Pioneer Balanced ESG Fund | |||
(Formerly Pioneer Classic Balanced Fund)* | |||
Schedule of Investments | October 31, 2019 | |||
| Ticker Symbols: | |||
Class A | AOBLX | ||
Class C | PCBCX | ||
Class K | PCBKX | ||
Class R | CBPRX | ||
Class Y | AYBLX | ||
| Shares | Value | |||||||
| UNAFFILIATED ISSUERS - 100.8% | ||||||||
| COMMON STOCKS - 61.7% of Net Assets | ||||||||
Aerospace & Defense - 1.6% | ||||||||
| 22,741 | Raytheon Co. | $4,825,868 | ||||||
| Total Aerospace & Defense | $4,825,868 | |||||||
Air Freight & Logistics - 0.2% | ||||||||
| 7,787 | CH Robinson Worldwide, Inc. | $589,009 | ||||||
| Total Air Freight & Logistics | $589,009 | |||||||
Banks - 3.0% | ||||||||
| 20,644 | Comerica, Inc. | $1,350,530 | ||||||
| 44,021 | JPMorgan Chase & Co. | 5,499,103 | ||||||
| 49,228 | Wells Fargo & Co. | 2,541,642 | ||||||
| Total Banks | $9,391,275 | |||||||
Beverages - 1.4% | ||||||||
| 31,678 | PepsiCo., Inc. | $4,345,271 | ||||||
| Total Beverages | $4,345,271 | |||||||
Building Products - 0.1% | ||||||||
| 18,953(a) | Resideo Technologies, Inc. | $180,622 | ||||||
| Total Building Products | $180,622 | |||||||
Capital Markets - 2.6% | ||||||||
| 3,266 | BlackRock, Inc. | $1,507,912 | ||||||
| 24,421 | CME Group, Inc. | 5,024,621 | ||||||
| 12,888 | T.Rowe Price Group, Inc. | 1,492,430 | ||||||
| Total Capital Markets | $8,024,963 | |||||||
Chemicals - 1.4% | ||||||||
| 31,105 | Dow, Inc. | $1,570,491 | ||||||
| 7,126 | Ecolab, Inc. | 1,368,691 | ||||||
| 16,867 | HB Fuller Co. | 823,110 | ||||||
| 25,495 | Huntsman Corp. | 564,204 | ||||||
| Total Chemicals | $4,326,496 | |||||||
Commercial Services & Supplies - 1.5% | ||||||||
| 73,710(a) | IAA, Inc. | $2,812,036 | ||||||
| 71,209 | KAR Auction Services, Inc. | 1,770,256 | ||||||
| Total Commercial Services & Supplies | $4,582,292 | |||||||
Communications Equipment - 3.7% | ||||||||
| 123,681 | Cisco Systems, Inc. | $5,876,084 | ||||||
| 34,211 | Motorola Solutions, Inc. | 5,689,974 | ||||||
| Total Communications Equipment | $11,566,058 | |||||||
Containers & Packaging - 0.3% | ||||||||
| 23,418 | International Paper Co. | $1,022,898 | ||||||
| Total Containers & Packaging | $1,022,898 | |||||||
Diversified Telecommunication Services - 3.2% | ||||||||
| 146,389 | CenturyLink, Inc. | $1,894,274 | ||||||
| 136,006 | Verizon Communications, Inc. | 8,224,283 | ||||||
| Total Diversified Telecommunication Services | $10,118,557 | |||||||
Electrical Equipment - 0.4% | ||||||||
| 17,312 | Emerson Electric Co. | $1,214,437 | ||||||
| Total Electrical Equipment | $1,214,437 | |||||||
Electronic Equipment, Instruments & Components - 0.5% | ||||||||
| 17,123 | TE Connectivity, Ltd. | $1,532,508 | ||||||
| Total Electronic Equipment, Instruments & Components | $1,532,508 | |||||||
Equity Real Estate Investment Trusts (REITs) - 2.1% | ||||||||
| 10,561 | Alexandria Real Estate Equities, Inc. | $1,676,559 | ||||||
| 17,672 | Crown Castle International Corp. | 2,452,697 | ||||||
| 8,831 | Digital Realty Trust, Inc. | 1,121,890 | ||||||
| 2,536 | Equinix, Inc. | 1,437,354 | ||||||
| Total Equity Real Estate Investment Trusts (REITs) | $6,688,500 | |||||||
Food & Staples Retailing - 0.4% | ||||||||
| 16,455 | Sysco Corp. | $1,314,261 | ||||||
| Total Food & Staples Retailing | $1,314,261 | |||||||
Food Products - 0.4% | ||||||||
| 7,984 | Hershey Co. | $1,172,610 | ||||||
| Total Food Products | $1,172,610 | |||||||
Health Care - 0.7% | ||||||||
| 18,992 | Medtronic Plc | $2,068,229 | ||||||
| Total Health Care | $2,068,229 | |||||||
Health Care Equipment & Supplies - 0.8% | ||||||||
| 10,173 | Becton Dickinson and Co. | $2,604,288 | ||||||
| Total Health Care Equipment & Supplies | $2,604,288 | |||||||
Health Care Providers & Services - 1.4% | ||||||||
| 26,040 | CVS Health Corp. | $1,728,796 | ||||||
| 26,606 | Quest Diagnostics, Inc. | 2,693,857 | ||||||
| Total Health Care Providers & Services | $4,422,653 | |||||||
Hotels, Restaurants & Leisure - 2.3% | ||||||||
| 41,324 | Cedar Fair LP | $2,304,639 | ||||||
| 2,091(a) | Chipotle Mexican Grill, Inc. | 1,627,132 | ||||||
| 15,801 | McDonald’s Corp. | 3,108,057 | ||||||
| Total Hotels, Restaurants & Leisure | $7,039,828 | |||||||
| Shares | Value | |||||||
Household Products - 1.7% | ||||||||
| 43,405 | Procter & Gamble Co. | $5,404,357 | ||||||
| Total Household Products | $5,404,357 | |||||||
Industrial Conglomerates - 1.4% | ||||||||
| 25,371 | Honeywell International, Inc. | $4,382,333 | ||||||
| Total Industrial Conglomerates | $4,382,333 | |||||||
Insurance - 3.0% | ||||||||
| 40,200 | American International Group, Inc. | $2,128,992 | ||||||
| 16,811 | First American Financial Corp. | 1,038,584 | ||||||
| 51,454 | Progressive Corp. | 3,586,344 | ||||||
| 54,863 | Sun Life Financial, Inc. | 2,462,251 | ||||||
| Total Insurance | $9,216,171 | |||||||
Interactive Media & Services - 3.3% | ||||||||
| 8,150(a) | Alphabet, Inc. | $10,259,220 | ||||||
| Total Interactive Media & Services | $10,259,220 | |||||||
Internet & Direct Marketing Retail - 2.8% | ||||||||
| 4,542(a) | Amazon.com, Inc. | $8,069,590 | ||||||
| 17,462 | eBay, Inc. | 615,535 | ||||||
| Total Internet & Direct Marketing Retail | $8,685,125 | |||||||
IT Services - 0.6% | ||||||||
| 10,407 | Accenture Plc | $1,929,666 | ||||||
| Total IT Services | $1,929,666 | |||||||
Machinery - 0.5% | ||||||||
| 28,558 | Komatsu, Ltd. (A.D.R.) | $666,829 | ||||||
| 21,264 | Timken Co. | 1,041,936 | ||||||
| Total Machinery | $1,708,765 | |||||||
Media - 1.3% | ||||||||
| 91,480 | Comcast Corp. | $4,100,134 | ||||||
| Total Media | $4,100,134 | |||||||
Metals & Mining - 0.3% | ||||||||
| 17,193 | Nucor Corp. | $925,843 | ||||||
| Total Metals & Mining | $925,843 | |||||||
Multiline Retail - 0.5% | ||||||||
| 8,897 | Dollar General Corp. | $1,426,545 | ||||||
| Total Multiline Retail | $1,426,545 | |||||||
Oil, Gas & Consumable Fuels - 2.7% | ||||||||
| 28,755 | Occidental Petroleum Corp. | $1,164,578 | ||||||
| 11,953 | Phillips 66 | 1,396,349 | ||||||
| 23,993 | Royal Dutch Shell Plc (A.D.R.) | 1,390,874 | ||||||
| 58,670 | Targa Resources Corp. | 2,281,090 | ||||||
| 23,419 | Valero Energy Corp. | 2,271,175 | ||||||
| Total Oil, Gas & Consumable Fuels | $8,504,066 | |||||||
Pharmaceuticals - 5.2% | ||||||||
| 84,422 | AstraZeneca Plc (A.D.R.) | $4,139,211 | ||||||
| 34,878(a) | Elanco Animal Health, Inc. | 942,403 | ||||||
| 24,764 | Eli Lilly & Co. | 2,821,858 | ||||||
| 46,927 | Merck & Co., Inc. | 4,066,694 | ||||||
| 33,361 | Zoetis, Inc. | 4,267,539 | ||||||
| Total Pharmaceuticals | $16,237,705 | |||||||
Semiconductors & Semiconductor Equipment - 2.0% | ||||||||
| 10,492 | Lam Research Corp. | $2,843,751 | ||||||
| 34,545(a) | Micron Technology, Inc. | 1,642,615 | ||||||
| 16,322 | MKS Instruments, Inc. | 1,766,367 | ||||||
| Total Semiconductors & Semiconductor Equipment | $6,252,733 | |||||||
Software - 3.7% | ||||||||
| 81,326 | Microsoft Corp. | $11,659,709 | ||||||
| Total Software | $11,659,709 | |||||||
Specialty Retail - 2.1% | ||||||||
| 17,746 | Home Depot, Inc. | $4,162,857 | ||||||
| 30,133 | TJX Cos., Inc. | 1,737,167 | ||||||
| 5,866 | Tractor Supply Co. | 557,387 | ||||||
| Total Specialty Retail | $6,457,411 | |||||||
Technology Hardware, Storage & Peripherals - 1.7% | ||||||||
| 14,052 | Apple, Inc. | $3,495,576 | ||||||
| 29,842 | NetApp, Inc. | 1,667,571 | ||||||
| Total Technology Hardware, Storage & Peripherals | $5,163,147 | |||||||
Textiles, Apparel & Luxury Goods - 0.5% | ||||||||
| 15,335 | Carter’s, Inc. | $1,537,180 | ||||||
| Total Textiles, Apparel & Luxury Goods | $1,537,180 | |||||||
Trading Companies & Distributors - 0.4% | ||||||||
| 8,234(a) | United Rentals, Inc. | $1,099,815 | ||||||
| Total Trading Companies & Distributors | $1,099,815 | |||||||
| TOTAL COMMON STOCKS | ||||||||
(Cost $152,390,007) | $191,980,548 | |||||||
| Principal Amount USD ($) | Value | |||||||
| ASSET BACKED SECURITIES - 1.4% of Net Assets | ||||||||
| 100,000 | Amur Equipment Finance Receivables VI LLC, Series 2018-2A, Class C, 4.27%, 1/20/23 (144A) | $103,838 | ||||||
| 300,000 | Amur Equipment Finance Receivables VI LLC, Series 2018-2A, Class D, 4.45%, 6/20/23 (144A) | 310,964 | ||||||
| 200,000 | BCC Funding XIV LLC, Series 2018-1A, Class B, 3.39%, 8/21/23 (144A) | 203,855 | ||||||
| 404,353 | BXG Receivables Note Trust, Series 2018-A, Class C, 4.44%, 2/2/34 (144A) | 417,559 | ||||||
| 150,000 | Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/39 (144A) | 152,859 | ||||||
| 180,000 | Home Partners of America Trust, Series 2019-2, Class E, 3.32%, 10/19/39 (144A) | 179,212 | ||||||
| 570,000(b) | Invitation Homes Trust, Series 2018-SFR3, Class E, 3.889% (1 Month USD LIBOR + 200 bps), 7/17/37 (144A) | 570,296 | ||||||
| 100,000 | Mosaic Solar Loan Trust, Series 2019-2A, 2.88%, 9/20/40 (144A) | 99,966 | ||||||
| 250,000 | NFAS LLC, Series 2019-1, Class A, 4.172%, 8/15/24 (144A) | 252,799 | ||||||
| 300,000 | Progress Residential Trust, Series 2018-SFR3, Class E, 4.873%, 10/17/35 (144A) | 311,896 | ||||||
| 210,000 | Progress Residential Trust, Series 2019-SFR2, Class E, 4.142%, 5/17/36 (144A) | 215,286 | ||||||
| 200,000 | Republic Finance Issuance Trust, Series 2019-A, Class A, 3.43%, 11/22/27 (144A) | 200,351 | ||||||
| 150,000 | SCF Equipment Leasing LLC, Series 2019-2A, Class C, 3.11%, 6/21/27 (144A) | 149,995 | ||||||
| 221,477 | SpringCastle Funding Asset-Backed Notes, Series 2019-AA, Class A, 3.2%, 5/27/36 (144A) | 224,096 | ||||||
| 252,649(c) | Towd Point Mortgage Trust, Series 2018-SJ1, Class A1, 4.0%, 10/25/58 (144A) | 254,742 | ||||||
| 170,000 | Tricon American Homes Trust, Series 2019-SFR1, Class A, 2.75%, 3/17/38 (144A) | 171,401 | ||||||
| 471,353 | Welk Resorts LLC, Series 2019-AA, Class C, 3.34%, 6/15/38 (144A) | 476,424 | ||||||
| 83,807 | Westgate Resorts LLC, Series 2016-1A, Class B, 4.5%, 12/20/28 (144A) | 83,899 | ||||||
| 100,000 | Westlake Automobile Receivables Trust, Series 2019-3A, Class E, 3.59%, 3/17/25 (144A) | 100,172 | ||||||
| TOTAL ASSET BACKED SECURITIES | ||||||||
(Cost $4,412,164) | $4,479,610 | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS - 7.5% of Net Assets | ||||||||
| 110,000(c) | Angel Oak Mortgage Trust I LLC, Series 2019-1, Class M1, 4.5%, 11/25/48 (144A) | $113,778 | ||||||
| 200,000(c) | BAMLL Commercial Mortgage Securities Trust, Series 2016-FR14, Class A, 2.96%, 2/27/48 (144A) | 199,478 | ||||||
| 500,000 | BANK, Series 2017-BNK7, Class AS, 3.748%, 9/15/60 | 537,772 | ||||||
| 367,113(b) | Bear Stearns ALT-A Trust, Series 2005-7, Class 11A1, 2.363% (1 Month USD LIBOR + 54 bps), 8/25/35 | 371,005 | ||||||
| 275,051(b) | Bellemeade Re, Ltd., Series 2018-1A, Class M1B, 3.423% (1 Month USD LIBOR + 160 bps), 4/25/28 (144A) | 275,342 | ||||||
| 150,000(b) | Bellemeade Re, Ltd., Series 2018-3A, Class M1B, 3.673% (1 Month USD LIBOR + 185 bps), 10/25/28 (144A) | 150,000 | ||||||
| 150,000(b) | Bellemeade Re, Ltd., Series 2019-1A, Class M1B, 3.573% (1 Month USD LIBOR + 175 bps), 3/25/29 (144A) | 150,225 | ||||||
| 100,000 | CD Mortgage Trust, Series 2018-CD7, Class A3, 4.013%, 8/15/51 | 111,976 | ||||||
| 250,000 | CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A2, 3.597%, 1/10/48 | 267,822 | ||||||
| 250,000(b) | CHC Commercial Mortgage Trust, Series 2019-CHC, Class E, 4.264% (1 Month USD LIBOR + 235 bps), 6/15/34 (144A) | 250,000 | ||||||
| 500,000(c) | Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class B, 4.805%, 3/10/47 | 544,621 | ||||||
| 528,632(c) | Citigroup Mortgage Loan Trust, Series 2018-RP2, Class A1, 3.5%, 2/25/58 (144A) | 543,055 | ||||||
| 494,723(c) | Citigroup Mortgage Loan Trust, Inc., Series 2018-RP1, Class A1, 3.0%, 9/25/64 (144A) | 499,960 | ||||||
| 500,000 | COMM Mortgage Trust, Series 2012-CR2, Class AM, 3.791%, 8/15/45 | 516,030 | ||||||
| 332,429 | COMM Mortgage Trust, Series 2014-UBS3, Class A3, 3.546%, 6/10/47 | 349,689 | ||||||
| 750,000 | COMM Mortgage Trust, Series 2015-3BP, Class A, 3.178%, 2/10/35 (144A) | 786,801 | ||||||
| 250,000(c) | COMM Mortgage Trust, Series 2015-CR23, Class CMD, 3.685%, 5/10/48 (144A) | 250,402 | ||||||
| 40,180(b) | Connecticut Avenue Securities Trust, Series 2018-R07, Class 1M1, 2.573% (1 Month USD LIBOR + 75 bps), 4/25/31 (144A) | 40,185 | ||||||
| 850,000(b) | Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2, 4.123% (1 Month USD LIBOR + 230 bps), 8/25/31 (144A) | 855,148 | ||||||
| 190,000(b) | Connecticut Avenue Securities Trust, Series 2019-R06, Class 2M2, 3.923% (1 Month USD LIBOR + 210 bps), 9/25/39 (144A) | 190,324 | ||||||
| 230,000(b) | Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M2, 3.923% (1 Month USD LIBOR + 210 bps), 10/25/39 (144A) | 229,960 | ||||||
| 2,904 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C2, Class AMFX, 4.877%, 4/15/37 | 2,821 | ||||||
| 400,000(b) | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class E, 4.064% (1 Month USD LIBOR + 215 bps), 5/15/36 (144A) | 401,504 | ||||||
| 100,000(c) | CSAIL Commercial Mortgage Trust, Series 2015-C4, Class B, 4.331%, 11/15/48 | 107,573 | ||||||
| Principal Amount USD ($) | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | ||||||||
| 500,000(c) | CSAIL Commercial Mortgage Trust, Series 2016-C5, Class C, 4.536%, 11/15/48 | $538,249 | ||||||
| 740,932(c) | CSMC Trust, Series 2019-RPL1, Class A1A, 3.65%, 7/25/58 (144A) | 765,172 | ||||||
| 197,601(b) | Eagle Re, Ltd., Series 2018-1, Class M1, 3.523% (1 Month USD LIBOR + 170 bps), 11/25/28 (144A) | 197,919 | ||||||
| 350,000(b) | Eagle Re, Ltd., Series 2019-1, Class M1B, 3.623% (1 Month USD LIBOR + 180 bps), 4/25/29 (144A) | 350,856 | ||||||
| 241,100(c) | EverBank Mortgage Loan Trust, Series 2013-2, Class A, 3.0%, 6/25/43 (144A) | 244,274 | ||||||
| 340,000(b) | Fannie Mae Connecticut Avenue Securities, Series 2018-C03, Class 1M2, 3.973% (1 Month USD LIBOR + 215 bps), 10/25/30 | 341,834 | ||||||
| 88,141(b) | Federal Home Loan Mortgage Corp. REMICS, Series 1671, Class S, 2.571% (1 Month USD LIBOR + 65 bps), 2/15/24 | 89,368 | ||||||
| 781,421 | Federal Home Loan Mortgage Corp. REMICS, Series 3816, Class HA, 3.5%, 11/15/25 | 817,389 | ||||||
| 30,724(b) | Federal Home Loan Mortgage Corp. REMICS, Series 3868, Class FA, 2.321% (1 Month USD LIBOR + 40 bps), 5/15/41 | 30,371 | ||||||
| 241,242(b)(d) | Federal Home Loan Mortgage Corp. REMICS, Series 4091, Class SH, 4.629% (1 Month USD LIBOR + 655 bps), 8/15/42 | 51,336 | ||||||
| 40,527(b) | Federal National Mortgage Association REMICS, Series 2006-23, Class FP, 2.123% (1 Month USD LIBOR + 30 bps), 4/25/36 | 40,412 | ||||||
| 29,914(b) | Federal National Mortgage Association REMICS, Series 2006-104, Class GF, 2.143% (1 Month USD LIBOR + 32 bps), 11/25/36 | 29,851 | ||||||
| 17,762(b) | Federal National Mortgage Association REMICS, Series 2007-93, Class FD, 2.373% (1 Month USD LIBOR + 55 bps), 9/25/37 | 17,703 | ||||||
| 101,021(b) | Federal National Mortgage Association REMICS, Series 2011-63, Class FG, 2.273% (1 Month USD LIBOR + 45 bps), 7/25/41 | 101,241 | ||||||
| 280,584(b) | Freddie Mac Stacr Trust, Series 2018-HQA2, Class M1, 2.573% (1 Month USD LIBOR + 75 bps), 10/25/48 (144A) | 280,842 | ||||||
| 350,000(b) | Freddie Mac Stacr Trust, Series 2019-DNA2, Class M2, 4.273% (1 Month USD LIBOR + 245 bps), 3/25/49 (144A) | 352,524 | ||||||
| 190,000(b) | Freddie Mac Stacr Trust, Series 2019-DNA3, Class M2, 3.873% (1 Month USD LIBOR + 205 bps), 7/25/49 (144A) | 190,298 | ||||||
| 80,000(b) | Freddie Mac Stacr Trust, Series 2019-HQA1, Class M2, 4.173% (1 Month USD LIBOR + 235 bps), 2/25/49 (144A) | 80,525 | ||||||
| 310,000(b) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA3, Class M2, 4.323% (1 Month USD LIBOR + 250 bps), 3/25/30 | 316,206 | ||||||
| 25,387(b) | Government National Mortgage Association, Series 2000-36, Class FG, 2.346% (1 Month USD LIBOR + 50 bps), 11/20/30 | 25,390 | ||||||
| 1,798,073(c)(d) | Government National Mortgage Association, Series 2017-21, Class IO, 0.796%, 10/16/58 | 123,005 | ||||||
| 290,000 | GS Mortgage Securities Trust, Series 2015-GC28, Class A5, 3.396%, 2/10/48 | 306,677 | ||||||
| 551,650(c) | GS Mortgage-Backed Securities Trust, Series 2019-SL1, Class A1, 2.625%, 1/25/59 (144A) | 549,249 | ||||||
| 118,638(b) | Home Re, Ltd., Series 2018-1, Class M1, 3.423% (1 Month USD LIBOR + 160 bps), 10/25/28 (144A) | 118,699 | ||||||
| 250,000(b) | Home Re, Ltd., Series 2019-1, Class M1, 3.473% (1 Month USD LIBOR + 165 bps), 5/25/29 (144A) | 250,228 | ||||||
| 375,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX, 4.248%, 7/5/33 (144A) | 401,247 | ||||||
| 500,000(c) | JP Morgan Mortgage Trust, Series 2019-LTV3, Class A3, 3.5%, 3/25/50 (144A) | 507,734 | ||||||
| 250,000 | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class A4, 4.211%, 6/15/51 | 282,603 | ||||||
| 2,450,000(c)(d) | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class XB, 0.113%, 6/15/51 | 27,549 | ||||||
| 950,000(c) | Mill City Mortgage Loan Trust, Series 2018-4, Class A1B, 3.5%, 4/25/66 (144A) | 982,250 | ||||||
| 300,000 | Morgan Stanley Capital I Trust, Series 2018-MP, Class A, 4.418%, 7/11/40 (144A) | 345,004 | ||||||
| 228,206(c) | New Residential Mortgage Loan Trust, Series 2019-NQM4, Class A1, 2.492%, 9/25/59 (144A) | 228,040 | ||||||
| 480,984(c) | New Residential Mortgage Loan Trust, Series 2019-RPL2, Class A1, 3.25%, 2/25/59 (144A) | 493,108 | ||||||
| 265,000(b) | NovaStar Mortgage Funding Trust, Series 2004-3, Class M4, 3.398% (1 Month USD LIBOR + 158 bps), 12/25/34 | 270,184 | ||||||
| 486,442(c) | PMT Loan Trust, Series 2013-J1, Class A11, 3.5%, 9/25/43 (144A) | 494,740 | ||||||
| 94,095(b) | Radnor Re, Ltd., Series 2018-1, Class M1, 3.223% (1 Month USD LIBOR + 140 bps), 3/25/28 (144A) | 94,095 | ||||||
| 300,000(b) | Radnor Re, Ltd., Series 2019-1, Class M1B, 3.773% (1 Month USD LIBOR + 195 bps), 2/25/29 (144A) | 300,092 | ||||||
| 130,000(c) | RMF Proprietary Issuance Trust, Series 2019-1, Class A, 2.75%, 10/25/63 (144A) | 129,332 | ||||||
| 521,559(c) | Sequoia Mortgage Trust, Series 2013-8, Class A1, 3.0%, 6/25/43 | 527,446 | ||||||
| 736,811(c) | Sequoia Mortgage Trust, Series 2015-3, Class A4, 3.5%, 7/25/45 (144A) | 750,132 | ||||||
| 280,000(b) | STACR Trust, Series 2018-DNA3, Class M2, 3.923% (1 Month USD LIBOR + 210 bps), 9/25/48 (144A) | 280,998 | ||||||
| 330,000(b) | STACR Trust, Series 2018-HRP2, Class M3, 4.223% (1 Month USD LIBOR + 240 bps), 2/25/47 (144A) | 337,233 | ||||||
| Principal Amount USD ($) | Value | |||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | ||||||||
| 750,000(c) | Towd Point Mortgage Trust, Series 2015-5, Class M1, 3.5%, 5/25/55 (144A) | $767,652 | ||||||
| 550,000(c) | Towd Point Mortgage Trust, Series 2016-3, Class M1, 3.5%, 4/25/56 (144A) | 565,885 | ||||||
| 1,100,000(c) | Towd Point Mortgage Trust, Series 2017-6, Class A2, 3.0%, 10/25/57 (144A) | 1,114,625 | ||||||
| 260,000(c) | Visio Trust, Series 2019-2, Class A1, 2.722%, 11/25/54 (144A) | 260,793 | ||||||
| 348,244(c) | WinWater Mortgage Loan Trust, Series 2015-2, Class A5, 3.0%, 2/20/45 (144A) | 348,563 | ||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||
(Cost $22,853,803) | $23,464,394 | |||||||
| CORPORATE BONDS - 10.2% of Net Assets | ||||||||
Aerospace & Defense - 0.1% | ||||||||
| 355,000 | Rockwell Collins, Inc., 3.2%, 3/15/24 | $370,485 | ||||||
| Total Aerospace & Defense | $370,485 | |||||||
Airlines - 0.0%† | ||||||||
| 150,859 | Air Canada 2017-1 Class AA Pass Through Trust, 3.3%, 1/15/30 (144A) | $155,502 | ||||||
| Total Airlines | $155,502 | |||||||
Auto Manufacturers - 0.1% | ||||||||
| 300,000 | Ford Motor Credit Co. LLC, 5.584%, 3/18/24 | $319,731 | ||||||
| Total Auto Manufacturers | $319,731 | |||||||
Banks - 2.1% | ||||||||
| 200,000 | ABN AMRO Bank NV, 4.8%, 4/18/26 (144A) | $218,569 | ||||||
| 200,000(c) | AIB Group Plc, 4.263% (3 Month USD LIBOR + 187 bps), 4/10/25 (144A) | 210,653 | ||||||
| 475,000(c)(e) | BNP Paribas SA, 6.625% (5 Year USD Swap Rate + 415 bps) (144A) | 505,875 | ||||||
| 200,000 | BPCE SA, 4.875%, 4/1/26 (144A) | 219,553 | ||||||
| 250,000 | Capital One N.A., 2.15%, 9/6/22 | 249,913 | ||||||
| 200,000 | Cooperatieve Rabobank UA, 3.875%, 2/8/22 | 208,173 | ||||||
| 250,000 | Cooperatieve Rabobank UA, 3.95%, 11/9/22 | 260,950 | ||||||
| 465,000(c)(e) | Credit Suisse Group AG, 7.125% (5 Year USD Swap Rate + 511 bps) | 496,969 | ||||||
| 195,000(c) | Goldman Sachs Group, Inc., 3.272% (3 Month USD LIBOR + 120 bps), 9/29/25 | 201,617 | ||||||
| 140,000(c) | Goldman Sachs Group, Inc., 4.223% (3 Month USD LIBOR + 130 bps), 5/1/29 | 153,000 | ||||||
| 200,000 | HSBC Holdings Plc, 4.875%, 1/14/22 | 211,687 | ||||||
| 200,000 | Intesa Sanpaolo S.p.A., 4.7%, 9/23/49 (144A) | 204,780 | ||||||
| 951,000(c)(e) | JPMorgan Chase & Co., 5.0% (SOFRRATE + 338 bps) | 989,040 | ||||||
| 250,000 | Morgan Stanley, 4.1%, 5/22/23 | 264,727 | ||||||
| 450,000 | Nordea Bank Abp, 4.25%, 9/21/22 (144A) | 472,151 | ||||||
| 375,000 | PNC Bank N.A., 2.7%, 10/22/29 | 376,352 | ||||||
| 650,000(c)(e) | Societe Generale SA, 7.375% (5 Year USD Swap Rate + 624 bps) (144A) | 684,125 | ||||||
| 225,000 | Sumitomo Mitsui Financial Group, Inc., 3.202%, 9/17/29 | 227,488 | ||||||
| 240,000(c)(e) | UBS Group AG, 7.0% (5 Year USD Swap Rate + 434 bps) (144A) | 257,400 | ||||||
| 65,000(c)(e) | UBS Group AG, 7.125% (5 Year USD Swap Rate + 588 bps) | 68,331 | ||||||
| Total Banks | $6,481,353 | |||||||
Biotechnology - 0.1% | ||||||||
| 130,000 | Biogen, Inc., 5.2%, 9/15/45 | $159,420 | ||||||
| Total Biotechnology | $159,420 | |||||||
Building Materials - 0.0%† | ||||||||
| 110,000 | Standard Industries, Inc., 5.5%, 2/15/23 (144A) | $112,442 | ||||||
| Total Building Materials | $112,442 | |||||||
Chemicals - 0.1% | ||||||||
| 200,000 | Braskem Netherlands Finance BV, 4.5%, 1/10/28 | $200,700 | ||||||
| 84,000 | Dow Chemical Co., 4.8%, 5/15/49 (144A) | 93,422 | ||||||
| 10,000 | NOVA Chemicals Corp., 4.875%, 6/1/24 (144A) | 10,150 | ||||||
| Total Chemicals | $304,272 | |||||||
Commercial Services - 0.1% | ||||||||
| 70,000 | United Rentals North America, Inc., 3.875%, 11/15/27 | $70,718 | ||||||
| 186,000 | Verisk Analytics, Inc., 5.5%, 6/15/45 | 232,678 | ||||||
| Total Commercial Services | $303,396 | |||||||
Computers - 0.0%† | ||||||||
| 80,000 | NCR Corp., 6.375%, 12/15/23 | $81,950 | ||||||
| Total Computers | $81,950 | |||||||
Diversified Financial Services - 0.2% | ||||||||
| 300,000 | Capital One Financial Corp., 3.75%, 4/24/24 | $317,022 | ||||||
| 110,000 | Capital One Financial Corp., 4.25%, 4/30/25 | 119,860 | ||||||
| 53,000 | Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/26 (144A) | 58,101 | ||||||
| 250,000 | TD Ameritrade Holding Corp., 3.3%, 4/1/27 | 263,448 | ||||||
| Total Diversified Financial Services | $758,431 | |||||||
Electric - 1.1% | ||||||||
| 220,000 | Consolidated Edison Co. of New York, Inc., 4.625%, 12/1/54 | $264,127 | ||||||
| 76,000(f) | Dominion Energy, Inc., 3.071%, 8/15/24 | 78,254 | ||||||
| 250,000 | Duke Energy Carolinas LLC, 3.95%, 3/15/48 | 285,201 | ||||||
| 230,000 | Edison International, 2.95%, 3/15/23 | 227,312 | ||||||
| 250,000(c)(e) | Electricite de France SA, 5.25% (10 Year USD Swap Rate + 371 bps) (144A) | 258,125 | ||||||
| 200,000(c) | Enel S.p.A., 8.75% (5 Year USD Swap Rate + 588 bps), 9/24/73 (144A) | 235,000 | ||||||
| 310,000 | Iberdrola International BV, 6.75%, 7/15/36 | 429,443 | ||||||
| 121,000 | New York State Electric & Gas Corp., 3.3%, 9/15/49 (144A) | 119,678 | ||||||
| 365,000 | NextEra Energy Capital Holdings, Inc., 3.55%, 5/1/27 | 388,844 | ||||||
| Principal Amount USD ($) | Value | |||||||
| Electric - (continued) | ||||||||
| 18,605 | OrCal Geothermal, Inc., 6.21%, 12/30/20 (144A) | $19,222 | ||||||
| 250,000 | PPL Capital Funding, Inc., 3.1%, 5/15/26 | 256,365 | ||||||
| 215,000 | Sempra Energy, 3.4%, 2/1/28 | 220,032 | ||||||
| 185,000 | Southern California Edison Co., 4.875%, 3/1/49 | 220,005 | ||||||
| 300,000 | Southwestern Electric Power Co., 3.9%, 4/1/45 | 318,094 | ||||||
| 200,000 | Virginia Electric & Power Co., 4.45%, 2/15/44 | 236,501 | ||||||
| Total Electric | $3,556,203 | |||||||
Electronics - 0.3% | ||||||||
| 220,000 | Amphenol Corp., 3.125%, 9/15/21 | $223,576 | ||||||
| 81,000 | Amphenol Corp., 3.2%, 4/1/24 | 83,615 | ||||||
| 113,000 | Amphenol Corp., 4.35%, 6/1/29 | 125,666 | ||||||
| 250,000 | Flex, Ltd., 4.75%, 6/15/25 | 270,854 | ||||||
| 348,000 | Flex, Ltd., 4.875%, 6/15/29 | 376,130 | ||||||
| Total Electronics | $1,079,841 | |||||||
Energy-Alternate Sources - 0.1% | ||||||||
| 55,201 | Alta Wind Holdings LLC, 7.0%, 6/30/35 (144A) | $62,438 | ||||||
| 120,000 | TerraForm Power Operating LLC, 4.75%, 1/15/30 (144A) | 124,050 | ||||||
| Total Energy-Alternate Sources | $186,488 | |||||||
Food - 0.2% | ||||||||
| 300,000 | Mondelez International Holdings Netherlands BV, 2.0%, 10/28/21 (144A) | $300,124 | ||||||
| 50,000 | Smithfield Foods, Inc., 2.65%, 10/3/21 (144A) | 49,762 | ||||||
| 205,000 | Smithfield Foods, Inc., 2.7%, 1/31/20 (144A) | 205,018 | ||||||
| Total Food | $554,904 | |||||||
Forest Products & Paper - 0.1% | ||||||||
| 250,000 | International Paper Co., 6.0%, 11/15/41 | $308,779 | ||||||
| Total Forest Products & Paper | $308,779 | |||||||
Gas - 0.2% | ||||||||
| 325,000 | Boston Gas Co., 3.15%, 8/1/27 (144A) | $339,218 | ||||||
| 250,000 | Southern California Gas Co., 5.125%, 11/15/40 | 308,684 | ||||||
| Total Gas | $647,902 | |||||||
Healthcare-Products - 0.1% | ||||||||
| 224,000 | Abbott Laboratories, 3.75%, 11/30/26 | $245,425 | ||||||
| Total Healthcare-Products | $245,425 | |||||||
Healthcare-Services - 0.1% | ||||||||
| 350,000 | UnitedHealth Group, Inc., 3.1%, 3/15/26 | $364,978 | ||||||
| Total Healthcare-Services | $364,978 | |||||||
Home Builders - 0.0%† | ||||||||
| 83,000 | Meritage Homes Corp., 6.0%, 6/1/25 | $92,753 | ||||||
| Total Home Builders | $92,753 | |||||||
Household Products & Wares - 0.1% | ||||||||
| 195,000 | Church & Dwight Co., Inc., 2.45%, 8/1/22 | $196,946 | ||||||
| Total Household Products & Wares | $196,946 | |||||||
Insurance - 0.7% | ||||||||
| 250,000 | AXA SA, 8.6%, 12/15/30 | $362,800 | ||||||
| 42,000 | CNO Financial Group, Inc., 5.25%, 5/30/25 | 45,990 | ||||||
| 23,000 | CNO Financial Group, Inc., 5.25%, 5/30/29 | 25,366 | ||||||
| 50,000(c) | Farmers Exchange Capital III, 5.454% (3 Month USD LIBOR + 345 bps), 10/15/54 (144A) | 57,575 | ||||||
| 225,000(c) | Farmers Insurance Exchange, 4.747% (3 Month USD LIBOR + 323 bps), 11/1/57 (144A) | 230,891 | ||||||
| 155,000 | Great-West Lifeco Finance 2018 LP, 4.581%, 5/17/48 (144A) | 184,086 | ||||||
| 250,000 | Nationwide Financial Services, Inc., 5.3%, 11/18/44 (144A) | 294,775 | ||||||
| 215,000 | New York Life Global Funding, 2.875%, 4/10/24 (144A) | 222,569 | ||||||
| 220,000 | Principal Financial Group, Inc., 3.3%, 9/15/22 | 227,148 | ||||||
| 250,000 | Prudential Financial, Inc., 3.878%, 3/27/28 | 276,390 | ||||||
| 110,000 | Teachers Insurance & Annuity Association of America, 4.27%, 5/15/47 (144A) | 127,341 | ||||||
| 110,000 | Teachers Insurance & Annuity Association of America, 4.9%, 9/15/44 (144A) | 138,262 | ||||||
| 20,000 | Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) | 29,674 | ||||||
| 48,000 | Willis North America, Inc., 2.95%, 9/15/29 | 47,763 | ||||||
| Total Insurance | $2,270,630 | |||||||
Internet - 0.2% | ||||||||
| 285,000 | Booking Holdings, Inc., 3.65%, 3/15/25 | $305,483 | ||||||
| 52,000 | Expedia Group, Inc., 3.25%, 2/15/30 (144A) | 52,035 | ||||||
| 275,000 | Expedia Group, Inc., 5.0%, 2/15/26 | 309,832 | ||||||
| Total Internet | $667,350 | |||||||
Machinery-Construction & Mining - 0.1% | ||||||||
| 175,000 | Caterpillar Financial Services Corp., 1.9%, 9/6/22 | $175,177 | ||||||
| Total Machinery- Construction & Mining | $175,177 | |||||||
Media - 0.1% | ||||||||
| 170,000 | Comcast Corp., 4.15%, 10/15/28 | $192,029 | ||||||
| 85,000 | Sirius XM Radio, Inc., 5.375%, 7/15/26 (144A) | 89,675 | ||||||
| Total Media | $281,704 | |||||||
Mining - 0.2% | ||||||||
| 200,000 | Anglo American Capital Plc, 4.875%, 5/14/25 (144A) | $217,214 | ||||||
| 250,000 | Corp Nacional del Cobre de Chile, 5.625%, 10/18/43 (144A) | 320,917 | ||||||
| Total Mining | $538,131 | |||||||
| Principal Amount USD ($) | Value | |||||||
Miscellaneous Manufacturers - 0.0%† | ||||||||
| 60,000 | Amsted Industries, Inc., 5.375%, 9/15/24 (144A) | $61,425 | ||||||
| Total Miscellaneous Manufacturers | $61,425 | |||||||
Multi-National - 0.1% | ||||||||
| 370,000 | Banque Ouest Africaine de Development, 4.7%, 10/22/31 (144A) | $372,338 | ||||||
| Total Multi-National | $372,338 | |||||||
Oil & Gas - 0.5% | ||||||||
| 25,000 | Apache Corp., 4.25%, 1/15/30 | $24,347 | ||||||
| 280,000 | Apache Corp., 4.375%, 10/15/28 | 277,835 | ||||||
| 110,000 | Newfield Exploration Co., 5.625%, 7/1/24 | 120,497 | ||||||
| 275,000 | Noble Energy, Inc., 5.25%, 11/15/43 | 296,845 | ||||||
| 53,000 | Occidental Petroleum Corp., 3.2%, 8/15/26 | 53,651 | ||||||
| 15,000 | Occidental Petroleum Corp., 4.4%, 8/15/49 | 15,214 | ||||||
| 250,000 | Sinopec Group Overseas Development 2014, Ltd., 4.375%, 4/10/24 (144A) | 268,608 | ||||||
| 162,000 | Valero Energy Corp., 6.625%, 6/15/37 | 211,393 | ||||||
| Total Oil & Gas | $1,268,390 | |||||||
Pharmaceuticals - 0.6% | ||||||||
| 285,000 | AbbVie, Inc., 4.875%, 11/14/48 | $314,659 | ||||||
| 200,000 | Bayer US Finance II LLC, 4.25%, 12/15/25 (144A) | 215,103 | ||||||
| 280,000 | Cardinal Health, Inc., 3.079%, 6/15/24 | 284,618 | ||||||
| 135,000 | Cigna Corp., 4.375%, 10/15/28 | 148,266 | ||||||
| 111,065 | CVS Pass-Through Trust, 5.298%, 1/11/27 (144A) | 118,199 | ||||||
| 92,741 | CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) | 105,957 | ||||||
| 73,458 | CVS Pass-Through Trust, 8.353%, 7/10/31 (144A) | 94,033 | ||||||
| 285,000 | Perrigo Finance Unlimited Co., 3.9%, 12/15/24 | 292,438 | ||||||
| 200,000 | Perrigo Finance Unlimited Co., 4.375%, 3/15/26 | 206,886 | ||||||
| Total Pharmaceuticals | $1,780,159 | |||||||
Pipelines - 1.2% | ||||||||
| 25,000 | Cheniere Energy Partners LP, 4.5%, 10/1/29 (144A) | $25,469 | ||||||
| 135,000 | Cheniere Energy Partners LP, 5.25%, 10/1/25 | 139,725 | ||||||
| 68,000 | Enable Midstream Partners LP, 4.4%, 3/15/27 | 67,377 | ||||||
| 332,000 | Enable Midstream Partners LP, 4.95%, 5/15/28 | 340,046 | ||||||
| 225,000 | Enbridge, Inc., 3.7%, 7/15/27 | 238,704 | ||||||
| 210,000 | EnLink Midstream Partners LP, 5.45%, 6/1/47 | 160,650 | ||||||
| 345,000 | Kinder Morgan, Inc., 5.05%, 2/15/46 | 377,800 | ||||||
| 108,000(b) | MPLX LP, 3.002% (3 Month USD LIBOR + 90 bps), 9/9/21 | 108,434 | ||||||
| 280,000 | MPLX LP, 4.25%, 12/1/27 (144A) | 294,439 | ||||||
| 105,000 | MPLX LP, 4.875%, 12/1/24 | 114,365 | ||||||
| 55,000 | MPLX LP, 4.875%, 6/1/25 | 60,405 | ||||||
| 400,000 | Phillips 66 Partners LP, 3.75%, 3/1/28 | 420,055 | ||||||
| 290,000 | Sabine Pass Liquefaction LLC, 5.0%, 3/15/27 | 318,537 | ||||||
| 176,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.0%, 1/15/28 | 174,240 | ||||||
| 300,000 | Texas Eastern Transmission LP, 3.5%, 1/15/28 (144A) | 312,201 | ||||||
| 205,000 | Williams Cos., Inc., 5.75%, 6/24/44 | 236,596 | ||||||
| 242,000 | Williams Cos., Inc., 7.75%, 6/15/31 | 319,058 | ||||||
| Total Pipelines | $3,708,101 | |||||||
Real Estate - 0.1% | ||||||||
| 250,000(c)(e) | AT Securities BV, 5.25% (5 Year USD Swap Rate + 355 bps) | $252,813 | ||||||
| Total Real Estate | $252,813 | |||||||
REITs - 0.5% | ||||||||
| 50,000 | Alexandria Real Estate Equities, Inc., 3.45%, 4/30/25 | $52,731 | ||||||
| 100,000 | Alexandria Real Estate Equities, Inc., 3.95%, 1/15/27 | 107,663 | ||||||
| 250,000 | Boston Properties LP, 2.75%, 10/1/26 | 253,931 | ||||||
| 300,000 | Duke Realty LP, 3.75%, 12/1/24 | 319,169 | ||||||
| 250,000 | Essex Portfolio LP, 3.5%, 4/1/25 | 262,635 | ||||||
| 250,000 | Highwoods Realty LP, 3.625%, 1/15/23 | 258,847 | ||||||
| 80,000 | iStar, Inc., 4.75%, 10/1/24 | 82,500 | ||||||
| 155,000 | UDR, Inc., 4.0%, 10/1/25 | 168,098 | ||||||
| 140,000 | UDR, Inc., 4.4%, 1/26/29 | 158,591 | ||||||
| Total REITs | $1,664,165 | |||||||
Software - 0.1% | ||||||||
| 122,000 | Fiserv, Inc., 3.8%, 10/1/23 | $129,303 | ||||||
| 235,000 | salesforce.com, Inc., 3.7%, 4/11/28 | 259,465 | ||||||
| Total Software | $388,768 | |||||||
Telecommunications - 0.2% | ||||||||
| 110,000 | CenturyLink, Inc., 5.8%, 3/15/22 | $116,187 | ||||||
| 200,000 | Deutsche Telekom International Finance BV, 1.95%, 9/19/21 (144A) | 199,462 | ||||||
| 130,000 | Level 3 Financing, Inc., 4.625%, 9/15/27 (144A) | 132,275 | ||||||
| Total Telecommunications | $447,924 | |||||||
Transportation - 0.4% | ||||||||
| 150,000 | Burlington Northern Santa Fe LLC, 5.15%, 9/1/43 | $192,302 | ||||||
| 250,000 | FedEx Corp., 4.55%, 4/1/46 | 262,023 | ||||||
| 250,000 | Norfolk Southern Corp., 2.9%, 6/15/26 | 258,603 | ||||||
| 370,000 | Union Pacific Corp., 3.375%, 2/1/35 | 382,431 | ||||||
| Total Transportation | $1,095,359 | |||||||
Trucking & Leasing - 0.1% | ||||||||
| 205,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 3.375%, 2/1/22 (144A) | $209,584 | ||||||
| Principal Amount USD ($) | Value | |||||||
| Trucking & Leasing - (continued) | ||||||||
| 99,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.2%, 4/1/27 (144A) | $105,323 | ||||||
| Total Trucking & Leasing | $314,907 | |||||||
Water - 0.0%† | ||||||||
| 75,000 | Aqua America, Inc., 3.566%, 5/1/29 | $80,717 | ||||||
| Total Water | $80,717 | |||||||
| TOTAL CORPORATE BONDS | ||||||||
(Cost $29,734,346) | $31,649,259 | |||||||
| FOREIGN GOVERNMENT BOND - 0.1% of Net Assets | ||||||||
Mexico - 0.1% | ||||||||
| 300,000 | Mexico Government International Bond, 4.6%, 2/10/48 | $324,753 | ||||||
| Total Mexico | $324,753 | |||||||
| TOTAL FOREIGN GOVERNMENT BOND | ||||||||
(Cost $276,356) | $324,753 | |||||||
| INSURANCE-LINKED SECURITIES - 0.7% of Net Assets(g) | ||||||||
Catastrophe Linked Bonds - 0.6% | ||||||||
| Earthquakes - California - 0.0%† | ||||||||
| 250,000(b) | Ursa Re, 5.034% (3 Month U.S. Treasury Bill + 350 bps), 5/27/20 (144A) | $248,150 | ||||||
| Earthquakes - U.S. - 0.1% | ||||||||
| 250,000(b) | Kilimanjaro Re, 3.75% (3 Month U.S. Treasury Bill + 375 bps), 11/25/19 (144A) | $248,875 | ||||||
| Multiperil - U.S. - 0.4% | ||||||||
| 250,000(b) | Kilimanjaro Re, 6.75% (3 Month U.S. Treasury Bill + 675 bps), 12/6/19 (144A) | $248,875 | ||||||
| 250,000(b) | Kilimanjaro Re, 9.25% (3 Month U.S. Treasury Bill + 925 bps), 12/6/19 (144A) | 250,450 | ||||||
| 250,000(b) | Residential Reinsurance 2016, 5.504% (3 Month U.S. Treasury Bill + 397 bps), 12/6/20 (144A) | 248,725 | ||||||
| 250,000(b) | Residential Reinsurance 2017, 7.294% (3 Month U.S. Treasury Bill + 576 bps), 12/6/21 (144A) | 246,425 | ||||||
| 250,000(b) | Tailwind Re 2017-1, 8.504% (3 Month U.S. Treasury Bill + 697 bps), 1/8/22 (144A) | 252,300 | ||||||
| $1,246,775 | ||||||||
| Windstorm - Texas - 0.1% | ||||||||
| 250,000(b) | Alamo Re, 5.014% (1 Month U.S. Treasury Bill + 348 bps), 6/7/21 (144A) | $251,625 | ||||||
| Total Catastrophe Linked Bonds | $1,995,425 | |||||||
| Face Amount USD ($) | Value | |||||||
Collateralized Reinsurance - 0.0%† | ||||||||
| Multiperil - Worldwide - 0.0%† | ||||||||
| 250,000+(a)(h) | Resilience Re, 4/6/20 | $25 | ||||||
| Total Collateralized Reinsurance | $25 | |||||||
Reinsurance Sidecars - 0.1% | ||||||||
| Multiperil - U.S. - 0.0%† | ||||||||
| 125,001+(a)(h) | Sector Re V, Series 7, Class G, 3/1/22 (144A) | $15,060 | ||||||
| Multiperil - Worldwide - 0.1% | ||||||||
| 250,000+(a)(h) | Bantry Re 2016, 3/30/20 | $20,150 | ||||||
| 100,000+(a)(i) | Lorenz Re 2018, 7/1/21 | 20,990 | ||||||
| 250,000+(a)(h) | Sector Re V, Series 9, Class A, 3/1/24 (144A) | 183,807 | ||||||
| $224,947 | ||||||||
| Total Reinsurance Sidecars | $240,007 | |||||||
| TOTAL INSURANCE-LINKED SECURITIES | ||||||||
(Cost $2,362,694) | $2,235,457 | |||||||
| Principal Amount USD ($) | Value | |||||||
| MUNICIPAL BONDS - 0.2% of Net Assets(j) | ||||||||
Municipal Education - 0.1% | ||||||||
| 100,000 | Massachusetts Development Finance Agency, Phillips Academy, Series B, 4.844%, 9/1/43 | $125,842 | ||||||
| Total Municipal Education | $125,842 | |||||||
Municipal General - 0.0%† | ||||||||
| 100,000(k) | Central Texas Regional Mobility Authority, 1/1/25 | $91,320 | ||||||
| Total Municipal General | $91,320 | |||||||
Municipal Higher Education - 0.1% | ||||||||
| 200,000 | University of California, Series AG, 4.062%, 5/15/33 | $212,764 | ||||||
| Total Municipal Higher Education | $212,764 | |||||||
Municipal Medical - 0.0%† | ||||||||
| 100,000 | Health & Educational Facilities Authority of the State of Missouri, Washington University, Series A, 3.685%, 2/15/47 | $111,482 | ||||||
| Total Municipal Medical | $111,482 | |||||||
| TOTAL MUNICIPAL BONDS | ||||||||
(Cost $476,069) | $541,408 | |||||||
| SENIOR SECURED FLOATING RATE LOAN INTERESTS - 0.8% of Net Assets*(b) | ||||||||
Beverage, Food & Tobacco - 0.1% | ||||||||
| 210,923 | Darling Ingredients, Inc. (fka Darling International, Inc.), Term B Loan, 3.83% (LIBOR + 200 bps), 12/18/24 | $211,556 | ||||||
| Total Beverage, Food & Tobacco | $211,556 | |||||||
| Principal Amount USD ($) | Value | |||||||
Broadcasting & Entertainment - 0.1% | ||||||||
| 198,585 | Sinclair Television Group, Inc., Tranche B Term Loan, 4.04% (LIBOR + 225 bps), 1/3/24 | $198,647 | ||||||
| Total Broadcasting & Entertainment | $198,647 | |||||||
Chemicals, Plastics & Rubber - 0.0%† | ||||||||
| 128,050 | Axalta Coating Systems Dutch Holding B BV (Axalta Coating Systems US Holdings, Inc.), Term B-3 Dollar Loan, 3.854% (LIBOR + 175 bps), 6/1/24 | $128,090 | ||||||
| Total Chemicals, Plastics & Rubber | $128,090 | |||||||
Computers & Electronics - 0.1% | ||||||||
| 172,375 | Iron Mountain Information Management LLC, Incremental Term B Loan, 3.536% (LIBOR + 175 bps), 1/2/26 | $170,436 | ||||||
| 100,606 | Microchip Technology, Inc., Initial Term Loan, 3.79% (LIBOR + 200 bps), 5/29/25 | 101,109 | ||||||
| Total Computers & Electronics | $271,545 | |||||||
Diversified & Conglomerate Service - 0.0%† | ||||||||
| 86,192 | NVA Holdings, Inc., First Lien Term B-3 Loan, 4.536% (LIBOR + 275 bps), 2/2/25 | $86,170 | ||||||
| 123,111 | Tempo Acquisition LLC, Initial Term Loan, 4.786% (LIBOR + 300 bps), 5/1/24 | 123,357 | ||||||
| 96,281 | West Corp., Incremental Term B-1 Loan, 5.427% (LIBOR + 350 bps), 10/10/24 | 80,455 | ||||||
| Total Diversified & Conglomerate Service | $289,982 | |||||||
Environmental Services - 0.1% | ||||||||
| 172,860 | GFL Environmental, Inc., Effective Date Incremental Term Loan, 4.786% (LIBOR + 300 bps), 5/30/25 | $172,579 | ||||||
| Total Environmental Services | $172,579 | |||||||
Insurance - 0.1% | ||||||||
| 80,048 | Asurion LLC (fka Asurion Corp.), New B-7 Term Loan, 4.786% (LIBOR + 300 bps), 11/3/24 | $80,218 | ||||||
| 98,492 | USI, Inc. (fka Compass Investors, Inc.), 2017 New Term Loan, 5.104% (LIBOR + 300 bps), 5/16/24 | 95,738 | ||||||
| Total Insurance | $175,956 | |||||||
Leasing - 0.1% | ||||||||
| 110,681 | Avolon TLB Borrower 1 (US) LLC, Term B-3 Loan, 3.596% (LIBOR + 175 bps), 1/15/25 | $111,267 | ||||||
| 132,975 | IBC Capital I, Ltd. (aka Goodpack, Ltd.), First Lien Tranche B-1 Term Loan, 5.895% (LIBOR + 375 bps), 9/11/23 | 131,728 | ||||||
| Total Leasing | $242,995 | |||||||
Oil & Gas - 0.0%† | ||||||||
| 124,398 | Apergy Corp., Initial Term Loan, 4.313% (LIBOR + 250 bps), 5/9/25 | $124,085 | ||||||
| Total Oil & Gas | $124,085 | |||||||
Professional & Business Services - 0.1% | ||||||||
| 172,813 | SIWF Holdings, Inc., (aka Spring Window Fashions), First Lien Initial Term Loan, 6.054% (LIBOR + 425 bps), 6/15/25 | $170,293 | ||||||
| Total Professional & Business Services | $170,293 | |||||||
Securities & Trusts - 0.0%† | ||||||||
| 85,000(l) | Stonepeak Lonestar Holdings LLC, Initial Term Loan, 10/19/26 | $83,566 | ||||||
| Total Securities & Trusts | $83,566 | |||||||
Telecommunications - 0.1% | ||||||||
| 129,276 | CenturyLink, Inc., Initial Term B Loan, 4.536% (LIBOR + 275 bps), 1/31/25 | $128,333 | ||||||
| 128,375 | SBA Senior Finance II LLC, Initial Term Loan, 3.79% (LIBOR + 200 bps), 4/11/25 | 128,830 | ||||||
| 86,174 | Sprint Communications, Inc., Initial Term Loan, 4.313% (LIBOR + 250 bps), 2/2/24 | 85,348 | ||||||
| Total Telecommunications | $342,511 | |||||||
| TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS | ||||||||
(Cost $2,433,276) | $2,411,805 | |||||||
| U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 16.1% of Net Assets | ||||||||
| 40,777 | Fannie Mae, 2.5%, 3/1/43 | $40,800 | ||||||
| 29,338 | Fannie Mae, 2.5%, 4/1/43 | 29,355 | ||||||
| 13,052 | Fannie Mae, 2.5%, 8/1/43 | 13,059 | ||||||
| 24,899 | Fannie Mae, 2.5%, 4/1/45 | 24,913 | ||||||
| 36,167 | Fannie Mae, 2.5%, 4/1/45 | 36,187 | ||||||
| 33,876 | Fannie Mae, 2.5%, 8/1/45 | 33,895 | ||||||
| 71,849 | Fannie Mae, 3.0%, 10/1/30 | 73,993 | ||||||
| 146,204 | Fannie Mae, 3.0%, 5/1/31 | 150,792 | ||||||
| 18,750 | Fannie Mae, 3.0%, 2/1/43 | 19,341 | ||||||
| 179,093 | Fannie Mae, 3.0%, 6/1/45 | 184,848 | ||||||
| 9,298 | Fannie Mae, 3.0%, 5/1/46 | 9,587 | ||||||
| 15,931 | Fannie Mae, 3.0%, 5/1/46 | 16,408 | ||||||
| 82,947 | Fannie Mae, 3.0%, 5/1/46 | 85,869 | ||||||
| 8,530 | Fannie Mae, 3.0%, 10/1/46 | 8,794 | ||||||
| 5,281 | Fannie Mae, 3.0%, 1/1/47 | 5,445 | ||||||
| 22,418 | Fannie Mae, 3.0%, 4/1/48 | 23,207 | ||||||
| 2,170,000 | Fannie Mae, 3.0%, 11/1/48 (TBA) | 2,205,011 | ||||||
| 32,904 | Fannie Mae, 3.0%, 7/1/49 | 33,961 | ||||||
| 43,266 | Fannie Mae, 3.0%, 7/1/49 | 44,788 | ||||||
| 912,787 | Fannie Mae, 3.5%, 7/1/43 | 958,638 | ||||||
| 486,823 | Fannie Mae, 3.5%, 9/1/44 | 508,646 | ||||||
| 250,871 | Fannie Mae, 3.5%, 1/1/47 | 262,179 | ||||||
| 1,951,000 | Fannie Mae, 3.5%, 11/1/48 (TBA) | 2,003,128 | ||||||
| 100,171 | Fannie Mae, 3.5%, 2/1/49 | 102,676 | ||||||
| 94,132 | Fannie Mae, 3.5%, 4/1/49 | 96,020 | ||||||
| 312,567 | Fannie Mae, 3.5%, 5/1/49 | 331,348 | ||||||
| 441,235 | Fannie Mae, 3.5%, 5/1/49 | 470,967 | ||||||
| 395,135 | Fannie Mae, 3.5%, 6/1/49 | 412,072 | ||||||
| Principal Amount USD ($) | Value | |||||||
| U.S. GOVERNMENT AND AGENCY OBLIGATIONS - (continued) | ||||||||
| 673,454 | Fannie Mae, 3.5%, 9/1/49 | $714,246 | ||||||
| 147,346 | Fannie Mae, 4.0%, 10/1/40 | 159,592 | ||||||
| 314,050 | Fannie Mae, 4.0%, 3/1/41 | 336,046 | ||||||
| 84,277 | Fannie Mae, 4.0%, 5/1/42 | 89,929 | ||||||
| 369,646 | Fannie Mae, 4.0%, 6/1/42 | 395,440 | ||||||
| 145,998 | Fannie Mae, 4.0%, 9/1/42 | 156,218 | ||||||
| 354,192 | Fannie Mae, 4.0%, 7/1/43 | 367,514 | ||||||
| 135,193 | Fannie Mae, 4.0%, 8/1/43 | 143,770 | ||||||
| 201,733 | Fannie Mae, 4.0%, 8/1/43 | 213,954 | ||||||
| 176,266 | Fannie Mae, 4.0%, 7/1/44 | 186,302 | ||||||
| 220,374 | Fannie Mae, 4.0%, 9/1/44 | 232,936 | ||||||
| 69,322 | Fannie Mae, 4.0%, 4/1/47 | 73,551 | ||||||
| 21,891 | Fannie Mae, 4.0%, 6/1/47 | 23,170 | ||||||
| 35,590 | Fannie Mae, 4.0%, 6/1/47 | 37,680 | ||||||
| 1,061,524 | Fannie Mae, 4.0%, 3/1/48 | 1,103,946 | ||||||
| 1,354,000 | Fannie Mae, 4.0%, 11/1/48 (TBA) | 1,405,092 | ||||||
| 14,824 | Fannie Mae, 4.0%, 9/1/49 | 15,428 | ||||||
| 3,492 | Fannie Mae, 4.5%, 11/1/20 | 3,599 | ||||||
| 318,855 | Fannie Mae, 4.5%, 6/1/40 | 345,542 | ||||||
| 223,485 | Fannie Mae, 4.5%, 4/1/41 | 242,267 | ||||||
| 263,351 | Fannie Mae, 4.5%, 12/1/43 | 282,859 | ||||||
| 127,780 | Fannie Mae, 4.5%, 1/1/49 | 134,250 | ||||||
| 1,811,000 | Fannie Mae, 4.5%, 11/1/49 (TBA) | 1,904,804 | ||||||
| 143,500 | Fannie Mae, 5.0%, 5/1/31 | 153,466 | ||||||
| 1,425,000 | Fannie Mae, 5.0%, 11/1/48 (TBA) | 1,524,027 | ||||||
| 15,435 | Fannie Mae, 5.5%, 3/1/23 | 15,988 | ||||||
| 5,957 | Fannie Mae, 5.5%, 3/1/34 | 6,411 | ||||||
| 9,081 | Fannie Mae, 5.5%, 12/1/34 | 10,151 | ||||||
| 56,375 | Fannie Mae, 5.5%, 10/1/35 | 63,139 | ||||||
| 21,903 | Fannie Mae, 5.5%, 12/1/35 | 24,634 | ||||||
| 25,469 | Fannie Mae, 5.5%, 12/1/35 | 28,652 | ||||||
| 18,148 | Fannie Mae, 5.5%, 5/1/37 | 20,404 | ||||||
| 94,887 | Fannie Mae, 5.5%, 5/1/38 | 106,364 | ||||||
| 625 | Fannie Mae, 6.0%, 9/1/29 | 702 | ||||||
| 1,808 | Fannie Mae, 6.0%, 8/1/32 | 2,078 | ||||||
| 14,272 | Fannie Mae, 6.0%, 12/1/33 | 15,907 | ||||||
| 9,399 | Fannie Mae, 6.0%, 10/1/37 | 10,753 | ||||||
| 6,192 | Fannie Mae, 6.0%, 12/1/37 | 7,102 | ||||||
| 12,454 | Fannie Mae, 6.5%, 4/1/29 | 13,899 | ||||||
| 3,723 | Fannie Mae, 6.5%, 7/1/29 | 4,147 | ||||||
| 17,469 | Fannie Mae, 6.5%, 5/1/32 | 20,060 | ||||||
| 14,608 | Fannie Mae, 6.5%, 9/1/32 | 16,895 | ||||||
| 7,815 | Fannie Mae, 6.5%, 10/1/32 | 8,744 | ||||||
| 10,064 | Fannie Mae, 7.0%, 1/1/36 | 11,495 | ||||||
| 59,874 | Federal Home Loan Mortgage Corp., 3.0%, 2/1/43 | 61,837 | ||||||
| 113,888 | Federal Home Loan Mortgage Corp., 3.0%, 4/1/43 | 117,621 | ||||||
| 62,627 | Federal Home Loan Mortgage Corp., 3.0%, 5/1/43 | 64,624 | ||||||
| 132,736 | Federal Home Loan Mortgage Corp., 3.0%, 6/1/46 | 136,756 | ||||||
| 16,283 | Federal Home Loan Mortgage Corp., 3.0%, 10/1/46 | 16,867 | ||||||
| 33,806 | Federal Home Loan Mortgage Corp., 3.0%, 12/1/46 | 34,830 | ||||||
| 263,335 | Federal Home Loan Mortgage Corp., 3.0%, 2/1/47 | 271,782 | ||||||
| 10,230 | Federal Home Loan Mortgage Corp., 3.0%, 11/1/47 | 10,565 | ||||||
| 80,430 | Federal Home Loan Mortgage Corp., 3.5%, 3/1/26 | 83,318 | ||||||
| 125,513 | Federal Home Loan Mortgage Corp., 3.5%, 11/1/28 | 131,668 | ||||||
| 249,920 | Federal Home Loan Mortgage Corp., 3.5%, 3/1/42 | 262,414 | ||||||
| 362,418 | Federal Home Loan Mortgage Corp., 3.5%, 7/1/44 | 379,250 | ||||||
| 49,193 | Federal Home Loan Mortgage Corp., 3.5%, 8/1/44 | 51,464 | ||||||
| 85,626 | Federal Home Loan Mortgage Corp., 3.5%, 3/1/46 | 89,165 | ||||||
| 208,158 | Federal Home Loan Mortgage Corp., 3.5%, 8/1/46 | 219,834 | ||||||
| 225,059 | Federal Home Loan Mortgage Corp., 3.5%, 8/1/46 | 236,769 | ||||||
| 247,707 | Federal Home Loan Mortgage Corp., 3.5%, 8/1/46 | 260,052 | ||||||
| 19,369 | Federal Home Loan Mortgage Corp., 3.5%, 6/1/47 | 20,369 | ||||||
| 1,230,662 | Federal Home Loan Mortgage Corp., 3.5%, 8/1/49 | 1,264,262 | ||||||
| 233,118 | Federal Home Loan Mortgage Corp., 4.0%, 2/1/40 | 249,625 | ||||||
| 402,105 | Federal Home Loan Mortgage Corp., 4.0%, 11/1/40 | 430,459 | ||||||
| 432,054 | Federal Home Loan Mortgage Corp., 4.0%, 11/1/40 | 462,527 | ||||||
| 256,115 | Federal Home Loan Mortgage Corp., 4.0%, 1/1/41 | 274,203 | ||||||
| 160,787 | Federal Home Loan Mortgage Corp., 4.0%, 7/1/44 | 170,070 | ||||||
| 166,135 | Federal Home Loan Mortgage Corp., 4.0%, 9/1/44 | 175,735 | ||||||
| 467,366 | Federal Home Loan Mortgage Corp., 4.0%, 10/1/44 | 494,391 | ||||||
| 171,732 | Federal Home Loan Mortgage Corp., 4.0%, 11/1/44 | 181,655 | ||||||
| 43,878 | Federal Home Loan Mortgage Corp., 4.0%, 4/1/47 | 46,323 | ||||||
| 73,545 | Federal Home Loan Mortgage Corp., 4.0%, 4/1/47 | 78,032 | ||||||
| 157,659 | Federal Home Loan Mortgage Corp., 4.0%, 4/1/47 | 167,359 | ||||||
| 204,686 | Federal Home Loan Mortgage Corp., 4.0%, 7/1/49 | 212,512 | ||||||
| 69,886 | Federal Home Loan Mortgage Corp., 4.0%, 9/1/49 | 72,655 | ||||||
| 35,446 | Federal Home Loan Mortgage Corp., 4.5%, 8/1/34 | 38,390 | ||||||
| Principal Amount USD ($) | Value | |||||||
| U.S. GOVERNMENT AND AGENCY OBLIGATIONS - (continued) | ||||||||
| 148,026 | Federal Home Loan Mortgage Corp., 4.5%, 5/1/40 | $160,554 | ||||||
| 77,198 | Federal Home Loan Mortgage Corp., 4.5%, 7/1/40 | 83,736 | ||||||
| 154,795 | Federal Home Loan Mortgage Corp., 4.5%, 5/1/41 | 167,933 | ||||||
| 389,813 | Federal Home Loan Mortgage Corp., 4.5%, 7/1/49 | 411,475 | ||||||
| 398,194 | Federal Home Loan Mortgage Corp., 4.5%, 8/1/49 | 420,321 | ||||||
| 27,622 | Federal Home Loan Mortgage Corp., 5.0%, 11/1/34 | 30,530 | ||||||
| 25,711 | Federal Home Loan Mortgage Corp., 5.0%, 8/1/37 | 28,421 | ||||||
| 5,859 | Federal Home Loan Mortgage Corp., 5.0%, 5/1/39 | 6,465 | ||||||
| 13,486 | Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 | 14,908 | ||||||
| 15,992 | Federal Home Loan Mortgage Corp., 5.5%, 11/1/34 | 18,018 | ||||||
| 10,353 | Federal Home Loan Mortgage Corp., 6.0%, 1/1/38 | 11,749 | ||||||
| 16,678 | Federal Home Loan Mortgage Corp., 6.0%, 10/1/38 | 19,170 | ||||||
| 6,971 | Federal Home Loan Mortgage Corp., 6.5%, 10/1/33 | 8,110 | ||||||
| 72,000 | Federal Home Loan Mortgage Corp., 7.0%, 10/1/46 | 74,359 | ||||||
| 700,000 | Government National Mortgage Association, 4.0%, 11/1/48 (TBA) | 727,891 | ||||||
| 168,530 | Government National Mortgage Association I, 3.5%, 11/15/41 | 177,815 | ||||||
| 31,945 | Government National Mortgage Association I, 3.5%, 10/15/42 | 33,700 | ||||||
| 343,827 | Government National Mortgage Association I, 4.0%, 9/15/41 | 367,100 | ||||||
| 68,984 | Government National Mortgage Association I, 4.0%, 4/15/45 | 74,296 | ||||||
| 102,752 | Government National Mortgage Association I, 4.0%, 6/15/45 | 110,685 | ||||||
| 53,321 | Government National Mortgage Association I, 4.5%, 5/15/39 | 58,358 | ||||||
| 9,996 | Government National Mortgage Association I, 5.5%, 8/15/33 | 11,218 | ||||||
| 13,299 | Government National Mortgage Association I, 5.5%, 9/15/33 | 14,321 | ||||||
| 11,638 | Government National Mortgage Association I, 6.0%, 10/15/33 | 13,066 | ||||||
| 9,978 | Government National Mortgage Association I, 6.0%, 9/15/34 | 11,030 | ||||||
| 61,453 | Government National Mortgage Association I, 6.0%, 9/15/38 | 70,507 | ||||||
| 9,892 | Government National Mortgage Association I, 6.5%, 10/15/28 | 10,954 | ||||||
| 18,124 | Government National Mortgage Association I, 6.5%, 5/15/31 | 20,071 | ||||||
| 18,968 | Government National Mortgage Association I, 6.5%, 6/15/32 | 22,186 | ||||||
| 17,795 | Government National Mortgage Association I, 6.5%, 12/15/32 | 20,780 | ||||||
| 21,642 | Government National Mortgage Association I, 6.5%, 5/15/33 | 23,968 | ||||||
| 260 | Government National Mortgage Association I, 7.0%, 8/15/28 | 290 | ||||||
| 2,736 | Government National Mortgage Association I, 8.0%, 2/15/30 | 2,743 | ||||||
| 92,477 | Government National Mortgage Association II, 4.5%, 9/20/44 | 97,337 | ||||||
| 33,797 | Government National Mortgage Association II, 4.5%, 10/20/44 | 36,238 | ||||||
| 70,792 | Government National Mortgage Association II, 4.5%, 11/20/44 | 75,899 | ||||||
| 647,197 | Government National Mortgage Association II, 4.5%, 7/20/49 | 681,158 | ||||||
| 990,702 | Government National Mortgage Association II, 4.5%, 8/20/49 | 1,043,480 | ||||||
| 22,740 | Government National Mortgage Association II, 5.5%, 2/20/34 | 25,612 | ||||||
| 35,668 | Government National Mortgage Association II, 6.5%, 11/20/28 | 40,457 | ||||||
| 1,670 | Government National Mortgage Association II, 7.5%, 9/20/29 | 1,932 | ||||||
| 1,000,000(k) | U.S. Treasury Bills, 11/12/19 | 999,535 | ||||||
| 1,000,000(k) | U.S. Treasury Bills, 11/19/19 | 999,237 | ||||||
| 2,500,000(k) | U.S. Treasury Bills, 11/26/19 | 2,497,327 | ||||||
| 1,668,000 | U.S. Treasury Bonds, 3.0%, 2/15/49 | 1,966,416 | ||||||
| 457,017 | U.S. Treasury Inflation Indexed Bonds, 0.875%, 2/15/47 | 494,301 | ||||||
| 2,116,835 | U.S. Treasury Inflation Indexed Bonds, 1.0%, 2/15/46 | 2,349,909 | ||||||
| 1,321,308 | U.S. Treasury Inflation Indexed Bonds, 1.0%, 2/15/48 | 1,476,139 | ||||||
| 968,582 | U.S. Treasury Inflation Indexed Bonds, 1.0%, 2/15/49 | 1,089,077 | ||||||
| 600,000 | U.S. Treasury Notes, 1.5%, 8/31/21 | 599,320 | ||||||
| 1,430,000 | U.S. Treasury Notes, 2.25%, 4/30/24 | 1,474,520 | ||||||
| 2,775,000 | U.S. Treasury Notes, 2.375%, 2/29/24 | 2,873,101 | ||||||
| 2,318,000 | U.S. Treasury Notes, 2.625%, 2/15/29 | 2,506,156 | ||||||
| TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS | ||||||||
(Cost $48,982,798) | $50,140,342 | |||||||
| TEMPORARY CASH INVESTMENTS - 2.1% of Net Assets | ||||||||
| REPURCHASE AGREEMENTS - 2.1% | ||||||||
| 1,420,000 | $1,420,000 RBC Capital Markets LLC, 1.73%, dated 10/31/19 plus accrued interest on 11/1/19 collateralized by the following: $367,019 Freddie Mac Giant, 3.5%, 5/1/49 $1,081,451 Federal National Mortgage Association, 4.0%, 11/1/48 | $1,420,000 | ||||||
| 2,360,000 | $2,360,000 TD Securities USA LLC, 1.73%, dated 10/31/19 plus accrued interest on 11/1/19 collateralized by $2,407,237 U.S. Treasury Notes, 0.6%-1.8%, 1/31/21-7/15/21 | 2,360,000 | ||||||
| 2,910,000 | $2,910,000 TD Securities USA LLC, 1.75%, dated 10/31/19 plus accrued interest on 11/1/19 collateralized by $2,968,201 Federal National Mortgage Association, 3.5%, 5/1/49 | 2,910,000 | ||||||
| $6,690,000 | ||||||||
| TOTAL TEMPORARY CASH INVESTMENTS | ||||||||
(Cost $6,690,000) | $6,690,000 | |||||||
| TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 100.8% | ||||||||
(Cost $270,611,513) | $313,917,576 | |||||||
| Shares | Dividend Income | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) | Value | ||||
| AFFILIATED ISSUER - 0.3% | ||||||||
| CLOSED-END FUND - 0.3% of Net Assets | ||||||||
| 110,371(m) | Pioneer ILS Interval Fund | $ – | $ – | $ 9,934 | $972,369 | |||
| TOTAL CLOSED-END FUND | ||||||||
(Cost $1,123,856) | $972,369 | |||||||
| TOTAL INVESTMENTS IN AFFILIATED ISSUER - 0.3% | ||||||||
(Cost $1,123,856) | $972,369 | |||||||
| OTHER ASSETS AND LIABILITIES - (1.1)% | $(3,546,506) | |||||||
| NET ASSETS - 100.0% | $311,343,439 | |||||||
bps | Basis Points. |
LIBOR | London Interbank Offered Rate. |
REIT | Real Estate Investment Trust. |
REMICS | Real Estate Mortgage Investment Conduits. |
SOFRRATE | Secured Overnight Financing Rate. |
(144A) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At October 31, 2019, the value of these securities amounted to $32,786,961, or 10.5% of net assets. |
(A.D.R.) | American Depositary Receipts. |
(TBA) | “To Be Announced” Securities. |
† | Amount rounds to less than 0.1%. |
* | Senior secured floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR, (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at October 31, 2019. |
+ | Security that used significant unobservable inputs to determine its value. |
(a) | Non-income producing security. |
(b) | Floating rate note. Coupon rate, reference index and spread shown at October 31, 2019. |
(c) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread is shown at October 31, 2019. |
(d) | Security represents the interest-only portion payments on a pool of underlying mortgages or mortgage-backed securities. |
(e) | Security is perpetual in nature and has no stated maturity date. |
(f) | Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at October 31, 2019. |
(g) | Securities are restricted as to resale. |
(h) | Issued as participation notes. |
(i) | Issued as preference shares. |
(j) | Consists of Revenue Bonds unless otherwise indicated. |
(k) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
(l) | This term loan will settle after October 31, 2019, at which time the interest rate will be determined. |
(m) | Pioneer ILS Interval Fund is an affiliated fund managed by Amundi Pioneer Asset Management, Inc., (the “Adviser”). |
| FUTURES CONTRACTS |
| FIXED INCOME INDEX FUTURES CONTRACTS |
| Number of Contracts Long | Description | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||
54 | U.S. 2 Year Note (CBT) | 12/31/19 | $ | 11,667,804 | $ | 11,642,484 | $ | (25,320 | ) | |||||||
73 | U.S. 5 Year Note (CBT) | 12/31/19 | 8,684,719 | 8,701,828 | 17,109 | |||||||||||
2 | U.S. 10 Year Note (CBT) | 12/19/19 | 263,750 | 260,594 | (3,156 | ) | ||||||||||
18 | U.S. Ultra Bond (CBT) | 12/19/19 | 3,569,625 | 3,415,500 | (154,125 | ) | ||||||||||
$ | 24,185,898 | $ | 24,020,406 | $ | (165,492 | ) | ||||||||||
| Number of Contracts Short | Description | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation | |||||||||||
63 | U.S. 10 Year Ultra | 12/19/19 | $ | 9,011,703 | $ | 8,952,891 | $ | 58,812 | ||||||||
4 | U.S. Long Bond (CBT) | 12/19/19 | 663,500 | 645,500 | 18,000 | |||||||||||
$ | 9,675,203 | $ | 9,598,391 | $ | 76,812 | |||||||||||
| TOTAL FUTURES CONTRACTS | $ | 14,510,695 | $ | 14,422,015 | $ | (88,680 | ) | |||||||||
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels below. |
| Level 1 - quoted prices in active markets for identical securities. |
| Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining fair value of investments). |
The following is a summary of the inputs used as of October 31, 2019, in valuing the Fund’s investments: |
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | $ | 191,980,548 | $ | – | $ | – | $ | 191,980,548 | ||||||||
Asset Backed Securities | – | 4,479,610 | – | 4,479,610 | ||||||||||||
Collateralized Mortgage Obligations | – | 23,464,394 | – | 23,464,394 | ||||||||||||
Corporate Bonds | – | 31,649,259 | – | 31,649,259 | ||||||||||||
Foreign Government Bond | – | 324,753 | – | 324,753 | ||||||||||||
Insurance-Linked Securities | ||||||||||||||||
| Collateralized Reinsurance | ||||||||||||||||
| Multiperil - Worldwide | – | – | 25 | 25 | ||||||||||||
| Reinsurance Sidecars | ||||||||||||||||
| Multiperil - U.S. | – | – | 15,060 | 15,060 | ||||||||||||
| Multiperil - Worldwide | – | – | 224,947 | 224,947 | ||||||||||||
| All Other Insurance-Linked Securities | – | 1,995,425 | – | 1,995,425 | ||||||||||||
Municipal Bonds | – | 541,408 | – | 541,408 | ||||||||||||
Senior Secured Floating Rate Loan Interests | – | 2,411,805 | – | 2,411,805 | ||||||||||||
U.S. Government and Agency Obligations | – | 50,140,342 | – | 50,140,342 | ||||||||||||
Repurchase Agreements | – | 6,690,000 | – | 6,690,000 | ||||||||||||
Affiliated Closed-End Fund | – | 972,369 | – | 972,369 | ||||||||||||
| Total Investments in Securities | $ | 191,980,548 | $ | 122,669,365 | $ | 240,032 | $ | 314,889,945 | ||||||||
| Other Financial Instruments | ||||||||||||||||
| Net unrealized depreciation on futures contracts | $ | (88,680 | ) | $ | – | $ | – | $ | (88,680 | ) | ||||||
| Total Other Financial Instruments | $ | (88,680 | ) | $ | – | $ | – | $ | (88,680 | ) | ||||||
| Insurance-Linked Securities | ||||
Balance as of 7/31/19 | $ | 394,228 | ||
Realized gain (loss) | (382 | ) | ||
Changed in unrealized appreciation (depreciation) | (151,283 | ) | ||
Accrued discounts/premiums | -- | |||
Purchases | -- | |||
Sales | (2,531 | ) | ||
Transfers in to Level 3* | -- | |||
Transfers out of Level 3* | -- | |||
| Balance as of 10/31/19 | $ | 240,032 | ||
| * | Transfers are calculated on the beginning of period value. During the three months ended October 31, 2019, there were no transfers between Levels 1, 2 and 3. |
