | 17,948,000 | |
1.38%, 08/15/50 | 22,170,000 | 14,603,188 | |
1.63%, 11/15/50 | 16,340,000 | 11,499,594 | |
1.88%, 02/15/51 | 5,570,000 | 4,180,764 | |
2.38%, 05/15/51 | 3,800,000 | 3,209,367 | |
2.00%, 08/15/51 | 3,030,000 | 2,343,161 | |
1.88%, 11/15/51 | 1,621,000 | 1,216,763 |
Par | Value | |||
2.25%, 02/15/52Δ | $13,052,000 | $ 10,745,467 | ||
2.88%, 05/15/52 | 39,660,000 | 37,469,405 | ||
228,730,705 | ||||
U.S. Treasury Notes | ||||
1.88%, 09/30/22 | 1,673,000 | 1,673,271 | ||
2.00%, 10/31/22 | 2,700,000 | 2,698,861 | ||
0.13%, 03/31/23 | 1,000,000 | 980,622 | ||
0.25%, 09/30/23 | 160,000 | 154,763 | ||
0.25%, 11/15/23 | 60,000 | 57,830 | ||
2.75%, 05/15/25 | 31,100,000 | 30,864,320 | ||
0.25%, 08/31/25 | 1,390,000 | 1,272,990 | ||
2.25%, 11/15/25 | 1,480,000 | 1,441,959 | ||
0.38%, 11/30/25 | 20,000 | 18,272 | ||
0.75%, 03/31/26 | 600,000 | 551,156 | ||
2.25%, 03/31/26 | 1,500,000 | 1,457,813 | ||
2.63%, 05/31/27Δ | 11,420,000 | 11,205,429 | ||
0.75%, 01/31/28Δ | 17,550,000 | 15,460,453 | ||
2.75%, 02/15/28 | 1,400,000 | 1,375,883 | ||
1.25%, 03/31/28 | 5,910,000 | 5,340,239 | ||
1.25%, 04/30/28 | 3,190,000 | 2,877,978 | ||
1.25%, 05/31/28 | 6,590,000 | 5,937,178 | ||
1.25%, 09/30/28 | 5,280,000 | 4,729,931 | ||
1.38%, 10/31/28 | 750,000 | 676,318 | ||
2.88%, 04/30/29 | 2,700,000 | 2,668,781 | ||
2.75%, 05/31/29 | 20,270,000 | 19,874,102 | ||
3.25%, 06/30/29 | 4,600,000 | 4,654,985 | ||
1.25%, 08/15/31 | 1,740,000 | 1,498,303 | ||
2.88%, 05/15/32 | 27,900,000 | 27,590,485 | ||
145,061,922 | ||||
U.S. Treasury Strips | ||||
2.22%, 02/15/40Ω ‡‡ | 2,790,000 | 1,543,912 | ||
2.18%, 08/15/41Ω Δ | 1,080,000 | 549,355 | ||
2.42%, 05/15/44Ω | 3,405,000 | 1,583,504 | ||
2.48%, 11/15/44Ω | 820,000 | 374,031 | ||
2.33%, 02/15/46Ω | 4,115,000 | 1,819,897 | ||
1.95%, 05/15/52Ω | 4,900,000 | 1,973,874 | ||
7,844,573 | ||||
Total U.S. Treasury Obligations (Cost $436,398,683) | 389,413,115 |
Shares | |||
MONEY MARKET FUNDS — 7.5% | |||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø ∞ | 83,594,674 | 83,594,674 | |
Northern Institutional Liquid Assets Portfolio (Shares), 1.46%Ø § | 25,291,196 | 25,291,196 | |
Northern Institutional U.S. Government Portfolio (Shares), 1.12%Ø | 40,141,110 | 40,141,110 | |
Total Money Market Funds (Cost $149,026,980) | 149,026,980 |
Par | Value | |||
REPURCHASE AGREEMENTS — 4.0% | ||||
Deutsche Bank Securities, Inc. | ||||
1.53% (dated 07/01/22, due 07/05/22, repurchase price $39,835,750, collateralized by U.S. Treasury Note, 0.75%, due 04/30/26, total market value $40,738,076) | $39,500,000 | $ 39,500,000 | ||
1.54% (dated 06/30/22, due 07/01/22, repurchase price $40,644,789, collateralized by U.S. Treasury Note, 0.13%, due 01/15/31, total market value $41,524,174) | 40,300,000 | 40,300,000 | ||
Total Repurchase Agreements (Cost $79,800,000) | 79,800,000 | |||
TOTAL INVESTMENTS —114.7% (Cost $2,466,060,250) | 2,287,021,386 |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.1)% | ||||
Call Options — (0.1)% | ||||
10-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $117.50, Expires 07/22/22 (GSC) | (15) | $ (1,777,969) | (23,437) | |
10-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $118.00, Expires 07/22/22 (GSC) | (84) | (9,956,625) | (103,688) | |
10-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $118.50, Expires 07/22/22 (GSC) | (90) | (10,667,812) | (85,782) | |
10-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $119.00, Expires 07/22/22 (GSC) | (30) | (3,555,938) | (21,562) | |
10-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $120.00, Expires 07/22/22 (GSC) | (70) | (8,297,187) | (27,344) | |
10-Year U.S. Treasury Note Future expiration date 9/2022, Strike Price $120.50, Expires 08/26/22 (GSC) | (60) | (7,111,875) | (45,000) |
Number of Contracts | Notional Amount | Value | |||
5-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $111.50, Expires 07/22/22 (GSC) | (63) | $ (7,071,750) | $ (68,414) | ||
5-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $112.00, Expires 07/22/22 (GSC) | (192) | (21,552,000) | (148,500) | ||
Australian Dollar vs. U.S. Dollar, Strike Price $0.74, Expires 08/11/22 (BAR) | (1) | (7,700,000) | (5,433) | ||
Brazilian Real vs. U.S. Dollar, Strike Price $5.29, Expires 08/29/22 (MSCS) | (1) | (3,500,000) | (118,321) | ||
Brazilian Real vs. U.S. Dollar, Strike Price $5.37, Expires 07/26/22 (MSCS) | (1) | (4,100,000) | (53,587) | ||
Brazilian Real vs. U.S. Dollar, Strike Price $5.62, Expires 08/09/22 (HSBC) | (1) | (4,900,000) | (36,571) | ||
Euro Dollar 12/2022, Strike Price $965.00, Expires 12/19/22 (GSC) | (115) | (27,689,125) | (82,656) | ||
Euro Dollar 12/2022, Strike Price $970.00, Expires 12/19/22 (GSC) | (541) | (130,259,275) | (185,969) | ||
(1,006,264) | |||||
Call Swaptions — (0.0)% | |||||
Pay 2.15% (Annually); Receive 1-Day SOFR (Annually); Interest Rate Swap Maturing 11/22/2024 USD, Strike Price $2.15, Expires 11/20/23 (GSC) | (1) | (7,900,000) | (29,661) | ||
Pay 2.25% (Annually); Receive 1-Day SOFR (Annually); Interest Rate Swap Maturing 8/29/2027 USD, Strike Price $2.25, Expires 08/19/22 (GSC) | (1) | (3,200,000) | (6,115) |
Number of Contracts | Notional Amount | Value | |||
Pay 2.31% (Annually); Receive 1-Day SOFR (Annually); Interest Rate Swap Maturing 8/23/2032 USD, Strike Price $2.31, Expires 08/25/22 (GSC) | (1) | $ (7,700,000) | $(19,438) | ||
Pay 2.70% (Annually); Receive 1-Day SOFR (Annually); Interest Rate Swap Maturing 4/04/2025 USD, Strike Price $2.70, Expires 04/02/24 (GSC) | (1) | (5,800,000) | (41,852) | ||
(97,066) | |||||
Put Options — (0.0)% | |||||
10-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $115.00, Expires 07/22/22 (GSC) | (72) | (8,534,250) | (7,875) | ||
10-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $116.00, Expires 07/22/22 (GSC) | (122) | (14,460,812) | (24,782) | ||
10-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $117.00, Expires 07/22/22 (GSC) | (70) | (8,297,188) | (27,344) | ||
30-Year U.S. Treasury Note Future expiration date 7/2022, Strike Price $133.00, Expires 07/01/22 (GSC) | (7) | (1,080,407) | (7) | ||
5-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $109.00, Expires 07/22/22 (GSC) | (90) | (10,102,500) | (2,813) | ||
5-Year U.S. Treasury Note Future expiration date 8/2022, Strike Price $109.70, Expires 07/22/22 (GSC) | (106) | (11,898,500) | (6,625) |
Number of Contracts | Notional Amount | Value | |||
FNCL 3.50% expiration date 8/2020, Strike Price $96.91, Expires 08/04/22 (JPM) | (1) | $ (3,900,000) | $ (44,901) | ||
FNCL 4.00% expiration date 8/2020, Strike Price $98.09, Expires 08/04/22 (JPM) | (1) | (19,400,000) | (89,756) | ||
FNCL 4.50% expiration date 8/2020, Strike Price $99.77, Expires 08/04/22 (JPM) | (1) | (7,700,000) | (26,072) | ||
FNCL 4.50% expiration date 8/2020, Strike Price $99.83, Expires 08/04/22 (JPM) | (1) | (7,700,000) | (27,683) | ||
FNCL 4.50% expiration date 9/2020, Strike Price $99.66, Expires 09/07/22 (JPM) | (1) | (9,900,000) | (60,958) | ||
Long U.S. Treasury Bond Future expiration date 8/2022, Strike Price $133.00, Expires 07/22/22 (GSC) | (21) | (2,911,125) | (6,235) | ||
Norwegian Krone vs. U.S. Dollar, Strike Price $9.25, Expires 07/13/22 (DEUT) | (1) | (5,900,000) | (494) | ||
(325,545) | |||||
Put Swaptions — (0.0)% | |||||
Pay 1-Day SOFR (Annually); Receive 2.70% (Annually); Interest Rate Swap Maturing 4/04/2025 USD, Strike Price $2.70, Expires 04/02/24 (GSC) | (1) | (5,800,000) | (38,967) |
Number of Contracts | Notional Amount | Value | |||
Pay 1-Day SOFR (Annually); Receive 2.85% (Annually); Interest Rate Swap Maturing 8/29/2027 USD, Strike Price $2.85, Expires 04/02/24 (GSC) | (1) | $(3,200,000) | $ (29,782) | ||
Pay 1-Day SOFR (Annually); Receive 3.01% (Annually); Interest Rate Swap Maturing 8/23/2032 USD, Strike Price $3.01, Expires 08/25/22 (GSC) | (1) | (7,700,000) | (66,316) | ||
Pay 1-Day SOFR (Annually); Receive 3.65% (Annually); Interest Rate Swap Maturing 11/22/2024 USD, Strike Price $3.65, Expires 11/20/23 (GSC) | (1) | (7,900,000) | (27,950) | ||
(163,015) | |||||
Total Written Options (Premiums received $ (1,723,432)) | (1,591,890) |
Par | |||
TBA SALE COMMITMENTS — (0.4)% | |||
Uniform Mortgage Backed Securities 3.50%, 07/01/52 TBA | $ (100,000) | (96,195) | |
Uniform Mortgage Backed Securities 2.50%, 07/01/52 TBA | (1,000,000) | (899,609) |
Par | Value | |||
Uniform Mortgage Backed Securities 3.00%, 07/01/52 TBA | $(7,000,000) | $ (6,521,485) | ||
Total TBA Sale Commitments (Proceeds $(7,593,789)) | (7,517,289) | |||
Liabilities in Excess of Other Assets — (14.2)% | (282,723,866) | |||
NET ASSETS — 100.0% | $1,995,188,341 |
% | |
Mortgage-Backed Securities | 34.4 |
Corporate Bonds | 27.3 |
U.S. Treasury Obligations | 19.5 |
Foreign Bonds | 10.3 |
Asset-Backed Securities | 7.5 |
Money Market Funds | 7.5 |
Repurchase Agreements | 4.0 |
Agency Obligations | 1.6 |
Commercial Paper | 1.3 |
Loan Agreements | 0.7 |
Municipal Bonds | 0.6 |
Purchased Options | —** |
Written Options | (0.1) |
TBA Sale Commitments | (0.4) |
114.2 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 09/2022 | (14) | $ (2,399,638) | $ 163,130 | ||||
Euro-Bobl | 09/2022 | 8 | 1,041,159 | (44,880) | ||||
Euro-Bund | 09/2022 | (179) | (27,908,606) | 619,997 | ||||
Euro-OAT | 09/2022 | 1 | 145,173 | (247,802) | ||||
FTSE KLCI | 09/2022 | (160) | (20,643,777) | (1,183,508) | ||||
10-Year Japanese Treasury Bond | 09/2022 | (23) | (25,191,848) | 95,315 | ||||
10-Year Commonwealth Treasury Bond | 09/2022 | 73 | 5,990,909 | (43,373) | ||||
10-Year U.S. Treasury Note | 09/2022 | (155) | (18,372,344) | 426,959 | ||||
U.S. Treasury Long Bond | 09/2022 | (621) | (86,086,125) | 470,161 | ||||
Ultra 10-Year U.S. Treasury Note | 09/2022 | (131) | (16,686,125) | 234,702 | ||||
Ultra Long U.S. Treasury Bond | 09/2022 | 281 | 43,370,594 | (572,009) | ||||
Long GILT | 09/2022 | (45) | (6,243,654) | 261,133 | ||||
2-Year U.S. Treasury Note | 10/2022 | 275 | 57,754,297 | (99,243) | ||||
5-Year U.S. Treasury Note | 10/2022 | 1,644 | 184,539,000 | (536,833) | ||||
3-Month Euribor | 12/2022 | 134 | 34,706,113 | (153,480) | ||||
90-Day Eurodollar | 12/2022 | 736 | 177,210,400 | (2,792,996) | ||||
3-Month CME SOFR | 12/2022 | (112) | (27,172,600) | (27,143) | ||||
90-Day Eurodollar | 06/2023 | 156 | 37,660,350 | (45,794) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
90-Day Eurodollar | 09/2023 | 37 | $ 8,949,838 | $ (215,287) | ||||
3-Month CME SOFR | 09/2023 | 115 | 27,837,188 | 79,125 | ||||
90-Day Eurodollar | 12/2023 | 143 | 34,643,538 | (322,112) | ||||
Total Futures Contracts outstanding at June 30, 2022 | $383,143,842 | $(3,933,938) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/05/22 | U.S. Dollars | 32,379,202 | British Pounds | 25,688,000 | BNP | $1,106,384 | ||||||
07/05/22 | U.S. Dollars | 11,785,790 | Euro | 10,929,000 | HSBC | 328,853 | ||||||
10/07/22 | U.S. Dollars | 2,664,135 | Israeli Shekels | 8,499,500 | DEUT | 212,653 | ||||||
08/05/22 | U.S. Dollars | 2,250,020 | Chilean Pesos | 1,885,404,600 | HSBC | 212,211 | ||||||
10/07/22 | U.S. Dollars | 2,302,621 | Israeli Shekels | 7,300,000 | HSBC | 197,106 | ||||||
07/19/22 | U.S. Dollars | 4,467,130 | Chinese Offshore Yuan | 28,601,065 | CITI | 194,654 | ||||||
09/07/22 | U.S. Dollars | 1,786,732 | Israeli Shekels | 5,700,570 | JPM | 146,500 | ||||||
07/01/22 | U.S. Dollars | 1,757,264 | Danish Kroner | 11,844,841 | MSCS | 88,400 | ||||||
07/05/22 | U.S. Dollars | 5,566,383 | Australian Dollars | 7,971,000 | JPM | 64,189 | ||||||
08/16/22 | U.S. Dollars | 903,863 | Japanese Yen | 114,400,000 | HSBC | 58,025 | ||||||
08/31/22 | U.S. Dollars | 721,000 | Brazilian Reals | 3,537,947 | MSCS | 57,502 | ||||||
04/05/23 | U.S. Dollars | 1,969,691 | Israeli Shekels | 6,557,100 | JPM | 54,789 | ||||||
07/13/22 | U.S. Dollars | 1,375,274 | South African Rand | 21,529,553 | BNP | 53,734 | ||||||
07/19/22 | U.S. Dollars | 1,186,431 | Japanese Yen | 153,685,508 | CITI | 52,398 | ||||||
08/08/22 | U.S. Dollars | 4,164,284 | Peruvian Nuevo Soles | 15,839,688 | JPM | 45,004 | ||||||
09/21/22 | U.S. Dollars | 1,263,698 | New Zealand Dollars | 1,955,453 | DEUT | 43,618 | ||||||
12/12/22 | U.S. Dollars | 817,400 | South African Rand | 12,842,825 | DEUT | 41,182 | ||||||
07/19/22 | U.S. Dollars | 964,474 | Australian Dollars | 1,349,326 | CITI | 32,967 | ||||||
09/21/22 | U.S. Dollars | 1,267,481 | British Pounds | 1,013,591 | MSCS | 31,603 | ||||||
08/02/22 | U.S. Dollars | 9,783,762 | Euro | 9,285,000 | BNP | 31,377 | ||||||
08/16/22 | U.S. Dollars | 4,607,780 | Japanese Yen | 619,100,000 | BNP | 30,344 | ||||||
07/15/22 | U.S. Dollars | 1,489,000 | Norwegian Kroner | 14,375,589 | UBS | 29,083 | ||||||
07/28/22 | U.S. Dollars | 3,208,480 | Euro | 3,029,568 | JPM | 27,603 | ||||||
07/19/22 | U.S. Dollars | 1,139,129 | Canadian Dollars | 1,432,355 | CITI | 26,391 | ||||||
07/01/22 | U.S. Dollars | 504,470 | Danish Kroner | 3,406,680 | DEUT | 24,490 | ||||||
07/19/22 | U.S. Dollars | 658,989 | Indonesian Rupiahs | 9,511,189,041 | CITI | 22,301 | ||||||
08/16/22 | Japanese Yen | 504,500,000 | U.S. Dollars | 3,712,334 | BNP | 17,785 | ||||||
08/16/22 | U.S. Dollars | 511,755 | Japanese Yen | 66,856,635 | JPM | 17,438 | ||||||
07/19/22 | U.S. Dollars | 246,181 | British Pounds | 188,429 | GSC | 16,728 | ||||||
08/11/22 | U.S. Dollars | 995,000 | Brazilian Reals | 5,193,900 | HSBC | 15,358 | ||||||
07/19/22 | U.S. Dollars | 672,673 | Mexican Pesos | 13,292,281 | CITI | 14,026 | ||||||
07/19/22 | Euro | 571,166 | Norwegian Kroner | 5,767,248 | CITI | 13,587 | ||||||
07/05/22 | Australian Dollars | 7,999,000 | U.S. Dollars | 5,508,911 | HSBC | 12,611 | ||||||
09/21/22 | Euro | 588,000 | Swedish Kronor | 6,196,462 | SS | 12,037 | ||||||
09/21/22 | Swiss Francs | 359,448 | U.S. Dollars | 370,664 | BNP | 8,182 | ||||||
07/19/22 | U.S. Dollars | 269,850 | Euro | 249,897 | GSC | 7,633 | ||||||
09/22/22 | U.S. Dollars | 1,058,627 | British Pounds | 862,154 | MSCS | 7,376 | ||||||
07/05/22 | British Pounds | 838,000 | U.S. Dollars | 1,013,056 | JPM | 7,133 | ||||||
08/01/22 | U.S. Dollars | 772,360 | Danish Kroner | 5,423,319 | MSCS | 6,525 | ||||||
07/05/22 | U.S. Dollars | 607,305 | British Pounds | 494,000 | JPM | 5,905 | ||||||
07/21/22 | U.S. Dollars | 380,388 | Canadian Dollars | 483,813 | MSCS | 4,535 | ||||||
07/05/22 | U.S. Dollars | 466,403 | Euro | 442,000 | BAR | 3,052 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/19/22 | U.S. Dollars | 190,558 | Euro | 180,000 | CITI | $ 1,683 | ||||||
09/21/22 | U.S. Dollars | 24,320 | Euro | 22,614 | DEUT | 476 | ||||||
07/05/22 | U.S. Dollars | 4,013 | Brazilian Reals | 20,691 | BNP | 66 | ||||||
07/19/22 | U.S. Dollars | 23,341 | Mexican Pesos | 470,000 | GSC | 52 | ||||||
Subtotal Appreciation | $ 3,385,549 | |||||||||||
08/02/22 | Brazilian Reals | 20,691 | U.S. Dollars | 3,981 | BNP | $ (69) | ||||||
07/05/22 | Brazilian Reals | 20,691 | U.S. Dollars | 4,270 | BNP | (322) | ||||||
07/19/22 | U.S. Dollars | 334,791 | Euro | 320,000 | CITI | (987) | ||||||
09/21/22 | Canadian Dollars | 66,131 | U.S. Dollars | 52,478 | MSCS | (1,095) | ||||||
07/05/22 | British Pounds | 603,000 | U.S. Dollars | 736,401 | BAR | (2,303) | ||||||
08/16/22 | U.S. Dollars | 495,968 | Norwegian Kroner | 4,905,000 | BNP | (2,529) | ||||||
09/22/22 | British Pounds | 334,109 | U.S. Dollars | 410,248 | MSCS | (2,858) | ||||||
08/10/22 | U.S. Dollars | 1,330,326 | Chinese Offshore Yuan | 8,930,000 | RBS | (3,382) | ||||||
07/05/22 | U.S. Dollars | 628,539 | Euro | 604,000 | BAR | (4,637) | ||||||
07/19/22 | Mexican Pesos | 18,000,000 | U.S. Dollars | 897,899 | CITI | (5,978) | ||||||
08/16/22 | Japanese Yen | 94,700,000 | U.S. Dollars | 706,515 | BNP | (6,332) | ||||||
09/21/22 | British Pounds | 500,000 | U.S. Dollars | 615,989 | SS | (6,336) | ||||||
07/05/22 | U.S. Dollars | 932,263 | British Pounds | 771,000 | BAR | (6,360) | ||||||
07/05/22 | U.S. Dollars | 6,684,837 | Australian Dollars | 9,694,000 | JPM | (6,703) | ||||||
08/01/22 | U.S. Dollars | 1,361,944 | Danish Kroner | 9,695,000 | MSCS | (7,102) | ||||||
05/10/23 | U.S. Dollars | 1,672,170 | Chinese Offshore Yuan | 11,221,933 | HSBC | (7,383) | ||||||
08/10/22 | U.S. Dollars | 2,817,616 | Chinese Offshore Yuan | 18,920,291 | HSBC | (8,157) | ||||||
09/21/22 | Norwegian Kroner | 3,104,290 | U.S. Dollars | 325,391 | MSCS | (9,627) | ||||||
07/05/22 | U.S. Dollars | 3,848,834 | Euro | 3,682,000 | JPM | (11,029) | ||||||
08/02/22 | U.S. Dollars | 5,509,631 | Australian Dollars | 7,999,000 | HSBC | (13,118) | ||||||
07/05/22 | Euro | 494,000 | U.S. Dollars | 531,130 | UBS | (13,266) | ||||||
08/11/22 | Brazilian Reals | 5,198,875 | U.S. Dollars | 995,000 | JPM | (14,420) | ||||||
08/10/22 | U.S. Dollars | 4,895,751 | Chinese Offshore Yuan | 32,938,123 | JPM | (23,605) | ||||||
09/21/22 | Australian Dollars | 879,583 | U.S. Dollars | 632,125 | BNP | (24,563) | ||||||
09/21/22 | Swedish Kronor | 6,212,154 | U.S. Dollars | 634,350 | BNP | (24,888) | ||||||
08/16/22 | U.S. Dollars | 2,982,291 | Norwegian Kroner | 29,615,000 | MSCS | (27,496) | ||||||
07/15/22 | Norwegian Kroner | 14,333,114 | U.S. Dollars | 1,489,000 | DEUT | (33,397) | ||||||
07/19/22 | U.S. Dollars | 1,769,011 | Mexican Pesos | 36,540,000 | CITI | (41,587) | ||||||
07/05/22 | British Pounds | 1,489,000 | U.S. Dollars | 1,855,980 | JPM | (43,257) | ||||||
07/05/22 | Euro | 1,573,000 | U.S. Dollars | 1,692,781 | GSC | (43,795) | ||||||
07/19/22 | U.S. Dollars | 1,839,844 | Mexican Pesos | 38,050,000 | GSC | (45,577) | ||||||
08/02/22 | U.S. Dollars | 29,206,284 | British Pounds | 24,023,000 | HSBC | (54,577) | ||||||
08/31/22 | Brazilian Reals | 3,540,110 | U.S. Dollars | 721,000 | HSBC | (57,097) | ||||||
08/16/22 | Norwegian Kroner | 102,545,507 | U.S. Dollars | 10,479,439 | BAR | (57,691) | ||||||
07/05/22 | Euro | 4,305,000 | U.S. Dollars | 4,599,526 | BAR | (86,569) | ||||||
08/16/22 | U.S. Dollars | 6,416,151 | Norwegian Kroner | 64,020,000 | DEUT | (90,232) | ||||||
07/19/22 | Australian Dollars | 1,861,180 | U.S. Dollars | 1,392,228 | CITI | (107,361) | ||||||
08/18/22 | Chilean Pesos | 1,891,114,500 | U.S. Dollars | 2,163,128 | UBS | (124,232) | ||||||
07/19/22 | Indonesian Rupiahs | 56,877,253,622 | U.S. Dollars | 3,954,478 | CITI | (147,057) | ||||||
07/19/22 | Canadian Dollars | 8,548,090 | U.S. Dollars | 6,838,717 | CITI | (198,057) | ||||||
07/05/22 | Australian Dollars | 9,666,000 | U.S. Dollars | 6,904,308 | UBS | (232,095) | ||||||
07/19/22 | Norwegian Kroner | 32,425,091 | Euro | 3,404,000 | CITI | (278,635) | ||||||
07/19/22 | Japanese Yen | 917,179,528 | U.S. Dollars | 7,421,747 | GSC | (653,956) | ||||||
Subtotal Depreciation | $(2,529,717) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2022 | $ 855,832 |
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 | ||||||||||||||||
Rolls-Royce Holdings PLC 2.13% due 6/18/21 (Receive Quarterly) | 3.80% | 1.00 | 6/20/2025 | EUR | 1,700,000 | $(138,320) | $(263,901) | $ 125,581 | ||||||||
Subtotal Appreciation | $(138,320) | $(263,901) | $ 125,581 | |||||||||||||
Citigroup Inc., 2.87% due 7/24/23 (Receive Quarterly) | 0.58% | 1.00 | 12/20/2022 | USD | 2,200,000 | $ 4,953 | $ 15,971 | $ (11,018) | ||||||||
The Boeing Co., 2.60% due 10/30/25 (Receive Quarterly) | 1.52% | 1.00 | 6/20/2023 | USD | 2,200,000 | (10,407) | 5,839 | (16,246) | ||||||||
Prudential Financial Inc., 3.50% due 5/15/24 (Receive Quarterly) | 0.42% | 1.00 | 6/20/2024 | USD | 1,075,000 | 12,328 | 19,844 | (7,516) | ||||||||
The Boeing Co., 8.75% due 8/15/21 (Receive Quarterly) | 1.86% | 1.00 | 6/20/2024 | USD | 475,000 | (7,546) | 11,966 | (19,512) | ||||||||
Devon Energy Corporation 7.95% due 4/15/32 (Receive Quarterly) | 1.62% | 1.00 | 6/20/2026 | USD | 2,800,000 | (61,902) | (26,054) | (35,848) | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 1.55% | 1.00 | 6/20/2026 | USD | 2,100,000 | (41,327) | 11,126 | (52,453) | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 1.55% | 1.00 | 6/20/2026 | USD | 1,100,000 | (21,648) | 17,601 | (39,249) | ||||||||
The Boeing Co., 2.60% due 10/30/25 (Receive Quarterly) | 2.33% | 1.00 | 6/20/2026 | USD | 2,400,000 | (112,760) | (17,161) | (95,599) | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 1.72% | 1.00 | 12/20/2026 | USD | 2,600,000 | (75,224) | 29,130 | (104,354) | ||||||||
General Motors Co., 4.88% due 10/2/23 (Pay Quarterly) | 2.63% | 5.00 | 12/20/2026 | USD | 2,200,000 | 208,230 | 443,519 | (235,289) | ||||||||
Stellantis N.V., 5.25% due 4/15/23 (Receive Quarterly) | 2.17% | 5.00 | 12/20/2026 | EUR | 1,700,000 | 212,613 | 391,652 | (179,039) | ||||||||
Republic of Indonesia, 4.13% due 1/15/25 (Receive Quarterly) | 1.43% | 1.00 | 6/20/2027 | USD | 3,470,000 | (66,085) | 10,164 | (76,249) | ||||||||
Republic of Peru, 8.75% 11/21/2033 (Receive Quarterly) | 1.24% | 1.00 | 6/20/2027 | USD | 290,000 | (3,123) | 3,476 | (6,599) | ||||||||
British Telecommunications, 5.75% due 12/7/28 (Receive Quarterly) | 1.67% | 1.00 | 6/20/2028 | EUR | 2,000,000 | (76,744) | (11,393) | (65,351) | ||||||||
British Telecommunications, 5.75% due 12/7/28 (Receive Quarterly) | 1.77% | 1.00 | 12/20/2028 | EUR | 2,000,000 | (94,221) | (23,988) | (70,233) | ||||||||
Subtotal Depreciation | $(132,863) | $ 881,692 | $(1,014,555) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection outstanding at June 30, 2022 | $(271,183) | $ 617,791 | $ (888,974) |
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.HY.38 Index (Pay Quarterly) | (5.00)% | 6/20/2027 | USD | 1,009,800 | $ 28,011 | $ (37,817) | $ 65,828 | |||||||
Markit CDX.NA.IG.38 Index (Pay Quarterly) | (1.00)% | 6/20/2027 | USD | 53,200,000 | 2,119 | (33,314) | 35,433 | |||||||
Subtotal Appreciation | $ 30,130 | $ (71,131) | $101,261 | |||||||||||
Markit CDX.NA.IG.38 Index (Pay Quarterly) | (5.00)% | 6/20/2027 | USD | 5,643,000 | $156,532 | $158,566 | $ (2,034) | |||||||
Subtotal Depreciation | $156,532 | $158,566 | $ (2,034) | |||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection outstanding at June 30, 2022 | $186,662 | $ 87,435 | $ 99,227 |
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) | 0.96% | 1.00% | 6/20/2025 | USD | 22,475,000 | $ 30,386 | $ 232,086 | $ (201,700) | ||||||||
Markit CDX.NA.IG.36 Index (Receive Quarterly) | 0.88% | 1.00% | 6/20/2026 | USD | 21,900,000 | 101,646 | 533,136 | (431,490) | ||||||||
Markit CDX.NA.IG.37 Index (Receive Quarterly) | 0.95% | 1.00% | 12/20/2026 | USD | 3,725,000 | 9,001 | 58,993 | (49,992) | ||||||||
iTraxx Europe & Crossover Series 37 (Receive Quarterly) | 5.80% | 5.00% | 6/20/2027 | EUR | 5,100,000 | (157,944) | 257,594 | (415,538) | ||||||||
Markit CDX.NA.IG.38 Index (Receive Quarterly) | 1.01% | 1.00% | 6/20/2027 | USD | 55,344,000 | (2,204) | 688,708 | (690,912) | ||||||||
$ (19,115) | $1,770,517 | $(1,789,632) |
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 | 3,804,163 | $ 4,101 | $ (270) | $ 4,371 | |||||||
5.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 10,262,470 | 114,500 | — | 114,500 | |||||||
3.97% (Upon termination) | US CPI Urban Consumers (Upon termination) | 11/18/2023 | USD | 7,830,000 | 235,569 | (43,299) | 278,868 | |||||||
1-Day SOFR (Annually) | 3.30% (Annually) | 12/21/2023 | USD | 18,400,000 | 8,989 | (3,373) | 12,362 | |||||||
3.00% (Quarterly) | 3-Month KWCDC (Quarterly) | 6/15/2024 | KRW | 2,929,480,000 | 18,944 | 2,669 | 16,275 | |||||||
1-Day SOFR (Annually) | 3.53% (Annually) | 6/21/2024 | USD | 149,100,000 | 829,799 | 47,553 | 782,246 | |||||||
1-Month LIBOR + .09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 41,780,000 | 15,383 | — | 15,383 | |||||||
7.00% (Quarterly) | 3-Month JIBAR (Quarterly) | 9/21/2024 | ZAR | 59,550,000 | 45,106 | 13,049 | 32,057 | |||||||
7.50% (Annually) | 6-Month WIBOR (Semiannually) | 9/21/2024 | PLN | 3,400,000 | 4,035 | 711 | 3,324 | |||||||
1-Day SOFR (Annually) | 3.13% (Annually) | 6/21/2025 | USD | 73,900,000 | 403,020 | 16,506 | 386,514 | |||||||
2.95% (Upon termination) | US CPI Urban Consumers (Upon termination) | 10/20/2026 | USD | 7,090,000 | 263,438 | (3,705) | 267,143 | |||||||
1.52% (Annually) | 1-Day SOFR (Annually) | 11/20/2026 | USD | 8,910,000 | 268,850 | (21,341) | 290,191 | |||||||
2.59% (Annually) | 1-Day SOFR (Annually) | 11/30/2026 | USD | 15,180,000 | 115,282 | 265 | 115,017 | |||||||
0.71% (Annually) | 1-Day SOFR (Annually) | 5/15/2027 | USD | 22,990,000 | 2,145,284 | 24,706 | 2,120,578 | |||||||
6-Month EURIBOR (Semiannually) | 1.00% (Annually) | 5/18/2027 | EUR | 3,600,000 | (125,337) | (163,593) | 38,256 | |||||||
0.75% (Annually) | 6-Month EURIBOR (Semiannually) | 9/21/2027 | EUR | 2,420,000 | 137,464 | 133,413 | 4,051 | |||||||
1.75% (Annually) | 1-Day SONIA (Annually) | 9/21/2027 | GBP | 1,810,000 | 77,143 | 76,738 | 405 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 3.75% (Semiannually) | 9/21/2027 | NZD | 3,340,000 | (32,420) | (34,570) | 2,150 | |||||||
6-Month ASX BBSW (Semiannually) | 3.50% (Semiannually) | 9/21/2027 | AUD | 10,570,000 | (145,017) | (151,257) | 6,240 | |||||||
1.13% (Annually) | 1-Day SOFR (Annually) | 8/15/2028 | USD | 13,722,000 | 1,199,568 | 99,593 | 1,099,975 | |||||||
1.22% (Annually) | 1-Day SOFR (Annually) | 8/15/2028 | USD | 5,885,000 | 481,951 | (380) | 482,331 | |||||||
2.42% (Annually) | 6-Month EURIBOR (Semiannually) | 7/4/2029 | EUR | 2,120,000 | (1,554) | (1,554) | — | |||||||
2.57% (Annually) | 1-Day SOFR (Annually) | 6/4/2031 | USD | 24,880,000 | 79,051 | 23,908 | 55,143 | |||||||
1.73% (Annually) | 1-Day SOFR (Annually) | 10/20/2031 | USD | 7,100,000 | 302,528 | 27,966 | 274,562 | |||||||
2.00% (Annually) | 1-Day SOFR (Annually) | 3/18/2032 | USD | 3,959,000 | 241,284 | 16,937 | 224,347 | |||||||
1.90% (Annually) | 6-Month EURIBOR (Semiannually) | 4/27/2032 | EUR | 1,180,000 | 36,323 | — | 36,323 | |||||||
1.75% (Annually) | 1-Day ESTR (Annually) | 5/17/2032 | EUR | 6,200,000 | 150,133 | 27,373 | 122,760 | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 5/26/2032 | JPY | 709,000,000 | 55,375 | 3,764 | 51,611 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 9.03% (Lunar) | 9/8/2032 | MXN | 18,000,000 | 6,399 | (9,386) | 15,785 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
3.75% (Semiannually) | 3-Month New Zealand BBR FRA (Quarterly) | 9/21/2032 | NZD | 550,000 | $ 11,123 | $ 11,013 | $ 110 | |||||||
3.75% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 9/21/2032 | AUD | 30,000 | (663) | (1,171) | 508 | |||||||
3-Month CDOR (Semiannually) | 3.25% (Semiannually) | 9/21/2032 | CAD | 3,560,000 | (104,800) | (110,222) | 5,422 | |||||||
3-Month STIBOR (Quarterly) | 2.50% (Annually) | 9/21/2032 | SEK | 47,970,000 | 141,243 | 117,200 | 24,043 | |||||||
6-Month WIBOR (Semiannually) | 6.25% (Annually) | 9/21/2032 | PLN | 2,825,000 | (15,605) | (23,586) | 7,981 | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 0.00% (Annually) | 9/21/2032 | JPY | 246,670,000 | 84,371 | 82,280 | 2,091 | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 3/15/2042 | JPY | 1,190,000,000 | 541,678 | 327,316 | 214,362 | |||||||
0.66% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 4/19/2042 | JPY | 49,000,000 | 11,724 | — | 11,724 | |||||||
1.36% (Annually) | 6-Month EURIBOR (Semiannually) | 4/27/2042 | EUR | 1,460,000 | 32,061 | — | 32,061 | |||||||
1.87% (Annually) | 6-Month EURIBOR (Semiannually) | 6/15/2042 | EUR | 5,500,000 | 17,216 | 5,199 | 12,017 | |||||||
0.56% (Annually) | 1-Day SOFR (Annually) | 7/20/2045 | USD | 5,310,000 | 1,963,158 | 70,079 | 1,893,079 | |||||||
0.74% (Annually) | 1-Day SOFR (Annually) | 8/19/2045 | USD | 3,610,000 | 1,222,278 | — | 1,222,278 | |||||||
1.52% (Annually) | 1-Day SOFR (Annually) | 2/15/2047 | USD | 3,222,000 | 676,144 | (44,743) | 720,887 | |||||||
1.73% (Annually) | 1-Day SOFR (Annually) | 2/15/2047 | USD | 4,196,000 | 721,255 | 47,848 | 673,407 | |||||||
1.63% (Annually) | 1-Day SOFR (Annually) | 5/15/2047 | USD | 6,360,000 | 1,231,727 | 268,325 | 963,402 | |||||||
6-Month EURIBOR (Semiannually) | 1.49% (Annually) | 6/16/2047 | EUR | 3,140,000 | 14,283 | (2,963) | 17,246 | |||||||
2.50% (Annually) | 1-Day SOFR (Annually) | 4/21/2052 | USD | 2,560,000 | 49,918 | 2,386 | 47,532 | |||||||
1.33% (Annually) | 6-Month EURIBOR (Semiannually) | 5/17/2052 | EUR | 2,000,000 | 152,080 | 66,448 | 85,632 | |||||||
0.80% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 6/15/2052 | JPY | 250,000,000 | 109,962 | 11,645 | 98,317 | |||||||
1.56% (Annually) | 6-Month EURIBOR (Semiannually) | 7/6/2052 | EUR | 1,250,000 | (92) | (92) | — | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 9/21/2052 | GBP | 10,200,000 | 3,796,375 | 1,869,820 | 1,926,555 | |||||||
Subtotal Appreciation | $17,590,627 | $ 2,779,205 | $14,811,422 | |||||||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 12/15/2022 | NZD | 9,510,000 | $ (60,458) | $ (10,537) | $ (49,921) | |||||||
3-Month LIBOR (Quarterly) | 1.27% (Semiannually) | 11/4/2023 | USD | 75,300,000 | (1,703,609) | (1,385,012) | (318,597) | |||||||
1-Day SOFR (Annually) | 1.32% (Annually) | 12/21/2023 | USD | 17,300,000 | (323,776) | (95,975) | (227,801) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 9.20% (Upon termination) | 1/2/2024 | BRL | 6,468,748 | (76,800) | (28,018) | (48,782) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.30% (Upon termination) | 1/2/2024 | BRL | 1,293,456 | (1,208) | 1,647 | (2,855) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 0.00% (Annually) | 3/17/2024 | JPY | 750,000,000 | (4,564) | 11,605 | (16,169) | |||||||
3-Month LIBOR (Quarterly) | 1.30% (Semiannually) | 5/4/2024 | USD | 7,650,000 | (264,847) | — | (264,847) | |||||||
1-Day SOFR (Annually) | 2.20% (Annually) | 6/15/2024 | USD | 14,700,000 | (207,152) | — | (207,152) | |||||||
9.50% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 9/18/2024 | MXN | 95,570,000 | 9,185 | 11,083 | (1,898) | |||||||
1.75% (Annually) | 3-Month EURIBOR (Quarterly) | 9/21/2024 | EUR | 7,490,000 | (28,683) | 23,394 | (52,077) | |||||||
3-Month STIBOR (Quarterly) | 2.25% (Annually) | 9/21/2024 | SEK | 80,350,000 | (82,575) | (64,872) | (17,703) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 12/21/2024 | CNY | 4,200,000 | 1,065 | 1,647 | (582) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.23% (Upon termination) | 1/2/2025 | BRL | 72,980,941 | (144,493) | — | (144,493) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.06% (Upon termination) | 1/2/2025 | BRL | 4,905,150 | (13,665) | 4,844 | (18,509) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.02% (Upon termination) | 1/2/2025 | BRL | 1,207,764 | (3,595) | — | (3,595) | |||||||
US CPI Urban Consumers (Upon termination) | 3.37% (Upon termination) | 11/18/2026 | USD | 7,830,000 | (118,130) | 122,847 | (240,977) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 11.98% (Upon termination) | 1/4/2027 | BRL | 44,823,382 | (198,216) | — | (198,216) | |||||||
1-Day SOFR (Annually) | 1.55% (Annually) | 3/4/2027 | USD | 7,886,000 | (386,718) | (12,246) | (374,472) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
1-Day SOFR (Annually) | 2.15% (Annually) | 6/15/2027 | USD | 14,700,000 | $ (404,173) | $ — | $ (404,173) | |||||||
2.75% (Annually) | 1-Day SOFR (Annually) | 9/21/2027 | USD | 10,000,000 | 17,672 | 84,381 | (66,709) | |||||||
3-Month STIBOR (Quarterly) | 2.50% (Annually) | 9/21/2027 | SEK | 30,050,000 | (41,277) | (24,297) | (16,980) | |||||||
7.00% (Annually) | 6-Month WIBOR (Semiannually) | 9/21/2027 | PLN | 4,925,000 | (7,057) | 5,569 | (12,626) | |||||||
2.50% (Quarterly) | 7-Day CFETS Repo Rate (Quarterly) | 12/21/2027 | CNY | 2,840,000 | 3,662 | 4,600 | (938) | |||||||
2.85% (Annually) | 1-Day SOFR (Annually) | 2/15/2029 | USD | 6,630,000 | (43,410) | (15,305) | (28,105) | |||||||
1-Day SOFR (Annually) | 2.50% (Annually) | 6/4/2029 | USD | 9,430,000 | (35,974) | (6,494) | (29,480) | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.45% (Lunar) | 7/18/2029 | MXN | 165,770,000 | (640,431) | 68,837 | (709,268) | |||||||
US CPI Urban Consumers (Upon termination) | 2.77% (Upon termination) | 10/20/2031 | USD | 7,090,000 | (184,571) | 6,104 | (190,675) | |||||||
1-Day SOFR (Annually) | 2.73% (Annually) | 5/15/2032 | USD | 6,770,000 | (16,906) | 38,997 | (55,903) | |||||||
6-Month EURIBOR (Semiannually) | 2.13% (Annually) | 5/17/2032 | EUR | 6,200,000 | (126,954) | (13,792) | (113,162) | |||||||
6-Month EURIBOR (Semiannually) | 2.00% (Annually) | 5/26/2032 | EUR | 2,950,000 | (78,050) | (7,135) | (70,915) | |||||||
1-Day SONIA (Annually) | 2.00% (Annually) | 6/7/2032 | GBP | 5,080,000 | (181,992) | 46,768 | (228,760) | |||||||
6-Month EURIBOR (Semiannually) | 0.75% (Annually) | 6/15/2032 | EUR | 46,800,000 | (6,276,105) | (1,943,526) | (4,332,579) | |||||||
1.25% (Annually) | Swiss Average Overnight Rate (Annually) | 9/21/2032 | CHF | 3,010,000 | (147,977) | (133,213) | (14,764) | |||||||
1.50% (Annually) | 1-Day SONIA (Annually) | 9/21/2032 | GBP | 2,150,000 | 193,395 | 203,359 | (9,964) | |||||||
1-Day SOFR (Annually) | 2.75% (Annually) | 9/21/2032 | USD | 3,230,000 | 11,375 | 62,229 | (50,854) | |||||||
3.00% (Annually) | 6-Month NIBOR (Semiannually) | 9/21/2032 | NOK | 12,080,000 | (30,461) | 9,956 | (40,417) | |||||||
3-Month JIBAR (Quarterly) | 8.75% (Quarterly) | 9/21/2032 | ZAR | 7,825,000 | (14,606) | (2,671) | (11,935) | |||||||
6-Month EURIBOR (Semiannually) | 1.00% (Annually) | 9/21/2032 | EUR | 3,400,000 | (398,939) | (390,262) | (8,677) | |||||||
2.00% (Annually) | 1-Day SOFR (Annually) | 12/21/2032 | USD | 18,200,000 | 1,241,827 | 1,874,850 | (633,023) | |||||||
3.75% (Quarterly) | 3-Month KWCDC (Quarterly) | 12/21/2032 | KRW | 282,420,000 | (7,987) | (5,868) | (2,119) | |||||||
1-Day SOFR (Annually) | 2.73% (Annually) | 6/4/2033 | USD | 15,800,000 | (61,245) | (13,647) | (47,598) | |||||||
6-Month EURIBOR (Semiannually) | 2.01% (Annually) | 4/27/2037 | EUR | 2,550,000 | (82,022) | — | (82,022) | |||||||
6-Month EURIBOR (Semiannually) | 2.53% (Annually) | 6/15/2037 | EUR | 2,340,000 | (24,926) | (4,585) | (20,341) | |||||||
6-Month EURIBOR (Semiannually) | 2.86% (Annually) | 7/4/2037 | EUR | 2,550,000 | 1,187 | 1,187 | — | |||||||
0.75% (Semiannually) | Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 3/20/2038 | JPY | 489,200,000 | (120) | 39,965 | (40,085) | |||||||
1-Day ESTR (Annually) | 1.36% (Annually) | 5/17/2052 | EUR | 2,000,000 | (156,131) | (80,820) | (75,311) | |||||||
1.75% (Annually) | 1-Day SOFR (Annually) | 12/21/2052 | USD | 7,900,000 | 1,355,618 | 1,451,135 | (95,517) | |||||||
Subtotal Depreciation | $(9,744,817) | $ (163,271) | $(9,581,546) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2022 | $ 7,845,810 | $ 2,615,934 | $ 5,229,876 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 32,323,151 | $ — | $ 32,323,151 | $ — | |||
Asset-Backed Securities | 149,082,590 | — | 149,082,590 | — | |||
Commercial Paper | 26,531,379 | — | 26,531,379 | — | |||
Corporate Bonds | 545,348,757 | — | 545,065,224 | 283,533 | |||
Foreign Bonds | |||||||
Denmark | 4,217,503 | — | 2,429,653 | 1,787,850 | |||
Russia | 1,471,971 | — | — | 1,471,971 | |||
Other | 199,226,689 | — | 199,226,689 | — | |||
Total Foreign Bonds | 204,916,163 | — | 201,656,342 | 3,259,821 | |||
Loan Agreements | 14,023,562 | — | 14,023,562 | — | |||
Money Market Funds | 149,026,980 | 149,026,980 | — | — | |||
Mortgage-Backed Securities | 685,151,433 | — | 680,597,403 | 4,554,030 | |||
Municipal Bonds | 11,066,635 | — | 11,066,635 | — | |||
Purchased Options: | |||||||
Call Options | 218,617 | 218,617 | — | — | |||
Call Swaption | 43,166 | 43,166 | — | — | |||
Put Options | 32,672 | 32,672 | — | — | |||
Put Swaption | 43,166 | 43,166 | — | — | |||
Total Purchased Options | 337,621 | 337,621 | — | — | |||
Repurchase Agreements | 79,800,000 | — | 79,800,000 | — | |||
U.S. Treasury Obligations | 389,413,115 | — | 389,413,115 | — | |||
Total Assets - Investments in Securities | $2,287,021,386 | $149,364,601 | $2,129,559,401 | $8,097,384 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 3,385,549 | $ — | $ 3,385,549 | $ — | |||
Futures Contracts | 2,350,522 | 2,350,522 | — | — | |||
Swap Agreements | 15,038,264 | — | 15,038,264 | — | |||
Total Assets - Other Financial Instruments | $ 20,774,335 | $ 2,350,522 | $ 18,423,813 | $ — |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
TBA Sale Commitments | $ (7,517,289) | $ — | $ (7,517,289) | $ — | |||
Written Options: | |||||||
Call Options | (1,006,264) | (1,006,264) | — | — | |||
Call Swaptions | (97,066) | (97,066) | — | — | |||
Put Options | (325,545) | (325,545) | — | — | |||
Put Swaptions | (163,015) | (163,015) | — | — | |||
Total Written Options | (1,591,890) | (1,591,890) | — | — | |||
Total Liabilities - Investments in Securities | $ (9,109,179) | $(1,591,890) | $ (7,517,289) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (2,529,717) | $ — | $ (2,529,717) | $ — | |||
Futures Contracts | (6,284,460) | (6,284,460) | — | — | |||
Swap Agreements | (12,387,767) | — | (12,387,767) | — | |||
Total Liabilities - Other Financial Instruments | $(21,201,944) | $(6,284,460) | $(14,917,484) | $ — |
*** | 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. |
Par | Value | |||
ASSET-BACKED SECURITIES — 2.0% | ||||
510 Asset Backed Trust, Series 2021-NPL1, Class A1 | ||||
(Step to 5.24% on 07/25/24), 2.24%, 06/25/61 144A STEP | $ 91,697 | $ 86,730 | ||
Aaset Trust, Series 2021-2A, Class A | ||||
2.80%, 01/15/47 144A | 242,716 | 207,618 | ||
Air Canada Pass-Through Trust, Series 2020-2, Class A | ||||
5.25%, 04/01/29 144A | 426,009 | 426,448 | ||
American Airlines Pass-Through Trust, Series 2016-3, Class B | ||||
3.75%, 10/15/25 | 180,682 | 160,398 | ||
American Airlines Pass-Through Trust, Series 2017-2, Class B | ||||
3.70%, 10/15/25 | 71,469 | 63,738 | ||
American Credit Acceptance Receivables Trust, Series 2021-3, Class D | ||||
1.34%, 11/15/27 144A | 80,000 | 74,681 | ||
American Credit Acceptance Receivables Trust, Series 2021-4, Class D | ||||
1.82%, 02/14/28 144A | 105,000 | 97,400 | ||
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class D | ||||
1.21%, 12/18/26 | 55,000 | 51,476 | ||
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A | ||||
2.36%, 03/20/26 144A | 145,000 | 138,346 | ||
Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class A | ||||
1.38%, 08/20/27 144A | 770,000 | 689,908 | ||
BHG Securitization Trust, Series 2022-A, Class B | ||||
2.70%, 02/20/35 144A | 110,000 | 100,853 | ||
Bravo Mortgage Asset Trust, Series 2006-1A, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 2.22%, 07/25/36 144A † | 630,000 | 578,010 | ||
Carvana Auto Receivables Trust, Series 2021-N3, Class C | ||||
1.02%, 06/12/28 | 55,000 | 52,867 | ||
Carvana Auto Receivables Trust, Series 2021-N4, Class C | ||||
1.72%, 09/11/28 | 20,000 | 19,124 | ||
Carvana Auto Receivables Trust, Series 2021-N4, Class D | ||||
2.30%, 09/11/28 | 50,000 | 46,724 | ||
Carvana Auto Receivables Trust, Series 2021-P3, Class C | ||||
1.93%, 10/12/27 | 50,000 | 43,445 | ||
Carvana Auto Receivables Trust, Series 2021-P4, Class C | ||||
2.33%, 02/10/28 | 25,000 | 21,538 |
Par | Value | |||
CLI Funding VIII LLC, Series 2021-1A, Class A | ||||
1.64%, 02/18/46 144A | $108,289 | $ 95,703 | ||
DB Master Finance LLC, Series 2021-1A, Class A2II | ||||
2.49%, 11/20/51 144A | 89,550 | 77,451 | ||
Domino's Pizza Master Issuer LLC, Series 2019-1A, Class A2 | ||||
3.67%, 10/25/49 144A | 131,962 | 119,862 | ||
Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I | ||||
2.66%, 04/25/51 144A | 138,600 | 121,245 | ||
Drive Auto Receivables Trust, Series 2021-2, Class D | ||||
1.39%, 03/15/29 | 170,000 | 156,502 | ||
DT Auto Owner Trust, Series 2020-3A, Class C | ||||
1.47%, 06/15/26 144A | 210,000 | 204,239 | ||
DT Auto Owner Trust, Series 2021-2A, Class D | ||||
1.50%, 02/16/27 144A | 25,000 | 23,260 | ||
DT Auto Owner Trust, Series 2021-3A, Class D | ||||
1.31%, 05/17/27 144A | 165,000 | 149,616 | ||
DT Auto Owner Trust, Series 2021-4A, Class D | ||||
1.99%, 09/15/27 144A | 65,000 | 59,351 | ||
DT Auto Owner Trust, Series 2022-1A, Class D | ||||
3.40%, 12/15/27 144A | 95,000 | 89,960 | ||
Exeter Automobile Receivables Trust, Series 2021-1A, Class D | ||||
1.08%, 11/16/26 | 70,000 | 65,975 | ||
Exeter Automobile Receivables Trust, Series 2021-3A, Class D | ||||
1.55%, 06/15/27 | 120,000 | 112,419 | ||
Flagship Credit Auto Trust, Series 2021-2, Class D | ||||
1.59%, 06/15/27 144A | 40,000 | 36,465 | ||
Flagship Credit Auto Trust, Series 2021-3, Class D | ||||
1.65%, 09/15/27 144A | 50,000 | 45,227 | ||
Ford Credit Auto Owner Trust, Series 2021-A, Class A3 | ||||
0.30%, 08/15/25 | 260,000 | 253,157 | ||
GLS Auto Receivables Issuer Trust, Series 2021-1A, Class D | ||||
1.68%, 01/15/27 144A | 175,000 | 165,714 | ||
GLS Auto Receivables Issuer Trust, Series 2021-2A, Class D | ||||
1.42%, 04/15/27 144A | 65,000 | 59,476 | ||
GLS Auto Receivables Issuer Trust, Series 2021-3A, Class D | ||||
1.48%, 07/15/27 144A | 80,000 | 72,405 | ||
GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D | ||||
2.48%, 10/15/27 144A | 135,000 | 124,524 |
Par | Value | |||
Honda Auto Receivables Owner Trust, Series 2021-1, Class A3 | ||||
0.27%, 04/21/25 | $ 155,000 | $151,355 | ||
MVW LLC, Series 2021-2A, Class C | ||||
2.23%, 05/20/39 144A | 111,024 | 101,472 | ||
Navient Private Education Refinancing Loan Trust, Series 2021-FA, Class B | ||||
2.12%, 02/18/70 144A | 100,000 | 76,619 | ||
Navient Student Loan Trust, Series 2018-EA, Class B | ||||
4.44%, 12/15/59 144A | 560,000 | 551,287 | ||
Nelnet Student Loan Trust, Series 2021-CA, Class D | ||||
4.44%, 04/20/62 144A | 1,040,000 | 882,884 | ||
New Century Home Equity Loan Trust, Series 2003-6, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor, 12.50% Cap), 2.70%, 01/25/34† | 213,292 | 206,725 | ||
PFCA Home Equity Investment Trust, Series 2003-IFC5, Class A | ||||
4.48%, 01/22/35 144A † γ | 372,247 | 357,893 | ||
Progress Residential, Series 2021-SFR3, Class E1 | ||||
2.54%, 05/17/26 144A | 20,000 | 17,461 | ||
Santander Drive Auto Receivables Trust, Series 2021-1, Class D | ||||
1.13%, 11/16/26 | 70,000 | 67,100 | ||
Santander Drive Auto Receivables Trust, Series 2021-3, Class D | ||||
1.33%, 09/15/27 | 115,000 | 108,792 | ||
Santander Drive Auto Receivables Trust, Series 2021-4, Class D | ||||
1.67%, 10/15/27 | 75,000 | 69,826 | ||
Saxon Asset Securities Trust, Series 2006-3, Class A4 | ||||
(Floating, ICE LIBOR USD 1M + 0.24%, 0.24% Floor, 12.25% Cap), 1.86%, 10/25/46† | 600,000 | 472,016 | ||
Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C | ||||
3.12%, 05/20/36 144A | 24,251 | 23,285 | ||
S-Jets, Ltd., Series 2017-1, Class A | ||||
3.97%, 08/15/42 144A | 162,877 | 143,390 | ||
SLM Student Loan Trust, Series 2003-10A, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.67%), 2.50%, 12/17/68 144A † | 622,386 | 603,325 | ||
SLM Student Loan Trust, Series 2003-4, Class A5E | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 2.58%, 03/15/33 144A † | 112,998 | 109,862 | ||
SLM Student Loan Trust, Series 2006-10, Class A6 | ||||
(Floating, ICE LIBOR USD 3M + 0.15%), 1.33%, 03/25/44† | 112,396 | 104,547 |
Par | Value | |||
SMB Private Education Loan Trust, Seres 2021-A, Class A2A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.73%), 2.05%, 01/15/53 144A † | $ 99,776 | $ 97,061 | ||
SMB Private Education Loan Trust, Series 2021-A, Class A2B | ||||
1.59%, 01/15/53 144A | 239,464 | 219,068 | ||
SMB Private Education Loan Trust, Series 2021-E, Class B | ||||
2.49%, 02/15/51 144A | 100,000 | 81,428 | ||
Taco Bell Funding LLC, Series 2021-1A, Class A2II | ||||
2.29%, 08/25/51 144A | 109,450 | 92,126 | ||
Textainer Marine Containers VII, Ltd., Series 2021-1A, Class A | ||||
1.68%, 02/20/46 144A | 89,333 | 78,092 | ||
Toyota Auto Receivables Owner Trust, Series 2021-A, Class A2 | ||||
0.16%, 07/17/23 | 2,491 | 2,489 | ||
Triton Container Finance VIII LLC, Series 2021-1A, Class A | ||||
1.86%, 03/20/46 144A | 116,187 | 101,654 | ||
U.S. Airways Pass-Through Trust, Series 2012-1, Class A | ||||
5.90%, 10/01/24 | 70,168 | 70,023 | ||
U.S. Airways Pass-Through Trust, Series 2012-2, Class A | ||||
4.63%, 06/03/25 | 60,869 | 56,068 | ||
United Airlines Pass-Through Trust, Series 2014-1, Class A | ||||
4.00%, 04/11/26 | 76,943 | 72,551 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class B | ||||
3.65%, 04/07/27 | 61,458 | 56,092 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 317,566 | 312,580 | ||
VCAT LLC, Series 2021-NPL5, Class A1 | ||||
(Step to 4.86% on 09/25/24), 1.87%, 08/25/51 144A STEP | 86,891 | 82,098 | ||
VCAT LLC, Series 2021-NPL6, Class A1 | ||||
(Step to 4.92% on 10/25/24), 1.92%, 09/25/51 144A STEP | 135,915 | 128,151 | ||
VOLT XCVII LLC, Series 2021-NPL6, Class A1 | ||||
(Step to 5.24% on 04/25/24), 2.24%, 04/25/51 144A STEP | 86,851 | 82,962 | ||
Wendy's Funding LLC, Series 2021-1A, Class A2I | ||||
2.37%, 06/15/51 144A | 59,400 | 50,565 | ||
Westlake Automobile Receivables Trust, Series 2021-1A, Class D | ||||
1.23%, 04/15/26 144A | 140,000 | 132,677 |
Par | Value | |||
Westlake Automobile Receivables Trust, Series 2021-2A, Class D | ||||
1.23%, 12/15/26 144A | $ 65,000 | $ 60,697 | ||
Total Asset-Backed Securities (Cost $11,454,581) | 10,716,076 | |||
CORPORATE BONDS — 20.6% | ||||
Air Lease Corporation | ||||
0.70%, 02/15/24 | 380,000 | 358,981 | ||
2.30%, 02/01/25 | 305,000 | 285,729 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.08%), 4.65%, 06/15/26ρ Δ ^ | 120,000 | 99,947 | ||
4.63%, 10/01/28 | 50,000 | 46,290 | ||
3.00%, 02/01/30 | 30,000 | 24,511 | ||
3.13%, 12/01/30 | 25,000 | 20,460 | ||
Allied Universal Holdco LLC | ||||
6.00%, 06/01/29 144A Δ | 270,000 | 196,866 | ||
Ally Financial, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.87%), 4.70%, 05/15/26ρ ^ | 140,000 | 111,460 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 7Y + 3.48%), 4.70%, 05/15/28ρ ^ | 125,000 | 92,531 | ||
2.20%, 11/02/28Δ | 50,000 | 40,761 | ||
8.00%, 11/01/31 | 175,000 | 194,758 | ||
Amazon.com, Inc. | ||||
0.45%, 05/12/24Δ | 595,000 | 566,274 | ||
3.88%, 08/22/37 | 620,000 | 588,905 | ||
4.25%, 08/22/57 | 190,000 | 178,833 | ||
American Airlines, Inc. | ||||
5.50%, 04/20/26 144A | 810,000 | 747,063 | ||
5.75%, 04/20/29 144A | 780,000 | 668,593 | ||
American Express Co. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.85%), 3.55%, 09/15/26ρ ^ | 1,000,000 | 816,110 | ||
American Homes 4 Rent LP REIT | ||||
2.38%, 07/15/31 | 20,000 | 15,970 | ||
Antares Holdings LP | ||||
3.75%, 07/15/27 144A | 250,000 | 210,410 | ||
Apple, Inc. | ||||
0.50%, 11/15/31(E) | 180,000 | 158,833 | ||
4.65%, 02/23/46 | 145,000 | 149,662 | ||
Aramark International Finance S.a.r.l. | ||||
3.13%, 04/01/25(E) | 184,000 | 173,324 | ||
Ardagh Metal Packaging Finance U.S.A. LLC | ||||
3.00%, 09/01/29(E) | 100,000 | 78,407 | ||
Ares Capital Corporation | ||||
2.88%, 06/15/28Δ | 310,000 | 245,874 | ||
3.20%, 11/15/31 | 135,000 | 98,228 | ||
AT&T, Inc. | ||||
0.25%, 03/04/26(E) | 650,000 | 631,765 | ||
3.65%, 06/01/51 | 315,000 | 246,849 | ||
Athene Global Funding | ||||
1.72%, 01/07/25 144A | 245,000 | 228,830 |
Par | Value | |||
1.61%, 06/29/26 144A | $ 110,000 | $ 96,122 | ||
Avantor Funding, Inc. | ||||
3.88%, 11/01/29 144A | 60,000 | 52,565 | ||
Aviation Capital Group LLC | ||||
1.95%, 01/30/26 144A | 50,000 | 43,549 | ||
Avnet, Inc. | ||||
5.50%, 06/01/32 | 130,000 | 127,730 | ||
Avon Products, Inc. | ||||
8.45%, 03/15/43 | 50,000 | 48,451 | ||
Bank of America Corporation | ||||
1.38%, 03/26/25(E) Δ | 595,000 | 606,742 | ||
4.25%, 10/22/26 | 55,000 | 54,267 | ||
(Variable, ICE LIBOR USD 3M + 2.93%), 5.88%, 03/15/28ρ ^ | 900,000 | 791,353 | ||
(Variable, ICE LIBOR USD 3M + 1.51%), 3.71%, 04/24/28^ | 250,000 | 238,554 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 435,000 | 405,494 | ||
(Variable, ICE LIBOR USD 3M + 0.99%), 2.50%, 02/13/31^ | 155,000 | 131,129 | ||
(Variable, U.S. SOFR + 1.37%), 1.92%, 10/24/31^ | 360,000 | 287,892 | ||
(Variable, U.S. SOFR + 1.33%), 2.97%, 02/04/33^ | 560,000 | 477,591 | ||
(Variable, U.S. SOFR + 1.58%), 3.31%, 04/22/42^ | 1,860,000 | 1,461,937 | ||
(Variable, ICE LIBOR USD 3M + 3.15%), 4.08%, 03/20/51^ | 170,000 | 146,933 | ||
Barings BDC, Inc. | ||||
3.30%, 11/23/26 144A | 75,000 | 65,116 | ||
Bausch Health Americas, Inc. | ||||
9.25%, 04/01/26 144A Δ | 500,000 | 358,877 | ||
8.50%, 01/31/27 144A Δ | 50,000 | 35,183 | ||
Bentley Systems, Inc. | ||||
0.38%, 07/01/27 144A CONV | 5,000 | 3,900 | ||
BioMarin Pharmaceutical, Inc. | ||||
0.60%, 08/01/24 CONV | 80,000 | 79,400 | ||
1.25%, 05/15/27 CONV Δ | 235,000 | 234,718 | ||
Blackstone Secured Lending Fund | ||||
2.13%, 02/15/27 144A | 190,000 | 159,078 | ||
Block, Inc. | ||||
3.50%, 06/01/31 144A Δ | 65,000 | 51,939 | ||
Boeing Co. (The) | ||||
4.88%, 05/01/25 | 690,000 | 688,413 | ||
2.20%, 02/04/26 | 280,000 | 252,821 | ||
3.10%, 05/01/26 | 30,000 | 27,977 | ||
5.15%, 05/01/30 | 5,000 | 4,804 | ||
3.63%, 03/01/48 | 5,000 | 3,369 | ||
3.85%, 11/01/48 | 35,000 | 24,854 | ||
3.75%, 02/01/50 | 415,000 | 293,630 | ||
5.81%, 05/01/50 | 365,000 | 335,904 | ||
3.83%, 03/01/59 | 185,000 | 119,886 | ||
Booking Holdings, Inc. | ||||
0.50%, 03/08/28(E) | 275,000 | 253,110 | ||
Braskem America Finance Co. | ||||
7.13%, 07/22/41Δ | 2,440,000 | 2,291,692 |
Par | Value | |||
Brighthouse Financial, Inc. | ||||
5.63%, 05/15/30Δ | $ 375,000 | $ 364,492 | ||
Brixmor Operating Partnership LP REIT | ||||
2.25%, 04/01/28Δ | 15,000 | 12,880 | ||
Broadcom, Inc. | ||||
4.15%, 11/15/30 | 40,000 | 36,690 | ||
2.60%, 02/15/33 144A | 140,000 | 107,819 | ||
Cable One, Inc. | ||||
0.00%, 03/15/26 CONV | 5,000 | 4,145 | ||
Carnival Corporation | ||||
5.75%, 03/01/27 144A | 80,000 | 58,057 | ||
6.00%, 05/01/29 144A | 45,000 | 31,771 | ||
Caterpillar Financial Services Corporation | ||||
0.95%, 01/10/24 | 225,000 | 217,464 | ||
0.45%, 05/17/24 | 595,000 | 564,210 | ||
CCO Holdings LLC | ||||
4.50%, 08/15/30 144A | 650,000 | 541,764 | ||
4.50%, 06/01/33 144A | 1,170,000 | 924,499 | ||
4.25%, 01/15/34 144A | 405,000 | 314,270 | ||
CDW LLC | ||||
2.67%, 12/01/26 | 10,000 | 8,928 | ||
3.25%, 02/15/29 | 25,000 | 21,114 | ||
3.57%, 12/01/31 | 220,000 | 182,169 | ||
Centene Corporation | ||||
4.63%, 12/15/29 | 1,380,000 | 1,290,900 | ||
3.00%, 10/15/30 | 25,000 | 20,785 | ||
2.50%, 03/01/31 | 215,000 | 171,329 | ||
2.63%, 08/01/31 | 100,000 | 79,766 | ||
Charles Schwab Corporation (The) | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 3.08%), 4.00%, 12/01/30ρ ^ | 490,000 | 377,790 | ||
Charter Communications Operating LLC | ||||
2.80%, 04/01/31 | 190,000 | 152,360 | ||
2.30%, 02/01/32 | 10,000 | 7,577 | ||
4.40%, 04/01/33 | 55,000 | 49,177 | ||
3.50%, 06/01/41 | 370,000 | 259,546 | ||
6.48%, 10/23/45 | 210,000 | 204,592 | ||
5.75%, 04/01/48 | 890,000 | 799,610 | ||
4.80%, 03/01/50 | 335,000 | 266,113 | ||
3.70%, 04/01/51 | 105,000 | 71,250 | ||
3.85%, 04/01/61 | 245,000 | 161,598 | ||
4.40%, 12/01/61Δ | 245,000 | 176,708 | ||
3.95%, 06/30/62 | 245,000 | 164,152 | ||
Cigna Corporation | ||||
4.80%, 08/15/38 | 280,000 | 272,844 | ||
3.20%, 03/15/40 | 150,000 | 118,662 | ||
3.40%, 03/15/50 | 260,000 | 199,001 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 3.42%), 6.30%, 05/15/24ρ ^ | 690,000 | 646,544 | ||
(Variable, ICE LIBOR USD 3M + 0.90%), 3.35%, 04/24/25^ | 350,000 | 343,105 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25ρ ^ | 100,000 | 92,960 |
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 1.56%), 3.89%, 01/10/28^ | $ 135,000 | $ 129,901 | ||
(Variable, ICE LIBOR USD 3M + 1.15%), 3.52%, 10/27/28^ | 200,000 | 187,041 | ||
(Variable, U.S. SOFR + 1.42%), 2.98%, 11/05/30^ | 210,000 | 183,469 | ||
(Variable, U.S. SOFR + 1.94%), 3.79%, 03/17/33^ | 165,000 | 148,809 | ||
CME Group, Inc. | ||||
5.30%, 09/15/43Δ | 620,000 | 675,766 | ||
Comcast Corporation | ||||
2.94%, 11/01/56Δ | 1,066,000 | 742,933 | ||
2.99%, 11/01/63 | 307,000 | 209,847 | ||
CommScope, Inc. | ||||
4.75%, 09/01/29 144A | 240,000 | 194,280 | ||
ConocoPhillips | ||||
6.50%, 02/01/39Δ | 10,000 | 11,758 | ||
Continental Resources, Inc. | ||||
5.75%, 01/15/31 144A | 260,000 | 251,867 | ||
2.88%, 04/01/32 144A Δ | 70,000 | 54,804 | ||
4.90%, 06/01/44 | 270,000 | 213,091 | ||
Corebridge Financial, Inc. | ||||
4.35%, 04/05/42 144A | 50,000 | 42,736 | ||
Corporate Office Properties LP REIT | ||||
2.75%, 04/15/31 | 20,000 | 16,193 | ||
Crown Castle International Corporation REIT | ||||
1.05%, 07/15/26 | 385,000 | 333,631 | ||
2.50%, 07/15/31 | 185,000 | 151,584 | ||
CSC Holdings LLC | ||||
4.63%, 12/01/30 144A | 400,000 | 268,710 | ||
CVS Health Corporation | ||||
4.13%, 04/01/40 | 105,000 | 91,836 | ||
5.05%, 03/25/48 | 295,000 | 282,814 | ||
4.25%, 04/01/50 | 210,000 | 181,288 | ||
Darling Ingredients, Inc. | ||||
6.00%, 06/15/30 144A | 10,000 | 9,983 | ||
DCP Midstream Operating LP | ||||
5.13%, 05/15/29 | 20,000 | 18,038 | ||
3.25%, 02/15/32 | 135,000 | 106,144 | ||
6.75%, 09/15/37 144A | 500,000 | 476,567 | ||
Dell International LLC | ||||
5.45%, 06/15/23 | 153,000 | 154,593 | ||
5.30%, 10/01/29 | 365,000 | 360,182 | ||
8.10%, 07/15/36 | 122,000 | 142,615 | ||
8.35%, 07/15/46 | 31,000 | 38,685 | ||
Delta Air Lines, Inc. | ||||
2.90%, 10/28/24Δ | 30,000 | 27,782 | ||
7.00%, 05/01/25 144A | 50,000 | 50,677 | ||
4.50%, 10/20/25 144A | 350,000 | 340,414 | ||
7.38%, 01/15/26Δ | 330,000 | 330,361 | ||
4.75%, 10/20/28 144A | 1,300,000 | 1,229,011 | ||
Devon Energy Corporation | ||||
5.88%, 06/15/28 | 384,000 | 392,184 | ||
DH Europe Finance II S.a.r.l. | ||||
0.45%, 03/18/28(E) | 275,000 | 253,444 |
Par | Value | |||
Diamondback Energy, Inc. | ||||
3.13%, 03/24/31 | $ 45,000 | $ 39,242 | ||
Digital Euro Finco LLC REIT | ||||
1.13%, 04/09/28(E) | 305,000 | 269,772 | ||
Dillard's, Inc. | ||||
7.75%, 07/15/26 | 450,000 | 475,662 | ||
Directv Financing LLC | ||||
5.88%, 08/15/27 144A | 1,370,000 | 1,173,138 | ||
Discovery Communications LLC | ||||
3.63%, 05/15/30Δ | 125,000 | 111,265 | ||
DISH DBS Corporation | ||||
5.88%, 11/15/24 | 1,065,000 | 900,905 | ||
7.75%, 07/01/26 | 1,545,000 | 1,209,743 | ||
5.75%, 12/01/28 144A | 770,000 | 571,559 | ||
5.13%, 06/01/29 | 90,000 | 54,972 | ||
DISH Network Corporation | ||||
2.38%, 03/15/24 CONV | 830,000 | 733,512 | ||
3.38%, 08/15/26 CONV | 565,000 | 383,070 | ||
DTE Energy Co. | ||||
3.40%, 06/15/29 | 142,000 | 130,750 | ||
Duke Energy Corporation | ||||
2.55%, 06/15/31Δ | 295,000 | 245,389 | ||
Edison International | ||||
4.95%, 04/15/25Δ | 35,000 | 35,123 | ||
El Paso Natural Gas Co. LLC | ||||
8.38%, 06/15/32 | 50,000 | 58,498 | ||
Encore Capital Group, Inc. | ||||
4.88%, 10/15/25(E) | 300,000 | 304,134 | ||
Endeavor Energy Resources LP | ||||
5.75%, 01/30/28 144A | 230,000 | 219,711 | ||
Energy Transfer LP | ||||
5.00%, 10/01/22 | 60,000 | 60,084 | ||
4.50%, 11/01/23 | 500,000 | 502,717 | ||
7.60%, 02/01/24 | 220,000 | 229,279 | ||
Entegris Escrow Corporation | ||||
4.75%, 04/15/29 144A | 160,000 | 149,289 | ||
Enterprise Products Operating LLC | ||||
5.10%, 02/15/45 | 600,000 | 565,625 | ||
4.80%, 02/01/49 | 290,000 | 262,878 | ||
EOG Resources, Inc. | ||||
4.38%, 04/15/30Δ | 100,000 | 100,506 | ||
EPR Properties REIT | ||||
3.75%, 08/15/29 | 230,000 | 191,639 | ||
3.60%, 11/15/31 | 340,000 | 269,136 | ||
EQT Corporation | ||||
3.13%, 05/15/26 144A | 25,000 | 23,444 | ||
3.90%, 10/01/27 | 85,000 | 79,238 | ||
5.00%, 01/15/29 | 900,000 | 872,694 | ||
3.63%, 05/15/31 144A | 105,000 | 90,932 | ||
ERAC U.S.A. Finance LLC | ||||
7.00%, 10/15/37 144A | 535,000 | 628,427 | ||
Expedia Group, Inc. | ||||
3.25%, 02/15/30 | 15,000 | 12,524 | ||
2.95%, 03/15/31 | 455,000 | 362,382 | ||
Exxon Mobil Corporation | ||||
4.33%, 03/19/50 | 300,000 | 283,632 |
Par | Value | |||
3.45%, 04/15/51 | $ 340,000 | $278,614 | ||
Fidelity & Guaranty Life Holdings, Inc. | ||||
5.50%, 05/01/25 144A | 430,000 | 437,985 | ||
Fidelity National Information Services, Inc. | ||||
1.00%, 12/03/28(E) | 300,000 | 272,938 | ||
Fiserv, Inc. | ||||
1.63%, 07/01/30(E) | 290,000 | 265,873 | ||
Ford Motor Co. | ||||
6.63%, 10/01/28 | 75,000 | 74,108 | ||
3.25%, 02/12/32 | 1,270,000 | 954,246 | ||
4.75%, 01/15/43 | 190,000 | 135,952 | ||
Ford Motor Credit Co. LLC | ||||
2.75%, 06/14/24(U) | 460,000 | 517,916 | ||
2.39%, 02/17/26(E) Δ | 200,000 | 183,823 | ||
3.82%, 11/02/27 | 400,000 | 340,794 | ||
2.90%, 02/10/29 | 875,000 | 687,571 | ||
4.00%, 11/13/30 | 850,000 | 690,429 | ||
Fox Corporation | ||||
5.58%, 01/25/49Δ | 215,000 | 210,246 | ||
Freeport-McMoRan, Inc. | ||||
4.25%, 03/01/30Δ | 15,000 | 13,673 | ||
4.63%, 08/01/30 | 10,000 | 9,295 | ||
5.40%, 11/14/34 | 230,000 | 224,925 | ||
FS KKR Capital Corporation | ||||
3.40%, 01/15/26 | 75,000 | 66,653 | ||
3.13%, 10/12/28 | 95,000 | 75,861 | ||
Gartner, Inc. | ||||
3.63%, 06/15/29 144A | 10,000 | 8,681 | ||
General Dynamics Corporation | ||||
4.25%, 04/01/40 | 190,000 | 182,012 | ||
4.25%, 04/01/50Δ | 460,000 | 443,419 | ||
General Electric Co. | ||||
6.75%, 03/15/32Δ | 11,000 | 12,316 | ||
General Motors Co. | ||||
5.40%, 10/02/23 | 360,000 | 365,556 | ||
6.13%, 10/01/25 | 250,000 | 258,815 | ||
6.25%, 10/02/43 | 85,000 | 81,136 | ||
5.20%, 04/01/45 | 255,000 | 214,645 | ||
General Motors Financial Co., Inc. | ||||
0.96%, 09/07/23(E) | 415,000 | 428,721 | ||
5.25%, 03/01/26 | 315,000 | 315,879 | ||
(Variable, ICE LIBOR USD 3M + 3.60%), 5.75%, 09/30/27ρ Δ ^ | 5,000 | 4,200 | ||
3.60%, 06/21/30 | 275,000 | 237,880 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.00%), 5.70%, 09/30/30ρ Δ ^ | 10,000 | 8,738 | ||
GEO Group, Inc. (The) REIT | ||||
5.88%, 10/15/24 | 290,000 | 261,000 | ||
Georgia-Pacific LLC | ||||
8.88%, 05/15/31 | 305,000 | 402,448 | ||
Gilead Sciences, Inc. | ||||
4.00%, 09/01/36Δ | 670,000 | 626,669 |
Par | Value | |||
Glencore Funding LLC | ||||
2.85%, 04/27/31 144A Δ | $420,000 | $347,218 | ||
Go Daddy Operating Co. LLC | ||||
3.50%, 03/01/29 144A | 105,000 | 88,716 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 08/01/22† ρ | 40,000 | 28,688 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Variable, ICE LIBOR USD 3M + 1.20%), 3.27%, 09/29/25^ | 420,000 | 408,522 | ||
(Variable, U.S. SOFR + 0.79%), 1.09%, 12/09/26^ | 360,000 | 321,204 | ||
0.00%, 01/26/28(E) | 428,000 | 376,099 | ||
(Variable, ICE LIBOR USD 3M + 1.51%), 3.69%, 06/05/28^ | 225,000 | 213,554 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 265,000 | 250,125 | ||
(Variable, U.S. SOFR + 1.28%), 2.62%, 04/22/32^ | 220,000 | 182,878 | ||
6.75%, 10/01/37 | 180,000 | 199,639 | ||
(Variable, ICE LIBOR USD 3M + 1.37%), 4.02%, 10/31/38^ | 160,000 | 139,961 | ||
5.15%, 05/22/45 | 580,000 | 552,085 | ||
Hanesbrands, Inc. | ||||
4.63%, 05/15/24 144A | 110,000 | 107,878 | ||
4.88%, 05/15/26 144A Δ | 560,000 | 519,812 | ||
HCA, Inc. | ||||
5.38%, 02/01/25 | 20,000 | 19,956 | ||
5.38%, 09/01/26 | 18,000 | 17,879 | ||
4.13%, 06/15/29 | 70,000 | 63,892 | ||
3.50%, 09/01/30 | 50,000 | 42,680 | ||
5.25%, 06/15/49 | 170,000 | 146,762 | ||
Hercules LLC | ||||
6.50%, 06/30/29 | 130,000 | 127,604 | ||
Hess Midstream Operations LP | ||||
4.25%, 02/15/30 144A | 30,000 | 25,181 | ||
Hilton Domestic Operating Co., Inc. | ||||
3.63%, 02/15/32 144A | 75,000 | 59,750 | ||
Hilton Grand Vacations Borrower Escrow LLC | ||||
5.00%, 06/01/29 144A Δ | 60,000 | 48,695 | ||
4.88%, 07/01/31 144A | 20,000 | 15,297 | ||
Hilton Worldwide Finance LLC | ||||
4.88%, 04/01/27 | 520,000 | 490,558 | ||
Icahn Enterprises LP | ||||
5.25%, 05/15/27 | 5,000 | 4,440 | ||
4.38%, 02/01/29 | 280,000 | 226,820 | ||
Ideal Standard International SA | ||||
6.38%, 07/30/26(E) 144A | 840,000 | 543,666 | ||
iHeartCommunications, Inc. | ||||
8.38%, 05/01/27Δ | 50,000 | 39,841 | ||
Ionis Pharmaceuticals, Inc. | ||||
0.00%, 04/01/26 CONV | 55,000 | 50,287 | ||
Jabil, Inc. | ||||
1.70%, 04/15/26 | 85,000 | 76,225 | ||
JBS U.S.A. LUX SA | ||||
3.00%, 02/02/29 144A | 45,000 | 38,088 |
Par | Value | |||
3.75%, 12/01/31 144A | $ 50,000 | $ 41,105 | ||
Jefferies Group LLC | ||||
6.25%, 01/15/36 | 350,000 | 352,744 | ||
6.50%, 01/20/43 | 260,000 | 257,802 | ||
JELD-WEN, Inc. | ||||
4.88%, 12/15/27 144A Δ | 380,000 | 296,905 | ||
JetBlue Airways Corporation | ||||
0.50%, 04/01/26 CONV Δ | 40,000 | 29,620 | ||
John Deere Capital Corporation | ||||
0.90%, 01/10/24Δ | 55,000 | 53,123 | ||
1.25%, 01/10/25 | 85,000 | 80,676 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.33%), 6.13%, 04/30/24ρ ^ | 190,000 | 180,988 | ||
(Variable, Euribor 3M + 0.84%), 1.64%, 05/18/28(E) ^ | 250,000 | 244,192 | ||
(Variable, U.S. SOFR + 2.04%), 2.52%, 04/22/31^ | 510,000 | 434,830 | ||
(Variable, U.S. SOFR + 2.52%), 2.96%, 05/13/31^ | 285,000 | 246,310 | ||
(Variable, U.S. SOFR + 2.46%), 3.11%, 04/22/41^ | 250,000 | 194,203 | ||
(Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | 460,000 | 338,053 | ||
(Variable, U.S. SOFR + 1.58%), 3.33%, 04/22/52^ | 1,880,000 | 1,433,626 | ||
Kinder Morgan Energy Partners LP | ||||
6.50%, 02/01/37 | 40,000 | 42,612 | ||
6.95%, 01/15/38 | 50,000 | 53,928 | ||
Kinder Morgan, Inc. | ||||
7.75%, 01/15/32 | 560,000 | 654,017 | ||
5.55%, 06/01/45Δ | 310,000 | 292,620 | ||
Kraft Heinz Foods Co. | ||||
4.38%, 06/01/46 | 65,000 | 54,274 | ||
Legacy LifePoint Health LLC | ||||
4.38%, 02/15/27 144A | 230,000 | 197,366 | ||
Lennar Corporation | ||||
4.75%, 11/29/27Δ | 1,045,000 | 1,015,533 | ||
Lithia Motors, Inc. | ||||
3.88%, 06/01/29 144A Δ | 45,000 | 38,320 | ||
Livongo Health, Inc. | ||||
0.88%, 06/01/25 CONV | 35,000 | 29,610 | ||
Magallanes, Inc. | ||||
4.05%, 03/15/29 144A | 40,000 | 36,668 | ||
4.28%, 03/15/32 144A | 275,000 | 246,043 | ||
5.05%, 03/15/42 144A | 360,000 | 306,841 | ||
5.14%, 03/15/52 144A | 690,000 | 580,055 | ||
Marathon Petroleum Corporation | ||||
4.70%, 05/01/25 | 380,000 | 384,958 | ||
Marriott International, Inc. | ||||
2.85%, 04/15/31 | 75,000 | 62,274 | ||
Marriott Ownership Resorts, Inc. | ||||
4.50%, 06/15/29 144A | 45,000 | 37,492 | ||
Marvell Technology, Inc. | ||||
2.45%, 04/15/28 | 70,000 | 61,167 | ||
2.95%, 04/15/31 | 60,000 | 50,416 |
Par | Value | |||
Masco Corporation | ||||
7.75%, 08/01/29 | $ 62,000 | $ 70,163 | ||
6.50%, 08/15/32 | 27,000 | 29,140 | ||
Match Group Holdings II LLC | ||||
5.00%, 12/15/27 144A Δ | 560,000 | 520,047 | ||
MBIA Insurance Corporation | ||||
12.30%, 01/15/33 144A # | 215,000 | 43,000 | ||
McDonald’s Corporation | ||||
1.60%, 03/15/31(E) | 400,000 | 366,861 | ||
4.20%, 04/01/50 | 300,000 | 268,628 | ||
Micron Technology, Inc. | ||||
2.70%, 04/15/32 | 215,000 | 171,676 | ||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | 375,000 | 369,684 | ||
MMS U.S.A. Holdings, Inc. | ||||
1.75%, 06/13/31(E) | 500,000 | 448,574 | ||
Molina Healthcare, Inc. | ||||
3.88%, 05/15/32 144A | 60,000 | 50,435 | ||
Morgan Stanley | ||||
(Variable, U.S. SOFR + 0.51%), 0.79%, 01/22/25^ | 510,000 | 482,471 | ||
6.25%, 08/09/26 | 205,000 | 218,280 | ||
4.35%, 09/08/26 | 475,000 | 471,060 | ||
3.63%, 01/20/27 | 250,000 | 242,353 | ||
3.95%, 04/23/27 | 65,000 | 63,001 | ||
(Variable, U.S. SOFR + 1.14%), 2.70%, 01/22/31^ | 315,000 | 273,118 | ||
(Variable, U.S. SOFR + 4.84%), 5.60%, 03/24/51^ | 230,000 | 248,602 | ||
MPLX LP | ||||
4.70%, 04/15/48 | 105,000 | 88,493 | ||
MPT Operating Partnership LP REIT | ||||
2.55%, 12/05/23(U) | 350,000 | 409,435 | ||
4.63%, 08/01/29Δ | 240,000 | 211,068 | ||
3.50%, 03/15/31 | 1,000,000 | 791,125 | ||
Murphy Oil U.S.A., Inc. | ||||
3.75%, 02/15/31 144A | 25,000 | 21,290 | ||
Mutual of Omaha Insurance Co. | ||||
6.80%, 06/15/36 144A | 605,000 | 661,174 | ||
Mylan, Inc. | ||||
4.55%, 04/15/28 | 225,000 | 214,727 | ||
Navient Corporation | ||||
6.75%, 06/15/26 | 150,000 | 132,970 | ||
5.00%, 03/15/27 | 5,000 | 4,120 | ||
5.63%, 08/01/33 | 10,000 | 6,959 | ||
NCL Corporation, Ltd. | ||||
5.88%, 03/15/26 144A | 65,000 | 51,209 | ||
1.13%, 02/15/27 144A CONV Δ | 155,000 | 101,138 | ||
5.88%, 02/15/27 144A | 65,000 | 55,697 | ||
NCL Finance, Ltd. | ||||
6.13%, 03/15/28 144A | 25,000 | 18,222 | ||
Netflix, Inc. | ||||
3.63%, 05/15/27(E) | 100,000 | 98,405 | ||
4.88%, 04/15/28Δ | 20,000 | 18,864 | ||
5.88%, 11/15/28 | 90,000 | 88,219 | ||
6.38%, 05/15/29 | 1,215,000 | 1,229,294 | ||
5.38%, 11/15/29 144A Δ | 10,000 | 9,468 |
Par | Value | |||
4.88%, 06/15/30 144A Δ | $145,000 | $132,981 | ||
Newell Brands, Inc. | ||||
4.10%, 04/01/23 | 320,000 | 317,725 | ||
NGPL PipeCo LLC | ||||
7.77%, 12/15/37 144A | 200,000 | 217,989 | ||
NVIDIA Corporation | ||||
3.70%, 04/01/60 | 280,000 | 235,696 | ||
Occidental Petroleum Corporation | ||||
3.50%, 08/15/29Δ | 280,000 | 250,600 | ||
8.88%, 07/15/30 | 10,000 | 11,500 | ||
6.13%, 01/01/31Δ | 5,000 | 5,078 | ||
7.88%, 09/15/31 | 10,000 | 10,995 | ||
OneMain Finance Corporation | ||||
6.88%, 03/15/25 | 125,000 | 118,721 | ||
Open Text Holdings, Inc. | ||||
4.13%, 02/15/30 144A | 300,000 | 259,969 | ||
Oracle Corporation | ||||
4.00%, 07/15/46 | 205,000 | 151,942 | ||
3.95%, 03/25/51 | 150,000 | 110,404 | ||
Organon & Co. | ||||
2.88%, 04/30/28(E) | 150,000 | 132,109 | ||
Ovintiv, Inc. | ||||
8.13%, 09/15/30 | 15,000 | 17,261 | ||
7.20%, 11/01/31 | 5,000 | 5,479 | ||
7.38%, 11/01/31 | 10,000 | 11,006 | ||
6.50%, 08/15/34 | 120,000 | 125,430 | ||
6.63%, 08/15/37 | 30,000 | 31,539 | ||
6.50%, 02/01/38 | 5,000 | 5,169 | ||
Owens Corning | ||||
7.00%, 12/01/36 | 523,000 | 585,845 | ||
Owl Rock Capital Corporation | ||||
4.25%, 01/15/26 | 265,000 | 244,076 | ||
2.88%, 06/11/28 | 105,000 | 82,547 | ||
Owl Rock Technology Finance Corporation | ||||
4.75%, 12/15/25 144A | 265,000 | 249,422 | ||
Pacific Gas and Electric Co. | ||||
3.25%, 06/01/31 | 160,000 | 129,395 | ||
3.30%, 08/01/40Δ | 120,000 | 82,914 | ||
4.30%, 03/15/45 | 255,000 | 185,815 | ||
Peloton Interactive, Inc. | ||||
0.00%, 02/15/26 CONV | 10,000 | 6,349 | ||
Penn Mutual Life Insurance Co. (The) | ||||
7.63%, 06/15/40 144A | 345,000 | 408,999 | ||
Pilgrim's Pride Corporation | ||||
4.25%, 04/15/31 144A | 10,000 | 8,374 | ||
3.50%, 03/01/32 144A | 140,000 | 109,664 | ||
Plains All American Pipeline LP | ||||
4.65%, 10/15/25 | 230,000 | 227,996 | ||
3.55%, 12/15/29 | 200,000 | 176,411 | ||
PLT VII Finance S.a.r.l. | ||||
4.63%, 01/05/26(E) | 165,000 | 152,218 | ||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | 610,000 | 597,379 |
Par | Value | |||
PulteGroup, Inc. | ||||
6.00%, 02/15/35 | $ 95,000 | $ 93,442 | ||
Radiology Partners, Inc. | ||||
9.25%, 02/01/28 144A Δ | 440,000 | 331,091 | ||
Range Resources Corporation | ||||
5.00%, 03/15/23 | 53,000 | 52,690 | ||
4.75%, 02/15/30 144A Δ | 840,000 | 754,669 | ||
RingCentral, Inc. | ||||
0.00%, 03/15/26 CONV | 10,000 | 7,560 | ||
Rocket Mortgage LLC | ||||
2.88%, 10/15/26 144A | 290,000 | 240,477 | ||
3.63%, 03/01/29 144A | 15,000 | 11,822 | ||
3.63%, 03/01/29 | 130,000 | 102,461 | ||
3.88%, 03/01/31 144A | 325,000 | 244,447 | ||
4.00%, 10/15/33 144A Δ | 165,000 | 117,521 | ||
Royal Caribbean Cruises, Ltd. | ||||
4.25%, 07/01/26 144A | 10,000 | 7,122 | ||
5.50%, 04/01/28 144A Δ | 130,000 | 90,656 | ||
Sasol Financing U.S.A. LLC | ||||
5.50%, 03/18/31 | 1,470,000 | 1,134,223 | ||
SBA Communications Corporation REIT | ||||
3.13%, 02/01/29 | 155,000 | 127,242 | ||
Seagate HDD Cayman | ||||
4.09%, 06/01/29 | 10,000 | 8,619 | ||
Sensata Technologies, Inc. | ||||
4.38%, 02/15/30 144A Δ | 720,000 | 614,133 | ||
Snap, Inc. | ||||
0.00%, 05/01/27 CONV | 65,000 | 45,338 | ||
Southern Co. (The) | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.73%), 4.00%, 01/15/51^ | 200,000 | 179,796 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 870,000 | 852,317 | ||
Southwest Airlines Co. | ||||
1.25%, 05/01/25 CONV | 145,000 | 171,281 | ||
Southwestern Energy Co. | ||||
4.75%, 02/01/32 | 765,000 | 655,559 | ||
Spectrum Brands, Inc. | ||||
5.75%, 07/15/25 | 35,000 | 34,617 | ||
5.00%, 10/01/29 144A | 90,000 | 77,951 | ||
Splunk, Inc. | ||||
1.13%, 06/15/27 CONV | 60,000 | 49,800 | ||
Spotify U.S.A., Inc. | ||||
0.00%, 03/15/26 CONV Δ | 65,000 | 51,610 | ||
Sprint Capital Corporation | ||||
8.75%, 03/15/32 | 550,000 | 663,707 | ||
Sprint Corporation | ||||
7.88%, 09/15/23 | 490,000 | 506,660 | ||
Stewart Information Services Corporation | ||||
3.60%, 11/15/31 | 135,000 | 112,133 | ||
Synchrony Financial | ||||
2.88%, 10/28/31Δ | 215,000 | 163,163 | ||
Sysco Corporation | ||||
6.60%, 04/01/50 | 142,000 | 164,144 |
Par | Value | |||
Tapestry, Inc. | ||||
3.05%, 03/15/32 | $ 30,000 | $ 24,477 | ||
Targa Resources Partners LP | ||||
5.50%, 03/01/30 | 285,000 | 272,461 | ||
4.88%, 02/01/31 | 10,000 | 9,134 | ||
4.00%, 01/15/32 | 35,000 | 30,017 | ||
TD SYNNEX Corporation | ||||
1.75%, 08/09/26 144A | 135,000 | 119,112 | ||
Teladoc Health, Inc. | ||||
1.25%, 06/01/27 CONV | 275,000 | 202,812 | ||
Tennessee Gas Pipeline Co. LLC | ||||
2.90%, 03/01/30 144A | 340,000 | 294,024 | ||
Terminix Co. LLC (The) | ||||
7.45%, 08/15/27 | 120,000 | 134,685 | ||
Teva Pharmaceutical Finance Co. LLC | ||||
6.15%, 02/01/36Δ | 75,000 | 62,850 | ||
Time Warner Cable LLC | ||||
5.50%, 09/01/41 | 35,000 | 30,612 | ||
4.50%, 09/15/42 | 55,000 | 43,025 | ||
T-Mobile U.S.A., Inc. | ||||
2.40%, 03/15/29 144A | 25,000 | 21,628 | ||
3.88%, 04/15/30 | 675,000 | 630,581 | ||
2.70%, 03/15/32 144A Δ | 485,000 | 407,495 | ||
4.50%, 04/15/50 | 360,000 | 320,270 | ||
Toyota Motor Credit Corporation | ||||
0.50%, 06/18/24Δ | 595,000 | 561,995 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
3.25%, 05/15/30 | 320,000 | 287,710 | ||
4.45%, 08/01/42 | 750,000 | 664,906 | ||
TransDigm, Inc. | ||||
6.25%, 03/15/26 144A | 50,000 | 48,352 | ||
Travel + Leisure Co. | ||||
6.63%, 07/31/26 144A | 10,000 | 9,499 | ||
6.00%, 04/01/27 | 10,000 | 9,073 | ||
4.50%, 12/01/29 144A | 110,000 | 85,274 | ||
4.63%, 03/01/30 144A | 75,000 | 58,233 | ||
TriNet Group, Inc. | ||||
3.50%, 03/01/29 144A | 95,000 | 78,395 | ||
Twitter, Inc. | ||||
0.00%, 03/15/26 CONV | 30,000 | 26,702 | ||
Uber Technologies, Inc. | ||||
0.00%, 12/15/25 CONV | 155,000 | 124,421 | ||
8.00%, 11/01/26 144A | 15,000 | 14,967 | ||
7.50%, 09/15/27 144A | 305,000 | 295,996 | ||
6.25%, 01/15/28 144A Δ | 120,000 | 111,140 | ||
4.50%, 08/15/29 144A Δ | 345,000 | 284,409 | ||
UGI International LLC | ||||
2.50%, 12/01/29(E) | 100,000 | 79,341 | ||
United Rentals North America, Inc. | ||||
5.25%, 01/15/30Δ | 410,000 | 381,001 | ||
3.88%, 02/15/31Δ | 1,290,000 | 1,090,795 | ||
Unity Software, Inc. | ||||
0.00%, 11/15/26 CONV | 5,000 | 3,694 | ||
Utah Acquisition Sub, Inc. | ||||
3.13%, 11/22/28(E) | 410,000 | 389,970 |
Par | Value | |||
Verizon Communications, Inc. | ||||
1.13%, 11/03/28(U) | $290,000 | $ 301,480 | ||
1.88%, 10/26/29(E) | 410,000 | 401,431 | ||
2.36%, 03/15/32 | 940,000 | 780,198 | ||
0.75%, 03/22/32(E) Δ | 185,000 | 153,915 | ||
3.40%, 03/22/41 | 620,000 | 505,821 | ||
4.00%, 03/22/50 | 720,000 | 623,856 | ||
3.55%, 03/22/51Δ | 150,000 | 120,520 | ||
3.70%, 03/22/61 | 350,000 | 275,771 | ||
Viatris, Inc. | ||||
3.85%, 06/22/40 | 280,000 | 198,740 | ||
Viking Cruises, Ltd. | ||||
5.88%, 09/15/27 144A | 90,000 | 67,360 | ||
Viking Ocean Cruises Ship VII, Ltd. | ||||
5.63%, 02/15/29 144A | 900,000 | 710,797 | ||
VOC Escrow, Ltd. | ||||
5.00%, 02/15/28 144A | 280,000 | 225,366 | ||
Wells Fargo & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.99%), 5.88%, 06/15/25ρ ^ | 170,000 | 166,158 | ||
1.00%, 02/02/27(E) | 400,000 | 378,623 | ||
(Variable, U.S. SOFR + 1.26%), 2.57%, 02/11/31^ | 230,000 | 197,922 | ||
(Variable, U.S. SOFR + 2.53%), 3.07%, 04/30/41^ | 220,000 | 170,701 | ||
(Variable, U.S. SOFR + 4.50%), 5.01%, 04/04/51^ | 840,000 | 826,138 | ||
Western Digital Corporation | ||||
4.75%, 02/15/26 | 70,000 | 66,994 | ||
2.85%, 02/01/29 | 105,000 | 85,657 | ||
3.10%, 02/01/32 | 10,000 | 7,687 | ||
Western Midstream Operating LP | ||||
3.60%, 02/01/25 | 850,000 | 784,745 | ||
4.55%, 02/01/30 | 20,000 | 17,356 | ||
5.45%, 04/01/44 | 10,000 | 8,331 | ||
5.30%, 03/01/48 | 50,000 | 40,404 | ||
5.50%, 08/15/48 | 835,000 | 682,132 | ||
5.75%, 02/01/50 | 25,000 | 20,150 | ||
Westlake Corporation | ||||
3.13%, 08/15/51Δ | 205,000 | 143,466 | ||
WestRock MWV LLC | ||||
8.20%, 01/15/30 | 75,000 | 89,502 | ||
7.95%, 02/15/31 | 25,000 | 29,878 | ||
Weyerhaeuser Co. REIT | ||||
6.95%, 10/01/27 | 30,000 | 33,038 | ||
6.88%, 12/15/33 | 250,000 | 281,122 | ||
Williams Cos., Inc. (The) | ||||
7.50%, 01/15/31 | 40,000 | 46,056 | ||
5.75%, 06/24/44 | 320,000 | 319,841 | ||
Yum! Brands, Inc. | ||||
4.63%, 01/31/32 | 195,000 | 172,828 | ||
Total Corporate Bonds (Cost $125,232,090) | 107,904,400 | |||
FOREIGN BONDS — 41.9% | ||||
Andorra — 0.0% | ||||
Andorra International Bond | ||||
1.25%, 02/23/27(E) | 100,000 | 99,095 |
Par | Value | |||
Angola — 0.1% | ||||
Angolan Government International Bond | ||||
8.75%, 04/14/32 | $ 200,000 | $ 160,601 | ||
9.38%, 05/08/48 | 200,000 | 145,510 | ||
306,111 | ||||
Argentina — 0.3% | ||||
Argentine Republic Government International Bond | ||||
1.00%, 07/09/29 | 136,957 | 31,486 | ||
(Step to 0.75% on 07/09/23), 0.50%, 07/09/30 STEP | 828,157 | 196,425 | ||
(Step to 1.50% on 07/09/22), 1.13%, 07/09/35 STEP | 1,625,941 | 352,218 | ||
Pampa Energia SA | ||||
7.50%, 01/24/27 144A | 750,000 | 623,767 | ||
Provincia de Buenos Aires | ||||
(Step to 5.25% on 09/01/22), 3.90%, 09/01/37 144A STEP | 623,391 | 190,193 | ||
1,394,089 | ||||
Australia — 0.2% | ||||
Australia Government Bond | ||||
1.75%, 06/21/51(A) | 2,000,000 | 878,295 | ||
FMG Resources August 2006 Pty, Ltd. | ||||
4.38%, 04/01/31 144A Δ | 100,000 | 81,807 | ||
960,102 | ||||
Austria — 0.5% | ||||
Republic of Austria Government Bond | ||||
0.90%, 02/20/32(E) 144A | 50,000 | 47,748 | ||
Sappi Papier Holding GmbH | ||||
3.63%, 03/15/28(E) | 130,000 | 113,523 | ||
Suzano Austria GmbH | ||||
5.75%, 07/14/26 144A | 370,000 | 374,669 | ||
5.00%, 01/15/30 | 730,000 | 666,114 | ||
3.75%, 01/15/31 | 1,450,000 | 1,174,805 | ||
2,376,859 | ||||
Azerbaijan — 0.1% | ||||
Southern Gas Corridor CJSC | ||||
6.88%, 03/24/26 | 510,000 | 501,944 | ||
State Oil Co. of the Azerbaijan Republic | ||||
6.95%, 03/18/30 | 200,000 | 190,237 | ||
692,181 | ||||
Belgium — 0.1% | ||||
Elia Transmission Belgium SA | ||||
0.88%, 04/28/30(E) Δ | 500,000 | 437,606 | ||
House of Finance NV (The) | ||||
4.38%, 07/15/26(E) | 150,000 | 153,046 | ||
Kingdom of Belgium Government Bond | ||||
1.45%, 06/22/37(E) 144A | 68,500 | 63,531 | ||
0.40%, 06/22/40(E) 144A | 40,594 | 29,808 | ||
3.75%, 06/22/45(E) | 18,000 | 22,666 | ||
706,657 |
Par | Value | |||
Bermuda — 0.1% | ||||
Bermuda Government International Bond | ||||
3.72%, 01/25/27 | $ 200,000 | $ 193,786 | ||
4.75%, 02/15/29 | 200,000 | 200,620 | ||
394,406 | ||||
Brazil — 2.3% | ||||
Brazil Minas SPE via State of Minas Gerais | ||||
5.33%, 02/15/28 | 120,000 | 117,813 | ||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/23(B) | 14,363,000 | 2,689,163 | ||
10.00%, 01/01/25(B) | 18,485,000 | 3,324,980 | ||
10.00%, 01/01/27(B) | 8,227,000 | 1,426,225 | ||
Brazilian Government International Bond | ||||
10.25%, 01/10/28(B) | 2,630,000 | 463,369 | ||
5.63%, 01/07/41 | 230,000 | 184,042 | ||
Itau Unibanco Holding SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.98%), 6.13%, 12/12/22 144A ρ ^ | 760,000 | 729,771 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.98%), 6.13%, 12/12/22ρ ^ | 1,110,000 | 1,065,850 | ||
Ultrapar International SA | ||||
5.25%, 10/06/26 144A | 1,300,000 | 1,296,522 | ||
Vale Overseas, Ltd. | ||||
6.88%, 11/21/36 | 900,000 | 968,081 | ||
12,265,816 | ||||
Canada — 1.1% | ||||
1011778 BC ULC | ||||
3.88%, 01/15/28 144A | 720,000 | 626,429 | ||
Bausch Health Cos., Inc. | ||||
7.00%, 01/15/28 144A | 5,000 | 2,868 | ||
5.00%, 01/30/28 144A Δ | 50,000 | 26,766 | ||
4.88%, 06/01/28 144A | 20,000 | 15,692 | ||
5.00%, 02/15/29 144A | 5,000 | 2,615 | ||
6.25%, 02/15/29 144A Δ | 5,000 | 2,675 | ||
5.25%, 01/30/30 144A Δ | 25,000 | 12,988 | ||
5.25%, 02/15/31 144A Δ | 120,000 | 61,764 | ||
Canadian Government Bond | ||||
1.00%, 06/01/27(C) | 2,315,000 | 1,628,566 | ||
Clarios Global LP | ||||
4.38%, 05/15/26(E) | 291,000 | 267,411 | ||
First Quantum Minerals, Ltd. | ||||
6.50%, 03/01/24 144A | 300,000 | 288,698 | ||
7.50%, 04/01/25 144A Δ | 550,000 | 521,096 | ||
6.88%, 10/15/27 144A | 200,000 | 179,156 | ||
Glencore Finance Canada, Ltd. | ||||
6.00%, 11/15/41 | 340,000 | 330,929 | ||
MEG Energy Corporation | ||||
7.13%, 02/01/27 144A | 1,310,000 | 1,322,275 |
Par | Value | |||
Open Text Corporation | ||||
3.88%, 02/15/28 144A | $ 190,000 | $ 169,264 | ||
Rogers Communications, Inc. | ||||
3.80%, 03/15/32 144A | 171,000 | 156,571 | ||
4.55%, 03/15/52 144A | 165,000 | 145,286 | ||
5,761,049 | ||||
Chile — 0.1% | ||||
Corporation Nacional del Cobre de Chile | ||||
3.63%, 08/01/27 144A | 220,000 | 208,653 | ||
Empresa de los Ferrocarriles del Estado | ||||
3.83%, 09/14/61 | 400,000 | 277,716 | ||
486,369 | ||||
China — 6.3% | ||||
Avolon Holdings Funding, Ltd. | ||||
4.25%, 04/15/26 144A | 680,000 | 630,578 | ||
China Government Bond | ||||
2.56%, 10/21/23(Y) | 23,770,000 | 3,570,872 | ||
2.26%, 02/24/25(Y) | 19,440,000 | 2,891,560 | ||
2.20%, 07/27/25(Y) | 29,500,000 | 4,356,270 | ||
3.85%, 12/12/26(Y) | 18,000,000 | 2,803,972 | ||
2.37%, 01/20/27(Y) | 18,060,000 | 2,666,882 | ||
3.48%, 06/29/27(Y) | 33,000,000 | 5,072,968 | ||
4.15%, 12/04/27(Y) | 13,000,000 | 2,068,524 | ||
4.29%, 05/22/29(Y) | 16,500,000 | 2,669,861 | ||
3.60%, 05/21/30(Y) | 7,000,000 | 1,085,941 | ||
3.02%, 05/27/31(Y) | 5,460,000 | 824,493 | ||
3.95%, 06/29/43(Y) | 4,000,000 | 632,865 | ||
4.10%, 05/21/45(Y) | 1,000,000 | 159,793 | ||
4.05%, 07/24/47(Y) | 3,910,000 | 650,264 | ||
3.53%, 10/18/51(Y) | 6,980,000 | 1,081,503 | ||
China Minmetals Corporation | ||||
(Variable, 4.72% - U.S. Treasury Yield Curve Rate CMT 5Y), 3.75%, 11/13/22ρ ^ | 250,000 | 251,168 | ||
Dianjian International Finance, Ltd. | ||||
(Variable, 6.93% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.60%, 03/13/23ρ ^ | 200,000 | 200,850 | ||
NXP BV | ||||
4.40%, 06/01/27 | 15,000 | 14,781 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 15,000 | 15,001 | ||
4.50%, 03/15/23 144A | 190,000 | 189,361 | ||
5.50%, 02/15/24 144A | 830,000 | 823,817 | ||
Sinopec Group Overseas Development 2015, Ltd. | ||||
3.25%, 04/28/25 | 250,000 | 247,797 | ||
Times China Holdings, Ltd. | ||||
6.75%, 07/08/25 | 200,000 | 28,000 | ||
Yuzhou Group Holdings Co., Ltd. | ||||
7.70%, 02/20/25# | 495,000 | 35,887 | ||
32,973,008 |
Par | Value | |||
Colombia — 0.7% | ||||
Colombia Government International Bond | ||||
3.00%, 01/30/30 | $ 315,000 | $ 240,283 | ||
6.13%, 01/18/41 | 100,000 | 78,689 | ||
5.63%, 02/26/44 | 3,170,000 | 2,288,525 | ||
5.00%, 06/15/45 | 200,000 | 134,410 | ||
5.20%, 05/15/49 | 200,000 | 136,160 | ||
Ecopetrol SA | ||||
5.88%, 09/18/23 | 140,000 | 140,611 | ||
Millicom International Cellular SA | ||||
5.13%, 01/15/28 144A | 540,000 | 464,808 | ||
3,483,486 | ||||
Croatia — 0.0% | ||||
Croatia Government International Bond | ||||
1.50%, 06/17/31(E) | 200,000 | 179,829 | ||
Czech Republic — 0.1% | ||||
CPI Property Group SA | ||||
(Variable, 5.73% - EUR Swap Rate 5Y), 4.88%, 08/18/26(E) ρ ^ | 100,000 | 60,949 | ||
Czech Republic Government Bond | ||||
0.95%, 05/15/30(ZE) | 17,870,000 | 561,276 | ||
622,225 | ||||
Denmark — 0.0% | ||||
DKT Finance ApS | ||||
7.00%, 06/17/23(E) | 204,000 | 203,758 | ||
Dominican Republic — 0.1% | ||||
Dominican Republic International Bond | ||||
4.88%, 09/23/32 | 260,000 | 200,703 | ||
6.00%, 02/22/33Δ | 150,000 | 125,334 | ||
6.85%, 01/27/45 | 220,000 | 174,592 | ||
500,629 | ||||
Ecuador — 0.1% | ||||
Ecuador Government International Bond | ||||
4.72%, 07/31/30Ω | 16,866 | 7,066 | ||
(Step to 5.50% on 07/31/22), 5.00%, 07/31/30 STEP | 69,140 | 44,919 | ||
(Step to 2.50% on 07/31/22), 1.00%, 07/31/35 STEP | 638,778 | 309,157 | ||
(Step to 1.50% on 07/31/22), 0.50%, 07/31/40 STEP | 59,020 | 24,250 | ||
385,392 | ||||
Egypt — 0.3% | ||||
Egypt Government International Bond | ||||
7.60%, 03/01/29 | 400,000 | 292,970 | ||
6.38%, 04/11/31(E) | 1,200,000 | 794,338 | ||
7.63%, 05/29/32 | 200,000 | 131,543 | ||
7.90%, 02/21/48 | 200,000 | 114,964 | ||
1,333,815 |
Par | Value | |||
El Salvador — 0.0% | ||||
El Salvador Government International Bond | ||||
7.12%, 01/20/50 | $150,000 | $ 48,010 | ||
Finland — 0.0% | ||||
Ahlstrom-Munksjo Holding 3 OY | ||||
3.63%, 02/04/28(E) | 200,000 | 170,407 | ||
France — 1.2% | ||||
Accor SA | ||||
(Variable, 3.25% - EUR Swap Rate 5Y), 2.63%, 01/30/25(E) ρ ^ | 100,000 | 81,831 | ||
Afflelou SAS | ||||
4.25%, 05/19/26(E) | 150,000 | 134,479 | ||
Altice France SA | ||||
3.38%, 01/15/28(E) | 300,000 | 236,296 | ||
Banijay Group SAS | ||||
6.50%, 03/01/26(E) | 122,000 | 107,336 | ||
Banque Federative du Credit Mutuel SA | ||||
1.25%, 06/03/30(E) | 400,000 | 349,515 | ||
BNP Paribas SA | ||||
(Variable, USD Swap 5Y + 5.15%), 7.38%, 08/19/25 144A ρ Δ ^ | 740,000 | 733,076 | ||
(Variable, Euribor 3M + 1.80%), 2.13%, 01/23/27(E) ^ | 300,000 | 302,268 | ||
(Variable, U.S. SOFR + 0.91%), 1.68%, 06/30/27 144A ^ | 210,000 | 185,354 | ||
(Variable, USD Swap 5Y + 3.98%), 7.00%, 08/16/28 144A ρ ^ | 300,000 | 285,379 | ||
CAB SELAS | ||||
3.38%, 02/01/28(E) 144A | 600,000 | 507,254 | ||
Constellium SE | ||||
4.25%, 02/15/26(E) | 185,000 | 175,732 | ||
Electricite de France SA | ||||
(Variable, GBP Swap Rate 13Y + 4.23%), 6.00%, 01/29/26(U) ρ ^ | 600,000 | 648,867 | ||
Faurecia SE | ||||
2.38%, 06/15/27(E) Δ | 265,000 | 208,519 | ||
French Republic Government Bond OAT | ||||
2.10%, 07/25/23(E) 144A | 261,220 | 293,329 | ||
0.10%, 03/01/25(E) | 27,582 | 30,522 | ||
1.00%, 05/25/27(E) | 13,157 | 13,566 | ||
1.85%, 07/25/27(E) | 24,571 | 29,764 | ||
0.10%, 03/01/28(E) | 51,900 | 57,829 | ||
0.75%, 05/25/28(E) | 49,000 | 49,286 | ||
1.50%, 05/25/31(E) | 52,767 | 54,099 | ||
0.10%, 07/25/31(E) 144A | 53,745 | 59,009 | ||
0.00%, 11/25/31(E) | 158,000 | 139,192 | ||
0.50%, 05/25/72(E) 144A | 16,100 | 7,458 | ||
Iliad Holding SASU | ||||
5.63%, 10/15/28(E) Δ | 200,000 | 179,210 |
Par | Value | |||
Kapla Holding SAS | ||||
3.38%, 12/15/26(E) | $ 200,000 | $ 165,805 | ||
La Financiere Atalian SASU | ||||
4.00%, 05/15/24(E) | 100,000 | 81,525 | ||
Laboratoire Eimer Selas | ||||
5.00%, 02/01/29(E) | 150,000 | 110,352 | ||
Loxam SAS | ||||
5.75%, 07/15/27(E) | 430,000 | 355,771 | ||
Matterhorn Telecom SA | ||||
4.00%, 11/15/27(E) | 140,000 | 125,432 | ||
Orange SA | ||||
0.50%, 09/04/32(E) | 400,000 | 328,480 | ||
Paprec Holding SA | ||||
4.00%, 03/31/25(E) Δ | 155,000 | 142,274 | ||
Picard Groupe SAS | ||||
3.88%, 07/01/26(E) | 100,000 | 86,009 | ||
6,264,818 | ||||
Gabon — 0.1% | ||||
Gabo Government International Bond | ||||
7.00%, 11/24/31 144A | 1,020,000 | 747,058 | ||
Germany — 5.6% | ||||
Allianz SE | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.17%), 3.20%, 10/30/27 144A ρ ^ | 3,200,000 | 2,344,000 | ||
(Variable, 2.77% - EUR Swap Rate 5Y), 2.63%, 10/30/30(E) ρ Δ ^ | 1,000,000 | 755,600 | ||
APCOA Parking Holdings GmbH | ||||
4.63%, 01/15/27(E) 144A | 100,000 | 85,683 | ||
4.63%, 01/15/27(E) Δ | 710,000 | 608,348 | ||
Bundesrepublik Deutschland Bundesanleihe | ||||
1.00%, 08/15/24(E) | 3,140,000 | 3,311,675 | ||
0.00%, 02/15/31(E) | 17,140,000 | 16,113,587 | ||
0.00%, 08/15/31(E) | 57,400 | 53,435 | ||
Bundesschatzanweisungen | ||||
0.00%, 12/15/22(E) | 1,350,000 | 1,415,499 | ||
Cheplapharm Arzneimittel GmbH | ||||
4.38%, 01/15/28(E) | 100,000 | 89,535 | ||
Deutsche Bank AG | ||||
(Variable, U.S. SOFR + 2.76%), 3.73%, 01/14/32^ | 201,000 | 151,291 | ||
Deutsche Bundesrepublik Inflation Linked Bond | ||||
0.10%, 04/15/26(E) | 63,498 | 71,144 | ||
Gruenenthal GmbH | ||||
4.13%, 05/15/28(E) | 260,000 | 234,321 | ||
IHO Verwaltungs GmbH | ||||
PIK 4.63%, 3.88%, 05/15/27(E) | 215,000 | 176,251 | ||
Infineon Technologies AG | ||||
(Variable, 4.00% - EUR Swap Rate 5Y), 3.63%, 01/01/28(E) ρ ^ | 100,000 | 91,865 |
Par | Value | |||
Kreditanstalt fuer Wiederaufbau | ||||
0.01%, 05/05/27(E) | $ 22,000 | $ 21,430 | ||
0.00%, 09/15/31(E) | 33,000 | 28,957 | ||
Renk AG | ||||
5.75%, 07/15/25(E) 144A | 860,000 | 823,731 | ||
Schaeffler AG | ||||
3.38%, 10/12/28(E) | 200,000 | 170,474 | ||
Schenck Process Holding GmbH | ||||
5.38%, 06/15/23(E) 144A | 340,000 | 344,169 | ||
5.38%, 06/15/23(E) | 100,000 | 101,226 | ||
SGL Carbon SE | ||||
4.63%, 09/30/24(E) | 280,000 | 279,859 | ||
State of North Rhine-Westphalia Germany | ||||
1.65%, 02/22/38(E) | 11,000 | 10,401 | ||
Techem Verwaltungsgesellschaft 675 mbH | ||||
2.00%, 07/15/25(E) | 200,000 | 184,387 | ||
TK Elevator Midco GmbH | ||||
4.38%, 07/15/27(E) 144A | 350,000 | 317,830 | ||
(Floating, 4.75% - Euribor 3M), 4.75%, 07/15/27(E) † | 165,000 | 163,168 | ||
TUI Cruises GmbH | ||||
6.50%, 05/15/26(E) 144A | 120,000 | 88,872 | ||
Volkswagen Bank GmbH | ||||
1.25%, 12/15/25(E) | 782,000 | 775,265 | ||
Vonovia SE | ||||
0.25%, 09/01/28(E) | 400,000 | 326,232 | ||
29,138,235 | ||||
Ghana — 0.2% | ||||
Ghana Government International Bond | ||||
7.63%, 05/16/29 144A | 640,000 | 315,635 | ||
7.63%, 05/16/29 | 200,000 | 98,636 | ||
10.75%, 10/14/30 | 200,000 | 173,045 | ||
10.75%, 10/14/30 144A | 340,000 | 294,177 | ||
7.88%, 02/11/35 | 200,000 | 94,305 | ||
975,798 | ||||
Hong Kong — 0.0% | ||||
Shimao Group Holdings, Ltd. | ||||
6.13%, 02/21/24 | 200,000 | 23,261 | ||
Hungary — 0.0% | ||||
Hungary Government International Bond | ||||
1.75%, 06/05/35(E) | 19,000 | 14,132 | ||
Indonesia — 2.8% | ||||
Indonesia Government International Bond | ||||
0.90%, 02/14/27(E) | 120,000 | 111,173 | ||
1.40%, 10/30/31(E) Δ | 220,000 | 178,509 | ||
5.25%, 01/17/42 144A | 1,940,000 | 1,903,022 | ||
5.25%, 01/17/42 | 630,000 | 617,992 | ||
4.20%, 10/15/50 | 3,480,000 | 3,010,127 |
Par | Value | |||
Indonesia Treasury Bond | ||||
7.00%, 05/15/27(I) | $48,282,000,000 | $ 3,330,072 | ||
8.25%, 05/15/29(I) | 76,029,000,000 | 5,435,200 | ||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | ||||
5.45%, 05/21/28 | 200,000 | 202,295 | ||
14,788,390 | ||||
Ireland — 0.4% | ||||
AerCap Ireland Capital DAC | ||||
4.45%, 10/01/25 | 400,000 | 387,017 | ||
1.75%, 01/30/26 | 540,000 | 472,612 | ||
3.30%, 01/30/32 | 660,000 | 529,004 | ||
Ardagh Packaging Finance PLC | ||||
5.25%, 08/15/27 144A Δ | 300,000 | 214,729 | ||
eircom Finance DAC | ||||
3.50%, 05/15/26(E) | 150,000 | 133,614 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
4.42%, 11/15/35 | 448,000 | 419,002 | ||
Ireland Government Bond | ||||
0.20%, 10/18/30(E) | 20,000 | 18,409 | ||
0.55%, 04/22/41(E) | 36,000 | 27,405 | ||
Motion Bondco DAC | ||||
4.50%, 11/15/27(E) | 100,000 | 81,301 | ||
2,283,093 | ||||
Israel — 0.1% | ||||
Energean Israel Finance, Ltd. | ||||
5.38%, 03/30/28 144A | 65,000 | 55,227 | ||
5.88%, 03/30/31 144A Δ | 90,000 | 73,597 | ||
Israel Government International Bond | ||||
3.38%, 01/15/50 | 200,000 | 162,155 | ||
Summit Properties, Ltd. | ||||
2.00%, 01/31/25(E) | 265,000 | 238,856 | ||
529,835 | ||||
Italy — 2.0% | ||||
ASR Media and Sponsorship SpA | ||||
5.13%, 08/01/24(E) | 870,953 | 818,454 | ||
Autostrade per l'Italia SpA | ||||
1.88%, 09/26/29(E) | 387,000 | 322,156 | ||
2.00%, 01/15/30(E) | 100,000 | 82,659 | ||
Centurion Bidco SpA | ||||
5.88%, 09/30/26(E) | 130,000 | 119,592 | ||
doValue SpA | ||||
5.00%, 08/04/25(E) | 100,000 | 100,064 | ||
Guala Closures SpA | ||||
3.25%, 06/15/28(E) | 100,000 | 84,797 | ||
International Design Group SpA | ||||
(Floating, 4.25% - Euribor 3M), 4.25%, 05/15/26(E) 144A † | 250,000 | 238,867 | ||
Intesa Sanpaolo SpA | ||||
(Variable, 6.09% - EUR Swap Rate 5Y), 5.88%, 09/01/31(E) ρ ^ | 970,000 | 794,485 | ||
Italy Buoni Poliennali Del Tesoro | ||||
1.45%, 05/15/25(E) | 267,000 | 276,503 |
Par | Value | |||
1.40%, 05/26/25(E) 144A | $ 256,656 | $ 262,308 | ||
1.20%, 08/15/25(E) | 142,000 | 145,200 | ||
0.00%, 04/01/26(E) | 163,000 | 157,500 | ||
1.60%, 06/01/26(E) | 86,000 | 88,399 | ||
0.00%, 08/01/26(E) | 26,000 | 24,893 | ||
3.10%, 09/15/26(E) 144A | 53,451 | 64,033 | ||
2.05%, 08/01/27(E) | 4,240,000 | 4,357,566 | ||
0.25%, 03/15/28(E) | 60,000 | 55,003 | ||
1.35%, 04/01/30(E) | 408,000 | 380,138 | ||
0.60%, 08/01/31(E) 144A | 1,301,000 | 1,086,991 | ||
0.95%, 12/01/31(E) 144A | 55,000 | 47,101 | ||
0.95%, 06/01/32(E) | 96,000 | 81,055 | ||
2.50%, 12/01/32(E) | 18,000 | 17,446 | ||
1.50%, 04/30/45(E) 144A | 7,000 | 5,061 | ||
Mooney Group SpA | ||||
(Floating, 3.88% - Euribor 3M), 3.88%, 12/17/26(E) † | 300,000 | 297,457 | ||
Telecom Italia Capital SA | ||||
6.38%, 11/15/33 | 225,000 | 174,392 | ||
Telecom Italia SpA | ||||
3.63%, 05/25/26(E) | 155,000 | 151,074 | ||
10,233,194 | ||||
Ivory Coast — 0.2% | ||||
Ivory Coast Government International Bond | ||||
5.25%, 03/22/30(E) | 570,000 | 468,857 | ||
5.88%, 10/17/31(E) | 200,000 | 164,486 | ||
4.88%, 01/30/32(E) 144A | 340,000 | 257,358 | ||
4.88%, 01/30/32(E) | 110,000 | 83,263 | ||
5.75%, 12/31/32 144A Δ STEP | 307,203 | 267,082 | ||
1,241,046 | ||||
Japan — 0.3% | ||||
Japan Government Ten Year Bond | ||||
0.10%, 12/20/28(J) | 140,000,000 | 1,029,798 | ||
Japan Government Thirty Year Bond | ||||
0.70%, 12/20/48(J) | 30,000,000 | 198,629 | ||
SoftBank Group Corporation | ||||
5.00%, 04/15/28(E) | 245,000 | 204,654 | ||
4.63%, 07/06/28 | 200,000 | 157,000 | ||
1,590,081 | ||||
Jersey — 0.1% | ||||
AA Bond Co., Ltd. | ||||
6.50%, 01/31/26(U) | 200,000 | 225,602 | ||
Adient Global Holdings, Ltd. | ||||
3.50%, 08/15/24(E) | 100,000 | 95,049 | ||
CPUK Finance, Ltd. | ||||
6.50%, 08/28/26(U) | 100,000 | 115,073 | ||
435,724 | ||||
Kazakhstan — 0.3% | ||||
Kazakhstan Government International Bond | ||||
2.38%, 11/09/28(E) | 300,000 | 285,226 | ||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 500,000 | 442,138 |
Par | Value | |||
5.38%, 04/24/30 | $ 300,000 | $ 265,283 | ||
KazTransGas JSC | ||||
4.38%, 09/26/27 144A | 630,000 | 559,188 | ||
1,551,835 | ||||
Luxembourg — 0.1% | ||||
Altice Finco SA | ||||
4.75%, 01/15/28(E) | 299,000 | 228,678 | ||
Altice France Holding SA | ||||
8.00%, 05/15/27(E) | 100,000 | 86,455 | ||
SES SA | ||||
(Variable, EUR Swap Rate 5Y + 5.40%), 5.63%, 01/29/24(E) ρ ^ | 100,000 | 101,633 | ||
Vivion Investments S.a.r.l. | ||||
3.00%, 08/08/24(E) | 100,000 | 90,821 | ||
507,587 | ||||
Mexico — 3.2% | ||||
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 | 257,889 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 5.47%), 7.50%, 06/27/29 144A ^ | 1,125,000 | 1,020,274 | ||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||
5.38%, 04/17/25 144A | 580,000 | 582,984 | ||
BBVA Bancomer SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.65%), 5.13%, 01/18/33 144A ^ | 630,000 | 534,536 | ||
Cemex SAB de CV | ||||
3.88%, 07/11/31 144A | 400,000 | 301,094 | ||
Mexican Bonos | ||||
8.00%, 12/07/23(M) | 2,608,300 | 127,232 | ||
7.50%, 06/03/27(M) | 151,900,000 | 7,064,660 | ||
7.75%, 05/29/31(M) | 16,800,000 | 769,081 | ||
8.50%, 11/18/38(M) | 5,995,600 | 283,051 | ||
7.75%, 11/13/42(M) | 76,750,000 | 3,339,185 | ||
Mexico Government International Bond | ||||
2.88%, 04/08/39(E) | 700,000 | 530,015 | ||
5.75%, 10/12/10« | 320,000 | 269,788 | ||
Orbia Advance Corp SAB de CV | ||||
5.88%, 09/17/44 144A | 1,100,000 | 987,563 | ||
Orbia Advance Corporation SAB de CV | ||||
2.88%, 05/11/31 144A | 200,000 | 160,890 | ||
Petroleos Mexicanos | ||||
4.75%, 02/26/29(E) | 300,000 | 235,349 | ||
5.95%, 01/28/31 | 140,000 | 102,823 | ||
7.69%, 01/23/50 | 390,000 | 266,403 | ||
16,832,817 |
Par | Value | |||
Mongolia — 0.0% | ||||
Mongolia Government International Bond | ||||
8.75%, 03/09/24 | $ 200,000 | $202,600 | ||
Morocco & Antilles — 0.1% | ||||
OCP SA | ||||
5.63%, 04/25/24 144A | 350,000 | 355,846 | ||
4.50%, 10/22/25 144A | 320,000 | 315,779 | ||
671,625 | ||||
Netherlands — 2.4% | ||||
Abertis Infraestructuras Finance BV | ||||
(Variable, 3.69% - EUR Swap Rate 5Y), 3.25%, 11/24/25(E) ρ ^ | 100,000 | 84,161 | ||
ABN AMRO Bank NV | ||||
7.13%, 07/06/22(E) Δ | 540,000 | 565,998 | ||
Ashland Services BV | ||||
2.00%, 01/30/28(E) | 100,000 | 86,317 | ||
Cooperatieve Rabobank UA | ||||
(Variable, 3.70% - EUR Swap Rate 5Y), 3.25%, 12/29/26(E) ρ Δ ^ | 1,000,000 | 859,626 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.22%), 3.65%, 04/06/28 144A Δ ^ | 250,000 | 237,663 | ||
5.75%, 12/01/43 | 630,000 | 659,703 | ||
Dufry One BV | ||||
2.00%, 02/15/27(E) | 345,000 | 272,275 | ||
E.ON International Finance BV | ||||
6.38%, 06/07/32(U) | 155,000 | 222,276 | ||
Embraer Netherlands Finance BV | ||||
5.40%, 02/01/27 | 130,000 | 123,390 | ||
EnBW International Finance BV | ||||
0.13%, 03/01/28(E) | 410,000 | 359,462 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 380,000 | 373,366 | ||
Heimstaden Bostad Treasury BV | ||||
1.38%, 07/24/28(E) | 150,000 | 120,273 | ||
IPD 3 BV | ||||
5.50%, 12/01/25(E) 144A | 560,000 | 526,316 | ||
5.50%, 12/01/25(E) Δ | 282,000 | 265,038 | ||
Lincoln Financing S.a.r.l. | ||||
3.63%, 04/01/24(E) | 215,000 | 218,685 | ||
(Floating, 3.88% - Euribor 3M), 3.88%, 04/01/24(E) † | 118,000 | 120,646 | ||
Maxeda DIY Holding BV | ||||
5.88%, 10/01/26(E) Δ | 200,000 | 148,325 | ||
Petrobras Global Finance BV | ||||
6.25%, 03/17/24 | 780,000 | 798,541 | ||
6.88%, 01/20/40Δ | 80,000 | 75,730 | ||
6.90%, 03/19/49Δ | 880,000 | 788,194 | ||
Prosus NV | ||||
3.83%, 02/08/51 | 1,020,000 | 616,144 |
Par | Value | |||
Repsol International Finance BV | ||||
(Variable, EUR Swap Rate 10Y + 4.20%), 4.50%, 03/25/75(E) ^ | $ 430,000 | $ 432,729 | ||
Summer BidCo BV | ||||
Cash Coupon 9.00% or PIK 9.75%, 9.00%, 11/15/25(E) | 5,164 | 4,405 | ||
Syngenta Finance NV | ||||
4.44%, 04/24/23 144A | 460,000 | 463,863 | ||
Telefonica Europe BV | ||||
(Variable, EUR Swap Rate 8Y + 2.97%), 3.88%, 06/22/26(E) ρ ^ | 300,000 | 282,555 | ||
Teva Pharmaceutical Finance Netherlands II BV | ||||
4.50%, 03/01/25(E) Δ | 150,000 | 147,369 | ||
1.88%, 03/31/27(E) | 200,000 | 163,956 | ||
4.38%, 05/09/30(E) | 100,000 | 83,718 | ||
Teva Pharmaceutical Finance Netherlands III BV | ||||
3.15%, 10/01/26 | 40,000 | 32,930 | ||
4.75%, 05/09/27 | 200,000 | 171,074 | ||
4.10%, 10/01/46Δ | 200,000 | 125,183 | ||
Trivium Packaging Finance BV | ||||
3.75%, 08/15/26(E) Δ | 250,000 | 241,357 | ||
United Group BV | ||||
4.88%, 07/01/24(E) | 200,000 | 191,131 | ||
3.13%, 02/15/26(E) | 100,000 | 83,036 | ||
5.25%, 02/01/30(E) 144A | 500,000 | 388,917 | ||
UPC Holding BV | ||||
5.50%, 01/15/28 144A | 310,000 | 265,417 | ||
Volkswagen International Finance NV | ||||
(Variable, 3.96% - EUR Swap Rate 9Y), 3.88%, 06/17/29(E) ρ Δ ^ | 200,000 | 174,468 | ||
VZ Secured Financing BV | ||||
5.00%, 01/15/32 144A | 1,370,000 | 1,139,950 | ||
WP/AP Telecom Holdings IV BV | ||||
3.75%, 01/15/29(E) 144A | 480,000 | 413,664 | ||
ZF Europe Finance BV | ||||
3.00%, 10/23/29(E) Δ | 400,000 | 307,007 | ||
12,634,858 | ||||
New Zealand — 1.2% | ||||
New Zealand Government Bond | ||||
3.50%, 04/14/33(Z) | 10,755,000 | 6,475,457 | ||
Nigeria — 0.2% | ||||
Nigeria Government International Bond | ||||
7.14%, 02/23/30 144A | 440,000 | 312,180 | ||
7.88%, 02/16/32 | 200,000 | 139,850 | ||
7.63%, 11/28/47 144A | 940,000 | 565,175 | ||
1,017,205 | ||||
Norway — 0.2% | ||||
Adevinta ASA | ||||
3.00%, 11/15/27(E) 144A | 540,000 | 474,866 | ||
3.00%, 11/15/27(E) Δ | 150,000 | 131,907 |
Par | Value | |||
Aker BP ASA | ||||
3.75%, 01/15/30 144A | $ 150,000 | $ 134,525 | ||
4.00%, 01/15/31 144A | 150,000 | 134,907 | ||
876,205 | ||||
Oman — 0.0% | ||||
Oman Government International Bond | ||||
6.75%, 01/17/48 | 200,000 | 173,110 | ||
Panama — 0.4% | ||||
Panama Government International Bond | ||||
3.75%, 03/16/25 | 860,000 | 850,300 | ||
6.70%, 01/26/36 | 202,000 | 218,939 | ||
4.50%, 04/01/56 | 1,140,000 | 907,565 | ||
1,976,804 | ||||
Paraguay — 0.0% | ||||
Paraguay Government International Bond | ||||
6.10%, 08/11/44 | 200,000 | 174,844 | ||
Peru — 0.8% | ||||
Peruvian Government International Bond | ||||
2.39%, 01/23/26 | 1,370,000 | 1,275,105 | ||
1.25%, 03/11/33(E) | 200,000 | 148,879 | ||
1.95%, 11/17/36(E) | 100,000 | 72,103 | ||
6.55%, 03/14/37 | 640,000 | 695,742 | ||
Petroleos del Peru SA | ||||
5.63%, 06/19/47 144A | 750,000 | 511,241 | ||
Transportadora de Gas del Peru SA | ||||
4.25%, 04/30/28 144A | 1,670,000 | 1,580,630 | ||
Volcan Cia Minera SAA, Class B | ||||
4.38%, 02/11/26 144A | 20,000 | 17,439 | ||
4,301,139 | ||||
Philippines — 0.0% | ||||
Philippine Government International Bond | ||||
1.75%, 04/28/41(E) | 100,000 | 71,032 | ||
Poland — 1.0% | ||||
Canpack SA | ||||
2.38%, 11/01/27(E) Δ | 100,000 | 83,646 | ||
Republic of Poland Government Bond | ||||
2.75%, 04/25/28(P) | 5,370,000 | 960,337 | ||
1.25%, 10/25/30(P) | 3,060,000 | 447,931 | ||
1.75%, 04/25/32(P) | 27,420,000 | 3,937,028 | ||
5,428,942 | ||||
Portugal — 0.0% | ||||
Portugal Obrigacoes do Tesouro OT | ||||
1.65%, 07/16/32(E) 144A | 32,000 | 31,228 | ||
Qatar — 0.0% | ||||
Qatar Government International Bond | ||||
4.82%, 03/14/49 | 200,000 | 201,822 |
Par | Value | |||
Romania — 0.3% | ||||
RCS & RDS SA | ||||
3.25%, 02/05/28(E) | $ 200,000 | $ 164,727 | ||
Romanian Government International Bond | ||||
3.62%, 05/26/30(E) | 42,000 | 36,084 | ||
1.75%, 07/13/30(E) | 41,000 | 30,732 | ||
2.00%, 04/14/33(E) 144A | 560,000 | 381,981 | ||
2.00%, 04/14/33(E) | 822,000 | 560,693 | ||
3.75%, 02/07/34(E) | 258,000 | 203,836 | ||
3.88%, 10/29/35(E) | 248,000 | 192,894 | ||
3.38%, 01/28/50(E) | 84,000 | 52,616 | ||
1,623,563 | ||||
Russia — 0.3% | ||||
Russian Federal Bond - OFZ | ||||
7.05%, 01/19/28(Q) Ψ ††† | 423,153,000 | 692,432 | ||
6.90%, 05/23/29(Q) Ψ ††† | 192,500,000 | 315,000 | ||
7.25%, 05/10/34(Q) Ψ ††† | 262,547,000 | 429,623 | ||
1,437,055 | ||||
Senegal — 0.0% | ||||
Senegal Government International Bond | ||||
4.75%, 03/13/28(E) | 100,000 | 85,400 | ||
Serbia — 0.0% | ||||
Serbia International Bond | ||||
1.50%, 06/26/29(E) | 190,000 | 144,993 | ||
Slovakia — 0.0% | ||||
Slovakia Government Bond | ||||
0.38%, 04/21/36(E) | 18,400 | 13,921 | ||
South Africa — 1.2% | ||||
Republic of South Africa Government Bond | ||||
6.25%, 03/31/36(S) Δ | 2,140,000 | 85,515 | ||
6.50%, 02/28/41(S) | 56,596,000 | 2,136,515 | ||
Republic of South Africa Government International Bond | ||||
4.88%, 04/14/26Δ | 200,000 | 190,044 | ||
4.85%, 09/27/27 | 200,000 | 182,790 | ||
4.85%, 09/30/29 | 2,190,000 | 1,876,217 | ||
5.88%, 06/22/30 | 200,000 | 180,980 | ||
5.75%, 09/30/49Δ | 2,420,000 | 1,660,132 | ||
6,312,193 | ||||
Spain — 0.5% | ||||
Cellnex Finance Co. SA | ||||
1.50%, 06/08/28(E) | 100,000 | 82,154 | ||
Iberdrola Finanzas SA | ||||
7.38%, 01/29/24(U) | 100,000 | 129,322 | ||
Lorca Telecom Bondco SA | ||||
4.00%, 09/18/27(E) | 680,000 | 597,596 | ||
4.00%, 09/18/27(E) 144A | 300,000 | 263,645 | ||
Spain Government Bond | ||||
0.80%, 07/30/27(E) 144A | 26,000 | 26,006 | ||
1.40%, 07/30/28(E) 144A | 73,000 | 74,405 |
�� | Par | Value | ||
0.50%, 10/31/31(E) 144A | $1,271,000 | $1,125,762 | ||
2.55%, 10/31/32(E) 144A | 64,000 | 67,161 | ||
Tendam Brands SAU | ||||
(Floating, 5.25% - Euribor 3M), 5.25%, 09/15/24(E) † | 160,000 | 161,013 | ||
2,527,064 | ||||
Sri Lanka — 0.1% | ||||
Sri Lanka Government International Bond | ||||
6.85%, 11/03/25 | 200,000 | 65,957 | ||
6.75%, 04/18/28 | 500,000 | 161,372 | ||
227,329 | ||||
Supranational — 0.1% | ||||
Banque Ouest Africaine de Developpement | ||||
5.00%, 07/27/27 | 200,000 | 182,756 | ||
European Union | ||||
0.00%, 07/06/26(E) | 118,000 | 116,829 | ||
0.00%, 10/04/28(E) | 46,000 | 43,329 | ||
0.00%, 04/22/31(E) | 32,000 | 28,173 | ||
1.25%, 02/04/43(E) | 47,000 | 39,934 | ||
0.70%, 07/06/51(E) | 12,000 | 8,173 | ||
419,194 | ||||
Sweden — 0.3% | ||||
Intrum AB | ||||
3.50%, 07/15/26(E) Δ | 395,000 | 347,522 | ||
Samhallsbyggnadsbolaget i Norden AB | ||||
(Variable, 2.81% - EUR Swap Rate 5Y), 2.62%, 01/30/25(E) ρ Δ ^ | 1,761,000 | 630,048 | ||
Verisure Holding AB | ||||
3.25%, 02/15/27(E) Δ | 200,000 | 173,821 | ||
Verisure Midholding AB | ||||
5.25%, 02/15/29(E) 144A | 240,000 | 192,368 | ||
5.25%, 02/15/29(E) | 150,000 | 120,230 | ||
1,463,989 | ||||
Switzerland — 0.9% | ||||
Cidron Aida Finco S.a.r.l. | ||||
6.25%, 04/01/28(U) 144A | 580,000 | 580,713 | ||
Credit Suisse Group AG | ||||
(Variable, USD Swap 5Y + 4.60%), 7.50%, 07/17/23 144A ρ ^ | 330,000 | 305,250 | ||
(Variable, EUR Swap Rate 1Y + 0.75%), 1.25%, 07/17/25(E) Δ ^ | 500,000 | 498,492 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 6.38%), 9.75%, 06/23/27 144A ρ ^ | 1,000,000 | 1,023,750 | ||
(Variable, U.S. SOFR + 1.73%), 3.09%, 05/14/32 144A ^ | 335,000 | 266,947 |
Par | Value | |||
UBS Group AG | ||||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | $ 1,420,000 | $1,386,804 | ||
(Variable, EUR Swap Rate 1Y + 0.75%), 1.25%, 04/17/25(E) ^ | 400,000 | 409,499 | ||
4,471,455 | ||||
Thailand — 0.1% | ||||
Thailand Government Bond | ||||
2.00%, 12/17/31(ZF) | 14,795,000 | 391,149 | ||
Turkey — 0.3% | ||||
Turkey Government International Bond | ||||
6.00%, 03/25/27 | 1,570,000 | 1,294,229 | ||
4.88%, 04/16/43 | 500,000 | 297,028 | ||
1,591,257 | ||||
Ukraine — 0.0% | ||||
Ukraine Government International Bond | ||||
7.75%, 09/01/25 | 100,000 | 25,350 | ||
6.75%, 06/20/26(E) | 200,000 | 55,035 | ||
9.75%, 11/01/28 | 250,000 | 63,400 | ||
1.26%, 05/31/40Ξ | 100,000 | 25,359 | ||
169,144 | ||||
United Arab Emirates — 0.4% | ||||
Abu Dhabi Crude Oil Pipeline LLC | ||||
4.60%, 11/02/47 | 200,000 | 189,883 | ||
DP World Crescent, Ltd. | ||||
3.88%, 07/18/29 | 200,000 | 185,676 | ||
DP World, Ltd. | ||||
5.63%, 09/25/48 144A | 970,000 | 911,561 | ||
5.63%, 09/25/48 | 600,000 | 563,853 | ||
1,850,973 | ||||
United Kingdom — 2.0% | ||||
Anglo American Capital PLC | ||||
4.75%, 04/10/27 144A | 200,000 | 197,766 | ||
3.38%, 03/11/29(U) | 250,000 | 278,050 | ||
2.88%, 03/17/31 144A Δ | 200,000 | 166,631 | ||
Antofagasta PLC | ||||
2.38%, 10/14/30 144A | 300,000 | 232,592 | ||
Aviva PLC | ||||
(Variable, UK Gilts 5Y + 2.40%), 6.13%, 09/29/22(U) ρ ^ | 490,000 | 597,751 | ||
Barclays Bank PLC | ||||
7.63%, 11/21/22 | 291,000 | 293,922 | ||
Barclays PLC | ||||
(Variable, EUR Swap Rate 1Y + 0.78%), 1.38%, 01/24/26(E) Δ ^ | 300,000 | 299,299 | ||
(Variable, U.S. SOFR + 2.71%), 2.85%, 05/07/26^ | 380,000 | 359,355 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.05%), 2.28%, 11/24/27^ | 235,000 | 208,493 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.41%), 4.38%, 03/15/28ρ ^ | $200,000 | $153,873 | ||
(Variable, 1.26% - EUR Swap Rate 1Y), 0.58%, 08/09/29(E) ^ | 410,000 | 350,352 | ||
BCP V Modular Services Finance II PLC | ||||
4.75%, 11/30/28(E) | 100,000 | 83,584 | ||
Bellis Acquisition Co. PLC | ||||
4.50%, 02/16/26(U) 144A | 840,000 | 823,138 | ||
Bellis Finco PLC | ||||
4.00%, 02/16/27(U) Δ | 213,000 | 180,124 | ||
Constellation Automotive Financing PLC | ||||
4.88%, 07/15/27(U) Δ | 100,000 | 96,136 | ||
eG Global Finance PLC | ||||
4.38%, 02/07/25(E) Δ | 240,000 | 224,885 | ||
Energia Group NI FinanceCo PLC | ||||
4.00%, 09/15/25(E) | 100,000 | 94,493 | ||
HSBC Holdings PLC | ||||
(Variable, USD ICE Swap Rate 5Y + 4.37%), 6.38%, 03/30/25ρ Δ ^ | 400,000 | 387,330 | ||
(Variable, USD ICE Swap Rate 5Y + 3.75%), 6.00%, 05/22/27ρ ^ | 400,000 | 359,500 | ||
(Variable, U.S. SOFR + 2.53%), 4.76%, 03/29/33^ | 200,000 | 184,680 | ||
Iceland Bondco PLC | ||||
4.38%, 05/15/28(U) | 120,000 | 97,871 | ||
INEOS Finance PLC | ||||
2.88%, 05/01/26(E) Δ | 250,000 | 229,430 | ||
INEOS Quattro Finance 1 PLC | ||||
3.75%, 07/15/26(E) 144A | 110,000 | 92,777 | ||
3.75%, 07/15/26(E) | 100,000 | 84,343 | ||
Jaguar Land Rover Automotive PLC | ||||
4.50%, 01/15/26(E) | 145,000 | 125,925 | ||
Lloyds Banking Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.60%), 3.51%, 03/18/26^ | 390,000 | 380,062 | ||
National Express Group PLC | ||||
(Variable, UK Gilts 5Y + 4.14%), 4.25%, 11/26/25(U) ρ ^ | 200,000 | 220,716 | ||
National Grid Electricity Transmission PLC | ||||
0.19%, 01/20/25(E) | 154,000 | 152,788 | ||
NatWest Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.90%), 1.64%, 06/14/27^ | 200,000 | 175,697 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.55%), 3.07%, 05/22/28^ | 545,000 | 495,873 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.35%), 3.03%, 11/28/35^ | 200,000 | 159,863 |
Par | Value | |||
NGG Finance PLC | ||||
(Variable, GBP Swap Rate 12Y + 3.48%), 5.63%, 06/18/73(U) ^ | $296,000 | $ 341,719 | ||
Pinnacle Bidco PLC | ||||
6.38%, 02/15/25(U) | 310,000 | 338,683 | ||
Premier Foods Finance PLC | ||||
0.00%, 10/15/26(U) | 100,000 | 106,356 | ||
SSE PLC | ||||
1.75%, 04/16/30(E) Δ | 350,000 | 324,287 | ||
Tesco Property Finance 6 PLC | ||||
5.41%, 07/13/44(U) | 377,814 | 466,469 | ||
Travis Perkins PLC | ||||
4.50%, 09/07/23(U) | 100,000 | 116,776 | ||
United Kingdom Gilt | ||||
4.50%, 09/07/34(U) | 220,000 | 325,518 | ||
Vedanta Resources Finance II PLC | ||||
8.95%, 03/11/25 | 200,000 | 158,593 | ||
Virgin Media Secured Finance PLC | ||||
4.25%, 01/15/30(U) Δ | 450,000 | 442,747 | ||
Vodafone Group PLC | ||||
5.25%, 05/30/48 | 190,000 | 181,208 | ||
10,589,655 | ||||
Total Foreign Bonds (Cost $276,347,643) | 220,055,402 | |||
LOAN AGREEMENTS — 2.0% | ||||
Allied Universal Holdco LLC (f/k/a USAGM Holdco, LLC) Initial U.S. Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%, 0.50% Floor), 5.42%, 05/12/28† | 490,047 | 450,230 | ||
Apollo Commercial Real Estate Finance, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 4.42%, 05/15/26† | 492,385 | 446,839 | ||
Asurion, LLC New B-7 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 4.67%, 11/03/24† | 515,240 | 484,584 | ||
Asurion, LLC New B-9 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 4.92%, 07/31/27† | 793,970 | 720,528 | ||
Brookfield WEC Holdings Inc. Initial Term Loan (2021) (First Lien) | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 0.50% Floor), 4.42%, 08/01/25† | 85,004 | 80,600 | ||
Charter Communications Operating, LLC Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 3.42%, 02/01/27† | 492,405 | 470,687 | ||
CTEC III GmbH Facility B | ||||
0.00%, 03/16/29Σ | 430,000 | 412,667 | ||
Energizer Holdings, Inc. 2020 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.50% Floor), 3.88%, 12/22/27† | 888,750 | 845,983 |
Par | Value | |||
Entercom Media Corp. Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.13%, 11/18/24† | $150,083 | $133,949 | ||
Focus Financial Partners, LLC Tranche B-3 Term Loan (First Lien) | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 3.67%, 07/03/24† | 272,203 | 262,072 | ||
Froneri International Limited Facility B1 (First Lien) | ||||
(Floating, ICE EURIBOR USD CHECK + 2.38%), 2.38%, 01/29/27† | 380,000 | 350,765 | ||
Garda World Security Corporation Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.25%), 5.90%, 10/30/26† | 405,369 | 376,993 | ||
Genesee & Wyoming Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 4.25%, 12/30/26† | 175,950 | 169,451 | ||
Global Medical Response, Inc. 2021 Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.25%, 1.00% Floor), 5.25%, 10/02/25† | 352,697 | 329,001 | ||
INEOS Styrolution Group GmbH 2026 Tranche B Euro Term Loan | ||||
(Floating, ICE EURIBOR USD 1M + 2.75%), 2.75%, 01/29/26† | 450,000 | 436,799 | ||
IU Finance Management GmbH Facility B | ||||
(Floating, ICE EURIBOR USD 3M + 5.00%), 5.00%, 12/08/28† | 690,000 | 690,547 | ||
Lakeshore Learning Materials, LLC Initial Term Loan (First Lien) | ||||
(Floating, ICE LIBOR USD 3M + 3.50%, 0.50% Floor), 4.00%, 09/29/28† | 796,000 | 759,185 | ||
Level 3 Financing, Inc. Tranche B 2027 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 3.42%, 03/01/27† | 574,212 | 533,541 | ||
Mister Car Wash Holdings, Inc. Initial Term Loan (First Lien) | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 4.67%, 05/14/26† | 119,989 | 113,765 | ||
Nexstar Media Inc. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.17%, 09/18/26† | 67,314 | 66,533 | ||
Prime Security Services Borrower, LLC 2021 Refinancing Term B-1 Loan (First Lien) | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 0.75% Floor), 3.50%, 09/23/26† | 401,807 | 376,110 |
Par | Value | |||
Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.) Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 4.92%, 12/31/25† | $252,796 | $ 238,071 | ||
TransDigm Inc. Tranche F Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 3.92%, 12/09/25† | 793,893 | 754,861 | ||
U.S. Renal Care, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 5.00%), 6.69%, 06/26/26† | 295,443 | 205,518 | ||
UFC Holdings, LLC Term B-3 Loan (First Lien) | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 0.75% Floor), 3.50%, 04/29/26† | 107,954 | 100,883 | ||
Univision Communications Inc. 2021 Replacement Converted First-Lien Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 0.75% Floor), 4.92%, 03/15/26† | 527,216 | 499,099 | ||
Total Loan Agreements (Cost $11,251,548) | 10,309,261 | |||
MORTGAGE-BACKED SECURITIES — 6.6% | ||||
BANK, Series 2018-BNK15, Class B | ||||
4.81%, 11/15/61† γ | 260,000 | 252,007 | ||
BANK, Series 2021-BN35, Class AS | ||||
2.46%, 06/15/64 | 85,000 | 70,071 | ||
BINOM Securitization Trust, Series 2022-RPL1, Class M1 | ||||
3.00%, 02/25/61 144A † γ | 100,000 | 92,030 | ||
BPR Trust, Series 2021-NRD, Class B | ||||
(Floating, CME Term SOFR 1M + 2.12%, 2.12% Floor), 3.46%, 12/15/23 144A † | 25,000 | 24,161 | ||
BPR Trust, Series 2021-NRD, Class C | ||||
(Floating, CME Term SOFR 1M + 2.42%, 2.42% Floor), 3.76%, 12/15/23 144A † | 25,000 | 23,999 | ||
BPR Trust, Series 2021-NRD, Class D | ||||
(Floating, CME Term SOFR 1M + 3.72%, 3.72% Floor), 5.06%, 12/15/23 144A † | 15,000 | 14,298 | ||
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 | 98,793 | ||
CIM Trust, Series 2021-NR2, Class A1 | ||||
(Step to 5.57% on 04/25/24), 2.57%, 07/25/59 144A STEP | 100,559 | 96,165 | ||
COMM Mortgage Trust, Series 2012-CR3, Class AM | ||||
3.42%, 10/15/45 144A | 20,000 | 19,908 |
Par | Value | |||
COMM Mortgage Trust, Series 2012-LC4, Class B | ||||
4.93%, 12/10/44 | $ 17,790 | $ 17,765 | ||
Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.10%), 3.72%, 10/25/39 144A † | 75,910 | 75,378 | ||
Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.05%, 2.05% Floor), 3.67%, 01/25/40 144A † | 199,601 | 195,513 | ||
Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.10%), 4.03%, 10/25/41 144A † | 790,000 | 680,149 | ||
Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.65%, 1.65% Floor), 2.58%, 12/25/41 144A † | 424,000 | 378,709 | ||
Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.90%), 2.83%, 12/25/41 144A † | 381,000 | 344,254 | ||
Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.50%), 4.43%, 03/25/42 144A † | 365,000 | 348,312 | ||
Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M1 | ||||
(Floating, U.S. 30-Day Average SOFR + 2.95%), 3.88%, 06/25/42 144A † | 227,000 | 228,100 | ||
CSMC OA LLC, Series 2014-USA, Class F | ||||
4.37%, 09/15/37 144A | 1,610,000 | 1,165,413 | ||
CSMC Trust, Series 2021-RPL1, Class A1 | ||||
1.67%, 09/27/60 144A † γ | 72,887 | 69,311 | ||
CSMC Trust, Series 2021-RPL3, Class M2 | ||||
3.75%, 01/25/60 144A | 100,000 | 90,214 | ||
CSMC Trust, Series 2021-RPL4, Class A1 | ||||
1.80%, 12/27/60 144A † γ | 122,429 | 115,694 | ||
CSMC, Series 2019-RIO, Class B | ||||
(Floating, ICE LIBOR USD 1M + 7.00%, 8.00% Floor), 8.32%, 12/15/22 144A † | 1,117,444 | 1,094,049 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C04, Class 2M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.85%), 4.47%, 11/25/29† | 347,620 | 348,845 |
Par | Value | |||
Fannie Mae Connecticut Avenue Securities, Series 2017-C06, Class 2M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.80%, 2.80% Floor), 4.42%, 02/25/30† | $ 427,044 | $ 428,541 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 3.87%, 07/25/30† | 1,459,771 | 1,461,047 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C04, Class 2M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.55%, 2.55% Floor), 4.17%, 12/25/30† | 1,129,883 | 1,123,793 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C05, Class 1B1 | ||||
(Floating, ICE LIBOR USD 1M + 4.25%, 4.25% Floor), 5.87%, 01/25/31† | 270,000 | 266,643 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C06, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 2.00% Floor), 3.62%, 03/25/31† | 602,908 | 596,775 | ||
Federal Home Loan Mortgage Corporation | ||||
3.00%, 03/01/50 | 74,818 | 70,576 | ||
3.50%, 04/01/50 | 51,532 | 50,025 | ||
3.00%, 07/01/50 | 78,402 | 73,252 | ||
2.50%, 01/01/52 | 322,563 | 290,736 | ||
2.50%, 04/01/52 | 154,999 | 140,159 | ||
2.50%, 05/01/52 | 999,900 | 900,427 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA1, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 2.30%), 3.92%, 01/25/50 144A † | 770,000 | 690,547 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.85%), 3.47%, 02/25/50 144A † | 370,055 | 366,670 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA6, Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 2.00%), 2.93%, 12/25/50 144A † | 310,000 | 305,209 |
Par | Value | |||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA3, Class B1 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.50%), 4.43%, 10/25/33 144A † | $610,000 | $528,491 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2022-DNA3, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 2.00%), 2.93%, 04/25/42 144A † | 42,874 | 42,227 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2022-DNA3, Class M1B | ||||
(Floating, U.S. 30-Day Average SOFR + 2.90%), 3.83%, 04/25/42 144A † | 179,000 | 168,726 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2022-HQA1, Class M1B | ||||
(Floating, U.S. 30-Day Average SOFR + 3.50%), 4.43%, 03/25/42 144A † | 106,000 | 101,509 | ||
Federal National Mortgage Association | ||||
3.00%, 08/01/46 | 82,217 | 77,870 | ||
3.00%, 12/01/47 | 266,695 | 252,589 | ||
3.50%, 08/01/49 | 120,847 | 117,590 | ||
4.00%, 08/01/49 | 109,986 | 109,590 | ||
3.50%, 09/01/49 | 207,534 | 201,554 | ||
4.00%, 10/01/49 | 161,608 | 161,182 | ||
3.00%, 03/01/50 | 128,492 | 120,104 | ||
3.00%, 05/01/50 | 144,195 | 134,716 | ||
3.50%, 06/01/50 | 39,056 | 37,879 | ||
3.00%, 07/01/50 | 40,201 | 37,576 | ||
2.50%, 01/01/52 | 290,915 | 262,202 | ||
3.00%, 06/01/52 | 224,226 | 209,085 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 4.95%), 6.57%, 07/25/29† | 760,000 | 786,480 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2022-DNA2, Class M1B | ||||
(Floating, U.S. 30-Day Average SOFR + 2.40%), 3.33%, 02/25/42 144A † | 589,000 | 544,945 | ||
GCAT Trust, Series 2019-RPL1, Class A1 | ||||
2.65%, 10/25/68 144A | 48,464 | 46,740 |
Par | Value | |||
Government National Mortgage Association | ||||
4.50%, 08/20/48 | $ 74,807 | $ 76,172 | ||
2.50%, 05/20/52 | 423,449 | 388,163 | ||
3.00%, 07/01/52 TBA | 200,000 | 188,609 | ||
3.50%, 07/01/52 TBA | 515,000 | 500,516 | ||
4.00%, 07/01/52 TBA | 750,000 | 746,938 | ||
4.50%, 07/01/52 TBA | 870,000 | 883,050 | ||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class C | ||||
(Floating, ICE LIBOR USD 1M + 4.00%, 3.75% Floor), 5.57%, 09/15/31 144A † | 1,473,637 | 560,705 | ||
GS Mortgage Securities Trust, Series 2014-GC18, Class AS | ||||
4.38%, 01/10/47 | 45,000 | 43,387 | ||
GS Mortgage Securities Trust, Series 2014-GC18, Class B | ||||
4.89%, 01/10/47 | 25,000 | 22,969 | ||
Hawaii Hotel Trust, Series 2019-MAUI, Class F | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 2.75% Floor), 4.07%, 05/15/38 144A † | 780,000 | 722,389 | ||
Hilton U.S.A. Trust, Series 2016-HHV, Class D | ||||
4.33%, 11/05/38 144A † γ | 540,000 | 492,091 | ||
Impac Secured Assets Trust, Series 2006-2, Class 2M3 | ||||
(Floating, ICE LIBOR USD 1M + 1.65%, 1.65% Floor, 11.50% Cap), 3.27%, 08/25/36† | 130,315 | 127,744 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ | ||||
6.72%, 02/15/51† γ | 2,385 | 2,140 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M | ||||
(Floating, ICE LIBOR USD 1M + 8.36%, 8.21% Floor), 9.83%, 06/15/35 144A † | 1,500,000 | 7,510 | ||
Legacy Mortgage Asset Trust, Series 2020-RPL1, Class A2 | ||||
3.25%, 09/25/59 144A | 120,000 | 110,752 | ||
PMT Credit Risk Transfer Trust, Series 2021-1R, Class A | ||||
(Floating, ICE LIBOR USD 1M + 2.90%, 2.90% Floor), 4.52%, 02/27/24 144A † | 108,190 | 105,731 | ||
PRPM LLC, Series 2021-1, Class A1 | ||||
2.12%, 01/25/26 144A † γ | 90,957 | 86,807 | ||
PRPM LLC, Series 2021-5, Class A1 | ||||
(Step to 4.79% on 07/25/24), 1.79%, 06/25/26 144A STEP | 87,267 | 82,071 | ||
Radnor RE, Ltd., Series 2021-1, Class M1C | ||||
(Floating, U.S. 30-Day Average SOFR + 2.70%, 2.70% Floor), 3.63%, 12/27/33 144A † | 790,000 | 740,828 | ||
RBS Commercial Funding, Inc. Trust, Series 2013-GSP, Class A | ||||
3.96%, 01/15/32 144A † γ | 100,000 | 98,476 |
Par | Value | |||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M1 | ||||
4.00%, 08/25/56 144A | $ 440,000 | $ 434,846 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M2 | ||||
4.00%, 08/25/56 144A | 570,000 | 518,947 | ||
Seasoned Credit Risk Transfer Trust, Series 2020-2, Class M | ||||
4.25%, 11/25/59 144A | 1,170,000 | 1,052,025 | ||
SFO Commercial Mortgage Trust, Series 2021-555, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.40%, 2.40% Floor), 3.72%, 05/15/38 144A † | 760,000 | 715,520 | ||
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 | 94,125 | ||
Towd Point Mortgage Trust, Series 2019-4, Class A1 | ||||
2.90%, 10/25/59 144A | 67,880 | 65,923 | ||
UBS Commercial Mortgage Trust, Series 2017-C3, Class C | ||||
4.45%, 08/15/50† γ | 410,000 | 367,442 | ||
UBS Commercial Mortgage Trust, Series 2018-C13, Class B | ||||
4.79%, 10/15/51 | 270,000 | 259,059 | ||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class BEC | ||||
4.89%, 05/10/63 144A † γ | 123,000 | 116,955 | ||
Uniform Mortgage Backed Securities | ||||
2.50%, 07/01/52 TBA | 445,000 | 400,326 | ||
3.00%, 07/01/52 TBA | 50,000 | 46,582 | ||
3.50%, 07/01/52 TBA | 2,070,000 | 1,991,243 | ||
4.00%, 07/01/52 TBA | 3,135,000 | 3,092,322 | ||
4.50%, 07/01/52 TBA | 2,240,000 | 2,249,187 | ||
5.00%, 07/01/52 TBA | 615,000 | 627,877 | ||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B | ||||
4.43%, 07/15/46† γ | 25,000 | 23,500 | ||
Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B | ||||
3.67%, 11/15/59 | 25,000 | 21,980 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C | ||||
4.69%, 06/15/45† γ | 40,000 | 28,980 | ||
WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B | ||||
4.67%, 08/15/46† γ | 35,000 | 33,375 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B | ||||
4.38%, 05/15/47 | 35,000 | 33,222 | ||
Total Mortgage-Backed Securities (Cost $38,702,994) | 34,709,077 | |||
U.S. TREASURY OBLIGATIONS — 22.7% | ||||
U.S. Treasury Bonds | ||||
3.50%, 02/15/39 | 3,540,000 | 3,701,098 | ||
4.25%, 05/15/39 | 30,000 | 34,293 | ||
3.88%, 08/15/40 | 20,000 | 21,574 | ||
1.75%, 08/15/41 | 1,321,000 | 1,005,353 |
Par | Value | |||
2.00%, 11/15/41 | $ 40,000 | $ 31,784 | ||
3.25%, 05/15/42 | 185,000 | 180,606 | ||
2.75%, 08/15/42 | 90,000 | 80,828 | ||
2.88%, 05/15/43Δ | 2,045,000 | 1,866,542 | ||
3.00%, 05/15/45 | 30,000 | 27,851 | ||
3.00%, 11/15/45 | 660,000 | 613,800 | ||
2.50%, 05/15/46Δ | 590,000 | 500,532 | ||
2.25%, 08/15/46‡‡ Δ | 690,000 | 556,919 | ||
2.88%, 11/15/46 | 1,520,000 | 1,387,000 | ||
3.00%, 05/15/47 | 60,000 | 56,128 | ||
2.75%, 08/15/47 | 90,000 | 80,522 | ||
3.13%, 05/15/48 | 40,000 | 38,730 | ||
3.38%, 11/15/48‡‡ | 770,000 | 782,723 | ||
1.25%, 05/15/50 | 50,000 | 31,834 | ||
1.38%, 08/15/50 | 3,730,000 | 2,456,919 | ||
2.38%, 05/15/51 | 870,000 | 734,776 | ||
2.00%, 08/15/51 | 4,070,600 | 3,147,878 | ||
2.25%, 02/15/52Δ | 919,000 | 756,595 | ||
18,094,285 | ||||
U.S. Treasury Notes | ||||
1.63%, 08/15/22 | 12,130,000 | 12,132,713 | ||
1.38%, 10/15/22 | 5,059,000 | 5,048,820 | ||
0.13%, 12/31/22 | 1,000,000 | 988,071 | ||
0.13%, 02/28/23 | 1,795,000 | 1,764,557 | ||
0.13%, 06/30/23 | 615,000 | 598,237 | ||
2.88%, 09/30/23Δ | 2,010,000 | 2,008,783 | ||
2.88%, 10/31/23 | 2,975,000 | 2,972,327 | ||
0.50%, 11/30/23 | 610,000 | 589,365 | ||
2.75%, 02/15/24Δ | 5,257,000 | 5,240,161 | ||
1.50%, 02/29/24 | 555,000 | 541,971 | ||
2.38%, 02/29/24 | 10,000 | 9,907 | ||
3.00%, 06/30/24 | 1,345,000 | 1,345,788 | ||
1.50%, 10/31/24 | 570,000 | 550,829 | ||
2.25%, 11/15/24 | 20,520,000 | 20,178,935 | ||
1.50%, 02/15/25 | 2,556,000 | 2,457,055 | ||
2.00%, 02/15/25 | 70,000 | 68,220 | ||
2.88%, 05/31/25 | 315,000 | 313,720 | ||
0.38%, 11/30/25 | 26,242,000 | 23,974,527 | ||
1.63%, 02/15/26 | 6,460,000 | 6,141,795 | ||
1.63%, 05/15/26 | 340,000 | 322,296 | ||
2.00%, 11/15/26 | 870,000 | 831,938 | ||
1.25%, 11/30/26 | 200,000 | 185,215 | ||
1.88%, 02/28/27 | 923,000 | 876,219 | ||
3.25%, 06/30/27 | 281,000 | 283,766 | ||
2.38%, 05/15/29 | 217,000 | 207,917 | ||
0.88%, 11/15/30 | 8,550,000 | 7,221,076 | ||
1.25%, 08/15/31 | 730,000 | 628,599 | ||
1.38%, 11/15/31 | 550,000 | 477,125 | ||
1.88%, 02/15/32 | 1,132,000 | 1,025,698 | ||
2.88%, 05/15/32Δ | 1,860,000 | 1,839,366 | ||
100,824,996 | ||||
Total U.S. Treasury Obligations (Cost $127,025,694) | 118,919,281 |
Shares | Value | |||
COMMON STOCKS — 0.3% | ||||
Communication Services — 0.2% | ||||
Altice U.S.A., Inc. Class A* | 16,976 | $157,028 | ||
Comcast Corporation Class A | 461 | 18,090 | ||
T-Mobile US, Inc.* | 5,206 | 700,415 | ||
875,533 | ||||
Consumer Discretionary — 0.0% | ||||
Home Depot, Inc. (The) | 36 | 9,874 | ||
Starbucks Corporation | 205 | 15,660 | ||
25,534 | ||||
Consumer Staples — 0.0% | ||||
Coca-Cola Co. (The) | 266 | 16,734 | ||
Procter & Gamble Co. (The) | 125 | 17,974 | ||
Walmart, Inc. | 129 | 15,684 | ||
50,392 | ||||
Energy — 0.0% | ||||
Berry CorporationΔ | 2,492 | 18,989 | ||
Pioneer Natural Resources Co. | 61 | 13,608 | ||
Williams Cos., Inc. (The) | 360 | 11,235 | ||
43,832 | ||||
Financials — 0.0% | ||||
BlackRock, Inc. | 27 | 16,444 | ||
Morgan Stanley | 158 | 12,018 | ||
28,462 | ||||
Health Care — 0.0% | ||||
Abbott Laboratories | 98 | 10,647 | ||
Anthem, Inc. | 22 | 10,617 | ||
UnitedHealth Group, Inc. | 16 | 8,218 | ||
29,482 | ||||
Industrials — 0.0% | ||||
Cummins, Inc. | 53 | 10,257 | ||
Deere & Co. | 35 | 10,482 | ||
L3Harris Technologies, Inc. | 10 | 2,417 | ||
Lockheed Martin Corporation | 43 | 18,488 | ||
Union Pacific Corporation | 68 | 14,503 | ||
United Parcel Service, Inc. Class B | 76 | 13,873 | ||
70,020 | ||||
Information Technology — 0.1% | ||||
Apple, Inc. | 101 | 13,809 | ||
Broadcom, Inc. | 17 | 8,259 | ||
Cisco Systems, Inc. | 303 | 12,920 | ||
Corning, Inc. | 3,787 | 119,328 | ||
Microchip Technology, Inc. | 167 | 9,699 | ||
Microsoft Corporation | 63 | 16,180 | ||
QUALCOMM, Inc. | 73 | 9,325 | ||
189,520 | ||||
Materials — 0.0% | ||||
Newmont Corporation | 213 | 12,710 |
Shares | Value | |||
Real Estate — 0.0% | ||||
American Tower Corporation REIT | 65 | $ 16,613 | ||
Utilities — 0.0% | ||||
Duke Energy Corporation | 127 | 13,616 | ||
NextEra Energy, Inc.Δ | 225 | 17,428 | ||
31,044 | ||||
Total Common Stocks (Cost $1,431,755) | 1,373,142 | |||
FOREIGN COMMON STOCKS — 0.0% | ||||
Ireland — 0.0% | ||||
Accenture PLC Class A | 45 | 12,494 | ||
Jersey — 0.0% | ||||
Clarivate PLCΔ * | 59 | 818 | ||
Total Foreign Common Stocks (Cost $14,133) | 13,312 | |||
PREFERRED STOCKS — 0.1% | ||||
Bank of America Corporation | ||||
7.25% CONV | 387 | 466,141 | ||
El Paso Energy Capital Trust I | ||||
4.75%, 03/31/28 CONV | 2,799 | 130,014 | ||
Wells Fargo & Co. | ||||
7.50% CONV | 69 | 83,870 | ||
Total Preferred Stocks (Cost $592,008) | 680,025 | |||
FOREIGN PREFERRED STOCK — 0.0% | ||||
Jersey — 0.0% | ||||
Clarivate PLC | ||||
5.25%, 06/01/24 CONV (Cost $128,000) | 1,280 | 73,234 | ||
MONEY MARKET FUNDS — 7.9% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø ∞ | 23,151,111 | 23,151,111 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.46%Ø § | 18,066,310 | 18,066,310 | ||
Northern Institutional U.S. Government Portfolio (Shares), 1.12%Ø | 137,574 | 137,574 | ||
Total Money Market Funds (Cost $41,354,995) | 41,354,995 | |||
TOTAL INVESTMENTS —104.1% (Cost $633,535,441) | 546,108,205 | |||
Liabilities in Excess of Other Assets — (4.1)% | (21,595,523) | |||
NET ASSETS — 100.0% | $524,512,682 |
% | |
Foreign Bonds | 41.9 |
U.S. Treasury Obligations | 22.7 |
Corporate Bonds | 20.6 |
Money Market Funds | 7.9 |
Mortgage-Backed Securities | 6.6 |
Asset-Backed Securities | 2.0 |
Loan Agreements | 2.0 |
Communication Services | 0.2 |
Financials | 0.1 |
Information Technology | 0.1 |
Energy | —** |
Industrials | —** |
Consumer Staples | —** |
Utilities | —** |
Health Care | —** |
Consumer Discretionary | —** |
Real Estate | —** |
Materials | —** |
104.1 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 09/2022 | 17 | $ 2,913,846 | $(173,133) | ||||
Euro-Bobl | 09/2022 | (40) | (5,205,796) | 35,021 | ||||
Euro-Bund | 09/2022 | (2) | (311,828) | (1,339) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-OAT | 09/2022 | (1) | $ (145,173) | $ (412) | ||||
Euro-Schatz | 09/2022 | 67 | 7,663,360 | (16,169) | ||||
FTSE KLCI | 09/2022 | (1) | (129,024) | (1,248) | ||||
10-Year Japanese E-Mini | 09/2022 | 127 | 13,914,026 | (55,519) | ||||
10-Year Commonwealth Treasury Bond | 09/2022 | 40 | 3,282,690 | (2,210) | ||||
3-Year Commonwealth Treasury Bond | 09/2022 | 172 | 12,757,928 | 12,597 | ||||
10-Year U.S. Treasury Note | 09/2022 | (40) | (4,741,250) | (82,362) | ||||
U.S. Treasury Long Bond | 09/2022 | 16 | 2,218,000 | (24,252) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2022 | (73) | (9,298,375) | 166,228 | ||||
Ultra Long U.S. Treasury Bond | 09/2022 | 51 | 7,871,532 | 296,442 | ||||
10-Year Bond | 09/2022 | 18 | 1,733,856 | (61,039) | ||||
Long GILT | 09/2022 | 36 | 4,994,923 | (177,834) | ||||
2-Year U.S. Treasury Note | 10/2022 | 11 | 2,310,172 | (12,719) | ||||
5-Year U.S. Treasury Note | 10/2022 | (408) | (45,798,000) | 39,569 | ||||
5-Year U.S. Treasury Note | 10/2022 | 82 | 9,204,500 | (81,413) | ||||
90-Day Eurodollar | 12/2022 | 156 | 37,560,900 | (970,125) | ||||
3-Month Euribor | 12/2023 | 2 | 513,993 | (969) | ||||
90-Day Eurodollar | 12/2023 | 73 | 17,685,162 | (447,125) | ||||
Total Futures Contracts outstanding at June 30, 2022 | $ 58,995,442 | $(1,558,011) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/20/22 | U.S. Dollars | 239,152,664 | Euro | (219,231,034) | SS | $9,097,308 | ||||||
07/20/22 | U.S. Dollars | 19,299,366 | British Pounds | (14,811,104) | SS | 1,263,321 | ||||||
10/20/22 | Euro | 141,532,958 | U.S. Dollars | (148,450,098) | SC | 1,150,758 | ||||||
07/20/22 | U.S. Dollars | 11,170,047 | Japanese Yen | (1,385,745,906) | SS | 944,112 | ||||||
07/20/22 | U.S. Dollars | 10,474,801 | New Zealand Dollars | (15,316,420) | SC | 910,473 | ||||||
07/20/22 | U.S. Dollars | 10,369,424 | Australian Dollars | (13,917,067) | SC | 761,693 | ||||||
07/20/22 | U.S. Dollars | 16,083,142 | Euro | (14,740,301) | CITI | 615,053 | ||||||
07/20/22 | U.S. Dollars | 16,624,969 | Euro | (15,320,314) | UBS | 548,229 | ||||||
07/20/22 | U.S. Dollars | 4,805,331 | Norwegian Kroner | (42,100,469) | SS | 529,396 | ||||||
07/20/22 | U.S. Dollars | 3,364,436 | Norwegian Kroner | (29,462,929) | UBS | 372,033 | ||||||
07/20/22 | U.S. Dollars | 9,087,493 | Chinese Yuan | (58,421,081) | SC | 361,851 | ||||||
07/20/22 | U.S. Dollars | 4,255,240 | New Zealand Dollars | (6,235,869) | UBS | 361,256 | ||||||
07/19/22 | U.S. Dollars | 3,834,844 | Brazilian Reals | (18,290,863) | GSC | 360,841 | ||||||
07/20/22 | U.S. Dollars | 4,252,761 | Japanese Yen | (529,741,143) | BNP | 343,604 | ||||||
07/19/22 | U.S. Dollars | 2,465,672 | South African Rand | (36,380,000) | CITI | 233,999 | ||||||
07/20/22 | U.S. Dollars | 2,630,806 | Swedish Kronor | (24,819,866) | SC | 202,868 | ||||||
07/20/22 | U.S. Dollars | 9,697,061 | Canadian Dollars | (12,222,079) | SS | 202,242 | ||||||
07/20/22 | U.S. Dollars | 2,259,988 | New Zealand Dollars | (3,302,048) | CITI | 198,026 | ||||||
07/20/22 | U.S. Dollars | 4,936,843 | Chinese Yuan | (31,738,842) | CITI | 196,401 | ||||||
07/20/22 | U.S. Dollars | 4,669,620 | Euro | (4,280,587) | RBC | 177,683 | ||||||
07/19/22 | U.S. Dollars | 3,886,192 | Taiwan Dollars | (110,204,629) | CITI | 175,112 | ||||||
07/20/22 | U.S. Dollars | 2,263,391 | Australian Dollars | (3,025,782) | RBC | 174,524 | ||||||
07/20/22 | U.S. Dollars | 2,517,180 | Swedish Kronor | (24,031,633) | BNP | 166,349 | ||||||
07/20/22 | U.S. Dollars | 6,239,293 | Swiss Francs | (5,806,405) | SC | 149,297 | ||||||
07/20/22 | U.S. Dollars | 6,030,140 | Swiss Francs | (5,612,131) | RBC | 143,906 | ||||||
07/20/22 | U.S. Dollars | 2,123,595 | Japanese Yen | (268,542,620) | SC | 141,919 | ||||||
07/20/22 | U.S. Dollars | 3,508,843 | Czech Republic Koruna | (79,959,523) | BNP | 132,101 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/19/22 | U.S. Dollars | 1,789,589 | Hungarian Forint | (629,506,000) | GSC | $130,938 | ||||||
07/20/22 | U.S. Dollars | 1,548,428 | Norwegian Kroner | (14,091,529) | BNP | 117,222 | ||||||
07/20/22 | U.S. Dollars | 1,696,493 | Australian Dollars | (2,293,736) | UBS | 112,998 | ||||||
07/20/22 | U.S. Dollars | 1,450,856 | Hungarian Forint | (508,508,469) | UBS | 111,237 | ||||||
07/20/22 | U.S. Dollars | 7,118,053 | Euro | (6,682,251) | GSC | 105,872 | ||||||
07/20/22 | U.S. Dollars | 1,566,766 | British Pounds | (1,202,559) | RBC | 102,364 | ||||||
07/20/22 | U.S. Dollars | 1,720,481 | British Pounds | (1,329,346) | BNP | 101,685 | ||||||
10/20/22 | British Pounds | 12,696,324 | U.S. Dollars | (15,416,382) | SC | 77,702 | ||||||
07/19/22 | U.S. Dollars | 7,194,670 | Euro | (6,783,299) | CITI | 76,935 | ||||||
07/20/22 | U.S. Dollars | 836,060 | Brazilian Reals | (4,076,413) | UBS | 62,069 | ||||||
07/20/22 | U.S. Dollars | 706,546 | South African Rand | (10,538,726) | SS | 60,134 | ||||||
07/20/22 | U.S. Dollars | 2,834,538 | Polish Zloty | (12,485,679) | UBS | 56,680 | ||||||
07/20/22 | U.S. Dollars | 936,830 | British Pounds | (727,068) | UBS | 51,451 | ||||||
07/20/22 | U.S. Dollars | 724,783 | British Pounds | (554,395) | SC | 49,675 | ||||||
07/20/22 | New Zealand Dollars | 15,316,420 | U.S. Dollars | (9,522,463) | SC | 41,865 | ||||||
07/20/22 | Swiss Francs | 1,030,867 | U.S. Dollars | (1,040,544) | UBS | 40,672 | ||||||
07/20/22 | U.S. Dollars | 748,469 | Turkish Lira | (11,970,755) | RBC | 39,982 | ||||||
07/20/22 | U.S. Dollars | 537,100 | Japanese Yen | (67,488,527) | UBS | 39,077 | ||||||
07/20/22 | U.S. Dollars | 972,414 | Polish Zloty | (4,205,397) | SS | 36,782 | ||||||
07/19/22 | U.S. Dollars | 3,324,845 | Indian Rupee | (260,352,000) | CITI | 34,442 | ||||||
07/20/22 | U.S. Dollars | 1,992,454 | Canadian Dollars | (2,521,017) | BNP | 33,982 | ||||||
10/20/22 | Canadian Dollars | 11,239,728 | U.S. Dollars | (8,700,308) | SC | 33,915 | ||||||
07/20/22 | Swiss Francs | 5,806,405 | U.S. Dollars | (6,056,521) | SC | 33,475 | ||||||
10/20/22 | Japanese Yen | 704,412,687 | U.S. Dollars | (5,207,699) | SC | 31,698 | ||||||
07/20/22 | U.S. Dollars | 353,555 | New Zealand Dollars | (516,418) | RBC | 31,078 | ||||||
07/20/22 | Australian Dollars | 12,908,038 | U.S. Dollars | (8,880,294) | SC | 30,848 | ||||||
07/19/22 | U.S. Dollars | 4,671,822 | Indonesian Rupiah | (69,329,837,875) | CITI | 30,813 | ||||||
07/20/22 | U.S. Dollars | 1,736,176 | British Pounds | (1,400,683) | GSC | 30,511 | ||||||
07/20/22 | U.S. Dollars | 754,233 | Norwegian Kroner | (7,131,630) | SC | 29,909 | ||||||
07/20/22 | Swiss Francs | 686,976 | U.S. Dollars | (695,039) | SS | 25,490 | ||||||
07/19/22 | U.S. Dollars | 390,765 | British Pounds | (300,000) | GSC | 25,450 | ||||||
07/20/22 | U.S. Dollars | 372,884 | British Pounds | (286,204) | CITI | 24,362 | ||||||
07/20/22 | U.S. Dollars | 627,141 | Polish Zloty | (2,709,876) | CITI | 24,238 | ||||||
07/20/22 | U.S. Dollars | 1,167,269 | Euro | (1,090,322) | SC | 23,113 | ||||||
07/20/22 | U.S. Dollars | 1,067,952 | Euro | (996,096) | BNP | 22,675 | ||||||
10/20/22 | Norwegian Kroner | 25,111,117 | U.S. Dollars | (2,534,595) | SC | 21,649 | ||||||
07/20/22 | Swiss Francs | 672,598 | U.S. Dollars | (684,114) | GSC | 21,334 | ||||||
07/20/22 | U.S. Dollars | 900,959 | Norwegian Kroner | (8,669,002) | GSC | 20,492 | ||||||
07/20/22 | U.S. Dollars | 950,043 | Canadian Dollars | (1,197,393) | CITI | 19,839 | ||||||
07/20/22 | Swedish Kronor | 21,358,051 | U.S. Dollars | (2,071,385) | SC | 17,910 | ||||||
07/20/22 | U.S. Dollars | 710,402 | Swiss Francs | (661,101) | UBS | 17,012 | ||||||
07/20/22 | U.S. Dollars | 744,974 | Canadian Dollars | (938,880) | RBC | 15,598 | ||||||
07/20/22 | U.S. Dollars | 2,058,775 | Canadian Dollars | (2,631,428) | UBS | 14,529 | ||||||
07/20/22 | Chinese Yuan | 51,276,552 | U.S. Dollars | (7,646,369) | SC | 12,182 | ||||||
07/19/22 | Japanese Yen | 454,165,000 | U.S. Dollars | (3,339,636) | CITI | 11,609 | ||||||
07/20/22 | U.S. Dollars | 401,981 | Thai Baht | (13,800,000) | GSC | 11,304 | ||||||
07/20/22 | Mexican Pesos | 14,586,001 | U.S. Dollars | (711,477) | BNP | 11,141 | ||||||
07/19/22 | U.S. Dollars | 439,144 | Australian Dollars | (620,000) | CITI | 11,126 | ||||||
07/20/22 | U.S. Dollars | 144,690 | Swedish Kronor | (1,365,893) | RBC | 11,075 | ||||||
07/20/22 | Mexican Pesos | 11,128,938 | U.S. Dollars | (542,823) | RBC | 8,525 | ||||||
07/20/22 | Mexican Pesos | 34,845,557 | U.S. Dollars | (1,718,348) | SC | 7,965 | ||||||
07/20/22 | U.S. Dollars | 357,609 | Mexican Pesos | (7,060,414) | UBS | 7,824 | ||||||
07/20/22 | U.S. Dollars | 90,811 | Australian Dollars | (121,403) | CITI | 6,999 | ||||||
07/20/22 | U.S. Dollars | 697,480 | Czech Republic Koruna | (16,350,581) | UBS | 6,984 | ||||||
07/20/22 | U.S. Dollars | 725,601 | Canadian Dollars | (925,695) | SC | 6,468 | ||||||
07/19/22 | U.S. Dollars | 687,929 | Euro | (650,000) | GSC | 5,882 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
10/20/22 | Czech Republic Koruna | 21,697,607 | U.S. Dollars | (900,333) | SC | $ 5,862 | ||||||
07/20/22 | U.S. Dollars | 67,749 | Swedish Kronor | (639,706) | UBS | 5,172 | ||||||
07/20/22 | Euro | 1,505,547 | U.S. Dollars | (1,576,691) | UBS | 3,191 | ||||||
07/20/22 | Euro | 656,641 | U.S. Dollars | (686,302) | GSC | 2,760 | ||||||
10/20/22 | Euro | 642,020 | U.S. Dollars | (676,201) | GSC | 2,417 | ||||||
10/20/22 | South African Rand | 11,560,940 | U.S. Dollars | (700,142) | SC | 2,318 | ||||||
10/20/22 | Polish Zloty | 2,247,070 | U.S. Dollars | (491,427) | SC | 2,219 | ||||||
07/20/22 | U.S. Dollars | 1,076,049 | Mexican Pesos | (21,680,000) | SC | 1,982 | ||||||
07/20/22 | Mexican Pesos | 2,140,706 | U.S. Dollars | (104,410) | CITI | 1,644 | ||||||
07/20/22 | Euro | 200,000 | U.S. Dollars | (208,255) | SC | 1,620 | ||||||
07/19/22 | Euro | 768,449 | Polish Zloty | (3,620,000) | CITI | 825 | ||||||
07/20/22 | U.S. Dollars | 9,243 | South African Rand | (137,759) | BNP | 793 | ||||||
07/20/22 | Canadian Dollars | 124,305 | U.S. Dollars | (96,114) | UBS | 453 | ||||||
07/20/22 | British Pounds | 154,458 | U.S. Dollars | (187,724) | UBS | 366 | ||||||
09/21/22 | U.S. Dollars | 88,924 | Euro | (84,000) | BOA | 358 | ||||||
07/20/22 | Chinese Yuan | 530,650 | U.S. Dollars | (78,998) | UBS | 258 | ||||||
10/20/22 | Euro | 92,380 | U.S. Dollars | (97,406) | UBS | 240 | ||||||
10/20/22 | Hungarian Forint | 15,128,338 | U.S. Dollars | (39,047) | SC | 189 | ||||||
10/20/22 | British Pounds | 69,154 | U.S. Dollars | (84,241) | UBS | 152 | ||||||
Subtotal Appreciation | $22,095,960 | |||||||||||
07/20/22 | South African Rand | 1,403 | U.S. Dollars | (94) | RBC | $ (8) | ||||||
07/20/22 | U.S. Dollars | 536 | Mexican Pesos | (10,990) | SS | (9) | ||||||
07/20/22 | U.S. Dollars | 39,579 | Hungarian Forint | (15,128,338) | SC | (275) | ||||||
07/20/22 | U.S. Dollars | 83,836 | Canadian Dollars | (108,334) | UBS | (324) | ||||||
07/20/22 | Polish Zloty | 389,282 | U.S. Dollars | (87,262) | UBS | (653) | ||||||
07/20/22 | Chilean Pesos | 6,081,692 | U.S. Dollars | (7,426) | SC | (830) | ||||||
07/20/22 | U.S. Dollars | 687,365 | Euro | (656,050) | SS | (1,077) | ||||||
07/20/22 | U.S. Dollars | 240,944 | Euro | (230,937) | UBS | (1,395) | ||||||
10/20/22 | U.S. Dollars | 209,775 | Euro | (200,000) | SC | (1,626) | ||||||
07/20/22 | Czech Republic Koruna | 2,372,484 | U.S. Dollars | (101,934) | GSC | (1,742) | ||||||
07/20/22 | U.S. Dollars | 708,956 | Swiss Francs | (677,694) | UBS | (1,837) | ||||||
07/20/22 | U.S. Dollars | 716,180 | Swiss Francs | (685,053) | BNP | (2,331) | ||||||
07/20/22 | U.S. Dollars | 497,410 | Polish Zloty | (2,247,070) | SC | (2,526) | ||||||
07/20/22 | U.S. Dollars | 706,446 | South African Rand | (11,560,940) | SC | (2,666) | ||||||
07/20/22 | British Pounds | 585,872 | U.S. Dollars | (716,214) | GSC | (2,776) | ||||||
07/20/22 | Canadian Dollars | 1,545,069 | U.S. Dollars | (1,203,109) | GSC | (2,810) | ||||||
07/20/22 | Hungarian Forint | 15,128,338 | U.S. Dollars | (43,109) | SC | (3,255) | ||||||
07/19/22 | Mexican Pesos | 24,039,298 | U.S. Dollars | (1,194,481) | CITI | (3,307) | ||||||
10/20/22 | U.S. Dollars | 717,452 | Norwegian Kroner | (7,083,712) | GSC | (3,651) | ||||||
07/20/22 | Czech Republic Koruna | 2,300,136 | U.S. Dollars | (100,923) | RBC | (3,787) | ||||||
10/20/22 | U.S. Dollars | 1,018,544 | Mexican Pesos | (21,013,186) | SC | (4,237) | ||||||
07/20/22 | Swiss Francs | 1,314,125 | U.S. Dollars | (1,383,231) | GSC | (4,923) | ||||||
07/20/22 | Brazilian Reals | 1,542,801 | U.S. Dollars | (298,328) | SS | (5,395) | ||||||
07/20/22 | Norwegian Kroner | 7,303,941 | U.S. Dollars | (747,729) | GSC | (5,904) | ||||||
10/20/22 | U.S. Dollars | 970,368 | Japanese Yen | (131,255,531) | SC | (5,906) | ||||||
07/20/22 | U.S. Dollars | 910,352 | Czech Republic Koruna | (21,697,607) | SC | (5,952) | ||||||
07/20/22 | Chinese Yuan | 992,531 | U.S. Dollars | (154,991) | SS | (6,749) | ||||||
07/20/22 | Hungarian Forint | 36,669,187 | U.S. Dollars | (104,521) | RBC | (7,920) | ||||||
07/20/22 | Euro | 200,000 | U.S. Dollars | (218,177) | RBC | (8,302) | ||||||
07/20/22 | U.S. Dollars | 641,874 | Mexican Pesos | (13,165,557) | SC | (10,372) | ||||||
07/20/22 | Czech Republic Koruna | 6,851,384 | U.S. Dollars | (300,515) | SS | (11,176) | ||||||
07/20/22 | New Zealand Dollars | 564,701 | U.S. Dollars | (364,055) | GSC | (11,428) | ||||||
07/20/22 | U.S. Dollars | 1,143,385 | Swiss Francs | (1,101,048) | GSC | (11,439) | ||||||
07/20/22 | Australian Dollars | 426,638 | U.S. Dollars | (306,227) | UBS | (11,695) | ||||||
07/20/22 | Canadian Dollars | 830,759 | U.S. Dollars | (659,638) | UBS | (14,256) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/20/22 | Swedish Kronor | 3,461,815 | U.S. Dollars | (355,280) | SC | $ (16,637) | ||||||
10/20/22 | U.S. Dollars | 2,079,654 | Swedish Kronor | (21,358,051) | SC | (19,230) | ||||||
10/20/22 | U.S. Dollars | 7,637,258 | Chinese Yuan | (51,276,552) | SC | (20,036) | ||||||
07/20/22 | Polish Zloty | 2,247,070 | U.S. Dollars | (520,227) | SC | (20,291) | ||||||
07/20/22 | Czech Republic Koruna | 13,304,589 | U.S. Dollars | (583,234) | UBS | (21,373) | ||||||
07/20/22 | U.S. Dollars | 2,528,141 | Norwegian Kroner | (25,111,117) | SC | (22,271) | ||||||
07/20/22 | Swiss Francs | 866,771 | U.S. Dollars | (931,711) | CITI | (22,606) | ||||||
07/20/22 | Canadian Dollars | 1,820,758 | U.S. Dollars | (1,438,438) | BNP | (23,967) | ||||||
07/20/22 | Chinese Yuan | 7,144,529 | U.S. Dollars | (1,092,872) | SC | (25,781) | ||||||
07/20/22 | Czech Republic Koruna | 16,304,593 | U.S. Dollars | (715,804) | CITI | (27,251) | ||||||
07/20/22 | Euro | 1,337,193 | U.S. Dollars | (1,430,647) | GSC | (27,431) | ||||||
07/20/22 | U.S. Dollars | 1,384,527 | Mexican Pesos | (28,517,067) | UBS | (28,262) | ||||||
10/20/22 | U.S. Dollars | 8,885,418 | Australian Dollars | (12,908,038) | SC | (32,369) | ||||||
07/20/22 | Polish Zloty | 3,706,189 | U.S. Dollars | (856,982) | SS | (32,416) | ||||||
07/20/22 | Australian Dollars | 1,009,029 | U.S. Dollars | (729,295) | SC | (32,706) | ||||||
07/20/22 | Polish Zloty | 3,706,086 | U.S. Dollars | (857,703) | RBC | (33,159) | ||||||
07/20/22 | U.S. Dollars | 8,696,942 | Canadian Dollars | (11,239,728) | SC | (34,730) | ||||||
07/20/22 | British Pounds | 842,930 | U.S. Dollars | (1,061,879) | UBS | (35,411) | ||||||
07/20/22 | Czech Republic Koruna | 21,697,607 | U.S. Dollars | (951,808) | SC | (35,504) | ||||||
07/19/22 | U.S. Dollars | 5,989,560 | Mexican Pesos | (121,644,643) | CITI | (38,071) | ||||||
07/20/22 | Swiss Francs | 1,501,271 | U.S. Dollars | (1,612,999) | SS | (38,404) | ||||||
07/20/22 | South Korean Won | 1,052,771,228 | U.S. Dollars | (855,335) | UBS | (40,284) | ||||||
10/20/22 | U.S. Dollars | 6,095,944 | Swiss Francs | (5,806,405) | SC | (41,068) | ||||||
07/20/22 | Norwegian Kroner | 13,152,769 | U.S. Dollars | (1,377,083) | BNP | (41,222) | ||||||
07/20/22 | Norwegian Kroner | 8,292,242 | U.S. Dollars | (884,454) | UBS | (42,252) | ||||||
10/20/22 | U.S. Dollars | 9,508,679 | New Zealand Dollars | (15,316,420) | SC | (43,838) | ||||||
07/20/22 | Japanese Yen | 88,464,194 | U.S. Dollars | (697,354) | GSC | (44,544) | ||||||
07/20/22 | Turkish Lira | 11,918,698 | U.S. Dollars | (750,427) | SS | (45,021) | ||||||
07/20/22 | Norwegian Kroner | 6,925,797 | U.S. Dollars | (748,494) | SS | (45,075) | ||||||
07/20/22 | British Pounds | 591,638 | U.S. Dollars | (765,988) | RBC | (45,527) | ||||||
07/20/22 | British Pounds | 542,347 | U.S. Dollars | (706,679) | SS | (46,242) | ||||||
07/20/22 | Japanese Yen | 92,203,418 | U.S. Dollars | (727,268) | BNP | (46,865) | ||||||
07/20/22 | Polish Zloty | 6,076,046 | U.S. Dollars | (1,405,288) | BNP | (53,468) | ||||||
07/20/22 | Swedish Kronor | 14,239,001 | U.S. Dollars | (1,450,448) | BNP | (57,555) | ||||||
07/20/22 | Euro | 3,003,715 | U.S. Dollars | (3,209,761) | BNP | (57,741) | ||||||
07/20/22 | Swedish Kronor | 7,175,466 | U.S. Dollars | (766,068) | UBS | (64,147) | ||||||
07/19/22 | South African Rand | 36,380,000 | U.S. Dollars | (2,296,668) | CITI | (64,996) | ||||||
07/20/22 | South African Rand | 11,560,940 | U.S. Dollars | (775,258) | SC | (66,146) | ||||||
07/20/22 | Swedish Kronor | 9,950,824 | U.S. Dollars | (1,040,563) | GSC | (67,150) | ||||||
07/19/22 | Hungarian Forint | 629,506,000 | Euro | (1,648,914) | CITI | (71,558) | ||||||
07/20/22 | Brazilian Reals | 4,983,880 | U.S. Dollars | (1,022,179) | UBS | (75,886) | ||||||
07/20/22 | U.S. Dollars | 15,383,372 | British Pounds | (12,696,324) | SC | (77,426) | ||||||
07/20/22 | Hungarian Forint | 373,386,382 | U.S. Dollars | (1,063,367) | SS | (79,714) | ||||||
07/20/22 | Australian Dollars | 2,289,832 | U.S. Dollars | (1,664,148) | BNP | (83,349) | ||||||
07/20/22 | Japanese Yen | 225,508,886 | U.S. Dollars | (1,756,347) | UBS | (92,233) | ||||||
07/20/22 | Swedish Kronor | 12,670,142 | U.S. Dollars | (1,341,760) | SS | (102,337) | ||||||
07/19/22 | Australian Dollars | 1,803,635 | U.S. Dollars | (1,349,182) | CITI | (104,041) | ||||||
07/19/22 | Indian Rupees | 301,423,535 | U.S. Dollars | (3,923,988) | CITI | (114,511) | ||||||
07/20/22 | New Zealand Dollars | 2,636,554 | U.S. Dollars | (1,805,670) | BNP | (159,276) | ||||||
07/20/22 | New Zealand Dollars | 3,299,046 | U.S. Dollars | (2,220,484) | UBS | (160,397) | ||||||
07/19/22 | South Korean Won | 3,422,044,000 | U.S. Dollars | (2,811,360) | GSC | (162,715) | ||||||
07/20/22 | Swiss Francs | 7,028,100 | U.S. Dollars | (7,551,697) | BNP | (180,336) | ||||||
07/20/22 | Norwegian Kroner | 14,916,230 | U.S. Dollars | (1,703,686) | CITI | (188,718) | ||||||
07/20/22 | Canadian Dollars | 12,165,423 | U.S. Dollars | (9,650,017) | SC | (199,212) | ||||||
07/19/22 | Canadian Dollars | 9,608,964 | U.S. Dollars | (7,687,443) | CITI | (222,633) | ||||||
07/20/22 | Australian Dollars | 4,662,865 | U.S. Dollars | (3,487,870) | CITI | (268,833) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/20/22 | Swedish Kronor | 36,836,454 | U.S. Dollars | (3,904,069) | CITI | $ (300,640) | ||||||
07/20/22 | Japanese Yen | 434,747,567 | U.S. Dollars | (3,513,282) | CITI | (305,118) | ||||||
07/19/22 | British Pounds | 3,990,727 | U.S. Dollars | (5,213,845) | GSC | (354,272) | ||||||
07/19/22 | Euro | 7,931,877 | U.S. Dollars | (8,681,043) | GSC | (358,102) | ||||||
07/20/22 | Norwegian Kroner | 32,242,747 | U.S. Dollars | (3,684,023) | SC | (409,287) | ||||||
07/20/22 | Japanese Yen | 660,162,753 | U.S. Dollars | (5,334,709) | RBC | (463,122) | ||||||
07/20/22 | New Zealand Dollars | 8,642,419 | U.S. Dollars | (5,917,865) | SS | (521,112) | ||||||
07/20/22 | Norwegian Kroner | 43,623,989 | U.S. Dollars | (4,980,971) | RBC | (550,299) | ||||||
07/20/22 | Japanese Yen | 841,699,776 | U.S. Dollars | (6,772,385) | SC | (561,169) | ||||||
07/20/22 | Australian Dollars | 13,007,591 | U.S. Dollars | (9,731,682) | SS | (751,814) | ||||||
07/20/22 | Euro | 26,108,615 | U.S. Dollars | (28,478,226) | SS | (1,080,522) | ||||||
07/20/22 | British Pounds | 13,250,719 | U.S. Dollars | (17,217,926) | SC | (1,082,021) | ||||||
07/20/22 | U.S. Dollars | 147,374,448 | Euro | (141,532,958) | SC | (1,146,564) | ||||||
07/20/22 | Euro | 53,765,764 | U.S. Dollars | (58,496,368) | UBS | (2,075,971) | ||||||
07/19/22 | Japanese Yen | 3,982,298,000 | U.S. Dollars | (32,224,454) | GSC | (2,839,407) | ||||||
07/20/22 | Euro | 142,987,486 | U.S. Dollars | (155,963,763) | SC | (5,916,407) | ||||||
Subtotal Depreciation | $(22,722,588) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2022 | $ (626,628) |
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.EM.37 Index (Pay Quarterly) | (1.00)% | 6/20/2027 | USD | 14,960,000 | $1,501,182 | $1,205,650 | $295,532 | |||||||
$1,501,182 | $1,205,650 | $295,532 |
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 | $(320,084) | $(263,537) | $ (56,547) | |||||||
3-Month KWCDC (Quarterly) | 2.36% (Quarterly) | 2/11/2032 | KRW | 604,702,000 | (37,300) | — | (37,300) | |||||||
3-Month KWCDC (Quarterly) | 2.37% (Quarterly) | 2/18/2032 | KRW | 1,195,630,000 | (73,490) | — | (73,490) | |||||||
$(430,874) | $(263,537) | $(167,337) |
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.HY.38 Index (Receive Quarterly) | 5.75% | 5.00% | 6/20/2027 | USD | 6,661,710 | $(184,791) | $47,671 | $(232,462) | ||||||||
$(184,791) | $47,671 | $(232,462) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Securities | $ 10,716,076 | $ — | $ 10,716,076 | $ — | |||
Common Stocks | 1,373,142 | 1,373,142 | — | — | |||
Corporate Bonds | 107,904,400 | — | 107,904,400 | — | |||
Foreign Bonds: | |||||||
Russia | 1,437,055 | — | — | 1,437,055 | |||
Other ^^ | 218,618,347 | — | 218,618,347 | — | |||
Total Foreign Bonds | 220,055,402 | — | 218,618,347 | 1,437,055 | |||
Foreign Common Stocks | 13,312 | 13,312 | — | — | |||
Foreign Preferred Stock | 73,234 | 73,234 | — | — | |||
Loan Agreements | 10,309,261 | — | 10,309,261 | — | |||
Money Market Funds | 41,354,995 | 41,354,995 | — | — | |||
Mortgage-Backed Securities | 34,709,077 | — | 34,709,077 | — | |||
Preferred Stocks | 680,025 | 680,025 | — | — | |||
U.S. Treasury Obligations | 118,919,281 | — | 118,919,281 | — | |||
Total Assets - Investments in Securities | $546,108,205 | $43,494,708 | $501,176,442 | $1,437,055 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 22,095,960 | $ — | $ 22,095,960 | $ — | |||
Futures Contracts | 549,857 | 549,857 | — | — | |||
Swap Agreements | 295,532 | — | 295,532 | — | |||
Total Assets - Other Financial Instruments | $ 22,941,349 | $ 549,857 | $ 22,391,492 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (22,722,588) | $ — | $ (22,722,588) | $ — | |||
Futures Contracts | (2,107,868) | (2,107,868) | — | — | |||
Swap Agreements | (399,799) | — | (399,799) | — | |||
Total Liabilities - Other Financial Instruments | $ (25,230,255) | $ (2,107,868) | $ (23,122,387) | $ — |
^^ | 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 | June 30, 2022 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $ 831,769,393 | $1,024,277,054 | |
Investments in repurchase agreements, at value | 787,000,000 | — | |
Investments in securities of affiliated issuers, at value | — | 26,297,776 | |
Total investments, at value(1), (2) | 1,618,769,393 | 1,050,574,830 | |
Cash collateral for derivatives | — | 2,684,115 | |
Deposits with broker for futures contracts | — | 2,378,110 | |
Foreign currency(3) | — | 694,582 | |
Upfront premiums paid from swap agreements | — | 152,646 | |
Receivables: | |||
Dividends and reclaims | — | 30,021 | |
Interest | 822,359 | 3,588,594 | |
Securities lending | — | 8,431 | |
Investment securities sold | — | 19,124,955 | |
Fund shares sold | 16,453,906 | 886,962 | |
Variation margin on centrally cleared swaps | — | 245,713 | |
Variation margin on futures contracts | — | — | |
Unrealized appreciation on foreign currency exchange contracts | — | 1,011,840 | |
Unrealized appreciation on swap agreements | — | 17,304 | |
Prepaid expenses and other assets | 57,033 | 16,340 | |
Total Assets | 1,636,102,691 | 1,081,414,443 | |
Liabilities | |||
TBA sale commitments, at value(4) | — | — | |
Options written, at value(5) | — | 531 | |
Upfront premiums received from swap agreements | — | 977,064 | |
Unrealized depreciation on foreign currency exchange contracts | — | 456,507 | |
Collateral held for securities on loan, at value | — | 8,486,598 | |
Collateral from counterparty | — | 449,577 | |
Payables: | |||
Investment securities purchased | — | 31,631,602 | |
Fund shares redeemed | 29,857,625 | 1,750,603 | |
Variation margin on centrally cleared swaps | — | — | |
Variation margin on futures contracts | — | 432,344 | |
Distributions | 734,111 | — | |
Accrued expenses: | |||
Investment advisory fees | 150,904 | 251,083 | |
Shareholder servicing fees | 105,657 | 53,675 | |
Trustee fees | 6,222 | 2,435 | |
Other expenses | 111,340 | 160,503 | |
Total Liabilities | 30,965,859 | 44,652,522 | |
Net Assets | $1,605,136,832 | $1,036,761,921 | |
Net Assets Consist of: | |||
Paid-in-capital | $1,605,102,261 | $1,088,272,217 | |
Distributable earnings (loss) | 34,571 | (51,510,296) | |
Net Assets | $1,605,136,832 | $1,036,761,921 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $1,113,967,074 | $ 775,982,008 | |
Institutional shares outstanding | 1,113,911,015 | 60,320,750 | |
Net asset value, offering and redemption price per Institutional share | $ 1.00 | $ 12.86 | |
Net assets applicable to the Investor Class | $ 491,169,758 | $ 260,779,913 | |
Investor shares outstanding | 491,103,432 | 20,262,483 | |
Net asset value, offering and redemption price per Investor share | $ 1.00 | $ 12.87 | |
(1)Investments in securities of unaffiliated issuers, at cost | $ 831,769,393 | $1,065,138,223 | |
Investments in repurchase agreements, at cost | 787,000,000 | — | |
Investments in securities of affiliated issuers, at cost | — | 26,297,776 | |
Total investments, at cost | $1,618,769,393 | $1,091,435,999 | |
(2)Includes securities loaned of: | $ — | $ 127,775,464 | |
(3)Foreign currency, at cost | $ — | $ 703,139 | |
(4)TBA sale commitments, at cost | $ — | $ — | |
(5)Premiums received on options written | $ — | $ 2,353 |
Medium-Duration Bond Fund | Global Bond Fund | |
$2,123,626,712 | $522,957,094 | |
79,800,000 | — | |
83,594,674 | 23,151,111 | |
2,287,021,386 | 546,108,205 | |
32,145,535 | 8,958,990 | |
3,708,836 | 1,753,125 | |
4,630,931 | 6,464,933 | |
10,359,085 | 1,253,321 | |
211,721 | 75,976 | |
11,053,623 | 4,773,432 | |
12,206 | 7,296 | |
214,032,650 | 2,772,667 | |
978,190 | 414,349 | |
470,237 | — | |
834,916 | 17,811 | |
3,385,549 | 22,095,960 | |
— | — | |
28,293 | 35,407 | |
2,568,873,158 | 594,731,472 | |
7,517,289 | — | |
1,591,890 | — | |
5,267,408 | 263,537 | |
2,529,717 | 22,722,588 | |
25,291,196 | 18,066,310 | |
24,628,858 | 11,357,568 | |
504,379,044 | 17,232,522 | |
1,616,171 | 194,929 | |
— | 16,977 | |
— | — | |
— | — | |
540,877 | 206,741 | |
66,128 | 20,423 | |
3,314 | 1,394 | |
252,925 | 135,801 | |
573,684,817 | 70,218,790 | |
$1,995,188,341 | $524,512,682 | |
$2,285,856,952 | $622,704,745 | |
(290,668,611) | (98,192,063) | |
$1,995,188,341 | $524,512,682 | |
$1,676,988,172 | $426,565,111 | |
127,897,477 | 50,842,799 | |
$ 13.11 | $ 8.39 | |
$ 318,200,169 | $ 97,947,571 | |
24,259,150 | 11,724,642 | |
$ 13.12 | $ 8.35 | |
$2,302,665,576 | $610,384,330 | |
79,800,000 | — | |
83,594,674 | 23,151,111 | |
$2,466,060,250 | $633,535,441 | |
$ 139,243,900 | $ 38,702,242 | |
$ 4,774,873 | $ 6,641,977 | |
$ 7,593,789 | $ — | |
$ 1,723,432 | $ — |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2022 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | ||
Investment Income | |||
Dividends | $ — | $ 1,460 | |
Income distributions received from affiliated funds | — | 62,158 | |
Interest | 3,609,857 | 8,265,411 | |
Securities lending, net | — | 62,988 | |
Less foreign taxes withheld | — | — | |
Total Investment Income | 3,609,857 | 8,392,017 | |
Expenses | |||
Investment advisory fees | 883,454 | 1,539,686 | |
Transfer agent fees: | |||
Institutional shares | 2,311 | 2,603 | |
Investor shares | 19,157 | 9,957 | |
Custodian fees | 9,437 | 65,033 | |
Shareholder servicing fees: | |||
Investor shares | 613,030 | 315,352 | |
Accounting and administration fees | 90,196 | 73,626 | |
Professional fees | 56,857 | 73,601 | |
Shareholder reporting fees: | |||
Institutional shares | — | 1,919 | |
Investor shares | — | 8,699 | |
Trustees expenses | 5,917 | 2,539 | |
Line of credit facility fees | 2,673 | 1,990 | |
Other expenses | 82,517 | 53,600 | |
Total Expenses | 1,765,549 | 2,148,605 | |
Expenses waived/reimbursed(1) | (432,181) | — | |
Net Expenses | 1,333,368 | 2,148,605 | |
Net Investment Income | 2,276,489 | 6,243,412 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities | 25,548 | (14,745,686) | |
Investment securities sold short | — | — | |
Futures transactions | — | (1,009,190) | |
Swap agreements | — | (182,038) | |
Option contracts written | — | 162,536 | |
Option contracts purchased | — | (23,632) | |
Forward foreign currency contracts | — | 4,256,740 | |
Foreign currency | — | 268,734 | |
Net realized gain (loss) | 25,548 | (11,272,536) | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | — | (39,337,159) | |
Investment securities sold short | — | — | |
Futures | — | 1,691,012 | |
Swap agreements | — | 366,222 | |
Option contracts written | — | (73,917) | |
Option contracts purchased | — | — | |
Forward foreign currency contracts | — | 994,947 | |
Foreign currency | — | 19,288 | |
Net change in unrealized appreciation (depreciation) | — | (36,339,607) | |
Net Realized and Unrealized Gain (Loss) | 25,548 | (47,612,143) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | $2,302,037 | $(41,368,731) |
(1) | See Note 3c in Notes to Financial Statements. |
Medium-Duration Bond Fund | Global Bond Fund | |
$ — | $ 65,688 | |
133,702 | 47,614 | |
25,979,975 | 9,288,433 | |
76,675 | 43,275 | |
(7,380) | (25,990) | |
26,182,972 | 9,419,020 | |
3,418,264 | 1,341,632 | |
2,712 | 2,456 | |
21,741 | 14,609 | |
235,393 | 94,439 | |
451,536 | 133,502 | |
150,647 | 39,116 | |
74,123 | 72,583 | |
1,071 | 701 | |
5,007 | 1,968 | |
3,399 | 1,480 | |
4,676 | 1,124 | |
50,939 | 77,410 | |
4,419,508 | 1,781,020 | |
— | — | |
4,419,508 | 1,781,020 | |
21,763,464 | 7,638,000 | |
(83,179,176) | (6,808,858) | |
1,049,593 | — | |
(25,844,303) | (849,654) | |
4,328,569 | 682,504 | |
970,763 | — | |
(2,478,580) | 8,772 | |
21,128 | (446,835) | |
(896,740) | (590,243) | |
(106,028,746) | (8,004,314) | |
(204,599,200) | (84,908,505) | |
156,686 | — | |
(3,449,252) | (793,492) | |
801,117 | (125,128) | |
(36,983) | — | |
93,723 | (3,135) | |
2,652,098 | 92,595 | |
(45,738) | (20,392) | |
(204,427,549) | (85,758,057) | |
(310,456,295) | (93,762,371) | |
$(288,692,831) | $(86,124,371) |
STATEMENTS OF CHANGES IN NET ASSETS |
Money Market Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/22 | 12/31/21 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 2,276,489 | $ — | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 25,548 | 20,629 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | — | — | |
Net increase (decrease) in net assets resulting from operations | 2,302,037 | 20,629 | |
Distributions to Shareholders: | |||
Institutional shares | (1,810,002) | — | |
Investor shares | (466,645) | — | |
Total distributions | (2,276,647) | — | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 3,373,040,390 | 6,595,566,663 | |
Investor shares | 274,709,654 | 478,461,978 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 415,481 | — | |
Investor shares | 464,580 | — | |
Total proceeds from shares sold and reinvested | 3,648,630,105 | 7,074,028,641 | |
Value of shares redeemed | |||
Institutional shares | (3,413,725,853) | (6,609,506,460) | |
Investor shares | (233,654,593) | (503,905,897) | |
Total value of shares redeemed | (3,647,380,446) | (7,113,412,357) | |
Net increase (decrease) from capital share transactions(1) | 1,249,659 | (39,383,716) | |
Total increase (decrease) in net assets | 1,275,049 | (39,363,087) | |
Net Assets: | |||
Beginning of Period | 1,603,861,783 | 1,643,224,870 | |
End of Period | $ 1,605,136,832 | $ 1,603,861,783 |
(1) | See Note 6 in Notes to Financial Statements. |
Low-Duration Bond Fund | Medium-Duration Bond Fund | |||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||
06/30/22 | 12/31/21 | 06/30/22 | 12/31/21 | |||
(Unaudited) | (Unaudited) | |||||
$ 6,243,412 | $ 8,464,314 | $ 21,763,464 | $ 36,899,251 | |||
(11,272,536) | 3,774,011 | (106,028,746) | (6,391,555) | |||
(36,339,607) | (16,776,218) | (204,427,549) | (76,612,645) | |||
(41,368,731) | (4,537,893) | (288,692,831) | (46,104,949) | |||
(3,541,894) | (8,959,518) | (11,070,832) | (38,009,278) | |||
(895,659) | (1,796,689) | (1,666,119) | (7,677,777) | |||
(4,437,553) | (10,756,207) | (12,736,951) | (45,687,055) | |||
131,747,586 | 167,502,457 | 220,689,729 | 459,996,914 | |||
67,519,211 | 56,105,985 | 25,795,891 | 136,555,002 | |||
3,531,850 | 8,907,777 | 10,993,544 | 37,771,638 | |||
895,517 | 1,796,053 | 1,591,407 | 7,443,560 | |||
203,694,164 | 234,312,272 | 259,070,571 | 641,767,114 | |||
(159,648,292) | (151,204,553) | (254,929,898) | (168,105,314) | |||
(34,376,941) | (57,675,217) | (116,489,860) | (88,866,964) | |||
(194,025,233) | (208,879,770) | (371,419,758) | (256,972,278) | |||
9,668,931 | 25,432,502 | (112,349,187) | 384,794,836 | |||
(36,137,353) | 10,138,402 | (413,778,969) | 293,002,832 | |||
1,072,899,274 | 1,062,760,872 | 2,408,967,310 | 2,115,964,478 | |||
$1,036,761,921 | $1,072,899,274 | $1,995,188,341 | $2,408,967,310 |
STATEMENTS OF CHANGES IN NET ASSETS |
Global Bond Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/22 | 12/31/21 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 7,638,000 | $ 16,100,843 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (8,004,314) | 2,825,939 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (85,758,057) | (33,132,687) | |
Net decrease in net assets resulting from operations | (86,124,371) | (14,205,905) | |
Distributions to Shareholders: | |||
Institutional shares | (1,145,398) | (18,325,938) | |
Investor shares | (121,627) | (4,199,565) | |
Total distributions | (1,267,025) | (22,525,503) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 50,301,026 | 81,970,787 | |
Investor shares | 10,888,689 | 32,131,805 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 1,144,415 | 18,310,684 | |
Investor shares | 120,037 | 4,112,049 | |
Total proceeds from shares sold and reinvested | 62,454,167 | 136,525,325 | |
Value of shares redeemed | |||
Institutional shares | (56,138,741) | (29,454,921) | |
Investor shares | (17,405,120) | (26,144,322) | |
Total value of shares redeemed | (73,543,861) | (55,599,243) | |
Net increase (decrease) from capital share transactions(1) | (11,089,694) | 80,926,082 | |
Total increase (decrease) in net assets | (98,481,090) | 44,194,674 | |
Net Assets: | |||
Beginning of Period | 622,993,772 | 578,799,098 | |
End of Period | $524,512,682 | $622,993,772 |
(1) | See Note 6 in Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | 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 Period | Total Return | Net Assets, End of Period (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Money Market Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(1) | $ 1.00 | $ —† | $ —† | $ —† | $ —† | $ —† | $ —† | $ 1.00 | 0.16% | $1,113,967 | 0.12% | 0.14% | 0.32% | N/A |
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 | ||||||||||||||
2022(1) | $ 1.00 | $ —† | $ —† | $ —† | $ —† | $ — | $ —† | $ 1.00 | 0.09% | $ 491,170 | 0.27% | 0.40% | 0.19% | N/A |
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 | ||||||||||||||
2022(1) | $13.42 | $0.08 | $(0.58) | $(0.50) | $(0.06) | $ — | $(0.06) | $12.86 | (3.74)% | $ 775,982 | 0.34% | 0.34% | 1.24% | 168% |
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 | ||||||||||||||
2022(1) | $13.43 | $0.06 | $(0.58) | $(0.52) | $(0.04) | $ — | $(0.04) | $12.87 | (3.84)% | $ 260,780 | 0.61% | 0.61% | 0.98% | 168% |
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 | ||||||||||||||
2022(1) | $15.04 | $0.14 | $(1.98) | $(1.84) | $(0.09) | $ — | $(0.09) | $13.11 | (12.28)% | $1,676,988 | 0.37% | 0.37% | 2.08% | 183% |
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 | ||||||||||||||
2022(1) | $15.05 | $0.12 | $(1.98) | $(1.86) | $(0.07) | $ — | $(0.07) | $13.12 | (12.45)% | $ 318,200 | 0.64% | 0.64% | 1.79% | 183% |
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 | ||||||||||||||
2022(1) | $ 9.77 | $0.12 | $(1.47) | $(1.35) | $(0.02) | $(0.01) | $(0.03) | $ 8.39 | (13.90)% | $ 426,565 | 0.57% | 0.57% | 2.74% | 32% |
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 | ||||||||||||||
2022(1) | $ 9.73 | $0.11 | $(1.47) | $(1.36) | $(0.01) | $(0.01) | $(0.02) | $ 8.35 | (14.08)% | $ 97,948 | 0.87% | 0.87% | 2.45% | 32% |
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. |
(1) | For the six months ended June 30, 2022, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
Shares | Value | |||
COMMON STOCKS — 12.0% | ||||
Communication Services — 0.6% | ||||
Comcast Corporation Class A | 24,300 | $ 953,532 | ||
Verizon Communications, Inc. | 140,200 | 7,115,150 | ||
8,068,682 | ||||
Consumer Staples — 1.9% | ||||
Colgate-Palmolive Co. | 29,600 | 2,372,144 | ||
Hershey Co. (The) | 12,900 | 2,775,564 | ||
Kimberly-Clark Corporation | 14,100 | 1,905,615 | ||
Mondelez International, Inc. Class A | 52,300 | 3,247,307 | ||
PepsiCo, Inc. | 36,700 | 6,116,422 | ||
Procter & Gamble Co. (The) | 10,000 | 1,437,900 | ||
Walmart, Inc. | 44,205 | 5,374,444 | ||
23,229,396 | ||||
Energy — 1.0% | ||||
Baker Hughes Co. | 49,400 | 1,426,178 | ||
Chevron Corporation | 25,300 | 3,662,934 | ||
Exxon Mobil Corporation | 89,200 | 7,639,088 | ||
12,728,200 | ||||
Financials — 2.6% | ||||
Aflac, Inc. | 25,674 | 1,420,543 | ||
Allstate Corporation (The) | 11,500 | 1,457,395 | ||
Ameriprise Financial, Inc. | 8,102 | 1,925,683 | ||
Bank of New York Mellon Corporation (The) | 84,400 | 3,520,324 | ||
BlackRock, Inc. | 2,246 | 1,367,904 | ||
Capitol Federal Financial, Inc.Δ | 257,900 | 2,367,522 | ||
Commerce Bancshares, Inc.Δ | 26,142 | 1,716,222 | ||
JPMorgan Chase & Co. | 37,156 | 4,184,137 | ||
Marsh & McLennan Cos., Inc. | 30,661 | 4,760,120 | ||
MetLife, Inc. | 17,400 | 1,092,546 | ||
Northern Trust Corporation | 31,400 | 3,029,472 | ||
PNC Financial Services Group, Inc. (The) | 8,700 | 1,372,599 | ||
T. Rowe Price Group, Inc.Δ | 24,000 | 2,726,640 | ||
U.S. Bancorp | 47,500 | 2,185,950 | ||
33,127,057 | ||||
Health Care — 0.4% | ||||
Amgen, Inc. | 10,900 | 2,651,970 | ||
Cardinal Health, Inc. | 6,200 | 324,074 | ||
Gilead Sciences, Inc. | 11,800 | 729,358 | ||
Quest Diagnostics, Inc. | 2,530 | 336,440 | ||
UnitedHealth Group, Inc. | 2,700 | �� | 1,386,801 | |
5,428,643 | ||||
Industrials — 1.8% | ||||
Emerson Electric Co. | 61,010 | 4,852,735 | ||
Hubbell, Inc. | 27,189 | 4,855,412 | ||
Norfolk Southern Corporation | 16,414 | 3,730,738 | ||
Raytheon Technologies Corporation | 68,278 | 6,562,199 | ||
Republic Services, Inc. | 18,733 | 2,451,588 | ||
United Parcel Service, Inc. Class B | 3,800 | 693,652 | ||
23,146,324 | ||||
Information Technology — 1.8% | ||||
Automatic Data Processing, Inc. | 27,633 | 5,804,035 |
Shares | Value | |||
Cisco Systems, Inc. | 108,978 | $ 4,646,822 | ||
Corning, Inc. | 117,700 | 3,708,727 | ||
Microsoft Corporation | 22,500 | 5,778,675 | ||
Texas Instruments, Inc. | 16,600 | 2,550,590 | ||
22,488,849 | ||||
Materials — 0.2% | ||||
Packaging Corporation of America | 16,300 | 2,241,250 | ||
Real Estate — 0.1% | ||||
American Tower Corporation REIT | 4,258 | 1,088,302 | ||
Welltower, Inc. REIT | 5,000 | 411,750 | ||
1,500,052 | ||||
Utilities — 1.6% | ||||
Atmos Energy Corporation | 37,085 | 4,157,228 | ||
Duke Energy Corporation | 19,384 | 2,078,159 | ||
Eversource Energy | 22,143 | 1,870,419 | ||
ONE Gas, Inc. | 72,516 | 5,887,574 | ||
Spire, Inc.Δ | 80,240 | 5,967,449 | ||
19,960,829 | ||||
Total Common Stocks (Cost $140,550,913) | 151,919,282 | |||
FOREIGN COMMON STOCKS — 4.2% | ||||
France — 0.2% | ||||
TotalEnergies SEΔ | 51,323 | 2,701,487 | ||
Germany — 0.2% | ||||
Deutsche Telekom AG | 65,800 | 1,308,713 | ||
Siemens AG | 7,800 | 801,813 | ||
2,110,526 | ||||
Ireland — 1.4% | ||||
Linde PLC | 20,800 | 5,980,624 | ||
Medtronic PLC | 134,891 | 12,106,467 | ||
18,087,091 | ||||
Japan — 0.1% | ||||
Bridgestone Corporation | 30,300 | 1,104,720 | ||
Jersey — 0.1% | ||||
Amcor PLC | 56,400 | 701,052 | ||
Netherlands — 0.4% | ||||
Akzo Nobel NV | 39,000 | 2,550,518 | ||
Koninklijke Ahold Delhaize NV | 107,153 | 2,789,088 | ||
5,339,606 | ||||
Switzerland — 1.4% | ||||
Chubb, Ltd. | 12,617 | 2,480,250 | ||
Nestle SA | 31,300 | 3,658,117 | ||
Novartis AG | 38,300 | 3,247,098 | ||
Roche Holding AG | 20,800 | 6,953,437 | ||
TE Connectivity, Ltd. | 8,500 | 961,775 | ||
17,300,677 | ||||
United Kingdom — 0.4% | ||||
Unilever PLC | 115,700 | 5,255,139 | ||
Total Foreign Common Stocks (Cost $56,141,949) | 52,600,298 |
Shares | Value | |||
PREFERRED STOCKS — 0.6% | ||||
Bank of America Corporation | ||||
7.25% CONV | 900 | $1,084,050 | ||
Becton Dickinson and Co. | ||||
6.00% CONV | 126,828 | 6,272,913 | ||
Total Preferred Stocks (Cost $7,939,233) | 7,356,963 | |||
FOREIGN PREFERRED STOCK — 0.1% | ||||
Germany — 0.1% | ||||
Henkel AG & Co. KGaA | ||||
3.15%◊ (Cost $1,580,022) | 19,100 | 1,181,920 | ||
MUTUAL FUNDS — 0.3% | ||||
iShares Russell 1000 Value ETF (Cost $4,359,790) | 28,900 | 4,189,633 |
Par | |||
CORPORATE BONDS — 21.0% | |||
Airbnb, Inc. | |||
0.00%, 03/15/26 CONV» | $2,592,000 | 2,166,912 | |
Akamai Technologies, Inc. | |||
0.13%, 05/01/25 CONV | 1,231,000 | 1,353,485 | |
0.38%, 09/01/27 CONV | 2,825,000 | 2,820,762 | |
Alarm.com Holdings, Inc. | |||
0.00%, 01/15/26 CONV» | 1,616,000 | 1,327,544 | |
Allscripts Healthcare Solutions, Inc. | |||
0.88%, 01/01/27 CONV | 1,366,000 | 1,730,722 | |
Altair Engineering, Inc. | |||
1.75%, 06/15/27 144A CONV | 865,000 | 840,780 | |
Alteryx, Inc. | |||
1.00%, 08/01/26 CONV | 1,259,000 | 1,009,089 | |
Avalara, Inc. | |||
0.25%, 08/01/26 144A CONV | 1,920,000 | 1,498,560 | |
Bank of America Corporation | |||
(Variable, ICE LIBOR USD 3M + 2.93%), 5.88%, 03/15/28^ | 2,376,000 | 2,089,173 | |
Bank of New York Mellon Corporation (The) | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.36%), 4.70%, 09/20/25Δ^ | 976,000 | 955,992 | |
Bentley Systems, Inc. | |||
0.13%, 01/15/26 CONV | 951,000 | 824,042 | |
0.38%, 07/01/27 144A CONV | 579,000 | 451,620 | |
Beyond Meat, Inc. | |||
0.00%, 03/15/27 CONV» | 2,111,000 | 818,013 | |
BioMarin Pharmaceutical, Inc. | |||
0.60%, 08/01/24 CONV | 4,310,000 | 4,277,675 |
Par | Value | |||
Blackline, Inc. | ||||
0.13%, 08/01/24 CONV | $2,158,000 | $2,375,095 | ||
0.00%, 03/15/26 CONV» | 1,735,000 | 1,382,795 | ||
Blackstone Mortgage Trust, Inc. | ||||
5.50%, 03/15/27 CONV | 2,831,000 | 2,587,534 | ||
Block, Inc. | ||||
0.13%, 03/01/25 CONV | 1,814,000 | 1,709,695 | ||
0.25%, 11/01/27 CONV | 1,748,000 | 1,290,183 | ||
BofA Finance LLC | ||||
0.25%, 05/01/23 CONV | 1,496,000 | 1,524,159 | ||
Booking Holdings, Inc. | ||||
0.75%, 05/01/25 CONVΔ | 1,562,000 | 1,880,336 | ||
Box, Inc. | ||||
0.00%, 01/15/26 CONV» | 2,457,000 | 2,802,208 | ||
Burlington Stores, Inc. | ||||
2.25%, 04/15/25 CONVΔ | 890,000 | 881,656 | ||
Cable One, Inc. | ||||
0.00%, 03/15/26 CONV» | 1,559,000 | 1,292,411 | ||
Ceridian HCM Holding, Inc. | ||||
0.25%, 03/15/26 CONV | 960,000 | 761,760 | ||
Charles Schwab Corporation (The) | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.97%), 5.38%, 06/01/25^ | 2,081,000 | 2,065,392 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.17%), 4.00%, 06/01/26^ | 3,662,000 | 3,108,708 | ||
Cheesecake Factory, Inc. (The) | ||||
0.38%, 06/15/26 CONV | 1,583,000 | 1,214,953 | ||
Chegg, Inc. | ||||
0.13%, 03/15/25 CONV | 1,212,000 | 1,030,806 | ||
0.00%, 09/01/26 CONV» | 1,716,000 | 1,284,426 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23^ | 2,065,000 | 2,028,449 | ||
Coherus Biosciences, Inc. | ||||
1.50%, 04/15/26 CONV | 1,260,000 | 824,670 | ||
CONMED Corporation | ||||
2.63%, 02/01/24 CONV | 632,000 | 766,616 | ||
2.25%, 06/15/27 144A CONV | 1,397,000 | 1,310,386 | ||
Coupa Software, Inc. | ||||
0.13%, 06/15/25 CONVΔ | 1,049,000 | 871,195 | ||
0.38%, 06/15/26 CONV | 1,601,000 | 1,208,755 | ||
Cracker Barrel Old Country Store, Inc. | ||||
0.63%, 06/15/26 CONVΔ | 2,417,000 | 1,972,272 | ||
Datadog, Inc. | ||||
0.13%, 06/15/25 CONV | 1,485,000 | 1,885,207 | ||
Dexcom, Inc. | ||||
0.25%, 11/15/25 CONVΔ | 2,444,000 | 2,248,480 | ||
DigitalOcean Holdings, Inc. | ||||
0.00%, 12/01/26 144A CONV» | 3,708,000 | 2,788,045 |
Par | Value | |||
DISH Network Corporation | ||||
3.38%, 08/15/26 CONV | $5,486,000 | $3,719,508 | ||
Dominion Energy, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.99%), 4.65%, 12/15/24^ | 1,470,000 | 1,313,649 | ||
Dropbox, Inc. | ||||
0.00%, 03/01/26 CONV» | 1,433,000 | 1,297,582 | ||
0.00%, 03/01/28 CONV» | 1,707,000 | 1,501,093 | ||
Duke Energy Corporation | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.39%), 4.88%, 09/16/24^ | 2,407,000 | 2,196,387 | ||
Enphase Energy, Inc. | ||||
0.00%, 03/01/26 CONV» | 1,862,000 | 1,854,552 | ||
0.00%, 03/01/28 CONV» | 1,809,000 | 1,804,477 | ||
Envestnet, Inc. | ||||
1.75%, 06/01/23 CONV | 563,000 | 564,759 | ||
0.75%, 08/15/25 CONV | 3,872,000 | 3,322,176 | ||
Etsy, Inc. | ||||
0.13%, 09/01/27 CONVΔ | 2,267,000 | 1,764,859 | ||
0.25%, 06/15/28 CONV | 1,892,000 | 1,395,350 | ||
Euronet Worldwide, Inc. | ||||
0.75%, 03/15/49 CONVΔ | 1,949,000 | 1,990,416 | ||
Exact Sciences Corporation | ||||
0.38%, 03/15/27 CONV | 3,081,000 | 2,260,684 | ||
Expedia Group, Inc. | ||||
0.00%, 02/15/26 CONVΔ» | 2,271,000 | 2,060,932 | ||
Five9, Inc. | ||||
0.50%, 06/01/25 CONV | 2,976,000 | 2,910,528 | ||
Ford Motor Co. | ||||
0.00%, 03/15/26 CONVΔ» | 2,449,000 | 2,245,733 | ||
FTI Consulting, Inc. | ||||
2.00%, 08/15/23 CONV | 1,142,000 | 2,062,680 | ||
Greenbrier Cos., Inc. (The) | ||||
2.88%, 04/15/28 CONV | 2,776,000 | 2,595,560 | ||
Guardant Health, Inc. | ||||
0.00%, 11/15/27 CONV» | 1,569,000 | 976,703 | ||
Halozyme Therapeutics, Inc. | ||||
0.25%, 03/01/27 CONV | 1,736,000 | 1,540,141 | ||
Herbalife Nutrition, Ltd. | ||||
2.63%, 03/15/24 CONV | 89,000 | 79,166 | ||
Illumina, Inc. | ||||
0.00%, 08/15/23 CONVΔ» | 2,349,000 | 2,244,469 | ||
Insight Enterprises, Inc. | ||||
0.75%, 02/15/25 CONV | 2,137,000 | 2,853,963 | ||
Insulet Corporation | ||||
0.38%, 09/01/26 CONV | 1,611,000 | 1,844,595 | ||
Integra LifeSciences Holdings Corporation | ||||
0.50%, 08/15/25 CONV | 3,131,000 | 2,946,897 |
Par | Value | |||
InterDigital, Inc. | ||||
3.50%, 06/01/27 144A CONV | $1,191,000 | $1,211,247 | ||
Ironwood Pharmaceuticals, Inc. | ||||
0.75%, 06/15/24 CONV | 1,832,000 | 1,932,760 | ||
1.50%, 06/15/26 CONV | 746,000 | 813,140 | ||
Itron, Inc. | ||||
0.00%, 03/15/26 CONV» | 1,969,000 | 1,570,278 | ||
Jamf Holding Corporation | ||||
0.13%, 09/01/26 144A CONV | 1,855,000 | 1,577,678 | ||
Jazz Investments I, Ltd. | ||||
1.50%, 08/15/24 CONV | 282,000 | 280,061 | ||
2.00%, 06/15/26 CONV | 1,648,000 | 1,940,520 | ||
JetBlue Airways Corporation | ||||
0.50%, 04/01/26 CONVΔ | 3,375,000 | 2,499,187 | ||
John Bean Technologies Corporation | ||||
0.25%, 05/15/26 CONV | 1,432,000 | 1,326,032 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.47%), 4.71%, 10/30/22† | 2,686,000 | 2,550,359 | ||
(Variable, U.S. SOFR + 3.38%), 5.00%, 08/01/24^ | 5,200,000 | 4,592,250 | ||
(Variable, U.S. SOFR + 3.13%), 4.60%, 02/01/25^ | 1,083,000 | 917,324 | ||
KBR, Inc. | ||||
2.50%, 11/01/23 CONV | 618,000 | 1,194,594 | ||
LCI Industries | ||||
1.13%, 05/15/26 CONV | 1,203,000 | 1,096,535 | ||
Liberty Media Corp-Liberty Formula One | ||||
1.00%, 01/30/23 CONV | 363,000 | 627,400 | ||
Liberty Media Corporation | ||||
1.38%, 10/15/23 CONV | 636,000 | 747,618 | ||
2.13%, 03/31/48 144A CONV | 3,665,000 | 3,540,390 | ||
Liberty TripAdvisor Holdings, Inc. | ||||
0.50%, 06/30/51 144A CONV | 1,896,000 | 1,205,856 | ||
Live Nation Entertainment, Inc. | ||||
2.00%, 02/15/25 CONVΔ | 2,623,000 | 2,741,035 | ||
Livongo Health, Inc. | ||||
0.88%, 06/01/25 CONV | 1,473,000 | 1,246,158 | ||
Lumentum Holdings, Inc. | ||||
0.50%, 12/15/26 CONV | 605,000 | 622,787 | ||
0.50%, 06/15/28 144A CONV | 2,883,000 | 2,485,146 | ||
MACOM Technology Solutions Holdings, Inc. | ||||
0.25%, 03/15/26 CONVΔ | 1,666,000 | 1,457,750 |
Par | Value | |||
Marriott Vacations Worldwide Corporation | ||||
0.00%, 01/15/26 CONV» | $2,707,000 | $2,470,137 | ||
Match Group Financeco 3, Inc. | ||||
2.00%, 01/15/30 144A CONV | 675,000 | 733,388 | ||
Microchip Technology, Inc. | ||||
0.13%, 11/15/24 CONVΔ | 5,588,000 | 5,588,000 | ||
NCL Corporation, Ltd. | ||||
1.13%, 02/15/27 144A CONV | 3,345,000 | 2,182,612 | ||
NextEra Energy Partners LP | ||||
0.00%, 11/15/25 144A CONVΔ» | 1,921,000 | 1,994,958 | ||
NuVasive, Inc. | ||||
0.38%, 03/15/25 CONV | 3,478,000 | 3,101,941 | ||
Okta, Inc. | ||||
0.38%, 06/15/26 CONV | 3,904,000 | 3,267,648 | ||
ON Semiconductor Corporation | ||||
0.00%, 05/01/27 CONV» | 1,812,000 | 2,094,672 | ||
Ormat Technologies, Inc. | ||||
2.50%, 07/15/27 144A CONVΔ | 2,896,000 | 3,090,032 | ||
Palo Alto Networks, Inc. | ||||
0.75%, 07/01/23 CONV | 558,000 | 1,038,666 | ||
Pandora Media LLC | ||||
1.75%, 12/01/23 CONV | 1,378,000 | 1,512,355 | ||
Parsons Corporation | ||||
0.25%, 08/15/25 CONV | 2,094,000 | 2,210,217 | ||
Patrick Industries, Inc. | ||||
1.75%, 12/01/28 144A CONV | 1,559,000 | 1,254,995 | ||
Pegasystems, Inc. | ||||
0.75%, 03/01/25 CONV | 3,743,000 | 3,037,444 | ||
Peloton Interactive, Inc. | ||||
0.00%, 02/15/26 CONV» | 2,265,000 | 1,438,151 | ||
Perficient, Inc. | ||||
0.13%, 11/15/26 144A CONV | 1,667,000 | 1,357,848 | ||
Progressive Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 2.54%), 5.38%, 03/15/23^ | 1,006,000 | 887,795 | ||
Pure Storage, Inc. | ||||
0.13%, 04/15/23 CONV | 2,984,000 | 3,351,032 | ||
Q2 Holdings, Inc. | ||||
0.13%, 11/15/25 CONV | 447,000 | 359,165 | ||
0.75%, 06/01/26 CONV | 3,832,000 | 3,197,804 | ||
Rapid7, Inc. | ||||
2.25%, 05/01/25 CONV | 347,000 | 443,640 | ||
0.25%, 03/15/27 CONV | 2,881,000 | 2,610,186 | ||
Realogy Group LLC | ||||
0.25%, 06/15/26 CONV | 1,597,000 | 1,169,803 | ||
Redfin Corporation | ||||
0.00%, 10/15/25 CONVΔ» | 1,761,000 | 1,048,627 | ||
0.50%, 04/01/27 CONV | 1,747,000 | 832,446 | ||
Repligen Corporation | ||||
0.38%, 07/15/24 CONV | 473,000 | 721,089 |
Par | Value | |||
RingCentral, Inc. | ||||
0.00%, 03/15/26 CONV» | $1,298,000 | $ 981,288 | ||
Royal Caribbean Cruises, Ltd. | ||||
4.25%, 06/15/23 CONV | 1,028,000 | 986,880 | ||
2.88%, 11/15/23 CONV | 1,973,000 | 1,794,208 | ||
Shake Shack, Inc. | ||||
0.00%, 03/01/28 CONV» | 2,174,000 | 1,490,277 | ||
Shift4 Payments, Inc. | ||||
0.50%, 08/01/27 144A CONVΔ | 1,129,000 | 793,123 | ||
Silicon Laboratories, Inc. | ||||
0.63%, 06/15/25 CONVΔ | 1,233,000 | 1,599,818 | ||
Snap, Inc. | ||||
0.00%, 05/01/27 CONV» | 896,000 | 624,960 | ||
0.13%, 03/01/28 144A CONVΔ | 2,379,000 | 1,666,490 | ||
SoFi Technologies, Inc. | ||||
0.00%, 10/15/26 144A CONV» | 1,781,000 | 1,171,898 | ||
SolarEdge Technologies, Inc. | ||||
0.00%, 09/15/25 CONVΔ» | 1,622,000 | 1,957,754 | ||
Southwest Airlines Co. | ||||
1.25%, 05/01/25 CONV | 1,826,000 | 2,156,962 | ||
Spirit Airlines, Inc. | ||||
1.00%, 05/15/26 CONV | 2,665,000 | 2,415,822 | ||
Splunk, Inc. | ||||
1.13%, 09/15/25 CONVΔ | 2,974,000 | 2,795,560 | ||
1.13%, 06/15/27 CONV | 2,321,000 | 1,926,430 | ||
Spotify U.S.A., Inc. | ||||
0.00%, 03/15/26 CONVΔ» | 955,000 | 758,270 | ||
Stride, Inc. | ||||
1.13%, 09/01/27 CONV | 2,322,000 | 2,304,585 | ||
Tandem Diabetes Care, Inc. | ||||
1.50%, 05/01/25 144A CONV | 1,209,000 | 1,125,579 | ||
Teladoc Health, Inc. | ||||
1.25%, 06/01/27 CONV | 1,790,000 | 1,320,125 | ||
TripAdvisor, Inc. | ||||
0.25%, 04/01/26 CONV | 1,498,000 | 1,149,715 | ||
Truist Financial Corporation | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.61%), 4.95%, 09/01/25^ | 1,007,000 | 982,769 | ||
Twitter, Inc. | ||||
0.25%, 06/15/24 CONV | 344,000 | 338,352 | ||
0.00%, 03/15/26 CONV» | 830,000 | 738,752 | ||
U.S. Bancorp | ||||
(Variable, ICE LIBOR USD 3M + 2.91%), 5.30%, 04/15/27^ | 2,949,000 | 2,513,285 | ||
Uber Technologies, Inc. | ||||
0.00%, 12/15/25 CONV» | 2,112,000 | 1,695,340 | ||
Unity Software, Inc. | ||||
0.00%, 11/15/26 CONV» | 1,226,000 | 905,708 | ||
Upstart Holdings, Inc. | ||||
0.25%, 08/15/26 144A CONV | 2,305,000 | 1,300,020 | ||
Vail Resorts, Inc. | ||||
0.00%, 01/01/26 CONVΔ» | 3,486,000 | 3,050,250 |
Par | Value | |||
Varonis Systems, Inc. | ||||
1.25%, 08/15/25 CONV | $1,204,000 | $ 1,421,924 | ||
Verint Systems, Inc. | ||||
0.25%, 04/15/26 CONV | 3,232,000 | 2,965,360 | ||
Vonage Holdings Corporation | ||||
1.75%, 06/01/24 CONV | 335,000 | 421,430 | ||
Wayfair, Inc. | ||||
0.63%, 10/01/25 CONVΔ | 1,536,000 | 1,022,208 | ||
1.00%, 08/15/26 CONV | 672,000 | 433,440 | ||
Wells Fargo & Co. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.45%), 3.90%, 03/15/26^ | 907,000 | 781,721 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 CONV | 199,000 | 190,045 | ||
Winnebago Industries, Inc. | ||||
1.50%, 04/01/25 CONV | 2,144,000 | 2,205,640 | ||
Workiva, Inc. | ||||
1.13%, 08/15/26 CONV | 1,207,000 | 1,309,595 | ||
Zendesk, Inc. | ||||
0.63%, 06/15/25 CONV | 3,022,000 | 2,941,917 | ||
Ziff Davis, Inc. | ||||
1.75%, 11/01/26 144A CONV | 1,153,000 | 1,116,681 | ||
Zillow Group, Inc. | ||||
2.75%, 05/15/25 CONV | 2,602,000 | 2,464,094 | ||
1.38%, 09/01/26 CONV | 790,000 | 797,110 | ||
Zscaler, Inc. | ||||
0.13%, 07/01/25 CONVΔ | 1,727,000 | 2,099,168 | ||
Total Corporate Bonds (Cost $296,161,831) | 264,492,729 | |||
FOREIGN BONDS — 1.8% | ||||
Canada — 0.4% | ||||
IMAX Corporation | ||||
0.50%, 04/01/26 CONV | 3,538,000 | 3,155,896 | ||
Shopify, Inc. | ||||
0.13%, 11/01/25 CONV | 1,535,000 | 1,285,563 | ||
4,441,459 | ||||
France — 0.2% | ||||
TotalEnergies SE | ||||
0.50%, 12/02/22 CONVΔ | 3,000,000 | 3,075,990 | ||
Israel — 0.6% | ||||
CyberArk Software, Ltd. | ||||
0.00%, 11/15/24 CONVΔ» | 3,573,000 | 3,789,524 | ||
Fiverr International, Ltd. | ||||
0.00%, 11/01/25 CONVΔ» | 1,673,000 | 1,268,134 | ||
Nice, Ltd. | ||||
0.00%, 09/15/25 CONVΔ» | 2,509,000 | 2,477,637 | ||
7,535,295 |
Par | Value | |||
Jersey — 0.2% | ||||
Novocure, Ltd. | ||||
0.00%, 11/01/25 CONV» | $2,142,000 | $ 1,853,901 | ||
Netherlands — 0.4% | ||||
QIAGEN NV | ||||
0.00%, 12/17/27 CONV» | 2,600,000 | 2,262,902 | ||
STMicroelectronics NV | ||||
0.00%, 08/04/25 CONVΔ» | 3,200,000 | 3,240,736 | ||
5,503,638 | ||||
Total Foreign Bonds (Cost $24,475,861) | 22,410,283 |
Shares | |||
EQUITY-LINKED SECURITIES — 0.9% | |||
3M Co, Issued by Royal Bank of Canada, Maturity Date 11/02/2022 144A CONV | 3,600 | 512,676 | |
Advance Auto Parts, Inc., Issued by Merrill Lynch International & Co. CV, Maturity Date 08/18/22 144AΨ††† | 5,000 | 955,050 | |
Berkshire Hathaway, Inc. Class B, Issued by Credit Suisse AG, Maturity Date 11/28/2022 144A | 500 | 143,705 | |
Berkshire Hathaway, Inc. Class B, Issued by Goldman Sachs International, Maturity Date 11/14/2022 144AΨ††† | 1,900 | 571,207 | |
Berkshire Hathaway, Inc., Issued by Citigroup Global Markets, Inc., Maturity Date 12/28/2022 144A | 8,700 | 2,360,571 | |
Berkshire Hathaway, Inc., Issued by JPMorgan Chase Bank, Maturity Date 07/19/22Ψ††† | 2,700 | 830,579 | |
Berkshire Hathaway, Inc., Issued by UBS AG, Maturity Date 07/09/22 144AΨ††† | 3,500 | 1,065,365 | |
Deere & Co., Issued by Citigroup Global Markets, Inc., Maturity Date 12/29/2022 144A | 1,100 | 327,712 | |
Freeport-McMoRan, Inc., Issued by Credit Suisse AG, Maturity Date 07/29/22 | 18,600 | 616,404 | |
Gilead Sciences, Inc., Issued by UBS A.G., Maturity Date 10/24/2022 144AΨ††† | 16,500 | 1,034,962 | |
Newmont Corporation, Isued by Royal Bank of Canada, Maturity Date11/02/2022 144A CONV | 7,100 | 476,907 | |
Rockwell Automation, Inc., Issued by Royal Bank of Canada, Maturity Date 11/09/2022 144A CONV | 1,800 | 378,828 | |
Stanley Black & Decker, Inc., Issued by Goldman Sachs International, Maturity Date 09/30/22Ψ††† | 5,500 | 585,530 |
Shares | Value | |||
Stanley Black & Decker, Inc., Issued by Merrill Lynch International & Co. CV, Maturity Date 11/02/22 144AΨ††† | 3,700 | $ 418,581 | ||
Texas Instruments, Inc., Issued by Merrill Lynch International & Co. CV, Maturity Date 11/09/22 144AΨ††† | 3,100 | 516,088 | ||
Total Equity-Linked Securities (Cost $11,495,757) | 10,794,165 | |||
MONEY MARKET FUNDS — 12.4% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ | 43,208,907 | 43,208,907 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.46%ا | 42,992,549 | 42,992,549 | ||
Northern Institutional U.S. Government Portfolio (Shares), 1.12%Ø | 70,687,890 | 70,687,890 | ||
Total Money Market Funds (Cost $156,889,346) | 156,889,346 |
Par | |||
U.S. TREASURY OBLIGATIONS — 48.4% | |||
U.S. Treasury Bills | |||
1.61%, 09/15/22Ω‡‡ | $ 1,900,000 | 1,893,682 | |
1.30%, 11/03/22Ω‡‡ | 180,000,000 | 178,764,687 | |
U.S. Treasury Notes | |||
1.50%, 09/15/22Δ | 50,000,000 | 49,983,196 | |
1.63%, 12/15/22Δ | 41,900,000 | 41,752,001 | |
0.50%, 03/15/23 | 41,900,000 | 41,250,023 | |
0.25%, 06/15/23‡‡ | 50,000,000 | 48,730,810 | |
0.13%, 09/15/23‡‡ | 50,000,000 | 48,341,797 | |
0.13%, 12/15/23 | 30,900,000 | 29,655,551 | |
0.25%, 03/15/24 | 12,800,000 | 12,223,500 | |
1.13%, 02/28/27 | 86,000,000 | 78,807,578 | |
0.75%, 01/31/28Δ | 89,000,000 | 78,403,438 | |
Total U.S. Treasury Obligations (Cost $629,588,245) | 609,806,263 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTIONS — 2.8% | ||||
Call Options — 2.8% | ||||
S&P 500®, Strike Price $465.00, Expires 11/30/26 (MSCS) | 370 | $140,059,060 | 16,036,118 | |
S&P 500®, Strike Price $465.00, Expires 11/30/27 (MSCS) | 390 | 147,629,820 | 19,921,043 | |
Total Purchased Options (Premiums paid $67,425,202) | 35,957,161 | |||
TOTAL INVESTMENTS — 104.5% (Cost $1,396,608,149) | 1,317,598,043 |
Number ofContracts | NotionalAmount | Value | |||
WRITTEN OPTIONS — (0.5)% | |||||
Put Options — (0.5)% | |||||
BlackRock, Inc., Strike Price $530.00, Expires 07/15/22 (MSCS) | (8) | $ (487,232) | $ (2,340) | ||
Chevron Corp., Strike Price $125.00, Expires 07/15/22 (MSCS) | (26) | (376,428) | (1,352) | ||
CVS Health Corp., Strike Price $85.00, Expires 07/15/22 (MSCS) | (62) | (574,492) | (1,426) | ||
FedEx Corp., Strike Price $200.00, Expires 07/15/22 (MSCS) | (28) | (634,788) | (2,520) | ||
Linde PLC, Strike Price $250.00, Expires 07/15/22 (MSCS) | (2) | (57,506) | (180) | ||
S&P 500®, Strike Price $3,670.00, Expires 07/08/22 (MSCS) | (17) | (6,435,146) | (34,663) | ||
S&P 500®, Strike Price $3,675.00, Expires 07/15/22 (MSCS) | (94) | (35,582,572) | (377,598) | ||
S&P 500®, Strike Price $3,685.00, Expires 07/08/22 (MSCS) | (9) | (3,406,842) | (21,645) | ||
S&P 500®, Strike Price $3,685.00, Expires 07/15/22 (MSCS) | (88) | (33,311,344) | (386,760) | ||
S&P 500®, Strike Price $3,685.00, Expires 07/22/22 (MSCS) | (7) | (2,649,766) | (42,805) | ||
S&P 500®, Strike Price $3,755.00, Expires 07/01/22 (MSCS) | (49) | (18,548,362) | (67,375) | ||
S&P 500®, Strike Price $3,755.00, Expires 07/08/22 (MSCS) | (42) | (15,898,596) | (193,200) | ||
S&P 500®, Strike Price $3,760.00, Expires 07/01/22 (MSCS) | (1) | (378,538) | (1,548) | ||
S&P 500®, Strike Price $3,760.00, Expires 07/08/22 (MSCS) | (1) | (378,538) | (4,805) | ||
S&P 500®, Strike Price $3,760.00, Expires 07/15/22 (MSCS) | (6) | (2,271,228) | (43,200) | ||
S&P 500®, Strike Price $3,760.00, Expires 07/22/22 (MSCS) | (4) | (1,514,152) | (35,220) | ||
S&P 500®, Strike Price $3,765.00, Expires 07/01/22 (MSCS) | (3) | (1,135,614) | (5,250) |
Number ofContracts | NotionalAmount | Value | |||
S&P 500®, Strike Price $3,765.00, Expires 07/08/22 (MSCS) | (4) | $ (1,514,152) | $ (19,880) | ||
S&P 500®, Strike Price $3,770.00, Expires 07/01/22 (MSCS) | (27) | (10,220,526) | (52,920) | ||
S&P 500®, Strike Price $3,770.00, Expires 07/08/22 (MSCS) | (17) | (6,435,146) | (88,910) | ||
S&P 500®, Strike Price $3,770.00, Expires 07/15/22 (MSCS) | (5) | (1,892,690) | (37,200) | ||
S&P 500®, Strike Price $3,770.00, Expires 07/22/22 (MSCS) | (9) | (3,406,842) | (83,025) | ||
S&P 500®, Strike Price $3,775.00, Expires 07/22/22 (MSCS) | (7) | (2,649,766) | (66,115) | ||
S&P 500®, Strike Price $3,790.00, Expires 07/01/22 (MSCS) | (86) | (32,554,268) | (256,280) | ||
S&P 500®, Strike Price $3,790.00, Expires 07/15/22 (MSCS) | (5) | (1,892,690) | (39,580) | ||
S&P 500®, Strike Price $3,805.00, Expires 07/29/22 (MSCS) | (1) | (378,538) | (12,400) | ||
S&P 500®, Strike Price $3,810.00, Expires 07/29/22 (MSCS) | (2) | (757,076) | (25,380) | ||
S&P 500®, Strike Price $3,845.00, Expires 07/08/22 (MSCS) | (1) | (378,538) | (9,350) | ||
S&P 500®, Strike Price $3,845.00, Expires 07/29/22 (MSCS) | (1) | (378,538) | (14,430) | ||
S&P 500®, Strike Price $3,870.00, Expires 07/01/22 (MSCS) | (9) | (3,406,842) | (81,720) | ||
S&P 500®, Strike Price $3,890.00, Expires 07/22/22 (MSCS) | (160) | (60,566,080) | (2,490,400) | ||
S&P 500®, Strike Price $3,890.00, Expires 07/29/22 (MSCS) | (7) | (2,649,766) | (112,588) | ||
S&P 500®, Strike Price $3,900.00, Expires 07/29/22 (MSCS) | (9) | (3,406,842) | (157,311) | ||
S&P 500®, Strike Price $3,910.00, Expires 07/08/22 (MSCS) | (96) | (36,339,648) | (1,283,424) |
Number ofContracts | NotionalAmount | Value | |||
T Rowe Price Group, Inc., Strike Price $100.00, Expires 07/15/22 (MSCS) | (2) | $(22,722) | $ (98) | ||
Truist Financial Corp., Strike Price $42.50, Expires 07/15/22 (MSCS) | (16) | (75,888) | (320) | ||
Total Written Options (Premiums received $(8,494,306)) | (6,053,218) | ||||
Liabilities in Excess of Other Assets — (4.0)% | (50,424,548) | ||||
NET ASSETS — 100.0% | $1,261,120,277 |
% | |
U.S. Treasury Obligations | 48.4 |
Corporate Bonds | 21.0 |
Money Market Funds | 12.4 |
Financials | 2.9 |
Consumer Staples | 2.9 |
Purchased Options | 2.8 |
Health Care | 2.6 |
Industrials | 1.9 |
Information Technology | 1.9 |
Foreign Bonds | 1.8 |
Utilities | 1.6 |
Energy | 1.2 |
Materials | 1.0 |
Equity-Linked Securities | 0.9 |
Communication Services | 0.7 |
Mutual Funds | 0.3 |
Real Estate | 0.1 |
Consumer Discretionary | 0.1 |
Written Options | (0.5) |
104.0 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2022 | 99 | $18,758,025 | $(549,450) | ||||
2-Year U.S. Treasury Note | 10/2022 | 302 | 63,424,719 | (179,312) | ||||
5-Year U.S. Treasury Note | 10/2022 | 155 | 17,398,750 | (54,492) | ||||
Total Futures Contracts outstanding at June 30, 2022 | $99,581,494 | $(783,254) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/30/22 | U.S. Dollars | 14,168,085 | Euro | 13,399,237 | JPM | $ 30,838 | ||||||
09/30/22 | U.S. Dollars | 990,592 | Japanese Yen | 132,895,800 | BOA | 4,364 | ||||||
09/30/22 | Japanese Yen | 4,507,125 | U.S. Dollars | 33,366 | BOA | 82 | ||||||
Subtotal Appreciation | $ 35,284 | |||||||||||
09/30/22 | U.S. Dollars | 11,874,301 | Swiss Francs | 11,359,240 | MSCS | $(107,050) | ||||||
Subtotal Depreciation | $(107,050) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2022 | $ (71,766) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 151,919,282 | $151,919,282 | $ — | $ — | |||
Corporate Bonds | 264,492,729 | — | 264,492,729 | — | |||
Equity-Linked Securities | 10,794,165 | 4,816,803 | — | 5,977,362 | |||
Foreign Bonds | 22,410,283 | — | 22,410,283 | — | |||
Foreign Common Stocks: | |||||||
Ireland | 18,087,091 | 18,087,091 | — | — | |||
Jersey | 701,052 | 701,052 | — | — | |||
Switzerland | 17,300,677 | 3,442,025 | 13,858,652 | — | |||
Other ^^ | 16,511,478 | — | 16,511,478 | — | |||
Total Foreign Common Stocks | 52,600,298 | 22,230,168 | 30,370,130 | — | |||
Foreign Preferred Stock | 1,181,920 | — | 1,181,920 | — | |||
Money Market Funds | 156,889,346 | 156,889,346 | — | — | |||
Mutual Funds | 4,189,633 | 4,189,633 | — | — | |||
Preferred Stocks | 7,356,963 | 7,356,963 | — | — | |||
Purchased Options: | |||||||
Call Options | 35,957,161 | 35,957,161 | — | — | |||
U.S. Treasury Obligations | 609,806,263 | — | 609,806,263 | — | |||
Total Assets - Investments in Securities | $1,317,598,043 | $383,359,356 | $928,261,325 | $5,977,362 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 35,284 | $ — | $ 35,284 | $ — | |||
Total Assets - Other Financial Instruments | $ 35,284 | $ — | $ 35,284 | $ — |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Options: | |||||||
Put Options | $(6,053,218) | $(6,053,218) | $ — | $ — | |||
Total Liabilities - Investments in Securities | $(6,053,218) | $(6,053,218) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (107,050) | $ — | $(107,050) | $ — | |||
Futures Contracts | (783,254) | (783,254) | — | — | |||
Total Liabilities - Other Financial Instruments | $ (890,304) | $ (783,254) | $(107,050) | $ — |
^^ | 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. |
Par | Value | |||
AGENCY OBLIGATIONS — 0.7% | ||||
United States International Development Finance Corporation | ||||
1.44%, 04/15/28 | $500,000 | $ 453,596 | ||
1.65%, 04/15/28 | 500,000 | 458,297 | ||
Total Agency Obligations (Cost $1,000,000) | 911,893 | |||
ASSET-BACKED SECURITIES — 4.4% | ||||
GoodLeap Sustainable Home Solutions Trust, Series 2022-1GS, Class B | ||||
2.94%, 01/20/49 144A | 471,255 | 421,049 | ||
Loanpal Solar Loan, Ltd., Series 2021-2GS, Class A | ||||
2.22%, 03/20/48 144A | 462,845 | 396,437 | ||
Luminace ABS-2022 Issuer LLC, Series 2022-1, Class B | ||||
5.91%, 07/31/62 144A Ψ ††† | 825,000 | 810,776 | ||
Sunnova Helios II Issuer LLC, Series 2019-AA, Class A | ||||
3.75%, 06/20/46 144A | 524,777 | 508,949 | ||
Sunnova Helios II Issuer LLC, Series 2021-A, Class A | ||||
1.80%, 02/20/48 144A | 351,380 | 307,103 | ||
Sunnova Helios II Issuer LLC, Series 2021-B, Class A | ||||
1.62%, 07/20/48 144A | 318,244 | 296,372 | ||
Sunnova Helios VII Issuer LLC, Series 2021-C, Class A | ||||
2.03%, 10/20/48 144A | 474,563 | 420,862 | ||
Sunnova Sol IV Issuer LLC, Series 2022-A, Class C | ||||
3.53%, 02/22/49 144A | 434,308 | 390,814 | ||
Sunrun Vulcan Issuer LLC, Series 2021-1A, Class A | ||||
2.46%, 01/30/52 144A | 649,398 | 565,314 | ||
Tesla Auto Lease Trust, Series 2021-A, Class D | ||||
1.34%, 03/20/25 144A | 890,000 | 833,085 | ||
Tesla Auto Lease Trust, Series 2021-B, Class D | ||||
1.32%, 09/22/25 144A | 500,000 | 461,072 | ||
Total Asset-Backed Securities (Cost $5,906,977) | 5,411,833 | |||
CORPORATE BONDS — 8.5% | ||||
Agilent Technologies, Inc. | ||||
2.30%, 03/12/31 | 250,000 | 203,928 | ||
American Water Capital Corporation | ||||
4.45%, 06/01/32 | 850,000 | 846,071 | ||
Amgen, Inc. | ||||
4.20%, 02/22/52 | 340,000 | 298,853 | ||
Avangrid, Inc. | ||||
3.15%, 12/01/24 | 850,000 | 830,909 |
Par | Value | |||
3.80%, 06/01/29 | $250,000 | $ 234,116 | ||
Baxalta, Inc. | ||||
4.00%, 06/23/25 | 500,000 | 497,610 | ||
Becton, Dickinson and Co. | ||||
3.73%, 12/15/24 | 274,000 | 272,973 | ||
1.96%, 02/11/31 | 165,000 | 133,361 | ||
4.69%, 12/15/44 | 150,000 | 138,888 | ||
BlueHub Loan Fund, Inc. | ||||
3.10%, 01/01/30 | 625,000 | 568,275 | ||
Bridge Housing Corporation | ||||
3.25%, 07/15/30 | 300,000 | 265,515 | ||
DH Europe Finance II S.a.r.l. | ||||
2.60%, 11/15/29 | 300,000 | 269,278 | ||
Essential Utilities, Inc. | ||||
5.30%, 05/01/52 | 250,000 | 254,270 | ||
Gilead Sciences, Inc. | ||||
3.65%, 03/01/26 | 392,000 | 385,619 | ||
5.65%, 12/01/41 | 238,000 | 254,354 | ||
Low Income Investment Fund | ||||
3.39%, 07/01/26 | 600,000 | 587,984 | ||
Mary Free Bed Rehabilitation Hospital | ||||
3.79%, 04/01/51 | 300,000 | 249,020 | ||
National Community Renaissance of California | ||||
3.27%, 12/01/32 | 600,000 | 503,733 | ||
NextEra Energy Capital Holdings, Inc. | ||||
3.55%, 05/01/27 | 500,000 | 483,167 | ||
1.90%, 06/15/28 | 475,000 | 413,487 | ||
2.44%, 01/15/32 | 580,000 | 483,580 | ||
5.00%, 07/15/32 | 475,000 | 487,077 | ||
PerkinElmer, Inc. | ||||
2.25%, 09/15/31 | 175,000 | 138,478 | ||
Preservation Of Affordable Housing, Inc. | ||||
4.48%, 12/01/32 | 470,000 | 457,545 | ||
Providence College | ||||
3.19%, 11/01/50 | 600,000 | 461,335 | ||
Reinvestment Fund, Inc. (The) | ||||
3.93%, 02/15/28 | 500,000 | 484,287 | ||
Verizon Communications, Inc. | ||||
3.88%, 02/08/29 | 300,000 | 290,530 | ||
Total Corporate Bonds (Cost $11,728,718) | 10,494,243 | |||
FOREIGN BONDS — 1.1% | ||||
Chile — 0.3% | ||||
Empresa de Transporte de Pasajeros Metro SA | ||||
3.65%, 05/07/30 | 400,000 | 360,567 | ||
United Kingdom — 0.8% | ||||
Reckitt Benckiser Treasury Services PLC | ||||
3.00%, 06/26/27 144A | 650,000 | 615,328 |
Par | Value | |||
Vodafone Group PLC | ||||
5.25%, 05/30/48 | $ 400,000 | $ 381,490 | ||
996,818 | ||||
Total Foreign Bonds (Cost $1,575,511) | 1,357,385 | |||
LOAN AGREEMENTS — 0.1% | ||||
Ciello Supermarket, Inc. STRIP, SBA Loan | ||||
0.23%, 09/15/31Ψ IO ††† | 1,785,196 | 9,788 | ||
Georgia Act and Healthcare Services, Inc. STRIP, SBA Loan | ||||
1.28%, 03/15/46Ψ IO ††† | 281,380 | 11,694 | ||
Ideal Therapy Rehabilitative Services II LLC STRIP, SBA Loan | ||||
0.48%, 01/15/46Ψ IO ††† | 476,658 | 7,429 | ||
JILS Corporation STRIP, SBA Loan | ||||
1.23%, 08/15/31Ψ IO ††† | 335,325 | 10,268 | ||
MBT Industries LLC STRIP, SBA Loan | ||||
0.53%, 08/15/31Ψ IO ††† | 492,369 | 6,221 | ||
MCJT Phamaceutical Care, Inc. STRIP, SBA Loan | ||||
1.28%, 08/15/46Ψ IO ††† | 358,611 | 14,904 | ||
N&K Market, Inc. STRIP, SBA Loan | ||||
0.73%, 02/15/31Ψ IO ††† | 284,040 | 4,987 | ||
Southwest Technologies, Inc. STRIP, SBA Loan | ||||
1.23%, 06/15/31Ψ IO ††† | 417,762 | 12,792 | ||
Total Loan Agreements (Cost $110,075) | 78,083 | |||
MORTGAGE-BACKED SECURITIES — 14.4% | ||||
BX Commercial Mortgage Trust, Series 2022-AHP, Class C | ||||
(Floating, CME Term SOFR 1M + 2.09%, 2.09% Floor), 3.37%, 01/17/39 144A † | 685,000 | 659,015 | ||
Federal Home Loan Mortgage Corporation | ||||
2.00%, 02/01/51 | 356,913 | 311,287 | ||
2.00%, 03/01/51 | 809,222 | 705,774 | ||
3.00%, 02/01/52 | 687,753 | 642,269 | ||
3.50%, 03/01/52 | 1,567,358 | 1,510,646 | ||
4.00%, 06/01/52 | 527,840 | 522,104 | ||
Federal National Mortgage Association | ||||
1.59%, 03/01/31 | 500,000 | 426,770 | ||
1.61%, 03/01/31 | 487,174 | 425,328 | ||
1.62%, 03/01/31 | 500,000 | 419,491 | ||
2.03%, 04/01/31 | 250,000 | 219,073 | ||
2.59%, 03/01/32 | 547,733 | 509,459 | ||
1.65%, 03/01/33 | 500,000 | 423,574 | ||
2.01%, 03/01/33 | 100,000 | 87,432 | ||
2.00%, 03/01/51 | 1,971,339 | 1,719,333 | ||
3.00%, 02/01/52 | 2,142,092 | 1,999,756 | ||
3.50%, 03/01/52 | 1,519,036 | 1,464,076 | ||
3.50%, 04/01/52 | 772,054 | 744,120 |
Par | Value | |||
4.00%, 06/01/52 | $1,444,982 | $ 1,429,280 | ||
4.50%, 07/01/52 | 315,000 | 317,215 | ||
FRESB Mortgage Trust, Series 2021-SB87, Class A5H | ||||
0.78%, 04/25/41 | 526,197 | 486,415 | ||
Small Business Administration | ||||
(Floating, Prime Rate U.S. + 1.07%), 4.57%, 06/25/30† | 69,193 | 75,204 | ||
(Floating, Prime Rate U.S. + 0.92%), 4.42%, 12/25/30† | 154,464 | 171,815 | ||
(Floating, Prime Rate U.S. + 2.33%), 5.83%, 01/25/31† | 119,816 | 136,568 | ||
(Floating, Prime Rate U.S. + 1.03%), 4.53%, 02/25/31† | 205,202 | 227,631 | ||
(Floating, Prime Rate U.S. + 0.33%), 3.83%, 07/25/31† | 334,243 | 361,215 | ||
(Floating, Prime Rate U.S. + 0.85%), 4.35%, 08/25/31† | 294,626 | 330,688 | ||
(Floating, Prime Rate U.S. - 0.37%), 3.13%, 12/25/45† | 222,838 | 247,000 | ||
(Floating, Prime Rate U.S. + 0.54%), 4.04%, 12/25/45† | 224,769 | 259,295 | ||
(Floating, Prime Rate U.S. + 0.12%), 3.62%, 01/25/46† | 180,274 | 205,459 | ||
(Floating, Prime Rate U.S. + 0.33%), 3.83%, 04/25/46† | 241,154 | 260,500 | ||
(Floating, Prime Rate U.S. + 0.38%), 3.88%, 08/25/46† | 474,935 | 550,863 | ||
Total Mortgage-Backed Securities (Cost $19,381,941) | 17,848,655 | |||
MUNICIPAL BONDS — 9.6% | ||||
Arlington Higher Education Finance Corporation, Revenue Bond (PSF-Gtd.) | ||||
0.50%, 08/15/23 | 410,000 | 404,052 | ||
California Municipal Finance Authority, Revenue Bond | ||||
4.57%, 10/01/52 | 500,000 | 460,212 | ||
California State Health Facilities Financing Authority, Revenue Bond | ||||
1.98%, 06/01/30 | 600,000 | 512,982 | ||
Carroll County Water Authority, Revenue Bond, Series B | ||||
1.96%, 07/01/29 | 150,000 | 133,480 | ||
City & County of San Francisco, General Obligation, Series A | ||||
1.78%, 06/15/29 | 600,000 | 522,822 | ||
City of Deltona Utility System, Revenue Bond (BAM Insured) | ||||
1.54%, 10/01/29 | 250,000 | 211,806 | ||
City of Phoenix Civic Improvement Corporation, Junior Lien Revenue Bond, Series C | ||||
1.84%, 07/01/29 | 640,000 | 559,372 | ||
City of Tacoma Washington Electric System Revenue, Revenue Bond | ||||
5.64%, 01/01/27 | 600,000 | 645,194 |
Par | Value | |||
Connecticut Green Bank, Revenue Bond | ||||
2.15%, 11/15/29 | $207,000 | $184,116 | ||
Connecticut Housing Finance Authority, Revenue Bond, Series 29 | ||||
1.20%, 06/15/25 | 400,000 | 375,331 | ||
Cucamonga Valley Water District Financing Authority, Revenue Bond, Series B | ||||
3.86%, 09/01/30 | 140,000 | 140,506 | ||
Denver City & County Housing Authority, Revenue Bond (HUD Sector 8 Program) | ||||
0.84%, 08/01/24 | 500,000 | 473,746 | ||
District of Columbia Housing Finance Agency, Revenue Bond, Series A-2 (FHA Insured) | ||||
1.90%, 03/01/29 | 140,000 | 123,197 | ||
2.05%, 03/01/30 | 420,000 | 367,574 | ||
Lancaster Power Authority, Revenue Bond (AGM Insured) | ||||
2.56%, 11/01/33 | 275,000 | 231,714 | ||
2.68%, 11/01/34 | 275,000 | 230,363 | ||
Metropolitan Water District of Salt Lake & Sandy, Revenue Bond, Series B | ||||
1.52%, 07/01/28 | 200,000 | 179,105 | ||
Monterey Regional Waste Management Authority, Revenue Bond | ||||
2.31%, 04/01/32 | 700,000 | 611,198 | ||
Narragansett Bay Commission, Revenue Bond | ||||
2.09%, 09/01/30 | 500,000 | 433,814 | ||
New York City Housing Development Corporation, Revenue Bond, Series B | ||||
0.82%, 05/01/25 | 150,000 | 138,629 | ||
0.92%, 11/01/25 | 200,000 | 183,023 | ||
1.02%, 05/01/26 | 250,000 | 225,834 | ||
New York State Housing Finance Agency, Revenue Bond (SonyMA Insured) | ||||
1.13%, 11/01/25 | 165,000 | 153,302 | ||
Newark Higher Education Finance Corporation, Revenue Bond, Series A | ||||
4.62%, 04/01/50 | 600,000 | 548,625 | ||
North Carolina Capital Facilities Finance Agency, Revenue Bond, Series B | ||||
1.05%, 10/01/23 | 150,000 | 144,792 | ||
1.43%, 10/01/24 | 100,000 | 94,030 | ||
Redevelopment Authority of the City of Philadelphia, Revenue Bond, Series A | ||||
1.93%, 09/01/27 | 500,000 | 450,807 | ||
Regional Transportation District Sales Tax, Revenue Bond, Series A | ||||
0.70%, 11/01/25 | 600,000 | 547,567 |
Par | Value | |||
Riverside Community College District, General Obligation | ||||
0.82%, 08/01/25 | $ 195,000 | $ 179,577 | ||
Romulus Community Schools, General Obligation, Series B (Q-SBLF Insured) | ||||
1.00%, 05/01/25 | 200,000 | 186,493 | ||
Rowland Water District, Revenue Bond, Series A | ||||
2.56%, 12/01/36 | 590,000 | 472,646 | ||
San Antonio Education Facilities Corporation, Revenue Bond | ||||
1.74%, 04/01/25 | 250,000 | 232,833 | ||
San Diego Public Facilities Financing Authority, Revenue Bond, Series A | ||||
2.13%, 08/01/29 | 290,000 | 255,841 | ||
Santa Clara Valley Water District COPS, Series D | ||||
1.78%, 06/01/31 | 440,000 | 368,338 | ||
Somerset County Improvement Authority, Revenue Bond (County Gtd.) | ||||
0.97%, 04/15/25 | 530,000 | 493,024 | ||
Tift County Hospital Authority, Revenue Bond (County Gtd.) | ||||
1.05%, 12/01/25 | 325,000 | 301,946 | ||
United Independent School District, General Obligation (PSF-Gtd.) | ||||
5.00%, 08/15/25 | 160,000 | 167,446 | ||
Total Municipal Bonds (Cost $13,375,082) | 11,945,337 | |||
PRIVATE INVESTMENT — 0.8% | ||||
Calvert Impact Capital, Inc. (Cost $1,000,000) | 1,000,000 | 1,000,000 |
Shares | |||
COMMON STOCKS — 24.0% | |||
Consumer Discretionary — 1.0% | |||
Home Depot, Inc. (The) | 2,459 | 674,430 | |
NIKE, Inc. Class B | 5,048 | 515,906 | |
1,190,336 | |||
Consumer Staples — 0.2% | |||
McCormick & Co., Inc. (Non-Voting Shares) | 3,606 | 300,199 | |
Financials — 3.4% | |||
Marsh & McLennan Cos., Inc. | 10,031 | 1,557,313 | |
Progressive Corporation (The) | 12,064 | 1,402,681 | |
Walker & Dunlop, Inc. | 12,718 | 1,225,252 | |
4,185,246 | |||
Health Care — 2.0% | |||
Encompass Health Corporation | 21,000 | 1,177,050 | |
Humana, Inc. | 2,736 | 1,280,640 | |
2,457,690 | |||
Industrials — 3.4% | |||
Advanced Drainage Systems, Inc. | 5,925 | 533,665 |
Shares | Value | |||
Evoqua Water Technologies CorporationΔ * | 38,985 | $ 1,267,402 | ||
Westinghouse Air Brake Technologies Corporation | 18,412 | 1,511,257 | ||
Xylem, Inc. | 11,432 | 893,754 | ||
4,206,078 | ||||
Information Technology — 12.0% | ||||
Adobe, Inc.* | 2,154 | 788,493 | ||
Autodesk, Inc.* | 8,063 | 1,386,514 | ||
Avalara, Inc.* | 11,167 | 788,390 | ||
Bill.com Holdings, Inc.* | 3,134 | 344,552 | ||
Cadence Design Systems, Inc.* | 6,491 | 973,845 | ||
IPG Photonics Corporation* | 7,740 | 728,566 | ||
Lam Research Corporation | 2,622 | 1,117,365 | ||
Mastercard, Inc. Class A | 3,669 | 1,157,496 | ||
Microchip Technology, Inc. | 16,717 | 970,924 | ||
Microsoft Corporation | 13,278 | 3,410,189 | ||
NVIDIA Corporation | 9,965 | 1,510,594 | ||
Texas Instruments, Inc. | 6,425 | 987,201 | ||
Zendesk, Inc.* | 9,244 | 684,703 | ||
14,848,832 | ||||
Real Estate — 2.0% | ||||
Crown Castle International Corporation REIT | 5,377 | 905,379 | ||
Equinix, Inc. REIT | 1,355 | 890,262 | ||
Prologis, Inc. REIT | 6,332 | 744,960 | ||
2,540,601 | ||||
Total Common Stocks (Cost $32,925,153) | 29,728,982 | |||
FOREIGN COMMON STOCKS — 29.4% | ||||
Australia — 0.6% | ||||
AGL Energy, Ltd. | 2,594 | 14,828 | ||
Bendigo and Adelaide Bank, Ltd. | 1,405 | 8,819 | ||
BHP Group, Ltd. | 4,371 | 125,157 | ||
BlueScope Steel, Ltd. | 839 | 9,245 | ||
Dexus REIT | 3,894 | 23,946 | ||
Fortescue Metals Group, Ltd. | 4,950 | 59,523 | ||
GPT Group (The) REIT (Athens Exchange) | 8,037 | 23,490 | ||
Harvey Norman Holdings, Ltd. | 3,371 | 8,644 | ||
Incitec Pivot, Ltd. | 6,531 | 15,030 | ||
Mirvac Group REIT | 8,787 | 12,011 | ||
Nanosonics, Ltd.* | 64,558 | 149,611 | ||
Newcrest Mining, Ltd. | 1,986 | 28,293 | ||
Northern Star Resources, Ltd. | 2,958 | 13,875 | ||
Rio Tinto, Ltd. | 995 | 70,982 | ||
Santos, Ltd. | 5,641 | 28,601 | ||
Scentre Group REIT | 19,252 | 34,568 | ||
South32, Ltd. | 13,627 | 36,925 | ||
Stockland REIT | 4,932 | 12,314 | ||
Vicinity Centres REIT | 15,262 | 19,388 | ||
Worley, Ltd. | 1,105 | 10,895 | ||
706,145 | ||||
Austria — 0.0% | ||||
EVN AG | 413 | 8,796 |
Shares | Value | |||
Strabag SE | 233 | $ 9,901 | ||
18,697 | ||||
Belgium — 0.0% | ||||
Ageas SA/NV | 630 | 27,778 | ||
Etablissements Franz Colruyt NV | 323 | 8,784 | ||
Groupe Bruxelles Lambert SA | 310 | 25,987 | ||
62,549 | ||||
Canada — 4.0% | ||||
Algonquin Power & Utilities CorporationΔ | 1,092 | 14,676 | ||
AltaGas, Ltd. | 582 | 12,280 | ||
Barrick Gold Corporation | 5,116 | 90,460 | ||
Boralex, Inc. Class AΔ | 38,793 | 1,292,296 | ||
CGI, Inc.* | 581 | 46,283 | ||
Emera, Inc. | 704 | 32,979 | ||
Empire Co., Ltd. | 399 | 12,291 | ||
Fortis, Inc. | 1,196 | 56,539 | ||
Hydro One, Ltd. 144A | 1,047 | 28,152 | ||
iA Financial Corporation, Inc. | 255 | 12,683 | ||
Innergex Renewable Energy, Inc. | 74,993 | 1,007,908 | ||
Intact Financial Corporation | 13,078 | 1,844,656 | ||
Kinross Gold Corporation | 2,301 | 8,187 | ||
Lightspeed Commerce, Inc.* | 447 | 9,967 | ||
Loblaw Cos., Ltd. | 574 | 51,768 | ||
Lundin Mining Corporation | 1,752 | 11,107 | ||
Magna International, Inc. | 765 | 42,006 | ||
Manulife Financial Corporation | 5,565 | 96,497 | ||
Metro, Inc. | 793 | 42,564 | ||
Pan American Silver Corporation | 461 | 9,057 | ||
Power Corporation of Canada | 1,746 | 44,925 | ||
RioCan REIT | 651 | 10,125 | ||
Teck Resources, Ltd. Class B | 1,302 | 39,813 | ||
Tourmaline Oil Corporation | 978 | 50,853 | ||
West Fraser Timber Co., Ltd. | 228 | 17,495 | ||
WSP Global, Inc. | 215 | 24,309 | ||
4,909,876 | ||||
Denmark — 0.2% | ||||
AP Moeller - Maersk A/S Class A | 15 | 34,814 | ||
AP Moeller - Maersk A/S Class B | 20 | 46,952 | ||
Coloplast A/S Class B | 465 | 53,131 | ||
Danske Bank A/S | 3,405 | 48,462 | ||
ROCKWOOL International A/S, B Shares | 51 | 11,579 | ||
194,938 | ||||
Finland — 0.2% | ||||
Kesko OYJ, B Shares | 855 | 20,234 | ||
Kojamo OYJ | 524 | 9,100 | ||
Neste OYJ | 1,200 | 53,377 | ||
Nokia OYJ | 14,151 | 65,591 | ||
Orion OYJ Class B | 386 | 17,275 | ||
Stora Enso OYJ, R Shares | 2,038 | 32,292 | ||
UPM-Kymmene OYJ | 1,440 | 44,155 | ||
242,024 |
Shares | Value | |||
France — 2.6% | ||||
Alstom SAΔ | 661 | $ 15,094 | ||
AXA SA | 1,176 | 26,862 | ||
BNP Paribas SA | 3,280 | 156,889 | ||
Bouygues SA | 416 | 12,839 | ||
Cie de St-Gobain | 1,473 | 63,647 | ||
Cie Generale des Etablissements Michelin SCA | 1,784 | 48,723 | ||
Credit Agricole SA | 3,502 | 32,285 | ||
Electricite de France SA | 1,524 | 12,518 | ||
Engie SA | 5,894 | 68,246 | ||
Legrand SA | 10,358 | 769,066 | ||
Orange SA | 4,646 | 54,747 | ||
Sanofi | 3,051 | 307,681 | ||
Schneider Electric SE | 10,608 | 1,264,002 | ||
Societe Generale SA | 2,116 | 46,784 | ||
TotalEnergies SEΔ | 5,480 | 288,451 | ||
Vivendi SE | 2,851 | 29,094 | ||
3,196,928 | ||||
Germany — 1.4% | ||||
adidas AG | 3,409 | 605,544 | ||
Allianz SE | 70 | 13,420 | ||
Aroundtown SAΔ | 2,455 | 7,852 | ||
Bayerische Motoren Werke AG | 915 | 70,931 | ||
Covestro AG 144A | 455 | 15,811 | ||
Deutsche Bank AG | 5,315 | 46,707 | ||
Evonik Industries AG | 617 | 13,232 | ||
Fresenius SE & Co. KGaA | 1,260 | 38,319 | ||
HeidelbergCement AG | 427 | 20,616 | ||
Knorr-Bremse AG | 10,796 | 618,340 | ||
Mercedes-Benz Group AG | 2,478 | 143,918 | ||
Volkswagen AG | 88 | 16,094 | ||
Vonovia SE | 2,192 | 67,821 | ||
1,678,605 | ||||
Hong Kong — 1.6% | ||||
AIA Group, Ltd. | 123,800 | 1,352,709 | ||
CK Asset Holdings, Ltd. | 5,500 | 39,079 | ||
CK Hutchison Holdings, Ltd. | 8,500 | 57,664 | ||
ENN Energy Holdings, Ltd. | 1,800 | 29,752 | ||
Fosun International, Ltd. | 10,500 | 9,700 | ||
Hang Lung Properties, Ltd. | 6,000 | 11,417 | ||
Henderson Land Development Co., Ltd. | 3,000 | 11,275 | ||
Linklogis, Inc. Class B 144A * | 307,887 | 305,776 | ||
New World Development Co., Ltd. | 3,000 | 10,806 | ||
Power Assets Holdings, Ltd. | 3,500 | 22,050 | ||
Sino Land Co., Ltd. | 8,000 | 11,814 | ||
Sun Hung Kai Properties, Ltd. (Hong Kong Exchange) | 5,000 | 59,200 | ||
Swire Pacific, Ltd. Class A | 2,000 | 11,945 | ||
Swire Properties, Ltd. | 5,000 | 12,448 | ||
Wharf Holdings, Ltd. (The) | 3,000 | 10,932 | ||
Wharf Real Estate Investment Co., Ltd. | 4,000 | 19,101 | ||
1,975,668 |
Shares | Value | |||
Ireland — 2.5% | ||||
Aon PLC Class A | 7,074 | $1,907,716 | ||
ICON PLC* | 5,392 | 1,168,447 | ||
3,076,163 | ||||
Israel — 0.1% | ||||
Amot Investments, Ltd. | 1,557 | 9,410 | ||
Azrieli Group, Ltd. | 145 | 10,208 | ||
Bank Hapoalim BM | 3,580 | 30,062 | ||
Bank Leumi Le-Israel BM | 5,105 | 45,670 | ||
Israel Discount Bank, Ltd. Class A | 2,446 | 12,808 | ||
Mivne Real Estate KD, Ltd. | 3,200 | 9,359 | ||
Nova, Ltd.* | 104 | 9,114 | ||
Plus500, Ltd. | 523 | 10,659 | ||
Teva Pharmaceutical Industries, Ltd. ADR* | 3,279 | 24,658 | ||
161,948 | ||||
Italy — 0.1% | ||||
Assicurazioni Generali SpA | 3,549 | 56,688 | ||
Mediobanca Banca di Credito Finanziario SpA | 2,220 | 19,253 | ||
Telecom Italia SpAΔ * | 34,892 | 9,149 | ||
UniCredit SpA | 6,067 | 57,978 | ||
143,068 | ||||
Japan — 6.3% | ||||
AGC, Inc. | 500 | 17,569 | ||
AirWater, Inc. | 800 | 10,081 | ||
Aisin Corporation | 300 | 9,285 | ||
Alfresa Holdings Corporation | 800 | 10,756 | ||
Asahi Kasei Corporation | 5,000 | 38,037 | ||
Bridgestone Corporation | 1,900 | 69,273 | ||
Brother Industries, Ltd. | 600 | 10,557 | ||
Canon, Inc. | 900 | 20,395 | ||
Chiba Bank, Ltd. (The) | 2,200 | 12,042 | ||
Chubu Electric Power Co., Inc. | 2,200 | 22,153 | ||
Dai Nippon Printing Co., Ltd. | 800 | 17,208 | ||
Daiwa House Industry Co., Ltd. | 1,600 | 37,419 | ||
Denso Corporation | 1,600 | 84,452 | ||
Electric Power Development Co., Ltd. | 600 | 9,920 | ||
ENEOS Holdings, Inc. | 9,000 | 33,865 | ||
Ezaki Glico Co., Ltd. | 1,400 | 40,558 | ||
FUJIFILM Holdings Corporation | 1,100 | 59,105 | ||
Fujitsu, Ltd. | 600 | 75,077 | ||
Fukuoka Financial Group, Inc. | 700 | 12,607 | ||
Haseko Corporation | 900 | 10,570 | ||
Hitachi, Ltd. | 2,800 | 133,196 | ||
Honda Motor Co., Ltd. | 5,500 | 132,611 | ||
House Foods Group, Inc. | 1,900 | 39,650 | ||
Idemitsu Kosan Co., Ltd. | 800 | 19,111 | ||
Inpex Corporation | 3,000 | 32,161 | ||
Isuzu Motors, Ltd. | 1,600 | 17,698 | ||
ITOCHU Corporation | 4,200 | 113,307 | ||
Japan Post Bank Co., Ltd. | 1,400 | 10,900 | ||
Japan Post Holdings Co., Ltd. | 5,000 | 35,775 | ||
Japan Post Insurance Co., Ltd. | 700 | 11,203 |
Shares | Value | |||
JFE Holdings, Inc. | 1,400 | $ 14,728 | ||
Kajima Corporation | 1,200 | 13,760 | ||
Kansai Electric Power Co., Inc. (The) | 3,000 | 29,696 | ||
Kawasaki Heavy Industries, Ltd. | 500 | 9,384 | ||
Kuraray Co., Ltd. | 1,300 | 10,488 | ||
Kyocera Corporation | 1,100 | 58,802 | ||
Kyushu Electric Power Co., Inc. | 1,700 | 10,930 | ||
Marubeni Corporation | 5,000 | 44,858 | ||
MatsukiyoCocokara & Co. | 300 | 12,132 | ||
Mazda Motor Corporation | 1,900 | 15,509 | ||
Medipal Holdings Corporation | 800 | 11,285 | ||
Mitsubishi Chemical Holdings Corporation | 3,900 | 21,191 | ||
Mitsubishi Corporation | 4,500 | 134,015 | ||
Mitsubishi Electric Corporation | 5,700 | 61,270 | ||
Mitsubishi Gas Chemical Co., Inc. | 600 | 8,680 | ||
Mitsubishi HC Capital, Inc. | 2,400 | 11,077 | ||
Mitsubishi Heavy Industries, Ltd. | 1,100 | 38,447 | ||
Mitsui & Co., Ltd. | 5,000 | 109,873 | ||
Mitsui Chemicals, Inc. | 500 | 10,665 | ||
Mitsui OSK Lines, Ltd. | 1,200 | 27,605 | ||
Mizuho Financial Group, Inc. | 6,300 | 71,725 | ||
Murata Manufacturing Co., Ltd. | 15,700 | 854,509 | ||
NEC Corporation | 700 | 27,312 | ||
NGK Insulators, Ltd. | 800 | 10,778 | ||
NGK Spark Plug Co., Ltd. | 500 | 9,070 | ||
NH Foods, Ltd. | 1,400 | 43,853 | ||
Nidec Corporation | 9,600 | 594,882 | ||
Nikon Corporation | 1,300 | 14,991 | ||
Nintendo Co., Ltd. | 2,900 | 1,247,164 | ||
NIPPON EXPRESS HOLDINGS, INC. | 200 | 10,895 | ||
Nippon Steel Corporation | 3,000 | 41,985 | ||
Nippon Telegraph & Telephone Corporation | 3,400 | 97,693 | ||
Nippon Yusen KK | 300 | 20,569 | ||
Nissan Motor Co., Ltd. | 6,800 | 26,633 | ||
Nomura Real Estate Holdings, Inc. | 400 | 9,786 | ||
Obayashi Corporation | 1,800 | 13,092 | ||
Oji Holdings Corporation | 2,800 | 12,131 | ||
ORIX Corporation | 3,800 | 63,687 | ||
Osaka Gas Co., Ltd. | 1,200 | 22,998 | ||
Otsuka Holdings Co., Ltd. | 1,800 | 64,254 | ||
Panasonic Corporation | 6,700 | 54,097 | ||
Resona Holdings, Inc. | 6,500 | 24,313 | ||
Ricoh Co., Ltd. | 1,800 | 14,053 | ||
Rohm Co., Ltd. | 300 | 21,030 | ||
Seiko Epson Corporation | 1,000 | 14,147 | ||
Sekisui Chemical Co., Ltd. | 1,000 | 13,710 | ||
Sekisui House, Ltd. | 1,600 | 28,089 | ||
Shimadzu Corporation | 31,800 | 1,007,917 | ||
Shimano, Inc. | 5,100 | 859,130 | ||
SoftBank Group Corporation | 3,800 | 147,282 | ||
Sojitz Corporation | 700 | 9,922 | ||
Subaru Corporation | 1,600 | 28,302 | ||
Sumitomo Corporation | 4,300 | 58,452 |
Shares | Value | |||
Sumitomo Dainippon Pharma Co., Ltd. | 1,200 | $ 9,638 | ||
Sumitomo Electric Industries, Ltd. | 2,200 | 24,311 | ||
Sumitomo Mitsui Financial Group, Inc. | 3,900 | 115,928 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 900 | 27,815 | ||
Taisei Corporation | 400 | 12,472 | ||
Taisho Pharmaceutical Holdings Co., Ltd. | 300 | 11,858 | ||
Taiyo Yuden Co., Ltd. | 400 | 13,631 | ||
Tokyo Gas Co., Ltd. | 1,200 | 24,869 | ||
Tokyo Tatemono Co., Ltd. | 800 | 11,037 | ||
Tokyu Fudosan Holdings Corporation | 2,100 | 11,051 | ||
TOPPAN, Inc. | 1,000 | 16,684 | ||
Toray Industries, Inc. | 5,900 | 33,210 | ||
Tosoh Corporation | 800 | 9,951 | ||
Toyo Suisan Kaisha, Ltd. | 800 | 31,235 | ||
Toyota Industries Corporation | 600 | 37,204 | ||
Toyota Motor Corporation | 1,500 | 23,144 | ||
Toyota Tsusho Corporation | 600 | 19,562 | ||
Tsumura & Co. | 400 | 8,997 | ||
Yamada Holdings Co., Ltd. | 3,000 | 10,788 | ||
Yamaha Motor Co., Ltd. | 1,100 | 20,199 | ||
7,812,971 | ||||
Jersey — 0.8% | ||||
Aptiv PLC* | 11,369 | 1,012,637 | ||
Netherlands — 2.0% | ||||
ASM International NV | 113 | 28,115 | ||
ASML Holding NV | 2,339 | 1,105,032 | ||
ING Groep NV | 9,869 | 97,226 | ||
JDE Peet's NV | 1,094 | 31,149 | ||
Just Eat Takeaway.com NV 144A * | 506 | 7,951 | ||
Koninklijke Ahold Delhaize NV | 2,823 | 73,480 | ||
Koninklijke Philips NV | 2,212 | 47,444 | ||
NN Group NV | 968 | 43,844 | ||
Stellantis NV | 6,781 | 84,184 | ||
Wolters Kluwer NV | 9,965 | 965,788 | ||
2,484,213 | ||||
New Zealand — 0.0% | ||||
Auckland International Airport, Ltd.* | 2,641 | 11,831 | ||
Contact Energy, Ltd. | 2,296 | 10,424 | ||
Fletcher Building, Ltd. | 2,796 | 8,778 | ||
Mercury NZ, Ltd. | 2,733 | 9,623 | ||
Meridian Energy, Ltd. | 3,464 | 10,108 | ||
50,764 | ||||
Norway — 0.1% | ||||
Austevoll Seafood ASA | 1,410 | 16,630 | ||
Norsk Hydro ASA | 2,796 | 15,801 | ||
Orkla ASA | 6,455 | 51,709 | ||
Yara International ASA | 518 | 21,705 | ||
105,845 | ||||
Portugal — 0.0% | ||||
EDP - Energias de Portugal SA | 8,366 | 38,988 |
Shares | Value | |||
Singapore — 0.1% | ||||
Capitaland Investment, Ltd. | 4,000 | $ 11,009 | ||
Flex, Ltd.* | 1,182 | 17,104 | ||
Hongkong Land Holdings, Ltd. | 2,200 | 11,049 | ||
Wilmar International, Ltd. | 21,400 | 62,286 | ||
101,448 | ||||
Spain — 0.3% | ||||
Banco Bilbao Vizcaya Argentaria SA | 18,482 | 83,956 | ||
Banco Santander SA | 47,025 | 133,053 | ||
CaixaBank SA | 12,888 | 45,134 | ||
EDP Renovaveis SA | 730 | 17,245 | ||
Repsol SAΔ | 3,878 | 57,170 | ||
336,558 | ||||
Sweden — 0.3% | ||||
Boliden AB | 833 | 26,640 | ||
Castellum AB | 1,068 | 13,768 | ||
Fabege AB | 900 | 8,530 | ||
Fastighets AB Balder, B Shares* | 2,585 | 12,384 | ||
Holmen AB, B Shares | 474 | 19,308 | ||
Husqvarna AB, B Shares | 1,156 | 8,521 | ||
Industrivarden AB, A Shares | 474 | 10,716 | ||
Industrivarden AB, C Shares | 480 | 10,730 | ||
Investor AB, A Shares | 1,443 | 25,989 | ||
Investor AB, B Shares | 5,175 | 85,345 | ||
Kinnevik AB, B Shares* | 568 | 9,194 | ||
L E Lundbergforetagen AB, B Shares | 237 | 9,664 | ||
Samhallsbyggnadsbolaget i Norden AB | 3,615 | 6,042 | ||
Securitas AB, B Shares | 986 | 8,525 | ||
Skanska AB, B Shares | 1,128 | 17,355 | ||
SKF AB, B Shares | 1,050 | 15,578 | ||
SSAB AB, A Shares | 1,775 | 7,789 | ||
SSAB AB, B Shares | 2,573 | 10,691 | ||
Svenska Cellulosa AB SCA, B Shares | 1,662 | 24,972 | ||
Swedbank AB, A Shares | 2,815 | 35,701 | ||
Trelleborg AB, B Shares | 758 | 15,336 | ||
382,778 | ||||
Switzerland — 1.7% | ||||
Alcon, Inc. | 1,317 | 92,350 | ||
Credit Suisse Group AG | 6,059 | 34,584 | ||
Holcim, Ltd. (Swiss Exchange)* | 1,358 | 58,244 | ||
Novartis AG | 3,858 | 327,084 | ||
Swatch Group AG (The) | 75 | 17,816 | ||
Swatch Group AG (The) | 227 | 10,128 | ||
Swisscom AG | 50 | 27,656 | ||
TE Connectivity, Ltd. | 12,568 | 1,422,069 | ||
UBS Group AG | 10,789 | 174,423 | ||
2,164,354 | ||||
Taiwan — 1.2% | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 17,840 | 1,458,420 |
Shares | Value | |||
United Kingdom — 3.3% | ||||
3i Group PLC | 3,326 | $ 45,080 | ||
abrdn PLC | 8,459 | 16,512 | ||
Anglo American PLC | 4,038 | 144,353 | ||
Associated British Foods PLC | 2,761 | 53,275 | ||
Atlassian Corporation PLC Class A* | 4,463 | 836,366 | ||
AVEVA Group PLC | 551 | 15,126 | ||
Aviva PLC | 6,330 | 31,006 | ||
Barclays PLC | 49,882 | 93,277 | ||
Barratt Developments PLC | 3,455 | 19,326 | ||
Berkeley Group Holdings PLC* | 503 | 22,869 | ||
BT Group PLCΔ | 27,563 | 62,644 | ||
DS Smith PLC | 203,543 | 689,364 | ||
HSBC Holdings PLC | 27,947 | 182,564 | ||
J Sainsbury PLC | 9,038 | 22,493 | ||
Johnson Matthey PLC | 843 | 19,879 | ||
Kingfisher PLC | 10,381 | 31,024 | ||
Land Securities Group PLC REIT | 4,322 | 35,073 | ||
Lloyds Banking Group PLC | 234,903 | 120,859 | ||
Melrose Industries PLC | 17,942 | 32,910 | ||
Natwest Group PLC | 22,374 | 59,554 | ||
Pearson PLC | 2,529 | 23,159 | ||
Persimmon PLC | 1,338 | 30,442 | ||
Rio Tinto PLC | 3,269 | 195,443 | ||
SSE PLC | 53,952 | 1,064,761 | ||
Standard Chartered PLC (London Exchange) | 7,909 | 59,708 | ||
Taylor Wimpey PLC | 13,096 | 18,654 | ||
Vodafone Group PLC | 86,097 | 133,872 | ||
4,059,593 | ||||
Total Foreign Common Stocks (Cost $44,038,608) | 36,375,178 | |||
FOREIGN PREFERRED STOCKS — 0.1% | ||||
Germany — 0.1% | ||||
Bayerische MotorenWerke AG | ||||
8.62%, ◊ | 192 | 13,694 | ||
Porsche Automobil Holding SE | ||||
4.04%, ◊ | 395 | 26,272 | ||
Volkswagen AG | ||||
5.90%, ◊ | 541 | 72,840 | ||
Total Foreign Preferred Stocks (Cost $130,903) | 112,806 |
Shares | Value | |||
MONEY MARKET FUNDS — 6.6% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø ∞ (Cost $8,221,506) | 8,221,506 | $ 8,221,506 | ||
TOTAL INVESTMENTS —99.7% (Cost $139,394,474) | 123,485,901 | |||
Other Assets in Excess of Liabilities — 0.3% | 397,940 | |||
NET ASSETS — 100.0% | $123,883,841 |
% | |
Information Technology | 18.3 |
Mortgage-Backed Securities | 14.4 |
Municipal Bonds | 9.6 |
Financials | 9.6 |
Corporate Bonds | 8.5 |
Industrials | 7.8 |
Money Market Funds | 6.6 |
Asset-Backed Securities | 4.4 |
Health Care | 4.0 |
Consumer Discretionary | 3.9 |
Utilities | 3.0 |
Real Estate | 2.3 |
Materials | 1.7 |
Communication Services | 1.5 |
Foreign Bonds | 1.1 |
Consumer Staples | 0.9 |
Private Investment | 0.8 |
Agency Obligations | 0.7 |
Energy | 0.5 |
Loan Agreements | 0.1 |
99.7 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2022 | 14 | $ 1,299,620 | $ (2,873) | ||||
MSCI Emerging Markets | 09/2022 | 13 | 651,755 | 3,697 | ||||
10-Year U.S. Treasury Note | 09/2022 | (25) | (2,963,281) | 42,188 | ||||
Canadian Dollars/U.S. Dollars | 09/2022 | 2 | 155,400 | (3,999) | ||||
U.S. Treasury Long Bond | 09/2022 | 6 | 831,750 | 35,812 | ||||
Ultra 10-Year U.S. Treasury Note | 09/2022 | (40) | (5,095,000) | 39,135 | ||||
Ultra Long U.S. Treasury Bond | 09/2022 | 21 | 3,241,219 | (97,041) | ||||
2-Year U.S. Treasury Note | 10/2022 | 22 | 4,620,344 | (27,207) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
5-Year U.S. Treasury Note | 10/2022 | 29 | $3,255,250 | $(27,858) | ||||
Total Futures Contracts outstanding at June 30, 2022 | $5,997,057 | $(38,146) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 911,893 | $ — | $ 911,893 | $ — | |||
Asset-Backed Securities | 5,411,833 | — | 4,601,057 | 810,776 | |||
Common Stocks | 29,728,982 | 29,728,982 | — | — | |||
Corporate Bonds | 10,494,243 | — | 10,494,243 | — | |||
Foreign Bonds | 1,357,385 | — | 1,357,385 | — | |||
Foreign Common Stocks: | |||||||
Austria | 18,697 | 9,901 | 8,796 | — | |||
Belgium | 62,549 | 8,784 | 53,765 | — | |||
Canada | 4,909,876 | 4,909,876 | — | — | |||
Ireland | 3,076,163 | 3,076,163 | — | — | |||
Israel | 161,948 | 24,658 | 137,290 | — | |||
Jersey | 1,012,637 | 1,012,637 | — | — | |||
Singapore | 101,448 | 17,104 | 84,344 | — | |||
Switzerland | 2,164,354 | 1,422,069 | 742,285 | — | |||
Taiwan | 1,458,420 | 1,458,420 | — | — | |||
United Kingdom | 4,059,593 | 836,366 | 3,223,227 | — | |||
Other ^^ | 19,349,493 | — | 19,349,493 | — | |||
Total Foreign Common Stocks | 36,375,178 | 12,775,978 | 23,599,200 | — | |||
Foreign Preferred Stocks | 112,806 | — | 112,806 | — | |||
Loan Agreements | 78,083 | — | — | 78,083 | |||
Money Market Funds | 8,221,506 | 8,221,506 | — | — | |||
Mortgage-Backed Securities | 17,848,655 | — | 17,848,655 | — | |||
Municipal Bonds | 11,945,337 | — | 11,945,337 | — | |||
Private Investment | 1,000,000 | — | 1,000,000 | — | |||
Total Assets - Investments in Securities | $123,485,901 | $50,726,466 | $71,870,576 | $888,859 | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 120,832 | $ 120,832 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 120,832 | $ 120,832 | $ — | $ — |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(158,978) | $(158,978) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $(158,978) | $(158,978) | $ — | $ — |
^^ | 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. |
Shares | Value | |||
COMMON STOCKS — 94.4% | ||||
Communication Services — 8.9% | ||||
Activision Blizzard, Inc. | 80,700 | $ 6,283,302 | ||
Alphabet, Inc. Class A* | 25,968 | 56,591,024 | ||
Alphabet, Inc. Class C* | 24,436 | 53,452,528 | ||
AT&T, Inc. | 663,234 | 13,901,385 | ||
Charter Communications, Inc. Class A* | 11,090 | 5,195,998 | ||
Comcast Corporation Class A | 404,032 | 15,854,216 | ||
DISH Network Corporation Class AΔ* | 2,880 | 51,638 | ||
Electronic Arts, Inc. | 29,821 | 3,627,725 | ||
Fox Corporation Class A | 31,129 | 1,001,109 | ||
Fox Corporation Class B | 9,099 | 270,240 | ||
Interpublic Group of Cos., Inc. (The) | 47,139 | 1,297,737 | ||
Live Nation Entertainment, Inc.* | 10,940 | 903,425 | ||
Lumen Technologies, Inc.Δ | 78,333 | 854,613 | ||
Match Group, Inc.Δ* | 21,213 | 1,478,334 | ||
Meta Platforms, Inc. Class A* | 194,739 | 31,401,664 | ||
Netflix, Inc.* | 35,817 | 6,263,319 | ||
News Corporation Class A | 13,865 | 216,017 | ||
News Corporation Class B | 13,984 | 222,206 | ||
Omnicom Group, Inc. | 24,095 | 1,532,683 | ||
Paramount Global Class BΔ | 52,671 | 1,299,920 | ||
Take-Two Interactive Software, Inc.* | 14,065 | 1,723,384 | ||
T-Mobile US, Inc.* | 56,762 | 7,636,759 | ||
Twitter, Inc.Δ* | 61,262 | 2,290,586 | ||
Verizon Communications, Inc. | 416,470 | 21,135,852 | ||
Walt Disney Co. (The)* | 147,984 | 13,969,689 | ||
Warner Bros Discovery, Inc.* | 173,969 | 2,334,664 | ||
250,790,017 | ||||
Consumer Discretionary — 9.9% | ||||
Advance Auto Parts, Inc.Δ | 6,948 | 1,202,629 | ||
Amazon.com, Inc.* | 747,771 | 79,420,758 | ||
AutoZone, Inc.* | 2,011 | 4,321,880 | ||
Bath & Body Works, Inc. | 13,836 | 372,465 | ||
Best Buy Co., Inc.Δ | 15,833 | 1,032,153 | ||
Booking Holdings, Inc.* | 3,547 | 6,203,668 | ||
BorgWarner, Inc. | 6,279 | 209,530 | ||
CarMax, Inc.Δ* | 12,596 | 1,139,686 | ||
Carnival CorporationΔ* | 59,898 | 518,118 | ||
Chipotle Mexican Grill, Inc.* | 2,169 | 2,835,447 | ||
D.R. Horton, Inc. | 16,760 | 1,109,344 | ||
Darden Restaurants, Inc. | 9,727 | 1,100,318 | ||
Dollar General Corporation | 18,720 | 4,594,637 | ||
Dollar Tree, Inc.* | 18,243 | 2,843,172 | ||
Domino’s Pizza, Inc. | 3,030 | 1,180,821 | ||
eBay, Inc. | 57,037 | 2,376,732 | ||
Etsy, Inc.Δ* | 9,267 | 678,437 | ||
Expedia Group, Inc.* | 10,462 | 992,112 | ||
Ford Motor Co. | 308,985 | 3,439,003 | ||
General Motors Co.* | 106,950 | 3,396,732 | ||
Genuine Parts Co. | 16,089 | 2,139,837 | ||
Hasbro, Inc. | 10,784 | 882,994 | ||
Hilton Worldwide Holdings, Inc. | 23,098 | 2,574,041 | ||
Home Depot, Inc. (The) | 91,030 | 24,966,798 | ||
Lennar Corporation Class A | 4,066 | 286,938 |
Shares | Value | |||
LKQ Corporation | 18,658 | $ 915,921 | ||
Lowe’s Cos., Inc. | 60,309 | 10,534,173 | ||
Marriott International, Inc. Class A | 21,380 | 2,907,894 | ||
McDonald’s Corporation | 71,749 | 17,713,393 | ||
Mohawk Industries, Inc.Δ* | 2,387 | 296,203 | ||
Newell Brands, Inc. | 39,118 | 744,807 | ||
NIKE, Inc. Class B | 113,417 | 11,591,217 | ||
Norwegian Cruise Line Holdings, Ltd.Δ* | 18,047 | 200,683 | ||
NVR, Inc.* | 171 | 684,708 | ||
O’Reilly Automotive, Inc.* | 6,551 | 4,138,660 | ||
Pool Corporation | 3,147 | 1,105,321 | ||
PulteGroup, Inc. | 5,415 | 214,596 | ||
PVH Corporation | 2,959 | 168,367 | ||
Ralph Lauren Corporation | 2,058 | 184,500 | ||
Ross Stores, Inc. | 25,592 | 1,797,326 | ||
Royal Caribbean Cruises, Ltd.Δ* | 22,682 | 791,829 | ||
Starbucks Corporation | 98,522 | 7,526,096 | ||
Tapestry, Inc. | 305 | 9,309 | ||
Target Corporation | 41,380 | 5,844,097 | ||
Tesla, Inc.* | 70,977 | 47,797,331 | ||
TJX Cos., Inc. (The) | 99,266 | 5,544,006 | ||
Tractor Supply Co. | 10,039 | 1,946,060 | ||
Ulta Beauty, Inc.* | 3,840 | 1,480,243 | ||
VF CorporationΔ | 27,573 | 1,217,899 | ||
Whirlpool Corporation | 1,099 | 170,202 | ||
Yum! Brands, Inc. | 28,870 | 3,277,034 | ||
278,620,125 | ||||
Consumer Staples — 7.0% | ||||
Archer-Daniels-Midland Co. | 58,262 | 4,521,131 | ||
Campbell Soup Co. | 28,952 | 1,391,144 | ||
Church & Dwight Co., Inc. | 27,416 | 2,540,367 | ||
Clorox Co. (The) | 12,213 | 1,721,789 | ||
Coca-Cola Co. (The) | 402,206 | 25,302,779 | ||
Colgate-Palmolive Co. | 68,700 | 5,505,618 | ||
Conagra Brands, Inc. | 80,687 | 2,762,723 | ||
Costco Wholesale Corporation | 37,437 | 17,942,805 | ||
Estee Lauder Cos., Inc. (The) Class A | 21,620 | 5,505,965 | ||
General Mills, Inc. | 96,621 | 7,290,054 | ||
Hershey Co. (The) | 29,702 | 6,390,682 | ||
Hormel Foods Corporation | 43,964 | 2,082,135 | ||
J.M. Smucker Co. (The) | 15,075 | 1,929,751 | ||
Kellogg Co. | 47,724 | 3,404,630 | ||
Keurig Dr. Pepper, Inc. | 100,000 | 3,539,000 | ||
Kimberly-Clark Corporation | 31,736 | 4,289,120 | ||
Kraft Heinz Co. (The) | 77,468 | 2,954,630 | ||
Kroger Co. (The) | 81,475 | 3,856,212 | ||
Lamb Weston Holdings, Inc.Δ | 4,774 | 341,150 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 25,400 | 2,114,550 | ||
Mondelez International, Inc. Class A | 158,472 | 9,839,527 | ||
Monster Beverage Corporation* | 22,677 | 2,102,158 | ||
PepsiCo, Inc. | 144,426 | 24,070,037 | ||
Procter & Gamble Co. (The) | 233,305 | 33,546,926 | ||
Sysco CorporationΔ | 31,238 | 2,646,171 | ||
Tyson Foods, Inc. Class A | 27,409 | 2,358,819 | ||
Walgreens Boots Alliance, Inc. | 49,839 | 1,888,898 |
Shares | Value | |||
Walmart, Inc. | 127,692 | $ 15,524,793 | ||
197,363,564 | ||||
Energy — 4.1% | ||||
APA Corporation | 18,290 | 638,321 | ||
Archrock, Inc. | 13 | 108 | ||
Baker Hughes Co. | 60,056 | 1,733,817 | ||
Chevron Corporation | 173,612 | 25,135,545 | ||
ConocoPhillips | 122,794 | 11,028,129 | ||
Coterra Energy, Inc.Δ | 73,032 | 1,883,495 | ||
Devon Energy CorporationΔ | 61,540 | 3,391,469 | ||
Diamondback Energy, Inc. | 10,890 | 1,319,324 | ||
EOG Resources, Inc. | 52,844 | 5,836,091 | ||
Exterran Corporation* | 6 | 26 | ||
Exxon Mobil Corporation | 375,016 | 32,116,370 | ||
Halliburton Co. | 68,091 | 2,135,334 | ||
Hess Corporation | 18,891 | 2,001,313 | ||
Kinder Morgan, Inc. | 146,006 | 2,447,061 | ||
Marathon Oil Corporation | 59,299 | 1,333,042 | ||
Marathon Petroleum Corporation | 50,234 | 4,129,737 | ||
Occidental Petroleum CorporationΔ | 78,136 | 4,600,648 | ||
ONEOK, Inc. | 35,809 | 1,987,399 | ||
Phillips 66 | 31,961 | 2,620,482 | ||
Pioneer Natural Resources Co. | 21,443 | 4,783,504 | ||
Valero Energy Corporation | 35,767 | 3,801,317 | ||
Williams Cos., Inc. (The) | 112,057 | 3,497,299 | ||
116,419,831 | ||||
Financials — 10.4% | ||||
Aflac, Inc. | 55,516 | 3,071,700 | ||
Allstate Corporation (The) | 28,840 | 3,654,893 | ||
American Express Co. | 56,945 | 7,893,716 | ||
American International Group, Inc. | 67,569 | 3,454,803 | ||
Ameriprise Financial, Inc. | 10,345 | 2,458,800 | ||
Arthur J. Gallagher & Co. | 18,366 | 2,994,393 | ||
Assurant, Inc. | 6,335 | 1,095,005 | ||
Bank of America Corporation | 621,241 | 19,339,232 | ||
Bank of New York Mellon Corporation (The) | 72,967 | 3,043,454 | ||
Berkshire Hathaway, Inc. Class B* | 177,031 | 48,333,004 | ||
BlackRock, Inc. | 12,151 | 7,400,445 | ||
Brown & Brown, Inc. | 18,702 | 1,091,075 | ||
Capital One Financial Corporation | 34,907 | 3,636,960 | ||
Cboe Global Markets, Inc. | 13,221 | 1,496,485 | ||
Charles Schwab Corporation (The) | 124,970 | 7,895,605 | ||
Cincinnati Financial Corporation | 10,988 | 1,307,352 | ||
Citigroup, Inc. | 170,029 | 7,819,634 | ||
Citizens Financial Group, Inc. | 18,464 | 658,980 | ||
CME Group, Inc. | 34,101 | 6,980,475 | ||
Comerica, Inc. | 10,547 | 773,939 | ||
Discover Financial Services | 22,685 | 2,145,547 | ||
Everest Re Group, Ltd. | 3,173 | 889,328 | ||
FactSet Research Systems, Inc. | 4,700 | 1,807,479 | ||
Fifth Third Bancorp | 52,084 | 1,750,022 | ||
First Republic Bank | 11,885 | 1,713,817 | ||
Franklin Resources, Inc.Δ | 23,495 | 547,668 | ||
Globe Life, Inc. | 4,186 | 408,009 | ||
Goldman Sachs Group, Inc. (The) | 27,330 | 8,117,557 |
Shares | Value | |||
Hartford Financial Services Group, Inc. (The) | 28,747 | $ 1,880,916 | ||
Huntington Bancshares, Inc. | 118,830 | 1,429,525 | ||
Intercontinental Exchange, Inc. | 50,280 | 4,728,331 | ||
Invesco, Ltd. | 17,740 | 286,146 | ||
JPMorgan Chase & Co. | 255,611 | 28,784,355 | ||
KeyCorp | 64,549 | 1,112,179 | ||
Lincoln National Corporation | 2,879 | 134,651 | ||
Loews Corporation | 3,079 | 182,462 | ||
M&T Bank Corporation | 18,081 | 2,881,931 | ||
MarketAxess Holdings, Inc. | 2,840 | 727,068 | ||
Marsh & McLennan Cos., Inc. | 46,486 | 7,216,951 | ||
MetLife, Inc. | 64,005 | 4,018,874 | ||
Moody’s Corporation | 11,483 | 3,123,031 | ||
Morgan Stanley | 122,245 | 9,297,955 | ||
MSCI, Inc. | 6,284 | 2,589,951 | ||
Nasdaq, Inc. | 9,140 | 1,394,216 | ||
Northern Trust Corporation | 16,617 | 1,603,208 | ||
PNC Financial Services Group, Inc. (The) | 34,137 | 5,385,794 | ||
Principal Financial Group, Inc. | 22,421 | 1,497,499 | ||
Progressive Corporation (The) | 63,647 | 7,400,237 | ||
Prudential Financial, Inc. | 36,128 | 3,456,727 | ||
Raymond James Financial, Inc. | 13,842 | 1,237,613 | ||
Regions Financial Corporation | 40,587 | 761,006 | ||
S&P Global, Inc. | 31,215 | 10,521,328 | ||
Signature Bank | 4,900 | 878,129 | ||
State Street Corporation | 30,870 | 1,903,135 | ||
SVB Financial Group* | 3,809 | 1,504,517 | ||
Synchrony Financial | 32,331 | 892,982 | ||
T. Rowe Price Group, Inc.Δ | 22,044 | 2,504,419 | ||
Travelers Cos., Inc. (The) | 33,059 | 5,591,269 | ||
Truist Financial Corporation | 104,234 | 4,943,819 | ||
U.S. Bancorp | 128,586 | 5,917,528 | ||
W.R. Berkley Corporation | 41,166 | 2,809,991 | ||
Wells Fargo & Co. | 334,461 | 13,100,837 | ||
Zions Bancorp NA | 7,446 | 379,001 | ||
293,856,958 | ||||
Health Care — 13.2% | ||||
Abbott Laboratories | 163,407 | 17,754,171 | ||
ABIOMED, Inc.* | 2,730 | 675,702 | ||
Agilent Technologies, Inc. | 55,100 | 6,544,227 | ||
Align Technology, Inc.* | 3,830 | 906,446 | ||
AmerisourceBergen Corporation | 17,971 | 2,542,537 | ||
Amgen, Inc. | 77,723 | 18,910,006 | ||
Anthem, Inc. | 23,091 | 11,143,255 | ||
Baxter International, Inc. | 49,046 | 3,150,225 | ||
Becton, Dickinson and Co. | 32,351 | 7,975,492 | ||
Biogen, Inc.* | 28,095 | 5,729,694 | ||
Bio-Rad Laboratories, Inc. Class A* | 5,348 | 2,647,260 | ||
Boston Scientific Corporation* | 120,221 | 4,480,637 | ||
Cardinal Health, Inc. | 27,527 | 1,438,836 | ||
Catalent, Inc.* | 57,662 | 6,186,556 | ||
Centene Corporation* | 48,859 | 4,133,960 | ||
Charles River Laboratories International, Inc.* | 10,283 | 2,200,254 | ||
Cigna Corporation | 29,323 | 7,727,197 |
Shares | Value | |||
CVS Health Corporation | 128,942 | $ 11,947,766 | ||
Danaher Corporation | 78,185 | 19,821,461 | ||
DaVita, Inc.* | 13,768 | 1,100,889 | ||
DENTSPLY SIRONA, Inc. | 16,089 | 574,860 | ||
DexCom, Inc.* | 34,256 | 2,553,100 | ||
Edwards Lifesciences Corporation* | 57,327 | 5,451,224 | ||
Eli Lilly and Co. | 103,605 | 33,591,849 | ||
Gilead Sciences, Inc. | 262,616 | 16,232,295 | ||
HCA Healthcare, Inc. | 23,088 | 3,880,169 | ||
Henry Schein, Inc.* | 11,738 | 900,774 | ||
Hologic, Inc.* | 29,305 | 2,030,836 | ||
Humana, Inc. | 10,676 | 4,997,115 | ||
IDEXX Laboratories, Inc.* | 6,155 | 2,158,743 | ||
Illumina, Inc.* | 14,975 | 2,760,791 | ||
Incyte Corporation* | 76,092 | 5,780,709 | ||
Intuitive Surgical, Inc.* | 28,775 | 5,775,430 | ||
IQVIA Holdings, Inc.* | 33,184 | 7,200,596 | ||
Laboratory Corporation of America Holdings | 7,436 | 1,742,701 | ||
McKesson Corporation | 19,912 | 6,495,494 | ||
Mettler-Toledo International, Inc.* | 3,500 | 4,020,695 | ||
Moderna, Inc.* | 34,641 | 4,948,467 | ||
Molina Healthcare, Inc.* | 4,758 | 1,330,384 | ||
Organon & Co. | 161,010 | 5,434,087 | ||
PerkinElmer, Inc.Δ | 26,737 | 3,802,536 | ||
Quest Diagnostics, Inc. | 16,017 | 2,129,941 | ||
Regeneron Pharmaceuticals, Inc.* | 15,989 | 9,451,578 | ||
ResMed, Inc. | 11,820 | 2,477,827 | ||
Stryker Corporation | 27,962 | 5,562,481 | ||
Teleflex, Inc. | 4,060 | 998,151 | ||
UnitedHealth Group, Inc. | 86,277 | 44,314,455 | ||
Universal Health Services, Inc. Class BΔ | 6,340 | 638,501 | ||
Vertex Pharmaceuticals, Inc.* | 43,872 | 12,362,691 | ||
Viatris, Inc. | 639,516 | 6,695,733 | ||
Waters Corporation* | 10,349 | 3,425,312 | ||
West Pharmaceutical Services, Inc. | 14,246 | 4,307,563 | ||
Zimmer Biomet Holdings, Inc. | 10,144 | 1,065,729 | ||
Zoetis, Inc. | 124,712 | 21,436,746 | ||
373,546,134 | ||||
Industrials — 7.1% | ||||
3M Co. | 52,910 | 6,847,083 | ||
A.O. Smith Corporation | 16,217 | 886,746 | ||
Alaska Air Group, Inc.* | 10,021 | 401,341 | ||
American Airlines Group, Inc.Δ* | 39,524 | 501,164 | ||
AMETEK, Inc. | 16,745 | 1,840,108 | ||
Boeing Co. (The)* | 38,792 | 5,303,642 | ||
C.H. Robinson Worldwide, Inc. | 12,459 | 1,262,969 | ||
Carrier Global Corporation | 63,362 | 2,259,489 | ||
Caterpillar, Inc. | 48,061 | 8,591,384 | ||
Cintas Corporation | 6,438 | 2,404,786 | ||
Copart, Inc.* | 6,534 | 709,984 | ||
CSX Corporation | 195,759 | 5,688,757 | ||
Cummins, Inc. | 10,680 | 2,066,900 | ||
Deere & Co. | 24,563 | 7,355,882 | ||
Delta Air Lines, Inc.* | 64,874 | 1,879,400 | ||
Dover Corporation | 13,712 | 1,663,540 |
Shares | Value | |||
Emerson Electric Co. | 55,944 | $ 4,449,786 | ||
Equifax, Inc. | 11,124 | 2,033,245 | ||
Expeditors International of Washington, Inc. | 6,818 | 664,482 | ||
Fastenal Co. | 36,004 | 1,797,320 | ||
FedEx Corporation | 12,522 | 2,838,863 | ||
Fortive Corporation | 19,846 | 1,079,226 | ||
Fortune Brands Home & Security, Inc. | 13,017 | 779,458 | ||
Generac Holdings, Inc.Δ* | 4,876 | 1,026,788 | ||
General Dynamics Corporation | 26,348 | 5,829,495 | ||
General Electric Co. | 90,769 | 5,779,262 | ||
Honeywell International, Inc. | 58,926 | 10,241,928 | ||
Howmet Aerospace, Inc. | 32,372 | 1,018,099 | ||
Huntington Ingalls Industries, Inc. | 2,805 | 610,985 | ||
IDEX Corporation | 5,716 | 1,038,197 | ||
Illinois ToolWorks, Inc. | 28,151 | 5,130,520 | ||
Ingersoll-Rand, Inc. | 30,890 | 1,299,851 | ||
J.B. Hunt Transport Services, Inc. | 9,677 | 1,523,837 | ||
Jacobs Engineering Group, Inc. | 12,155 | 1,545,265 | ||
L3Harris Technologies, Inc. | 20,606 | 4,980,470 | ||
Leidos Holdings, Inc. | 10,893 | 1,097,034 | ||
Lockheed Martin Corporation | 24,743 | 10,638,500 | ||
Masco Corporation | 23,878 | 1,208,227 | ||
Norfolk Southern Corporation | 19,839 | 4,509,206 | ||
Northrop Grumman Corporation | 14,819 | 7,091,929 | ||
Old Dominion Freight Line, Inc. | 7,428 | 1,903,648 | ||
Otis Worldwide Corporation | 31,681 | 2,238,896 | ||
PACCAR, Inc. | 30,598 | 2,519,439 | ||
Parker-Hannifin Corporation | 8,815 | 2,168,931 | ||
Quanta Services, Inc.Δ | 5,431 | 680,722 | ||
Raytheon Technologies Corporation | 126,686 | 12,175,792 | ||
Republic Services, Inc. | 27,745 | 3,630,988 | ||
Robert Half International, Inc. | 4,920 | 368,459 | ||
Rockwell Automation, Inc. | 11,922 | 2,376,174 | ||
Rollins, Inc. | 21,375 | 746,415 | ||
Snap-on, Inc. | 5,899 | 1,162,280 | ||
Southwest Airlines Co.* | 54,434 | 1,966,156 | ||
Stanley Black & Decker, Inc. | 10,352 | 1,085,511 | ||
Textron, Inc. | 19,700 | 1,203,079 | ||
TransDigm Group, Inc.* | 3,870 | 2,076,913 | ||
Union Pacific Corporation | 60,280 | 12,856,518 | ||
United Airlines Holdings, Inc.* | 1,891 | 66,979 | ||
United Parcel Service, Inc. Class B | 59,797 | 10,915,344 | ||
United Rentals, Inc.* | 2,876 | 698,609 | ||
Verisk Analytics, Inc. | 12,729 | 2,203,263 | ||
W.W. Grainger, Inc. | 3,321 | 1,509,162 | ||
Waste Management, Inc. | 42,596 | 6,516,336 | ||
Westinghouse Air Brake Technologies Corporation | 11,295 | 927,094 | ||
Xylem, Inc. | 9,669 | 755,922 | ||
200,627,778 | ||||
Information Technology — 25.7% | ||||
Adobe, Inc.* | 40,106 | 14,681,202 | ||
Advanced Micro Devices, Inc.* | 136,143 | 10,410,855 | ||
Akamai Technologies, Inc.* | 12,022 | 1,097,969 | ||
Amphenol Corporation Class A | 76,272 | 4,910,391 | ||
Analog Devices, Inc. | 53,079 | 7,754,311 |
Shares | Value | |||
ANSYS, Inc.* | 6,671 | $ 1,596,304 | ||
Apple, Inc. | 1,342,912 | 183,602,929 | ||
Applied Materials, Inc. | 71,724 | 6,525,450 | ||
Arista Networks, Inc.* | 18,552 | 1,739,064 | ||
Autodesk, Inc.* | 18,555 | 3,190,718 | ||
Automatic Data Processing, Inc. | 42,735 | 8,976,059 | ||
Broadcom, Inc. | 37,746 | 18,337,384 | ||
Broadridge Financial Solutions, Inc. | 6,807 | 970,338 | ||
Cadence Design Systems, Inc.* | 23,512 | 3,527,505 | ||
CDW Corporation | 11,000 | 1,733,160 | ||
Ceridian HCM Holding, Inc.* | 10,792 | 508,087 | ||
Cisco Systems, Inc. | 396,955 | 16,926,161 | ||
Citrix Systems, Inc. | 17,635 | 1,713,593 | ||
Cognizant Technology Solutions Corporation Class A | 50,859 | 3,432,474 | ||
Corning, Inc. | 81,585 | 2,570,743 | ||
DXC Technology Co.* | 18,725 | 567,555 | ||
Enphase Energy, Inc.* | 10,555 | 2,060,758 | ||
EPAM Systems, Inc.* | 2,827 | 833,343 | ||
F5, Inc.* | 6,504 | 995,372 | ||
Fidelity National Information Services, Inc. | 47,995 | 4,399,702 | ||
Fiserv, Inc.* | 52,804 | 4,697,972 | ||
FleetCor Technologies, Inc.* | 6,254 | 1,314,028 | ||
Fortinet, Inc.Δ* | 57,750 | 3,267,495 | ||
Gartner, Inc.* | 5,295 | 1,280,490 | ||
Global Payments, Inc. | 22,769 | 2,519,162 | ||
Hewlett Packard Enterprise Co.Δ | 113,804 | 1,509,041 | ||
HP, Inc.Δ | 103,716 | 3,399,811 | ||
Intel Corporation | 365,545 | 13,675,038 | ||
International Business Machines Corporation | 85,616 | 12,088,123 | ||
Intuit, Inc. | 23,429 | 9,030,474 | ||
Jack Henry & Associates, Inc.Δ | 11,540 | 2,077,431 | ||
Juniper Networks, Inc. | 50,500 | 1,439,250 | ||
Keysight Technologies, Inc.* | 13,420 | 1,849,947 | ||
KLA Corporation | 11,211 | 3,577,206 | ||
Lam Research Corporation | 10,705 | 4,561,936 | ||
Mastercard, Inc. Class A | 74,548 | 23,518,403 | ||
Microchip Technology, Inc. | 41,030 | 2,383,022 | ||
Micron Technology, Inc. | 92,474 | 5,111,963 | ||
Microsoft Corporation | 651,401 | 167,299,319 | ||
Monolithic Power Systems, Inc. | 3,300 | 1,267,332 | ||
Motorola Solutions, Inc. | 15,740 | 3,299,104 | ||
NetApp, Inc. | 18,482 | 1,205,766 | ||
NortonLifeLock, Inc. | 62,969 | 1,382,799 | ||
NVIDIA Corporation | 208,525 | 31,610,305 | ||
ON Semiconductor Corporation* | 37,328 | 1,877,972 | ||
Oracle Corporation | 144,267 | 10,079,935 | ||
Paychex, Inc. | 34,804 | 3,963,132 | ||
Paycom Software, Inc.* | 3,850 | 1,078,462 | ||
PayPal Holdings, Inc.* | 87,361 | 6,101,292 | ||
PTC, Inc.* | 6,734 | 716,094 | ||
Qorvo, Inc.* | 3,926 | 370,300 | ||
QUALCOMM, Inc. | 96,730 | 12,356,290 | ||
Roper Technologies, Inc. | 12,111 | 4,779,606 | ||
salesforce.com, Inc.* | 83,416 | 13,766,977 | ||
ServiceNow, Inc.* | 16,274 | 7,738,613 |
Shares | Value | |||
Skyworks Solutions, Inc. | 9,298 | $ 861,367 | ||
SolarEdge Technologies, Inc.* | 4,244 | 1,161,498 | ||
Synopsys, Inc.* | 14,009 | 4,254,533 | ||
Teledyne Technologies, Inc.* | 5,365 | 2,012,465 | ||
Teradyne, Inc.Δ | 9,806 | 878,127 | ||
Texas Instruments, Inc. | 88,985 | 13,672,545 | ||
Trimble, Inc.* | 19,275 | 1,122,383 | ||
Tyler Technologies, Inc.* | 3,141 | 1,044,320 | ||
VeriSign, Inc.* | 7,867 | 1,316,385 | ||
Visa, Inc. Class AΔ | 144,588 | 28,467,931 | ||
Western Digital Corporation* | 22,012 | 986,798 | ||
Zebra Technologies Corporation Class A* | 4,187 | 1,230,769 | ||
726,264,638 | ||||
Materials — 2.1% | ||||
Air Products and Chemicals, Inc. | 20,651 | 4,966,152 | ||
Albemarle Corporation | 8,321 | 1,738,923 | ||
Avery Dennison Corporation | 3,272 | 529,639 | ||
Ball Corporation | 26,240 | 1,804,525 | ||
Celanese Corporation | 9,582 | 1,126,939 | ||
CF Industries Holdings, Inc. | 23,172 | 1,986,536 | ||
Corteva, Inc. | 83,799 | 4,536,878 | ||
Dow, Inc. | 82,656 | 4,265,876 | ||
DuPont de Nemours, Inc. | 47,302 | 2,629,045 | ||
Eastman Chemical Co. | 14,389 | 1,291,700 | ||
Ecolab, Inc. | 16,680 | 2,564,717 | ||
FMC Corporation | 14,783 | 1,581,929 | ||
Freeport-McMoRan, Inc. | 112,863 | 3,302,371 | ||
International Flavors & Fragrances, Inc. | 23,797 | 2,834,699 | ||
International Paper Co. | 43,581 | 1,822,993 | ||
Martin Marietta Materials, Inc. | 5,969 | 1,786,164 | ||
Mosaic Co. (The) | 35,598 | 1,681,293 | ||
Newmont Corporation | 75,968 | 4,533,011 | ||
Nucor Corporation | 27,194 | 2,839,325 | ||
Packaging Corporation of America | 13,571 | 1,866,012 | ||
PPG Industries, Inc. | 18,443 | 2,108,773 | ||
Sealed Air Corporation | 10,710 | 618,181 | ||
Sherwin-Williams Co. (The) | 21,527 | 4,820,111 | ||
Vulcan Materials Co. | 11,222 | 1,594,646 | ||
Westrock Co. | 21,818 | 869,229 | ||
59,699,667 | ||||
Real Estate — 2.8% | ||||
Alexandria Real Estate Equities, Inc. REIT | 11,494 | 1,666,975 | ||
American Tower Corporation REIT | 37,022 | 9,462,453 | ||
AvalonBay Communities, Inc. REIT | 11,730 | 2,278,552 | ||
Boston Properties, Inc. REIT | 11,272 | 1,002,982 | ||
Camden Property Trust REIT | 8,401 | 1,129,766 | ||
CBRE Group, Inc. Class A* | 35,708 | 2,628,466 | ||
Crown Castle International Corporation REIT | 38,898 | 6,549,645 | ||
Digital Realty Trust, Inc. REIT | 25,560 | 3,318,455 | ||
Duke Realty Corporation REIT | 32,547 | 1,788,458 | ||
Equinix, Inc. REIT | 8,002 | 5,257,474 | ||
Equity Residential REIT | 36,341 | 2,624,547 |
Shares | Value | |||
Essex Property Trust, Inc. REIT | 5,627 | $ 1,471,517 | ||
Extra Space Storage, Inc. REIT | 8,534 | 1,451,804 | ||
Federal Realty Investment Trust REIT | 2,600 | 248,924 | ||
Healthpeak Properties, Inc. REIT | 46,597 | 1,207,328 | ||
Host Hotels & Resorts, Inc. REIT | 18,980 | 297,606 | ||
Iron Mountain, Inc. REIT | 32,755 | 1,594,841 | ||
Kimco Realty Corporation REIT | 56,971 | 1,126,317 | ||
Mid-America Apartment Communities, Inc. REIT | 7,607 | 1,328,715 | ||
Prologis, Inc. REIT | 61,392 | 7,222,769 | ||
Public Storage REIT | 14,785 | 4,622,826 | ||
Realty Income Corporation REIT | 65,287 | 4,456,491 | ||
Regency Centers Corporation REIT | 15,104 | 895,818 | ||
SBA Communications Corporation REIT | 9,082 | 2,906,694 | ||
Simon Property Group, Inc. REIT | 25,427 | 2,413,531 | ||
UDR, Inc. REIT | 16,995 | 782,450 | ||
Ventas, Inc. REIT | 33,547 | 1,725,322 | ||
Vornado Realty Trust REIT | 15,993 | 457,240 | ||
Welltower, Inc. REIT | 42,774 | 3,522,439 | ||
Weyerhaeuser Co. REIT | 57,740 | 1,912,349 | ||
77,352,754 | ||||
Utilities — 3.2% | ||||
AES Corporation (The) | 56,201 | 1,180,783 | ||
Alliant Energy Corporation | 22,632 | 1,326,462 | ||
Ameren Corporation | 19,884 | 1,796,718 | ||
American Electric Power Co., Inc. | 43,060 | 4,131,176 | ||
American Water Works Co., Inc. | 16,760 | 2,493,385 | ||
Atmos Energy Corporation | 8,640 | 968,544 | ||
CenterPoint Energy, Inc. | 50,231 | 1,485,833 | ||
CMS Energy Corporation | 24,417 | 1,648,148 | ||
Consolidated Edison, Inc. | 54,284 | 5,162,408 | ||
Constellation Energy Corporation | 21,977 | 1,258,403 | ||
Dominion Energy, Inc. | 84,336 | 6,730,856 | ||
DTE Energy Co. | 16,224 | 2,056,392 | ||
Duke Energy Corporation | 81,288 | 8,714,886 | ||
Edison International | 40,240 | 2,544,778 | ||
Entergy Corporation | 21,410 | 2,411,622 | ||
Evergy, Inc. | 17,247 | 1,125,367 | ||
Eversource Energy | 30,559 | 2,581,319 | ||
Exelon Corporation | 100,390 | 4,549,675 | ||
FirstEnergy Corporation | 51,603 | 1,981,039 | ||
NextEra Energy, Inc.Δ | 152,587 | 11,819,389 | ||
NiSource, Inc. | 23,079 | 680,600 | ||
NRG Energy, Inc. | 19,377 | 739,620 | ||
Pinnacle West Capital Corporation | 4,108 | 300,377 | ||
PPL Corporation | 38,698 | 1,049,877 | ||
Public Service Enterprise Group, Inc. | 46,751 | 2,958,403 | ||
Sempra Energy | 30,276 | 4,549,575 | ||
Southern Co. (The)Δ | 114,019 | 8,130,695 | ||
WEC Energy Group, Inc. | 33,758 | 3,397,405 |
Shares | Value | |||
Xcel Energy, Inc. | 35,982 | $ 2,546,086 | ||
90,319,821 | ||||
Total Common Stocks (Cost $1,802,075,910) | 2,664,861,287 | |||
FOREIGN COMMON STOCKS — 3.2% | ||||
Curacao — 0.1% | ||||
Schlumberger NV | 110,484 | 3,950,908 | ||
Ireland — 2.2% | ||||
Accenture PLC Class A | 55,857 | 15,508,696 | ||
Allegion PLCΔ | 11,277 | 1,104,018 | ||
Aon PLC Class A | 19,060 | 5,140,101 | ||
Eaton Corporation PLC | 34,612 | 4,360,766 | ||
Johnson Controls International PLC | 65,453 | 3,133,890 | ||
Linde PLC | 48,518 | 13,950,381 | ||
Medtronic PLC | 123,226 | 11,059,533 | ||
Pentair PLC | 6,692 | 306,293 | ||
Seagate Technology Holdings PLC | 20,280 | 1,448,803 | ||
STERIS PLC | 7,533 | 1,552,928 | ||
Trane Technologies PLC | 16,206 | 2,104,673 | ||
Willis Towers Watson PLCΔ | 12,561 | 2,479,416 | ||
62,149,498 | ||||
Jersey — 0.2% | ||||
Amcor PLC | 225,378 | 2,801,448 | ||
Aptiv PLC* | 21,684 | 1,931,394 | ||
4,732,842 | ||||
Netherlands — 0.2% | ||||
LyondellBasell Industries NV Class A | 27,312 | 2,388,708 | ||
NXP Semiconductor NV | 19,939 | 2,951,570 | ||
5,340,278 | ||||
Switzerland — 0.5% | ||||
Chubb, Ltd. | 51,417 | 10,107,554 | ||
Garmin, Ltd. | 8,253 | 810,857 | ||
TE Connectivity, Ltd. | 28,610 | 3,237,221 | ||
14,155,632 | ||||
United Kingdom — 0.0% | ||||
Nielsen Holdings PLC | 22,454 | 521,382 | ||
Total Foreign Common Stocks (Cost $69,729,408) | 90,850,540 | |||
MONEY MARKET FUNDS — 2.3% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ | 62,508,073 | 62,508,073 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 1.46%ا | 828,915 | $ 828,915 | ||
Total Money Market Funds (Cost $63,336,988) | 63,336,988 | |||
TOTAL INVESTMENTS — 99.9% (Cost $1,935,142,306) | 2,819,048,815 | |||
Other Assets in Excess of Liabilities — 0.1% | 3,875,630 | |||
NET ASSETS — 100.0% | $2,822,924,445 |
% | |
Information Technology | 26.4 |
Health Care | 13.7 |
Financials | 11.1 |
Consumer Discretionary | 10.0 |
Communication Services | 8.9 |
Industrials | 7.5 |
Consumer Staples | 7.0 |
Energy | 4.2 |
Utilities | 3.2 |
Materials | 2.8 |
Real Estate | 2.8 |
Money Market Funds | 2.3 |
99.9 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2022 | 343 | $64,989,925 | $(1,306,536) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $2,664,861,287 | $2,664,861,287 | $ — | $ — | |||
Foreign Common Stocks | 90,850,540 | 90,850,540 | — | — | |||
Money Market Funds | 63,336,988 | 63,336,988 | — | — | |||
Total Assets - Investments in Securities | $2,819,048,815 | $2,819,048,815 | $ — | $ — |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $(1,306,536) | $(1,306,536) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $(1,306,536) | $(1,306,536) | $ — | $ — |
*** | 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. |
Shares | Value | |||
COMMON STOCKS — 82.3% | ||||
Communication Services — 6.5% | ||||
Altice U.S.A., Inc. Class A* | 610,458 | $ 5,646,737 | ||
AT&T, Inc.Δ | 119,364 | 2,501,870 | ||
Comcast Corporation Class A | 421,989 | 16,558,848 | ||
Electronic Arts, Inc. | 55,496 | 6,751,088 | ||
Fox Corporation Class A | 87,554 | 2,815,737 | ||
Meta Platforms, Inc. Class A* | 5,247 | 846,079 | ||
Paramount Global Class BΔ | 92,334 | 2,278,803 | ||
T-Mobile US, Inc.Δ* | 58,484 | 7,868,437 | ||
Verizon Communications, Inc. | 394,219 | 20,006,614 | ||
Walt Disney Co. (The)* | 51,979 | 4,906,818 | ||
Warner Bros Discovery, Inc.* | 139,391 | 1,870,627 | ||
72,051,658 | ||||
Consumer Discretionary — 6.8% | ||||
Advance Auto Parts, Inc.Δ | 78,533 | 13,593,277 | ||
Aramark | 241,583 | 7,399,687 | ||
Darden Restaurants, Inc. | 26,565 | 3,005,033 | ||
Dick's Sporting Goods, Inc.Δ | 20,694 | 1,559,707 | ||
Dollar General Corporation | 57,360 | 14,078,438 | ||
Lennar Corporation Class A | 61,656 | 4,351,064 | ||
Lithia Motors, Inc.Δ | 22,153 | 6,087,866 | ||
Lowe’s Cos., Inc. | 62,782 | 10,966,132 | ||
Ralph Lauren Corporation | 38,319 | 3,435,298 | ||
Starbucks Corporation | 61,145 | 4,670,867 | ||
Target Corporation | 44,729 | 6,317,077 | ||
75,464,446 | ||||
Consumer Staples — 5.6% | ||||
Church & Dwight Co., Inc. | 60,123 | 5,570,997 | ||
Colgate-Palmolive Co. | 62,016 | 4,969,962 | ||
Conagra Brands, Inc. | 368,659 | 12,622,884 | ||
Keurig Dr. Pepper, Inc. | 14,800 | 523,772 | ||
Kimberly-Clark Corporation | 86,215 | 11,651,957 | ||
Lamb Weston Holdings, Inc.Δ | 85,426 | 6,104,542 | ||
Mondelez International, Inc. Class A | 103,527 | 6,427,992 | ||
PepsiCo, Inc. | 47,073 | 7,845,186 | ||
Walmart, Inc. | 53,758 | 6,535,898 | ||
62,253,190 | ||||
Energy — 6.5% | ||||
Baker Hughes Co. | 153,735 | 4,438,330 | ||
Chevron Corporation | 56,638 | 8,200,050 | ||
Exxon Mobil Corporation | 191,552 | 16,404,513 | ||
Halliburton Co. | 124,792 | 3,913,477 | ||
Hess Corporation | 142,565 | 15,103,336 | ||
Phillips 66 | 168,989 | 13,855,408 | ||
Pioneer Natural Resources Co. | 25,388 | 5,663,555 | ||
Valero Energy Corporation | 40,148 | 4,266,929 | ||
71,845,598 | ||||
Financials — 17.7% | ||||
Aflac, Inc. | 79,664 | 4,407,809 | ||
Allstate Corporation (The) | 195,686 | 24,799,287 | ||
American Express Co. | 35,581 | 4,932,238 | ||
American International Group, Inc. | 195,684 | 10,005,323 | ||
Ameriprise Financial, Inc. | 14,528 | 3,453,015 | ||
Apollo Global Management, Inc. | 31,891 | 1,546,076 |
Shares | Value | |||
Bank of New York Mellon Corporation (The) | 247,896 | $ 10,339,742 | ||
Berkshire Hathaway, Inc. Class B* | 68,375 | 18,667,742 | ||
BlackRock, Inc. | 20,237 | 12,325,142 | ||
Cincinnati Financial Corporation | 35,289 | 4,198,685 | ||
Citigroup, Inc. | 32,849 | 1,510,726 | ||
Intercontinental Exchange, Inc. | 41,174 | 3,872,003 | ||
JPMorgan Chase & Co. | 155,552 | 17,516,711 | ||
M&T Bank Corporation | 85,285 | 13,593,576 | ||
Marsh & McLennan Cos., Inc.Δ | 30,533 | 4,740,248 | ||
MetLife, Inc. | 73,651 | 4,624,546 | ||
Morgan Stanley | 33,500 | 2,548,010 | ||
Northern Trust Corporation | 75,592 | 7,293,116 | ||
Progressive Corporation (The) | 63,317 | 7,361,868 | ||
Reinsurance Group of America, Inc. | 89,047 | 10,444,323 | ||
Signature Bank | 10,974 | 1,966,651 | ||
Truist Financial Corporation | 162,768 | 7,720,086 | ||
U.S. Bancorp | 83,020 | 3,820,580 | ||
Wells Fargo & Co. | 364,557 | 14,279,698 | ||
195,967,201 | ||||
Health Care — 9.1% | ||||
Amgen, Inc. | 9,895 | 2,407,453 | ||
Anthem, Inc. | 31,498 | 15,200,305 | ||
Becton, Dickinson and Co. | 19,695 | 4,855,408 | ||
Centene Corporation* | 74,405 | 6,295,407 | ||
CVS Health Corporation | 120,324 | 11,149,222 | ||
Gilead Sciences, Inc. | 42,327 | 2,616,232 | ||
Henry Schein, Inc.* | 79,102 | 6,070,287 | ||
Humana, Inc. | 22,661 | 10,606,934 | ||
McKesson Corporation | 20,317 | 6,627,609 | ||
Molina Healthcare, Inc.* | 19,596 | 5,479,238 | ||
Quest Diagnostics, Inc. | 36,156 | 4,808,025 | ||
UnitedHealth Group, Inc. | 20,685 | 10,624,437 | ||
Zimmer Biomet Holdings, Inc. | 138,728 | 14,574,764 | ||
101,315,321 | ||||
Industrials — 8.2% | ||||
AECOM | 67,224 | 4,384,349 | ||
Deere & Co. | 39,541 | 11,841,343 | ||
Emerson Electric Co. | 80,211 | 6,379,983 | ||
Fastenal Co. | 87,491 | 4,367,551 | ||
General Electric Co. | 44,066 | 2,805,682 | ||
J.B. Hunt Transport Services, Inc. | 87,828 | 13,830,275 | ||
Norfolk Southern Corporation | 25,279 | 5,745,664 | ||
Raytheon Technologies CorporationΔ | 122,899 | 11,811,823 | ||
Southwest Airlines Co.* | 131,022 | 4,732,515 | ||
Stanley Black & Decker, Inc. | 54,247 | 5,688,340 | ||
Textron, Inc. | 65,857 | 4,021,887 | ||
United Parcel Service, Inc. Class B | 58,881 | 10,748,138 | ||
Vertiv Holdings Co. | 583,751 | 4,798,433 | ||
91,155,983 | ||||
Information Technology — 10.2% | ||||
Apple, Inc. | 62,812 | 8,587,657 | ||
Broadcom, Inc. | 27,956 | 13,581,304 | ||
Cisco Systems, Inc. | 307,873 | 13,127,705 | ||
Cognizant Technology Solutions Corporation Class A | 107,320 | 7,243,027 |
Shares | Value | |||
Corning, Inc. | 57,302 | $ 1,805,586 | ||
F5, Inc.* | 46,595 | 7,130,899 | ||
Fidelity National Information Services, Inc. | 171,443 | 15,716,180 | ||
Fiserv, Inc.* | 31,950 | 2,842,592 | ||
HP, Inc.Δ | 65,703 | 2,153,744 | ||
International Business Machines Corporation | 35,560 | 5,020,716 | ||
Juniper Networks, Inc. | 90,156 | 2,569,446 | ||
Microsoft Corporation | 20,246 | 5,199,780 | ||
ON Semiconductor Corporation* | 82,764 | 4,163,857 | ||
Oracle Corporation | 58,383 | 4,079,220 | ||
Paychex, Inc. | 44,304 | 5,044,896 | ||
QUALCOMM, Inc. | 29,369 | 3,751,596 | ||
Texas Instruments, Inc. | 71,700 | 11,016,705 | ||
113,034,910 | ||||
Materials — 5.5% | ||||
Air Products and Chemicals, Inc. | 82,492 | 19,837,676 | ||
Axalta Coating Systems, Ltd.* | 282,816 | 6,253,062 | ||
Corteva, Inc. | 96,022 | 5,198,631 | ||
DuPont de Nemours, Inc. | 133,842 | 7,438,938 | ||
Freeport-McMoRan, Inc. | 91,334 | 2,672,433 | ||
International Flavors & Fragrances, Inc. | 111,250 | 13,252,100 | ||
Sonoco Products Co. | 100,636 | 5,740,278 | ||
60,393,118 | ||||
Real Estate — 1.8% | ||||
Crown Castle International Corporation REIT | 37,965 | 6,392,547 | ||
Jones Lang LaSalle, Inc.* | 10,825 | 1,892,859 | ||
Public Storage REIT | 20,054 | 6,270,284 | ||
STORE Capital Corporation REIT | 151,149 | 3,941,966 | ||
Weyerhaeuser Co. REIT | 52,873 | 1,751,154 | ||
20,248,810 | ||||
Utilities — 4.4% | ||||
AES Corporation (The) | 169,610 | 3,563,506 | ||
Atmos Energy Corporation | 105,341 | 11,808,726 | ||
Dominion Energy, Inc. | 76,610 | 6,114,244 | ||
Duke Energy Corporation | 73,796 | 7,911,669 | ||
Edison International | 102,431 | 6,477,736 | ||
Pinnacle West Capital Corporation | 168,112 | 12,292,350 | ||
48,168,231 | ||||
Total Common Stocks (Cost $853,904,299) | 911,898,466 | |||
FOREIGN COMMON STOCKS — 13.3% | ||||
Canada — 0.6% | ||||
Open Text Corporation | 181,287 | 6,859,900 |
Shares | Value | |||
France — 1.6% | ||||
Sodexo SA | 67,069 | $ 4,744,082 | ||
TotalEnergies SE ADRΔ | 252,363 | 13,284,388 | ||
18,028,470 | ||||
Germany — 0.4% | ||||
Siemens AG | 45,396 | 4,666,550 | ||
Ireland — 5.6% | ||||
Johnson Controls International PLC | 90,151 | 4,316,430 | ||
Medtronic PLC | 372,379 | 33,421,015 | ||
nVent Electric PLC | 159,613 | 5,000,675 | ||
STERIS PLC | 30,506 | 6,288,812 | ||
Willis Towers Watson PLC | 63,361 | 12,506,828 | ||
61,533,760 | ||||
Japan — 0.3% | ||||
Nintendo Co., Ltd. ADRΔ | 62,855 | 3,382,856 | ||
Jersey — 0.3% | ||||
Aptiv PLC* | 41,113 | 3,661,935 | ||
Singapore — 0.2% | ||||
Flex, Ltd.* | 179,718 | 2,600,520 | ||
Switzerland — 2.8% | ||||
Nestle SA ADR | 50,512 | 5,879,091 | ||
Novartis AG | 70,768 | 5,999,756 | ||
Roche Holding AG | 41,751 | 13,957,353 | ||
TE Connectivity, Ltd. | 43,681 | 4,942,505 | ||
30,778,705 | ||||
United Kingdom — 1.5% | ||||
Unilever PLC ADRΔ | 354,488 | 16,246,185 | ||
Total Foreign Common Stocks (Cost $161,447,157) | 147,758,881 | |||
MUTUAL FUNDS — 0.6% | ||||
iShares Russell 1000 Value ETF (Cost $8,067,387) | 49,747 | 7,211,822 | ||
MONEY MARKET FUNDS — 4.3% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ | 43,822,333 | 43,822,333 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 1.12%Ø | 3,386,777 | $ 3,386,777 | ||
Total Money Market Funds (Cost $47,209,110) | 47,209,110 | |||
TOTAL INVESTMENTS — 100.5% (Cost $1,070,627,953) | 1,114,078,279 | |||
Liabilities in Excess of Other Assets — (0.5)% | (6,080,104) | |||
NET ASSETS — 100.0% | $1,107,998,175 |
% | |
Financials | 18.8 |
Health Care | 14.5 |
Information Technology | 11.5 |
Industrials | 9.5 |
Energy | 7.7 |
Consumer Staples | 7.6 |
Consumer Discretionary | 7.5 |
Communication Services | 6.8 |
Materials | 5.5 |
Utilities | 4.4 |
Money Market Funds | 4.3 |
Real Estate | 1.8 |
Mutual Funds | 0.6 |
100.5 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/30/22 | U.S. Dollars | 16,825,337 | British Pounds | 13,695,146 | BOA | $ 123,308 | ||||||
09/30/22 | U.S. Dollars | 22,706,562 | Euro | 21,468,491 | JPM | 55,619 | ||||||
Subtotal Appreciation | $ 178,927 | |||||||||||
09/30/22 | U.S. Dollars | 568,016 | Euro | 540,050 | JPM | $ (1,779) | ||||||
09/30/22 | Euro | 520,130 | U.S. Dollars | 552,270 | JPM | (3,492) | ||||||
09/30/22 | British Pounds | 750,440 | U.S. Dollars | 922,186 | BOA | (6,981) | ||||||
09/30/22 | U.S. Dollars | 19,437,040 | Swiss Francs | 18,596,011 | MSCS | (177,418) | ||||||
Subtotal Depreciation | $(189,670) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2022 | $ (10,743) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 911,898,466 | $ 911,898,466 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
France | 18,028,470 | 13,284,388 | 4,744,082 | — | |||
Germany | 4,666,550 | — | 4,666,550 | — | |||
Switzerland | 30,778,705 | 10,821,596 | 19,957,109 | — | |||
Other ^^ | 94,285,156 | 94,285,156 | — | — | |||
Total Foreign Common Stocks | 147,758,881 | 118,391,140 | 29,367,741 | — | |||
Money Market Funds | 47,209,110 | 47,209,110 | — | — | |||
Mutual Funds | 7,211,822 | 7,211,822 | — | — | |||
Total Assets - Investments in Securities | $1,114,078,279 | $1,084,710,538 | $29,367,741 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 178,927 | $ — | $ 178,927 | $ — | |||
Total Assets - Other Financial Instruments | $ 178,927 | $ — | $ 178,927 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (189,670) | $ — | $ (189,670) | $ — | |||
Total Liabilities - Other Financial Instruments | $ (189,670) | $ — | $ (189,670) | $ — |
^^ | 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 "Forward Foreign Currency Contracts outstanding" disclosures. |
Shares | Value | |||
COMMON STOCKS — 82.0% | ||||
Communication Services — 9.9% | ||||
Alphabet, Inc. Class A* | 19,786 | $ 43,118,838 | ||
Alphabet, Inc. Class C* | 14,089 | 30,818,983 | ||
Charter Communications, Inc. Class A* | 5,771 | 2,703,887 | ||
Live Nation Entertainment, Inc.Δ* | 128,111 | 10,579,406 | ||
Match Group, Inc.* | 69,780 | 4,862,968 | ||
Meta Platforms, Inc. Class A* | 99,856 | 16,101,780 | ||
Netflix, Inc.* | 55,073 | 9,630,616 | ||
Sea, Ltd. ADR* | 78,661 | 5,259,274 | ||
Snap, Inc. Class A* | 4,466 | 58,639 | ||
Walt Disney Co. (The)* | 92,437 | 8,726,053 | ||
Warner Music Group Corporation Class A | 110,131 | 2,682,791 | ||
134,543,235 | ||||
Consumer Discretionary — 12.1% | ||||
Airbnb, Inc. Class A* | 24,374 | 2,171,236 | ||
Amazon.com, Inc.* | 593,440 | 63,029,262 | ||
AutoZone, Inc.* | 4,268 | 9,172,444 | ||
Carvana Co.Δ* | 1,133 | 25,583 | ||
Chipotle Mexican Grill, Inc.* | 1,619 | 2,116,454 | ||
DoorDash, Inc. Class A* | 31,159 | 1,999,473 | ||
Etsy, Inc.Δ* | 2,686 | 196,642 | ||
Floor & Decor Holdings, Inc. Class AΔ* | 40,980 | 2,580,101 | ||
Lowe’s Cos., Inc. | 43,307 | 7,564,434 | ||
Marriott International, Inc. Class A | 117,618 | 15,997,224 | ||
MercadoLibre, Inc.* | 165 | 105,084 | ||
NIKE, Inc. Class B | 95,969 | 9,808,032 | ||
Starbucks Corporation | 235,415 | 17,983,352 | ||
Tapestry, Inc. | 49,496 | 1,510,618 | ||
Target Corporation | 14,606 | 2,062,805 | ||
Tesla, Inc.* | 28,656 | 19,297,524 | ||
Wayfair, Inc. Class AΔ* | 531 | 23,130 | ||
Yum China Holdings, Inc. | 56,064 | 2,719,104 | ||
Yum! Brands, Inc. | 40,899 | 4,642,445 | ||
163,004,947 | ||||
Consumer Staples — 3.8% | ||||
Coca-Cola Co. (The) | 132,598 | 8,341,740 | ||
Costco Wholesale Corporation | 37,548 | 17,996,006 | ||
Estee Lauder Cos., Inc. (The) Class A | 42,183 | 10,742,745 | ||
Monster Beverage Corporation* | 150,439 | 13,945,695 | ||
51,026,186 | ||||
Energy — 0.4% | ||||
ConocoPhillips | 63,066 | 5,663,957 | ||
Financials — 3.0% | ||||
Apollo Global Management, Inc. | 211,528 | 10,254,877 | ||
Blackstone, Inc. | 63,420 | 5,785,807 | ||
Capital One Financial Corporation | 11,235 | 1,170,575 | ||
Charles Schwab Corporation (The) | 86,396 | 5,458,499 | ||
FactSet Research Systems, Inc. | 15,636 | 6,013,137 | ||
Morgan Stanley | 42,364 | 3,222,206 | ||
MSCI, Inc. | 1,910 | 787,206 |
Shares | Value | |||
SEI Investments Co. | 89,104 | $ 4,813,398 | ||
SVB Financial Group* | 9,000 | 3,554,910 | ||
41,060,615 | ||||
Health Care — 11.3% | ||||
10X Genomics, Inc. Class A* | 34,120 | 1,543,930 | ||
ABIOMED, Inc.* | 32,622 | 8,074,271 | ||
Align Technology, Inc.* | 9,268 | 2,193,457 | ||
Alnylam Pharmaceuticals, Inc.* | 1,318 | 192,230 | ||
Amgen, Inc. | 19,706 | 4,794,470 | ||
CVS Health Corporation | 66,086 | 6,123,529 | ||
DexCom, Inc.* | 109,568 | 8,166,103 | ||
Edwards Lifesciences Corporation* | 38,893 | 3,698,335 | ||
Eli Lilly and Co. | 20,490 | 6,643,473 | ||
Exact Sciences CorporationΔ* | 9,236 | 363,806 | ||
HCA Healthcare, Inc. | 30,569 | 5,137,426 | ||
Illumina, Inc.* | 29,697 | 5,474,939 | ||
Intuitive Surgical, Inc.* | 29,114 | 5,843,471 | ||
McKesson Corporation | 31,884 | 10,400,880 | ||
Moderna, Inc.* | 1,981 | 282,986 | ||
Regeneron Pharmaceuticals, Inc.* | 26,445 | 15,632,433 | ||
Sarepta Therapeutics, Inc.* | 35,250 | 2,642,340 | ||
Seagen, Inc.Δ* | 17,438 | 3,085,480 | ||
Stryker Corporation | 51,087 | 10,162,737 | ||
UnitedHealth Group, Inc. | 51,664 | 26,536,180 | ||
Veeva Systems, Inc. Class A* | 10,497 | 2,078,826 | ||
Vertex Pharmaceuticals, Inc.* | 37,080 | 10,448,773 | ||
Zoetis, Inc. | 73,626 | 12,655,573 | ||
152,175,648 | ||||
Industrials — 6.1% | ||||
Boeing Co. (The)Δ* | 102,342 | 13,992,198 | ||
Copart, Inc.* | 116,202 | 12,626,509 | ||
CoStar Group, Inc.* | 234,158 | 14,145,485 | ||
Deere & Co. | 42,682 | 12,781,979 | ||
Equifax, Inc. | 52,745 | 9,640,731 | ||
Expeditors International of Washington, Inc. | 59,142 | 5,763,979 | ||
Rockwell Automation, Inc. | 10,688 | 2,130,225 | ||
Uber Technologies, Inc.* | 175,680 | 3,594,413 | ||
United Parcel Service, Inc. Class B | 26,372 | 4,813,945 | ||
Verisk Analytics, Inc. | 18,864 | 3,265,170 | ||
82,754,634 | ||||
Information Technology — 35.0% | ||||
Adobe, Inc.* | 25,870 | 9,469,972 | ||
Advanced Micro Devices, Inc.* | 115,978 | 8,868,838 | ||
Amphenol Corporation Class A | 47,484 | 3,057,020 | ||
Apple, Inc. | 786,762 | 107,566,101 | ||
Autodesk, Inc.* | 59,604 | 10,249,504 | ||
Block, Inc.Δ* | 142,025 | 8,728,856 | ||
Cloudflare, Inc. Class A* | 52,804 | 2,310,175 | ||
Cognizant Technology Solutions Corporation Class A | 42,593 | 2,874,602 | ||
Datadog, Inc. Class A* | 18,892 | 1,799,274 | ||
Enphase Energy, Inc.Δ* | 2,739 | 534,762 | ||
Guidewire Software, Inc.* | 68,619 | 4,871,263 |
Shares | Value | |||
HubSpot, Inc.* | 470 | $ 141,305 | ||
International Business Machines Corporation | 10,868 | 1,534,453 | ||
Intuit, Inc. | 48,415 | 18,661,078 | ||
Lam Research Corporation | 25,124 | 10,706,593 | ||
Mastercard, Inc. Class A | 71,862 | 22,671,024 | ||
Microsoft Corporation | 385,647 | 99,045,719 | ||
MongoDB, Inc.* | 2,025 | 525,487 | ||
NVIDIA Corporation | 213,158 | 32,312,621 | ||
Oracle Corporation | 269,002 | 18,795,170 | ||
PayPal Holdings, Inc.* | 185,587 | 12,961,396 | ||
QUALCOMM, Inc. | 57,212 | 7,308,261 | ||
salesforce.com, Inc.* | 134,547 | 22,205,637 | ||
ServiceNow, Inc.* | 24,873 | 11,827,609 | ||
Snowflake, Inc. Class A* | 22,785 | 3,168,482 | ||
Synopsys, Inc.* | 12,495 | 3,794,731 | ||
Texas Instruments, Inc. | 68,263 | 10,488,610 | ||
Trade Desk, Inc. (The) Class A* | 2,395 | 100,327 | ||
Twilio, Inc. Class A* | 18,740 | 1,570,599 | ||
Unity Software, Inc.Δ* | 86,169 | 3,172,743 | ||
Visa, Inc. Class AΔ | 146,874 | 28,918,022 | ||
Workday, Inc. Class A* | 24,173 | 3,374,067 | ||
473,614,301 | ||||
Materials — 0.4% | ||||
Freeport-McMoRan, Inc. | 122,379 | 3,580,810 | ||
Sherwin-Williams Co. (The) | 10,878 | 2,435,693 | ||
6,016,503 | ||||
Total Common Stocks (Cost $1,098,180,142) | 1,109,860,026 | |||
FOREIGN COMMON STOCKS — 4.7% | ||||
Canada — 0.5% | ||||
Shopify, Inc. Class A* | 204,950 | 6,402,638 | ||
China — 0.4% | ||||
Alibaba Group Holding, Ltd. ADR* | 51,058 | 5,804,274 | ||
Ireland — 1.9% | ||||
Accenture PLC Class A | 49,454 | 13,730,903 | ||
Linde PLC | 32,861 | 9,448,523 | ||
Trane Technologies PLC | 18,354 | 2,383,634 | ||
25,563,060 | ||||
Israel — 0.0% | ||||
Fiverr International, Ltd.Δ* | 15,394 | 529,400 | ||
Netherlands — 0.2% | ||||
ASML Holding NV | 4,074 | 1,938,735 |
Shares | Value | |||
Switzerland — 1.3% | ||||
Novartis AG ADR | 121,727 | $ 10,289,583 | ||
Roche Holding AG ADR | 179,124 | 7,471,262 | ||
17,760,845 | ||||
United Kingdom — 0.4% | ||||
Atlassian Corporation PLC Class A* | 27,755 | 5,201,287 | ||
Total Foreign Common Stocks (Cost $81,503,379) | 63,200,239 | |||
MONEY MARKET FUNDS — 12.9% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ | 173,928,667 | 173,928,667 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.46%ا | 33,300 | 33,300 | ||
Northern Institutional U.S. Government Portfolio (Shares), 1.12%Ø | 203,208 | 203,208 | ||
Total Money Market Funds (Cost $174,165,175) | 174,165,175 | |||
TOTAL INVESTMENTS — 99.6% (Cost $1,353,848,696) | 1,347,225,440 | |||
Other Assets in Excess of Liabilities — 0.4% | 6,082,914 | |||
NET ASSETS — 100.0% | $1,353,308,354 |
% | |
Information Technology | 37.1 |
Money Market Funds | 12.9 |
Health Care | 12.6 |
Consumer Discretionary | 12.5 |
Communication Services | 9.9 |
Industrials | 6.3 |
Consumer Staples | 3.8 |
Financials | 3.0 |
Materials | 1.1 |
Energy | 0.4 |
99.6 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2022 | 577 | $109,327,075 | $1,075,255 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,109,860,026 | $1,109,860,026 | $ — | $ — | |||
Foreign Common Stocks | 63,200,239 | 63,200,239 | — | — | |||
Money Market Funds | 174,165,175 | 174,165,175 | — | — | |||
Total Assets - Investments in Securities | $1,347,225,440 | $1,347,225,440 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 1,075,255 | $ 1,075,255 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 1,075,255 | $ 1,075,255 | $ — | $ — |
*** | 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. |
Shares | Value | |||
COMMON STOCKS — 93.4% | ||||
Communication Services — 1.6% | ||||
ATN International, Inc. | 20,605 | $ 966,581 | ||
Bandwidth, Inc. Class AΔ* | 41,413 | 779,393 | ||
comScore, Inc.Δ* | 36,719 | 75,641 | ||
Consolidated Communications Holdings, Inc.Δ* | 25,545 | 178,815 | ||
Entravision Communications Corporation Class AΔ | 215,206 | 981,339 | ||
Integral Ad Science Holding CorporationΔ* | 144,400 | 1,433,892 | ||
Loyalty Ventures, Inc.Δ | 1,000 | 3,570 | ||
Nexstar Media Group, Inc. Class A | 4,341 | 707,062 | ||
Telephone & Data Systems, Inc.Δ | 79,020 | 1,247,726 | ||
Townsquare Media, Inc. Class AΔ* | 18,671 | 152,915 | ||
TrueCar, Inc.Δ* | 50,464 | 130,702 | ||
United States Cellular CorporationΔ* | 14,658 | 424,496 | ||
Yelp, Inc.* | 47,876 | 1,329,516 | ||
Ziff Davis, Inc.Δ* | 29,769 | 2,218,684 | ||
10,630,332 | ||||
Consumer Discretionary — 10.6% | ||||
2U, Inc.Δ* | 59,928 | 627,446 | ||
Aaron's Co., Inc. (The)Δ | 29,281 | 426,039 | ||
Adtalem Global Education, Inc.* | 20,648 | 742,709 | ||
American Axle & Manufacturing Holdings, Inc.* | 115,383 | 868,834 | ||
American Eagle Outfitters, Inc.Δ | 123,917 | 1,385,392 | ||
American Outdoor Brands, Inc.Δ* | 14,595 | 138,798 | ||
American Public Education, Inc.* | 13,903 | 224,672 | ||
BARK, Inc. | 63,700 | 81,536 | ||
Bassett Furniture Industries, Inc.Δ | 7,683 | 139,216 | ||
Beazer Homes U.S.A., Inc.Δ* | 44,065 | 531,865 | ||
Bluegreen Vacations Holding Corporation* | 4,196 | 104,732 | ||
Boot Barn Holdings, Inc.* | 19,800 | 1,364,418 | ||
Brinker International, Inc.* | 43,706 | 962,843 | ||
Brunswick Corporation | 32,262 | 2,109,290 | ||
Callaway Golf Co.Δ* | 111,400 | 2,272,560 | ||
Chuy's Holdings, Inc.Δ* | 27,136 | 540,549 | ||
Container Store Group, Inc. (The)* | 20,406 | 127,129 | ||
Cooper-Standard Holdings, Inc.* | 15,229 | 75,993 | ||
Cracker Barrel Old Country Store, Inc.Δ | 13,782 | 1,150,659 | ||
Dana, Inc.Δ | 94,762 | 1,333,301 | ||
Dave & Buster's Entertainment, Inc.Δ* | 34,817 | 1,141,301 | ||
Dillard's, Inc. Class AΔ | 3,545 | 781,921 | ||
Foot Locker, Inc. | 9,068 | 228,967 | ||
Frontdoor, Inc. | 38,320 | 922,746 | ||
Genesco, Inc.Δ* | 12,726 | 635,155 | ||
Goodyear Tire & Rubber Co. (The)Δ* | 133,146 | 1,425,994 | ||
Grand Canyon Education, Inc.* | 2,293 | 215,978 | ||
Group 1 Automotive, Inc. | 876 | 148,745 | ||
Haverty Furniture Cos., Inc. | 10,769 | 249,625 | ||
Helen of Troy, Ltd.Δ* | 8,558 | 1,389,905 | ||
Hibbett, Inc.Δ | 15,204 | 664,567 | ||
Hilton Grand Vacations, Inc.* | 60,700 | 2,168,811 | ||
Hooker Furnishings Corporation | 2,629 | 40,881 |
Shares | Value | |||
Jack in the Box, Inc.Δ | 15,194 | $ 851,776 | ||
KB Home | 57,019 | 1,622,761 | ||
La-Z-Boy, Inc. | 42,047 | 996,934 | ||
Leslie's, Inc.Δ* | 202,800 | 3,078,504 | ||
Lifetime Brands, Inc.Δ | 1,557 | 17,189 | ||
LL Flooring Holdings, Inc.Δ* | 3,162 | 29,628 | ||
Macy’s, Inc. | 64,860 | 1,188,235 | ||
Malibu Boats, Inc. Class A* | 83,848 | 4,419,628 | ||
MarineMax, Inc.Δ* | 52,267 | 1,887,884 | ||
Modine Manufacturing Co.Δ* | 36,682 | 386,261 | ||
Mohawk Industries, Inc.Δ* | 7,012 | 870,119 | ||
Movado Group, Inc.Δ | 15,399 | 476,291 | ||
National Vision Holdings, Inc.Δ* | 90,600 | 2,491,500 | ||
ODP Corporation (The)Δ* | 1,722 | 52,073 | ||
OneSpaWorld Holdings, Ltd.Δ* | 216,200 | 1,550,154 | ||
OneWater Marine, Inc. Class AΔ | 32,564 | 1,076,240 | ||
Penske Automotive Group, Inc. | 22,360 | 2,340,868 | ||
Perdoceo Education Corporation* | 60,143 | 708,485 | ||
Planet Fitness, Inc. Class A* | 35,800 | 2,434,758 | ||
PowerSchool Holdings, Inc. Class A* | 139,000 | 1,674,950 | ||
PVH Corporation | 2,274 | 129,391 | ||
Red Robin Gourmet Burgers, Inc.* | 39,660 | �� | 318,470 | |
Skyline Champion Corporation* | 40,919 | 1,940,379 | ||
Smith & Wesson Brands, Inc. | 26,760 | 351,359 | ||
Solo Brands, Inc. Class AΔ* | 61,011 | 247,705 | ||
Sonic Automotive, Inc. Class AΔ | 15,270 | 559,340 | ||
Steven Madden, Ltd.Δ | 74,646 | 2,404,348 | ||
Tapestry, Inc. | 78,899 | 2,407,997 | ||
Taylor Morrison Home Corporation Class A* | 86,226 | 2,014,239 | ||
Texas Roadhouse, Inc. | 33,389 | 2,444,075 | ||
Tilly's, Inc. Class AΔ | 23,850 | 167,427 | ||
Unifi, Inc.* | 10,653 | 149,781 | ||
Universal Electronics, Inc.* | 6,454 | 165,029 | ||
Vera Bradley, Inc.* | 27,986 | 121,459 | ||
Visteon Corporation* | 26,100 | 2,703,438 | ||
VOXX International Corporation* | 7,408 | 68,968 | ||
Wendy's Co. (The) | 60,134 | 1,135,330 | ||
Wingstop, Inc. | 13,400 | 1,001,918 | ||
71,707,468 | ||||
Consumer Staples — 3.4% | ||||
Andersons, Inc. (The)Δ | 15,486 | 510,883 | ||
BJ's Wholesale Club Holdings, Inc.* | 108,319 | 6,750,440 | ||
Edgewell Personal Care Co. | 99,686 | 3,441,161 | ||
Fresh Del Monte Produce, Inc. | 15,064 | 444,840 | ||
Hain Celestial Group, Inc. (The) | 22,800 | 541,272 | ||
Herbalife Nutrition, Ltd.* | 60,257 | 1,232,256 | ||
J&J Snack Foods Corporation | 16,521 | 2,307,323 | ||
Landec CorporationΔ* | 2,392 | 23,848 | ||
Nature's Sunshine Products, Inc.Δ* | 6,866 | 73,260 | ||
Simply Good Foods Co. (The)* | 74,100 | 2,798,757 | ||
SpartanNash Co. | 22,336 | 673,877 | ||
Spectrum Brands Holdings, Inc. | 41,827 | 3,430,650 | ||
Vita Coco Co., Inc. (The)Δ* | 98,400 | 963,336 | ||
23,191,903 |
Shares | Value | |||
Energy — 3.6% | ||||
Cactus, Inc. Class A | 34,600 | $ 1,393,342 | ||
ChampionX Corporation* | 74,707 | 1,482,934 | ||
Chesapeake Energy CorporationΔ | 13,006 | 1,054,787 | ||
Dorian LPG, Ltd.Δ | 26,950 | 409,640 | ||
Earthstone Energy, Inc. Class AΔ* | 96,360 | 1,315,314 | ||
Enviva, Inc.Δ | 13,053 | 746,893 | ||
Matador Resources Co.Δ | 62,900 | 2,930,511 | ||
NCS Multistage Holdings, Inc.* | 1,271 | 38,893 | ||
Newpark Resources, Inc.Δ* | 19,520 | 60,317 | ||
Oil States International, Inc.Δ* | 15,317 | 83,018 | ||
Par Pacific Holdings, Inc.* | 4,750 | 74,052 | ||
Patterson-UTI Energy, Inc. | 219,091 | 3,452,874 | ||
PBF Energy, Inc. Class A | 22,636 | 656,897 | ||
PDC Energy, Inc. | 62,362 | 3,842,123 | ||
Plains GP Holdings LP Class A* | 26,404 | 272,489 | ||
REX American Resources Corporation* | 3,400 | 288,320 | ||
SFL Corporation, Ltd. | 114,452 | 1,086,149 | ||
SM Energy Co. | 31,900 | 1,090,661 | ||
Southwestern Energy Co.* | 341,742 | 2,135,887 | ||
Whiting Petroleum Corporation | 7,244 | 492,809 | ||
World Fuel Services Corporation | 50,611 | 1,035,501 | ||
23,943,411 | ||||
Financials — 19.1% | ||||
1st Source CorporationΔ | 2,904 | 131,842 | ||
Alerus Financial CorporationΔ | 755 | 17,977 | ||
Amalgamated Financial CorporationΔ | 6,874 | 135,968 | ||
A-Mark Precious Metals, Inc.Δ | 39,190 | 1,263,877 | ||
American Equity Investment Life Holding Co. | 85,310 | 3,119,787 | ||
American National Bankshares, Inc.Δ | 938 | 32,464 | ||
Ameris Bancorp | 39,493 | 1,586,829 | ||
Argo Group International Holdings, Ltd. | 19,457 | 717,185 | ||
Associated Banc-Corp | 79,768 | 1,456,564 | ||
Atlantic Union Bankshares Corporation | 10,319 | 350,020 | ||
Axis Capital Holdings, Ltd. | 42,437 | 2,422,728 | ||
Banc of California, Inc. | 26,881 | 473,643 | ||
Bank of Marin Bancorp | 3,674 | 116,760 | ||
Bank of Princeton (The)Δ | 659 | 18,096 | ||
BankUnited, Inc. | 65,827 | 2,341,466 | ||
Bankwell Financial Group, Inc. | 2,094 | 65,019 | ||
Banner Corporation | 5,237 | 294,372 | ||
Bar Harbor BanksharesΔ | 847 | 21,903 | ||
BCB Bancorp, Inc.Δ | 4,058 | 69,108 | ||
Berkshire Hills Bancorp, Inc. | 22,021 | 545,460 | ||
Bridgewater Bancshares, Inc.Δ* | 2,093 | 33,781 | ||
Business First Bancshares, Inc.Δ | 4,051 | 86,327 | ||
Byline Bancorp, Inc.Δ | 7,613 | 181,189 | ||
Camden National CorporationΔ | 3,069 | 135,189 | ||
Capital Bancorp, Inc.Δ | 1,914 | 41,534 | ||
Capital City Bank Group, Inc.Δ | 3,059 | 85,315 | ||
Capstar Financial Holdings, Inc. | 7,142 | 140,126 | ||
Carter Bankshares, Inc.Δ* | 4,492 | 59,294 | ||
CBTX, Inc.Δ | 3,560 | 94,660 |
Shares | Value | |||
Central Pacific Financial CorporationΔ | 19,321 | $ 414,435 | ||
Central Valley Community BancorpΔ | 3,595 | 52,127 | ||
Chemung Financial Corporation | 792 | 37,224 | ||
City Holding Co.Δ | 18,840 | 1,504,939 | ||
Civista Bancshares, Inc.Δ | 3,171 | 67,415 | ||
CNB Financial Corporation | 2,308 | 55,831 | ||
CNO Financial Group, Inc. | 76,319 | 1,380,611 | ||
Comerica, Inc. | 2,744 | 201,355 | ||
Community Trust Bancorp, Inc.Δ | 4,674 | 189,017 | ||
Compass Diversified Holdings | 108,957 | 2,333,859 | ||
ConnectOne Bancorp, Inc. | 25,813 | 631,128 | ||
Cowen, Inc. Class AΔ | 32,520 | 770,399 | ||
Customers Bancorp, Inc.* | 6,200 | 210,180 | ||
Donegal Group, Inc. Class A | 4,196 | 71,542 | ||
Donnelley Financial Solutions, Inc.* | 41,080 | 1,203,233 | ||
Eagle Bancorp, Inc. | 21,733 | 1,030,362 | ||
eHealth, Inc.* | 7,400 | 69,042 | ||
Employers Holdings, Inc. | 16,334 | 684,231 | ||
Enact Holdings, Inc.Δ | 11,063 | 237,633 | ||
Enova International, Inc.* | 20,060 | 578,129 | ||
Enterprise Financial Services Corporation | 29,258 | 1,214,207 | ||
Essent Group, Ltd. | 49,096 | 1,909,834 | ||
Evercore, Inc. Class AΔ | 12,600 | 1,179,486 | ||
EZCORP, Inc. Class AΔ* | 31,780 | 238,668 | ||
FB Financial CorporationΔ | 4,899 | 192,139 | ||
Financial Institutions, Inc.Δ | 6,671 | 173,579 | ||
First American Financial Corporation | 8,193 | 433,574 | ||
First BanCorp | 37,336 | 1,303,026 | ||
First BanCorp (New York Exchange) | 276,036 | 3,563,625 | ||
First Business Financial Services, Inc.Δ | 1,600 | 49,904 | ||
First Commonwealth Financial Corporation | 29,908 | 401,365 | ||
First Financial BancorpΔ | 79,598 | 1,544,201 | ||
First Financial CorporationΔ | 8,039 | 357,735 | ||
First Foundation, Inc.Δ | 51,959 | 1,064,120 | ||
First Hawaiian, Inc. | 13,666 | 310,355 | ||
First Internet BancorpΔ | 2,695 | 99,230 | ||
First Interstate BancSystem, Inc. Class A | 92,334 | 3,518,849 | ||
First Merchants Corporation | 10,008 | 356,485 | ||
First Mid Bancshares, Inc.Δ | 7,747 | 276,335 | ||
First of Long Island Corporation (The)Δ | 2,180 | 38,215 | ||
First Savings Financial Group, Inc. | 847 | 20,277 | ||
FNB Corporation | 201,082 | 2,183,750 | ||
Focus Financial Partners, Inc. Class A* | 91,147 | 3,104,467 | ||
FS Bancorp, Inc. | 1,299 | 37,294 | ||
Genworth Financial, Inc. Class A* | 296,428 | 1,046,391 | ||
Great Southern Bancorp, Inc.Δ | 2,916 | 170,761 | ||
Green Dot Corporation Class A* | 2,000 | 50,220 | ||
Greenlight Capital Re, Ltd. Class AΔ* | 14,046 | 108,576 | ||
Guaranty Bancshares, Inc.Δ | 1,671 | 60,574 | ||
Hamilton Lane, Inc. Class A | 67,738 | 4,550,639 | ||
Hanmi Financial Corporation | 21,692 | 486,768 |
Shares | Value | |||
HarborOne Bancorp, Inc.Δ | 23,598 | $ 325,416 | ||
HBT Financial, Inc.Δ | 4,785 | 85,508 | ||
Heartland Financial U.S.A., Inc. | 3,963 | 164,623 | ||
Heritage Commerce CorporationΔ | 1,977 | 21,134 | ||
Heritage Financial CorporationΔ | 9,172 | 230,768 | ||
Heritage Insurance Holdings, Inc. | 10,077 | 26,603 | ||
Home Bancorp, Inc.Δ | 752 | 25,666 | ||
Home BancShares, Inc. | 78,676 | 1,634,101 | ||
HomeStreet, Inc.Δ | 16,006 | 554,928 | ||
HomeTrust Bancshares, Inc.Δ | 5,585 | 139,625 | ||
Horace Mann Educators CorporationΔ | 1,921 | 73,728 | ||
Horizon Bancorp, Inc.Δ | 3,780 | 65,848 | ||
Independent Bank CorporationΔ | 31,851 | 2,529,925 | ||
Independent Bank Corporation (NASDAQ Exchange)Δ | 7,366 | 142,016 | ||
Independent Bank Group, Inc.Δ | 45,653 | 3,100,295 | ||
Investar Holding CorporationΔ | 1,728 | 37,843 | ||
Jackson Financial, Inc. Class AΔ* | 24,140 | 645,745 | ||
James River Group Holdings, Ltd.Δ | 20,837 | 516,341 | ||
Kearny Financial CorporationΔ | 5,085 | 56,494 | ||
Kemper Corporation | 31,353 | 1,501,809 | ||
Lakeland Bancorp, Inc.Δ | 14,986 | 219,095 | ||
Lakeland Financial CorporationΔ | 2,148 | 142,670 | ||
Luther Burbank CorporationΔ | 1,695 | 22,120 | ||
Macatawa Bank CorporationΔ | 5,603 | 49,531 | ||
Mercantile Bank CorporationΔ | 2,240 | 71,568 | ||
Merchants BancorpΔ | 9,492 | 215,184 | ||
Midland States Bancorp, Inc.Δ | 8,776 | 210,975 | ||
MidWestOne Financial Group, Inc.Δ | 2,800 | 83,216 | ||
MVB Financial Corporation | 70,900 | 2,205,699 | ||
Navient CorporationΔ | 104,744 | 1,465,369 | ||
NBT Bancorp, Inc.Δ | 6,200 | 233,058 | ||
Nicolet Bankshares, Inc.Δ* | 3,908 | 282,705 | ||
NMI Holdings, Inc. Class A* | 96,263 | 1,602,779 | ||
Northfield Bancorp, Inc.Δ | 2,683 | 34,959 | ||
Northrim BanCorp, Inc. | 2,485 | 100,046 | ||
OceanFirst Financial CorporationΔ | 24,813 | 474,673 | ||
Ocwen Financial Corporation* | 2,219 | 60,801 | ||
OFG Bancorp | 28,220 | 716,788 | ||
Old National BancorpΔ | 331,511 | 4,903,048 | ||
Old Second Bancorp, Inc.Δ | 7,818 | 104,605 | ||
Oportun Financial CorporationΔ | 15,500 | 128,185 | ||
Origin Bancorp, Inc. | 17,380 | 674,344 | ||
Oscar Health, Inc. Class AΔ | 40,639 | 172,716 | ||
Pacific Premier Bancorp, Inc. | 103,442 | 3,024,644 | ||
Patria Investments, Ltd. Class AΔ | 25,259 | 333,924 | ||
Peapack-Gladstone Financial CorporationΔ | 8,385 | 249,034 | ||
PennyMac Financial Services, Inc. | 25,143 | 1,099,001 | ||
Piper Sandler Cos. | 1,008 | 114,267 | ||
Preferred Bank | 1,032 | 70,197 | ||
Premier Financial Corporation | 16,886 | 428,060 | ||
Primis Financial CorporationΔ | 7,740 | 105,496 | ||
ProAssurance CorporationΔ | 52,487 | 1,240,268 | ||
Professional Holding Corporation Class AΔ* | 4,161 | 83,428 | ||
PROG Holdings, Inc.Δ | 55,568 | 916,872 | ||
Provident Financial Services, Inc.Δ | 28,332 | 630,670 |
Shares | Value | |||
QCR Holdings, Inc.Δ | 14,461 | $ 780,749 | ||
Radian Group, Inc. | 53,342 | 1,048,170 | ||
RBB BancorpΔ | 5,652 | 116,827 | ||
Reinsurance Group of America, Inc. | 5,683 | 666,559 | ||
S&T Bancorp, Inc. | 5,799 | 159,067 | ||
Selective Insurance Group, Inc. | 33,373 | 2,901,449 | ||
Selectquote, Inc.Δ | 32,900 | 81,592 | ||
Sierra BancorpΔ | 3,150 | 68,449 | ||
Silvergate Capital Corporation Class A* | 19,500 | 1,043,835 | ||
SLM CorporationΔ | 12,058 | 192,205 | ||
SmartFinancial, Inc.Δ | 2,428 | 58,660 | ||
South Plains Financial, Inc.Δ | 476 | 11,491 | ||
SouthState Corporation | 59,589 | 4,597,291 | ||
Stewart Information Services Corporation | 18,152 | 903,062 | ||
Stifel Financial CorporationΔ | 14,442 | 809,041 | ||
StoneX Group, Inc.* | 6,305 | 492,231 | ||
Third Coast Bancshares, Inc. | 1,000 | 21,900 | ||
Towne Bank/Portsmouth VA | 33,208 | 901,597 | ||
TriCo BancsharesΔ | 6,443 | 294,059 | ||
TrustCo Bank Corporation NY | 820 | 25,289 | ||
UMB Financial Corporation | 39,980 | 3,442,278 | ||
Umpqua Holdings Corporation | 97,046 | 1,627,461 | ||
United Community Banks, Inc. | 72,211 | 2,180,050 | ||
United Fire Group, Inc. | 8,685 | 297,288 | ||
United Insurance Holdings Corporation | 10,491 | 16,366 | ||
Universal Insurance Holdings, Inc.Δ | 24,812 | 323,300 | ||
Unum Group | 48,651 | 1,655,107 | ||
Valley National Bancorp | 331,487 | 3,450,780 | ||
Veritex Holdings, Inc.Δ | 43,610 | 1,276,029 | ||
Victory Capital Holdings, Inc. Class AΔ | 97,800 | 2,356,980 | ||
Washington Federal, Inc. | 16,656 | 500,013 | ||
Waterstone Financial, Inc.Δ | 9,592 | 163,544 | ||
WesBanco, Inc.Δ | 52,060 | 1,650,823 | ||
Western New England Bancorp, Inc. | 2,484 | 18,531 | ||
WSFS Financial Corporation | 67,004 | 2,686,190 | ||
128,972,498 | ||||
Health Care — 12.8% | ||||
4D Molecular Therapeutics, Inc.Δ* | 10,500 | 73,290 | ||
Addus HomeCare CorporationΔ* | 17,200 | 1,432,416 | ||
Adverum Biotechnologies, Inc.* | 20,053 | 24,064 | ||
Agios Pharmaceuticals, Inc.Δ* | 53,923 | 1,195,473 | ||
Allscripts Healthcare Solutions, Inc.* | 82,752 | 1,227,212 | ||
Amicus Therapeutics, Inc.* | 176,495 | 1,895,556 | ||
AMN Healthcare Services, Inc.* | 6,819 | 748,112 | ||
Apellis Pharmaceuticals, Inc.Δ* | 40,439 | 1,828,652 | ||
Artivion, Inc.Δ* | 70,331 | 1,327,849 | ||
Atea Pharmaceuticals, Inc.Δ* | 13,800 | 97,980 | ||
AtriCure, Inc.* | 88,357 | 3,610,267 | ||
Avanos Medical, Inc.Δ* | 2,542 | 69,498 | ||
Azenta, Inc.Δ | 49,762 | 3,587,840 | ||
BioLife Solutions, Inc.Δ* | 34,000 | 469,540 | ||
Bluebird Bio, Inc.* | 1,327 | 5,494 | ||
Blueprint Medicines Corporation* | 32,812 | 1,657,334 |
Shares | Value | |||
C4 Therapeutics, Inc.Δ* | 49,100 | $ 370,214 | ||
Catalyst Pharmaceuticals, Inc.Δ* | 18,870 | 132,279 | ||
Certara, Inc.* | 41,900 | 899,174 | ||
Computer Programs and Systems, Inc.Δ* | 11,183 | 357,521 | ||
CONMED CorporationΔ | 19,925 | 1,908,018 | ||
Cross Country Healthcare, Inc.Δ* | 11,534 | 240,253 | ||
Deciphera Pharmaceuticals, Inc.Δ* | 46,803 | 615,459 | ||
Embecta CorporationΔ | 33,408 | 845,891 | ||
Emergent BioSolutions, Inc.Δ* | 38,319 | 1,189,422 | ||
Enovis Corporation | 19,887 | 1,093,785 | ||
Exelixis, Inc.* | 20,925 | 435,659 | ||
FibroGen, Inc.Δ* | 13,981 | 147,639 | ||
Gritstone bio, Inc.* | 12,600 | 30,492 | ||
Halozyme Therapeutics, Inc.* | 58,100 | 2,556,400 | ||
HealthEquity, Inc.* | 30,700 | 1,884,673 | ||
HealthStream, Inc.Δ* | 10,446 | 226,783 | ||
Icosavax, Inc. | 5,608 | 32,134 | ||
Insmed, Inc.Δ* | 73,238 | 1,444,253 | ||
Inspire Medical Systems, Inc.* | 26,071 | 4,762,390 | ||
Intercept Pharmaceuticals, Inc.Δ* | 20,699 | 285,853 | ||
Intra-Cellular Therapies, Inc.* | 44,000 | 2,511,520 | ||
Ionis Pharmaceuticals, Inc.* | 1,780 | 65,896 | ||
Jounce Therapeutics, Inc.Δ* | 11,320 | 34,300 | ||
Ligand Pharmaceuticals, Inc.* | 20,528 | 1,831,508 | ||
Merit Medical Systems, Inc.* | 40,891 | 2,219,155 | ||
National HealthCare Corporation | 3,961 | 276,874 | ||
Nektar TherapeuticsΔ* | 39,885 | 151,563 | ||
NeoGenomics, Inc.Δ* | 55,767 | 454,501 | ||
NextGen Healthcare, Inc.* | 6,826 | 119,045 | ||
NuVasive, Inc.Δ* | 34,639 | 1,702,853 | ||
Omnicell, Inc.* | 19,750 | 2,246,562 | ||
OraSure Technologies, Inc.* | 42,594 | 115,430 | ||
Orthofix Medical, Inc.* | 8,303 | 195,453 | ||
Outset Medical, Inc.Δ* | 20,100 | 298,686 | ||
Pacific Biosciences of California, Inc.Δ* | 110,026 | 486,315 | ||
Patterson Cos., Inc. | 54,887 | 1,663,076 | ||
Personalis, Inc. | 29,200 | 100,740 | ||
Phreesia, Inc.* | 64,300 | 1,608,143 | ||
Poseida Therapeutics, Inc.* | 486 | 1,254 | ||
Prestige Consumer Healthcare, Inc.* | 57,728 | 3,394,406 | ||
PTC Therapeutics, Inc.Δ* | 72,698 | 2,912,282 | ||
Pulmonx CorporationΔ* | 64,100 | 943,552 | ||
REGENXBIO, Inc.Δ* | 6,609 | 163,242 | ||
Rhythm Pharmaceuticals, Inc.* | 34,740 | 144,171 | ||
SeaSpine Holdings CorporationΔ* | 4,000 | 22,600 | ||
Shockwave Medical, Inc.* | 26,386 | 5,044,212 | ||
Silk Road Medical, Inc.Δ* | 46,200 | 1,681,218 | ||
STAAR Surgical Co.* | 21,700 | 1,539,181 | ||
Supernus Pharmaceuticals, Inc.* | 63,789 | 1,844,778 | ||
Sutro Biopharma, Inc.Δ* | 52,730 | 274,723 | ||
Tactile Systems Technology, Inc. | 19,999 | 145,993 | ||
Tandem Diabetes Care, Inc.* | 16,000 | 947,040 | ||
Tarsus Pharmaceuticals, Inc.Δ* | 102,100 | 1,490,660 | ||
TransMedics Group, Inc.Δ* | 54,669 | 1,719,340 | ||
Travere Therapeutics, Inc.* | 139,665 | 3,384,083 | ||
Treace Medical Concepts, Inc.Δ* | 62,300 | 893,382 |
Shares | Value | |||
Ultragenyx Pharmaceutical, Inc.* | 25,567 | $ 1,525,327 | ||
Vanda Pharmaceuticals, Inc.Δ* | 134,878 | 1,470,170 | ||
Varex Imaging CorporationΔ* | 67,943 | 1,453,301 | ||
Zimvie, Inc.* | 19,837 | 317,590 | ||
86,102,994 | ||||
Industrials — 17.8% | ||||
ABM Industries, Inc. | 45,533 | 1,977,043 | ||
ACCO Brands Corporation | 60,116 | 392,557 | ||
ACV Auctions, Inc. Class AΔ* | 111,400 | 728,556 | ||
AGCO Corporation | 6,844 | 675,503 | ||
Allegiant Travel Co.Δ* | 12,120 | 1,370,651 | ||
Ameresco, Inc. Class AΔ* | 31,142 | 1,418,830 | ||
Apogee Enterprises, Inc.Δ | 5,364 | 210,376 | ||
Applied Industrial Technologies, Inc. | 26,392 | 2,538,119 | ||
ArcBest Corporation | 18,458 | 1,298,889 | ||
Argan, Inc.Δ | 9,093 | 339,351 | ||
ASGN, Inc.* | 60,118 | 5,425,649 | ||
Astec Industries, Inc. | 6,370 | 259,769 | ||
Astronics Corporation* | 16,692 | 169,758 | ||
AZEK Co., Inc. (The)* | 100,400 | 1,680,696 | ||
Barnes Group, Inc.Δ | 19,569 | 609,379 | ||
Barrett Business Services, Inc. | 14,615 | 1,064,995 | ||
Beacon Roofing Supply, Inc.* | 32,382 | 1,663,140 | ||
Boise Cascade Co. | 78,609 | 4,676,449 | ||
BrightView Holdings, Inc.* | 94,800 | 1,137,600 | ||
Brink's Co. (The) | 41,755 | 2,534,946 | ||
Casella Waste Systems, Inc. Class AΔ* | 76,400 | 5,552,752 | ||
CECO Environmental Corporation* | 49,879 | 298,276 | ||
Charah Solutions, Inc.Δ* | 46,343 | 173,323 | ||
Chart Industries, Inc.Δ | 9,700 | 1,623,586 | ||
Columbus McKinnon CorporationΔ | 73,501 | 2,085,223 | ||
Commercial Vehicle Group, Inc.* | 17,586 | 102,702 | ||
CoreCivic, Inc. REITΔ* | 105,887 | 1,176,405 | ||
Costamare, Inc.Δ | 27,891 | 337,481 | ||
Covenant Logistics Group, Inc.Δ | 17,185 | 431,172 | ||
Deluxe Corporation | 53,591 | 1,161,317 | ||
Driven Brands Holdings, Inc.* | 110,300 | 3,037,662 | ||
DXP Enterprises, Inc.* | 22,910 | 701,733 | ||
Dycom Industries, Inc.* | 16,699 | 1,553,675 | ||
EMCOR Group, Inc. | 37,700 | 3,881,592 | ||
Encore Wire Corporation | 11,817 | 1,228,023 | ||
Ennis, Inc.Δ | 6,982 | 141,246 | ||
Esab Corporation | 61,838 | 2,705,413 | ||
ESCO Technologies, Inc. | 11,314 | 773,538 | ||
Exponent, Inc. | 19,200 | 1,756,224 | ||
Federal Signal Corporation | 62,122 | 2,211,543 | ||
First Advantage CorporationΔ* | 60,000 | 760,200 | ||
Genco Shipping & Trading, Ltd. | 10,856 | 209,738 | ||
GMS, Inc.* | 32,173 | 1,431,699 | ||
Graham CorporationΔ | 17,935 | 124,110 | ||
Hayward Holdings, Inc.Δ* | 49,116 | 706,779 | ||
Healthcare Services Group, Inc.Δ | 32,238 | 561,264 | ||
Heidrick & Struggles International, Inc.Δ | 7,183 | 232,442 | ||
Hexcel Corporation | 43,900 | 2,296,409 | ||
Hub Group, Inc. Class A* | 36,702 | 2,603,640 |
Shares | Value | |||
Hyster-Yale Materials Handling, Inc.Δ | 7,568 | $ 243,841 | ||
ITT, Inc. | 16,300 | 1,096,012 | ||
Kadant, Inc. | 11,401 | 2,078,972 | ||
KAR Auction Services, Inc.* | 86,501 | 1,277,620 | ||
Karat Packaging, Inc.* | 8,752 | 149,309 | ||
KBR, Inc. | 54,410 | 2,632,900 | ||
Kelly Services, Inc. Class A | 12,535 | 248,569 | ||
Kimball International, Inc. Class B | 22,016 | 168,863 | ||
Korn Ferry | 37,996 | 2,204,528 | ||
Lyft, Inc. Class A | 16,987 | 225,587 | ||
Manitowoc Co., Inc. (The)Δ* | 20,156 | 212,243 | ||
ManpowerGroup, Inc. | 3,741 | 285,850 | ||
Matrix Service Co.* | 17,021 | 86,126 | ||
Matthews International Corporation Class A | 8,180 | 234,521 | ||
Mistras Group, Inc.* | 2,045 | 12,147 | ||
MRC Global, Inc.Δ* | 2,108 | 20,996 | ||
MYR Group, Inc.Δ* | 29,342 | 2,585,910 | ||
NOW, Inc.* | 108,501 | 1,061,140 | ||
Park-Ohio Holdings Corporation | 2,762 | 43,805 | ||
Parsons CorporationΔ* | 13,932 | 563,131 | ||
Powell Industries, Inc.Δ | 4,496 | 105,072 | ||
Primoris Services CorporationΔ | 22,439 | 488,273 | ||
Quanex Building Products Corporation | 15,796 | 359,359 | ||
Radiant Logistics, Inc.Δ* | 17,574 | 130,399 | ||
RBC Bearings, Inc.Δ* | 14,000 | 2,589,300 | ||
Regal Beloit Corporation | 25,089 | 2,848,103 | ||
Resources Connection, Inc. | 12,211 | 248,738 | ||
REV Group, Inc.Δ | 22,851 | 248,390 | ||
Ryder System, Inc. | 1,873 | 133,095 | ||
Saia, Inc.* | 7,700 | 1,447,600 | ||
Steelcase, Inc. Class A | 66,629 | 714,929 | ||
Sun Country Airlines Holdings, Inc.Δ* | 106,420 | 1,951,743 | ||
Tecnoglass, Inc.Δ | 56,635 | 993,944 | ||
Tetra Tech, Inc. | 33,807 | 4,616,346 | ||
Timken Co. (The) | 54,754 | 2,904,700 | ||
Titan Machinery, Inc.Δ* | 15,758 | 353,137 | ||
Trinity Industries, Inc.Δ | 30,798 | 745,928 | ||
TrueBlue, Inc.* | 23,077 | 413,078 | ||
Tutor Perini CorporationΔ* | 36,449 | 320,022 | ||
UniFirst CorporationΔ | 2,927 | 503,971 | ||
Upwork, Inc.* | 42,293 | 874,619 | ||
Vectrus, Inc.* | 7,150 | 239,239 | ||
Wabash National CorporationΔ | 30,692 | 416,797 | ||
Werner Enterprises, Inc. | 87,766 | 3,382,502 | ||
WESCO International, Inc.* | 13,874 | 1,485,905 | ||
WillScot Mobile Mini Holdings Corporation* | 72,091 | 2,337,190 | ||
Yellow Corporation* | 16,655 | 48,799 | ||
Zurn Water Solutions Corporation | 126,330 | 3,441,229 | ||
119,805,900 | ||||
Information Technology — 13.0% | ||||
ADTRAN, Inc.Δ | 10,277 | 180,156 | ||
Advanced Energy Industries, Inc. | 7,216 | 526,624 | ||
Allegro MicroSystems, Inc.* | 111,400 | 2,304,866 | ||
Avaya Holdings Corporation* | 117,269 | 262,683 |
Shares | Value | |||
Aviat Networks, Inc.Δ* | 4,003 | $ 100,235 | ||
Avnet, Inc. | 57,272 | 2,455,823 | ||
Belden, Inc. | 39,142 | 2,085,094 | ||
Benchmark Electronics, Inc. | 19,765 | 445,898 | ||
Blackline, Inc.Δ* | 17,707 | 1,179,286 | ||
Box, Inc. Class AΔ* | 55,154 | 1,386,572 | ||
BTRS Holdings, Inc. Class 1Δ* | 334,300 | 1,664,814 | ||
Cirrus Logic, Inc.* | 4,140 | 300,316 | ||
Coherent, Inc.* | 2,152 | 572,905 | ||
Cohu, Inc.Δ* | 33,337 | 925,102 | ||
Conduent, Inc.* | 94,089 | 406,464 | ||
Consensus Cloud Solutions, Inc.* | 27,162 | 1,186,436 | ||
Daktronics, Inc.* | 17,433 | 52,473 | ||
Diebold Nixdorf, Inc.Δ* | 9,849 | 22,357 | ||
EMCORE Corporation* | 20,587 | 63,202 | ||
Enfusion, Inc. Class AΔ* | 115,700 | 1,181,297 | ||
Envestnet, Inc.* | 20,800 | 1,097,616 | ||
Euronet Worldwide, Inc.* | 4,495 | 452,152 | ||
EVERTEC, Inc. | 73,296 | 2,703,156 | ||
Evo Payments, Inc. Class A* | 88,800 | 2,088,576 | ||
ExlService Holdings, Inc.* | 43,657 | 6,431,986 | ||
IBEX Holdings, Ltd.Δ* | 20,088 | 338,885 | ||
Ichor Holdings, Ltd.Δ* | 27,536 | 715,385 | ||
II-VI, Inc.Δ* | 92,862 | 4,731,319 | ||
Instructure Holdings, Inc.Δ | 13,491 | 306,246 | ||
Juniper Networks, Inc. | 37,052 | 1,055,982 | ||
Kimball Electronics, Inc.Δ* | 4,122 | 82,852 | ||
Kulicke & Soffa Industries, Inc.Δ | 47,512 | 2,033,989 | ||
KVH Industries, Inc.* | 4,350 | 37,845 | ||
MACOM Technology Solutions Holdings, Inc.Δ* | 63,081 | 2,908,034 | ||
MaxLinear, Inc.* | 57,990 | 1,970,500 | ||
NETGEAR, Inc.* | 51,998 | 963,003 | ||
NetScout Systems, Inc.* | 17,183 | 581,645 | ||
New Relic, Inc.* | 39,800 | 1,991,990 | ||
nLight, Inc.Δ* | 138,800 | 1,418,536 | ||
Nutanix, Inc. Class A* | 11,859 | 173,497 | ||
ON24, Inc.Δ | 3,750 | 35,588 | ||
Onto Innovation, Inc.* | 47,200 | 3,291,728 | ||
Paycor HCM, Inc.Δ* | 100,700 | 2,618,200 | ||
PC Connection, Inc. | 3,388 | 149,241 | ||
Ping Identity Holding CorporationΔ* | 55,968 | 1,015,260 | ||
Priority Technology Holdings, Inc.Δ* | 128,200 | 423,060 | ||
Q2 Holdings, Inc.Δ* | 68,426 | 2,639,191 | ||
Quantum Corporation* | 14,900 | 21,158 | ||
Rapid7, Inc.Δ* | 33,174 | 2,216,023 | ||
Ribbon Communications, Inc.Δ* | 39,814 | 121,035 | ||
Sailpoint Technologies Holdings, Inc.* | 57,200 | 3,585,296 | ||
ScanSource, Inc.* | 10,431 | 324,821 | ||
SecureWorks Corporation Class AΔ* | 11,722 | 127,301 | ||
Semtech Corporation* | 32,475 | 1,785,151 | ||
Silicon Laboratories, Inc.* | 14,409 | 2,020,430 | ||
Smartsheet, Inc. Class A* | 47,400 | 1,489,782 | ||
Sprout Social, Inc. Class A* | 48,517 | 2,817,382 | ||
SPS Commerce, Inc. | 3,554 | 401,780 | ||
Synaptics, Inc.* | 18,500 | 2,183,925 | ||
Teradata CorporationΔ* | 68,303 | 2,527,894 |
Shares | Value | |||
Unisys CorporationΔ* | 18,034 | $ 216,949 | ||
Varonis Systems, Inc.* | 59,015 | 1,730,320 | ||
Verint Systems, Inc.Δ* | 31,413 | 1,330,341 | ||
Vertex, Inc. Class A* | 106,800 | 1,210,044 | ||
Vontier Corporation | 42,081 | 967,442 | ||
Workiva, Inc.* | 30,200 | 1,992,898 | ||
Xerox Holdings Corporation | 69,344 | 1,029,758 | ||
87,657,795 | ||||
Materials — 3.2% | ||||
AdvanSix, Inc.Δ | 19,318 | 645,994 | ||
Balchem Corporation | 5,915 | 767,412 | ||
Clearwater Paper Corporation* | 13,949 | 469,105 | ||
Coeur Mining, Inc.* | 33,065 | 100,518 | ||
Ecovyst, Inc.Δ | 36,900 | 363,465 | ||
Glatfelter Corporation | 21,151 | 145,519 | ||
Graphic Packaging Holding Co. | 113,479 | 2,326,319 | ||
Huntsman Corporation | 28,254 | 801,001 | ||
Kaiser Aluminum CorporationΔ | 23,090 | 1,826,188 | ||
Koppers Holdings, Inc. | 8,865 | 200,704 | ||
Mercer International, Inc. | 6,662 | 87,605 | ||
Minerals Technologies, Inc. | 64,528 | 3,958,147 | ||
Neenah, Inc. | 36,723 | 1,253,723 | ||
Olympic Steel, Inc.Δ | 6,933 | 178,525 | ||
Pactiv Evergreen, Inc.Δ | 130,691 | 1,301,682 | ||
Quaker Chemical CorporationΔ | 8,240 | 1,232,045 | ||
Rayonier Advanced Materials, Inc.Δ* | 28,254 | 74,025 | ||
Schnitzer Steel Industries, Inc. Class A | 25,265 | 829,703 | ||
Stepan Co. | 942 | 95,472 | ||
Summit Materials, Inc. Class A* | 87,556 | 2,039,179 | ||
SunCoke Energy, Inc.Δ | 95,462 | 650,096 | ||
Worthington Industries, Inc. | 46,636 | 2,056,648 | ||
21,403,075 | ||||
Real Estate — 6.3% | ||||
American Assets Trust, Inc. REIT | 45,086 | 1,339,054 | ||
Anywhere Real Estate, Inc.Δ* | 75,291 | 740,111 | ||
Apple Hospitality REIT, Inc. | 110,117 | 1,615,416 | ||
Armada Hoffler Properties, Inc. REITΔ | 111,902 | 1,436,822 | ||
Braemar Hotels & Resorts, Inc. REITΔ | 41,000 | 175,890 | ||
Brandywine Realty Trust REIT | 227,517 | 2,193,264 | ||
CareTrust REIT, Inc. | 43,585 | 803,707 | ||
Centerspace REITΔ | 2,375 | 193,681 | ||
Cousins Properties, Inc. REIT | 15,525 | 453,796 | ||
CTO Realty Growth, Inc. REITΔ | 4,462 | 272,717 | ||
DiamondRock Hospitality Co. REIT* | 174,686 | 1,434,172 | ||
Diversified Healthcare Trust REIT | 135,577 | 246,750 | ||
Easterly Government Properties, Inc. REITΔ | 25,982 | 494,697 | ||
EastGroup Properties, Inc. REIT | 9,794 | 1,511,508 | ||
Equity Commonwealth REITΔ* | 60,517 | 1,666,033 | ||
Forestar Group, Inc.Δ* | 9,379 | 128,399 | ||
Four Corners Property Trust, Inc. REITΔ | 83,659 | 2,224,493 | ||
Franklin Street Properties Corporation REIT | 62,804 | 261,893 |
Shares | Value | |||
Getty Realty Corporation REIT | 18,755 | $ 497,008 | ||
Healthcare Realty Trust, Inc. REITΔ | 14,496 | 394,291 | ||
Hersha Hospitality Trust REIT | 3,850 | 37,769 | ||
Highwoods Properties, Inc. REIT | 13,405 | 458,317 | ||
Hudson Pacific Properties, Inc. REITΔ | 15,911 | 236,119 | ||
Independence Realty Trust, Inc. REIT | 57,326 | 1,188,368 | ||
Industrial Logistics Properties Trust REITΔ | 9,258 | 130,353 | ||
Kennedy-Wilson Holdings, Inc. | 166,059 | 3,145,157 | ||
Kite Realty Group Trust REITΔ | 112,269 | 1,941,131 | ||
LXP Industrial Trust REITΔ | 121,324 | 1,303,020 | ||
Marcus & Millichap, Inc.Δ | 7,560 | 279,644 | ||
National Health Investors, Inc. REITΔ | 13,905 | 842,782 | ||
National Storage Affiliates Trust REIT | 61,291 | 3,068,840 | ||
Office Properties Income Trust REITΔ | 32,569 | 649,752 | ||
Paramount Group, Inc. REIT | 95,514 | 690,566 | ||
Park Hotels & Resorts, Inc. REIT* | 5,324 | 72,247 | ||
Pebblebrook Hotel Trust REIT | 65,062 | 1,078,077 | ||
Physicians Realty Trust REIT | 143,158 | 2,498,107 | ||
Piedmont Office Realty Trust, Inc. Class A REITΔ | 71,658 | 940,153 | ||
RLJ Lodging Trust REIT | 116,136 | 1,280,980 | ||
RPT Realty REIT | 112,234 | 1,103,260 | ||
Sabra Health Care REIT, Inc. | 25,189 | 351,890 | ||
Summit Hotel Properties, Inc. REITΔ* | 57,898 | 420,918 | ||
Sunstone Hotel Investors, Inc. REIT* | 118,543 | 1,175,947 | ||
Veris Residential, Inc. REITΔ* | 32,509 | 430,419 | ||
Whitestone REITΔ | 31,401 | 337,561 | ||
Xenia Hotels & Resorts, Inc. REIT* | 20,972 | 304,723 | ||
Zillow Group, Inc. Class A | 5,797 | 184,403 | ||
42,234,205 | ||||
Utilities — 2.0% | ||||
ALLETE, Inc. | 11,373 | 668,505 | ||
Black Hills Corporation | 23,749 | 1,728,215 | ||
Northwest Natural Holding Co. | 18,386 | 976,297 | ||
NorthWestern CorporationΔ | 29,959 | 1,765,484 | ||
NRG Energy, Inc. | 15,372 | 586,749 | ||
Pinnacle West Capital Corporation | 6,841 | 500,214 | ||
PNM Resources, Inc. | 10,056 | 480,476 | ||
Portland General Electric Co. | 35,530 | 1,717,165 | ||
Southwest Gas Holdings, Inc. | 31,366 | 2,731,351 | ||
Spire, Inc.Δ | 27,939 | 2,077,823 | ||
13,232,279 | ||||
Total Common Stocks (Cost $652,423,057) | 628,881,860 | |||
FOREIGN COMMON STOCKS — 2.1% | ||||
Canada — 0.2% | ||||
DIRTT Environmental SolutionsΔ* | 96,127 | 102,856 | ||
IMAX Corporation* | 56,559 | 955,282 | ||
1,058,138 | ||||
Germany — 0.0% | ||||
SiriusPoint, Ltd.* | 31,654 | 171,565 |
Shares | Value | |||
Ireland — 0.1% | ||||
Endo International PLCΔ* | 42,713 | $ 19,892 | ||
GH Research PLCΔ* | 31,200 | 311,376 | ||
331,268 | ||||
Israel — 0.4% | ||||
Caesarstone, Ltd. | 10,925 | 99,745 | ||
Global-e Online, Ltd.Δ* | 52,100 | 1,050,857 | ||
JFrog, Ltd.* | 73,300 | 1,544,431 | ||
2,695,033 | ||||
Jersey — 0.9% | ||||
WNS Holdings, Ltd. ADR* | 84,249 | 6,288,345 | ||
Netherlands — 0.1% | ||||
MYT Netherlands Parent BV ADRΔ* | 82,300 | 813,124 | ||
Sweden — 0.1% | ||||
Loomis AB | 38,148 | 931,861 | ||
United Kingdom — 0.3% | ||||
Gates Industrial Corporation PLC* | 126,314 | 1,365,454 | ||
Luxfer Holdings PLCΔ | 17,791 | 269,000 | ||
1,634,454 | ||||
Total Foreign Common Stocks (Cost $18,454,542) | 13,923,788 | |||
RIGHTS — 0.0% | ||||
Aduro Biotech, Inc.Ψ†††Δ* (Cost $—) | 2,713 | — | ||
MONEY MARKET FUNDS — 6.7% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ | 30,834,713 | 30,834,713 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.46%ا | 14,379,342 | 14,379,342 | ||
Northern Institutional U.S. Government Portfolio (Shares), 1.12%Ø | 161,861 | 161,861 | ||
Total Money Market Funds (Cost $45,375,916) | 45,375,916 | |||
TOTAL INVESTMENTS — 102.2% (Cost $716,253,515) | 688,181,564 | |||
Liabilities in Excess of Other Assets — (2.2)% | (14,816,018) | |||
NET ASSETS — 100.0% | $673,365,546 |
% | |
Financials | 19.1 |
Industrials | 18.2 |
Information Technology | 14.1 |
Health Care | 12.9 |
Consumer Discretionary | 10.9 |
Money Market Funds | 6.7 |
Real Estate | 6.3 |
Energy | 3.6 |
Consumer Staples | 3.4 |
Materials | 3.2 |
Utilities | 2.0 |
Communication Services | 1.8 |
Rights | — |
102.2 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/30/22 | U.S. Dollars | 901,077 | Swedish Kronor | 9,147,280 | UBS | $3,260 | ||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2022 | $3,260 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $628,881,860 | $628,881,860 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Sweden | 931,861 | — | 931,861 | — | |||
Other | 12,991,927 | 12,991,927 | — | — | |||
Total Foreign Common Stocks | 13,923,788 | 12,991,927 | 931,861 | — | |||
Money Market Funds | 45,375,916 | 45,375,916 | — | — | |||
Rights | — | — | — | —** | |||
Total Assets - Investments in Securities | $688,181,564 | $687,249,703 | $931,861 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 3,260 | $ — | $ 3,260 | $ — | |||
Total Assets - Other Financial Instruments | $ 3,260 | $ — | $ 3,260 | $ — |
** | 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. |
Shares | Value | |||
COMMON STOCKS — 0.2% | ||||
Communication Services — 0.2% | ||||
Sea, Ltd. ADR* | 16,990 | $1,135,951 | ||
Financials — 0.0% | ||||
Futu Holdings, Ltd. ADRΔ* | 2,522 | 131,674 | ||
Industrials — 0.0% | ||||
Grab Holdings, Ltd. Class AΔ* | 55,000 | 139,150 | ||
Total Common Stocks (Cost $3,617,601) | 1,406,775 | |||
FOREIGN COMMON STOCKS — 93.6% | ||||
Australia — 7.5% | ||||
Ampol, Ltd. | 1,591 | 37,552 | ||
APA Group | 56,822 | 442,517 | ||
ASX, Ltd. | 9,397 | 531,162 | ||
Aurizon Holdings, Ltd. | 144,275 | 379,448 | ||
Australia & New Zealand Banking Group, Ltd. | 133,614 | 2,035,036 | ||
BHP Group, Ltd. | 285,555 | 8,176,472 | ||
BlueScope Steel, Ltd. | 21,263 | 234,290 | ||
Brambles, Ltd. | 72,678 | 537,403 | ||
Cochlear, Ltd. | 3,288 | 451,418 | ||
Coles Group, Ltd. | 59,178 | 728,265 | ||
Commonwealth Bank of Australia | 99,996 | 6,247,405 | ||
Computershare, Ltd. | 24,948 | 425,442 | ||
CSL, Ltd. | 32,332 | 6,003,239 | ||
Dexus REIT | 65,896 | 405,225 | ||
Domino’s Pizza Enterprises, Ltd.Δ | 4,484 | 210,774 | ||
Evolution Mining, Ltd. | 97,132 | 158,709 | ||
Fortescue Metals Group, Ltd. | 86,232 | 1,036,919 | ||
Goodman Group REIT | 96,925 | 1,196,804 | ||
GPT Group (The) REIT (Athens Exchange) | 137,876 | 402,968 | ||
IDP Education, Ltd.Δ | 17,951 | 293,950 | ||
Insurance Australia Group, Ltd. | 115,449 | 348,143 | ||
Lendlease Corporation, Ltd. | 36,784 | 231,700 | ||
Macquarie Group, Ltd. | 18,802 | 2,140,720 | ||
Medibank Pvt., Ltd. | 94,662 | 212,912 | ||
Mineral Resources, Ltd. | 7,000 | 234,938 | ||
Mirvac Group REIT | 260,355 | 355,877 | ||
National Australia Bank, Ltd. | 161,573 | 3,063,883 | ||
Newcrest Mining, Ltd. | 40,166 | 572,214 | ||
Northern Star Resources, Ltd. | 45,766 | 214,675 | ||
Orica, Ltd. | 7,637 | 83,554 | ||
Origin Energy, Ltd. | 62,971 | 249,967 | ||
Qantas Airways, Ltd.* | 66,392 | 205,472 | ||
QBE Insurance Group, Ltd. | 75,406 | 633,627 | ||
REA Group, Ltd. | 4,130 | 318,921 | ||
Reece, Ltd. | 18,888 | 179,414 | ||
Rio Tinto, Ltd. | 22,308 | 1,591,427 | ||
Santos, Ltd. | 135,376 | 686,381 | ||
Scentre Group REIT | 265,947 | 477,521 | ||
SEEK, Ltd. | 16,462 | 238,796 | ||
Sonic Healthcare, Ltd. | 45,006 | 1,025,835 | ||
South32, Ltd. | 212,814 | 576,660 | ||
Stockland REIT | 133,688 | 333,790 | ||
Suncorp Group, Ltd. | 68,156 | 519,740 |
Shares | Value | |||
Telstra Corporation, Ltd. | 341,734 | $ 908,936 | ||
Transurban Group | 293,133 | 2,916,470 | ||
Vicinity Centres REIT | 137,781 | 175,032 | ||
Washington H Soul Pattinson & Co., Ltd. | 6,495 | 105,776 | ||
Wesfarmers, Ltd. | 52,292 | 1,512,493 | ||
Westpac Banking Corporation | 164,250 | 2,215,553 | ||
WiseTech Global, Ltd. | 14,156 | 371,202 | ||
Woodside Energy Group, Ltd. | 89,888 | 1,975,605 | ||
Woolworths Group, Ltd. | 57,600 | 1,414,790 | ||
56,027,022 | ||||
Austria — 0.2% | ||||
Erste Group Bank AG | 21,419 | 544,284 | ||
OMV AG | 10,806 | 508,215 | ||
Verbund AGΔ | 5,255 | 516,558 | ||
voestalpine AG | 4,506 | 96,303 | ||
1,665,360 | ||||
Belgium — 0.6% | ||||
Ageas SA/NV | 4,155 | 183,205 | ||
Elia Group SA/NVΔ | 2,782 | 395,101 | ||
Groupe Bruxelles Lambert SA | 11,620 | 974,098 | ||
KBC Group NV | 13,105 | 737,300 | ||
Proximus SADP | 7,723 | 113,990 | ||
Sofina SAΔ | 865 | 177,309 | ||
Solvay SA | 4,910 | 399,999 | ||
UCB SA | 14,083 | 1,193,384 | ||
Umicore SA | 9,507 | 333,259 | ||
4,507,645 | ||||
Denmark — 2.3% | ||||
AP Moeller - Maersk A/S Class A | 649 | 1,506,301 | ||
AP Moeller - Maersk A/S Class B | 60 | 140,856 | ||
Chr. Hansen Holding A/S | 9,414 | 687,201 | ||
Coloplast A/S Class B | 13,701 | 1,565,472 | ||
Danske Bank A/S | 52,273 | 743,987 | ||
Demant A/SΔ* | 18,113 | 680,894 | ||
DSV A/S | 18,994 | 2,670,886 | ||
Genmab A/S* | 5,830 | 1,891,513 | ||
GN Store Nord A/SΔ | 9,764 | 344,446 | ||
Novozymes A/S, B SharesΔ | 20,803 | 1,251,986 | ||
Orsted A/S 144A | 16,730 | 1,762,069 | ||
Pandora A/S | 9,048 | 574,842 | ||
ROCKWOOL International A/S, B Shares | 1,073 | 243,608 | ||
Tryg A/SΔ | 43,880 | 988,612 | ||
Vestas Wind Systems A/S | 86,690 | 1,843,203 | ||
16,895,876 | ||||
Finland — 1.1% | ||||
Elisa OYJ | 7,229 | 406,973 | ||
Fortum OYJ | 22,487 | 339,888 | ||
Kesko OYJ, B Shares | 12,949 | 306,449 | ||
Kone OYJ Class B | 11,915 | 569,480 | ||
Neste OYJ | 18,827 | 837,443 | ||
Nokia OYJ | 277,645 | 1,286,899 | ||
Nordea Bank Abp | 155,036 | 1,369,514 |
Shares | Value | |||
Nordea Bank Abp (NASDAQ Exchange) | 1,819 | $ 16,086 | ||
Orion OYJ Class B | 19,705 | 881,889 | ||
Sampo OYJ, A Shares | 21,519 | 940,405 | ||
Stora Enso OYJ, R Shares | 22,882 | 362,568 | ||
UPM-Kymmene OYJΔ | 27,891 | 855,230 | ||
8,172,824 | ||||
France — 9.6% | ||||
Accor SA* | 16,778 | 457,730 | ||
Aeroports de Paris* | 2,268 | 289,125 | ||
Air Liquide SA | 37,542 | 5,053,300 | ||
Alstom SA | 13,522 | 308,769 | ||
Amundi SA 144A | 3,229 | 177,779 | ||
Arkema SA | 2,715 | 242,864 | ||
AXA SA | 105,390 | 2,407,270 | ||
BioMerieux | 1,757 | 172,282 | ||
BNP Paribas SA | 59,911 | 2,865,661 | ||
Bollore SE | 53,876 | 251,156 | ||
Bouygues SA | 11,283 | 348,233 | ||
Bureau Veritas SAΔ | 15,449 | 397,473 | ||
Capgemini SE | 7,893 | 1,361,228 | ||
Carrefour SAΔ | 29,587 | 525,208 | ||
Cie de St-Gobain | 26,241 | 1,133,854 | ||
Cie Generale des Etablissements Michelin SCA | 34,536 | 943,212 | ||
Covivio REITΔ | 4,333 | 242,075 | ||
Credit Agricole SA | 66,291 | 611,135 | ||
Danone SA | 36,549 | 2,046,824 | ||
Dassault Systemes SE | 37,571 | 1,391,663 | ||
Edenred | 13,754 | 651,536 | ||
Eiffage SA | 4,139 | 374,414 | ||
Electricite de France SAΔ | 39,291 | 322,730 | ||
Engie SA | 92,715 | 1,073,544 | ||
EssilorLuxottica SA | 18,354 | 2,782,700 | ||
Eurazeo SE | 3,083 | 191,529 | ||
Eurofins Scientific SE | 12,824 | 1,012,816 | ||
Gecina SA REIT | 2,894 | 271,602 | ||
Getlink SE | 33,090 | 586,862 | ||
Hermes International | 2,286 | 2,572,729 | ||
Ipsen SA | 3,144 | 297,684 | ||
Kering SA | 4,361 | 2,259,988 | ||
Klepierre REITΔ* | 14,221 | 275,205 | ||
L’Oreal SA | 13,973 | 4,851,503 | ||
Legrand SA | 28,102 | 2,086,532 | ||
Orange SA | 111,352 | 1,312,124 | ||
Publicis Groupe SA | 15,647 | 769,528 | ||
Renault SA* | 7,966 | 201,109 | ||
Safran SA | 14,290 | 1,422,791 | ||
Sanofi | 70,456 | 7,105,210 | ||
Sartorius Stedim Biotech | 2,225 | 702,027 | ||
Schneider Electric SE | 28,838 | 3,436,208 | ||
SEB SAΔ | 1,871 | 180,563 | ||
Societe Generale SA | 43,102 | 952,973 | ||
Sodexo SA | 8,568 | 606,052 | ||
Teleperformance | 2,675 | 825,997 | ||
Thales SA | 4,648 | 570,668 | ||
TotalEnergies SEΔ | 129,939 | 6,839,595 |
Shares | Value | |||
Ubisoft Entertainment SA* | 5,285 | $ 233,086 | ||
Unibail-Rodamco-Westfield CDI* | 10,140 | 26,237 | ||
Unibail-Rodamco-Westfield REITΔ* | 6,095 | 309,869 | ||
ValeoΔ | 12,169 | 237,125 | ||
Veolia Environnement SAΔ* | 31,981 | 783,960 | ||
Vinci SA | 28,384 | 2,547,790 | ||
Vivendi SEΔ | 34,973 | 356,896 | ||
Wendel SE | 12,725 | 1,066,520 | ||
Worldline SA 144A* | 13,200 | 492,352 | ||
71,816,895 | ||||
Germany — 7.2% | ||||
adidas AG | 12,373 | 2,197,828 | ||
Allianz SE | 26,628 | 5,104,862 | ||
Aroundtown SAΔ | 49,132 | 157,144 | ||
BASF SE | 46,684 | 2,042,530 | ||
Bayerische Motoren Werke AG | 23,493 | 1,821,192 | ||
Bechtle AG | 3,882 | 159,452 | ||
Beiersdorf AG | 7,547 | 774,452 | ||
Brenntag SE | 7,869 | 515,248 | ||
Carl Zeiss Meditec AG | 4,095 | 492,340 | ||
Commerzbank AG* | 39,511 | 280,336 | ||
Continental AG | 4,960 | 348,136 | ||
Covestro AG 144A | 8,920 | 309,958 | ||
Daimler Truck Holding AG* | 19,583 | 515,736 | ||
Delivery Hero SE 144A* | 6,459 | 243,671 | ||
Deutsche Bank AG | 96,500 | 848,014 | ||
Deutsche Boerse AG | 11,154 | 1,873,055 | ||
Deutsche Lufthansa AG* | 49,931 | 294,107 | ||
Deutsche Post AG | 48,326 | 1,824,604 | ||
Deutsche Telekom AG | 179,440 | 3,568,929 | ||
E.ON SE | 140,727 | 1,185,354 | ||
Evonik Industries AG | 13,302 | 285,277 | ||
Fresenius Medical Care AG & Co. KGaA | 15,717 | 787,439 | ||
Fresenius SE & Co. KGaA | 22,478 | 683,595 | ||
GEA Group AG | 7,555 | 261,917 | ||
Hannover Rueck SE | 3,483 | 508,012 | ||
HeidelbergCement AG | 2,223 | 107,329 | ||
HelloFresh SE* | 7,006 | 228,569 | ||
Henkel AG & Co. KGaA | 8,746 | 537,357 | ||
Infineon Technologies AG | 57,165 | 1,390,569 | ||
LEG Immobilien SE | 5,831 | 485,265 | ||
Mercedes-Benz Group AG | 43,855 | 2,547,027 | ||
MTU Aero Engines AG | 2,932 | 537,118 | ||
Muenchener Rueckversicherungs-Gesellschaft AG | 8,326 | 1,969,494 | ||
Nemetschek SE | 7,133 | 433,948 | ||
Puma SE | 20,232 | 1,342,322 | ||
Rheinmetall AG | 4,846 | 1,118,286 | ||
RWE AG | 36,845 | 1,362,751 | ||
SAP SE | 66,129 | 6,027,689 | ||
Siemens AG | 44,686 | 4,593,564 | ||
Siemens Energy AG | 18,963 | 279,483 | ||
Siemens Healthineers AG 144A | 17,555 | 895,065 | ||
Symrise AG | 6,729 | 733,900 | ||
Telefonica Deutschland Holding AG | 56,298 | 162,347 |
Shares | Value | |||
Volkswagen AG | 247 | $ 45,173 | ||
Vonovia SE | 37,687 | 1,166,054 | ||
Zalando SE 144A* | 10,454 | 275,386 | ||
53,321,884 | ||||
Hong Kong — 3.3% | ||||
AIA Group, Ltd. | 766,800 | 8,378,494 | ||
BOC Hong Kong Holdings, Ltd. | 214,500 | 851,774 | ||
Chow Tai Fook Jewellery Group, Ltd. | 180,800 | 341,511 | ||
CK Asset Holdings, Ltd. | 102,557 | 728,700 | ||
CK Hutchison Holdings, Ltd. | 157,000 | 1,065,088 | ||
CK Infrastructure Holdings, Ltd. | 35,000 | 215,003 | ||
CLP Holdings, Ltd. | 67,500 | 560,944 | ||
ESR Cayman, Ltd. 144A* | 115,800 | 314,009 | ||
Hang Lung Properties, Ltd.Δ | 117,000 | 222,630 | ||
Hang Seng Bank, Ltd. | 46,300 | 820,478 | ||
Henderson Land Development Co., Ltd. | 71,275 | 267,878 | ||
Hong Kong & China Gas Co., Ltd. | 562,138 | 606,668 | ||
Hong Kong Exchanges and Clearing, Ltd. | 60,197 | 2,977,119 | ||
Link REIT | 123,911 | 1,012,522 | ||
MTR Corporation, Ltd. | 349,963 | 1,834,764 | ||
New World Development Co., Ltd. | 83,466 | 300,656 | ||
Power Assets Holdings, Ltd. | 43,000 | 270,896 | ||
Sino Land Co., Ltd.Δ | 335,399 | 495,276 | ||
SITC International Holdings Co., Ltd. | 59,000 | 167,807 | ||
Sun Hung Kai Properties, Ltd. (Hong Kong Exchange) | 68,000 | 805,124 | ||
Swire Pacific, Ltd. Class A | 22,500 | 134,376 | ||
Swire Properties, Ltd. | 63,800 | 158,839 | ||
Techtronic Industries Co., Ltd. | 71,500 | 746,614 | ||
WH Group, Ltd. 144A | 585,591 | 453,239 | ||
Wharf Real Estate Investment Co., Ltd. | 115,000 | 549,151 | ||
Xinyi Glass Holdings, Ltd.Δ | 96,000 | 231,626 | ||
24,511,186 | ||||
Ireland — 0.5% | ||||
CRH PLC | 37,620 | 1,298,222 | ||
DCC PLC | 5,616 | 349,408 | ||
James Hardie Industries PLC CDI | 25,315 | 554,217 | ||
Kerry Group PLC Class A | 8,753 | 837,067 | ||
Kingspan Group PLC | 7,807 | 469,444 | ||
Smurfit Kappa Group PLC | 17,166 | 578,873 | ||
4,087,231 | ||||
Israel — 0.6% | ||||
Azrieli Group, Ltd. | 1,239 | 87,228 | ||
Bank Hapoalim BM | 48,532 | 407,534 | ||
Bank Leumi Le-Israel BM | 72,431 | 647,969 | ||
Check Point Software Technologies, Ltd.* | 4,629 | 563,720 | ||
CyberArk Software, Ltd.* | 2,381 | 304,673 | ||
Elbit Systems, Ltd. | 1,618 | 371,617 | ||
ICL Group, Ltd. | 53,933 | 492,674 | ||
Israel Discount Bank, Ltd. Class A | 52,953 | 277,284 | ||
Kornit Digital, Ltd.* | 2,834 | 89,838 | ||
Mizrahi Tefahot Bank, Ltd. | 11,154 | 371,323 | ||
Nice, Ltd.* | 2,756 | 531,823 |
Shares | Value | |||
Teva Pharmaceutical Industries, Ltd. ADR* | 51,301 | $ 385,784 | ||
Wix.com, Ltd.* | 2,346 | 153,780 | ||
4,685,247 | ||||
Italy — 1.9% | ||||
Amplifon SpA | 15,067 | 463,228 | ||
Assicurazioni Generali SpA | 57,438 | 917,444 | ||
Atlantia SpA | 29,878 | 701,371 | ||
DiaSorin SpAΔ | 692 | 91,005 | ||
Enel SpA | 375,358 | 2,058,547 | ||
Eni SpAΔ | 112,690 | 1,336,579 | ||
FinecoBank Banca Fineco SpAΔ | 27,715 | 332,485 | ||
Infrastrutture Wireless Italiane SpA 144AΔ | 26,318 | 267,557 | ||
Intesa Sanpaolo SpA | 830,817 | 1,554,850 | ||
Mediobanca Banca di Credito Finanziario SpA | 21,353 | 185,187 | ||
Moncler SpA | 19,299 | 831,517 | ||
Nexi SpA 144A* | 24,702 | 205,136 | ||
Poste Italiane SpA 144A | 25,999 | 243,259 | ||
Prysmian SpA | 8,844 | 242,970 | ||
Recordati Industria Chimica e Farmaceutica SpA | 52,942 | 2,308,761 | ||
Snam SpA | 106,584 | 559,179 | ||
Terna - Rete Elettrica NazionaleΔ | 90,920 | 714,834 | ||
UniCredit SpA | 99,177 | 947,769 | ||
13,961,678 | ||||
Japan — 20.9% | ||||
Advantest Corporation | 6,200 | 333,416 | ||
Aeon Co., Ltd. | 32,800 | 569,740 | ||
AGC, Inc. | 7,200 | 252,991 | ||
Aisin Corporation | 5,800 | 179,516 | ||
Ajinomoto Co., Inc. | 33,800 | 824,234 | ||
ANA Holdings, Inc.* | 7,400 | 136,690 | ||
Asahi Intecc Co., Ltd. | 7,400 | 112,043 | ||
Asahi Kasei Corporation | 78,000 | 593,375 | ||
Bandai Namco Holdings, Inc. | 9,100 | 642,396 | ||
Bridgestone Corporation | 32,300 | 1,177,638 | ||
Canon, Inc. | 50,800 | 1,151,198 | ||
Capcom Co., Ltd. | 8,400 | 204,338 | ||
Central Japan Railway Co. | 7,300 | 839,010 | ||
Chubu Electric Power Co., Inc. | 6,400 | 64,444 | ||
Chugai Pharmaceutical Co., Ltd. | 43,000 | 1,099,961 | ||
CyberAgent, Inc. | 23,800 | 238,441 | ||
Dai Nippon Printing Co., Ltd. | 11,500 | 247,371 | ||
Daifuku Co., Ltd. | 4,700 | 268,982 | ||
Dai-ichi Life Holdings, Inc. | 49,600 | 917,371 | ||
Daiichi Sankyo Co., Ltd. | 92,700 | 2,357,592 | ||
Daikin Industries, Ltd. | 13,200 | 2,119,381 | ||
Daito Trust Construction Co., Ltd. | 3,500 | 302,771 | ||
Daiwa House Industry Co., Ltd. | 25,600 | 598,707 | ||
Daiwa House REIT Investment Corporation | 101 | 229,563 | ||
Daiwa Securities Group, Inc. | 52,000 | 232,837 | ||
Denso Corporation | 22,400 | 1,182,328 | ||
Dentsu Group, Inc. | 11,700 | 352,729 | ||
Disco Corporation | 1,900 | 452,128 |
Shares | Value | |||
East Japan Railway Co. | 17,300 | $ 884,881 | ||
Eisai Co., Ltd. | 18,200 | 769,498 | ||
ENEOS Holdings, Inc. | 74,850 | 281,645 | ||
FANUC Corporation | 8,900 | 1,394,980 | ||
Fast Retailing Co., Ltd. | 2,900 | 1,523,303 | ||
Fuji Electric Co., Ltd. | 2,700 | 111,628 | ||
FUJIFILM Holdings Corporation | 22,500 | 1,208,958 | ||
Fujitsu, Ltd. | 8,800 | 1,101,126 | ||
GLP J-REITΔ | 117 | 143,379 | ||
GMO Payment Gateway, Inc. | 1,900 | 135,339 | ||
Hamamatsu Photonics KK | 6,400 | 249,329 | ||
Hankyu Hanshin Holdings, Inc. | 14,100 | 385,117 | ||
Hikari Tsushin, Inc. | 1,200 | 123,362 | ||
Hirose Electric Co., Ltd. | 605 | 80,333 | ||
Hitachi, Ltd. | 45,400 | 2,159,681 | ||
Honda Motor Co., Ltd. | 81,600 | 1,967,466 | ||
Hoya Corporation | 20,600 | 1,763,009 | ||
Hulic Co., Ltd. | 4,000 | 31,025 | ||
Ibiden Co., Ltd. | 1,800 | 50,995 | ||
Idemitsu Kosan Co., Ltd. | 8,736 | 208,691 | ||
Inpex CorporationΔ | 45,600 | 488,845 | ||
Isuzu Motors, Ltd. | 18,100 | 200,211 | ||
Ito En, Ltd. | 15,500 | 697,078 | ||
ITOCHU Corporation | 58,600 | 1,580,909 | ||
Japan Airlines Co., Ltd.* | 6,100 | 104,808 | ||
Japan Exchange Group, Inc. | 25,800 | 373,961 | ||
Japan Metropolitan Fund Invest REIT | 228 | 177,652 | ||
Japan Post Holdings Co., Ltd. | 110,700 | 792,050 | ||
Japan Real Estate Investment Corporation REIT | 46 | 211,813 | ||
JFE Holdings, Inc. | 24,900 | 261,953 | ||
JSR Corporation | 2,200 | 57,170 | ||
Kansai Electric Power Co., Inc. (The) | 10,500 | 103,935 | ||
Kao Corporation | 25,200 | 1,021,847 | ||
KDDI Corporation | 84,500 | 2,664,655 | ||
Keisei Electric Railway Co., Ltd. | 5,400 | 149,105 | ||
Keyence Corporation | 13,700 | 4,698,254 | ||
Kikkoman Corporation | 9,000 | 478,952 | ||
Kobayashi Pharmaceutical Co., Ltd. | 2,300 | 142,442 | ||
Kobe Bussan Co., Ltd. | 8,600 | 211,397 | ||
Koito Manufacturing Co., Ltd. | 4,300 | 136,576 | ||
Komatsu, Ltd. | 83,300 | 1,854,855 | ||
Konami Holdings Corporation | 5,500 | 304,708 | ||
Kose CorporationΔ | 1,400 | 127,590 | ||
Kubota Corporation | 52,500 | 786,771 | ||
KuritaWater Industries, Ltd. | 900 | 32,579 | ||
Kyocera Corporation | 17,300 | 924,796 | ||
Kyowa Kirin Co., Ltd. | 35,800 | 808,254 | ||
Lasertec Corporation | 4,200 | 500,236 | ||
Lixil CorporationΔ | 12,900 | 242,463 | ||
M3, Inc. | 21,000 | 604,485 | ||
Makita Corporation | 7,900 | 195,814 | ||
Marubeni Corporation | 67,200 | 602,890 | ||
Mazda Motor Corporation | 20,700 | 168,963 | ||
McDonald’s Holdings Co. Japan, Ltd.Δ | 8,800 | 320,547 | ||
MEIJI Holdings Co., Ltd. | 8,000 | 393,103 |
Shares | Value | |||
MINEBEA MITSUMI, Inc. | 14,700 | $ 250,536 | ||
MISUMI Group, Inc. | 10,900 | 230,202 | ||
Mitsubishi Chemical Holdings Corporation | 63,200 | 343,408 | ||
Mitsubishi Corporation | 67,300 | 2,004,273 | ||
Mitsubishi Electric Corporation | 59,100 | 635,275 | ||
Mitsubishi Estate Co., Ltd. | 66,800 | 968,156 | ||
Mitsubishi HC Capital, Inc. | 38,900 | 179,538 | ||
Mitsubishi Heavy Industries, Ltd. | 14,700 | 513,790 | ||
Mitsubishi UFJ Financial Group, Inc. | 866,200 | 4,634,215 | ||
Mitsui & Co., Ltd. | 81,600 | 1,793,122 | ||
Mitsui Chemicals, Inc. | 9,400 | 200,497 | ||
Mitsui Fudosan Co., Ltd. | 36,200 | 777,752 | ||
Mitsui OSK Lines, Ltd. | 18,000 | 414,082 | ||
Mizuho Financial Group, Inc. | 85,790 | 976,712 | ||
MonotaRO Co., Ltd. | 8,000 | 119,310 | ||
MS&AD Insurance Group Holdings, Inc. | 24,200 | 742,054 | ||
Murata Manufacturing Co., Ltd. | 29,000 | 1,578,392 | ||
NEC Corporation | 9,300 | 362,858 | ||
Nexon Co., Ltd. | 24,400 | 501,048 | ||
Nidec Corporation | 18,700 | 1,158,781 | ||
Nihon M&A Center, Inc. | 11,800 | 125,790 | ||
Nintendo Co., Ltd. | 5,400 | 2,322,305 | ||
Nippon Building Fund, Inc. REITΔ | 69 | 344,359 | ||
NIPPON EXPRESS HOLDINGS, INC. | 4,000 | 217,893 | ||
Nippon Paint Holdings Co., Ltd.Δ | 31,500 | 235,689 | ||
Nippon Prologis REIT, Inc. | 121 | 298,019 | ||
Nippon Sanso Holdings Corporation | 8,800 | 140,898 | ||
Nippon Shinyaku Co., Ltd. | 9,600 | 585,988 | ||
Nippon Steel Corporation | 37,900 | 530,415 | ||
Nippon Telegraph & Telephone Corporation | 64,300 | 1,847,543 | ||
Nippon Yusen KK | 8,500 | 582,802 | ||
Nissan Chemical Corporation | 5,900 | 272,329 | ||
Nissan Motor Co., Ltd. | 112,800 | 441,794 | ||
Nisshin Seifun Group, Inc. | 16,300 | 190,760 | ||
Nissin Foods Holdings Co., Ltd. | 4,300 | 297,006 | ||
Nitori Holdings Co., Ltd. | 4,000 | 380,651 | ||
Nitto Denko Corporation | 7,100 | 459,218 | ||
Nomura Holdings, Inc. | 168,800 | 613,268 | ||
Nomura Real Estate Master Fund, Inc. REIT | 184 | 229,835 | ||
Nomura Research Institute, Ltd. | 18,157 | 487,271 | ||
NTT Data Corporation | 31,300 | 434,220 | ||
Obic Co., Ltd. | 3,600 | 511,942 | ||
Odakyu Electric Railway Co., Ltd. | 16,900 | 228,011 | ||
Oji Holdings Corporation | 31,000 | 134,302 | ||
Olympus Corporation | 57,000 | 1,155,116 | ||
Omron Corporation | 8,300 | 422,443 | ||
Ono Pharmaceutical Co., Ltd. | 52,300 | 1,343,549 | ||
Oracle Corporation | 700 | 40,765 | ||
Oriental Land Co., Ltd. | 12,100 | 1,689,788 | ||
ORIX Corporation | 63,200 | 1,059,223 | ||
Osaka Gas Co., Ltd. | 15,000 | 287,479 | ||
Otsuka Corporation | 6,900 | 205,350 |
Shares | Value | |||
Otsuka Holdings Co., Ltd. | 77,900 | $2,780,773 | ||
Pan Pacific International Holdings Corporation | 11,600 | 184,942 | ||
Panasonic Corporation | 118,600 | 957,598 | ||
Rakuten Group, Inc. | 37,400 | 169,108 | ||
Recruit Holdings Co., Ltd. | 65,200 | 1,920,169 | ||
Renesas Electronics Corporation* | 63,600 | 575,539 | ||
Resona Holdings, Inc. | 66,200 | 247,622 | ||
Ricoh Co., Ltd. | 26,200 | 204,547 | ||
Rohm Co., Ltd. | 3,100 | 217,309 | ||
SBI Holdings, Inc. | 9,400 | 183,672 | ||
Secom Co., Ltd. | 12,500 | 771,809 | ||
Seiko Epson Corporation | 18,200 | 257,475 | ||
Sekisui House, Ltd. | 33,600 | 589,860 | ||
Seven & i Holdings Co., Ltd. | 38,600 | 1,497,696 | ||
SG Holdings Co., Ltd. | 8,800 | 148,807 | ||
Sharp Corporation | 9,500 | 73,483 | ||
Shimadzu Corporation | 12,300 | 389,855 | ||
Shimano, Inc. | 3,200 | 539,062 | ||
Shimizu Corporation | 26,800 | 148,053 | ||
Shin-Etsu Chemical Co., Ltd. | 18,700 | 2,102,085 | ||
Shionogi & Co., Ltd. | 19,200 | 979,938 | ||
Shiseido Co., Ltd. | 21,800 | 878,697 | ||
SMC Corporation | 2,700 | 1,201,877 | ||
SoftBank Corporation | 137,600 | 1,527,710 | ||
SoftBank Group Corporation | 55,500 | 2,151,097 | ||
Sompo Holdings, Inc. | 14,400 | 636,019 | ||
Sony Group Corporation | 79,400 | 6,475,608 | ||
Square Enix Holdings Co., Ltd. | 7,600 | 337,339 | ||
Subaru Corporation | 32,200 | 569,568 | ||
SUMCO Corporation | 15,200 | 197,674 | ||
Sumitomo Corporation | 54,900 | 746,280 | ||
Sumitomo Electric Industries, Ltd. | 36,000 | 397,819 | ||
Sumitomo Metal Mining Co., Ltd. | 10,900 | 337,947 | ||
Sumitomo Mitsui Financial Group, Inc. | 58,300 | 1,732,973 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 14,800 | 457,408 | ||
Sumitomo Realty & Development Co., Ltd. | 21,100 | 557,013 | ||
Suntory Beverage & Food, Ltd. | 59,900 | 2,262,004 | ||
Suzuki Motor Corporation | 11,100 | 348,961 | ||
Sysmex Corporation | 7,300 | 440,487 | ||
T&D Holdings, Inc. | 22,500 | 269,337 | ||
Takeda Pharmaceutical Co., Ltd. | 149,536 | 4,200,220 | ||
TDK Corporation | 19,900 | 615,274 | ||
Terumo Corporation | 35,100 | 1,061,812 | ||
TIS, Inc. | 8,000 | 210,486 | ||
Tobu Railway Co., Ltd. | 11,900 | 271,638 | ||
Toho Co., Ltd. | 2,900 | 105,053 | ||
Tokio Marine Holdings, Inc. | 31,100 | 1,813,502 | ||
Tokyo Electric Power Co. Holdings, Inc.* | 56,100 | 234,678 | ||
Tokyo Electron, Ltd. | 10,700 | 3,492,409 | ||
Tokyo Gas Co., Ltd. | 7,900 | 163,720 | ||
Tokyu Corporation | 16,400 | 193,577 | ||
TOPPAN, Inc. | 15,000 | 250,259 | ||
Toray Industries, Inc. | 89,700 | 504,907 |
Shares | Value | |||
Toshiba Corporation | 17,900 | $ 727,282 | ||
Toyota Industries Corporation | 5,200 | 322,438 | ||
Toyota Motor Corporation | 649,180 | 10,016,397 | ||
Toyota Tsusho Corporation | 7,800 | 254,302 | ||
Trend Micro, Inc. | 4,300 | 210,362 | ||
Unicharm Corporation | 25,000 | 838,931 | ||
West Japan Railway Co. | 9,300 | 342,133 | ||
Yakult Honsha Co., Ltd. | 11,500 | 663,314 | ||
Yamaha Corporation | 5,400 | 222,615 | ||
Yamaha Motor Co., Ltd. | 14,300 | 262,587 | ||
Yamato Holdings Co., Ltd. | 11,600 | 185,637 | ||
Yaskawa Electric Corporation | 9,000 | 290,683 | ||
Z Holdings Corporation | 129,000 | 375,142 | ||
ZOZO, Inc. | 5,700 | 103,128 | ||
155,574,331 | ||||
Jersey — 1.0% | ||||
Experian PLC | 53,919 | 1,583,105 | ||
Ferguson PLC | 12,836 | 1,437,921 | ||
Glencore PLC* | 627,333 | 3,397,910 | ||
WPP PLC | 75,700 | 764,665 | ||
7,183,601 | ||||
Netherlands — 5.2% | ||||
Adyen NV 144A* | 927 | 1,337,784 | ||
Aegon NV | 51,210 | 220,543 | ||
AerCap Holdings NV* | 6,500 | 266,110 | ||
Airbus SE | 27,433 | 2,683,219 | ||
Akzo Nobel NV | 7,083 | 463,213 | ||
ArcelorMittal SA | 34,529 | 774,326 | ||
Argenx SE* | 3,299 | 1,243,569 | ||
ASM International NV | 2,234 | 555,835 | ||
ASML Holding NV | 23,457 | 11,081,977 | ||
CNH Industrial NV | 43,467 | 502,711 | ||
Euronext NV 144A | 4,841 | 397,024 | ||
EXOR NV | 3,560 | 222,464 | ||
Ferrari NVΔ | 7,866 | 1,447,641 | ||
IMCD NV | 2,480 | 339,102 | ||
ING Groep NV | 182,403 | 1,796,962 | ||
JDE Peet's NV | 8,224 | 234,156 | ||
Just Eat Takeaway.com NV 144A* | 6,526 | 102,546 | ||
Koninklijke Ahold Delhaize NV | 58,297 | 1,517,414 | ||
Koninklijke DSM NV | 9,526 | 1,364,605 | ||
Koninklijke KPN NV | 184,467 | 656,358 | ||
Koninklijke Philips NV | 46,682 | 1,001,260 | ||
NN Group NV | 25,043 | 1,134,270 | ||
Prosus NV* | 43,666 | 2,827,533 | ||
QIAGEN NVΔ* | 22,023 | 1,035,481 | ||
Randstad NV | 3,706 | 179,112 | ||
Stellantis NV | 98,407 | 1,221,698 | ||
STMicroelectronics NV | 30,860 | 975,949 | ||
Universal Music Group NVΔ | 34,973 | 700,720 | ||
Wolters Kluwer NV | 26,160 | 2,535,374 | ||
38,818,956 | ||||
New Zealand — 0.2% | ||||
Auckland International Airport, Ltd.* | 11,623 | 52,066 |
Shares | Value | |||
Fisher & Paykel Healthcare Corporation, Ltd. | 28,390 | $ 353,674 | ||
Spark New Zealand, Ltd. | 145,344 | 434,978 | ||
Xero, Ltd.Δ* | 5,756 | 307,029 | ||
1,147,747 | ||||
Norway — 0.8% | ||||
Aker BP ASA | 7,688 | 266,248 | ||
DNB Bank ASA | 42,506 | 769,510 | ||
Equinor ASA | 43,834 | 1,527,413 | ||
Gjensidige Forsikring ASA | 8,027 | 163,402 | ||
Mowi ASA | 26,051 | 595,726 | ||
Norsk Hydro ASA | 56,215 | 317,686 | ||
Orkla ASA | 60,619 | 485,600 | ||
Salmar ASA | 14,028 | 993,129 | ||
Telenor ASA | 36,667 | 489,990 | ||
Yara International ASA | 10,434 | 437,195 | ||
6,045,899 | ||||
Portugal — 0.2% | ||||
EDP - Energias de Portugal SA | 154,225 | 718,740 | ||
Galp Energia SGPS SA | 27,004 | 315,974 | ||
Jeronimo Martins SGPS SA | 19,382 | 420,170 | ||
1,454,884 | ||||
Singapore — 1.2% | ||||
Ascendas REIT | 157,957 | 324,183 | ||
CapitaLand Integrated Commercial Trust REITΔ | 154,203 | 241,053 | ||
Capitaland Investment, Ltd. | 174,460 | 480,170 | ||
DBS Group Holdings, Ltd. | 107,460 | 2,299,366 | ||
Hongkong Land Holdings, Ltd. | 52,200 | 262,155 | ||
Jardine Matheson Holdings, Ltd. | 13,200 | 693,580 | ||
Mapletree Logistics Trust REIT | 7,947 | 9,617 | ||
Oversea-Chinese Banking Corporation, Ltd. | 224,940 | 1,845,193 | ||
Singapore Airlines, Ltd.Δ* | 62,850 | 230,940 | ||
Singapore Telecommunications, Ltd. | 454,500 | 827,220 | ||
United Overseas Bank, Ltd. | 56,959 | 1,076,077 | ||
UOL Group, Ltd. | 7,561 | 40,078 | ||
Wilmar International, Ltd. | 198,000 | 576,296 | ||
8,905,928 | ||||
Spain — 2.5% | ||||
ACS Actividades de Construccion y Servicios SAΔ | 8,747 | 213,179 | ||
Aena SME SA 144A* | 3,930 | 501,472 | ||
Amadeus IT Group SA* | 22,411 | 1,254,885 | ||
Banco Bilbao Vizcaya Argentaria SA | 319,952 | 1,453,408 | ||
Banco Santander SA | 789,110 | 2,232,720 | ||
CaixaBank SA | 185,397 | 649,270 | ||
Cellnex Telecom SA 144A* | 23,609 | 918,820 | ||
EDP Renovaveis SA | 18,583 | 438,979 | ||
Enagas SAΔ | 17,674 | 390,888 | ||
Endesa SA | 13,556 | 256,444 | ||
Ferrovial SAΔ | 28,940 | 736,343 | ||
Grifols SAΔ | 31,106 | 589,906 | ||
Iberdrola SA | 325,423 | 3,388,113 | ||
Industria de Diseno Textil SA | 56,903 | 1,293,147 | ||
Naturgy Energy Group SAΔ | 15,059 | 435,140 |
Shares | Value | |||
Red Electrica Corporation SAΔ | 23,715 | $ 448,915 | ||
Repsol SAΔ | 105,815 | 1,559,925 | ||
Siemens Gamesa Renewable Energy SAΔ* | 6,866 | 129,454 | ||
Telefonica SA | 290,306 | 1,482,168 | ||
18,373,176 | ||||
Sweden — 2.9% | ||||
Alfa Laval AB | 14,717 | 356,771 | ||
Assa Abloy AB, B Shares | 48,218 | 1,028,974 | ||
Atlas Copco AB, A Shares | 114,856 | 1,075,057 | ||
Atlas Copco AB, B Shares | 76,912 | 644,440 | ||
Boliden AB | 9,794 | 313,217 | ||
Electrolux AB, B SharesΔ | 13,970 | 188,691 | ||
Embracer Group ABΔ* | 27,006 | 207,436 | ||
Epiroc AB, A Shares | 31,158 | 483,107 | ||
Epiroc AB, B Shares | 20,075 | 272,045 | ||
EQT AB | 12,795 | 262,976 | ||
Essity AB, B Shares | 53,660 | 1,402,703 | ||
Fastighets AB Balder, B Shares* | 28,806 | 138,000 | ||
Getinge AB, B Shares | 12,152 | 281,639 | ||
H & M Hennes & Mauritz AB, B SharesΔ | 42,435 | 509,332 | ||
Hexagon AB, B Shares | 97,566 | 1,019,473 | ||
Husqvarna AB, B Shares | 23,565 | 173,694 | ||
Industrivarden AB, A Shares | 1,009 | 22,810 | ||
Industrivarden AB, C Shares | 18,571 | 415,142 | ||
Investment AB Latour, B SharesΔ | 9,171 | 182,163 | ||
Investor AB, A Shares | 81,426 | 1,466,549 | ||
Investor AB, B Shares | 120,422 | 1,985,972 | ||
Kinnevik AB, B Shares* | 10,870 | 175,944 | ||
L E Lundbergforetagen AB, B Shares | 5,888 | 240,094 | ||
Lifco AB, B Shares | 16,505 | 266,533 | ||
Lundin Energy ABΔ | 8,084 | 5,497 | ||
Nibe Industrier AB, B Shares | 74,413 | 560,943 | ||
Sagax AB, B Shares | 11,741 | 217,674 | ||
Sandvik AB | 51,379 | 837,329 | ||
Securitas AB, B SharesΔ | 14,981 | 129,523 | ||
Sinch AB 144A* | 22,610 | 73,854 | ||
Skandinaviska Enskilda Banken AB, A Shares | 79,780 | 785,980 | ||
Skanska AB, B Shares | 13,311 | 204,797 | ||
SKF AB, B SharesΔ | 13,321 | 197,634 | ||
Svenska Cellulosa AB SCA, B Shares | 111,058 | 1,668,653 | ||
Svenska Handelsbanken AB, A SharesΔ | 65,615 | 563,233 | ||
Swedbank AB, A Shares | 41,659 | 528,344 | ||
Tele2 AB, B Shares | 19,177 | 218,673 | ||
Telefonaktiebolaget LM Ericsson, B Shares | 138,995 | 1,038,156 | ||
Telia Co. AB | 126,527 | 485,624 | ||
Volvo AB, B Shares | 76,978 | 1,197,731 | ||
21,826,407 | ||||
Switzerland — 10.3% | ||||
ABB, Ltd. | 68,606 | 1,839,889 | ||
Alcon, Inc. | 35,311 | 2,476,062 | ||
Bachem Holding AG Class BΔ | 3,310 | 230,707 | ||
Barry Callebaut AG | 219 | 489,995 |
Shares | Value | |||
Chocoladefabriken Lindt & Spruengli AG | 40 | $ 407,282 | ||
Chocoladefabriken Lindt & Spruengli AG (Swiss Exchange) | 12 | 1,258,262 | ||
Cie Financiere Richemont SA Class A | 29,913 | 3,217,538 | ||
Coca-Cola HBC AG CDI | 53,299 | 1,187,592 | ||
Credit Suisse Group AG | 104,613 | 597,115 | ||
EMS-Chemie Holding AG | 154 | 114,930 | ||
Geberit AG | 1,584 | 762,068 | ||
Givaudan SA | 437 | 1,540,300 | ||
Holcim, Ltd.* | 1,494 | 64,191 | ||
Holcim, Ltd. (Swiss Exchange)* | 38,001 | 1,629,846 | ||
Julius Baer Group, Ltd. | 11,052 | 512,703 | ||
Kuehne + Nagel International AGΔ | 1,705 | 405,112 | ||
Logitech International SA | 9,124 | 475,773 | ||
Nestle SA | 152,472 | 17,819,823 | ||
Novartis AG | 132,422 | 11,226,821 | ||
Partners Group Holding AG | 915 | 826,334 | ||
Roche Holding AG | 39,266 | 13,126,618 | ||
Roche Holding AG (Swiss Exchange)Δ | 1,396 | 540,249 | ||
Schindler Holding AG | 2,186 | 399,730 | ||
SGS SA | 175 | 401,394 | ||
Sika AG | 6,515 | 1,503,905 | ||
Sonova Holding AG | 2,443 | 780,738 | ||
Straumann Holding AG | 6,370 | 767,369 | ||
Swatch Group AG (The)Δ | 10,000 | 446,184 | ||
Swiss Life Holding AG | 1,166 | 569,203 | ||
Swiss Re AG | 16,099 | 1,249,572 | ||
Swisscom AG | 1,391 | 769,391 | ||
Temenos AG | 3,832 | 327,943 | ||
UBS Group AG | 170,452 | 2,755,652 | ||
VAT Group AG 144A* | 1,112 | 265,942 | ||
Vifor Pharma AG* | 6,734 | 1,167,419 | ||
Zurich Insurance Group AG | 11,288 | 4,922,397 | ||
77,076,049 | ||||
United Kingdom — 13.6% | ||||
3i Group PLC | 69,134 | 937,030 | ||
abrdn PLCΔ | 114,480 | 223,460 | ||
Admiral Group PLC | 23,127 | 633,221 | ||
Anglo American PLC | 81,836 | 2,925,520 | ||
Antofagasta PLC | 23,560 | 332,690 | ||
Ashtead Group PLC | 24,479 | 1,029,796 | ||
Associated British Foods PLC | 22,791 | 439,766 | ||
Auto Trader Group PLC 144AΔ | 54,162 | 366,815 | ||
AVEVA Group PLC | 8,238 | 226,154 | ||
Aviva PLC | 246,585 | 1,207,839 | ||
BAE Systems PLC | 197,243 | 1,996,887 | ||
Barclays PLC | 1,028,179 | 1,922,651 | ||
Barratt Developments PLC | 50,118 | 280,343 | ||
Berkeley Group Holdings PLC* | 6,217 | 282,653 | ||
BP PLC | 1,152,493 | 5,411,526 | ||
British Land Co. PLC (The) REIT | 51,612 | 282,336 | ||
BT Group PLCΔ | 453,308 | 1,030,260 | ||
Bunzl PLC | 26,142 | 868,195 |
Shares | Value | |||
Burberry Group PLC | 30,456 | $ 610,992 | ||
Coca-Cola Europacific Partners PLC | 21,997 | 1,135,265 | ||
Compass Group PLC | 128,923 | 2,646,969 | ||
Croda International PLC | 8,431 | 666,403 | ||
Halma PLC | 23,059 | 566,148 | ||
Hargreaves Lansdown PLCΔ | 23,678 | 228,456 | ||
Hikma Pharmaceuticals PLC | 34,178 | 674,352 | ||
HSBC Holdings PLC | 1,173,312 | 7,664,688 | ||
Informa PLC* | 87,112 | 562,797 | ||
InterContinental Hotels Group PLCΔ | 14,742 | 783,508 | ||
Intertek Group PLC | 8,134 | 418,086 | ||
J Sainsbury PLCΔ | 118,172 | 294,090 | ||
JD Sports Fashion PLC | 159,615 | 224,900 | ||
Johnson Matthey PLCΔ | 13,222 | 311,783 | ||
Kingfisher PLC | 108,273 | 323,572 | ||
Land Securities Group PLC REIT | 42,490 | 344,805 | ||
Legal & General Group PLC | 335,080 | 979,631 | ||
Lloyds Banking Group PLC | 4,171,424 | 2,146,226 | ||
London Stock Exchange Group PLC | 19,997 | 1,865,955 | ||
M&G PLC | 308,841 | 732,176 | ||
Melrose Industries PLC | 238,315 | 437,130 | ||
Mondi PLC | 49,454 | 877,816 | ||
National Grid PLC | 232,847 | 2,992,302 | ||
Natwest Group PLC | 383,851 | 1,021,720 | ||
Next PLC | 7,706 | 550,519 | ||
Ocado Group PLCΔ* | 22,804 | 217,384 | ||
Pearson PLC | 41,042 | 375,841 | ||
Persimmon PLC | 15,563 | 354,088 | ||
Phoenix Group Holdings PLC | 46,052 | 331,784 | ||
Prudential PLC | 191,564 | 2,382,910 | ||
Reckitt Benckiser Group PLC | 46,291 | 3,481,651 | ||
RELX PLC | 152,525 | 4,141,262 | ||
Rentokil Initial PLCΔ | 101,023 | 585,626 | ||
Rio Tinto PLC | 71,562 | 4,278,453 | ||
Rolls-Royce Holdings PLC* | 419,124 | 426,526 | ||
Sage Group PLC (The) | 68,811 | 532,858 | ||
Schroders PLC | 6,913 | 225,829 | ||
Segro PLC REIT | 115,468 | 1,378,431 | ||
Severn Trent PLC | 25,238 | 837,906 | ||
Shell PLC | 459,066 | 11,955,357 | ||
Smith & Nephew PLC | 141,564 | 1,979,742 | ||
Smiths Group PLC | 26,226 | 448,488 | ||
Spirax-Sarco Engineering PLC | 6,430 | 775,514 | ||
SSE PLC | 59,270 | 1,169,714 | ||
St. James’s Place PLC | 37,454 | 503,956 | ||
Standard Chartered PLC (London Exchange) | 191,722 | 1,447,386 | ||
Taylor Wimpey PLC | 203,676 | 290,125 | ||
Tesco PLC | 610,319 | 1,902,123 | ||
Unilever PLC | 168,793 | 7,693,552 | ||
United Utilities Group PLC | 72,451 | 901,890 | ||
Vodafone Group PLC | 1,776,417 | 2,762,138 |
Shares | Value | |||
Whitbread PLC | 15,331 | $ 464,907 | ||
101,302,872 | ||||
Total Foreign Common Stocks (Cost $737,717,807) | 697,362,698 | |||
FOREIGN PREFERRED STOCKS — 0.4% | ||||
Germany — 0.4% | ||||
Henkel AG & Co. KGaA | ||||
3.15%◊ | 8,912 | 551,480 | ||
Porsche Automobil Holding SE | ||||
4.04%◊ | 6,508 | 432,854 | ||
Sartorius AG | ||||
0.38%◊ | 1,199 | 420,811 | ||
Volkswagen AG | ||||
5.90%◊ | 11,005 | 1,481,710 | ||
Total Foreign Preferred Stocks (Cost $3,524,310) | 2,886,855 | |||
MONEY MARKET FUNDS — 6.3% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ | 33,835,876 | 33,835,876 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.46%ا | 12,931,742 | 12,931,742 | ||
Northern Institutional U.S. Government Portfolio (Shares), 1.12%Ø | 59,734 | 59,734 | ||
Total Money Market Funds (Cost $46,827,352) | 46,827,352 | |||
TOTAL INVESTMENTS — 100.5% (Cost $791,687,070) | 748,483,680 | |||
Liabilities in Excess of Other Assets — (0.5)% | (4,043,930) | |||
NET ASSETS — 100.0% | $744,439,750 |
% | |
Financials | 17.9 |
Industrials | 14.1 |
Health Care | 11.9 |
Consumer Discretionary | 10.0 |
Consumer Staples | 9.2 |
Information Technology | 8.1 |
Materials | 7.8 |
Money Market Funds | 6.3 |
Communication Services | 5.1 |
Energy | 4.4 |
Utilities | 3.4 |
Real Estate | 2.3 |
100.5 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2022 | 457 | $42,423,310 | $(275,328) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 1,406,775 | $ 1,406,775 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Israel | 4,685,247 | 1,497,795 | 3,187,452 | — | |||
Netherlands | 38,818,956 | 266,110 | 38,552,846 | — | |||
Switzerland | 77,076,049 | 2,489,872 | 74,586,177 | — | |||
United Kingdom | 101,302,872 | 1,135,265 | 100,167,607 | — | |||
Other ^^ | 475,479,574 | — | 475,479,574 | — | |||
Total Foreign Common Stocks | 697,362,698 | 5,389,042 | 691,973,656 | — | |||
Foreign Preferred Stocks | 2,886,855 | — | 2,886,855 | — | |||
Money Market Funds | 46,827,352 | 46,827,352 | — | — | |||
Total Assets - Investments in Securities | $748,483,680 | $53,623,169 | $694,860,511 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (275,328) | $ (275,328) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (275,328) | $ (275,328) | $ — | $ — |
^^ | 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. |
Shares | Value | |||
COMMON STOCKS — 2.7% | ||||
Consumer Discretionary — 0.8% | ||||
Lululemon Athletica, Inc.* | 14,360 | $ 3,914,680 | ||
Trip.com Group, Ltd. ADR* | 154,728 | 4,247,283 | ||
8,161,963 | ||||
Financials — 0.8% | ||||
Everest Re Group, Ltd. | 26,768 | 7,502,535 | ||
Health Care — 0.7% | ||||
Mettler-Toledo International, Inc.* | 2,430 | 2,791,511 | ||
ResMed, Inc. | 21,020 | 4,406,423 | ||
7,197,934 | ||||
Information Technology — 0.4% | ||||
Cognizant Technology Solutions Corporation Class A | 28,154 | 1,900,114 | ||
EPAM Systems, Inc.* | 8,530 | 2,514,473 | ||
4,414,587 | ||||
Total Common Stocks (Cost $25,802,500) | 27,277,019 | |||
FOREIGN COMMON STOCKS — 86.2% | ||||
Australia — 2.8% | ||||
ASX, Ltd.‡‡ | 2,303 | 130,176 | ||
Aurizon Holdings, Ltd. | 485,646 | 1,277,264 | ||
Australia & New Zealand Banking Group, Ltd. | 44,047 | 670,867 | ||
BHP Group, Ltd. | 96,898 | 2,774,540 | ||
BlueScope Steel, Ltd.‡‡ | 288,830 | 3,182,517 | ||
Boral, Ltd. | 164,312 | 293,933 | ||
Brambles, Ltd. | 115,542 | 854,352 | ||
CSL, Ltd. | 28,862 | 5,358,947 | ||
Dexus REIT‡‡ | 55,775 | 342,986 | ||
Goodman Group REIT‡‡ | 50,048 | 617,979 | ||
GPT Group (The) REITΨ†††* | 63,198 | — | ||
GPT Group (The) REIT (Athens Exchange) | 104,984 | 306,835 | ||
Harvey Norman Holdings, Ltd. | 354,263 | 908,370 | ||
Incitec Pivot, Ltd. | 690,827 | 1,589,803 | ||
JB Hi-Fi, Ltd. | 72,753 | 1,934,959 | ||
Mirvac Group REIT‡‡ | 355,598 | 486,065 | ||
Orica, Ltd. | 56,218 | 615,064 | ||
Origin Energy, Ltd. | 29,653 | 117,709 | ||
QBE Insurance Group, Ltd. | 101,697 | 854,547 | ||
Rio Tinto, Ltd.‡‡ | 4,796 | 342,141 | ||
Scentre Group REIT‡‡ | 186,809 | 335,425 | ||
Sonic Healthcare, Ltd. | 41,163 | 938,240 | ||
South32, Ltd. | 533,770 | 1,446,352 | ||
Stockland REIT‡‡ | 206,720 | 516,135 | ||
Suncorp Group, Ltd. | 148,451 | 1,132,050 | ||
Vicinity Centres REIT‡‡ | 336,787 | 427,841 | ||
Woodside Energy Group, Ltd. | 24,377 | 535,770 | ||
27,990,867 | ||||
Belgium — 0.2% | ||||
Ageas SA/NV | 10,437 | 460,194 | ||
Etablissements Franz Colruyt NV | 10,545 | 286,764 | ||
Groupe Bruxelles Lambert SA‡‡ | 415 | 34,789 |
Shares | Value | |||
KBC Group NV | 3,973 | $ 223,525 | ||
Proximus SADP | 39,689 | 585,804 | ||
1,591,076 | ||||
Canada — 3.0% | ||||
Agnico Eagle Mines, Ltd.Δ | 37,964 | 1,737,233 | ||
Canadian National Railway Co. | 74,395 | 8,367,206 | ||
Canadian Pacific Railway, Ltd.Δ | 95,850 | 6,694,164 | ||
Kinross Gold Corporation | 518,140 | 1,843,599 | ||
Open Text Corporation | 27,800 | 1,051,571 | ||
Restaurant Brands International, Inc. | 13,810 | 692,571 | ||
Shopify, Inc. Class A* | 45,700 | 1,427,668 | ||
Toronto-Dominion Bank (The) | 124,334 | 8,153,382 | ||
29,967,394 | ||||
China — 1.1% | ||||
Tencent Holdings, Ltd. | 212,700 | 9,627,897 | ||
Vipshop Holdings, Ltd. ADR* | 91,264 | 902,601 | ||
10,530,498 | ||||
Denmark — 0.7% | ||||
AP Moeller - Maersk A/S Class B | 1,175 | 2,758,428 | ||
Danske Bank A/S | 12,095 | 172,145 | ||
DSV A/S | 13,420 | 1,887,084 | ||
Genmab A/S* | 3,240 | 1,051,201 | ||
H Lundbeck A/S | 91,284 | 443,330 | ||
H Lundbeck A/S, A Shares* | 22,821 | 109,514 | ||
ISS A/S* | 13,938 | 222,214 | ||
Pandora A/S‡‡ | 3,022 | 191,995 | ||
6,835,911 | ||||
Finland — 0.3% | ||||
Kone OYJ Class B | 3,871 | 185,015 | ||
Nokia OYJ | 113,955 | 528,188 | ||
Nokian Renkaat OYJ | 28,874 | 318,467 | ||
Nordea Bank Abp | 104,004 | 918,722 | ||
UPM-Kymmene OYJ | 16,800 | 515,143 | ||
Wartsila OYJ Abp | 53,653 | 420,573 | ||
2,886,108 | ||||
France — 10.6% | ||||
Accor SA* | 134,719 | 3,675,344 | ||
Air Liquide SA | 61,442 | 8,270,214 | ||
AXA SA | 221,352 | 5,056,021 | ||
BNP Paribas SA | 50,892 | 2,434,265 | ||
Bureau Veritas SAΔ | 220,623 | 5,676,202 | ||
Capgemini SE | 66,816 | 11,523,096 | ||
Danone SA | 92,473 | 5,178,690 | ||
Edenred | 17,500 | 828,987 | ||
Engie SA | 337,799 | 3,911,362 | ||
Hermes International | 7,335 | 8,255,017 | ||
Kering SA | 1,395 | 722,927 | ||
L’Oreal SA | 34,436 | 11,956,370 | ||
Publicis Groupe SA | 26,056 | 1,281,448 | ||
Sanofi | 87,782 | 8,852,469 | ||
Schneider Electric SE | 128,726 | 15,338,420 | ||
SCOR SE | 117,434 | 2,529,422 | ||
TotalEnergies SEΔ | 141,746 | 7,461,080 |
Shares | Value | |||
Valeo | 52,261 | $ 1,018,356 | ||
Worldline SA 144A* | 44,200 | 1,648,633 | ||
105,618,323 | ||||
Germany — 8.5% | ||||
adidas AG | 20,963 | 3,723,678 | ||
Allianz SE | 12,376 | 2,372,607 | ||
Aurubis AG | 1,211 | 82,633 | ||
BASF SE | 12,578 | 550,316 | ||
Bayerische Motoren Werke AG | 52,747 | 4,088,980 | ||
Beiersdorf AG | 88,541 | 9,085,835 | ||
Continental AG | 64,171 | 4,504,083 | ||
Covestro AG 144A | 16,319 | 567,064 | ||
Daimler Truck Holding AG* | 162,994 | 4,292,593 | ||
Deutsche Bank AG | 188,006 | 1,652,141 | ||
Deutsche Boerse AG | 72,528 | 12,179,392 | ||
Deutsche Post AG | 104,419 | 3,942,460 | ||
Freenet AG | 14,266 | 355,769 | ||
Fresenius Medical Care AG & Co. KGaA | 84,396 | 4,228,333 | ||
Fresenius SE & Co. KGaA‡‡ | 53,033 | 1,612,826 | ||
GEA Group AG | 7,564 | 262,229 | ||
HeidelbergCement AG | 1,828 | 88,258 | ||
Henkel AG & Co. KGaA | 18,400 | 1,130,502 | ||
HOCHTIEF AG | 5,733 | 281,053 | ||
Infineon Technologies AG‡‡ | 6,462 | 157,192 | ||
Knorr-Bremse AG | 2,236 | 128,067 | ||
Mercedes-Benz Group AG | 47,600 | 2,764,530 | ||
METRO AG* | 85,645 | 726,508 | ||
Muenchener Rueckversicherungs-Gesellschaft AG | 2,473 | 584,982 | ||
ProSiebenSat.1 Media SE | 111,427 | 1,036,393 | ||
SAP SE | 180,641 | 16,465,511 | ||
Siemens AG | 66,441 | 6,829,902 | ||
Siemens Energy AG | 3,273 | 48,239 | ||
Stroeer SE & Co. KGaA | 483 | 21,818 | ||
thyssenkrupp AG* | 172,284 | 982,415 | ||
United Internet AG | 2,292 | 65,698 | ||
Vonovia SE | 8,154 | 252,289 | ||
85,064,296 | ||||
Hong Kong — 3.3% | ||||
AIA Group, Ltd. | 1,594,926 | 17,427,070 | ||
Alibaba Group Holding, Ltd.* | 342,059 | 4,879,606 | ||
Baidu, Inc. Class A* | 258,837 | 4,903,200 | ||
Li Ning Co., Ltd. | 339,500 | 3,161,116 | ||
Shenzhou International Group Holdings, Ltd. | 174,700 | 2,132,320 | ||
Trip.com Group, Ltd.* | 16,200 | 448,261 | ||
32,951,573 | ||||
India — 1.2% | ||||
Axis Bank, Ltd.* | 97,318 | 788,283 | ||
HDFC Bank, Ltd. | 438,937 | 7,518,601 | ||
HDFC Bank, Ltd. ADR | 63,233 | 3,475,285 | ||
11,782,169 | ||||
Ireland — 5.0% | ||||
Accenture PLC Class A | 18,320 | 5,086,548 |
Shares | Value | |||
Aon PLC Class A | 34,422 | $ 9,282,925 | ||
CRH PLC | 88,347 | 3,048,750 | ||
ICON PLC* | 21,330 | 4,622,211 | ||
Linde PLCΔ | 4,874 | 1,402,252 | ||
Medtronic PLC | 83,202 | 7,467,379 | ||
Ryanair Holdings PLC ADR* | 99,254 | 6,674,832 | ||
STERIS PLC | 20,140 | 4,151,861 | ||
Willis Towers Watson PLC | 38,910 | 7,680,445 | ||
49,417,203 | ||||
Israel — 0.6% | ||||
Check Point Software Technologies, Ltd.* | 49,249 | 5,997,543 | ||
Italy — 1.1% | ||||
Atlantia SpA | 3,435 | 80,635 | ||
Azimut Holding SpA | 3,508 | 61,060 | ||
Buzzi Unicem SpA | 55,685 | 914,037 | ||
Eni SpA‡‡ | 213,217 | 2,528,896 | ||
Intesa Sanpaolo SpA | 1,351,837 | 2,529,924 | ||
Intesa Sanpaolo SpA (Milan Exchange) | 21,900 | 41,142 | ||
Italgas SpA | 39,701 | 231,669 | ||
Leonardo SpA | 184,530 | 1,872,205 | ||
Telecom Italia SpA* | 121,188 | 31,776 | ||
UniCredit SpA | 165,839 | 1,584,815 | ||
Unipol Gruppo SpA | 146,807 | 668,704 | ||
10,544,863 | ||||
Japan — 17.3% | ||||
Advantest Corporation | 5,600 | 301,150 | ||
Aeon Co., Ltd. | 15,700 | 272,711 | ||
AGC, Inc. | 16,400 | 576,258 | ||
Aisin Corporation | 21,800 | 674,731 | ||
Ajinomoto Co., Inc. | 17,400 | 424,310 | ||
Alfresa Holdings Corporation | 12,800 | 172,097 | ||
Amada Co., Ltd. | 50,900 | 375,250 | ||
Asics Corporation | 17,700 | 320,588 | ||
Bandai Namco Holdings, Inc. | 4,700 | 331,787 | ||
Bank of Kyoto, Ltd. (The) | 3,200 | 136,961 | ||
BIPROGY, Inc. | 28,600 | 570,321 | ||
Bridgestone Corporation | 12,100 | 441,159 | ||
Brother Industries, Ltd. | 36,700 | 645,714 | ||
Canon, Inc. | 17,700 | 401,106 | ||
Central Japan Railway Co. | 2,800 | 321,812 | ||
Chugai Pharmaceutical Co., Ltd. | 24,200 | 619,048 | ||
Concordia Financial Group, Ltd. | 85,400 | 296,522 | ||
Dai-ichi Life Holdings, Inc. | 121,700 | 2,250,889 | ||
Daiichi Sankyo Co., Ltd. | 27,700 | 704,480 | ||
Daikin Industries, Ltd. | 56,700 | 9,103,703 | ||
Daito Trust Construction Co., Ltd.‡‡ | 71,333 | 6,170,743 | ||
Daiwa House Industry Co., Ltd.‡‡ | 27,300 | 638,465 | ||
Denso Corporation | 9,000 | 475,042 | ||
Dentsu Group, Inc. | 12,600 | 379,862 | ||
Disco Corporation | 1,300 | 309,350 | ||
East Japan Railway Co. | 7,600 | 388,734 | ||
Eisai Co., Ltd. | 8,700 | 367,837 | ||
ENEOS Holdings, Inc. | 626,700 | 2,358,143 | ||
FANUC Corporation | 2,600 | 407,522 |
Shares | Value | |||
Fast Retailing Co., Ltd. | 800 | $ 420,222 | ||
Fuji Electric Co., Ltd. | 7,000 | 289,407 | ||
FUJIFILM Holdings Corporation | 5,300 | 284,777 | ||
Fujitsu, Ltd. | 3,900 | 487,999 | ||
Fukuoka Financial Group, Inc. | 13,000 | 234,130 | ||
Hakuhodo DY Holdings, Inc. | 26,100 | 239,752 | ||
Hankyu Hanshin Holdings, Inc. | 12,200 | 333,222 | ||
Haseko Corporation‡‡ | 29,300 | 344,128 | ||
Hino Motors, Ltd. | 120,000 | 617,706 | ||
Hisamitsu Pharmaceutical Co., Inc. | 16,100 | 416,178 | ||
Hitachi Construction Machinery Co., Ltd. | 2,700 | 59,974 | ||
Hitachi, Ltd.‡‡ | 14,900 | 708,794 | ||
Honda Motor Co., Ltd. | 27,000 | 651,000 | ||
Hoya Corporation | 88,100 | 7,539,857 | ||
Ibiden Co., Ltd. | 8,000 | 226,645 | ||
Idemitsu Kosan Co., Ltd. | 2,400 | 57,333 | ||
Iida Group Holdings Co., Ltd. | 77,400 | 1,188,273 | ||
Inpex CorporationΔ | 59,800 | 641,073 | ||
Ito En, Ltd. | 6,400 | 287,826 | ||
ITOCHU Corporation | 21,600 | 582,724 | ||
Japan Airlines Co., Ltd.* | 7,600 | 130,580 | ||
Japan Exchange Group, Inc. | 136,992 | 1,985,648 | ||
Japan Metropolitan Fund Invest REIT | 166 | 129,343 | ||
Japan Post Holdings Co., Ltd. | 397,800 | 2,846,229 | ||
Japan Post Insurance Co., Ltd. | 108,600 | 1,738,112 | ||
Japan Real Estate Investment Corporation REIT | 82 | 377,580 | ||
JFE Holdings, Inc. | 77,600 | 816,368 | ||
JSR Corporation | 11,200 | 291,045 | ||
JTEKT Corporation | 65,600 | 493,169 | ||
Kajima Corporation | 38,800 | 444,904 | ||
Kao Corporation | 10,600 | 429,824 | ||
Kawasaki Kisen Kaisha, Ltd. | 15,000 | 917,846 | ||
KDDI Corporation | 24,200 | 763,132 | ||
Keyence Corporation | 12,700 | 4,355,315 | ||
Kinden Corporation | 62,900 | 725,982 | ||
Kintetsu Group Holdings Co., Ltd. | 10,600 | 329,784 | ||
Komatsu, Ltd. | 39,400 | 877,327 | ||
Kubota CorporationΔ | 247,072 | 3,702,647 | ||
Kuraray Co., Ltd. | 57,900 | 467,129 | ||
KuritaWater Industries, Ltd. | 7,600 | 275,108 | ||
Kyocera Corporation | 5,800 | 310,047 | ||
Kyushu Electric Power Co., Inc. | 91,900 | 590,868 | ||
Lasertec Corporation | 26,600 | 3,168,158 | ||
Lixil CorporationΔ | 16,000 | 300,729 | ||
M3, Inc. | 8,800 | 253,308 | ||
Makita Corporation | 128,873 | 3,194,317 | ||
Marubeni Corporation | 86,800 | 778,733 | ||
Mazda Motor Corporation | 199,900 | 1,631,681 | ||
MISUMI Group, Inc. | 14,700 | 310,456 | ||
Mitsubishi Chemical Holdings Corporation | 58,400 | 317,326 | ||
Mitsubishi Corporation | 24,800 | 738,573 | ||
Mitsubishi Electric Corporation | 55,900 | 600,878 | ||
Mitsubishi Estate Co., Ltd.‡‡ | 56,300 | 815,975 | ||
Mitsubishi HC Capital, Inc. | 49,600 | 228,923 | ||
Mitsubishi Heavy Industries, Ltd. | 10,800 | 377,479 |
Shares | Value | |||
Mitsubishi UFJ Financial Group, Inc. | 182,900 | $ 978,525 | ||
Mitsui & Co., Ltd. | 53,800 | 1,182,230 | ||
Mitsui Chemicals, Inc. | 26,800 | 571,630 | ||
Mitsui Fudosan Co., Ltd.‡‡ | 39,800 | 855,097 | ||
Mitsui OSK Lines, Ltd. | 57,000 | 1,311,258 | ||
Mizuho Financial Group, Inc. | 371,000 | 4,223,804 | ||
Murata Manufacturing Co., Ltd. | 8,000 | 435,419 | ||
Nabtesco Corporation | 27,000 | �� | 633,560 | |
NEC Corporation | 9,600 | 374,563 | ||
Nexon Co., Ltd. | 10,400 | 213,562 | ||
NGK Insulators, Ltd. | 8,800 | 118,558 | ||
NGK Spark Plug Co., Ltd. | 55,700 | 1,010,373 | ||
NH Foods, Ltd. | 7,600 | 238,059 | ||
Nidec Corporation | 5,200 | 322,228 | ||
Nifco, Inc. | 3,700 | 86,537 | ||
Nihon M&A Center, Inc. | 23,200 | 247,316 | ||
Nikon Corporation | 12,600 | 145,301 | ||
Nintendo Co., Ltd. | 7,103 | 3,054,691 | ||
Nippon Building Fund, Inc. REIT | 16 | 79,851 | ||
NIPPON EXPRESS HOLDINGS, INC. | 14,800 | 806,203 | ||
Nippon Steel Corporation | 156,400 | 2,188,835 | ||
Nippon Telegraph & Telephone Corporation | 19,400 | 557,423 | ||
Nippon Yusen KK | 17,400 | 1,193,030 | ||
Nissan Motor Co., Ltd. | 15,900 | 62,274 | ||
Nisshin Seifun Group, Inc. | 23,100 | 270,341 | ||
Nitori Holdings Co., Ltd. | 2,700 | 256,940 | ||
Nitto Denko Corporation | 4,100 | 265,182 | ||
Nomura Holdings, Inc. | 168,300 | 611,452 | ||
Obayashi Corporation | 134,500 | 978,254 | ||
Obic Co., Ltd. | 2,200 | 312,854 | ||
Olympus Corporation | 19,300 | 391,118 | ||
Omron Corporation | 5,300 | 269,753 | ||
Oriental Land Co., Ltd. | 3,200 | 446,886 | ||
ORIX Corporation | 29,900 | 501,120 | ||
Osaka Gas Co., Ltd. | 18,000 | 344,974 | ||
Otsuka Holdings Co., Ltd. | 14,400 | 514,033 | ||
Panasonic Corporation | 103,300 | 834,063 | ||
Pola Orbis Holdings, Inc. | 9,900 | 122,541 | ||
Recruit Holdings Co., Ltd. | 20,200 | 594,899 | ||
Renesas Electronics Corporation* | 39,000 | 352,925 | ||
Resona Holdings, Inc.‡‡ | 183,600 | 686,759 | ||
Ricoh Co., Ltd. | 30,400 | 237,337 | ||
Rohm Co., Ltd. | 2,800 | 196,279 | ||
Ryohin Keikaku Co., Ltd. | 14,600 | 143,027 | ||
Santen Pharmaceutical Co., Ltd. | 38,600 | 304,513 | ||
SCREEN Holdings Co., Ltd. | 7,800 | 529,249 | ||
Secom Co., Ltd. | 5,100 | 314,898 | ||
Sekisui Chemical Co., Ltd. | 22,900 | 313,959 | ||
Sekisui House, Ltd. | 178,139 | 3,127,293 | ||
Seven & i Holdings Co., Ltd. | 13,200 | 512,165 | ||
Shimamura Co., Ltd. | 18,200 | 1,599,147 | ||
Shimano, Inc. | 1,700 | 286,377 | ||
Shin-Etsu Chemical Co., Ltd. | 5,000 | 562,055 | ||
Shinko Electric Industries Co., Ltd. | 1,800 | 46,490 | ||
Shionogi & Co., Ltd. | 7,900 | 403,204 |
Shares | Value | |||
Shiseido Co., Ltd. | 7,600 | $ 306,335 | ||
SMC Corporation | 15,300 | 6,810,635 | ||
SoftBank Corporation | 53,900 | 598,427 | ||
SoftBank Group Corporation | 31,000 | 1,201,514 | ||
Sojitz Corporation‡‡ | 63,260 | 896,654 | ||
Sony Group Corporation | 18,400 | 1,500,645 | ||
Subaru Corporation | 52,000 | 919,800 | ||
SUMCO Corporation | 5,600 | 72,827 | ||
Sumitomo Corporation | 83,700 | 1,137,772 | ||
Sumitomo Dainippon Pharma Co., Ltd. | 49,800 | 399,959 | ||
Sumitomo Electric Industries, Ltd. | 32,900 | 363,562 | ||
Sumitomo Forestry Co., Ltd. | 37,300 | 530,468 | ||
Sumitomo Heavy Industries, Ltd. | 20,100 | 444,947 | ||
Sumitomo Metal Mining Co., Ltd. | 5,500 | 170,524 | ||
Sumitomo Mitsui Financial Group, Inc. | 72,500 | 2,155,069 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 184,600 | 5,705,242 | ||
Sumitomo Realty & Development Co., Ltd.‡‡ | 6,000 | 158,392 | ||
Sundrug Co., Ltd. | 3,800 | 84,982 | ||
Suzuken Co., Ltd. | 2,200 | 62,013 | ||
Suzuki Motor Corporation | 23,200 | 729,360 | ||
Sysmex Corporation | 4,100 | 247,397 | ||
T&D Holdings, Inc. | 35,800 | 428,546 | ||
Taisei Corporation | 27,100 | 844,978 | ||
Takeda Pharmaceutical Co., Ltd. | 46,200 | 1,297,682 | ||
TDK Corporation | 11,400 | 352,468 | ||
Terumo Corporation | 237,100 | 7,172,525 | ||
Tokio Marine Holdings, Inc. | 123,036 | 7,174,470 | ||
Tokyo Electric Power Co. Holdings, Inc.* | 541,300 | 2,264,371 | ||
Tokyo Electron, Ltd.‡‡ | 2,400 | 783,344 | ||
Tokyo Gas Co., Ltd. | 8,000 | 165,792 | ||
Tokyu Corporation | 28,100 | 331,678 | ||
Toshiba Corporation | 7,700 | 312,853 | ||
Tosoh Corporation | 37,800 | 470,184 | ||
Toyo Suisan Kaisha, Ltd. | 1,600 | 62,469 | ||
Toyota Boshoku Corporation | 57,600 | 855,629 | ||
Toyota Motor Corporation | 202,600 | 3,125,977 | ||
Toyota Tsusho Corporation | 15,800 | 515,124 | ||
Trend Micro, Inc. | 6,100 | 298,421 | ||
Unicharm Corporation | 6,700 | 224,833 | ||
USS Co., Ltd. | 15,300 | 265,181 | ||
Yakult Honsha Co., Ltd. | 6,300 | 363,381 | ||
Yamada Holdings Co., Ltd. | 344,700 | 1,239,593 | ||
Yamaha Motor Co., Ltd. | 7,200 | 132,212 | ||
Yamazaki Baking Co., Ltd. | 12,000 | 146,795 | ||
Z Holdings Corporation | 50,500 | 146,858 | ||
172,454,140 | ||||
Jersey — 1.9% | ||||
Experian PLC | 469,793 | 13,793,504 | ||
Ferguson PLC | 23,110 | 2,588,840 | ||
Glencore PLC* | 306,565 | 1,660,490 |
Shares | Value | |||
WPP PLC | 81,798 | $ 826,262 | ||
18,869,096 | ||||
Mexico — 0.1% | ||||
Grupo Televisa SAB SA ADR | 89,200 | 729,656 | ||
Netherlands — 4.3% | ||||
Adyen NV 144A* | 2,840 | 4,098,496 | ||
Aegon NV | 222,591 | 958,617 | ||
Akzo Nobel NV | 55,465 | 3,627,295 | ||
ArcelorMittal SA | 66,603 | 1,493,598 | ||
ASM International NV | 10,730 | 2,669,702 | ||
ASML Holding NV | 13,596 | 6,457,068 | ||
ASR Nederland NV‡‡ | 17,958 | 724,012 | ||
CNH Industrial NV | 126,815 | 1,466,660 | ||
Euronext NV 144A | 82,195 | 6,741,045 | ||
EXOR NV | 25,723 | 1,607,429 | ||
Ferrari NVΔ | 23,870 | 4,392,980 | ||
ING Groep NV‡‡ | 48,701 | 479,783 | ||
Koninklijke Ahold Delhaize NV | 33,395 | 869,239 | ||
Koninklijke Philips NVΔ | 44,443 | 953,237 | ||
Koninklijke Vopak NV | 6,684 | 168,445 | ||
NN Group NV | 20,474 | 927,327 | ||
OCI NV | 27,579 | 907,230 | ||
Prosus NV* | 45,655 | 2,956,328 | ||
QIAGEN NV* | 12,941 | 608,462 | ||
Signify NV 144A | 1,632 | 53,840 | ||
Stellantis NV | 68,641 | 852,160 | ||
Universal Music Group NV | 9,145 | 183,230 | ||
43,196,183 | ||||
Nigeria — 0.0% | ||||
Afriland Properties PLCΨ†††* | 364,373 | — | ||
Norway — 0.4% | ||||
DNB Bank ASA | 15,435 | 279,428 | ||
Equinor ASA | 60,118 | 2,094,836 | ||
Leroy Seafood Group ASA | 30,610 | 219,169 | ||
Norsk Hydro ASA | 55,826 | 315,487 | ||
Orkla ASA | 58,256 | 466,671 | ||
Telenor ASA | 4,321 | 57,743 | ||
Yara International ASA | 22,189 | 929,742 | ||
4,363,076 | ||||
Portugal — 0.5% | ||||
Galp Energia SGPS SA | 452,028 | 5,289,176 | ||
Singapore — 0.9% | ||||
Ascendas REIT‡‡ | 158,700 | 325,707 | ||
CapitaLand Integrated Commercial Trust REIT‡‡ | 233,640 | 365,231 | ||
Mapletree Commercial Trust REIT | 136,500 | 179,902 | ||
Oversea-Chinese Banking Corporation, Ltd. | 26,900 | 220,662 | ||
Singapore Exchange, Ltd.‡‡Δ | 899,632 | 6,129,129 | ||
Wilmar International, Ltd. | 743,300 | 2,163,437 | ||
9,384,068 |
Shares | Value | |||
South Korea — 1.1% | ||||
Hana Financial Group, Inc. | 32,695 | $ 993,723 | ||
KB Financial Group, Inc. | 145,449 | 5,431,549 | ||
NAVER Corporation | 5,575 | 1,039,886 | ||
Samsung Electronics Co., Ltd. GDR | 2,809 | 3,058,367 | ||
10,523,525 | ||||
Spain — 1.3% | ||||
Aena SME SA 144A* | 21,596 | 2,755,671 | ||
Amadeus IT Group SA* | 178,414 | 9,990,143 | ||
12,745,814 | ||||
Sweden — 1.8% | ||||
Assa Abloy AB, B Shares | 135,291 | 2,887,116 | ||
Atlas Copco AB, A Shares | 196,196 | 1,836,403 | ||
Atlas Copco AB, B Shares | 27,720 | 232,264 | ||
Elekta AB, B Shares | 67,043 | 464,640 | ||
H & M Hennes & Mauritz AB, B SharesΔ | 112,141 | 1,345,989 | ||
Husqvarna AB, B Shares | 7,300 | 53,807 | ||
Investor AB, B Shares‡‡ | 22,531 | 371,576 | ||
Millicom International Cellular SA SDR* | 22,382 | 320,772 | ||
Saab AB, B Shares | 25,554 | 1,056,719 | ||
Securitas AB, B Shares | 53,497 | 462,526 | ||
Skandinaviska Enskilda Banken AB, A Shares | 78,011 | 768,552 | ||
Skanska AB, B Shares | 11,760 | 180,934 | ||
SKF AB, B SharesΔ | 94,177 | 1,397,237 | ||
SSAB AB, B Shares | 455,760 | 1,893,787 | ||
Svenska Handelsbanken AB, A Shares | 130,104 | 1,116,801 | ||
Swedbank AB, A Shares | 5,907 | 74,916 | ||
Telefonaktiebolaget LM Ericsson, B Shares‡‡ | 321,103 | 2,398,324 | ||
Trelleborg AB, B Shares | 9,222 | 186,585 | ||
Volvo AB, B Shares | 84,103 | 1,308,591 | ||
18,357,539 | ||||
Switzerland — 12.7% | ||||
ABB, Ltd. | 3,345 | 89,707 | ||
Adecco Group AG‡‡ | 45,012 | 1,534,227 | ||
Alcon, Inc. | 66,460 | 4,660,279 | ||
Baloise Holding AG | 6,418 | 1,050,584 | ||
Barry Callebaut AG | 278 | 622,003 | ||
BKW AG | 6,549 | 685,173 | ||
Bucher Industries AG | 1,526 | 532,646 | ||
Chubb, Ltd. | 41,719 | 8,201,121 | ||
Cie Financiere Richemont SA Class A | 4,052 | 435,846 | ||
Credit Suisse Group AG | 327,222 | 1,867,733 | ||
DKSH Holding AG | 12,832 | 1,061,766 | ||
dormakaba Holding AG | 559 | 243,963 | ||
Galenica AG 144A | 790 | 60,772 | ||
Georg Fischer AG | 3,002 | 148,265 | ||
Helvetia Holding AG | 601 | 70,583 | ||
Holcim, Ltd. (Swiss Exchange)* | 32,704 | 1,402,660 | ||
Julius Baer Group, Ltd. | 125,658 | 5,829,285 | ||
Nestle SA‡‡ | 208,991 | 24,425,355 | ||
Novartis AG‡‡ | 261,273 | 22,150,890 |
Shares | Value | |||
OC Oerlikon Corporation AG | 79,570 | $ 555,530 | ||
Roche Holding AG‡‡ | 59,879 | 20,017,540 | ||
Sika AG | 41,269 | 9,526,424 | ||
Sulzer AG | 2,953 | 184,065 | ||
Swatch Group AG (The) | 3,158 | 750,147 | ||
Swiss Re AG | 9,555 | 741,640 | ||
Temenos AG | 16,435 | 1,406,508 | ||
UBS Group AG | 638,738 | 10,326,305 | ||
Zurich Insurance Group AG | 18,650 | 8,132,769 | ||
126,713,786 | ||||
Taiwan — 1.3% | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 157,513 | 12,876,688 | ||
Turkey — 0.0% | ||||
Yapi ve Kredi Bankasi AS | 1 | — | ||
United Kingdom — 4.2% | ||||
Atlassian Corporation PLC Class A* | 11,240 | 2,106,376 | ||
BP PLC ADR | 153,871 | 4,362,243 | ||
Compass Group PLC | 463,105 | 9,508,191 | ||
Informa PLC* | 124,900 | 806,931 | ||
Liberty Global PLC Class A* | 267,364 | 5,628,012 | ||
Lloyds Banking Group PLC‡‡ | 7,735,648 | 3,980,043 | ||
Natwest Group PLC | 215,850 | 574,541 | ||
Prudential PLC | 103,400 | 1,286,217 | ||
Reckitt Benckiser Group PLC | 67,758 | 5,096,233 | ||
Rolls-Royce Holdings PLC* | 360,338 | 366,702 | ||
Schroders PLC | 38,918 | 1,271,345 | ||
Smiths Group PLC | 197,811 | 3,382,741 | ||
Vodafone Group PLC ADRΔ | 249,263 | 3,883,518 | ||
42,253,093 | ||||
Total Foreign Common Stocks (Cost $920,687,471) | 858,933,664 | |||
FOREIGN PREFERRED STOCKS — 0.7% | ||||
Germany — 0.6% | ||||
Henkel AG & Co. KGaA | ||||
3.15%◊ | 75,286 | 4,658,744 | ||
Porsche Automobil Holding SE | ||||
4.04%‡‡◊ | 2,638 | 175,456 | ||
Volkswagen AG | ||||
5.90%◊ | 4,233 | 569,930 | ||
5,404,130 | ||||
South Korea — 0.1% | ||||
Samsung Electronics Co., Ltd. | ||||
2.78%◊ | 23,900 | 960,670 | ||
Total Foreign Preferred Stocks (Cost $9,916,297) | 6,364,800 | |||
MONEY MARKET FUNDS — 8.1% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ | 65,777,253 | 65,777,253 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 1.46%ا | 14,800,368 | $ 14,800,368 | ||
Northern Institutional U.S. Government Portfolio (Shares), 1.12%Ø | 314,397 | 314,397 | ||
Total Money Market Funds (Cost $80,892,018) | 80,892,018 | |||
TOTAL INVESTMENTS — 97.7% (Cost $1,037,298,286) | 973,467,501 | |||
FOREIGN COMMON STOCKS SOLD SHORT — (0.0)% | ||||
United Kingdom — (0.0)% | ||||
Ocado Group PLC* (Proceeds $(803,636)) | (47,886) | (456,484) | ||
TOTAL SECURITIES SOLD SHORT — (0.0)% (Proceeds $(803,636)) | (456,484) | |||
Other Assets in Excess of Liabilities — 2.3% | 23,346,687 | |||
NET ASSETS — 100.0% | $996,357,704 |
% | |
Financials | 20.4 |
Industrials | 15.1 |
Health Care | 11.7 |
Information Technology | 11.0 |
Consumer Discretionary | 10.0 |
Money Market Funds | 8.1 |
Consumer Staples | 7.0 |
Materials | 6.0 |
Communication Services | 3.9 |
Energy | 2.4 |
Real Estate | 1.3 |
Utilities | 0.8 |
Foreign Common Stocks Sold Short | —** |
97.7 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
AEX Index | 07/2022 | 50 | $ 6,905,676 | $ 16,559 | ||||
CAC40 10 Euro | 07/2022 | 179 | 11,093,662 | (130,721) | ||||
IBEX 35 Index | 07/2022 | (84) | (7,077,083) | 57,389 | ||||
OMXS30 Index | 07/2022 | (97) | (1,773,636) | 74,559 | ||||
Hang Seng Index | 07/2022 | (106) | (14,686,649) | 114,685 | ||||
MSCI Singapore Index | 07/2022 | (15) | (302,904) | 8,736 | ||||
Topix Index® | 09/2022 | 245 | 33,775,980 | (888,096) | ||||
ASX SPI 200 Index | 09/2022 | (192) | (21,406,586) | 335,979 | ||||
S&P/TSX 60 Index | 09/2022 | (10) | (1,775,171) | 114,328 | ||||
DAX Index | 09/2022 | (16) | (5,353,348) | 183,063 | ||||
FTSE 100 Index | 09/2022 | 191 | 16,556,633 | (190,551) | ||||
FTSE/MIB Index | 09/2022 | 160 | 17,779,939 | (588,953) | ||||
MSCI EAFE Index | 09/2022 | 44 | 4,084,520 | (37,329) | ||||
Total Futures Contracts outstanding at June 30, 2022 | $ 37,821,033 | $(930,352) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/21/22 | United States Dollar | 38,703,281 | New Zealand Dollar | 60,504,000 | CITI | $952,588 | ||||||
09/21/22 | United States Dollar | 30,937,277 | Japanese Yen | 4,059,815,000 | CITI | 833,256 | ||||||
09/21/22 | United States Dollar | 21,518,067 | British Pound | 17,250,000 | CITI | 485,044 | ||||||
09/21/22 | United States Dollar | 10,897,771 | Swedish Krona | 109,607,000 | CITI | 144,443 | ||||||
09/21/22 | Norwegian Krone | 95,946,000 | United States Dollar | 9,624,048 | CITI | 135,456 | ||||||
09/21/22 | United States Dollar | 20,156,948 | Euro | 19,044,000 | CITI | 77,848 | ||||||
09/21/22 | Euro | 12,060,125 | United States Dollar | 12,654,056 | CITI | 61,576 | ||||||
09/21/22 | Swiss Franc | 3,143,000 | United States Dollar | 3,253,559 | CITI | 59,060 | ||||||
09/21/22 | United States Dollar | 4,780,077 | Australian Dollar | 6,841,000 | CITI | 54,734 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/21/22 | United States Dollar | 945,363 | Danish Krone | 6,539,000 | CITI | $ 18,274 | ||||||
09/21/22 | United States Dollar | 588,916 | Norwegian Krone | 5,624,000 | CITI | 16,849 | ||||||
09/21/22 | United States Dollar | 944,685 | Singapore Dollar | 1,299,000 | CITI | 9,141 | ||||||
09/21/22 | Japanese Yen | 128,347,000 | United States Dollar | 944,493 | CITI | 7,216 | ||||||
09/21/22 | United States Dollar | 353,328 | Israeli Shekel | 1,203,000 | CITI | 6,786 | ||||||
09/21/22 | British Pound | 3,722,000 | United States Dollar | 4,534,563 | CITI | 3,692 | ||||||
09/21/22 | Danish Krone | 3,606,000 | United States Dollar | 510,001 | CITI | 1,253 | ||||||
09/21/22 | Australian Dollar | 223,000 | United States Dollar | 153,287 | CITI | 748 | ||||||
09/21/22 | Hong Kong Dollar | 60,754,987 | United States Dollar | 7,760,381 | CITI | 742 | ||||||
09/21/22 | Singapore Dollar | 91,000 | United States Dollar | 65,488 | CITI | 50 | ||||||
09/21/22 | Canadian Dollar | 967,685 | United States Dollar | 751,842 | CITI | 38 | ||||||
09/21/22 | United States Dollar | 29,397 | Hong Kong Dollar | 230,000 | CITI | 15 | ||||||
Subtotal Appreciation | $ 2,868,809 | |||||||||||
09/21/22 | United States Dollar | 601 | Norwegian Krone | 6,000 | CITI | $ (10) | ||||||
09/21/22 | Hong Kong Dollar | 2,810,000 | United States Dollar | 359,183 | CITI | (220) | ||||||
09/21/22 | United States Dollar | 1,062,560 | Hong Kong Dollar | 8,321,000 | CITI | (404) | ||||||
09/21/22 | United States Dollar | 1,906,584 | British Pound | 1,564,000 | CITI | (410) | ||||||
09/21/22 | United States Dollar | 535,528 | Singapore Dollar | 745,000 | CITI | (1,024) | ||||||
09/21/22 | United States Dollar | 875,630 | Danish Krone | 6,184,000 | CITI | (1,129) | ||||||
09/21/22 | Singapore Dollar | 1,525,000 | United States Dollar | 1,105,140 | CITI | (6,828) | ||||||
09/21/22 | United States Dollar | 3,343,972 | New Zealand Dollar | 5,371,000 | CITI | (7,194) | ||||||
09/21/22 | Danish Krone | 14,604,000 | United States Dollar | 2,084,961 | CITI | (14,425) | ||||||
09/21/22 | United States Dollar | 3,415,485 | Canadian Dollar | 4,415,000 | CITI | (14,920) | ||||||
09/21/22 | United States Dollar | 2,751,835 | Euro | 2,628,000 | CITI | (19,005) | ||||||
09/21/22 | Israeli Shekel | 6,782,000 | United States Dollar | 2,033,976 | CITI | (80,330) | ||||||
09/21/22 | British Pound | 7,810,000 | United States Dollar | 9,745,115 | CITI | (222,337) | ||||||
09/21/22 | Norwegian Krone | 121,927,000 | United States Dollar | 12,699,140 | CITI | (296,882) | ||||||
09/21/22 | United States Dollar | 20,171,502 | Swiss Franc | 19,461,000 | CITI | (339,748) | ||||||
09/21/22 | Euro | 26,685,875 | United States Dollar | 28,485,568 | CITI | (349,232) | ||||||
09/21/22 | Canadian Dollar | 29,697,315 | United States Dollar | 23,426,695 | CITI | (352,218) | ||||||
09/21/22 | Swedish Krona | 189,187,000 | United States Dollar | 19,077,282 | CITI | (516,513) | ||||||
09/21/22 | Australian Dollar | 65,221,000 | United States Dollar | 46,273,832 | CITI | (1,223,170) | ||||||
09/21/22 | Japanese Yen | 4,900,935,000 | United States Dollar | 37,594,935 | CITI | (1,253,910) | ||||||
Subtotal Depreciation | $(4,699,909) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2022 | $(1,831,100) |
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) | 7/29/2022 | GSC | ILS | 5,486,190 | $ 8,829 | $— | $ 8,829 | ||||||||
Increase in total return of Swiss Market Index (At Termination) | Decrease in total return of Swiss Market Index (At Termination) | 9/16/2022 | CITI | CHF | 8,870,210 | 62,454 | — | 62,454 | ||||||||
MSCI Spain Net Return EUR Index (Monthly) | Financing Index: Euro Short Term Rate - 0.40% | 9/21/2022 | GSC | EUR | 1,521,000 | 87,941 | — | 87,941 | ||||||||
MSCI Sweden Net Return SEK Index (Monthly) | Financing Index: 1-Month STIBOR - 0.45% | 9/21/2022 | GSC | SEK | 3,588,826 | 38,626 | — | 38,626 |
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 Switzerland Net Return CHF Index (Monthly) | Financing Index: Swiss Average Rate Overnight - 0.35% | 9/21/2022 | GSC | CHF | 1,575,294 | $ 77,037 | $ — | $ 77,037 | ||||||||
Subtotal Appreciation | $ 274,887 | $ — | $ 274,887 | |||||||||||||
Financing Index: Bank of Japan Unsecured Overnight Call Rate - 0.16% | MSCI Japan Net Return JPY Index (Monthly) | 9/21/2022 | GSC | JPY | 52,330,736 | $ (22,156) | $ — | $ (22,156) | ||||||||
Financing Index: Euro Short Term Rate + 0.07% | MSCI Italy Net Return EUR Index (Monthly) | 9/21/2022 | GSC | EUR | 3,716,885 | (325,122) | — | (325,122) | ||||||||
Subtotal Depreciation | $(347,278) | $ — | $(347,278) | |||||||||||||
Net Total Return Swaps outstanding at June 30, 2022 | $ (72,391) | $ — | $ (72,391) |
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). | 44-55 months maturity ranging from 2/19/2026 - 01/06/2027 | GSC | $ 8,707,182 | $848,340 | $— | $848,340 | ||||||
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). | 38-42 months maturity ranging from 08/08/2025 - 12/12/2025 | GSC | 2,283,362 | 249,105 | — | 249,105 | ||||||
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. | 38-56 months maturity ranging from 08/08/2025 - 02/17/2027 | GSC | 12,794,059 | 330,942 | — | 330,942 | ||||||
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). | 38-56 months maturity ranging from 08/08/2025 - 02/17/2027 | GSC | 15,779,095 | 2,469 | — | 2,469 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the MUTSCALM minus a specified spread(-0.33%), which is denominated in JPY based on the local currencies of the positions within the swap (Monthly).* | 38-57 months maturity ranging from 08/08/2025 - 03/10/2027 | GSC | 1,806,135,198 | 529,131 | — | 529,131 |
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 STIBOR minus a specified spread (-0.35%), which is denominated in SEK based on the local currencies of the positions within the swap (Monthly). | 40-56 months maturity ranging from 10/15/2025 - 02/17/2027 | GSC | $32,736,297 | $ 433,744 | $ — | $ 433,744 | ||||||
Subtotal Appreciation | $2,393,731 | $ — | $2,393,731 | |||||||||
* 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 | ||||
MonotaRO Co., Ltd. | (77,700) | $ 157,225,176 | $ 32,180 | 6.08% | ||||
East Japan Railway Co. | (17,700) | 122,836,592 | 19,708 | 3.72 | ||||
Nexon Co., Ltd. | (39,500) | 110,053,247 | 134,608 | 25.44 | ||||
ANA Holdings, Inc. | (40,700) | 102,003,811 | 14,955 | 2.83 | ||||
Baycurrent Consulting, Inc. | (2,500) | 90,685,871 | (31,997) | (6.05) | ||||
Obic Co., Ltd. | (4,500) | 86,825,436 | 3,393 | 0.64 | ||||
Rakuten Group, Inc. | (138,900) | 85,214,030 | 115,059 | 21.74 | ||||
Harmonic Drive Systems, Inc. | (19,500) | 77,570,636 | (6,366) | (1.20) | ||||
Lasertec Corporation | (4,800) | 77,567,954 | 73,664 | 13.92 | ||||
Nippon Paint Holdings Co., Ltd. | (71,500) | 72,585,643 | 51,255 | 9.69 | ||||
Aeon Co., Ltd. | (30,000) | 70,703,353 | (7,552) | (1.43) | ||||
Kobe Bussan Co., Ltd. | (20,600) | 68,704,204 | (43,144) | (8.15) | ||||
Capcom Co., Ltd. | (20,400) | 67,331,121 | 31,793 | 6.01 | ||||
Pan Pacific International Holdings Corporation | (30,300) | 65,544,344 | (46,605) | (8.81) | ||||
West Japan Railway Co. | (12,700) | 63,391,512 | 64,807 | 12.25 | ||||
Asahi Intecc Co., Ltd. | (21,800) | 44,784,098 | (16,648) | (3.15) | ||||
Japan Airport Terminal Co., Ltd. | (8,000) | 43,126,932 | 9,920 | 1.87 | ||||
Fast Retailing Co., Ltd. | (600) | 42,761,742 | (6,416) | (1.21) | ||||
Koei Tecmo Holdings Co., Ltd. | (9,500) | 41,795,339 | 14,280 | 2.70 | ||||
Central Japan Railway Co. | (2,600) | 40,544,641 | 14,722 | 2.78 | ||||
JSR Corporation | (11,200) | 39,489,042 | 43,270 | 8.18 | ||||
Odakyu Electric Railway Co., Ltd. | (20,500) | 37,526,574 | (5,568) | (1.05) | ||||
Yaskawa Electric Corporation | (6,700) | 29,360,835 | 21,333 | 4.03 | ||||
Oriental Land Co., Ltd. | (1,300) | 24,632,368 | 34 | 0.01 | ||||
Kubota Corporation | (12,100) | 24,603,110 | 48,190 | 9.11 | ||||
Cosmos Pharmaceutical Corporation | (1,700) | 22,153,140 | (14,823) | (2.80) | ||||
Benefit One, Inc. | (10,100) | 18,565,332 | 4,220 | 0.80 | ||||
Fancl Corp. | (6,300) | 15,709,751 | (5,577) | (1.05) | ||||
Keisei Electric Railway Co., Ltd. | (3,000) | 11,239,208 | (1,260) | (0.24) | ||||
Z Holdings Corporation | (26,900) | 10,613,867 | 8,974 | 1.69 | ||||
Unicharm Corporation | (1,900) | 8,650,788 | (3,441) | (0.65) | ||||
Olympus Corporation | (3,100) | 8,523,703 | 1,313 | 0.25 | ||||
KDDI Corporation | (1,900) | 8,129,309 | 2,810 | 0.53 | ||||
Trend Micro, Inc. | (1,200) | 7,965,194 | 5,096 | 0.96 | ||||
NTT Data Corporation | (4,100) | 7,717,295 | 2,944 | 0.56 | ||||
$1,806,135,198 | $529,131 | 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 long equity positions and pays HIBOR plus a specified spread (0.20% to .33%), which is denominated in HKD based on the local currencies of the positions within the swap (Monthly). | 38-54 months maturity ranging from 08/08/2025 - 12/16/2026 | GSC | $60,813,286 | $ (198,266) | $— | $ (198,266) | ||||||
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(-.35% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swap (Monthly).** | 38-57 months maturity ranging from 08/08/2025 - 03/17/2027 | GSC | 53,159,308 | (2,369,679) | — | (2,369,679) |
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 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).*** | 38-57 months maturity ranging from 08/08/2025 - 03/17/2027 | GSC | $30,675,515 | $(1,939,121) | $ — | $(1,939,121) | ||||||
Subtotal Depreciation | $(4,507,066) | $ — | $(4,507,066) | |||||||||
Net Total Return Basket Swaps | $(2,113,335) | $ — | $(2,113,335) |
** 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 | ||||
TotalEnergies SE | 64,317 | $3,230,547 | $(368,907) | 15.57% | ||||
Orange SA | 281,457 | 3,164,816 | 116,211 | (4.90) | ||||
Repsol SA | 222,247 | 3,126,453 | (383,178) | 16.17 | ||||
Cellnex Telecom SA | (64,773) | 2,405,504 | 282,738 | (11.93) | ||||
Telefonica SA | 492,136 | 2,397,651 | 162,248 | (6.85) | ||||
Ferrari NV | (12,646) | 2,220,851 | 10,736 | (0.45) | ||||
Banco Santander SA | 808,074 | 2,181,762 | (146,255) | 6.17 | ||||
Unibail-Rodamco-Westfield REIT | (33,054) | 1,603,572 | 451,721 | (19.06) | ||||
Argenx SE | (4,175) | 1,501,771 | (219,344) | 9.26 | ||||
Amadeus IT Group SA | (24,462) | 1,307,056 | 60,080 | (2.54) | ||||
Cie de St-Gobain | 30,145 | 1,242,944 | (446,048) | 18.82 | ||||
Hermes International | (1,135) | 1,218,914 | (420) | 0.02 | ||||
STMicroelectronics NV | 39,465 | 1,190,976 | (239,742) | 10.12 | ||||
Sodexo SA | 16,584 | 1,119,384 | (37,399) | 1.58 | ||||
Renault SA | 42,129 | 1,014,920 | (135,495) | 5.72 | ||||
Eutelsat Communications SA | 93,869 | 1,010,872 | (14,700) | 0.62 | ||||
Ipsen SA | 11,088 | 1,001,810 | (3,322) | 0.14 | ||||
Nexi SpA | (116,886) | 926,259 | 102,881 | (4.34) | ||||
Electricite de France SA | 114,818 | 899,945 | (78,043) | 3.29 | ||||
Rexel SA | 59,580 | 878,506 | (314,814) | 13.28 | ||||
Eiffage SA | 9,917 | 856,044 | (79,662) | 3.36 | ||||
Bouygues SA | 27,918 | 822,222 | (62,142) | 2.62 | ||||
Aeroports de Paris | (6,691) | 813,942 | 45,030 | (1.90) | ||||
Dassault Aviation SA | 5,312 | 791,581 | (37,125) | 1.57 | ||||
Delivery Hero SE | (21,902) | 788,464 | 63,696 | (2.69) | ||||
Rubis | 34,372 | 771,433 | (218,005) | 9.20 | ||||
Rheinmetall AG | (3,493) | 769,179 | (43,582) | 1.84 | ||||
Carrefour SA | 43,943 | 744,354 | (78,432) | 3.31 | ||||
Mapfre SA | 408,108 | 688,663 | (14,666) | 0.62 | ||||
Prosus NV | (10,832) | 669,318 | (123,070) | 5.19 | ||||
BNP Paribas SA | 13,946 | 636,542 | (80,953) | 3.42 | ||||
Enagas SA | 29,475 | 622,057 | (27,558) | 1.16 | ||||
Acerinox SA | 65,804 | 609,690 | (163,644) | 6.91 | ||||
Airbus SE | 6,325 | 590,341 | (63,277) | 2.67 | ||||
Publicis Groupe SA | 12,568 | 589,819 | (50,018) | 2.11 | ||||
Atos SE | 45,556 | 589,344 | (484,562) | 20.45 | ||||
SEB SA | 5,467 | 503,459 | (13,438) | 0.57 | ||||
DiaSorin SpA | (3,105) | 389,656 | (20,800) | 0.88 | ||||
Alstom SA | (17,650) | 384,589 | 86,007 | (3.63) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Amundi SA | 7,104 | $ 373,229 | $ 4,433 | (0.19)% | ||||
Endesa SA | 18,322 | 330,746 | (51,940) | 2.19 | ||||
SES SA | 39,302 | 328,272 | (11,951) | 0.50 | ||||
Koninklijke DSM NV | (2,383) | 325,747 | 48,795 | (2.06) | ||||
Valeo | (16,575) | 308,202 | 48,559 | (2.05) | ||||
Ferrovial SA | (12,294) | 298,493 | 9,156 | (0.39) | ||||
Societe Generale SA | 12,207 | 257,544 | (48,333) | 2.04 | ||||
BioMerieux | 2,599 | 243,183 | 5,614 | (0.24) | ||||
Moncler SpA | (5,897) | 242,452 | 12,661 | (0.53) | ||||
Sanofi | 2,465 | 237,211 | (5,202) | 0.22 | ||||
Air Liquide SA | (1,678) | 215,529 | 16,873 | (0.71) | ||||
Other | (86,998) | 3,723,490 | 168,909 | (7.13) | ||||
$53,159,308 | $(2,369,679) | 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 | ||||
Shell PLC | 183,038 | $3,915,895 | $(573,561) | 29.58% | ||||
Rio Tinto PLC | 42,667 | 2,095,553 | (515,306) | 26.57 | ||||
HSBC Holdings PLC | 330,444 | 1,773,296 | 98,678 | (5.09) | ||||
Barclays PLC | 1,086,615 | 1,669,206 | (164,084) | 8.46 | ||||
Tesco PLC | 649,726 | 1,663,468 | 29,057 | (1.50) | ||||
BP PLC | 429,349 | 1,656,129 | (328,432) | 16.94 | ||||
Associated British Foods PLC | 67,250 | 1,065,988 | (51,167) | 2.64 | ||||
Coca-Cola HBC AG | 53,495 | 979,183 | 42,948 | (2.21) | ||||
AVEVA Group PLC | (38,695) | 872,649 | 58,274 | (3.01) | ||||
Anglo American PLC | 26,371 | 774,440 | (311,431) | 16.06 | ||||
Aviva PLC | 178,752 | 719,276 | (44,971) | 2.32 | ||||
Hikma Pharmaceuticals PLC | 44,042 | 713,854 | 29,629 | (1.53) | ||||
Barratt Developments PLC | 149,594 | 687,405 | (80,834) | 4.17 | ||||
Ocado Group PLC | (86,491) | 677,314 | 139,659 | (7.20) | ||||
Royal Mail PLC | 239,900 | 651,031 | (15,643) | 0.81 | ||||
Unilever PLC | 17,293 | 647,508 | 21,922 | (1.13) | ||||
Inchcape PLC | 91,081 | 635,840 | (24,140) | 1.24 | ||||
Rolls-Royce Holdings PLC | (717,691) | 599,989 | 70,987 | (3.66) | ||||
Man Group PLC | 232,916 | 584,104 | 3,706 | (0.19) | ||||
B&M European Value Retail SA | (143,494) | 527,541 | 7,569 | (0.39) | ||||
Kingfisher PLC | 213,733 | 524,717 | (3,506) | 0.18 | ||||
ConvaTec Group PLC | (203,125) | 457,375 | (39,782) | 2.05 | ||||
Vodafone Group PLC | 355,710 | 454,359 | 7,174 | (0.37) | ||||
InterContinental Hotels Group PLC | 9,933 | 433,680 | (69,474) | 3.58 | ||||
DCC PLC | 8,353 | 426,924 | (46,807) | 2.41 | ||||
Burberry Group PLC | 23,546 | 388,045 | (20,891) | 1.08 | ||||
Glencore PLC | 84,913 | 377,825 | (95,424) | 4.92 | ||||
Lloyds Banking Group PLC | 874,182 | 369,484 | (27,144) | 1.40 | ||||
abrdn PLC | 229,678 | 368,291 | (64,051) | 3.30 | ||||
London Stock Exchange Group PLC | 3,641 | 279,100 | 24,429 | (1.26) | ||||
SSE PLC | 15,619 | 253,221 | (27,441) | 1.42 | ||||
Marks & Spencer Group PLC | 166,043 | 226,297 | (15,007) | 0.77 | ||||
Howden Joinery Group PLC | 37,343 | 226,133 | (25,930) | 1.34 | ||||
M&G PLC | 114,980 | 223,926 | (19,208) | 0.99 | ||||
Carnival PLC | (32,038) | 202,935 | 94,191 | (4.86) | ||||
WH Smith PLC | (14,256) | 201,308 | 25,598 | (1.32) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Informa PLC | (37,567) | $ 199,381 | $ 9,822 | (0.51)% | ||||
Standard Chartered PLC | 30,928 | 191,808 | 4,943 | (0.26) | ||||
Centrica PLC | 233,466 | 187,290 | (3,272) | 0.17 | ||||
Sage Group PLC (The) | 28,622 | 182,077 | (1,478) | 0.08 | ||||
3i Group PLC | 15,222 | 169,487 | (9,964) | 0.51 | ||||
BAE Systems PLC | 19,279 | 160,339 | 9,993 | (0.52) | ||||
Ashtead Group PLC | 3,918 | 135,402 | (30,173) | 1.56 | ||||
Direct Line Insurance Group PLC | 53,369 | 134,571 | 824 | (0.04) | ||||
Berkeley Group Holdings PLC | 2,886 | 107,788 | (16,641) | 0.86 | ||||
J Sainsbury PLC | 48,840 | 99,849 | (8,465) | 0.44 | ||||
Smith & Nephew PLC | 8,377 | 96,238 | (8,556) | 0.44 | ||||
Smiths Group PLC | 6,174 | 86,734 | (10,455) | 0.54 | ||||
Intertek Group PLC | 1,912 | 80,733 | (5,312) | 0.27 | ||||
Avast PLC | 13,904 | 71,884 | 5,925 | (0.31) | ||||
Other | 33,990 | 448,645 | 34,101 | (1.74) | ||||
$30,675,515 | $(1,939,121) | 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 | $ 27,277,019 | $ 27,277,019 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Belgium | 1,591,076 | 286,764 | 1,304,312 | — | |||
Canada | 29,967,394 | 29,967,394 | — | — | |||
China | 10,530,498 | 902,601 | 9,627,897 | — | |||
Denmark | 6,835,911 | 552,844 | 6,283,067 | — | |||
India | 11,782,169 | 3,475,285 | 8,306,884 | — | |||
Ireland | 49,417,203 | 44,966,201 | 4,451,002 | — | |||
Israel | 5,997,543 | 5,997,543 | — | — | |||
Mexico | 729,656 | 729,656 | — | — | |||
Netherlands | 43,196,183 | 4,673,142 | 38,523,041 | — | |||
Switzerland | 126,713,786 | 8,201,121 | 118,512,665 | — | |||
Taiwan | 12,876,688 | 12,876,688 | — | — | |||
United Kingdom | 42,253,093 | 15,980,149 | 26,272,944 | — | |||
Other ^^ | 517,042,464 | — | 517,042,464 | —** | |||
Total Foreign Common Stocks | 858,933,664 | 128,609,388 | 730,324,276 | — | |||
Foreign Preferred Stocks | 6,364,800 | — | 6,364,800 | — | |||
Money Market Funds | 80,892,018 | 80,892,018 | — | — | |||
Total Assets - Investments in Securities | $973,467,501 | $236,778,425 | $736,689,076 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 2,868,809 | $ — | $ 2,868,809 | $ — | |||
Futures Contracts | 905,298 | 905,298 | — | — | |||
Swap Agreements | 2,668,618 | — | 2,668,618 | — | |||
Total Assets - Other Financial Instruments | $ 6,442,725 | $ 905,298 | $ 5,537,427 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
Foreign Common Stocks Sold Short | $ (456,484) | $ — | $ (456,484) | $ — | |||
Total Liabilities - Investments in Securities | $ (456,484) | $ — | $ (456,484) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (4,699,909) | $ — | $ (4,699,909) | $ — | |||
Futures Contracts | (1,835,650) | (1,835,650) | — | — | |||
Swap Agreements | (4,854,344) | — | (4,854,344) | — | |||
Total Liabilities - Other Financial Instruments | $ (11,389,903) | $ (1,835,650) | $ (9,554,253) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
** | Level 3 security has zero value. |
*** | 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. |
Shares | Value | |||
COMMON STOCKS — 2.7% | ||||
Communication Services — 0.0% | ||||
Bilibili, Inc. ADRΔ* | 3,322 | $ 85,043 | ||
Consumer Discretionary — 1.9% | ||||
Coupang, Inc.* | 40,136 | 511,734 | ||
Huazhu Group, Ltd. ADRΔ | 7,129 | 271,615 | ||
Li Auto, Inc. ADR* | 57,246 | 2,193,094 | ||
MercadoLibre, Inc.* | 4,348 | 2,769,111 | ||
NIO, Inc. ADR* | 36,022 | 782,398 | ||
Pinduoduo, Inc. ADR* | 10,227 | 632,029 | ||
Trip.com Group, Ltd. ADRΔ* | 9,765 | 268,049 | ||
XPeng, Inc. ADR* | 11,092 | 352,060 | ||
Yum China Holdings, Inc. | 107,920 | 5,234,120 | ||
13,014,210 | ||||
Financials — 0.2% | ||||
Patria Investments, Ltd. Class A | 104,303 | 1,378,886 | ||
Health Care — 0.0% | ||||
BeiGene, Ltd. ADRΔ* | 1,264 | 204,578 | ||
Industrials — 0.4% | ||||
ZTO Express Cayman, Inc. ADR | 103,527 | 2,841,816 | ||
Information Technology — 0.1% | ||||
TDCX, Inc. ADRΔ* | 23,099 | 213,666 | ||
Materials — 0.0% | ||||
Southern Copper Corporation | 2,441 | 121,586 | ||
Real Estate — 0.1% | ||||
KE Holdings, Inc. ADR* | 14,294 | 256,577 | ||
Total Common Stocks (Cost $22,662,096) | 18,116,362 | |||
FOREIGN COMMON STOCKS — 88.3% | ||||
Brazil — 3.8% | ||||
Aeris Industria E Comercio De Equipamentos Para Geracao De Energia SA | 342,341 | 180,543 | ||
B3 SA - Brasil Bolsa Balcao | 1,925,400 | 4,050,608 | ||
Banco BTG Pactual SA* | 423,100 | 1,810,935 | ||
Banco do Brasil SA | 328,700 | 2,094,003 | ||
BRF SA* | 89,100 | 231,201 | ||
Caixa Seguridade Participacoes S/A | 363,524 | 485,537 | ||
Cia Siderurgica Nacional SA | 163,600 | 481,724 | ||
Hapvida Participacoes e Investimentos SA 144A* | 375,600 | 391,859 | ||
JBS SA | 255,900 | 1,547,590 | ||
Klabin SA | 60,400 | 233,131 | ||
Localiza Rent a Car SA | 149,700 | 1,498,302 | ||
Magazine Luiza SA* | 619,500 | 279,361 | ||
Petroleo Brasileiro SA | 330,000 | 1,926,989 | ||
Raia Drogasil SA | 1,058,400 | 3,893,072 | ||
Rede D'Or Sao Luiz SA 144A | 73,471 | 406,983 | ||
Sao Martinho SA | 65,500 | 455,569 | ||
Telefonica Brasil SA | 131,900 | 1,193,878 | ||
Vale SA | 158,400 | 2,319,045 | ||
Vale SA ADR | 49,660 | 726,526 | ||
Vibra Energia SA | 433,823 | 1,382,676 | ||
25,589,532 |
Shares | Value | |||
Canada — 0.2% | ||||
Parex Resources, Inc. | 91,108 | $1,543,004 | ||
Chile — 0.8% | ||||
Banco de Chile ADR | 7,668 | 139,788 | ||
Banco de Credito e Inversiones SA | 2,008 | 58,770 | ||
Banco Santander Chile ADR | 3,609 | 58,790 | ||
Cencosud SA | 998,528 | 1,270,943 | ||
Empresas CMPC SA | 131,426 | 218,411 | ||
Empresas COPEC SA | 32,416 | 239,150 | ||
Falabella SA | 1,567,493 | 3,672,544 | ||
5,658,396 | ||||
China — 20.4% | ||||
Agricultural Bank of China, Ltd. Class A | 252,800 | 114,146 | ||
Agricultural Bank of China, Ltd. Class H | 6,329,000 | 2,392,715 | ||
Alibaba Group Holding, Ltd. ADR* | 75,932 | 8,631,950 | ||
Aluminum Corporation of China, Ltd. Class H | 658,000 | 247,346 | ||
Anhui Conch Cement Co., Ltd. Class A | 40,100 | 211,778 | ||
Baidu, Inc. ADR* | 12,075 | 1,795,915 | ||
Bank of Beijing Co., Ltd. Class A | 149,800 | 101,726 | ||
Bank of China, Ltd. Class A | 203,500 | 99,187 | ||
Bank of China, Ltd. Class H* | 542,000 | 216,568 | ||
Bank of Communications Co., Ltd. Class A | 110,200 | 82,082 | ||
Bank of Ningbo Co., Ltd. Class A | 29,700 | 159,265 | ||
Bank of Shanghai Co., Ltd. Class A | 85,980 | 84,242 | ||
Baoshan Iron & Steel Co., Ltd. Class A | 231,700 | 208,697 | ||
Beijing Easpring Material Technology Co., Ltd. Class A | 59,300 | 804,105 | ||
BOE Technology Group Co., Ltd. Class A | 64,600 | 38,067 | ||
BYD Co., Ltd. Class A | 3,000 | 149,938 | ||
BYD Co., Ltd. Class H | 32,500 | 1,310,059 | ||
China Cinda Asset Management Co., Ltd. Class H | 4,308,000 | 676,007 | ||
China CITIC Bank Corporation, Ltd. Class H | 3,832,000 | 1,716,409 | ||
China Coal Energy Co., Ltd. Class H | 262,000 | 221,391 | ||
China Communications Services Corporation, Ltd. Class H | 560,000 | 246,339 | ||
China Construction Bank Corporation Class H | 4,874,000 | 3,286,302 | ||
China Everbright Bank Co., Ltd. Class A | 131,700 | 59,302 | ||
China Everbright Bank Co., Ltd. Class H | 2,239,000 | 725,650 | ||
China Longyuan Power Group Corporation, Ltd. Class H | 246,000 | 476,740 | ||
China Medical System Holdings, Ltd. | 707,000 | 1,102,221 | ||
China Mengniu Dairy Co., Ltd.* | 393,730 | 1,973,830 | ||
China Merchants Bank Co., Ltd. Class A | 37,756 | 238,833 | ||
China Merchants Bank Co., Ltd. Class H | 365,500 | 2,468,743 |
Shares | Value | |||
China Merchants Securities Co., Ltd. Class A | 80,400 | $ 173,421 | ||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A | 32,200 | 64,737 | ||
China Minsheng Banking Corporation, Ltd. Class A | 139,200 | 77,427 | ||
China Minsheng Banking Corporation, Ltd. Class H | 420,500 | 150,122 | ||
China National Building Material Co., Ltd. Class H | 1,172,000 | 1,255,402 | ||
China Oilfield Services, Ltd. Class H | 320,000 | 312,467 | ||
China Pacific Insurance Group Co., Ltd. Class A | 31,900 | 112,468 | ||
China Pacific Insurance Group Co., Ltd. Class H | 686,200 | 1,685,312 | ||
China Petroleum & Chemical Corporation Class A | 54,200 | 33,014 | ||
China Shenhua Energy Co., Ltd. Class H | 23,000 | 65,970 | ||
China State Construction Engineering Corporation, Ltd. Class A | 72,100 | 57,316 | ||
China Tourism Group Duty Free Corporation, Ltd. Class A | 3,212 | 112,008 | ||
China Vanke Co., Ltd. Class A | 23,000 | 70,469 | ||
China Vanke Co., Ltd. Class H | 50,200 | 126,392 | ||
China Yangtze Power Co., Ltd. Class A | 36,000 | 124,449 | ||
CITIC Securities Co., Ltd. Class A | 56,005 | 181,893 | ||
Contemporary Amperex Technology Co., Ltd. Class A | 17,699 | 1,418,281 | ||
COSCO SHIPPING Holdings Co., Ltd. Class H | 1,443,500 | 2,026,158 | ||
Country Garden Holdings Co., Ltd. | 450,632 | 281,231 | ||
CSC Financial Co., Ltd. Class H 144A | 676,500 | 717,960 | ||
Dongfeng Motor Group Co., Ltd. Class H | 2,814,000 | 2,142,291 | ||
East Money Information Co., Ltd. Class A | 694,480 | 2,645,829 | ||
Ecovacs Robotics Co., Ltd. Class A | 29,600 | 540,614 | ||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 6,531 | 88,421 | ||
Geely Automobile Holdings, Ltd. | 339,000 | 776,429 | ||
Great Wall Motor Co., Ltd. Class H | 344,000 | 712,494 | ||
Guotai Junan Securities Co., Ltd. Class A | 45,900 | 104,512 | ||
Haier Smart Home Co., Ltd. Class A | 11,100 | 45,663 | ||
Haitian International Holdings, Ltd. | 485,000 | 1,240,619 | ||
Haitong Securities Co., Ltd. Class A | 60,600 | 89,035 | ||
Hangzhou Robam Appliances Co., Ltd. Class A | 166,532 | 897,697 | ||
Huatai Securities Co., Ltd. Class A | 39,636 | 84,355 | ||
Huaxia Bank Co., Ltd. Class A | 126,307 | 98,442 | ||
Industrial & Commercial Bank of China, Ltd. Class A | 169,700 | 121,034 | ||
Industrial Bank Co., Ltd. Class A | 40,800 | 121,633 | ||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 10,762 | 62,711 | ||
JD.com, Inc. ADR | 98,260 | 6,310,257 | ||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 172,800 | 1,595,640 |
Shares | Value | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 10,576 | $ 58,712 | ||
Kingsoft Corporation, Ltd. | 36,000 | 140,666 | ||
Luxshare Precision Industry Co., Ltd. Class A | 153,212 | 775,047 | ||
Midea Group Co., Ltd. Class A | 417,099 | 3,776,175 | ||
NARI Technology Co., Ltd. Class A | 891,969 | 3,610,245 | ||
NetEase, Inc. ADRΔ | 43,394 | 4,051,264 | ||
New China Life Insurance Co., Ltd. Class A | 33,900 | 163,454 | ||
New China Life Insurance Co., Ltd. Class H | 23,000 | 64,728 | ||
PetroChina Co., Ltd. Class A | 263,700 | 207,939 | ||
Ping An Bank Co., Ltd. Class A* | 50,900 | 114,258 | ||
Ping An Insurance Group Co. of China, Ltd. Class A | 20,100 | 140,609 | ||
Ping An Insurance Group Co. of China, Ltd. Class H | 1,147,996 | 7,901,938 | ||
Poly Developments and Holdings Group Co., Ltd. Class A | 26,200 | 68,449 | ||
Qingdao Haier Biomedical Co., Ltd. Class A | 38,017 | 414,152 | ||
SAIC Motor Corporation, Ltd. Class A | 81,900 | 218,431 | ||
Sany Heavy Industry Co., Ltd. Class A | 14,700 | 41,961 | ||
SF Holding Co., Ltd. Class A | 103,199 | 862,136 | ||
Shandong Hualu Hengsheng Chemical Co., Ltd. Class A | 151,500 | 662,210 | ||
Shandong Sinocera Functional Material Co., Ltd. Class A | 415,200 | 2,231,881 | ||
Shanghai International Airport Co., Ltd. Class A* | 226,000 | 1,919,296 | ||
Shanghai Pudong Development Bank Co., Ltd. Class A | 60,200 | 72,148 | ||
Shenwan Hongyuan Group Co., Ltd. Class A | 160,100 | 102,799 | ||
Shenzhen Inovance Technology Co., Ltd. Class A | 452,027 | 4,460,652 | ||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 40,700 | 1,908,936 | ||
Sinopharm Group Co., Ltd. Class H | 154,000 | 372,854 | ||
Sunac China Holdings, Ltd.Ψ††† | 242,859 | 141,751 | ||
Sungrow Power Supply Co., Ltd. Class A | 63,099 | 929,293 | ||
Sunny Optical Technology Group Co., Ltd. | 265,876 | 4,359,507 | ||
Tencent Holdings, Ltd. | 682,530 | 30,894,821 | ||
Thunder Software Technology Co., Ltd. Class A | 49,200 | 962,707 | ||
TravelSky Technology, Ltd. Class H | 219,000 | 427,036 | ||
Will Semiconductor Co., Ltd. Class A | 53,051 | 1,377,161 | ||
WuXi AppTec Co., Ltd. Class H 144A | 61,701 | 825,441 | ||
Yifeng Pharmacy Chain Co., Ltd. Class A | 310,126 | 2,452,451 | ||
Yonghui Superstores Co., Ltd. Class A | 15,632 | 10,006 | ||
YTO Express Group Co., Ltd. Class A | 562,400 | 1,713,330 | ||
Yunnan Aluminium Co., Ltd. Class A | 445,248 | 657,173 | ||
Yunnan Energy New Material Co., Ltd. Class A | 34,800 | 1,305,011 |
Shares | Value | |||
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 272,430 | $ 1,120,736 | ||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H | 336,600 | 180,166 | ||
138,261,256 | ||||
Egypt — 0.2% | ||||
Commercial International Bank Egypt SAE | 761,132 | 1,507,486 | ||
E-Finance for Digital & Financial Investments | 285,530 | 205,088 | ||
1,712,574 | ||||
Greece — 0.4% | ||||
Hellenic Exchanges - Athens Stock Exchange SA | 57,587 | 191,257 | ||
JUMBO SA | 40,077 | 583,476 | ||
National Bank of Greece SA* | 589,640 | 1,763,952 | ||
Sarantis SA | 53,595 | 369,938 | ||
2,908,623 | ||||
Hong Kong — 10.5% | ||||
3SBio, Inc. 144A | 671,000 | 534,667 | ||
AIA Group, Ltd. | 1,099,425 | 12,012,944 | ||
Alibaba Group Holding, Ltd.* | 481,440 | 6,867,931 | ||
ANTA Sports Products, Ltd. | 62,000 | 762,996 | ||
Beijing Enterprises Holdings, Ltd. | 50,000 | 177,772 | ||
Brilliance China Automotive Holdings, Ltd.Ψ†††* | 2,064,000 | 960,086 | ||
China Education Group Holdings, Ltd. | 214,000 | 211,827 | ||
China Everbright Environment Group, Ltd. | 212,000 | 125,360 | ||
China Feihe, Ltd. 144A | 525,000 | 604,507 | ||
China Gas Holdings, Ltd. | 163,400 | 252,963 | ||
China Hongqiao Group, Ltd. | 1,571,000 | 1,769,801 | ||
China Lesso Group Holdings, Ltd. | 264,000 | 399,615 | ||
China Merchants Port Holdings Co., Ltd. | 228,000 | 388,325 | ||
China Overseas Land & Investment, Ltd. | 121,500 | 386,487 | ||
China Resources Land, Ltd.Δ | 1,291,987 | 6,058,500 | ||
China Resources Power Holdings Co., Ltd. | 526,000 | 1,086,482 | ||
China Taiping Insurance Holdings Co., Ltd. | 786,800 | 971,834 | ||
Chinasoft International, Ltd.* | 1,724,000 | 1,769,296 | ||
COSCO SHIPPING Ports, Ltd. | 86,000 | 60,818 | ||
Country Garden Services Holdings Co., Ltd.Δ | 69,000 | 309,663 | ||
CSPC Pharmaceutical Group, Ltd. | 1,926,000 | 1,925,085 | ||
Dongyue Group, Ltd. | 50,000 | 62,723 | ||
ENN Energy Holdings, Ltd. | 135,200 | 2,234,683 | ||
Hong Kong Exchanges and Clearing, Ltd. | 126,762 | 6,269,175 | ||
JD.com, Inc. Class A | 6,301 | 203,037 | ||
Jiumaojiu International Holdings, Ltd. 144A | 187,000 | 498,089 | ||
Kingboard Holdings, Ltd. | 231,000 | 876,009 | ||
Kingdee International Software Group Co., Ltd.* | 722,000 | 1,701,040 | ||
Kuaishou Technology 144A* | 55,100 | 619,251 |
Shares | Value | |||
Kunlun Energy Co., Ltd. | 242,000 | $ 198,452 | ||
Longfor Group Holdings, Ltd. 144A | 71,384 | 339,513 | ||
Meituan Class B 144A* | 425,621 | 10,621,069 | ||
Minth Group, Ltd. | 266,000 | 728,810 | ||
MMG, Ltd.* | 1,748,000 | 649,026 | ||
NetEase, Inc. | 72,200 | 1,360,212 | ||
Samsonite International SA 144A* | 343,800 | 683,672 | ||
Shenzhen International Holdings, Ltd. | 61,500 | 60,617 | ||
Shenzhou International Group Holdings, Ltd. | 58,200 | 710,367 | ||
Sino Biopharmaceutical, Ltd. | 2,513,000 | 1,602,348 | ||
Sinotruk Hong Kong, Ltd. | 1,058,000 | 1,489,064 | ||
Sun Art Retail Group, Ltd. | 29,500 | 9,627 | ||
Techtronic Industries Co., Ltd. | 42,500 | 443,791 | ||
Topsports International Holdings, Ltd. 144A | 689,000 | 627,483 | ||
Uni-President China Holdings, Ltd. | 221,000 | 190,040 | ||
Wharf Holdings, Ltd. (The) | 58,000 | 211,360 | ||
Wuxi Biologics Cayman, Inc. 144A* | 94,000 | 870,950 | ||
ZTO Express Cayman, Inc. | 18,600 | 498,275 | ||
71,395,642 | ||||
Hungary — 0.3% | ||||
MOL Hungarian Oil & Gas PLC | 163,953 | 1,268,249 | ||
OTP Bank Nyrt PLC | 33,820 | 758,778 | ||
2,027,027 | ||||
India — 12.7% | ||||
Amber Enterprises India, Ltd.* | 16,308 | 465,767 | ||
Avenue Supermarts, Ltd. 144A* | 12,395 | 536,568 | ||
Axis Bank, Ltd.* | 588,461 | 4,766,576 | ||
Bharat Electronics, Ltd. | 253,133 | 751,209 | ||
Bharat Petroleum Corporation, Ltd. | 382,334 | 1,498,179 | ||
Bharti Airtel, Ltd.* | 657,695 | 5,720,733 | ||
Cartrade Tech, Ltd.* | 18,369 | 138,487 | ||
Coal India, Ltd. | 1,013,079 | 2,384,670 | ||
Coforge, Ltd. | 7,892 | 355,003 | ||
Computer Age Management Services, Ltd. | 20,276 | 581,866 | ||
Crompton Greaves Consumer Electricals, Ltd. | 111,624 | 481,327 | ||
Delhivery, Ltd.* | 60,807 | 390,224 | ||
FSN E-Commerce Ventures, Ltd.* | 21,964 | 393,391 | ||
GAIL India, Ltd. | 432,066 | 741,568 | ||
Godrej Properties, Ltd.* | 52,073 | 782,944 | ||
HCL Technologies, Ltd. | 204,420 | 2,531,113 | ||
HDFC Bank, Ltd. | 9,913 | 169,801 | ||
Hindustan Petroleum Corporation, Ltd. | 108,353 | 299,155 | ||
Housing Development Finance Corporation, Ltd. | 480,365 | 13,290,121 | ||
ICICI Bank, Ltd. | 362,570 | 3,257,301 | ||
ICICI Lombard General Insurance Co., Ltd. 144A | 44,691 | 636,341 | ||
Indian Oil Corporation, Ltd. | 1,321,633 | 1,246,622 | ||
Indus Towers, Ltd. | 79,524 | 211,383 | ||
Info Edge India, Ltd. | 8,768 | 418,689 | ||
Infosys, Ltd. | 80,306 | 1,492,610 | ||
Kotak Mahindra Bank, Ltd. | 124,456 | 2,632,214 | ||
Larsen & Toubro, Ltd. | 40,158 | 796,088 |
Shares | Value | |||
Macrotech Developers, Ltd. 144A* | 52,386 | $ 712,398 | ||
Mahindra & Mahindra, Ltd. | 520,689 | 7,241,723 | ||
Marico, Ltd. | 912,451 | 5,533,733 | ||
Navin Fluorine International, Ltd. | 20,193 | 936,854 | ||
NTPC, Ltd. | 1,310,757 | 2,375,100 | ||
Oil & Natural Gas Corporation, Ltd. | 850,584 | 1,628,628 | ||
Petronet LNG, Ltd. | 373,190 | 1,028,549 | ||
Power Grid Corporation of India, Ltd. | 94,628 | 254,670 | ||
Reliance Industries, Ltd. | 109,720 | 3,622,886 | ||
Route Mobile, Ltd. | 32,425 | 513,102 | ||
SBI Life Insurance Co., Ltd. 144A | 48,696 | 668,751 | ||
Sona Blw Precision Forgings, Ltd. 144A | 86,270 | 609,245 | ||
Tata Consultancy Services, Ltd. | 184,874 | 7,677,244 | ||
Tata Consumer Products, Ltd. | 102,325 | 918,130 | ||
Tata Steel, Ltd. | 132,567 | 1,461,674 | ||
TeamLease Services, Ltd.* | 12,281 | 503,356 | ||
Tech Mahindra, Ltd. | 48,130 | 612,265 | ||
Vedanta, Ltd. | 492,056 | 1,393,596 | ||
Wipro, Ltd. | 1,756 | 9,294 | ||
Yes Bank, Ltd.* | 5,768,821 | 926,493 | ||
Zomato, Ltd.* | 581,564 | 399,014 | ||
85,996,655 | ||||
Indonesia — 2.7% | ||||
PT Adaro Energy Indonesia Tbk | 579,700 | 111,641 | ||
PT Astra International Tbk | 2,413,700 | 1,075,706 | ||
PT Bank BTPN Syariah Tbk | 2,289,400 | 433,828 | ||
PT Bank Central Asia Tbk | 14,207,800 | 6,918,345 | ||
PT Bank Mandiri Persero Tbk | 2,275,800 | 1,215,313 | ||
PT Bank Negara Indonesia Persero Tbk | 508,200 | 268,451 | ||
PT Bank Rakyat Indonesia Persero Tbk | 6,483,100 | 1,810,508 | ||
PT BFI Finance Indonesia Tbk | 7,361,300 | 542,136 | ||
PT Cisarua Mountain Dairy TBK | 1,375,700 | 387,846 | ||
PT Dayamitra Telekomunikasi Tbk | 5,344,000 | 251,103 | ||
PT Indah Kiat Pulp & Paper Tbk | 116,000 | 59,292 | ||
PT Indofood Sukses Makmur Tbk | 462,800 | 219,213 | ||
PT Kalbe Farma Tbk | 2,637,400 | 294,196 | ||
PT Map Aktif Adiperkasa* | 1,027,500 | 217,949 | ||
PT Pakuwon Jati Tbk* | 9,828,800 | 311,624 | ||
PT Semen Indonesia Persero Tbk | 531,152 | 254,470 | ||
PT Telkom Indonesia Persero Tbk | 6,852,300 | 1,843,371 | ||
PT Unilever Indonesia Tbk | 1,130,100 | 362,353 | ||
PT United Tractors Tbk | 1,126,460 | 2,151,327 | ||
18,728,672 | ||||
Kazakhstan — 0.1% | ||||
Kaspi.KZ JSC GDR 144A | 3,113 | 162,706 | ||
Kaspi.KZ JSC GDR (London Exchange) | 6,083 | 276,776 | ||
439,482 | ||||
Kuwait — 0.2% | ||||
Kuwait Finance House KSCP | 145,182 | 412,767 | ||
National Bank of Kuwait SAKP | 203,957 | 693,906 | ||
1,106,673 |
Shares | Value | |||
Malaysia — 0.4% | ||||
Hartalega Holdings Bhd | 209,300 | $ 145,311 | ||
IHH Healthcare Bhd | 51,700 | 75,660 | ||
Malayan Banking Bhd | 1,110,053 | 2,163,440 | ||
RHB Bank Bhd | 147,400 | 191,647 | ||
Sime Darby Bhd | 816,800 | 395,197 | ||
Sime Darby Plantation Bhd | 81,600 | 80,187 | ||
3,051,442 | ||||
Mexico — 2.4% | ||||
Alfa SAB de CV Series A | 137,900 | 98,062 | ||
Alpek SAB de CV | 1,177,200 | 1,620,373 | ||
Arca Continental SAB de CV | 253,921 | 1,674,708 | ||
Banco del Bajio SA 144A | 285,900 | 575,369 | ||
Coca-Cola Femsa SAB de CV ADR | 10,106 | 558,660 | ||
Fibra Uno Administracion SA de CV REIT | 58,300 | 58,156 | ||
Fomento Economico Mexicano SAB de CV ADR | 92,500 | 6,242,825 | ||
Gentera SAB de CV | 330,350 | 265,305 | ||
Grupo Bimbo SAB de CV Series A | 71,500 | 233,634 | ||
Grupo Financiero Banorte SAB de CV Series O | 69,310 | 387,401 | ||
Industrias Penoles SAB de CV | 19,600 | 181,785 | ||
Kimberly-Clark de Mexico SAB de CV Series A | 425,501 | 577,646 | ||
Orbia Advance Corporation SAB de CV | 593,900 | 1,393,972 | ||
Prologis Property Mexico SA de CV REIT | 218,605 | 573,431 | ||
Promotora y Operadora de Infraestructura SAB de CV | 67,110 | 493,443 | ||
Wal-Mart de Mexico SAB de CV | 343,600 | 1,182,382 | ||
16,117,152 | ||||
Peru — 0.5% | ||||
Credicorp, Ltd. | 27,757 | 3,328,342 | ||
Philippines — 0.4% | ||||
Ayala Land, Inc. | 2,942,700 | 1,367,818 | ||
BDO Unibank, Inc. | 34,770 | 69,953 | ||
Jollibee Foods Corporation | 107,460 | 398,155 | ||
Monde Nissin Corporation 144A* | 2,116,900 | 500,984 | ||
SM Prime Holdings, Inc. | 381,000 | 253,544 | ||
2,590,454 | ||||
Poland — 1.2% | ||||
Allegro.eu SA 144A* | 140,842 | 757,144 | ||
Cyfrowy Polsat SA | 12,572 | 59,554 | ||
Dino Polska SA 144A* | 15,615 | 1,113,768 | ||
Grupa Lotos SA | 207,216 | 3,198,439 | ||
LPP SA | 195 | 393,964 | ||
PGE Polska Grupa Energetyczna SA* | 237,028 | 565,934 | ||
Polski Koncern Naftowy ORLEN SA | 65,654 | 1,008,154 | ||
Polskie Gornictwo Naftowe i Gazownictwo SA | 322,088 | 410,864 | ||
Powszechna Kasa Oszczednosci Bank Polski SA* | 68,124 | 427,300 | ||
7,935,121 |
Shares | Value | |||
Qatar — 0.2% | ||||
Industries Qatar QSC | 17,530 | $ 76,912 | ||
Masraf Al Rayan QSC | 156,817 | 178,034 | ||
Qatar Islamic Bank SAQ | 47,247 | 288,665 | ||
Qatar National Bank QPSC | 108,220 | 594,089 | ||
1,137,700 | ||||
Russia — 0.0% | ||||
Gazprom PJSC ADR (London Exchange)Ψ††† | 170,565 | — | ||
LUKOIL PJSC ADRΨ††† | 11,047 | — | ||
Magnit PJSC GDRΨ††† | 20,820 | — | ||
MMC Norilsk Nickel PJSC ADRΨ††† | 19,198 | — | ||
Mobile TeleSystems PJSC ADRΨ††† | 34,508 | — | ||
Novatek PJSC GDRΨ††† | 1,991 | — | ||
Novolipetsk Steel PJSC GDRΨ††† | 13,631 | — | ||
Rosneft Oil Co. PJSC GDRΨ††† | 16,843 | — | ||
Sberbank of Russia PJSC ADRΨ†††* | 75,573 | — | ||
Severstal PAO GDRΨ††† | 18,988 | — | ||
Surgutneftegas PJSC ADRΨ††† | 17,904 | — | ||
Tatneft PJSC ADRΨ††† | 15,224 | — | ||
— | ||||
Saudi Arabia — 1.5% | ||||
Alinma Bank | 44,323 | 396,095 | ||
Almarai Co. JSC | 14,447 | 202,166 | ||
Arab National Bank | 94,352 | 743,702 | ||
Banque Saudi Fransi | 21,896 | 277,375 | ||
Etihad Etisalat Co. | 20,897 | 195,105 | ||
Leejam Sports Co. JSC | 11,451 | 273,831 | ||
Saudi Arabian Oil Co. 144A | 162,784 | 1,682,390 | ||
Saudi Basic Industries Corporation | 104,595 | 2,836,352 | ||
Saudi Electricity Co. | 94,137 | 608,947 | ||
Saudi National Bank (The) | 87,575 | 1,541,533 | ||
Saudi Tadawul Group Holding Co. | 14,340 | 722,326 | ||
Saudi Telecom Co. | 25,302 | 656,114 | ||
Savola Group (The) | 20,921 | 187,662 | ||
10,323,598 | ||||
Singapore — 0.1% | ||||
Del Monte Pacific, Ltd. | 250,300 | 67,580 | ||
Nanofilm Technologies International, Ltd. | 248,006 | 416,258 | ||
483,838 | ||||
Slovenia — 0.1% | ||||
Nova Ljubljanska Banka dd GDR | 36,766 | 450,788 | ||
South Africa — 2.7% | ||||
African Rainbow Minerals, Ltd. | 23,729 | 311,768 | ||
Anglo American Platinum, Ltd. | 9,733 | 852,526 | ||
Aspen Pharmacare Holdings, Ltd. | 152,700 | 1,312,578 | ||
Clicks Group, Ltd. | 44,524 | 747,989 | ||
Exxaro Resources, Ltd. | 92,353 | 1,122,052 | ||
Gold Fields, Ltd. ADRΔ | 173,879 | 1,585,776 | ||
Impala Platinum Holdings, Ltd. | 19,911 | 220,901 | ||
JSE, Ltd. | 67,744 | 418,613 | ||
Mr Price Group, Ltd. | 79,372 | 870,362 | ||
MultiChoice Group, Ltd. | 149,242 | 1,062,387 |
Shares | Value | |||
Naspers, Ltd. N Shares | 25,321 | $ 3,699,058 | ||
Nedbank Group, Ltd. | 5,959 | 76,273 | ||
Northam Platinum Holdings, Ltd.* | 58,087 | 611,585 | ||
Old Mutual, Ltd. | 942,004 | 638,460 | ||
Rand Merchant Investment Holdings, Ltd. | 477,191 | 816,596 | ||
Sanlam, Ltd. | 54,266 | 176,377 | ||
Santam, Ltd. | 13,048 | 201,879 | ||
Sasol, Ltd.* | 30,239 | 697,282 | ||
Sibanye Stillwater, Ltd. | 217,053 | 539,046 | ||
Standard Bank Group, Ltd. | 129,476 | 1,235,300 | ||
Tiger Brands, Ltd. | 24,375 | 212,814 | ||
Transaction Capital, Ltd. | 312,793 | 705,809 | ||
18,115,431 | ||||
South Korea — 9.3% | ||||
BGF retail Co., Ltd. | 6,462 | 943,040 | ||
CJ ENM Co., Ltd. | 3,766 | 272,520 | ||
CJ Logistics Corporation* | 2,150 | 189,535 | ||
E-MART, Inc. | 1,144 | 93,277 | ||
Hana Financial Group, Inc. | 42,034 | 1,277,570 | ||
Hankook Tire & Technology Co., Ltd. | 2,543 | 64,829 | ||
HMM Co., Ltd. | 35,530 | 676,439 | ||
Hyundai Heavy Industries Co., Ltd.* | 1,270 | 92,187 | ||
Hyundai Mobis Co., Ltd. | 2,968 | 457,479 | ||
Hyundai Steel Co. | 6,540 | 162,215 | ||
Industrial Bank of Korea | 206,455 | 1,533,288 | ||
KB Financial Group, Inc. | 8,830 | 329,742 | ||
Kia Corporation | 72,313 | 4,316,041 | ||
Korea Investment Holdings Co., Ltd. | 18,013 | 858,660 | ||
Kumho Petrochemical Co., Ltd. | 4,723 | 507,998 | ||
LG Corporation | 49,536 | 2,979,556 | ||
LG Electronic, Inc. | 11,794 | 804,306 | ||
LG Energy Solution, Ltd.* | 611 | 176,235 | ||
LG Uplus Corporation | 13,101 | 128,929 | ||
NAVER Corporation | 3,929 | 732,863 | ||
NCSoft Corporation | 2,374 | 640,818 | ||
NH Investment & Securities Co., Ltd. | 23,714 | 165,884 | ||
NHN KCP Corporation* | 16,989 | 164,045 | ||
Orion Corporation | 5,575 | 448,316 | ||
POSCO Holdings, Inc. | 11,698 | 2,086,188 | ||
Samsung Electro-Mechanics Co., Ltd. | 6,184 | 625,658 | ||
Samsung Electronics Co., Ltd. | 405,847 | 17,900,839 | ||
Samsung Fire & Marine Insurance Co., Ltd. | 33,828 | 5,255,640 | ||
Samsung SDS Co., Ltd. | 6,877 | 690,629 | ||
Seegene, Inc. | 1,728 | 48,191 | ||
SK Hynix, Inc. | 195,174 | 13,782,039 | ||
SK Telecom Co., Ltd. | 67,490 | 2,708,448 | ||
Woori Financial Group, Inc. | 214,463 | 2,007,533 | ||
63,120,937 | ||||
Taiwan — 12.3% | ||||
Advantech Co., Ltd. | 172,087 | 2,002,629 | ||
ASE Technology Holding Co., Ltd. | 93,000 | 239,523 | ||
ASMedia Technology, Inc. | 7,000 | 263,617 | ||
AUO Corporation | 2,044,000 | 1,119,157 | ||
Catcher Technology Co., Ltd. | 259,000 | 1,444,829 |
Shares | Value | |||
Cathay Financial Holding Co., Ltd. | 1,018,000 | $ 1,743,195 | ||
Chailease Holding Co., Ltd. | 112,957 | 792,556 | ||
Cheng Shin Rubber Industry Co., Ltd. | 533,000 | 635,044 | ||
China Development Financial Holding Corporation | 2,989,000 | 1,480,202 | ||
China Steel Corporation | 1,783,000 | 1,707,222 | ||
CTBC Financial Holding Co., Ltd. | 673,000 | 569,258 | ||
Delta Electronics, Inc. | 513,982 | 3,832,381 | ||
Evergreen Marine Corporation Taiwan, Ltd. | 442,000 | 1,256,283 | ||
Formosa Plastics Corporation | 442,000 | 1,613,937 | ||
Innolux Corporation | 1,395,000 | 567,641 | ||
Lite-On Technology Corporation | 157,000 | 305,539 | ||
MediaTek, Inc. | 172,396 | 3,784,296 | ||
momo.com, Inc. | 15,840 | 340,781 | ||
Nan Ya Plastics Corporation | 68,000 | 189,815 | ||
Nanya Technology Corporation | 1,117,000 | 1,858,985 | ||
Nien Made Enterprise Co., Ltd. | 43,000 | 424,413 | ||
Novatek Microelectronics Corporation | 54,000 | 549,404 | ||
Pou Chen Corporation | 1,067,000 | 1,059,726 | ||
President Chain Store Corporation | 608,000 | 5,569,822 | ||
Realtek Semiconductor Corporation | 94,000 | 1,149,668 | ||
Silergy Corporation | 8,000 | 646,875 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,930,986 | 30,946,663 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 156,835 | 12,821,261 | ||
Tong Hsing Electronic Industries, Ltd. | 68,720 | 465,931 | ||
United Microelectronics Corporation | 529,000 | 707,106 | ||
Voltronic Power Technology Corporation | 56,593 | 2,745,355 | ||
Winbond Electronics Corporation | 556,000 | 406,809 | ||
83,239,923 | ||||
Thailand — 2.1% | ||||
Airports of Thailand PCL* | 1,483,300 | 2,978,767 | ||
Charoen Pokphand Foods PCL NVDR | 1,075,100 | 791,926 | ||
Electricity Generating PCL NVDR | 24,500 | 122,421 | ||
Kasikornbank PCL | 820,300 | 3,502,519 | ||
Ngern Tid Lor PCL | 462,538 | 382,668 | ||
PTT Exploration & Production PCL | 500,700 | 2,258,850 | ||
PTT Exploration & Production PCL NVDR | 367,700 | 1,657,578 | ||
PTT Global Chemical PCL NVDR | 1,762,500 | 2,274,983 | ||
Sri Trang Gloves Thailand PCL NVDR | 488,200 | 225,325 | ||
14,195,037 | ||||
Turkey — 0.0% | ||||
Turkcell Iletisim Hizmetleri AS | 330,504 | 322,431 | ||
United Arab Emirates — 0.2% | ||||
Abu Dhabi Commercial Bank PJSC | 379,921 | 917,498 |
Shares | Value | |||
Fertiglobe PLC | 412,287 | $ 540,496 | ||
1,457,994 | ||||
United Kingdom — 2.6% | ||||
Anglo American PLC | 78,878 | 2,819,776 | ||
Antofagasta PLC | 359,356 | 5,074,451 | ||
Network International Holdings PLC 144AΔ* | 567,899 | 1,305,181 | ||
Standard Chartered PLC | 33,203 | 252,464 | ||
Standard Chartered PLC (London Exchange) | 342,382 | 2,584,777 | ||
TCS Group Holding PLC GDRΨ†††* | 491 | — | ||
Unilever PLC | 121,554 | 5,540,408 | ||
17,577,057 | ||||
Total Foreign Common Stocks (Cost $668,019,685) | 598,814,781 | |||
FOREIGN PREFERRED STOCKS — 1.2% | ||||
Brazil — 1.0% | ||||
Banco Bradesco SA | ||||
1.14%◊ | 289,848 | 952,047 | ||
Braskem SA Class A | ||||
4.56%◊ | 24,900 | 176,992 | ||
Gerdau SA | ||||
3.58%◊ | 115,300 | 493,282 | ||
Petroleo Brasileiro SA | ||||
20.44%◊ | 638,800 | 3,407,942 | ||
Raizen SA | ||||
0.00%* | 2,388,000 | 2,089,834 | ||
7,120,097 | ||||
Chile — 0.2% | ||||
Embotelladora Andina SA Class B | ||||
5.84%◊ | 598,794 | 1,068,583 | ||
Total Foreign Preferred Stocks (Cost $9,863,199) | 8,188,680 | |||
MONEY MARKET FUNDS — 5.8% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ | 22,583,947 | 22,583,947 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.46%ا | 373,559 | 373,559 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 1.12%Ø | 16,541,459 | $ 16,541,459 | ||
Total Money Market Funds (Cost $39,498,965) | 39,498,965 | |||
TOTAL INVESTMENTS — 98.0% (Cost $740,043,945) | 664,618,788 | |||
Other Assets in Excess of Liabilities — 2.0% | 13,268,231 | |||
NET ASSETS — 100.0% | $677,887,019 |
% | |
Financials | 20.8 |
Information Technology | 18.8 |
Consumer Discretionary | 13.7 |
Communication Services | 8.1 |
Consumer Staples | 7.2 |
Industrials | 6.7 |
Materials | 6.6 |
Money Market Funds | 5.8 |
Energy | 5.4 |
Health Care | 1.9 |
Real Estate | 1.8 |
Utilities | 1.2 |
98.0 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
FTSE Taiwan Index | 07/2022 | 309 | $15,672,480 | $ (610,171) | ||||
Hang Seng China Enterprises Index | 07/2022 | 128 | 6,189,733 | (66,982) | ||||
MSCI Singapore Index | 07/2022 | (146) | (2,948,269) | 103,466 | ||||
SGX Nifty 50 Index | 07/2022 | 57 | 1,792,365 | (9,027) | ||||
FTSE KLCI | 07/2022 | 90 | 1,469,711 | 1,433 | ||||
KOSPI2 Index | 09/2022 | 116 | 6,866,952 | (721,565) | ||||
FTSE/JSE Top 40 Index | 09/2022 | (47) | (1,732,171) | 4,114 | ||||
Mexican Bolsa Index | 09/2022 | (6) | (142,404) | 2,984 | ||||
MSCI Emerging Markets | 09/2022 | 210 | 10,528,350 | 23,429 | ||||
Total Futures Contracts outstanding at June 30, 2022 | $37,696,747 | $(1,272,319) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/21/22 | U.S. Dollars | 27,340,718 | Israeli Shekels | 91,500,000 | CITI | $982,878 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/21/22 | U.S. Dollars | 5,703,207 | Chilean Pesos | 4,808,877,000 | CITI | $ 555,213 | ||||||
09/21/22 | U.S. Dollars | 25,144,655 | South Korean Won | 31,943,073,000 | CITI | 310,257 | ||||||
09/21/22 | U.S. Dollars | 9,636,656 | Philippine Pesos | 518,000,000 | CITI | 278,451 | ||||||
09/21/22 | U.S. Dollars | 5,546,895 | Hungarian Forint | 2,040,000,000 | CITI | 229,485 | ||||||
09/21/22 | U.S. Dollars | 5,413,421 | Polish Zloty | 23,606,000 | CITI | 207,681 | ||||||
09/21/22 | U.S. Dollars | 10,704,952 | Brazilian Reals | 56,466,000 | CITI | 173,174 | ||||||
09/21/22 | U.S. Dollars | 2,723,423 | Czech Republic Koruna | 63,600,000 | CITI | 59,964 | ||||||
09/21/22 | U.S. Dollars | 1,051,748 | Colombian Pesos | 4,200,000,000 | CITI | 54,347 | ||||||
09/21/22 | U.S. Dollars | 7,576,237 | Taiwan Dollars | 222,084,833 | CITI | 53,900 | ||||||
09/21/22 | U.S. Dollars | 2,307,239 | Thai Baht | 79,441,376 | CITI | 51,205 | ||||||
09/21/22 | U.S. Dollars | 1,186,334 | South African Rand | 18,650,000 | CITI | 49,881 | ||||||
09/21/22 | Chinese Offshore Yuan | 66,069,660 | U.S. Dollars | 9,830,603 | CITI | 35,201 | ||||||
09/21/22 | U.S. Dollars | 2,024,923 | Indian Rupees | 159,107,000 | CITI | 25,744 | ||||||
09/21/22 | South Korean Won | 5,406,951,000 | U.S. Dollars | 4,184,634 | CITI | 19,043 | ||||||
09/21/22 | U.S. Dollars | 6,412,142 | Chinese Offshore Yuan | 42,881,000 | CITI | 8,969 | ||||||
09/21/22 | Hungarian Forint | 1,070,000,000 | U.S. Dollars | 2,780,725 | CITI | 8,309 | ||||||
09/21/22 | U.S. Dollars | 887,622 | Indonesian Rupiahs | 13,200,000,000 | CITI | 7,723 | ||||||
09/21/22 | Chilean Pesos | 310,000,000 | U.S. Dollars | 325,365 | CITI | 6,496 | ||||||
09/21/22 | Saudi Riyal | 22,472,000 | U.S. Dollars | 5,982,960 | CITI | 4,556 | ||||||
09/21/22 | Hong Kong Dollars | 75,026,000 | U.S. Dollars | 9,582,595 | CITI | 1,576 | ||||||
09/21/22 | U.S. Dollars | 79,077 | Peruvian Nuevo Soles | 300,000 | CITI | 1,413 | ||||||
09/21/22 | Singapore Dollars | 680,000 | U.S. Dollars | 488,389 | CITI | 1,350 | ||||||
09/21/22 | U.S. Dollars | 2,801,586 | Mexican Pesos | 57,215,000 | CITI | 934 | ||||||
09/21/22 | Thai Baht | 7,000,000 | U.S. Dollars | 197,938 | CITI | 853 | ||||||
09/21/22 | U.S. Dollars | 95,308 | Euro | 90,000 | CITI | 418 | ||||||
09/21/22 | Taiwan Dollars | 13,000,000 | U.S. Dollars | 439,912 | CITI | 417 | ||||||
09/21/22 | U.S. Dollars | 65,160 | Singapore Dollars | 90,000 | CITI | 342 | ||||||
09/21/22 | Mexican Pesos | 11,300,000 | U.S. Dollars | 552,792 | CITI | 339 | ||||||
09/21/22 | Euro | 69,125 | U.S. Dollars | 72,559 | CITI | 324 | ||||||
09/21/22 | U.S. Dollars | 63,916 | Hong Kong Dollars | 500,000 | CITI | 44 | ||||||
Subtotal Appreciation | $3,130,487 | |||||||||||
09/21/22 | Saudi Riyal | 1,500,000 | U.S. Dollars | 399,678 | CITI | $ (13) | ||||||
09/21/22 | U.S. Dollars | 4,079 | South Korean Won | 5,263,000 | CITI | (13) | ||||||
09/21/22 | U.S. Dollars | 31,385 | Euro | 30,000 | CITI | (245) | ||||||
09/21/22 | U.S. Dollars | 108,067 | Philippine Pesos | 6,000,000 | CITI | (329) | ||||||
09/21/22 | U.S. Dollars | 521,956 | Colombian Pesos | 2,200,000,000 | CITI | (491) | ||||||
09/21/22 | U.S. Dollars | 1,115,506 | Taiwan Dollars | 32,953,277 | CITI | (670) | ||||||
09/21/22 | U.S. Dollars | 3,256,358 | Hong Kong Dollars | 25,498,000 | CITI | (876) | ||||||
09/21/22 | U.S. Dollars | 744,807 | Brazilian Reals | 4,000,000 | CITI | (1,255) | ||||||
09/21/22 | Hong Kong Dollars | 23,100,000 | U.S. Dollars | 2,952,778 | CITI | (1,877) | ||||||
09/21/22 | U.S. Dollars | 1,113,981 | Singapore Dollars | 1,550,000 | CITI | (2,335) | ||||||
09/21/22 | U.S. Dollars | 6,433,251 | Saudi Riyal | 24,162,000 | CITI | (4,552) | ||||||
09/21/22 | Peruvian Nuevo Soles | 829,874 | U.S. Dollars | 221,768 | CITI | (6,931) | ||||||
09/21/22 | Taiwan Dollars | 38,397,000 | U.S. Dollars | 1,308,314 | CITI | (7,751) | ||||||
09/21/22 | Chinese Offshore Yuan | 21,844,000 | U.S. Dollars | 3,269,787 | CITI | (7,947) | ||||||
09/21/22 | U.S. Dollars | 2,494,828 | Thai Baht | 88,139,000 | CITI | (8,207) | ||||||
09/21/22 | Euro | 563,875 | U.S. Dollars | 603,380 | CITI | (8,858) | ||||||
09/21/22 | U.S. Dollars | 3,785,606 | Chinese Offshore Yuan | 25,449,513 | CITI | (14,623) | ||||||
09/21/22 | Czech Republic Koruna | 24,000,000 | U.S. Dollars | 1,026,147 | CITI | (21,069) | ||||||
09/21/22 | South Korean Won | 1,714,032,000 | U.S. Dollars | 1,358,483 | CITI | (25,895) | ||||||
09/21/22 | Singapore Dollars | 6,950,000 | U.S. Dollars | 5,036,484 | CITI | (31,068) | ||||||
09/21/22 | U.S. Dollars | 3,380,127 | Mexican Pesos | 70,300,000 | CITI | (61,032) | ||||||
09/21/22 | Indonesian Rupiahs | 56,987,284,788 | U.S. Dollars | 3,861,710 | CITI | (62,994) | ||||||
09/21/22 | Mexican Pesos | 241,028,479 | U.S. Dollars | 11,880,455 | CITI | (82,207) | ||||||
10/10/23 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | 8,649,000 | SC | (97,764) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/21/22 | Polish Zloty | 14,363,000 | U.S. Dollars | 3,278,165 | CITI | $ (110,750) | ||||||
09/21/22 | Indian Rupees | 1,081,388,000 | U.S. Dollars | 13,774,355 | CITI | (186,722) | ||||||
09/21/22 | Philippine Pesos | 302,043,000 | U.S. Dollars | 5,691,467 | CITI | (234,750) | ||||||
09/21/22 | Hungarian Forint | 2,829,656,000 | U.S. Dollars | 7,617,384 | CITI | (241,676) | ||||||
09/21/22 | Thai Baht | 349,279,000 | U.S. Dollars | 10,176,684 | CITI | (257,597) | ||||||
09/21/22 | South African Rand | 272,882,000 | U.S. Dollars | 16,995,983 | CITI | (367,698) | ||||||
09/21/22 | Israeli Shekels | 33,500,000 | U.S. Dollars | 10,019,520 | CITI | (369,381) | ||||||
09/21/22 | Colombian Pesos | 42,400,000,000 | U.S. Dollars | 10,453,899 | CITI | (384,918) | ||||||
07/16/25 | U.S. Dollars | 3,253,457 | Chinese Offshore Yuan | 24,819,000 | MSCS | (450,975) | ||||||
09/21/22 | Chilean Pesos | 6,418,836,890 | U.S. Dollars | 7,415,331 | CITI | (543,844) | ||||||
09/21/22 | Brazilian Reals | 105,814,000 | U.S. Dollars | 21,135,147 | CITI | (1,399,209) | ||||||
Subtotal Depreciation | $(4,996,522) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2022 | $(1,866,035) |
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) | 7/29/2022 | GSC | ILS | 10,606,634 | $ 17,069 | $ — | $ 17,069 | ||||||||
MSCI Emerging Markets Thailand Net Total Return USD Index (Monthly) | Financing Index: Overnight Bank Funding Rate - 0.25% | 9/21/2022 | GSC | USD | 6,381,703 | 432,407 | — | 432,407 | ||||||||
MSCI Mexico Net MXN Index (Monthly) | Financing Index: 28-Day Mexico Interbank TIIE - 0.05% | 9/21/2022 | GSC | MXN | 43,557,212 | 63,158 | — | 63,158 | ||||||||
MSCI Poland Net Return PLN Index (Monthly) | Financing Index: 1-Month WIBOR - 0.45% | 9/21/2022 | GSC | PLN | 984,555 | 9,798 | — | 9,798 | ||||||||
MSCI Singapore Net Return SGD Index (Monthly) | Financing Index: Singapore Overnight Rate - 0.45% | 9/21/2022 | CITI | SGD | 3,100,964 | 124,411 | — | 124,411 | ||||||||
MSCI Singapore Net Return SGD Index (Monthly) | Financing Index: Singapore Overnight Rate + 0.00% | 9/21/2022 | GSC | SGD | 414,135 | 16,678 | — | 16,678 | ||||||||
Subtotal Appreciation | $ 663,521 | $ — | $ 663,521 | |||||||||||||
Decrease in total return of SGX Nifty 50 Index (At Termination) | Increase in total return of SGX Nifty 50 Index (At Termination) | 7/28/2022 | CITI | USD | 188,670 | $ (1,315) | $ — | $ (1,315) | ||||||||
Decrease in total return of Bovespa Index (At Termination) | Increase in total return of Bovespa Index (At Termination) | 8/17/2022 | CITI | BRL | 7,469,250 | (66,338) | — | (66,338) | ||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 9/15/2022 | GSC | TWD | 20,473,600 | (46,993) | — | (46,993) | ||||||||
Increase in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | Decrease in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | 9/15/2022 | CITI | ZAR | 234,920 | (132) | — | (132) | ||||||||
Financing Index: Overnight Bank Funding Rate - 0.10% | MSCI Daily Total Return Net Emerging Markets USD Index (Monthly) | 9/21/2022 | GSC | USD | 247,271 | (39,471) | — | (39,471) | ||||||||
Financing Index: Overnight Bank Funding Rate + 0.50% | MSCI Saudi Arabia Index Futures | 9/21/2022 | GSC | USD | 2,440,621 | (212,871) | — | (212,871) | ||||||||
Subtotal Depreciation | $(367,120) | $ — | $(367,120) | |||||||||||||
Net Total Return Swaps outstanding at June 30, 2022 | $ 296,401 | $ — | $ 296,401 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 18,116,362 | $ 18,116,362 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Brazil | 25,589,532 | 25,589,532 | — | — | |||
Canada | 1,543,004 | 1,543,004 | — | — | |||
Chile | 5,658,396 | 5,658,396 | — | — | |||
China | 138,261,256 | 20,789,386 | 117,330,119 | 141,751 | |||
Hong Kong | 71,395,642 | — | 70,435,556 | 960,086 | |||
India | 85,996,655 | 390,224 | 85,606,431 | — | |||
Indonesia | 18,728,672 | 856,898 | 17,871,774 | — | |||
Kazakhstan | 439,482 | 439,482 | — | — | |||
Malaysia | 3,051,442 | 145,311 | 2,906,131 | — | |||
Mexico | 16,117,152 | 16,117,152 | — | — | |||
Peru | 3,328,342 | 3,328,342 | — | — | |||
Qatar | 1,137,700 | 288,665 | 849,035 | — | |||
Slovenia | 450,788 | 450,788 | — | — | |||
South Africa | 18,115,431 | 7,527,742 | 10,587,689 | — | |||
Taiwan | 83,239,923 | 12,821,261 | 70,418,662 | — | |||
United Kingdom | 17,577,057 | 1,305,181 | 16,271,876 | — | |||
Other ^^ | 108,184,307 | — | 108,184,307 | — | |||
Total Foreign Common Stocks | 598,814,781 | 97,251,364 | 500,461,580 | 1,101,837 | |||
Foreign Preferred Stocks | 8,188,680 | 8,188,680 | — | — | |||
Money Market Funds | 39,498,965 | 39,498,965 | — | — | |||
Total Assets - Investments in Securities | $664,618,788 | $163,055,371 | $500,461,580 | $1,101,837 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 3,130,487 | $ — | $ 3,130,487 | $ — | |||
Futures Contracts | 135,426 | 135,426 | — | — | |||
Swap Agreements | 663,521 | — | 663,521 | — | |||
Total Assets - Other Financial Instruments | $ 3,929,434 | $ 135,426 | $ 3,794,008 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (4,996,522) | $ — | $ (4,996,522) | $ — | |||
Futures Contracts | (1,407,745) | (1,407,745) | — | — | |||
Swap Agreements | (367,120) | — | (367,120) | — | |||
Total Liabilities - Other Financial Instruments | $ (6,771,387) | $ (1,407,745) | $ (5,363,642) | $ — |
^^ | 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 | June 30, 2022 (Unaudited) |
Defensive Market Strategies® Fund | Global Impact Fund | Equity Index Fund | |||
Assets | |||||
Investments in securities of unaffiliated issuers, at value | $1,274,389,136 | $115,264,395 | $2,756,540,742 | ||
Investments in securities of affiliated issuers, at value | 43,208,907 | 8,221,506 | 62,508,073 | ||
Total investments, at value(1), (2) | 1,317,598,043 | 123,485,901 | 2,819,048,815 | ||
Cash | — | 12,581 | — | ||
Cash collateral for derivatives | 431,100 | — | — | ||
Deposits with broker for futures contracts | — | 433,613 | 3,707,905 | ||
Foreign currency(3) | 1 | 76,178 | — | ||
Receivables: | |||||
Dividends and reclaims | 732,287 | 88,424 | 1,690,373 | ||
Interest | 1,743,928 | 251,371 | — | ||
Securities lending | 40,574 | 61 | 26,925 | ||
From advisor | — | — | — | ||
Investment securities sold | 1,823,752 | — | — | ||
Fund shares sold | 823,284 | 12,191 | 1,188,108 | ||
Variation margin on futures contracts | 121,685 | 6,045 | — | ||
Unrealized appreciation on foreign currency exchange contracts | 35,284 | — | — | ||
Unrealized appreciation on swap agreements | — | — | — | ||
Prepaid expenses and other assets | 21,583 | 25,372 | 31,783 | ||
Total Assets | 1,323,371,521 | 124,391,737 | 2,825,693,909 | ||
Liabilities | |||||
Cash Overdraft | — | — | — | ||
Securities sold short, at value(4) | — | — | — | ||
Options written, at value(5) | 6,053,218 | — | — | ||
Unrealized depreciation on foreign currency exchange contracts | 107,050 | — | — | ||
Unrealized depreciation on swap agreements | — | — | — | ||
Collateral held for securities on loan, at value | 42,992,549 | — | 828,915 | ||
Collateral from counterparty | — | — | — | ||
Payables: | |||||
Investment securities purchased | 6,678,268 | 316,964 | — | ||
Fund shares redeemed | 5,543,488 | 70,017 | 718,283 | ||
Variation margin on futures contracts | — | — | 544,513 | ||
Foreign capital gains taxes | — | — | — | ||
Accrued expenses: | |||||
Investment advisory fees | 640,672 | 65,996 | 201,951 | ||
Shareholder servicing fees | 74,358 | 4,762 | 150,668 | ||
Trustee fees | 3,030 | 89 | 5,946 | ||
Other expenses | 158,611 | 50,068 | 319,188 | ||
Total Liabilities | 62,251,244 | 507,896 | 2,769,464 | ||
Net Assets | $1,261,120,277 | $123,883,841 | $2,822,924,445 | ||
Net Assets Consist of: | |||||
Paid-in-capital | $1,392,977,599 | $145,232,332 | $1,954,411,928 | ||
Distributable earnings (loss) | (131,857,322) | (21,348,491) | 868,512,517 | ||
Net Assets | $1,261,120,277 | $123,883,841 | $2,822,924,445 | ||
Net Asset Value: | |||||
$0.001 par value, unlimited shares authorized | |||||
Net assets applicable to the Institutional Class | $ 901,197,761 | $101,319,196 | $2,113,529,982 | ||
Institutional shares outstanding | 86,764,192 | 11,741,586 | 53,283,152 | ||
Net asset value, offering and redemption price per Institutional share | $ 10.39 | $ 8.63 | $ 39.67 | ||
Net assets applicable to the Investor Class | $ 359,922,516 | $ 22,564,645 | $ 709,394,463 | ||
Investor shares outstanding | 34,641,948 | 2,623,183 | 17,875,265 | ||
Net asset value, offering and redemption price per Investor share | $ 10.39 | $ 8.60 | $ 39.69 | ||
(1)Investments in securities of unaffiliated issuers, at cost | $1,353,399,242 | $131,172,968 | $1,872,634,233 | ||
Investments in securities of affiliated issuers, at cost | 43,208,907 | 8,221,506 | 62,508,073 | ||
Total investments, at cost | $1,396,608,149 | $139,394,474 | $1,935,142,306 | ||
(2)Includes securities loaned of: | $ 223,478,162 | $ 499,731 | $ 81,880,915 | ||
(3)Foreign currency, at cost | $ 1 | $ 76,333 | $ — | ||
(4)Proceeds from securities sold short | $ — | $ — | $ — | ||
(5)Premiums received on options written | $ 8,494,306 | $ — | $ — | ||
(6)Net of $(753) and $(631,995) 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 | |||||
$1,070,255,946 | $1,173,296,773 | $657,346,851 | $714,647,804 | $ 907,690,248 | $ 642,034,841 | |||||
43,822,333 | 173,928,667 | 30,834,713 | 33,835,876 | 65,777,253 | 22,583,947 | |||||
1,114,078,279 | 1,347,225,440 | 688,181,564 | 748,483,680 | 973,467,501 | 664,618,788 | |||||
— | — | — | — | 659,381 | — | |||||
— | — | — | — | 18,296,684 | 7,095,584 | |||||
9 | 6,344,767 | — | 2,387,684 | 11,344,015 | 3,134,814 | |||||
— | — | — | 3,413,480 | 10,137,942 | 5,330,356 | |||||
1,662,347 | 723,749 | 568,980 | 3,330,765 | 6,465,501 | 3,603,149 | |||||
— | — | — | — | — | — | |||||
4,222 | 7,577 | 12,800 | 17,431 | 11,643 | 723 | |||||
— | — | — | 4,854 | — | — | |||||
1,493,051 | 2,616,664 | 1,436,660 | 62,732 | 514,951 | 921,013 | |||||
161,710 | 922,608 | 233,424 | 126,810 | 332,538 | 89,100 | |||||
— | — | — | — | — | — | |||||
178,927 | — | 3,260 | — | 2,868,809 | 3,130,487 | |||||
— | — | — | — | 2,668,618 | 663,521 | |||||
14,968 | 25,008 | 17,542 | 20,259 | 11,625 | 13,720 | |||||
1,117,593,513 | 1,357,865,813 | 690,454,230 | 757,847,695 | 1,026,779,208 | 688,601,255 | |||||
— | — | 56,440 | — | — | — | |||||
— | — | — | — | 456,484 | — | |||||
— | — | — | — | — | — | |||||
189,670 | — | — | — | 4,699,909 | 4,996,522 | |||||
— | — | — | — | 4,854,344 | 367,120 | |||||
— | 33,300 | 14,379,342 | 12,931,742 | 14,800,368 | 373,559 | |||||
— | — | — | — | — | 259,326 | |||||
7,943,285 | 2,233,570 | 1,673,854 | — | 3,701,576 | 2,333,160 | |||||
642,144 | 361,163 | 302,773 | 7,576 | 255,365 | 334,275 | |||||
— | 915,988 | — | 212,505 | 511,910 | 575,579 | |||||
— | — | — | — | 753 | 631,995 | |||||
579,015 | 684,593 | 494,477 | 67,710 | 668,370 | 492,101 | |||||
83,709 | 121,236 | 53,810 | 732 | 59,367 | 19,054 | |||||
2,946 | 5,596 | 3,542 | — | 3,185 | 2,023 | |||||
154,569 | 202,013 | 124,446 | 187,680 | 409,873 | 329,522 | |||||
9,595,338 | 4,557,459 | 17,088,684 | 13,407,945 | 30,421,504 | 10,714,236 | |||||
$1,107,998,175 | $1,353,308,354 | $673,365,546 | $744,439,750 | $ 996,357,704 | $ 677,887,019 | |||||
$ 982,996,842 | $1,323,437,192 | $680,198,882 | $782,604,868 | $1,071,030,465 | $ 781,184,665 | |||||
125,001,333 | 29,871,162 | (6,833,336) | (38,165,118) | (74,672,761) (6) | (103,297,646) (6) | |||||
$1,107,998,175 | $1,353,308,354 | $673,365,546 | $744,439,750 | $ 996,357,704 | $ 677,887,019 | |||||
$ 713,093,707 | $ 780,656,430 | $421,445,811 | $740,822,389 | $ 717,302,809 | $ 588,281,170 | |||||
38,997,528 | 41,997,897 | 27,430,996 | 76,801,391 | 60,115,513 | 68,248,527 | |||||
$ 18.29 | $ 18.59 | $ 15.36 | $ 9.65 | $ 11.93 | $ 8.62 | |||||
$ 394,904,468 | $ 572,651,924 | $251,919,735 | $ 3,617,361 | $ 279,054,895 | $ 89,605,849 | |||||
21,614,325 | 31,383,894 | 16,583,835 | 375,121 | 23,438,452 | 10,448,301 | |||||
$ 18.27 | $ 18.25 | $ 15.19 | $ 9.64 | $ 11.91 | $ 8.58 | |||||
$1,026,805,620 | $1,179,920,029 | $685,418,802 | $757,851,194 | $ 971,521,033 | $ 717,459,998 | |||||
43,822,333 | 173,928,667 | 30,834,713 | 33,835,876 | 65,777,253 | 22,583,947 | |||||
$1,070,627,953 | $1,353,848,696 | $716,253,515 | $791,687,070 | $1,037,298,286 | $ 740,043,945 | |||||
$ 30,170,835 | $ 49,819,098 | $ 73,168,965 | $ 26,147,468 | $ 23,633,037 | $ 9,163,688 | |||||
$ — | $ — | $ — | $ 3,451,239 | $ 10,182,194 | $ 5,355,293 | |||||
$ — | $ — | $ — | $ — | $ 803,636 | $ — | |||||
$ — | $ — | $ — | $ — | $ — | $ — | |||||
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2022 (Unaudited) |
Defensive Market Strategies® Fund | Global Impact Fund | Equity Index Fund | |||
Investment Income | |||||
Dividends | $ 4,034,434 | $ 607,238 | $ 22,003,580 | ||
Non Cash Dividends | — | — | — | ||
Income distributions received from affiliated funds | 53,588 | 20,151 | 159,775 | ||
Interest | 2,740,648 | 533,695 | 2,034 | ||
Securities lending, net | 182,580 | 1,817 | 110,160 | ||
Less foreign taxes withheld | (184,685) | (33,253) | (96,576) | ||
Total Investment Income | 6,826,565 | 1,129,648 | 22,178,973 | ||
Expenses | |||||
Investment advisory fees | 4,211,871 | 475,453 | 1,304,339 | ||
Transfer agent fees: | |||||
Institutional shares | 2,635 | 1,807 | 2,735 | ||
Investor shares | 18,658 | 6,146 | 37,498 | ||
Custodian fees | 43,199 | 20,588 | 27,749 | ||
Shareholder servicing fees: | |||||
Investor shares | 509,746 | 32,297 | 1,021,838 | ||
Accounting and administration fees | 96,445 | 11,379 | 217,873 | ||
Professional fees | 68,011 | 81,434 | 54,583 | ||
Shareholder reporting fees: | |||||
Institutional shares | 2,089 | 1,364 | 1,211 | ||
Investor shares | 9,924 | 3,070 | 11,085 | ||
Trustees expenses | 3,146 | 121 | 6,279 | ||
Line of credit facility fees | 2,752 | 368 | 6,081 | ||
S&P license fees | — | — | 152,403 | ||
MSCI license fees | — | — | — | ||
Dividends on securities sold short | — | — | — | ||
Other expenses | 76,508 | 44,243 | 74,580 | ||
Total Expenses | 5,044,984 | 678,270 | 2,918,254 | ||
Expenses waived/reimbursed(1) | — | — | — | ||
Fees paid indirectly | — | — | — | ||
Net Expenses | 5,044,984 | 678,270 | 2,918,254 | ||
Net Investment Income (Loss) | 1,781,581 | 451,378 | 19,260,719 | ||
Realized and Unrealized Gain (Loss) | |||||
Net realized gain (loss) from: | |||||
Investment securities (net of capital gains taxes of $(40,092) and $(619,327) for International Equity Fund and Emerging Markets Equity Fund, respectively) | 14,793,708 | (4,595,474) | 13,528,749 | ||
Futures transactions | (13,738,657) | (1,522,325) | (24,328,838) | ||
Swap agreements | — | — | — | ||
Option contracts written | (36,164,506) | — | — | ||
Option contracts purchased | (2,127,964) | — | — | ||
Forward foreign currency contracts | 2,215,573 | — | — | ||
Foreign currency | (16,543) | 2,237 | — | ||
Net realized gain (loss) | (35,038,389) | (6,115,562) | (10,800,089) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investment securities (net of estimated capital gains taxes of $(753) and $(631,995) for International Equity Fund and Emerging Markets Fund, respectively) | (114,819,539) | (30,873,826) | (688,597,807) | ||
Investment securities sold short | — | — | — | ||
Futures | (1,122,559) | (93,376) | (2,602,402) | ||
Swap agreements | — | — | — | ||
Option contracts written | 218,416 | — | — | ||
Option contracts purchased | (43,244,737) | — | — | ||
Forward foreign currency contracts | 228,800 | — | — | ||
Foreign currency | (12,520) | (1,084) | — | ||
Net change in unrealized appreciation (depreciation) | (158,752,139) | (30,968,286) | (691,200,209) | ||
Net Realized and Unrealized Loss | (193,790,528) | (37,083,848) | (702,000,298) | ||
Net Decrease in Net Assets Resulting from Operations | $(192,008,947) | $(36,632,470) | $(682,739,579) |
(1) | 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 | |||||
$ 14,291,571 | $ 4,481,403 | $ 4,725,851 | $ 15,893,905 | $ 19,506,205 | $ 14,719,781 | |||||
— | — | — | 1,611,889 | 863,851 | — | |||||
74,755 | 120,369 | 43,169 | 47,004 | 115,252 | 52,919 | |||||
— | 19,379 | 338 | — | 25 | — | |||||
105,116 | 68,156 | 141,250 | 109,356 | 86,413 | 16,948 | |||||
(285,404) | (116,967) | (64) | (1,208,968) | (1,983,090) | (1,462,790) | |||||
14,186,038 | 4,572,340 | 4,910,544 | 16,453,186 | 18,588,656 | 13,326,858 | |||||
3,861,984 | 5,220,616 | 3,278,287 | 425,231 | 4,600,716 | 3,198,087 | |||||
2,477 | 2,611 | 2,599 | 2,047 | 2,710 | 2,539 | |||||
11,359 | 25,670 | 14,132 | 3,037 | 18,515 | 8,958 | |||||
28,125 | 25,817 | 48,763 | 101,062 | 281,444 | 556,476 | |||||
533,887 | 909,463 | 368,179 | 1,450 | 394,956 | 125,353 | |||||
89,797 | 115,379 | 54,923 | 53,240 | 81,096 | 53,945 | |||||
52,422 | 54,423 | 60,902 | 56,479 | 67,122 | 66,210 | |||||
1,137 | 1,157 | 1,219 | 1,458 | 805 | 1,284 | |||||
7,330 | 10,508 | 7,566 | 504 | 6,435 | 4,288 | |||||
3,287 | 5,832 | 3,716 | 226 | 3,191 | 2,105 | |||||
2,510 | 3,510 | 1,218 | 1,764 | 2,398 | 1,445 | |||||
— | — | — | — | — | — | |||||
— | — | — | 127,928 | — | — | |||||
— | — | — | — | 1,774 | — | |||||
69,931 | 96,140 | 60,684 | 44,605 | 136,964 | 95,872 | |||||
4,664,246 | 6,471,126 | 3,902,188 | 819,031 | 5,598,126 | 4,116,562 | |||||
— | — | — | (8,613) | — | — | |||||
(8,436) | (2,709) | (26,056) | — | — | (821) | |||||
4,655,810 | 6,468,417 | 3,876,132 | 810,418 | 5,598,126 | 4,115,741 | |||||
9,530,228 | (1,896,077) | 1,034,412 | 15,642,768 | 12,990,530 | 9,211,117 | |||||
103,971,126 | 56,569,829 | 15,484,695 | (839,102) | 6,044,002 | (8,919,436) | |||||
(4,457,904) | (12,826,070) | (1,834,195) | (8,004,462) | (6,292,387) | (12,326,296) | |||||
— | — | — | — | 12,070,100 | (774,012) | |||||
— | — | — | — | — | — | |||||
— | — | — | — | — | — | |||||
3,919,682 | — | 112,045 | — | (6,721,395) | 473,503 | |||||
10,324 | — | (294) | (637,117) | (782,959) | (420,781) | |||||
103,443,228 | 43,743,759 | 13,762,251 | (9,480,681) | 4,317,361 | (21,967,022) | |||||
(273,679,178) | (768,614,239) | (198,569,265) | (169,963,047) | (269,621,540) | (145,521,405) | |||||
— | — | — | — | 631,130 | — | |||||
(947,811) | (584,406) | (476,169) | (1,143,183) | (1,976,715) | (1,294,296) | |||||
— | — | — | — | (3,443,177) | 424,432 | |||||
— | — | — | — | — | — | |||||
— | — | — | — | — | — | |||||
800,812 | — | 13,076 | — | (890,342) | (1,400,030) | |||||
(288) | — | — | (237,607) | (406,638) | 41,854 | |||||
(273,826,465) | (769,198,645) | (199,032,358) | (171,343,837) | (275,707,282) | (147,749,445) | |||||
(170,383,237) | (725,454,886) | (185,270,107) | (180,824,518) | (271,389,921) | (169,716,467) | |||||
$(160,853,009) | $(727,350,963) | $(184,235,695) | $(165,181,750) | $(258,399,391) | $(160,505,350) |
STATEMENTS OF CHANGES IN NET ASSETS |
Defensive Market Strategies® Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/22 | 12/31/21 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 1,781,581 | $ 5,639,094 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (35,038,389) | 305,018,878 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (158,752,139) | (150,540,527) | |
Net increase (decrease) in net assets resulting from operations | (192,008,947) | 160,117,445 | |
Distributions to Shareholders: | |||
Institutional shares | (147,211,492) | (102,492,352) | |
Investor shares | (58,420,824) | (43,892,585) | |
Total distributions | (205,632,316) | (146,384,937) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 77,461,002 | 101,913,277 | |
Investor shares | 30,384,229 | 77,253,297 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 147,097,825 | 102,410,835 | |
Investor shares | 57,884,320 | 43,392,557 | |
Total proceeds from shares sold and reinvested | 312,827,376 | 324,969,966 | |
Value of shares redeemed | |||
Institutional shares | (90,371,689) | (92,325,267) | |
Investor shares | (67,550,584) | (79,559,985) | |
Total value of shares redeemed | (157,922,273) | (171,885,252) | |
Net increase (decrease) from capital share transactions(1) | 154,905,103 | 153,084,714 | |
Total increase (decrease) in net assets | (242,736,160) | 166,817,222 | |
Net Assets: | |||
Beginning of Period | 1,503,856,437 | 1,337,039,215 | |
End of Period | $1,261,120,277 | $1,503,856,437 |
(1) | See Note 6 in Notes to Financial Statements. |
Global Impact Fund* | Equity Index Fund | Value Equity Fund | ||||||||
For the Six Months Ended | For the Period Ended | For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||||
06/30/22 | 12/31/21 | 06/30/22 | 12/31/21 | 06/30/22 | 12/31/21 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$ 451,378 | $ 346,224 | $ 19,260,719 | $ 32,651,431 | $ 9,530,228 | $ 17,058,000 | |||||
(6,115,562) | 1,135,014 | (10,800,089) | 64,217,239 | 103,443,228 | 157,977,431 | |||||
(30,968,286) | 15,020,498 | (691,200,209) | 618,458,012 | (273,826,465) | 113,140,871 | |||||
(36,632,470) | 16,501,736 | (682,739,579) | 715,326,682 | (160,853,009) | 288,176,302 | |||||
— | (1,065,554) | (30,201,419) | (75,568,513) | (19,473,273) | (110,145,870) | |||||
— | (152,203) | (9,169,219) | (27,787,525) | (10,342,869) | (48,291,794) | |||||
— | (1,217,757) | (39,370,638) | (103,356,038) | (29,816,142) | (158,437,664) | |||||
1,471,083 | 139,196,191 | 342,475,543 | 300,877,960 | 42,279,671 | 53,440,513 | |||||
2,383,748 | 28,726,035 | 67,419,416 | 125,608,438 | 51,631,738 | 72,355,582 | |||||
— | 1,065,554 | 29,606,704 | 73,903,137 | 19,460,341 | 110,083,989 | |||||
— | 152,203 | 9,122,049 | 27,665,076 | 10,331,375 | 48,224,945 | |||||
3,854,831 | 169,139,983 | 448,623,712 | 528,054,611 | 123,703,125 | 284,105,029 | |||||
(15,222,536) | (7,676,291) | (136,458,617) | (181,914,711) | (194,220,889) | (181,628,402) | |||||
(3,895,653) | (968,002) | (103,682,179) | (110,582,572) | (39,467,545) | (62,099,803) | |||||
(19,118,189) | (8,644,293) | (240,140,796) | (292,497,283) | (233,688,434) | (243,728,205) | |||||
(15,263,358) | 160,495,690 | 208,482,916 | 235,557,328 | (109,985,309) | 40,376,824 | |||||
(51,895,828) | 175,779,669 | (513,627,301) | 847,527,972 | (300,654,460) | 170,115,462 | |||||
175,779,669 | — | 3,336,551,746 | 2,489,023,774 | 1,408,652,635 | 1,238,537,173 | |||||
$123,883,841 | $175,779,669 | $2,822,924,445 | $3,336,551,746 | $1,107,998,175 | $1,408,652,635 |
* | 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 Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | ||||
06/30/22 | 12/31/21 | 06/30/22 | 12/31/21 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income (loss) | $ (1,896,077) | $ (6,059,289) | $ 1,034,412 | $ (226,723) | |||
Net realized gain (loss) on investment securities, foreign currency and derivatives | 43,743,759 | 396,342,524 | 13,762,251 | 134,502,031 | |||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (769,198,645) | (56,411,370) | (199,032,358) | 19,438,549 | |||
Net increase (decrease) in net assets resulting from operations | (727,350,963) | 333,871,865 | (184,235,695) | 153,713,857 | |||
Distributions to Shareholders: | |||||||
Institutional shares | (37,204,259) | (192,668,583) | — | (72,575,649) | |||
Investor shares | (27,596,826) | (172,602,822) | — | (49,546,274) | |||
Total distributions | (64,801,085) | (365,271,405) | — | (122,121,923) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 197,982,396 | 90,705,263 | 49,883,519 | 80,586,854 | |||
Investor shares | 25,786,121 | 73,022,150 | 12,623,224 | 80,131,997 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 37,189,324 | 192,563,028 | — | 72,378,323 | |||
Investor shares | 27,538,824 | 172,275,100 | — | 49,454,914 | |||
Total proceeds from shares sold and reinvested | 288,496,665 | 528,565,541 | 62,506,743 | 282,552,088 | |||
Value of shares redeemed | |||||||
Institutional shares | (121,088,818) | (229,277,241) | (36,066,467) | (81,879,444) | |||
Investor shares | (109,578,661) | (202,669,619) | (39,079,404) | (58,839,422) | |||
Total value of shares redeemed | (230,667,479) | (431,946,860) | (75,145,871) | (140,718,866) | |||
Net increase (decrease) from capital share transactions(1) | 57,829,186 | 96,618,681 | (12,639,128) | 141,833,222 | |||
Total increase (decrease) in net assets | (734,322,862) | 65,219,141 | (196,874,823) | 173,425,156 | |||
Net Assets: | |||||||
Beginning of Period | 2,087,631,216 | 2,022,412,075 | 870,240,369 | 696,815,213 | |||
End of Period | $1,353,308,354 | $2,087,631,216 | $ 673,365,546 | $ 870,240,369 |
(1) | See Note 6 in Notes to Financial Statements. |
International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | ||||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||||
06/30/22 | 12/31/21 | 06/30/22 | 12/31/21 | 06/30/22 | 12/31/21 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$ 15,642,768 | $ 20,566,594 | $ 12,990,530 | $ 11,002,639 | $ 9,211,117 | $ 6,753,678 | |||||
(9,480,681) | 31,408,329 | 4,317,361 | 109,233,278 | (21,967,022) | 72,729,387 | |||||
(171,343,837) | 32,254,046 | (275,707,282) | 428,640 | (147,749,445) | (93,663,166) | |||||
(165,181,750) | 84,228,969 | (258,399,391) | 120,664,557 | (160,505,350) | (14,180,101) | |||||
— | (43,509,882) | — | (77,005,074) | — | (84,909,583) | |||||
— (1) | — | — | (27,107,306) | — | (13,090,539) | |||||
— | (43,509,882) | — | (104,112,380) | — | (98,000,122) | |||||
134,010,627 | 123,432,374 | 52,818,621 | 55,330,718 | 59,855,267 | 167,423,077 | |||||
3,975,428 (1) | — | 21,770,137 | 38,974,229 | 15,270,981 | 49,270,743 | |||||
— | 42,924,287 | — | 75,977,628 | — | 84,887,665 | |||||
— | — | — | 27,023,555 | — | 13,032,918 | |||||
137,986,055 | 166,356,661 | 74,588,758 | 197,306,130 | 75,126,248 | 314,614,403 | |||||
(62,174,701) | (152,511,004) | (133,629,652) | (129,428,176) | (47,422,144) | (127,087,014) | |||||
(83,901) (1) | — | (31,856,846) | (57,247,307) | (15,554,849) | (30,712,692) | |||||
(62,258,602) | (152,511,004) | (165,486,498) | (186,675,483) | (62,976,993) | (157,799,706) | |||||
75,727,453 | 13,845,657 | (90,897,740) | 10,630,647 | 12,149,255 | 156,814,697 | |||||
(89,454,297) | 54,564,744 | (349,297,131) | 27,182,824 | (148,356,095) | 44,634,474 | |||||
833,894,047 | 779,329,303 | 1,345,654,835 | 1,318,472,011 | 826,243,114 | 781,608,640 | |||||
$ 744,439,750 | $ 833,894,047 | $ 996,357,704 | $1,345,654,835 | $ 677,887,019 | $ 826,243,114 |
(1) | Investor Class was launched on April 29, 2022. |
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | 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 Period | Total Return | Net Assets, End of Period (000) | Expenses, Net | Expenses, Gross | Investment Income/ (Loss), Net | Portfolio Turnover Rate | |
Defensive Market Strategies® Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(1) | $14.30 | $ 0.02 | $ (1.90) | $ (1.88) | $(0.05) | $(1.98) | $(2.03) | $10.39 | (12.95)% | $ 901,198 | 0.66% | 0.66% | 0.34% | 16% |
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(2) | 0.68 | 0.70 | 60 |
Investor Class | ||||||||||||||
2022(1) | $14.30 | $ —† | $ (1.90) | $ (1.90) | $(0.03) | $(1.98) | $(2.01) | $10.39 | (13.08)% | $ 359,922 | 0.92% | 0.92% | 0.07% | 16% |
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(2) | 0.96 | 0.43 | 60 |
Global Impact Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(1) | $10.95 | $ 0.03 | $ (2.35) | $ (2.32) | $ — | $ — | $ — | $ 8.63 | (21.19)% | $ 101,319 | 0.84% | 0.84% | 0.67% | 24% |
2021(3) | 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 | ||||||||||||||
2022(1) | $10.93 | $ 0.01 | $ (2.34) | $ (2.33) | $ — | $ — | $ — | $ 8.60 | (21.32)% | $ 22,565 | 1.22% | 1.22% | 0.28% | 24% |
2021(3) | 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 | ||||||||||||||
2022(1) | $50.59 | $ 0.31 | $(10.66) | $(10.35) | $(0.25) | $(0.32) | $(0.57) | $39.67 | (20.41)% | $2,113,530 | 0.12% | 0.12% | 1.36% | 2% |
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 | ||||||||||||||
2022(1) | $50.61 | $ 0.25 | $(10.65) | $(10.40) | $(0.20) | $(0.32) | $(0.52) | $39.69 | (20.52)% | $ 709,394 | 0.39% | 0.39% | 1.09% | 2% |
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. |
† | Amount represents less than $0.005 per share. |
(1) | For the six months ended June 30, 2022, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
(2) | 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. |
(3) | 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 Period | 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 Period | Total Return | Net Assets, End of Period (000) | Expenses, Net | Expenses, Gross | Investment Income/ (Loss), Net | Portfolio Turnover Rate | |
Value Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(1) | $21.37 | $ 0.16 | $ (2.72) | $ (2.56) | $(0.18) | $(0.34) | $(0.52) | $18.29 | (11.94)% | $ 713,094 | 0.64%(2) | 0.64% | 1.56% | 22% |
2021 | 19.35 | 0.30 | 4.38 | 4.68 | (0.40) | (2.26) | (2.66) | 21.37 | 24.61 | 971,586 | 0.64(2) | 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(2) | 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(2) | 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(2) | 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(2) | 0.58 | 1.78 | 38 |
Investor Class | ||||||||||||||
2022(1) | $21.35 | $ 0.13 | $ (2.72) | $ (2.59) | $(0.15) | $(0.34) | $(0.49) | $18.27 | (12.07)% | $ 394,904 | 0.90%(2) | 0.90% | 1.32% | 22% |
2021 | 19.34 | 0.24 | 4.37 | 4.61 | (0.34) | (2.26) | (2.60) | 21.35 | 24.27 | 437,067 | 0.90(2) | 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(2) | 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(2) | 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(2) | 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(2) | 0.84 | 1.52 | 38 |
Growth Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(1) | $29.92 | $(0.01) | $(10.40) | $(10.41) | $ — | $(0.92) | $(0.92) | $18.59 | (34.70)% | $ 780,656 | 0.66%(3) | 0.66% | (0.11)% | 114% |
2021 | 30.63 | (0.06) | 5.44 | 5.38 | — | (6.09) | (6.09) | 29.92 | 17.68 | 1,108,031 | 0.68(3) | 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(3) | 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(3) | 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(3) | 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(3) | 0.73 | 0.12 | 41 |
Investor Class | ||||||||||||||
2022(1) | $29.44 | $ — | $(10.27) | $(10.27) | $ — | $(0.92) | $(0.92) | $18.25 | (34.79)% | $ 572,652 | 0.92%(3) | 0.92% | (0.38)% | 114% |
2021 | 30.29 | (0.14) | 5.38 | 5.24 | — | (6.09) | (6.09) | 29.44 | 17.41 | 979,600 | 0.94(3) | 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(3) | 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(3) | 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(3) | 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(3) | 0.99 | (0.14) | 41 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2022, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
(2) | 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, 2021 and for the six months ended June 30, 2022. |
(3) | 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, 2021 and for the six months ended June 30, 2022. |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | 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 Period | Total Return | Net Assets, End of Period (000) | Expenses, Net | Expenses, Gross | Investment Income/ (Loss), Net | Portfolio Turnover Rate | |
Small Cap Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(1) | $19.54 | $ 0.03 | $(4.21) | $(4.18) | $ — | $ — | $ — | $15.36 | (21.39)% | $421,446 | 0.92%(2) | 0.93% | 0.38% | 26% |
2021 | 18.67 | 0.02 | 4.03 | 4.05 | (0.02) | (3.16) | (3.18) | 19.54 | 22.09 | 519,549 | 0.90(2) | 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(2) | 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(2) | 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(2) | 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(2) | 1.00 | 0.09 | 80 |
Investor Class | ||||||||||||||
2022(1) | $19.35 | $ 0.01 | $(4.17) | $(4.16) | $ — | $ — | $ — | $15.19 | (21.50)% | $251,920 | 1.18%(2) | 1.19% | 0.10% | 26% |
2021 | 18.54 | (0.04) | 4.01 | 3.97 | — | (3.16) | (3.16) | 19.35 | 21.79 | 350,691 | 1.16(2) | 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(2) | 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(2) | 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(2) | 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(2) | 1.27 | (0.17) | 80 |
International Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(1) | $12.06 | $ 0.22 | $(2.63) | $(2.41) | $ — | $ — | $ — | $ 9.65 | (19.98)% | $740,823 | 0.21% | 0.21% | 4.13% | 4% |
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 |
Investor Class | ||||||||||||||
2022(3) | $10.43 | $ 0.10 | $(0.89) | $(0.79) | $ — | $ — | $ — | $ 9.64 | (7.57)% | $ 3,617 | 0.50% | 1.98% | 5.33% | 4% |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | For the six months ended June 30, 2022, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
(2) | 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 December 31, 2019, 2020 and 2021 and for the six months ended June 30, 2022, the effect of fees paid indirectly decreased the ratio by 0.01%, 0.01%, 0.01% and 0.01%, respectively. |
(3) | Inception date was April 29, 2022. All ratios 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 Period | 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 Period | Total Return | Net Assets, End of Period (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
International Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(1) | $14.85 | $0.15 | $(3.07) | $(2.92) | $ — | $ — | $ — | $11.93 | (19.66)% | $ 717,303 | 0.87%(2) | 0.87%(2) | 2.26% | 26% |
2021 | 14.70 | 0.14 | 1.25 | 1.39 | (0.18) | (1.06) | (1.24) | 14.85 | 9.61 | 987,439 | 0.87(2) | 0.87(2) | 0.90 | 37 |
2020 | 13.78 | 0.14 | 0.93 | 1.07 | (0.13) | (0.02) | (0.15) | 14.70 | 7.81(3) | 973,352 | 0.93(2) | 0.93(2) | 1.10 | 90 |
2019 | 11.74 | 0.31(4) | 2.44 | 2.75 | (0.31) | (0.40) | (0.71) | 13.78 | 23.45 | 963,046 | 1.07(2) | 1.07(2) | 2.31(4) | 54 |
2018 | 15.72 | 0.32 | (2.65) | (2.33) | (0.32) | (1.33) | (1.65) | 11.74 | (14.90) | 795,484 | 1.07(2) | 1.08(2) | 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(2)(5) | 0.93(2) | 1.63 | 42 |
Investor Class | ||||||||||||||
2022(1) | $14.84 | $0.13 | $(3.06) | $(2.93) | $ — | $ — | $ — | $11.91 | (19.74)% | $ 279,055 | 1.14%(2) | 1.14%(2) | 1.99% | 26% |
2021 | 14.69 | 0.10 | 1.25 | 1.35 | (0.14) | (1.06) | (1.20) | 14.84 | 9.35 | 358,216 | 1.14(2) | 1.14(2) | 0.64 | 37 |
2020 | 13.81 | 0.11 | 0.93 | 1.04 | (0.14) | (0.02) | (0.16) | 14.69 | 7.52(3) | 345,120 | 1.20(2) | 1.20(2) | 0.84 | 90 |
2019 | 11.77 | 0.27(4) | 2.45 | 2.72 | (0.28) | (0.40) | (0.68) | 13.81 | 23.10 | 351,124 | 1.35(2) | 1.34(2) | 2.05(4) | 54 |
2018 | 15.74 | 0.27 | (2.63) | (2.36) | (0.28) | (1.33) | (1.61) | 11.77 | (15.06) | 285,252 | 1.33(2) | 1.35(2) | 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(2)(5) | 1.19(2) | 1.37 | 42 |
Emerging Markets Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(1) | $10.67 | $0.12 | $(2.17) | $(2.05) | $ — | $ — | $ — | $ 8.62 | (19.21)% | $ 588,281 | 1.05%(6) | 1.05% | 2.49% | 29% |
2021 | 12.33 | 0.11 | (0.34) | (0.23) | (0.08) | (1.35) | (1.43) | 10.67 | (1.85) | 714,818 | 1.04(6) | 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(6) | 1.11 | 0.70 | 67 |
2019 | 8.71 | 0.18(7) | 1.57 | 1.75 | (0.27) | — | (0.27) | 10.19 | 20.06 | 457,074 | 1.19(6) | 1.19 | 1.92(7) | 92 |
2018 | 11.00 | 0.13 | (2.36) | (2.23) | (0.06) | — | (0.06) | 8.71 | (20.26) | 359,815 | 1.30(6) | 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(6) | 1.31 | 0.83 | 56 |
Investor Class | ||||||||||||||
2022(1) | $10.63 | $0.10 | $(2.15) | $(2.05) | $ — | $ — | $ — | $ 8.58 | (19.29)% | $ 89,606 | 1.35%(6) | 1.35% | 2.16% | 29% |
2021 | 12.29 | 0.08 | (0.34) | (0.26) | (0.05) | (1.35) | (1.40) | 10.63 | (2.12) | 111,425 | 1.33(6) | 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(6) | 1.51 | 0.30 | 67 |
2019 | 8.72 | 0.14(7) | 1.57 | 1.71 | (0.23) | — | (0.23) | 10.20 | 19.64 | 75,866 | 1.57(6) | 1.57 | 1.48(7) | 92 |
2018 | 11.00 | 0.10 | (2.35) | (2.25) | (0.03) | — | (0.03) | 8.72 | (20.49) | 65,354 | 1.56(6) | 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(6) | 1.66 | 0.57 | 56 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2022, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
(2) | 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%. For the six months ended June 30, 2022, the effect of dividend expense on securities sold short increased the ratio by 0.00%. |
(3) | 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. |
(4) | 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. |
(5) | 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. |
(6) | 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, 2021 and for the six months ended June 30, 2022. |
(7) | 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. |
Shares | Value | |||
COMMON STOCKS — 59.4% | ||||
Real Estate — 59.4% | ||||
Acadia Realty Trust REIT | 67,215 | $ 1,049,898 | ||
Agree Realty Corporation REITΔ | 87,465 | 6,308,851 | ||
American Homes 4 Rent Class A REITΔ | 100,298 | 3,554,561 | ||
American Tower Corporation REIT | 4,946 | 1,264,148 | ||
Apartment Income REIT Corporation | 49,595 | 2,063,152 | ||
Apple Hospitality REIT, Inc. | 72,530 | 1,064,015 | ||
AvalonBay Communities, Inc. REIT | 40,973 | 7,959,005 | ||
Boston Properties, Inc. REIT | 39,636 | 3,526,811 | ||
Centerspace REIT | 7,221 | 588,873 | ||
DiamondRock Hospitality Co. REIT* | 211,631 | 1,737,491 | ||
Digital Realty Trust, Inc. REIT | 64,289 | 8,346,641 | ||
Duke Realty Corporation REIT | 85,773 | 4,713,226 | ||
EastGroup Properties, Inc. REIT | 16,869 | 2,603,393 | ||
EPR Properties REIT* | 20,580 | 965,819 | ||
Equinix, Inc. REIT | 9,611 | 6,314,619 | ||
Equity LifeStyle Properties, Inc. REIT | 13,502 | 951,486 | ||
Essential Properties Realty Trust, Inc. REIT | 86,337 | 1,855,382 | ||
First Industrial Realty Trust, Inc. REIT | 37,294 | 1,770,719 | ||
Healthcare Realty Trust, Inc. REITΔ | 52,004 | 1,414,509 | ||
Healthcare Trust of America, Inc. Class A REIT | 43,949 | 1,226,617 | ||
Healthpeak Properties, Inc. REIT | 70,442 | 1,825,152 | ||
Hudson Pacific Properties, Inc. REIT | 21,392 | 317,457 | ||
Independence Realty Trust, Inc. REIT | 76,104 | 1,577,636 | ||
Invitation Homes, Inc. REIT | 50,911 | 1,811,413 | ||
Kilroy Realty Corporation REIT | 56,897 | 2,977,420 | ||
Kimco Realty Corporation REIT | 156,896 | 3,101,834 | ||
Kite Realty Group Trust REIT | 118,376 | 2,046,721 | ||
Life Storage, Inc. REIT | 37,561 | 4,194,061 | ||
Mid-America Apartment Communities, Inc. REIT | 35,010 | 6,115,197 | ||
NETSTREIT CorporationΔ | 121,147 | 2,286,044 | ||
Pebblebrook Hotel Trust REITΔ | 40,702 | 674,432 | ||
Physicians Realty Trust REIT | 71,162 | 1,241,777 | ||
Piedmont Office Realty Trust, Inc. Class A REIT | 72,894 | 956,369 | ||
Postal Realty Trust, Inc. Class A REITΔ | 53,826 | 802,007 | ||
Prologis, Inc. REIT | 89,287 | 10,504,616 | ||
Public Storage REIT | 30,036 | 9,391,356 | ||
Realty Income Corporation REIT | 85,600 | 5,843,056 | ||
Rexford Industrial Realty, Inc. REIT | 41,929 | 2,414,691 | ||
Ryman Hospitality Properties, Inc. REIT* | 32,175 | 2,446,265 | ||
Sabra Health Care REIT, Inc. | 58,215 | 813,264 | ||
SBA Communications Corporation REIT | 3,371 | 1,078,889 | ||
Simon Property Group, Inc. REIT | 28,732 | 2,727,242 | ||
SITE Centers Corporation REIT | 75,556 | 1,017,739 | ||
STAG Industrial, Inc. REIT | 8,392 | 259,145 | ||
Sun Communities, Inc. REIT | 13,720 | 2,186,419 | ||
Sunstone Hotel Investors, Inc. REIT* | 107,749 | 1,068,870 | ||
UDR, Inc. REIT | 42,316 | 1,948,229 |
Shares | Value | |||
Urban Edge Properties REIT | 65,634 | $ 998,293 | ||
Ventas, Inc. REIT | 141,842 | 7,294,934 | ||
Welltower, Inc. REIT | 115,340 | 9,498,249 | ||
WP Carey, Inc. REIT | 62,523 | 5,180,656 | ||
153,878,649 | ||||
Total Common Stocks (Cost $161,890,333) | 153,878,649 | |||
FOREIGN COMMON STOCKS — 36.1% | ||||
Australia — 3.7% | ||||
Dexus REIT | 212,423 | 1,306,287 | ||
GPT Group (The) REIT (Athens Exchange) | 742,686 | 2,170,638 | ||
Mirvac Group REIT | 1,265,417 | 1,729,690 | ||
Scentre Group REIT | 1,469,519 | 2,638,594 | ||
Shopping Centres Australasia Property Group REIT | 419,593 | 799,330 | ||
Stockland REIT | 254,224 | 634,742 | ||
Waypoint REIT, Ltd. | 199,480 | 319,987 | ||
9,599,268 | ||||
Belgium — 0.8% | ||||
Aedifica SA REITΔ | 6,346 | 609,738 | ||
VGP NV | 4,457 | 710,986 | ||
Warehouses De Pauw CVA REIT | 21,822 | 688,575 | ||
2,009,299 | ||||
Canada — 2.7% | ||||
Canadian Apartment Properties REIT | 33,569 | 1,168,865 | ||
Chartwell Retirement Residences | 148,797 | 1,288,911 | ||
Granite REIT | 17,803 | 1,091,941 | ||
RioCan REIT | 97,557 | 1,517,318 | ||
Summit Industrial Income REIT | 83,773 | 1,113,546 | ||
Tricon Residential, Inc. (Toronto Exchange)Δ | 86,121 | 873,119 | ||
7,053,700 | ||||
Finland — 0.1% | ||||
Kojamo OYJ | 10,532 | 182,894 | ||
France — 1.0% | ||||
Gecina SA REIT | 6,380 | 598,763 | ||
ICADE REIT | 7,664 | 376,111 | ||
Klepierre REIT* | 27,305 | 528,406 | ||
Unibail-Rodamco-Westfield REITΔ* | 24,037 | 1,222,039 | ||
2,725,319 | ||||
Germany — 2.3% | ||||
Aroundtown SAΔ | 115,516 | 369,466 | ||
Vonovia SE | 179,223 | 5,545,245 | ||
5,914,711 | ||||
Hong Kong — 4.9% | ||||
CK Asset Holdings, Ltd. | 382,448 | 2,717,414 | ||
Hang Lung Properties, Ltd. | 422,827 | 804,565 | ||
Hysan Development Co., Ltd. | 151,074 | 455,779 | ||
Link REIT | 346,228 | 2,829,157 | ||
New World Development Co., Ltd. | 119,317 | 429,796 | ||
Sun Hung Kai Properties, Ltd. | 8,500 | 100,681 |
Shares | Value | |||
Sun Hung Kai Properties, Ltd. (Hong Kong Exchange) | 292,041 | $ 3,457,783 | ||
Swire Properties, Ltd. | 222,231 | 553,274 | ||
Wharf Real Estate Investment Co., Ltd. | 261,000 | 1,246,334 | ||
12,594,783 | ||||
Japan — 9.3% | ||||
Activia Properties, Inc. REIT | 781 | 2,333,315 | ||
Advance Logistics Investment Corporation REITΔ | 187 | 207,523 | ||
Global One Real Estate Investment Corporation REIT | 1,143 | 893,526 | ||
GLP J-REIT | 644 | 789,196 | ||
Heiwa Real Estate Co., Ltd. | 4,182 | 120,020 | ||
Hulic Reit, Inc. | 831 | 980,191 | ||
Ichigo Office REIT Investment Corporation | 481 | 299,922 | ||
Industrial & Infrastructure Fund Investment Corporation REIT | 985 | 1,304,247 | ||
Japan Hotel REIT Investment Corporation | 1,090 | 546,555 | ||
Japan Metropolitan Fund Invest REIT | 896 | 698,141 | ||
Keihanshin Building Co., Ltd. | 100,401 | 970,812 | ||
Kenedix Office Investment Corporation REIT | 62 | 311,800 | ||
Kenedix Retail REIT Corporation | 619 | 1,256,414 | ||
LaSalle Logiport REIT | 466 | 573,385 | ||
Mitsubishi Estate Co., Ltd. | 217,623 | 3,154,086 | ||
Mitsui Fudosan Co., Ltd. | 133,688 | 2,872,266 | ||
Mitsui Fudosan Logistics Park, Inc. REIT | 19 | 71,884 | ||
Mori Trust Hotel Reit, Inc. | 1,095 | 1,014,714 | ||
Mori Trust Sogo REIT, Inc. | 1,290 | 1,350,258 | ||
Nippon Building Fund, Inc. REITΔ | 104 | 519,035 | ||
Nippon Prologis REIT, Inc. | 217 | 534,464 | ||
Samty Residential Investment Corporation REIT | 240 | 240,039 | ||
Sekisui House REIT, Inc. | 1,447 | 858,763 | ||
Sumitomo Realty & Development Co., Ltd. | 19,146 | 505,430 | ||
TOC Co., Ltd. | 31,000 | 164,597 | ||
Tokyu Fudosan Holdings Corporation | 186,230 | 980,028 | ||
United Urban Investment Corporation REIT | 601 | 631,795 | ||
24,182,406 | ||||
Netherlands — 0.4% | ||||
CTP NV 144AΔ | 32,432 | 373,342 | ||
Eurocommercial Properties NV REIT | 16,953 | 364,249 | ||
NSI NV REIT | 7,772 | 267,574 | ||
1,005,165 | ||||
Norway — 0.1% | ||||
Entra ASA 144A | 17,508 | 221,851 | ||
Singapore — 3.5% | ||||
Ascendas India Trust | 678,000 | 571,366 | ||
CapitaLand China Trust REIT* | 410,500 | 339,947 |
Shares | Value | |||
CapitaLand Integrated Commercial Trust REIT | 1,529,056 | $ 2,390,252 | ||
Capitaland Investment, Ltd. | 639,488 | 1,760,076 | ||
City Developments, Ltd.Δ | 175,120 | 1,028,569 | ||
Daiwa House Logistics Trust REIT* | 144,244 | 66,967 | ||
Digital Core REIT Management Pte, Ltd.* | 310,705 | 239,350 | ||
Frasers Logistics & Commercial Trust REIT | 1,329,900 | 1,273,962 | ||
Hongkong Land Holdings, Ltd. | 42,193 | 211,899 | ||
Mapletree Commercial Trust REIT | 391,979 | 516,614 | ||
Mapletree Logistics Trust REIT | 473,043 | 572,456 | ||
8,971,458 | ||||
Spain — 0.7% | ||||
Arima Real Estate SOCIMI SA REIT* | 33,349 | 289,197 | ||
Inmobiliaria Colonial Socimi SA REITΔ* | 67,313 | 430,642 | ||
Merlin Properties Socimi SA REIT | 110,904 | 1,074,033 | ||
1,793,872 | ||||
Sweden — 1.6% | ||||
Castellum ABΔ | 62,571 | 806,618 | ||
Fabege AB | 150,253 | 1,424,002 | ||
Fastighets AB Balder, B Shares* | 232,082 | 1,111,831 | ||
Nyfosa AB | 43,372 | 325,503 | ||
Pandox AB* | 32,592 | 367,337 | ||
Sagax AB, B Shares | 9,058 | 167,932 | ||
4,203,223 | ||||
Switzerland — 0.2% | ||||
PSP Swiss Property AG | 5,074 | 564,909 | ||
United Kingdom — 4.8% | ||||
Big Yellow Group PLC REIT | 51,689 | 829,325 | ||
British Land Co. PLC (The) REIT | 421,508 | 2,305,800 | ||
Capital & Counties Properties PLC REIT | 138,025 | 235,657 | ||
Derwent London PLC REIT | 19,587 | 624,506 | ||
Grainger PLC | 369,226 | 1,263,878 | ||
Great Portland Estates PLC REIT | 34,442 | 241,183 | ||
Hammerson PLC REIT | 698,401 | 161,756 | ||
Home Reit PLC | 41,830 | 57,845 | ||
Life Science Reit PLC REIT* | 241,308 | 282,582 | ||
LXI REIT PLC | 260,870 | 451,900 | ||
PRS REIT PLC (The) | 260,229 | 334,516 | ||
Safestore Holdings PLC REIT | 37,335 | 483,433 | ||
Segro PLC REIT | 201,293 | 2,402,990 | ||
Sirius Real Estate, Ltd. | 373,256 | 405,293 | ||
Tritax Big Box REIT PLC | 282,179 | 625,298 | ||
Tritax EuroBox PLC 144A | 415,492 | 438,694 | ||
UNITE Group PLC (The) REIT | 102,427 | 1,331,406 | ||
12,476,062 | ||||
Total Foreign Common Stocks (Cost $109,284,980) | 93,498,920 |
Shares | Value | |||
MONEY MARKET FUNDS — 4.8% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø∞ | 10,330,230 | $ 10,330,230 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 1.46%ا | 1,997,936 | 1,997,936 | ||
Total Money Market Funds (Cost $12,328,166) | 12,328,166 | |||
TOTAL INVESTMENTS — 100.3% (Cost $283,503,479) | 259,705,735 | |||
Liabilities in Excess of Other Assets — (0.3)% | (805,652) | |||
NET ASSETS — 100.0% | $258,900,083 |
% | |
Real Estate | 95.0 |
Money Market Funds | 4.8 |
Health Care | 0.5 |
100.3 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $153,878,649 | $153,878,649 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Canada | 7,053,700 | 7,053,700 | — | — | |||
Singapore ^^ | 8,971,458 | 66,967 | 8,904,491 | — | |||
United Kingdom | 12,476,062 | 2,344,114 | 10,131,948 | — | |||
Other | 64,997,700 | — | 64,997,700 | — | |||
Total Foreign Common Stocks | 93,498,920 | 9,464,781 | 84,034,139 | — | |||
Money Market Funds | 12,328,166 | 12,328,166 | — | — | |||
Total Assets - Investments in Securities | $259,705,735 | $175,671,596 | $84,034,139 | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2022 (Unaudited) |
Global Real Estate Securities Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $249,375,505 |
Investments in securities of affiliated issuers, at value | 10,330,230 |
Total investments, at value(1), (2) | 259,705,735 |
Foreign currency(3) | 136,799 |
Receivables: | |
Dividends and reclaims | 988,444 |
Securities lending | 1,761 |
Investment securities sold | 1,603,782 |
Fund shares sold | 531,282 |
Prepaid expenses and other assets | 17,104 |
Total Assets | 262,984,907 |
Liabilities | |
Collateral held for securities on loan, at value | 1,997,936 |
Payables: | |
Investment securities purchased | 1,510,553 |
Fund shares redeemed | 310,755 |
Accrued expenses: | |
Investment advisory fees | 147,035 |
Shareholder servicing fees | 18,669 |
Trustee fees | 1,865 |
Other expenses | 98,011 |
Total Liabilities | 4,084,824 |
Net Assets | $258,900,083 |
Net Assets Consist of: | |
Paid-in-capital | $281,956,923 |
Distributable earnings (loss) | (23,056,840) |
Net Assets | $258,900,083 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $170,945,421 |
Institutional shares outstanding | 19,184,585 |
Net asset value, offering and redemption price per Institutional share | $ 8.91 |
Net assets applicable to the Investor Class | $ 87,954,662 |
Investor shares outstanding | 9,827,566 |
Net asset value, offering and redemption price per Investor share | $ 8.95 |
(1)Investments in securities of unaffiliated issuers, at cost | $273,173,249 |
Investments in securities of affiliated issuers, at cost | 10,330,230 |
Total investments, at cost | $283,503,479 |
(2)Includes securities loaned of: | $ 15,142,920 |
(3)Foreign currency, at cost | $ 137,988 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2022 (Unaudited) |
Global Real Estate Securities Fund | |
Investment Income | |
Dividends | $ 4,677,885 |
Income distributions received from affiliated funds | 16,401 |
Securities lending, net | 20,353 |
Less foreign taxes withheld | (146,192) |
Total Investment Income | 4,568,447 |
Expenses | |
Investment advisory fees | 999,581 |
Transfer agent fees: | |
Institutional shares | 2,425 |
Investor shares | 9,601 |
Custodian fees | 69,075 |
Shareholder servicing fees: | |
Investor shares | 129,296 |
Accounting and administration fees | 17,810 |
Professional fees | 61,121 |
Shareholder reporting fees: | |
Institutional shares | 1,166 |
Investor shares | 4,677 |
Trustees expenses | 2,052 |
Line of credit facility fees | 393 |
Other expenses | 61,431 |
Total Expenses | 1,358,628 |
Fees paid indirectly | (12,431) |
Net Expenses | 1,346,197 |
Net Investment Income | 3,222,250 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | 9,257,326 |
Futures transactions | (613,480) |
Forward foreign currency contracts | (2,404) |
Foreign currency | (49,334) |
Net realized gain | 8,592,108 |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | (79,822,240) |
Futures | (229,185) |
Foreign currency | (17,577) |
Net change in unrealized appreciation (depreciation) | (80,069,002) |
Net Realized and Unrealized Loss | (71,476,894) |
Net Decrease in Net Assets Resulting from Operations | $(68,254,644) |
STATEMENTS OF CHANGES IN NET ASSETS |
Global Real Estate Securities Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/22 | 12/31/21 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 3,222,250 | $ 4,483,773 | |
Net realized gain on investment securities, foreign currency and derivatives | 8,592,108 | 40,385,573 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (80,069,002) | 32,681,639 | |
Net increase (decrease) in net assets resulting from operations | (68,254,644) | 77,550,985 | |
Distributions to Shareholders: | |||
Institutional shares | (4,142,247) | (13,454,207) | |
Investor shares | (1,983,931) | (6,736,082) | |
Total distributions | (6,126,178) | (20,190,289) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 19,890,135 | 23,655,678 | |
Investor shares | 10,985,371 | 28,230,636 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 4,089,092 | 13,303,961 | |
Investor shares | 1,974,059 | 6,696,269 | |
Total proceeds from shares sold and reinvested | 36,938,657 | 71,886,544 | |
Value of shares redeemed | |||
Institutional shares | (23,592,655) | (32,747,061) | |
Investor shares | (17,299,668) | (15,702,833) | |
Total value of shares redeemed | (40,892,323) | (48,449,894) | |
Net increase (decrease) from capital share transactions(1) | (3,953,666) | 23,436,650 | |
Total increase (decrease) in net assets | (78,334,488) | 80,797,346 | |
Net Assets: | |||
Beginning of Period | 337,234,571 | 256,437,225 | |
End of Period | $258,900,083 | $337,234,571 |
(1) | See Note 6 in Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | 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 Period | Total Return | Net Assets, End of Period (000) | Expenses, Net | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Global Real Estate Securities Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(1) | $11.53 | $0.12 | $(2.52) | $(2.40) | $(0.08) | $(0.14) | $(0.22) | $ 8.91 | (20.79)% | $170,945 | 0.81%(2) | 0.82% | 2.29% | 55% |
2021 | 9.47 | 0.17 | 2.63 | 2.80 | (0.40) | (0.34) | (0.74) | 11.53 | 29.97 | 218,705 | 0.79(2) | 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(2) | 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(2) | 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(2) | 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(2) | 0.88 | 2.86 | 138 |
Investor Class | ||||||||||||||
2022(1) | $11.58 | $0.10 | $(2.53) | $(2.43) | $(0.06) | $(0.14) | $(0.20) | $ 8.95 | (20.90)% | $ 87,955 | 1.09%(2) | 1.10% | 1.98% | 55% |
2021 | 9.51 | 0.14 | 2.64 | 2.78 | (0.37) | (0.34) | (0.71) | 11.58 | 29.61 | 118,530 | 1.07(2) | 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(2) | 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(2) | 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(2) | 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(2) | 1.13 | 2.56 | 138 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2022, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
(2) | 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, 2021 and for the six months ended June 30, 2022. |
Par | Value | |||
CORPORATE BONDS — 13.3% | ||||
8x8, Inc. | ||||
0.50%, 02/01/24‡‡ CONV | $ 480,000 | $409,177 | ||
Air Transport Services Group, Inc. | ||||
1.13%, 10/15/24‡‡ CONV | 717,000 | 777,586 | ||
Apollo Commercial Real Estate Finance, Inc. REIT | ||||
5.38%, 10/15/23 CONV | 920,000 | 898,725 | ||
Array Technologies, Inc. | ||||
1.00%, 12/01/28 144A ‡‡ CONV | 660,000 | 469,920 | ||
Bandwidth, Inc. | ||||
0.50%, 04/01/28 CONV | 464,000 | 277,008 | ||
Beauty Health Co. (The) | ||||
1.25%, 10/01/26 144A ‡‡ CONV | 786,000 | 635,088 | ||
Bentley Systems, Inc. | ||||
0.38%, 07/01/27 144A ‡‡ CONV | 523,000 | 407,940 | ||
BigCommerce Holdings, Inc. | ||||
0.25%, 10/01/26 144A ‡‡ CONV | 623,000 | 431,428 | ||
Blackline, Inc. | ||||
0.00%, 03/15/26 CONV » | 474,000 | 377,778 | ||
Bloom Energy Corporation | ||||
2.50%, 08/15/25 CONV | 242,000 | 300,540 | ||
Cable One, Inc. | ||||
1.13%, 03/15/28 CONV | 634,000 | 534,462 | ||
Callaway Golf Co. | ||||
2.75%, 05/01/26‡‡ CONV | 264,000 | 354,915 | ||
Centennial Resource Production LLC | ||||
3.25%, 04/01/28‡‡ CONV | 500,000 | 626,875 | ||
Ceridian HCM Holding, Inc. | ||||
0.25%, 03/15/26 CONV | 731,000 | 580,048 | ||
Cheesecake Factory, Inc. (The) | ||||
0.38%, 06/15/26‡‡ CONV | 754,000 | 578,695 | ||
Chefs' Warehouse, Inc. (The) | ||||
1.88%, 12/01/24‡‡ CONV | 500,000 | 555,000 | ||
Chegg, Inc. | ||||
0.00%, 09/01/26‡‡ CONV » | 1,068,000 | 799,398 | ||
Coherus Biosciences, Inc. | ||||
1.50%, 04/15/26‡‡ CONV | 512,000 | 335,104 | ||
CONMED Corporation | ||||
2.25%, 06/15/27 144A CONV | 323,000 | 302,974 | ||
CryoPort, Inc. | ||||
0.75%, 12/01/26 144A ‡‡ CONV | 911,000 | 706,025 | ||
DigitalBridge Group, Inc. | ||||
5.00%, 04/15/23 CONV | 399,000 | 393,517 | ||
DigitalOcean Holdings, Inc. | ||||
0.00%, 12/01/26 144A ‡‡ CONV » | 671,000 | 504,525 | ||
DISH Network Corporation | ||||
3.38%, 08/15/26‡‡ CONV | 600,000 | 406,800 | ||
Enphase Energy, Inc. | ||||
0.00%, 03/01/28 CONV » | 571,000 | 569,572 | ||
Envestnet, Inc. | ||||
0.75%, 08/15/25 CONV | 525,000 | 450,450 | ||
Etsy, Inc. | ||||
0.25%, 06/15/28 CONV | 403,000 | 297,213 | ||
Everbridge, Inc. | ||||
0.13%, 12/15/24‡‡ CONV | 384,000 | 335,775 |
Par | Value | |||
Exact Sciences Corporation | ||||
0.38%, 03/15/27‡‡ CONV | $ 760,000 | $ 557,650 | ||
Granite Point Mortgage Trust, Inc. REIT | ||||
6.38%, 10/01/23‡‡ CONV | 1,425,000 | 1,391,227 | ||
Greenbrier Cos., Inc. (The) | ||||
2.88%, 04/15/28 CONV | 527,000 | 492,745 | ||
Groupon, Inc. | ||||
1.13%, 03/15/26 CONV | 493,000 | 314,288 | ||
Haemonetics Corporation | ||||
0.00%, 03/01/26 CONV » | 580,000 | 456,763 | ||
Halozyme Therapeutics, Inc. | ||||
0.25%, 03/01/27 CONV | 568,000 | 503,917 | ||
Helix Energy Solutions Group, Inc. | ||||
4.13%, 09/15/23 CONV | 193,000 | 182,988 | ||
6.75%, 02/15/26‡‡ CONV | 250,000 | 240,250 | ||
i3 Verticals LLC | ||||
1.00%, 02/15/25‡‡ CONV | 436,000 | 415,290 | ||
II-VI, Inc. | ||||
0.25%, 09/01/22‡‡ CONV | 250,000 | 278,000 | ||
Impinj, Inc. | ||||
1.13%, 05/15/27 144A ‡‡ CONV | 278,000 | 232,363 | ||
Infinera Corporation | ||||
2.13%, 09/01/24‡‡ CONV | 484,000 | 444,312 | ||
Innoviva, Inc. | ||||
2.13%, 01/15/23‡‡ CONV | 524,000 | 518,367 | ||
Insmed, Inc. | ||||
0.75%, 06/01/28‡‡ CONV | 726,000 | 607,662 | ||
iStar, Inc. REIT | ||||
3.13%, 09/15/22‡‡ CONV | 300,000 | 314,813 | ||
Jazz Investments I, Ltd. | ||||
1.50%, 08/15/24‡‡ CONV | 527,000 | 523,377 | ||
Kaman Corporation | ||||
3.25%, 05/01/24‡‡ CONV | 365,000 | 343,100 | ||
LendingTree, Inc. | ||||
0.50%, 07/15/25‡‡ CONV | 800,000 | 543,200 | ||
Liberty TripAdvisor Holdings, Inc. | ||||
0.50%, 06/30/51 144A ‡‡ CONV | 979,000 | 622,644 | ||
Ligand Pharmaceuticals, Inc. | ||||
0.75%, 05/15/23‡‡ CONV | 311,000 | 299,338 | ||
LivePerson, Inc. | ||||
0.00%, 12/15/26‡‡ CONV » | 679,000 | 491,391 | ||
Lumentum Holdings, Inc. | ||||
0.50%, 12/15/26‡‡ CONV | 204,000 | 209,998 | ||
MACOM Technology Solutions Holdings, Inc. | ||||
0.25%, 03/15/26 CONV | 350,000 | 306,250 | ||
Magnite, Inc. | ||||
0.25%, 03/15/26 CONV | 962,000 | 702,260 | ||
MFA Financial, Inc. REIT | ||||
6.25%, 06/15/24‡‡ CONV | 1,456,000 | 1,324,478 | ||
Mitek Systems, Inc. | ||||
0.75%, 02/01/26 CONV | 360,000 | 300,240 | ||
NCL Corporation, Ltd. | ||||
2.50%, 02/15/27 144A ‡‡ CONV | 420,000 | 289,800 | ||
New Relic, Inc. | ||||
0.50%, 05/01/23‡‡ CONV | 495,000 | 479,655 |
Par | Value | |||
NRG Energy, Inc. | ||||
2.75%, 06/01/48‡‡ CONV | $ 823,000 | $887,605 | ||
OSI Systems, Inc. | ||||
1.25%, 09/01/22‡‡ CONV | 445,000 | 446,558 | ||
Patrick Industries, Inc. | ||||
1.75%, 12/01/28 144A ‡‡ CONV | 356,000 | 286,580 | ||
Pebblebrook Hotel Trust REIT | ||||
1.75%, 12/15/26‡‡ CONV | 587,000 | 525,658 | ||
PennyMac Corporation REIT | ||||
5.50%, 11/01/24‡‡ CONV | 500,000 | 485,625 | ||
5.50%, 03/15/26 CONV | 1,000,000 | 881,300 | ||
Perficient, Inc. | ||||
0.13%, 11/15/26 144A ‡‡ CONV | 422,000 | 343,738 | ||
Pioneer Natural Resources Co. | ||||
0.25%, 05/15/25 CONV | 185,000 | 400,895 | ||
PRA Group, Inc. | ||||
3.50%, 06/01/23‡‡ CONV | 500,000 | 505,313 | ||
Progress Software Corporation | ||||
1.00%, 04/15/26 CONV | 527,000 | 511,453 | ||
Q2 Holdings, Inc. | ||||
0.13%, 11/15/25‡‡ CONV | 634,000 | 509,419 | ||
Realogy Group LLC | ||||
0.25%, 06/15/26 CONV | 534,000 | 391,155 | ||
Redwood Trust, Inc. | ||||
7.75%, 06/15/27 144A CONV | 217,000 | 191,177 | ||
Redwood Trust, Inc. REIT | ||||
5.63%, 07/15/24‡‡ CONV | 228,000 | 206,336 | ||
RingCentral, Inc. | ||||
0.00%, 03/01/25 CONV » | 887,000 | 729,557 | ||
Royal Caribbean Cruises, Ltd. | ||||
4.25%, 06/15/23 CONV | 834,000 | 800,640 | ||
RWT Holdings, Inc. | ||||
5.75%, 10/01/25‡‡ CONV | 890,000 | 795,994 | ||
Sabre GLBL, Inc. | ||||
4.00%, 04/15/25‡‡ CONV | 350,000 | 365,050 | ||
Snap, Inc. | ||||
0.00%, 05/01/27 CONV » | 727,000 | 507,082 | ||
SoFi Technologies, Inc. | ||||
0.00%, 10/15/26 144A ‡‡ CONV » | 626,000 | 411,908 | ||
Southwest Airlines Co. | ||||
1.25%, 05/01/25‡‡ CONV | 232,000 | 274,050 | ||
Spirit Airlines, Inc. | ||||
1.00%, 05/15/26‡‡ CONV | 324,000 | 293,706 | ||
Splunk, Inc. | ||||
1.13%, 06/15/27‡‡ CONV | 355,000 | 294,650 | ||
Spotify U.S.A., Inc. | ||||
0.00%, 03/15/26 CONV » | 595,000 | 472,430 | ||
Stride, Inc. | ||||
1.13%, 09/01/27 CONV | 707,000 | 701,697 | ||
Summit Hotel Properties, Inc. REIT | ||||
1.50%, 02/15/26‡‡ CONV | 653,000 | 555,050 | ||
Sunnova Energy International, Inc. | ||||
0.25%, 12/01/26 CONV | 419,000 | 328,287 |
Par | Value | |||
Two Harbors Investment Corporation REIT | ||||
6.25%, 01/15/26‡‡ CONV | $807,000 | $ 724,879 | ||
Unity Software, Inc. | ||||
0.00%, 11/15/26‡‡ CONV » | 671,000 | 495,701 | ||
Upstart Holdings, Inc. | ||||
0.25%, 08/15/26 144A ‡‡ CONV | 562,000 | 316,968 | ||
Upwork, Inc. | ||||
0.25%, 08/15/26 144A ‡‡ CONV | 816,000 | 625,260 | ||
Verint Systems, Inc. | ||||
0.25%, 04/15/26 CONV | 527,000 | 483,523 | ||
Winnebago Industries, Inc. | ||||
1.50%, 04/01/25‡‡ CONV | 597,000 | 614,164 | ||
WisdomTree Investments, Inc. | ||||
4.25%, 06/15/23 CONV | 450,000 | 468,844 | ||
3.25%, 06/15/26 CONV | 104,000 | 94,848 | ||
Wolfspeed, Inc. | ||||
0.25%, 02/15/28 144A CONV | 141,000 | 117,383 | ||
Workiva, Inc. | ||||
1.13%, 08/15/26‡‡ CONV | 256,000 | 277,760 | ||
Ziff Davis, Inc. | ||||
1.75%, 11/01/26 144A ‡‡ CONV | 588,000 | 569,478 | ||
Zillow Group, Inc. | ||||
2.75%, 05/15/25‡‡ CONV | 453,000 | 428,991 | ||
Total Corporate Bonds (Cost $51,469,590) | 45,023,616 | |||
FOREIGN BONDS — 0.3% | ||||
Jersey — 0.2% | ||||
Encore Capital Europe Finance, Ltd. | ||||
4.50%, 09/01/23‡‡ CONV | 397,000 | 549,448 | ||
Norway — 0.1% | ||||
SFL Corporation, Ltd. | ||||
4.88%, 05/01/23 CONV | 427,000 | 428,601 | ||
Total Foreign Bonds (Cost $875,879) | 978,049 | |||
MORTGAGE-BACKED SECURITIES — 4.5% | ||||
Federal Home Loan Mortgage Corporation REMIC, Series 4248 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 4.68%, 09/15/43† IO | 244,293 | 34,282 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4468 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 4.78%, 05/15/45† IO | 246,905 | 30,362 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4583 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 4.68%, 05/15/46† IO | 610,280 | 80,983 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5012 | ||||
4.00%, 09/25/50 IO | 179,096 | 34,811 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 5020 | ||||
3.00%, 08/25/50 IO | $ 342,497 | $ 53,113 | ||
Federal National Mortgage Association REMIC, Series 2017-31 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 4.48%, 05/25/47† IO | 346,329 | 48,151 | ||
Federal National Mortgage Association REMIC, Series 2018-17 | ||||
(Floating, 3.45% - ICE LIBOR USD 1M, 2.50% Cap), 1.83%, 03/25/48† IO | 1,847,248 | 52,685 | ||
Federal National Mortgage Association REMIC, Series 2018-8 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 4.53%, 02/25/48† IO | 201,085 | 27,851 | ||
Federal National Mortgage Association REMIC, Series 2020-38 | ||||
4.00%, 06/25/50 IO | 928,408 | 182,810 | ||
Federal National Mortgage Association REMIC, Series 2020-49 | ||||
4.00%, 07/25/50 IO | 411,448 | 80,664 | ||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 4.48%, 07/25/50† IO | 512,024 | 80,607 | ||
Federal National Mortgage Association REMIC, Series 2020-60 | ||||
4.00%, 09/25/50 IO | 166,328 | 32,872 | ||
Federal National Mortgage Association REMIC, Series 2020-62 | ||||
4.00%, 06/25/48 IO | 572,312 | 130,161 | ||
Federal National Mortgage Association STRIP, Series 405 | ||||
(Floating, 5.05% - ICE LIBOR USD 1M, 5.05% Cap), 3.43%, 10/25/40† IO | 607,399 | 74,696 | ||
Government National Mortgage Association, Series 2015-110 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 4.10%, 08/20/45† IO | 137,880 | 18,366 | ||
Government National Mortgage Association, Series 2018-124 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 4.60%, 09/20/48† IO | 411,419 | 49,463 | ||
Government National Mortgage Association, Series 2018-139 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 4.55%, 10/20/48† IO | 160,528 | 17,310 | ||
Government National Mortgage Association, Series 2018-7 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 4.10%, 01/20/48† IO | 341,835 | 38,598 |
Par | Value | |||
Government National Mortgage Association, Series 2019-1 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 4.45%, 01/20/49† IO | $ 179,828 | $ 18,958 | ||
Government National Mortgage Association, Series 2019-110 | ||||
4.50%, 09/20/49† IO | 589,531 | 66,375 | ||
Government National Mortgage Association, Series 2019-111 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 4.55%, 01/20/49† IO | 504,120 | 56,723 | ||
Government National Mortgage Association, Series 2019-151 | ||||
3.50%, 10/20/49 IO | 775,833 | 113,742 | ||
3.50%, 12/20/49 IO | 461,077 | 79,216 | ||
Government National Mortgage Association, Series 2019-153 | ||||
4.00%, 12/20/49 IO | 2,405,505 | 363,375 | ||
Government National Mortgage Association, Series 2019-20 | ||||
(Floating, 3.79% - ICE LIBOR USD 1M, 3.79% Cap), 2.19%, 02/20/49† IO | 433,659 | 14,897 | ||
Government National Mortgage Association, Series 2019-6 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 4.45%, 01/20/49† IO | 153,044 | 17,251 | ||
Government National Mortgage Association, Series 2020-146 | ||||
2.50%, 10/20/50 IO | 347,215 | 43,331 | ||
Government National Mortgage Association, Series 2020-21 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 4.45%, 02/20/50† IO | 348,620 | 44,859 | ||
Government National Mortgage Association, Series 2020-55 | ||||
3.50%, 04/20/50 IO | 328,172 | 56,434 | ||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 4.45%, 04/20/50† IO | 534,974 | 71,995 | ||
Government National Mortgage Association, Series 2020-61 | ||||
(Floating, 6.44% - ICE LIBOR USD 1M, 6.44% Cap), 4.84%, 07/20/43† IO | 547,568 | 69,749 | ||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 4.45%, 08/20/49† IO | 775,271 | 84,442 | ||
Government National Mortgage Association, Series 2020-78 | ||||
4.00%, 06/20/50 IO | 613,581 | 107,210 | ||
Government National Mortgage Association, Series 2020-79 | ||||
4.00%, 06/20/50 IO | 163,932 | 24,176 | ||
Uniform Mortgage Backed Securities | ||||
4.00%, 07/01/52 TBA | 8,000,000 | 7,891,094 |
Par | Value | |||
4.50%, 07/01/52 TBA | $5,000,000 | $ 5,020,508 | ||
Total Mortgage-Backed Securities (Cost $15,927,097) | 15,212,120 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTIONS — 0.0% | ||||
Call Swaptions — 0.0% | ||||
Pay 1-Day SOFR (Annually); Receive 1.36% (Annually); Interest Rate Swap Maturing 7/14/2025 USD, Strike Price $1.36, Expires 10/10/22 (CITI) | 1 | $7,600,000 | — | |
Pay 1-Day SONIA (Annually); Receive 0.42% (Annually); Interest Rate Swap Maturing 10/10/2023 GBP, Strike Price $0.42, Expires 11/15/22 (CITI) | 1 | 8,270,000 | 56 | |
Pay 1-Day SONIA (Annually); Receive 0.46% (Annually); Interest Rate Swap Maturing 10/10/2023 GBP, Strike Price $0.46, Expires 11/16/22 (CITI) | 1 | 7,550,000 | 57 | |
Pay 1-Day SONIA (Annually); Receive 0.52% (Annually); Interest Rate Swap Maturing 11/15/2023 GBP, Strike Price $0.52, Expires 07/12/22 (CITI) | 1 | 8,700,000 | 230 | |
Pay 1-Day SONIA (Annually); Receive 0.54% (Annually); Interest Rate Swap Maturing 11/16/2023 GBP, Strike Price $0.54, Expires 07/12/22 (MSCS) | 1 | 7,920,000 | 229 | |
Total Purchased Options (Premiums paid $121,312) | 572 |
Par | |||
U.S. TREASURY OBLIGATIONS — 28.8% | |||
U.S. Treasury Bills | |||
0.64%, 07/07/22Ω | $4,300,000 | 4,299,466 |
Par | Value | |||
0.71%, 07/14/22Ω | $ 4,300,000 | $ 4,298,354 | ||
0.77%, 07/21/22Ω | 4,300,000 | 4,297,587 | ||
0.78%, 07/28/22Ω | 4,300,000 | 4,296,541 | ||
0.99%, 08/18/22Ω | 4,300,000 | 4,292,399 | ||
1.08%, 09/01/22Ω | 4,300,000 | 4,288,762 | ||
1.22%, 09/08/22Ω | 4,300,000 | 4,287,339 | ||
1.61%, 09/15/22Ω | 4,300,000 | 4,285,702 | ||
1.49%, 09/22/22Ω | 4,300,000 | 4,283,931 | ||
1.23%, 10/13/22Ω | 29,500,000 | 29,341,465 | ||
2.21%, 12/08/22Ω | 29,500,000 | 29,204,640 | ||
Total U.S. Treasury Obligations (Cost $97,241,916) | 97,176,186 |
Shares | |||
COMMON STOCKS — 6.3% | |||
Communication Services — 0.0% | |||
Escrow NII Holdings, Inc.Ψ ††† * | 76,167 | 19,803 | |
Consumer Discretionary — 1.3% | |||
Advance Auto Parts, Inc. | 843 | 145,915 | |
AutoNation, Inc.* | 837 | 93,543 | |
AutoZone, Inc.* | 139 | 298,728 | |
Bath & Body Works, Inc. | 4,837 | 130,212 | |
Best Buy Co., Inc. | 6,724 | 438,337 | |
Chewy, Inc. Class A* | 4,558 | 158,254 | |
Dick's Sporting Goods, Inc. | 2,110 | 159,031 | |
Dollar General Corporation | 1,070 | 262,621 | |
DoorDash, Inc. Class A* | 961 | 61,667 | |
eBay, Inc. | 6,012 | 250,520 | |
Genuine Parts Co. | 501 | 66,633 | |
Kohl’s Corporation | 6,209 | 221,599 | |
Leslie's, Inc.* | 8,498 | 129,000 | |
Lowe’s Cos., Inc. | 501 | 87,510 | |
Macy’s, Inc. | 3,030 | 55,510 | |
Murphy U.S.A., Inc. | 767 | 178,611 | |
O’Reilly Automotive, Inc.* | 523 | 330,410 | |
Penske Automotive Group, Inc. | 867 | 90,766 | |
Pool Corporation | 1,119 | 393,026 | |
Target Corporation | 1,696 | 239,526 | |
TJX Cos., Inc. (The) | 791 | 44,177 | |
Tractor Supply Co. | 273 | 52,921 | |
Ulta Beauty, Inc.* | 622 | 239,769 | |
Williams-Sonoma, Inc. | 3,747 | 415,730 | |
4,544,016 | |||
Consumer Staples — 0.8% | |||
Albertsons Cos., Inc. Class A | 8,292 | 221,562 | |
BellRing Brands, Inc.* | 1,988 | 49,481 | |
Casey’s General Stores, Inc. | 1,061 | 196,264 | |
Church & Dwight Co., Inc. | 2,764 | 256,112 | |
Colgate-Palmolive Co. | 4,030 | 322,964 | |
Costco Wholesale Corporation | 385 | 184,523 | |
Estee Lauder Cos., Inc. (The) Class A | 121 | 30,815 | |
Kroger Co. (The) | 5,472 | 258,990 | |
Nu Skin Enterprises, Inc. Class A | 1,535 | 66,466 | |
Procter & Gamble Co. (The) | 1,435 | 206,339 | |
Sprouts Farmers Market, Inc.* | 12,356 | 312,854 |
Shares | Value | |||
Walmart, Inc. | 3,550 | $ 431,609 | ||
2,537,979 | ||||
Financials — 1.2% | ||||
Aflac, Inc. | 7,476 | 413,647 | ||
Allstate Corporation (The) | 1,503 | 190,475 | ||
American Financial Group, Inc. | 1,298 | 180,175 | ||
Arch Capital Group, Ltd.* | 5,266 | 239,550 | ||
Axis Capital Holdings, Ltd. | 636 | 36,309 | ||
Cincinnati Financial Corporation | 2,259 | 268,776 | ||
CNO Financial Group, Inc. | 12,893 | 233,234 | ||
Erie Indemnity Co. Class A | 1,393 | 267,721 | ||
Everest Re Group, Ltd. | 236 | 66,146 | ||
Fidelity National Financial, Inc. | 4,332 | 160,111 | ||
First American Financial Corporation | 5,750 | 304,290 | ||
Hanover Insurance Group, Inc. (The) | 855 | 125,044 | ||
Lincoln National Corporation | 392 | 18,334 | ||
Markel Corporation* | 68 | 87,941 | ||
Marsh & McLennan Cos., Inc. | 762 | 118,301 | ||
Old Republic International Corporation | 15,942 | 356,463 | ||
Primerica, Inc. | 1,524 | 182,408 | ||
RLI Corporation | 3,375 | 393,491 | ||
Selective Insurance Group, Inc. | 988 | 85,897 | ||
Travelers Cos., Inc. (The) | 912 | 154,247 | ||
W.R. Berkley Corporation | 4,194 | 286,282 | ||
4,168,842 | ||||
Information Technology — 1.3% | ||||
Amphenol Corporation Class A | 1,657 | 106,678 | ||
Apple, Inc. | 4,318 | 590,357 | ||
Arista Networks, Inc.* | 1,415 | 132,642 | ||
Arrow Electronics, Inc.* | 2,225 | 249,400 | ||
Avnet, Inc. | 1,291 | 55,358 | ||
Belden, Inc. | 1,929 | 102,758 | ||
CDW Corporation | 394 | 62,079 | ||
Ciena Corporation* | 2,444 | 111,691 | ||
Cisco Systems, Inc. | 15,333 | 653,799 | ||
Cognex Corporation | 2,163 | 91,971 | ||
F5, Inc.* | 721 | 110,342 | ||
HP, Inc. | 10,007 | 328,029 | ||
IPG Photonics Corporation* | 1,592 | 149,855 | ||
Keysight Technologies, Inc.* | 2,507 | 345,590 | ||
Littelfuse, Inc. | 99 | 25,150 | ||
National Instruments Corporation | 1,951 | 60,930 | ||
NetApp, Inc. | 2,448 | 159,707 | ||
Pure Storage, Inc. Class A* | 2,006 | 51,574 | ||
Trimble, Inc.* | 1,528 | 88,975 | ||
Ubiquiti, Inc. | 833 | 206,759 | ||
Vishay Intertechnology, Inc. | 20,936 | 373,079 | ||
Vontier Corporation | 4,624 | 106,306 | ||
Western Digital Corporation* | 885 | 39,675 | ||
Zebra Technologies Corporation Class A* | 314 | 92,300 | ||
4,295,004 | ||||
Materials — 1.7% | ||||
AptarGroup, Inc. | 562 | 58,004 |
Shares | Value | |||
Ball Corporation | 6,073 | $ 417,640 | ||
Celanese Corporation | 811 | 95,382 | ||
CF Industries Holdings, Inc. | 6,349 | 544,300 | ||
Eagle Materials, Inc. | 592 | 65,084 | ||
Eastman Chemical Co. | 137 | 12,298 | ||
Element Solutions, Inc. | 30,241 | 538,290 | ||
FMC Corporation‡‡ | 502 | 53,719 | ||
Huntsman Corporation | 7,602 | 215,517 | ||
Ingevity Corporation* | 333 | 21,026 | ||
Louisiana-Pacific Corporation | 1,792 | 93,919 | ||
Mosaic Co. (The) | 7,436 | 351,202 | ||
NewMarket Corporation | 419 | 126,102 | ||
Nucor Corporation | 2,834 | 295,898 | ||
Packaging Corporation of America | 5,830 | 801,625 | ||
Reliance Steel & Aluminum Co. | 2,551 | 433,313 | ||
Royal Gold, Inc. | 2,865 | 305,925 | ||
RPM International, Inc. | 1,279 | 100,683 | ||
Sensient Technologies Corporation | 1,845 | 148,633 | ||
Silgan Holdings, Inc. | 2,276 | 94,113 | ||
Steel Dynamics, Inc. | 6,209 | 410,725 | ||
Sylvamo Corporation | 471 | 15,392 | ||
United States Steel Corporation | 1,690 | 30,268 | ||
Valvoline, Inc. | 4,938 | 142,362 | ||
Westlake Corporation | 1,595 | 156,342 | ||
Westrock Co. | 3,302 | 131,552 | ||
5,659,314 | ||||
Total Common Stocks (Cost $23,247,700) | 21,224,958 | |||
FOREIGN COMMON STOCKS — 0.2% | ||||
Ireland — 0.1% | ||||
Seagate Technology Holdings PLC | 587 | 41,935 | ||
Willis Towers Watson PLC | 592 | 116,855 | ||
158,790 | ||||
Jersey — 0.0% | ||||
Amcor PLC | 9,696 | 120,521 | ||
Netherlands — 0.1% | ||||
LyondellBasell Industries NV Class A | 4,324 | 378,177 | ||
Switzerland — 0.0% | ||||
Chubb, Ltd. | 450 | 88,461 | ||
Total Foreign Common Stocks (Cost $774,733) | 745,949 | |||
PREFERRED STOCKS — 1.5% | ||||
AGNC Investment Corporation | ||||
(Variable, 4.70% - ICE LIBOR USD 3M), 6.13% † | 11,804 | 238,441 | ||
AMG Capital Trust II | ||||
5.15%, 10/15/37 CONV | 6,846 | 342,300 | ||
Arbor Realty Trust, Inc. | ||||
(Variable, 5.44% - U.S. SOFR), 6.25% † | 22,457 | 458,123 | ||
Chimera Investment Corporation | ||||
(Variable, 5.79% - ICE LIBOR USD 3M), 8.00% † | 14,323 | 306,369 |
Shares | Value | |||
Cowen, Inc. | ||||
5.63% CONV | 320 | $ 357,974 | ||
Fluor Corporation | ||||
6.50% CONV * | 576 | 712,611 | ||
Granite Point Mortgage Trust, Inc. | ||||
(Variable, 5.83% - U.S. SOFR), 7.00% † | 13,757 | 288,897 | ||
Lyondellbasell Advanced Polymers, Inc. | ||||
6.00% CONV | 12 | 9,420 | ||
MFA Financial, Inc. | ||||
(Variable, 5.35% - ICE LIBOR USD 3M), 6.50% † | 28,934 | 532,385 | ||
NCR Corporation | ||||
PIK, 5.50% CONV | 250 | 317,250 | ||
New Residential Investment Corporation | ||||
(Variable, 4.97% - ICE LIBOR USD 3M), 6.38% † | 28,012 | 545,394 | ||
New York Community Capital Trust V | ||||
6.00%, 11/01/51 CONV | 8,655 | 399,861 | ||
New York Mortgage Trust, Inc. | ||||
(Variable, 6.13% - U.S. SOFR), 6.88% † | 11,165 | 220,062 | ||
RBC Bearings, Inc. | ||||
5.00%, 10/15/24 CONV | 1,916 | 182,595 | ||
Ready Capital Corporation | ||||
7.00%, 08/15/23 CONV | 11,500 | 288,190 | ||
Total Preferred Stocks (Cost $5,975,403) | 5,199,872 | |||
FOREIGN PREFERRED STOCK — 0.1% | ||||
Canada — 0.1% | ||||
Algonquin Power & Utilities Corporation | ||||
7.75%, 06/15/24 CONV (Cost $338,590) | 6,766 | 296,080 | ||
MUTUAL FUNDS — 0.5% | ||||
ProShares Short 20+ Year Treasury* (Cost $1,678,674) | 84,818 | 1,700,601 | ||
MONEY MARKET FUNDS — 40.9% | ||||
GuideStone Money Market Fund, 1.31% (Institutional Class)Ø ∞ | 9,791,848 | 9,791,848 | ||
Northern Institutional U.S. Government Portfolio (Shares), 1.12%Ø | 128,124,268 | 128,124,268 | ||
Total Money Market Funds (Cost $137,916,116) | 137,916,116 | |||
TOTAL INVESTMENTS —96.4% (Cost $335,567,010) | 325,474,119 | |||
COMMON STOCKS SOLD SHORT — (3.4)% | ||||
Communication Services — (0.2)% | ||||
Bandwidth, Inc. Class A * | (650) | (12,233) | ||
Cable One, Inc. | (117) | (150,851) | ||
DISH Network Corporation Class A * | (3,097) | (55,529) | ||
Magnite, Inc. * | (2,245) | (19,936) | ||
Snap, Inc. Class A * | (2,772) | (36,396) | ||
Spotify Technology SA * | (183) | (17,171) |
Shares | Value | |||
TripAdvisor, Inc. * | (3,329) | $ (59,256) | ||
Ziff Davis, Inc. * | (3,136) | (233,726) | ||
(585,098) | ||||
Consumer Discretionary — (0.4)% | ||||
Callaway Golf Co. * | (12,527) | (255,551) | ||
Cheesecake Factory, Inc. (The) | (3,860) | (101,981) | ||
Chegg, Inc. * | (2,400) | (45,072) | ||
Etsy, Inc. * | (806) | (59,007) | ||
Groupon, Inc. * | (1,345) | (15,199) | ||
Norwegian Cruise Line Holdings, Ltd. * | (6,510) | (72,391) | ||
Patrick Industries, Inc. | (1,780) | (92,275) | ||
Royal Caribbean Cruises, Ltd. * | (2,898) | (101,169) | ||
Stride, Inc. * | (8,696) | (354,710) | ||
Winnebago Industries, Inc. | (5,072) | (246,297) | ||
(1,343,652) | ||||
Consumer Staples — (0.1)% | ||||
Beauty Health Co. (The) * | (11,381) | (146,360) | ||
Chefs' Warehouse, Inc. (The) * | (6,600) | (256,674) | ||
(403,034) | ||||
Energy — (0.2)% | ||||
Centennial Resource Development, Inc. Class A * | (63,636) | (380,543) | ||
Helix Energy Solutions Group, Inc. * | (18,597) | (57,651) | ||
Pioneer Natural Resources Co. | (1,563) | (348,674) | ||
SFL Corporation, Ltd. | (6,100) | (57,889) | ||
(844,757) | ||||
Financials — (0.3)% | ||||
Affiliated Managers Group, Inc. | (352) | (41,043) | ||
Cowen, Inc. Class A | (8,710) | (206,340) | ||
Encore Capital Group, Inc. * | (7,605) | (439,341) | ||
LendingTree, Inc. * | (178) | (7,800) | ||
PRA Group, Inc. * | (3,891) | (141,477) | ||
SoFi Technologies, Inc. * | (8,889) | (46,845) | ||
Upstart Holdings, Inc. * | (618) | (19,541) | ||
WisdomTree Investments, Inc. | (45,565) | (231,014) | ||
(1,133,401) | ||||
Health Care — (0.3)% | ||||
Coherus Biosciences, Inc. * | (14,623) | (105,870) | ||
CONMED Corporation | (1,120) | (107,251) | ||
CryoPort, Inc. * | (2,014) | (62,394) | ||
Exact Sciences Corporation * | (2,566) | (101,075) | ||
Haemonetics Corporation * | (821) | (53,513) | ||
Halozyme Therapeutics, Inc. * | (3,545) | (155,980) | ||
Innoviva, Inc. * | (5,280) | (77,933) | ||
Insmed, Inc. * | (13,311) | (262,493) | ||
Ligand Pharmaceuticals, Inc. * | (62) | (5,531) | ||
(932,040) | ||||
Industrials — (0.6)% | ||||
Air Transport Services Group, Inc. * | (14,340) | (411,988) | ||
Array Technologies, Inc. * | (17,914) | (197,233) | ||
Bloom Energy Corporation Class A * | (10,344) | (170,676) | ||
Fluor Corporation * | (20,715) | (504,203) |
Shares | Value | |||
Greenbrier Cos., Inc. (The) | (5,749) | $ (206,907) | ||
Kaman Corporation | (1,406) | (43,937) | ||
RBC Bearings, Inc. * | (707) | (130,760) | ||
Southwest Airlines Co. * | (4,269) | (154,196) | ||
Spirit Airlines, Inc. * | (2,651) | (63,200) | ||
Upwork, Inc. * | (3,840) | (79,411) | ||
(1,962,511) | ||||
Information Technology — (0.8)% | ||||
8x8, Inc. * | (1,920) | (9,888) | ||
Bentley Systems, Inc. Class B | (2,824) | (94,039) | ||
BigCommerce Holdings, Inc. Series 1 * | (2,139) | (34,652) | ||
Blackline, Inc. * | (948) | (63,137) | ||
Ceridian HCM Holding, Inc. * | (2,010) | (94,631) | ||
DigitalOcean Holdings, Inc. * | (863) | (35,694) | ||
Enphase Energy, Inc. * | (1,294) | (252,641) | ||
Envestnet, Inc. * | (1,974) | (104,168) | ||
Everbridge, Inc. * | (768) | (21,419) | ||
I3 Verticals, Inc. Class A * | (3,908) | (97,778) | ||
II-VI, Inc. * | (4,131) | (210,474) | ||
Impinj, Inc. * | (1,390) | (81,551) | ||
Infinera Corporation * | (19,844) | (106,364) | ||
LivePerson, Inc. * | (2,910) | (41,147) | ||
Lumentum Holdings, Inc. * | (1,326) | (105,311) | ||
MACOM Technology Solutions Holdings, Inc. * | (2,217) | (102,204) | ||
Mitek Systems, Inc. * | (9,504) | (87,817) | ||
NCR Corporation * | (5,464) | (169,985) | ||
New Relic, Inc. * | (450) | (22,522) | ||
OSI Systems, Inc. * | (198) | (16,917) | ||
Perficient, Inc. * | (994) | (91,140) | ||
Progress Software Corporation | (5,462) | (247,429) | ||
Q2 Holdings, Inc. * | (1,141) | (44,008) | ||
RingCentral, Inc. Class A * | (626) | (32,715) | ||
Sabre Corporation * | (33,400) | (194,722) | ||
Splunk, Inc. * | (541) | (47,857) | ||
Unity Software, Inc. * | (518) | (19,073) | ||
Verint Systems, Inc. * | (5,078) | (215,053) | ||
Wolfspeed, Inc. * | (668) | (42,385) | ||
Workiva, Inc. * | (2,254) | (148,741) | ||
(2,835,462) | ||||
Real Estate — (0.3)% | ||||
Anywhere Real Estate, Inc. * | (9,790) | (96,236) | ||
iStar, Inc. REIT | (13,154) | (180,341) | ||
Pebblebrook Hotel Trust REIT | (16,123) | (267,158) | ||
Summit Hotel Properties, Inc. REIT * | (30,923) | (224,810) | ||
Zillow Group, Inc. Class C * | (3,205) | (101,759) | ||
(870,304) | ||||
Utilities — (0.2)% | ||||
NRG Energy, Inc. | (12,587) | (480,446) |
Shares | Value | |||
Sunnova Energy International, Inc. * | (7,270) | $ (133,986) | ||
(614,432) | ||||
Total Common Stocks Sold Short (Proceeds $(14,838,756)) | (11,524,691) | |||
FOREIGN COMMON STOCKS SOLD SHORT — (0.1)% | ||||
Canada — (0.1)% | ||||
Algonquin Power & Utilities Corporation | (14,499) | (194,722) | ||
Ireland — (0.0)% | ||||
Jazz Pharmaceuticals PLC * | (843) | (131,516) | ||
Total Foreign Common Stocks Sold Short (Proceeds $(342,174)) | (326,238) | |||
TOTAL SECURITIES SOLD SHORT —(3.5)% (Proceeds $(15,180,930)) | (11,850,929) |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.0)% | ||||
Call Options — (0.0)% | ||||
Exact Sciences, Inc., Strike Price $65.00, Expires 07/15/22 (Evercore) | (14) | $ (55,146) | (140) | |
II-VI, Inc., Strike Price $70.00, Expires 07/15/22 (Evercore) | (11) | (56,045) | (132) | |
(272) | ||||
Call Swaptions — (0.0)% | ||||
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) | (102) | |
Pay 0.42% (Annually); Receive 1-Day SONIA (Annually); Interest Rate Swap Maturing 10/10/2032 GBP, Strike Price $0.42, Expires 11/15/22 (CITI) | (1) | (780,000) | (109) |
Number of Contracts | Notional Amount | Value | |||
Pay 0.55% (Annually); Receive 1-Day SONIA (Annually); Interest Rate Swap Maturing 11/15/2032 GBP, Strike Price $0.55, Expires 11/16/22 (CITI) | (1) | $ (900,000) | $ (469) | ||
Pay 0.60% (Annually); Receive 1-Day SONIA (Annually); Interest Rate Swap Maturing 11/16/2032 GBP, Strike Price $0.60, Expires 07/20/22 (MSCS) | (1) | (820,000) | (499) | ||
Pay 1.59% (Annually); Receive 1-Day SOFR (Annually); Interest Rate Swap Maturing 7/14/2032 USD, Strike Price $1.59, Expires 08/19/22 (CITI) | (1) | (2,440,000) | — | ||
(1,179) | |||||
Total Written Options (Premiums received $ (145,197)) | (1,451) | ||||
Other Assets in Excess of Liabilities — 7.1% | 23,961,098 | ||||
NET ASSETS — 100.0% | $337,582,837 |
% | |
Money Market Funds | 40.9 |
U.S. Treasury Obligations | 28.8 |
Corporate Bonds | 13.3 |
Mortgage-Backed Securities | 4.5 |
Financials | 2.5 |
Materials | 1.8 |
Information Technology | 1.4 |
Consumer Discretionary | 1.3 |
Consumer Staples | 0.8 |
Mutual Funds | 0.5 |
Foreign Bonds | 0.3 |
Industrials | 0.2 |
Utilities | 0.1 |
Written Options | —** |
Purchased Options | —** |
Communication Services | —** |
Foreign Common Stocks Sold Short | (0.1) |
Common Stocks Sold Short | (3.4) |
92.9 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 09/2022 | (7) | $ (911,014) | $ (1,698) | ||||
Euro-Bund | 09/2022 | (2) | (311,828) | (3,174) | ||||
Euro-OAT | 09/2022 | (1) | (145,173) | 2,141 | ||||
FTSE KLCI | 09/2022 | (1) | (129,024) | (169) | ||||
DJIA E-Mini Dow | 09/2022 | 40 | 6,156,200 | (416,400) | ||||
S&P 500® E-Mini | 09/2022 | (38) | (7,200,050) | 511,348 | ||||
Australian Dollars/U.S. Dollars | 09/2022 | (249) | (17,208,390) | 719,110 | ||||
British Pounds/U.S. Dollars | 09/2022 | (2) | (152,487) | 4,119 | ||||
Mexican Pesos/U.S. Dollars | 09/2022 | 9 | 220,320 | (4,005) | ||||
New Zealand Dollars/U.S. Dollars | 09/2022 | (3) | (187,260) | 5,415 | ||||
South African Rand/U.S. Dollars | 09/2022 | (3) | (91,312) | 4,950 | ||||
Swiss Francs/U.S. Dollars | 09/2022 | (1) | (131,794) | (3,200) | ||||
U.S. Dollars/Czech Republic Koruna | 09/2022 | 1 | 101,008 | 1,597 | ||||
U.S. Dollars/Norwegian Kroner | 09/2022 | 5 | 499,193 | 18,811 | ||||
U.S. Dollars/Swedish Kronor | 09/2022 | 1 | 99,718 | 4,269 | ||||
10-Year U.S. Treasury Note | 09/2022 | 406 | 48,123,688 | (344,417) | ||||
Canadian Dollars/U.S. Dollars | 09/2022 | (3) | (233,100) | 5,670 | ||||
Euro/U.S. Dollars | 09/2022 | (197) | (25,949,825) | 473,596 | ||||
Japanese Yen/U.S. Dollars | 09/2022 | (2) | (185,387) | 2,504 | ||||
U.S. Treasury Long Bond | 09/2022 | (9) | (1,247,625) | (3,034) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2022 | (284) | $(36,174,500) | $ 442,520 | ||||
Ultra Long U.S. Treasury Bond | 09/2022 | (9) | (1,389,094) | (4,517) | ||||
10-Year Bond | 09/2022 | (11) | (1,059,579) | 23,357 | ||||
Long GILT | 09/2022 | (68) | (9,434,855) | 403,230 | ||||
2-Year U.S. Treasury Note | 10/2022 | (25) | (5,250,391) | 25,346 | ||||
5-Year U.S. Treasury Note | 10/2022 | (151) | (16,949,750) | (108,997) | ||||
Total Futures Contracts outstanding at June 30, 2022 | $(69,142,311) | $1,758,372 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/01/22 | U.S. Dollars | 2,641,520 | Swedish Kronor | 24,809,965 | MSCS | $216,245 | ||||||
07/14/22 | U.S. Dollars | 2,545,712 | Australian Dollars | 3,446,267 | MSCS | 166,671 | ||||||
09/21/22 | U.S. Dollars | 3,923,139 | New Zealand Dollars | 6,068,434 | MSCS | 136,819 | ||||||
07/20/22 | U.S. Dollars | 1,306,068 | Norwegian Kroner | 11,572,280 | MSCS | 130,729 | ||||||
09/21/22 | U.S. Dollars | 3,650,173 | Euro | 3,402,420 | MSCS | 62,821 | ||||||
09/21/22 | U.S. Dollars | 2,145,014 | British Pounds | 1,711,283 | MSCS | 58,436 | ||||||
09/21/22 | Swiss Francs | 1,389,665 | Euro | 1,334,029 | MSCS | 58,123 | ||||||
07/21/22 | U.S. Dollars | 1,365,337 | South African Rand | 21,606,540 | MSCS | 40,201 | ||||||
07/08/22 | U.S. Dollars | 1,906,731 | Taiwan Dollars | 55,568,884 | MSCS | 36,843 | ||||||
07/28/22 | U.S. Dollars | 3,989,314 | Euro | 3,766,862 | MSCS | 34,321 | ||||||
07/15/22 | U.S. Dollars | 418,629 | Japanese Yen | 53,421,888 | MSCS | 24,530 | ||||||
09/21/22 | U.S. Dollars | 600,665 | Hungarian Forint | 222,479,714 | MSCS | 20,755 | ||||||
07/21/22 | U.S. Dollars | 512,089 | Czech Republic Koruna | 11,639,634 | MSCS | 20,614 | ||||||
07/29/22 | U.S. Dollars | 1,276,550 | Indian Rupees | 99,585,934 | MSCS | 19,231 | ||||||
07/21/22 | U.S. Dollars | 1,445,211 | Canadian Dollars | 1,838,053 | MSCS | 17,308 | ||||||
09/26/22 | U.S. Dollars | 2,448,951 | Swedish Kronor | 24,809,965 | MSCS | 14,341 | ||||||
09/21/22 | Swiss Francs | 589,335 | U.S. Dollars | 607,725 | MSCS | 13,415 | ||||||
09/22/22 | U.S. Dollars | 1,825,589 | British Pounds | 1,486,211 | MSCS | 13,406 | ||||||
09/21/22 | U.S. Dollars | 313,079 | Israeli Shekels | 1,041,152 | MSCS | 13,161 | ||||||
09/21/22 | Swiss Francs | 240,401 | British Pounds | 197,446 | MSCS | 12,627 | ||||||
09/21/22 | U.S. Dollars | 266,900 | Polish Zloty | 1,153,426 | MSCS | 12,539 | ||||||
09/21/22 | U.S. Dollars | 1,008,059 | Swedish Kronor | 10,160,899 | MSCS | 11,194 | ||||||
09/02/22 | Hungarian Forint | 298,707,106 | U.S. Dollars | 769,841 | MSCS | 11,119 | ||||||
08/08/22 | U.S. Dollars | 534,250 | Colombian Pesos | 2,189,151,976 | MSCS | 10,700 | ||||||
07/20/22 | Swiss Francs | 695,525 | U.S. Dollars | 720,232 | MSCS | 9,263 | ||||||
09/23/22 | U.S. Dollars | 825,070 | Mexican Pesos | 16,714,043 | MSCS | 7,229 | ||||||
08/22/22 | U.S. Dollars | 328,206 | Indonesian Rupiahs | 4,817,083,089 | MSCS | 6,579 | ||||||
09/21/22 | U.S. Dollars | 342,338 | Czech Republic Koruna | 8,041,357 | MSCS | 5,580 | ||||||
08/05/22 | U.S. Dollars | 50,335 | Chilean Pesos | 41,903,667 | MSCS | 5,044 | ||||||
09/21/22 | U.S. Dollars | 94,388 | South African Rand | 1,471,050 | MSCS | 4,748 | ||||||
07/21/22 | Canadian Dollars | 547,276 | U.S. Dollars | 421,184 | MSCS | 3,971 | ||||||
09/21/22 | Euro | 582,188 | New Zealand Dollars | 978,452 | MSCS | 3,339 | ||||||
09/21/22 | Canadian Dollars | 319,763 | Euro | 232,633 | MSCS | 3,175 | ||||||
09/21/22 | Euro | 183,910 | Norwegian Kroner | 1,877,827 | MSCS | 2,895 | ||||||
09/21/22 | Euro | 612,389 | Swedish Kronor | 6,552,410 | MSCS | 2,829 | ||||||
08/04/22 | U.S. Dollars | 254,028 | New Zealand Dollars | 402,507 | MSCS | 2,722 | ||||||
09/21/22 | U.S. Dollars | 444,007 | Singapore Dollars | 613,163 | MSCS | 2,405 | ||||||
09/21/22 | Norwegian Kroner | 1,757,946 | U.S. Dollars | 176,749 | MSCS | 2,067 | ||||||
09/21/22 | Japanese Yen | 33,412,195 | Canadian Dollars | 316,433 | MSCS | 1,890 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/21/22 | Euro | 412,759 | Canadian Dollars | 557,898 | MSCS | $ 1,714 | ||||||
09/21/22 | Hungarian Forint | 75,985,588 | Euro | 186,231 | MSCS | 1,708 | ||||||
09/21/22 | Singapore Dollars | 358,475 | Euro | 243,923 | MSCS | 993 | ||||||
07/05/22 | U.S. Dollars | 203,814 | Brazilian Reals | 1,063,761 | MSCS | 873 | ||||||
08/02/22 | U.S. Dollars | 245,515 | Brazilian Reals | 1,293,988 | MSCS | 818 | ||||||
07/05/22 | Brazilian Reals | 515,855 | U.S. Dollars | 97,681 | MSCS | 732 | ||||||
07/28/22 | Turkish Lira | 3,341,701 | U.S. Dollars | 196,080 | MSCS | 726 | ||||||
09/21/22 | U.S. Dollars | 29,085 | Canadian Dollars | 36,650 | MSCS | 608 | ||||||
07/08/22 | Taiwan Dollars | 7,352,885 | U.S. Dollars | 247,040 | MSCS | 385 | ||||||
07/20/22 | U.S. Dollars | 65,398 | Swiss Francs | 62,037 | MSCS | 331 | ||||||
09/21/22 | Chinese Offshore Yuan | 1,662,830 | U.S. Dollars | 248,000 | MSCS | 301 | ||||||
09/21/22 | U.S. Dollars | 125,842 | Chinese Offshore Yuan | 841,306 | MSCS | 214 | ||||||
09/21/22 | U.S. Dollars | 97,634 | Mexican Pesos | 1,991,047 | MSCS | 173 | ||||||
09/21/22 | Czech Republic Koruna | 2,362,842 | Euro | 93,708 | MSCS | 151 | ||||||
07/22/22 | U.S. Dollars | 73,726 | Hong Kong Dollars | 577,594 | MSCS | 62 | ||||||
07/29/22 | U.S. Dollars | 757,854 | Polish Zloty | 3,410,710 | MSCS | 41 | ||||||
Subtotal Appreciation | $1,229,715 | |||||||||||
09/21/22 | Swiss Francs | 233,167 | U.S. Dollars | 245,816 | MSCS | $ (66) | ||||||
09/21/22 | Chinese Offshore Yuan | 1,646,928 | U.S. Dollars | 246,000 | MSCS | (74) | ||||||
09/21/22 | Swedish Kronor | 1,035,552 | Euro | 96,436 | MSCS | (82) | ||||||
07/29/22 | Polish Zloty | 2,599,042 | U.S. Dollars | 577,566 | MSCS | (94) | ||||||
09/21/22 | Euro | 97,447 | Czech Republic Koruna | 2,458,576 | MSCS | (218) | ||||||
09/21/22 | Euro | 238,355 | British Pounds | 206,301 | MSCS | (234) | ||||||
07/05/22 | Brazilian Reals | 547,906 | U.S. Dollars | 104,903 | MSCS | (375) | ||||||
07/22/22 | Singapore Dollars | 103,302 | U.S. Dollars | 74,921 | MSCS | (564) | ||||||
09/21/22 | Canadian Dollars | 629,923 | Euro | 464,803 | MSCS | (624) | ||||||
09/21/22 | Euro | 239,812 | Hungarian Forint | 97,418,959 | MSCS | (1,083) | ||||||
09/21/22 | Japanese Yen | 32,951,434 | U.S. Dollars | 245,587 | MSCS | (1,248) | ||||||
09/21/22 | U.S. Dollars | 503,847 | Chinese Offshore Yuan | 3,382,681 | MSCS | (1,269) | ||||||
08/02/22 | Brazilian Reals | 1,578,153 | U.S. Dollars | 299,728 | MSCS | (1,293) | ||||||
07/20/22 | Swiss Francs | 242,484 | U.S. Dollars | 255,622 | MSCS | (1,295) | ||||||
09/21/22 | U.S. Dollars | 247,901 | Euro | 236,813 | MSCS | (1,784) | ||||||
08/05/22 | Chilean Pesos | 44,104,039 | U.S. Dollars | 49,757 | MSCS | (2,088) | ||||||
09/21/22 | Euro | 230,771 | Japanese Yen | 33,141,054 | MSCS | (2,431) | ||||||
09/21/22 | Japanese Yen | 33,727,950 | Euro | 239,746 | MSCS | (2,680) | ||||||
09/23/22 | U.S. Dollars | 414,751 | South Korean Won | 537,028,045 | MSCS | (2,795) | ||||||
09/21/22 | British Pounds | 401,000 | U.S. Dollars | 493,097 | MSCS | (4,155) | ||||||
09/21/22 | Hungarian Forint | 167,470,247 | Euro | 418,330 | MSCS | (4,545) | ||||||
09/21/22 | U.S. Dollars | 960,285 | Australian Dollars | 1,397,000 | MSCS | (4,677) | ||||||
09/21/22 | New Zealand Dollars | 779,000 | U.S. Dollars | 491,881 | MSCS | (5,834) | ||||||
09/22/22 | British Pounds | 700,873 | U.S. Dollars | 860,918 | MSCS | (6,322) | ||||||
08/08/22 | Colombian Pesos | 2,232,401,280 | U.S. Dollars | 540,546 | MSCS | (6,654) | ||||||
08/22/22 | Indonesian Rupiahs | 3,843,068,546 | U.S. Dollars | 263,969 | MSCS | (7,375) | ||||||
09/21/22 | Mexican Pesos | 9,147,523 | U.S. Dollars | 457,068 | MSCS | (9,300) | ||||||
09/23/22 | Mexican Pesos | 24,589,541 | U.S. Dollars | 1,213,835 | MSCS | (10,636) | ||||||
09/21/22 | Polish Zloty | 1,071,433 | U.S. Dollars | 246,971 | MSCS | (10,692) | ||||||
09/21/22 | South African Rand | 3,104,583 | U.S. Dollars | 200,334 | MSCS | (11,153) | ||||||
09/21/22 | Singapore Dollars | 1,926,326 | U.S. Dollars | 1,398,848 | MSCS | (11,502) | ||||||
08/04/22 | New Zealand Dollars | 1,455,649 | U.S. Dollars | 920,617 | MSCS | (11,781) | ||||||
07/29/22 | Indian Rupees | 71,845,100 | U.S. Dollars | 919,858 | MSCS | (12,781) | ||||||
09/02/22 | U.S. Dollars | 862,392 | Hungarian Forint | 335,154,000 | MSCS | (13,857) | ||||||
09/21/22 | Euro | 1,062,059 | U.S. Dollars | 1,134,174 | MSCS | (14,389) | ||||||
09/26/22 | Swedish Kronor | 25,341,305 | U.S. Dollars | 2,501,399 | MSCS | (14,648) | ||||||
07/15/22 | Japanese Yen | 35,219,353 | U.S. Dollars | 275,989 | MSCS | (16,172) | ||||||
09/21/22 | Canadian Dollars | 1,002,000 | U.S. Dollars | 797,665 | MSCS | (19,122) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/21/22 | Canadian Dollars | 2,069,633 | U.S. Dollars | 1,627,297 | MSCS | $ (19,488) | ||||||
07/21/22 | Czech Republic Koruna | 11,517,557 | U.S. Dollars | 506,718 | MSCS | (20,398) | ||||||
07/08/22 | Taiwan Dollars | 36,126,802 | U.S. Dollars | 1,237,470 | MSCS | (21,805) | ||||||
09/21/22 | Euro | 1,018,306 | Swiss Francs | 1,047,870 | MSCS | (30,767) | ||||||
07/28/22 | Euro | 4,579,688 | U.S. Dollars | 4,846,517 | MSCS | (38,102) | ||||||
09/21/22 | Norwegian Kroner | 19,478,126 | U.S. Dollars | 2,047,346 | MSCS | (66,056) | ||||||
09/21/22 | U.S. Dollars | 703,346 | Turkish Lira | 14,078,131 | MSCS | (80,554) | ||||||
09/21/22 | Australian Dollars | 3,189,433 | U.S. Dollars | 2,294,504 | MSCS | (91,439) | ||||||
07/20/22 | Norwegian Kroner | 8,140,243 | U.S. Dollars | 918,722 | MSCS | (91,958) | ||||||
09/21/22 | Swedish Kronor | 19,764,058 | U.S. Dollars | 2,031,312 | MSCS | (92,298) | ||||||
07/14/22 | Australian Dollars | 5,069,929 | U.S. Dollars | 3,692,568 | MSCS | (192,672) | ||||||
07/01/22 | Swedish Kronor | 25,341,305 | U.S. Dollars | 2,698,093 | MSCS | (220,876) | ||||||
Subtotal Depreciation | $(1,182,305) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2022 | $ 47,410 |
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 | ||||||||||||||||
3.00% (Quarterly) | 3-Month Malaysia Interbank Rate (Quarterly) | 6/15/2024 | BOA | MYR | 28,330,000 | $59,615 | $(2,630) | $62,245 | ||||||||
$59,615 | $(2,630) | $62,245 |
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 | $ 3,424 | $ (298) | $ 3,722 | |||||||
5.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 11,831,599 | 132,007 | 7,701 | 124,306 | |||||||
1.00% (Semiannually) | 3-Month CDOR (Semiannually) | 3/16/2024 | CAD | 3,440,000 | 113,383 | 56,321 | 57,062 | |||||||
3.00% (Quarterly) | 3-Month KWCDC (Quarterly) | 6/15/2024 | KRW | 5,017,150,000 | 32,445 | 11,314 | 21,131 | |||||||
1-Month LIBOR + .09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 68,000,000 | 25,037 | 22,829 | 2,208 | |||||||
1-Day ESTR (Annually) | 1.00% (Annually) | 9/21/2024 | EUR | 2,980,000 | (21,543) | (39,299) | 17,756 | |||||||
2.75% (Annually) | 6-Month NIBOR (Semiannually) | 9/21/2024 | NOK | 83,670,000 | 97,669 | 75,397 | 22,272 | |||||||
3.20% (Quarterly) | 3-Month HIBOR (Quarterly) | 9/21/2024 | HKD | 89,710,000 | 13,986 | (35,290) | 49,276 | |||||||
7.00% (Quarterly) | 3-Month JIBAR (Quarterly) | 9/21/2024 | ZAR | 62,475,000 | 47,321 | 13,690 | 33,631 | |||||||
7.50% (Annually) | 6-Month WIBOR (Semiannually) | 9/21/2024 | PLN | 12,200,000 | 14,477 | 2,551 | 11,926 | |||||||
8.50% (Annually) | 6-Month BUBOR (Semiannually) | 9/21/2024 | HUF | 686,975,000 | 47,313 | 6,419 | 40,894 | |||||||
9.60% (Quarterly) | 1-Day COP-IBR-OIS (Quarterly) | 9/21/2024 | COP | 8,294,680,000 | 6,412 | 4,347 | 2,065 | |||||||
0.27% (Annually) | 1-Day SONIA (Annually) | 6/17/2025 | GBP | 10,000 | 794 | (174) | 968 | |||||||
2.59% (Annually) | 1-Day SOFR (Annually) | 11/30/2026 | USD | 21,640,000 | 164,343 | 2,657 | 161,686 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 8.50% (Upon termination) | 1/4/2027 | BRL | 5,399,512 | 170,598 | (19,070) | 189,668 | |||||||
(0.25)% (Annually) | 1-Day ESTR (Annually) | 9/21/2027 | EUR | 2,450,000 | 234,587 | 210,579 | 24,008 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 3.75% (Semiannually) | 9/21/2027 | NZD | 9,130,000 | (88,622) | (94,555) | 5,933 | |||||||
6.90% (Semiannually) | 1-Day CLP-TNA (Semiannually) | 9/21/2027 | CLP | 1,827,960,000 | 25,518 | — | 25,518 | |||||||
6-Month ASX BBSW (Semiannually) | 3.50% (Semiannually) | 9/21/2027 | AUD | 11,630,000 | (159,559) | (166,425) | 6,866 | |||||||
2.42% (Annually) | 6-Month EURIBOR (Semiannually) | 7/4/2029 | EUR | 4,210,000 | (3,095) | (3,095) | — | |||||||
2.57% (Annually) | 1-Day SOFR (Annually) | 6/4/2031 | USD | 42,270,000 | 134,305 | 40,613 | 93,692 | |||||||
1.90% (Annually) | 6-Month EURIBOR (Semiannually) | 4/27/2032 | EUR | 2,040,000 | 62,795 | — | 62,795 | |||||||
1.75% (Annually) | 1-Day ESTR (Annually) | 5/17/2032 | EUR | 8,950,000 | 216,724 | 21,953 | 194,771 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 5/26/2032 | JPY | 818,000,000 | $ 63,889 | $ 9,595 | $ 54,294 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 9.03% (Lunar) | 9/8/2032 | MXN | 83,795,000 | 29,787 | (32,362) | 62,149 | |||||||
0.00% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 9/21/2032 | JPY | 290,610,000 | 99,399 | 97,822 | 1,577 | |||||||
2.50% (Annually) | 3-Month STIBOR (Quarterly) | 9/21/2032 | SEK | 54,240,000 | 159,705 | 142,778 | 16,927 | |||||||
3.75% (Semiannually) | 3-Month New Zealand BBR FRA (Quarterly) | 9/21/2032 | NZD | 760,000 | 15,370 | 15,218 | 152 | |||||||
3-Month CDOR (Semiannually) | 3.25% (Semiannually) | 9/21/2032 | CAD | 3,790,000 | (111,571) | (118,526) | 6,955 | |||||||
6-Month ASX BBSW (Semiannually) | 3.75% (Semiannually) | 9/21/2032 | AUD | 540,000 | (11,940) | (21,079) | 9,139 | |||||||
6-Month WIBOR (Semiannually) | 6.25% (Annually) | 9/21/2032 | PLN | 4,675,000 | (25,825) | (27,829) | 2,004 | |||||||
7.00% (Annually) | 6-Month BUBOR (Semiannually) | 9/21/2032 | HUF | 450,725,000 | 65,957 | 16,479 | 49,478 | |||||||
1.36% (Annually) | 6-Month EURIBOR (Semiannually) | 4/27/2042 | EUR | 2,540,000 | 55,777 | — | 55,777 | |||||||
1.87% (Annually) | 6-Month EURIBOR (Semiannually) | 6/15/2042 | EUR | 10,920,000 | 34,181 | 10,297 | 23,884 | |||||||
6-Month EURIBOR (Semiannually) | 1.49% (Annually) | 6/16/2047 | EUR | 6,240,000 | 28,384 | (5,938) | 34,322 | |||||||
1.33% (Annually) | 6-Month EURIBOR (Semiannually) | 5/17/2052 | EUR | 2,880,000 | 218,995 | 68,232 | 150,763 | |||||||
1.56% (Annually) | 6-Month EURIBOR (Semiannually) | 7/6/2052 | EUR | 2,480,000 | (214) | (214) | — | |||||||
Subtotal Appreciation | $1,892,213 | $ 272,638 | $1,619,575 | |||||||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 12/15/2022 | NZD | 3,850,000 | $ (24,476) | $ (4,266) | $ (20,210) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.20% (Upon termination) | 1/2/2023 | BRL | 4,961,331 | (45,363) | 487 | (45,850) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 10.57% (Upon termination) | 1/2/2023 | BRL | 1,667,474 | (4,390) | — | (4,390) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.30% (Upon termination) | 1/2/2024 | BRL | 1,496,045 | (1,397) | 1,905 | (3,302) | |||||||
3.50% (Annually) | 1-Day SOFR (Annually) | 3/16/2024 | USD | 12,770,000 | (70,713) | 5,754 | (76,467) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 2.75% (Semiannually) | 3/16/2024 | NZD | 24,140,000 | (212,492) | 52,420 | (264,912) | |||||||
9.50% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 9/18/2024 | MXN | 154,000,000 | 14,800 | 17,859 | (3,059) | |||||||
1.75% (Annually) | 3-Month EURIBOR (Quarterly) | 9/21/2024 | EUR | 10,080,000 | (38,600) | 31,458 | (70,058) | |||||||
1-Day SOFR (Annually) | 2.80% (Annually) | 9/21/2024 | USD | 11,300,000 | (48,287) | 4,886 | (53,173) | |||||||
2.00% (Annually) | 1-Day SONIA (Annually) | 9/21/2024 | GBP | 2,560,000 | 44,186 | 61,733 | (17,547) | |||||||
2.50% (Annually) | 3-Month TELBOR (Quarterly) | 9/21/2024 | ILS | 53,000,000 | 96,532 | 223,313 | (126,781) | |||||||
3-Month STIBOR (Quarterly) | 2.25% (Annually) | 9/21/2024 | SEK | 212,500,000 | (218,386) | (160,329) | (58,057) | |||||||
6.00% (Annually) | 6-Month PRIBOR (Semiannually) | 9/21/2024 | CZK | 215,175,000 | 74,343 | 120,469 | (46,126) | |||||||
8.20% (Semiannually) | 1-Day CLP-TNA (Semiannually) | 9/21/2024 | CLP | 2,178,030,000 | (11,119) | 453 | (11,572) | |||||||
7.50% (Semiannually) | 1-Day MIBOR (Semiannually) | 12/21/2024 | INR | 183,730,000 | (20,347) | (16,590) | (3,757) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 12/21/2024 | CNY | 16,210,000 | 4,108 | 6,356 | (2,248) | |||||||
12.06% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 27,076,718 | (75,432) | 26,483 | (101,915) | |||||||
11.23% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 4,339,678 | (41,338) | 10,418 | (51,756) | |||||||
1.75% (Annually) | 1-Day SONIA (Annually) | 9/21/2027 | GBP | 3,520,000 | 150,024 | 157,779 | (7,755) | |||||||
2.75% (Annually) | 1-Day SOFR (Annually) | 9/21/2027 | USD | 15,370,000 | 27,162 | 109,946 | (82,784) | |||||||
3-Month STIBOR (Quarterly) | 2.50% (Annually) | 9/21/2027 | SEK | 88,170,000 | (121,111) | (80,421) | (40,690) | |||||||
5.00% (Annually) | 6-Month PRIBOR (Semiannually) | 9/21/2027 | CZK | 66,225,000 | 44,241 | 120,192 | (75,951) | |||||||
6-Month BUBOR (Semiannually) | 7.50% (Annually) | 9/21/2027 | HUF | 1,096,000,000 | (107,515) | (25,400) | (82,115) | |||||||
7.00% (Annually) | 6-Month WIBOR (Semiannually) | 9/21/2027 | PLN | 13,225,000 | (18,949) | 14,871 | (33,820) | |||||||
2.50% (Quarterly) | 7-Day CFETS Repo Rate (Quarterly) | 12/21/2027 | CNY | 9,670,000 | 12,469 | 15,656 | (3,187) | |||||||
7.50% (Semiannually) | 1-Day MIBOR (Semiannually) | 12/21/2027 | INR | 329,280,000 | (74,152) | (47,964) | (26,188) | |||||||
1-Day SOFR (Annually) | 2.50% (Annually) | 6/4/2029 | USD | 16,030,000 | (61,151) | (11,050) | (50,101) | |||||||
1-Day SONIA (Annually) | 0.31% (Annually) | 6/17/2030 | GBP | 10,000 | (1,784) | 307 | (2,091) | |||||||
1-Day SOFR (Annually) | 2.73% (Annually) | 5/15/2032 | USD | 10,520,000 | (26,271) | 60,598 | (86,869) | |||||||
6-Month EURIBOR (Semiannually) | 2.13% (Annually) | 5/17/2032 | EUR | 8,950,000 | (183,264) | (910) | (182,354) | |||||||
6-Month EURIBOR (Semiannually) | 2.00% (Annually) | 5/26/2032 | EUR | 3,330,000 | (88,104) | (23,944) | (64,160) | |||||||
1-Day SONIA (Annually) | 2.00% (Annually) | 6/7/2032 | GBP | 8,040,000 | (288,035) | 74,018 | (362,053) | |||||||
1.50% (Annually) | 1-Day SONIA (Annually) | 9/21/2032 | GBP | 2,510,000 | 225,777 | 245,260 | (19,483) | |||||||
2.75% (Annually) | 3-Month TELBOR (Quarterly) | 9/21/2032 | ILS | 4,400,000 | 31,976 | 66,007 | (34,031) | |||||||
2.75% (Annually) | 1-Day SOFR (Annually) | 9/21/2032 | USD | 4,340,000 | 15,285 | 93,368 | (78,083) | |||||||
3-Month JIBAR (Quarterly) | 8.75% (Quarterly) | 9/21/2032 | ZAR | 18,150,000 | (33,879) | (6,196) | (27,683) | |||||||
6.50% (Semiannually) | 1-Day CLP-TNA (Semiannually) | 9/21/2032 | CLP | 635,620,000 | (13,183) | — | (13,183) |
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-Month EURIBOR (Semiannually) | 1.00% (Annually) | 9/21/2032 | EUR | 5,700,000 | $ (668,810) | $(651,575) | $ (17,235) | |||||||
6-Month NIBOR (Semiannually) | 3.00% (Annually) | 9/21/2032 | NOK | 14,230,000 | (35,882) | 11,728 | (47,610) | |||||||
6-Month PRIBOR (Semiannually) | 4.75% (Annually) | 9/21/2032 | CZK | 34,775,000 | (20,663) | (13,983) | (6,680) | |||||||
9.10% (Quarterly) | 1-Day COP-IBR-OIS (Quarterly) | 9/21/2032 | COP | 4,574,310,000 | (4,858) | 9,423 | (14,281) | |||||||
Swiss Average Overnight Rate (Annually) | 1.25% (Annually) | 9/21/2032 | CHF | 4,240,000 | (208,446) | (194,578) | (13,868) | |||||||
3.75% (Quarterly) | 3-Month KWCDC (Quarterly) | 12/21/2032 | KRW | 1,223,870,000 | (34,613) | (25,428) | (9,185) | |||||||
1-Day SOFR (Annually) | 2.73% (Annually) | 6/4/2033 | USD | 26,840,000 | (104,040) | (23,184) | (80,856) | |||||||
6-Month EURIBOR (Semiannually) | 2.01% (Annually) | 4/27/2037 | EUR | 4,440,000 | (142,816) | — | (142,816) | |||||||
6-Month EURIBOR (Semiannually) | 2.53% (Annually) | 6/15/2037 | EUR | 4,660,000 | (49,639) | (9,131) | (40,508) | |||||||
6-Month EURIBOR (Semiannually) | 2.86% (Annually) | 7/4/2037 | EUR | 5,060,000 | 2,327 | 2,327 | — | |||||||
1-Day SONIA (Annually) | 0.40% (Annually) | 6/17/2040 | GBP | 10,000 | (3,306) | 512 | (3,818) | |||||||
1-Day ESTR (Annually) | 1.36% (Annually) | 5/17/2052 | EUR | 2,880,000 | (224,828) | (82,461) | (142,367) | |||||||
Subtotal Depreciation | $(2,584,409) | $ 168,576 | $(2,752,985) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2022 | $ (692,196) | $ 441,214 | $(1,133,410) |
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 1-Month Libor plus or minus a specified spread(-294.30% to 0.15%), which is denominated in USD based on the local currencies of the positions within the swap (Monthly).* | 47-61 months maturity ranging from 05/26/2026 - 07/01/2027 | GSC | $165,890,263 | $2,529,854 | $— | $2,529,854 |
* The following table represents disclosures associated with the underlying components of the total return basket swap as of period end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
General Electric Co. | (15,663) | $997,263 | $ 148,083 | 5.85% | ||||
Alphabet, Inc. Class A | 397 | 865,166 | (32,619) | (1.29) | ||||
Ingersoll-Rand, Inc. | (18,662) | 785,297 | 112,364 | 4.44 | ||||
NextEra Energy, Inc. | (9,874) | 764,840 | (14,899) | (0.59) | ||||
Honeywell International, Inc. | (4,210) | 731,740 | 68,759 | 2.72 | ||||
Fortive Corporation | (13,066) | 710,529 | 85,636 | 3.38 | ||||
Adobe, Inc. | 1,924 | 704,299 | (99,364) | (3.93) | ||||
Schlumberger NV | 18,633 | 666,316 | (151,420) | (5.99) | ||||
Synchrony Financial | (23,991) | 662,631 | 123,353 | 4.88 | ||||
Graphic Packaging Holding Co. | (32,281) | 661,761 | 54,217 | 2.14 | ||||
Ventas, Inc. REIT | (12,759) | 656,195 | 25,018 | 0.99 | ||||
Facebook, Inc. Class A | 4,055 | 653,869 | (77,075) | (3.05) | ||||
Public Service Enterprise Group, Inc. | (10,134) | 641,280 | 11,890 | 0.47 | ||||
Lockheed Martin Corporation | 1,470 | 632,041 | (4,493) | (0.18) | ||||
Webster Financial Corporation | (14,931) | 629,342 | 81,760 | 3.23 | ||||
Robert Half International, Inc. | 8,269 | 619,265 | (81,138) | (3.21) | ||||
NVIDIA Corporation | (4,066) | 616,365 | 103,005 | 4.07 | ||||
LPL Financial Holdings, Inc. | (3,321) | 612,658 | 33,760 | 1.33 | ||||
Jabil, Inc. | (11,649) | 596,545 | 99,345 | 3.93 | ||||
Highwoods Properties, Inc. REIT | 17,325 | 592,342 | (32,446) | (1.28) | ||||
Nordson Corporation | 2,836 | 574,120 | (32,450) | (1.28) | ||||
Sirius XM Holdings, Inc. | 90,723 | 556,132 | (2,191) | (0.09) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
CMS Energy Corporation | 8,111 | $ 547,493 | $ (4,687) | (0.19)% | ||||
EOG Resources, Inc. | 4,917 | 543,033 | (132,480) | (5.24) | ||||
AT&T, Inc. | (25,808) | 540,936 | (1,685) | (0.07) | ||||
EQT Corporation | (15,722) | 540,837 | 182,347 | 7.21 | ||||
3M Co. | 4,169 | 539,510 | (56,025) | (2.21) | ||||
LKQ Corporation | (10,816) | 530,957 | 24,077 | 0.95 | ||||
SEI Investments Co. | 9,816 | 530,260 | (17,861) | (0.71) | ||||
Incyte Corporation | 6,959 | 528,675 | 21,856 | 0.86 | ||||
Boeing Co. (The) | (3,851) | 526,509 | (11,178) | (0.44) | ||||
Americold Realty Trust REIT | (17,364) | 521,615 | (6,870) | (0.27) | ||||
Gentex Corporation | 18,471 | 516,634 | (49,494) | (1.96) | ||||
Marvell Technology, Inc. | (11,837) | 515,265 | 125,101 | 4.94 | ||||
Cheniere Energy, Inc. | (3,849) | 512,032 | 14,797 | 0.58 | ||||
Northern Trust Corporation | (5,208) | 502,468 | 44,257 | 1.75 | ||||
Citizens Financial Group, Inc. | (14,070) | 502,158 | 40,104 | 1.59 | ||||
Grand Canyon Education, Inc. | 5,275 | 496,852 | 21,732 | 0.86 | ||||
Pinnacle Financial Partners, Inc. | 6,852 | 495,468 | (22,056) | (0.87) | ||||
Chemed Corporation | 1,053 | 494,268 | 228 | 0.01 | ||||
Hershey Co. (The) | 2,281 | 490,780 | 13,602 | 0.54 | ||||
Gartner, Inc. | 1,998 | 483,176 | (13,753) | (0.54) | ||||
New York Times Co. (The) Class A | 17,210 | 480,159 | (80,014) | (3.16) | ||||
Zoetis, Inc. | 2,788 | 479,229 | 18,376 | 0.73 | ||||
Cintas Corporation | 1,278 | 477,371 | (17,228) | (0.68) | ||||
Visa, Inc. Class A | 2,422 | 476,868 | (19,122) | (0.76) | ||||
Otis Worldwide Corporation | 6,701 | 473,560 | (31,599) | (1.25) | ||||
TransUnion | (5,902) | 472,101 | 5,921 | 0.23 | ||||
PepsiCo, Inc. | 2,831 | 471,814 | 17,887 | 0.71 | ||||
Tradeweb Markets, Inc. Class A | (6,874) | 469,151 | (2,312) | (0.09) | ||||
Other | (884,268) | 136,801,088 | 2,046,838 | 80.94 | ||||
$165,890,263 | $2,529,854 | 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 ^^ | 21,205,155 | 21,205,155 | — | — | |||
Total Common Stocks | 21,224,958 | 21,205,155 | — | 19,803 | |||
Corporate Bonds | 45,023,616 | — | 45,023,616 | — | |||
Foreign Bonds | 978,049 | — | 978,049 | — | |||
Foreign Common Stocks | 745,949 | 745,949 | — | — | |||
Foreign Preferred Stock | 296,080 | 296,080 | — | — | |||
Money Market Funds | 137,916,116 | 137,916,116 | — | — | |||
Mortgage-Backed Securities | 15,212,120 | — | 15,212,120 | — | |||
Mutual Funds | 1,700,601 | 1,700,601 | — | — | |||
Preferred Stocks: | |||||||
Financials | 4,160,591 | 3,802,617 | 357,974 | — | |||
Industrials | 712,611 | 712,611 | — | — | |||
Other ^^ | 326,670 | — | 326,670 | — | |||
Total Preferred Stocks | 5,199,872 | 4,515,228 | 684,644 | — | |||
Purchased Options: | |||||||
Call Swaptions | 572 | 572 | — | — | |||
U.S. Treasury Obligations | 97,176,186 | — | 97,176,186 | — | |||
Total Assets - Investments in Securities | $325,474,119 | $166,379,701 | $159,074,615 | $ 19,803 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 1,229,715 | $ — | $ 1,229,715 | $ — | |||
Futures Contracts | 2,647,983 | 2,647,983 | — | — | |||
Swap Agreements | 4,211,674 | — | 4,211,674 | — | |||
Total Assets - Other Financial Instruments | $ 8,089,372 | $ 2,647,983 | $ 5,441,389 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
Common Stocks Sold Short | $ (11,524,691) | $ (11,524,691) | $ — | $ — | |||
Foreign Common Stocks Sold Short | (326,238) | (326,238) | — | — | |||
Written Options: | |||||||
Call Options | (272) | (272) | — | — | |||
Call Swaptions | (1,179) | (1,179) | — | — | |||
Total Written Options | (1,451) | (1,451) | — | — | |||
Total Liabilities - Investments in Securities | $ (11,852,380) | $ (11,852,380) | $ — | $ — |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(1,182,305) | $ — | $(1,182,305) | $ — | |||
Futures Contracts | (889,611) | (889,611) | — | — | |||
Swap Agreements | (2,752,985) | — | (2,752,985) | — | |||
Total Liabilities - Other Financial Instruments | $(4,824,901) | $(889,611) | $(3,935,290) | $ — |
^^ | 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 | June 30, 2022 (Unaudited) |
Strategic Alternatives Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $315,682,271 |
Investments in securities of affiliated issuers, at value | 9,791,848 |
Total investments, at value(1) | 325,474,119 |
Cash | 15,886,921 |
Cash collateral for derivatives | 13,845,427 |
Deposits with broker for futures contracts | 9,501,398 |
Foreign currency(2) | 4,818 |
Upfront premiums paid from swap agreements | 438,584 |
Receivables: | |
Dividends and reclaims | 100,767 |
Interest | 252,451 |
From advisor | 61,895 |
Investment securities sold | 1,755,343 |
Fund shares sold | 968,093 |
Unrealized appreciation on foreign currency exchange contracts | 1,229,715 |
Unrealized appreciation on swap agreements | 2,592,099 |
Prepaid expenses and other assets | 37,137 |
Total Assets | 372,148,767 |
Liabilities | |
Securities sold short, at value(3) | 11,850,929 |
Options written, at value(4) | 1,451 |
Unrealized depreciation on foreign currency exchange contracts | 1,182,305 |
Collateral from counterparty | 5,255,389 |
Payables: | |
Investment securities purchased | 14,540,005 |
Fund shares redeemed | 320,066 |
Variation margin on centrally cleared swaps | 963,039 |
Variation margin on futures contracts | 629 |
Accrued expenses: | |
Investment advisory fees | 269,863 |
Shareholder servicing fees | 13,012 |
Trustee fees | 949 |
Other expenses | 168,293 |
Total Liabilities | 34,565,930 |
Net Assets | $337,582,837 |
Net Assets Consist of: | |
Paid-in-capital | $335,674,296 |
Distributable earnings (loss) | 1,908,541 |
Net Assets | $337,582,837 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $274,674,381 |
Institutional shares outstanding | 27,105,474 |
Net asset value, offering and redemption price per Institutional share | $ 10.13 |
Net assets applicable to the Investor Class | $ 62,908,456 |
Investor shares outstanding | 6,251,796 |
Net asset value, offering and redemption price per Investor share | $ 10.06 |
(1)Investments in securities of unaffiliated issuers, at cost | $325,775,162 |
Investments in securities of affiliated issuers, at cost | 9,791,848 |
Total investments, at cost | $335,567,010 |
(2)Foreign currency, at cost | $ 4,817 |
(3)Proceeds from securities sold short | $ 15,180,930 |
(4)Premiums received on options written | $ 145,197 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2022 (Unaudited) |
Strategic Alternatives Fund | |
Investment Income | |
Dividends | $ 469,978 |
Income distributions received from affiliated funds | 20,686 |
Interest | 520,580 |
Less foreign taxes withheld | (1,228) |
Total Investment Income | 1,010,016 |
Expenses | |
Investment advisory fees | 1,688,250 |
Transfer agent fees: | |
Institutional shares | 2,261 |
Investor shares | 7,044 |
Custodian fees | 338,334 |
Shareholder servicing fees: | |
Investor shares | 72,958 |
Accounting and administration fees | 26,543 |
Professional fees | 74,786 |
Shareholder reporting fees: | |
Institutional shares | 1,574 |
Investor shares | 3,560 |
Trustees expenses | 1,018 |
Line of credit facility fees | 610 |
Dividends on securities sold short | 121,668 |
Other expenses | 48,894 |
Total Expenses | 2,387,500 |
Expenses waived/reimbursed | (278,503) |
Net Expenses | 2,108,997 |
Net Investment Loss | (1,098,981) |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | (3,066,630) |
Investment securities sold short | 2,222,885 |
Futures transactions | 31,341 |
Swap agreements | 5,074,708 |
Option contracts written | (1,570,821) |
Option contracts purchased | 38,937 |
Forward foreign currency contracts | 465,570 |
Foreign currency | 5,584 |
Net realized gain | 3,201,574 |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | (11,388,112) |
Investment securities sold short | 3,065,298 |
Futures | 1,992,950 |
Swap agreements | (928,870) |
Option contracts written | (5,752) |
Option contracts purchased | (37,309) |
Forward foreign currency contracts | (195,631) |
Foreign currency | (3,919) |
Net change in unrealized appreciation (depreciation) | (7,501,345) |
Net Realized and Unrealized Loss | (4,299,771) |
Net Decrease in Net Assets Resulting from Operations | $ (5,398,752) |
STATEMENTS OF CHANGES IN NET ASSETS |
Strategic Alternatives Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/22 | 12/31/21 | ||
(Unaudited) | |||
Operations: | |||
Net investment loss | $ (1,098,981) | $ (1,623,453) | |
Net realized gain on investment securities, foreign currency and derivatives | 3,201,574 | 16,465,591 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (7,501,345) | 1,134,034 | |
Net increase (decrease) in net assets resulting from operations | (5,398,752) | 15,976,172 | |
Distributions to Shareholders: | |||
Institutional shares | — | (4,703,936) | |
Investor shares | — | (537,123) | |
Total distributions | — | (5,241,059) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 49,825,665 | 49,942,634 | |
Investor shares | 35,480,916 | 7,143,417 | |
Reinvestment of dividends and distributions | |||
Institutional shares | — | 4,701,917 | |
Investor shares | — | 536,950 | |
Total proceeds from shares sold and reinvested | 85,306,581 | 62,324,918 | |
Value of shares redeemed | |||
Institutional shares | (83,173,513) | (38,806,306) | |
Investor shares | (10,831,991) | (15,350,178) | |
Total value of shares redeemed | (94,005,504) | (54,156,484) | |
Net increase (decrease) from capital share transactions(1) | (8,698,923) | 8,168,434 | |
Total increase (decrease) in net assets | (14,097,675) | 18,903,547 | |
Net Assets: | |||
Beginning of Period | 351,680,512 | 332,776,965 | |
End of Period | $337,582,837 | $351,680,512 |
(1) | See Note 6 in Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | 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 Period | Total Return | Net Assets, End of Period (000) | Expenses, Net | Expenses, Gross | Investment Income/ (Loss), Net | Portfolio Turnover Rate | |
Strategic Alternatives Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2022(1) | $10.29 | $(0.03) | $(0.13) | $(0.16) | $ — | $ — | $ — | $10.13 | (1.56)% | $274,674 | 1.15%(2) | 1.31%(2) | (0.58)% | 83% |
2021 | 9.96 | (0.05) | 0.54 | 0.49 | (0.02) | (0.14) | (0.16) | 10.29 | 4.96 | 312,466 | 1.09(2) | 1.17(2) | (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(2) | 1.10(2) | 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(2) | 1.12(2) | 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(2) | 1.02(2) | 1.96 | 172 |
2017(3) | 10.00 | 0.04 | 0.10 | 0.14 | (0.05) | (0.02) | (0.07) | 10.07 | 1.40 | 302,592 | 1.26(2) | 1.28(2) | 0.69 | 88 |
Investor Class | ||||||||||||||
2022(1) | $10.23 | $(0.04) | $(0.13) | $(0.17) | $ — | $ — | $ — | $10.06 | (1.66)% | $ 62,909 | 1.47%(2) | 1.62%(2) | (0.86)% | 83% |
2021 | 9.92 | (0.08) | 0.53 | 0.45 | — | (0.14) | (0.14) | 10.23 | 4.57 | 39,214 | 1.41(2) | 1.52(2) | (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(2) | 1.36(2) | 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(2) | 1.46(2) | 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(2) | 1.37(2) | 1.65 | 172 |
2017(3) | 10.00 | 0.01 | 0.12 | 0.13 | (0.04) | (0.02) | (0.06) | 10.07 | 1.31 | 58,599 | 1.63(2) | 1.65(2) | 0.25 | 88 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2022, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
(2) | 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%, 0.04%, and 0.07% for the period ended December 31, 2017 and for the years 2018, 2019, 2020, 2021 and for the six months ended June 30, 2022. |
(3) | 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 | $ 80,000,000 | $ (80,000,000) | $ — | $ — | ||||
BNP Paribas | 70,000,000 | (70,000,000) | — | — | ||||
Citigroup Global Markets, Inc. | 75,000,000 | (75,000,000) | — | — | ||||
Goldman Sachs & Co. | 107,000,000 | (107,000,000) | — | — | ||||
Mitsubishi UFJ Securities USA, Inc. | 48,000,000 | (48,000,000) | — | — | ||||
Mizuho Securities USA, Inc. | 80,000,000 | (80,000,000) | — | — | ||||
Morgan Stanley | 137,000,000 | (137,000,000) | — | — | ||||
Natixis S.A. | 110,000,000 | (110,000,000) | — | — | ||||
TD Securities USA LLC | 80,000,000 | (80,000,000) | — | — | ||||
Total Repurchase Agreements | $ 787,000,000 | $ (787,000,000) | $ — | $ — | ||||
Medium-Duration Bond | ||||||||
Deutsche Bank Securities, Inc. | $ 79,800,000 | $ (79,800,000) | $ — | $ — |
Fund | Assets | Liabilities | ||
Low-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 432,344 | ||
Forward foreign currency contracts | 1,011,840 | 456,507 | ||
Options | — | 531 | ||
Centrally cleared swaps | 245,713 | — | ||
Swap agreements | 17,304 | — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,274,857 | 889,382 | ||
Derivatives not subject to an ISDA MA or similar agreement | 316,512 | 432,344 | ||
Total assets and liabilities subject to an ISDA MA | $ 958,345 | $ 457,038 | ||
Medium-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 834,916 | $ — | ||
Forward foreign currency contracts | 3,385,549 | 2,529,717 | ||
Options | 337,621 | 1,591,890 | ||
Centrally cleared swaps | 470,237 | — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 5,028,323 | 4,121,607 | ||
Derivatives not subject to an ISDA MA or similar agreement | 1,556,439 | 868,027 | ||
Total assets and liabilities subject to an ISDA MA | $ 3,471,884 | $ 3,253,580 | ||
Global Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 17,811 | $ — | ||
Forward foreign currency contracts | 22,095,960 | 22,722,588 | ||
Centrally cleared swaps | — | 16,977 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 22,113,771 | 22,739,565 | ||
Derivatives not subject to an ISDA MA or similar agreement | 18,167 | 16,977 | ||
Total assets and liabilities subject to an ISDA MA | $22,095,604 | $22,722,588 | ||
Defensive Market Strategies® | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 121,685 | $ — | ||
Forward foreign currency contracts | 35,284 | 107,050 | ||
Options | 35,957,161 | 6,053,218 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 36,114,130 | 6,160,268 | ||
Derivatives not subject to an ISDA MA or similar agreement | 36,114,130 | 6,160,268 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Global Impact Fund | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 6,045 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 6,045 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 6,045 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
Fund | Assets | Liabilities | ||
Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 544,513 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 544,513 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 544,513 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Value Equity | ||||
Derivative Financial Instruments: | ||||
Forward foreign currency contracts | $ 178,927 | $ 189,670 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 178,927 | 189,670 | ||
Derivatives not subject to an ISDA MA or similar agreement | 178,927 | 189,670 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Growth Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 915,988 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 915,988 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 915,988 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Small Cap Equity | ||||
Derivative Financial Instruments: | ||||
Forward foreign currency contracts | $ 3,260 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,260 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 3,260 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
International Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 212,505 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 212,505 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 212,505 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
International Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 511,910 | ||
Forward foreign currency contracts | 2,868,809 | 4,699,909 | ||
Swap agreements | 2,668,618 | 4,854,344 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 5,537,427 | 10,066,163 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 511,910 | ||
Total assets and liabilities subject to an ISDA MA | $ 5,537,427 | $ 9,554,253 |
Fund | Assets | Liabilities | ||
Emerging Markets Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 575,579 | ||
Forward foreign currency contracts | 3,130,487 | 4,996,522 | ||
Swap agreements | 663,521 | 367,120 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,794,008 | 5,939,221 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 575,579 | ||
Total assets and liabilities subject to an ISDA MA | $ 3,794,008 | $ 5,363,642 | ||
Strategic Alternatives | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 629 | ||
Forward foreign currency contracts | 1,229,715 | 1,182,305 | ||
Options | 572 | 1,451 | ||
Centrally cleared swaps | — | 963,039 | ||
Swap agreements | 2,592,099 | — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,822,386 | 2,147,424 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 963,940 | ||
Total assets and liabilities subject to an ISDA MA | $ 3,822,386 | $ 1,183,484 |
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* | $ 17,304 | $ — | $ 17,304 | $ (17,304) | $ — | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 931,153 | (455,316) | 475,837 | (469,183) | 6,654 | |||||
Sub-adviser C | ||||||||||
Other Counterparties* | 9,888 | (1,722) | 8,166 | — | 8,166 | |||||
Total Derivatives | $ 958,345 | $ (457,038) | $ 501,307 | $ (486,487) | $ 14,820 | |||||
Medium-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $ 135,430 | $ (69,369) | $ 66,061 | $ (10,000) | $ 56,061 | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 2,954,034 | (1,705,015) | 1,249,019 | (1,336,021) | (87,002) | |||||
Sub-adviser C | ||||||||||
Other Counterparties* | 382,420 | (1,479,196) | (1,096,776) | 60,000 | (1,036,776) | |||||
Total Derivatives | $3,471,884 | $(3,253,580) | $ 218,304 | $(1,286,021) | $(1,067,717) |
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 | |||||
Global Bond | ||||||||||
Sub-adviser A | ||||||||||
GSC | $ 523,110 | $ (3,714,498) | $(3,191,388) | $ 210,185 | $(2,981,203) | |||||
Other Counterparties* | 574,862 | (619,117) | (44,255) | 44,255 | — | |||||
1,097,972 | (4,333,615) | (3,235,643) | 254,440 | (2,981,203) | ||||||
Sub-adviser B | ||||||||||
Other Counterparties* | 20,997,632 | (18,388,973) | 2,608,659 | (2,612,808) | (4,149) | |||||
Total Derivatives | $22,095,604 | $(22,722,588) | $ (626,984) | $(2,358,368) | $(2,985,352) | |||||
International Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $ 5,537,427 | $ (9,554,253) | $(4,016,826) | $ 4,016,826 | $ — | |||||
Total Derivatives | $ 5,537,427 | $ (9,554,253) | $(4,016,826) | $ 4,016,826 | $ — | |||||
Emerging Markets Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $ 3,794,008 | $ (4,814,903) | $(1,020,895) | $ 1,020,895 | $ — | |||||
Sub-adviser B | ||||||||||
MSCS | — | (450,975) | (450,975) | — | (450,975) | |||||
Other Counterparties* | — | (97,764) | (97,764) | — | (97,764) | |||||
— | (548,739) | (548,739) | — | (548,739) | ||||||
Total Derivatives | $ 3,794,008 | $ (5,363,642) | $(1,569,634) | $ 1,020,895 | $ (548,739) | |||||
Strategic Alternatives | ||||||||||
Sub-adviser B | ||||||||||
Other Counterparties* | $ 1,292,532 | $ (1,183,484) | $ 109,048 | $ (107,141) | $ 1,907 | |||||
Sub-adviser E | ||||||||||
Other Counterparties* | 2,529,854 | — | 2,529,854 | (2,529,854) | — | |||||
Total Derivatives | $ 3,822,386 | $ (1,183,484) | $ 2,638,902 | $(2,636,995) | $ 1,907 |
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 | |||
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 6/30/22 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 1,011,840 | $ — | $ 1,011,840 | $ — | $ — | |||||
Futures | 877,656 | — | — | — | 877,656 | |||||
Swaps | 854,661 | 19,635 | — | 835,026 | — | |||||
Totals | $ 2,744,157 | $ 19,635 | $ 1,011,840 | $ 835,026 | $ 877,656 | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 3,385,549 | $ — | $ 3,385,549 | $ — | $ — | |||||
Futures | 2,350,522 | 2,350,522 | — | — | — | |||||
Purchased Options | 337,621 | 337,621 | — | — | — | |||||
Swaps | 15,038,264 | 14,811,422 | — | 226,842 | — | |||||
Totals | $ 21,111,956 | $ 17,499,565 | $ 3,385,549 | $ 226,842 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 22,095,960 | $ — | $ 22,095,960 | $ — | $ — | |||||
Futures | 549,857 | 549,857 | — | — | — | |||||
Swaps | 295,532 | — | — | 295,532 | — | |||||
Totals | $ 22,941,349 | $ 549,857 | $ 22,095,960 | $ 295,532 | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 35,284 | $ — | $ 35,284 | $ — | $ — | |||||
Purchased Options | 35,957,161 | — | — | — | 35,957,161 | |||||
Totals | $ 35,992,445 | $ — | $ 35,284 | $ — | $ 35,957,161 | |||||
Global Impact Fund | ||||||||||
Futures | $ 120,832 | $ 117,135 | $ — | $ — | $ 3,697 | |||||
Value Equity | ||||||||||
Forwards | $ 178,927 | $ — | $ 178,927 | $ — | $ — |
Asset Derivative Value | ||||||||||
Fund | Total Value at 6/30/22 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Growth Equity | ||||||||||
Futures | $ 1,075,255 | $ — | $ — | $ — | $ 1,075,255 | |||||
Small Cap Equity | ||||||||||
Forwards | $ 3,260 | $ — | $ 3,260 | $ — | $ — | |||||
International Equity | ||||||||||
Forwards | $ 2,868,809 | $ — | $ 2,868,809 | $ — | $ — | |||||
Futures | 905,298 | 896,562 | — | — | 8,736 | |||||
Swaps | 2,668,618 | — | — | — | 2,668,618 | |||||
Totals | $ 6,442,725 | $ 896,562 | $ 2,868,809 | $ — | $ 2,677,354 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 3,130,487 | $ — | $ 3,130,487 | $ — | $ — | |||||
Futures | 135,426 | — | — | — | 135,426 | |||||
Swaps | 663,521 | — | — | — | 663,521 | |||||
Totals | $ 3,929,434 | $ — | $ 3,130,487 | $ — | $ 798,947 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 1,229,715 | $ — | $ 1,229,715 | $ — | $ — | |||||
Futures | 2,647,983 | 1,407,942 | 1,240,041 | — | — | |||||
Purchased Options | 572 | 572 | — | — | — | |||||
Swaps | 4,211,674 | 1,681,820 | — | — | 2,529,854 | |||||
Totals | $ 8,089,944 | $ 3,090,334 | $ 2,469,756 | $ — | $ 2,529,854 |
Liabilities Derivative Value | ||||||||||
Fund | Total Value at 6/30/22 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 456,507 | $ — | $ 456,507 | $ — | $ — | |||||
Futures | 1,192,243 | — | — | — | 1,192,243 | |||||
Written Options | 531 | — | �� | 531 | — | |||||
Swaps | 501,027 | 466,919 | — | 34,108 | — | |||||
Totals | $ 2,150,308 | $ 466,919 | $ 456,507 | $ 34,639 | $ 1,192,243 | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 2,529,717 | $ — | $ 2,529,717 | $ — | $ — | |||||
Futures | 6,284,460 | 6,284,460 | — | — | — | |||||
Written Options | 1,591,890 | 1,591,890 | — | — | — | |||||
Swaps | 12,387,767 | 9,581,546 | — | 2,806,221 | — | |||||
Totals | $ 22,793,834 | $ 17,457,896 | $ 2,529,717 | $ 2,806,221 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 22,722,588 | $ — | $ 22,722,588 | $ — | $ — | |||||
Futures | 2,107,868 | 2,107,868 | — | — | — | |||||
Swaps | 399,799 | 167,337 | — | 232,462 | — | |||||
Totals | $ 25,230,255 | $ 2,275,205 | $ 22,722,588 | $ 232,462 | $ — |
Liabilities Derivative Value | ||||||||||
Fund | Total Value at 6/30/22 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 107,050 | $ — | $ 107,050 | $ — | $ — | |||||
Futures | 783,254 | 783,254 | — | — | — | |||||
Written Options | 6,053,218 | — | — | — | 6,053,218 | |||||
Totals | $ 6,943,522 | $ 783,254 | $ 107,050 | $ — | $ 6,053,218 | |||||
Global Impact Fund | ||||||||||
Futures | $ 158,978 | $ 152,106 | $ 3,999 | $ — | $ 2,873 | |||||
Equity Index | ||||||||||
Futures | $ 1,306,536 | $ — | $ — | $ — | $ 1,306,536 | |||||
Value Equity | ||||||||||
Forwards | $ 189,670 | $ — | $ 189,670 | $ — | $ — | |||||
International Equity Index | ||||||||||
Futures | $ 275,328 | $ — | $ — | $ — | $ 275,328 | |||||
International Equity | ||||||||||
Forwards | $ 4,699,909 | $ — | $ 4,699,909 | $ — | $ — | |||||
Futures | 1,835,650 | 1,798,321 | — | — | 37,329 | |||||
Swaps | 4,854,344 | — | — | — | 4,854,344 | |||||
Totals | $ 11,389,903 | $ 1,798,321 | $ 4,699,909 | $ — | $ 4,891,673 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 4,996,522 | $ — | $ 4,996,522 | $ — | $ — | |||||
Futures | 1,407,745 | — | — | — | 1,407,745 | |||||
Swaps | 367,120 | — | — | — | 367,120 | |||||
Totals | $ 6,771,387 | $ — | $ 4,996,522 | $ — | $ 1,774,865 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 1,182,305 | $ — | $ 1,182,305 | $ — | $ — | |||||
Futures | 889,611 | 882,406 | 7,205 | — | — | |||||
Written Options | 1,451 | 1,179 | — | — | 272 | |||||
Swaps | 2,752,985 | 2,752,985 | — | — | — | |||||
Totals | $ 4,826,352 | $ 3,636,570 | $ 1,189,510 | $ — | $ 272 |
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 | ||
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 6/30/22 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ (276,489) | $ (63,753) | $ — | $ — | $ (212,736) | |||||
MyDestination 2025 | ||||||||||
Futures | $ (683,909) | $ (159,850) | $ — | $ — | $ (524,059) | |||||
MyDestination 2035 | ||||||||||
Futures | $ (1,488,604) | $ (129,143) | $ — | $ — | $ (1,359,461) | |||||
MyDestination 2045 | ||||||||||
Futures | $ (1,237,312) | $ (45,245) | $ — | $ — | $ (1,192,067) | |||||
MyDestination 2055 | ||||||||||
Futures | $ (543,804) | $ (15,799) | $ — | $ — | $ (528,005) | |||||
Conservative Allocation | ||||||||||
Futures | $ (346,062) | $ (68,542) | $ — | $ — | $ (277,520) | |||||
Balanced Allocation | ||||||||||
Futures | $ (2,551,871) | $ (393,181) | $ — | $ — | $ (2,158,690) | |||||
Growth Allocation | ||||||||||
Futures | $ (4,069,455) | $ (179,622) | $ — | $ — | $ (3,889,833) | |||||
Aggressive Allocation | ||||||||||
Futures | $ (2,167,023) | $ — | $ — | $ — | $ (2,167,023) |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/22 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 4,256,740 | $ — | $ 4,256,740 | $ — | $ — | |||||
Futures | (1,009,190) | (1,009,190) | — | — | — | |||||
Purchased Options | (23,632) | (23,632) | — | — | — | |||||
Swaps | (182,038) | (4,799) | — | (177,239) | — | |||||
Written Options | 162,536 | 61,673 | — | 100,863 | — | |||||
Totals | $ 3,204,416 | $ (975,948) | $ 4,256,740 | $ (76,376) | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 21,128 | $ — | $ 21,128 | $ — | $ — | |||||
Futures | (25,844,303) | (25,844,303) | — | — | — | |||||
Purchased Options | (2,478,580) | (2,478,580) | — | — | — | |||||
Swaps | 4,328,569 | 4,894,376 | — | (565,807) | — | |||||
Written Options | 970,763 | 970,763 | — | — | — | |||||
Totals | $ (23,002,423) | $ (22,457,744) | $ 21,128 | $ (565,807) | $ — | |||||
Global Bond | ||||||||||
Forwards | $ (446,835) | $ — | $ (446,835) | $ — | $ — | |||||
Futures | (849,654) | (849,654) | — | — | — | |||||
Purchased Options | 8,772 | 8,772 | — | — | — | |||||
Swaps | 682,504 | 735,846 | — | (53,342) | — | |||||
Totals | $ (605,213) | $ (105,036) | $ (446,835) | $ (53,342) | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 2,215,573 | $ — | $ 2,215,573 | $ — | $ — | |||||
Futures | (13,738,657) | (9,212,333) | — | — | (4,526,324) | |||||
Purchased Options | (2,127,964) | — | — | — | (2,127,964) | |||||
Written Options | (36,164,506) | — | — | — | (36,164,506) | |||||
Totals | $ (49,815,554) | $ (9,212,333) | $ 2,215,573 | $ — | $ (42,818,794) | |||||
Global Impact Fund | ||||||||||
Futures | $ (1,522,325) | $ (415,790) | $ (4,987) | $ — | $ (1,101,548) | |||||
Equity Index | ||||||||||
Futures | $ (24,328,838) | $ — | $ — | $ — | $ (24,328,838) | |||||
Value Equity | ||||||||||
Forwards | $ 3,919,682 | $ — | $ 3,919,682 | $ — | $ — | |||||
Futures | (4,457,904) | — | — | — | (4,457,904) | |||||
Totals | $ (538,222) | $ — | $ 3,919,682 | $ — | $ (4,457,904) | |||||
Growth Equity | ||||||||||
Futures | $ (12,826,070) | $ — | $ — | $ — | $ (12,826,070) | |||||
Small Cap Equity | ||||||||||
Forwards | $ 112,045 | $ — | $ 112,045 | $ — | $ — | |||||
Futures | (1,834,195) | — | — | — | (1,834,195) | |||||
Totals | $ (1,722,150) | $ — | $ 112,045 | $ — | $ (1,834,195) |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/22 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
International Equity Index | ||||||||||
Futures | $ (8,004,462) | $ — | $ — | $ — | $ (8,004,462) | |||||
International Equity | ||||||||||
Forwards | $ (6,721,395) | $ — | $ (6,721,395) | $ — | $ — | |||||
Futures | (6,292,387) | — | — | — | (6,292,387) | |||||
Swaps | 12,070,100 | — | — | — | 12,070,100 | |||||
Totals | $ (943,682) | $ — | $ (6,721,395) | $ — | $ 5,777,713 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 473,503 | $ — | $ 473,503 | $ — | $ — | |||||
Futures | (12,326,296) | — | — | — | (12,326,296) | |||||
Swaps | (774,012) | — | — | — | (774,012) | |||||
Totals | $ (12,626,805) | $ — | $ 473,503 | $ — | $ (13,100,308) | |||||
Global Real Estate Securities | ||||||||||
Forwards | $ (2,404) | $ — | $ — | $ — | $ (2,404) | |||||
Futures | (613,480) | — | — | — | (613,480) | |||||
Totals | $ (615,884) | $ — | $ — | $ — | $ (615,884) | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 465,570 | $ — | $ 465,570 | $ — | $ — | |||||
Futures | 31,341 | 2,268,799 | 1,556,576 | — | (3,794,034) | |||||
Purchased Options | 38,937 | 38,937 | — | — | — | |||||
Swaps | 5,074,708 | 1,200,932 | — | (138,284) | 4,012,060 | |||||
Written Options | (1,570,821) | (1,834,041) | — | — | 263,220 | |||||
Totals | $ 4,039,735 | $ 1,674,627 | $ 2,022,146 | $ (138,284) | $ 481,246 |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/22 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ (75,034) | $ (29,748) | $ — | $ — | $ (45,286) | |||||
MyDestination 2025 | ||||||||||
Futures | $ (267,484) | $ (95,746) | $ — | $ — | $ (171,738) | |||||
MyDestination 2035 | ||||||||||
Futures | $ (452,904) | $ (83,295) | $ — | $ — | $ (369,609) | |||||
MyDestination 2045 | ||||||||||
Futures | $ (395,362) | $ (37,243) | $ — | $ — | $ (358,119) | |||||
MyDestination 2055 | ||||||||||
Futures | $ (137,549) | $ (5,208) | $ — | $ — | $ (132,341) | |||||
Conservative Allocation | ||||||||||
Futures | $ (22,868) | $ 5,731 | $ — | $ — | $ (28,599) | |||||
Balanced Allocation | ||||||||||
Futures | $ (344,236) | $ (67,142) | $ — | $ — | $ (277,094) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/22 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Growth Allocation | ||||||||||
Futures | $ (469,788) | $ (39,805) | $ — | $ — | $ (429,983) | |||||
Aggressive Allocation | ||||||||||
Futures | $ (438,903) | $ — | $ — | $ — | $ (438,903) | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 994,947 | $ — | $ 994,947 | $ — | $ — | |||||
Futures | 1,691,012 | 1,691,012 | — | — | — | |||||
Swaps | 366,222 | (437,407) | — | 803,629 | — | |||||
Written Options | (73,917) | (73,917) | — | — | — | |||||
Totals | $ 2,978,264 | $ 1,179,688 | $ 994,947 | $ 803,629 | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 2,652,098 | $ — | $ 2,652,098 | $ — | $ — | |||||
Futures | (3,449,252) | (3,449,252) | — | — | — | |||||
Purchased Options | 93,723 | 93,723 | — | — | — | |||||
Swaps | 801,117 | 3,896,588 | — | (3,095,471) | — | |||||
Written Options | (36,983) | (36,983) | — | — | — | |||||
Totals | $ 60,703 | $ 504,076 | $ 2,652,098 | $ (3,095,471) | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 92,595 | $ — | $ 92,595 | $ — | $ — | |||||
Futures | (793,492) | (793,492) | — | — | — | |||||
Purchased Options | (3,135) | (3,134) | — | — | — | |||||
Swaps | (125,128) | (188,198) | — | 63,070 | — | |||||
Totals | $ (829,160) | $ (984,824) | $ 92,595 | $ 63,070 | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 228,800 | $ — | $ 228,800 | $ — | $ — | |||||
Futures | (1,122,559) | 55,117 | — | — | (1,177,676) | |||||
Purchased Options | (43,244,737) | — | — | — | (43,244,737) | |||||
Written Options | 218,416 | — | — | — | 218,416 | |||||
Totals | $ (43,920,080) | $ 55,117 | $ 228,800 | $ — | $ (44,203,997) | |||||
Global Impact Fund | ||||||||||
Futures | $ (93,376) | $ (52,346) | $ (4,112) | $ — | $ (36,918) | |||||
Equity Index | ||||||||||
Futures | $ (2,602,402) | $ — | $ — | $ — | $ (2,602,402) | |||||
Value Equity | ||||||||||
Forwards | $ 800,812 | $ — | $ 800,812 | $ — | $ — | |||||
Futures | (947,811) | — | — | — | (947,811) | |||||
Totals | $ (146,999) | $ — | $ 800,812 | $ — | $ (947,811) | |||||
Growth Equity | ||||||||||
Futures | $ (584,406) | $ — | $ — | $ — | $ (584,406) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/22 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Small Cap Equity | ||||||||||
Forwards | $ 13,076 | $ — | $ 13,076 | $ — | $ — | |||||
Futures | (476,169) | — | — | — | (476,169) | |||||
Totals | $ (463,093) | $ — | $ 13,076 | $ — | $ (476,169) | |||||
International Equity Index | ||||||||||
Futures | $ (1,143,183) | $ — | $ — | $ — | $ (1,143,183) | |||||
International Equity | ||||||||||
Forwards | $ (890,342) | $ — | $ (890,342) | $ — | $ — | |||||
Futures | (1,976,715) | — | — | — | (1,976,715) | |||||
Swaps | (3,443,177) | — | — | — | (3,443,177) | |||||
Totals | $ (6,310,234) | $ — | $ (890,342) | $ — | $ (5,419,892) | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ (1,400,030) | $ — | $ (1,400,030) | $ — | $ — | |||||
Futures | (1,294,296) | — | — | — | (1,294,296) | |||||
Swaps | 424,432 | — | — | — | 424,432 | |||||
Totals | $ (2,269,894) | $ — | $ (1,400,030) | $ — | $ (869,864) | |||||
Global Real Estate Securities | ||||||||||
Futures | $ (229,185) | $ — | $ — | $ — | $ (229,185) | |||||
Strategic Alternatives | ||||||||||
Forwards | $ (195,631) | $ — | $ (195,631) | $ — | $ — | |||||
Futures | 1,992,950 | 394,792 | 1,835,379 | — | (237,221) | |||||
Purchased Options | (37,309) | (37,309) | — | — | — | |||||
Swaps | (928,870) | (2,121,589) | — | (10,940) | 1,203,659 | |||||
Written Options | (5,752) | (5,752) | — | — | — | |||||
Totals | $ 825,388 | $ (1,769,858) | $ 1,639,748 | $ (10,940) | $ 966,438 |
Fund | Number of transactions | Average notional market value of contracts | |
Low-Duration Bond | 21 | $ 5,472,250 | |
Medium-Duration Bond | 64 | 3,268,567 | |
Global Bond | 239 | 3,967,850 | |
Defensive Market Strategies® | 5 | 7,305,900 | |
Value Equity | 3 | 21,304,827 | |
Small Cap Equity | 3 | 331,272 | |
International Equity | 263 | 1,660,194 | |
Emerging Markets Equity | 477 | 953,086 | |
Strategic Alternatives | 173 | 528,083 |
Fund | Long average notional market value of contracts | Short average notional market value of contracts | |
MyDestination 2015 | $ 826,936 | $ — | |
MyDestination 2025 | 2,447,400 | — | |
MyDestination 2035 | 1,823,649 | — | |
MyDestination 2045 | 981,571 | — | |
MyDestination 2055 | 375,045 | — | |
Conservative Allocation | 2,385,391 | — | |
Balanced Allocation | 2,733,626 | — | |
Growth Allocation | 5,888,105 | — | |
Aggressive Allocation | 2,941,514 | — | |
Low-Duration Bond | 16,986,301 | 3,524,369 | |
Medium-Duration Bond | 4,164,768 | 3,432,610 | |
Global Bond | 2,607,939 | 2,655,342 | |
Defensive Market Strategies® | 20,100,298 | — | |
Global Impact Fund | 1,063,828 | 2,622,382 | |
Equity Index | 10,772,108 | — | |
Value Equity | 9,768,757 | — | |
Growth Equity | 19,492,431 | — | |
Small Cap Equity | 5,389,326 | — | |
International Equity Index | 1,073,570 | — | |
International Equity | 2,501,032 | 1,319,388 | |
Emerging Markets Equity | 1,754,722 | 493,007 | |
Global Real Estate Securities | 1,464,074 | — | |
Strategic Alternatives | 1,316,973 | 2,149,791 |
Fund | Number of transactions | Average premiums paid and received | |
Low-Duration Bond | 38 | $ 2,297 | |
Medium-Duration Bond | 364 | 20,273 | |
Global Bond | 8 | 728 | |
Defensive Market Strategies® | 390 | 186,482 | |
International Equity | 15 | 2,687,715 | |
Strategic Alternatives | 33 | 9,050 |
Fund | Buy protection average notional market value | Sell protection average notional market value | |
Low-Duration Bond | $2,147,500 | $1,552,138 | |
Medium-Duration Bond | 5,986,300 | 3,779,738 | |
Global Bond | 6,550,697 | 2,243,000 |
Fund | Paid fixed rate average notional market value | Received fixed rate average notional market value | |
Low-Duration Bond | $5,342,477 | $97,600,000 | |
Medium-Duration Bond | 1,617,741 | 4,432,240 | |
Global Bond | — | 751,895 | |
Strategic Alternatives | 1,974,383 | 1,838,767 |
Fund | Average notional market value of transactions |
International Equity | $290,488 |
Emerging Markets Equity | 696,252 |
Strategic Alternatives | 45,827 |
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% | 0.19% | ||
Global Bond | 0.25% | 0.22% | ||
Defensive Market Strategies® | 0.33% | 0.28% | ||
Global Impact Fund | 0.36% | 0.27% | ||
Equity Index | 0.08% | 0.01% | ||
Value Equity | 0.33% | 0.27% | ||
Growth Equity | 0.33% | 0.29% | ||
Small Cap Equity | 0.33% | 0.53% | ||
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% | 0.56% |
For the Period January 1, 2022 to April 28, 2022 | For the Period April 29, 2022 to June 30, 2022 | |||||||
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% | 0.50% | ||||
Strategic Alternatives | 1.08% | 1.40% | 1.08% | 1.40% |
Institutional Class | Investor Class | |||||||||||||||
Fund | 2022 | 2023 | 2024 | 2025 | 2022 | 2023 | 2024 | 2025 | ||||||||
MyDestination 2015 | $ 85,750 | $114,196 | $ 44,635 | $ 28,241 | $356,348 | $368,132 | $110,648 | $68,376 | ||||||||
MyDestination 2025 | 107,568 | 153,908 | 44,948 | 32,876 | 352,125 | 415,281 | 119,203 | 83,634 | ||||||||
MyDestination 2035 | — | — | — | — | — | — | — | — | ||||||||
MyDestination 2045 | — | — | — | — | — | — | — | — | ||||||||
MyDestination 2055 | 12,316 | 19.316 | 8,367 | 706 | 29,054 | 29,868 | 4,715 | 2,459 | ||||||||
International Equity Index | — | — | — | — | — | — | — | 8,613 | ||||||||
Strategic Alternatives | — | — | 246,313 | 234,354 | — | — | 42,950 | 44,149 |
Fund | Expenses Paid Through Brokerage Service Agreements | |
Value Equity | $ 8,436 | |
Growth Equity | 2,709 | |
Small Cap Equity | 26,056 | |
Emerging Markets Equity | 821 | |
Global Real Estate Securities | 12,431 |
Fund | MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||||
Money Market | 0.43% | 1.10% | 1.59% | 1.26% | 0.51% | |||||||
Low-Duration Bond | 10.25 | 15.20 | — | — | — | |||||||
Medium-Duration Bond | 8.28 | 19.66 | 13.06 | 4.18 | 0.85 | |||||||
Global Bond | 6.70 | 16.97 | 12.29 | 3.94 | 0.80 | |||||||
Defensive Market Strategies® | 5.77 | 15.99 | 8.74 | 3.96 | 1.55 | |||||||
Equity Index | 4.30 | 13.86 | 17.17 | 16.20 | 6.84 | |||||||
Small Cap Equity | 2.24 | 7.18 | 8.81 | 8.31 | 3.51 | |||||||
International Equity Index | 6.92 | 22.22 | 27.23 | 25.90 | 10.94 | |||||||
Emerging Markets Equity | 3.33 | 10.45 | 12.69 | 12.17 | 5.14 | |||||||
Global Real Estate Securities | 2.27 | 7.03 | 7.54 | 6.58 | 2.77 | |||||||
Strategic Alternatives | 6.07 | 9.94 | 2.11 | — | — |
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||||
Money Market | 0.26% | 1.46% | 1.06% | 1.00% | ||||||
Low-Duration Bond | 20.88 | 5.04 | 1.71 | — | ||||||
Medium-Duration Bond | 2.89 | 18.26 | 5.93 | — | ||||||
Global Bond | 2.74 | 19.51 | 6.29 | — | ||||||
Defensive Market Strategies® | 2.68 | 10.23 | 3.48 | — | ||||||
Value Equity | 2.16 | 11.26 | 15.51 | 21.03 | ||||||
Growth Equity | 1.71 | 9.11 | 12.71 | 17.31 | ||||||
Small Cap Equity | 0.66 | 3.60 | 4.99 | 6.86 | ||||||
International Equity | 2.45 | 12.81 | 17.76 | 24.07 |
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||||
Emerging Markets Equity | 1.53% | 8.09% | 11.20% | 14.98% | ||||||
Global Real Estate Securities | 2.06 | 9.92 | 11.21 | — | ||||||
Strategic Alternatives | 6.88 | 14.72 | 7.14 | — | ||||||
Global Impact | 10.91 | 39.72 | 30.42 | — |
Total Value at 12/31/21 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/22 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2015 | |||||||||||||||
Money Market | $ 9,410 | $ 44,872 | $ 47,384 | $ — | $ — | $ 6,898 | $ 12 | $ — | |||||||
Low-Duration Bond | 114,643 | 12,017 | 15,873 | (369) | (4,166) | 106,252 | 461 | — | |||||||
Medium-Duration Bond | 179,891 | 20,419 | 12,380 | (1,099) | (21,609) | 165,222 | 1,019 | — | |||||||
Global Bond | 38,321 | 4,321 | 2,110 | (206) | (5,155) | 35,171 | 68 | 24 | |||||||
Defensive Market Strategies® | 84,639 | 19,260 | 9,011 | 1,053 | (23,176) | 72,765 | 277 | 11,633 | |||||||
Equity Index | 138,561 | 27,792 | 15,700 | 4,515 | (33,771) | 121,397 | 785 | 986 | |||||||
Small Cap Equity | 17,510 | 2,279 | 963 | 153 | (3,811) | 15,168 | — | — | |||||||
International Equity Index | 59,444 | 12,029 | 8,653 | 302 | (11,556) | 51,566 | — | — | |||||||
Emerging Markets Equity | 24,348 | 3,258 | 255 | 48 | (4,841) | 22,558 | — | — | |||||||
Global Real Estate Securities | 6,794 | 1,194 | 647 | 5 | (1,484) | 5,862 | 50 | 93 | |||||||
Strategic Alternatives | 22,114 | 2,492 | 3,781 | 62 | (384) | 20,503 | — | — | |||||||
$ 695,675 | $149,933 | $116,757 | $ 4,464 | $(109,953) | $ 623,362 | $2,672 | $12,736 | ||||||||
MyDestination 2025 | |||||||||||||||
Money Market | $ 25,164 | $ 49,168 | $ 56,743 | $ — | $ — | $ 17,589 | $ 28 | $ — | |||||||
Low-Duration Bond | 149,047 | 29,441 | 14,685 | (348) | (5,955) | 157,500 | 666 | — | |||||||
Medium-Duration Bond | 425,438 | 52,731 | 32,137 | (2,295) | (51,621) | 392,116 | 2,432 | — | |||||||
Global Bond | 96,177 | 11,089 | 4,550 | (502) | (13,136) | 89,078 | 173 | 61 | |||||||
Defensive Market Strategies® | 217,518 | 50,926 | 6,250 | 815 | (61,270) | 201,739 | 762 | 32,011 | |||||||
Equity Index | 441,814 | 76,487 | 33,001 | 10,241 | (104,417) | 391,124 | 2,494 | 3,131 | |||||||
Small Cap Equity | 54,281 | 6,846 | 900 | 14 | (11,727) | 48,514 | — | — | |||||||
International Equity Index | 188,520 | 30,327 | 17,388 | 1,530 | (37,523) | 165,466 | — | — | |||||||
Emerging Markets Equity | 79,177 | 8,459 | 1,394 | 229 | (15,570) | 70,901 | — | — | |||||||
Global Real Estate Securities | 20,790 | 3,646 | 1,703 | 24 | (4,594) | 18,163 | 152 | 287 | |||||||
Strategic Alternatives | 34,663 | 3,467 | 4,050 | 74 | (582) | 33,572 | — | — | |||||||
$1,732,589 | $322,587 | $172,801 | $ 9,782 | $(306,395) | $1,585,762 | $6,707 | $35,490 |
Total Value at 12/31/21 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/22 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2035 | |||||||||||||||
Money Market | $ 31,483 | $ 49,791 | $ 55,760 | $ — | $ — | $ 25,514 | $ 41 | $ — | |||||||
Medium-Duration Bond | 262,041 | 54,078 | 20,651 | (679) | (34,212) | 260,577 | 1,602 | — | |||||||
Global Bond | 66,307 | 12,635 | 4,727 | (292) | (9,385) | 64,538 | 125 | 43 | |||||||
Defensive Market Strategies® | 111,367 | 34,268 | 2,541 | 277 | (33,079) | 110,292 | 417 | 17,501 | |||||||
Equity Index | 541,249 | 94,494 | 35,605 | 13,285 | (128,853) | 484,570 | 3,063 | 3,845 | |||||||
Small Cap Equity | 64,578 | 10,844 | 1,537 | 224 | (14,542) | 59,567 | — | — | |||||||
International Equity Index | 228,588 | 35,841 | 17,170 | 1,493 | (45,934) | 202,818 | — | — | |||||||
Emerging Markets Equity | 96,270 | 9,451 | 759 | 121 | (18,985) | 86,098 | — | — | |||||||
Global Real Estate Securities | 21,862 | 3,709 | 1,188 | 30 | (4,928) | 19,485 | 161 | 305 | |||||||
Strategic Alternatives | 5,159 | 2,250 | 181 | 5 | (88) | 7,145 | — | — | |||||||
$1,428,904 | $307,361 | $140,119 | $ 14,464 | $(290,006) | $1,320,604 | $5,409 | $21,694 | ||||||||
MyDestination 2045 | |||||||||||||||
Money Market | $ 26,132 | $ 42,397 | $ 48,341 | $ — | $ — | $ 20,188 | $ 36 | $ — | |||||||
Medium-Duration Bond | 87,893 | 15,348 | 8,114 | (269) | (11,445) | 83,413 | 531 | — | |||||||
Global Bond | 21,771 | 3,329 | 1,161 | (111) | (3,140) | 20,688 | 39 | 14 | |||||||
Defensive Market Strategies® | 55,907 | 12,097 | 2,782 | 55 | (15,383) | 49,894 | 186 | 7,831 | |||||||
Equity Index | 524,091 | 63,410 | 15,532 | 7,865 | (122,600) | 457,234 | 2,884 | 3,620 | |||||||
Small Cap Equity | 64,381 | 6,532 | 618 | 77 | (14,215) | 56,157 | — | — | |||||||
International Equity Index | 220,715 | 26,509 | 10,075 | 638 | (44,880) | 192,907 | — | — | |||||||
Emerging Markets Equity | 92,718 | 8,485 | 39 | 9 | (18,633) | 82,540 | — | — | |||||||
Global Real Estate Securities | 20,062 | 2,546 | 1,083 | (45) | (4,462) | 17,018 | 144 | 272 | |||||||
$1,113,670 | $180,653 | $ 87,745 | $ 8,219 | $(234,758) | $ 980,039 | $3,820 | $11,737 | ||||||||
MyDestination 2055 | |||||||||||||||
Money Market | $ 9,116 | $ 34,391 | $ 35,286 | $ — | $ — | $ 8,221 | $ 13 | $ — | |||||||
Medium-Duration Bond | 18,464 | 3,557 | 2,493 | (260) | (2,233) | 17,035 | 112 | — | |||||||
Global Bond | 4,620 | 749 | 462 | (60) | (622) | 4,225 | 8 | 3 | |||||||
Defensive Market Strategies® | 21,998 | 5,031 | 1,381 | 4 | (6,089) | 19,563 | 74 | 3,091 | |||||||
Equity Index | 218,880 | 30,811 | 7,218 | 2,349 | (51,655) | 193,167 | 1,218 | 1,530 | |||||||
Small Cap Equity | 26,999 | 4,299 | 1,562 | 336 | (6,348) | 23,724 | — | — | |||||||
International Equity Index | 92,601 | 13,303 | 5,311 | 115 | (19,210) | 81,498 | — | — | |||||||
Emerging Markets Equity | 39,869 | 6,507 | 3,672 | (40) | (7,787) | 34,877 | — | — | |||||||
Global Real Estate Securities | 8,347 | 1,306 | 553 | 51 | (1,995) | 7,156 | 60 | 114 | |||||||
$ 440,894 | $ 99,954 | $ 57,938 | $ 2,495 | $ (95,939) | $ 389,466 | $1,485 | $ 4,738 |
Total Value at 12/31/21 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/22 | Dividend Income | Distributions of Realized Gains | ||||||||
Conservative Allocation | |||||||||||||||
Money Market | $ 6,248 | $ 30,697 | $ 32,748 | $ — | $ — | $ 4,197 | $ 11 | $ — | |||||||
Low-Duration Bond | 268,401 | 8,972 | 50,145 | (1,841) | (9,019) | 216,368 | 1,063 | — | |||||||
Medium-Duration Bond | 71,664 | 2,492 | 7,196 | (1,122) | (8,206) | 57,632 | 409 | — | |||||||
Global Bond | 17,674 | 489 | 1,233 | (247) | (2,287) | 14,396 | 28 | 12 | |||||||
Defensive Market Strategies® | 43,022 | 6,654 | 4,949 | 403 | (11,347) | 33,783 | 128 | 5,376 | |||||||
Global Impact | 17,650 | 1,278 | 1,659 | (165) | (3,577) | 13,527 | — | — | |||||||
Value Equity | 30,750 | 1,802 | 4,634 | (493) | (3,534) | 23,891 | 224 | 428 | |||||||
Growth Equity | 30,058 | 10,412 | 4,691 | 92 | (12,562) | 23,309 | — | 1,137 | |||||||
Small Cap Equity | 5,743 | 950 | 958 | 243 | (1,485) | 4,493 | — | — | |||||||
International Equity | 30,578 | 4,890 | 5,175 | (886) | (5,034) | 24,373 | — | — | |||||||
Emerging Markets Equity | 12,727 | 1,770 | 1,680 | 341 | (2,804) | 10,354 | — | — | |||||||
Global Real Estate Securities | 7,140 | 816 | 1,105 | 66 | (1,595) | 5,322 | 46 | 86 | |||||||
Strategic Alternatives | 28,296 | 887 | 5,535 | 97 | (508) | 23,237 | — | — | |||||||
$ 569,951 | $ 72,109 | $121,708 | $ (3,512) | $ (61,958) | $ 454,882 | $1,909 | $ 7,039 | ||||||||
Balanced Allocation | |||||||||||||||
Money Market | $ 33,959 | $ 52,188 | $ 62,759 | $ — | $ — | $ 23,388 | $ 43 | $ — | |||||||
Low-Duration Bond | 69,795 | 2,415 | 17,274 | (586) | (2,159) | 52,191 | 265 | — | |||||||
Medium-Duration Bond | 483,679 | 29,475 | 86,859 | (10,539) | (51,472) | 364,284 | 2,657 | — | |||||||
Global Bond | 139,792 | 2,866 | 20,963 | (3,430) | (15,836) | 102,429 | 199 | 88 | |||||||
Defensive Market Strategies® | 178,495 | 20,963 | 27,348 | 2,339 | (45,410) | 129,039 | 487 | 20,476 | |||||||
Global Impact | 70,765 | — | 6,912 | (661) | (13,956) | 49,236 | — | — | |||||||
Value Equity | 177,722 | 4,309 | 35,111 | (1,181) | (20,897) | 124,842 | 1,172 | 2,236 | |||||||
Growth Equity | 168,336 | 48,181 | 23,976 | (275) | (68,010) | 124,256 | — | 5,981 | |||||||
Small Cap Equity | 34,222 | — | 2,676 | (301) | (6,903) | 24,342 | — | — | |||||||
International Equity | 176,972 | 10,200 | 25,683 | (3,980) | (29,826) | 127,683 | — | — | |||||||
Emerging Markets Equity | 72,907 | 2,491 | 6,570 | 456 | (14,420) | 54,864 | — | — | |||||||
Global Real Estate Securities | 35,876 | 1,067 | 3,749 | 20 | (7,580) | 25,634 | 216 | 407 | |||||||
Strategic Alternatives | 68,898 | 3,373 | 21,586 | 385 | (1,327) | 49,743 | — | — | |||||||
$1,711,418 | $177,528 | $341,466 | $(17,753) | $(277,796) | $1,251,931 | $5,039 | $29,188 |
Total Value at 12/31/21 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/22 | Dividend Income | Distributions of Realized Gains | ||||||||
Growth Allocation | |||||||||||||||
Money Market | $ 32,982 | $ 46,014 | $ 61,934 | $ — | $ — | $ 17,062 | $ 40 | $ — | |||||||
Low-Duration Bond | 24,683 | 1,386 | 7,382 | (212) | (744) | 17,731 | 92 | — | |||||||
Medium-Duration Bond | 168,245 | 12,166 | 40,595 | (4,758) | (16,777) | 118,281 | 909 | — | |||||||
Global Bond | 48,688 | 2,820 | 11,818 | (1,906) | (4,775) | 33,009 | 64 | 29 | |||||||
Defensive Market Strategies® | 65,538 | 7,126 | 13,616 | (264) | (14,923) | 43,861 | 166 | 6,960 | |||||||
Global Impact | 56,058 | 40 | 6,611 | (934) | (10,848) | 37,705 | — | — | |||||||
Value Equity | 261,662 | 5,509 | 62,969 | (4,645) | (27,605) | 171,952 | 1,615 | 3,080 | |||||||
Growth Equity | 250,632 | 57,573 | 33,967 | (371) | (100,427) | 173,440 | — | 8,252 | |||||||
Small Cap Equity | 50,531 | — | 6,143 | 526 | (11,170) | 33,744 | — | — | |||||||
International Equity | 260,759 | 7,499 | 41,439 | (9,749) | (40,055) | 177,015 | — | — | |||||||
Emerging Markets Equity | 107,502 | 1,459 | 12,469 | (1,327) | (19,220) | 75,945 | — | — | |||||||
Global Real Estate Securities | 45,290 | 712 | 7,645 | (304) | (9,072) | 28,981 | 246 | 466 | |||||||
Strategic Alternatives | 35,495 | 1,950 | 12,842 | 54 | (524) | 24,133 | — | — | |||||||
$1,408,065 | $144,254 | $319,430 | $(23,890) | $(256,140) | $ 952,859 | $3,132 | $18,787 | ||||||||
Aggressive Allocation | |||||||||||||||
Money Market | $ 27,722 | $ 33,177 | $ 44,915 | $ — | $ — | $ 15,984 | $ 33 | $ — | |||||||
Value Equity | 336,840 | 13,799 | 75,645 | (11,330) | (30,482) | 233,182 | 2,189 | 4,177 | |||||||
Growth Equity | 322,023 | 71,902 | 27,611 | 1,782 | (131,950) | 236,146 | — | 11,242 | |||||||
Small Cap Equity | 64,753 | 2,876 | 7,655 | 784 | (14,359) | 46,399 | — | — | |||||||
International Equity | 343,462 | 9,246 | 48,014 | (9,778) | (54,962) | 239,954 | — | — | |||||||
Emerging Markets Equity | 140,223 | 4,066 | 16,410 | (1,067) | (25,224) | 101,588 | — | — | |||||||
$1,235,023 | $135,066 | $220,250 | $(19,609) | $(256,977) | $ 873,253 | $2,222 | $15,419 | ||||||||
Low-Duration Bond | |||||||||||||||
Money Market | $ 28,508 | $336,932 | $339,142 | $ — | $ — | $ 26,298 | $ 62 | $ — | |||||||
Medium-Duration Bond | |||||||||||||||
Money Market | $ 133,664 | $638,123 | $688,192 | $ — | $ — | $ 83,595 | $ 134 | $ — | |||||||
Global Bond | |||||||||||||||
Money Market | $ 33,009 | $155,047 | $164,905 | $ — | $ — | $ 23,151 | $ 48 | $ — | |||||||
Defensive Market Strategies® | |||||||||||||||
Money Market | $ 39,220 | $140,633 | $136,644 | $ — | $ — | $ 43,209 | $ 54 | $ — | |||||||
Global Impact Fund | |||||||||||||||
Money Market | $ 5,292 | $ 63,552 | $ 60,622 | $ — | $ — | $ 8,222 | $ 20 | $ — | |||||||
Equity Index | |||||||||||||||
Money Market | $ 62,135 | $436,541 | $436,168 | $ — | $ — | $ 62,508 | $ 160 | $ — | |||||||
Value Equity | |||||||||||||||
Money Market | $ 44,330 | $340,921 | $341,429 | $ — | $ — | $ 43,822 | $ 75 | $ — | |||||||
Growth Equity | |||||||||||||||
Money Market | $ 76,064 | $522,476 | $424,611 | $ — | $ — | $ 173,929 | $ 120 | $ — |
Total Value at 12/31/21 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/22 | Dividend Income | Distributions of Realized Gains | ||||||||
Small Cap Equity | |||||||||||||||
Money Market | $ 30,899 | $158,822 | $158,886 | $ — | $ — | $ 30,835 | $ 43 | $ — | |||||||
International Equity Index | |||||||||||||||
Money Market | $ 46,087 | $221,895 | $234,146 | $ — | $ — | $ 33,836 | $ 47 | $ — | |||||||
International Equity | |||||||||||||||
Money Market | $ 85,821 | $464,107 | $484,151 | $ — | $ — | $ 65,777 | $ 115 | $ — | |||||||
Emerging Markets Equity | |||||||||||||||
Money Market | $ 48,867 | $133,825 | $160,108 | $ — | $ — | $ 22,584 | $ 53 | $ — | |||||||
Global Real Estate Securities | |||||||||||||||
Money Market | $ 9,832 | $ 44,840 | $ 44,342 | $ — | $ — | $ 10,330 | $ 16 | $ — | |||||||
Strategic Alternatives | |||||||||||||||
Money Market | $ 13,189 | $175,563 | $178,960 | $ — | $ — | $ 9,792 | $ 21 | $ — |
Fund | Value of Securities Loaned | Value of Non-cash Collateral | Value of Cash Collateral | Total Value of Collateral * | ||||
Low-Duration Bond | $127,775,464 | $122,100,559 | $ 8,486,598 | $130,587,157 | ||||
Medium-Duration Bond | 139,243,900 | 117,233,484 | 25,291,196 | 142,524,680 | ||||
Global Bond | 38,702,242 | 22,976,416 | 18,066,310 | 41,042,726 | ||||
Defensive Market Strategies® | 223,478,162 | 185,669,635 | 42,992,549 | 228,662,184 | ||||
Global Impact Fund | 499,731 | 587,515 | — | 587,515 | ||||
Equity Index | 81,880,915 | 83,504,126 | 828,915 | 84,333,041 | ||||
Value Equity | 30,170,835 | 30,942,862 | — | 30,942,862 | ||||
Growth Equity | 49,819,098 | 51,872,448 | 33,300 | 51,905,748 | ||||
Small Cap Equity | 73,168,965 | 61,802,203 | 14,379,342 | 76,181,545 | ||||
International Equity Index | 26,147,468 | 17,124,388 | 12,931,742 | 30,056,130 | ||||
International Equity | 23,633,037 | 10,268,586 | 14,800,368 | 25,068,954 | ||||
Emerging Markets Equity | 9,163,688 | 9,636,557 | 373,559 | 10,010,116 | ||||
Global Real Estate Securities | 15,142,920 | 13,994,880 | 1,997,936 | 15,992,816 |
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 | $ 105,060,010 | $ 69,373,578 | $ 7,956,200 | $ 13,520,508 | ||||
MyDestination 2025 | 273,419,403 | 116,057,792 | 8,477,502 | 12,561,624 | ||||
MyDestination 2035 | 257,569,689 | 84,358,764 | — | — | ||||
MyDestination 2045 | 138,257,250 | 39,404,758 | — | — | ||||
MyDestination 2055 | 65,562,227 | 22,651,375 | — | — | ||||
Conservative Allocation | 41,412,209 | 88,959,341 | — | — | ||||
Balanced Allocation | 125,339,359 | 278,706,610 | — | — | ||||
Growth Allocation | 98,239,788 | 257,495,627 | — | — | ||||
Aggressive Allocation | 101,888,044 | 175,333,278 | — | — |
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 | ||||
Low-Duration Bond | $ 169,596,365 | $ 208,851,619 | $1,513,058,974 | $1,491,317,684 | ||||
Medium-Duration Bond | 378,593,480 | 322,504,076 | 3,852,690,131 | 3,717,844,599 | ||||
Global Bond | 92,122,555 | 72,750,374 | 89,376,755 | 99,628,010 | ||||
Defensive Market Strategies® | 137,372,701 | 180,931,287 | 16,088,906 | — | ||||
Global Impact Fund | 24,995,143 | 41,441,636 | 9,827,662 | 11,843,476 | ||||
Equity Index | 208,305,822 | 47,608,296 | — | — | ||||
Value Equity | 272,542,170 | 398,630,077 | — | — | ||||
Growth Equity | 1,840,463,515 | 1,964,443,422 | — | — | ||||
Small Cap Equity | 196,659,126 | 210,478,295 | — | — | ||||
International Equity Index | 124,454,431 | 31,468,566 | — | — | ||||
International Equity | 283,243,345 | 353,307,096 | — | — | ||||
Emerging Markets Equity | 243,506,307 | 204,712,281 | — | — | ||||
Global Real Estate Securities | 159,094,943 | 167,077,660 | — | — | ||||
Strategic Alternatives | 47,628,543 | 39,509,163 | 50,010,078 | 37,699,397 |
Six Months Ended 6/30/22 | Year Ended 12/31/21 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2015 | ||||||||
Shares sold | 7,401,492 | 1,749,433 | 4,844,150 | 5,226,545 | ||||
Shares reinvested | — | — | 1,001,867 | 2,486,585 | ||||
Shares redeemed | (2,275,753) | (5,110,723) | (2,642,499) | (7,315,739) | ||||
Net increase (decrease) | 5,125,739 | (3,361,290) | 3,203,518 | 397,391 | ||||
MyDestination 2025 | ||||||||
Shares sold | 18,418,772 | 3,013,226 | 7,699,621 | 11,913,369 | ||||
Shares reinvested | — | — | 2,219,905 | 5,057,284 | ||||
Shares redeemed | (2,131,373) | (8,195,485) | (4,967,608) | (8,259,662) | ||||
Net increase (decrease) | 16,287,399 | (5,182,259) | 4,951,918 | 8,710,991 | ||||
MyDestination 2035 | ||||||||
Shares sold | 15,759,485 | 3,199,357 | 7,371,277 | 9,546,137 | ||||
Shares reinvested | — | — | 2,187,422 | 4,015,920 | ||||
Shares redeemed | (1,444,147) | (3,423,425) | (2,781,760) | (3,609,896) | ||||
Net increase (decrease) | 14,315,338 | (224,068) | 6,776,939 | 9,952,161 | ||||
MyDestination 2045 | ||||||||
Shares sold | 7,470,862 | 2,955,047 | 5,208,028 | 6,187,399 | ||||
Shares reinvested | — | — | 1,887,851 | 2,968,234 | ||||
Shares redeemed | (994,372) | (1,817,856) | (1,694,482) | (2,320,015) | ||||
Net increase (decrease) | 6,476,490 | 1,137,191 | 5,401,397 | 6,835,618 |
Six Months Ended 6/30/22 | Year Ended 12/31/21 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2055 | ||||||||
Shares sold | 1,576,858 | 1,728,405 | 2,243,114 | 2,971,428 | ||||
Shares reinvested | — | — | 546,705 | 768,682 | ||||
Shares redeemed | (396,563) | (511,779) | (799,085) | (701,731) | ||||
Net increase (decrease) | 1,180,295 | 1,216,626 | 1,990,734 | 3,038,379 | ||||
Conservative Allocation | ||||||||
Shares sold | 2,022,642 | 1,720,378 | 1,789,607 | 4,484,988 | ||||
Shares reinvested | — | — | 456,714 | 1,239,603 | ||||
Shares redeemed | (5,098,150) | (3,880,968) | (1,368,515) | (5,081,411) | ||||
Net increase (decrease) | (3,075,508) | (2,160,590) | 877,806 | 643,180 | ||||
Balanced Allocation | ||||||||
Shares sold | 2,915,473 | 1,274,040 | 3,094,219 | 3,693,466 | ||||
Shares reinvested | — | — | 2,070,923 | 5,088,637 | ||||
Shares redeemed | (13,603,152) | (7,867,974) | (3,187,287) | (9,005,150) | ||||
Net increase (decrease) | (10,687,679) | (6,593,934) | 1,977,855 | (223,047) | ||||
Growth Allocation | ||||||||
Shares sold | 2,437,708 | 848,388 | 1,687,894 | 2,458,447 | ||||
Shares reinvested | — | — | 2,118,339 | 4,513,988 | ||||
Shares redeemed | (13,717,580) | (6,289,818) | (2,493,913) | (6,321,515) | ||||
Net increase (decrease) | (11,279,872) | (5,441,430) | 1,312,320 | 650,920 | ||||
Aggressive Allocation | ||||||||
Shares sold | 1,393,446 | 619,084 | 1,550,024 | 1,747,896 | ||||
Shares reinvested | — | — | 1,764,819 | 4,706,171 | ||||
Shares redeemed | (6,176,080) | (4,510,614) | (1,782,441) | (6,557,198) | ||||
Net increase (decrease) | (4,782,634) | (3,891,530) | 1,532,402 | (103,131) | ||||
Money Market | ||||||||
Shares sold | 3,373,040,390 | 274,709,654 | 6,595,566,663 | 478,461,978 | ||||
Shares reinvested | 415,481 | 464,580 | — | — | ||||
Shares redeemed | (3,413,725,853) | (233,654,593) | (6,609,506,460) | (503,905,897) | ||||
Net increase (decrease) | (40,269,982) | 41,519,641 | (13,939,797) | (25,443,919) | ||||
Low-Duration Bond | ||||||||
Shares sold | 10,062,282 | 5,125,530 | 12,297,352 | 4,121,869 | ||||
Shares reinvested | 272,831 | 69,215 | 660,541 | 133,558 | ||||
Shares redeemed | (12,237,034) | (2,617,589) | (11,092,405) | (4,237,065) | ||||
Net increase (decrease) | (1,901,921) | 2,577,156 | 1,865,488 | 18,362 | ||||
Medium-Duration Bond | ||||||||
Shares sold | 16,008,717 | 1,832,556 | 30,002,575 | 8,924,700 | ||||
Shares reinvested | 821,188 | 119,444 | 2,496,653 | 492,007 | ||||
Shares redeemed | (18,603,260) | (8,148,734) | (11,091,537) | (5,852,084) | ||||
Net increase (decrease) | (1,773,355) | (6,196,734) | 21,407,691 | 3,564,623 |
Six Months Ended 6/30/22 | Year Ended 12/31/21 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
Global Bond | ||||||||
Shares sold | 5,658,580 | 1,204,658 | 8,076,227 | 3,182,942 | ||||
Shares reinvested | 133,487 | 13,660 | 1,844,923 | 416,321 | ||||
Shares redeemed | (6,374,356) | (1,904,233) | (2,909,811) | (2,594,597) | ||||
Net increase (decrease) | (582,289) | (685,915) | 7,011,339 | 1,004,666 | ||||
Defensive Market Strategies® | ||||||||
Shares sold | 5,965,260 | 2,297,371 | 6,902,932 | 5,231,876 | ||||
Shares reinvested | 14,407,231 | 5,669,375 | 7,183,992 | 3,045,077 | ||||
Shares redeemed | (6,990,214) | (5,136,934) | (6,285,174) | (5,409,566) | ||||
Net increase (decrease) | 13,382,277 | 2,829,812 | 7,801,750 | 2,867,387 | ||||
Global Impact Fund | ||||||||
Shares sold | 158,627 | 244,489 | 13,898,564 | 2,857,207 | ||||
Shares reinvested | — | — | 98,040 | 13,964 | ||||
Shares redeemed | (1,698,330) | (400,381) | (715,315) | (92,096) | ||||
Net increase (decrease) | (1,539,703) | (155,892) | 13,281,289 | 2,779,075 | ||||
Equity Index | ||||||||
Shares sold | 7,953,922 | 1,472,454 | 6,459,229 | 2,714,850 | ||||
Shares reinvested | 769,009 | 236,816 | 1,550,151 | 580,780 | ||||
Shares redeemed | (2,938,293) | (2,279,841) | (3,920,446) | (2,392,583) | ||||
Net increase (decrease) | 5,784,638 | (570,571) | 4,088,934 | 903,047 | ||||
Value Equity | ||||||||
Shares sold | 2,035,023 | 2,499,975 | 2,429,719 | 3,353,149 | ||||
Shares reinvested | 1,094,538 | 581,721 | 5,205,254 | 2,284,610 | ||||
Shares redeemed | (9,597,342) | (1,936,822) | (8,502,943) | (2,853,079) | ||||
Net increase (decrease) | (6,467,781) | 1,144,874 | (867,970) | 2,784,680 | ||||
Growth Equity | ||||||||
Shares sold | 8,126,472 | 1,098,920 | 2,838,191 | 2,248,238 | ||||
Shares reinvested | 2,050,150 | 1,546,256 | 6,350,653 | 5,774,226 | ||||
Shares redeemed | (5,206,321) | (4,536,604) | (6,916,409) | (6,366,272) | ||||
Net increase (decrease) | 4,970,301 | (1,891,428) | 2,272,435 | 1,656,192 | ||||
Small Cap Equity | ||||||||
Shares sold | 2,979,199 | 723,518 | 3,728,451 | 3,807,008 | ||||
Shares reinvested | — | — | 3,780,241 | 2,611,136 | ||||
Shares redeemed | (2,132,861) | (2,264,654) | (3,876,671) | (2,771,764) | ||||
Net increase (decrease) | 846,338 | (1,541,136) | 3,632,021 | 3,646,380 | ||||
International Equity Index | ||||||||
Shares sold | 13,230,081 | 383,867 | 10,004,669 | |||||
Shares reinvested | — | — | 3,598,778 | |||||
Shares redeemed | (5,550,876) | (8,746) | (12,093,750) | |||||
Net increase (decrease) | 7,679,205 | 375,121 | 1,509,697 |
Six Months Ended 6/30/22 | Year Ended 12/31/21 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
International Equity | ||||||||
Shares sold | 3,992,426 | 1,637,894 | 3,523,313 | 2,489,465 | ||||
Shares reinvested | — | — | 5,146,144 | 1,834,359 | ||||
Shares redeemed | (10,377,644) | (2,345,630) | (8,391,353) | (3,674,758) | ||||
Net increase (decrease) | (6,385,218) | (707,736) | 278,104 | 649,066 | ||||
Emerging Markets Equity | ||||||||
Shares sold | 6,411,392 | 1,563,334 | 13,190,047 | 3,838,437 | ||||
Shares reinvested | — | — | 7,911,253 | 1,221,571 | ||||
Shares redeemed | (5,168,110) | (1,597,394) | (9,678,323) | (2,416,761) | ||||
Net increase (decrease) | 1,243,282 | (34,060) | 11,422,977 | 2,643,247 | ||||
Global Real Estate Securities | ||||||||
Shares sold | 2,031,979 | 1,021,989 | 2,223,392 | 2,568,833 | ||||
Shares reinvested | 468,952 | 225,349 | 1,199,318 | 600,819 | ||||
Shares redeemed | (2,284,180) | (1,657,045) | (2,981,327) | (1,458,760) | ||||
Net increase (decrease) | 216,751 | (409,707) | 441,383 | 1,710,892 | ||||
Strategic Alternatives | ||||||||
Shares sold | 4,898,851 | 3,490,714 | 4,924,640 | 709,263 | ||||
Shares reinvested | — | — | 458,724 | 52,746 | ||||
Shares redeemed | (8,172,240) | (1,072,280) | (3,836,192) | (1,535,551) | ||||
Net increase (decrease) | (3,273,389) | 2,418,434 | 1,547,172 | (773,542) |
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 | |||||
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 |
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
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 | ||||
Strategic Alternatives | 5,492,945 | 644,482 | — | 1,228,944 |
Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Investments | Depreciated Investments | ||||
MyDestination 2015 | $ 720,109,268 | $ (54,186,245) | $ 8,018,953 | $ (62,205,198) | ||||
MyDestination 2025 | 1,742,794,380 | (110,231,766) | 41,342,400 | (151,574,166) | ||||
MyDestination 2035 | 1,393,168,702 | (72,564,244) | 47,684,429 | (120,248,673) | ||||
MyDestination 2045 | 1,004,217,540 | (24,178,325) | 51,402,854 | (75,581,179) | ||||
MyDestination 2055 | 410,294,107 | (20,827,971) | 11,569,246 | (32,397,217) | ||||
Conservative Allocation | 499,818,621 | (44,936,461) | 552,349 | (45,488,810) | ||||
Balanced Allocation | 1,459,581,855 | (207,650,837) | 2,371,811 | (210,022,648) | ||||
Growth Allocation | 1,134,178,891 | (181,319,697) | 17,756 | (181,337,453) | ||||
Aggressive Allocation | 1,067,488,191 | (194,235,128) | — | (194,235,128) | ||||
Money Market | 1,618,769,393 | — | — | — | ||||
Low-Duration Bond | 1,097,680,999 | (46,512,320) | 3,540,894 | (50,053,214) | ||||
Medium-Duration Bond | 2,464,368,023 | (186,883,425) | 22,136,253 | (209,019,678) | ||||
Global Bond | 639,839,467 | (96,020,168) | 24,628,387 | (120,648,555) | ||||
Defensive Market Strategies® | 1,393,106,019 | (82,416,214) | 27,352,040 | (109,768,254) | ||||
Global Impact Fund | 139,684,822 | (16,237,067) | 3,113,044 | (19,350,111) | ||||
Equity Index | 1,939,164,381 | 878,577,898 | 962,791,430 | (84,213,532) | ||||
Value Equity | 1,087,157,887 | 26,909,649 | 102,377,191 | (75,467,542) | ||||
Growth Equity | 1,384,651,644 | (36,350,949) | 180,841,914 | (217,192,863) | ||||
Small Cap Equity | 724,499,384 | (36,314,560) | 74,101,498 | (110,416,058) | ||||
International Equity Index | 796,163,615 | (47,955,263) | 47,294,695 | (95,249,958) | ||||
International Equity | 1,057,572,015 | (89,508,176) | 51,834,568 | (141,342,744) | ||||
Emerging Markets Equity | 750,899,877 | (89,123,042) | 34,058,423 | (123,181,465) | ||||
Global Real Estate Securities | 294,482,577 | (34,776,842) | 5,061,279 | (39,838,121) | ||||
Strategic Alternatives | 322,754,151 | (5,867,941) | 10,901,145 | (16,769,086) |
• | the process for categorizing each Fund’s portfolio holdings into one of four liquidity categories, as defined in the Rule and the role of the Funds’ third-party liquidity classification data provider in the classification process, noting that no operational or compliance issues were detected; |
• | a review of the Funds’ liquidity factors, as enumerated in the Rule; |
• | each Fund remained primarily highly liquid, as the term is defined in the Rule; |
• | due to the highly liquid nature of each of the Funds, a highly liquid investment minimum had not been established for any Fund; |
• | there were no liquidity events that materially affected the ability of any Fund to sell portfolio securities without significantly affecting its market value in order to timely meet redemptions without dilution to ongoing shareholders; |
• | at no time during the Review Period did any Fund approach the 15% Limit or 15% Threshold on illiquid investments, as those terms are defined in the Program; |
• | there were no material changes to the Program during the Review Period; |
• | the Program is reasonably designed and is operating effectively to assess and manage the liquidity risk for each Fund; |
• | the Program has been and continues to be adequately and effectively implemented to monitor and (as applicable) respond to developments with the potential to impact the Funds’ liquidity. |
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 |
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 Capital Management, LLC, 2011 – 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 | $ 8.5Tr | |||
Low-Duration Bond | BlackRock Financial Management, Inc.(1) | 1994 | $ 8.5Tr | |||
Pacific Investment Management Company LLC | 1971 | $ 1.8Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $376.2B | ||||
Payden & Rygel | 1983 | $135.9B | ||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $ 2.3Tr | |||
Guggenheim Partners Investment Management, LLC | 2005 | $227.6B | ||||
Pacific Investment Management Company LLC | 1971 | $ 1.8Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $376.2B | ||||
Western Asset Management Company, LLC | 1971 | $407.5B | ||||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $290.9B | |||
Neuberger Berman Investment Advisers LLC | 2002 | $418.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $376.2B | ||||
Western Asset Management Company, LLC | 1971 | $407.5B | ||||
Defensive Market Strategies® | American Century Investment Management, Inc. | 1958 | $200.3B | |||
Neuberger Berman Investment Advisers LLC | 2002 | $418.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $376.2B | ||||
PGIM Quantitative Solutions LLC | 1975 | $ 91.5B | ||||
Shenkman Capital Management, Inc. | 1985 | $ 28.3B | ||||
Global Impact | Janus Henderson Investors US LLC | 1969 | $299.7B | |||
Parametric Portfolio Associates LLC | 1987 | $376.2B | ||||
RBC Global Asset Management (U.S.) Inc. | 1983 | $ 45.6B | ||||
Equity Index | Legal & General Investment Management America, Inc. | 2006 | $223.9B | |||
Value Equity | American Century Investment Management, Inc. | 1958 | $200.3B | |||
Barrow, Hanley, Mewhinney & Strauss, LLC | 1979 | $ 43.3B | ||||
The London Company of Virginia, LLC | 1994 | $ 14.2B | ||||
Parametric Portfolio Associates LLC | 1987 | $376.2B | ||||
TCW Investment Management Company LLC | 1971 | $220.0B | ||||
Growth Equity | J.P. Morgan Investment Management Inc. | 1984 | $ 2.3Tr | |||
Loomis, Sayles & Company, L.P. | 1926 | $290.9B | ||||
Parametric Portfolio Associates LLC | 1987 | $376.2B | ||||
Sands Capital Management, LLC | 1992 | $ 42.3B | ||||
William Blair Investment Management, LLC | 2014 | $ 56.2B | ||||
Small Cap Equity | American Century Investment Management, Inc. | 1958 | $200.3B | |||
Delaware Investments Fund Advisers | 1929 | $534.2B | ||||
Jacobs Levy Equity Management, Inc. | 1986 | $ 12.4B | ||||
Parametric Portfolio Associates LLC | 1987 | $376.2B | ||||
TimesSquare Capital Management, LLC | 2000 | $ 9.5B | ||||
International Equity Index | Legal & General Investment Management America, Inc. | 2006 | $223.9B | |||
International Equity | Altrinsic Global Advisors, LLC | 2000 | $ 8.6B | |||
AQR Capital Management, LLC | 1998 | $100.1B | ||||
Harris Associates L.P. | 1976 | $ 98.6B | ||||
MFS Institutional Advisors, Inc. | 1924 | $552.6B | ||||
Parametric Portfolio Associates LLC | 1987 | $376.2B | ||||
WCM Investment Management, LLC | 1976 | $ 71.1B | ||||
Emerging Markets Equity | AQR Capital Management, LLC | 1998 | $100.1B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $ 2.3Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $376.2B | ||||
RBC Global Asset Management (UK) Limited | 2013 | $ 58.1B | ||||
Wellington Management Company LLP | 1928 | $ 1.3B | ||||
Global Real Estate Securities | Heitman Real Estate Securities, LLC | 1989 | $ 53.3B | |||
RREEF America L.L.C. | 1975 | $ 87.1B(2) | ||||
Strategic Alternatives | AQR Capital Management, LLC | 1998 | $100.1B |
Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
Forward Management, LLC (d/b/a Salient) | 1998 | $ 3.9B | ||||
Broadmark Asset Management LLC | 1999 | $ 1.3B | ||||
Goldman Sachs Asset Management, L.P. | 1984 | $ 2.3Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $376.2B | ||||
P/E Global LLC | 2000 | $ 14.9B | ||||
SSI Investment Management LLC | 1973 | $ 2.1B | ||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $ 10.7Tr | |||
Cash Overlay for All Funds, except the Money Market Fund | Parametric Portfolio Associates LLC | 1987 | $376.2B |
Item 1. | Reports to Stockholders (cont.). |
(b) | Not applicable. |
Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
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 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 (17 CFR 270.30a-3(d))) 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)(1) | Not applicable. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
(a)(3) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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 September 1, 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 September 1, 2022
By (Signature and Title)* | /s/ Patrick Pattison | |
Patrick Pattison, Vice President and Treasurer | ||
(Principal Financial Officer) |
Date September 1, 2022
* | Print the name and title of each signing officer under his or her signature. |