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: 811-23207
Brinker Capital Destinations Trust
(Exact name of registrant as specified in charter)
1055 Westlakes Drive, Suite 250
Berwyn, PA 19312
(Address of principal executive offices) (Zip code)
The Corporation Trust Company
1209 Orange Street
Wilmington, Delaware 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1 (610) 407-5500
Date of fiscal year end:
February 28
Date of reporting period:
February 28, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking rules.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under clearance requirements of 44 U.S.C. § 3507.
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). |
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Chief Operating Officer, Brinker Capital Destinations Trust
April 29, 2022
Investment Officer, Brinker Capital Destinations Trust
April 29, 2022
| | | YTD | | | 1 Year | | | 3 Year | | | Since Inception (3/20/2017) | | ||||||||||||
Destinations Large Cap Equity Fund Class I | | | | | -8.90% | | | | | | 7.48% | | | | | | 15.06% | | | | | | 13.14% | | |
Russell 1000 Index | | | | | -8.23% | | | | | | 13.72% | | | | | | 18.08% | | | | | | 15.09% | | |
| | | YTD | | | 1 Year | | | 3 Year | | | Since Inception (3/20/2017) | | ||||||||||||
Destinations Small-Mid Cap Equity Fund Class I | | | | | -11.23% | | | | | | 1.66% | | | | | | 16.23% | | | | | | 13.78% | | |
Russell Midcap Index | | | | | -8.03% | | | | | | 7.07% | | | | | | 14.25% | | | | | | 12.16% | | |
Russell 2000 Index | | | | | -8.66% | | | | | | -6.01% | | | | | | 10.50% | | | | | | 9.60% | | |
| | | YTD | | | 1 Year | | | 3 Year | | | Since Inception (3/20/2017) | | ||||||||||||
Destinations International Equity Fund Class I | | | | | -9.56% | | | | | | -8.36% | | | | | | 8.72% | | | | | | 7.42% | | |
FTSE All-World ex US Index | | | | | -5.37% | | | | | | 0.56% | | | | | | 8.56% | | | | | | 7.34% | | |
| | | YTD | | | 1 Year | | | 3 Year | | | Since Inception (3/20/2017) | | ||||||||||||
Destinations Equity Income Fund Class I | | | | | -0.08% | | | | | | 19.58% | | | | | | 9.44% | | | | | | 8.08% | | |
FTSE All-World High Dividend Yield Index | | | | | -1.20% | | | | | | 12.65% | | | | | | 8.79% | | | | | | 7.00% | | |
| | | YTD | | | 1 Year | | | 3 Year | | | Since Inception (3/20/2017) | | ||||||||||||
Destinations Core Fixed Income Fund Class I | | | | | -3.03% | | | | | | -2.72% | | | | | | 1.98% | | | | | | 1.82% | | |
ICE BofA US Broad Market Index | | | | | -3.34% | | | | | | -2.37% | | | | | | 3.32% | | | | | | 2.87% | | |
| | | YTD | | | 1 Year | | | 3 Year | | | Since Inception (3/20/2017) | | ||||||||||||
Destinations Low Duration Fixed Income Fund Class I | | | | | 0.00% | | | | | | 3.40% | | | | | | 3.18% | | | | | | 2.79% | | |
ICE BofA US High Yield 0-3 Year Index | | | | | -1.23% | | | | | | 2.57% | | | | | | 3.99% | | | | | | 4.31% | | |
ICE BofA US Treasury 1-3 Year Index | | | | | -1.03% | | | | | | -1.51% | | | | | | 1.54% | | | | | | 1.38% | | |
| | | YTD | | | 1 Year | | | 3 Year | | | Since Inception (3/20/2017) | | ||||||||||||
Destinations Global Fixed Income Opportunities Fund Class I | | | | | -1.32% | | | | | | 1.49% | | | | | | 3.90% | | | | | | 3.47% | | |
ICE BofA US High Yield Index | | | | | -3.62% | | | | | | 0.81% | | | | | | 5.06% | | | | | | 4.96% | | |
| | | YTD | | | 1 Year | | | 3 Year | | | Since Inception (3/20/2017) | | ||||||||||||
Destinations Municipal Fixed Income Fund Class I | | | | | -2.60% | | | | | | -1.53% | | | | | | 1.87% | | | | | | 1.77% | | |
ICE BofA US Municipal Securities 1-10 Year Index | | | | | -2.44% | | | | | | -1.43% | | | | | | 1.88% | | | | | | 2.12% | | |
| | | YTD | | | 1 Year | | | 3 Year | | | Since Inception (3/20/2017) | | ||||||||||||
Destinations Multi Strategy Alternatives Fund Class I | | | | | -1.92% | | | | | | 1.25% | | | | | | 5.28% | | | | | | 4.20% | | |
Morningstar Broad Hedge Fund Index | | | | | 2.68% | | | | | | 11.24% | | | | | | 8.71% | | | | | | 6.52% | | |
Fund | | | Total Return(2) | | | Beginning Account Value | | | Ending Account Value | | | Annualized Expense Ratios(3) | | | Expense Paid During the Period(4) | | |||||||||||||||
Destinations Large Cap Equity Fund – Class I | | | | | (8.27)% | | | | | $ | 1,000.00 | | | | | $ | 917.29 | | | | | | 0.81% | | | | | $ | 3.85 | | |
Destinations Large Cap Equity Fund – Class Z | | | | | (8.12)% | | | | | | 1,000.00 | | | | | | 918.76 | | | | | | 0.66% | | | | | | 3.14 | | |
Destinations Small-Mid Cap Equity Fund – Class I | | | | | (6.48)% | | | | | | 1,000.00 | | | | | | 935.25 | | | | | | 1.10% | | | | | | 5.28 | | |
Destinations Small-Mid Cap Equity Fund – Class Z | | | | | (6.39)% | | | | | | 1,000.00 | | | | | | 936.15 | | | | | | 0.95% | | | | | | 4.61 | | |
Destinations International Equity Fund – Class I | | | | | (13.40)% | | | | | | 1,000.00 | | | | | | 866.01 | | | | | | 1.22% | | | | | | 5.64 | | |
Destinations International Equity Fund – Class Z | | | | | (13.29)% | | | | | | 1,000.00 | | | | | | 867.09 | | | | | | 1.07% | | | | | | 4.95 | | |
Destinations Equity Income Fund – Class I | | | | | 4.93% | | | | | | 1,000.00 | | | | | | 1,049.30 | | | | | | 0.93% | | | | | | 4.73 | | |
Destinations Equity Income Fund – Class Z | | | | | 5.03% | | | | | | 1,000.00 | | | | | | 1,050.33 | | | | | | 0.78% | | | | | | 3.97 | | |
Destinations Core Fixed Income Fund – Class I | | | | | (3.95)% | | | | | | 1,000.00 | | | | | | 960.52 | | | | | | 0.80% | | | | | | 3.89 | | |
Destinations Core Fixed Income Fund – Class Z | | | | | (3.87)% | | | | | | 1,000.00 | | | | | | 961.34 | | | | | | 0.65% | | | | | | 3.16 | | |
Destinations Low Duration Fixed Income Fund – Class I | | | | | 0.49% | | | | | | 1,000.00 | | | | | | 1,004.85 | | | | | | 0.94% | | | | | | 4.67 | | |
Destinations Low Duration Fixed Income Fund – Class Z | | | | | 0.52% | | | | | | 1,000.00 | | | | | | 1,005.24 | | | | | | 0.79% | | | | | | 3.93 | | |
Destinations Global Fixed Income Opportunities Fund – Class I | | | | | (0.18)% | | | | | | 1,000.00 | | | | | | 998.20 | | | | | | 1.11% | | | | | | 5.50 | | |
Destinations Global Fixed Income Opportunities Fund – Class Z | | | | | (0.09)% | | | | | | 1,000.00 | | | | | | 999.10 | | | | | | 0.96% | | | | | | 4.76 | | |
Destinations Municipal Fixed Income Fund – Class I | | | | | (2.97)% | | | | | | 1,000.00 | | | | | | 970.30 | | | | | | 0.76% | | | | | | 3.71 | | |
Destinations Municipal Fixed Income Fund – Class Z | | | | | (2.89)% | | | | | | 1,000.00 | | | | | | 971.10 | | | | | | 0.61% | | | | | | 2.98 | | |
Destinations Multi Strategy Alternatives Fund – Class I | | | | | (0.58)% | | | | | | 1,000.00 | | | | | | 994.16 | | | | | | 1.31% | | | | | | 6.48 | | |
Destinations Multi Strategy Alternatives Fund – Class Z | | | | | (0.52)% | | | | | | 1,000.00 | | | | | | 994.77 | | | | | | 1.16% | | | | | | 5.74 | | |
Destinations Shelter Fund – Class I | | | | | (4.33)% | | | | | | 1,000.00 | | | | | | 956.72 | | | | | | 0.90% | | | | | | 3.05(5) | | |
Destinations Shelter Fund – Class Z | | | | | (5.51)% | | | | | | 1,000.00 | | | | | | 944.86 | | | | | | 0.75% | | | | | | 1.78(6) | | |
Fund | | | Hypothetical Annualized Total Return | | | Beginning Account Value | | | Ending Account Value | | | Annualized Expense Ratios(2) | | | Expense Paid During the Period(3) | | |||||||||||||||
Destinations Large Cap Equity Fund – Class I | | | | | 5.00% | | | | | $ | 1,000.00 | | | | | $ | 1,020.78 | | | | | | 0.81% | | | | | $ | 4.06 | | |
Destinations Large Cap Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.52 | | | | | | 0.66% | | | | | | 3.31 | | |
Destinations Small-Mid Cap Equity Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.34 | | | | | | 1.10% | | | | | | 5.51 | | |
Destinations Small-Mid Cap Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.03 | | | | | | 0.95% | | | | | | 4.81 | | |
Destinations International Equity Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,018.74 | | | | | | 1.22% | | | | | | 6.11 | | |
Destinations International Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.49 | | | | | | 1.07% | | | | | | 5.36 | | |
Destinations Equity Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.18 | | | | | | 0.93% | | | | | | 4.66 | | |
Destinations Equity Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.93 | | | | | | 0.78% | | | | | | 3.91 | | |
Destinations Core Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.83 | | | | | | 0.80% | | | | | | 4.01 | | |
Destinations Core Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.57 | | | | | | 0.65% | | | | | | 3.26 | | |
Destinations Low Duration Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.13 | | | | | | 0.94% | | | | | | 4.71 | | |
Destinations Low Duration Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.88 | | | | | | 0.79% | | | | | | 3.96 | | |
Destinations Global Fixed Income Opportunities Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.24 | | | | | | 1.11% | | | | | | 5.56 | | |
Destinations Global Fixed Income Opportunities Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.03 | | | | | | 0.96% | | | | | | 4.81 | | |
Destinations Municipal Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.03 | | | | | | 0.76% | | | | | | 3.81 | | |
Destinations Municipal Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.77 | | | | | | 0.61% | | | | | | 3.06 | | |
Destinations Multi Strategy Alternatives Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,018.30 | | | | | | 1.31% | | | | | | 6.56 | | |
Destinations Multi Strategy Alternatives Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.04 | | | | | | 1.16% | | | | | | 5.81 | | |
Destinations Shelter Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.28 | | | | | | 0.90% | | | | | | 3.15(4) | | |
Destinations Shelter Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.08 | | | | | | 0.75% | | | | | | 1.85(5) | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 98.2% | | ||||||||||||
| BASIC MATERIALS – 1.5% | | ||||||||||||
| Chemicals – 0.7% | | ||||||||||||
| | | 1,728 | | | | Air Products & Chemicals Inc. | | | | $ | 408,326 | | |
| | | 912 | | | | Albemarle Corp. | | | | | 178,652 | | |
| | | 836 | | | | Celanese Corp., Class A Shares | | | | | 116,438 | | |
| | | 263,871 | | | | CF Industries Holdings Inc. | | | | | 21,423,687 | | |
| | | 5,773 | | | | Dow Inc. | | | | | 340,376 | | |
| | | 4,044 | | | | DuPont de Nemours Inc. | | | | | 312,884 | | |
| | | 101,942 | | | | Eastman Chemical Co. | | | | | 12,077,069 | | |
| | | 1,946 | | | | Ecolab Inc. | | | | | 343,002 | | |
| | | 972 | | | | FMC Corp. | | | | | 113,967 | | |
| | | 1,987 | | | | International Flavors & Fragrances Inc. | | | | | 264,271 | | |
| | | 4,001 | | | | Linde PLC | | | | | 1,173,253 | | |
| | | 2,052 | | | | LyondellBasell Industries NV, Class A Shares | | | | | 199,516 | | |
| | | 2,971 | | | | Mosaic Co. | | | | | 155,770 | | |
| | | 1,853 | | | | PPG Industries Inc. | | | | | 247,283 | | |
| | | 1,883 | | | | Sherwin-Williams Co. | | | | | 495,474 | | |
| | | | | | | Total Chemicals | | | | | 37,849,968 | | |
| Forest Products & Paper – 0.4% | | ||||||||||||
| | | 238,896 | | | | International Paper Co. | | | | | 10,399,143 | | |
| | | 71,765 | | | | West Fraser Timber Co., Ltd. | | | | | 7,157,123 | | |
| | | | | | | Total Forest Products & Paper | | | | | 17,556,266 | | |
| Iron/Steel – 0.0% | | ||||||||||||
| | | 2,231 | | | | Nucor Corp. | | | | | 293,644 | | |
| Mining – 0.4% | | ||||||||||||
| | | 454,520 | | | | Freeport-McMoRan Inc. | | | | | 21,339,714 | | |
| | | 6,224 | | | | Newmont Corp. | | | | | 412,029 | | |
| | | | | | | Total Mining | | | | | 21,751,743 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 77,451,621 | | |
| COMMUNICATIONS – 19.2% | | ||||||||||||
| Advertising – 0.1% | | ||||||||||||
| | | 3,019 | | | | Interpublic Group of Cos., Inc. | | | | | 111,099 | | |
| | | 1,644 | | | | Omnicom Group Inc. | | | | | 137,915 | | |
| | | 80,828 | | | | Trade Desk Inc., Class A Shares* | | | | | 6,896,245 | | |
| | | | | | | Total Advertising | | | | | 7,145,259 | | |
| Internet – 13.7% | | ||||||||||||
| | | 246 | | | | Airbnb Inc., Class A Shares* | | | | | 37,267 | | |
| | | 30,366 | | | | Alphabet Inc., Class A Shares* | | | | | 82,022,817 | | |
| | | 35,021 | | | | Alphabet Inc., Class C Shares* | | | | | 94,480,354 | | |
| | | 58,825 | | | | Amazon.com Inc.* | | | | | 180,666,870 | | |
| | | 25,580 | | | | Booking Holdings Inc.* | | | | | 55,566,155 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Internet – (continued) | | ||||||||||||
| | | 1,059 | | | | CDW Corp. | | | | $ | 182,635 | | |
| | | 411,449 | | | | Chewy Inc., Class A Shares*(a) | | | | | 19,395,706 | | |
| | | 145,305 | | | | Coupang Inc., Class A Shares* | | | | | 3,853,489 | | |
| | | 62,787 | | | | DoorDash Inc., Class A Shares* | | | | | 6,589,496 | | |
| | | 4,886 | | | | eBay Inc. | | | | | 266,727 | | |
| | | 42,963 | | | | Etsy Inc.* | | | | | 6,654,539 | | |
| | | 102,049 | | | | Expedia Group Inc.* | | | | | 20,012,829 | | |
| | | 67,524 | | | | F5 Inc.* | | | | | 13,562,195 | | |
| | | 162,977 | | | | Farfetch Ltd., Class A Shares*(a) | | | | | 3,104,712 | | |
| | | 11,400 | | | | Kuaishou Technology, Class B Shares*(b) | | | | | 130,634 | | |
| | | 502,067 | | | | Match Group Inc.* | | | | | 55,975,450 | | |
| | | 114,500 | | | | Meituan, Class B Shares*(b) | | | | | 2,523,037 | | |
| | | 351,348 | | | | Meta Platforms Inc., Class A Shares* | | | | | 74,144,968 | | |
| | | 39,760 | | | | Netflix Inc.* | | | | | 15,686,115 | | |
| | | 4,484 | | | | NortonLifeLock Inc. | | | | | 129,946 | | |
| | | 28,792 | | | | Pinduoduo Inc., ADR* | | | | | 1,493,153 | | |
| | | 103,919 | | | | Sea Ltd., ADR* | | | | | 15,130,606 | | |
| | | 383,569 | | | | Snap Inc., Class A Shares* | | | | | 15,319,746 | | |
| | | 51,751 | | | | Spotify Technology SA* | | | | | 8,082,989 | | |
| | | 224,363 | | | | Twitter Inc.* | | | | | 7,976,105 | | |
| | | 842,272 | | | | Uber Technologies Inc.* | | | | | 30,347,060 | | |
| | | 49,226 | | | | VeriSign Inc.* | | | | | 10,520,581 | | |
| | | | | | | Total Internet | | | | | 723,856,181 | | |
| Media – 2.8% | | ||||||||||||
| | | 966 | | | | Charter Communications Inc., Class A Shares* | | | | | 581,319 | | |
| | | 35,588 | | | | Comcast Corp., Class A Shares | | | | | 1,664,095 | | |
| | | 1,314 | | | | Discovery Inc., Class A Shares*(a) | | | | | 36,858 | | |
| | | 2,371 | | | | Discovery Inc., Class C Shares* | | | | | 66,317 | | |
| | | 1,930 | | | | DISH Network Corp., Class A Shares* | | | | | 61,683 | | |
| | | 289 | | | | FactSet Research Systems Inc. | | | | | 117,360 | | |
| | | 282,464 | | | | Fox Corp., Class A Shares | | | | | 11,815,469 | | |
| | | 1,162 | | | | Fox Corp., Class B Shares | | | | | 44,458 | | |
| | | 274,568 | | | | Liberty Broadband Corp., Class C Shares* | | | | | 40,279,126 | | |
| | | 1,158,954 | | | | Liberty Media Corp.-Liberty SiriusXM* | | | | | 58,318,565 | | |
| | | 1,603,451 | | | | News Corp., Class A Shares | | | | | 35,789,026 | | |
| | | 944 | | | | News Corp., Class B Shares | | | | | 21,174 | | |
| | | 4,697 | | | | Paramount Global, Class B Shares | | | | | 143,775 | | |
| | | 14,183 | | | | Walt Disney Co.* | | | | | 2,105,608 | | |
| | | | | | | Total Media | | | | | 151,044,833 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Telecommunications – 2.6% | | ||||||||||||
| | | 1,751 | | | | Arista Networks Inc.* | | | | $ | 214,900 | | |
| | | 55,738 | | | | AT&T Inc. | | | | | 1,320,433 | | |
| | | 207,177 | | | | Ciena Corp.* | | | | | 14,175,050 | | |
| | | 555,301 | | | | Cisco Systems Inc. | | | | | 30,969,137 | | |
| | | 249,363 | | | | Corning Inc. | | | | | 10,074,265 | | |
| | | 2,585 | | | | Juniper Networks Inc. | | | | | 87,347 | | |
| | | 7,378 | | | | Lumen Technologies Inc. | | | | | 76,436 | | |
| | | 47,567 | | | | Motorola Solutions Inc. | | | | | 10,485,194 | | |
| | | 1,707,960 | | | | Nokia OYJ, ADR* | | | | | 9,137,586 | | |
| | | 451,985 | | | | T-Mobile US Inc.* | | | | | 55,689,072 | | |
| | | 32,315 | | | | Verizon Communications Inc. | | | | | 1,734,346 | | |
| | | | | | | Total Telecommunications | | | | | 133,963,766 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 1,016,010,039 | | |
| CONSUMER CYCLICAL – 7.4% | | ||||||||||||
| Airlines – 0.0% | | ||||||||||||
| | | 941 | | | | Alaska Air Group Inc.* | | | | | 52,828 | | |
| | | 5,148 | | | | American Airlines Group Inc.* | | | | | 88,803 | | |
| | | 4,996 | | | | Delta Air Lines Inc.* | | | | | 199,440 | | |
| | | 4,620 | | | | Southwest Airlines Co.* | | | | | 202,356 | | |
| | | 2,605 | | | | United Airlines Holdings Inc.* | | | | | 115,662 | | |
| | | | | | | Total Airlines | | | | | 659,089 | | |
| Apparel – 0.9% | | ||||||||||||
| | | 332,108 | | | | NIKE Inc., Class B Shares | | | | | 45,349,347 | | |
| | | 544 | | | | PVH Corp. | | | | | 53,252 | | |
| | | 371 | | | | Ralph Lauren Corp., Class A Shares | | | | | 48,987 | | |
| | | 2,219 | | | | Tapestry Inc. | | | | | 90,757 | | |
| | | 1,594 | | | | Under Armour Inc., Class A Shares* | | | | | 28,517 | | |
| | | 1,630 | | | | Under Armour Inc., Class C Shares* | | | | | 25,477 | | |
| | | 2,530 | | | | VF Corp. | | | | | 146,791 | | |
| | | | | | | Total Apparel | | | | | 45,743,128 | | |
| Auto Manufacturers – 2.2% | | ||||||||||||
| | | 104,656 | | | | Aurora Innovation Inc., Series B, Private Placement*(d)@ | | | | | 568,701 | | |
| | | 50,624 | | | | Cummins Inc. | | | | | 10,333,371 | | |
| | | 36,835 | | | | Ferrari NV | | | | | 7,930,944 | | |
| | | 30,639 | | | | Ford Motor Co. | | | | | 538,021 | | |
| | | 305,878 | | | | General Motors Co.* | | | | | 14,290,620 | | |
| | | 2,710 | | | | PACCAR Inc. | | | | | 248,805 | | |
| | | 66,794 | | | | Rivian Automotive Inc., Class A Shares*(a) | | | | | 4,512,603 | | |
| | | 628,551 | | | | Rivian Automotive Inc., Private Placement*(d)@ | | | | | 40,341,660 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Auto Manufacturers – (continued) | | ||||||||||||
| | | 35,104 | | | | Tesla Inc.* | | | | $ | 30,555,575 | | |
| | | | | | | Total Auto Manufacturers | | | | | 109,320,300 | | |
| Auto Parts & Equipment – 0.0% | | ||||||||||||
| | | 2,111 | | | | Aptiv PLC* | | | | | 273,248 | | |
| | | 1,900 | | | | BorgWarner Inc. | | | | | 77,919 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 351,167 | | |
| Distribution/Wholesale – 0.8% | | ||||||||||||
| | | 1,666 | | | | Copart Inc.* | | | | | 204,718 | | |
| | | 4,489 | | | | Fastenal Co. | | | | | 231,004 | | |
| | | 885,387 | | | | LKQ Corp. | | | | | 41,568,920 | | |
| | | 309 | | | | Pool Corp. | | | | | 141,701 | | |
| | | 336 | | | | WW Grainger Inc. | | | | | 160,292 | | |
| | | | | | | Total Distribution/Wholesale | | | | | 42,306,635 | | |
| Entertainment – 0.1% | | ||||||||||||
| | | 1,657 | | | | Caesars Entertainment Inc.* | | | | | 139,503 | | |
| | | 72,367 | | | | DraftKings Inc., Class A Shares*(a) | | | | | 1,713,651 | | |
| | | 223,932 | | | | International Game Technology PLC | | | | | 6,856,798 | | |
| | | 1,044 | | | | Live Nation Entertainment Inc.* | | | | | 126,136 | | |
| | | 1,253 | | | | Penn National Gaming Inc.* | | | | | 64,342 | | |
| | | | | | | Total Entertainment | | | | | 8,900,430 | | |
| Home Builders – 0.0% | | ||||||||||||
| | | 2,544 | | | | DR Horton Inc. | | | | | 217,258 | | |
| | | 2,122 | | | | Lennar Corp., Class A Shares | | | | | 190,725 | | |
| | | 25 | | | | NVR Inc.* | | | | | 123,961 | | |
| | | 2,042 | | | | PulteGroup Inc. | | | | | 101,406 | | |
| | | | | | | Total Home Builders | | | | | 633,350 | | |
| Home Furnishings – 0.3% | | ||||||||||||
| | | 166,675 | | | | Dolby Laboratories Inc., Class A Shares | | | | | 12,517,292 | | |
| | | 474 | | | | Whirlpool Corp. | | | | | 95,402 | | |
| | | | | | | Total Home Furnishings | | | | | 12,612,694 | | |
| Housewares – 0.0% | | ||||||||||||
| | | 2,938 | | | | Newell Brands Inc. | | | | | 69,777 | | |
| Leisure Time – 0.1% | | ||||||||||||
| | | 6,189 | | | | Carnival Corp.* | | | | | 125,822 | | |
| | | 2,862 | | | | Norwegian Cruise Line Holdings Ltd.* | | | | | 55,780 | | |
| | | 149,160 | | | | Peloton Interactive Inc., Class A Shares* | | | | | 4,334,590 | | |
| | | 1,738 | | | | Royal Caribbean Cruises Ltd.* | | | | | 140,291 | | |
| | | | | | | Total Leisure Time | | | | | 4,656,483 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Lodging – 0.4% | | ||||||||||||
| | | 2,176 | | | | Hilton Worldwide Holdings Inc.* | | | | $ | 323,919 | | |
| | | 354,375 | | | | Las Vegas Sands Corp.* | | | | | 15,188,512 | | |
| | | 2,135 | | | | Marriott International Inc., Class A Shares* | | | | | 363,249 | | |
| | | 3,098 | | | | MGM Resorts International | | | | | 137,210 | | |
| | | 82,582 | | | | Wynn Resorts Ltd.* | | | | | 7,144,995 | | |
| | | | | | | Total Lodging | | | | | 23,157,885 | | |
| Retail – 2.6% | | ||||||||||||
| | | 501 | | | | Advance Auto Parts Inc. | | | | | 102,444 | | |
| | | 164 | | | | AutoZone Inc.* | | | | | 305,596 | | |
| | | 571,526 | | | | Bath & Body Works Inc. | | | | | 30,502,343 | | |
| | | 1,723 | | | | Best Buy Co., Inc. | | | | | 166,511 | | |
| | | 1,254 | | | | CarMax Inc.* | | | | | 137,100 | | |
| | | 22,377 | | | | Carvana Co., Class A Shares* | | | | | 3,367,067 | | |
| | | 7,461 | | | | Chipotle Mexican Grill Inc., Class A Shares* | | | | | 11,365,714 | | |
| | | 72,836 | | | | Costco Wholesale Corp. | | | | | 37,820,093 | | |
| | | 1,006 | | | | Darden Restaurants Inc. | | | | | 146,091 | | |
| | | 1,821 | | | | Dollar General Corp. | | | | | 361,177 | | |
| | | 1,756 | | | | Dollar Tree Inc.* | | | | | 249,492 | | |
| | | 23,227 | | | | Domino’s Pizza Inc. | | | | | 10,038,942 | | |
| | | 1,102 | | | | Genuine Parts Co. | | | | | 134,620 | | |
| | | 8,237 | | | | Home Depot Inc. | | | | | 2,601,492 | | |
| | | 5,405 | | | | Lowe’s Cos., Inc. | | | | | 1,194,829 | | |
| | | 30,457 | | | | Lululemon Athletica Inc.* | | | | | 9,744,413 | | |
| | | 5,833 | | | | McDonald’s Corp. | | | | | 1,427,743 | | |
| | | 526 | | | | O’Reilly Automotive Inc.* | | | | | 341,500 | | |
| | | 168,830 | | | | Ross Stores Inc. | | | | | 15,429,374 | | |
| | | 9,210 | | | | Starbucks Corp. | | | | | 845,386 | | |
| | | 3,809 | | | | Target Corp. | | | | | 760,924 | | |
| | | 9,386 | | | | TJX Cos., Inc. | | | | | 620,415 | | |
| | | 888 | | | | Tractor Supply Co. | | | | | 180,966 | | |
| | | 422 | | | | Ulta Beauty Inc.* | | | | | 158,039 | | |
| | | 5,608 | | | | Walgreens Boots Alliance Inc. | | | | | 258,473 | | |
| | | 11,100 | | | | Walmart Inc. | | | | | 1,500,276 | | |
| | | 94,036 | | | | Yum! Brands Inc. | | | | | 11,526,933 | | |
| | | | | | | Total Retail | | | | | 141,287,953 | | |
| Toys/Games/Hobbies – 0.0% | | ||||||||||||
| | | 1,040 | | | | Hasbro Inc. | | | | | 100,932 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 389,799,823 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – 23.8% | | ||||||||||||
| Agriculture – 0.8% | | ||||||||||||
| | | 271,968 | | | | Altria Group Inc. | | | | $ | 13,949,239 | | |
| | | 4,367 | | | | Archer-Daniels-Midland Co. | | | | | 342,591 | | |
| | | 236,594 | | | | Philip Morris International Inc. | | | | | 23,912,556 | | |
| | | | | | | Total Agriculture | | | | | 38,204,386 | | |
| Beverages – 2.1% | | ||||||||||||
| | | 161,974 | | | | Brown-Forman Corp., Class B Shares | | | | | 10,565,564 | | |
| | | 30,343 | | | | Coca-Cola Co. | | | | | 1,888,548 | | |
| | | 1,282 | | | | Constellation Brands Inc., Class A Shares | | | | | 276,425 | | |
| | | 2,222,423 | | | | Keurig Dr Pepper Inc. | | | | | 85,941,097 | | |
| | | 244,409 | | | | Molson Coors Beverage Co., Class B Shares | | | | | 12,753,262 | | |
| | | 2,932 | | | | Monster Beverage Corp.* | | | | | 247,461 | | |
| | | 10,792 | | | | PepsiCo Inc. | | | | | 1,767,082 | | |
| | | | | | | Total Beverages | | | | | 113,439,439 | | |
| Biotechnology – 2.7% | | ||||||||||||
| | | 34,327 | | | | Alnylam Pharmaceuticals Inc.* | | | | | 5,418,517 | | |
| | | 60,107 | | | | Amgen Inc. | | | | | 13,613,033 | | |
| | | 8,674 | | | | Argenx SE, ADR* | | | | | 2,495,597 | | |
| | | 59,190 | | | | Biogen Inc.* | | | | | 12,489,682 | | |
| | | 356,945 | | | | BioMarin Pharmaceutical Inc.* | | | | | 27,884,543 | | |
| | | 164 | | | | Bio-Rad Laboratories Inc., Class A Shares* | | | | | 102,657 | | |
| | | 5,689 | | | | Corteva Inc. | | | | | 295,999 | | |
| | | 181,748 | | | | Gilead Sciences Inc. | | | | | 10,977,579 | | |
| | | 65,175 | | | | Horizon Therapeutics PLC* | | | | | 5,942,005 | | |
| | | 98,821 | | | | Illumina Inc.* | | | | | 32,274,939 | | |
| | | 179,658 | | | | Incyte Corp.* | | | | | 12,270,641 | | |
| | | 2,753 | | | | Moderna Inc.* | | | | | 422,861 | | |
| | | 825 | | | | Regeneron Pharmaceuticals Inc.* | | | | | 510,147 | | |
| | | 42,688 | | | | United Therapeutics Corp.* | | | | | 7,094,746 | | |
| | | 64,115 | | | | Vertex Pharmaceuticals Inc.* | | | | | 14,747,732 | | |
| | | | | | | Total Biotechnology | | | | | 146,540,678 | | |
| Commercial Services – 3.4% | | ||||||||||||
| | | 308,519 | | | | API Group Corp.* | | | | | 6,654,755 | | |
| | | 3,289 | | | | Automatic Data Processing Inc. | | | | | 672,403 | | |
| | | 41,200 | | | | Block Inc.* | | | | | 4,646,809 | | |
| | | 189,525 | | | | Block Inc., Class A Shares* | | | | | 24,164,438 | | |
| | | 8,341 | | | | Cintas Corp. | | | | | 3,130,544 | | |
| | | 472,211 | | | | CoStar Group Inc.* | | | | | 28,809,593 | | |
| | | 42,205 | | | | Equifax Inc. | | | | | 9,215,040 | | |
| | | 630 | | | | FleetCor Technologies Inc.* | | | | | 147,546 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Commercial Services – (continued) | | ||||||||||||
| | | 642 | | | | Gartner Inc.* | | | | $ | 180,030 | | |
| | | 47,395 | | | | Global Payments Inc. | | | | | 6,321,545 | | |
| | | 35,419 | | | | MarketAxess Holdings Inc. | | | | | 13,509,869 | | |
| | | 1,262 | | | | Moody’s Corp. | | | | | 406,402 | | |
| | | 2,723 | | | | Nielsen Holdings PLC | | | | | 47,435 | | |
| | | 245,006 | | | | PayPal Holdings Inc.* | | | | | 27,423,522 | | |
| | | 305,794 | | | | Quanta Services Inc. | | | | | 33,313,198 | | |
| | | 895 | | | | Robert Half International Inc. | | | | | 107,660 | | |
| | | 1,750 | | | | Rollins Inc. | | | | | 57,103 | | |
| | | 30,225 | | | | S&P Global Inc. | | | | | 11,355,533 | | |
| | | 4,859 | | | | Toast Inc., Class A Shares*(a) | | | | | 99,707 | | |
| | | 65,524 | | | | TransUnion | | | | | 5,946,958 | | |
| | | 565 | | | | United Rentals Inc.* | | | | | 181,715 | | |
| | | 1,258 | | | | Verisk Analytics Inc., Class A Shares | | | | | 223,094 | | |
| | | | | | | Total Commercial Services | | | | | 176,614,899 | | |
| Cosmetics/Personal Care – 1.7% | | ||||||||||||
| | | 6,579 | | | | Colgate-Palmolive Co. | | | | | 506,254 | | |
| | | 103,251 | | | | Estee Lauder Cos., Inc., Class A Shares | | | | | 30,596,369 | | |
| | | 18,889 | | | | Procter & Gamble Co. | | | | | 2,944,606 | | |
| | | 1,048,757 | | | | Unilever PLC, ADR | | | | | 52,721,014 | | |
| | | | | | | Total Cosmetics/Personal Care | | | | | 86,768,243 | | |
| Food – 0.5% | | ||||||||||||
| | | 1,584 | | | | Campbell Soup Co. | | | | | 71,233 | | |
| | | 3,703 | | | | Conagra Brands Inc. | | | | | 129,494 | | |
| | | 4,728 | | | | General Mills Inc. | | | | | 318,809 | | |
| | | 1,135 | | | | Hershey Co. | | | | | 229,565 | | |
| | | 2,272 | | | | Hormel Foods Corp. | | | | | 108,238 | | |
| | | 831 | | | | JM Smucker Co. | | | | | 111,977 | | |
| | | 1,975 | | | | Kellogg Co. | | | | | 126,282 | | |
| | | 5,541 | | | | Kraft Heinz Co. | | | | | 217,318 | | |
| | | 5,282 | | | | Kroger Co. | | | | | 247,198 | | |
| | | 1,140 | | | | Lamb Weston Holdings Inc. | | | | | 75,730 | | |
| | | 1,946 | | | | McCormick & Co., Inc. | | | | | 185,201 | | |
| | | 10,888 | | | | Mondelez International Inc., Class A Shares | | | | | 712,946 | | |
| | | 205,009 | | | | Nestle SA, ADR | | | | | 26,657,320 | | |
| | | 4,001 | | | | Sysco Corp. | | | | | 348,487 | | |
| | | 2,301 | | | | Tyson Foods Inc., Class A Shares | | | | | 213,211 | | |
| | | | | | | Total Food | | | | | 29,753,009 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Healthcare-Products – 4.9% | | ||||||||||||
| | | 13,802 | | | | Abbott Laboratories | | | | $ | 1,664,797 | | |
| | | 33,403 | | | | ABIOMED Inc.* | | | | | 10,379,648 | | |
| | | 129,110 | | | | Alcon Inc. | | | | | 9,940,179 | | |
| | | 56,168 | | | | Align Technology Inc.* | | | | | 28,727,685 | | |
| | | 154,242 | | | | Avantor Inc.* | | | | | 5,350,655 | | |
| | | 3,908 | | | | Baxter International Inc. | | | | | 332,063 | | |
| | | 303 | | | | Bio-Techne Corp. | | | | | 127,081 | | |
| | | 241,291 | | | | Boston Scientific Corp.* | | | | | 10,657,823 | | |
| | | 17,219 | | | | Cooper Cos., Inc. | | | | | 7,042,915 | | |
| | | 103,530 | | | | Danaher Corp. | | | | | 28,409,667 | | |
| | | 256,869 | | | | DENTSPLY SIRONA Inc. | | | | | 13,906,888 | | |
| | | 325,981 | | | | Edwards Lifesciences Corp.* | | | | | 36,630,485 | | |
| | | 298,591 | | | | Exact Sciences Corp.* | | | | | 23,308,013 | | |
| | | 1,105 | | | | Henry Schein Inc.* | | | | | 95,450 | | |
| | | 1,965 | | | | Hologic Inc.* | | | | | 139,849 | | |
| | | 662 | | | | IDEXX Laboratories Inc.* | | | | | 352,416 | | |
| | | 98,838 | | | | Insulet Corp.* | | | | | 26,161,430 | | |
| | | 56,923 | | | | Intuitive Surgical Inc.* | | | | | 16,526,455 | | |
| | | 247,610 | | | | Medtronic PLC | | | | | 25,996,574 | | |
| | | 985 | | | | PerkinElmer Inc. | | | | | 176,916 | | |
| | | 1,137 | | | | ResMed Inc. | | | | | 280,555 | | |
| | | 781 | | | | STERIS PLC | | | | | 187,440 | | |
| | | 46,835 | | | | Stryker Corp. | | | | | 12,333,997 | | |
| | | 361 | | | | Teleflex Inc. | | | | | 121,408 | | |
| | | 3,076 | | | | Thermo Fisher Scientific Inc. | | | | | 1,673,344 | | |
| | | 473 | | | | Waters Corp.* | | | | | 149,813 | | |
| | | 578 | | | | West Pharmaceutical Services Inc. | | | | | 223,732 | | |
| | | 1,631 | | | | Zimmer Biomet Holdings Inc. | | | | | 207,447 | | |
| | | | | | | Total Healthcare-Products | | | | | 261,104,725 | | |
| Healthcare-Services – 2.9% | | ||||||||||||
| | | 1,895 | | | | Anthem Inc. | | | | | 856,256 | | |
| | | 1,323 | | | | Catalent Inc.* | | | | | 134,999 | | |
| | | 236,236 | | | | Centene Corp.* | | | | | 19,517,818 | | |
| | | 387 | | | | Charles River Laboratories International Inc.* | | | | | 112,679 | | |
| | | 109,885 | | | | DaVita Inc.* | | | | | 12,391,731 | | |
| | | 87,202 | | | | HCA Healthcare Inc. | | | | | 21,827,533 | | |
| | | 15,474 | | | | Humana Inc. | | | | | 6,720,668 | | |
| | | 1,491 | | | | IQVIA Holdings Inc.* | | | | | 343,109 | | |
| | | 58,379 | | | | Laboratory Corp. of America Holdings* | | | | | 15,835,888 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Healthcare-Services – (continued) | | ||||||||||||
| | | 945 | | | | Quest Diagnostics Inc. | | | | $ | 124,050 | | |
| | | 167,969 | | | | UnitedHealth Group Inc. | | | | | 79,931,408 | | |
| | | 590 | | | | Universal Health Services Inc., Class B Shares | | | | | 84,919 | | |
| | | | | | | Total Healthcare-Services | | | | | 157,881,058 | | |
| Household Products/Wares – 0.0% | | ||||||||||||
| | | 635 | | | | Avery Dennison Corp. | | | | | 111,887 | | |
| | | 1,906 | | | | Church & Dwight Co., Inc. | | | | | 186,502 | | |
| | | 951 | | | | Clorox Co. | | | | | 138,646 | | |
| | | 2,628 | | | | Kimberly-Clark Corp. | | | | | 342,034 | | |
| | | | | | | Total Household Products/Wares | | | | | 779,069 | | |
| Pharmaceuticals – 4.8% | | ||||||||||||
| | | 222,830 | | | | AbbVie Inc. | | | | | 32,927,589 | | |
| | | 1,165 | | | | AmerisourceBergen Corp., Class A Shares | | | | | 166,047 | | |
| | | 45,006 | | | | AstraZeneca PLC, ADR | | | | | 2,739,965 | | |
| | | 51,837 | | | | Becton Dickinson & Co. | | | | | 14,062,341 | | |
| | | 17,325 | | | | Bristol-Myers Squibb Co. | | | | | 1,189,708 | | |
| | | 2,164 | | | | Cardinal Health Inc. | | | | | 116,878 | | |
| | | 25,972 | | | | Cigna Corp. | | | | | 6,175,622 | | |
| | | 229,057 | | | | CVS Health Corp. | | | | | 23,741,758 | | |
| | | 757 | | | | DexCom Inc.* | | | | | 313,330 | | |
| | | 231,067 | | | | Elanco Animal Health Inc.* | | | | | 6,564,613 | | |
| | | 245,812 | | | | Eli Lilly & Co. | | | | | 61,440,709 | | |
| | | 20,548 | | | | Johnson & Johnson | | | | | 3,381,584 | | |
| | | 178,799 | | | | McKesson Corp. | | | | | 49,162,573 | | |
| | | 179,438 | | | | Merck & Co., Inc. | | | | | 13,741,362 | | |
| | | 426,746 | | | | Organon & Co. | | | | | 15,930,428 | | |
| | | 43,810 | | | | Pfizer Inc. | | | | | 2,056,441 | | |
| | | 155,390 | | | | Sarepta Therapeutics Inc.* | | | | | 11,904,428 | | |
| | | 9,348 | | | | Viatris Inc. | | | | | 102,922 | | |
| | | 3,693 | | | | Zoetis Inc., Class A Shares | | | | | 715,149 | | |
| | | | | | | Total Pharmaceuticals | | | | | 246,433,447 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 1,257,518,953 | | |
| ENERGY – 3.9% | | ||||||||||||
| Energy-Alternate Sources – 0.9% | | ||||||||||||
| | | 180,415 | | | | Enphase Energy Inc.* | | | | | 30,075,180 | | |
| | | 176,361 | | | | NextEra Energy Partners LP | | | | | 13,757,922 | | |
| | | 403 | | | | SolarEdge Technologies Inc.* | | | | | 128,726 | | |
| | | | | | | Total Energy-Alternate Sources | | | | | 43,961,828 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| ENERGY – (continued) | | ||||||||||||
| Oil & Gas – 2.9% | | ||||||||||||
| | | 2,930 | | | | APA Corp. | | | | $ | 104,396 | | |
| | | 15,046 | | | | Chevron Corp. | | | | | 2,166,624 | | |
| | | 201,040 | | | | ConocoPhillips | | | | | 19,070,654 | | |
| | | 6,307 | | | | Coterra Energy Inc. | | | | | 147,142 | | |
| | | 282,030 | | | | Devon Energy Corp. | | | | | 16,794,886 | | |
| | | 1,329 | | | | Diamondback Energy Inc. | | | | | 183,535 | | |
| | | 4,567 | | | | EOG Resources Inc. | | | | | 524,840 | | |
| | | 649,712 | | | | EQT Corp. | | | | | 15,034,336 | | |
| | | 402,866 | | | | Exxon Mobil Corp. | | | | | 31,592,752 | | |
| | | 183,766 | | | | Hess Corp. | | | | | 18,571,392 | | |
| | | 6,014 | | | | Marathon Oil Corp. | | | | | 135,676 | | |
| | | 363,302 | | | | Marathon Petroleum Corp. | | | | | 28,290,327 | | |
| | | 6,926 | | | | Occidental Petroleum Corp. | | | | | 302,874 | | |
| | | 3,420 | | | | Phillips 66 | | | | | 288,101 | | |
| | | 84,738 | | | | Pioneer Natural Resources Co. | | | | | 20,303,225 | | |
| | | 3,192 | | | | Valero Energy Corp. | | | | | 266,564 | | |
| | | | | | | Total Oil & Gas | | | | | 153,777,324 | | |
| Oil & Gas Services – 0.1% | | ||||||||||||
| | | 6,822 | | | | Baker Hughes Co., Class A Shares | | | | | 200,430 | | |
| | | 215,355 | | | | Halliburton Co. | | | | | 7,220,853 | | |
| | | 10,948 | | | | Schlumberger NV | | | | | 429,599 | | |
| | | | | | | Total Oil & Gas Services | | | | | 7,850,882 | | |
| Pipelines – 0.0% | | ||||||||||||
| | | 15,220 | | | | Kinder Morgan Inc. | | | | | 264,828 | | |
| | | 3,481 | | | | ONEOK Inc. | | | | | 227,309 | | |
| | | 9,484 | | | | Williams Cos., Inc. | | | | | 296,660 | | |
| | | | | | | Total Pipelines | | | | | 788,797 | | |
| | | | | | | TOTAL ENERGY | | | | | 206,378,831 | | |
| FINANCIAL – 15.1% | | ||||||||||||
| Banks – 2.1% | | ||||||||||||
| | | 56,214 | | | | Bank of America Corp. | | | | | 2,484,659 | | |
| | | 5,930 | | | | Bank of New York Mellon Corp. | | | | | 315,180 | | |
| | | 15,488 | | | | Citigroup Inc. | | | | | 917,354 | | |
| | | 3,325 | | | | Citizens Financial Group Inc. | | | | | 174,297 | | |
| | | 214,937 | | | | Comerica Inc. | | | | | 20,524,334 | | |
| | | 5,337 | | | | Fifth Third Bancorp | | | | | 255,322 | | |
| | | 1,399 | | | | First Republic Bank | | | | | 242,391 | | |
| | | 22,429 | | | | Goldman Sachs Group Inc. | | | | | 7,654,793 | | |
| | | 11,288 | | | | Huntington Bancshares Inc. | | | | | 175,190 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Banks – (continued) | | ||||||||||||
| | | 23,067 | | | | JPMorgan Chase & Co. | | | | $ | 3,270,901 | | |
| | | 7,267 | | | | KeyCorp | | | | | 182,184 | | |
| | | 1,004 | | | | M&T Bank Corp. | | | | | 182,959 | | |
| | | 321,570 | | | | Morgan Stanley | | | | | 29,179,262 | | |
| | | 1,621 | | | | Northern Trust Corp. | | | | | 184,632 | | |
| | | 3,299 | | | | PNC Financial Services Group Inc. | | | | | 657,326 | | |
| | | 7,441 | | | | Regions Financial Corp. | | | | | 179,998 | | |
| | | 472 | | | | Signature Bank | | | | | 162,788 | | |
| | | 82,716 | | | | State Street Corp. | | | | | 7,058,156 | | |
| | | 458 | | | | SVB Financial Group* | | | | | 277,548 | | |
| | | 10,419 | | | | Truist Financial Corp. | | | | | 648,270 | | |
| | | 10,532 | | | | US Bancorp | | | | | 595,479 | | |
| | | 593,853 | | | | Wells Fargo & Co. | | | | | 31,693,935 | | |
| | | 1,262 | | | | Zions Bancorp N.A. | | | | | 89,463 | | |
| | | | | | | Total Banks | | | | | 107,106,421 | | |
| Diversified Financial Services – 4.7% | | ||||||||||||
| | | 4,897 | | | | American Express Co. | | | | | 952,662 | | |
| | | 114,871 | | | | Ameriprise Financial Inc. | | | | | 34,437,177 | | |
| | | 415,761 | | | | Ant International Co., Ltd., Class C Shares, Private Placement*(c)(d)@ | | | | | 1,522,475 | | |
| | | 1,115 | | | | BlackRock Inc., Class A Shares | | | | | 829,437 | | |
| | | 3,322 | | | | Capital One Financial Corp. | | | | | 509,163 | | |
| | | 859 | | | | Cboe Global Markets Inc. | | | | | 100,752 | | |
| | | 124,862 | | | | Charles Schwab Corp. | | | | | 10,545,845 | | |
| | | 66,534 | | | | CME Group Inc., Class A Shares | | | | | 15,737,287 | | |
| | | 2,288 | | | | Discover Financial Services | | | | | 282,431 | | |
| | | 2,211 | | | | Franklin Resources Inc. | | | | | 65,733 | | |
| | | 4,398 | | | | Intercontinental Exchange Inc. | | | | | 563,472 | | |
| | | 446,035 | | | | Invesco Ltd. | | ��� | | | 9,473,783 | | |
| | | 349 | | | | Maplebear Inc. d/b/a Instacart, Non-voting Shares*(c)(d)@ | | | | | 33,504 | | |
| | | 6,679 | | | | Maplebear Inc. d/b/a Instacart, Private Placement*(c)(d)@ | | | | | 641,184 | | |
| | | 56,768 | | | | Mastercard Inc., Class A Shares | | | | | 20,483,030 | | |
| | | 910 | | | | Nasdaq Inc. | | | | | 155,747 | | |
| | | 1,441 | | | | Raymond James Financial Inc. | | | | | 158,006 | | |
| | | 226,904 | | | | SoFi Technologies Inc.*(a) | | | | | 2,598,051 | | |
| | | 4,272 | | | | Synchrony Financial | | | | | 182,756 | | |
| | | 1,754 | | | | T Rowe Price Group Inc. | | | | | 253,558 | | |
| | | 22,947 | | | | Tradeweb Markets Inc., Class A Shares | | | | | 1,938,563 | | |
| | | 683,821 | | | | Visa Inc., Class A Shares | | | | | 147,787,395 | | |
| | | | | | | Total Diversified Financial Services | | | | | 249,252,011 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) – 0.4% | | ||||||||||||
| | | 1,101 | | | | Alexandria Real Estate Equities Inc. | | | | $ | 208,529 | | |
| | | 3,555 | | | | American Tower Corp. | | | | | 806,523 | | |
| | | 1,091 | | | | AvalonBay Communities Inc. | | | | | 260,302 | | |
| | | 1,099 | | | | Boston Properties Inc. | | | | | 134,419 | | |
| | | 3,373 | | | | Crown Castle International Corp. | | | | | 561,908 | | |
| | | 2,215 | | | | Digital Realty Trust Inc. | | | | | 298,848 | | |
| | | 2,963 | | | | Duke Realty Corp. | | | | | 157,039 | | |
| | | 703 | | | | Equinix Inc. | | | | | 498,940 | | |
| | | 2,664 | | | | Equity Residential | | | | | 227,239 | | |
| | | 507 | | | | Essex Property Trust Inc. | | | | | 160,805 | | |
| | | 1,045 | | | | Extra Space Storage Inc. | | | | | 196,617 | | |
| | | 548 | | | | Federal Realty Investment Trust | | | | | 64,434 | | |
| | | 4,164 | | | | Healthpeak Properties Inc. | | | | | 129,334 | | |
| | | 5,687 | | | | Host Hotels & Resorts Inc.* | | | | | 103,901 | | |
| | | 2,335 | | | | Iron Mountain Inc. | | | | | 114,835 | | |
| | | 4,716 | | | | Kimco Realty Corp. | | | | | 110,967 | | |
| | | 899 | | | | Mid-America Apartment Communities Inc. | | | | | 183,944 | | |
| | | 5,771 | | | | Prologis Inc. | | | | | 841,700 | | |
| | | 1,191 | | | | Public Storage | | | | | 422,829 | | |
| | | 4,416 | | | | Realty Income Corp. | | | | | 291,853 | | |
| | | 1,215 | | | | Regency Centers Corp. | | | | | 80,056 | | |
| | | 849 | | | | SBA Communications Corp., Class A Shares | | | | | 257,578 | | |
| | | 2,565 | | | | Simon Property Group Inc. | | | | | 352,841 | | |
| | | 2,239 | | | | UDR Inc. | | | | | 122,854 | | |
| | | 3,110 | | | | Ventas Inc. | | | | | 167,940 | | |
| | | 1,222 | | | | Vornado Realty Trust | | | | | 52,888 | | |
| | | 3,397 | | | | Welltower Inc. | | | | | 282,936 | | |
| | | 566,623 | | | | Weyerhaeuser Co. | | | | | 22,030,302 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 29,122,361 | | |
| Insurance – 6.5% | | ||||||||||||
| | | 4,750 | | | | Aflac Inc. | | | | | 290,178 | | |
| | | 2,238 | | | | Allstate Corp. | | | | | 273,842 | | |
| | | 6,481 | | | | American International Group Inc. | | | | | 396,896 | | |
| | | 61,360 | | | | Aon PLC, Class A Shares | | | | | 17,925,710 | | |
| | | 1,618 | | | | Arthur J Gallagher & Co. | | | | | 255,951 | | |
| | | 204,084 | | | | Assurant Inc. | | | | | 34,635,096 | | |
| | | 350,352 | | | | Berkshire Hathaway Inc., Class B Shares* | | | | | 112,620,650 | | |
| | | 1,805 | | | | Brown & Brown Inc. | | | | | 122,036 | | |
| | | 115,682 | | | | Chubb Ltd. | | | | | 23,557,482 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Insurance – (continued) | | ||||||||||||
| | | 1,161 | | | | Cincinnati Financial Corp. | | | | $ | 142,559 | | |
| | | 292,763 | | | | Equitable Holdings Inc. | | | | | 9,561,640 | | |
| | | 316 | | | | Everest Re Group Ltd. | | | | | 94,238 | | |
| | | 727 | | | | Globe Life Inc. | | | | | 73,398 | | |
| | | 137,254 | | | | Hartford Financial Services Group Inc. | | | | | 9,536,408 | | |
| | | 1,318 | | | | Lincoln National Corp. | | | | | 88,860 | | |
| | | 1,616 | | | | Loews Corp. | | | | | 99,125 | | |
| | | 3,941 | | | | Marsh & McLennan Cos., Inc. | | | | | 612,471 | | |
| | | 343,600 | | | | MetLife Inc. | | | | | 23,210,180 | | |
| | | 1,905 | | | | Principal Financial Group Inc. | | | | | 134,569 | | |
| | | 321,079 | | | | Progressive Corp. | | | | | 34,011,898 | | |
| | | 2,950 | | | | Prudential Financial Inc. | | | | | 329,397 | | |
| | | 1,920 | | | | Travelers Cos., Inc. | | | | | 329,914 | | |
| | | 297,260 | | | | Voya Financial Inc. | | | | | 20,020,461 | | |
| | | 234,985 | | | | Willis Towers Watson PLC | | | | | 52,237,166 | | |
| | | 1,117 | | | | WR Berkley Corp. | | | | | 100,865 | | |
| | | | | | | Total Insurance | | | | | 340,660,990 | | |
| Private Equity – 1.4% | | ||||||||||||
| | | 410,875 | | | | Ares Management Corp., Class A Shares | | | | | 33,317,854 | | |
| | | 651,144 | | | | KKR & Co., Inc. | | | | | 39,146,777 | | |
| | | | | | | Total Private Equity | | | | | 72,464,631 | | |
| Real Estate – 0.0% | | ||||||||||||
| | | 2,612 | | | | CBRE Group Inc., Class A Shares* | | | | | 252,972 | | |
| Savings & Loans – 0.0% | | ||||||||||||
| | | 3,299 | | | | People’s United Financial Inc. | | | | | 69,543 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 798,928,929 | | |
| INDUSTRIAL – 6.6% | | ||||||||||||
| Aerospace/Defense – 3.0% | | ||||||||||||
| | | 63,470 | | | | Airbus SE* | | | | | 8,177,308 | | |
| | | 38,575 | | | | Boeing Co.* | | | | | 7,920,990 | | |
| | | 59,624 | | | | General Dynamics Corp. | | | | | 13,978,847 | | |
| | | 492,503 | | | | Howmet Aerospace Inc. | | | | | 17,690,708 | | |
| | | 97,428 | | | | L3Harris Technologies Inc. | | | | | 24,582,059 | | |
| | | 36,033 | | | | Lockheed Martin Corp. | | | | | 15,631,115 | | |
| | | 77,841 | | | | Northrop Grumman Corp. | | | | | 34,416,620 | | |
| | | 142,468 | | | | Raytheon Technologies Corp. | | | | | 14,631,464 | | |
| | | 26,764 | | | | Teledyne Technologies Inc.* | | | | | 11,491,926 | | |
| | | 409 | | | | TransDigm Group Inc.* | | | | | 272,635 | | |
| | | | | | | Total Aerospace/Defense | | | | | 148,793,672 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Building Materials – 0.1% | | ||||||||||||
| | | 6,764 | | | | Carrier Global Corp. | | | | $ | 303,568 | | |
| | | 1,095 | | | | Fortune Brands Home & Security Inc. | | | | | 95,155 | | |
| | | 5,532 | | | | Johnson Controls International PLC | | | | | 359,359 | | |
| | | 18,074 | | | | Martin Marietta Materials Inc. | | | | | 6,857,276 | | |
| | | 1,866 | | | | Masco Corp. | | | | | 104,571 | | |
| | | 440 | | | | Mohawk Industries Inc.* | | | | | 61,943 | | |
| | | 1,036 | | | | Vulcan Materials Co. | | | | | 187,982 | | |
| | | | | | | Total Building Materials | | | | | 7,969,854 | | |
| Electrical Components & Equipment – 0.2% | | ||||||||||||
| | | 1,806 | | | | AMETEK Inc. | | | | | 234,401 | | |
| | | 4,666 | | | | Emerson Electric Co. | | | | | 433,565 | | |
| | | 24,668 | | | | Generac Holdings Inc.* | | | | | 7,782,014 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 8,449,980 | | |
| Electronics – 0.2% | | ||||||||||||
| | | 2,363 | | | | Agilent Technologies Inc. | | | | | 308,041 | | |
| | | 715 | | | | Allegion PLC | | | | | 81,882 | | |
| | | 4,668 | | | | Amphenol Corp., Class A Shares | | | | | 354,815 | | |
| | | 2,799 | | | | Fortive Corp. | | | | | 181,235 | | |
| | | 1,173 | | | | Garmin Ltd. | | | | | 129,546 | | |
| | | 5,373 | | | | Honeywell International Inc. | | | | | 1,019,527 | | |
| | | 63,704 | | | | Hubbell Inc., Class B Shares | | | | | 11,355,238 | | |
| | | 1,438 | | | | Keysight Technologies Inc.* | | | | | 226,298 | | |
| | | 179 | | | | Mettler-Toledo International Inc.* | | | | | 252,164 | | |
| | | 2,547 | | | | TE Connectivity Ltd. | | | | | 362,769 | | |
| | | 1,941 | | | | Trimble Inc.* | | | | | 135,385 | | |
| | | | | | | Total Electronics | | | | | 14,406,900 | | |
| Engineering & Construction – 0.0% | | ||||||||||||
| | | 1,003 | | | | Jacobs Engineering Group Inc. | | | | | 123,369 | | |
| Environmental Control – 0.0% | | ||||||||||||
| | | 1,323 | | | | Pentair PLC | | | | | 76,615 | | |
| | | 1,634 | | | | Republic Services Inc., Class A Shares | | | | | 196,537 | | |
| | | 3,004 | | | | Waste Management Inc. | | | | | 433,778 | | |
| | | | | | | Total Environmental Control | | | | | 706,930 | | |
| Hand/Machine Tools – 0.0% | | ||||||||||||
| | | 429 | | | | Snap-on Inc. | | | | | 90,167 | | |
| | | 1,273 | | | | Stanley Black & Decker Inc. | | | | | 207,117 | | |
| | | | | | | Total Hand/Machine Tools | | | | | 297,284 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Machinery-Construction & Mining – 0.3% | | ||||||||||||
| | | 644,105 | | | | Bloom Energy Corp., Class A Shares* | | | | $ | 14,299,131 | | |
| | | 4,222 | | | | Caterpillar Inc. | | | | | 791,963 | | |
| | | | | | | Total Machinery-Construction & Mining | | | | | 15,091,094 | | |
| Machinery-Diversified – 0.3% | | ||||||||||||
| | | 2,202 | | | | Deere & Co. | | | | | 792,764 | | |
| | | 1,124 | | | | Dover Corp. | | | | | 176,311 | | |
| | | 583 | | | | IDEX Corp. | | | | | 111,878 | | |
| | | 302,455 | | | | Ingersoll Rand Inc. | | | | | 15,280,027 | | |
| | | 436 | | | | Nordson Corp. | | | | | 98,750 | | |
| | | 3,315 | | | | Otis Worldwide Corp. | | | | | 259,664 | | |
| | | 905 | | | | Rockwell Automation Inc. | | | | | 241,255 | | |
| | | 1,446 | | | | Westinghouse Air Brake Technologies Corp. | | | | | 134,218 | | |
| | | 1,389 | | | | Xylem Inc. | | | | | 123,551 | | |
| | | | | | | Total Machinery-Diversified | | | | | 17,218,418 | | |
| Miscellaneous Manufacturers – 1.4% | | ||||||||||||
| | | 4,498 | | | | 3M Co. | | | | | 668,628 | | |
| | | 143,168 | | | | AO Smith Corp. | | | | | 9,818,461 | | |
| | | 106,516 | | | | Eaton Corp. PLC | | | | | 16,434,354 | | |
| | | 8,571 | | | | General Electric Co. | | | | | 818,616 | | |
| | | 2,229 | | | | Illinois Tool Works Inc. | | | | | 482,222 | | |
| | | 1,008 | | | | Parker-Hannifin Corp. | | | | | 298,761 | | |
| | | 152,702 | | | | Textron Inc. | | | | | 11,167,097 | | |
| | | 225,457 | | | | Trane Technologies PLC | | | | | 34,704,596 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 74,392,735 | | |
| Packaging & Containers – 0.0% | | ||||||||||||
| | | 11,872 | | | | Amcor PLC | | | | | 138,071 | | |
| | | 2,528 | | | | Ball Corp. | | | | | 226,863 | | |
| | | 761 | | | | Packaging Corp. of America | | | | | 112,011 | | |
| | | 1,180 | | | | Sealed Air Corp. | | | | | 79,213 | | |
| | | 2,133 | | | | WestRock Co. | | | | | 96,561 | | |
| | | | | | | Total Packaging & Containers | | | | | 652,719 | | |
| Shipbuilding – 0.2% | | ||||||||||||
| | | 61,578 | | | | Huntington Ingalls Industries Inc. | | | | | 12,586,543 | | |
| Transportation – 0.9% | | ||||||||||||
| | | 1,048 | | | | CH Robinson Worldwide Inc. | | | | | 101,321 | | |
| | | 17,312 | | | | CSX Corp. | | | | | 587,050 | | |
| | | 1,312 | | | | Expeditors International of Washington Inc. | | | | | 135,608 | | |
| | | 85,286 | | | | FedEx Corp. | | | | | 18,956,519 | | |
| | | 647 | | | | JB Hunt Transport Services Inc. | | | | | 131,296 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Transportation – (continued) | | ||||||||||||
| | | 62,675 | | | | Norfolk Southern Corp. | | | | $ | 16,077,391 | | |
| | | 727 | | | | Old Dominion Freight Line Inc. | | | | | 228,300 | | |
| | | 5,018 | | | | Union Pacific Corp. | | | | | 1,234,177 | | |
| | | 60,037 | | | | United Parcel Service Inc., Class B Shares | | | | | 12,632,985 | | |
| | | | | | | Total Transportation | | | | | 50,084,647 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 350,774,145 | | |
| TECHNOLOGY – 19.0% | | ||||||||||||
| Computers – 4.1% | | ||||||||||||
| | | 4,930 | | | | Accenture PLC, Class A Shares | | | | | 1,557,979 | | |
| | | 584,167 | | | | Apple Inc. | | | | | 96,457,655 | | |
| | | 50,355 | | | | CACI International Inc., Class A Shares* | | | | | 14,088,825 | | |
| | | 145,969 | | | | Cognizant Technology Solutions Corp., Class A Shares | | | | | 12,572,310 | | |
| | | 111,279 | | | | Crowdstrike Holdings Inc., Class A Shares* | | | | | 21,722,774 | | |
| | | 1,969 | | | | DXC Technology Co.* | | | | | 67,005 | | |
| | | 442 | | | | EPAM Systems Inc.* | | | | | 91,825 | | |
| | | 35,876 | | | | Fortinet Inc.* | | | | | 12,359,999 | | |
| | | 811,045 | | | | Hewlett Packard Enterprise Co. | | | | | 12,911,836 | | |
| | | 8,996 | | | | HP Inc. | | | | | 309,103 | | |
| | | 7,000 | | | | International Business Machines Corp. | | | | | 857,570 | | |
| | | 124,695 | | | | Leidos Holdings Inc. | | | | | 12,698,939 | | |
| | | 768,343 | | | | NCR Corp.* | | | | | 31,133,258 | | |
| | | 1,732 | | | | NetApp Inc. | | | | | 135,754 | | |
| | | 1,597 | | | | Seagate Technology Holdings PLC | | | | | 164,746 | | |
| | | 2,403 | | | | Western Digital Corp.* | | | | | 122,409 | | |
| | | | | | | Total Computers | | | | | 217,251,987 | | |
| Office/Business Equipment – 0.0% | | ||||||||||||
| | | 417 | | | | Zebra Technologies Corp., Class A Shares* | | | | | 172,363 | | |
| Semiconductors – 3.2% | | ||||||||||||
| | | 182,892 | | | | Advanced Micro Devices Inc.* | | | | | 22,557,899 | | |
| | | 4,195 | | | | Analog Devices Inc. | | | | | 672,416 | | |
| | | 78,733 | | | | Applied Materials Inc. | | | | | 10,565,969 | | |
| | | 24,136 | | | | ASML Holding NV, Class NY Registered Shares, ADR | | | | | 16,086,885 | | |
| | | 3,213 | | | | Broadcom Inc. | | | | | 1,887,445 | | |
| | | 31,744 | | | | Intel Corp. | | | | | 1,514,189 | | |
| | | 290 | | | | IPG Photonics Corp.* | | | | | 37,801 | | |
| | | 1,183 | | | | KLA Corp. | | | | | 412,275 | | |
| | | 1,099 | | | | Lam Research Corp. | | | | | 616,924 | | |
| | | 4,331 | | | | Microchip Technology Inc. | | | | | 304,599 | | |
| | | 8,731 | | | | Micron Technology Inc. | | | | | 775,837 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Semiconductors – (continued) | | ||||||||||||
| | | 336 | | | | Monolithic Power Systems Inc. | | | | $ | 154,123 | | |
| | | 301,738 | | | | NVIDIA Corp. | | | | | 73,578,811 | | |
| | | 2,076 | | | | NXP Semiconductors NV | | | | | 394,689 | | |
| | | 74,251 | | | | Qorvo Inc.* | | | | | 10,156,052 | | |
| | | 178,105 | | | | QUALCOMM Inc. | | | | | 30,632,279 | | |
| | | 1,289 | | | | Skyworks Solutions Inc. | | | | | 178,101 | | |
| | | 60,737 | | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | | | 6,499,466 | | |
| | | 1,266 | | | | Teradyne Inc. | | | | | 149,287 | | |
| | | 7,208 | | | | Texas Instruments Inc. | | | | | 1,225,288 | | |
| | | | | | | Total Semiconductors | | | | | 178,400,335 | | |
| Software – 11.7% | | ||||||||||||
| | | 6,080 | | | | Activision Blizzard Inc. | | | | | 495,520 | | |
| | | 88,491 | | | | Adobe Inc.* | | | | | 41,385,471 | | |
| | | 1,256 | | | | Akamai Technologies Inc.* | | | | | 135,975 | | |
| | | 30,506 | | | | ANSYS Inc.* | | | | | 9,889,740 | | |
| | | 20,095 | | | | Atlassian Corp. PLC, Class A Shares* | | | | | 6,143,443 | | |
| | | 1,716 | | | | Autodesk Inc.* | | | | | 377,915 | | |
| | | 14,860 | | | | Avalara Inc.* | | | | | 1,544,103 | | |
| | | 14,316 | | | | Bill.com Holdings Inc.* | | | | | 3,405,490 | | |
| | | 97,098 | | | | Black Knight Inc.* | | | | | 5,455,937 | | |
| | | 900 | | | | Broadridge Financial Solutions Inc. | | | | | 131,589 | | |
| | | 2,163 | | | | Cadence Design Systems Inc.* | | | | | 327,543 | | |
| | | 575 | | | | Canva Inc., Private Placement*(c)(d)@ | | | | | 784,875 | | |
| | | 1,271 | | | | Celonis SE*(c)(d)@ | | | | | 470,003 | | |
| | | 35,269 | | | | Ceridian HCM Holding Inc.* | | | | | 2,571,463 | | |
| | | 2,297 | | | | Cerner Corp. | | | | | 214,195 | | |
| | | 983 | | | | Citrix Systems Inc. | | | | | 100,757 | | |
| | | 35,361 | | | | Datadog Inc., Class A Shares* | | | | | 5,697,011 | | |
| | | 151,585 | | | | DocuSign Inc., Class A Shares* | | | | | 17,952,212 | | |
| | | 2,207 | | | | Electronic Arts Inc. | | | | | 287,109 | | |
| | | 3,985 | | | | Epic Games Inc., Private Placement*(c)(d)@ | | | | | 3,832,016 | | |
| | | 4,753 | | | | Fidelity National Information Services Inc. | | | | | 452,628 | | |
| | | 770,223 | | | | Fiserv Inc.* | | | | | 75,227,680 | | |
| | | 9,544 | | | | HashiCorp Inc., Class A Shares*(a) | | | | | 480,922 | | |
| | | 143,740 | | | | Intuit Inc. | | | | | 68,185,944 | | |
| | | 594 | | | | Jack Henry & Associates Inc. | | | | | 105,019 | | |
| | | 835 | | | | Magic Leap Inc., Series D, Private Placement*(c)(d)@ | | | | | 16,034 | | |
| | | 467,016 | | | | Microsoft Corp. | | | | | 139,539,711 | | |
| | | 17,019 | | | | MongoDB Inc., Class A Shares* | | | | | 6,501,088 | | |
| | | 75,620 | | | | MSCI Inc., Class A Shares | | | | | 37,937,798 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Software – (continued) | | ||||||||||||
| | | 12,589 | | | | Oracle Corp. | | | | $ | 956,386 | | |
| | | 2,505 | | | | Paychex Inc. | | | | | 298,245 | | |
| | | 370 | | | | Paycom Software Inc.* | | | | | 125,508 | | |
| | | 848 | | | | PTC Inc.* | | | | | 94,365 | | |
| | | 189,208 | | | | RingCentral Inc., Class A Shares* | | | | | 24,755,975 | | |
| | | 82,128 | | | | ROBLOX Corp., Class A Shares* | | | | | 4,235,341 | | |
| | | 20,093 | | | | Roper Technologies Inc. | | | | | 9,006,084 | | |
| | | 200,090 | | | | salesforce.com Inc.* | | | | | 42,124,948 | | |
| | | 115,403 | | | | SentinelOne Inc., Class A Shares* | | | | | 4,789,224 | | |
| | | 119,227 | | | | ServiceNow Inc.* | | | | | 69,142,122 | | |
| | | 9,287 | | | | Snowflake Inc., Class A Shares* | | | | | 2,467,184 | | |
| | | 20,012 | | | | Stripe Inc., Class B Shares, Private Placement*(c)(d)@ | | | | | 821,893 | | |
| | | 1,190 | | | | Synopsys Inc.* | | | | | 371,744 | | |
| | | 895 | | | | Take-Two Interactive Software Inc.* | | | | | 144,990 | | |
| | | 14,152 | | | | Twilio Inc., Class A Shares* | | | | | 2,473,770 | | |
| | | 316 | | | | Tyler Technologies Inc.* | | | | | 135,330 | | |
| | | 145,611 | | | | UiPath Inc., Class A Shares* | | | | | 5,054,158 | | |
| | | 10,633 | | | | Workday Inc., Class A Shares* | | | | | 2,435,489 | | |
| | | 34,253 | | | | Zoom Video Communications Inc., Class A Shares* | | | | | 4,541,948 | | |
| | | | | | | Total Software | | | | | 603,623,895 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 999,448,580 | | |
| UTILITIES – 1.7% | | ||||||||||||
| Electric – 1.7% | | ||||||||||||
| | | 756,658 | | | | AES Corp. | | | | | 16,063,849 | | |
| | | 1,917 | | | | Alliant Energy Corp. | | | | | 111,953 | | |
| | | 2,009 | | | | Ameren Corp. | | | | | 172,674 | | |
| | | 3,931 | | | | American Electric Power Co., Inc. | | | | | 356,345 | | |
| | | 4,858 | | | | CenterPoint Energy Inc. | | | | | 132,866 | | |
| | | 343,148 | | | | Clearway Energy Inc., Class C Shares | | | | | 11,461,143 | | |
| | | 2,245 | | | | CMS Energy Corp. | | | | | 143,702 | | |
| | | 2,761 | | | | Consolidated Edison Inc. | | | | | 236,811 | | |
| | | 338,045 | | | | Constellation Energy Corp. | | | | | 15,543,309 | | |
| | | 6,322 | | | | Dominion Energy Inc. | | | | | 502,789 | | |
| | | 1,512 | | | | DTE Energy Co. | | | | | 183,844 | | |
| | | 6,004 | | | | Duke Energy Corp. | | | | | 602,862 | | |
| | | 2,965 | | | | Edison International | | | | | 188,040 | | |
| | | 1,565 | | | | Entergy Corp. | | | | | 164,654 | | |
| | | 1,849 | | | | Evergy Inc. | | | | | 115,396 | | |
| | | 2,684 | | | | Eversource Energy | | | | | 219,551 | | |
| | | 682,094 | | | | Exelon Corp. | | | | | 29,029,921 | | |
| | | 4,248 | | | | FirstEnergy Corp. | | | | | 177,779 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| UTILITIES – (continued) | | ||||||||||||
| Electric – (continued) | | ||||||||||||
| | | 15,315 | | | | NextEra Energy Inc. | | | | $ | 1,198,705 | | |
| | | 1,931 | | | | NRG Energy Inc. | | | | | 73,069 | | |
| | | 877 | | | | Pinnacle West Capital Corp. | | | | | 62,118 | | |
| | | 5,836 | | | | PPL Corp. | | | | | 152,728 | | |
| | | 3,947 | | | | Public Service Enterprise Group Inc. | | | | | 255,884 | | |
| | | 2,493 | | | | Sempra Energy | | | | | 359,540 | | |
| | | 8,272 | | | | Southern Co. | | | | | 535,777 | | |
| | | 461,549 | | | | Vistra Corp. | | | | | 10,532,548 | | |
| | | 2,462 | | | | WEC Energy Group Inc. | | | | | 223,747 | | |
| | | 4,205 | | | | Xcel Energy Inc. | | | | | 283,123 | | |
| | | | | | | Total Electric | | | | | 89,084,727 | | |
| Gas – 0.0% | | ||||||||||||
| | | 1,051 | | | | Atmos Energy Corp. | | | | | 115,410 | | |
| | | 3,111 | | | | NiSource Inc. | | | | | 90,001 | | |
| | | | | | | Total Gas | | | | | 205,411 | | |
| Water – 0.0% | | ||||||||||||
| | | 1,417 | | | | American Water Works Co., Inc. | | | | | 214,095 | | |
| | | | | | | TOTAL UTILITIES | | | | | 89,504,233 | | |
| | | | | | | TOTAL COMMON STOCKS | | | | | | | |
| | | | | | | (Cost – $4,108,048,273) | | | | | 5,185,815,154 | | |
| PREFERRED STOCKS – 0.1% | | ||||||||||||
| CONSUMER CYCLICAL – 0.0% | | ||||||||||||
| Auto Manufacturers – 0.0% | | ||||||||||||
| | | 21,292 | | | | Sila Nanotechnologies Inc., Series F, Private Placement*(c)(d)@ | | | | | 878,780 | | |
| | | 9,549 | | | | Waymo LLC, Series A2, Private Placement*(c)(d)@ | | | | | 875,853 | | |
| | | | | | | Total Auto Manufacturers | | | | | 1,754,633 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 1,754,633 | | |
| FINANCIAL – 0.0% | | ||||||||||||
| Diversified Financial Services – 0.0% | | ||||||||||||
| | | 1,020 | | | | Maplebear Inc. d/b/a Instacart, Series A*(c)(d)@ | | | | | 97,920 | | |
| | | 13,638 | | | | Maplebear Inc. d/b/a Instacart, Series G*(c)(d)@ | | | | | 1,309,248 | | |
| | | 2,066 | | | | Maplebear Inc. d/b/a Instacart, Series I*(c)(d)@ | | | | | 198,336 | | |
| | | | | | | Total Diversified Financial Services | | | | | 1,605,504 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 1,605,504 | | |
| INDUSTRIAL – 0.1% | | ||||||||||||
| Electrical Components & Equipment – 0.0% | | ||||||||||||
| | | 48,400 | | | | GM Cruise Holdings LLC, Class F Shares, Private Placement*(c)(d)@ | | | | | 1,275,340 | | |
| | | 39,865 | | | | GM Cruise Holdings LLC, Class G Shares, Private Placement*(c)(d)@ | | | | | 1,050,443 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 2,325,783 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| PREFERRED STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Environmental Control – 0.0% | | ||||||||||||
| | | 23,420 | | | | Redwood Materials Inc., Series C, Private Placement*(c)(d)@ | | | | $ | 1,221,353 | | |
| Machinery – 0.1% | | ||||||||||||
| | | 108,389 | | | | Nuro Inc., Series C, Private Placement*(c)(d)@ | | | | | 2,259,447 | | |
| | | 26,242 | | | | Nuro Inc., Series D*(c)(d)@ | | | | | 547,033 | | |
| | | | | | | Total Machinery | | | | | 2,806,480 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 6,353,616 | | |
| TECHNOLOGY – 0.0% | | ||||||||||||
| Software – 0.0% | | ||||||||||||
| | | 27 | | | | Canva Inc., Series A, Private Placement*(c)(d)@ | | | | | 36,855 | | |
| | | 10 | | | | Canva Inc., Series A-3, Private Placement*(c)(d)@ | | | | | 13,650 | | |
| | | 1 | | | | Canva Inc., Series A-4, Private Placement*(c)(d)@ | | | | | 1,365 | | |
| | | 3,314 | | | | Celonis SE, Series D*(c)(d)@ | | | | | 1,225,484 | | |
| | | 6,765 | | | | Formagrid Inc.*(c)(d)@ | | | | | 1,266,980 | | |
| | | 20,620 | | | | Rappi Inc., Series E, Private Placement*(c)(d)@ | | | | | 1,169,773 | | |
| | | | | | | Total Software | | | | | 3,714,107 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 3,714,107 | | |
| | | | | | | TOTAL PREFERRED STOCKS | | | | | | | |
| | | | | | | (Cost – $11,470,211) | | | | | 13,427,860 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS | | | | | | | |
| | | | | | | (Cost – $4,119,518,484) | | | | | 5,199,243,014 | | |
| Face Amount† | | | | | | | | | | | |||
| SHORT-TERM INVESTMENTS – 1.4% | | ||||||||||||
| TIME DEPOSITS – 1.4% | | ||||||||||||
| | $ | 213 | | | | ANZ National Bank – London, 0.005% due 3/1/22 | | | | | 213 | | |
| | | 8,362,506 | | | | Banco Bilbao Vizcaya Argentaria SA – Madrid, 0.005% due 3/1/22 | | | | | 8,362,506 | | |
| | | 38,746,887 | | | | Barclays Bank PLC – London, 0.005% due 3/1/22 | | | | | 38,746,887 | | |
| | | | | | | BNP Paribas – Paris: | | | | | | | |
| | | 1,802,185 | | | | 0.005% due 3/1/22 | | | | | 1,802,185 | | |
| | | 4GBP | | | | 0.090% due 3/1/22 | | | | | 6 | | |
| | | 21,615,580 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 3/1/22 | | | | | 21,615,580 | | |
| | | 3,476,686 | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 0.005% due 3/1/22 | | | | | 3,476,686 | | |
| | | | | | | TOTAL TIME DEPOSITS | | | | | | | |
| | | | | | | (Cost – $74,004,063) | | | | | 74,004,063 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.4% | | ||||||||||||
| MONEY MARKET FUND – 0.4% | | ||||||||||||
| | | 23,492,013 | | | | Federated Government Obligations Fund, Premier Class, 0.025%(e) (Cost – $23,492,013) | | | | $ | 23,492,013 | | |
| | | | | | | TOTAL INVESTMENTS – 100.1% | | | | | | | |
| | | | | | | (Cost – $4,217,014,560) | | | | | 5,296,739,090 | | |
| | | | | | | Liabilities in Excess of Other Assets – (0.1)% | | | | | (7,664,923) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 5,289,074,167 | | |
Security | | | First Acquisition Date | | | First Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Ant International Co., Ltd., Class C Shares, Private Placement | | | | | 6/7/2018 | | | | | $ | 1,584,623 | | | | | $ | 1,522,475 | | | | | | 0.03% | | |
Aurora Innovation Inc., Series B, Private Placement | | | | | 3/1/2019 | | | | | | 445,475 | | | | | | 568,701 | | | | | | 0.01% | | |
Canva Inc., Private Placement | | | | | 12/17/2021 | | | | | | 589,640 | | | | | | 784,875 | | | | | | 0.01% | | |
Canva Inc., Series A, Private Placement | | | | | 12/17/2021 | | | | | | 46,012 | | | | | | 36,855 | | | | | | 0.00%* | | |
Canva Inc., Series A-4, Private Placement | | | | | 12/17/2021 | | | | | | 1,704 | | | | | | 1,365 | | | | | | 0.00%* | | |
Canva Inc., Series A-3, Private Placement | | | | | 12/17/2021 | | | | | | 17,042 | | | | | | 13,650 | | | | | | 0.00%* | | |
Celonis SE | | | | | 6/17/2021 | | | | | | 470,003 | | | | | | 470,003 | | | | | | 0.01% | | |
Celonis SE, Series D | | | | | 6/17/2021 | | | | | | 1,225,484 | | | | | | 1,225,484 | | | | | | 0.02% | | |
Epic Games Inc., Private Placement | | | | | 6/18/2020 | | | | | | 1,665,200 | | | | | | 3,832,016 | | | | | | 0.08% | | |
Formagrid Inc. | | | | | 12/8/2021 | | | | | | 1,266,980 | | | | | | 1,266,980 | | | | | | 0.02% | | |
GM Cruise Holdings LLC, Class F Shares, Private Placement | | | | | 5/7/2019 | | | | | | 883,300 | | | | | | 1,275,340 | | | | | | 0.02% | | |
GM Cruise Holdings LLC, Class G Shares, Private Placement | | | | | 1/21/2021 | | | | | | 1,050,443 | | | | | | 1,050,443 | | | | | | 0.02% | | |
Magic Leap Inc., Series D, Private Placement | | | | | 10/12/2017 | | | | | | 406,539 | | | | | | 16,034 | | | | | | 0.00%* | | |
Maplebear Inc. d/b/a Instacart, Non-voting Shares | | | | | 8/7/2020 | | | | | | 16,171 | | | | | | 33,504 | | | | | | 0.00%* | | |
Maplebear Inc. d/b/a Instacart, Private Placement | | | | | 8/7/2020 | | | | | | 309,464 | | | | | | 641,184 | | | | | | 0.01% | | |
Maplebear Inc. d/b/a Instacart, Series A | | | | | 11/18/2020 | | | | | | 62,232 | | | | | | 97,920 | | | | | | 0.00%* | | |
Maplebear Inc. d/b/a Instacart, Series G | | | | | 7/2/2020 | | | | | | 655,877 | | | | | | 1,309,248 | | | | | | 0.02% | | |
Maplebear Inc. d/b/a Instacart, Series I | | | | | 2/26/2021 | | | | | | 258,250 | | | | | | 198,336 | | | | | | 0.00%* | | |
Nuro Inc., Series C, Private Placement | | | | | 10/30/2020 | | | | | | 940,662 | | | | | | 2,259,447 | | | | | | 0.04% | | |
Security | | | First Acquisition Date | | | First Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Nuro Inc., Series D | | | | | 10/29/2021 | | | | | $ | 547,033 | | | | | $ | 547,033 | | | | | | 0.01% | | |
Rappi Inc., Series E, Private Placement | | | | | 9/8/2020 | | | | | | 1,231,963 | | | | | | 1,169,773 | | | | | | 0.02% | | |
Redwood Materials Inc., Series C, Private Placement | | | | | 5/28/2021 | | | | | | 1,110,190 | | | | | | 1,221,353 | | | | | | 0.02% | | |
Rivian Automotive Inc., Private Placement | | | | | 11/10/2021 | | | | | | 10,143,042 | | | | | | 40,341,660 | | | | | | 0.78% | | |
Sila Nanotechnologies Inc., Series F, Private Placement | | | | | 1/7/2021 | | | | | | 878,780 | | | | | | 878,780 | | | | | | 0.02% | | |
Stripe Inc., Class B Shares, Private Placement | | | | | 12/17/2019 | | | | | | 313,988 | | | | | | 821,893 | | | | | | 0.02% | | |
Waymo LLC, Series A2, Private Placement | | | | | 5/8/2020 | | | | | | 819,946 | | | | | | 875,853 | | | | | | 0.02% | | |
Total | | | | | | | | | | | | | | | | $ | 62,460,205 | | | | | | 1.18% | | |
|
| Consumer Non-cyclical | | | | | 23.7% | | |
| Communications | | | | | 19.2 | | |
| Technology | | | | | 18.9 | | |
| Financial | | | | | 15.1 | | |
| Consumer Cyclical | | | | | 7.4 | | |
| Industrial | | | | | 6.8 | | |
| Energy | | | | | 3.9 | | |
| Utilities | | | | | 1.7 | | |
| Basic Materials | | | | | 1.5 | | |
| Short-Term Investments | | | | | 1.4 | | |
| Money Market Fund | | | | | 0.4 | | |
| | | | | | 100.0% | | |
Open Futures Contracts | | | Number of Contracts | | | Expiration Date (Month/Year) | | | Notional Amount | | | Market Value | | | Unrealized (Depreciation) | | |||||||||||||||
Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 E-mini Index March Futures | | | | | 16 | | | | | | 3/22 | | | | | $ | 3,710,634 | | | | | $ | 3,494,400 | | | | | $ | (216,234) | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 95.4% | | ||||||||||||
| BASIC MATERIALS – 4.9% | | ||||||||||||
| Chemicals – 3.4% | | ||||||||||||
| | | 107,300 | | | | Ashland Global Holdings Inc. | | | | $ | 9,901,644 | | |
| | | 54,332 | | | | Cabot Corp. | | | | | 3,974,929 | | |
| | | 179,886 | | | | Codexis Inc.* | | | | | 3,585,128 | | |
| | | 38,219 | | | | Ingevity Corp.* | | | | | 2,607,682 | | |
| | | 24,829 | | | | Innospec Inc. | | | | | 2,371,169 | | |
| | | 100,700 | | | | PPG Industries Inc. | | | | | 13,438,415 | | |
| | | 22,519 | | | | Rogers Corp.* | | | | | 6,147,687 | | |
| | | 97,600 | | | | Valvoline Inc. | | | | | 3,155,408 | | |
| | | | | | | Total Chemicals | | | | | 45,182,062 | | |
| Iron/Steel – 0.5% | | ||||||||||||
| | | 149,104 | | | | Allegheny Technologies Inc.* | | | | | 3,837,937 | | |
| | | 72,188 | | | | Carpenter Technology Corp. | | | | | 2,771,297 | | |
| | | | | | | Total Iron/Steel | | | | | 6,609,234 | | |
| Mining – 1.0% | | ||||||||||||
| | | 35,887 | | | | Cameco Corp. | | | | | 882,102 | | |
| | | 445,221 | | | | Energy Fuels Inc.*(a) | | | | | 3,637,456 | | |
| | | 279,683 | | | | Livent Corp.* | | | | | 6,586,535 | | |
| | | 27,864 | | | | MP Materials Corp.*(a) | | | | | 1,271,156 | | |
| | | 61,610 | | | | Yamana Gold Inc. | | | | | 301,889 | | |
| | | | | | | Total Mining | | | | | 12,679,138 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 64,470,434 | | |
| COMMUNICATIONS – 4.6% | | ||||||||||||
| Internet – 1.0% | | ||||||||||||
| | | 21,697 | | | | Cargurus Inc., Class A Shares* | | | | | 1,051,220 | | |
| | | 242,324 | | | | ChannelAdvisor Corp.* | | | | | 4,349,716 | | |
| | | 111,157 | | | | Liquidity Services Inc.* | | | | | 1,915,235 | | |
| | | 129,280 | | | | Perion Network Ltd.* | | | | | 2,956,634 | | |
| | | 58,213 | | | | RumbleON Inc., Class B Shares*(a) | | | | | 1,667,220 | | |
| | | 72,437 | | | | Solo Brands Inc., Class A Shares*(a) | | | | | 764,935 | | |
| | | | | | | Total Internet | | | | | 12,704,960 | | |
| Media – 0.5% | | ||||||||||||
| | | 3,323 | | | | Nexstar Media Group Inc., Class A Shares | | | | | 614,921 | | |
| | | 244,564 | | | | TEGNA Inc. | | | | | 5,605,407 | | |
| | | | | | | Total Media | | | | | 6,220,328 | | |
| Telecommunications – 3.1% | | ||||||||||||
| | | 59,429 | | | | Aviat Networks Inc.* | | | | | 1,681,841 | | |
| | | 131,034 | | | | Calix Inc.* | | | | | 7,120,387 | | |
| | | 46,867 | | | | Cambium Networks Corp.* | | | | | 1,303,371 | | |
| | | 63,454 | | | | Clearfield Inc.* | | | | | 4,068,036 | | |
| | | 127,762 | | | | Extreme Networks Inc.* | | | | | 1,467,985 | | |
| | | 360,652 | | | | Harmonic Inc.* | | | | | 3,357,670 | | |
| | | 69,100 | | | | Motorola Solutions Inc. | | | | | 15,231,713 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Telecommunications – (continued) | | ||||||||||||
| | | 85,235 | | | | Sierra Wireless Inc.*(a) | | | | $ | 1,610,089 | | |
| | | 355,632 | | | | Viavi Solutions Inc.* | | | | | 5,832,365 | | |
| | | | | | | Total Telecommunications | | | | | 41,673,457 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 60,598,745 | | |
| CONSUMER CYCLICAL – 10.4% | | ||||||||||||
| Airlines – 0.1% | | ||||||||||||
| | | 73,836 | | | | Controladora Vuela Cia de Aviacion SAB de CV, ADR* | | | | | 1,409,529 | | |
| | | 6,737 | | | | Copa Holdings SA, Class A Shares* | | | | | 571,567 | | |
| | | 22,760 | | | | JetBlue Airways Corp.* | | | | | 347,545 | | |
| | | | | | | Total Airlines | | | | | 2,328,641 | | |
| Apparel – 0.7% | | ||||||||||||
| | | 17,756 | | | | Carter’s Inc. | | | | | 1,716,650 | | |
| | | 23,091 | | | | Oxford Industries Inc. | | | | | 2,041,014 | | |
| | | 56,177 | | | | Steven Madden Ltd. | | | | | 2,396,511 | | |
| | | 92,625 | | | | Urban Outfitters Inc.* | | | | | 2,548,114 | | |
| | | | | | | Total Apparel | | | | | 8,702,289 | | |
| Auto Manufacturers – 0.1% | | ||||||||||||
| | | 71,550 | | | | Wabash National Corp. | | | | | 1,219,212 | | |
| Auto Parts & Equipment – 2.2% | | ||||||||||||
| | | 27,401 | | | | Dorman Products Inc.* | | | | | 2,559,802 | | |
| | | 3,044 | | | | Fox Factory Holding Corp.* | | | | | 359,253 | | |
| | | 510,100 | | | | Gentex Corp. | | | | | 15,440,727 | | |
| | | 8,429 | | | | Gentherm Inc.* | | | | | 715,116 | | |
| | | 193,466 | | | | Goodyear Tire & Rubber Co.* | | | | | 2,996,788 | | |
| | | 131,393 | | | | Shyft Group Inc. | | | | | 5,309,591 | | |
| | | 5,211 | | | | Visteon Corp.* | | | | | 626,206 | | |
| | | 19,769 | | | | XPEL Inc.* | | | | | 1,435,229 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 29,442,712 | | |
| Distribution/Wholesale – 0.3% | | ||||||||||||
| | | 30,015 | | | | Core & Main Inc., Class A Shares* | | | | | 674,737 | | |
| | | 56,752 | | | | H&E Equipment Services Inc. | | | | | 2,369,964 | | |
| | | 19,096 | | | | Univar Solutions Inc.* | | | | | 586,438 | | |
| | | | | | | Total Distribution/Wholesale | | | | | 3,631,139 | | |
| Entertainment – 1.1% | | ||||||||||||
| | | 321,363 | | | | Everi Holdings Inc.* | | | | | 7,519,894 | | |
| | | 83,609 | | | | Golden Entertainment Inc.* | | | | | 4,759,860 | | |
| | | 12,583 | | | | Red Rock Resorts Inc., Class A Shares | | | | | 632,673 | | |
| | | 18,053 | | | | SeaWorld Entertainment Inc.* | | | | | 1,252,698 | | |
| | | | | | | Total Entertainment | | | | | 14,165,125 | | |
| Food Service – 0.2% | | ||||||||||||
| | | 241,487 | | | | Sovos Brands Inc.* | | | | | 2,931,652 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Home Builders – 0.7% | | ||||||||||||
| | | 64,419 | | | | Green Brick Partners Inc.* | | | | $ | 1,493,877 | | |
| | | 121,442 | | | | Skyline Champion Corp.* | | | | | 8,165,760 | | |
| | | | | | | Total Home Builders | | | | | 9,659,637 | | |
| Home Furnishings – 0.2% | | ||||||||||||
| | | 127,278 | | | | Arhaus Inc., Class A Shares* | | | | | 850,217 | | |
| | | 33,539 | | | | Lovesac Co.* | | | | | 1,425,072 | | |
| | | | | | | Total Home Furnishings | | | | | 2,275,289 | | |
| Leisure Time – 1.0% | | ||||||||||||
| | | 145,641 | | | | Callaway Golf Co.* | | | | | 3,603,158 | | |
| | | 156,148 | | | | Lindblad Expeditions Holdings Inc.* | | | | | 2,768,504 | | |
| | | 184,495 | | | | Xponential Fitness Inc., Class A Shares* | | | | | 3,863,325 | | |
| | | 35,658 | | | | YETI Holdings Inc.* | | | | | 2,195,107 | | |
| | | | | | | Total Leisure Time | | | | | 12,430,094 | | |
| Lodging – 1.2% | | ||||||||||||
| | | 296,828 | | | | Full House Resorts Inc.* | | | | | 2,612,086 | | |
| | | 535,339 | | | | Playa Hotels & Resorts NV* | | | | | 5,058,954 | | |
| | | 84,000 | | | | Wyndham Hotels & Resorts Inc. | | | | | 7,258,440 | | |
| | | | | | | Total Lodging | | | | | 14,929,480 | | |
| Retail – 2.6% | | ||||||||||||
| | | 151,239 | | | | American Eagle Outfitters Inc. | | | | | 3,188,118 | | |
| | | 173,785 | | | | Aspen Aerogels Inc.* | | | | | 5,144,036 | | |
| | | 40,314 | | | | BlueLinx Holdings Inc.* | | | | | 3,603,265 | | |
| | | 50,238 | | | | Boot Barn Holdings Inc.* | | | | | 4,371,711 | | |
| | | 192,086 | | | | Brilliant Earth Group Inc., Class A Shares*(a) | | | | | 1,747,983 | | |
| | | 5,366 | | | | Dutch Bros Inc., Class A Shares*(a) | | | | | 258,695 | | |
| | | 51,820 | | | | Kura Sushi USA Inc., Class A Shares* | | | | | 2,730,914 | | |
| | | 71,829 | | | | Movado Group Inc. | | | | | 2,831,499 | | |
| | | 39,505 | | | | Murphy USA Inc. | | | | | 7,140,134 | | |
| | | 82,207 | | | | OptimizeRx Corp.* | | | | | 3,723,155 | | |
| | | 72,534 | | | | Portillo’s Inc., Class A Shares*(a) | | | | | 1,817,702 | | |
| | | | | | | Total Retail | | | | | 36,557,212 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 138,272,482 | | |
| CONSUMER NON-CYCLICAL – 21.0% | | ||||||||||||
| Beverages – 1.9% | | ||||||||||||
| | | 58,724 | | | | Celsius Holdings Inc.* | | | | | 3,751,876 | | |
| | | 181,700 | | | | Coca-Cola Europacific Partners PLC | | | | | 9,304,857 | | |
| | | 204,814 | | | | Duckhorn Portfolio Inc.* | | | | | 4,018,451 | | |
| | | 72,439 | | | | MGP Ingredients Inc. | | | | | 5,766,869 | | |
| | | 202,000 | | | | Vita Coco Co., Inc.*(a) | | | | | 2,341,180 | | |
| | | | | | | Total Beverages | | | | | 25,183,233 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Biotechnology – 3.9% | | ||||||||||||
| | | 46,414 | | | | Apellis Pharmaceuticals Inc.* | | | | $ | 1,973,987 | | |
| | | 200,159 | | | | Avid Bioservices Inc.* | | | | | 4,099,256 | | |
| | | 3,848 | | | | Beam Therapeutics Inc.* | | | | | 301,491 | | |
| | | 41,308 | | | | Bicycle Therapeutics PLC, ADR* | | | | | 1,962,130 | | |
| | | 2,773 | | | | Biohaven Pharmaceutical Holding Co., Ltd.* | | | | | 329,183 | | |
| | | 73,252 | | | | Biomea Fusion Inc.*(a) | | | | | 469,545 | | |
| | | 2,473 | | | | Blueprint Medicines Corp.* | | | | | 149,740 | | |
| | | 63,700 | | | | C4 Therapeutics Inc.* | | | | | 1,428,791 | | |
| | | 52,669 | | | | Celldex Therapeutics Inc.* | | | | | 1,574,803 | | |
| | | 73,237 | | | | CinCor Pharma Inc.* | | | | | 1,633,917 | | |
| | | 291,655 | | | | Crinetics Pharmaceuticals Inc.* | | | | | 5,838,933 | | |
| | | 72,574 | | | | Day One Biopharmaceuticals Inc.*(a) | | | | | 991,361 | | |
| | | 126,814 | | | | DICE Therapeutics Inc.*(a) | | | | | 2,344,791 | | |
| | | 85,390 | | | | Dynavax Technologies Corp.* | | | | | 1,046,881 | | |
| | | 54,102 | | | | Elevation Oncology Inc.* | | | | | 182,865 | | |
| | | 12,071 | | | | Halozyme Therapeutics Inc.* | | | | | 428,158 | | |
| | | 63,878 | | | | Imago Biosciences Inc.* | | | | | 1,504,327 | | |
| | | 9,912 | | | | Intra-Cellular Therapies Inc.* | | | | | 549,918 | | |
| | | 151,995 | | | | IVERIC bio Inc.* | | | | | 2,438,000 | | |
| | | 6,096 | | | | Kymera Therapeutics Inc.* | | | | | 242,377 | | |
| | | 125,570 | | | | Nuvalent Inc., Class A Shares*(a) | | | | | 1,877,272 | | |
| | | 246,282 | | | | Relay Therapeutics Inc.* | | | | | 5,937,859 | | |
| | | 112,907 | | | | SpringWorks Therapeutics Inc.* | | | | | 6,389,407 | | |
| | | 76,066 | | | | VectivBio Holding AG* | | | | | 429,773 | | |
| | | 114,871 | | | | Ventyx Biosciences Inc.*(a) | | | | | 1,342,842 | | |
| | | 229,098 | | | | Xenon Pharmaceuticals Inc.* | | | | | 7,262,407 | | |
| | | | | | | Total Biotechnology | | | | | 52,730,014 | | |
| Commercial Services – 4.4% | | ||||||||||||
| | | 238,493 | | | | AirSculpt Technologies Inc.*(a) | | | | | 3,229,195 | | |
| | | 10,439 | | | | AMN Healthcare Services Inc.* | | | | | 1,107,995 | | |
| | | 107,800 | | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | | | 8,698,382 | | |
| | | 239,433 | | | | Cross Country Healthcare Inc.* | | | | | 5,346,539 | | |
| | | 199,152 | | | | European Wax Center Inc., Class A Shares*(a) | | | | | 4,952,910 | | |
| | | 74,500 | | | | Global Payments Inc. | | | | | 9,936,810 | | |
| | | 4,509 | | | | Herc Holdings Inc. | | | | | 717,472 | | |
| | | 61,355 | | | | Huron Consulting Group Inc.* | | | | | 3,026,642 | | |
| | | 90,978 | | | | Kelly Services Inc., Class A Shares | | | | | 1,930,553 | | |
| | | 71,440 | | | | Korn Ferry | | | | | 4,733,614 | | |
| | | 3,439 | | | | Paylocity Holding Corp.* | | | | | 730,581 | | |
| | | 262,160 | | | | Performant Financial Corp.* | | | | | 568,887 | | |
| | | 97,600 | | | | Quanta Services Inc. | | | | | 10,632,544 | | |
| | | 58,647 | | | | Repay Holdings Corp., Class A Shares* | | | | | 1,012,834 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Commercial Services – (continued) | | ||||||||||||
| | | 9,058 | | | | Triton International Ltd. | | | | $ | 594,929 | | |
| | | | | | | Total Commercial Services | | | | | 57,219,887 | | |
| Cosmetics/Personal Care – 0.6% | | ||||||||||||
| | | 248,822 | | | | Beauty Health Co.* | | | | | 4,822,170 | | |
| | | 80,456 | | | | elf Beauty Inc.* | | | | | 2,126,452 | | |
| | | | | | | Total Cosmetics/Personal Care | | | | | 6,948,622 | | |
| Food – 2.6% | | ||||||||||||
| | | 52,049 | | | | Cal-Maine Foods Inc. | | | | | 2,304,209 | | |
| | | 63,228 | | | | Hain Celestial Group Inc.* | | | | | 2,298,970 | | |
| | | 265,465 | | | | Hostess Brands Inc., Class A Shares* | | | | | 5,718,116 | | |
| | | 59,031 | | | | Ingredion Inc. | | | | | 5,238,411 | | |
| | | 26,346 | | | | Krispy Kreme Inc.(a) | | | | | 392,819 | | |
| | | 38,004 | | | | Performance Food Group Co.* | | | | | 2,129,744 | | |
| | | 135,621 | | | | Real Good Food Co., Inc., Class A Shares*(a) | | | | | 811,014 | | |
| | | 113,100 | | | | Sysco Corp. | | | | | 9,851,010 | | |
| | | 139,056 | | | | TreeHouse Foods Inc.* | | | | | 5,457,948 | | |
| | | | | | | Total Food | | | | | 34,202,241 | | |
| Healthcare-Products – 4.9% | | ||||||||||||
| | | 204,746 | | | | Alphatec Holdings Inc.* | | | | | 2,256,301 | | |
| | | 6,370 | | | | AtriCure Inc.* | | | | | 442,397 | | |
| | | 123,700 | | | | Bruker Corp. | | | | | 8,704,769 | | |
| | | 17,000 | | | | Cooper Cos., Inc. | | | | | 6,953,340 | | |
| | | 216,000 | | | | DENTSPLY SIRONA Inc. | | | | | 11,694,240 | | |
| | | 105,011 | | | | Envista Holdings Corp.* | | | | | 5,040,528 | | |
| | | 5,906 | | | | Inmode Ltd.* | | | | | 252,127 | | |
| | | 16,884 | | | | Inspire Medical Systems Inc.* | | | | | 4,120,709 | | |
| | | 52,883 | | | | Integra LifeSciences Holdings Corp.* | | | | | 3,546,334 | | |
| | | 74,785 | | | | Lantheus Holdings Inc.* | | | | | 3,576,219 | | |
| | | 2,126 | | | | Natera Inc.* | | | | | 139,785 | | |
| | | 40,531 | | | | NuVasive Inc.* | | | | | 2,193,538 | | |
| | | 1,901 | | | | Repligen Corp.* | | | | | 373,927 | | |
| | | 157,816 | | | | SeaSpine Holdings Corp.* | | | | | 1,999,529 | | |
| | | 3,465 | | | | Shockwave Medical Inc.* | | | | | 614,102 | | |
| | | 79,483 | | | | SI-BONE Inc.* | | | | | 1,753,395 | | |
| | | 81,473 | | | | Treace Medical Concepts Inc.* | | | | | 1,754,928 | | |
| | | 62,800 | | | | Zimmer Biomet Holdings Inc. | | | | | 7,987,532 | | |
| | | | | | | Total Healthcare-Products | | | | | 63,403,700 | | |
| Healthcare-Services – 1.1% | | ||||||||||||
| | | 24,600 | | | | Humana Inc. | | | | | 10,684,272 | | |
| | | 72,001 | | | | Inotiv Inc.* | | | | | 1,902,986 | | |
| | | 13,330 | | | | Invitae Corp.* | | | | | 143,831 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Healthcare-Services – (continued) | | ||||||||||||
| | | 3,838 | | | | Medpace Holdings Inc.* | | | | $ | 587,099 | | |
| | | 60,155 | | | | RadNet Inc.* | | | | | 1,484,024 | | |
| | | 189,568 | | | | Thorne HealthTech Inc.*(a) | | | | | 849,265 | | |
| | | | | | | Total Healthcare-Services | | | | | 15,651,477 | | |
| Household Products/Wares – 0.2% | | ||||||||||||
| | | 32,138 | | | | Spectrum Brands Holdings Inc. | | | | | 2,981,764 | | |
| Pharmaceuticals – 1.4% | | ||||||||||||
| | | 106,065 | | | | Centessa Pharmaceuticals PLC, ADR*(a) | | | | | 946,100 | | |
| | | 189,841 | | | | Cytokinetics Inc.* | | | | | 6,705,184 | | |
| | | 9,068 | | | | Galapagos NV, ADR*(a) | | | | | 600,574 | | |
| | | 3,469 | | | | Intellia Therapeutics Inc.* | | | | | 342,911 | | |
| | | 139,402 | | | | Merus NV* | | | | | 3,915,802 | | |
| | | 30,542 | | | | Morphic Holding Inc.* | | | | | 1,217,404 | | |
| | | 8,193 | | | | Pacira BioSciences Inc.* | | | | | 546,391 | | |
| | | 89,985 | | | | Prestige Consumer Healthcare Inc.* | | | | | 5,356,807 | | |
| | | | | | | Total Pharmaceuticals | | | | | 19,631,173 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 277,952,111 | | |
| ENERGY – 3.4% | | ||||||||||||
| Energy-Alternate Sources – 0.2% | | ||||||||||||
| | | 91,813 | | | | Green Plains Inc.* | | | | | 3,005,958 | | |
| Oil & Gas – 2.3% | | ||||||||||||
| | | 7,947 | | | | California Resources Corp. | | | | | 327,655 | | |
| | | 7,467 | | | | Callon Petroleum Co.* | | | | | 420,840 | | |
| | | 80,307 | | | | Civitas Resources Inc. | | | | | 4,053,094 | | |
| | | 131,126 | | | | Helmerich & Payne Inc. | | | | | 4,750,695 | | |
| | | 7,487 | | | | HollyFrontier Corp.* | | | | | 227,979 | | |
| | | 50,412 | | | | Magnolia Oil & Gas Corp., Class A Shares | | | | | 1,126,708 | | |
| | | 175,562 | | | | Matador Resources Co. | | | | | 8,707,875 | | |
| | | 90,155 | | | | Par Pacific Holdings Inc.* | | | | | 1,226,108 | | |
| | | 73,497 | | | | Patterson-UTI Energy Inc. | | | | | 1,060,562 | | |
| | | 79,122 | | | | PDC Energy Inc. | | | | | 5,104,952 | | |
| | | 103,750 | | | | Ranger Oil Corp., Class A Shares* | | | | | 3,502,600 | | |
| | | | | | | Total Oil & Gas | | | | | 30,509,068 | | |
| Oil & Gas Services – 0.9% | | ||||||||||||
| | | 354,300 | | | | Baker Hughes Co., Class A Shares | | | | | 10,409,334 | | |
| | | 54,895 | | | | NexTier Oilfield Solutions Inc.* | | | | | 436,964 | | |
| | | 102,654 | | | | Select Energy Services Inc., Class A Shares* | | | | | 849,975 | | |
| | | | | | | Total Oil & Gas Services | | | | | 11,696,273 | | |
| | | | | | | TOTAL ENERGY | | | | | 45,211,299 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – 20.4% | | ||||||||||||
| Banks – 9.0% | | ||||||||||||
| | | 20,785 | | | | Bancorp Inc.* | | | | $ | 609,000 | | |
| | | 152,412 | | | | Bank of NT Butterfield & Son Ltd. | | | | | 5,852,621 | | |
| | | 170,822 | | | | BankUnited Inc. | | | | | 7,550,332 | | |
| | | 68,652 | | | | Customers Bancorp Inc.* | | | | | 4,225,531 | | |
| | | 15,700 | | | | First Citizens BancShares Inc., Class A Shares | | | | | 12,378,665 | | |
| | | 137,886 | | | | First Interstate BancSystem Inc., Class A Shares | | | | | 5,598,172 | | |
| | | 68,805 | | | | Live Oak Bancshares Inc. | | | | | 4,400,080 | | |
| | | 75,120 | | | | Meta Financial Group Inc. | | | | | 4,160,897 | | |
| | | 48,991 | | | | Metropolitan Bank Holding Corp.* | | | | | 5,009,330 | | |
| | | 335,122 | | | | PacWest Bancorp | | | | | 16,561,729 | | |
| | | 84,672 | | | | Pinnacle Financial Partners Inc. | | | | | 8,558,646 | | |
| | | 29,800 | | | | Signature Bank | | | | | 10,277,722 | | |
| | | 63,832 | | | | Triumph Bancorp Inc.* | | | | | 6,403,626 | | |
| | | 334,222 | | | | Umpqua Holdings Corp. | | | | | 7,135,640 | | |
| | | 115,953 | | | | Univest Financial Corp. | | | | | 3,360,318 | | |
| | | 41,748 | | | | Webster Financial Corp. | | | | | 2,513,647 | | |
| | | 77,712 | | | | Western Alliance Bancorp | | | | | 7,284,723 | | |
| | | 79,145 | | | | Wintrust Financial Corp. | | | | | 7,863,847 | | |
| | | | | | | Total Banks | | | | | 119,744,526 | | |
| Diversified Financial Services – 0.1% | | ||||||||||||
| | | 18,615 | | | | CI Financial Corp. | | | | | 305,844 | | |
| | | 65,759 | | | | Cowen Inc., Class A Shares | | | | | 1,949,754 | | |
| | | 10,223 | | | | StepStone Group Inc., Class A Shares | | | | | 353,000 | | |
| | | | | | | Total Diversified Financial Services | | | | | 2,608,598 | | |
| Equity Real Estate Investment Trusts (REITs) – 5.6% | | ||||||||||||
| | | 57,100 | | | | Alexandria Real Estate Equities Inc. | | | | | 10,814,740 | | |
| | | 85,180 | | | | American Campus Communities Inc. | | | | | 4,583,536 | | |
| | | 408,100 | | | | American Homes 4 Rent, Class A Shares | | | | | 15,511,881 | | |
| | | 278,700 | | | | Americold Realty Trust | | | | | 7,446,864 | | |
| | | 384,488 | | | | Chimera Investment Corp. | | | | | 4,679,219 | | |
| | | 80,589 | | | | Corporate Office Properties Trust | | | | | 2,112,238 | | |
| | | 104,300 | | | | Dynex Capital Inc.(a) | | | | | 1,603,091 | | |
| | | 55,300 | | | | Extra Space Storage Inc. | | | | | 10,404,695 | | |
| | | 173,879 | | | | LXP Industrial Trust | | | | | 2,688,169 | | |
| | | 4,919 | | | | Ryman Hospitality Properties Inc.* | | | | | 433,413 | | |
| | | 43,000 | | | | SBA Communications Corp., Class A Shares | | | | | 13,045,770 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 73,323,616 | | |
| Insurance – 4.7% | | ||||||||||||
| | | 105,002 | | | | BRP Group Inc., Class A Shares* | | | | | 2,915,906 | | |
| | | 39,888 | | | | Hanover Insurance Group Inc. | | | | | 5,564,775 | | |
| | | 185,400 | | | | Hartford Financial Services Group Inc. | | | | | 12,881,592 | | |
| | | 4,567 | | | | Kinsale Capital Group Inc. | | | | | 957,974 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Insurance – (continued) | | ||||||||||||
| | | 248,625 | | | | MGIC Investment Corp. | | | | $ | 3,774,127 | | |
| | | 281,992 | | | | NMI Holdings Inc., Class A Shares* | | | | | 6,525,295 | | |
| | | 63,600 | | | | Progressive Corp. | | | | | 6,737,148 | | |
| | | 68,800 | | | | Willis Towers Watson PLC | | | | | 15,294,240 | | |
| | | 75,800 | | | | WR Berkley Corp. | | | | | 6,844,740 | | |
| | | | | | | Total Insurance | | | | | 61,495,797 | | |
| Private Equity – 0.3% | | ||||||||||||
| | | 194,565 | | | | Hercules Capital Inc.(a) | | | | | 3,496,333 | | |
| Real Estate – 0.7% | | ||||||||||||
| | | 503,657 | | | | Newmark Group Inc., Class A Shares | | | | | 8,904,656 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 269,573,526 | | |
| INDUSTRIAL – 17.0% | | ||||||||||||
| Aerospace/Defense – 1.1% | | ||||||||||||
| | | 79,946 | | | | AAR Corp.* | | | | | 3,592,773 | | |
| | | 63,882 | | | | BWX Technologies Inc. | | | | | 3,412,576 | | |
| | | 56,098 | | | | Hexcel Corp. | | | | | 3,248,074 | | |
| | | 18,125 | | | | Spirit AeroSystems Holdings Inc., Class A Shares | | | | | 906,250 | | |
| | | 103,267 | | | | Triumph Group Inc.* | | | | | 2,585,806 | | |
| | | | | | | Total Aerospace/Defense | | | | | 13,745,479 | | |
| Building Materials – 1.2% | | ||||||||||||
| | | 3,415 | | | | Boise Cascade Co. | | | | | 272,995 | | |
| | | 19,101 | | | | Hayward Holdings Inc.* | | | | | 341,717 | | |
| | | 28,800 | | | | Martin Marietta Materials Inc. | | | | | 10,926,720 | | |
| | | 41,907 | | | | Masonite International Corp.* | | | | | 3,953,087 | | |
| | | 20,703 | | | | Summit Materials Inc., Class A Shares* | | | | | 646,348 | | |
| | | | | | | Total Building Materials | | | | | 16,140,867 | | |
| Electrical Components & Equipment – 0.3% | | ||||||||||||
| | | 51,440 | | | | Belden Inc. | | | | | 2,898,644 | | |
| | | 38,377 | | | | Energizer Holdings Inc. | | | | | 1,281,408 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 4,180,052 | | |
| Electronics – 2.2% | | ||||||||||||
| | | 8,496 | | | | Atkore Inc.* | | | | | 864,128 | | |
| | | 54,720 | | | | Camtek Ltd.* | | | | | 1,797,005 | | |
| | | 143,000 | | | | Fortive Corp. | | | | | 9,259,250 | | |
| | | 41,900 | | | | Hubbell Inc., Class B Shares | | | | | 7,468,675 | | |
| | | 3,717 | | | | Vicor Corp.* | | | | | 277,920 | | |
| | | 77,600 | | | | Woodward Inc. | | | | | 9,671,288 | | |
| | | | | | | Total Electronics | | | | | 29,338,266 | | |
| Engineering & Construction – 0.7% | | ||||||||||||
| | | 20,426 | | | | Dycom Industries Inc.* | | | | | 1,778,288 | | |
| | | 31,180 | | | | EMCOR Group Inc. | | | | | 3,602,537 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Engineering & Construction – (continued) | | ||||||||||||
| | | 4,225 | | | | Exponent Inc. | | | | $ | 400,361 | | |
| | | 23,739 | | | | Latham Group Inc.*(a) | | | | | 415,195 | | |
| | | 27,679 | | | | NV5 Global Inc.* | | | | | 2,968,573 | | |
| | | 26,155 | | | | WillScot Mobile Mini Holdings Corp.* | | | | | 929,287 | | |
| | | | | | | Total Engineering & Construction | | | | | 10,094,241 | | |
| Environmental Control – 1.2% | | ||||||||||||
| | | 66,003 | | | | Clean Harbors Inc.* | | | | | 6,298,666 | | |
| | | 145,494 | | | | Energy Recovery Inc.* | | | | | 2,764,386 | | |
| | | 16,773 | | | | Evoqua Water Technologies Corp.* | | | | | 715,536 | | |
| | | 134,465 | | | | Harsco Corp.* | | | | | 1,601,478 | | |
| | | 100,236 | | | | Montrose Environmental Group Inc.* | | | | | 4,421,410 | | |
| | | 2,915 | | | | Tetra Tech Inc. | | | | | 462,815 | | |
| | | | | | | Total Environmental Control | | | | | 16,264,291 | | |
| Hand/Machine Tools – 1.5% | | ||||||||||||
| | | 62,574 | | | | Regal Rexnord Corp. | | | | | 10,033,741 | | |
| | | 52,800 | | | | Stanley Black & Decker Inc. | | | | | 8,590,560 | | |
| | | | | | | Total Hand/Machine Tools | | | | | 18,624,301 | | |
| Machinery-Construction & Mining – 0.8% | | ||||||||||||
| | | 758,600 | | | | Vertiv Holdings Co., Class A Shares | | | | | 9,876,972 | | |
| Machinery-Diversified – 4.3% | | ||||||||||||
| | | 107,482 | | | | Altra Industrial Motion Corp. | | | | | 4,564,761 | | |
| | | 90,888 | | | | Cactus Inc., Class A Shares | | | | | 4,604,386 | | |
| | | 2,598 | | | | Chart Industries Inc.* | | | | | 375,151 | | |
| | | 58,704 | | | | CIRCOR International Inc.* | | | | | 1,581,486 | | |
| | | 45,700 | | | | Dover Corp. | | | | | 7,168,502 | | |
| | | 209,165 | | | | Gates Industrial Corp. PLC* | | | | | 3,313,174 | | |
| | | 222,300 | | | | Ingersoll Rand Inc. | | | | | 11,230,596 | | |
| | | 3,073 | | | | Kornit Digital Ltd.* | | | | | 291,413 | | |
| | | 106,120 | | | | Ranpak Holdings Corp., Class A Shares* | | | | | 2,568,104 | | |
| | | 31,100 | | | | Rockwell Automation Inc. | | | | | 8,290,638 | | |
| | | 40,880 | | | | SPX FLOW Inc. | | | | | 3,511,183 | | |
| | | 279,300 | | | | Zurn Water Solutions Corp. | | | | | 9,082,836 | | |
| | | | | | | Total Machinery-Diversified | | | | | 56,582,230 | | |
| Metal Fabricate/Hardware – 0.5% | | ||||||||||||
| | | 37,801 | | | | Standex International Corp. | | | | | 4,004,260 | | |
| | | 60,165 | | | | Xometry Inc., Class A Shares*(a) | | | | | 2,942,670 | | |
| | | | | | | Total Metal Fabricate/Hardware | | | | | 6,946,930 | | |
| Miscellaneous Manufacturers – 1.7% | | ||||||||||||
| | | 2,786 | | | | Axon Enterprise Inc.* | | | | | 390,737 | | |
| | | 85,981 | | | | Enerpac Tool Group Corp., Class A Shares | | | | | 1,483,172 | | |
| | | 48,653 | | | | EnPro Industries Inc. | | | | | 5,373,237 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Miscellaneous Manufacturers – (continued) | | ||||||||||||
| | | 37,260 | | | | Hillenbrand Inc. | | | | $ | 1,777,675 | | |
| | | 158,923 | | | | ITT Inc. | | | | | 13,964,564 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 22,989,385 | | |
| Packaging & Containers – 0.5% | | ||||||||||||
| | | 111,268 | | | | Karat Packaging Inc.* | | | | | 1,808,105 | | |
| | | 222,104 | | | | O-I Glass Inc.* | | | | | 2,838,489 | | |
| | | 53,696 | | | | Silgan Holdings Inc. | | | | | 2,248,788 | | |
| | | | | | | Total Packaging & Containers | | | | | 6,895,382 | | |
| Transportation – 0.8% | | ||||||||||||
| | | 88,460 | | | | Air Transport Services Group Inc.* | | | | | 2,787,375 | | |
| | | 33,923 | | | | CryoPort Inc.* | | | | | 1,164,577 | | |
| | | 44,184 | | | | Forward Air Corp. | | | | | 4,558,905 | | |
| | | 6,387 | | | | Kirby Corp.* | | | | | 416,113 | | |
| | | 3,745 | | | | Saia Inc.* | | | | | 1,075,676 | | |
| | | 23,241 | | | | Star Bulk Carriers Corp. | | | | | 699,089 | | |
| | | | | | | Total Transportation | | | | | 10,701,735 | | |
| Trucking & Leasing – 0.2% | | ||||||||||||
| | | 46,179 | | | | Greenbrier Cos., Inc. | | | | | 2,051,733 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 224,431,864 | | |
| TECHNOLOGY – 9.4% | | ||||||||||||
| Computers – 1.5% | | ||||||||||||
| | | 14,507 | | | | CACI International Inc., Class A Shares* | | | | | 4,058,913 | | |
| | | 3,614 | | | | CyberArk Software Ltd.* | | | | | 614,886 | | |
| | | 33,560 | | | | Endava PLC, ADR* | | | | | 4,469,521 | | |
| | | 26,036 | | | | ExlService Holdings Inc.* | | | | | 3,144,888 | | |
| | | 226,937 | | | | Grid Dynamics Holdings Inc.* | | | | | 2,757,284 | | |
| | | 21,576 | | | | KBR Inc. | | | | | 1,071,033 | | |
| | | 36,842 | | | | Lumentum Holdings Inc.* | | | | | 3,642,200 | | |
| | | 1,872 | | | | Zscaler Inc.* | | | | | 447,689 | | |
| | | | | | | Total Computers | | | | | 20,206,414 | | |
| Semiconductors – 7.0% | | ||||||||||||
| | | 48,427 | | | | Alpha & Omega Semiconductor Ltd.* | | | | | 2,603,920 | | |
| | | 7,563 | | | | Ambarella Inc.* | | | | | 1,056,627 | | |
| | | 129,985 | | | | Axcelis Technologies Inc.* | | | | | 8,997,562 | | |
| | | 67,800 | | | | Azenta Inc. | | | | | 5,933,856 | | |
| | | 123,024 | | | | Impinj Inc.* | | | | | 8,457,900 | | |
| | | 45,400 | | | | KLA Corp. | | | | | 15,821,900 | | |
| | | 8,230 | | | | Lattice Semiconductor Corp.* | | | | | 515,362 | | |
| | | 37,316 | | | | MACOM Technology Solutions Holdings Inc.* | | | | | 2,242,691 | | |
| | | 20,860 | | | | MaxLinear Inc., Class A Shares* | | | | | 1,279,761 | | |
| | | 107,700 | | | | MKS Instruments Inc. | | | | | 16,219,620 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Semiconductors – (continued) | | ||||||||||||
| | | 83,400 | | | | NXP Semiconductors NV | | | | $ | 15,856,008 | | |
| | | 57,701 | | | | Silicon Motion Technology Corp., ADR | | | | | 4,185,630 | | |
| | | 9,198 | | | | SiTime Corp.* | | | | | 1,859,284 | | |
| | | 189,808 | | | | SMART Global Holdings Inc.* | | | | | 5,210,230 | | |
| | | 2,400 | | | | Synaptics Inc.* | | | | | 548,232 | | |
| | | 54,931 | | | | Ultra Clean Holdings Inc.* | | | | | 2,516,389 | | |
| | | | | | | Total Semiconductors | | | | | 93,304,972 | | |
| Software – 0.9% | | ||||||||||||
| | | 6,524 | | | | DigitalOcean Holdings Inc.* | | | | | 387,004 | | |
| | | 63,763 | | | | Docebo Inc.*(a) | | | | | 3,355,209 | | |
| | | 62,254 | | | | HireRight Holdings Corp.*(a) | | | | | 813,660 | | |
| | | 46,575 | | | | Motorsport Games Inc., Class A Shares* | | | | | 158,821 | | |
| | | 57,676 | | | | Phreesia Inc.* | | | | | 1,775,844 | | |
| | | 402,205 | | | | Rackspace Technology Inc.* | | | | | 4,476,542 | | |
| | | 51,918 | | | | Sophia Genetics SA*(a) | | | | | 664,550 | | |
| | | | | | | Total Software | | | | | 11,631,630 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 125,143,016 | | |
| UTILITIES – 4.3% | | ||||||||||||
| Electric – 4.1% | | ||||||||||||
| | | 118,300 | | | | Ameren Corp. | | | | | 10,167,885 | | |
| | | 48,665 | | | | Black Hills Corp. | | | | | 3,406,063 | | |
| | | 385,600 | | | | CenterPoint Energy Inc. | | | | | 10,546,160 | | |
| | | 204,200 | | | | Exelon Corp. | | | | | 8,690,752 | | |
| | | 39,166 | | | | IDACORP Inc. | | | | | 4,071,306 | | |
| | | 151,860 | | | | Portland General Electric Co. | | | | | 7,709,932 | | |
| | | 151,200 | | | | Xcel Energy Inc. | | | | | 10,180,296 | | |
| | | | | | | Total Electric | | | | | 54,772,394 | | |
| Gas – 0.2% | | ||||||||||||
| | | 35,387 | | | | Spire Inc. | | | | | 2,374,822 | | |
| | | | | | | TOTAL UTILITIES | | | | | 57,147,216 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $1,106,989,015) | | | | | 1,262,800,693 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 0.8% | | ||||||||||||
| | | 34,384 | | | | iShares Russell 2000(a) | | | | | 6,990,955 | | |
| | | 44,294 | | | | iShares Russell Mid-Capital(a) | | | | | 3,380,518 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $7,581,454) | | | | | 10,371,473 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| WARRANT – 0.0% | | ||||||||||||
| DIVERSIFIED – 0.0% | | ||||||||||||
| SPACs – 0.0% | | ||||||||||||
| | | 39,296 | | | | EQRx Inc., due 12/20/26, Strike Price $11.50*(b) (Cost – $75,222) | | | | $ | 22,992 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $1,114,645,691) | | | | | 1,273,195,158 | | |
| Face Amount | | | | | | | | | | | |||
| SHORT-TERM INVESTMENTS – 4.0% | | ||||||||||||
| TIME DEPOSITS – 4.0% | | ||||||||||||
| | $ | 30,023,139 | | | | Barclays Bank PLC – London, 0.005% due 3/1/22 | | | | | 30,023,139 | | |
| | | 16,959,244 | | | | BNP Paribas – Paris, 0.005% due 3/1/22 | | | | | 16,959,244 | | |
| | | 5,878,096 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 3/1/22 | | | | | 5,878,096 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $52,860,479) | | | | | 52,860,479 | | |
| Shares/Units | | | | ||||||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 2.8% | | ||||||||||||
| MONEY MARKET FUND – 2.8% | | ||||||||||||
| | | 37,322,114 | | | | Federated Government Obligations Fund, Premier Class, 0.025%(c) (Cost – $37,322,114) | | | | $ | 37,322,114 | | |
| | | | | | | TOTAL INVESTMENTS – 103.0% (Cost – $1,204,828,284) | | | | | 1,363,377,751 | | |
| | | | | | | Liabilities in Excess of Other Assets – (3.0)% | | | | | (39,989,591) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 1,323,388,160 | | |
| Consumer Non-cyclical | | | | | 20.4% | | |
| Financial | | | | | 19.8 | | |
| Industrial | | | | | 16.5 | | |
| Consumer Cyclical | | | | | 10.1 | | |
| Technology | | | | | 9.2 | | |
| Basic Materials | | | | | 4.7 | | |
| Communications | | | | | 4.4 | | |
| Utilities | | | | | 4.2 | | |
| Energy | | | | | 3.3 | | |
| Diversified | | | | | 0.0* | | |
| Exchange Traded Funds (ETFs) | | | | | 0.8 | | |
| Short-Term Investments | | | | | 3.9 | | |
| Money Market Fund | | | | | 2.7 | | |
| | | | | | 100.0% | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 95.8% | | ||||||||||||
| Australia – 0.6% | | ||||||||||||
| | | 715,475 | | | | Elmo Software Ltd.*(a) | | | | $ | 1,916,230 | | |
| | | 1,509,789 | | | | Johns Lyng Group Ltd. | | | | | 8,332,306 | | |
| | | 192,282 | | | | Pro Medicus Ltd.(a) | | | | | 6,693,133 | | |
| | | | | | | Total Australia | | | | | 16,941,669 | | |
| Austria – 0.1% | | ||||||||||||
| | | 47,443 | | | | Erste Group Bank AG | | | | | 1,696,862 | | |
| Bermuda – 0.1% | | ||||||||||||
| | | 164,326 | | | | Hiscox Ltd. | | | | | 2,014,851 | | |
| Brazil – 1.6% | | ||||||||||||
| | | 1,239,538 | | | | Aeris Industria E Comercio de Equipamentos Para Geracao de Energia SA* | | | | | 1,361,821 | | |
| | | 120,778 | | | | Afya Ltd., Class A Shares* | | | | | 1,558,036 | | |
| | | 566,023 | | | | Americanas SA | | | | | 3,309,603 | | |
| | | 300,252 | | | | Azul SA* | | | | | 1,456,908 | | |
| | | 72,639 | | | | Azul SA, ADR* | | | | | 1,061,256 | | |
| | | 1,012,530 | | | | B3 SA – Brasil Bolsa Balcao | | | | | 2,846,990 | | |
| | | 260,156 | | | | Banco Inter SA | | | | | 1,012,570 | | |
| | | 1,182,872 | | | | Hapvida Participacoes e Investimentos SA(b) | | | | | 2,763,340 | | |
| | | 449,907 | | | | Localiza Rent a Car SA | | | | | 4,985,212 | | |
| | | 1,465,443 | | | | Magazine Luiza SA | | | | | 1,690,409 | | |
| | | 301,535 | | | | Rede D’Or Sao Luiz SA(b) | | | | | 2,975,737 | | |
| | | 88,167 | | | | StoneCo Ltd., Class A Shares* | | | | | 990,997 | | |
| | | 1,057,197 | | | | Suzano SA | | | | | 11,287,382 | | |
| | | 186,101 | | | | XP Inc., Class A Shares* | | | | | 6,018,506 | | |
| | | | | | | Total Brazil | | | | | 43,318,767 | | |
| Canada – 3.4% | | ||||||||||||
| | | 71,138 | | | | Agnico Eagle Mines Ltd. | | | | | 3,593,095 | | |
| | | 123,871 | | | | Canadian Pacific Railway Ltd. | | | | | 8,705,654 | | |
| | | 2,317 | | | | Constellation Software Inc. | | | | | 3,904,301 | | |
| | | 26,034 | | | | Definity Financial Corp.*(a) | | | | | 565,778 | | |
| | | 363,000 | | | | Enbridge Inc. | | | | | 15,680,271 | | |
| | | 155,274 | | | | Equitable Group Inc.(a) | | | | | 9,277,000 | | |
| | | 5,612 | | | | Equitable Group Inc. – Sub Rct* | | | | | 328,212 | | |
| | | 94,320 | | | | Franco-Nevada Corp. | | | | | 13,887,963 | | |
| | | 6,400 | | | | Shopify Inc., Class A Shares* | | | | | 4,443,264 | | |
| | | 64,895 | | | | Sun Life Financial Inc. | | | | | 3,412,401 | | |
| | | 419,000 | | | | Suncor Energy Inc. | | | | | 12,810,949 | | |
| | | 80,157 | | | | TELUS International CDA Inc.* | | | | | 1,970,887 | | |
| | | 81,556 | | | | TMX Group Ltd. | | | | | 8,237,304 | | |
| | | 70,802 | | | | Wheaton Precious Metals Corp. | | | | | 3,101,951 | | |
| | | | | | | Total Canada | | | | | 89,919,030 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| China – 7.5% | | ||||||||||||
| | | 169,359 | | | | Alibaba Group Holding Ltd., ADR* | | | | $ | 17,814,873 | | |
| | | 60,098 | | | | Baidu Inc., ADR* | | | | | 9,161,339 | | |
| | | 413,316 | | | | Beijing Oriental Yuhong Waterproof Technology Co., Ltd., Class A Shares(c) | | | | | 2,973,051 | | |
| | | 567,700 | | | | BTG Hotels Group Co., Ltd., Class A Shares*(c) | | | | | 2,277,512 | | |
| | | 1,944,336 | | | | China Conch Venture Holdings Ltd. | | | | | 9,352,761 | | |
| | | 1,091,311 | | | | China Mengniu Dairy Co., Ltd.* | | | | | 7,077,640 | | |
| | | 2,814,757 | | | | China Molybdenum Co., Ltd., Class A Shares(c) | | | | | 2,692,074 | | |
| | | 1,721,430 | | | | China Molybdenum Co., Ltd., Class H Shares(d) | | | | | 1,030,995 | | |
| | | 133,797 | | | | China Tourism Group Duty Free Corp., Ltd, Class A Shares(c) | | | | | 4,321,417 | | |
| | | 1,238,958 | | | | Estun Automation Co., Ltd., Class A Shares(c) | | | | | 4,638,943 | | |
| | | 479,326 | | | | Full Truck Alliance Co., Ltd., ADR* | | | | | 4,419,386 | | |
| | | 52,875 | | | | GDS Holdings Ltd., ADR* | | | | | 2,353,995 | | |
| | | 185,155 | | | | GDS Holdings Ltd., Class A Shares* | | | | | 1,029,310 | | |
| | | 223,550 | | | | Glodon Co., Ltd., Class A Shares(c) | | | | | 1,998,848 | | |
| | | 880,700 | | | | Gree Electric Appliances Inc. of Zhuhai, Class A Shares(c) | | | | | 5,129,600 | | |
| | | 157,095 | | | | Hangzhou Tigermed Consulting Co., Ltd., Class A Shares(c) | | | | | 2,541,144 | | |
| | | 1,069,135 | | | | Han’s Laser Technology Industry Group Co., Ltd., Class A Shares(c) | | | | | 8,251,401 | | |
| | | 617,154 | | | | Hua Hong Semiconductor Ltd.*(b) | | | | | 3,192,824 | | |
| | | 301,450 | | | | JD Health International Inc.*(b) | | | | | 2,233,758 | | |
| | | 53,332 | | | | JD.com Inc., ADR* | | | | | 3,820,171 | | |
| | | 19,389 | | | | JD.com Inc., Class A Shares*(e)@ | | | | | 658,081 | | |
| | | 46,794 | | | | Kanzhun Ltd., ADR* | | | | | 1,511,446 | | |
| | | 1,413,407 | | | | Kingdee International Software Group Co., Ltd.* | | | | | 3,469,267 | | |
| | | 1,397,348 | | | | Kingsoft Corp., Ltd | | | | | 5,170,077 | | |
| | | 12,865 | | | | Kweichow Moutai Co., Ltd., Class A Shares(c) | | | | | 3,655,297 | | |
| | | 616,033 | | | | Midea Group Co., Ltd., Class A Shares(c) | | | | | 6,517,563 | | |
| | | 1,197,211 | | | | NARI Technology Co., Ltd., Class A Shares(c) | | | | | 6,772,330 | | |
| | | 248,020 | | | | SF Holding Co., Ltd., Class A Shares(c) | | | | | 2,379,719 | | |
| | | 398,100 | | | | Shandong Pharmaceutical Glass Co., Ltd., Class A Shares(c) | | | | | 1,977,734 | | |
| | | 280,458 | | | | Shanghai Henlius Biotech Inc., Class H Shares*(a)(b)(d) | | | | | 815,424 | | |
| | | 172,031 | | | | Shanghai Kindly Medical Instruments Co., Ltd., Class H Shares(a)(d) | | | | | 332,543 | | |
| | | 103,500 | | | | Shenzhen Inovance Technology Co., Ltd., Class A Shares(c) | | | | | 1,049,962 | | |
| | | 64,000 | | | | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A Shares(c) | | | | | 3,330,075 | | |
| | | 277,035 | | | | Shenzhou International Group Holdings Ltd. | | | | | 4,649,719 | | |
| | | 391,199 | | | | Tencent Holdings Ltd. | | | | | 21,260,891 | | |
| | | 25,801 | | | | Tencent Holdings Ltd., ADR(a)(c) | | | | | 1,387,836 | | |
| | | 103,732 | | | | Trip.com Group Ltd., ADR* | | | | | 2,678,360 | | |
| | | 878,941 | | | | Venustech Group Inc., Class A Shares(c) | | | | | 3,376,340 | | |
| | | 59,625 | | | | Will Semiconductor Co., Ltd. Shanghai, Class A Shares(c) | | | | | 2,322,970 | | |
| | | 1,282,558 | | | | Winning Health Technology Group Co., Ltd., Class A Shares(c) | | | | | 2,344,821 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| China – (continued) | | ||||||||||||
| | | 585,794 | | | | Wuxi Biologics Cayman Inc.*(b) | | | | $ | 4,861,975 | | |
| | | 702,710 | | | | Yonyou Network Technology Co., Ltd., Class A Shares(c) | | | | | 3,496,648 | | |
| | | 112,336 | | | | Yum China Holdings Inc. | | | | | 5,796,757 | | |
| | | 314,634 | | | | Yunnan Baiyao Group Co., Ltd., Class A Shares(c) | | | | | 4,496,774 | | |
| | | 59,953 | | | | Zai Lab Ltd., ADR* | | | | | 3,279,429 | | |
| | | 617,311 | | | | Zhejiang Dingli Machinery Co., Ltd., Class A Shares(c) | | | | | 5,639,076 | | |
| | | | | | | Total China | | | | | 199,542,156 | | |
| Colombia – 0.5% | | ||||||||||||
| | | 910,243 | | | | Ecopetrol SA, ADR | | | | | 14,718,629 | | |
| Cyprus – 0.0% | | ||||||||||||
| | | 30,870 | | | | TCS Group Holding PLC, GDR(e) | | | | | 225,351 | | |
| Denmark – 0.7% | | ||||||||||||
| | | 43,544 | | | | cBrain AS(a) | | | | | 1,335,908 | | |
| | | 10,552 | | | | Genmab AS* | | | | | 3,535,529 | | |
| | | 27,867 | | | | Jyske Bank AS, Class Registered Shares* | | | | | 1,501,064 | | |
| | | 137,122 | | | | Novozymes AS, Class B Shares | | | | | 8,916,418 | | |
| | | 30,402 | | | | Royal Unibrew AS | | | | | 3,212,502 | | |
| | | 36,952 | | | | Sydbank AS | | | | | 1,200,399 | | |
| | | | | | | Total Denmark | | | | | 19,701,820 | | |
| Egypt – 0.2% | | ||||||||||||
| | | 8,362,955 | | | | Fawry for Banking & Payment Technology Services SAE*(c) | | | | | 5,147,662 | | |
| Finland – 0.6% | | ||||||||||||
| | | 85,490 | | | | Musti Group OYJ* | | | | | 2,246,288 | | |
| | | 209,182 | | | | Sampo OYJ, Class A Shares | | | | | 9,835,371 | | |
| | | 258,333 | | | | Talenom OYJ | | | | | 2,641,546 | | |
| | | 84,852 | | | | Wartsila OYJ Abp | | | | | 941,701 | | |
| | | | | | | Total Finland | | | | | 15,664,906 | | |
| France – 8.9% | | ||||||||||||
| | | 334,185 | | | | Accor SA* | | | | | 11,302,634 | | |
| | | 15,673 | | | | Air Liquide SA | | | | | 2,580,051 | | |
| | | 52,248 | | | | Alstom SA | | | | | 1,320,310 | | |
| | | 70,228 | | | | Aubay | | | | | 3,965,424 | | |
| | | 19,554 | | | | AXA SA | | | | | 525,339 | | |
| | | 20,699 | | | | Compagnie Generale des Etablissements Michelin SCA | | | | | 2,847,472 | | |
| | | 206,065 | | | | Danone SA | | | | | 12,541,828 | | |
| | | 64,582 | | | | Dassault Aviation SA | | | | | 9,634,022 | | |
| | | 127,745 | | | | Dassault Systemes SE | | | | | 6,138,614 | | |
| | | 35,124 | | | | Esker SA | | | | | 8,281,310 | | |
| | | 88,267 | | | | EssilorLuxottica SA | | | | | 15,190,400 | | |
| | | 669,694 | | | | Eutelsat Communications SA | | | | | 7,363,776 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| France – (continued) | | ||||||||||||
| | | 5,041 | | | | Kering SA | | | | $ | 3,537,111 | | |
| | | 136,287 | | | | Legrand SA | | | | | 12,785,077 | | |
| | | 38,226 | | | | L’Oreal SA | | | | | 15,198,891 | | |
| | | 10,439 | | | | LVMH Moet Hennessy Louis Vuitton SE | | | | | 7,572,126 | | |
| | | 78,113 | | | | Pernod Ricard SA | | | | | 16,971,159 | | |
| | | 424,251 | | | | Rexel SA | | | | | 9,248,332 | | |
| | | 72,150 | | | | Safran SA | | | | | 9,086,303 | | |
| | | 101,656 | | | | Sanofi | | | | | 10,666,467 | | |
| | | 128,983 | | | | Schneider Electric SE | | | | | 20,167,894 | | |
| | | 290,440 | | | | Thales SA | | | | | 33,241,679 | | |
| | | 283,824 | | | | Veolia Environnement SA | | | | | 9,798,629 | | |
| | | 88,907 | | | | Vinci SA | | | | | 9,318,211 | | |
| | | | | | | Total France | | | | | 239,283,059 | | |
| Germany – 5.6% | | ||||||||||||
| | | 18,426 | | | | Adesso SE | | | | | 4,175,851 | | |
| | | 15,338 | | | | adidas AG | | | | | 3,645,771 | | |
| | | 46,268 | | | | Atoss Software AG | | | | | 9,044,732 | | |
| | | 51,016 | | | | Bayer AG, Class Registered Shares | | | | | 2,946,637 | | |
| | | 42,790 | | | | Beiersdorf AG | | | | | 4,337,969 | | |
| | | 62,532 | | | | Deutsche Boerse AG | | | | | 10,707,667 | | |
| | | 432,259 | | | | Deutsche Telekom AG | | | | | 7,768,960 | | |
| | | 63,358 | | | | Elmos Semiconductor SE | | | | | 4,169,972 | | |
| | | 112,521 | | | | Evotec SE* | | | | | 3,317,110 | | |
| | | 111,198 | | | | GEA Group AG | | | | | 4,872,240 | | |
| | | 276,327 | | | | Henkel AG & Co. KGaA | | | | | 21,947,476 | | |
| | | 27,381 | | | | Infineon Technologies AG | | | | | 943,832 | | |
| | | 4,598 | | | | KION Group AG | | | | | 372,156 | | |
| | | 66,878 | | | | Knorr-Bremse AG | | | | | 5,897,059 | | |
| | | 25,374 | | | | LEG Immobilien SE | | | | | 3,278,676 | | |
| | | 58,063 | | | | Mensch und Maschine Software SE | | | | | 3,519,937 | | |
| | | 25,351 | | | | MorphoSys AG* | | | | | 703,179 | | |
| | | 135,544 | | | | Nexus AG | | | | | 8,891,547 | | |
| | | 146,851 | | | | Rheinmetall AG | | | | | 21,953,025 | | |
| | | 49,423 | | | | SAP SE | | | | | 5,614,891 | | |
| | | 2,247 | | | | Sartorius AG | | | | | 993,227 | | |
| | | 55,277 | | | | Symrise AG, Class A Shares | | | | | 6,565,461 | | |
| | | 106,260 | | | | TAG Immobilien AG | | | | | 2,736,658 | | |
| | | 107,374 | | | | TeamViewer AG*(b) | | | | | 1,707,751 | | |
| | | 95,041 | | | | Vonovia SE | | | | | 5,057,864 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Germany – (continued) | | ||||||||||||
| | | 61,814 | | | | Zalando SE*(b) | | | | $ | 4,130,367 | | |
| | | | | | | Total Germany | | | | | 149,300,015 | | |
| Greece – 0.1% | | ||||||||||||
| | | 441,808 | | | | Sarantis SA | | | | | 3,590,048 | | |
| Hong Kong – 3.1% | | ||||||||||||
| | | 1,314,219 | | | | AIA Group Ltd. | | | | | 13,664,598 | | |
| | | 6,016,500 | | | | BOC Hong Kong Holdings Ltd. | | | | | 21,604,321 | | |
| | | 1,462,787 | | | | Budweiser Brewing Co. APAC Ltd.(b) | | | | | 4,531,703 | | |
| | | 2,209,500 | | | | CK Infrastructure Holdings Ltd. | | | | | 13,709,391 | | |
| | | 713,126 | | | | Galaxy Entertainment Group Ltd.* | | | | | 3,954,056 | | |
| | | 2,218,700 | | | | Hongkong Land Holdings Ltd. | | | | | 12,011,758 | | |
| | | 629,000 | | | | SJM Holdings Ltd.* | | | | | 352,888 | | |
| | | 3,375,200 | | | | Swire Properties Ltd. | | | | | 8,814,694 | | |
| | | 214,711 | | | | Techtronic Industries Co., Ltd. | | | | | 3,576,583 | | |
| | | | | | | Total Hong Kong | | | | | 82,219,992 | | |
| Hungary – 0.1% | | ||||||||||||
| | | 84,175 | | | | OTP Bank Nyrt* | | | | | 3,241,182 | | |
| India – 6.1% | | ||||||||||||
| | | 278,405 | | | | Aarti Industries Ltd. | | | | | 3,432,789 | | |
| | | 381,375 | | | | Aavas Financiers Ltd.* | | | | | 14,189,623 | | |
| | | 96,750 | | | | Asian Paints Ltd. | | | | | 4,081,775 | | |
| | | 651,647 | | | | Axis Bank Ltd.* | | | | | 6,408,061 | | |
| | | 128,942 | | | | Bajaj Finance Ltd. | | | | | 12,034,069 | | |
| | | 620,667 | | | | Berger Paints India Ltd. | | | | | 5,694,967 | | |
| | | 733,059 | | | | Bharti Airtel Ltd.* | | | | | 6,435,765 | | |
| | | 2,891,104 | | | | City Union Bank Ltd. | | | | | 4,808,807 | | |
| | | 85,488 | | | | Divi’s Laboratories Ltd. | | | | | 4,828,873 | | |
| | | 182,537 | | | | Dr Lal PathLabs Ltd.(b) | | | | | 6,118,113 | | |
| | | 2,144,161 | | | | Edelweiss Financial Services Ltd. | | | | | 1,554,661 | | |
| | | 203,340 | | | | Godrej Consumer Products Ltd.* | | | | | 2,065,530 | | |
| | | 161,922 | | | | Godrej Properties Ltd.* | | | | | 3,243,223 | | |
| | | 235,436 | | | | HDFC Bank Ltd. | | | | | 4,464,785 | | |
| | | 406,254 | | | | Housing Development Finance Corp., Ltd | | | | | 12,780,297 | | |
| | | 456,812 | | | | ICICI Bank Ltd. | | | | | 4,494,272 | | |
| | | 187,208 | | | | ICICI Lombard General Insurance Co., Ltd.(b) | | | | | 3,144,166 | | |
| | | 2,724,766 | | | | JM Financial Ltd. | | | | | 2,450,403 | | |
| | | 65,309 | | | | Jubilant Foodworks Ltd. | | | | | 2,534,416 | | |
| | | 94,807 | | | | Kotak Mahindra Bank Ltd. | | | | | 2,328,124 | | |
| | | 30,490 | | | | Maruti Suzuki India Ltd. | | | | | 3,357,389 | | |
| | | 461,655 | | | | Max Financial Services Ltd.* | | | | | 5,132,325 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| India – (continued) | | ||||||||||||
| | | 245,332 | | | | Muthoot Finance Ltd. | | | | $ | 4,433,974 | | |
| | | 826,819 | | | | Nippon Life India Asset Management Ltd.(b) | | | | | 3,406,254 | | |
| | | 4,022,729 | | | | NTPC Ltd. | | | | | 7,122,257 | | |
| | | 350,643 | | | | Reliance Industries Ltd. | | | | | 10,958,138 | | |
| | | 352,374 | | | | SBI Life Insurance Co., Ltd.(b) | | | | | 4,950,827 | | |
| | | 182,423 | | | | Supreme Industries Ltd. | | | | | 4,927,964 | | |
| | | 326,072 | | | | Tata Communications Ltd. | | | | | 5,114,500 | | |
| | | 256,488 | | | | Tata Consumer Products Ltd. | | | | | 2,453,472 | | |
| | | 83,574 | | | | Titan Co., Ltd. | | | | | 2,832,151 | | |
| | | 510,147 | | | | Zomato Ltd.* | | | | | 545,586 | | |
| | | | | | | Total India | | | | | 162,327,556 | | |
| Indonesia – 1.1% | | ||||||||||||
| | | 25,352,600 | | | | Astra International Tbk PT | | | | | 10,244,622 | | |
| | | 14,718,500 | | | | Bank Central Asia Tbk PT | | | | | 8,323,514 | | |
| | | 17,490,300 | | | | Bank Rakyat Indonesia Persero Tbk PT | | | | | 5,582,780 | | |
| | | 56,632,000 | | | | Sarana Menara Nusantara Tbk PT@ | | | | | 4,082,471 | | |
| | | | | | | Total Indonesia | | | | | 28,233,387 | | |
| Ireland – 1.1% | | ||||||||||||
| | | 5,935 | | | | Accenture PLC, Class A Shares | | | | | 1,875,579 | | |
| | | 137,724 | | | | DCC PLC | | | | | 10,755,408 | | |
| | | 201,360 | | | | Experian PLC | | | | | 7,849,272 | | |
| | | 35,014 | | | | Kerry Group PLC, Class A Shares | | | | | 4,161,688 | | |
| | | 43,949 | | | | Ryanair Holdings PLC, ADR* | | | | | 4,382,155 | | |
| | | | | | | Total Ireland | | | | | 29,024,102 | | |
| Israel – 0.3% | | ||||||||||||
| | | 1,956,527 | | | | Nayax Ltd.* | | | | | 3,959,321 | | |
| | | 5,828 | | | | Nice Ltd., ADR* | | | | | 1,318,585 | | |
| | | 50,430 | | | | Rami Levy Chain Stores Hashikma Marketing 2006 Ltd. | | | | | 4,184,762 | | |
| | | | | | | Total Israel | | | | | 9,462,668 | | |
| Italy – 1.6% | | ||||||||||||
| | | 626,953 | | | | Atlantia SpA* | | | | | 11,525,275 | | |
| | | 505,550 | | | | Banca Mediolanum SpA | | | | | 4,110,554 | | |
| | | 19,209 | | | | DiaSorin SpA | | | | | 2,854,643 | | |
| | | 80,056 | | | | Digital Value SpA* | | | | | 7,289,604 | | |
| | | 170,062 | | | | Ermenegildo Zegna Holditalia SpA* | | | | | 1,644,499 | | |
| | | 168,929 | | | | Gruppo MutuiOnline SpA | | | | | 7,043,853 | | |
| | | 1,533,289 | | | | Snam SpA | | | | | 8,536,987 | | |
| | | | | | | Total Italy | | | | | 43,005,415 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Japan – 14.6% | | ||||||||||||
| | | 342,427 | | | | Avant Corp. | | | | $ | 3,247,738 | | |
| | | 321,200 | | | | Bridgestone Corp. | | | | | 13,265,179 | | |
| | | 223,800 | | | | Chiba Bank Ltd. | | | | | 1,429,318 | | |
| | | 105,000 | | | | Chugai Pharmaceutical Co., Ltd. | | | | | 3,480,461 | | |
| | | 201,900 | | | | Comture Corp. | | | | | 5,194,969 | | |
| | | 92,200 | | | | Cybozu Inc. | | | | | 1,119,090 | | |
| | | 186,500 | | | | Daiichi Sankyo Co., Ltd. | | | | | 4,548,694 | | |
| | | 11,100 | | | | Daikin Industries Ltd. | | | | | 2,059,255 | | |
| | | 330,600 | | | | Direct Marketing MiX Inc. | | | | | 4,620,816 | | |
| | | 19,600 | | | | Disco Corp. | | | | | 5,554,545 | | |
| | | 271,700 | | | | eGuarantee Inc. | | | | | 4,837,423 | | |
| | | 65,200 | | | | Ezaki Glico Co., Ltd. | | | | | 2,232,627 | | |
| | | 73,300 | | | | Freee KK* | | | | | 2,464,958 | | |
| | | 189,100 | | | | Fujitsu General Ltd. | | | | | 4,063,418 | | |
| | | 386,318 | | | | Funai Soken Holdings Inc. | | | | | 7,578,969 | | |
| | | 219,500 | | | | Hachijuni Bank Ltd. | | | | | 839,008 | | |
| | | 14,200 | | | | Hikari Tsushin Inc. | | | | | 1,760,273 | | |
| | | 54,410 | | | | Hirose Electric Co., Ltd. | | | | | 8,159,135 | | |
| | | 361,500 | | | | Honda Motor Co., Ltd. | | | | | 11,030,039 | | |
| | | 42,700 | | | | Hoshizaki Corp. | | | | | 2,976,402 | | |
| | | 46,600 | | | | IR Japan Holdings Ltd. | | | | | 1,687,453 | | |
| | | 111,200 | | | | Ito En Ltd. | | | | | 6,404,197 | | |
| | | 484,800 | | | | Japan Elevator Service Holdings Co., Ltd. | | | | | 6,431,946 | | |
| | | 185,300 | | | | Kansai Paint Co., Ltd. | | | | | 3,715,685 | | |
| | | 161,100 | | | | Kao Corp. | | | | | 7,591,305 | | |
| | | 9,346 | | | | Keyence Corp. | | | | | 4,443,724 | | |
| | | 809,300 | | | | Kirin Holdings Co., Ltd. | | | | | 13,448,739 | | |
| | | 81,500 | | | | Kobayashi Pharmaceutical Co., Ltd. | | | | | 7,037,794 | | |
| | | 388,200 | | | | Komatsu Ltd. | | | | | 8,953,708 | | |
| | | 10,000 | | | | Kose Corp. | | | | | 1,147,345 | | |
| | | 130,900 | | | | Lion Corp. | | | | | 1,716,010 | | |
| | | 369,700 | | | | Mebuki Financial Group Inc. | | | | | 871,290 | | |
| | | 54,500 | | | | MedPeer Inc.*(a) | | | | | 1,535,411 | | |
| | | 401,500 | | | | Mitsui Fudosan Co., Ltd. | | | | | 8,946,755 | | |
| | | 72,900 | | | | Murata Manufacturing Co., Ltd. | | | | | 5,027,565 | | |
| | | 385,100 | | | | Nabtesco Corp. | | | | | 10,644,127 | | |
| | | 90,600 | | | | Nihon Kohden Corp. | | | | | 2,481,110 | | |
| | | 308,900 | | | | Nippon Telegraph & Telephone Corp. | | | | | 8,860,710 | | |
| | | 22,000 | | | | Nissin Foods Holdings Co., Ltd. | | | | | 1,756,374 | | |
| | | 158,600 | | | | Nomura Research Institute Ltd. | | | | | 5,539,207 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Japan – (continued) | | ||||||||||||
| | | 329,000 | | | | North Pacific Bank Ltd. | | | | $ | 731,302 | | |
| | | 189,200 | | | | NTT Data Corp. | | | | | 3,596,188 | | |
| | | 29,400 | | | | Obic Co., Ltd. | | | | | 4,706,809 | | |
| | | 56,600 | | | | Omron Corp. | | | | | 3,841,985 | | |
| | | 660,400 | | | | ORIX Corp. | | | | | 13,156,415 | | |
| | | 229,500 | | | | Otsuka Holdings Co., Ltd. | | | | | 7,933,212 | | |
| | | 211,200 | | | | Outsourcing Inc. | | | | | 2,636,127 | | |
| | | 131,100 | | | | Pan Pacific International Holdings Corp. | | | | | 2,143,059 | | |
| | | 182,300 | | | | Persol Holdings Co., Ltd. | | | | | 4,071,482 | | |
| | | 144,600 | | | | Premium Group Co., Ltd. | | | | | 5,228,125 | | |
| | | 665,006 | | | | Prestige International Inc. | | | | | 4,096,055 | | |
| | | 217,604 | | | | Rakus Co., Ltd. | | | | | 3,694,961 | | |
| | | 180,600 | | | | Rohto Pharmaceutical Co., Ltd. | | | | | 6,072,155 | | |
| | | 281,800 | | | | Santen Pharmaceutical Co., Ltd. | | | | | 3,239,699 | | |
| | | 70,600 | | | | Secom Co., Ltd. | | | | | 5,185,113 | | |
| | | 239,700 | | | | SERAKU Co., Ltd.(a) | | | | | 2,675,898 | | |
| | | 400,300 | | | | Seven & i Holdings Co., Ltd.(a) | | | | | 19,521,649 | | |
| | | 293,700 | | | | Shimadzu Corp. | | | | | 10,536,350 | | |
| | | 19,700 | | | | Shiseido Co., Ltd. | | | | | 1,124,571 | | |
| | | 663,148 | | | | SIGMAXYZ Holdings Inc. | | | | | 12,687,773 | | |
| | | 11,800 | | | | SMC Corp. | | | | | 7,024,107 | | |
| | | 122,338 | | | | SMS Co., Ltd. | | | | | 3,380,030 | | |
| | | 33,200 | | | | Sohgo Security Services Co., Ltd. | | | | | 1,198,681 | | |
| | | 46,900 | | | | Sony Group Corp. | | | | | 4,802,242 | | |
| | | 130,000 | | | | Stanley Electric Co., Ltd. | | | | | 3,098,095 | | |
| | | 215,900 | | | | Strike Co., Ltd. | �� | | | | 8,422,604 | | |
| | | 88,800 | | | | Suzuki Motor Corp. | | | | | 3,546,851 | | |
| | | 2,117,882 | | | | Systena Corp. | | | | | 7,724,931 | | |
| | | 61,200 | | | | Temairazu Inc.(a) | | | | | 2,630,457 | | |
| | | 57,600 | | | | Terumo Corp. | | | | | 1,868,321 | | |
| | | 151,400 | | | | Toyo Suisan Kaisha Ltd. | | | | | 6,388,190 | | |
| | | 183,500 | | | | UT Group Co., Ltd. | | | | | 5,578,602 | | |
| | | 270,900 | | | | ValueCommerce Co., Ltd. | | | | | 8,590,910 | | |
| | | 150,900 | | | | WealthNavi Inc.*(a) | | | | | 2,311,543 | | |
| | | 129,600 | | | | Yokogawa Electric Corp. | | | | | 2,090,794 | | |
| | | 1,226,800 | | | | Z Holdings Corp. | | | | | 6,096,644 | | |
| | | | | | | Total Japan | | | | | 390,334,702 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Jersey, Channel Islands – 0.4% | | ||||||||||||
| | | 1,045,532 | | | | JTC PLC(b) | | | | $ | 10,865,980 | | |
| Malaysia – 0.1% | | ||||||||||||
| | | 6,226,500 | | | | CTOS Digital Bhd | | | | | 2,359,003 | | |
| Mexico – 1.4% | | ||||||||||||
| | | 1,879,100 | | | | Grupo Financiero Banorte SAB de CV, Class O Shares | | | | | 12,753,643 | | |
| | | 987,171 | | | | Grupo Mexico SAB de CV, Class B Shares | | | | | 5,043,220 | | |
| | | 2,122,108 | | | | Qualitas Controladora SAB de CV | | | | | 11,626,825 | | |
| | | 1,936,536 | | | | Wal-Mart de Mexico SAB de CV | | | | | 7,376,001 | | |
| | | | | | | Total Mexico | | | | | 36,799,689 | | |
| Netherlands – 2.9% | | ||||||||||||
| | | 843 | | | | Adyen NV*(b) | | | | | 1,727,134 | | |
| | | 103,459 | | | | Akzo Nobel NV | | | | | 9,830,180 | | |
| | | 20,480 | | | | ASML Holding NV | | | | | 13,501,080 | | |
| | | 47,874 | | | | Euronext NV(b) | | | | | 4,332,701 | | |
| | | 963,456 | | | | ING Groep NV | | | | | 11,253,066 | | |
| | | 388,616 | | | | Koninklijke Philips NV | | | | | 13,222,172 | | |
| | | 18,831 | | | | NXP Semiconductors NV | | | | | 3,580,150 | | |
| | | 205,588 | | | | Prosus NV* | | | | | 12,744,951 | | |
| | | 12,316 | | | | Shop Apotheke Europe NV*(b) | | | | | 1,184,656 | | |
| | | 51,331 | | | | Wolters Kluwer NV | | | | | 5,222,109 | | |
| | | | | | | Total Netherlands | | | | | 76,598,199 | | |
| Norway – 0.6% | | ||||||||||||
| | | 128,987 | | | | Medistim ASA | | | | | 4,289,391 | | |
| | | 917,670 | | | | Orkla ASA | | | | | 8,610,170 | | |
| | | 387,923 | | | | Zaptec AS*(a) | | | | | 2,021,328 | | |
| | | | | | | Total Norway | | | | | 14,920,889 | | |
| Peru – 0.1% | | ||||||||||||
| | | 26,552 | | | | Credicorp Ltd. | | | | | 4,015,990 | | |
| Philippines – 0.4% | | ||||||||||||
| | | 4,668,582 | | | | Ayala Land Inc. | | | | | 3,553,996 | | |
| | | 1,702,284 | | | | BDO Unibank Inc. | | | | | 4,326,534 | | |
| | | 116,380 | | | | SM Investments Corp@ | | | | | 2,030,976 | | |
| | | | | | | Total Philippines | | | | | 9,911,506 | | |
| Poland – 0.3% | | ||||||||||||
| | | 167,209 | | | | Grupa Pracuj SA*(a) | | | | | 2,310,542 | | |
| | | 375,529 | | | | InPost SA* | | | | | 2,318,862 | | |
| | | 101,679 | | | | LiveChat Software SA | | | | | 2,330,771 | | |
| | | | | | | Total Poland | | | | | 6,960,175 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Portugal – 0.4% | | ||||||||||||
| | | 645,653 | | | | Galp Energia SGPS SA | | | | $ | 7,151,362 | | |
| | | 179,012 | | | | Jeronimo Martins SGPS SA | | | | | 3,893,491 | | |
| | | | | | | Total Portugal | | | | | 11,044,853 | | |
| Russia – 0.2% | | ||||||||||||
| | | 70,391 | | | | Fix Price Group Ltd., GDR(c)(e) | | | | | 31,676 | | |
| | | 322,796 | | | | Fix Price Group Ltd., GDR(b)(c)(e) | | | | | 145,258 | | |
| | | 253,963 | | | | HeadHunter Group PLC, ADR(c)(e) | | | | | 1,627,903 | | |
| | | 23,160 | | | | Novatek PJSC, GDR*(c)(e) | | | | | 666,313 | | |
| | | 204 | | | | Novatek PJSC, GDR*(c)(e) | | | | | 5,869 | | |
| | | 102,511 | | | | Ozon Holdings PLC, ADR*(c)(e) | | | | | 631,468 | | |
| | | 12,292 | | | | Polyus PJSC(c)(e) | | | | | 435,045 | | |
| | | 10,724 | | | | Polyus PJSC, GDR(c)(e) | | | | | 431,963 | | |
| | | 25,793 | | | | Sberbank of Russia PJSC, ADR (listed in UK)(c)(e) | | | | | 13,670 | | |
| | | 218,805 | | | | Sberbank of Russia PJSC, ADR (listed in US)(c)(e) | | | | | 115,967 | | |
| | | 44,201 | | | | Yandex NV, Class A Shares*(c)(e) | | | | | 494,167 | | |
| | | | | | | Total Russia | | | | | 4,599,299 | | |
| Singapore – 1.3% | | ||||||||||||
| | | 24,355,400 | | | | Genting Singapore Ltd. | | | | | 13,843,332 | | |
| | | 3,220,500 | | | | Sheng Siong Group Ltd. | | | | | 3,610,980 | | |
| | | 778,100 | | | | United Overseas Bank Ltd. | | | | | 17,184,024 | | |
| | | | | | | Total Singapore | | | | | 34,638,336 | | |
| South Africa – 0.6% | | ||||||||||||
| | | 19,047 | | | | Capitec Bank Holdings Ltd. | | | | | 2,567,701 | | |
| | | 96,989 | | | | Gold Fields Ltd. | | | | | 1,362,594 | | |
| | | 252,433 | | | | Gold Fields Ltd., ADR | | | | | 3,539,111 | | |
| | | 1,361,216 | | | | Investec PLC | | | | | 7,425,589 | | |
| | | | | | | Total South Africa | | | | | 14,894,995 | | |
| South Korea – 3.0% | | ||||||||||||
| | | 44,685 | | | | Hyundai Heavy Industries Co., Ltd.*(a) | | | | | 4,077,893 | | |
| | | 103,663 | | | | Korea Shipbuilding & Offshore Engineering Co., Ltd.* | | | | | 7,614,827 | | |
| | | 93,507 | | | | LEENO Industrial Inc. | | | | | 14,030,382 | | |
| | | 3,704 | | | | LG Household & Health Care Ltd. | | | | | 2,955,078 | | |
| | | 33,344 | | | | NAVER Corp. | | | | | 8,918,791 | | |
| | | 381,720 | | | | NICE Information Service Co., Ltd.*(a) | | | | | 5,911,103 | | |
| | | 595,415 | | | | Samsung Electronics Co., Ltd. | | | | | 35,926,775 | | |
| | | | | | | Total South Korea | | | | | 79,434,849 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Spain – 0.5% | | ||||||||||||
| | | 137,960 | | | | Amadeus IT Group SA* | | | | $ | 9,145,693 | | |
| | | 100,725 | | | | Fluidra SA | | | | | 3,066,371 | | |
| | | | | | | Total Spain | | | | | 12,212,064 | | |
| Sweden – 1.2% | | ||||||||||||
| | | 123,626 | | | | Assa Abloy AB, Class B Shares | | | | | 3,268,045 | | |
| | | 182,702 | | | | Epiroc AB, Class A Shares | | | | | 3,452,695 | | |
| | | 99,725 | | | | Essity AB, Class B Shares | | | | | 2,572,287 | | |
| | | 1,238,960 | | | | Fortnox AB(c) | | | | | 4,887,465 | | |
| | | 70,669 | | | | KNOW IT AB | | | | | 2,326,795 | | |
| | | 38,380 | | | | Olink Holding AB, ADR*(a) | | | | | 655,914 | | |
| | | 92,570 | | | | Svenska Cellulosa AB SCA, Class B Shares | | | | | 1,507,361 | | |
| | | 195,448 | | | | Swedbank AB, Class A Shares | | | | | 3,148,992 | | |
| | | 7,657,068 | | | | VEF AB* | | | | | 3,435,841 | | |
| | | 169,499 | | | | Vitec Software Group AB, Class B Shares | | | | | 7,168,409 | | |
| | | | | | | Total Sweden | | | | | 32,423,804 | | |
| Switzerland – 6.1% | | ||||||||||||
| | | 74,466 | | | | Alcon Inc. | | | | | 5,773,221 | | |
| | | 1,622 | | | | Barry Callebaut AG, Class Registered Shares | | | | | 3,747,724 | | |
| | | 138 | | | | Chocoladefabriken Lindt & Spruengli AG | | | | | 1,455,689 | | |
| | | 46,396 | | | | Cie Financiere Richemont SA, Class Registered Shares | | | | | 6,227,228 | | |
| | | 6,722 | | | | Geberit AG, Class Registered Shares | | | | | 4,359,583 | | |
| | | 4,285 | | | | Givaudan SA, Class Registered Shares | | | | | 17,807,298 | | |
| | | 2,167,989 | | | | Glencore PLC | | | | | 12,678,756 | | |
| | | 412,492 | | | | Julius Baer Group Ltd. | | | | | 23,903,158 | | |
| | | 11,670 | | | | Lonza Group AG, Class Registered Shares | | | | | 8,112,543 | | |
| | | 320,294 | | | | Nestle SA, Class Registered Shares | | | | | 41,821,246 | | |
| | | 1,876 | | | | Partners Group Holding AG | | | | | 2,512,743 | | |
| | | 15,157 | | | | PolyPeptide Group AG*(b) | | | | | 1,341,457 | | |
| | | 27,090 | | | | Roche Holding AG | | | | | 10,336,028 | | |
| | | 25,202 | | | | Schindler Holding AG | | | | | 5,739,267 | | |
| | | 3,208 | | | | SGS SA, Class Registered Shares | | | | | 9,124,828 | | |
| | | 16,991 | | | | Sika AG, Class Registered Shares | | | | | 5,583,582 | | |
| | | 209,767 | | | | UBS Group AG, Class Registered Shares | | | | | 3,848,973 | | |
| | | | | | | Total Switzerland | | | | | 164,373,324 | | |
| Taiwan – 3.5% | | ||||||||||||
| | | 420,029 | | | | Chief Telecom Inc. | | | | | 4,070,641 | | |
| | | 498,000 | | | | Delta Electronics Inc. | | | | | 4,397,461 | | |
| | | 363,137 | | | | M3 Technology Inc. | | | | | 3,261,598 | | |
| | | 292,334 | | | | Poya International Co., Ltd. | | | | | 4,227,025 | | |
| | | 1,123,000 | | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | | | 23,922,907 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Taiwan – (continued) | | ||||||||||||
| | | 378,248 | | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | | $ | 40,476,318 | | |
| | | 244,981 | | | | Voltronic Power Technology Corp. | | | | | 12,806,814 | | |
| | | | | | | Total Taiwan | | | | | 93,162,764 | | |
| Thailand – 0.4% | | ||||||||||||
| | | 2,086,100 | | | | CP ALL PCL, Class F Shares(c) | | | | | 4,336,741 | | |
| | | 5,201,292 | | | | TQM Corp. PCL(c) | | | | | 7,195,306 | | |
| | | | | | | Total Thailand | | | | | 11,532,047 | | |
| United Arab Emirates – 0.1% | | ||||||||||||
| | | 1,138,036 | | | | Network International Holdings PLC*(b)@ | | | | | 3,369,505 | | |
| United Kingdom – 12.0% | | ||||||||||||
| | | 434,559 | | | | Associated British Foods PLC | | | | | 11,096,745 | | |
| | | 166,642 | | | | AstraZeneca PLC, ADR | | | | | 10,145,165 | | |
| | | 1,784,657 | | | | BAE Systems PLC | | | | | 17,169,398 | | |
| | | 2,497,558 | | | | Baltic Classifieds Group PLC* | | | | | 5,150,068 | | |
| | | 953,086 | | | | boohoo Group PLC* | | | | | 1,139,677 | | |
| | | 326,460 | | | | Bridgepoint Group PLC*(b) | | | | | 1,463,204 | | |
| | | 124,922 | | | | Burberry Group PLC | | | | | 3,232,752 | | |
| | | 1,193,491 | | | | Bytes Technology Group PLC | | | | | 7,275,137 | | |
| | | 16,385,504 | | | | Centrica PLC* | | | | | 16,832,577 | | |
| | | 633,727 | | | | Compass Group PLC | | | | | 14,236,503 | | |
| | | 25,197 | | | | Croda International PLC | | | | | 2,523,364 | | |
| | | 238,234 | | | | Deliveroo PLC, Class A Shares*(b) | | | | | 410,663 | | |
| | | 311,360 | | | | Diageo PLC | | | | | 15,453,287 | | |
| | | 976,953 | | | | DiscoverIE Group PLC | | | | | 10,493,906 | | |
| | | 2,758,151 | | | | dotdigital group PLC | | | | | 5,542,868 | | |
| | | 285,079 | | | | FDM Group Holdings PLC | | | | | 3,233,226 | | |
| | | 267,331 | | | | Future PLC | | | | | 9,392,869 | | |
| | | 612,689 | | | | GlaxoSmithKline PLC | | | | | 12,686,234 | | |
| | | 177,472 | | | | Halma PLC | | | | | 5,727,424 | | |
| | | 3,871,009 | | | | HSBC Holdings PLC | | | | | 26,441,423 | | |
| | | 1,526,460 | | | | Ideagen PLC | | | | | 4,584,803 | | |
| | | 360,094 | | | | IMI PLC | | | | | 7,039,090 | | |
| | | 2,125,866 | | | | Informa PLC* | | | | | 16,683,962 | | |
| | | 79,272 | | | | Intertek Group PLC | | | | | 5,689,469 | | |
| | | 4,380,706 | | | | Johnson Service Group PLC* | | | | | 9,266,102 | | |
| | | 1,211,192 | | | | Kin & Carta PLC* | | | | | 4,205,082 | | |
| | | 21,761 | | | | Linde PLC | | | | | 6,360,433 | | |
| | | 108,226 | | | | London Stock Exchange Group PLC | | | | | 9,474,942 | | |
| | | 462,722 | | | | Mortgage Advice Bureau Holdings Ltd.(c) | | | | | 7,127,198 | | |
| | | 68,558 | | | | Ocado Group PLC* | | | | | 1,261,542 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United Kingdom – (continued) | | ||||||||||||
| | | 309,651 | | | | Patisserie Holdings PLC*(c)(e) | | | | $ | 4,155 | | |
| | | 280,904 | | | | Persimmon PLC | | | | | 9,023,730 | | |
| | | 146,508 | | | | Reckitt Benckiser Group PLC | | | | | 12,407,892 | | |
| | | 387,339 | | | | Smith & Nephew PLC | | | | | 6,888,370 | | |
| | | 48,112 | | | | Spectris PLC | | | | | 1,807,489 | | |
| | | 48,097 | | | | Spirax-Sarco Engineering PLC | | | | | 7,656,856 | | |
| | | 82,403 | | | | THG PLC, Class B Shares* | | | | | 115,817 | | |
| | | 134,591 | | | | Unilever PLC@ | | | | | 6,769,724 | | |
| | | 406,399 | | | | WH Smith PLC* | | | | | 8,709,894 | | |
| | | 891,030 | | | | YouGov PLC(c) | | | | | 15,837,979 | | |
| | | | | | | Total United Kingdom | | | | | 320,561,019 | | |
| United States – 2.4% | | ||||||||||||
| | | 20,902 | | | | ACM Research Inc., Class A Shares* | | | | | 1,722,743 | | |
| | | 22,235 | | | | Agilent Technologies Inc. | | | | | 2,898,555 | | |
| | | 58,070 | | | | Analog Devices Inc. | | | | | 9,308,040 | | |
| | | 29,618 | | | | ANSYS Inc.* | | | | | 9,601,860 | | |
| | | 44,635 | | | | Bruker Corp. | | | | | 3,140,965 | | |
| | | 141,773 | | | | Cadence Design Systems Inc.* | | | | | 21,468,685 | | |
| | | 572 | | | | Canva Inc., Private Placement*(c)(e)@ | | | | | 780,780 | | |
| | | 123,673 | | | | Codere Online Luxembourg SA Forward Shares*(c)(e)@ | | | | | 591,157 | | |
| | | 24,735 | | | | Codere Online Luxembourg SA Founders Shares*(c)(e)@ | | | | | 105,371 | | |
| | | 1,830 | | | | Codere Online Luxembourg,SA Private Shares*(c)(e)@ | | | | | 8,747 | | |
| | | 11,662 | | | | Mastercard Inc., Class A Shares | | | | | 4,207,883 | | |
| | | 13,132 | | | | Nordson Corp. | | | | | 2,974,267 | | |
| | | 12,575 | | | | Texas Instruments Inc. | | | | | 2,137,624 | | |
| | | 50,060 | | | | Waste Connections Inc. | | | | | 6,181,909 | | |
| | | | | | | Total United States | | | | | 65,128,586 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $2,169,656,892) | | | | | 2,558,720,705 | | |
| EXCHANGE TRADED FUND (ETF) – 0.9% | | ||||||||||||
| United States – 0.9% | | ||||||||||||
| | | 437,353 | | | | iShares Core MSCI Emerging Markets (Cost – $23,924,015) | | | | | 25,029,712 | | |
| WARRANTS – 0.0% | | ||||||||||||
| Switzerland – 0.0% | | ||||||||||||
| | | 96,408 | | | | Cie Financiere Richemont SA, due 11/22/23, Strike Price CHF 67.00*(c) | | | | | 85,159 | | |
| United States – 0.0% | | ||||||||||||
| | | 915 | | | | Codere Online Luxembourg SA, due 12/30/26, Strike Price $11.50*@ | | | | | 402 | | |
| | | | | | | TOTAL WARRANTS (Cost – $0) | | | | | 85,561 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| RIGHT – 0.0% | | ||||||||||||
| Brazil – 0.0% | | ||||||||||||
| | | 12,251 | | | | Americanas SA*(c)(e) (Cost – $0) | | | | $ | 14,815 | | |
| PREFERRED STOCKS – 0.0% | | ||||||||||||
| United States – 0.0% | | ||||||||||||
| | | 31 | | | | Canva Inc., Series A, Private Placement*(c)(e)@ | | | | | 42,315 | | |
| | | 1 | | | | Canva Inc., Series A-3, Private Placement*(c)(e)@ | | | | | 1,365 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $54,552) | | | | | 43,680 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $2,193,635,459) | | | | | 2,583,894,473 | | |
| Face Amount† | | | Security | | | Value | | | | ||||||||||
| SHORT-TERM INVESTMENTS – 3.3% | | | | ||||||||||||||||
| TIME DEPOSITS – 2.9% | | | | ||||||||||||||||
| | $ | 94,128AUD | | | | ANZ National Bank – Hong Kong, (0.220)% due 3/1/22 | | | | | 68,361 | | | | | ||||
| | | 1,352,446 | | | | Barclays Bank PLC – London, 0.005% due 3/1/22 | | | | | 1,352,446 | | | | | ||||
| | | 74,531GBP | | | | BNP Paribas – Paris, 0.090% due 3/1/22 | | | | | 99,998 | | | | | ||||
| | | 24,383CHF | | | | BNP Paribas SA – Paris, (1.450)% due 3/1/22 | | | | | 26,590 | | | | | ||||
| | | | | | | Brown Brothers Harriman – Grand Cayman: | | | | | | | | | | ||||
| | | 104,215DKK | | | | (0.740)% due 3/1/22 | | | | | 15,711 | | | | | ||||
| | | 1,730,468SEK | | | | (0.300)% due 3/1/22 | | | | | 182,877 | | | | | ||||
| | | 4HKD | | | | 0.005% due 3/1/22 | | | | | — | | | | | ||||
| | | 20NOK | | | | 0.070% due 3/1/22 | | | | | 2 | | | | | ||||
| | | 4NZD | | | | 0.150% due 3/1/22 | | | | | 3 | | | | | ||||
| | | 450,939ZAR | | | | 3.700% due 3/1/22 | | | | | 29,332 | | | | | ||||
| | | 666,583EUR | | | | Citibank – London, (0.780)% due 3/1/22 | | | | | 747,439 | | | | | ||||
| | | 1,235,803HKD | | | | Hong Kong & Shanghai Bank – Hong Kong, 0.005% due 3/1/22 | | | | | 158,137 | | | | | ||||
| | | 772SGD | | | | Hong Kong & Shanghai Bank – Singapore, 0.070% due 3/1/22 | | | | | 570 | | | | | ||||
| | | 155,476CAD | | | | Royal Bank of Canada – Toronto, 0.005% due 3/1/22 | | | | | 122,644 | | | | | ||||
| | | 74,331,335 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 3/1/22 | | | | | 74,331,335 | | | | | ||||
| | | 56,761,960JPY | | | | Sumitomo Mitsui Banking Corp. – Tokyo, (0.340)% due 3/1/22 | | | | | 493,775 | | | | | ||||
| | | | | | | TOTAL TIME DEPOSITS (Cost – $77,629,220) | | | | | 77,629,220 | | | | | ||||
| U.S. GOVERNMENT AGENCY – 0.4% | | | | | | | | ||||||||||||
| | | 10,410,000 | | | | Federal Home Loan Bank (FHLB) Discount Notes, 0.010% due 3/1/22(f) (Cost – $10,410,000) | | | | | 10,410,000 | | | | | ||||
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $88,039,220) | | | | | 88,039,220 | | | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 1.0% | | | | ||||||||||||||||
| MONEY MARKET FUND – 1.0% | | | | | | | | ||||||||||||
| | | 27,311,506 | | | | Federated Government Obligations Fund, Premier Class, 0.025%(g) (Cost – $27,311,506) | | | | $ | 27,311,506 | | | | | ||||
| | | | | | | TOTAL INVESTMENTS – 101.0% (Cost – $2,308,986,185) | | | | | 2,699,245,199 | | | | | ||||
| | | | | | | Liabilities in Excess of Other Assets – (1.0)% | | | | | (27,474,517) | | | | | ||||
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 2,671,770,682 | | | | |
Security | | | First Acquisition Date | | | First Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Canva Inc., Private Placement | | | | | 8/16/21 | | | | | $ | 397,070 | | | | | $ | 780,780 | | | | | | 0.03% | | |
Canva Inc., Series A, Private Placement | | | | | 11/4/21 | | | | | | 52,848 | | | | | | 42,315 | | | | | | 0.00%* | | |
Canva Inc., Series A-3, Private Placement | | | | | 11/4/21 | | | | | | 1,705 | | | | | | 1,365 | | | | | | 0.00%* | | |
Codere Online Luxembourg SA | | | | | 12/3/21 | | | | | | 0 | | | | | | 402 | | | | | | 0.00%* | | |
Codere Online Luxembourg SA Forward Shares | | | | | 6/11/21 | | | | | | 1,236,730 | | | | | | 591,157 | | | | | | 0.02% | | |
Codere Online Luxembourg SA Founders Shares | | | | | 11/29/21 | | | | | | 215 | | | | | | 105,371 | | | | | | 0.00%* | | |
Codere Online Luxembourg,SA Private Shares | | | | | 12/10/22 | | | | | | 18,304 | | | | | | 8,747 | | | | | | 0.00%* | | |
JD.com Inc., Class A Shares | | | | | 1/20/22 | | | | | | 477,667 | | | | | | 658,081 | | | | | | 0.02% | | |
Network International Holdings PLC | | | | | 4/10/19 | | | | | | 1,873,838 | | | | | | 3,369,505 | | | | | | 0.13% | | |
Sarana Menara Nusantara Tbk PT | | | | | 4/3/17 | | | | | | 1,400 | | | | | | 4,082,471 | | | | | | 0.15% | | |
SM Investments Corp | | | | | 5/23/18 | | | | | | 348,872 | | | | | | 2,030,976 | | | | | | 0.08% | | |
Unilever PLC | | | | | 3/12/20 | | | | | | 183,436 | | | | | | 6,769,724 | | | | | | 0.26% | | |
Total | | | | | | | | | | | | | | | | $ | 18,440,894 | | | | | | 0.69% | | |
| Consumer Non-cyclical | | | | | 22.6% | | |
| Financial | | | | | 17.5 | | |
| Industrial | | | | | 15.9 | | |
| Technology | | | | | 13.3 | | |
| Consumer Cyclical | | | | | 8.5 | | |
| Communications | | | | | 7.6 | | |
| Basic Materials | | | | | 5.1 | | |
| Energy | | | | | 2.7 | | |
| Utilities | | | | | 1.6 | | |
| Exchange Traded Funds (ETFs) | | | | | 0.9 | | |
| Short-Term Investments | | | | | 3.3 | | |
| Money Market Fund | | | | | 1.0 | | |
| | | | | | 100.0% | | |
| Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | | ||||||||||||
| 116 | | | EUR 371,084 | | | Erste Group Bank AG | | | | | GSC | | | | | | 6/17/22 | | | | | $ | 48.00 | | | | | $ | (1,839) | | |
| | | | | | | TOTAL OPTION CONTRACTS WRITTEN (Premiums received – $13,267) | | | | | | | | | | | | | | | | | | | | | | $ | (1,839) | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 86.9% | | ||||||||||||
| BASIC MATERIALS – 4.1% | | ||||||||||||
| Chemicals – 2.2% | | ||||||||||||
| | | 12,918 | | | | Air Liquide SA | | | | $ | 2,126,530 | | |
| | | 45,357 | | | | DuPont de Nemours Inc. | | | | | 3,509,271 | | |
| | | 65,674 | | | | Nutrien Ltd. | | | | | 5,647,319 | | |
| | | | | | | Total Chemicals | | | | | 11,283,120 | | |
| Mining – 1.9% | | ||||||||||||
| | | 75,914 | | | | BHP Group Ltd. | | | | | 2,559,876 | | |
| | | 40,500 | | | | Freeport-McMoRan Inc. | | | | | 1,901,475 | | |
| | | 27,250 | | | | Newmont Corp. | | | | | 1,803,950 | | |
| | | 42,550 | | | | Rio Tinto PLC, ADR | | | | | 3,343,579 | | |
| | | | | | | Total Mining | | | | | 9,608,880 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 20,892,000 | | |
| COMMUNICATIONS – 8.1% | | ||||||||||||
| Advertising – 0.7% | | ||||||||||||
| | | 131,000 | | | | Hakuhodo DY Holdings Inc. | | | | | 1,726,133 | | |
| | | 23,715 | | | | Omnicom Group Inc. | | | | | 1,989,451 | | |
| | | | | | | Total Advertising | | | | | 3,715,584 | | |
| Internet – 0.1% | | ||||||||||||
| | | 7,875 | | | | Cogent Communications Holdings Inc. | | | | | 499,275 | | |
| Media – 0.5% | | ||||||||||||
| | | 55,504 | | | | Comcast Corp., Class A Shares | | | | | 2,595,367 | | |
| Telecommunications – 6.8% | | ||||||||||||
| | | 196,934 | | | | AT&T Inc. | | | | | 4,665,366 | | |
| | | 130,300 | | | | BCE Inc. | | | | | 6,842,369 | | |
| | | 83,631 | | | | Cisco Systems Inc. | | | | | 4,664,101 | | |
| | | 24,300 | | | | Corning Inc. | | | | | 981,720 | | |
| | | 45,886 | | | | SK Telecom Co., Ltd. | | | | | 2,086,252 | | |
| | | 75,700 | | | | TELUS Corp. | | | | | 1,910,668 | | |
| | | 123,801 | | | | Verizon Communications Inc. | | | | | 6,644,400 | | |
| | | 3,897,243 | | | | Vodafone Group PLC | | | | | 6,887,971 | | |
| | | | | | | Total Telecommunications | | | | | 34,682,847 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 41,493,073 | | |
| CONSUMER CYCLICAL – 5.6% | | ||||||||||||
| Auto Manufacturers – 0.4% | | ||||||||||||
| | | 44,540 | | | | General Motors Co.* | | | | | 2,080,909 | | |
| Distribution/Wholesale – 0.8% | | ||||||||||||
| | | 91,400 | | | | Mitsui & Co., Ltd. | | | | | 2,283,547 | | |
| | | 7,450 | | | | Watsco Inc. | | | | | 2,034,297 | | |
| | | | | | | Total Distribution/Wholesale | | | | | 4,317,844 | | |
| Home Builders – 0.3% | | ||||||||||||
| | | 38,350 | | | | PulteGroup Inc. | | | | | 1,904,461 | | |
| Home Furnishings – 0.1% | | ||||||||||||
| | | 14,325 | | | | Leggett & Platt Inc. | | | | | 531,171 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Lodging – 0.4% | | ||||||||||||
| | | 50,813 | | | | Las Vegas Sands Corp.* | | | | $ | 2,177,845 | | |
| Retail – 3.0% | | ||||||||||||
| | | 14,800 | | | | Best Buy Co., Inc. | | | | | 1,430,272 | | |
| | | 2,900 | | | | Home Depot Inc. | | | | | 915,907 | | |
| | | 8,650 | | | | Lowe’s Cos., Inc. | | | | | 1,912,169 | | |
| | | 5,875 | | | | McDonald’s Corp. | | | | | 1,438,023 | | |
| | | 1,347,010 | | | | Topsports International Holdings Ltd. | | | | | 1,398,466 | | |
| | | 100,610 | | | | Walgreens Boots Alliance Inc. | | | | | 4,637,115 | | |
| | | 21,918 | | | | Walmart Inc. | | | | | 2,962,437 | | |
| | | | | | | Total Retail | | | | | 14,694,389 | | |
| Toys/Games/Hobbies – 0.6% | | ||||||||||||
| | | 5,895 | | | | Nintendo Co., Ltd. | | | | | 2,980,521 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 28,687,140 | | |
| CONSUMER NON-CYCLICAL – 21.5% | | ||||||||||||
| Agriculture – 3.6% | | ||||||||||||
| | | 203,020 | | | | British American Tobacco PLC | | | | | 8,905,429 | | |
| | | 96,235 | | | | Philip Morris International Inc. | | | | | 9,726,471 | | |
| | | | | | | Total Agriculture | | | | | 18,631,900 | | |
| Beverages – 0.5% | | ||||||||||||
| | | 21,525 | | | | Coca-Cola Co. | | | | | 1,339,716 | | |
| | | 7,400 | | | | PepsiCo Inc. | | | | | 1,211,676 | | |
| | | | | | | Total Beverages | | | | | 2,551,392 | | |
| Biotechnology – 1.8% | | ||||||||||||
| | | 15,290 | | | | Amgen Inc. | | | | | 3,462,879 | | |
| | | 95,875 | | | | Gilead Sciences Inc. | | | | | 5,790,850 | | |
| | | | | | | Total Biotechnology | | | | | 9,253,729 | | |
| Commercial Services – 0.3% | | ||||||||||||
| | | 540 | | | | SGS SA, Class Registered Shares | | | | | 1,535,975 | | |
| Cosmetics/Personal Care – 0.5% | | ||||||||||||
| | | 35,400 | | | | Kao Corp. | | | | | 1,668,108 | | |
| | | 7,925 | | | | Procter & Gamble Co. | | | | | 1,235,428 | | |
| | | | | | | Total Cosmetics/Personal Care | | | | | 2,903,536 | | |
| Food – 2.1% | | ||||||||||||
| | | 99,580 | | | | Conagra Brands Inc. | | | | | 3,482,313 | | |
| | | 48,525 | | | | Flowers Foods Inc. | | | | | 1,330,070 | | |
| | | 58,965 | | | | General Mills Inc. | | | | | 3,976,010 | | |
| | | 23,100 | | | | Kellogg Co. | | | | | 1,477,014 | | |
| | | | | | | Total Food | | | | | 10,265,407 | | |
| Healthcare-Products – 0.5% | | ||||||||||||
| | | 22,039 | | | | Medtronic PLC | | | | | 2,313,875 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Healthcare-Services – 1.2% | | ||||||||||||
| | | 8,860 | | | | Anthem Inc. | | | | $ | 4,003,391 | | |
| | | 35,068 | | | | Fresenius Medical Care AG & Co. KGaA | | | | | 2,245,820 | | |
| | | | | | | Total Healthcare-Services | | | | | 6,249,211 | | |
| Household Products/Wares – 0.7% | | ||||||||||||
| | | 6,950 | | | | Clorox Co. | | | | | 1,013,241 | | |
| | | 20,400 | | | | Kimberly-Clark Corp. | | | | | 2,655,060 | | |
| | | | | | | Total Household Products/Wares | | | | | 3,668,301 | | |
| Pharmaceuticals – 10.3% | | ||||||||||||
| | | 119,442 | | | | AbbVie Inc. | | | | | 17,649,944 | | |
| | | 29,244 | | | | AstraZeneca PLC | | | | | 3,547,505 | | |
| | | 53,350 | | | | AstraZeneca PLC, ADR | | | | | 3,247,948 | | |
| | | 120,931 | | | | Bristol-Myers Squibb Co. | | | | | 8,304,332 | | |
| | | 53,425 | | | | Cardinal Health Inc. | | | | | 2,885,484 | | |
| | | 33,550 | | | | CVS Health Corp. | | | | | 3,477,457 | | |
| | | 101,177 | | | | GlaxoSmithKline PLC | | | | | 2,094,954 | | |
| | | 13,825 | | | | Johnson & Johnson | | | | | 2,275,180 | | |
| | | 78,810 | | | | Merck & Co., Inc. | | | | | 6,035,270 | | |
| | | 60,315 | | | | Pfizer Inc. | | | | | 2,831,186 | | |
| | | 7,005 | | | | Sanofi | | | | | 735,014 | | |
| | | | | | | Total Pharmaceuticals | | | | | 53,084,274 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 110,457,600 | | |
| ENERGY – 10.6% | | ||||||||||||
| Energy-Alternate Sources – 0.2% | | ||||||||||||
| | | 14,525 | | | | NextEra Energy Partners LP | | | | | 1,133,095 | | |
| Oil & Gas – 7.2% | | ||||||||||||
| | | 99,298 | | | | Chevron Corp. | | | | | 14,298,912 | | |
| | | 43,550 | | | | ConocoPhillips | | | | | 4,131,153 | | |
| | | 105,470 | | | | Exxon Mobil Corp. | | | | | 8,270,958 | | |
| | | 13,875 | | | | Pioneer Natural Resources Co. | | | | | 3,324,450 | | |
| | | 90,202 | | | | Shell PLC | | | | | 2,393,226 | | |
| | | 91,030 | | | | TotalEnergies SE | | | | | 4,618,056 | | |
| | | | | | | Total Oil & Gas | | | | | 37,036,755 | | |
| Pipelines – 3.2% | | ||||||||||||
| | | 177,825 | | | | Enbridge Inc. | | | | | 7,681,389 | | |
| | | 161,919 | | | | Enterprise Products Partners LP | | | | | 3,954,062 | | |
| | | 77,951 | | | | TC Energy Corp. | | | | | 4,187,476 | | |
| | | 20,925 | | | | Williams Cos., Inc. | | | | | 654,534 | | |
| | | | | | | Total Pipelines | | | | | 16,477,461 | | |
| | | | | | | TOTAL ENERGY | | | | | 54,647,311 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – 17.2% | | ||||||||||||
| Banks – 8.8% | | ||||||||||||
| | | 171,485 | | | | Bank Leumi Le-Israel BM | | | | $ | 1,859,070 | | |
| | | 21,425 | | | | Canadian Imperial Bank of Commerce | | | | | 2,711,377 | | |
| | | 33,827 | | | | Citigroup Inc. | | | | | 2,003,573 | | |
| | | 61,875 | | | | Citizens Financial Group Inc. | | | | | 3,243,488 | | |
| | | 198,765 | | | | Huntington Bancshares Inc. | | | | | 3,084,833 | | |
| | | 161,704 | | | | ING Groep NV | | | | | 1,888,686 | | |
| | | 37,940 | | | | JPMorgan Chase & Co. | | | | | 5,379,892 | | |
| | | 226,125 | | | | KeyCorp | | | | | 5,668,954 | | |
| | | 27,625 | | | | Morgan Stanley | | | | | 2,506,693 | | |
| | | 276,294 | | | | Nordea Bank Abp | | | | | 3,048,831 | | |
| | | 244,911 | | | | Oversea-Chinese Banking Corp. Ltd. | | | | | 2,110,299 | | |
| | | 16,800 | | | | PNC Financial Services Group Inc. | | | | | 3,347,400 | | |
| | | 37,160 | | | | Truist Financial Corp. | | | | | 2,312,095 | | |
| | | 36,798 | | | | US Bancorp | | | | | 2,080,559 | | |
| | | 70,966 | | | | Wells Fargo & Co. | | | | | 3,787,455 | | |
| | | | | | | Total Banks | | | | | 45,033,205 | | |
| Diversified Financial Services – 2.2% | | ||||||||||||
| | | 26,500 | | | | Amundi SA(a) | | | | | 1,825,625 | | |
| | | 14,375 | | | | CME Group Inc., Class A Shares | | | | | 3,400,119 | | |
| | | 13,424 | | | | Deutsche Boerse AG | | | | | 2,298,659 | | |
| | | 47,325 | | | | Virtu Financial Inc., Class A Shares | | | | | 1,660,161 | | |
| | | 111,948 | | | | Western Union Co. | | | | | 2,035,215 | | |
| | | | | | | Total Diversified Financial Services | | | | | 11,219,779 | | |
| Equity Real Estate Investment Trusts (REITs) – 3.8% | | ||||||||||||
| | | 7,550 | | | | Alexandria Real Estate Equities Inc. | | | | | 1,429,970 | | |
| | | 52,100 | | | | American Campus Communities Inc. | | | | | 2,803,501 | | |
| | | 108,200 | | | | Brixmor Property Group Inc. | | | | | 2,717,984 | | |
| | | 6,650 | | | | Camden Property Trust | | | | | 1,097,981 | | |
| | | 11,800 | | | | Crown Castle International Corp. | | | | | 1,965,762 | | |
| | | 20,025 | | | | Duke Realty Corp. | | | | | 1,061,325 | | |
| | | 14,025 | | | | Equity Residential | | | | | 1,196,333 | | |
| | | 14,025 | | | | MGM Growth Properties LLC, Class A Shares | | | | | 531,127 | | |
| | | 50,887 | | | | National Retail Properties Inc. | | | | | 2,168,295 | | |
| | | 83,620 | | | | Omega Healthcare Investors Inc. | | | | | 2,355,575 | | |
| | | 9,775 | | | | Prologis Inc. | | | | | 1,425,684 | | |
| | | 12,525 | | | | Terreno Realty Corp. | | | | | 861,595 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 19,615,132 | | |
| Insurance – 2.2% | | ||||||||||||
| | | 44,042 | | | | Ageas SA/NV | | | | | 2,116,696 | | |
| | | 8,785 | | | | Allianz SE, Class Registered Shares | | | | | 1,997,530 | | |
| | | 10,857 | | | | Chubb Ltd. | | | | | 2,210,919 | | |
| | | 9,537 | | | | Everest Re Group Ltd. | | | | | 2,844,124 | | |
| | | 4,293 | | | | Zurich Insurance Group AG | | | | | 1,961,852 | | |
| | | | | | | Total Insurance | | | | | 11,131,121 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Investment Companies – 0.2% | | ||||||||||||
| | | 25,234 | | | | SK Square Co., Ltd.*(b) | | | | $ | 1,188,468 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 88,187,705 | | |
| INDUSTRIAL – 6.1% | | ||||||||||||
| Aerospace/Defense – 3.1% | | ||||||||||||
| | | 23,976 | | | | Airbus SE* | | | | | 3,024,546 | | |
| | | 403,726 | | | | BAE Systems PLC | | | | | 3,884,070 | | |
| | | 10,810 | | | | General Dynamics Corp. | | | | | 2,534,404 | | |
| | | 7,725 | | | | Lockheed Martin Corp. | | | | | 3,351,105 | | |
| | | 30,250 | | | | Raytheon Technologies Corp. | | | | | 3,106,675 | | |
| | | | | | | Total Aerospace/Defense | | | | | 15,900,800 | | |
| Machinery-Construction & Mining – 0.6% | | ||||||||||||
| | | 5,775 | | | | Caterpillar Inc. | | | | | 1,083,274 | | |
| | | 86,767 | | | | Sandvik AB | | | | | 1,870,896 | | |
| | | | | | | Total Machinery-Construction & Mining | | | | | 2,954,170 | | |
| Machinery-Diversified – 0.2% | | ||||||||||||
| | | 9,175 | | | | AGCO Corp. | | | | | 1,102,468 | | |
| Miscellaneous Manufacturers – 1.3% | | ||||||||||||
| | | 20,454 | | | | Eaton Corp. PLC | | | | | 3,155,848 | | |
| | | 25,609 | | | | Siemens AG, Class Registered Shares | | | | | 3,637,158 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 6,793,006 | | |
| Packaging & Containers – 0.2% | | ||||||||||||
| | | 83,450 | | | | Amcor PLC | | | | | 970,524 | | |
| Transportation – 0.7% | | ||||||||||||
| | | 72,442 | | | | Deutsche Post AG, Class Registered Shares | | | | | 3,667,930 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 31,388,898 | | |
| TECHNOLOGY – 4.0% | | ||||||||||||
| Computers – 0.4% | | ||||||||||||
| | | 9,876 | | | | Capgemini SE | | | | | 2,078,718 | | |
| Semiconductors – 2.3% | | ||||||||||||
| | | 2,788 | | | | Broadcom Inc. | | | | | 1,637,783 | | |
| | | 31,688 | | | | Intel Corp. | | | | | 1,511,518 | | |
| | | 57,000 | | | | MediaTek Inc. | | | | | 2,260,685 | | |
| | | 7,350 | | | | QUALCOMM Inc. | | | | | 1,264,126 | | |
| | | 40,268 | | | | Samsung Electronics Co., Ltd. | | | | | 2,218,036 | | |
| | | 16,075 | | | | Texas Instruments Inc. | | | | | 2,732,589 | | |
| | | | | | | Total Semiconductors | | | | | 11,624,737 | | |
| Software – 1.3% | | ||||||||||||
| | | 8,863 | | | | Microsoft Corp. | | | | | 2,648,176 | | |
| | | 29,746 | | | | Oracle Corp. | | | | | 2,259,804 | | |
| | | 18,450 | | | | Paychex Inc. | | | | | 2,196,657 | | |
| | | | | | | Total Software | | | | | 7,104,637 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 20,808,092 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| UTILITIES – 9.7% | | ||||||||||||
| Electric – 9.7% | | ||||||||||||
| | | 23,675 | | | | Ameren Corp. | | | | $ | 2,034,866 | | |
| | | 36,455 | | | | American Electric Power Co., Inc. | | | | | 3,304,646 | | |
| | | 106,275 | | | | CenterPoint Energy Inc. | | | | | 2,906,621 | | |
| | | 109,163 | | | | Dominion Energy Inc. | | | | | 8,681,733 | | |
| | | 58,830 | | | | Duke Energy Corp. | | | | | 5,907,120 | | |
| | | 289,463 | | | | Enel SpA | | | | | 2,142,204 | | |
| | | 427,518 | | | | National Grid PLC | | | | | 6,470,167 | | |
| | | 28,150 | | | | NextEra Energy Inc. | | | | | 2,203,301 | | |
| | | 141,125 | | | | PPL Corp. | | | | | 3,693,241 | | |
| | | 53,675 | | | | Public Service Enterprise Group Inc. | | | | | 3,479,750 | | |
| | | 8,800 | | | | Sempra Energy | | | | | 1,269,136 | | |
| | | 100,135 | | | | Southern Co. | | | | | 6,485,744 | | |
| | | 12,275 | | | | WEC Energy Group Inc. | | | | | 1,115,552 | | |
| | | | | | | Total Electric | | | | | 49,694,081 | | |
| | | | | | | TOTAL UTILITIES | | | | | 49,694,081 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $386,421,554) | | | | | 446,255,900 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 9.6% | | ||||||||||||
| | | 408,489 | | | | iShares Core Dividend Growth(b) | | | | | 21,417,078 | | |
| | | 51,729 | | | | iShares Core High Dividend(b) | | | | | 5,334,812 | | |
| | | 380,080 | | | | JPMorgan Equity Premium Income | | | | | 22,751,589 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $41,057,203) | | | | | 49,503,479 | | |
| CONVERTIBLE PREFERRED STOCKS – 1.2% | | ||||||||||||
| TECHNOLOGY – 1.0% | | ||||||||||||
| Semiconductors – 0.7% | | ||||||||||||
| | | 1,838 | | | | Broadcom Inc., 8.000% | | | | | 3,354,515 | | |
| Software – 0.3% | | ||||||||||||
| | | 22,780 | | | | Change Healthcare Inc., 6.000% | | | | | 1,599,612 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 4,954,127 | | |
| UTILITIES – 0.2% | | ||||||||||||
| Electric – 0.2% | | ||||||||||||
| | | 12,989 | | | | Dominion Energy Inc., 7.250% | | | | | 1,287,730 | | |
| | | | | | | TOTAL CONVERTIBLE PREFERRED STOCKS (Cost – $5,153,940) | | | | | 6,241,857 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $432,632,697) | | | | | 502,001,236 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 2.0% | | ||||||||||||
| TIME DEPOSITS – 2.0% | | ||||||||||||
| | $ | 1,586,310 | | | | Banco Bilbao Vizcaya Argentaria SA – Madrid, 0.005% due 3/1/22 | | | | $ | 1,586,310 | | |
| | | 4,220,486 | | | | Barclays Bank PLC – London, 0.005% due 3/1/22 | | | | | 4,220,486 | | |
| | | 820,293 | | | | BNP Paribas – Paris, 0.005% due 3/1/22 | | | | | 820,293 | | |
| | | 45 | | | | Citibank – New York, 0.005% due 3/1/22 | | | | | 45 | | |
| | | 3,751,289 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 3/1/22 | | | | | 3,751,289 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $10,378,423) | | | | | 10,378,423 | | |
| Shares/Units | | | | ||||||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.7% | | ||||||||||||
| MONEY MARKET FUND – 0.7% | | ||||||||||||
| | | 3,345,980 | | | | Federated Government Obligations Fund, Premier Class, 0.025%(c) (Cost – $3,345,980) | | | | $ | 3,345,980 | | |
| | | | | | | TOTAL INVESTMENTS – 100.4% (Cost – $446,357,100) | | | | | 515,725,639 | | |
| | | | | | | Liabilities in Excess of Other Assets – (0.4)% | | | | | (1,931,287) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 513,794,352 | | |
| Consumer Non-cyclical | | | | | 21.4% | | |
| Financial | | | | | 17.1 | | |
| Energy | | | | | 10.6 | | |
| Utilities | | | | | 9.9 | | |
| Communications | | | | | 8.0 | | |
| Industrial | | | | | 6.1 | | |
| Consumer Cyclical | | | | | 5.6 | | |
| Technology | | | | | 5.0 | | |
| Basic Materials | | | | | 4.1 | | |
| Exchange Traded Funds (ETFs) | | | | | 9.6 | | |
| Short-Term Investments | | | | | 2.0 | | |
| Money Market Fund | | | | | 0.6 | | |
| | | | | | 100.0% | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 25.5% | | ||||||||||||
| Basic Materials – 0.4% | | ||||||||||||
| | $ | 255,000 | | | | Air Products & Chemicals Inc., Senior Unsecured Notes, 1.850% due 5/15/27 | | | | $ | 250,354 | | |
| | | 210,000 | | | | Arconic Corp., Secured Notes, 6.125% due 2/15/28(a) | | | | | 214,725 | | |
| | | | | | | ASP Unifrax Holdings Inc.: | | | | | | | |
| | | 135,000 | | | | Senior Secured Notes, 5.250% due 9/30/28(a) | | | | | 129,263 | | |
| | | 10,000 | | | | Senior Unsecured Notes, 7.500% due 9/30/29(a) | | | | | 9,125 | | |
| | | 500,000 | | | | CAP SA, Senior Unsecured Notes, 3.900% due 4/27/31 | | | | | 426,010 | | |
| | | 90,000 | | | | CVR Partners LP/CVR Nitrogen Finance Corp., Senior Secured Notes, 6.125% due 6/15/28(a) | | | | | 90,562 | | |
| | | 75,000 | | | | Diamond BC BV, Company Guaranteed Notes, 4.625% due 10/1/29(a) | | | | | 68,266 | | |
| | | | | | | DuPont de Nemours Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,270,000 | | | | 4.205% due 11/15/23 | | | | | 1,315,374 | | |
| | | 1,280,000 | | | | 4.725% due 11/15/28 | | | | | 1,416,360 | | |
| | | 170,000 | | | | EverArc Escrow SARL, Senior Secured Notes, 5.000% due 10/30/29(a) | | | | | 157,250 | | |
| | | 250,000 | | | | Freeport-McMoRan Inc., Company Guaranteed Notes, 5.450% due 3/15/43 | | | | | 287,537 | | |
| | | 575,000 | | | | Georgia-Pacific LLC, Senior Unsecured Notes, 3.600% due 3/1/25(a) | | | | | 591,725 | | |
| | | 100,000 | | | | Glatfelter Corp., Company Guaranteed Notes, 4.750% due 11/15/29(a) | | | | | 94,912 | | |
| | | | | | | Glencore Funding LLC, Company Guaranteed Notes: | | | | | | | |
| | | 370,000 | | | | 1.625% due 4/27/26(a) | | | | | 351,967 | | |
| | | 265,000 | | | | 3.375% due 9/23/51(a) | | | | | 226,495 | | |
| | | 95,000 | | | | Hexion Inc., Company Guaranteed Notes, 7.875% due 7/15/27(a) | | | | | 100,035 | | |
| | | 130,000 | | | | Illuminate Buyer LLC/Illuminate Holdings IV Inc., Senior Unsecured Notes, 9.000% due 7/1/28(a) | | | | | 137,532 | | |
| | | 215,000 | | | | Kraton Polymers LLC/Kraton Polymers Capital Corp., Company Guaranteed Notes, 4.250% due 12/15/25(a) | | | | | 220,644 | | |
| | | 200,000 | | | | LG Chem Ltd., Senior Unsecured Notes, 2.375% due 7/7/31(a) | | | | | 186,292 | | |
| | | 200,000 | | | | Olympus Water US Holding Corp., Senior Secured Notes, 4.250% due 10/1/28(a) | | | | | 186,520 | | |
| | | 30,000 | | | | SCIH Salt Holdings Inc., Senior Unsecured Notes, 6.625% due 5/1/29(a) | | | | | 28,200 | | |
| | | 130,000 | | | | Sherwin-Williams Co., Senior Unsecured Notes, 2.900% due 3/15/52 | | | | | 111,561 | | |
| | | 45,000 | | | | TMS International Corp., Senior Unsecured Notes, 6.250% due 4/15/29(a) | | | | | 43,270 | | |
| | | 20,000 | | | | Tronox Inc., Company Guaranteed Notes, 4.625% due 3/15/29(a) | | | | | 18,891 | | |
| | | 485,000 | | | | Vale Overseas Ltd., Company Guaranteed Notes, 3.750% due 7/8/30 | | | | | 479,908 | | |
| | | 400,000 | | | | Vedanta Resources Finance II PLC, Company Guaranteed Notes, 9.250% due 4/23/26(a) | | | | | 348,500 | | |
| | | 200,000 | | | | Vedanta Resources Ltd., Senior Unsecured Notes, 6.125% due 8/9/24 | | | | | 166,396 | | |
| | | 145,000 | | | | WR Grace Holdings LLC, Senior Unsecured Notes, 5.625% due 8/15/29(a) | | | | | 138,838 | | |
| | | | | | | Total Basic Materials | | | | | 7,796,512 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – 2.3% | | ||||||||||||
| | $ | 200,000 | | | | Acuris Finance U.S. Inc./Acuris Finance SARL, Senior Secured Notes, 5.000% due 5/1/28(a) | | | | $ | 185,500 | | |
| | | 200,000 | | | | Altice France SA, Senior Secured Notes, 5.500% due 10/15/29(a) | | | | | 183,250 | | |
| | | 50,000 | | | | Arches Buyer Inc., Senior Secured Notes, 4.250% due 6/1/28(a) | | | | | 47,350 | | |
| | | | | | | AT&T Inc., Senior Unsecured Notes: | | | | | | | |
| | | 725,000 | | | | 1.700% due 3/25/26 | | | | | 705,661 | | |
| | | 6,261,000 | | | | 4.350% due 3/1/29 | | | | | 6,805,057 | | |
| | | 225,000 | | | | 2.750% due 6/1/31 | | | | | 218,974 | | |
| | | 635,000 | | | | 2.250% due 2/1/32 | | | | | 586,024 | | |
| | | 1,030,000 | | | | 2.550% due 12/1/33 | | | | | 955,351 | | |
| | | 585,000 | | | | 3.650% due 6/1/51 | | | | | 551,869 | | |
| | | 405,000 | | | | 3.300% due 2/1/52 | | | | | 359,663 | | |
| | | 1,450,000 | | | | 3.500% due 2/1/61 | | | | | 1,277,328 | | |
| | | 135,000 | | | | Avaya Inc., Senior Secured Notes, 6.125% due 9/15/28(a) | | | | | 129,937 | | |
| | | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | | | | |
| | | 265,000 | | | | 4.750% due 3/1/30(a) | | | | | 260,226 | | |
| | | 125,000 | | | | 4.500% due 8/15/30(a) | | | | | 120,385 | | |
| | | 95,000 | | | | 4.750% due 2/1/32(a) | | | | | 92,387 | | |
| | | 85,000 | | | | 4.250% due 1/15/34(a) | | | | | 78,149 | | |
| | | 125,000 | | | | Cengage Learning Inc., Senior Unsecured Notes, 9.500% due 6/15/24(a) | | | | | 125,214 | | |
| | | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | | | | |
| | | 410,000 | | | | 4.908% due 7/23/25 | | | | | 434,613 | | |
| | | 360,000 | | | | 4.200% due 3/15/28 | | | | | 375,407 | | |
| | | 830,000 | | | | 2.300% due 2/1/32 | | | | | 737,088 | | |
| | | 3,965,000 | | | | 6.384% due 10/23/35 | | | | | 4,739,179 | | |
| | | 1,975,000 | | | | 4.800% due 3/1/50 | | | | | 1,931,331 | | |
| | | 165,000 | | | | 3.900% due 6/1/52 | | | | | 143,509 | | |
| | | 100,000 | | | | 4.400% due 12/1/61 | | | | | 89,113 | | |
| | | 195,000 | | | | Ciena Corp., Company Guaranteed Notes, 4.000% due 1/31/30(a) | | | | | 192,040 | | |
| | | | | | | Clear Channel Outdoor Holdings Inc., Company Guaranteed Notes: | | | | | | | |
| | | 15,000 | | | | 7.750% due 4/15/28(a) | | | | | 15,675 | | |
| | | 50,000 | | | | 7.500% due 6/1/29(a) | | | | | 51,958 | | |
| | | | | | | Comcast Corp., Company Guaranteed Notes: | | | | | | | |
| | | 2,055,000 | | | | 3.750% due 4/1/40 | | | | | 2,075,048 | | |
| | | 759,000 | | | | 2.937% due 11/1/56(a) | | | | | 638,829 | | |
| | | 105,000 | | | | CommScope Inc., Senior Secured Notes, 4.750% due 9/1/29(a) | | | | | 97,912 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 85,000 | | | | CommScope Technologies LLC, Company Guaranteed Notes, 5.000% due 3/15/27(a) | | | | $ | 75,791 | | |
| | | 175,000 | | | | Consolidated Communications Inc., Senior Secured Notes, 5.000% due 10/1/28(a) | | | | | 165,812 | | |
| | | 430,000 | | | | Cox Communications Inc., Senior Unsecured Notes, 2.600% due 6/15/31(a) | | | | | 404,894 | | |
| | | 2,766,000 | | | | Crown Castle Towers LLC, Asset Backed, 4.241% due 7/15/28(a) | | | | | 2,922,807 | | |
| | | | | | | CSC Holdings LLC, Senior Unsecured Notes: | | | | | | | |
| | | 295,000 | | | | 5.750% due 1/15/30(a) | | | | | 260,851 | | |
| | | 200,000 | | | | 4.625% due 12/1/30(a) | | | | | 166,675 | | |
| | | | | | | Digicel Group Holdings Ltd.: | | | | | | | |
| | | 55,246 | | | | Senior Unsecured Notes, 8.000% due 4/1/25(a)(b) | | | | | 49,850 | | |
| | | 77,097 | | | | Subordinated Notes, 7.000%(a)(b)(c) | | | | | 63,220 | | |
| | | 110,000 | | | | Directv Financing LLC/Directv Financing Co.-Obligor Inc., Senior Secured Notes, 5.875% due 8/15/27(a) | | | | | 109,963 | | |
| | | | | | | Discovery Communications LLC, Company Guaranteed Notes: | | | | | | | |
| | | 60,000 | | | | 5.300% due 5/15/49 | | | | | 65,121 | | |
| | | 880,000 | | | | 4.650% due 5/15/50 | | | | | 899,595 | | |
| | | | | | | DISH DBS Corp.: | | | |||||
| | | 80,000 | | | | Company Guaranteed Notes, 5.125% due 6/1/29 | | | | | 67,500 | | |
| | | 95,000 | | | | Senior Secured Notes, 5.750% due 12/1/28(a) | | | | | 90,844 | | |
| | | 80,000 | | | | Embarq Corp., Senior Unsecured Notes, 7.995% due 6/1/36 | | | | | 79,000 | | |
| | | 105,000 | | | | Endurance International Group Holdings Inc., Senior Unsecured Notes, 6.000% due 2/15/29(a) | | | | | 85,575 | | |
| | | | | | | Expedia Group Inc., Company Guaranteed Notes: | | | | | | | |
| | | 410,000 | | | | 5.000% due 2/15/26 | | | | | 441,460 | | |
| | | 720,000 | | | | 3.800% due 2/15/28 | | | | | 740,156 | | |
| | | | | | | Frontier Communications Holdings LLC: | | | | | | | |
| | | | | | | Secured Notes: | | | | | | | |
| | | 9,900 | | | | 5.875% due 11/1/29 | | | | | 9,108 | | |
| | | 105,000 | | | | 6.000% due 1/15/30(a) | | | | | 97,808 | | |
| | | | | | | Senior Secured Notes: | | | | | | | |
| | | 45,000 | | | | 5.875% due 10/15/27(a) | | | | | 45,636 | | |
| | | 90,000 | | | | 5.000% due 5/1/28(a) | | | | | 87,368 | | |
| | | 135,000 | | | | GCI LLC, Senior Unsecured Notes, 4.750% due 10/15/28(a) | | | | | 132,504 | | |
| | | 25,000 | | | | iHeartCommunications Inc., Company Guaranteed Notes, 8.375% due 5/1/27 | | | | | 26,042 | | |
| | | 110,000 | | | | Intelsat Jackson Holdings SA, Company Guaranteed Notes, zero coupon, due 8/1/23(d)(f) | | | | | − | | |
| | | 400,000 | | | | KT Corp., Senior Unsecured Notes, 2.500% due 7/18/26 | | | | | 399,422 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 40,000 | | | | Level 3 Financing Inc., Company Guaranteed Notes, 3.750% due 7/15/29(a) | | | | $ | 35,677 | | |
| | | 75,425 | | | | Ligado Networks LLC, Senior Secured Notes, 15.500% due 11/1/23(a)(b) | | | | | 57,889 | | |
| | | 65,000 | | | | LogMeIn Inc., Senior Secured Notes, 5.500% due 9/1/27(a) | | | | | 61,810 | | |
| | | | | | | Lumen Technologies Inc.: | | | | | | | |
| | | 125,000 | | | | Senior Secured Notes, 4.000% due 2/15/27(a) | | | | | 118,946 | | |
| | | 135,000 | | | | Senior Unsecured Notes, 5.125% due 12/15/26(a) | | | | | 125,599 | | |
| | | 65,000 | | | | Match Group Holdings II LLC, Senior Unsecured Notes, 4.625% due 6/1/28(a) | | | | | 65,196 | | |
| | | 125,000 | | | | McGraw-Hill Education Inc., Senior Secured Notes, 5.750% due 8/1/28(a) | | | | | 118,644 | | |
| | | 45,000 | | | | News Corp., Company Guaranteed Notes, 5.125% due 2/15/32(a) | | | | | 46,013 | | |
| | | 1,010,000 | | | | NTT Finance Corp., Company Guaranteed Notes, 1.162% due 4/3/26(a) | | | | | 960,177 | | |
| | | 620,000 | | | | Omnicom Group Inc., Senior Unsecured Notes, 2.450% due 4/30/30 | | | | | 594,363 | | |
| | | 343,000 | | | | Paramount Global, Senior Unsecured Notes, 4.950% due 1/15/31 | | | | | 371,774 | | |
| | | | | | | Radiate Holdco LLC/Radiate Finance Inc.: | | | | | | | |
| | | 110,000 | | | | Senior Secured Notes, 4.500% due 9/15/26(a) | | | | | 105,104 | | |
| | | 40,000 | | | | Senior Unsecured Notes, 6.500% due 9/15/28(a) | | | | | 38,000 | | |
| | | 50,000 | | | | Scripps Escrow II Inc., Senior Secured Notes, 3.875% due 1/15/29(a) | | | | | 46,857 | | |
| | | 170,000 | | | | Scripps Escrow Inc., Company Guaranteed Notes, 5.875% due 7/15/27(a) | | | | | 169,669 | | |
| | | 200,000 | | | | SingTel Group Treasury Pte Ltd., Company Guaranteed Notes, 1.875% due 6/10/30 | | | | | 189,603 | | |
| | | 3,426,000 | | | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes, 5.152% due 3/20/28(a) | | | | | 3,685,089 | | |
| | | 300,000 | | | | Telefonica Moviles Chile SA, Senior Unsecured Notes, 3.537% due 11/18/31(a) | | | | | 280,500 | | |
| | | 55,000 | | | | Telesat Canada/Telesat LLC, Company Guaranteed Notes, 6.500% due 10/15/27(a) | | | | | 27,500 | | |
| | | 55,000 | | | | Terrier Media Buyer Inc., Company Guaranteed Notes, 8.875% due 12/15/27(a) | | | | | 56,375 | | |
| | | | | | | T-Mobile USA Inc.: | | | | | | | |
| | | | | | | Company Guaranteed Notes: | | | | | | | |
| | | 680,000 | | | | 2.250% due 2/15/26 | | | | | 656,200 | | |
| | | 45,000 | | | | 3.375% due 4/15/29 | | | | | 44,037 | | |
| | | 35,000 | | | | 3.375% due 4/15/29(a) | | | | | 34,251 | | |
| | | 40,000 | | | | 2.875% due 2/15/31 | | | | | 37,533 | | |
| | | | | | | Senior Secured Notes: | | | | | | | |
| | | 650,000 | | | | 3.500% due 4/15/25 | | | | | 668,213 | | |
| | | 635,000 | | | | 3.875% due 4/15/30 | | | | | 656,648 | | |
| | | 720,000 | | | | 3.000% due 2/15/41 | | | | | 623,981 | | |
| | | 35,000 | | | | Townsquare Media Inc., Senior Secured Notes, 6.875% due 2/1/26(a) | | | | | 35,700 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | | | | | | Uber Technologies Inc., Company Guaranteed Notes: | | ||||||
| | $ | 70,000 | | | | 7.500% due 9/15/27(a) | | | | $ | 74,813 | | |
| | | 85,000 | | | | 4.500% due 8/15/29(a) | | | | | 81,375 | | |
| | | 75,000 | | | | Univision Communications Inc., Senior Secured Notes, 4.500% due 5/1/29(a) | | | | | 71,789 | | |
| | | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | | | | | |
| | | 9,581,000 | | | | 1.750% due 1/20/31 | | | | | 8,625,625 | | |
| | | 185,000 | | | | 2.850% due 9/3/41 | | | | | 165,508 | | |
| | | 200,000 | | | | VZ Secured Financing BV, Senior Secured Notes, 5.000% due 1/15/32(a) | | | | | 189,500 | | |
| | | 65,000 | | | | Zayo Group Holdings Inc., Senior Unsecured Notes, 6.125% due 3/1/28(a) | | | | | 60,400 | | |
| | | | | | | Total Communications | | | | | 50,871,387 | | |
| Consumer Cyclical – 1.9% | | ||||||||||||
| | | 140,000 | | | | Academy Ltd., Senior Secured Notes, 6.000% due 11/15/27(a) | | | | | 145,782 | | |
| | | 5,000,000 | | | | Advance Auto Parts Inc., Company Guaranteed Notes, 3.900% due 4/15/30 | | | | | 5,169,024 | | |
| | | 70,000 | | | | Air Canada, Senior Secured Notes, 3.875% due 8/15/26(a) | | | | | 67,970 | | |
| | | 95,000 | | | | AMC Entertainment Holdings Inc., Senior Secured Notes, 7.500% due 2/15/29(a) | | | | | 93,551 | | |
| | | 135,000 | | | | American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes, 5.750% due 4/20/29(a) | | | | | 138,013 | | |
| | | 140,000 | | | | American Axle & Manufacturing Inc., Company Guaranteed Notes, 5.000% due 10/1/29 | | | | | 132,763 | | |
| | | 95,000 | | | | Ashton Woods USA LLC/Ashton Woods Finance Co., Senior Unsecured Notes, 4.625% due 4/1/30(a) | | | | | 89,537 | | |
| | | | | | | At Home Group Inc.: | | | | | | | |
| | | 50,000 | | | | Company Guaranteed Notes, 7.125% due 7/15/29(a) | | | | | 44,375 | | |
| | | 25,000 | | | | Senior Secured Notes, 4.875% due 7/15/28(a) | | | | | 23,125 | | |
| | | | | | | AutoZone Inc., Senior Unsecured Notes: | | | | | | | |
| | | 365,000 | | | | 3.625% due 4/15/25 | | | | | 377,646 | | |
| | | 1,702,000 | | | | 1.650% due 1/15/31 | | | | | 1,509,187 | | |
| | | 35,000 | | | | Beacon Roofing Supply Inc., Company Guaranteed Notes, 4.125% due 5/15/29(a) | | | | | 32,637 | | |
| | | 400,000 | | | | Boyne USA Inc., Senior Unsecured Notes, 4.750% due 5/15/29(a) | | | | | 393,000 | | |
| | | 110,000 | | | | Caesars Entertainment Inc., Senior Unsecured Notes, 4.625% due 10/15/29(a) | | | | | 104,362 | | |
| | | 195,000 | | | | Carnival Corp., Senior Unsecured Notes, 5.750% due 3/1/27(a) | | | | | 189,931 | | |
| | | 65,000 | | | | Carvana Co., Company Guaranteed Notes, 5.625% due 10/1/25(a) | | | | | 62,351 | | |
| | | 280,000 | | | | Cedar Fair LP, Company Guaranteed Notes, 5.250% due 7/15/29 | | | | | 279,660 | | |
| | | 115,000 | | | | Century Communities Inc., Company Guaranteed Notes, 6.750% due 6/1/27 | | | | | 118,935 | | |
| | | 36,195 | | | | CWT Travel Group Inc., Senior Secured Notes, 8.500% due 11/19/26(a) | | | | | 36,557 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | | | | | | Dana Inc., Senior Unsecured Notes: | | ||||||
| | $ | 45,000 | | | | 5.375% due 11/15/27 | | | | $ | 45,900 | | |
| | | 20,000 | | | | 4.250% due 9/1/30 | | | | | 19,069 | | |
| | | 135,000 | | | | Dealer Tire LLC/DT Issuer LLC, Senior Unsecured Notes, 8.000% due 2/1/28(a) | | | | | 135,045 | | |
| | | | | | | Dick’s Sporting Goods Inc., Senior Unsecured Notes: | | ||||||
| | | 345,000 | | | | 3.150% due 1/15/32 | | | | | 331,596 | | |
| | | 125,000 | | | | 4.100% due 1/15/52 | | | | | 109,392 | | |
| | | 570,000 | | | | Dollar General Corp., Senior Unsecured Notes, 3.500% due 4/3/30 | | | | | 581,656 | | |
| | | 580,000 | | | | Dollar Tree Inc., Senior Unsecured Notes, 4.000% due 5/15/25 | | | | | 604,506 | | |
| | | 200,000 | | | | eG Global Finance PLC, Senior Secured Notes, 8.500% due 10/30/25(a) | | | | | 202,000 | | |
| | | 100,000 | | | | Everi Holdings Inc., Company Guaranteed Notes, 5.000% due 7/15/29(a) | | | | | 98,060 | | |
| | | 70,000 | | | | Ferrellgas LP/Ferrellgas Finance Corp., Senior Unsecured Notes, 5.375% due 4/1/26(a) | | | | | 65,803 | | |
| | | 155,000 | | | | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Company Guaranteed Notes, 6.750% due 1/15/30(a) | | | | | 147,550 | | |
| | | 300,000 | | | | Ford Motor Co., Senior Unsecured Notes, 3.250% due 2/12/32 | | | | | 283,077 | | |
| | | 985,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 1.741% (3-Month USD-LIBOR + 1.235)% due 2/15/23(e) | | | | | 980,938 | | |
| | | 135,000 | | | | Full House Resorts Inc., Senior Secured Notes, 8.250% due 2/15/28(a) | | | | | 135,337 | | |
| | | 90,000 | | | | Gap Inc., Company Guaranteed Notes, 3.875% due 10/1/31(a) | | | | | 80,657 | | |
| | | | | | | General Motors Financial Co., Inc., Senior Unsecured Notes: | | | | | | | |
| | | 310,000 | | | | 2.400% due 10/15/28 | | | | | 293,248 | | |
| | | 305,000 | | | | 3.100% due 1/12/32 | | | | | 291,098 | | |
| | | 105,000 | | | | Golden Entertainment Inc., Senior Unsecured Notes, 7.625% due 4/15/26(a) | | | | | 107,887 | | |
| | | 150,000 | | | | Goodyear Tire & Rubber Co., Company Guaranteed Notes, 5.250% due 7/15/31(a) | | | | | 145,687 | | |
| | | 150,000 | | | | Group 1 Automotive Inc., Company Guaranteed Notes, 4.000% due 8/15/28(a) | | | | | 144,562 | | |
| | | | | | | Home Depot Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,055,000 | | | | 3.300% due 4/15/40 | | | | | 1,055,420 | | |
| | | 430,000 | | | | 3.900% due 6/15/47 | | | | | 456,521 | | |
| | | 595,000 | | | | Hyundai Capital America, Senior Unsecured Notes, 3.000% due 2/10/27(a) | | | | | 593,942 | | |
| | | 155,000 | | | | Installed Building Products Inc., Company Guaranteed Notes, 5.750% due 2/1/28(a) | | | | | 155,418 | | |
| | | 100,000 | | | | IRB Holding Corp., Senior Secured Notes, 7.000% due 6/15/25(a) | | | | | 104,480 | | |
| | | 100,000 | | | | KAR Auction Services Inc., Company Guaranteed Notes, 5.125% due 6/1/25(a) | | | | | 101,262 | | |
| | | 340,000 | | | | Las Vegas Sands Corp., Senior Unsecured Notes, 3.500% due 8/18/26 | | | | | 330,375 | | |
| | | 70,000 | | | | LBM Acquisition LLC, Company Guaranteed Notes, 6.250% due 1/15/29(a) | | | | | 64,865 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 95,000 | | | | Lions Gate Capital Holdings LLC, Company Guaranteed Notes, 5.500% due 4/15/29(a) | | | | $ | 90,350 | | |
| | | 310,000 | | | | Live Nation Entertainment Inc., Company Guaranteed Notes, 5.625% due 3/15/26(a) | | | | | 315,425 | | |
| | | 130,000 | | | | LSF9 Atlantis Holdings LLC/Victra Finance Corp., Senior Secured Notes, 7.750% due 2/15/26(a) | | | | | 125,125 | | |
| | | 130,000 | | | | M/I Homes Inc., Company Guaranteed Notes, 4.950% due 2/1/28 | | | | | 127,075 | | |
| | | 615,000 | | | | Marriott International Inc., Senior Unsecured Notes, 2.850% due 4/15/31 | | | | | 586,183 | | |
| | | 140,000 | | | | Mattamy Group Corp., Senior Unsecured Notes, 4.625% due 3/1/30(a) | | | | | 131,600 | | |
| | | 580,000 | | | | McDonald’s Corp., Senior Unsecured Notes, 4.200% due 4/1/50 | | | | | 620,042 | | |
| | | | | | | Michaels Cos., Inc.: | | | | | | | |
| | | 115,000 | | | | Senior Secured Notes, 5.250% due 5/1/28(a) | | | | | 107,525 | | |
| | | 40,000 | | | | Senior Unsecured Notes, 7.875% due 5/1/29(a) | | | | | 35,000 | | |
| | | 70,000 | | | | Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., Senior Secured Notes, 4.875% due 5/1/29(a) | | | | | 68,250 | | |
| | | 120,000 | | | | Murphy Oil USA Inc., Company Guaranteed Notes, 4.750% due 9/15/29 | | | | | 120,300 | | |
| | | | | | | NCL Corp., Ltd: | | | | | | | |
| | | 85,000 | | | | Company Guaranteed Notes, 5.875% due 3/15/26(a) | | | | | 81,812 | | |
| | | 95,000 | | | | Senior Secured Notes, 5.875% due 2/15/27(a) | | | | | 95,119 | | |
| | | 220,000 | | | | NCL Corp., Ltd., Senior Unsecured Notes, 3.625% due 12/15/24(a) | | | | | 206,308 | | |
| | | 65,000 | | | | Penn National Gaming Inc., Senior Unsecured Notes, 4.125% due 7/1/29(a) | | | | | 60,125 | | |
| | | 250,000 | | | | PetSmart Inc./PetSmart Finance Corp., Senior Secured Notes, 4.750% due 2/15/28(a) | | | | | 249,375 | | |
| | | | | | | Premier Entertainment Sub LLC/Premier Entertainment Finance Corp., Company Guaranteed Notes: | | | | | | | |
| | | 110,000 | | | | 5.625% due 9/1/29(a) | | | | | 99,773 | | |
| | | 105,000 | | | | 5.875% due 9/1/31(a) | | | | | 94,500 | | |
| | | 35,000 | | | | Real Hero Merger Sub 2 Inc., Senior Unsecured Notes, 6.250% due 2/1/29(a) | | | | | 32,988 | | |
| | | 125,000 | | | | Scientific Games Holdings LP/Scientific Games US FinCo Inc., Senior Unsecured Notes, 6.625% due 3/1/30(a) | | | | | 124,154 | | |
| | | 80,000 | | | | Scientific Games International Inc., Company Guaranteed Notes, 8.250% due 3/15/26(a) | | | | | 83,560 | | |
| | | 155,000 | | | | Scotts Miracle-Gro Co., Company Guaranteed Notes, 4.500% due 10/15/29 | | | | | 149,575 | | |
| | | 280,000 | | | | Six Flags Entertainment Corp., Company Guaranteed Notes, 4.875% due 7/31/24(a) | | | | | 279,779 | | |
| | | 120,000 | | | | Sonic Automotive Inc., Company Guaranteed Notes, 4.625% due 11/15/29(a) | | | | | 113,863 | | |
| | | 6,250,000 | | | | Southwest Airlines Co., Senior Unsecured Notes, 5.125% due 6/15/27 | | | | | 6,928,750 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | | | | | | SRS Distribution Inc.: | | ||||||
| | $ | 110,000 | | | | Company Guaranteed Notes, 6.125% due 7/1/29(a) | | | | $ | 105,101 | | |
| | | 70,000 | | | | Senior Secured Notes, 4.625% due 7/1/28(a) | | | | | 67,113 | | |
| | | | | | | Staples Inc.: | | | | | | | |
| | | 55,000 | | | | Senior Secured Notes, 7.500% due 4/15/26(a) | | | | | 54,379 | | |
| | | 35,000 | | | | Senior Unsecured Notes, 10.750% due 4/15/27(a) | | | | | 32,598 | | |
| | | 305,000 | | | | Starbucks Corp., Senior Unsecured Notes, 3.800% due 8/15/25 | | | | | 319,459 | | |
| | | 70,000 | | | | Station Casinos LLC, Senior Unsecured Notes, 4.625% due 12/1/31(a) | | | | | 65,975 | | |
| | | 4,750,000 | | | | Steelcase Inc., Senior Unsecured Notes, 5.125% due 1/18/29 | | | | | 5,185,042 | | |
| | | 195,000 | | | | Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes, 5.000% due 6/1/31(a) | | | | | 185,250 | | |
| | | 130,000 | | | | Superior Plus LP/Superior General Partner Inc., Company Guaranteed Notes, 4.500% due 3/15/29(a) | | | | | 123,988 | | |
| | | 130,000 | | | | SWF Escrow Issuer Corp., Senior Unsecured Notes, 6.500% due 10/1/29(a) | | | | | 116,529 | | |
| | | 85,000 | | | | Tenneco Inc., Senior Secured Notes, 5.125% due 4/15/29(a) | | | | | 85,213 | | |
| | | 639,804 | | | | United Airlines 2012-1 Class A Pass-Through Trust, Pass-Thru Certificates, 4.150% due 4/11/24 | | | | | 652,595 | | |
| | | 1,972,222 | | | | United Airlines 2016-2 Class B Pass-Through Trust, Pass-Thru Certificates, 3.650% due 10/7/25 | | | | | 1,926,734 | | |
| | | | | | | United Airlines Inc., Senior Secured Notes: | | | | | | | |
| | | 30,000 | | | | 4.375% due 4/15/26(a) | | | | | 29,923 | | |
| | | 105,000 | | | | 4.625% due 4/15/29(a) | | | | | 102,427 | | |
| | | 140,000 | | | | Victoria’s Secret & Co., Company Guaranteed Notes, 4.625% due 7/15/29(a) | | | | | 131,600 | | |
| | | | | | | Viking Cruises Ltd.: | | | | | | | |
| | | 360,000 | | | | Company Guaranteed Notes, 5.875% due 9/15/27(a) | | | | | 335,696 | | |
| | | 50,000 | | | | Senior Secured Notes, 13.000% due 5/15/25(a) | | | | | 55,563 | | |
| | | 5,000,000 | | | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes, 1.250% due 11/24/25(a) | | | | | 4,764,534 | | |
| | | 50,000 | | | | Wheel Pros Inc., Senior Unsecured Notes, 6.500% due 5/15/29(a) | | | | | 45,750 | | |
| | | 140,000 | | | | Wyndham Hotels & Resorts Inc., Company Guaranteed Notes, 4.375% due 8/15/28(a) | | | | | 137,900 | | |
| | | 130,000 | | | | Yum! Brands Inc., Senior Unsecured Notes, 4.750% due 1/15/30(a) | | | | | 131,950 | | |
| | | | | | | Total Consumer Cyclical | | | | | 42,255,632 | | |
| Consumer Non-cyclical – 3.0% | | ||||||||||||
| | | | | | | AbbVie Inc., Senior Unsecured Notes: | | | | | | | |
| | | 570,000 | | | | 3.850% due 6/15/24 | | | | | 589,393 | | |
| | | 145,000 | | | | 2.950% due 11/21/26 | | | | | 147,624 | | |
| | | 105,000 | | | | 3.200% due 11/21/29 | | | | | 106,340 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 5,120,000 | | | | 4.550% due 3/15/35 | | | | $ | 5,639,288 | | |
| | | 1,330,000 | | | | 4.250% due 11/21/49 | | | | | 1,414,232 | | |
| | | 294,000 | | | | Adani International Container Terminal Pvt Ltd., Senior Secured Notes, 3.000% due 2/16/31(a) | | | | | 272,988 | | |
| | | | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 200,000 | | | | 4.000% due 7/30/27 | | | | | 198,384 | | |
| | | 200,000 | | | | 4.375% due 7/3/29 | | | | | 196,197 | | |
| | | 135,000 | | | | AdaptHealth LLC, Company Guaranteed Notes, 5.125% due 3/1/30(a) | | | | | 124,537 | | |
| | | 40,000 | | | | Air Methods Corp., Senior Unsecured Notes, 8.000% due 5/15/25(a) | | | | | 33,200 | | |
| | | 1,465,000 | | | | Alcon Finance Corp., Company Guaranteed Notes, 2.750% due 9/23/26(a) | | | | | 1,471,116 | | |
| | | | | | | Allied Universal Holdco LLC/Allied Universal Finance Corp.: | | | | | | | |
| | | 130,000 | | | | Senior Secured Notes, 6.625% due 7/15/26(a) | | | | | 133,159 | | |
| | | 170,000 | | | | Senior Unsecured Notes, 9.750% due 7/15/27(a) | | | | | 177,650 | | |
| | | 195,000 | | | | Altria Group Inc., Company Guaranteed Notes, 3.875% due 9/16/46 | | | | | 167,574 | | |
| | | | | | | Amgen Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,130,000 | | | | 2.000% due 1/15/32 | | | | | 1,045,763 | | |
| | | 170,000 | | | | 3.350% due 2/22/32 | | | | | 174,110 | | |
| | | 35,000 | | | | 4.200% due 2/22/52 | | | | | 36,689 | | |
| | | 3,500,000 | | | | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes, 4.900% due 2/1/46 | | | | | 3,954,866 | | |
| | | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | | | | |
| | | 80,000 | | | | 4.439% due 10/6/48 | | | | | 85,600 | | |
| | | 535,000 | | | | 5.550% due 1/23/49 | | | | | 662,442 | | |
| | | 1,010,000 | | | | 4.750% due 4/15/58 | | | | | 1,116,352 | | |
| | | | | | | Anthem Inc., Senior Unsecured Notes: | | | | | | | |
| | | 585,000 | | | | 3.300% due 1/15/23 | | | | | 593,911 | | |
| | | 780,000 | | | | 3.500% due 8/15/24 | | | | | 802,053 | | |
| | | 175,000 | | | | 5.100% due 1/15/44 | | | | | 207,763 | | |
| | | 115,000 | | | | APi Escrow Corp., Company Guaranteed Notes, 4.750% due 10/15/29(a) | | | | | 108,675 | | |
| | | 90,000 | | | | APi Group DE Inc., Company Guaranteed Notes, 4.125% due 7/15/29(a) | | | | | 82,928 | | |
| | | | | | | Astrazeneca Finance LLC, Company Guaranteed Notes: | | | | | | | |
| | | 1,010,000 | | | | 1.200% due 5/28/26 | | | | | 967,922 | | |
| | | 690,000 | | | | 1.750% due 5/28/28 | | | | | 659,590 | | |
| | | 85,000 | | | | B&G Foods Inc., Company Guaranteed Notes, 5.250% due 9/15/27 | | | | | 84,753 | | |
| | | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | | | | |
| | | 475,000 | | | | 2.259% due 3/25/28 | | | | | 443,397 | | |
| | | 650,000 | | | | 3.462% due 9/6/29 | | | | | 638,522 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 635,000 | | | | 2.726% due 3/25/31 | | | | $ | 581,951 | | |
| | | 705,000 | | | | BAT International Finance PLC, Company Guaranteed Notes, 1.668% due 3/25/26 | | | | | 669,520 | | |
| | | | | | | Bausch Health Cos., Inc.: | | | | | | | |
| | | | | | | Senior Secured Notes: | | | | | | | |
| | | 45,000 | | | | 6.125% due 2/1/27(a) | | | | | 45,369 | | |
| | | 90,000 | | | | 4.875% due 6/1/28(a) | | | | | 86,451 | | |
| | | 60,000 | | | | Company Guaranteed Notes, 6.250% due 2/15/29(a) | | | | | 51,160 | | |
| | | 900,000 | | | | Baxter International Inc., Senior Unsecured Notes, 2.272% due 12/1/28(a) | | | | | 867,415 | | |
| | | 210,000 | | | | Bayer US Finance II LLC, Company Guaranteed Notes, 4.250% due 12/15/25(a) | | | | | 220,540 | | |
| | | 1,615,000 | | | | Boston Scientific Corp., Senior Unsecured Notes, 3.750% due 3/1/26 | | | | | 1,686,209 | | |
| | | | | | | Bristol-Myers Squibb Co., Senior Unsecured Notes: | | | | | | | |
| | | 71,000 | | | | 2.900% due 7/26/24 | | | | | 72,652 | | |
| | | 780,000 | | | | 0.750% due 11/13/25 | | | | | 740,925 | | |
| | | 230,000 | | | | 2.950% due 3/15/32 | | | | | 232,979 | | |
| | | 1,050,000 | | | | 3.550% due 3/15/42 | | | | | 1,069,739 | | |
| | | 460,000 | | | | 2.550% due 11/13/50 | | | | | 389,240 | | |
| | | 340,000 | | | | Bunge Ltd. Finance Corp., Company Guaranteed Notes, 2.750% due 5/14/31 | | | | | 323,599 | | |
| | | 575,000 | | | | Cargill Inc., Senior Unsecured Notes, 2.125% due 11/10/31(a) | | | | | 541,878 | | |
| | | 80,000 | | | | Catalent Pharma Solutions Inc., Company Guaranteed Notes, 3.500% due 4/1/30(a) | | | | | 74,472 | | |
| | | | | | | Centene Corp., Senior Unsecured Notes: | | | | | | | |
| | | 80,000 | | | | 3.000% due 10/15/30 | | | | | 76,256 | | |
| | | 545,000 | | | | 2.500% due 3/1/31 | | | | | 501,806 | | |
| | | 70,000 | | | | 2.625% due 8/1/31 | | | | | 64,544 | | |
| | | | | | | CHS/Community Health Systems Inc.: | | | | | | | |
| | | | | | | Senior Secured Notes: | | | | | | | |
| | | 95,000 | | | | 6.000% due 1/15/29(a) | | | | | 95,119 | | |
| | | 85,000 | | | | 4.750% due 2/15/31(a) | | | | | 80,006 | | |
| | | 125,000 | | | | Secured Notes, 6.875% due 4/15/29(a) | | | | | 121,212 | | |
| | | | | | | Cigna Corp.: | | | | | | | |
| | | 280,000 | | | | Company Guaranteed Notes, 3.050% due 10/15/27 | | | | | 285,741 | | |
| | | 1,235,000 | | | | Senior Unsecured Notes, 1.250% due 3/15/26 | | | | | 1,181,419 | | |
| | | 325,000 | | | | CommonSpirit Health, Senior Secured Notes, 2.760% due 10/1/24 | | | | | 327,813 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | | | | | | Constellation Brands Inc.: | | ||||||
| | | | | | | Company Guaranteed Notes: | | | | | | | |
| | $ | 165,000 | | | | 3.600% due 2/15/28 | | | | $ | 169,961 | | |
| | | 280,000 | | | | 3.150% due 8/1/29 | | | | | 280,143 | | |
| | | 310,000 | | | | Senior Unsecured Notes, 2.875% due 5/1/30 | | | | | 302,441 | | |
| | | | | | | Coty Inc.: | | | | | | | |
| | | 55,000 | | | | Company Guaranteed Notes, 6.500% due 4/15/26(a) | | | | | 56,127 | | |
| | | 95,000 | | | | Senior Secured Notes, 5.000% due 4/15/26(a) | | | | | 95,579 | | |
| | | | | | | CVS Health Corp., Senior Unsecured Notes: | | ||||||
| | | 947,000 | | | | 4.780% due 3/25/38 | | | | | 1,058,995 | | |
| | | 515,000 | | | | 2.700% due 8/21/40 | | | | | 449,539 | | |
| | | 885,000 | | | | 5.050% due 3/25/48 | | | | | 1,033,385 | | |
| | | | | | | CVS Pass-Through Trust: | | | | | | | |
| | | 1,186,604 | | | | Pass-Thru Certificates, 6.943% due 1/10/30 | | | | | 1,370,748 | | |
| | | 1,351,257 | | | | Senior Secured Notes, 6.036% due 12/10/28 | | | | | 1,478,377 | | |
| | | 85,000 | | | | DaVita Inc., Company Guaranteed Notes, 4.625% due 6/1/30(a) | | | | | 81,494 | | |
| | | 1,040,000 | | | | Diageo Capital PLC, Company Guaranteed Notes, 2.000% due 4/29/30 | | | | | 980,580 | | |
| | | 90,000 | | | | Emergent BioSolutions Inc., Company Guaranteed Notes, 3.875% due 8/15/28(a) | | | | | 80,506 | | |
| | | | | | | Encompass Health Corp., Company Guaranteed Notes: | | | | | | | |
| | | 65,000 | | | | 4.500% due 2/1/28 | | | | | 63,279 | | |
| | | 20,000 | | | | 4.750% due 2/1/30 | | | | | 19,098 | | |
| | | 165,000 | | | | 4.625% due 4/1/31 | | | | | 155,763 | | |
| | | 110,000 | | | | Endo Luxembourg Finance Co. I SARL/Endo US Inc., Senior Secured Notes, 6.125% due 4/1/29(a) | | | | | 103,400 | | |
| | | 235,000 | | | | Estee Lauder Cos., Inc., Senior Unsecured Notes, 2.600% due 4/15/30 | | | | | 233,237 | | |
| | | | | | | Garda World Security Corp.: | | | | | | | |
| | | 220,000 | | | | Senior Secured Notes, 4.625% due 2/15/27(a) | | | | | 213,125 | | |
| | | 100,000 | | | | Senior Unsecured Notes, 6.000% due 6/1/29(a) | | | | | 90,750 | | |
| | | | | | | Gilead Sciences Inc., Senior Unsecured Notes: | | | | | | | |
| | | 170,000 | | | | 2.500% due 9/1/23 | | | | | 171,727 | | |
| | | 820,000 | | | | 1.650% due 10/1/30 | | | | | 742,958 | | |
| | | | | | | Global Payments Inc., Senior Unsecured Notes: | | | | | | | |
| | | 205,000 | | | | 2.150% due 1/15/27 | | | | | 197,777 | | |
| | | 110,000 | | | | 3.200% due 8/15/29 | | | | | 108,582 | | |
| | | 795,000 | | | | 2.900% due 5/15/30 | | | | | 764,916 | | |
| | | 240,000 | | | | Grifols Escrow Issuer SA, Senior Unsecured Notes, 4.750% due 10/15/28(a) | | | | | 226,800 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | | | | | | HCA Inc., Senior Secured Notes: | | ||||||
| | $ | 290,000 | | | | 4.125% due 6/15/29 | | | | $ | 303,938 | | |
| | | 265,000 | | | | 5.125% due 6/15/39 | | | | | 295,328 | | |
| | | 85,000 | | | | Hertz Corp., Company Guaranteed Notes, 5.000% due 12/1/29(a) | | | | | 79,288 | | |
| | | 160,000 | | | | H-Food Holdings LLC/Hearthside Finance Co., Inc., Senior Unsecured Notes, 8.500% due 6/1/26(a) | | | | | 156,400 | | |
| | | 75,000 | | | | Hormel Foods Corp., Senior Unsecured Notes, 1.700% due 6/3/28 | | | | | 71,615 | | |
| | | 350,000 | | | | Humana Inc., Senior Unsecured Notes, 2.150% due 2/3/32 | | | | | 321,584 | | |
| | | 735,000 | | | | JBS Finance Luxembourg SARL, Company Guaranteed Notes, 2.500% due 1/15/27(a) | | | | | 690,907 | | |
| | | 435,000 | | | | Johnson & Johnson, Senior Unsecured Notes, 3.550% due 3/1/36 | | | | | 467,531 | | |
| | | | | | | Kaiser Foundation Hospitals, Unsecured Notes: | | | | | | | |
| | | 255,000 | | | | 2.810% due 6/1/41 | | | | | 235,709 | | |
| | | 420,000 | | | | 3.002% due 6/1/51 | | | | | 389,306 | | |
| | | | | | | Kraft Heinz Foods Co., Company Guaranteed Notes: | | | | | | | |
| | | 109,000 | | | | 5.000% due 7/15/35 | | | | | 122,489 | | |
| | | 4,167,000 | | | | 4.625% due 10/1/39 | | | | | 4,448,272 | | |
| | | 420,000 | | | | 5.200% due 7/15/45 | | | | | 473,899 | | |
| | | | | | | Kronos Acquisition Holdings Inc./KIK Custom Products Inc.: | | | | | | | |
| | | 115,000 | | | | Company Guaranteed Notes, 7.000% due 12/31/27(a) | | | | | 97,313 | | |
| | | 215,000 | | | | Senior Secured Notes, 5.000% due 12/31/26(a) | | | | | 194,037 | | |
| | | 145,000 | | | | Legacy LifePoint Health LLC, Senior Secured Notes, 4.375% due 2/15/27(a) | | | | | 137,387 | | |
| | | 75,000 | | | | Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer Inc., Senior Secured Notes, 5.000% due 2/1/26(a) | | | | | 73,500 | | |
| | | 105,000 | | | | LifePoint Health Inc., Company Guaranteed Notes, 5.375% due 1/15/29(a) | | | | | 98,721 | | |
| | | | | | | Merck & Co., Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,940,000 | | | | 2.150% due 12/10/31 | | | | | 1,853,191 | | |
| | | 135,000 | | | | 2.750% due 12/10/51 | | | | | 120,326 | | |
| | | 155,000 | | | | Metis Merger Sub LLC, Senior Unsecured Notes, 6.500% due 5/15/29(a) | | | | | 144,150 | | |
| | | 135,000 | | | | ModivCare Escrow Issuer Inc., Senior Unsecured Notes, 5.000% due 10/1/29(a) | | | | | 127,089 | | |
| | | 725,000 | | | | Mondelez International Inc., Senior Unsecured Notes, 1.500% due 2/4/31 | | | | | 646,120 | | |
| | | 155,000 | | | | Mozart Debt Merger Sub Inc., Senior Unsecured Notes, 5.250% due 10/1/29(a) | | | | | 148,025 | | |
| | | 60,000 | | | | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 5.750% due 11/1/28(a) | | | | | 54,150 | | |
| | | 25,000 | | | | NESCO Holdings II Inc., Secured Notes, 5.500% due 4/15/29(a) | | | | | 24,031 | | |
| | | 110,000 | | | | Option Care Health Inc., Company Guaranteed Notes, 4.375% due 10/31/29(a) | | | | | 106,150 | | |
| | | 200,000 | | | | Organon & Co./Organon Foreign Debt Co.-Issuer BV, Senior Unsecured Notes, 5.125% due 4/30/31(a) | | | | | 199,654 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | | | | | | Ortho-Clinical Diagnostics Inc./Ortho-Clinical Diagnostics SA, Senior Unsecured Notes: | | ||||||
| | $ | 17,000 | | | | 7.375% due 6/1/25(a) | | | | $ | 17,556 | | |
| | | 129,000 | | | | 7.250% due 2/1/28(a) | | | | | 134,805 | | |
| | | 70,000 | | | | PECF USS Intermediate Holding III Corp., Senior Unsecured Notes, 8.000% due 11/15/29(a) | | | | | 68,250 | | |
| | | | | | | Performance Food Group Inc., Company Guaranteed Notes: | | | | | | | |
| | | 100,000 | | | | 5.500% due 10/15/27(a) | | | | | 101,750 | | |
| | | 80,000 | | | | 4.250% due 8/1/29(a) | | | | | 76,320 | | |
| | | | | | | Post Holdings Inc., Company Guaranteed Notes: | | | | | | | |
| | | 45,000 | | | | 5.500% due 12/15/29(a) | | | | | 45,377 | | |
| | | 150,000 | | | | 4.625% due 4/15/30(a) | | | | | 141,219 | | |
| | | 125,000 | | | | Prime Security Services Borrower LLC/Prime Finance Inc., Secured Notes, 6.250% due 1/15/28(a) | | | | | 120,625 | | |
| | | 70,000 | | | | Primo Water Holdings Inc., Company Guaranteed Notes, 4.375% due 4/30/29(a) | | | | | 65,195 | | |
| | | 645,000 | | | | Quanta Services Inc., Senior Unsecured Notes, 2.350% due 1/15/32 | | | | | 585,489 | | |
| | | 320,000 | | | | Quest Diagnostics Inc., Senior Unsecured Notes, 2.800% due 6/30/31 | | | | | 310,478 | | |
| | | 160,000 | | | | Radiology Partners Inc., Company Guaranteed Notes, 9.250% due 2/1/28(a) | | | | | 159,600 | | |
| | | 70,000 | | | | Rent-A-Center Inc., Company Guaranteed Notes, 6.375% due 2/15/29(a) | | | | | 67,025 | | |
| | | | | | | Royalty Pharma PLC, Company Guaranteed Notes: | | | | | | | |
| | | 1,255,000 | | | | 2.200% due 9/2/30 | | | | | 1,138,748 | | |
| | | 705,000 | | | | 3.300% due 9/2/40 | | | | | 623,766 | | |
| | | 190,000 | | | | RP Escrow Issuer LLC, Senior Secured Notes, 5.250% due 12/15/25(a) | | | | | 185,725 | | |
| | | 75,000 | | | | Sabre GLBL Inc., Senior Secured Notes, 9.250% due 4/15/25(a) | | | | | 84,582 | | |
| | | 220,000 | | | | SEG Holding LLC/SEG Finance Corp., Senior Secured Notes, 5.625% due 10/15/28(a) | | | | | 226,600 | | |
| | | 305,000 | | | | Select Medical Corp., Company Guaranteed Notes, 6.250% due 8/15/26(a) | | | | | 309,003 | | |
| | | | | | | Smithfield Foods Inc.: | | | | | | | |
| | | 455,000 | | | | Company Guaranteed Notes, 4.250% due 2/1/27(a) | | | | | 473,767 | | |
| | | 115,000 | | | | Senior Unsecured Notes, 3.000% due 10/15/30(a) | | | | | 109,009 | | |
| | | 130,000 | | | | Spectrum Brands Inc., Company Guaranteed Notes, 5.000% due 10/1/29(a) | | | | | 128,375 | | |
| | | 310,000 | | | | Sutter Health, Unsecured Notes, 3.361% due 8/15/50 | | | | | 295,750 | | |
| | | | | | | Sysco Corp., Company Guaranteed Notes: | | | | | | | |
| | | 295,000 | | | | 3.250% due 7/15/27 | | | | | 303,575 | | |
| | | 325,000 | | | | 3.300% due 2/15/50 | | | | | 291,570 | | |
| | | 200,000 | | | | Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes, 2.050% due 3/31/30 | | | | | 185,546 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | | | | | | Tenet Healthcare Corp.: | | ||||||
| | $ | 255,000 | | | | Company Guaranteed Notes, 6.125% due 10/1/28(a) | | | | $ | 258,315 | | |
| | | 200,000 | | | | Secured Notes, 6.250% due 2/1/27(a) | | | | | 205,690 | | |
| | | 150,000 | | | | Senior Secured Notes, 4.250% due 6/1/29(a) | | | | | 144,780 | | |
| | | 625,000 | | | | Thermo Fisher Scientific Inc., Senior Unsecured Notes, 1.215% due 10/18/24 | | | | | 610,468 | | |
| | | 595,000 | | | | Triton Container International Ltd./TAL International Container Corp., Company Guaranteed Notes, 3.250% due 3/15/32 | | | | | 569,736 | | |
| | | 155,000 | | | | Triton Water Holdings Inc., Senior Unsecured Notes, 6.250% due 4/1/29(a) | | | | | 142,814 | | |
| | | 135,000 | | | | United Natural Foods Inc., Company Guaranteed Notes, 6.750% due 10/15/28(a) | | | | | 139,556 | | |
| | | 15,000 | | | | United Rentals North America Inc., Company Guaranteed Notes, 5.250% due 1/15/30 | | | | | 15,600 | | |
| | | | | | | UnitedHealth Group Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,270,000 | | | | 2.375% due 8/15/24 | | | | | 1,286,876 | | |
| | | 70,000 | | | | 3.500% due 8/15/39 | | | | | 71,528 | | |
| | | | | | | US Foods Inc., Company Guaranteed Notes: | | | | | | | |
| | | 75,000 | | | | 4.750% due 2/15/29(a) | | | | | 74,190 | | |
| | | 75,000 | | | | 4.625% due 6/1/30(a) | | | | | 72,928 | | |
| | | | | | | Viatris Inc., Company Guaranteed Notes: | | ||||||
| | | 185,000 | | | | 1.650% due 6/22/25 | | | | | 178,736 | | |
| | | 305,000 | | | | 3.850% due 6/22/40 | | | | | 285,901 | | |
| | | 145,000 | | | | Vizient Inc., Senior Unsecured Notes, 6.250% due 5/15/27(a) | | | | | 150,256 | | |
| | | 120,000 | | | | WASH Multifamily Acquisition Inc., Senior Secured Notes, 5.750% due 4/15/26(a) | | | | | 120,959 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 65,912,468 | | |
| Energy – 2.4% | | ||||||||||||
| | | 65,000 | | | | Aethon United BR LP/Aethon United Finance Corp., Senior Unsecured Notes, 8.250% due 2/15/26(a) | | | | | 68,841 | | |
| | | 250,000 | | | | AI Candelaria Spain SA, Senior Secured Notes, 5.750% due 6/15/33(a) | | | | | 216,750 | | |
| | | 105,000 | | | | Antero Midstream Partners LP/Antero Midstream Finance Corp., Company Guaranteed Notes, 5.750% due 3/1/27(a) | | | | | 106,947 | | |
| | | 70,000 | | | | Antero Resources Corp., Company Guaranteed Notes, 5.375% due 3/1/30(a) | | | | | 71,312 | | |
| | | | | | | Apache Corp., Senior Unsecured Notes: | | | | | | | |
| | | 70,000 | | | | 4.625% due 11/15/25 | | | | | 72,275 | | |
| | | 135,000 | | | | 4.375% due 10/15/28 | | | | | 136,687 | | |
| | | 500,000 | | | | BG Energy Capital PLC, Company Guaranteed Notes, 5.125% due 10/15/41(a) | | | | | 598,490 | | |
| | | 55,000 | | | | Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Unsecured Notes, 7.625% due 12/15/25(a) | | | | | 57,819 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | | | | | | BP Capital Markets America Inc., Company Guaranteed Notes: | | ||||||
| | $ | 375,000 | | | | 3.633% due 4/6/30 | | | | $ | 390,337 | | |
| | | 240,000 | | | | 2.721% due 1/12/32 | | | | | 229,915 | | |
| | | 45,000 | | | | 3.060% due 6/17/41 | | | | | 40,340 | | |
| | | 695,000 | | | | 2.939% due 6/4/51 | | | | | 584,585 | | |
| | | 730,000 | | | | 3.001% due 3/17/52 | | | | | 620,454 | | |
| | | 455,000 | | | | 3.379% due 2/8/61 | | | | | 400,792 | | |
| | | 5,250,000 | | | | Cenovus Energy Inc., Senior Unsecured Notes, 4.250% due 4/15/27 | | | | | 5,551,794 | | |
| | | 85,000 | | | | Chesapeake Energy Corp., Company Guaranteed Notes, 5.875% due 2/1/29(a) | | | | | 87,975 | | |
| | | 175,000 | | | | CNX Midstream Partners LP, Company Guaranteed Notes, 4.750% due 4/15/30(a) | | | | | 169,094 | | |
| | | 90,000 | | | | CNX Resources Corp., Company Guaranteed Notes, 6.000% due 1/15/29(a) | | | | | 91,908 | | |
| | | 300,000 | | | | ConocoPhillips Co., Company Guaranteed Notes, 3.800% due 3/15/52 | | | | | 304,707 | | |
| | | 215,000 | | | | Continental Resources Inc., Company Guaranteed Notes, 2.268% due 11/15/26(a) | | | | | 204,852 | | |
| | | 250,000 | | | | CQP Holdco LP/BIP-V Chinook Holdco LLC, Senior Secured Notes, 5.500% due 6/15/31(a) | | | | | 248,750 | | |
| | | | | | | Ecopetrol SA, Senior Unsecured Notes: | | | | | | | |
| | | 100,000 | | | | 4.625% due 11/2/31 | | | | | 89,600 | | |
| | | 100,000 | | | | 5.875% due 5/28/45 | | | | | 87,125 | | |
| | | 550,000 | | | | 5.875% due 11/2/51 | | | | | 460,218 | | |
| | | 158,480 | | | | Empresa Electrica Cochrane SpA, Senior Secured Notes, 5.500% due 5/14/27 | | | | | 155,510 | | |
| | | | | | | Energy Transfer LP: | | | | | | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 285,000 | | | | 4.750% due 1/15/26 | | | | | 302,639 | | |
| | | 330,000 | | | | 3.900% due 7/15/26 | | | | | 341,801 | | |
| | | 1,260,000 | | | | 4.900% due 3/15/35 | | | | | 1,315,998 | | |
| | | 1,683,000 | | | | 5.950% due 10/1/43 | | | | | 1,860,577 | | |
| | | 630,000 | | | | 6.250% due 4/15/49 | | | | | 727,518 | | |
| | | 285,000 | | | | Company Guaranteed Notes, 5.000% due 5/15/44 | | | | | 284,096 | | |
| | | | | | | Enterprise Products Operating LLC, Company Guaranteed Notes: | | | | | | | |
| | | 585,000 | | | | 3.750% due 2/15/25 | | | | | 608,055 | | |
| | | 6,000,000 | | | | 4.150% due 10/16/28 | | | | | 6,468,011 | | |
| | | 820,000 | | | | 4.800% due 2/1/49 | | | | | 893,511 | | |
| | | 110,000 | | | | 3.300% due 2/15/53 | | | | | 96,384 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | | | | | | EQM Midstream Partners LP, Senior Unsecured Notes: | | ||||||
| | $ | 50,000 | | | | 6.500% due 7/1/27(a) | | | | $ | 52,294 | | |
| | | 85,000 | | | | 4.750% due 1/15/31(a) | | | | | 79,687 | | |
| | | 80,000 | | | | EQT Corp., Senior Unsecured Notes, 7.500% due 2/1/30 | | | | | 95,421 | | |
| | | 630,000 | | | | Equinor ASA, Company Guaranteed Notes, 3.700% due 4/6/50 | | | | | 654,867 | | |
| | | 95,000 | | | | Exterran Energy Solutions LP/EES Finance Corp., Company Guaranteed Notes, 8.125% due 5/1/25 | | | | | 95,372 | | |
| | | | | | | Exxon Mobil Corp., Senior Unsecured Notes: | | | | | | | |
| | | 405,000 | | | | 2.992% due 3/19/25 | | | | | 415,824 | | |
| | | 570,000 | | | | 4.227% due 3/19/40 | | | | | 627,550 | | |
| | | | | | | Galaxy Pipeline Assets Bidco Ltd., Senior Secured Notes: | | | | | | | |
| | | 400,000 | | | | 2.160% due 3/31/34(a) | | | | | 371,844 | | |
| | | 700,000 | | | | 2.940% due 9/30/40(a) | | | | | 643,729 | | |
| | | 250,000 | | | | 2.940% due 9/30/40 | | | | | 229,903 | | |
| | | 200,000 | | | | Gran Tierra Energy Inc., Company Guaranteed Notes, 7.750% due 5/23/27(a) | | | | | 181,500 | | |
| | | 400,000 | | | | Gran Tierra Energy International Holdings Ltd., Company Guaranteed Notes, 6.250% due 2/15/25 | | | | | 363,184 | | |
| | | | | | | Gulfport Energy Corp., Company Guaranteed Notes: | | | | | | | |
| | | 175,000 | | | | 6.375% due 5/15/25(d) | | | | | 18 | | |
| | | 81,000 | | | | 8.000% due 5/17/26(a) | | | | | 85,657 | | |
| | | 2,277 | | | | 8.000% due 5/17/26 | | | | | 2,408 | | |
| | | | | | | Halliburton Co., Senior Unsecured Notes: | | | | | | | |
| | | 305,000 | | | | 2.920% due 3/1/30 | | | | | 299,786 | | |
| | | 235,000 | | | | 4.850% due 11/15/35 | | | | | 258,896 | | |
| | | 295,000 | | | | Hess Corp., Senior Unsecured Notes, 7.300% due 8/15/31 | | | | | 374,096 | | |
| | | | | | | Hess Midstream Operations LP, Company Guaranteed Notes: | | | | | | | |
�� | | | 160,000 | | | | 5.625% due 2/15/26(a) | | | | | 164,000 | | |
| | | 145,000 | | | | 5.125% due 6/15/28(a) | | | | | 148,094 | | |
| | | 165,000 | | | | 4.250% due 2/15/30(a) | | | | | 159,278 | | |
| | | 190,000 | | | | Hilcorp Energy I LP/Hilcorp Finance Co., Senior Unsecured Notes, 6.250% due 11/1/28(a) | | | | | 193,675 | | |
| | | 560,000 | | | | Marathon Petroleum Corp., Senior Unsecured Notes, 4.700% due 5/1/25 | | | | | 594,763 | | |
| | | | | | | MEG Energy Corp., Company Guaranteed Notes: | | | | | | | |
| | | 175,000 | | | | 7.125% due 2/1/27(a) | | | | | 182,551 | | |
| | | 20,000 | | | | 5.875% due 2/1/29(a) | | | | | 20,218 | | |
| | | 120,000 | | | | Moss Creek Resources Holdings Inc., Company Guaranteed Notes, 7.500% due 1/15/26(a) | | | | | 106,200 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | | | | | | MPLX LP, Senior Unsecured Notes: | | ||||||
| | $ | 305,000 | | | | 1.750% due 3/1/26 | | | | $ | 292,310 | | |
| | | 315,000 | | | | 4.125% due 3/1/27 | | | | | 331,257 | | |
| | | 210,000 | | | | 4.000% due 3/15/28 | | | | | 218,997 | | |
| | | 60,000 | | | | Nabors Industries Inc., Company Guaranteed Notes, 7.375% due 5/15/27(a) | | | | | 61,950 | | |
| | | 140,000 | | | | NGL Energy Operating LLC/NGL Energy Finance Corp., Senior Secured Notes, 7.500% due 2/1/26(a) | | | | | 140,577 | | |
| | | 85,000 | | | | NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes, 7.500% due 4/15/26 | | | | | 73,525 | | |
| | | 265,000 | | | | NuStar Logistics LP, Company Guaranteed Notes, 6.000% due 6/1/26 | | | | | 269,240 | | |
| | | 125,000 | | | | Oasis Petroleum Inc., Company Guaranteed Notes, 6.375% due 6/1/26(a) | | | | | 127,187 | | |
| | | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | | | | | | |
| | | 95,000 | | | | 8.000% due 7/15/25 | | | | | 107,485 | | |
| | | 225,000 | | | | 6.625% due 9/1/30 | | | | | 261,825 | | |
| | | 205,000 | | | | 6.125% due 1/1/31 | | | | | 233,106 | | |
| | | 45,000 | | | | 6.450% due 9/15/36 | | | | | 52,988 | | |
| | | 45,000 | | | | 6.600% due 3/15/46 | | | | | 53,775 | | |
| | | 200,000 | | | | Oleoducto Central SA, Senior Unsecured Notes, 4.000% due 7/14/27 | | | | | 188,502 | | |
| | | 140,000 | | | | Par Petroleum LLC/Par Petroleum Finance Corp., Senior Secured Notes, 7.750% due 12/15/25(a) | | | | | 141,400 | | |
| | | | | | | Parkland Corp., Company Guaranteed Notes: | | | |||||
| | | 95,000 | | | | 4.500% due 10/1/29(a) | | | | | 89,577 | | |
| | | 70,000 | | | | 4.625% due 5/1/30(a) | | | | | 66,238 | | |
| | | 40,000 | | | | PBF Holding Co. LLC/PBF Finance Corp., Company Guaranteed Notes, 6.000% due 2/15/28 | | | | | 29,265 | | |
| | | 60,363 | | | | Peabody Energy Corp., Senior Secured Notes, 8.500% due 12/31/24(a)(b) | | | | | 63,381 | | |
| | | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | | | | | |
| | | 500,000 | | | | 6.750% due 6/3/50 | | | | | 484,700 | | |
| | | 100,000 | | | | 5.500% due 6/10/51 | | | | | 85,335 | | |
| | | 150,000 | | | | Petroleos Mexicanos, Company Guaranteed Notes, 6.750% due 9/21/47 | | | | | 124,605 | | |
| | | 65,000 | | | | PIC AU Holdings LLC/PIC AU Holdings Corp., Senior Secured Notes, 10.000% due 12/31/24(a) | | | | | 66,950 | | |
| | | 375,000 | | | | Pioneer Natural Resources Co., Senior Unsecured Notes, 1.125% due 1/15/26 | | | | | 356,308 | | |
| | | | | | | Qatar Energy, Senior Unsecured Notes: | | | | | | | |
| | | 955,000 | | | | 2.250% due 7/12/31(a) | | | | | 899,572 | | |
| | | 500,000 | | | | 2.250% due 7/12/31 | | | | | 470,980 | | |
| | | 110,000 | | | | Rattler Midstream LP, Company Guaranteed Notes, 5.625% due 7/15/25(a) | | | | | 111,925 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | | | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes: | | | |||||
| | $ | 435,000 | | | | 5.000% due 3/15/27 | | | | $ | 471,969 | | |
| | | 200,000 | | | | 4.500% due 5/15/30 | | | | | 215,758 | | |
| | | 6,030,000 | | | | Schlumberger Investment SA, Company Guaranteed Notes, 2.650% due 6/26/30 | | | | | 5,854,825 | | |
| | | | | | | Shell International Finance BV, Company Guaranteed Notes: | | ||||||
| | | 600,000 | | | | 3.250% due 4/6/50 | | | | | 574,649 | | |
| | | 365,000 | | | | 3.000% due 11/26/51 | | | | | 332,378 | | |
| | | | | | | Southwestern Energy Co., Company Guaranteed Notes: | | | |||||
| | | 85,000 | | | | 5.375% due 2/1/29 | | | | | 87,445 | | |
| | | 95,000 | | | | 4.750% due 2/1/32 | | | | | 94,470 | | |
| | | 105,000 | | | | SunCoke Energy Inc., Senior Secured Notes, 4.875% due 6/30/29(a) | | | | | 100,693 | | |
| | | | | | | Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes: | | | |||||
| | | 105,000 | | | | 6.000% due 4/15/27 | | | | | 108,385 | | |
| | | 55,000 | | | | 4.500% due 5/15/29 | | | | | 52,707 | | |
| | | 190,000 | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes, 4.875% due 2/1/31 | | | | | 195,318 | | |
| | | 6,275,000 | | | | Tennessee Gas Pipeline Co. LLC, Company Guaranteed Notes, 2.900% due 3/1/30(a) | | | | | 6,017,050 | | |
| | | 600,000 | | | | TotalEnergies Capital International SA, Company Guaranteed Notes, 3.386% due 6/29/60 | | | | | 555,586 | | |
| | | | | | | TransCanada PipeLines Ltd., Senior Unsecured Notes: | | | |||||
| | | 485,000 | | | | 1.000% due 10/12/24 | | | | | 469,708 | | |
| | | 480,000 | | | | 2.500% due 10/12/31 | | | | | 448,417 | | |
| | | 50,000 | | | | Transocean Inc., Company Guaranteed Notes, 11.500% due 1/30/27(a) | | | | | 50,000 | | |
| | | 281,250 | | | | Transocean Poseidon Ltd., Senior Secured Notes, 6.875% due 2/1/27(a) | | | | | 274,624 | | |
| | | 336,671 | | | | UEP Penonome II SA, Senior Secured Notes, 6.500% due 10/1/38(a) | | | | | 350,141 | | |
| | | 325,000 | | | | USA Compression Partners LP/USA Compression Finance Corp., Company Guaranteed Notes, 6.875% due 9/1/27 | | | | | 325,228 | | |
| | | | | | | Valero Energy Corp., Senior Unsecured Notes: | | | |||||
| | | 101,000 | | | | 2.850% due 4/15/25 | | | | | 101,740 | | |
| | | 100,000 | | | | 4.000% due 6/1/52 | | | | | 95,408 | | |
| | | 130,000 | | | | Venture Global Calcasieu Pass LLC, Senior Secured Notes, 4.125% due 8/15/31(a) | | | | | 128,700 | | |
| | | 125,000 | | | | Viper Energy Partners LP, Company Guaranteed Notes, 5.375% due 11/1/27(a) | | | | | 128,250 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | | | | | | Weatherford International Ltd.: | | | |||||
| | | | | | | Company Guaranteed Notes: | | | |||||
| | $ | 96,000 | | | | 11.000% due 12/1/24(a) | | | | $ | 99,360 | | |
| | | 50,000 | | | | 8.625% due 4/30/30(a) | | | | | 50,750 | | |
| | | 55,000 | | | | Senior Secured Notes, 6.500% due 9/15/28(a) | | | | | 56,939 | | |
| | | | | | | Western Midstream Operating LP, Senior Unsecured Notes: | | | |||||
| | | 150,000 | | | | 3.600% due 2/1/25 | | | | | 150,375 | | |
| | | 155,000 | | | | 4.550% due 2/1/30 | | | | | 159,427 | | |
| | | 285,000 | | | | Williams Cos., Inc., Senior Unsecured Notes, 3.750% due 6/15/27 | | | | | 297,080 | | |
| | | | | | | Total Energy | | | | | 53,596,822 | | |
| Financial – 10.1% | | ||||||||||||
| | | | | | | Acrisure LLC/Acrisure Finance Inc.: | | | |||||
| | | 95,000 | | | | Senior Secured Notes, 4.250% due 2/15/29(a) | | | | | 89,300 | | |
| | | 80,000 | | | | Senior Unsecured Notes, 6.000% due 8/1/29(a) | | | | | 72,126 | | |
| | | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | | | |||||
| | | 980,000 | | | | 4.500% due 9/15/23 | | | | | 1,009,458 | | |
| | | 4,195,000 | | | | 1.650% due 10/29/24 | | | | | 4,071,242 | | |
| | | 1,000,000 | | | | 3.300% due 1/30/32 | | | | | 949,376 | | |
| | | 590,000 | | | | Air Lease Corp., Senior Unsecured Notes, 3.250% due 3/1/25 | | | | | 593,485 | | |
| | | 835,000 | | | | Alexandria Real Estate Equities Inc., Company Guaranteed Notes, 1.875% due 2/1/33 | | | | | 738,170 | | |
| | | 135,000 | | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer, Senior Unsecured Notes, 6.750% due 10/15/27(a) | | | | | 131,962 | | |
| | | | | | | American Express Co., Senior Unsecured Notes: | | | |||||
| | | 515,000 | | | | 4.200% due 11/6/25 | | | | | 547,353 | | |
| | | 5,020,000 | | | | 0.700% (SOFRRATE + 0.650)% due 11/4/26(e) | | | | | 5,071,453 | | |
| | | 1,575,000 | | | | American International Group Inc., Senior Unsecured Notes, 2.500% due 6/30/25 | | | | | 1,581,952 | | |
| | | | | | | American Tower Corp., Senior Unsecured Notes: | | | |||||
| | | 435,000 | | | | 1.450% due 9/15/26 | | | | | 412,204 | | |
| | | 3,980,000 | | | | 3.950% due 3/15/29 | | | | | 4,124,288 | | |
| | | 3,700,000 | | | | American Tower Trust #1, Asset Backed, 3.070% due 3/15/23(a) | | | | | 3,708,339 | | |
| | | 180,000 | | | | AmWINS Group Inc., Senior Unsecured Notes, 4.875% due 6/30/29(a) | | | | | 171,450 | | |
| | | | | | | Aon Corp./Aon Global Holdings PLC, Company Guaranteed Notes: | | | |||||
| | | 80,000 | | | | 2.850% due 5/28/27 | | | | | 80,560 | | |
| | | 225,000 | | | | 3.900% due 2/28/52 | | | | | 225,928 | | |
| | | 625,000 | | | | Ares Capital Corp., Senior Unsecured Notes, 2.875% due 6/15/27 | | | | | 596,600 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | AssuredPartners Inc., Senior Unsecured Notes: | | | |||||
| | $ | 160,000 | | | | 7.000% due 8/15/25(a) | | | | $ | 158,400 | | |
| | | 25,000 | | | | 5.625% due 1/15/29(a) | | | | | 22,995 | | |
| | | 800,000 | | | | Athene Global Funding, Secured Notes, 2.646% due 10/4/31(a) | | | | | 749,616 | | |
| | | 690,000 | | | | Athene Holding Ltd., Senior Unsecured Notes, 3.950% due 5/25/51 | | | | | 658,335 | | |
| | | | | | | Avolon Holdings Funding Ltd.: | | | |||||
| | | 215,000 | | | | Company Guaranteed Notes, 3.250% due 2/15/27(a) | | | | | 210,973 | | |
| | | 405,000 | | | | Senior Unsecured Notes, 2.125% due 2/21/26(a) | | | | | 391,488 | | |
| | | 200,000 | | | | Banco Davivienda SA, Junior Subordinated Notes, 6.650% (5-Year CMT Index + 5.097)%(a)(c)(e) | | | | | 188,916 | | |
| | | 200,000 | | | | Banco do Estado do Rio Grande do Sul SA, Subordinated Notes, 5.375% (5-Year CMT Index + 4.928)% due 1/28/31(a)(e) | | | | | 192,600 | | |
| | | 150,000 | | | | Banco Internacional del Peru SAA Interbank, Subordinated Notes, 4.000% (1-Year CMT Index + 3.711)% due 7/8/30(e) | | | | | 144,000 | | |
| | | 650,000 | | | | Banco Macro SA, Subordinated Notes, 6.643% (5-Year USD Swap Rate + 5.463)% due 11/4/26(e) | | | | | 542,750 | | |
| | | 400,000 | | | | Banco Mercantil del Norte SA, Junior Subordinated Notes, 7.625% (5-Year CMT Index + 5.353)%(c)(e) | | | | | 392,220 | | |
| | | 300,000 | | | | Bangkok Bank PCL, Junior Subordinated Notes, 5.000% (5-Year CMT Index + 4.729)%(c)(e) | | | | | 299,538 | | |
| | | | | | | Bank of America Corp.: | | | | | | | |
| | | | | | | Senior Unsecured Notes: | | ||||||
| | | 2,375,000 | | | | 2.456% (3-Month USD-LIBOR + 0.870)% due 10/22/25(e) | | | | | 2,369,077 | | |
| | | 230,000 | | | | 3.559% (3-Month USD-LIBOR + 1.060)% due 4/23/27(e) | | | | | 236,103 | | |
| | | 885,000 | | | | 3.824% (3-Month USD-LIBOR + 1.575)% due 1/20/28(e) | | | | | 921,446 | | |
| | | 1,000,000 | | | | 3.974% (3-Month USD-LIBOR + 1.210)% due 2/7/30(e) | | | | | 1,047,318 | | |
| | | 6,075,000 | | | | 1.922% (SOFRRATE + 1.370)% due 10/24/31(e) | | | | | 5,499,926 | | |
| | | 415,000 | | | | 2.572% (SOFRRATE + 1.210)% due 10/20/32(e) | | | | | 392,889 | | |
| | | 685,000 | | | | 3.311% (SOFRRATE + 1.580)% due 4/22/42(e) | | | | | 656,506 | | |
| | | 2,345,000 | | | | 4.083% (3-Month USD-LIBOR + 3.150)% due 3/20/51(e) | | | | | 2,516,097 | | |
| | | 995,000 | | | | Subordinated Notes, 2.482% (5-Year CMT Index + 1.200)% due 9/21/36(e) | | | | | 903,202 | | |
| | | 690,000 | | | | Bank of Montreal, Subordinated Notes, 3.088% (5-Year CMT Index + 1.400)% due 1/10/37(e) | | | | | 658,073 | | |
| | | | | | | Bank of New York Mellon Corp., Senior Unsecured Notes: | | | |||||
| | | 280,000 | | | | 2.100% due 10/24/24 | | | | | 280,871 | | |
| | | 115,000 | | | | 2.450% due 8/17/26 | | | | | 116,490 | | |
| | | 1,300,000 | | | | 2.050% due 1/26/27 | | | | | 1,284,819 | | |
| | | 1,050,000 | | | | Bank of Nova Scotia, Senior Unsecured Notes, 1.950% due 2/2/27 | | | | | 1,019,100 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 5,000,000 | | | | Barclays PLC, Senior Unsecured Notes, 4.375% due 1/12/26 | | | | $ | 5,267,988 | | |
| | | 525,000 | | | | Berkshire Hathaway Finance Corp., Company Guaranteed Notes, 4.200% due 8/15/48 | | | | | 580,842 | | |
| | | 1,170,000 | | | | BlackRock Inc., Senior Unsecured Notes, 1.900% due 1/28/31 | | | | | 1,086,655 | | |
| | | 795,000 | | | | Blackstone Holdings Finance Co. LLC, Company Guaranteed Notes, 2.000% due 1/30/32(a) | | | | | 721,489 | | |
| | | | | | | BNP Paribas SA, Senior Unsecured Notes: | | | |||||
| | | 935,000 | | | | 2.219% (SOFRRATE + 2.074)% due 6/9/26(a)(e) | | | | | 916,031 | | |
| | | 495,000 | | | | 1.323% (SOFRRATE + 1.004)% due 1/13/27(a)(e) | | | | | 465,343 | | |
| | | 845,000 | | | | BOC Aviation USA Corp., Company Guaranteed Notes, 1.625% due 4/29/24(a) | | | | | 830,389 | | |
| | | | | | | Boston Properties LP, Senior Unsecured Notes: | | | |||||
| | | 900,000 | | | | 3.650% due 2/1/26 | | | | | 932,058 | | |
| | | 3,000,000 | | | | 2.750% due 10/1/26 | | | | | 3,009,058 | | |
| | | 2,983,000 | | | | 3.400% due 6/21/29 | | | | | 3,049,131 | | |
| | | 520,000 | | | | BPCE SA, Senior Unsecured Notes, 2.045% (SOFRRATE + 1.087)% due 10/19/27(a)(e) | | | | | 498,689 | | |
| | | | | | | Brighthouse Financial Global Funding, Senior Secured Notes: | | | |||||
| | | 300,000 | | | | 1.000% due 4/12/24(a) | | | | | 292,046 | | |
| | | 650,000 | | | | 1.750% due 1/13/25(a) | | | | | 635,766 | | |
| | | 405,000 | | | | Brighthouse Financial Inc., Senior Unsecured Notes, 3.850% due 12/22/51 | | | | | 353,838 | | |
| | | 440,000 | | | | Brown & Brown Inc., Senior Unsecured Notes, 2.375% due 3/15/31 | | | | | 409,613 | | |
| | | 2,301,000 | | | | Charles Schwab Corp., Senior Unsecured Notes, 2.750% due 10/1/29 | | | | | 2,299,367 | | |
| | | | | | | Citigroup Inc., Senior Unsecured Notes: | | | |||||
| | | 805,000 | | | | 2.876% (3-Month USD-LIBOR + 0.950)% due 7/24/23(e) | | | | | 809,410 | | |
| | | 165,000 | | | | 3.352% (3-Month USD-LIBOR + 0.897)% due 4/24/25(e) | | | | | 168,300 | | |
| | | 1,620,000 | | | | 1.281% (SOFRRATE + 0.528)% due 11/3/25(e) | | | | | 1,568,629 | | |
| | | 5,000,000 | | | | 3.106% (SOFRRATE + 2.842)% due 4/8/26(e) | | | | | 5,065,476 | | |
| | | 1,180,000 | | | | 1.462% (SOFRRATE + 0.770)% due 6/9/27(e) | | | | | 1,115,697 | | |
| | | 1,170,000 | | | | 3.668% (3-Month USD-LIBOR + 1.390)% due 7/24/28(e) | | | | | 1,210,699 | | |
| | | 1,545,000 | | | | 4.412% (SOFRRATE + 3.914)% due 3/31/31(e) | | | | | 1,673,958 | | |
| | | 505,000 | | | | 2.520% (SOFRRATE + 1.177)% due 11/3/32(e) | | | | | 475,597 | | |
| | | 5,000,000 | | | | Credit Suisse Group AG, Senior Unsecured Notes, 4.194% (SOFRRATE + 3.730)% due 4/1/31(a)(e) | | | | | 5,192,739 | | |
| | | | | | | Crown Castle International Corp., Senior Unsecured Notes: | | | |||||
| | | 550,000 | | | | 4.300% due 2/15/29 | | | | | 580,503 | | |
| | | 3,410,000 | | | | 2.100% due 4/1/31 | | | | | 3,070,743 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | DBS Group Holdings Ltd., Subordinated Notes: | | | |||||
| | $ | 300,000 | | | | 4.520% (5-Year USD 1100 Run ICE Swap Rate + 1.590)% due 12/11/28(e) | | | | $ | 310,975 | | |
| | | 400,000 | | | | 1.822% (5-Year CMT Index + 1.100)% due 3/10/31(e) | | | | | 385,352 | | |
| | | 580,000 | | | | Discover Financial Services, Senior Unsecured Notes, 4.100% due 2/9/27 | | | | | 608,296 | | |
| | | | | | | Equinix Inc., Senior Unsecured Notes: | | | |||||
| | | 115,000 | | | | 1.800% due 7/15/27 | | | | | 108,866 | | |
| | | 210,000 | | | | 2.000% due 5/15/28 | | | | | 196,570 | | |
| | | 395,000 | | | | 2.500% due 5/15/31 | | | | | 365,280 | | |
| | | 1,225,000 | | | | Equitable Financial Life Global Funding, Secured Notes, 1.800% due 3/8/28(a) | | | | | 1,153,843 | | |
| | | 6,017,000 | | | | ERP Operating LP, Senior Unsecured Notes, 3.375% due 6/1/25 | | | | | 6,234,822 | | |
| | | 6,134,000 | | | | Five Corners Funding Trust II, Senior Unsecured Notes, 2.850% due 5/15/30(a) | | | | | 6,037,694 | | |
| | | | | | | Gilex Holding SARL, Senior Secured Notes: | | | |||||
| | | 200,000 | | | | 8.500% due 5/2/23(a) | | | | | 200,500 | | |
| | | 150,000 | | | | 8.500% due 5/2/23 | | | | | 150,375 | | |
| | | 209,392 | | | | Global Aircraft Leasing Co., Ltd., Senior Unsecured Notes, 6.500% due 9/15/24(a)(b) | | | | | 198,922 | | |
| | | 260,000 | | | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes, 5.300% due 1/15/29 | | | | | 282,653 | | |
| | | | | | | Goldman Sachs Group Inc., Senior Unsecured Notes: | | | |||||
| | | 1,150,000 | | | | 2.905% (3-Month USD-LIBOR + 0.990)% due 7/24/23(e) | | | | | 1,155,960 | | |
| | | 660,000 | | | | 0.925% (SOFRRATE + 0.486)% due 10/21/24(e) | | | | | 645,764 | | |
| | | 1,210,000 | | | | 1.676% (3-Month USD-LIBOR + 1.170)% due 5/15/26(e) | | | | | 1,225,147 | | |
| | | 335,000 | | | | 3.500% due 11/16/26 | | | | | 343,006 | | |
| | | 6,865,000 | | | | 1.431% (SOFRRATE + 0.798)% due 3/9/27(e) | | | | | 6,485,392 | | |
| | | 300,000 | | | | 1.992% (SOFRRATE + 1.090)% due 1/27/32(e) | | | | | 270,473 | | |
| | | 1,740,000 | | | | 2.615% (SOFRRATE + 1.281)% due 4/22/32(e) | | | | | 1,645,080 | | |
| | | 830,000 | | | | 2.383% (SOFRRATE + 1.248)% due 7/21/32(e) | | | | | 769,382 | | |
| | | 140,000 | | | | 2.650% (SOFRRATE + 1.264)% due 10/21/32(e) | | | | | 132,761 | | |
| | | 190,000 | | | | 3.102% (SOFRRATE + 1.410)% due 2/24/33(e) | | | | | 187,033 | | |
| | | 310,000 | | | | 6.250% due 2/1/41 | | | | | 406,567 | | |
| | | 635,000 | | | | Guardian Life Global Funding, Secured Notes, 1.250% due 5/13/26(a) | | | | | 611,224 | | |
| | | 65,000 | | | | Hightower Holding LLC, Company Guaranteed Notes, 6.750% due 4/15/29(a) | | | | | 65,000 | | |
| | | | | | | HSBC Holdings PLC, Senior Unsecured Notes: | | | |||||
| | | 1,950,000 | | | | 3.033% (3-Month USD-LIBOR + 0.923)% due 11/22/23(e) | | | | | 1,965,734 | | |
| | | 315,000 | | | | 0.976% (SOFRRATE + 0.708)% due 5/24/25(e) | | | | | 304,472 | | |
| | | 1,685,000 | | | | 4.583% (3-Month USD-LIBOR + 1.535)% due 6/19/29(e) | | | | | 1,792,687 | | |
| | | 1,400,000 | | | | 3.973% (3-Month USD-LIBOR + 1.610)% due 5/22/30(e) | | | | | 1,444,262 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 735,000 | | | | Invitation Homes Operating Partnership LP, Company Guaranteed Notes, 2.700% due 1/15/34 | | | | $ | 669,501 | | |
| | | | | | | Iron Mountain Inc., Company Guaranteed Notes: | | | |||||
| | | 70,000 | | | | 4.875% due 9/15/29(a) | | | | | 67,725 | | |
| | | 100,000 | | | | 4.500% due 2/15/31(a) | | | | | 93,500 | | |
| | | 105,000 | | | | iStar Inc., Senior Unsecured Notes, 4.750% due 10/1/24 | | | | | 105,787 | | |
| | | 200,000 | | | | Itau Unibanco Holding SA, Subordinated Notes, 3.875% (5-Year CMT Index + 3.446)% due 4/15/31(e) | | | | | 187,396 | | |
| | | | | | | JPMorgan Chase & Co., Senior Unsecured Notes: | | | |||||
| | | 1,305,000 | | | | 3.300% due 4/1/26 | | | | | 1,344,568 | | |
| | | 4,170,000 | | | | 3.960% (3-Month USD-LIBOR + 1.245)% due 1/29/27(e) | | | | | 4,362,628 | | |
| | | 730,000 | | | | 3.509% (3-Month USD-LIBOR + 0.945)% due 1/23/29(e) | | | | | 748,902 | | |
| | | 5,817,000 | | | | 2.522% (SOFRRATE + 2.040)% due 4/22/31(e) | | | | | 5,564,510 | | |
| | | 980,000 | | | | 2.580% (SOFRRATE + 1.250)% due 4/22/32(e) | | | | | 938,750 | | |
| | | 970,000 | | | | 2.545% (SOFRRATE + 1.180)% due 11/8/32(e) | | | | | 926,731 | | |
| | | 610,000 | | | | 2.963% (SOFRRATE + 1.260)% due 1/25/33(e) | | | | | 602,933 | | |
| | | 560,000 | | | | 3.157% (SOFRRATE + 1.460)% due 4/22/42(e) | | | | | 525,583 | | |
| | | 500,000 | | | | Kasikornbank PCL, Junior Subordinated Notes, 5.275% (5-Year CMT Index + 4.940)%(c)(e) | | | | | 498,750 | | |
| | | 575,000 | | | | KeyCorp, Senior Unsecured Notes, 2.550% due 10/1/29 | | | | | 557,605 | | |
| | | | | | | Kimco Realty Corp., Senior Unsecured Notes: | | | |||||
| | | 1,012,000 | | | | 3.500% due 4/15/23 | | | | | 1,025,831 | | |
| | | 300,000 | | | | 4.450% due 1/15/24 | | | | | 310,401 | | |
| | | 15,000 | | | | LD Holdings Group LLC, Company Guaranteed Notes, 6.125% due 4/1/28(a) | | | | | 13,376 | | |
| | | 90,000 | | | | LFS Topco LLC, Company Guaranteed Notes, 5.875% due 10/15/26(a) | | | | | 89,905 | | |
| | | 700,000 | | | | Macquarie Group Ltd., Senior Unsecured Notes, 2.871% (SOFRRATE + 1.532)% due 1/14/33(a)(e) | | | | | 661,339 | | |
| | | 555,000 | | | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes, 4.750% due 3/15/39 | | | | | 636,005 | | |
| | | | | | | Massachusetts Mutual Life Insurance Co., Subordinated Notes: | | | |||||
| | | 615,000 | | | | 3.375% due 4/15/50(a) | | | | | 580,568 | | |
| | | 150,000 | | | | 3.729% due 10/15/70(a) | | | | | 141,341 | | |
| | | 405,000 | | | | Mastercard Inc., Senior Unsecured Notes, 2.950% due 3/15/51 | | | | | 380,246 | | |
| | | 1,235,000 | | | | Metropolitan Life Global Funding I, Secured Notes, 2.400% due 1/11/32(a) | | | | | 1,189,786 | | |
| | | | | | | Morgan Stanley: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 310,000 | | | | 3.700% due 10/23/24 | | | | | 320,412 | | |
| | | 1,120,000 | | | | 1.593% (SOFRRATE + 0.879)% due 5/4/27(e) | | | | | 1,065,157 | | |
| | | 825,000 | | | | 2.475% (SOFRRATE + 1.000)% due 1/21/28(e) | | | | | 811,098 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 5,031,000 | | | | 3.591% (3-Month USD-LIBOR + 1.340)% due 7/22/28(e) | | | | $ | 5,194,154 | | |
| | | 3,600,000 | | | | 2.699% (SOFRRATE + 1.143)% due 1/22/31(e) | | | | | 3,483,209 | | |
| | | 675,000 | | | | 1.928% (SOFRRATE + 1.020)% due 4/28/32(e) | | | | | 607,540 | | |
| | | 105,000 | | | | 2.511% (SOFRRATE + 1.200)% due 10/20/32(e) | | | | | 99,139 | | |
| | | 1,320,000 | | | | Subordinated Notes, 2.484% (SOFRRATE + 1.360)% due 9/16/36(e) | | | | | 1,198,754 | | |
| | | 145,000 | | | | Nationstar Mortgage Holdings Inc., Company Guaranteed Notes, 5.750% due 11/15/31(a) | | | | | 140,287 | | |
| | | 100,000 | | | | Navient Corp., Senior Unsecured Notes, 5.000% due 3/15/27 | | | | | 96,500 | | |
| | | 140,000 | | | | New York Life Insurance Co., Subordinated Notes, 3.750% due 5/15/50(a) | | | | | 143,836 | | |
| | | | | | | NFP Corp.: | | ||||||
| | | 125,000 | | | | Senior Secured Notes, 4.875% due 8/15/28(a) | | | | | 120,603 | | |
| | | 135,000 | | | | Senior Unsecured Notes, 6.875% due 8/15/28(a) | | | | | 125,516 | | |
| | | 5,275,000 | | | | Office Properties Income Trust, Senior Unsecured Notes, 4.500% due 2/1/25 | | | | | 5,405,394 | | |
| | | | | | | OneMain Finance Corp., Company Guaranteed Notes: | | | |||||
| | | 115,000 | | | | 7.125% due 3/15/26 | | | | | 124,660 | | |
| | | 40,000 | | | | 6.625% due 1/15/28 | | | | | 42,736 | | |
| | | 90,000 | | | | 5.375% due 11/15/29 | | | | | 90,527 | | |
| | | 1,545,000 | | | | Ontario Teachers’ Cadillac Fairview Properties Trust, Senior Unsecured Notes, 2.500% due 10/15/31(a) | | | | | 1,470,411 | | |
| | | 60,000 | | | | Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co.-Issuer, Senior Secured Notes, 4.875% due 5/15/29(a) | | | | | 57,825 | | |
| | | | | | | PennyMac Financial Services Inc., Company Guaranteed Notes: | | | | | | | |
| | | 95,000 | | | | 5.375% due 10/15/25(a) | | | | | 94,525 | | |
| | | 110,000 | | | | 4.250% due 2/15/29(a) | | | | | 98,450 | | |
| | | 275,000 | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes, 4.200% due 4/1/27(a) | | | | | 293,893 | | |
| | | 1,045,000 | | | | PNC Bank N.A., Senior Unsecured Notes, 2.500% due 8/27/24 | | | | | 1,055,371 | | |
| | | 435,000 | | | | Progressive Corp., Senior Unsecured Notes, 3.200% due 3/26/30 | | | | | 448,577 | | |
| | | | | | | Realogy Group LLC/Realogy Co.-Issuer Corp., Company Guaranteed Notes: | | | |||||
| | | 65,000 | | | | 5.750% due 1/15/29(a) | | | | | 64,269 | | |
| | | 180,000 | | | | 5.250% due 4/15/30(a) | | | | | 171,540 | | |
| | | 175,000 | | | | Realty Income Corp., Senior Unsecured Notes, 2.850% due 12/15/32 | | | | | 170,182 | | |
| | | 3,720,000 | | | | Royal Bank of Canada, Senior Unsecured Notes, 0.759% (SOFRRATE + 0.710)% due 1/21/27(e) | | | | | 3,723,027 | | |
| | | 110,000 | | | | Ryan Specialty Group LLC, Senior Secured Notes, 4.375% due 2/1/30(a) | | | | | 105,825 | | |
| | | | | | | Santander Holdings USA Inc., Senior Unsecured Notes: | | | |||||
| | | 590,000 | | | | 3.400% due 1/18/23 | | | | | 598,729 | | |
| | | 625,000 | | | | 2.490% (SOFRRATE + 1.249)% due 1/6/28(e) | | | | | 607,107 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 250,000 | | | | Shinhan Financial Group Co., Ltd., Junior Subordinated Notes, 2.875% (5-Year CMT Index + 2.064)%(a)(c)(e) | | | | $ | 237,500 | | |
| | | | | | | Simon Property Group LP, Senior Unsecured Notes: | | | |||||
| | | 3,000,000 | | | | 3.500% due 9/1/25 | | | | | 3,097,485 | | |
| | | 1,905,000 | | | | 2.200% due 2/1/31 | | | | | 1,782,028 | | |
| | | 7,000,000 | | | | Standard Chartered PLC, Senior Unsecured Notes, 1.456% (1-Year CMT Index + 1.000)% due 1/14/27(a)(e) | | | | | 6,571,899 | | |
| | | 1,470,000 | | | | State Street Corp., Senior Unsecured Notes, 3.776% (3-Month USD-LIBOR + 0.770)% due 12/3/24(e) | | | | | 1,517,107 | | |
| | | 4,000,000 | | | | Sumitomo Mitsui Trust Bank Ltd., Senior Unsecured Notes, 0.850% due 3/25/24(a) | | | | | 3,896,998 | | |
| | | | | | | Temasek Financial I Ltd., Company Guaranteed Notes: | | | |||||
| | | 800,000 | | | | 1.000% due 10/6/30(a) | | | | | 718,720 | | |
| | | 250,000 | | | | 1.000% due 10/6/30 | | | | | 224,600 | | |
| | | 1,360,000 | | | | Truist Financial Corp., Senior Unsecured Notes, 1.887% (SOFRRATE + 0.862)% due 6/7/29(e) | | | | | 1,284,167 | | |
| | | 1,254,000 | | | | UBS Group AG, Senior Unsecured Notes, 1.364% (1-Year CMT Index + 1.080)% due 1/30/27(a)(e) | | | | | 1,188,419 | | |
| | | 5,160,000 | | | | UDR Inc., Company Guaranteed Notes, 3.200% due 1/15/30 | | | | | 5,168,245 | | |
| | | 623,000 | | | | Unifin Financiera SAB de CV, Junior Subordinated Notes, 8.875% (5-Year CMT Index + 6.308)%(c)(e) | | | | | 286,191 | | |
| | | 300,000 | | | | United Overseas Bank Ltd., Junior Subordinated Notes, 3.875% (5-Year USD Swap Rate + 1.794)%(c)(e) | | | | | 301,500 | | |
| | | 70,000 | | | | Uniti Group LP/Uniti Group Finance Inc./CSL Capital LLC, Company Guaranteed Notes, 6.500% due 2/15/29(a) | | | | | 64,874 | | |
| | | 5,480,000 | | | | Ventas Realty LP, Company Guaranteed Notes, 3.500% due 2/1/25 | | | | | 5,645,321 | | |
| | | 220,000 | | | | Visa Inc., Senior Unsecured Notes, 4.300% due 12/14/45 | | | | | 254,630 | | |
| | | 245,000 | | | | Vornado Realty LP, Senior Unsecured Notes, 2.150% due 6/1/26 | | | | | 237,857 | | |
| | | | | | | Wells Fargo & Co.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 620,000 | | | | 3.000% due 4/22/26 | | | | | 629,481 | | |
| | | 3,969,000 | | | | 2.188% (SOFRRATE + 2.000)% due 4/30/26(e) | | | | | 3,916,585 | | |
| | | 570,000 | | | | 3.584% (3-Month USD-LIBOR + 1.310)% due 5/22/28(e) | | | | | 588,577 | | |
| | | 680,000 | | | | 3.350% (SOFRRATE + 1.500)% due 3/2/33(e) | | | | | 688,686 | | |
| | | 495,000 | | | | 5.013% (SOFRRATE + 4.502)% due 4/4/51(e) | | | | | 609,538 | | |
| | | 175,000 | | | | Subordinated Notes, 4.900% due 11/17/45 | | | | | 198,531 | | |
| | | | | | | Welltower Inc., Senior Unsecured Notes: | | | |||||
| | | 390,000 | | | | 2.700% due 2/15/27 | | | | | 393,719 | | |
| | | 640,000 | | | | 2.050% due 1/15/29 | | | | | 605,667 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 5,725,000 | | | | 2.750% due 1/15/32 | | | | $ | 5,476,371 | | |
| | | 625,000 | | | | Westpac Banking Corp., Subordinated Notes, 3.020% (5-Year CMT Index + 1.530)% due 11/18/36(e) | | | | | 581,633 | | |
| | | 775,000 | | | | Willis North America Inc., Company Guaranteed Notes, 2.950% due 9/15/29 | | | | | 759,114 | | |
| | | 400,000 | | | | Woori Bank, Junior Subordinated Notes, 4.250% (5-Year CMT Index + 2.664)%(c)(e) | | | | | 404,000 | | |
| | | | | | | XHR LP, Senior Secured Notes: | | | |||||
| | | 100,000 | | | | 6.375% due 8/15/25(a) | | | | | 103,000 | | |
| | | 170,000 | | | | 4.875% due 6/1/29(a) | | | | | 165,325 | | |
| | | | | | | Total Financial | | | | | 221,843,828 | | |
| Industrial – 1.4% | | ||||||||||||
| | | 130,000 | | | | Advanced Drainage Systems Inc., Company Guaranteed Notes, 5.000% due 9/30/27(a) | | | | | 130,970 | | |
| | | 200,000 | | | | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, Senior Unsecured Notes, 4.000% due 9/1/29(a) | | | | | 187,560 | | |
| | | 200,000 | | | | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Company Guaranteed Notes, 5.250% due 8/15/27(a) | | | | | 190,113 | | |
| | | 565,000 | | | | Arrow Electronics Inc., Senior Unsecured Notes, 3.875% due 1/12/28 | | | | | 587,827 | | |
| | | 610,000 | | | | Berry Global Inc., Senior Secured Notes, 0.950% due 2/15/24 | | | | | 593,258 | | |
| | | | | | | Boeing Co., Senior Unsecured Notes: | | | | | | | |
| | | 1,025,000 | | | | 5.040% due 5/1/27 | | | | | 1,113,507 | | |
| | | 615,000 | | | | 2.950% due 2/1/30 | | | | | 588,761 | | |
| | | 105,000 | | | | Bombardier Inc., Senior Unsecured Notes, 7.875% due 4/15/27(a) | | | | | 106,470 | | |
| | | | | | | Builders FirstSource Inc., Company Guaranteed Notes: | | | | | | | |
| | | 140,000 | | | | 5.000% due 3/1/30(a) | | | | | 143,397 | | |
| | | 90,000 | | | | 4.250% due 2/1/32(a) | | | | | 86,392 | | |
| | | 420,000 | | | | Canadian Pacific Railway Co., Company Guaranteed Notes, 2.450% due 12/2/31 | | | | | 403,087 | | |
| | | | | | | Carrier Global Corp., Senior Unsecured Notes: | | | | | | | |
| | | 270,000 | | | | 2.242% due 2/15/25 | | | | | 269,239 | | |
| | | 295,000 | | | | 3.577% due 4/5/50 | | | | | 280,555 | | |
| | | 415,000 | | | | Caterpillar Inc., Senior Unsecured Notes, 2.600% due 4/9/30 | | | | | 414,650 | | |
| | | 45,000 | | | | Clean Harbors Inc., Company Guaranteed Notes, 5.125% due 7/15/29(a) | | | | | 45,976 | | |
| | | 160,000 | | | | Cornerstone Building Brands Inc., Company Guaranteed Notes, 6.125% due 1/15/29(a) | | | | | 153,200 | | |
| | | 590,000 | | | | CSX Corp., Senior Unsecured Notes, 3.350% due 9/15/49 | | | | | 566,079 | | |
| | | 1,115,000 | | | | DAE Funding LLC, Company Guaranteed Notes, 1.550% due 8/1/24(a) | | | | | 1,069,952 | | |
| | | 145,000 | | | | Energizer Holdings Inc., Company Guaranteed Notes, 4.750% due 6/15/28(a) | | | | | 137,025 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 535,000 | | | | FedEx Corp., Company Guaranteed Notes, 4.750% due 11/15/45 | | | | $ | 592,561 | | |
| | | 75,000 | | | | First Student Bidco Inc./First Transit Parent Inc., Senior Secured Notes, 4.000% due 7/31/29(a) | | | | | 70,874 | | |
| | | 115,000 | | | | Fortress Transportation & Infrastructure Investors LLC, Senior Unsecured Notes, 5.500% due 5/1/28(a) | | | | | 109,825 | | |
| | | 210,000 | | | | GFL Environmental Inc., Company Guaranteed Notes, 4.000% due 8/1/28(a) | | | | | 195,075 | | |
| | | 145,000 | | | | GrafTech Finance Inc., Senior Secured Notes, 4.625% due 12/15/28(a) | | | | | 140,904 | | |
| | | 200,000 | | | | Griffon Corp., Company Guaranteed Notes, 5.750% due 3/1/28 | | | | | 199,225 | | |
| | | 140,000 | | | | II-VI Inc., Company Guaranteed Notes, 5.000% due 12/15/29(a) | | | | | 139,849 | | |
| | | 85,000 | | | | Intelligent Packaging Ltd. Finco Inc./Intelligent Packaging Ltd. Co.-Issuer LLC, Senior Secured Notes, 6.000% due 9/15/28(a) | | | | | 82,614 | | |
| | | 240,000 | | | | Jeld-Wen Inc., Company Guaranteed Notes, 4.625% due 12/15/25(a) | | | | | 235,560 | | |
| | | 730,000 | | | | John Deere Capital Corp., Senior Unsecured Notes, 1.750% due 3/9/27 | | | | | 715,198 | | |
| | | 505,000 | | | | L3Harris Technologies Inc., Senior Unsecured Notes, 3.850% due 6/15/23 | | | | | 517,715 | | |
| | | 220,000 | | | | Lockheed Martin Corp., Senior Unsecured Notes, 4.090% due 9/15/52 | | | | | 240,427 | | |
| | | | | | | Madison IAQ LLC: | | | | | | | |
| | | 70,000 | | | | Senior Secured Notes, 4.125% due 6/30/28(a) | | | | | 66,219 | | |
| | | 75,000 | | | | Senior Unsecured Notes, 5.875% due 6/30/29(a) | | | | | 68,063 | | |
| | | 145,000 | | | | Norfolk Southern Corp., Senior Unsecured Notes, 3.400% due 11/1/49 | | | | | 140,401 | | |
| | | | | | | Northrop Grumman Corp., Senior Unsecured Notes: | | | | | | | |
| | | 4,875,000 | | | | 2.930% due 1/15/25 | | | | | 4,967,949 | | |
| | | 665,000 | | | | 5.150% due 5/1/40 | | | | | 786,974 | | |
| | | 1,365,000 | | | | Otis Worldwide Corp., Senior Unsecured Notes, 2.565% due 2/15/30 | | | | | 1,319,510 | | |
| | | | | | | Raytheon Technologies Corp., Senior Unsecured Notes: | | ||||||
| | | 1,140,000 | | | | 3.125% due 5/4/27 | | | | | 1,172,530 | | |
| | | 310,000 | | | | 3.030% due 3/15/52 | | | | | 277,830 | | |
| | | 45,000 | | | | Roller Bearing Co. of America Inc., Senior Unsecured Notes, 4.375% due 10/15/29(a) | | | | | 43,425 | | |
| | | 70,000 | | | | Seaspan Corp., Senior Unsecured Notes, 5.500% due 8/1/29(a) | | | | | 66,675 | | |
| | | 920,000 | | | | Siemens Financieringsmaatschappij NV, Company Guaranteed Notes, 1.200% due 3/11/26(a) | | | | | 880,989 | | |
| | | 797,025 | | | | Stoneway Capital Corp., Senior Secured Notes, 10.000% due 3/1/27(d)(f) | | | | | 227,152 | | |
| | | 89,000 | | | | Tervita Corp., Secured Notes, 11.000% due 12/1/25(a) | | | | | 101,460 | | |
| | | 935,000 | | | | Textron Inc., Senior Unsecured Notes, 2.450% due 3/15/31 | | | | | 876,068 | | |
| | | 75,000 | | | | Titan Acquisition Ltd./Titan Co.-Borrower LLC, Senior Unsecured Notes, 7.750% due 4/15/26(a) | | | | | 73,500 | | |
| | | 200,000 | | | | TK Elevator US Newco Inc., Senior Secured Notes, 5.250% due 7/15/27(a) | | | | | 198,000 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 95,000 | | | | Trane Technologies Luxembourg Finance SA, Company Guaranteed Notes, 4.500% due 3/21/49 | | | | $ | 104,872 | | |
| | | | | | | TransDigm Inc.: | | | |||||
| | | | | | | Senior Secured Notes: | | | | | | | |
| | | 35,000 | | | | 8.000% due 12/15/25(a) | | | | | 36,548 | | |
| | | 220,000 | | | | 6.250% due 3/15/26(a) | | | | | 226,325 | | |
| | | 140,000 | | | | Company Guaranteed Notes, 5.500% due 11/15/27 | | | | | 139,447 | | |
| | | 140,000 | | | | Trident TPI Holdings Inc., Company Guaranteed Notes, 6.625% due 11/1/25(a) | | | | | 138,595 | | |
| | | | | | | Triumph Group Inc.: | | | | | | | |
| | | 109,000 | | | | Company Guaranteed Notes, 7.750% due 8/15/25 | | | | | 109,409 | | |
| | | 55,000 | | | | Secured Notes, 6.250% due 9/15/24(a) | | | | | 54,588 | | |
| | | | | | | Union Pacific Corp., Senior Unsecured Notes: | | | | | | | |
| | | 740,000 | | | | 2.375% due 5/20/31 | | | | | 717,542 | | |
| | | 20,000 | | | | 2.800% due 2/14/32 | | | | | 20,058 | | |
| | | 705,000 | | | | 2.973% due 9/16/62 | | | | | 607,202 | | |
| | | 615,000 | | | | Vontier Corp., Company Guaranteed Notes, 1.800% due 4/1/26 | | | | | 573,321 | | |
| | | 85,000 | | | | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(a) | | | | | 80,155 | | |
| | | | | | | WRKCo Inc., Company Guaranteed Notes: | | | | | | | |
| | | 580,000 | | | | 3.750% due 3/15/25 | | | | | 603,413 | | |
| | | 5,245,000 | | | | 3.900% due 6/1/28 | | | | | 5,464,615 | | |
| | | | | | | Total Industrial | | | | | 30,450,680 | | |
| Technology – 1.8% | | ||||||||||||
| | | | | | | Apple Inc., Senior Unsecured Notes: | | | | | | | |
| | | 2,610,000 | | | | 1.125% due 5/11/25 | | | | | 2,544,996 | | |
| | | 1,090,000 | | | | 3.850% due 5/4/43 | | | | | 1,172,079 | | |
| | | 45,000 | | | | Austin BidCo Inc., Senior Unsecured Notes, 7.125% due 12/15/28(a) | | | | | 43,988 | | |
| | | 15,000 | | | | Boxer Parent Co., Inc., Senior Secured Notes, 7.125% due 10/2/25(a) | | | | | 15,525 | | |
| | | | | | | Broadcom Inc.: | | | |||||
| | | | | | | Company Guaranteed Notes: | | | | | | | |
| | | 2,512,000 | | | | 4.110% due 9/15/28 | | | | | 2,639,233 | | |
| | | 345,000 | | | | 4.300% due 11/15/32 | | | | | 363,495 | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 1,322,000 | | | | 3.419% due 4/15/33(a) | | | | | 1,289,126 | | |
| | | 163,000 | | | | 3.137% due 11/15/35(a) | | | | | 150,973 | | |
| | | 45,000 | | | | Camelot Finance SA, Senior Secured Notes, 4.500% due 11/1/26(a) | | | | | 45,043 | | |
| | | 125,000 | | | | Castle US Holding Corp., Senior Unsecured Notes, 9.500% due 2/15/28(a) | | | | | 128,125 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – (continued) | | ||||||||||||
| | | | | | | CDW LLC/CDW Finance Corp., Company Guaranteed Notes: | | ||||||
| | $ | 210,000 | | | | 2.670% due 12/1/26 | | | | $ | 205,327 | | |
| | | 195,000 | | | | 3.276% due 12/1/28 | | | | | 191,147 | | |
| | | 180,000 | | | | 3.569% due 12/1/31 | | | | | 174,852 | | |
| | | 90,000 | | | | Clarivate Science Holdings Corp., Company Guaranteed Notes, 4.875% due 7/1/29(a) | | | | | 84,749 | | |
| | | 155,000 | | | | Dun & Bradstreet Corp., Company Guaranteed Notes, 5.000% due 12/15/29(a) | | | | | 148,800 | | |
| | | 1,635,000 | | | | Fiserv Inc., Senior Unsecured Notes, 2.250% due 6/1/27 | | | | | 1,597,290 | | |
| | | | | | | Intel Corp., Senior Unsecured Notes: | | | |||||
| | | 335,000 | | | | 2.450% due 11/15/29 | | | | | 327,112 | | |
| | | 550,000 | | | | 2.800% due 8/12/41 | | | | | 495,170 | | |
| | | 385,000 | | | | 3.250% due 11/15/49 | | | | | 360,634 | | |
| | | 290,000 | | | | 3.050% due 8/12/51 | | | | | 263,374 | | |
| | | 295,000 | | | | International Business Machines Corp., Senior Unsecured Notes, 2.720% due 2/9/32 | | | | | 290,273 | | |
| | | 630,000 | | | | Kyndryl Holdings Inc., Senior Unsecured Notes, 3.150% due 10/15/31(a) | | | | | 570,951 | | |
| | | | | | | Marvell Technology Inc., Company Guaranteed Notes: | | | | | | | |
| | | 475,000 | | | | 1.650% due 4/15/26 | | | | | 457,401 | | |
| | | 595,000 | | | | 2.450% due 4/15/28 | | | | | 573,747 | | |
| | | 360,000 | | | | 2.950% due 4/15/31 | | | | | 346,729 | | |
| | | 770,000 | | | | Microchip Technology Inc., Senior Secured Notes, 2.670% due 9/1/23 | | | | | 776,888 | | |
| | | 580,000 | | | | Microsoft Corp., Senior Unsecured Notes, 2.921% due 3/17/52 | | | | | 553,798 | | |
| | | 205,000 | | | | Minerva Merger Sub Inc., Senior Unsecured Notes, 6.500% due 2/15/30(a) | | | | | 197,358 | | |
| | | 455,000 | | | | NetApp Inc., Senior Unsecured Notes, 1.875% due 6/22/25 | | | | | 445,721 | | |
| | | | | | | NVIDIA Corp., Senior Unsecured Notes: | | | | | | | |
| | | 225,000 | | | | 1.550% due 6/15/28 | | | | | 213,037 | | |
| | | 895,000 | | | | 2.850% due 4/1/30 | | | | | 906,078 | | |
| | | 2,200,000 | | | | NXP BV/NXP Funding LLC, Company Guaranteed Notes, 4.875% due 3/1/24(a) | | | | | 2,306,450 | | |
| | | 430,000 | | | | NXP BV/NXP Funding LLC/NXP USA Inc., Company Guaranteed Notes, 3.875% due 6/18/26(a) | | | | | 449,874 | | |
| | | | | | | Oracle Corp., Senior Unsecured Notes: | | | | | | | |
| | | 1,140,000 | | | | 2.300% due 3/25/28 | | | | | 1,086,214 | | |
| | | 435,000 | | | | 2.875% due 3/25/31 | | | | | 415,189 | | |
| | | 230,000 | | | | 3.600% due 4/1/40 | | | | | 208,322 | | |
| | | 25,000 | | | | 4.125% due 5/15/45 | | | | | 23,249 | | |
| | | 335,000 | | | | 4.000% due 7/15/46 | | | | | 307,889 | | |
| | | 200,000 | | | | 4.000% due 11/15/47 | | | | | 182,527 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – (continued) | | ||||||||||||
| | $ | 2,649,000 | | | | 3.600% due 4/1/50 | | | | $ | 2,302,822 | | |
| | | 777,000 | | | | 3.950% due 3/25/51 | | | | | 711,764 | | |
| | | 230,000 | | | | 4.100% due 3/25/61 | | | | | 208,473 | | |
| | | 210,000 | | | | Qorvo Inc., Company Guaranteed Notes, 1.750% due 12/15/24(a) | | | | | 203,475 | | |
| | | | | | | salesforce.com Inc., Senior Unsecured Notes: | | | | | | | |
| | | 220,000 | | | | 3.250% due 4/11/23 | | | | | 224,514 | | |
| | | 1,185,000 | | | | 1.950% due 7/15/31 | | | | | 1,119,627 | | |
| | | 60,000 | | | | Science Applications International Corp., Company Guaranteed Notes, 4.875% due 4/1/28(a) | | | | | 58,547 | | |
| | | 95,000 | | | | Seagate HDD Cayman, Company Guaranteed Notes, 3.375% due 7/15/31 | | | | | 86,540 | | |
| | | 4,580,000 | | | | TSMC Arizona Corp., Company Guaranteed Notes, 1.750% due 10/25/26 | | | | | 4,437,424 | | |
| | | 430,000 | | | | VMware Inc., Senior Unsecured Notes, 2.200% due 8/15/31 | | | | | 393,935 | | |
| | | 6,680,000 | | | | Xilinx Inc., Senior Unsecured Notes, 2.375% due 6/1/30 | | | | | 6,423,752 | | |
| | | | | | | Total Technology | | | | | 38,723,606 | | |
| Utilities – 2.2% | | ||||||||||||
| | | 470,000 | | | | AEP Texas Inc., Senior Unsecured Notes, 3.450% due 1/15/50 | | | | | 435,049 | | |
| | | 300,000 | | | | AES Andres BV, Company Guaranteed Notes, 5.700% due 5/4/28(a) | | | | | 291,750 | | |
| | | 425,000 | | | | Alabama Power Co., Senior Unsecured Notes, 3.450% due 10/1/49 | | | | | 405,028 | | |
| | | 880,000 | | | | American Water Capital Corp., Senior Unsecured Notes, 3.750% due 9/1/28 | | | | | 928,127 | | |
| | | | | | | Berkshire Hathaway Energy Co., Senior Unsecured Notes: | | | | | | | |
| | | 775,000 | | | | 6.125% due 4/1/36 | | | | | 981,565 | | |
| | | 1,100,000 | | | | 5.950% due 5/15/37 | | | | | 1,383,977 | | |
| | | | | | | Calpine Corp.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | |||||
| | | 60,000 | | | | 5.125% due 3/15/28(a) | | | | | 57,818 | | |
| | | 75,000 | | | | 4.625% due 2/1/29(a) | | | | | 69,562 | | |
| | | 95,000 | | | | Senior Secured Notes, 4.500% due 2/15/28(a) | | | | | 92,709 | | |
| | | 200,000 | | | | Chile Electricity PEC SpA, Senior Secured Notes, zero coupon, due 1/25/28(a) | | | | | 146,500 | | |
| | | 70,000 | | | | Cleco Corporate Holdings LLC, Senior Unsecured Notes, 4.973% due 5/1/46 | | | | | 77,414 | | |
| | | 360,000 | | | | Commonwealth Edison Co., 1st Mortgage Notes, 4.000% due 3/1/48 | | | | | 383,993 | | |
| | | 450,000 | | | | Consolidated Edison Co. of New York Inc., Senior Unsecured Notes, 3.200% due 12/1/51 | | | | | 403,666 | | |
| | | 470,000 | | | | Dominion Energy Inc., Senior Unsecured Notes, 3.900% due 10/1/25 | | | | | 490,202 | | |
| | | 320,000 | | | | Dominion Energy South Carolina Inc., 1st Mortgage Notes, 5.100% due 6/1/65 | | | | | 396,492 | | |
| | | 1,590,000 | | | | Duke Energy Carolinas LLC, 1st Mortgage Notes, 5.300% due 2/15/40 | | | | | 1,925,658 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | | | | | | Duke Energy Corp., Senior Unsecured Notes: | | ||||||
| | $ | 5,000,000 | | | | 0.900% due 9/15/25 | | | | $ | 4,744,908 | | |
| | | 910,000 | | | | 2.650% due 9/1/26 | | | | | 914,325 | | |
| | | 800,000 | | | | 2.550% due 6/15/31 | | | | | 749,098 | | |
| | | 210,000 | | | | Duke Energy Progress LLC, 1st Mortgage Notes, 2.000% due 8/15/31 | | | | | 195,600 | | |
| | | 195,600 | | | | Empresa Electrica Angamos SA, Senior Secured Notes, 4.875% due 5/25/29 | | | | | 185,820 | | |
| | | 600,000 | | | | Empresas Publicas de Medellin ESP, Senior Unsecured Notes, 4.375% due 2/15/31 | | | | | 519,756 | | |
| | | 705,000 | | | | Enel Finance International NV, Company Guaranteed Notes, 1.375% due 7/12/26(a) | | | | | 665,996 | | |
| | | 610,000 | | | | Essential Utilities Inc., Senior Unsecured Notes, 3.351% due 4/15/50 | | | | | 563,280 | | |
| | | 880,000 | | | | Evergy Inc., Senior Unsecured Notes, 2.900% due 9/15/29 | | | | | 872,710 | | |
| | | 165,294 | | | | Fenix Power Peru SA, Senior Unsecured Notes, 4.317% due 9/20/27 | | | | | 163,023 | | |
| | | 510,000 | | | | Georgia Power Co., Senior Unsecured Notes, 2.100% due 7/30/23 | | | | | 511,546 | | |
| | | 900,000 | | | | Guacolda Energia SA, Senior Unsecured Notes, 4.560% due 4/30/25 | | | | | 324,000 | | |
| | | 750,000 | | | | ITC Holdings Corp., Senior Unsecured Notes, 2.950% due 5/14/30(a) | | | | | 738,917 | | |
| | | 400,000 | | | | Korea East-West Power Co., Ltd., Senior Unsecured Notes, 1.750% due 5/6/25 | | | | | 393,580 | | |
| | | 90,000 | | | | Leeward Renewable Energy Operations LLC, Company Guaranteed Notes, 4.250% due 7/1/29(a) | | | | | 86,850 | | |
| | | 697,360 | | | | LLPL Capital Pte Ltd., Senior Secured Notes, 6.875% due 2/4/39(a) | | | | | 737,458 | | |
| | | 400,000 | | | | Mercury Chile Holdco LLC, Senior Secured Notes, 6.500% due 1/24/27(a) | | | | | 386,000 | | |
| | | | | | | Minejesa Capital BV, Senior Secured Notes: | | | | | | | |
| | | 600,000 | | | | 4.625% due 8/10/30 | | | | | 586,236 | | |
| | | 300,000 | | | | 5.625% due 8/10/37 | | | | | 283,221 | | |
| | | 205,000 | | | | Monongahela Power Co., 1st Mortgage Notes, 5.400% due 12/15/43(a) | | | | | 240,826 | | |
| | | 1,175,000 | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 2.250% due 6/1/30 | | | | | 1,097,186 | | |
| | | 1,354,000 | | | | NiSource Inc., Senior Unsecured Notes, 3.600% due 5/1/30 | | | | | 1,383,638 | | |
| | | 200,000 | | | | NRG Energy Inc., Company Guaranteed Notes, 3.625% due 2/15/31(a) | | | | | 183,882 | | |
| | | 470,000 | | | | Oglethorpe Power Corp., 1st Mortgage Notes, 5.050% due 10/1/48 | | | | | 538,786 | | |
| | | 810,000 | | | | Oncor Electric Delivery Co. LLC, Senior Secured Notes, 2.750% due 5/15/30(a) | | | | | 806,736 | | |
| | | | | | | Pacific Gas & Electric Co.: | | | |||||
| | | | | | | 1st Mortgage Notes: | | | | | | | |
| | | 1,830,000 | | | | 2.500% due 2/1/31 | | | | | 1,629,544 | | |
| | | 540,000 | | | | 4.950% due 7/1/50 | | | | | 534,905 | | |
| | | | | | | Senior Secured Notes: | | | | | | | |
| | | 265,000 | | | | 1.367% due 3/10/23 | | | | | 262,228 | | |
| | | 290,000 | | | | 3.250% due 6/1/31 | | | | | 273,486 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 140,000 | | | | PacifiCorp, 1st Mortgage Notes, 3.300% due 3/15/51 | | | | $ | 131,429 | | |
| | | 75,000 | | | | PG&E Corp., Senior Secured Notes, 5.000% due 7/1/28 | | | | | 74,250 | | |
| | | 185,000 | | | | Pike Corp., Company Guaranteed Notes, 5.500% due 9/1/28(a) | | | | | 178,063 | | |
| | | | | | | Puget Energy Inc., Senior Secured Notes: | | | | | | | |
| | | 735,000 | | | | 3.650% due 5/15/25 | | | | | 760,106 | | |
| | | 395,000 | | | | 4.100% due 6/15/30 | | | | | 409,689 | | |
| | | | | | | Sempra Energy, Senior Unsecured Notes: | | | | | | | |
| | | 1,395,000 | | | | 3.400% due 2/1/28 | | | | | 1,436,458 | | |
| | | 7,317,000 | | | | 4.000% due 2/1/48 | | | | | 7,350,592 | | |
| | | 166,083 | | | | Southaven Combined Cycle Generation LLC, Secured Notes, 3.846% due 8/15/33 | | | | | 177,470 | | |
| | | | | | | Southern California Edison Co., 1st Mortgage Notes: | | | | | | | |
| | | 330,000 | | | | 2.850% due 8/1/29 | | | | | 324,757 | | |
| | | 485,000 | | | | 2.750% due 2/1/32 | | | | | 467,278 | | |
| | | 970,000 | | | | 4.125% due 3/1/48 | | | | | 978,026 | | |
| | | 5,000,000 | | | | 4.875% due 3/1/49 | | | | | 5,485,133 | | |
| | | 2,225,000 | | | | Southern Co., Senior Unsecured Notes, 3.700% due 4/30/30 | | | | | 2,293,578 | | |
| | | | | | | Total Utilities | | | | | 49,109,880 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $597,780,404) | | | | | 560,560,815 | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS – 24.6% | | ||||||||||||
| | | 805,000 | | | | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class F, 3.018% (1-Month USD-LIBOR + 2.827)% due 9/15/34(a)(e) | | | | | 782,811 | | |
| | | 1,377,969 | | | | 510 Asset Backed Trust, Series 2021-NPL1, Class A1, step bond to yield, 2.240% due 6/25/61(a)(d) | | | | | 1,335,778 | | |
| | | 427,406 | | | | Ajax Mortgage Loan Trust, Series 2021-C, Class A, step bond to yield, 2.115% due 1/25/61(a) | | | | | 415,918 | | |
| | | 750,000 | | | | Alen Mortgage Trust, Series 2021-ACEN, Class D, 3.291% (1-Month USD-LIBOR + 3.100)% due 4/15/34(a)(e) | | | | | 734,074 | | |
| | | | | | | Alternative Loan Trust: | | | | | | | |
| | | 689,933 | | | | Series 2005-28CB, Class 1A7, 5.500% due 8/25/35 | | | | | 681,980 | | |
| | | 5,860,235 | | | | Series 2005-7CB, Class 2A2, 4.863% (1-Month USD-LIBOR + 5.050)% due 3/1/38(e)(g) | | | | | 563,801 | | |
| | | 5,860,235 | | | | Series 2005-7CB, Class 2A5, 0.637% (1-Month USD-LIBOR + 0.450)% due 3/1/38(e) | | | | | 4,805,411 | | |
| | | 4,676,599 | | | | Series 2006-OA2, Class A1, 0.591% (1-Month USD-LIBOR + 0.420)% due 5/20/46(e) | | | | | 4,212,234 | | |
| | | 2,574,887 | | | | Series 2007-4CB, Class 1A1, 0.787% (1-Month USD-LIBOR + 0.600)% due 4/25/37(e) | | | | | 2,067,265 | | |
| Face Amount/Units | | | Security | | | Value | | | | ||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | | | ||||||||||||||||
| | $ | 6,527,579 | | | | Series 2007-9T1, Class 2A2, 6.000% due 5/25/37 | | | | $ | 4,128,486 | | | | | ||||
| | | | | | | Angel Oak Mortgage Trust: | | | | | | | | | | ||||
| | | 669,524 | | | | Series 2020-R1, Class A1, 0.990% due 4/25/53(a)(e) | | | | | 664,038 | | | | | ||||
| | | 608,652 | | | | Series 2021-1, Class A1, 0.909% due 1/25/66(a)(e) | | | | | 597,119 | | | | | ||||
| | | 490,931 | | | | Series 2021-2, Class A1, 0.985% due 4/25/66(a)(e) | | | | | 480,419 | | | | | ||||
| | | 960,475 | | | | Series 2021-3, Class A1, 1.068% due 5/25/66(a)(e) | | | | | 945,457 | | | | | ||||
| | | 743,111 | | | | Series 2021-4, Class A1, 1.035% due 1/20/65(a)(e) | | | | | 723,041 | | | | | ||||
| | | 1,161,480 | | | | Series 2021-5, Class A1, 0.951% due 7/25/66(a)(e) | | | | | 1,127,414 | | | | | ||||
| | | 1,538,117 | | | | Series 2021-6, Class A1, 1.458% due 9/25/66(a)(e) | | | | | 1,492,528 | | | | | ||||
| | | 1,641,602 | | | | Series 2022-1, Class A1, 2.881% due 12/25/66(a)(e) | | | | | 1,638,465 | | | | | ||||
| | | | | | | Angel Oak Mortgage Trust I LLC: | | | | | | | | | | ||||
| | | 151,270 | | | | Series 2018-3, Class A1, 3.649% due 9/25/48(a)(e) | | | | | 151,116 | | | | | ||||
| | | 215,549 | | | | Series 2018-3, Class A2, 3.751% due 9/25/48(a)(e) | | | | | 215,212 | | | | | ||||
| | | 205,833 | | | | Series 2018-3, Class A3, 3.853% due 9/25/48(a)(e) | | | | | 205,402 | | | | | ||||
| | | | | | | Arbor Multifamily Mortgage Securities Trust: | | | | | | | | | | ||||
| | | 4,000,000 | | | | Series 2020-MF1, Class A5, 2.756% due 5/15/53(a) | | | | | 3,942,891 | | | | | ||||
| | | 1,485,000 | | | | Series 2021-MF2, Class A5, 2.513% due 6/15/54(a) | | | | | 1,429,368 | | | | | ||||
| | | 1,920,000 | | | | Series 2021-MF2, Class C, 2.809% due 6/15/54(a)(e) | | | | | 1,780,917 | | | | | ||||
| | | 1,250,000 | | | | Series 2022-MF4, Class A5, 3.293% due 12/15/54(a)(e) | | | | | 1,283,198 | | | | | ||||
| | | 2,600,000 | | | | Series 2022-MF4, Class B, 3.293% due 12/15/54(a)(e) | | | | | 2,582,877 | | | | | ||||
| | | | | | | BANK: | | | | | | | | | | ||||
| | | 11,058,377 | | | | Series 2017-BNK4, Class XA, 1.331% due 5/15/50(e)(g) | | | | | 596,186 | | | | | | | | |
| | | 15,845,705 | | | | Series 2018-BN10, Class XA, 0.703% due 2/15/61(e)(g) | | | | | 574,207 | | | | | ||||
| | | 7,540,000 | | | | Series 2020-BN30, Class A4, 1.925% due 12/15/53 | | | | | 6,981,940 | | | | | ||||
| | | | | | | BBCMS Mortgage Trust: | | | | | | | | | | ||||
| | | 408,000 | | | | Series 2017-DELC, Class E, 2.691% (1-Month USD-LIBOR + 2.500)% due 8/15/36(a)(e) | | | | | 399,818 | | | | | ||||
| | | 407,000 | | | | Series 2017-DELC, Class F, 3.691% (1-Month USD-LIBOR + 3.500)% due 8/15/36(a)(e) | | | | | 397,819 | | | | | ||||
| | | 1,236,000 | | | | Series 2018-TALL, Class F, 3.426% (1-Month USD-LIBOR + 3.235)% due 3/15/37(a)(e) | | | | | 1,135,077 | | | | | ||||
| | | 1,800,000 | | | | Series 2020-C6, Class A4, 2.639% due 2/15/53 | | | | | 1,768,414 | | | | | ||||
| | | 1,480,958 | | | | Series 2020-C7, Class XA, 1.627% due 4/15/53(e)(g) | | | | | 137,951 | | | | | ||||
| | | 11,241,403 | | | | Series 2021-C12, Class XA, 0.959% due 11/15/54(e)(g) | | | | | 792,254 | | | | | ||||
| | | 7,773,052 | | | | BBCMS Trust, Series 2021-C10, Class XA, 1.306% due 7/15/54(e)(g) | | | | | 707,053 | | | | | ||||
| | | 3,020,112 | | | | Bear Stearns ALT-A Trust, Series 2006-1, Class 21A2, 2.931% due 2/25/36(e) | | | | | 2,493,590 | | | | | ||||
| | | | | | | Benchmark Mortgage Trust: | | | | | | | | | | ||||
| | | 500,000 | | | | Series 2019-B15, Class A5, 2.928% due 12/15/72 | | | | | 500,327 | | | | | ||||
| | | 2,370,570 | | | | Series 2020-B22, Class XA, 1.520% due 1/15/54(e)(g) | | | | | 261,093 | | | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 524,758 | | | | BINOM Securitization Trust, Series 2021-INV1, Class A1, 2.034% due 6/25/56(a)(e) | | | | $ | 512,389 | | |
| | | | | | | BRAVO Residential Funding Trust: | | | | | | | |
| | | 1,206,773 | | | | Series 2021-C, Class A1, step bond to yield, 1.620% due 3/1/61(a) | | | | | 1,170,988 | | |
| | | 364,404 | | | | Series 2021-NQM1, Class A1, 0.941% due 2/25/49(a)(e) | | | | | 358,117 | | |
| | | 471,561 | | | | Series 2021-NQM2, Class A1, 0.970% due 3/25/60(a)(e) | | | | | 466,189 | | |
| | | 1,400,000 | | | | BX, Series 2021-MFM1, Class D, 1.691% (1-Month USD-LIBOR + 1.500)% due 1/15/34(a)(e) | | | | | 1,342,641 | | |
| | | | | | | BX Commercial Mortgage Trust: | | | | | | | |
| | | 4,738,475 | | | | Series 2018-BIOA, Class D, 1.512% (1-Month USD-LIBOR + 1.321)% due 3/15/37(a)(e) | | | | | 4,679,031 | | |
| | | 43,772 | | | | Series 2018-IND, Class E, 1.891% (1-Month USD-LIBOR + 1.700)% due 11/15/35(a)(e) | | | | | 43,636 | | |
| | | 544,000 | | | | Series 2019-XL, Class D, 1.641% (1-Month USD-LIBOR + 1.450)% due 10/15/36(a)(e) | | | | | 538,545 | | |
| | | 3,604,000 | | | | Series 2019-XL, Class E, 1.991% (1-Month USD-LIBOR + 1.800)% due 10/15/36(a)(e) | | | | | 3,563,523 | | |
| | | 3,145,000 | | | | Series 2019-XL, Class F, 2.191% (1-Month USD-LIBOR + 2.000)% due 10/15/36(a)(e) | | | | | 3,093,912 | | |
| | | 829,000 | | | | Series 2021-21M, Class H, 4.201% (1-Month USD-LIBOR + 4.010)% due 10/15/36(a)(e) | | | | | 800,276 | | |
| | | 2,900,000 | | | | Series 2021-VOLT, Class C, 1.291% (1-Month USD-LIBOR + 1.100)% due 9/15/36(a)(e) | | | | | 2,785,569 | | |
| | | 536,000 | | | | Series 2021-VOLT, Class E, 2.191% (1-Month USD-LIBOR + 2.000)% due 9/15/36(a)(e) | | | | | 519,898 | | |
| | | 536,000 | | | | Series 2021-VOLT, Class F, 2.591% (1-Month USD-LIBOR + 2.400)% due 9/15/36(a)(e) | | | | | 519,897 | | |
| | | | | | | BX Trust: | | | | | | | |
| | | 340,618 | | | | Series 2017-SLCT, Class E, 3.341% (1-Month USD-LIBOR + 3.150)% due 7/15/34(a)(e) | | | | | 339,554 | | |
| | | 102,162 | | | | Series 2018-EXCL, Class A, 1.279% (1-Month USD-LIBOR + 1.088)% due 9/15/37(a)(e) | | | | | 100,881 | | |
| | | 813,175 | | | | Series 2018-EXCL, Class C, 2.166% (1-Month USD-LIBOR + 1.975)% due 9/15/37(a)(e) | | | | | 776,506 | | |
| | | 1,529,000 | | | | Series 2019-OC11, Class E, 4.075% due 12/9/41(a)(e) | | | | | 1,372,837 | | |
| | | | | | | CAMB Commercial Mortgage Trust: | | | | | | | |
| | | 366,000 | | | | Series 2019-LIFE, Class A, 1.261% (1-Month USD-LIBOR + 1.070)% due 12/15/37(a)(e) | | | | | 363,246 | | |
| | | 5,900,000 | | | | Series 2021-CX2, Class C, 2.771% due 11/10/46(a)(e) | | | | | 5,421,966 | | |
| | | 321,560 | | | | Cascade MH Asset Trust, Series 2021-MH1, Class A1, 1.753% due 2/25/46(a) | | | | | 310,270 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | CD Mortgage Trust: | | | | | | | |
| | $ | 19,577,933 | | | | Series 2017-CD4, Class XA, 1.271% due 5/10/50(e)(g) | | | | $ | 890,915 | | |
| | | 795,000 | | | | Series 2017-CD6, Class C, 4.264% due 11/13/50(e) | | | | | 800,845 | | |
| | | 13,359,737 | | | | CFCRE Commercial Mortgage Trust, Series 2017-C8, Class XA, 1.489% due 6/15/50(e)(g) | | | | | 821,004 | | |
| | | 3,489,000 | | | | CGDB Commercial Mortgage Trust, Series 2019-MOB, Class E, 2.191% (1-Month USD-LIBOR + 2.000)% due 11/15/36(a)(e) | | | | | 3,419,034 | | |
| | | 1,505,449 | | | | CIM Trust, Series 2021-R6, Class A1, 1.425% due 7/25/61(a)(e) | | | | | 1,456,211 | | |
| | | | | | | Citigroup Commercial Mortgage Trust: | | | | | | | |
| | | 1,415,000 | | | | Series 2015-GC31, Class A4, 3.762% due 6/10/48 | | | | | 1,460,473 | | |
| | | 32,238,962 | | | | Series 2015-GC35, Class XA, 0.723% due 11/10/48(e)(g) | | | | | 737,698 | | |
| | | 805,000 | | | | Series 2016-P4, Class B, 3.377% due 7/10/49 | | | | | 795,865 | | |
| | | 7,640,000 | | | | Series 2019-GC43, Class A4, 3.038% due 11/10/52 | | | | | 7,695,526 | | |
| | | 500,000 | | | | Series 2019-PRM, Class D, 4.350% due 5/10/36(a) | | | | | 499,235 | | |
| | | 3,250,750 | | | | Cold Storage Trust, Series 2020-ICE5, Class B, 1.491% (1-Month USD-LIBOR + 1.300)% due 11/15/37(a)(e) | | | | | 3,210,036 | | |
| | | | | | | COLT Mortgage Loan Trust: | | | | | | | |
| | | 742,793 | | | | Series 2021-1, Class A1, 0.910% due 6/25/66(a)(e) | | | | | 718,888 | | |
| | | 652,763 | | | | Series 2021-2, Class A1, 0.924% due 8/25/66(a)(e) | | | | | 629,734 | | |
| | | 301,897 | | | | Series 2021-2R, Class A1, 0.798% due 7/27/54(a)(d) | | | | | 299,975 | | |
| | | 1,212,828 | | | | Series 2021-3, Class A1, 0.956% due 9/27/66(a)(e) | | | | | 1,169,747 | | |
| | | 1,707,078 | | | | Series 2021-HX1, Class A1, 1.110% due 10/25/66(a)(e) | | | | | 1,643,225 | | |
| | | 1,647,717 | | | | Series 2022-1, Class A1, 2.284% due 2/25/67(a)(e) | | | | | 1,627,450 | | |
| | | | | | | Commercial Mortgage Trust: | | | | | | | |
| | | 190,951,112 | | | | Series 2013-CR9, Class XA, 0.054% due 7/10/45(e)(g) | | | | | 80,620 | | |
| | | 1,050,000 | | | | Series 2015-CR23, Class A4, 3.497% due 5/10/48 | | | | | 1,074,652 | | |
| | | 800,000 | | | | Series 2016-DC2, Class C, 4.671% due 2/10/49(e) | | | | | 803,465 | | |
| | | 5,650,000 | | | | Series 2020-CX, Class A, 2.173% due 11/10/46(a) | | | | | 5,262,026 | | |
| | | 1,150,000 | | | | Series 2020-CX, Class C, 2.683% due 11/10/46(a)(e) | | | | | 1,053,280 | | |
| | | 3,750,000 | | | | Series 2020-SBX, Class C, 2.056% due 1/10/38(a)(e) | | | | | 3,522,057 | | |
| | | 203,000 | | | | Series 2022-HC, Class A, 2.819% due 1/10/39(a) | | | | | 202,940 | | |
| | | 300,000 | | | | Series 2022-HC, Class C, 3.376% due 1/10/39(a) | | | | | 300,066 | | |
| | | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | | | | |
| | | 534,982 | | | | Series 2021-AFC1, Class A1, 0.830% due 3/25/56(a)(e) | | | | | 522,604 | | |
| | | 640,524 | | | | Series 2021-NQM5, Class A1, 0.938% due 5/25/66(a)(e) | | | | | 617,524 | | |
| | | 427,758 | | | | Series 2021-RPL4, Class A1, 1.796% due 12/27/60(a)(e) | | | | | 417,128 | | |
| Face Amount/Units | | | Security | | | Value | | | | ||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | | | ||||||||||||||||
| | | | | | | Credit Suisse Mortgage Capital Certificates: | | | | ||||||||||
| | $ | 110,000 | | | | Series 2019-ICE4, Class D, 1.791% (1-Month USD-LIBOR + 1.600)% due 5/15/36(a)(e) | | | | $ | 108,896 | | | | | ||||
| | | 5,300,000 | | | | Series 2019-ICE4, Class E, 2.341% (1-Month USD-LIBOR + 2.150)% due 5/15/36(a)(e) | | | | | 5,226,617 | | | | | ||||
| | | | | | | CSAIL Commercial Mortgage Trust: | | | | | | | | | | ||||
| | | 1,985,982 | | | | Series 2015-C4, Class A3, 3.544% due 11/15/48 | | | | | 2,021,500 | | | | | ||||
| | | 824,000 | | | | Series 2016-C7, Class B, 4.332% due 11/15/49(e) | | | | | 829,586 | | | | | ||||
| | | 1,205,000 | | | | Series 2018-C14, Class C, 4.924% due 11/15/51(e) | | | | | 1,273,396 | | | | | ||||
| | | 1,717,538 | | | | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5A6, 5.500% due 10/25/35 | | | | | 1,286,523 | | | | | ||||
| | | | | | | CSMC: | | | | | | | | | | ||||
| | | 1,519,893 | | | | Series 2010-8R, Class 5A11, 2.608% due 2/26/37(a)(e) | | | | | 1,514,720 | | | | | ||||
| | | 544,507 | | | | Series 2020-NET, Class A, 2.257% due 8/15/37(a) | | | | | 531,156 | | | | | ||||
| | | 183,000 | | | | Series 2021-B33, Class A1, 3.053% due 10/10/43(a) | | | | | 179,965 | | | | | ||||
| | | 650,000 | | | | Series 2021-B33, Class A2, 3.167% due 10/10/43(a) | | | | | 637,666 | | | | | ||||
| | | 277,673 | | | | Series 2021-NQM1, Class A1, 0.809% due 5/25/65(a)(e) | | | | | 272,924 | | | | | | | | |
| | | 1,123,803 | | | | Series 2021-NQM2, Class A1, 1.179% due 2/25/66(a)(e) | | | | | 1,095,625 | | | | | ||||
| | | 1,127,133 | | | | Series 2021-NQM4, Class A1, 1.101% due 5/25/66(a)(e) | | | | | 1,099,611 | | | | | ||||
| | | 1,723,213 | | | | Series 2021-NQM6, Class A1, 1.174% due 7/25/66(a)(e) | | | | | 1,683,402 | | | | | ||||
| | | 735,665 | | | | Series 2021-NQM8, Class A1, 1.841% due 10/25/66(a)(e) | | | | | 719,853 | | | | | ||||
| | | 1,668,298 | | | | Series 2022-NQM1, Class A1, 2.265% due 11/25/66(a)(e) | | | | | 1,643,122 | | | | | ||||
| | | 3,545,399 | | | | DBGS Mortgage Trust, Series 2018-BIOD, Class E, 1.825% (1-Month USD-LIBOR + 1.700)% due 5/15/35(a)(e) | | | | | 3,500,960 | | | | | ||||
| | | | | | | DBJPM Mortgage Trust: | | | | | | | | | | ||||
| | | 21,195,000 | | | | Series 2017-C6, Class XB, 0.232% due 6/10/50(e)(g) | | | | | 326,255 | | | | | ||||
| | | 2,229,922 | | | | Series 2020-C9, Class XA, 1.712% due 9/15/53(e)(g) | | | | | 199,639 | | | | | ||||
| | | 610,000 | | | | DC Office Trust, Series 2019-MTC, Class A, 2.965% due 9/15/45(a) | | | | | 601,749 | | | | | ||||
| | | | | | | Deephaven Residential Mortgage Trust: | | | | | | | | | | ||||
| | | 223,489 | | | | Series 2021-1, Class A1, 0.715% due 5/25/65(a)(e) | | | | | 219,182 | | | | | ||||
| | | 342,828 | | | | Series 2021-2, Class A1, 0.899% due 4/25/66(a)(e) | | | | | 331,746 | | | | | ||||
| | | 5,106,197 | | | | DSLA Mortgage Loan Trust, Series 2005-AR4, Class 1A, 0.691% (1-Month USD-LIBOR + 0.520)% due 8/19/45(e) | | | | | 4,316,475 | | | | | ||||
| | | | | | | Ellington Financial Mortgage Trust: | | | | | | | | | | ||||
| | | 144,672 | | | | Series 2021-1, Class A1, 0.797% due 2/25/66(a)(e) | | | | | 140,823 | | | | | ||||
| | | 291,544 | | | | Series 2021-2, Class A1, 0.931% due 6/25/66(a)(e) | | | | | 282,828 | | | | | ||||
| | | 1,070,244 | | | | Series 2021-3, Class A1, 1.241% due 9/25/66(a)(e) | | | | | 1,022,376 | | | | | ||||
| | | 805,863 | | | | Series 2022-1, Class A1, 2.206% due 1/25/67(a)(e) | | | | | 799,278 | | | | |
| Face Amount/Units | | | Security | | | Value | | | | ||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | | | ||||||||||||||||
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC). REMICS: | | | | ||||||||||
| | $ | 816,252 | | | | Series 3835, Class FO, 0.000% due 4/15/41(h) | | | | $ | 740,334 | | | | | ||||
| | | 1,451,033 | | | | Series 4116, Class AP, 1.350% due 8/15/42 | | | | | 1,380,482 | | | | | ||||
| | | 4,054,299 | | | | Series 4223, Class SB, 5.303% (1-Month USD-LIBOR + 5.431)% due 7/15/43(e) | | | | | 3,970,601 | | | | | ||||
| | | 1,000,000 | | | | Series 4265, Class GL, 3.000% due 4/15/42 | | | | | 1,023,947 | | | | | ||||
| | | 896,896 | | | | Series 4447, Class IO, 5.000% due 3/15/45(g) | | | | | 183,073 | | | | | ||||
| | | 4,271,633 | | | | Series 4640, Class VB, 3.000% due 3/15/37 | | | | | 4,293,471 | | | | | ||||
| | | 8,959,550 | | | | Series 4655, Class CZ, 3.000% due 2/15/47 | | | | | 9,034,167 | | | | | ||||
| | | 20,943,277 | | | | Series 4726, Class Z, 3.500% due 10/15/47 | | | | | 21,892,939 | | | | | ||||
| | | 5,564,901 | | | | Series 4892, Class ES, 5.963% (1-Month USD-LIBOR + 6.150)% due 7/25/45(e)(g) | | | | | 1,048,967 | | | | | ||||
| | | 417,644 | | | | Series 5018, Class LW, 1.000% due 10/25/40 | | | | | 387,930 | | | | | ||||
| | | 1,954,352 | | | | Series 5092, Class WI, 2.500% due 4/25/36(g) | | | | | 199,708 | | | | | ||||
| | | | | | | Federal National Mortgage Association (FNMA), Aces: | | | | | | | | | | ||||
| | | 7,207,175 | | | | Series 2017-M2, Class A2, 2.796% due 2/25/27(e) | | | | | 7,477,569 | | | | | ||||
| | | 4,695,000 | | | | Series 2018-M14, Class A2, 3.581% due 8/25/28(e) | | | | | 5,080,218 | | | | | ||||
| | | 1,365,485 | | | | Series 2018-M7, Class A2, 3.046% due 3/25/28(e) | | | | | 1,429,501 | | | | | ||||
| | | 14,097,596 | | | | Series 2020-M15, Class X1, 1.568% due 9/25/31(e)(g) | | | | | 1,645,118 | | | | | ||||
| | | 20,936,363 | | | | Series 2020-M7, Class X2, 1.242% due 3/25/31(e)(g) | | | | | 1,719,158 | | | | | ||||
| | | 8,563,000 | | | | Series 2022-M4, Class A1X, 2.466% due 5/25/30 | | | | | 8,713,126 | | | | | ||||
| | | 8,563,000 | | | | Series 2022-M5, Class A1, 2.419% due 1/1/34(e) | | | | | 8,687,167 | | | | | ||||
| | | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | | | | | | | ||||
| | | 149,935 | | | | Series 2011-51, Class TO, 0.000% due 6/25/41(h) | | | | | 133,336 | | | | | ||||
| | | 1,072,000 | | | | Series 2013-62, Class PY, 2.500% due 6/25/43 | | | | | 1,072,128 | | | | | ||||
| | | 2,003,790 | | | | Series 2013-72, Class IW, 3.500% due 7/25/33(g) | | | | | 178,917 | | | | | ||||
| | | 3,297,101 | | | | Series 2014-11, Class KZ, 2.500% due 10/25/41 | | | | | 3,267,136 | | | | | ||||
| | | 1,052,227 | | | | Series 2015-55, Class PD, 2.500% due 3/25/43 | | | | | 1,052,583 | | | | | ||||
| | | 751,922 | | | | Series 2017-105, Class ZE, 3.000% due 1/25/48 | | | | | 790,897 | | | | | ||||
| | | 696,004 | | | | Series 2017-107, Class GA, 3.000% due 8/25/45 | | | | | 697,790 | | | | | ||||
| | | 7,731,019 | | | | Series 2017-24, Class LG, 3.000% due 4/25/37 | | | | | 7,916,341 | | | | | ||||
| | | | | | | FMC GMSR Issuer Trust: | | | | | | | | | | ||||
| | | 4,000,000 | | | | Series 2021-GT1, Class A, 3.620% due 7/25/26(a)(e) | | | | | 3,874,505 | | | | | ||||
| | | 3,420,000 | | | | Series 2021-GT2, Class A, 3.850% due 10/25/26(a)(d)(e) | | | | | 3,320,637 | | | | | ||||
| | | | | | | Freddie Mac Multifamily Structured Pass-Through Certificates: | | | | | | | | | | | | | |
| | | 109,278,376 | | | | Series K064, Class X1, 0.605% due 3/25/27(e)(g) | | | | | 2,957,029 | | | | | ||||
| | | 6,770,000 | | | | Series K084, Class A2, 3.780% due 10/25/28(e) | | | | | 7,334,796 | | | | | ||||
| | | 6,000,000 | | | | Series K085, Class A2, 4.060% due 10/25/28(e) | | | | | 6,611,297 | | | | | ||||
| | | 2,975,000 | | | | Series K088, Class A2, 3.690% due 1/25/29 | | | | | 3,239,310 | | | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 25,040,504 | | | | Series K116, Class X1, 1.426% due 7/25/30(e)(g) | | | | $ | 2,483,532 | | |
| | | 58,668,665 | | | | Series K119, Class X1, 0.932% due 9/25/30(e)(g) | | | | | 3,953,458 | | |
| | | 22,745,632 | | | | Series K120, Class X1, 1.039% due 10/25/30(e)(g) | | | | | 1,697,632 | | |
| | | 41,492,542 | | | | Series K121, Class X1, 1.025% due 10/25/30(e)(g) | | | | | 3,045,988 | | |
| | | 12,777,987 | | | | Series K122, Class X1, 0.882% due 11/25/30(e)(g) | | | | | 828,691 | | |
| | | 23,950,301 | | | | Series K124, Class X1, 0.721% due 12/25/30(e)(g) | | | | | 1,317,650 | | |
| | | 53,901,065 | | | | Series K125, Class X1, 0.585% due 1/25/31(e)(g) | | | | | 2,402,074 | | |
| | | 30,187,745 | | | | Series K130, Class X1, 1.037% due 6/25/31(e)(g) | | | | | 2,487,787 | | |
| | | 55,996,832 | | | | Series K132, Class X1, 0.508% due 8/25/31(e)(g) | | | | | 2,396,132 | | |
| | | 30,880,007 | | | | Series K-1519, Class X1, 0.609% due 12/25/35(e)(g) | | | | | 1,911,222 | | |
| | | 5,500,000 | | | | Series KIR3, Class A2, 3.281% due 8/25/27 | | | | | 5,800,741 | | |
| | | 1,500,000 | | | | Series Q001, Class A3, 3.815% due 2/25/32 | | | | | 1,596,313 | | |
| | | 1,148,116 | | | | Freddie Mac Strips, Series 303, Class C10, 3.500% due 1/15/33(g) | | | | | 127,883 | | |
| | | | | | | FREMF Mortgage Trust: | | | | | | | |
| | | 2,000,000 | | | | Series 2019-K102, Class B, 3.531% due 12/25/51(a)(e) | | | | | 2,016,379 | | |
| | | 3,980,000 | | | | Series 2019-K97, Class B, 3.765% due 9/25/51(a)(e) | | | | | 4,145,013 | | |
| | | 1,885,000 | | | | Series 2020-K105, Class B, 3.530% due 3/25/53(a)(e) | | | | | 1,899,053 | | |
| | | 921,758 | | | | FWDSecuritization Trust, Series 2019-INV1, Class A3, 3.110% due 6/25/49(a)(e) | | | | | 922,564 | | |
| | | | | | | GCAT Trust: | | | | | | | |
| | | 759,213 | | | | Series 2021-NQM1, Class A1, 0.874% due 1/25/66(a)(e) | | | | | 743,244 | | |
| | | 651,751 | | | | Series 2021-NQM2, Class A1, 1.036% due 5/25/66(a)(e) | | | | | 631,587 | | |
| | | 902,991 | | | | Series 2021-NQM3, Class A1, 1.091% due 5/25/66(a)(e) | | | | | 876,064 | | |
| | | 1,146,351 | | | | Series 2021-NQM4, Class A1, 1.093% due 8/25/66(a)(e) | | | | | 1,108,073 | | |
| | | 1,584,961 | | | | Series 2021-NQM5, Class A1, 1.262% due 7/25/66(a)(e) | | | | | 1,530,799 | | |
| | | 668,104 | | | | Series 2021-NQM7, Class A1, 1.915% due 8/25/66(a)(e) | | | | | 658,666 | | |
| | | | | | | Government National Mortgage Association (GNMA): | | | | | | | |
| | | 788,975 | | | | Series 2012-116, Class IB, 4.000% due 9/16/42(g) | | | | | 163,628 | | |
| | | 1,504,413 | | | | Series 2012-32, Class Z, 3.500% due 3/20/42 | | | | | 1,555,420 | | |
| | | 29,790,321 | | | | Series 2020-173, Class JI, 2.000% due 11/20/50(g) | | | | | 3,207,700 | | |
| | | 15,943,620 | | | | Series 2021-129, Class IO, 0.987% due 6/16/63(e)(g) | | | | | 1,311,367 | | |
| | | 23,184,109 | | | | Series 2021-184, Class IO, 0.915% due 12/16/61(e)(g) | | | | | 1,859,099 | | |
| | | 23,933,127 | | | | Series 2021-218, Class IO, 0.962% due 10/16/61(e)(g) | | | | | 2,094,733 | | |
| | | 16,352,343 | | | | Series 2021-30, Class IB, 2.500% due 2/20/51(g) | | | | | 2,387,355 | | |
| | | 20,312,899 | | | | Series 2021-35, Class IO, 1.016% due 12/16/62(e)(g) | | | | | 1,709,609 | | |
| | | 20,686,627 | | | | Series 2021-52, Class IO, 0.765% due 4/16/63(e)(g) | | | | | 1,480,722 | | |
| | | 19,413,394 | | | | Series 2021-58, Class SL, 3.588% (1-Month USD-LIBOR + 3.750)% due 4/20/51(e)(g) | | | | | 1,728,314 | | |
| | | 5,975,175 | | | | Series 2021-77, Class EA, 1.000% due 7/20/50 | | | | | 5,630,849 | | |
| | | 21,949,096 | | | | Series 2021-79, Class IO, 0.911% due 8/16/63(e)(g) | | | | | 1,773,805 | | |
| Face Amount/Units | | | Security | | | Value | | | | ||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | | | ||||||||||||||||
| | | | | | | Great Wolf Trust: | | | | | |||||||||
| | $ | 500,000 | | | | Series 2019-WOLF, Class E, 2.923% (1-Month USD-LIBOR + 2.732)% due 12/15/36(a)(e) | | | | $ | 479,947 | | | | | ||||
| | | 500,000 | | | | Series 2019-WOLF, Class F, 3.322% (1-Month USD-LIBOR + 3.131)% due 12/15/36(a)(e) | | | | | 474,935 | | | | | ||||
| | | | | | | GS Mortgage Securities Corp. Trust: | | | | | | | | | | ||||
| | | 400,000 | | | | Series 2018-TWR, Class D, 1.791% (1-Month USD-LIBOR + 1.600)% due 7/15/31(a)(e) | | | | | 379,882 | | | | | ||||
| | | 400,000 | | | | Series 2018-TWR, Class E, 2.291% (1-Month USD-LIBOR + 2.100)% due 7/15/31(a)(e) | | | | | 382,683 | | | | | | | | |
| | | 400,000 | | | | Series 2018-TWR, Class F, 2.991% (1-Month USD-LIBOR + 2.800)% due 7/15/31(a)(e) | | | | | 378,000 | | | | | ||||
| | | 400,000 | | | | Series 2018-TWR, Class G, 4.116% (1-Month USD-LIBOR + 3.925)% due 7/15/31(a)(e) | | | | | 348,791 | | | | | ||||
| | | 700,000 | | | | Series 2021-IP, Class D, 2.291% (1-Month USD-LIBOR + 2.100)% due 10/15/36(a)(e) | | | | | 688,478 | | | | | ||||
| | | | | | | GS Mortgage Securities Trust: | | | | | | | | | | ||||
| | | 705,000 | | | | Series 2015-GC30, Class A4, 3.382% due 5/10/50 | | | | | 720,218 | | | | | ||||
| | | 10,365,921 | | | | Series 2017-GS7, Class XA, 1.108% due 8/10/50(e)(g) | | | | | 463,829 | | | | | ||||
| | | 1,400,000 | | | | Series 2018-GS9, Class A4, 3.992% due 3/10/51(e) | | | | | 1,480,328 | | | | | ||||
| | | 1,200,000 | | | | Series 2018-GS9, Class C, 4.359% due 3/10/51(e) | | | | | 1,219,428 | | | | | ||||
| | | 1,500,000 | | | | Series 2020-GC45, Class A5, 2.911% due 2/13/53 | | | | | 1,494,167 | | | | | ||||
| | | 5,583,521 | | | | HarborView Mortgage Loan Trust, Series 2006-14, Class 2A1A, 0.321% (1-Month USD-LIBOR + 0.150)% due 1/25/47(e) | | | | | 5,245,447 | | | | | ||||
| | | 981,931 | | | | HPLY Trust, Series 2019-HIT, Class F, 3.341% (1-Month USD-LIBOR + 3.150)% due 11/15/36(a)(e) | | | | | 947,473 | | | | | ||||
| | | | | | | Imperial Fund Mortgage Trust: | | | | | | | | | | ||||
| | | 643,113 | | | | Series 2021-NQM2, Class A1, 1.073% due 9/25/56(a)(e) | | | | | 606,421 | | | | | ||||
| | | 1,035,762 | | | | Series 2021-NQM3, Class A1, 1.595% due 11/25/56(a)(e) | | | | | 973,391 | | | | | ||||
| | | | | | | IMT Trust: | | | | | | | | | | ||||
| | | 4,689,388 | | | | Series 2017-APTS, Class BFL, 1.141% (1-Month USD-LIBOR + 0.950)% due 6/15/34(a)(e) | | | | | 4,661,798 | | | | | ||||
| | | 2,309,489 | | | | Series 2017-APTS, Class CFL, 1.291% (1-Month USD-LIBOR + 1.100)% due 6/15/34(a)(e) | | | | | 2,295,905 | | | | | ||||
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | | | | | | | | ||||
| | | 805,000 | | | | Series 2018-WPT, Class FFX, 5.542% due 7/5/33(a)(e) | | | | | 799,204 | | | | | ||||
| | | 1,950,000 | | | | Series 2019-OSB, Class A, 3.397% due 6/5/39(a) | | | | | 2,001,854 | | | | | ||||
| | | 823,000 | | | | Series 2020-ACE, Class C, 3.694% due 1/10/37(a)(e) | | | | | 764,321 | | | | | ||||
| | | 805,000 | | | | Series 2020-LOOP, Class E, 3.861% due 12/5/38(a)(e) | | | | | 726,624 | | | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | JP Morgan Mortgage Trust: | | ||||||
| | $ | 2,770,120 | | | | Series 2006-S1, Class 2A9, 6.500% due 4/25/36 | | | | $ | 2,870,597 | | |
| | | 6,683,895 | | | | Series 2006-S4, Class A7, 6.000% due 1/25/37 | | | | | 3,869,166 | | |
| | | 1,584,866 | | | | Series 2021-3, Class B1, 2.949% due 7/1/51(a)(e) | | | | | 1,539,646 | | |
| | | | | | | JPMBB Commercial Mortgage Securities Trust: | | | | | | | |
| | | 380,000 | | | | Series 2014-C26, Class C, 4.377% due 1/15/48(e) | | | | | 378,318 | | |
| | | 1,667,000 | | | | Series 2015-C27, Class C, 4.318% due 2/15/48(e) | | | | | 1,631,816 | | |
| | | 2,200,000 | | | | Series 2015-C28, Class A4, 3.227% due 10/15/48 | | | | | 2,235,070 | | |
| | | 1,205,000 | | | | Series 2015-C28, Class C, 4.146% due 10/15/48(e) | | | | | 1,183,669 | | |
| | | 529,000 | | | | Series 2016-C1, Class A5, 3.576% due 3/17/49 | | | | | 546,021 | | |
| | | 1,100,000 | | | | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class A5, 3.490% due 7/15/50 | | | | | 1,137,751 | | |
| | | 1,123,000 | | | | JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7, Class B, 3.294% due 5/13/53(e) | | | | | 1,106,404 | | |
| | | | | | | Legacy Mortgage Asset Trust: | | | | | | | |
| | | 427,514 | | | | Series 2021-GS2, Class A1, step bond to yield, 1.750% due 4/25/61(a) | | | | | 417,210 | | |
| | | 548,723 | | | | Series 2021-GS3, Class A1, step bond to yield, 1.750% due 7/25/61(a) | | | | | 534,393 | | |
| | | 288,016 | | | | Series 2021-GS4, Class A1, step bond to yield, 1.650% due 11/25/60(a) | | | | | 277,787 | | |
| | | 3,749,848 | | | | Lehman XS Trust, Series 2007-4N, Class 1A3, 0.427% (1-Month USD-LIBOR + 0.240)% due 3/25/47(e) | | | | | 3,730,035 | | |
| | | 3,179,908 | | | | Life Mortgage Trust, Series 2021-BMR, Class D, 1.591% (1-Month USD-LIBOR + 1.400)% due 3/15/38(a)(e) | | | | | 3,080,533 | | |
| | | 829,000 | | | | Med Trust, Series 2021-MDLN, Class G, 5.442% (1-Month USD-LIBOR + 5.250)% due 11/15/38(a)(e) | | | | | 808,942 | | |
| | | 6,368,140 | | | | Merrill Lynch Mortgage Investors Trust, Series 2006-AF1, Class AF1, 5.750% due 8/25/36 | | | | | 3,637,140 | | |
| | | 518,197 | | | | MFA Trust, Series 2021-NQM1, Class A1, 1.153% due 4/25/65(a)(e) | | | | | 513,914 | | |
| | | 536,923 | | | | MFRA Trust, Series 2021-NQM2, Class A1, 1.029% due 11/25/64(a)(e) | | | | | 523,139 | | |
| | | | | | | Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | |
| | | 2,000,000 | | | | Series 2014-C17, Class C, 4.484% due 8/15/47(e) | | | | | 2,008,069 | | |
| | | 16,591,221 | | | | Series 2014-C19, Class XA, 0.956% due 12/15/47(e)(g) | | | | | 347,855 | | |
| | | 2,583,782 | | | | Series 2015-C20, Class A4, 3.249% due 2/15/48 | | | | | 2,637,074 | | |
| | | 1,405,000 | | | | Series 2015-C26, Class A5, 3.531% due 10/15/48 | | | | | 1,449,420 | | |
| | | 1,652,000 | | | | Series 2016-C31, Class C, 4.274% due 11/15/49(e) | | | | | 1,619,914 | | |
| | | | | | | Morgan Stanley Capital I Trust: | | | | | | | |
| | | 16,087,915 | | | | Series 2016-UB11, Class XA, 1.495% due 8/15/49(e)(g) | | | | | 794,867 | | |
| | | 12,368,994 | | | | Series 2016-UB12, Class XA, 0.655% due 12/15/49(e)(g) | | | | | 329,573 | | |
| | | 467,000 | | | | Series 2018-SUN, Class A, 1.091% (1-Month USD-LIBOR + 0.900)% due 7/15/35(a)(e) | | | | | 461,755 | | |
| | | 1,356,000 | | | | Series 2019-H7, Class AS, 3.524% due 7/15/52 | | | | | 1,368,610 | | |
| | | 583,000 | | | | Series 2019-H7, Class B, 3.725% due 7/15/52 | | | | | 583,643 | | |
| Face Amount/Units | | | Security | | | Value | | | | ||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | | | ||||||||||||||||
| | $ | 22,055,131 | | | | Series 2019-L3, Class XA, 0.640% due 11/15/52(e)(g) | | | | $ | 927,714 | | | | | ||||
| | | 806,000 | | | | Series 2020-L4, Class B, 3.082% due 2/15/53 | | | | | 779,069 | | | | | ||||
| | | 2,135,430 | | | | Morgan Stanley Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1, 2.693% due 10/25/60(a)(e) | | | | | 2,112,178 | | | | | ||||
| | | | | | | New Residential Mortgage Loan Trust: | | | | | | | | | | ||||
| | | 481,920 | | | | Series 2021-NQ1R, Class A1, 0.943% due 7/25/55(a)(e) | | | | | 472,941 | | | | | ||||
| | | 406,119 | | | | Series 2021-NQ2R, Class A1, 0.941% due 10/25/58(a)(e) | | | | | 400,616 | | | | | ||||
| | | 1,467,536 | | | | Series 2021-NQM3, Class A1, 1.156% due 11/27/56(a)(e) | | | | | 1,429,722 | | | | | ||||
| | | 1,275,411 | | | | NMLT Trust, Series 2021-INV1, Class A1, 1.185% due 5/25/56(a)(e) | | | | | 1,228,409 | | | | | ||||
| | | | | | | OBX Trust: | | | | | | | | | | ||||
| | | 997,988 | | | | Series 2021-NQM1, Class A1, 1.072% due 2/25/66(a)(e) | | | | | 976,657 | | | | | ||||
| | | 773,179 | | | | Series 2021-NQM3, Class A1, 1.054% due 7/25/61(a)(e) | | | | | 746,115 | | | | | ||||
| | | 1,471,680 | | | | Series 2022-NQM1, Class A1, 2.305% due 11/25/61(a)(e) | | | | | 1,455,077 | | | | | ||||
| | | | | | | PMT Credit Risk Transfer Trust: | | | | | | | | | | ||||
| | | 1,098,047 | | | | Series 2019-2R, Class A, 2.858% (1-Month USD-LIBOR + 2.750)% due 5/27/23(a)(e) | | | | | 1,091,356 | | | | | ||||
| | | 638,665 | | | | Series 2019-3R, Class A, 2.808% (1-Month USD-LIBOR + 2.700)% due 10/27/22(a)(e) | | | | | 637,760 | | | | | ||||
| | | 1,670,537 | | | | PRET LLC, Series 2021-RN3, Class A1, step bond to yield, 1.843% due 9/25/51(a) | | | | | 1,622,644 | | | | | ||||
| | | 1,518,392 | | | | Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1, step bond to yield, 1.992% due 2/25/61(a) | | | | | 1,473,639 | | | | | ||||
| | | | | | | PRPM LLC: | | | | | | | | | | ||||
| | | 368,397 | | | | Series 2021-2, Class A1, 2.115% due 3/25/26(a)(e) | | | | | 361,684 | | | | | ||||
| | | 632,110 | | | | Series 2021-3, Class A1, step bond to yield, 1.867% due 4/25/26(a) | | | | | 613,577 | | | | | ||||
| | | 829,562 | | | | Series 2021-4, Class A1, step bond to yield, 1.867% due 4/25/26(a) | | | | | 803,448 | | | | | ||||
| | | 780,646 | | | | Series 2021-5, Class A1, step bond to yield, 1.793% due 6/25/26(a) | | | | | 753,826 | | | | | ||||
| | | 803,243 | | | | Series 2021-6, Class A1, step bond to yield, 1.793% due 7/25/26(a) | | | | | 784,630 | | | | | ||||
| | | 4,461,333 | | | | Series 2021-7, Class A1, step bond to yield, 1.867% due 8/25/26(a) | | | | | 4,339,848 | | | | | ||||
| | | 789,741 | | | | Series 2021-8, Class A1, 1.743% due 9/25/26(a)(e) | | | | | 765,738 | | | | | ||||
| | | 2,069,304 | | | | Series 2021-9, Class A1, 2.363% due 10/25/26(a)(e) | | | | | 2,013,396 | | | | | ||||
| | | 313,413 | | | | Series 2021-RPL1, Class A1, 1.319% due 7/25/51(a)(e) | | | | | 303,830 | | | | | ||||
| | | 1,360,449 | | | | Rali Trust, Series 2005-QS13, Class 1A3, 5.500% due 9/25/35 | | | | | 1,308,070 | | | | | ||||
| | | 573,075 | | | | RCO VII Mortgage LLC, Series 2021-1, Class A1, step bond to yield, 1.868% due 5/26/26(a) | | | | | 562,801 | | | | | ||||
| | | 4,082,212 | | | | Residential Asset Securitization Trust, Series 2005-A8CB, Class A6, 5.000% due 7/25/35 | | | | | 3,017,036 | | | | | ||||
| | | | | | | Residential Mortgage Loan Trust: | | | | | | | | ||||||
| | | 3,100,000 | | | | Series 2020-1, Class M1, 3.242% due 1/26/60(a)(e) | | | | | 3,084,957 | | | | | ||||
| | | 418,327 | | | | Series 2021-1R, Class A1, 0.859% due 1/25/65(a)(e) | | | | | 412,879 | | | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | Seasoned Credit Risk Transfer Trust: | | ||||||
| | $ | 429,738 | | | | Series 2019-1, Class MA, 3.500% due 7/25/58 | | | | $ | 442,821 | | |
| | | 597,721 | | | | Series 2019-1, Class MT, 3.500% due 7/25/58 | | | | | 624,729 | | |
| | | 5,751,030 | | | | Series 2019-4, Class MV, 3.000% due 2/25/59 | | | | | 5,912,050 | | |
| | | 745,968 | | | | Series 2020-1, Class MT, 2.500% due 8/25/59 | | | | | 749,410 | | |
| | | 7,333,423 | | | | Series 2020-2, Class MT, 2.000% due 11/25/59 | | | | | 7,153,790 | | |
| | | 7,424,976 | | | | Series 2020-3, Class M5TW, 3.000% due 5/25/60 | | | | | 7,581,216 | | |
| | | 5,865,650 | | | | Seasoned Loans Structured Transaction Trust, Series 2020-2, Class A1D, 1.750% due 9/25/30 | | | | | 5,746,802 | | |
| | | 3,640,000 | | | | SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class B, 4.388% due 1/5/43(a)(e) | | | | | 3,426,109 | | |
| | | 165,000 | | | | SG Commercial Mortgage Securities Trust, Series 2016-C5, Class B, 3.933% due 10/10/48 | | | | | 163,141 | | |
| | | | | | | SG Residential Mortgage Trust: | | | | | | | |
| | | 1,100,514 | | | | Series 2021-1, Class A1, 1.160% due 7/25/61(a)(e) | | | | | 1,067,337 | | |
| | | 5,238,000 | | | | Series 2021-2, Class B1, 4.038% due 12/25/61(a)(e) | | | | | 4,970,945 | | |
| | | 5,150,000 | | | | SMRT, Series 2022-MINI, Class D, 2.050% (1-Month TSFR1M + 1.950)% due 1/15/24(a)(e) | | | | | 5,053,015 | | |
| | | 795,000 | | | | Soho Trust, Series 2021-SOHO, Class B, 2.697% due 8/10/38(a)(e) | | | | | 707,319 | | |
| | | 887,936 | | | | STAR Trust, Series 2021-1, Class A1, 1.219% due 5/25/65(a)(e) | | | | | 880,374 | | |
| | | | | | | Starwood Mortgage Residential Trust: | | | | | | | |
| | | 314,928 | | | | Series 2021-2, Class A1, 0.943% due 5/25/65(a)(e) | | | | | 310,641 | | |
| | | 1,049,959 | | | | Series 2021-3, Class A1, 1.127% due 6/25/56(a)(e) | | | | | 1,017,711 | | |
| | | 1,404,577 | | | | Series 2021-4, Class A1, 1.162% due 8/25/56(a)(e) | | | | | 1,370,771 | | |
| | | 1,154,584 | | | | Series 2021-6, Class A1, 1.920% due 11/25/66(a)(e) | | | | | 1,127,486 | | |
| | | 3,480,000 | | | | STWD Trust, Series 2021-FLWR, Class D, 1.566% (1-Month USD-LIBOR + 1.375)% due 7/15/36(a)(e) | | | | | 3,388,690 | | |
| | | 840,000 | | | | Toorak Mortgage Corp. Ltd., Series 2021-1, Class A1, step bond to yield, 2.240% due 6/25/24(a) | | | | | 827,140 | | |
| | | 1,611,725 | | | | Towd Point Mortgage Trust, Series 2021-R1, Class A1, 2.918% due 11/30/60(a)(e) | | | | | 1,595,443 | | |
| | | 700,000 | | | | Triangle Re Ltd., Series 2021-3, Class M1A, 1.949% (SOFR30A + 1.900)% due 2/25/34(a)(e) | | | | | 695,830 | | |
| | | 560,548 | | | | TRK Trust, Series 2021-INV1, Class A1, 1.153% due 7/25/56(a)(e) | | | | | 541,215 | | |
| | | | | | | UBS Commercial Mortgage Trust: | | | | | | | |
| | | 4,436,338 | | | | Series 2017-C1, Class XA, 1.528% due 6/15/50(e)(g) | | | | | 286,768 | | |
| | | 1,815,000 | | | | Series 2017-C7, Class A3, 3.418% due 12/15/50 | | | | | 1,856,753 | | |
| | | 3,908,100 | | | | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class XA, 0.885% due 3/10/46(a)(e)(g) | | | | | 16,359 | | |
| Face Amount/Units | | | Security | | | Value | | | | ||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | | | ||||||||||||||||
| | | | | | | VCAT LLC: | | | | ||||||||||
| | $ | 252,078 | | | | Series 2021-NPL2, Class A1, step bond to yield, 2.115% due 3/27/51(a)(d) | | | | $ | 247,275 | | | | | ||||
| | | 767,093 | | | | Series 2021-NPL3, Class A1, step bond to yield, 1.743% due 5/25/51(a) | | | | | 749,801 | | | | | ||||
| | | 1,138,065 | | | | Series 2021-NPL4, Class A1, step bond to yield, 1.868% due 8/25/51(a) | | | | | 1,107,010 | | | | | ||||
| | | | | | | Verus Securitization Trust: | | | | | | | | | | ||||
| | | 6,400,000 | | | | Series 2019-INV2, Class M1, 3.499% due 7/25/59(a)(e) | | | | | 6,422,929 | | | | | ||||
| | | 3,814,000 | | | | Series 2021-1, Class B1, 2.977% due 1/25/66(a)(e) | | | | | 3,700,665 | | | | | ||||
| | | 428,848 | | | | Series 2021-2, Class A1, 1.031% due 2/25/66(a)(e) | | | | | 419,258 | | | | | ||||
| | | 535,283 | | | | Series 2021-4, Class A1, 0.938% due 7/25/66(a)(e) | | | | | 512,536 | | | | | ||||
| | | 1,425,792 | | | | Series 2021-5, Class A1, 1.013% due 9/25/66(a)(e) | | | | | 1,363,587 | | | | | ||||
| | | 1,470,830 | | | | Series 2021-6, Class A1, 1.630% due 10/25/66(a)(e) | | | | | 1,434,712 | | | | | ||||
| | | 1,614,294 | | | | Series 2021-7, Class A1, 1.829% due 10/25/66(a)(e) | | | | | 1,574,738 | | | | | ||||
| | | 459,926 | | | | Series 2021-R1, Class A1, 0.820% due 10/25/63(a)(e) | | | | | 455,719 | | | | | ||||
| | | 508,787 | | | | Series 2021-R2, Class A1, 0.918% due 2/25/64(a)(e) | | | | | 502,971 | | | | | | | | |
| | | 1,070,000 | | | | Series 2022-1, Class A1, step bond to yield, 2.724% due 1/25/67(a) | | | | | 1,063,054 | | | | | ||||
| | | 446,537 | | | | VOLT C LLC, Series 2021-NPL9, Class A1, step bond to yield, 1.992% due 5/25/51(a) | | | | | 434,971 | | | | | ||||
| | | 1,022,977 | | | | VOLT XCIII LLC, Series 2021-NPL2, Class A1, step bond to yield, 1.893% due 2/27/51(a)(d) | | | | | 1,001,429 | | | | | ||||
| | | 2,229,200 | | | | VOLT XCVII LLC, Series 2021-NPL6, Class A1, step bond to yield, 2.240% due 4/25/51(a) | | | | | 2,188,719 | | | | | ||||
| | | | | | | Wells Fargo Commercial Mortgage Trust: | | | | | | | | | | ||||
| | | 1,400,000 | | | | Series 2016-BNK1, Class A3, 2.652% due 8/15/49 | | | | | 1,394,591 | | | | | ||||
| | | 9,892,850 | | | | Series 2017-C38, Class XA, 1.014% due 7/15/50(e)(g) | | | | | 405,811 | | | | | ||||
| | | 800,000 | | | | Series 2018-C45, Class ASB, 4.147% due 6/15/51 | | | | | 849,128 | | | | | ||||
| | | 806,000 | | | | Series 2020-C55, Class AS, 2.937% due 2/15/53 | | | | | 784,836 | | | | | ||||
| | | 9,272,780 | | | | Series 2020-C58, Class XA, 1.878% due 7/15/53(e)(g) | | | | | 1,151,514 | | | | | ||||
| | | 3,454,283 | | | | Series 2021-SAVE, Class D, 2.691% (1-Month USD-LIBOR + 2.500)% due 2/15/40(a)(e) | | | | | 3,402,370 | | | | | ||||
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $570,991,868) | | | | | 541,564,801 | | | | | ||||
| U.S. GOVERNMENT OBLIGATIONS – 22.7% | | | | | | | | ||||||||||||
| | | | | | | U.S. Treasury Bonds: | | | | | | | | | | ||||
| | | 1,675,000 | | | | 1.750% due 8/15/41 | | | | | 1,535,242 | | | | | ||||
| | | 8,410,000 | | | | 2.000% due 11/15/41 | | | | | 8,051,261 | | | | | ||||
| | | 6,715,000 | | | | 3.625% due 2/15/44 | | | | | 8,249,482 | | | | | ||||
| | | 12,905,000 | | | | 3.375% due 5/15/44 | | | | | 15,319,647 | | | | | ||||
| | | 1,390,000 | | | | 2.250% due 8/15/46 | | | | | 1,375,394 | | | | | ||||
| | | 8,500,000 | | | | 3.000% due 2/15/48 | | | | | 9,778,652 | | | | | ||||
| | | 7,800,000 | | | | 3.125% due 5/15/48 | | | | | 9,193,336 | | | | |
| Face Amount/Units | | | Security | | | Value | | | | ||||||||||
| U.S. GOVERNMENT OBLIGATIONS – (continued) | | | | ||||||||||||||||
| | $ | 53,865,000 | | | | 2.375% due 5/15/51 | | | | $ | 56,164,783 | | | | | ||||
| | | 53,000,000 | | | | 1.875% due 11/15/51 | | | | | 49,447,344 | | | | | ||||
| | | 3,230,000 | | | | 2.250% due 2/15/52 | | | | | 3,290,563 | | | | | ||||
| | | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | | | | | | | ||||
| | | 1,778,653 | | | | 0.875% due 2/15/47 | | | | | 2,225,193 | | | | | ||||
| | | 337,245 | | | | 0.125% due 2/15/51 | | | | | 362,669 | | | | | ||||
| | | 2,484,732 | | | | U.S. Treasury Inflation Indexed Notes, 0.125% due 7/15/30 | | | | | 2,715,783 | | | | | ||||
| | | | | | | U.S. Treasury Notes: | | | | | | | | | | ||||
| | | 46,305,000 | | | | 0.125% due 11/30/22 | | | | | 46,028,255 | | | | | ||||
| | | 20,300,000 | | | | 0.500% due 11/30/23 | | | | | 19,975,676 | | | | | ||||
| | | 55,095,000 | | | | 0.125% due 12/15/23(i) | | | | | 53,829,537 | | | | | ||||
| | | 4,600,000 | | | | 1.500% due 2/29/24 | | | | | 4,603,773 | | | | | ||||
| | | 26,530,000 | | | | 0.250% due 5/15/24 | | | | | 25,793,171 | | | | | ||||
| | | 5,900,000 | | | | 1.125% due 1/15/25 | | | | | 5,816,570 | | | | | ||||
| | | 14,100,000 | | | | 1.500% due 2/15/25 | | | | | 14,043,820 | | | | | ||||
| | | 31,060,000 | | | | 0.250% due 8/31/25 | | | | | 29,520,346 | | | | | ||||
| | | 5,700,000 | | | | 2.250% due 11/15/25 | | | | | 5,808,434 | | | | | ||||
| | | 8,240,000 | | | | 0.375% due 11/30/25 | | | | | 7,837,656 | | | | | ||||
| | | 10,785,000 | | | | 0.500% due 2/28/26 | | | | | 10,270,606 | | | | | ||||
| | | 22,515,000 | | | | 0.750% due 4/30/26 | | | | | 21,616,159 | | | | | ||||
| | | 9,900,000 | | | | 0.625% due 7/31/26 | | | | | 9,427,430 | | | | | ||||
| | | 5,900,000 | | | | 1.500% due 1/31/27 | | | | | 5,830,398 | | | | | ||||
| | | 11,800,000 | | | | 1.875% due 2/28/27 | | | | | 11,878,359 | | | | | ||||
| | | 3,326,000 | | | | 2.750% due 2/15/28 | | | | | 3,505,162 | | | | | ||||
| | | 18,880,000 | | | | 2.875% due 5/15/28 | | | | | 20,051,150 | | | | | ||||
| | | 18,600,000 | | | | 1.875% due 2/28/29 | | | | | 18,663,938 | | | | | ||||
| | | 1,835,000 | | | | 1.625% due 5/15/31 | | | | | 1,803,103 | | | | | | | | |
| | | 8,370,000 | | | | 1.250% due 8/15/31 | | | | | 7,947,577 | | | | | ||||
| | | 7,400,000 | | | | 1.875% due 2/15/32 | | | | | 7,427,750 | | | | | ||||
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $511,296,359) | | | | | 499,388,219 | | | | | ||||
| MORTGAGE-BACKED SECURITIES – 20.2% | | | | ||||||||||||||||
| FHLMC – 2.3% | | | | ||||||||||||||||
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC)., Gold: | | | | | | | | | | ||||
| | | 11,456,608 | | | | 3.000% due 3/1/35 – 4/1/50 | | | | | 11,732,036 | | | | | ||||
| | | 3,853,505 | | | | 3.030% due 1/1/50 | | | | | 3,918,380 | | | | | ||||
| | | 15,226,453 | | | | 3.500% due 12/1/46 – 1/1/48 | | | | | 15,931,797 | | | | | ||||
| | | 63,103 | | | | 4.000% due 12/1/47 | | | | | 66,405 | | | | |
| Face Amount/Units | | | Security | | | Value | | | | ||||||||||
| MORTGAGE-BACKED SECURITIES – (continued) | | | | ||||||||||||||||
| FHLMC – (continued) | | | | ||||||||||||||||
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC)., Gold UMBS: | | | | ||||||||||
| | $ | 7,010,792 | | | | 2.000% due 3/1/51 | | | | $ | 6,742,403 | | | | | ||||
| | | 7,192,120 | | | | 2.500% due 5/1/50 – 12/1/51 | | | | | 7,106,143 | | | | | ||||
| | | 2,450,214 | | | | 3.000% due 2/1/33 – 3/1/42 | | | | | 2,525,302 | | | | | ||||
| | | 1,005,606 | | | | 3.500% due 8/1/43 | | | | | 1,057,878 | | | | | ||||
| | | 1,898,018 | | | | 4.000% due 10/1/44 – 12/1/47 | | | | | 2,010,882 | | | | | ||||
| | | 465,686 | | | | 4.500% due 5/1/48 | | | | | 492,693 | | | | | ||||
| | | | | | | TOTAL FHLMC | | | | | 51,583,919 | | | | | ||||
| FNMA – 15.5% | | | | | | | | ||||||||||||
| | | | | | | Federal National Mortgage Association (FNMA) UMBS: | | | | | | | | | | ||||
| | | 2,555,000 | | | | 1.500% due 3/1/37 – 3/1/52(j) | | | | | 2,450,577 | | | | | ||||
| | | 58,006,000 | | | | 2.000% due 3/1/37 – 4/1/52(j) | | | | | 55,754,303 | | | | | ||||
| | | 635,099 | | | | 2.000% due 4/1/41 – 10/1/41 | | | | | 618,832 | | | | | ||||
| | | 34,900,600 | | | | 2.000% due 8/1/50 – 11/1/51 | | | | | 33,574,251 | | | | | ||||
| | | 78,847,953 | | | | 2.500% due 6/1/30 – 2/1/52 | | | | | 78,123,853 | | | | | ||||
| | | 86,039,000 | | | | 2.500% due 3/1/37 – 4/1/52(j) | | | | | 84,798,039 | | | | | ||||
| | | 27,247,800 | | | | 3.000% due 2/1/30 – 2/1/52 | | | | | 27,891,113 | | | | | ||||
| | | 8,115,000 | | | | 3.000% due 3/1/52(j) | | | | | 8,196,150 | | | | | ||||
| | | 5,093,706 | | | | 3.500% due 7/1/32 – 7/1/50 | | | | | 5,301,379 | | | | | ||||
| | | 4,131,000 | | | | 3.500% due 3/1/52(j) | | | | | 4,254,284 | | | | | ||||
| | | 1,517,582 | | | | 4.000% due 11/1/38 – 2/1/48 | | | | | 1,607,943 | | | | | ||||
| | | 643,561 | | | | 4.500% due 5/1/48 – 6/1/48 | | | | | 683,136 | | | | | ||||
| | | 1,894,000 | | | | 4.500% due 3/1/52(j) | | | | | 1,999,465 | | | | | ||||
| | | | | | | Federal National Mortgage Association (FNMA): | | | | | | | | | | ||||
| | | 13,000,000 | | | | 1.960% due 9/1/33 | | | | | 12,318,993 | | | | | ||||
| | | 2,359,456 | | | | 2.476% due 5/1/44(e) | | | | | 2,431,979 | | | | | ||||
| | | 1,688,028 | | | | 2.490% due 9/1/28 | | | | | 1,722,039 | | | | | ||||
| | | 4,443,000 | | | | 2.760% due 9/1/31 | | | | | 4,630,088 | | | | | ||||
| | | 4,941,277 | | | | 3.000% due 4/1/53 | | | | | 5,156,937 | | | | | ||||
| | | 8,500,000 | | | | 3.710% due 8/1/30 | | | | | 9,330,169 | | | | | ||||
| | | | | | | TOTAL FNMA | | | | | 340,843,530 | | | | | | | | |
| GNMA – 2.4% | | | | | | | | ||||||||||||
| | | | | | | Government National Mortgage Association (GNMA): | | | | | | | | | | ||||
| | | 1,650,000 | | | | 2.000% due 3/1/52(j) | | | | | 1,613,133 | | | | | ||||
| | | 4,450,000 | | | | 2.500% due 3/1/52(j) | | | | | 4,446,350 | | | | | ||||
| | | 10,360,000 | | | | 3.000% due 3/1/52(j) | | | | | 10,531,992 | | | | | ||||
| | | 5,710,000 | | | | 3.500% due 3/1/52(j) | | | | | 5,891,114 | | | | | ||||
| | | 1,185,000 | | | | 4.500% due 3/1/52(j) | | | | | 1,240,848 | | | | |
| Face Amount/Units | | | Security | | | Value | | | | ||||||||||
| MORTGAGE-BACKED SECURITIES – (continued) | | | | ||||||||||||||||
| GNMA – (continued) | | | | ||||||||||||||||
| | | | | | | Government National Mortgage Association (GNMA) II: | | | | ||||||||||
| | $ | 8,303,638 | | | | 2.500% due 9/20/51 – 10/20/51 | | | | $ | 8,345,574 | | | | | ||||
| | | 3,818,444 | | | | 3.000% due 4/20/31 – 12/20/51 | | | | | 3,903,985 | | | | | ||||
| | | 10,912,335 | | | | 3.500% due 8/20/42 – 2/20/52 | | | | | 11,319,928 | | | | | ||||
| | | 3,186,201 | | | | 4.000% due 10/20/44 – 3/20/49 | | | | | 3,363,871 | | | | | ||||
| | | 1,446,992 | | | | 4.500% due 2/20/40 – 8/20/49 | | | | | 1,549,828 | | | | | ||||
| | | | | | | TOTAL GNMA | | | | | 52,206,623 | | | | | ||||
| | | | | | | TOTAL MORTGAGE-BACKED SECURITIES (Cost – $450,591,524) | | | | | 444,634,072 | | | | | ||||
| ASSET-BACKED SECURITIES – 9.6% | | | | | | | | ||||||||||||
| | | 1,000,000 | | | | 37 Capital CLO I, Series 2021-1A, Class A, 1.403% (3-Month USD-LIBOR + 1.200)% due 10/15/34(a)(d)(e) | | | | | 999,197 | | | | | ||||
| | | 1,669,258 | | | | Aaset Trust, Series 2019-2, Class A, 3.376% due 10/16/39(a) | | | | | 1,568,208 | | | | | ||||
| | | 1,640,425 | | | | AASET US Ltd., Series 2018-1A, Class A, 3.844% due 1/16/38(a) | | | | | 1,305,242 | | | | | ||||
| | | 1,600,000 | | | | AIG CLO LLC, Series 2021-1A, Class A, 1.359% (3-Month USD-LIBOR + 1.100)% due 4/22/34(a)(e) | | | | | 1,579,291 | | | | | ||||
| | | 3,000,000 | | | | Aimco CLO 15 Ltd., Series 2021-15A, Class A, 1.361% (3-Month USD-LIBOR + 1.120)% due 10/17/34(a)(e) | | | | | 2,975,091 | | | | | ||||
| | | 500,000 | | | | Allegro CLO X Ltd., Series 2019-1A, Class AR, 1.404% (3-Month USD-LIBOR + 1.150)% due 7/20/32(a)(e) | | | | | 496,921 | | | | | ||||
| | | 500,000 | | | | ALM 2020 Ltd., Series 2020-1A, Class A2, 2.091% (3-Month USD-LIBOR + 1.850)% due 10/15/29(a)(e) | | | | | 497,173 | | | | | ||||
| | | 4,000,000 | | | | AMSR Trust, Series 2020-SFR4, Class E2, 2.456% due 11/17/37(a) | | | | | 3,739,249 | | | | | ||||
| | | 1,000,000 | | | | Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class B, 1.778% (3-Month USD-LIBOR + 1.500)% due 1/28/31(a)(e) | | | | | 995,857 | | | | | ||||
| | | 500,000 | | | | Apidos CLO XII, Series 2013-12A, Class CR, 2.041% (3-Month USD-LIBOR + 1.800)% due 4/15/31(a)(e) | | | | | 495,358 | | | | | ||||
| | | 260,000 | | | | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL2, Class A, 1.291% (1-Month USD-LIBOR + 1.100)% due 5/15/36(a)(e) | | | | | 258,729 | | | | | ||||
| | | 1,523,824 | | | | Asset Backed Securities Corp. Home Equity Loan Trust, Series 2007-HE2, Class A4, 0.417% (1-Month USD-LIBOR + 0.230)% due 5/25/37(e) | | | | | 1,226,622 | | | | | ||||
| | | 570,000 | | | | Avant Loans Funding Trust, Series 2021-REV1, Class A, 1.210% due 7/15/30(a) | | | | | 559,299 | | | | | ||||
| | | | | | | Avis Budget Rental Car Funding AESOP LLC: | | | | | | | | | | ||||
| | | 410,000 | | | | Series 2017-2A, Class A, 2.970% due 3/20/24(a) | | | | | 415,680 | | | | | ||||
| | | 5,920,000 | | | | Series 2020-1A, Class A, 2.330% due 8/20/26(a) | | | | | 5,922,832 | | | | | ||||
| | | 1,440,000 | | | | Bain Capital Credit CLO, Series 2019-1A, Class AR, 1.378% (3-Month USD-LIBOR + 1.130)% due 4/19/34(a)(e) | | | | | 1,431,577 | | | | |
| Face Amount/Units | | | Security | | | Value | | | | ||||||||||
| ASSET-BACKED SECURITIES – (continued) | | | | ||||||||||||||||
| | | | | | | Bain Capital Credit CLO Ltd.: | | | | ||||||||||
| | $ | 1,660,000 | | | | Series 2017-2A, Class AR2, 1.438% (3-Month USD-LIBOR + 1.180)% due 7/25/34(a)(e) | | | | $ | 1,654,593 | | | | | ||||
| | | 2,000,000 | | | | Series 2020-2A, Class AR, 1.418% (3-Month USD-LIBOR + 1.170)% due 7/19/34(a)(e) | | | | | 1,989,284 | | | | | ||||
| | | 1,000,000 | | | | Battalion CLO XI Ltd., Series 2017-11A, Class AR, 1.409% (3-Month USD-LIBOR + 1.150)% due 4/24/34(a)(e) | | | | | 995,158 | | | | | ||||
| | | 274,349 | | | | BHG Securitization Trust, Series 2021-B, Class A, 0.900% due 10/17/34(a) | | | | | 270,316 | | | | | ||||
| | | 1,085,000 | | | | BlueMountain CLO XXIV Ltd., Series 2019-24A, Class AR, 1.354% (3-Month USD-LIBOR + 1.100)% due 4/20/34(a)(e) | | | | | 1,074,266 | | | | | | | | |
| | | 2,055,000 | | | | BlueMountain CLO XXXI Ltd., Series 2021-31A, Class A1, 1.398% (3-Month USD-LIBOR + 1.150)% due 4/19/34(a)(e) | | | | | 2,043,344 | | | | | ||||
| | | | | | | BSPRT Issuer Ltd.: | | | | | | | | | | ||||
| | | 775,000 | | | | Series 2021-FL6, Class A, 1.291% (1-Month USD-LIBOR + 1.100)% due 3/15/36(a)(e) | | | | | 771,062 | | | | | ||||
| | | 368,600 | | | | Series 2021-FL7, Class B, 2.241% (1-Month USD-LIBOR + 2.050)% due 12/15/38(a)(e) | | | | | 367,691 | | | | | ||||
| | | 2,000,000 | | | | Capital Four US CLO I Ltd., Series 2021-1A, Class A, 1.453% (3-Month USD-LIBOR + 1.210)% due 1/18/35(a)(e) | | | | | 1,982,500 | | | | | ||||
| | | 1,973,747 | | | | Carlyle Global Market Strategies CLO Ltd., Series 2014-3RA, Class A1A, 1.318% (3-Month USD-LIBOR + 1.050)% due 7/27/31(a)(e) | | | | | 1,971,996 | | | | | ||||
| | | | | | | Carlyle US CLO Ltd.: | | | | | | | | | | ||||
| | | 765,000 | | | | Series 2021-2A, Class A1, 1.334% (3-Month USD-LIBOR + 1.080)% due 4/20/34(a)(e) | | | | | 758,690 | | | | | ||||
| | | 1,537,000 | | | | Series 2021-3SA, Class A1, 1.301% (3-Month USD-LIBOR + 1.060)% due 4/15/34(a)(e) | | | | | 1,521,891 | | | | | ||||
| | | 1,700,000 | | | | Carmax Auto Owner Trust, Series 2021-1, Class C, 0.940% due 12/15/26 | | | | | 1,646,089 | | | | | ||||
| | | 1,671,807 | | | | Carrington Mortgage Loan Trust, Series 2006-NC4, Class A3, 0.347% (1-Month USD-LIBOR + 0.160)% due 10/25/36(e) | | | | | 1,637,365 | | | | | ||||
| | | 1,077,257 | | | | Castlelake Aircraft Securitization Trust, Series 2018-1, Class A, 4.125% due 6/15/43(a) | | | | | 1,049,655 | | | | | ||||
| | | 500,000 | | | | CBAM Ltd., Series 2019-10A, Class A1R, 1.374% (3-Month USD-LIBOR + 1.120)% due 4/20/32(a)(e) | | | | | 498,857 | | | | | ||||
| | | 4,822,116 | | | | C-BASS Trust, Series 2006-CB9, Class A4, 0.417% (1-Month USD-LIBOR + 0.230)% due 11/25/36(e) | | | | | 2,864,958 | | | | | ||||
| | | 2,660,000 | | | | Cedar Funding IV CLO Ltd., Series 2014-4A, Class ARR, 1.419% (3-Month USD-LIBOR + 1.160)% due 7/23/34(a)(e) | | | | | 2,636,810 | | | | | ||||
| | | 110,918 | | | | CF Hippolyta LLC, Series 2021-1A, Class B1, 1.980% due 3/15/61(a) | | | | | 104,637 | | | | | ||||
| | | 5,909,907 | | | | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640% due 2/18/46(a) | | | | | 5,599,085 | | | | | ||||
| | | 465,000 | | | | Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.000% due 5/15/30(a) | | | | | 453,931 | | | | |
| Face Amount/Units | | | Security | | | Value | | | | ||||||||||
| ASSET-BACKED SECURITIES – (continued) | | | | ||||||||||||||||
| | $ | 4,624,823 | | | | Credit-Based Asset Servicing & Securitization LLC, Series 2006-CB4, Class AV4, 0.427% (1-Month USD-LIBOR + 0.480)% due 5/25/36(e) | | | | $ | 3,723,513 | | | | | ||||
| | | 679,863 | | | | Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662% due 4/25/51(a) | | | | | 651,758 | | | | | ||||
| | | 2,000,000 | | | | Dryden 53 CLO Ltd., Series 2017-53A, Class A, 1.361% (3-Month USD-LIBOR + 1.120)% due 1/15/31(a)(e) | | | | | 1,994,028 | | | | | ||||
| | | | | | | Exeter Automobile Receivables Trust: | | | | | | | | | | ||||
| | | 600,000 | | | | Series 2021-1A, Class D, 1.080% due 11/16/26 | | | | | 585,678 | | | | | ||||
| | | 900,000 | | | | Series 2021-1A, Class E, 2.210% due 2/15/28(a) | | | | | 869,729 | | | | | ||||
| | | 5,851,636 | | | | First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A1, 0.327% (1-Month USD-LIBOR + 0.140)% due 3/25/37(e) | | | | | 3,922,368 | | | | | ||||
| | | 2,685,000 | | | | Ford Credit Auto Lease Trust, Series 2021-A, Class C, 0.780% due 9/15/25 | | | | | 2,636,480 | | | | | ||||
| | | | | | | Ford Credit Auto Owner Trust: | | | | | | | | | | ||||
| | | 6,750,000 | | | | Series 2020-1, Class C, 2.540% due 8/15/31(a) | | | | | 6,682,794 | | | | | ||||
| | | 3,650,000 | | | | Series 2020-2, Class C, 1.740% due 4/15/33(a) | | | | | 3,532,953 | | | | | ||||
| | | 2,000,000 | | | | Franklin Park Place CLO I LLC, Series 2022-1A, Class A, 0.000% (3-Month TSFR3M + 1.400)% due 4/14/35(a)(d)(e) | | | | | 1,999,514 | | | | | ||||
| | | 202,813 | | | | FREED ABS Trust, Series 2021-3FP, Class A, 0.620% due 11/20/28(a) | | | | | 202,266 | | | | | ||||
| | | 1,690,000 | | | | FS Rialto, Series 2021-FL3, Class A, 1.376% (1-Month USD-LIBOR + 1.250)% due 11/16/36(a)(e) | | | | | 1,682,691 | | | | | ||||
| | | 560,000 | | | | FS RIALTO, Series 2021-FL2, Class A, 1.346% (1-Month USD-LIBOR + 1.220)% due 5/16/38(a)(e) | | | | | 554,418 | | | | | ||||
| | | 2,500,000 | | | | Generate CLO 6 Ltd., Series 6A, Class A1R, 1.449% (3-Month USD-LIBOR + 1.200)% due 1/22/35(a)(e) | | | | | 2,471,192 | | | | | ||||
| | | 500,000 | | | | Generate CLO 9 Ltd., Series 9A, Class A, 0.000% (3-Month USD-LIBOR + 1.200)% due 10/20/34(a)(e) | | | | | 495,816 | | | | | ||||
| | | | | | | GM Financial Automobile Leasing Trust: | | | | | | | | | | ||||
| | | 500,000 | | | | Series 2020-1, Class D, 2.280% due 6/20/24 | | | | | 501,675 | | | | | ||||
| | | 1,000,000 | | | | Series 2020-2, Class D, 3.210% due 12/20/24 | | | | | 1,015,500 | | | | | | | | |
| | | 2,750,000 | | | | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class C, 1.040% due 5/17/27 | | | | | 2,655,491 | | | | | ||||
| | | 1,500,000 | | | | GoodLeap Sustainable Home Solutions Trust, Series 2021-5CS, Class C, 3.500% due 10/20/48(a) | | | | | 1,404,793 | | | | | ||||
| | | 785,000 | | | | Greystone CRE Notes Ltd., Series 2019-FL2, Class C, 2.191% (1-Month USD-LIBOR + 2.000)% due 9/15/37(a)(e) | | | | | 779,654 | | | | | ||||
| | | | | | | Halsey Point CLO I Ltd.: | | | | | | | | | | ||||
| | | 1,000,000 | | | | Series 2019-1A, Class A1A1, 1.604% (3-Month USD-LIBOR + 1.350)% due 1/20/33(a)(e) | | | | | 998,849 | | | | | ||||
| | | 1,000,000 | | | | Series 2019-1A, Class B1, 2.454% (3-Month USD-LIBOR + 2.200)% due 1/20/33(a)(e) | | | | | 1,000,763 | | | | | ||||
| | | 500,000 | | | | Halseypoint CLO 5 Ltd., Series 2021-5A, Class A1A, 1.471% (3-Month USD-LIBOR + 1.210)% due 1/30/35(a)(e) | | | | | 495,908 | | | | |
| Face Amount/Units | | | Security | | | Value | | | | ||||||||||
| ASSET-BACKED SECURITIES – (continued) | | | | ||||||||||||||||
| | | | | | | Home Partners of America Trust: | | | | ||||||||||
| | $ | 1,830,865 | | | | Series 2021-1, Class D, 2.477% due 9/17/41(a) | | | | $ | 1,706,831 | | | | | ||||
| | | 836,321 | | | | Series 2021-1, Class E, 2.577% due 9/17/41(a) | | | | | 771,027 | | | | | ||||
| | | 963,464 | | | | Series 2021-1, Class F, 3.325% due 9/17/41(a) | | | | | 884,206 | | | | | ||||
| | | 4,531,853 | | | | Horizon Aircraft Finance III Ltd., Series 2019-2, Class A, 3.425% due 11/15/39(a) | | | | | 4,361,502 | | | | | ||||
| | | 2,239,679 | | | | Invitation Homes Trust, Series 2018-SFR1, Class C, 1.370% (1-Month USD-LIBOR + 1.250)% due 3/17/37(a)(e) | | | | | 2,230,837 | | | | | ||||
| | | 4,019,200 | | | | JP Morgan Mortgage Acquisition Corp., Series 2005-WMC1, Class M4, 1.087% (1-Month USD-LIBOR + 0.900)% due 9/25/35(e) | | | | | 3,876,656 | | | | | ||||
| | | 1,000,000 | | | | LCM XV LP, Series 15A, Class DR, 3.954% (3-Month USD-LIBOR + 3.700)% due 7/20/30(a)(e) | | | | | 994,294 | | | | | ||||
| | | 1,790,000 | | | | Lendingpoint Asset Securitization Trust, Series 2021-A, Class C, 2.750% due 12/15/28(a) | | | | | 1,749,498 | | | | | ||||
| | | 500,000 | | | | Madison Park Funding XXXIV Ltd., Series 2019-34A, Class AR, 1.378% (3-Month USD-LIBOR + 1.120)% due 4/25/32(a)(e) | | | | | 499,830 | | | | | ||||
| | | 1,675,000 | | | | Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class A, 1.361% (3-Month USD-LIBOR + 1.120)% due 7/17/34(a)(e) | | | | | 1,663,255 | | | | | ||||
| | | 1,000,000 | | | | Marble Point CLO XIV Ltd., Series 2018-2A, Class A1R, 1.534% (3-Month USD-LIBOR + 1.280)% due 1/20/32(a)(e) | | | | | 994,925 | | | | | ||||
| | | 1,000,000 | | | | Marble Point CLO XXI Ltd., Series 2021-3A, Class A1, 1.481% (3-Month USD-LIBOR + 1.240)% due 10/17/34(a)(e) | | | | | 993,373 | | | | | ||||
| | | 1,000,000 | | | | Marble Point CLO XXII Ltd., Series 2021-2A, Class A, 1.458% (3-Month USD-LIBOR + 1.200)% due 7/25/34(a)(e) | | | | | 990,231 | | | | | ||||
| | | 2,000,000 | | | | Marlette Funding Trust, Series 2019-4A, Class C, 3.760% due 12/17/29(a) | | | | | 2,010,084 | | | | | ||||
| | | 1,955,000 | | | | ME Funding LLC, Series 2019-1, Class A2, 6.448% due 7/30/49(a) | | | | | 2,021,138 | | | | | ||||
| | | 490,000 | | | | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540% due 3/20/26(a) | | | | | 484,899 | | | | | ||||
| | | 9,117,438 | | | | Merrill Lynch Mortgage Investors Trust, Series 2006-HE6, Class A1, 0.467% (1-Month USD-LIBOR + 0.280)% due 11/25/37(e) | | | | | 5,962,917 | | | | | ||||
| | | | | | | MF1 Ltd.: | | | | | | | | | | ||||
| | | 3,300,000 | | | | Series 2022-FL8, Class A, 1.398% (SOFR30A + 1.350)% due 2/19/37(a)(e) | | | | | 3,289,976 | | | | | ||||
| | | 845,000 | | | | Series 2022-FL8, Class AS, 1.798% (SOFR30A + 1.750)% due 2/19/37(a)(e) | | | | | 842,793 | | | | | ||||
| | | 1,000,000 | | | | MKS CLO Ltd., Series 2017-1A, Class AR, 1.254% (3-Month USD-LIBOR + 1.000)% due 7/20/30(a)(e) | | | | | 993,576 | | | | | ||||
| | | 1,000,000 | | | | MP CLO III Ltd., Series 2013-1A, Class AR, 1.504% (3-Month USD-LIBOR + 1.250)% due 10/20/30(a)(e) | | | | | 999,996 | | | | | ||||
| | | 534,508 | | | | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970% due 12/16/69(a) | | | | | 515,017 | | | | | ||||
| | | 4,000,000 | | | | New Century Home Equity Loan Trust, Series 2005-B, Class M2, 0.677% (1-Month USD-LIBOR + 0.735)% due 10/25/35(e) | | | | | 3,845,144 | | | | | ||||
| | | 988,761 | | | | Northwoods Capital XVI Ltd., Series 2017-16A, Class A, 1.776% (3-Month USD-LIBOR + 1.270)% due 11/15/30(a)(e) | | | | | 989,392 | | | | | | | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 1,000,000 | | | | Ocean Trails CLO X, Series 2020-10A, Class AR, 1.461% (3-Month USD-LIBOR + 1.220)% due 10/15/34(a)(e) | | | | $ | 992,780 | | |
| | | | | | | Pagaya AI Debt Selection Trust: | | | | | | | |
| | | 1,099,547 | | | | Series 2021-1, Class B, 2.130% due 11/15/27(a) | | | | | 1,059,547 | | |
| | | 2,000,000 | | | | Series 2021-3, Class B, 1.740% due 5/15/29(a) | | | | | 1,923,072 | | |
| | | 1,500,000 | | | | Pagaya AI Debt Trust, Series 2022-1, Class B, 3.344% due 10/15/29(a) | | | | | 1,472,531 | | |
| | | 1,800,000 | | | | PMT Issuer Trust – FMSR, Series 2021-FT1, Class A, 3.108% (1-Month USD-LIBOR + 3.000)% due 3/25/26(a)(e) | | | | | 1,824,019 | | |
| | | 607,924 | | | | PRET LLC, Series 2021-NPL3, Class A1, step bond to yield, 1.868% due 7/25/51(a) | | | | | 594,749 | | |
| | | | | | | Pretium Mortgage Credit Partners I LLC: | | | | | | | |
| | | 758,860 | | | | Series 2021-NPL2, Class A1, step bond to yield, 1.992% due 6/27/60(a) | | | | | 739,146 | | |
| | | 1,607,721 | | | | Series 2021-NPL4, Class A1, step bond to yield, 2.363% due 10/27/60(a) | | | | | 1,569,061 | | |
| | | 1,900,000 | | | | Progress Residential Trust, Series 2021-SFR11, Class B, 2.732% due 1/17/39(a) | | | | | 1,819,628 | | |
| | | 2,000,000 | | | | Race Point IX CLO Ltd., Series 2015-9A, Class A1A2, 1.181% (3-Month USD-LIBOR + 0.940)% due 10/15/30(a)(e) | | | | | 1,990,596 | | |
| | | 1,510,000 | | | | Regatta VI Funding Ltd., Series 2016-1A, Class AR2, 1.414% (3-Month USD-LIBOR + 1.160)% due 4/20/34(a)(e) | | | | | 1,499,746 | | |
| | | 1,000,000 | | | | Regatta XI Funding Ltd., Series 2018-1A, Class B, 1.891% (3-Month USD-LIBOR + 1.650)% due 7/17/31(a)(e) | | | | | 996,885 | | |
| | | 1,720,000 | | | | RR 1 LLC, Series 2017-1A, Class A1AB, 1.391% (3-Month USD-LIBOR + 1.150)% due 7/15/35(a)(e) | | | | | 1,711,120 | | |
| | | 1,475,000 | | | | RR 16 Ltd., Series 2021-16A, Class A1, 1.351% (3-Month USD-LIBOR + 1.110)% due 7/15/36(a)(e) | | | | | 1,464,023 | | |
| | | 500,000 | | | | Sandstone Peak Ltd., Series 2021-1A, Class A1, 0.000% (3-Month USD-LIBOR + 1.220)% due 10/15/34(a)(e) | | | | | 499,543 | | |
| | | 208,060 | | | | SoFi Consumer Loan Program Trust, Series 2021-1, Class A, 0.490% due 9/25/30(a) | | | | | 205,915 | | |
| | | 1,000,000 | | | | Sofi Professional Loan Program Trust, Series 2018-B, Class BFX, 3.830% due 8/25/47(a) | | | | | 1,010,019 | | |
| | | 1,710,000 | | | | Sound Point CLO XXIX Ltd., Series 2021-1A, Class A, 1.328% (3-Month USD-LIBOR + 1.070)% due 4/25/34(a)(e) | | | | | 1,696,398 | | |
| | | 500,000 | | | | Sound Point CLO XXVII Ltd., Series 2020-2A, Class AR, 1.438% (3-Month USD-LIBOR + 1.180)% due 10/25/34(a)(e) | | | | | 496,363 | | |
| | | 3,500,000 | | | | STAR Trust, Series 2021-SFR1, Class G, 3.320% (1-Month USD-LIBOR + 3.200)% due 4/17/38(a)(e) | | | | | 3,479,714 | | |
| | | | | | | Structured Asset Investment Loan Trust: | | | | | | | |
| | | 6,039,388 | | | | Series 2005-5, Class M5, 1.162% (1-Month USD-LIBOR + 0.975)% due 6/25/35(e) | | | | | 6,264,175 | | |
| | | 8,700,000 | | | | Series 2006-4, Class A5, 0.497% (1-Month USD-LIBOR + 0.310)% due 7/25/36(e) | | | | | 3,647,458 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 903,034 | | | | Sunnova Helios II Issuer LLC, Series 2021-A, Class A, 1.800% due 2/20/48(a) | | | | $ | 867,209 | | |
| | | 1,985,309 | | | | Sunrun Demeter Issuer, Series 2021-2A, Class A, 2.270% due 1/30/57(a) | | | | | 1,915,141 | | |
| | | 1,955,000 | | | | Symphony CLO XXV Ltd., Series 2021-25A, Class A, 1.228% (3-Month USD-LIBOR + 0.980)% due 4/19/34(a)(e) | | | | | 1,935,728 | | |
| | | 1,720,000 | | | | Thompson Park CLO Ltd., Series 2021-1A, Class A1, 1.241% (3-Month USD-LIBOR + 1.000)% due 4/15/34(a)(e) | | | | | 1,699,515 | | |
| | | 7,021,459 | | | | TIF Funding II LLC, Series 2021-1A, Class A, 1.650% due 2/20/46(a) | | | | | 6,642,916 | | |
| | | 334,075 | | | | Tricolor Auto Securitization Trust, Series 2021-1A, Class A, 0.740% due 4/15/24(a) | | | | | 333,628 | | |
| | | 1,000,000 | | | | Trimaran Cavu Ltd., Series 2021-3A, Class A, 1.307% (3-Month USD-LIBOR + 1.210)% due 1/18/35(a)(e) | | | | | 996,923 | | |
| | | 550,000 | | | | TRTX Issuer Ltd., Series 2021-FL4, Class A, 1.320% (1-Month USD-LIBOR + 1.200)% due 3/15/38(a)(e) | | | | | 546,440 | | |
| | | | | | | Upstart Pass-Through Trust: | | | | | | | |
| | | 1,065,529 | | | | Series 2021-ST3, Class A, 2.000% due 5/20/27(a) | | | | | 1,051,249 | | |
| | | 1,143,286 | | | | Series 2021-ST4, Class A, 2.000% due 7/20/27(a) | | | | | 1,121,051 | | |
| | | | | | | Upstart Securitization Trust: | | | | | | | |
| | | 800,000 | | | | Series 2019-3, Class C, 5.381% due 1/21/30(a) | | | | | 813,351 | | |
| | | 1,500,000 | | | | Series 2020-1, Class C, 4.899% due 4/22/30(a) | | | | | 1,522,833 | | |
| | | 341,418 | | | | Series 2021-3, Class A, 0.830% due 7/20/31(a) | | | | | 338,204 | | |
| | | 818,165 | | | | Series 2021-4, Class A, 0.840% due 9/20/31(a) | | | | | 805,806 | | |
| | | 1,300,000 | | | | US Auto Funding LLC, Series 2019-1A, Class D, 8.060% due 11/15/25(a) | | | | | 1,328,168 | | |
| | | 1,663,637 | | | | VCAT LLC, Series 2021-NPL6, Class A1, step bond to yield, 1.917% due 9/25/51(a) | | | | | 1,615,457 | | |
| | | 1,710,000 | | | | Venture 42 CLO Ltd., Series 2021-42A, Class A1A, 1.371% (3-Month USD-LIBOR + 1.130)% due 4/15/34(a)(e) | | | | | 1,697,649 | | |
| | | 660,000 | | | | Venture 43 CLO Ltd., Series 2021-43A, Class A1, 1.481% (3-Month USD-LIBOR + 1.240)% due 4/15/34(a)(e) | | | | | 658,639 | | |
| | | 1,342,900 | | | | Vericrest Opportunity Loan Transferee, Series 2021-NP11, Class A1, step bond to yield, 1.868% due 8/25/51(a) | | | | | 1,313,768 | | |
| | | 960,522 | | | | VOLT CIII LLC, Series 2021-CF1, Class A1, step bond to yield, 1.992% due 8/25/51(a)(d) | | | | | 944,550 | | |
| | | 791,218 | | | | VOLT XCIV LLC, Series 2021-NPL3, Class A1, step bond to yield, 2.240% due 2/27/51(a) | | | | | 777,128 | | |
| | | 917,147 | | | | VOLT XCIX LLC, Series 2021-NPL8, Class A1, step bond to yield, 2.116% due 4/25/51(a) | | | | | 896,878 | | |
| | | 654,385 | | | | VOLT XCV LLC, Series 2021-NPL4, Class A1, step bond to yield, 2.240% due 3/27/51(a) | | | | | 641,696 | | |
| | | 1,335,000 | | | | Wellfleet CLO X Ltd., Series 2019-XA, Class A1R, 1.424% (3-Month USD-LIBOR + 1.170)% due 7/20/32(a)(e) | | | | | 1,322,815 | | |
| | | 890,525 | | | | Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370% due 6/15/51(a) | | | | | 848,270 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 995,902 | | | | Wind River CLO Ltd., Series 2014-1A, Class ARR, 1.291% (3-Month USD-LIBOR + 1.050)% due 7/18/31(a)(e) | | | | $ | 995,899 | | |
| | | 995,000 | | | | Wingstop Funding LLC, Series 2020-1A, Class A2, 2.841% due 12/5/50(a) | | | | | 972,752 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $217,432,319) | | | | | 212,447,883 | | |
| SOVEREIGN BONDS – 1.1% | | ||||||||||||
| Bermuda – 0.0% | | ||||||||||||
| | | 890,000 | | | | Bermuda Government International Bond, 2.375% due 8/20/30 | | | | | 841,050 | | |
| Brazil – 0.0% | | ||||||||||||
| | | | | | | Brazilian Government International Bond: | | | | | | | |
| | | 400,000 | | | | 3.750% due 9/12/31 | | | | | 361,016 | | |
| | | 400,000 | | | | 5.625% due 2/21/47 | | | | | 378,204 | | |
| | | | | | | Total Brazil | | | | | 739,220 | | |
| Chile – 0.2% | | ||||||||||||
| | | | | | | Chile Government International Bond: | | | | | | | |
| | | 360,000 | | | | 2.750% due 1/31/27 | | | | | 360,500 | | |
| | | 200,000 | | | | 2.550% due 1/27/32 | | | | | 188,546 | | |
| | | 470,000 | | | | 2.550% due 7/27/33 | | | | | 428,194 | | |
| | | 200,000 | | | | 3.500% due 1/31/34 | | | | | 198,294 | | |
| | | 1,570,000 | | | | 3.100% due 5/7/41 | | | | | 1,376,136 | | |
| | | 200,000 | | | | 3.500% due 1/25/50 | | | | | 181,876 | | |
| | | 200,000 | | | | 4.000% due 1/31/52 | | | | | 196,784 | | |
| | | 205,000 | | | | 3.500% due 4/15/53 | | | | | 183,293 | | |
| | | 400,000 | | | | 3.100% due 1/22/61 | | | | | 324,040 | | |
| | | 200,000 | | | | 3.250% due 9/21/71 | | | | | 161,172 | | |
| | | | | | | Total Chile | | | | | 3,598,835 | | |
| Colombia – 0.0% | | ||||||||||||
| | | | | | | Colombia Government International Bond: | | | | | | | |
| | | 350,000 | | | | 3.250% due 4/22/32 | | | | | 292,785 | | |
| | | 300,000 | | | | 5.000% due 6/15/45 | | | | | 249,975 | | |
| | | 600,000 | | | | 4.125% due 5/15/51 | | | | | 450,342 | | |
| | | | | | | Total Colombia | | | | | 993,102 | | |
| Dominican Republic – 0.0% | | ||||||||||||
| | | 300,000 | | | | Dominican Republic International Bond, 6.000% due 2/22/33(a) | | | | | 294,414 | | |
| Hungary – 0.0% | | ||||||||||||
| | | 1,070,000 | | | | Hungary Government International Bond, 2.125% due 9/22/31(a) | | | | | 963,274 | | |
| Indonesia – 0.0% | | ||||||||||||
| | | | | | | Indonesia Government International Bond: | | | |||||
| | | 200,000 | | | | 2.150% due 7/28/31 | | | | | 185,610 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Indonesia – (continued) | | ||||||||||||
| | $ | 700,000 | | | | 3.700% due 10/30/49 | | | | $ | 661,094 | | |
| | | | | | | Total Indonesia | | | | | 846,704 | | |
| Mexico – 0.3% | | ||||||||||||
| | | | | | | Mexico Government International Bond: | | ||||||
| | | 1,595,000 | | | | 2.659% due 5/24/31 | | | | | 1,464,976 | | |
| | | 460,000 | | | | 4.750% due 4/27/32 | | | | | 491,050 | | |
| | | 665,000 | | | | 3.500% due 2/12/34 | | | | | 625,439 | | |
| | | 1,560,000 | | | | 4.280% due 8/14/41 | | | | | 1,464,356 | | |
| | | 1,366,000 | | | | 4.750% due 3/8/44 | | | | | 1,350,523 | | |
| | | 200,000 | | | | 4.350% due 1/15/47 | | | | | 185,862 | | |
| | | 690,000 | | | | 3.771% due 5/24/61 | | | | | 559,549 | | |
| | | | | | | Total Mexico | | | | | 6,141,755 | | |
| Panama – 0.2% | | ||||||||||||
| | | | | | | Panama Government International Bond: | | | | | | | |
| | | 620,000 | | | | 2.252% due 9/29/32 | | | | | 547,671 | | |
| | | 1,515,000 | | | | 4.500% due 4/16/50 | | | | | 1,479,201 | | |
| | | 400,000 | | | | 4.300% due 4/29/53 | | | | | 376,864 | | |
| | | 200,000 | | | | 4.500% due 4/1/56 | | | | | 193,196 | | |
| | | 1,225,000 | | | | 3.870% due 7/23/60 | | | | | 1,053,168 | | |
| | | 400,000 | | | | 4.500% due 1/19/63 | | | | | 380,264 | | |
| | | | | | | Total Panama | | | | | 4,030,364 | | |
| Philippines – 0.2% | | ||||||||||||
| | | | | | | Philippine Government International Bond: | | | | | | | |
| | | 600,000 | | | | 1.648% due 6/10/31 | | | | | 530,291 | | |
| | | 500,000 | | | | 3.700% due 3/1/41 | | | | | 476,277 | | |
| | | 2,550,000 | | | | 3.700% due 2/2/42 | | | | | 2,431,728 | | |
| | | | | | | Total Philippines | | | | | 3,438,296 | | |
| Qatar – 0.0% | | ||||||||||||
| | | | | | | Qatar Government International Bond: | | | |||||
| | | 400,000 | | | | 3.400% due 4/16/25(a) | | | | | 414,839 | | |
| | | 250,000 | | | | 4.400% due 4/16/50(a) | | | | | 288,236 | | |
| | | | | | | Total Qatar | | | | | 703,075 | | |
| Romania – 0.1% | | ||||||||||||
| | | | | | | Romanian Government International Bond: | | ||||||
| | | 636,000 | | | | 3.000% due 2/27/27(a) | | | | | 619,697 | | |
| Face Amount/Units | | | Security | | | Value | | | | ||||||||||
| SOVEREIGN BONDS – (continued) | | | | ||||||||||||||||
| Romania – (continued) | | | | ||||||||||||||||
| | $ | 1,228,000 | | | | 3.000% due 2/14/31 | | | | $ | 1,122,244 | | | | | ||||
| | | | | | | Total Romania | | | | | 1,741,941 | | | | | ||||
| Saudi Arabia – 0.1% | | | | ||||||||||||||||
| | | | | | | Saudi Government International Bond: | | | | | | | | | | ||||
| | | 471,000 | | | | 2.250% due 2/2/33(a) | | | | | 442,975 | | | | | ||||
| | | 1,955,000 | | | | 4.500% due 10/26/46 | | | | | 2,114,063 | | | | | ||||
| | | 500,000 | | | | 3.450% due 2/2/61 | | | | | 454,712 | | | | | ||||
| | | | | | | Total Saudi Arabia | | | | | 3,011,750 | | | | | ||||
| South Korea – 0.0% | | | | ||||||||||||||||
| | | | | | | Korea Development Bank: | | | | | | | | | | ||||
| | | 300,000 | | | | 1.000% due 9/9/26 | | | | | 287,367 | | | | | ||||
| | | 400,000 | | | | 1.625% due 1/19/31 | | | | | 374,192 | | | | | ||||
| | | 200,000 | | | | Korea International Bond, 2.750% due 1/19/27 | | | | | 206,006 | | | | | ||||
| | | | | | | Total South Korea | | | | | 867,565 | | | | | ||||
| United Arab Emirates – 0.0% | | | | ||||||||||||||||
| | | 1,025,000 | | | | Finance Department Government of Sharjah, 3.625% due 3/10/33 | | | | | 960,950 | | | | | ||||
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $32,401,120) | | | | | 29,172,295 | | | | | ||||
| SENIOR LOANS(e) – 1.3% | | | | | | | | ||||||||||||
| | | 80,000 | | | | AAdvantage Loyality IP Ltd., 5.500% (3-Month USD-LIBOR + 0.475)% due 4/20/28 | | | | | 81,334 | | | | | ||||
| | | | | | | Acrisure LLC: | | | | | | | | | | ||||
| | | 151,810 | | | | 3.724% (3-Month USD-LIBOR + 0.350)% due 2/15/27 | | | | | 149,217 | | | | | ||||
| | | 225,000 | | | | 4.750% (3-Month USD-LIBOR + 0.425)% due 2/15/27 | | | | | 222,611 | | | | | ||||
| | | 40,625 | | | | Acuris Finance US Inc., 4.500% (3-Month USD-LIBOR + 0.400)% due 2/16/28 | | | | | 40,346 | | | | | ||||
| | | 139,650 | | | | ADMI Corp., 4.000% (1-Month USD-LIBOR + 0.350)% due 12/23/27 | | | | | 138,487 | | | | | ||||
| | | 24,938 | | | | Aegion Corp., 5.500% (3-Month USD-LIBOR + 0.475)% due 5/17/28 | | | | | 24,906 | | | | | ||||
| | | 165,000 | | | | Air Canada, 4.250% (3-Month USD-LIBOR + 0.350)% due 8/11/28 | | | | | 163,822 | | | | | ||||
| | | 109,175 | | | | AlixPartners LLP, 3.250% (1-Month USD-LIBOR + 0.275)% due 2/4/28 | | | | | 107,895 | | | | | ||||
| | | 107,250 | | | | Alliant Holdings Intermediate LLC, 3.459% (1-Month USD-LIBOR + 0.325)% due 5/9/25 | | | | | 105,890 | | | | | ||||
| | | 49,875 | | | | Allied Universal Holdco LLC, 4.250% (3-Month USD-LIBOR + 0.375)% due 5/12/28 | | | | | 49,160 | | | | | ||||
| | | 62,097 | | | | Allspring Buyer LLC, 3.750% (3-Month USD-LIBOR + 0.325)% due 11/1/28 | | | | | 61,786 | | | | | ||||
| | | 14,925 | | | | Alpha 3 BV, 3.000% (1-Month USD-LIBOR + 0.250)% due 3/18/28 | | | | | 14,850 | | | | | ||||
| | | 204,234 | | | | Alterra Mountain Co., 4.000% (1-Month USD-LIBOR + 0.350)% due 8/17/28 | | | | | 201,851 | | | | |
| Face Amount/Units | | | Security | | | Value | | | | ||||||||||
| SENIOR LOANS(e) – (continued) | | | | ||||||||||||||||
| | $ | 74,122 | | | | Amentum Government Services Holdings LLC, 3.709% (1-Month USD-LIBOR + 0.350)% due 1/29/27 | | | | $ | 73,412 | | | | | ||||
| | | | | | | American Airlines Inc.: | | | | | | | | | | ||||
| | | 43,323 | | | | 2.840% (3-Month USD-LIBOR + 0.200)% due 12/15/23 | | | | | 42,555 | | | | | ||||
| | | 53,900 | | | | 1.959% (1-Month USD-LIBOR + 0.175)% due 1/29/27 | | | | | 51,306 | | | | | ||||
| | | 44,550 | | | | American Residential Services LLC, 4.250% (3-Month USD-LIBOR + 0.350)% due 10/15/27 | | | | | 44,216 | | | | | ||||
| | | 54,725 | | | | American Trailer World Corp., 4.600% (1-Month USD-LIBOR + 0.375)% due 3/3/28 | | | | | 53,750 | | | | | ||||
| | | 9,900 | | | | AmWINS Group Inc., 3.000% (1-Month USD-LIBOR + 0.225)% due 2/19/28 | | | | | 9,734 | | | | | ||||
| | | 77,011 | | | | Artera Services LLC, 4.250% (3-Month USD-LIBOR + 0.325)% due 3/6/25 | | | | | 74,015 | | | | | ||||
| | | 500,000 | | | | Ascend Learning LLC, 4.000% (1-Month USD-LIBOR + 0.350)% due 12/11/28 | | | | | 493,045 | | | | | ||||
| | | 445,000 | | | | Astra Acquisition Corp., 5.750% (1-Month USD-LIBOR + 0.525)% due 10/25/28 | | | | | 433,875 | | | | | ||||
| | | | | | | Asurion LLC: | | | | | | | | | | ||||
| | | 238,623 | | | | 3.459% (1-Month USD-LIBOR + 0.325)% due 7/31/27 | | | | | 234,001 | | | | | ||||
| | | 20,000 | | | | 5.459% (1-Month USD-LIBOR + 0.525)% due 1/31/28 | | | | | 19,745 | | | | | | | | |
| | | 329,203 | | | | athenahealth Group Inc., 4.000% (3-Month USD-LIBOR + 0.350)% due 2/15/29 | | | | | 325,829 | | | | | ||||
| | | 74,625 | | | | Atlas Purchaser Inc., 6.000% (3-Month USD-LIBOR + 0.525)% due 5/8/28 | | | | | 73,039 | | | | | ||||
| | | | | | | Avaya Inc.: | | | | | | | | | | ||||
| | | 50,000 | | | | 4.191% (1-Month USD-LIBOR + 0.400)% due 12/15/27 | | | | | 49,430 | | | | | ||||
| | | 94,286 | | | | 4.441% (1-Month USD-LIBOR + 0.425)% due 12/15/27 | | | | | 93,432 | | | | | ||||
| | | | | | | Aveanna Healthcare LLC: | | | | | | | | | | ||||
| | | 314,361 | | | | due 7/17/28(k) | | | | | 309,881 | | | | | ||||
| | | 119,997 | | | | Aventiv Technologies LLC, 5.500% (3-Month USD-LIBOR + 0.450)% due 11/1/24 | | | | | 115,047 | | | | | ||||
| | | 119,244 | | | | Azalea TopCo Inc., 3.799% (3-Month USD-LIBOR + 0.350)% due 7/24/26 | | | | | 117,107 | | | | | ||||
| | | 31,736 | | | | Bausch Health Cos., Inc., 3.209% (1-Month USD-LIBOR + 0.300)% due 6/2/25 | | | | | 31,399 | | | | | ||||
| | | 141,259 | | | | Blackhawk Network Holdings Inc., 3.209% (1-Month USD-LIBOR + 0.300)% due 6/15/25 | | | | | 138,610 | | | | | ||||
| | | 150,588 | | | | Bright Bidco BV, 4.500% (3-Month USD-LIBOR + 0.350)% due 6/30/24 | | | | | 113,230 | | | | | ||||
| | | 113,844 | | | | Brookfield WEC Holdings Inc., 3.250% (1-Month USD-LIBOR + 0.275)% due 8/1/25 | | | | | 111,994 | | | | | ||||
| | | 13,978 | | | | Brown Group Holdings LLC, 3.000% (3-Month USD-LIBOR + 0.250)% due 6/7/28 | | | | | 13,811 | | | | | ||||
| | | 83,938 | | | | Cablevision Lightpath LLC, 3.750% (1-Month USD-LIBOR + 0.325)% due 11/30/27 | | | | | 83,056 | | | | | ||||
| | | 14,663 | | | | Calpine Corp., 2.209% (1-Month USD-LIBOR + 0.200)% due 8/12/26 | | | | | 14,355 | | | | | | |
| Face Amount/Units | | | Security | | | Value | | | ||||||||
| SENIOR LOANS(e) – (continued) | | | ||||||||||||||
| | $ | 9,900 | | | | Camelot U.S. Acquisition 1 Co., 4.000% (1-Month USD-LIBOR + 0.300)% due 10/30/26 | | | | $ | 9,835 | | | | ||
| | | | | | | Carnival Corp.: | | | | | | | | | ||
| | | 59,100 | | | | 3.750% (3-Month USD-LIBOR + 0.300)% due 6/30/25 | | | | | 58,273 | | | | ||
| | | 390,000 | | | | 4.000% (3-Month USD-LIBOR + 0.325)% due 10/18/28 | | | | | 385,125 | | | | ||
| | | 369,075 | | | | Cengage Learning Inc., 5.750% (3-Month USD-LIBOR + 0.475)% due 7/14/26 | | | | | 368,152 | | | | ||
| | | 123,750 | | | | Charter Next Generation Inc., 4.500% (1-Month USD-LIBOR + 0.375)% due 12/1/27 | | | | | 123,087 | | | | ||
| | | 234,413 | | | | CHG Healthcare Services Inc., 4.000% (3-Month USD-LIBOR + 0.350)% due 9/29/28 | | | | | 232,441 | | | | ||
| | | 220,000 | | | | CHG PPC Parent LLC, 3.500% (1-Month USD-LIBOR + 0.300)% due 12/8/28 | | | | | 213,400 | | | | ||
| | | 37,783 | | | | Clear Channel Outdoor Holdings Inc., 3.799% (3-Month USD-LIBOR + 0.350)% due 8/21/26 | | | | | 37,032 | | | | ||
| | | 41,010 | | | | ClubCorp Holdings Inc., 2.974% (3-Month USD-LIBOR + 0.275)% due 9/18/24 | | | | | 39,158 | | | | ||
| | | 142,114 | | | | CMG Media Corp., 3.709% (1-Month USD-LIBOR + 0.350)% due 12/17/26 | | | | | 140,180 | | | | ||
| | | 89,325 | | | | CNT Holdings I Corp., 4.250% (3-Month USD-LIBOR + 0.350)% due 11/8/27 | | | | | 88,792 | | | | ||
| | | 9,744 | | | | Columbus McKinnon Corp., 3.250% (6-Month USD-LIBOR + 0.275)% due 5/14/28 | | | | | 9,659 | | | | ||
| | | 168,393 | | | | Compass Power Generation LLC, 4.500% (1-Month USD-LIBOR + 0.350)% due 12/20/24 | | | | | 166,318 | | | | ||
| | | 44,888 | | | | Conair Holdings LLC, 4.250% (3-Month USD-LIBOR + 0.375)% due 5/17/28 | | | | | 44,364 | | | | ||
| | | 63,863 | | | | Connect Finco SARL, 4.500% (1-Month USD-LIBOR + 0.350)% due 12/11/26 | | | | | 62,984 | | | | ||
| | | 98,750 | | | | Conservice Midco LLC, 4.474% (3-Month USD-LIBOR + 0.425)% due 5/13/27 | | | | | 98,281 | | | | ||
| | | 87,975 | | | | Constellation Renewables LLC, 3.500% (3-Month USD-LIBOR + 0.250)% due 12/15/27 | | | | | 87,582 | | | | ||
| | | 54,863 | | | | CoreLogic Inc., 4.000% (1-Month USD-LIBOR + 0.350)% due 6/2/28 | | | | | 54,108 | | | | ||
| | | 84,117 | | | | Cornerstone Building Brands Inc., 3.750% (1-Month USD-LIBOR + 0.325)% due 4/12/28 | | | | | 82,014 | | | | ||
| | | 225,000 | | | | Cornerstone OnDemand Inc., 4.250% (3-Month USD-LIBOR + 0.375)% due 10/16/28 | | | | | 222,611 | | | | ||
| | | 208,439 | | | | CP Atlas Buyer Inc., 4.250% (3-Month USD-LIBOR + 0.375)% due 11/23/27 | | | | | 204,307 | | | | ||
| | | 159,200 | | | | CQP Holdco LP, 4.250% (3-Month USD-LIBOR + 0.375)% due 6/5/28 | | | | | 158,205 | | | | ||
| | | 15,303 | | | | CSC Holdings LLC, 2.441% (1-Month USD-LIBOR + 0.225)% due 7/17/25 | | | | | 14,822 | | | | ||
| | | 82,745 | | | | Cvent Inc., 3.959% (1-Month USD-LIBOR + 0.375)% due 11/29/24 | | | | | 82,693 | | | | | |
| | | 36,884 | | | | Cyanco Intermediate 2 Corp., 3.709% (1-Month USD-LIBOR + 0.350)% due 3/16/25 | | | | | 36,181 | | | | ||
| | | 100,655 | | | | Cyxtera DC Holdings Inc., 0.000% (3-Month USD-LIBOR + 0.300)% due 5/1/24 | | | | | 99,200 | | | |
| Face Amount/Units | | | Security | | | Value | | | | | ||||||||||||
| SENIOR LOANS(e) – (continued) | | | | | ||||||||||||||||||
| | $ | 147,561 | | | | DCert Buyer Inc., 4.209% (1-Month USD-LIBOR + 0.400)% due 10/16/26 | | | | $ | 146,782 | | | | | | ||||||
| | | | | | | DG Investment Intermediate Holdings 2 Inc.: | | | | | | | | | | | ||||||
| | | 164,180 | | | | 4.250% (1-Month USD-LIBOR + 0.350)% due 3/31/28 | | | | | 162,621 | | | | | | ||||||
| | | 15,000 | | | | 7.500% (1-Month USD-LIBOR + 0.675)% due 3/30/29 | | | | | 14,963 | | | | | | ||||||
| | | 58,772 | | | | Diamond Sports Group LLC, 5.500% (3-Month USD-LIBOR + 0.225)% due 8/24/26 | | | | | 21,804 | | | | | | ||||||
| | | 127,657 | | | | DIRECTV Financing LLC, 5.750% (3-Month USD-LIBOR + 0.500)% due 8/2/27 | | | | | 127,226 | | | | | | ||||||
| | | 39,800 | | | | DT Midstream Inc., 2.500% (3-Month USD-LIBOR + 0.200)% due 6/26/28 | | | | | 39,658 | | | | | | ||||||
| | | | | | | Dynasty Acquisition Co., Inc.: | | | | | | | | | | | ||||||
| | | 107,611 | | | | 3.724% (3-Month USD-LIBOR + 0.350)% due 4/6/26 | | | | | 104,173 | | | | | | ||||||
| | | 345,000 | | | | EAB Global Inc., 4.000% (3-Month USD-LIBOR + 0.350)% due 8/16/28 | | | | | 341,291 | | | | | | ||||||
| | | 24,875 | | | | Ecovyst Catalyst Technologies LLC, 3.250% (3-Month USD-LIBOR + 0.275)% due 6/9/28 | | | | | 24,631 | | | | | | ||||||
| | | 75,000 | | | | Edelman Financial Center LLC, 6.959% (1-Month USD-LIBOR + 0.675)% due 7/20/26 | | | | | 74,844 | | | | | | ||||||
| | | 39,800 | | | | Edelman Financial Engines Center LLC, 4.250% (1-Month USD-LIBOR + 0.350)% due 4/7/28 | | | | | 39,437 | | | | | | ||||||
| | | | | | | EG Group Ltd.: | | | | | ||||||||||||
| | | 67,456 | | | | 4.224% (3-Month USD-LIBOR + 0.400)% due 2/7/25 | | | | | 66,716 | | | | | | ||||||
| | | 39,801 | | | | 4.750% (3-Month USD-LIBOR + 0.425)% due 3/31/26 | | | | | 39,553 | | | | | | ||||||
| | | 149,250 | | | | Endurance International Group Holdings Inc., 4.250% (3-Month USD-LIBOR + 0.350)% due 2/10/28 | | | | | 143,653 | | | | | | ||||||
| | | 99,983 | | | | Envision Healthcare Corp., 3.959% (1-Month USD-LIBOR + 0.375)% due 10/10/25 | | | | | 72,496 | | | | | | ||||||
| | | 4,962 | | | | eResearchTechnology Inc., 5.500% (1-Month USD-LIBOR + 0.450)% due 2/4/27 | | | | | 4,952 | | | | | | ||||||
| | | 68,397 | | | | Excelitas Technologies Corp., 4.500% (3-Month USD-LIBOR + 0.350)% due 12/2/24 | | | | | 67,713 | | | | | | ||||||
| | | 230,000 | | | | Fertitta Entertainment LLC, 4.500% (1-Month USD-LIBOR + 0.400)% due 1/27/29 | | | | | 228,772 | | | | | | ||||||
| | | 97,406 | | | | Filtration Group Corp., 3.209% (1-Month USD-LIBOR + 0.300)% due 3/31/25 | | | | | 96,209 | | | | | | ||||||
| | | 106,514 | | | | First Advantage Holdings LLC, 2.959% (1-Month USD-LIBOR + 0.275)% due 1/31/27 | | | | | 105,506 | | | | | | ||||||
| | | | | | | First Student Bidco Inc.: | | | | | | | | | | | ||||||
| | | 345,000 | | | | 3.500% (3-Month USD-LIBOR + 0.300)% due 7/21/28 | | | | | 339,932 | | | | | | ||||||
| | | 122,454 | | | | Flex Acquisition Co., Inc., 3.214% (3-Month USD-LIBOR + 0.300)% due 6/29/25 | | | | | 121,744 | | | | | | | | ||||
| | | 106,987 | | | | Flexera Software LLC, 4.500% (3-Month USD-LIBOR + 0.375)% due 3/3/28 | | | | | 106,151 | | | | | | ||||||
| | | 149,391 | | | | Flutter Entertainment PLC, 2.474% (3-Month USD-LIBOR + 0.225)% due 7/21/26 | | | | | 147,727 | | | | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(e) – (continued) | | ||||||||||||
| | $ | 45,337 | | | | Forterra Finance LLC, 4.000% (1-Month USD-LIBOR + 0.300)% due 10/25/23 | | | | $ | 45,164 | | |
| | | 119,098 | | | | Gainwell Acquisition Corp., 4.750% (3-Month USD-LIBOR + 0.400)% due 10/1/27 | | | | | 118,403 | | |
| | | 155,000 | | | | Garda World Security Corp., 4.430% (1-Month USD-LIBOR + 0.425)% due 10/30/26 | | | | | 153,224 | | |
| | | 120,526 | | | | Getty Images Inc., 5.062% (3-Month USD-LIBOR + 0.450)% due 2/19/26 | | | | | 120,174 | | |
| | | 74,625 | | | | Gogo Intermediate Holdings LLC, 4.500% (3-Month USD-LIBOR + 0.375)% due 4/30/28 | | | | | 73,953 | | |
| | | 74,438 | | | | Grab Holdings Inc., 5.500% (3-Month USD-LIBOR + 0.450)% due 1/29/26 | | | | | 73,833 | | |
| | | 131,262 | | | | Graham Packaging Co., Inc., 3.750% (1-Month USD-LIBOR + 0.300)% due 8/4/27 | | | | | 129,822 | | |
| | | 152,721 | | | | Granite US Holdings Corp., 4.224% (3-Month USD-LIBOR + 0.400)% due 9/30/26 | | | | | 151,194 | | |
| | | 570,000 | | | | Gray Television Inc., 3.106% (1-Month USD-LIBOR + 0.300)% due 12/1/28 | | | | | 565,417 | | |
| | | 108,902 | | | | Great Outdoors Group LLC, 4.500% (3-Month USD-LIBOR + 0.375)% due 3/6/28 | | | | | 108,249 | | |
| | | 24,769 | | | | Greystone Select Financial LLC, 5.750% (3-Month USD-LIBOR + 0.500)% due 6/16/28 | | | | | 24,522 | | |
| | | 45,589 | | | | Gulf Finance LLC, 7.750% (1-Month USD-LIBOR + 0.675)% due 8/25/26 | | | | | 42,072 | | |
| | | 205,862 | | | | H-Food Holdings LLC, 3.896% (1-Month USD-LIBOR + 0.369)% due 5/23/25 | | | | | 199,729 | | |
| | | 84,788 | | | | HighTower Holding LLC, 4.750% (3-Month USD-LIBOR + 0.400)% due 4/21/28 | | | | | 84,130 | | |
| | | | | | | Hillman Group Inc.: | | | | | | | |
| | | 539 | | | | 2.790% (1-Month USD-LIBOR + 0.275)% due 7/14/28 | | | | | 532 | | |
| | | 28,115 | | | | 3.250% (1-Month USD-LIBOR + 0.275)% due 7/14/28 | | | | | 27,769 | | |
| | | 64,513 | | | | Horizon Therapeutics USA Inc., 2.250% (1-Month USD-LIBOR + 0.175)% due 3/15/28 | | | | | 63,572 | | |
| | | 505,000 | | | | Hunter Douglas NV, due 2/9/29(d)(j) | | | | | 497,112 | | |
| | | 195,206 | | | | Husky Injection Molding Systems Ltd., 3.354% (3-Month USD-LIBOR + 0.300)% due 3/28/25 | | | | | 191,140 | | |
| | | | | | | Hyland Software Inc.: | | | | | | | |
| | | 40,125 | | | | 7.000% (1-Month USD-LIBOR + 0.525)% due 7/7/25 | | | | | 40,225 | | |
| | | 10,000 | | | | 7.000% (1-Month USD-LIBOR + 0.525)% due 7/7/25(d) | | | | | 10,078 | | |
| | | | | | | Icon PLC: | | | | | | | |
| | | 185,902 | | | | 2.750% (3-Month USD-LIBOR + 0.225)% due 7/3/28 | | | | | 183,645 | | |
| | | 95,551 | | | | iHeartCommunications Inc., 3.209% (1-Month USD-LIBOR + 0.300)% due 5/1/26 | | | | | 94,391 | | |
| | | 119,400 | | | | Ingram Micro Inc., 4.000% (3-Month USD-LIBOR + 0.350)% due 6/30/28 | | | | | 118,654 | | |
| | | 245,000 | | | | Intelsat Jackson Holdings SA, 4.750% (3-Month USD-LIBOR + 0.425)% due 2/1/29 | | | | | 241,249 | | |
| Face Amount/Units | | | Security | | | Value | | | | | ||||||||||||
| SENIOR LOANS(e) – (continued) | | | | | ||||||||||||||||||
| | $ | 144,275 | | | | ION Trading Finance Ltd., 4.974% (3-Month USD-LIBOR + 0.475)% due 4/1/28 | | | | $ | 143,464 | | | | | | ||||||
| | | 118,800 | | | | IRB Holding Corp., 3.750% (1-Month USD-LIBOR + 0.300)% due 12/15/27 | | | | | 117,553 | | | | | | ||||||
| | | 144,275 | | | | Jazz Pharmaceuticals PLC, 4.000% (1-Month USD-LIBOR + 0.350)% due 5/5/28 | | | | | 143,626 | | | | | | | | | | | |
| | | 78,800 | | | | KBR Inc., 2.959% (1-Month USD-LIBOR + 0.275)% due 2/5/27 | | | | | 78,471 | | | | | | ||||||
| | | 112,700 | | | | Kestrel Bidco Inc., 4.000% (3-Month USD-LIBOR + 0.300)% due 12/11/26 | | | | | 109,531 | | | | | | ||||||
| | | 140,000 | | | | Kraton Corp., due 11/18/28(j) | | | | | 138,338 | | | | | | ||||||
| | | 108,912 | | | | Kronos Acquisition Holdings Inc., 4.250% (3-Month USD-LIBOR + 0.375)% due 12/22/26 | | | | | 100,456 | | | | | | ||||||
| | | 17 | | | | Lealand Finance Co. BV, 1.209% (1-Month USD-LIBOR + 0.100)% due 6/30/25 | | | | | 8 | | | | | | ||||||
| | | 177,368 | | | | LifePoint Health Inc., 3.959% (1-Month USD-LIBOR + 0.375)% due 11/16/25 | | | | | 175,263 | | | | | | ||||||
| | | 34,377 | | | | Lions Gate Capital Holdings LLC, 2.459% (1-Month USD-LIBOR + 0.225)% due 3/24/25 | | | | | 33,732 | | | | | | ||||||
| | | 141,360 | | | | Lummus Technology Holdings V LLC, 3.709% (1-Month USD-LIBOR + 0.350)% due 6/30/27 | | | | | 139,644 | | | | | | ||||||
| | | 36,267 | | | | Maravai Intermediate Holdings LLC, 3.500% (3-Month USD-LIBOR + 0.300)% due 10/19/27 | | | | | 35,972 | | | | | | ||||||
| | | 149,250 | | | | Mavis Tire Express Services Topco Corp., 4.750% (1-Month USD-LIBOR + 0.400)% due 5/4/28 | | | | | 148,411 | | | | | | ||||||
| | | 220,000 | | | | McAfee Corp., due 3/1/29(j) | | | | | 216,700 | | | | | | ||||||
| | | 162,171 | | | | MED ParentCo LP, 4.459% (1-Month USD-LIBOR + 0.425)% due 8/31/26 | | | | | 160,781 | | | | | | ||||||
| | | 430,000 | | | | Medline Borrower LP, 3.750% (1-Month USD-LIBOR + 0.325)% due 10/23/28 | | | | | 425,498 | | | | | | ||||||
| | | 123,417 | | | | Messer Industries GmbH, 2.724% (3-Month USD-LIBOR + 0.250)% due 3/2/26 | | | | | 121,964 | | | | | | ||||||
| | | 49,750 | | | | Michaels Cos., Inc., 5.000% (3-Month USD-LIBOR + 0.425)% due 4/15/28 | | | | | 46,157 | | | | | | ||||||
| | | 110,000 | | | | Mileage Plus Holdings LLC, 6.250% (3-Month USD-LIBOR + 0.525)% due 6/21/27 | | | | | 114,772 | | | | | | ||||||
| | | 198,337 | | | | Minotaur Acquisition Inc., 4.959% (1-Month USD-LIBOR + 0.475)% due 3/27/26 | | | | | 195,858 | | | | | | ||||||
| | | 164,670 | | | | Mirion Technologies Inc., 3.250% (3-Month USD-LIBOR + 0.275)% due 10/20/28 | | | | | 162,457 | | | | | | ||||||
| | | | | | | Misys Ltd.: | | | | | | | | | | | ||||||
| | | 129,358 | | | | 4.500% (3-Month USD-LIBOR + 0.350)% due 6/13/24 | | | | | 127,371 | | | | | | ||||||
| | | 45,000 | | | | 8.250% (3-Month USD-LIBOR + 0.725)% due 6/13/25 | | | | | 44,611 | | | | | | ||||||
| | | 690,000 | | | | Mitchell International Inc., 4.250% (3-Month USD-LIBOR + 0.375)% due 10/15/28 | | | | | 680,043 | | | | | | ||||||
| | | | | | | Motion Acquisition Ltd.: | | | | | | | | | | | ||||||
| | | 39,207 | | | | 3.474% (3-Month USD-LIBOR + 0.325)% due 11/12/26 | | | | | 38,457 | | | | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(e) – (continued) | | ||||||||||||
| | $ | 43,095 | | | | NASCAR Holdings LLC, 2.709% (1-Month USD-LIBOR + 0.250)% due 10/19/26 | | | | $ | 42,739 | | |
| | | 43,988 | | | | NCR Corp., 2.800% (3-Month USD-LIBOR + 0.250)% due 8/28/26 | | | | | 43,218 | | |
| | | 175,000 | | | | Olympus Water US Holding Corp., 4.250% (3-Month USD-LIBOR + 0.375)% due 11/9/28 | | | | | 172,463 | | |
| | | 600,000 | | | | OneDigital Borrower LLC, 4.750% (3-Month USD-LIBOR + 0.425)% due 11/16/27 | | | | | 596,250 | | |
| | | 64,513 | | | | Packaging Coordinators Midco Inc., 4.500% (3-Month USD-LIBOR + 0.375)% due 11/30/27 | | | | | 64,093 | | |
| | | 69,481 | | | | Packers Holdings LLC, 4.000% (3-Month USD-LIBOR + 0.325)% due 3/9/28 | | | | | 68,178 | | |
| | | 69,475 | | | | PAI Holdco Inc., 4.250% (3-Month USD-LIBOR + 0.350)% due 10/28/27 | | | | | 68,954 | | |
| | | 74,437 | | | | Park River Holdings Inc., 4.000% (3-Month USD-LIBOR + 0.325)% due 12/28/27 | | | | | 73,175 | | |
| | | 226,219 | | | | Pathway Vet Alliance LLC, 3.959% (1-Month USD-LIBOR + 0.375)% due 3/31/27 | | | | | 224,070 | | |
| | | 44,497 | | | | PCI Gaming Authority, 2.709% (1-Month USD-LIBOR + 0.250)% due 5/29/26 | | | | | 44,010 | | |
| | | 124,063 | | | | Peraton Corp., 4.500% (1-Month USD-LIBOR + 0.375)% due 2/1/28 | | | | | 123,287 | | |
| | | 143,913 | | | | Petco Health and Wellness Co., Inc., 4.000% (3-Month USD-LIBOR + 0.325)% due 3/3/28 | | | | | 142,780 | | |
| | | 74,625 | | | | PetSmart LLC, 4.500% (3-Month USD-LIBOR + 0.375)% due 2/11/28 | | | | | 74,206 | | |
| | | 4,949 | | | | PetVet Care Centers LLC, 4.250% (1-Month USD-LIBOR + 0.350)% due 2/14/25 | | | | | 4,911 | | |
| | | 128,050 | | | | PG&E Corp., 3.500% (3-Month USD-LIBOR + 0.300)% due 6/23/25 | | | | | 125,457 | | |
| | | 98,722 | | | | Phoenix Services International LLC, 0.000% (1-Month USD-LIBOR + 0.375)% due 3/1/25 | | | | | 96,901 | | |
| | | 38,587 | | | | Playa Resorts Holding BV, 3.750% (1-Month USD-LIBOR + 0.275)% due 4/29/24 | | | | | 37,758 | | |
| | | 94,288 | | | | Playtika Holding Corp., 2.959% (1-Month USD-LIBOR + 0.275)% due 3/13/28 | | | | | 93,216 | | |
| | | 395,000 | | | | PMHC II Inc., due 2/2/29(j) | | | | | 388,747 | | |
| | | 143,914 | | | | PODS LLC, 3.750% (3-Month USD-LIBOR + 0.300)% due 3/31/28 | | | | | 142,071 | | |
| | | 518,700 | | | | Polaris Newco LLC, 4.500% (3-Month USD-LIBOR + 0.400)% due 6/2/28 | | | | | 515,105 | | |
| | | 54,113 | | | | Prairie ECI Acquiror LP, 4.959% (1-Month USD-LIBOR + 0.475)% due 3/11/26 | | | | | 52,380 | | |
| | | 142,100 | | | | Pregis TopCo LLC, 4.209% (1-Month USD-LIBOR + 0.400)% due 7/31/26 | | | | | 141,212 | | |
| | | 195,000 | | | | Pretium PKG Holdings Inc., 4.500% (3-Month USD-LIBOR + 0.400)% due 10/2/28 | | | | | 192,598 | | |
| | | 285,000 | | | | Proofpoint Inc., 3.758% (3-Month USD-LIBOR + 0.325)% due 8/31/28 | | | | | 281,546 | | |
| | | 133,004 | | | | Pug LLC, 3.709% (1-Month USD-LIBOR + 0.350)% due 2/12/27 | | | | | 130,343 | | |
| | | 153,838 | | | | Rackspace Technology Global Inc., 3.500% (3-Month USD-LIBOR + 0.275)% due 2/15/28 | | | | | 148,961 | | |
| | | 255,000 | | | | Radiate Holdco LLC, 4.000% (1-Month USD-LIBOR + 0.325)% due 9/25/26 | | | | | 251,999 | | |
| Face Amount/Units | | | Security | | | Value | | | | | ||||||||||||
| SENIOR LOANS(e) – (continued) | | | | | ||||||||||||||||||
| | | | | | | Renaissance Holding Corp.: | | | | | | | | | | | ||||||
| | $ | 184,118 | | | | 3.459% (1-Month USD-LIBOR + 0.325)% due 5/30/25 | | | | $ | 181,225 | | | | | | ||||||
| | | 35,000 | | | | 7.209% (1-Month USD-LIBOR + 0.700)% due 5/29/26 | | | | | 34,745 | | | | | | ||||||
| | | 39,700 | | | | Rent-A-Center Inc., 3.813% (3-Month USD-LIBOR + 0.325)% due 2/17/28 | | | | | 38,906 | | | | | | ||||||
| | | 10,628 | | | | RentPath Inc., 0.000% due 12/31/25(d) | | | | | 106 | | | | | | ||||||
| | | 43,064 | | | | Reynolds Consumer Products LLC, 1.959% (1-Month USD-LIBOR + 0.175)% due 2/4/27 | | | | | 42,394 | | | | | | ||||||
| | | 88,615 | | | | Sabre GLBL Inc., 2.209% (1-Month USD-LIBOR + 0.200)% due 2/22/24 | | | | | 87,238 | | | | | | ||||||
| | | 69,429 | | | | Schenectady International Group Inc., 4.988% (3-Month USD-LIBOR + 0.475)% due 10/15/25 | | | | | 68,561 | | | | | | ||||||
| | | 171,673 | | | | Scientific Games International Inc., 2.959% (1-Month USD-LIBOR + 0.275)% due 8/14/24 | | | | | 170,408 | | | | | | ||||||
| | | 142,241 | | | | Sedgwick Claims Management Services Inc., 3.459% (1-Month USD-LIBOR + 0.325)% due 12/31/25 | | | | | 140,285 | | | | | | ||||||
| | | 95,556 | | | | Sinclair Television Group Inc., 2.710% (1-Month USD-LIBOR + 0.250)% due 9/30/26 | | | | | 91,335 | | | | | | ||||||
| | | 86,819 | | | | Six Flags Theme Parks Inc., 1.960% (1-Month USD-LIBOR + 0.175)% due 4/17/26 | | | | | 84,743 | | | | | | ||||||
| | | 90,000 | | | | SkyMiles IP Ltd., 4.750% (3-Month USD-LIBOR + 0.375)% due 10/20/27 | | | | | 93,983 | | | | | | ||||||
| | | 19,600 | | | | SMG US Midco 2 Inc., 2.773% (3-Month USD-LIBOR + 0.250)% due 1/23/25 | | | | | 18,890 | | | | | | ||||||
| | | 73,563 | | | | SolarWinds Holdings Inc., 2.959% (1-Month USD-LIBOR + 0.275)% due 2/5/24 | | | | | 72,343 | | | | | | ||||||
| | | 158,496 | | | | Southern Veterinary Partners LLC, 5.000% (6-Month USD-LIBOR + 0.400)% due 10/5/27 | | | | | 157,804 | | | | | | ||||||
| | | 109,175 | | | | Spin Holdco Inc., 4.750% (3-Month USD-LIBOR + 0.400)% due 3/4/28 | | | | | 108,477 | | | | | | ||||||
| | | 64,675 | | | | SRS Distribution Inc., 4.269% (3-Month USD-LIBOR + 0.375)% due 6/2/28 | | | | | 63,850 | | | | | | ||||||
| | | 49,536 | | | | Staples Inc., 5.317% (3-Month USD-LIBOR + 0.500)% due 4/16/26 | | | | | 46,920 | | | | | | ||||||
| | | 34,390 | | | | Sunshine Luxembourg VII SARL, 4.500% (3-Month USD-LIBOR + 0.375)% due 10/1/26 | | | | | 34,180 | | | | | | ||||||
| | | 500,000 | | | | SWF Holdings I Corp., 4.750% (1-Month USD-LIBOR + 0.400)% due 10/6/28 | | | | | 485,000 | | | | | | ||||||
| | | 142,392 | | | | TAMKO Building Products LLC, 3.329% (3-Month USD-LIBOR + 0.300)% due 5/29/26 | | | | | 141,028 | | | | | | ||||||
| | | 63,575 | | | | Team Health Holdings Inc., 3.750% (1-Month USD-LIBOR + 0.275)% due 2/6/24 | | | | | 60,556 | | | | | | | | | | | |
| | | 49,750 | | | | Tecta America Corp., 5.000% (1-Month USD-LIBOR + 0.425)% due 4/10/28 | | | | | 49,377 | | | | | | ||||||
| | | 155,000 | | | | Tempo Acquisition LLC, 3.500% (1-Month USD-LIBOR + 0.300)% due 8/31/28 | | | | | 153,256 | | | | | | ||||||
| | | 15,000 | | | | TIBCO Software Inc., 7.250% (1-Month USD-LIBOR + 0.725)% due 3/3/28 | | | | | 14,948 | | | | | | ||||||
| | | 49,750 | | | | Tiger Acquisition LLC, 3.758% (3-Month USD-LIBOR + 0.325)% due 6/1/28 | | | | | 48,289 | | | | | | ||||||
| | | 156,774 | | | | Trans Union LLC, 2.500% (1-Month USD-LIBOR + 0.200)% due 12/1/28 | | | | | 154,945 | | | | | | ||||||
| | | 190,550 | | | | TransDigm Inc., 2.459% (1-Month USD-LIBOR + 0.225)% due 12/9/25 | | | | | 187,143 | | | | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(e) – (continued) | | ||||||||||||
| | $ | 103,329 | | | | Travel Leaders Group LLC, 4.209% (1-Month USD-LIBOR + 0.400)% due 1/25/24 | | | | $ | 97,155 | | |
| | | | | | | Travelport Finance (Luxembourg) SARL: | | | | | | | |
| | | 88,885 | | | | 2.500% (3-Month USD-LIBOR + 0.150)% due 2/28/25 | | | | | 91,181 | | |
| | | 29,854 | | | | 5.224% (3-Month USD-LIBOR + 0.500)% due 5/29/26 | | | | | 24,406 | | |
| | | 73,386 | | | | Traverse Midstream Partners LLC, 5.250% (3-Month USD-LIBOR + 0.425)% due 9/27/24 | | | | | 73,055 | | |
| | | 74,648 | | | | Tricorbraun Holdings Inc., 3.750% (1-Month USD-LIBOR + 0.325)% due 3/3/28 | | | | | 73,388 | | |
| | | 134,325 | | | | Triton Water Holdings Inc., 4.000% (3-Month USD-LIBOR + 0.350)% due 3/31/28 | | | | | 130,892 | | |
| | | 39,700 | | | | Truck Hero Inc., 4.000% (1-Month USD-LIBOR + 0.325)% due 1/31/28 | | | | | 38,920 | | |
| | | 44,534 | | | | U.S. Silica Co., 5.000% (1-Month USD-LIBOR + 0.400)% due 5/1/25 | | | | | 43,831 | | |
| | | 9,743 | | | | Uber Technologies Inc., 3.709% (1-Month USD-LIBOR + 0.350)% due 2/25/27 | | | | | 9,639 | | |
| | | 189,483 | | | | UFC Holdings LLC, 3.500% (3-Month USD-LIBOR + 0.275)% due 4/29/26 | | | | | 186,720 | | |
| | | 357,928 | | | | UKG Inc., 3.750% (3-Month USD-LIBOR + 0.325)% due 5/4/26 | | | | | 355,244 | | |
| | | 35,368 | | | | Ultra Clean Holdings Inc., 3.959% (1-Month USD-LIBOR + 0.375)% due 8/27/25 | | | | | 35,295 | | |
| | | 54,588 | | | | United AirLines Inc., 4.500% (3-Month USD-LIBOR + 0.375)% due 4/21/28 | | | | | 54,223 | | |
| | | 15,794 | | | | United Natural Foods Inc., 3.459% (1-Month USD-LIBOR + 0.325)% due 10/22/25 | | | | | 15,709 | | |
| | | 29,400 | | | | Univar Solutions USA Inc., 2.209% (1-Month USD-LIBOR + 0.200)% due 7/1/26 | | | | | 29,202 | | |
| | | 205,275 | | | | US Foods Inc., 2.508% (3-Month USD-LIBOR + 0.200)% due 9/13/26 | | | | | 200,580 | | |
| | | 88,866 | | | | Vantage Specialty Chemicals Inc., 4.500% (3-Month USD-LIBOR + 0.350)% due 10/28/24 | | | | | 85,701 | | |
| | | 4,975 | | | | Verscend Holding Corp., 4.209% (1-Month USD-LIBOR + 0.400)% due 8/27/25 | | | | | 4,955 | | |
| | | 325,000 | | | | W.R. Grace Holdings LLC, 4.250% (3-Month USD-LIBOR + 0.375)% due 9/22/28 | | | | | 323,239 | | |
| | | 165,914 | | | | Wand Newco 3 Inc., 3.209% (1-Month USD-LIBOR + 0.300)% due 2/5/26 | | | | | 161,932 | | |
| | | 39,595 | | | | WaterBridge Midstream Operating LLC, 6.750% (3-Month USD-LIBOR + 0.575)% due 6/22/26 | | | | | 37,969 | | |
| | | 250,000 | | | | Whatabrands LLC, 3.750% (1-Month USD-LIBOR + 0.325)% due 8/3/28 | | | | | 246,658 | | |
| | | 34,913 | | | | Wheel Pros Inc., 5.250% (1-Month USD-LIBOR + 0.450)% due 5/11/28 | | | | | 34,491 | | |
| | | 104,475 | | | | WIN Waste Innovations Holdings Inc., 3.250% (3-Month USD-LIBOR + 0.275)% due 3/24/28 | | | | | 103,247 | | |
| | | 519,887 | | | | Zelis Cost Management Buyer Inc., 3.606% (1-Month USD-LIBOR + 0.350)% due 9/30/26 | | | | | 512,895 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(e) – (continued) | | ||||||||||||
| | $ | 20,000 | | | | Ziggo Financing Partnership, 2.691% (1-Month USD-LIBOR + 0.250)% due 4/30/28 | | | | $ | 19,581 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $27,618,595) | | | | | 27,458,449 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 0.1% | | | ||||||||||||||
| California – 0.0% | | | ||||||||||||||
| | | 140,000 | | | | AA- | | | Regents of the University of California Medical Center Pooled Revenue, Revenue Bonds, 6.548% due 5/15/48 | | | | | 205,985 | | |
| | | 360,000 | | | | AA- | | | State of California, GO, 7.300% due 10/1/39 | | | | | 533,581 | | |
| | | | | | | | | | Total California | | | | | 739,566 | | |
| New York – 0.1% | | | | | | | | |||||||||
| | | 680,000 | | | | BBB+ | | | Metropolitan Transportation Authority, Revenue Bonds, 6.814% due 11/15/40 | | | | | 936,596 | | |
| | | 200,000 | | | | A | | | New York State Thruway Authority, Revenue Bonds, 2.900% due 1/1/35 | | | | | 201,287 | | |
| | | | | | | | | | Total New York | | | | | 1,137,883 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $1,943,898) | | | | | 1,877,449 | | |
| Shares/Units | | | | | | Security | | | Value | | ||||||
| COMMON STOCKS – 0.0% | | |||||||||||||||
| COMMUNICATIONS – 0.0% | | |||||||||||||||
| Telecommunications – 0.0% | | |||||||||||||||
| | | 1,028 | | | | | | | Intelsat SA* | | | | | 34,952 | | |
| DIVERSIFIED – 0.0% | | |||||||||||||||
| SPACs – 0.0% | | |||||||||||||||
| | | 1,640 | | | | | | | Foresight Energy LLC/Foresight Energy Finance Corp.*(d) | | | | | 29,298 | | |
| ENERGY – 0.0% | | |||||||||||||||
| Oil & Gas – 0.0% | | |||||||||||||||
| | | 848 | | | | | | | Gulfport Energy Corp.* | | | | | 58,495 | | |
| INDUSTRIAL – 0.0% | | |||||||||||||||
| Engineering & Construction – 0.0% | | |||||||||||||||
| | | 3,092 | | | | | | | Mcdermott International Ltd.* | | | | | 2,010 | | |
| UTILITIES – 0.0% | | |||||||||||||||
| Electric – 0.0% | | |||||||||||||||
| | | 51 | | | | | | | Frontera Generation Holdings LLC*(d) | | | | | 96 | | |
| | | | | | | | | | TOTAL COMMON STOCKS (Cost – $103,421) | | | | | 124,851 | | |
| Shares/Units | | | | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | |||||||||||||||
| RIGHTS – 0.0% | | |||||||||||||||
| | | 107 | | | | | | | Intelsat Jackson Holdings SA* | | | | $ | — | | |
| | | 107 | | | | | | | Intelsat Jackson Holdings SA* | | | | | — | | |
| | | | | | | | | | TOTAL RIGHTS (Cost – $—) | | | | | — | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $2,410,159,508) | | | | | 2,317,228,834 | | |
| Face Amount | | | | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 3.1% | | |||||||||||||||
| TIME DEPOSITS – 3.0% | | |||||||||||||||
| | $ | 10,277,849 | | | | | | | BNP Paribas – Paris, 0.005% due 3/1/22 | | | | | 10,277,849 | | |
| | | 2,545,419 | | | | | | | DnB NORBank ASA – Oslo, 0.005% due 3/1/22 | | | | | 2,545,419 | | |
| | | 3,837,845 | | | | | | | Royal Bank of Canada – Toronto, 0.005% due 3/1/22 | | | | | 3,837,845 | | |
| | | 48,937,116 | | | | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 3/1/22 | | | | | 48,937,116 | | |
| | | | | | | | | | TOTAL TIME DEPOSITS (Cost – $65,598,229) | | | | | 65,598,229 | | |
| U.S. GOVERNMENT OBLIGATION – 0.1% | | |||||||||||||||
| | | 2,500,000 | | | | | | | U.S. Treasury Bills, 0.188% due 4/28/22(i) (Cost – $2,499,245) | | | | | 2,499,245 | | |
| | | | | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $68,097,474) | | | | | 68,097,474 | | |
| | | | | | | | | | TOTAL INVESTMENTS – 108.2% (Cost – $2,478,256,982) | | | | | 2,385,326,308 | | |
| | | | | | | | | | Liabilities in Excess of Other Assets – (8.2)% | | | | | (181,304,716) | | |
| | | | | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 2,204,021,592 | | |
| Corporate Bonds & Notes | | | | | 23.5% | | |
| Collateralized Mortgage Obligations | | | | | 22.7 | | |
| U.S. Government Obligations | | | | | 20.9 | | |
| Mortgage-Backed Securities | | | | | 18.6 | | |
| Asset-Backed Securities | | | | | 8.9 | | |
| Sovereign Bonds | | | | | 1.2 | | |
| Senior Loans | | | | | 1.2 | | |
| Municipal Bonds | | | | | 0.1 | | |
| Common Stocks | | | | | 0.0* | | |
| Rights | | | | | 0.0* | | |
| Short-Term Investments | | | | | 2.9 | | |
| | | | | | 100.0% | | |
Open Futures Contracts | | | Number of Contracts | | | Expiration Date (Month/Year) | | | Notional Amount | | | Market Value | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||
Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
U.S. 10Year Note (CBT) | | | | | 217 | | | | | | 6/22 | | | | | $ | 27,401,329 | | | | | $ | 27,653,937 | | | | | $ | 252,608 | | |
U.S. 2Year Note (CBT) | | | | | 98 | | | | | | 6/22 | | | | | | 21,047,981 | | | | | | 21,092,203 | | | | | | 44,222 | | |
U.S. 5Year Note (CBT) | | | | | 24 | | | | | | 6/22 | | | | | | 2,824,527 | | | | | | 2,838,750 | | | | | | 14,223 | | |
U.S. Ultra Bond (CBT) | | | | | 11 | | | | | | 6/22 | | | | | | 2,015,324 | | | | | | 2,045,313 | | | | | | 29,989 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | 341,042 | | |
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. 10Year Ultra | | | | | 146 | | | | | | 6/22 | | | | | $ | (20,371,255) | | | | | $ | (20,633,906) | | | | | $ | (262,651) | | |
U.S. 2Year Note (CBT) | | | | | 262 | | | | | | 6/22 | | | | | | (56,273,700) | | | | | | (56,389,359) | | | | | | (115,659) | | |
U.S. 5Year Note (CBT) | | | | | 275 | | | | | | 6/22 | | | | | | (32,369,393) | | | | | | (32,527,344) | | | | | | (157,951) | | |
U.S. Long Bond (CBT) | | | | | 128 | | | | | | 6/22 | | | | | | (19,750,024) | | | | | | (20,056,000) | | | | | | (305,976) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | (842,237) | | |
Net Unrealized Depreciation on Open Exchange Traded Futures Contracts | | | | $ | (501,195) | | |
| Face Amounts | | | Security | | | Value | | ||||||
| | | | | | | Federal National Mortgage Association: | | | | | | | |
| | $ | 1,675,000 | | | | 1.500% due 3/1/37(a) (Proceeds – $1,619,057) | | | | $ | (1,629,854) | | |
| | | 1,700,000 | | | | 3.500% due 3/1/37(a) (Proceeds – $1,742,572) | | | | | (1,753,884) | | |
| | | | | | | Government National Mortgage Association: | | | | | | | |
| | | 150,000 | | | | 2.000% due 3/1/52(a) (Proceeds – $146,168) | | | | | (146,648) | | |
| | | | | | | TOTAL OPEN FORWARD SALE COMMITMENTS (Proceeds – $3,507,797) | | | | $ | (3,530,386) | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 49.3% | | ||||||||||||
| Basic Materials – 2.3% | | ||||||||||||
| | $ | 7,600,000 | | | | Copper Mountain Mining Corp., Senior Secured Notes, 8.000% due 4/9/26(a) | | | | $ | 7,695,000 | | |
| | | | | | | Glencore Funding LLC, Company Guaranteed Notes: | | | | | | | |
| | | 80,000 | | | | 4.125% due 5/30/23(a) | | | | | 81,998 | | |
| | | 15,000 | | | | 4.125% due 3/12/24(a) | | | | | 15,508 | | |
| | | 15,000 | | | | 4.000% due 4/16/25(a) | | | | | 15,444 | | |
| | | 5,851,000 | | | | Tacora Resources Inc., Senior Secured Notes, 8.250% due 5/15/26(a) | | | | | 5,755,921 | | |
| | | | | | | Total Basic Materials | | | | | 13,563,871 | | |
| Communications – 11.6% | | ||||||||||||
| | | 125,000 | | | | AT&T Inc., Senior Unsecured Notes, 4.450% due 4/1/24 | | | | | 130,496 | | |
| | | 200,000 | | | | Baidu Inc., Senior Unsecured Notes, 3.075% due 4/7/25 | | | | | 201,943 | | |
| | | 8,769,000 | | | | Cengage Learning Inc., Senior Unsecured Notes, 9.500% due 6/15/24(a) | | | | | 8,783,995 | | |
| | | 1,032,000EUR | | | | CentralNic Group PLC, Senior Secured Notes, 7.000% (3-Month EURIBOR + 7.000)% due 7/3/23(b) | | | | | 1,157,181 | | |
| | | 2,432,000 | | | | DISH DBS Corp., Company Guaranteed Notes, 5.875% due 7/15/22 | | | | | 2,453,280 | | |
| | | 7,098,000 | | | | DISH Network Corp., Senior Unsecured Notes, 2.375% due 3/15/24 | | | | | 6,753,747 | | |
| | | 120,000 | | | | Expedia Group Inc., Company Guaranteed Notes, 6.250% due 5/1/25(a) | | | | | 131,775 | | |
| | | 8,209,000 | | | | Getty Images Inc., Senior Unsecured Notes, 9.750% due 3/1/27(a) | | | | | 8,547,621 | | |
| | | 10,407,000 | | | | Level 3 Financing Inc., Company Guaranteed Notes, 5.250% due 3/15/26 | | | | | 10,426,461 | | |
| | | 13,337,000EUR | | | | Linkem SpA, Senior Secured Notes, 6.000% (3-Month EURIBOR + 6.000)% due 8/9/22(a)(b) | | | | | 14,951,039 | | |
| | | 11,438,000 | | | | Lumen Technologies Inc., Senior Unsecured Notes, 5.800% due 3/15/22 | | | | | 11,443,719 | | |
| | | 180,000 | | | | Millicom International Cellular SA, Senior Unsecured Notes, 5.125% due 1/15/28 | | | | | 173,700 | | |
| | | 2,195,000 | | | | NortonLifeLock Inc., Senior Unsecured Notes, 5.000% due 4/15/25(a) | | | | | 2,196,054 | | |
| | | 125,000 | | | | Omnicom Group Inc./Omnicom Capital Inc., Senior Unsecured Notes, 3.650% due 11/1/24 | | | | | 129,261 | | |
| | | 200,000 | | | | Sable International Finance Ltd., Senior Secured Notes, 5.750% due 9/7/27 | | | | | 204,493 | | |
| | | 200,000 | | | | SingTel Group Treasury Pte Ltd., Company Guaranteed Notes, 3.250% due 6/30/25 | | | | | 206,534 | | |
| | | 130,000 | | | | Verizon Communications Inc., Senior Unsecured Notes, 1.606% (3-Month USD-LIBOR + 1.100)% due 5/15/25(b) | | | | | 132,290 | | |
| | | | | | | Total Communications | | | | | 68,023,589 | | |
| Consumer Cyclical – 6.2% | | ||||||||||||
| | | 135,000 | | | | Aptiv PLC/Aptiv Corp., Company Guaranteed Notes, 2.396% due 2/18/25 | | | | | 135,042 | | |
| | | 125,000 | | | | Dollar Tree Inc., Senior Unsecured Notes, 4.000% due 5/15/25 | | | | | 130,282 | | |
| | | 5,500,000SEK | | | | Gaming Innovation Group PLC, 8.500 (3-Month SEK-STIBOR + 8.500)% due 6/11/24(b) | | | | | 591,857 | | |
| | | 120,000 | | | | General Motors Financial Co., Inc., Company Guaranteed Notes, 5.250% due 3/1/26 | | | | | 130,615 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 4,710,000 | | | | G-III Apparel Group Ltd., Senior Secured Notes, 7.875% due 8/15/25(a) | | | | $ | 4,963,163 | | |
| | | 3,425,285 | | | | Hawaiian Airlines 2013-1 Class A Pass-Through Certificates, Pass-Thru Certificates, 3.900% due 1/15/26 | | | | | 3,367,247 | | |
| | | 911,000 | | | | Hercules Achievement Inc./Varsity Brands Holding Co., Inc., Senior Secured Notes, 9.000% (3-Month USD-LIBOR + 8.000)% due 12/22/24(a)(b) | | | | | 905,306 | | |
| | | 115,000 | | | | Hyatt Hotels Corp., Senior Unsecured Notes, 1.300% due 10/1/23 | | | | | 113,174 | | |
| | | | | | | Hyundai Capital America, Senior Unsecured Notes: | | | | | | | |
| | | 110,000 | | | | 2.850% due 11/1/22(a) | | | | | 110,778 | | |
| | | 25,000 | | | | 1.000% due 9/17/24(a) | | | | | 24,041 | | |
| | | 130,000 | | | | Marriott International Inc., Senior Unsecured Notes, 3.600% due 4/15/24 | | | | | 133,452 | | |
| | | 13,003,000 | | | | MGM Resorts International, Company Guaranteed Notes, 7.750% due 3/15/22 | | | | | 13,030,306 | | |
| | | 19,200,000NOK | | | | N0r5ke Viking I AS, 8.750% (3-Month NIBOR + 8.00)% due 5/3/24(b) | | | | | 2,219,921 | | |
| | | 30,000 | | | | Nissan Motor Acceptance Co. LLC, Senior Unsecured Notes, 1.125% due 9/16/24(a) | | | | | 28,879 | | |
| | | 6,597,000 | | | | Sally Holdings LLC/Sally Capital Inc., Secured Notes, 8.750% due 4/30/25(a) | | | | | 6,918,472 | | |
| | | 3,742,000 | | | | Scientific Games International Inc., Senior Secured Notes, 5.000% due 10/15/25(a) | | | | | 3,779,420 | | |
| | | 130,000 | | | | Southwest Airlines Co., Senior Unsecured Notes, 4.750% due 5/4/23 | | | | | 134,375 | | |
| | | | | | | Total Consumer Cyclical | | | | | 36,716,330 | | |
| Consumer Non-cyclical – 10.0% | | ||||||||||||
| | | | | | | Anthem Inc., Senior Unsecured Notes: | | | | | | | |
| | | 35,000 | | | | 3.300% due 1/15/23 | | | | | 35,533 | | |
| | | 90,000 | | | | 3.500% due 8/15/24 | | | | | 92,545 | | |
| | | 135,000 | | | | BAT International Finance PLC, Company Guaranteed Notes, 1.668% due 3/25/26 | | | | | 128,206 | | |
| | | 8,848,000 | | | | Chobani LLC/Chobani Finance Corp. Inc., Company Guaranteed Notes, 7.500% due 4/15/25(a) | | | | | 8,803,760 | | |
| | | 10,225,000 | | | | Columbia Care Inc., Senior Secured Notes, 9.500% due 2/3/26(c) | | | | | 10,297,064 | | |
| | | 125,000 | | | | Conagra Brands Inc., Senior Unsecured Notes, 4.300% due 5/1/24 | | | | | 129,682 | | |
| | | 1,805,000 | | | | Cooks Venture Inc., Senior Secured Notes, 5.500% due 1/15/25(a)(c) | | | | | 1,803,917 | | |
| | | 6,250,000SEK | | | | Desenio Group AB, 5.500% (3-Month SEK-STIBOR + 5.500)% due 12/16/24(b) | | | | | 548,220 | | |
| | | 14,977,000 | | | | Fresh Market Inc., Senior Secured Notes, 9.750% due 5/1/23(a) | | | | | 15,126,770 | | |
| | | 125,000 | | | | HCA Inc., Senior Secured Notes, 5.000% due 3/15/24 | | | | | 131,348 | | |
| | | 135,000 | | | | Keurig Dr Pepper Inc., Company Guaranteed Notes, 0.750% due 3/15/24 | | | | | 131,647 | | |
| | | 8,497,000 | | | | Leafly Holdings Inc., Senior Unsecured Notes, 8.000% due 1/31/25(c)(d) | | | | | 8,497,000 | | |
| | | 2,306,000 | | | | Nathan’s Famous Inc., Senior Secured Notes, 6.625% due 11/1/25(a) | | | | | 2,329,060 | | |
| | | 200,000 | | | | PSA Treasury Pte Ltd., Company Guaranteed Notes, 2.500% due 4/12/26 | | | | | 202,305 | | |
| | | 135,000 | | | | Royalty Pharma PLC, Company Guaranteed Notes, 0.750% due 9/2/23 | | | | | 132,461 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 3,162,000 | | | | Surgery Center Holdings Inc., Company Guaranteed Notes, 6.750% due 7/1/25(a) | | | | $ | 3,146,190 | | |
| | | 135,000 | | | | Triton Container International Ltd., Company Guaranteed Notes, 0.800% due 8/1/23(a) | | | | | 132,536 | | |
| | | 65,000 | | | | UnitedHealth Group Inc., Senior Unsecured Notes, 0.550% due 5/15/24 | | | | | 63,309 | | |
| | | 8,251,000 | | | | UpHealth Inc., Senior Unsecured Notes, 6.250% due 6/15/26(a) | | | | | 7,001,203 | | |
| | | 135,000 | | | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 1.450% due 11/22/24 | | | | | 131,903 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 58,864,659 | | |
| Diversified – 0.8% | | ||||||||||||
| | | 4,350,000EUR | | | | LR Global Holding GmbH, Senior Secured Notes, 7.250% (3-Month EURIBOR + 7.250)% due 2/3/25(b) | | | | | 4,743,585 | | |
| Energy – 1.8% | | ||||||||||||
| | | 150,000 | | | | Ecopetrol SA, Senior Unsecured Notes, 5.875% due 9/18/23 | | | | | 155,850 | | |
| | | | | | | Energy Transfer LP, Senior Unsecured Notes: | | | | | | | |
| | | 85,000 | | | | 5.875% due 1/15/24 | | | | | 89,830 | | |
| | | 25,000 | | | | 4.500% due 4/15/24 | | | | | 25,992 | | |
| | | 15,000 | | | | 4.050% due 3/15/25 | | | | | 15,527 | | |
| | | 176,480 | | | | GNL Quintero SA, Senior Unsecured Notes, 4.634% due 7/31/29 | | | | | 178,688 | | |
| | | 3,278,000 | | | | Golar LNG Ltd., Senior Unsecured Notes, 7.000% due 10/20/25(a) | | | | | 3,163,270 | | |
| | | 5,520,260 | | | | Martin Midstream Partners LP/Martin Midstream Finance Corp., Secured Notes, 10.000% due 2/29/24(a) | | | | | 5,630,666 | | |
| | | 200,000 | | | | Petronas Capital Ltd., Company Guaranteed Notes, 3.500% due 3/18/25 | | | | | 206,523 | | |
| | | 140,000 | | | | Pioneer Natural Resources Co., Senior Unsecured Notes, 0.550% due 5/15/23 | | | | | 138,194 | | |
| | | 250,000 | | | | Qatar Energy, Senior Unsecured Notes, 1.375% due 9/12/26 | | | | | 237,650 | | |
| | | 250,000 | | | | Reliance Industries Ltd., Senior Unsecured Notes, 4.125% due 1/28/25 | | | | | 259,610 | | |
| | | 200,000 | | | | SA Global Sukuk Ltd., Senior Unsecured Notes, 1.602% due 6/17/26(a) | | | | | 191,592 | | |
| | | 125,000 | | | | Schlumberger Holdings Corp., Senior Unsecured Notes, 3.750% due 5/1/24(a) | | | | | 128,514 | | |
| | | 200,000 | | | | Transportadora de Gas del Peru SA, Senior Unsecured Notes, 4.250% due 4/30/28 | | | | | 205,502 | | |
| | | | | | | Total Energy | | | | | 10,627,408 | | |
| Financial – 3.0% | | ||||||||||||
| | | 135,000 | | | | Athene Global Funding, Senior Secured Notes, 0.750% (SOFRRATE + 0.700)% due 5/24/24(a)(b) | | | | | 135,136 | | |
| | | | | | | Avolon Holdings Funding Ltd., Company Guaranteed Notes: | | | | | | | |
| | | 115,000 | | | | 3.625% due 5/1/22(a) | | | | | 115,205 | | |
| | | 15,000 | | | | 5.125% due 10/1/23(a) | | | | | 15,530 | | |
| | | 200,000 | | | | Banco Bilbao Vizcaya Argentaria Colombia SA, Subordinated Notes, 4.875% due 4/21/25 | | | | | 199,702 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 150,000 | | | | Banco Continental SAECA, Senior Unsecured Notes, 2.750% due 12/10/25(a) | | | | $ | 140,926 | | |
| | | 150,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 153,376 | | |
| | | 150,000 | | | | Banco Internacional del Peru SAA Interbank, Subordinated Notes, 4.000% (1-Year CMT Index + 3.711)% due 7/8/30(b) | | | | | 144,000 | | |
| | | 200,000 | | | | Bancolombia SA, Subordinated Notes, 4.875% (5-Year CMT Index + 2.929)% due 10/18/27(b) | | | | | 198,560 | | |
| | | | | | | Bank of America Corp., Senior Unsecured Notes: | | | | | | | |
| | | 90,000 | | | | 0.970% (3-Month USD-LIBOR + 0.790)% due 3/5/24(b) | | | | | 90,527 | | |
| | | 50,000 | | | | 0.740% (SOFRRATE + 0.690)% due 4/22/25(b) | | | | | 50,113 | | |
| | | 100,000 | | | | Bank of Nova Scotia, Senior Unsecured Notes, 0.650% due 7/31/24 | | | | | 96,491 | | |
| | | 60,000 | | | | Brighthouse Financial Global Funding, Senior Secured Notes, 0.600% due 6/28/23(a) | | | | | 59,080 | | |
| | | 80,000 | | | | Canadian Imperial Bank of Commerce, Senior Unsecured Notes, 0.450% due 6/22/23 | | | | | 78,642 | | |
| | | | | | | Capital One Financial Corp., Senior Unsecured Notes: | | | | | | | |
| | | 35,000 | | | | 3.200% due 1/30/23 | | | | | 35,491 | | |
| | | 100,000 | | | | 3.900% due 1/29/24 | | | | | 103,182 | | |
| | | | | | | Citigroup Inc., Senior Unsecured Notes: | | | | | | | |
| | | 100,000 | | | | 1.546% (3-Month USD-LIBOR + 1.023)% due 6/1/24(b) | | | | | 100,737 | | |
| | | 40,000 | | | | 1.281% (SOFRRATE + 0.528)% due 11/3/25(b) | | | | | 38,732 | | |
| | | 200,000 | | | | DBS Group Holdings Ltd., Subordinated Notes, 1.822% (5-Year CMT Index + 1.100)% due 3/10/31(b) | | | | | 192,676 | | |
| | | 140,000 | | | | Goldman Sachs Group Inc., Senior Unsecured Notes, 3.500% due 4/1/25 | | | | | 143,905 | | |
| | | 200,000 | | | | Grupo Aval Ltd., Company Guaranteed Notes, 4.750% due 9/26/22 | | | | | 200,998 | | |
| | | 200,000 | | | | Grupo de Inversiones Suramericana SA, Senior Unsecured Notes, 5.500% due 4/29/26 | | | | | 201,502 | | |
| | | 29,953 | | | | Interoceanica IV Finance Ltd., Senior Secured Notes, zero coupon, due 11/30/25 | | | | | 28,240 | | |
| | | 200,000 | | | | Itau Unibanco Holding SA, Subordinated Notes, 3.875% (5-Year CMT Index + 3.446)% due 4/15/31(b) | | | | | 187,396 | | |
| | | | | | | JPMorgan Chase & Co., Senior Unsecured Notes: | | | | | | | |
| | | 120,000 | | | | 3.207% (3-Month USD-LIBOR + 0.695)% due 4/1/23(b) | | | | | 120,177 | | |
| | | 15,000 | | | | 3.900% due 7/15/25 | | | | | 15,690 | | |
| | | 80,000 | | | | Macquarie Bank Ltd., Senior Unsecured Notes, 2.100% due 10/17/22(a) | | | | | 80,425 | | |
| | | 55,000 | | | | Macquarie Group Ltd., Senior Unsecured Notes, 4.150% (3-Month USD-LIBOR + 1.330)% due 3/27/24(a)(b) | | | | | 56,239 | | |
| | | 140,000 | | | | Marsh & McLennan Cos. Inc., Senior Unsecured Notes, 3.875% due 3/15/24 | | | | | 144,868 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 140,000 | | | | Morgan Stanley, Senior Unsecured Notes, 0.529% (SOFRRATE + 0.455)% due 1/25/24(b) | | | | $ | 138,367 | | |
| | | 200,000 | | | | NongHyup Bank, Senior Unsecured Notes, 1.250% due 7/20/25 | | | | | 193,022 | | |
| | | 20,400,000NOK | | | | Nordic Capital Fund II, 6.450% (3-Month NIBOR + 6.250)% due 6/30/24(b) | | | | | 2,294,662 | | |
| | | 130,000 | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes, 2.700% due 11/1/24(a) | | | | | 130,943 | | |
| | | 96,626 | | | | Peru Enhanced Pass-Through Finance Ltd., Pass-Thru Certificates, zero coupon, due 6/2/25 | | | | | 91,006 | | |
| | | 140,000 | | | | Royal Bank of Canada, Senior Unsecured Notes, 0.574% (SOFRINDX + 0.525)% due 1/20/26(b) | | | | | 139,538 | | |
| | | 140,000 | | | | Simon Property Group LP, Senior Unsecured Notes, 0.479% (SOFRRATE + 0.430)% due 1/11/24(b) | | | | | 140,122 | | |
| | | 12,500,000SEK | | | | Stockwik Förvaltning AB, Senior Secured Notes, 7.000% (3-Month SEK-STIBOR + 7.000)% due 9/3/23(b) | | | | | 1,321,138 | | |
| | | 8,637,000 | | | | StoneX Group Inc., Senior Secured Notes, 8.625% due 6/15/25(a) | | | | | 9,047,257 | | |
| | | 250,000 | | | | Temasek Financial I Ltd., Company Guaranteed Notes, 2.375% due 1/23/23 | | | | | 252,040 | | |
| | | 135,000 | | | | Toronto-Dominion Bank, Senior Unsecured Notes, 0.700% due 9/10/24 | | | | | 130,484 | | |
| | | 200,000 | | | | United Overseas Bank Ltd., Subordinated Notes, 1.750% (5-Year CMT Index + 1.520)% due 3/16/31(b) | | | | | 192,102 | | |
| | | 135,000 | | | | Wells Fargo & Co., Senior Unsecured Notes, 1.654% (SOFRRATE + 1.600)% due 6/2/24(b) | | | | | 134,531 | | |
| | | 140,000 | | | | Welltower Inc., Senior Unsecured Notes, 3.625% due 3/15/24 | | | | | 143,801 | | |
| | | | | | | Total Financial | | | | | 17,476,559 | | |
| Government – 0.0% | | ||||||||||||
| | | 200,000 | | | | Perusahaan Penerbit SBSN Indonesia III, Senior Unsecured Notes, 1.500% due 6/9/26 | | | | | 190,050 | | |
| Industrial – 5.5% | | ||||||||||||
| | | 1,400,000 | | | | Altera Shuttle Tankers LLC, Senior Unsecured Notes, 7.125% due 8/15/22 | | | | | 1,351,000 | | |
| | | 3,041,175 | | | | Anagram International Inc./Anagram Holdings LLC, Senior Secured Notes, 15.000% due 8/15/25(a)(e) | | | | | 3,284,469 | | |
| | | 130,000 | | | | Boeing Co., Senior Unsecured Notes, 4.508% due 5/1/23 | | | | | 133,574 | | |
| | | 1,370,000 | | | | C3 Nano Inc., Senior Secured Notes, 6.500% due 2/15/24(a)(c) | | | | | 1,367,947 | | |
| | | 135,000 | | | | Canadian Pacific Railway Co., Company Guaranteed Notes, 1.350% due 12/2/24 | | | | | 131,704 | | |
| | | 130,000 | | | | Carrier Global Corp., Senior Unsecured Notes, 2.242% due 2/15/25 | | | | | 129,634 | | |
| | | 1,583,000 | | | | EnPro Industries Inc., Company Guaranteed Notes, 5.750% due 10/15/26 | | | | | 1,642,339 | | |
| | | 4,385,000 | | | | FXI Holdings Inc., Senior Secured Notes, 7.875% due 11/1/24(a) | | | | | 4,317,471 | | |
| | | 9,643,000 | | | | INNOVATE Corp., Senior Secured Notes, 8.500% due 2/1/26(a) | | | | | 9,561,613 | | |
| | | 6,800,000NOK | | | | Lakers Group AB, 5.960% (3-Month NIBOR + 5.550)% due 6/9/25(b) | | | | | 758,209 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 130,000 | | | | Republic Services Inc., Senior Unsecured Notes, 2.500% due 8/15/24 | | | | $ | 131,172 | | |
| | | 9,300,000 | | | | Stolt-Nielsen Ltd., Senior Unsecured Notes, 6.375% due 9/21/22 | | | | | 9,345,823 | | |
| | | | | | | Total Industrial | | | | | 32,154,955 | | |
| Insurance – 0.4% | | ||||||||||||
| | | 20,620,000SEK | | | | ADDvise Group AB, 7.250% (3-Month SEK-STIBOR + 7.250)% due 5/21/24(b) | | | | | 2,223,618 | | |
| Media – 1.6% | | ||||||||||||
| | | 9,800,000 | | | | BuzzFeed Inc., 7.000% due 9/30/26(c) | | | | | 9,579,500 | | |
| Technology – 3.4% | | ||||||||||||
| | | 2,529,000EUR | | | | Azerion Holding BV, Senior Secured Notes, 7.250% due 4/28/24 | | | | | 2,843,764 | | |
| | | 5,893,000 | | | | Diebold Nixdorf Inc., Company Guaranteed Notes, 8.500% due 4/15/24 | | | | | 5,804,605 | | |
| | | 6,305,000EUR | | | | Fiven ASA, Senior Secured Notes, 6.850% (3-Month EURIBOR + 6.850)% due 6/21/24(b) | | | | | 7,228,867 | | |
| | | 13,750,000SEK | | | | Impala Group PLC, 9.000% (3-Month SEK-STIBOR + 9.000)% due 10/20/24(b) | | | | | 1,438,494 | | |
| | | 135,000 | | | | Microchip Technology Inc., Senior Secured Notes, 0.972% due 2/15/24 | | | | | 131,557 | | |
| | | 2,475,000 | | | | Tigo Energy Inc., Senior Secured Notes, 5.500% due 1/15/25(a)(c) | | | | | 2,473,515 | | |
| | | | | | | Total Technology | | | | | 19,920,802 | | |
| Utilities – 2.7% | | ||||||||||||
| | | 200,000 | | | | AES Andes SA, Junior Subordinated Notes, 7.125% (5-Year USD Swap Rate + 4.644)% due 3/26/79(a)(b) | | | | | 200,002 | | |
| | | 60,000 | | | | Atmos Energy Corp., Senior Unsecured Notes, 0.625% due 3/9/23 | | | | | 59,321 | | |
| | | 130,400 | | | | Empresa Electrica Angamos SA, Senior Secured Notes, 4.875% due 5/25/29 | | | | | 123,880 | | |
| | | 140,000 | | | | Entergy Louisiana LLC, Collateral Trust, 0.950% due 10/1/24 | | | | | 135,885 | | |
| | | 200,000 | | | | Guacolda Energia SA, Senior Unsecured Notes, 4.560% due 4/30/25 | | | | | 72,000 | | |
| | | 200,000 | | | | Inkia Energy Ltd., Senior Unsecured Notes, 5.875% due 11/9/27 | | | | | 195,002 | | |
| | | 4,723,000 | | | | M.H.H. Holding B.V. 7.366% (3-Month USD-LIBOR + 7.000)% due 8/9/22(b) | | | | | 4,746,615 | | |
| | | 200,000 | | | | Mercury Chile Holdco LLC, Senior Secured Notes, 6.500% due 1/24/27(a) | | | | | 193,000 | | |
| | | 200,000 | | | | Minejesa Capital BV, Senior Secured Notes, 4.625% due 8/10/30 | | | | | 195,412 | | |
| | | | | | | Pacific Gas & Electric Co., 1st Mortgage Notes: | | | | | | | |
| | | 60,000 | | | | 1.750% due 6/16/22 | | | | | 59,945 | | |
| | | 75,000 | | | | 3.250% due 2/16/24 | | | | | 75,492 | | |
| | | 9,320,000 | | | | Rockpoint Gas Storage Canada Ltd., Senior Secured Notes, 7.000% due 3/31/23(a) | | | | | 9,308,350 | | |
| | | 135,000 | | | | Southern California Edison Co., 1st Mortgage Notes, 0.879% (SOFRRATE + 0.830)% due 4/1/24(b) | | | | | 135,261 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 200,000 | | | | State Grid Overseas Investment Ltd., Senior Unsecured Notes, 1.000% due 8/5/25 | | | | $ | 191,688 | | |
| | | 200,000 | | | | TNB Global Ventures Capital Bhd, Senior Unsecured Notes, 3.244% due 10/19/26 | | | | | 204,198 | | |
| | | | | | | Total Utilities | | | | | 15,896,051 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES | | | | | | | |
| | | | | | | (Cost – $295,235,647) | | | | | 289,980,977 | | |
| SENIOR LOANS(b) – 12.4% | | ||||||||||||
| | | 6,855,911 | | | | Access CIG LLC, 3.959% (1-Month USD-LIBOR + 3.750%) due 2/27/25 | | | | | 6,775,560 | | |
| | | 4,764,000 | | | | EP Energy LLC, due 11/23/23(d)(f) | | | | | 4,761,023 | | |
| | | 5,224,609 | | | | Forterra Finance, LLC, 4.000% (1-Month USD-LIBOR + 3.000%) due 10/25/23 | | | | | 5,204,651 | | |
| | | 3,717,444 | | | | Golden Nugget Online Gaming LLC, 13.000% (1-Month USD-LIBOR + 12.000%) due 10/4/23 | | | | | 3,940,491 | | |
| | | | | | | Intelsat Jackson Holdings SA: | | | | | | | |
| | | 6,236,000 | | | | 0.000% (3-Month USD-LIBOR + 5.500%) due 11/27/23(c) | | | | | 6,236,000 | | |
| | | 4,482,000 | | | | 0.000% (3-Month USD-LIBOR + 5.500%) due 1/2/24(c) | | | | | 4,482,000 | | |
| | | 7,847,158 | | | | K&N Parent Inc., 5.750% (3-Month USD-LIBOR + 4.750%) due 10/20/23 | | | | | 6,983,970 | | |
| | | 2,695,935 | | | | Lealand Finance Co. BV, 3.209% (1-Month USD-LIBOR + 3.000%) due 6/28/24 | | | | | 1,617,561 | | |
| | | 18,274,629 | | | | Mallinckrodt International Finance SA, due 2/28/22(f) | | | | | 18,097,548 | | |
| | | 2,313,000 | | | | MoneyGram International Inc., due 7/21/26(f) | | | | | 2,308,374 | | |
| | | 4,277,402 | | | | Pixelle Specialty Solutions LLC, 7.500% (1-Month USD-LIBOR + 6.500%) due 10/31/24 | | | | | 4,240,873 | | |
| | | 8,190,230 | | | | QuarterNorth Energy Holding Inc., 9.000% (3-Month USD-LIBOR + 8.000%) due 8/27/26 | | | | | 8,217,503 | | |
| | | | | | | TOTAL SENIOR LOANS | | | | | | | |
| | | | | | | (Cost – $74,665,227) | | | | | 72,865,554 | | |
| ASSET-BACKED SECURITIES – 5.1% | | ||||||||||||
| | | 417,314 | | | | Aaset Trust, Series 2019-2, Class A, 3.376% due 10/16/39(a) | | | | | 392,052 | | |
| | | 116,387 | | | | AccessLex Institute, Series 2004-2, Class A3, 0.448% (3-Month USD-LIBOR + 0.190%) due 10/25/24(b) | | | | | 115,392 | | |
| | | 179,821 | | | | AccessLex Institute, Series 2007-A, Class A3, 0.488% (3-Month USD-LIBOR + 0.300)% due 5/25/36(b) | | | | | 175,032 | | |
| | | 209,000 | | | | ACREC Ltd., Series 2021-FL1, Class A, 1.287% (1-Month USD-LIBOR + 1.150%) due 10/16/36(a)(b) | | | | | 207,779 | | |
| | | | | | | Affirm Asset Securitization Trust: | | | | | | | |
| | | 200,000 | | | | Series 2020-A, Class A, 2.100% due 2/18/25(a) | | | | | 200,107 | | |
| | | 93,925 | | | | Series 2020-Z2, Class A, 1.900% due 1/15/25(a) | | | | | 93,789 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 184,665 | | | | Series 2021-Z1, Class A, 1.070% due 8/15/25(a) | | | | $ | 182,817 | | |
| | | 1,000,000 | | | | Allegro CLO X Ltd., Series 2019-1A, Class AR, 1.404% (3-Month USD-LIBOR + 1.150%) due 7/20/32(a)(b) | | | | | 993,842 | | |
| | | 79,007 | | | | Aqua Finance Trust, Series 2020-AA, Class A, 1.900% due 7/17/46(a) | | | | | 78,227 | | |
| | | 177,000 | | | | Arbor Realty Collateralized Loan Obligation Ltd., Series 2020-FL1, Class AS, 1.563% (SOFR30A + 1.514%) due 2/15/35(a)(b) | | | | | 176,277 | | |
| | | 225,000 | | | | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL2, Class A, 1.291% (1-Month USD-LIBOR + 1.100%) due 5/15/36(a)(b) | | | | | 223,900 | | |
| | | 53,630 | | | | Arivo Acceptance Auto Loan Receivables Trust, Series 2019-1, Class A, 2.990% due 7/15/24(a) | | | | | 53,856 | | |
| | | 500,000 | | | | Bain Capital Credit CLO, Series 2019-1A, Class AR, 1.378% (3-Month USD-LIBOR + 1.130%) due 4/19/34(a)(b) | | | | | 497,076 | | |
| | | 170,939 | | | | Bayview Opportunity Master Fund IVa Trust, Series 2019-SBR1, Class A1, step bond to yield, 3.475% due 6/28/34(a) | | | | | 171,652 | | |
| | | 184,000 | | | | BRSP Ltd., Series 2021-FL1, Class A, 1.321% (1-Month USD-LIBOR + 1.150%) due 8/19/38(a)(b) | | | | | 183,063 | | |
| | | 209,000 | | | | BSPRT 2021-FL7 Issuer Ltd., Series 2021-FL7, Class A, 1.511% (1-Month USD-LIBOR + 1.320%) due 12/15/38(a)(b) | | | | | 207,834 | | |
| | | | | | | BSPRT Issuer Ltd.: | | | | | | | |
| | | 147,617 | | | | Series 2019-FL5, Class A, 1.341% (1-Month USD-LIBOR + 1.150%) due 5/15/29(a)(b) | | | | | 146,971 | | |
| | | 193,000 | | | | Series 2021-FL6, Class A, 1.291% (1-Month USD-LIBOR + 1.100%) due 3/15/36(a)(b) | | | | | 192,019 | | |
| | | 439,792 | | | | CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220% due 9/25/45(a) | | | | | 422,546 | | |
| | | 1,000,000 | | | | Carlyle US CLO Ltd., Series 2021-7A, Class A1, 1.401% (3-Month USD-LIBOR + 1.160)% due 10/15/35(a)(b) | | | | | 995,027 | | |
| | | | | | | CHCP Ltd.: | | | | | | | |
| | | 250,000 | ��� | | | Series 2021-FL1, Class A, 1.213% (SOFR30A + 1.164)% due 2/15/38(a)(b) | | | | | 248,968 | | |
| | | 100,000 | | | | Series 2021-FL1, Class AS, 1.463% (SOFR30A + 1.414)% due 2/15/38(a)(b) | | | | | 99,489 | | |
| | | 177,000 | | | | CLNC Ltd., Series 2019-FL1, Class AS, 1.713% (SOFR30A + 1.664)% due 8/20/35(a)(b) | | | | | 175,903 | | |
| | | 217,250 | | | | Commonbond Student Loan Trust, Series 2020-AGS, Class A, 1.980% due 8/25/50(a) | | | | | 214,257 | | |
| | | 4,493 | | | | DT Auto Owner Trust, Series 2020-2A, Class A, 1.140% due 1/16/24(a) | | | | | 4,495 | | |
| | | 700,000 | | | | Exeter Automobile Receivables Trust, Series 2021-1A, Class C, 0.740% due 1/15/26 | | | | | 693,204 | | |
| | | 1,000,000 | | | | Franklin Park Place CLO I LLC, Series 2022-1A, Class A, 2.170% (3-Month CME Term SOFR + 1.400)% due 4/14/35(a)(b)(c) | | | | | 999,757 | | |
| | | 209,000 | | | | FS Rialto, Series 2021-FL3, Class A, 1.376% (1-Month USD-LIBOR + 1.250)% due 11/16/36(a)(b) | | | | | 208,096 | | |
| | | 200,000 | | | | FS RIALTO, Series 2021-FL2, Class A, 1.346% (1-Month USD-LIBOR + 1.220)% due 5/16/38(a)(b) | | | | | 198,007 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 500,000 | | | | Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, 1.479% (3-Month USD-LIBOR + 1.020)% due 5/16/31(a)(b) | | | | $ | 495,002 | | |
| | | 250,000 | | | | Genesis Sales Finance Master Trust, Series 2020-AA, Class A, 1.650% due 9/22/25(a) | | | | | 249,504 | | |
| | | 184,000 | | | | Greystone CRE Notes Ltd., Series 2021-FL3, Class A, 1.211% (1-Month USD-LIBOR + 1.020)% due 7/15/39(a)(b) | | | | | 182,625 | | |
| | | 500,000 | | | | Greywolf CLO V Ltd., Series 2015-1A, Class A1R, 1.418% (3-Month USD-LIBOR + 1.160)% due 1/27/31(a)(b) | | | | | 500,372 | | |
| | | 1,000,000 | | | | Greywolf CLO VII Ltd., Series 2018-2A, Class A1, 1.434% (3-Month USD-LIBOR + 1.180)% due 10/20/31(a)(b) | | | | | 997,602 | | |
| | | 1,000,000 | | | | Gulf Stream Meridian 3 Ltd., Series 2021-IIIA, Class A1, 1.561% (3-Month USD-LIBOR + 1.320)% due 4/15/34(a)(b) | | | | | 997,436 | | |
| | | 500,000 | | | | Halseypoint Clo 5 Ltd., Series 2021-5A, Class A1A, 1.471% (3-Month USD-LIBOR + 1.210)% due 1/30/35(a)(b) | | | | | 495,908 | | |
| | | 500,000 | | | | Hayfin US XII Ltd., Series 2018-8A, Class A, 1.374% (3-Month USD-LIBOR + 1.120)% due 4/20/31(a)(b) | | | | | 498,398 | | |
| | | 500,000 | | | | Hertz Vehicle Financing LLC, Series 2021-1A, Class B, 1.560% due 12/26/25(a) | | | | | 485,042 | | |
| | | 200,000 | | | | HGI CRE CLO Ltd., Series 2021-FL1, Class A, 1.176% (1-Month USD-LIBOR + 1.050)% due 6/16/36(a)(b) | | | | | 198,895 | | |
| | | 309,531 | | | | Hilton Grand Vacations Trust, Series 2020-AA, Class A, 2.740% due 2/25/39(a) | | | | | 309,799 | | |
| | | 169,501 | | | | Invitation Homes Trust, Series 2018-SFR1, Class A, 0.820% (1-Month USD-LIBOR + 0.700)% due 3/17/37(a)(b) | | | | | 168,827 | | |
| | | 32,642 | | | | Laurel Road Prime Student Loan Trust, Series 2019-A, Class A1FX, 2.340% due 10/25/48(a) | | | | | 32,709 | | |
| | | | | | | LCCM Trust: | | | | | | | |
| | | 184,000 | | | | Series 2021-FL2, Class A, 1.391% (1-Month USD-LIBOR + 1.200)% due 12/13/38(a)(b) | | | | | 182,643 | | |
| | | 210,000 | | | | Series 2021-FL3, Class A, 1.641% (1-Month USD-LIBOR + 1.450)% due 11/15/38(a)(b) | | | | | 209,210 | | |
| | | 173,000 | | | | LMREC Inc., Series 2019-CRE3, Class A, 1.587% (1-Month USD-LIBOR + 1.400)% due 12/22/35(a)(b) | | | | | 172,190 | | |
| | | 500,000 | | | | Madison Park Funding XXXIV Ltd., Series 2019-34A, Class AR, 1.378% (3-Month USD-LIBOR + 1.120)% due 4/25/32(a)(b) | | | | | 499,831 | | |
| | | 1,000,000 | | | | Marble Point CLO XXI Ltd., Series 2021-3A, Class A1, 1.481% (3-Month USD-LIBOR + 1.240)% due 10/17/34(a)(b) | | | | | 993,373 | | |
| | | 186,000 | | | | Marlette Funding Trust, Series 2019-4A, Class C, 3.760% due 12/17/29(a) | | | | | 186,938 | | |
| | | 488,750 | | | | ME Funding LLC, Series 2019-1, Class A2, 6.448% due 7/30/49(a) | | | | | 505,284 | | |
| | | | | | | MF1 Ltd.: | | | | | | | |
| | | 200,000 | | | | Series 2021-FL6, Class A, 1.226% (1-Month USD-LIBOR + 1.100)% due 7/16/36(a)(b) | | | | | 197,998 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 208,000 | | | | Series 2021-FL7, Class A, 1.206% (1-Month USD-LIBOR + 1.080)% due 10/16/36(a)(b) | | | | $ | 206,299 | | |
| | | 104,851 | | | | Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.170% due 9/16/69(a) | | | | | 103,494 | | |
| | | 341,000 | | | | NLY Commercial Mortgage Trust, Series 2019-FL2, Class AS, 1.791% (1-Month USD-LIBOR + 1.600)% due 2/15/36(a)(b) | | | | | 338,948 | | |
| | | 988,761 | | | | Northwoods Capital XVI Ltd., Series 2017-16A, Class A, 1.776% (3-Month USD-LIBOR + 1.270)% due 11/15/30(a)(b) | | | | | 989,392 | | |
| | | 982,916 | | | | Ocean Trails CLO V, Series 2014-5A, Class ARR, 1.524% (3-Month USD-LIBOR + 1.280)% due 10/13/31(a)(b) | | | | | 982,913 | | |
| | | 250,000 | | | | OCP CLO Ltd., Series 2014-5A, Class A1R, 1.347% (3-Month USD-LIBOR + 1.080)% due 4/26/31(a)(b) | | | | | 249,999 | | |
| | | | | | | Pagaya AI Debt Selection Trust: | | | | | | | |
| | | 62,668 | | | | Series 2020-3, Class A, 2.100% due 5/17/27(a) | | | | | 62,756 | | |
| | | 251,709 | | | | Series 2021-1, Class A, 1.180% due 11/15/27(a) | | | | | 249,679 | | |
| | | 650,000 | | | | Series 2021-3, Class B, 1.740% due 5/15/29(a) | | | | | 624,999 | | |
| | | 492,648 | | | | Series 2021-5, Class A, 1.530% due 8/15/29(a) | | | | | 488,645 | | |
| | | 250,000 | | | | Pagaya AI Debt Trust, Series 2022-1, Class A, 2.030% due 10/15/29(a) | | | | | 247,746 | | |
| | | 474,941 | | | | PRET LLC, Series 2021-NPL3, Class A1, step bond to yield, 1.868% due 7/25/51(a) | | | | | 464,648 | | |
| | | 311,749 | | | | Sofi Consumer Loan Program Trust, Series 2018-2, Class C, 4.250% due 4/26/27(a) | | | | | 312,596 | | |
| | | 1,000,000 | | | | Sound Point CLO VI-R Ltd., Series 2014-2RA, Class A, 1.504% (3-Month USD-LIBOR + 1.250)% due 10/20/31(a)(b) | | | | | 999,221 | | |
| | | 500,000 | | | | Sound Point CLO XVIII Ltd., Series 2017-4A, Class A1, 1.374% (3-Month USD-LIBOR + 1.120)% due 1/21/31(a)(b) | | | | | 496,921 | | |
| | | 1,000,000 | | | | Steele Creek CLO Ltd., Series 2018-2A, Class A, 1.688% (3-Month USD-LIBOR + 1.200)% due 8/18/31(a)(b) | | | | | 997,190 | | |
| | | 200,000 | | | | STWD Ltd., Series 2021-FL2, Class A, 1.337% (1-Month USD-LIBOR + 1.200)% due 4/18/38(a)(b) | | | | | 197,909 | | |
| | | 150,000 | | | | Theorem Funding Trust, Series 2020-1A, Class B, 3.950% due 10/15/26(a) | | | | | 151,081 | | |
| | | 1,000,000 | | | | Trimaran Cavu Ltd., Series 2019-1A, Class A1, 1.714% (3-Month USD-LIBOR + 1.460)% due 7/20/32(a)(b) | | | | | 1,000,857 | | |
| | | 200,000 | | | | TRTX Issuer Ltd., Series 2021-FL4, Class A, 1.320% (1-Month USD-LIBOR + 1.200)% due 3/15/38(a)(b) | | | | | 198,706 | | |
| | | | | | | Upstart Securitization Trust: | | | | | | | |
| | | 209,150 | | | | Series 2020-3, Class A, 1.702% due 11/20/30(a) | | | | | 209,260 | | |
| | | 251,571 | | | | Series 2021-3, Class A, 0.830% due 7/20/31(a) | | | | | 249,203 | | |
| | | 681,986 | | | | VCAT LLC, Series 2021-NPL4, Class A1, step bond to yield, 1.868% due 8/25/51(a) | | | | | 663,377 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 500,000 | | | | Vibrant ClO VIII Ltd., Series 2018-8A, Class A1A, 1.394% (3-Month USD-LIBOR + 1.140)% due 1/20/31(a)(b) | | | | $ | 499,293 | | |
| | | 566,099 | | | | VOLT XCII LLC, Series 2021-NPL1, Class A1, step bond to yield, 1.893% due 2/27/51(a) | | | | | 554,315 | | |
| | | 369,728 | | | | VOLT XCIV LLC, Series 2021-NPL3, Class A1, step bond to yield, 2.240% due 2/27/51(a) | | | | | 363,144 | | |
| | | 768,441 | | | | VOLT XCIX LLC, Series 2021-NPL8, Class A1, step bond to yield, 2.116% due 4/25/51(a) | | | | | 751,458 | | |
| | | 500,000 | | | | Wellfleet CLO X Ltd., Series 2019-XA, Class A1R, 1.424% (3-Month USD-LIBOR + 1.170)% due 7/20/32(a)(b) | | | | | 495,437 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES | | | | | | | |
| | | | | | | (Cost – $30,497,075) | | | | | 30,260,506 | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS – 3.9% | | ||||||||||||
| | | 284,851 | | | | Angel Oak Mortgage Trust, Series 2020-6, Class A1, 1.261% due 5/25/65(a)(b) | | | | | 281,652 | | |
| | | 183,000 | | | | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF2, Class A2, 2.023% due 6/15/54(a) | | | | | 177,981 | | |
| | | | | | | BANK: | | | | | | | |
| | | 1,386,233 | | | | Series 2017-BNK4, Class XA, 1.331% due 5/15/50(b)(g) | | | | | 74,735 | | |
| | | 1,798,854 | | | | Series 2017-BNK6, Class XA, 0.799% due 7/15/60(b)(g) | | | | | 58,579 | | |
| | | 200,000 | | | | BBCMS Mortgage Trust, Series 2019-BWAY, Class A, 1.147% (1-Month USD-LIBOR + 0.956)% due 11/15/34(a)(b) | | | | | 198,230 | | |
| | | | | | | Benchmark Mortgage Trust: | | | | | | | |
| | | 10,669,303 | | | | Series 2018-B4, Class XA, 0.508% due 7/15/51(b)(g) | | | | | 244,972 | | |
| | | 3,678,138 | | | | Series 2020-B16, Class XA, 0.927% due 2/15/53(b)(g) | | | | | 225,475 | | |
| | | 208,000 | | | | BPR Trust, Series 2021-TY, Class A, 1.241% (1-Month USD-LIBOR + 1.050)% due 9/15/38(a)(b) | | | | | 205,667 | | |
| | | | | | | BRAVO Residential Funding Trust: | | | | | | | |
| | | 703,276 | | | | Series 2021-A, Class A1, step bond to yield, 1.991% due 12/31/49(a) | | | | | 689,655 | | |
| | | 994,616 | | | | Series 2022-RPL1, Class A1, 2.750% due 9/25/61(a) | | | | | 997,898 | | |
| | | 184,000 | | | | BSREP Commercial Mortgage Trust, Series 2021-DC, Class A, 1.142% (1-Month USD-LIBOR + 0.950)% due 8/15/38(a)(b) | | | | | 181,236 | | |
| | | | | | | BX Commercial Mortgage Trust: | | | | | | | |
| | | 209,000 | | | | Series 2021-21M, Class A, 0.921% (1-Month USD-LIBOR + 0.730)% due 10/15/36(a)(b) | | | | | 202,658 | | |
| | | 208,000 | | | | Series 2021-VOLT, Class B, 1.141% (1-Month USD-LIBOR + 0.950)% due 9/15/36(a)(b) | | | | | 201,105 | | |
| | | 209,000 | | | | Series 2021-XL2, Class B, 1.189% (1-Month USD-LIBOR + 0.998)% due 10/15/38(a)(b) | | | | | 204,563 | | |
| | | | | | | BX Trust: | | | | | | | |
| | | 205,971 | | | | Series 2018-EXCL, Class A, 1.279% (1-Month USD-LIBOR + 1.088)% due 9/15/37(a)(b) | | | | | 203,390 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 183,000 | | | | Series 2021-VIEW, Class A, 1.471% (1-Month USD-LIBOR + 1.280)% due 6/15/23(a)(b) | | | | $ | 181,291 | | |
| | | 209,000 | | | | BXHPP Trust, Series 2021-FILM, Class B, 1.091% (1-Month USD-LIBOR + 0.900)% due 8/15/36(a)(b) | | | | | 202,197 | | |
| | | 1,637,570 | | | | CD Mortgage Trust, Series 2017-CD4, Class XA, 1.271% due 5/10/50(b)(g) | | | | | 74,519 | | |
| | | | | | | CFCRE Commercial Mortgage Trust: | | | | | | | |
| | | 1,109,473 | | | | Series 2017-C8, Class XA, 1.489% due 6/15/50(b)(g) | | | | | 68,181 | | |
| | | 287,000 | | | | Series 2017-C8, Class XB, 0.902% due 6/15/50(b)(g) | | | | | 12,304 | | |
| | | 386,000 | | | | Citigroup Commercial Mortgage Trust, Series 2019-PRM, Class D, 4.350% due 5/10/36(a) | | | | | 385,409 | | |
| | | 126,746 | | | | COLT Mortgage Loan Trust, Series 2020-2, Class A1, 1.853% due 3/25/65(a)(b) | | | | | 126,821 | | |
| | | 174,632 | | | | COLT Mortgage Pass-Through Certificates, Series 2021-1R, Class A1, 0.857% due 5/25/65(a)(b) | | | | | 172,435 | | |
| | | 918,857 | | | | COLT Trust, Series 2021-RPL1, Class A1, 1.665% due 9/25/61(a)(b) | | | | | 897,134 | | |
| | | | | | | Commercial Mortgage Trust: | | | | | | | |
| | | 16,394,291 | | | | Series 2013-CR9, Class XA, 0.054% due 7/10/45(b)(g) | | | | | 6,922 | | |
| | | 1,357,139 | | | | Series 2013-LC6, Class XA, 1.264% due 1/10/46(b)(g) | | | | | 7,069 | | |
| | | 227,000 | | | | Series 2018-HCLV, Class A, 1.191% (1-Month USD-LIBOR + 1.000)% due 9/15/33(a)(b) | | | | | 222,447 | | |
| | | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | | | | |
| | | 573,000 | | | | Series 2017-CHOP, Class E, 3.491% (1-Month USD-LIBOR + 3.300)% due 7/15/32(a)(b) | | | | | 544,350 | | |
| | | 534,825 | | | | Series 2020-RPL3, Class A1, 2.691% due 3/25/60(a)(b) | | | | | 530,219 | | |
| | | | | | | CSAIL Commercial Mortgage Trust: | | | | | | | |
| | | 590,495 | | | | Series 2017-C8, Class XA, 1.193% due 6/15/50(b)(g) | | | | | 28,590 | | |
| | | 4,680,940 | | | | Series 2017-CX10, Class XA, 0.750% due 11/15/50(b)(g) | | | | | 142,360 | | |
| | | 3,316,865 | | | | Series 2018-CX12, Class XA, 0.569% due 8/15/51(b)(g) | | | | | 98,622 | | |
| | | 200,000 | | | | DBJPM Mortgage Trust, Series 2016-C3, Class A5, 2.890% due 8/10/49 | | | | | 201,164 | | |
| | | 209,000 | | | | EQUS Mortgage Trust, Series 2021-EQAZ, Class A, 0.946% (1-Month USD-LIBOR + 0.755)% due 10/15/38(a)(b) | | | | | 204,813 | | |
| | | | | | | Federal National Mortgage Association (FNMA), Aces: | | | | | | | |
| | | 1,184,381 | | | | Series 2020-M49, Class 1A1, 1.256% due 11/25/30(b) | | | | | 1,135,908 | | |
| | | 690,435 | | | | Series 2021-M5, Class A1, 1.461% due 1/25/33(b) | | | | | 669,484 | | |
| | | 1,070,540 | | | | Series 2021-M6, Class A1, 1.483% due 3/25/33(b) | | | | | 1,038,153 | | |
| | | 295,863 | | | | Series 2021-M7, Class A1, 1.719% due 3/25/31(b) | | | | | 290,106 | | |
| | | 64,000 | | | | Series 2022-M5, Class A1, 2.419% due 1/1/34(b) | | | | | 64,928 | | |
| | | 724,626 | | | | Federal National Mortgage Association (FNMA), REMICS, Series 2019-5, Class FA, 0.587% (1-Month USD-LIBOR + 0.400)% due 3/25/49(b) | | | | | 729,603 | | |
| | | | | | | GS Mortgage Securities Corp. Trust: | | | | | | | |
| | | 361,000 | | | | Series 2012-ALOH, Class A, 3.551% due 4/10/34(a) | | | | | 360,163 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 208,000 | | | | Series 2021-IP, Class A, 1.141% (1-Month USD-LIBOR + 0.950)% due 10/15/36(a)(b) | | | | $ | 205,779 | | |
| | | | | | | GS Mortgage Securities Trust: | | | |||||
| | | 3,738,178 | | | | Series 2016-GS4, Class XA, 0.570% due 11/10/49(b)(g) | | | | | 86,490 | | |
| | | 1,730,072 | | | | Series 2017-GS6, Class XA, 1.019% due 5/10/50(b)(g) | | | | | 80,645 | | |
| | | 3,573,959 | | | | Series 2017-GS8, Class XA, 0.964% due 11/10/50(b)(g) | | | | | 144,197 | | |
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | | | | | |
| | | 1,870,408 | | | | Series 2014-C20, Class XA, 0.861% due 7/15/47(b)(g) | | | | | 22,441 | | |
| | | 4,075,000 | | | | Series 2020-MKST, Class XCP, 0.000% due 12/15/36(a)(b)(g) | | | | | 295 | | |
| | | | | | | JPMBB Commercial Mortgage Securities Trust: | | | | | | | |
| | | 975,300 | | | | Series 2015-C32, Class XA, 1.199% due 11/15/48(b)(g) | | | | | 24,041 | | |
| | | 200,000 | | | | Series 2016-C1, Class A5, 3.576% due 3/17/49 | | | | | 206,435 | | |
| | | | | | | Legacy Mortgage Asset Trust: | | | | | | | |
| | | 337,034 | | | | Series 2020-GS4, Class A1, step bond to yield, 3.250% due 2/25/60(a) | | | | | 335,845 | | |
| | | 457,168 | | | | Series 2021-GS4, Class A1, step bond to yield, 1.650% due 11/25/60(a) | | | | | 440,932 | | |
| | | 411,780 | | | | Series 2021-SL1, Class A, 1.991% due 9/25/60(a)(b)(c) | | | | | 402,836 | | |
| | | 159,300 | | | | LoanCore Issuer Ltd., Series 2019-CRE3, Class AS, 1.561% (1-Month USD-LIBOR + 1.370)% due 4/15/34(a)(b) | | | | | 157,757 | | |
| | | 43,806 | | | | MF1 Ltd., Series 2020-FL3, Class A, 2.213% (SOFR30A + 2.164)% due 7/15/35(a)(b) | | | | | 43,737 | | |
| | | 209,000 | | | | MHP, Series 2022-MHIL, Class A, 0.914% (1-Month CME Term SOFR + 0.815)% due 1/15/27(a)(b) | | | | | 204,813 | | |
| | | | | | | Morgan Stanley Capital I Trust: | | | | | | | |
| | | 1,346,502 | | | | Series 2016-UB11, Class XA, 1.495% due 8/15/49(b)(g) | | | | | 66,528 | | |
| | | 3,574,830 | | | | Series 2016-UB12, Class XA, 0.655% due 12/15/49(b)(g) | | | | | 95,252 | | |
| | | 892,909 | | | | Series 2017-H1, Class XA, 1.341% due 6/15/50(b)(g) | | | | | 44,252 | | |
| | | 184,000 | | | | Series 2021-L6, Class A2, 2.126% due 6/15/54(b) | | | | | 179,596 | | |
| | | 209,308 | | | | Morgan Stanley Capital I, Inc., Series 2021-ILP, Class A, 0.970% (1-Month USD-LIBOR + 0.778)% due 11/15/23(a)(b) | | | | | 206,389 | | |
| | | 200,421 | | | | Motel Trust, Series 2021-MTL6, Class A, 1.091% (1-Month USD-LIBOR + 0.900)% due 9/15/38(a)(b) | | | | | 197,969 | | |
| | | 212,035 | | | | New Residential Mortgage Loan Trust, Series 2020-NQM1, Class A2, 2.718% due 1/26/60(a)(b) | | | | | 211,165 | | |
| | | 437,269 | | | | NYMT Loan Trust, Series 2020-SP2, Class A1, 2.944% due 10/25/60(a)(b) | | | | | 433,560 | | |
| | | 780,215 | | | | OBX Trust, Series 2022-NQM1, Class A1, 2.305% due 11/25/61(a)(b) | | | | | 771,413 | | |
| | | | | | | PFP Ltd.: | | | | | | | |
| | | 69,837 | | | | Series 2019-6, Class A, 1.176% (1-Month USD-LIBOR + 1.050)% due 4/14/37(a)(b) | | | | | 69,512 | | |
| | | 209,000 | | | | Series 2021-8, Class A, 1.126% (1-Month USD-LIBOR + 1.000)% due 8/9/37(a)(b) | | | | | 207,145 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 598,653 | | | | PRPM LLC, Series 2021-4, Class A1, step bond to yield, 1.867% due 4/25/26(a) | | | | $ | 579,808 | | |
| | | 190,000 | | | | SMR Mortgage Trust, Series 2022-IND, Class A, 1.710% (1-Month CME Term SOFR + 1.650)% due 2/15/39(a)(b) | | | | | 188,086 | | |
| | | 210,000 | | | | SREIT Trust, Series 2021-MFP, Class A, 0.922% (1-Month USD-LIBOR + 0.731)% due 11/15/38(a)(b) | | | | | 205,794 | | |
| | | | | | | UBS Commercial Mortgage Trust: | | | | | | | |
| | | 9,980 | | | | Series 2012-C1, Class XA, 1.653% due 5/10/45(a)(b)(g) | | | | | 1 | | |
| | | 859,564 | | | | Series 2017-C1, Class XA, 1.528% due 6/15/50(b)(g) | | | | | 55,563 | | |
| | | | | | | Velocity Commercial Capital Loan Trust: | | | | | | | |
| | | 1,301,963 | | | | Series 2021-2, Class A, 1.520% due 8/25/51(a)(b) | | | | | 1,237,184 | | |
| | | 473,783 | | | | Series 2021-2, Class M1, 1.820% due 8/25/51(a)(b) | | | | | 441,943 | | |
| | | | | | | Verus Securitization Trust: | | | | | | | |
| | | 744,879 | | | | Series 2019-INV2, Class A3, 3.219% due 7/25/59(a)(b) | | | | | 747,012 | | |
| | | 85,367 | | | | Series 2020-2, Class A1, 2.226% due 5/25/60(a)(b) | | | | | 84,843 | | |
| | | 660,822 | | | | Series 2021-7, Class A1, 1.829% due 10/25/66(a)(b) | | | | | 644,630 | | |
| | | 420,388 | | | | Series 2021-R1, Class A2, 1.057% due 10/25/63(a)(b) | | | | | 416,693 | | |
| | | 177,401 | | | | Vista Point Securitization Trust, Series 2020-2, Class A1, 1.475% due 4/25/65(a)(b) | | | | | 174,882 | | |
| | | | | | | Wells Fargo Commercial Mortgage Trust: | | | | | | | |
| | | 2,390,275 | | | | Series 2015-LC22, Class XA, 0.776% due 9/15/58(b)(g) | | | | | 55,380 | | |
| | | 4,771,445 | | | | Series 2015-NXS2, Class XA, 0.646% due 7/15/58(b)(g) | | | | | 89,919 | | |
| | | 185,000 | | | | Series 2021-C60, Class A2, 2.042% due 8/15/54 | | | | | 180,676 | | |
| | | 90,902 | | | | Series 2021-SAVE, Class A, 1.341% (1-Month USD-LIBOR + 1.150)% due 2/15/40(a)(b) | | | | | 90,105 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | | | | | | | |
| | | | | | | (Cost – $25,252,579) | | | | | 22,574,531 | | |
| U.S. GOVERNMENT OBLIGATIONS – 2.2% | | ||||||||||||
| | | 330,000 | | | | U.S. Treasury Bonds, 1.000% due 12/15/24 | | | | | 324,457 | | |
| | | | | | | U.S. Treasury Notes: | | | | | | | |
| | | 790,000 | | | | 0.375% due 3/31/22 | | | | | 790,124 | | |
| | | 1,590,000 | | | | 0.125% due 2/28/23 | | | | | 1,574,846 | | |
| | | 2,790,000 | | | | 0.125% due 4/30/23 | | | | | 2,755,343 | | |
| | | 3,720,000 | | | | 0.500% due 11/30/23 | | | | | 3,660,567 | | |
| | | 2,220,000 | | | | 0.375% due 4/15/24 | | | | | 2,167,188 | | |
| | | 1,550,000 | | | | 1.500% due 2/15/25 | | | | | 1,543,824 | | |
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS | | | | | | | |
| | | | | | | (Cost – $12,797,903) | | | | | 12,816,349 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – 0.3% | | ||||||||||||
| Brazil – 0.0% | | ||||||||||||
| | $ | 200,000 | | | | Brazilian Government International Bond, 2.875% due 6/6/25 | | | | $ | 198,908 | | |
| Chile – 0.0% | | ||||||||||||
| | | 200,000 | | | | Chile Government International Bond, 3.125% due 1/21/26 | | | | | 204,768 | | |
| Colombia – 0.0% | | ||||||||||||
| | | 200,000 | | | | Colombia Government International Bond, 4.500% due 1/28/26 | | | | | 202,408 | | |
| Panama – 0.1% | | ||||||||||||
| | | 200,000 | | | | Panama Government International Bond, 3.750% due 3/16/25 | | | | | 205,320 | | |
| Peru – 0.1% | | ||||||||||||
| | | 200,000 | | | | Corporacion Financiera de Desarrollo SA, 5.250% due 7/15/29(b) | | | | | 199,202 | | |
| | | 50,000 | | | | Peruvian Government International Bond, 2.392% due 1/23/26 | | | | | 48,979 | | |
| | | | | | | Total Peru | | | | | 248,181 | | |
| Qatar – 0.1% | | ||||||||||||
| | | 200,000 | | | | Qatar Government International Bond, 3.250% due 6/2/26 | | | | | 207,080 | | |
| South Korea – 0.0% | | ||||||||||||
| | | 200,000 | | | | Korea Electric Power Corp., 1.125% due 6/15/25 | | | | | 192,796 | | |
| United Arab Emirates – 0.0% | | ||||||||||||
| | | 200,000 | | | | Abu Dhabi Government International Bond, 2.500% due 4/16/25(a) | | | | | 202,300 | | |
| | | | | | | TOTAL SOVEREIGN BONDS | | | | | | | |
| | | | | | | (Cost – $1,731,837) | | | | | 1,661,761 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 9.3% | | ||||||||||||
| CONSUMER NON-CYCLICAL – 0.0% | | ||||||||||||
| Household Products/Wares – 0.0% | | ||||||||||||
| | | 10,622 | | | | Leafly Holdings Inc.* | | | | | 78,709 | | |
| DIVERSIFIED – 9.3% | | ||||||||||||
| SPACs – 9.3% | | ||||||||||||
| | | 21,581 | | | | 26 Capital Acquisition Corp., Class A Shares* | | | | | 213,868 | | |
| | | 12,138 | | | | Adit EdTech Acquisition Corp.* | | | | | 120,045 | | |
| | | 10,094 | | | | Arrowroot Acquisition Corp., Class A Shares* | | | | | 97,912 | | |
| | | 23,979 | | | | Athlon Acquisition Corp., Class A Shares* | | | | | 234,035 | | |
| | | 177,273 | | | | Atlantic Avenue Acquisition Corp., Class A Shares* | | | | | 1,742,594 | | |
| | | 23,979 | | | | Authentic Equity Acquisition Corp., Class A Shares* | | | | | 233,915 | | |
| | | 8,000 | | | | AxonPrime Infrastructure Acquisition Corp.*(c)(d) | | | | | 4,000 | | |
| | | 25,927 | | | | Berenson Acquisition Corp. I*(c)(d) | | | | | 8,556 | | |
| | | 146,774 | | | | Berenson Acquisition Corp. I, Class A Shares*(c) | | | | | 1,425,176 | | |
| | | 137,418 | | | | BGP Acquisition Corp., Class A Shares*(c) | | | | | 1,339,825 | | |
| | | 30,427 | | | | Bite Acquisition Corp.* | | | | | 296,359 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 18,710 | | | | Blockchain Coinvestors Acquisition Corp. I* | | | | $ | 188,597 | | |
| | | 110,902 | | | | Blockchain Moon Acquisition Corp.* | | | | | 1,089,058 | | |
| | | 260,629 | | | | Brigade-M3 European Acquisition Corp.*(c) | | | | | 2,533,314 | | |
| | | 52,870 | | | | Bullpen Parlay Acquisition Co.*(c) | | | | | 528,700 | | |
| | | 67,049 | | | | Cartesian Growth Corp., Class A Shares*(h) | | | | | 661,103 | | |
| | | 26,559 | | | | Cascade Acquisition Corp., Class A Shares* | | | | | 266,652 | | |
| | | 41,903 | | | | CF Acquisition Corp. IV, Class A Shares* | | | | | 411,068 | | |
| | | 46,688 | | | | Clarim Acquisition Corp., Class A Shares* | | | | | 454,741 | | |
| | | 31,129 | | | | Cohn Robbins Holdings Corp., Class A Shares* | | | | | 308,177 | | |
| | | 23,979 | | | | COVA Acquisition Corp., Class A Shares* | | | | | 233,795 | | |
| | | 41,264 | | | | Crescera Capital Acquisition Corp.*(c) | | | | | 412,640 | | |
| | | 500 | | | | Crown PropTech Acquisitions, Class A Shares* | | | | | 4,935 | | |
| | | 7,704 | | | | DHB Capital Corp., Class A Shares* | | | | | 74,883 | | |
| | | 37,898 | | | | Disruptive Acquisition Corp. I, Class A Shares*(c) | | | | | 367,990 | | |
| | | 38,018 | | | | DP Capital Acquisition Corp. I, Class A Shares*(c) | | | | | 375,238 | | |
| | | 12,897 | | | | Duddell Street Acquisition Corp., Class A Shares* | | | | | 127,938 | | |
| | | 15,516 | | | | EJF Acquisition Corp., Class A Shares*(h) | | | | | 153,608 | | |
| | | 48,662 | | | | Elliott Opportunity II Corp., Class A Shares* | | | | | 471,535 | | |
| | | 42,568 | | | | Empowerment & Inclusion Capital I Corp., Class A Shares* | | | | | 415,677 | | |
| | | 26,968 | | | | Enterprise 4.0 Technology Acquisition Corp.*(c) | | | | | 267,253 | | |
| | | 23,879 | | | | EQ Health Acquisition Corp., Class A Shares* | | | | | 232,820 | | |
| | | 59,814 | | | | Equity Distribution Acquisition Corp., Class A Shares* | | | | | 589,168 | | |
| | | 11,349 | | | | Everest Consolidator Acquisition Corp.* | | | | | 112,469 | | |
| | | 57,452 | | | | Executive Network Partnering Corp., Class A Shares* | | | | | 565,040 | | |
| | | 109,961 | | | | FG Merger Corp.*(c) | | | | | 1,098,510 | | |
| | | 23,979 | | | | Fintech Evolution Acquisition Group, Class A Shares* | | | | | 233,076 | | |
| | | 58,605 | | | | Forum Merger IV Corp., Class A Shares* | | | | | 569,055 | | |
| | | 76,630 | | | | G&P Acquisition Corp., Class A Shares* | | | | | 757,104 | | |
| | | 150,413 | | | | Global Consumer Acquisition Corp.* | | | | | 1,496,609 | | |
| | | 29,178 | | | | Global Partner Acquisition Corp. II, Class A Shares* | | | | | 284,485 | | |
| | | 13,500 | | | | Goal Acquisitions Corp.* | | | | | 131,625 | | |
| | | 90,017 | | | | Golden Falcon Acquisition Corp., Class A Shares* | | | | | 880,366 | | |
| | | 116,382 | | | | GP Bullhound Acquisition I SE, Class A Shares* | | | | | 1,315,431 | | |
| | | 121,848 | | | | GSR II Meteora Acquisition Corp.*(c) | | | | | 1,218,480 | | |
| | | 262,512 | | | | Hambro Perks Acquisition Co., Ltd., Class A Shares* | | | | | 3,522,123 | | |
| | | 70,544 | | | | Hamilton Lane Alliance Holdings I Inc., Class A Shares* | | | | | 688,509 | | |
| | | 23,979 | | | | Healthcare Services Acquisition Corp., Class A Shares* | | | | | 234,515 | | |
| | | 94,617 | | | | Heartland Media Acquisition Corp.* | | | | | 944,278 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 144,837 | | | | Hiro Metaverse Acquisitions I SA, Class A Shares*(c) | | | | $ | 1,943,278 | | |
| | | 188,128 | | | | Iconic Sports Acquisition Corp., Class A Shares* | | | | | 1,873,755 | | |
| | | 23,979 | | | | Ignyte Acquisition Corp.* | | | | | 235,234 | | |
| | | 51,527 | | | | Isleworth Healthcare Acquisition Corp.* | | | | | 508,571 | | |
| | | 23,979 | | | | Itiquira Acquisition Corp., Class A Shares* | | | | | 234,035 | | |
| | | 86,611 | | | | KnightSwan Acquisition Corp.* | | | | | 862,646 | | |
| | | 47,500 | | | | LightJump Acquisition Corp.* | | | | | 469,775 | | |
| | | 468,448 | | | | Mason Industrial Technology Inc., Class A Shares* | | | | | 4,557,999 | | |
| | | 61,279 | | | | New Providence Acquisition Corp. II*(c)(h) | | | | | 612,790 | | |
| | | 52,110 | | | | Oaktree Acquisition Corp. II, Class A Shares* | | | | | 513,283 | | |
| | | 120,600 | | | | Omnichannel Acquisition Corp., Class A Shares*(h) | | | | | 1,198,764 | | |
| | | 15,841 | | | | OmniLit Acquisition Corp.* | | | | | 158,727 | | |
| | | 43,737 | | | | One Equity Partners Open Water I Corp., Class A Shares* | | | | | 426,436 | | |
| | | 23,979 | | | | Oyster Enterprises Acquisition Corp., Class A Shares* | | | | | 234,035 | | |
| | | 39,200 | | | | Peridot Acquisition Corp. II, Class A Shares* | | | | | 381,024 | | |
| | | 4,417 | | | | Pontem Corp., Class A Shares* | | | | | 43,066 | | |
| | | 12,783 | | | | PWP Forward Acquisition Corp. I, Class A Shares* | | | | | 124,187 | | |
| | | 29,037 | | | | Pyrophyte Acquisition Corp.* | | | | | 293,854 | | |
| | | 109,333 | | | | Revelstone Capital Acquisition Corp.*(c) | | | | | 1,067,090 | | |
| | | 49,915 | | | | RMG Acquisition Corp. III, Class A Shares* | | | | | 486,671 | | |
| | | 7,877 | | | | ShoulderUp Technology Acquisition Corp.* | | | | | 79,243 | | |
| | | 23,979 | | | | Silver Crest Acquisition Corp., Class A Shares* | | | | | 234,515 | | |
| | | 299,915 | | | | Silver Spike III Acquisition Corp., Class A Shares*(c) | | | | | 2,999,150 | | |
| | | 35,905 | | | | SportsMap Tech Acquisition Corp.*(c) | | | | | 354,023 | | |
| | | 15,207 | | | | ST Energy Transition I Ltd.* | | | | | 151,918 | | |
| | | 65,340 | | | | Tailwind International Acquisition Corp., Class A Shares* | | | | | 636,412 | | |
| | | 19,786 | | | | Tailwind Two Acquisition Corp., Class A Shares* | | | | | 196,277 | | |
| | | 25,622 | | | | Tech & Energy Transition Corp., Class A Shares* | | | | | 249,046 | | |
| | | 115,315 | | | | Tekkorp Digital Acquisition Corp., Class A Shares* | | | | | 1,132,393 | | |
| | | 85,905 | | | | Tishman Speyer Innovation Corp. II, Class A Shares* | | | | | 836,715 | | |
| | | 139,747 | | | | Vector Acquisition Corp. II, Class A Shares* | | | | | 1,361,136 | | |
| | | 17,748 | | | | Zanite Acquisition Corp., Class A Shares*(h) | | | | | 181,385 | | |
| | | | | | | Total SPACs | | | | | 54,574,283 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 54,574,283 | | |
| ENERGY – 0.0% | | ||||||||||||
| Oil & Gas Services – 0.0% | | ||||||||||||
| | | 3,121 | | | | Superior Energy Services Inc.*(c) | | | | | 142,005 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| FINANCIAL – 0.0% | | ||||||||||||
| Financial Services – 0.0% | | ||||||||||||
| | | 16,305 | | | | Alpha Partners Technology*(c)(d) | | | | $ | 8,141 | | |
| | | 12,300 | | | | Revelstone Capital Acquisition Corp.*(c)(d) | | | | | 3,659 | | |
| | | | | | | Total Financial Services | | | | | 11,800 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 11,800 | | |
| | | | | | | TOTAL COMMON STOCKS | | | | | | | |
| | | | | | | (Cost – $52,410,292) | | | | | 54,806,797 | | |
| EXCHANGE TRADED FUND (ETF) – 5.8% | | ||||||||||||
| | | 685,915 | | | | iShares Core 1-5 Year USD Bond(h) (Cost – $34,976,852) | | | | | 33,897,919 | | |
| WARRANTS – 0.0% | | ||||||||||||
| DIVERSIFIED – 0.0% | | ||||||||||||
| SPACs – 0.0% | | ||||||||||||
| | | 73,387 | | | | Berenson Acquisition Corp. I, due 08/01/26, Strike Price $11.50*(c) | | | | | 24,218 | | |
| | | 2,568 | | | | DHB Capital Corp.., due 03/15/28, Strike Price $11.50*(c) | | | | | 1,121 | | |
| | | 58,191 | | | | GP Bullhound Acquisition I SE, due 03/11/27, Strike Price €11.50*(c) | | | | | 12,397 | | |
| | | 131,256 | | | | Hambro Perks Acquisition Co., Ltd., due 06/30/24, Strike Price £11.50*(c) | | | | | 52,832 | | |
| | | 72,418 | | | | Hiro Metaverse Acquisitions I SA, due 12/21/26, Strike Price £11.50*(c) | | | | | 29,149 | | |
| | | 84,970 | | | | Leafly Holdings Inc., due 11/07/26, Strike Price $11.50*(c) | | | | | 82,140 | | |
| | | | | | | Total SPACs | | | | | 201,857 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 201,857 | | |
| | | | | | | TOTAL WARRANTS | | | | | | | |
| | | | | | | (Cost – $986,568) | | | | | 201,857 | | |
| TRADE CLAIMS – 1.6% | | ||||||||||||
| | | 10,520,333 | | | | Brazos Electric Power Cooperative Inc., 0.000% due 9/28/23(c)(d) | | | | | 9,468,300 | | |
| | | | | | | TOTAL TRADE CLAIMS | | | | | | | |
| | | | | | | (Cost – $9,550,943) | | | | | 9,468,300 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS | | | | | | | |
| | | | | | | (Cost – $538,104,923) | | | | | 528,534,551 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 17.8% | | ||||||||||||
| COMMERCIAL PAPERS – 1.6% | | ||||||||||||
| | $ | 4,270,000 | | | | Campbell Soup Co., 0.751% due 4/13/22(c)(i) | | | | | 4,267,166 | | |
| | | 5,242,000 | | | | Parker Hannifin Corp., 0.801% due 4/12/22(i) | | | | | 5,239,502 | | |
| | | | | | | TOTAL COMMERCIAL PAPERS | | ||||||
| | | | | | | (Cost – $9,503,283) | | | | | 9,506,668 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – (continued) | | ||||||||||||
| TIME DEPOSITS – 16.2% | | ||||||||||||
| | $ | 2,435,057 | | | | Banco Bilbao Vizcaya Argentaria SA – Madrid, 0.005% due 3/1/22 | | | | $ | 2,435,057 | | |
| | | 8,585,518 | | | | Barclays Bank PLC – London, 0.005% due 3/1/22 | | | | | 8,585,518 | | |
| | | 81,279,155 | | | | DnB NORBank ASA – Oslo, 0.005% due 3/1/22 | | | | | 81,279,155 | | |
| | | 2,838,312 | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 0.005% due 3/1/22 | | | | | 2,838,312 | | |
| | | | | | | TOTAL TIME DEPOSITS | | | | | | | |
| | | | | | | (Cost – $95,138,042) | | | | | 95,138,042 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS | | | | | | | |
| | | | | | | (Cost – $104,641,325) | | | | | 104,644,710 | | |
| Shares/Units | | | | | | | | | | | |||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.5% | | ||||||||||||
| MONEY MARKET FUND – 0.5% | | ||||||||||||
| | | 2,977,241 | | | | Federated Government Obligations Fund, Premier Class, 0.025%(j) | | | |||||
| | | | | | | (Cost – $2,977,241) | | | | | 2,977,241 | | |
| | | | | | | TOTAL INVESTMENTS – 108.2% | | | | | | | |
| | | | | | | (Cost – $645,723,489) | | | | | 636,156,502 | | |
| | | | | | | Liabilities in Excess of Other Assets – (8.2)% | | | | | (48,145,846) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 588,010,656 | | |
| Corporate Bonds & Notes | | | | | 45.6% | | |
| Senior Loans | | | | | 11.5 | | |
| Common Stocks | | | | | 8.6 | | |
| Exchange Traded Fund (ETF) | | | | | 5.3 | | |
| Asset-Backed Securities | | | | | 4.7 | | |
| Collateralized Mortgage Obligations | | | | | 3.5 | | |
| U.S. Government Obligations | | | | | 2.0 | | |
| Trade Claims | | | | | 1.5 | | |
| Sovereign Bonds | | | | | 0.3 | | |
| Warrants | | | | | 0.0* | | |
| Short-Term Investments | | | | | 16.5 | | |
| Money Market Fund | | | | | 0.5 | | |
| | | | | | 100.0% | | |
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | | | 614,000 | | | | | | BBH | | | | | $ | 688,856 | | | | | | 3/15/22 | | | | | $ | — | | | | | $ | (8,630) | | | | | $ | (8,630) | | |
Swedish Krona | | | | | 5,175,000 | | | | | | BBH | | | | | | 547,089 | | | | | | 3/15/22 | | | | | | — | | | | | | (7,627) | | | | | | (7,627) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | — | | | | | $ | (16,257) | | | | | $ | (16,257) | | |
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
British Pound | | | | | 4,065,000 | | | | | | BBH | | | | | | 5,454,685 | | | | | | 3/15/22 | | | | | $ | 69,439 | | | | | $ | — | | | | | $ | 69,439 | | |
Euro | | | | | 29,857,000 | | | | | | BBH | | | | | | 33,497,021 | | | | | | 3/15/22 | | | | | | 741,195 | | | | | | — | | | | | | 741,195 | | |
Norwegian Krone | | | | | 47,045,000 | | | | | | BBH | | | | | | 5,338,876 | | | | | | 3/15/22 | | | | | | 17,449 | | | | | | — | | | | | | 17,449 | | |
Swedish Krona | | | | | 59,197,000 | | | | | | BBH | | | | | | 6,258,165 | | | | | | 3/15/22 | | | | | | 141,500 | | | | | | — | | | | | | 141,500 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 969,583 | | | | | $ | — | | | | | $ | 969,583 | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | $ | 969,583 | | | | | $ | (16,257) | | | | | $ | 953,326 | | | ||||||||||||||||||||||||
|
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 66.1% | | ||||||||||||
| Australia – 0.2% | | ||||||||||||
| | $ | 1,300,000 | | | | QBE Insurance Group Ltd., Subordinated Notes, 6.750% (USD Swap Rate + 4.300)% due 12/2/44(a) | | | | $ | 1,384,994 | | |
| Bermuda – 0.8% | | ||||||||||||
| | | | | | | Digicel Group Holdings Ltd.: | | | | | | | |
| | | 379,661 | | | | Senior Unsecured Notes, 8.000% due 4/1/25(b)(c) | | | | | 342,579 | | |
| | | 58,641 | | | | Subordinated Notes, 7.000%(b)(c)(d) | | | | | 48,086 | | |
| | | 484,000 | | | | Geopark Ltd., Company Guaranteed Notes, 6.500% due 9/21/24 | | | | | 491,023 | | |
| | | 2,905,000 | | | | Golar LNG Ltd., Senior Unsecured Notes, 7.000% due 10/20/25(c) | | | | | 2,803,325 | | |
| | | 2,300,000 | | | | Inkia Energy Ltd., Senior Unsecured Notes, 5.875% due 11/9/27 | | | | | 2,242,523 | | |
| | | | | | | Total Bermuda | | | | | 5,927,536 | | |
| Brazil – 1.6% | | ||||||||||||
| | | 2,500,000 | | | | Banco Bradesco SA, Senior Unsecured Notes, 2.850% due 1/27/23(c) | | | | | 2,509,325 | | |
| | | 2,100,000 | | | | Banco do Brasil SA, Senior Unsecured Notes, 3.250% due 9/30/26(c) | | | | | 2,017,302 | | |
| | | | | | | Itau Unibanco Holding SA, Subordinated Notes: | | | | | | | |
| | | 2,100,000 | | | | 4.500% (5-Year CMT Index + 2.822)% due 11/21/29(a) | | | | | 2,076,596 | | |
| | | 6,150,000 | | | | 3.875% (5-Year CMT Index + 3.446)% due 4/15/31(a) | | | | | 5,762,427 | | |
| | | | | | | Total Brazil | | | | | 12,365,650 | | |
| British Virgin Islands – 0.1% | | ||||||||||||
| | | 500,000 | | | | State Grid Overseas Investment 2013 Ltd., Company Guaranteed Notes, 3.125% due 5/22/23 | | | | | 508,228 | | |
| Canada – 5.8% | | ||||||||||||
| | | 165,000 | | | | Algonquin Power & Utilities Corp., Junior Subordinated Notes, 4.750% (5-Year CMT Index + 3.249)% due 1/18/82(a) | | | | | 156,502 | | |
| | | 8,650,000 | | | | Columbia Care Inc., Senior Secured Notes, 9.500% due 2/3/26(e) | | | | | 8,710,964 | | |
| | | 6,765,260 | | | | Copper Mountain Mining Corp., Senior Secured Notes, 8.000% due 4/9/26(c) | | | | | 6,849,826 | | |
| | | 750,000 | | | | Emera Inc., Junior Subordinated Notes, 6.750% (3-Month USD-LIBOR + 5.440)% due 6/15/76(a) | | | | | 815,160 | | |
| | | 735,000 | | | | Enbridge Inc., Subordinated Notes, 5.750% (5-Year CMT Index + 5.314)% due 7/15/80(a) | | | | | 766,451 | | |
| | | 3,548,000 | | | | Greenfire Resources Inc., Senior Secured Notes, 12.000% due 8/15/25(c)(e) | | | | | 3,778,620 | | |
| | | 7,155,000 | | | | International Petroleum Corp., Company Guaranteed Notes, 7.250% due 2/1/27(c) | | | | | 7,116,961 | | |
| | | 1,000,000 | | | | MEGlobal Canada ULC, Company Guaranteed Notes, 5.000% due 5/18/25(c) | | | | | 1,045,472 | | |
| | | 7,867,000 | | | | Rockpoint Gas Storage Canada Ltd., Senior Secured Notes, 7.000% due 3/31/23(c) | | | | | 7,857,166 | | |
| | | 7,047,000 | | | | Tacora Resources Inc., Senior Secured Notes, 8.250% due 5/15/26(c) | | | | | 6,932,486 | | |
| | | 130,000 | | | | Transcanada Trust, Company Guaranteed Notes, 5.500% (SOFRRATE + 4.416)% due 9/15/79(a) | | | | | 131,131 | | |
| | | | | | | Total Canada | | | | | 44,160,739 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Cayman Islands – 4.3% | | ||||||||||||
| | $ | 2,500,000 | | | | Alibaba Group Holding Ltd., Senior Unsecured Notes, 2.800% due 6/6/23 | | | | $ | 2,526,744 | | |
| | | | | | | Baidu Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,100,000 | | | | 3.500% due 11/28/22 | | | | | 1,112,936 | | |
| | | 1,000,000 | | | | 3.875% due 9/29/23 | | | | | 1,026,098 | | |
| | | 650,000 | | | | 3.075% due 4/7/25 | | | | | 656,314 | | |
| | | 7,750,000 | | | | CK Hutchison International 21 Ltd., Company Guaranteed Notes, 1.500% due 4/15/26(c) | | | | | 7,507,425 | | |
| | | 200,000 | | | | ENN Energy Holdings Ltd., Senior Unsecured Notes, 3.250% due 7/24/22 | | | | | 201,156 | | |
| | | 2,898,000 | | | | Grupo Aval Ltd., Company Guaranteed Notes, 4.750% due 9/26/22 | | | | | 2,912,461 | | |
| | | 4,500,000 | | | | HPHT Finance 19 Ltd., Company Guaranteed Notes, 2.875% due 11/5/24 | | | | | 4,555,484 | | |
| | | 299,526 | | | | Interoceanica IV Finance Ltd., Senior Secured Notes, zero coupon, due 11/30/25 | | | | | 282,399 | | |
| | | 204,847 | | | | Peru Enhanced Pass-Through Finance Ltd., Pass Thru Certificates, zero coupon, due 6/2/25 | | | | | 192,933 | | |
| | | 5,000,000 | | | | SA Global Sukuk Ltd., Senior Unsecured Notes, 1.602% due 6/17/26(c) | | | | | 4,789,800 | | |
| | | 2,973,000 | | | | Sable International Finance Ltd., Senior Secured Notes, 5.750% due 9/7/27 | | | | | 3,039,788 | | |
| | | 1,008,312 | | | | SPARC EM SPC Panama Metro Line 2 SP, Senior Secured Notes, zero coupon, due 12/5/22(c) | | | | | 989,417 | | |
| | | | | | | Tencent Holdings Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 374,000 | | | | 3.280% due 4/11/24 | | | | | 381,947 | | |
| | | 3,100,000 | | | | 1.810% due 1/26/26(c) | | | | | 3,000,831 | | |
| | | | | | | Total Cayman Islands | | | | | 33,175,733 | | |
| Chile – 3.9% | | ||||||||||||
| | | | | | | AES Andes SA, Junior Subordinated Notes: | | | | | | | |
| | | 800,000 | | | | 7.125% (5-Year USD Swap Rate + 4.644)% due 3/26/79(a)(c) | | | | | 800,008 | | |
| | | 1,000,000 | | | | 7.125% (5-Year USD Swap Rate + 4.644)% due 3/26/79(a) | | | | | 1,000,010 | | |
| | | 600,000 | | | | 6.350% (5-Year CMT Index + 4.917)% due 10/7/79(a) | | | | | 599,256 | | |
| | | 3,400,000 | | | | Chile Electricity PEC SpA, Senior Secured Notes, zero coupon, due 1/25/28(c) | | | | | 2,490,500 | | |
| | | 400,000 | | | | Colbun SA, Senior Unsecured Notes, 4.500% due 7/10/24 | | | | | 411,504 | | |
| | | 784,356 | | | | Empresa Electrica Angamos SA, Senior Secured Notes, 4.875% due 5/25/29 | | | | | 745,138 | | |
| | | 1,584,800 | | | | Empresa Electrica Cochrane SpA, Senior Secured Notes, 5.500% due 5/14/27 | | | | | 1,555,101 | | |
| | | 6,300,000 | | | | Enel Generacion Chile SA, Senior Unsecured Notes, 4.250% due 4/15/24 | | | | | 6,410,250 | | |
| | | 2,647,200 | | | | GNL Quintero SA, Senior Unsecured Notes, 4.634% due 7/31/29 | | | | | 2,680,317 | | |
| | | 1,524,000 | | | | Guacolda Energia SA, Senior Unsecured Notes, 4.560% due 4/30/25 | | | | | 548,640 | | |
| | | 5,135,000 | | | | Inversiones CMPC SA, Company Guaranteed Notes, 4.500% due 4/25/22 | | | | | 5,150,405 | | |
| | | 6,000,000 | | | | Telefonica Chile SA, Senior Unsecured Notes, 3.875% due 10/12/22 | | | | | 6,074,873 | | |
| | | 1,803,000 | | | | VTR Comunicaciones SpA, Senior Secured Notes, 5.125% due 1/15/28 | | | | | 1,784,303 | | |
| | | | | | | Total Chile | | | | | 30,250,305 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Colombia – 2.1% | | ||||||||||||
| | $ | 400,000 | | | | Banco Bilbao Vizcaya Argentaria Colombia SA, Subordinated Notes, 4.875% due 4/21/25 | | | | $ | 399,404 | | |
| | | | | | | Bancolombia SA, Subordinated Notes: | | | | | | | |
| | | 6,200,000 | | | | 4.875% (5-Year CMT Index + 2.929)% due 10/18/27(a) | | | | | 6,155,360 | | |
| | | 1,350,000 | | | | 4.625% (5-Year CMT Index + 2.944)% due 12/18/29(a) | | | | | 1,292,625 | | |
| | | | | | | Ecopetrol SA, Senior Unsecured Notes: | | | | | | | |
| | | 5,600,000 | | | | 5.875% due 9/18/23 | | | | | 5,818,400 | | |
| | | 1,000,000 | | | | 4.125% due 1/16/25 | | | | | 999,770 | | |
| | | 1,450,000 | | | | Grupo de Inversiones Suramericana SA, Senior Unsecured Notes, 5.500% due 4/29/26 | | | | | 1,460,890 | | |
| | | | | | | Total Colombia | | | | | 16,126,449 | | |
| Denmark – 0.1% | | ||||||||||||
| | | 800,000EUR | | | | Georg Jensen AS, Secured Notes, 6.000% (3-Month EURIBOR + 6.000)% due 5/15/23 | | | | | 877,018 | | |
| Dominican Republic – 0.1% | | ||||||||||||
| | | 1,100,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 1,124,761 | | |
| France – 0.3% | | ||||||||||||
| | | 1,200,000 | | | | BNP Paribas SA, Junior Subordinated Notes, 6.625% (5-Year USD Swap Rate + 4.149)%(a)(c)(d) | | | | | 1,240,440 | | |
| | | 575,000 | | | | Credit Agricole SA, Junior Subordinated Notes, 8.125% (5-Year USD Swap Rate + 6.185)%(a)(c)(d) | | | | | 647,594 | | |
| | | 290,000 | | | | Societe Generale SA, Junior Subordinated Notes, 7.875% (5-Year USD Swap Rate + 4.979)%(a)(c)(d) | | | | | 304,137 | | |
| | | | | | | Total France | | | | | 2,192,171 | | |
| Germany – 1.0% | | ||||||||||||
| | | 1,000,000 | | | | Deutsche Bank AG, Junior Subordinated Notes, 6.000% (5-Year CMT Index + 4.524)%(a)(d) | | | | | 971,250 | | |
| | | 2,640,000EUR | | | | LifeFit Group, Secured Notes, 7.500% (3-Month EURIBOR + 7.500)% due 7/26/23 | | | | | 2,945,197 | | |
| | | 3,770,000EUR | | | | LR Global Holding GmbH, Senior Secured Notes, 7.250% (3-Month EURIBOR + 7.250)% due 2/3/25(a) | | | | | 4,111,106 | | |
| | | | | | | Total Germany | | | | | 8,027,553 | | |
| Hong Kong – 0.1% | | ||||||||||||
| | | 500,000 | | | | State Grid Overseas Investment Ltd., Senior Unsecured Notes, 1.000% due 8/5/25 | | | | | 479,220 | | |
| India – 0.6% | | ||||||||||||
| | | 900,000 | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes, 3.375% due 7/24/24 | | | | | 905,629 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| India – (continued) | | ||||||||||||
| | $ | 1,500,000 | | | | Indian Oil Corp., Ltd., Senior Unsecured Notes, 5.750% due 8/1/23 | | | | $ | 1,570,558 | | |
| | | 1,300,000 | | | | ONGC Videsh Ltd., Company Guaranteed Notes, 3.750% due 5/7/23 | | | | | 1,323,183 | | |
| | | 500,000 | | | | Reliance Industries Ltd., Senior Unsecured Notes, 4.125% due 1/28/25 | | | | | 519,220 | | |
| | | | | | | Total India | | | | | 4,318,590 | | |
| Indonesia – 0.4% | | ||||||||||||
| | | 3,400,000 | | | | Pertamina Persero PT, Senior Unsecured Notes, 1.400% due 2/9/26 | | | | | 3,170,847 | | |
| Italy – 1.7% | | ||||||||||||
| | | 365,000 | | | | Intesa Sanpaolo SpA, Company Guaranteed Notes, 7.700% (5-Year USD Swap Rate + 5.462)%(a)(c)(d) | | | | | 384,162 | | |
| | | 11,158,000EUR | | | | Linkem SpA, Senior Secured Notes, 6.000% (3-Month EURIBOR + 7.000)% due 8/9/22(a)(c) | | | | | 12,508,337 | | |
| | | 245,000 | | | | UniCredit SpA, Junior Subordinated Notes, 8.000% (5-Year USD Swap Rate + 5.180)%(a)(d) | | | | | 257,863 | | |
| | | | | | | Total Italy | | | | | 13,150,362 | | |
| Jersey, Channel Islands – 0.9% | | ||||||||||||
| | | 7,242,020 | | | | Galaxy Pipeline Assets Bidco Ltd., Senior Secured Notes, 1.750% due 9/30/27 | | | | | 7,039,438 | | |
| Luxembourg – 0.2% | | ||||||||||||
| | | 1,575,000 | | | | Millicom International Cellular SA, Senior Unsecured Notes, 5.125% due 1/15/28 | | | | | 1,519,875 | | |
| Malaysia – 2.1% | | ||||||||||||
| | | 1,250,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 4.357% due 3/24/26 | | | | | 1,333,238 | | |
| | | 200,000 | | | | CIMB Bank Bhd, Senior Unsecured Notes, 3.263% due 3/15/22 | | | | | 200,106 | | |
| | | 1,200,000 | | | | Malaysia Sovereign Sukuk Bhd, Unsecured Notes, 3.043% due 4/22/25 | | | | | 1,226,416 | | |
| | | | | | | Petronas Capital Ltd., Company Guaranteed Notes: | | | | | | | |
| | | 2,700,000 | | | | 3.125% due 3/18/22 | | | | | 2,701,687 | | |
| | | 3,600,000 | | | | 3.500% due 3/18/25 | | | | | 3,717,415 | | |
| | | 6,700,000 | | | | TNB Global Ventures Capital Bhd, Senior Unsecured Notes, 3.244% due 10/19/26 | | | | | 6,840,633 | | |
| | | | | | | Total Malaysia | | | | | 16,019,495 | | |
| Mexico – 0.7% | | ||||||||||||
| | | 2,500,000 | | | | Banco Mercantil del Norte SA, Junior Subordinated Notes, 6.875% (5-Year CMT Index + 5.035)%(a)(d) | | | | | 2,492,500 | | |
| | | | | | | BBVA Bancomer SA, Subordinated Notes: | | | | | | | |
| | | 1,943,000 | | | | 5.350% (5-Year CMT Index + 3.000)% due 11/12/29(a) | | | | | 1,940,590 | | |
| | | 457,000 | | | | 6.750% due 9/30/22 | | | | | 467,854 | | |
| | | 350,000 | | | | Fomento Economico Mexicano SAB de CV, Senior Unsecured Notes, 2.875% due 5/10/23 | | | | | 354,242 | | |
| | | | | | | Total Mexico | | | | | 5,255,186 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Multinational – 0.7% | | ||||||||||||
| | $ | 5,321,000 | | | | Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes, 6.750% due 10/1/26(c) | | | | $ | 5,387,513 | | |
| Netherlands – 1.3% | | ||||||||||||
| | | 1,410,000 | | | | AerCap Holdings NV, Company Guaranteed Notes, 5.875% (5-Year CMT Index + 4.535)% due 10/10/79(a) | | | | | 1,388,850 | | |
| | | 872,000EUR | | | | Azerion Holding BV, Senior Secured Notes, 7.250% due 4/28/24 | | | | | 980,531 | | |
| | | 600,000 | | | | ING Groep NV, Junior Subordinated Notes, 5.750% (5-Year CMT Index + 4.342)%(a)(d) | | | | | 607,500 | | |
| | | 3,504,000 | | | | M.H.H. Holding BV, 7.366% (3-Month USD-LIBOR + 7.000)% due 8/9/22 | | | | | 3,521,520 | | |
| | | 3,200,000 | | | | Minejesa Capital BV, Senior Secured Notes, 4.625% due 8/10/30 | | | | | 3,126,592 | | |
| | | | | | | Total Netherlands | | | | | 9,624,993 | | |
| Norway – 1.9% | | ||||||||||||
| | | 24,500,000NOK | | | | Aker Horizons Holding AS, Senior Unsecured Notes, 4.360% (3-Month NIBOR + 3.250)% due 8/15/25(a) | | | | | 2,574,706 | | |
| | | 8,933,000NOK | | | | Duo BidCo AS, 5.350% (3-Month NIBOR + 5.350)% due 4/12/26 | | | | | 1,018,994 | | |
| | | 3,093,318 | | | | Jacktel AS, Senior Secured Notes, 10.000% due 12/4/23(b)(c) | | | | | 1,272,024 | | |
| | | 8,300,000EUR | | | | LINK Mobility Group Holding ASA, Senior Unsecured Notes, 3.375% due 12/15/25 | | | | | 8,283,043 | | |
| | | 1,050,000 | | | | Mime Petroleum AS, 10.250% due 11/10/26 | | | | | 1,016,742 | | |
| | | | | | | Total Norway | | | | | 14,165,509 | | |
| Panama – 0.7% | | ||||||||||||
| | | 2,000,000 | | | | Banistmo SA, Senior Unsecured Notes, 3.650% due 9/19/22(c) | | | | | 2,010,020 | | |
| | | 3,400,000 | | | | Multibank Inc., Senior Unsecured Notes, 4.375% due 11/9/22 | | | | | 3,423,834 | | |
| | | | | | | Total Panama | | | | | 5,433,854 | | |
| Paraguay – 0.1% | | ||||||||||||
| | | 950,000 | | | | Banco Continental SAECA, Senior Unsecured Notes, 2.750% due 12/10/25(c) | | | | | 892,535 | | |
| Peru – 2.7% | | ||||||||||||
| | | | | | | Banco de Credito del Peru, Subordinated Notes: | | | | | | | |
| | | 2,050,000 | | | | 3.125% (5-Year CMT Index + 3.000)% due 7/1/30(a) | | | | | 1,954,204 | | |
| | | 1,450,000 | | | | 3.250% (5-Year CMT Index + 2.450)% due 9/30/31(a) | | | | | 1,365,827 | | |
| | | 2,800,000 | | | | 3.250% (5-Year CMT Index + 2.450)% due 9/30/31(a)(c) | | | | | 2,637,460 | | |
| | | | | | | Banco Internacional del Peru SAA Interbank, Subordinated Notes: | | | | | | | |
| | | 650,000 | | | | 6.625% (3-Month USD-LIBOR + 5.760)% due 3/19/29(a) | | | | | 669,500 | | |
| | | 2,892,000 | | | | 4.000% (1-Year CMT Index + 3.711)% due 7/8/30(a) | | | | | 2,776,320 | | |
| | | 750,000 | | | | Camposol SA, Company Guaranteed Notes, 6.000% due 2/3/27 | | | | | 730,320 | | |
| | | 4,710,882 | | | | Fenix Power Peru SA, Senior Unsecured Notes, 4.317% due 9/20/27 | | | | | 4,646,155 | | |
| | | 2,449,000 | | | | Orazul Energy Egenor SCA, Company Guaranteed Notes, 5.625% due 4/28/27 | | | | | 2,335,758 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Peru – (continued) | | ||||||||||||
| | $ | 750,000 | | | | Scotiabank Peru SAA, Subordinated Notes, 4.500% (3-Month USD-LIBOR + 3.856)% due 12/13/27(a) | | | | $ | 756,427 | | |
| | | 3,050,000 | | | | Transportadora de Gas del Peru SA, Senior Unsecured Notes, 4.250% due 4/30/28 | | | | | 3,133,906 | | |
| | | | | | | Total Peru | | | | | 21,005,877 | | |
| Portugal – 0.0% | | ||||||||||||
| | | 70,068 | | | | Invepar, zero coupon, due 12/30/28(e)(f) | | | | | − | | |
| Qatar – 0.8% | | ||||||||||||
| | | 6,500,000 | | | | Qatar Energy, Senior Unsecured Notes, 1.375% due 9/12/26(c) | | | | | 6,178,900 | | |
| | | | | | | Total Qatar | | | | | 6,178,900 | | |
| Saudi Arabia – 0.1% | | ||||||||||||
| | | | | | | Saudi Arabian Oil Co., Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 2.750% due 4/16/22 | | | | | 501,230 | | |
| | | 300,000 | | | | 1.250% due 11/24/23(c) | | | | | 296,250 | | |
| | | | | | | Total Saudi Arabia | | | | | 797,480 | | |
| Singapore – 4.9% | | ||||||||||||
| | | | | | | DBS Group Holdings Ltd.: | | | | | | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 2.850% due 4/16/22 | | | | | 500,685 | | |
| | | 600,000 | | | | 1.169% due 11/22/24(c) | | | | | 586,124 | | |
| | | | | | | Subordinated Notes: | | | | | | | |
| | | 500,000 | | | | 4.520% (5-Year USD 1100 Run ICE Swap Rate + 1.590)% due 12/11/28(a) | | | | | 518,291 | | |
| | | 6,000,000 | | | | 1.822% (5-Year CMT Index + 1.100)% due 3/10/31(a) | | | | | 5,780,280 | | |
| | | | | | | Oversea-Chinese Banking Corp., Ltd., Subordinated Notes: | | | | | | | |
| | | 200,000 | | | | 4.250% due 6/19/24 | | | | | 208,214 | | |
| | | 2,500,000 | | | | 1.832% (5-Year CMT Index + 1.580)% due 9/10/30(a)(c) | | | | | 2,421,050 | | |
| | | 4,400,000 | | | | 1.832% (5-Year CMT Index + 1.580)% due 9/10/30(a) | | | | | 4,261,048 | | |
| | | 1,150,000 | | | | PSA Treasury Pte Ltd., Company Guaranteed Notes, 2.500% due 4/12/26 | | | | | 1,163,256 | | |
| | | | | | | SingTel Group Treasury Pte Ltd., Company Guaranteed Notes: | | | | | | | |
| | | 1,200,000 | | | | 3.250% due 6/30/25 | | | | | 1,239,204 | | |
| | | 6,500,000 | | | | 2.375% due 10/3/26 | | | | | 6,561,758 | | |
| | | 3,000,000 | | | | SP PowerAssets Ltd., Senior Unsecured Notes, 2.700% due 9/14/22 | | | | | 3,018,750 | | |
| | | 4,000,000 | | | | Temasek Financial I Ltd., Company Guaranteed Notes, 2.375% due 1/23/23 | | | | | 4,032,640 | | |
| | | | | | | United Overseas Bank Ltd., Subordinated Notes: | | | | | | | |
| | | 2,300,000 | | | | 3.750% (5-Year CMT Index + 1.500)% due 4/15/29(a) | | | | | 2,358,189 | | |
| | | 5,000,000 | | | | 1.750% (5-Year CMT Index + 1.520)% due 3/16/31(a) | | | | | 4,802,550 | | |
| | | | | | | Total Singapore | | | | | 37,452,039 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| South Korea – 4.0% | | ||||||||||||
| | $ | 4,900,000 | | | | Korea East-West Power Co., Ltd., Senior Unsecured Notes, 1.750% due 5/6/25(c) | | | | $ | 4,821,355 | | |
| | | 4,800,000 | | | | Korea Southern Power Co., Ltd., Senior Unsecured Notes, 0.750% due 1/27/26(c) | | | | | 4,544,304 | | |
| | | | | | | KT Corp., Senior Unsecured Notes: | | | | | | | |
| | | 7,300,000 | | | | 1.000% due 9/1/25 | | | | | 6,976,099 | | |
| | | 400,000 | | | | 2.500% due 7/18/26 | | | | | 399,422 | | |
| | | 3,900,000 | | | | LG Chem Ltd., Senior Unsecured Notes, 3.250% due 10/15/24 | | | | | 4,007,996 | | |
| | | 4,000,000 | | | | NongHyup Bank, Senior Unsecured Notes, 1.250% due 7/20/25(c) | | | | | 3,860,437 | | |
| | | | | | | POSCO, Senior Unsecured Notes: | | | | | | | |
| | | 2,000,000 | | | | 2.375% due 11/12/22 | | | | | 2,009,500 | | |
| | | 3,044,000 | | | | 2.375% due 1/17/23 | | | | | 3,058,763 | | |
| | | 700,000 | | | | 2.750% due 7/15/24 | | | | | 707,668 | | |
| | | | | | | Total South Korea | | | | | 30,385,544 | | |
| Spain – 0.1% | | ||||||||||||
| | | 200,000 | | | | Banco Bilbao Vizcaya Argentaria SA, Junior Subordinated Notes, 6.500% (5-Year CMT Index + 5.192)%(a)(d) | | | | | 200,500 | | |
| | | 400,000 | | | | Banco Santander SA, Junior Subordinated Notes, 4.750% (5-Year CMT Index + 3.753)%(a)(d) | | | | | 368,600 | | |
| | | | | | | Total Spain | | | | | 569,100 | | |
| Sweden – 0.2% | | ||||||||||||
| | | 12,500,000SEK | | | | Impala Group PLC, 9.000% due 10/20/24(a) | | | | | 1,307,722 | | |
| Switzerland – 0.4% | | ||||||||||||
| | | 1,365,000 | | | | Credit Suisse Group AG, Junior Subordinated Notes, 6.375% (5-Year CMT Index + 4.822)%(a)(c)(d) | | | | | 1,373,531 | | |
| | | | | | | UBS Group AG, Junior Subordinated Notes: | | | | | | | |
| | | 200,000 | | | | 4.875% (5-Year CMT Index + 3.404)%(a)(c)(d) | | | | | 193,380 | | |
| | | 1,400,000 | | | | 6.875% (5-Year USD Swap Rate + 4.590)%(a)(d) | | | | | 1,473,500 | | |
| | | | | | | Total Switzerland | | | | | 3,040,411 | | |
| Thailand – 0.2% | | ||||||||||||
| | | 1,800,000 | | | | Bangkok Bank PCL, Senior Unsecured Notes, 3.875% due 9/27/22 | | | | | 1,820,783 | | |
| United Kingdom – 0.9% | | ||||||||||||
| | | | | | | Barclays PLC, Junior Subordinated Notes: | | | | | | | |
| | | 200,000 | | | | 4.375% (5-Year CMT Index + 3.410)%(a)(d) | | | | | 183,500 | | |
| | | 1,325,000 | | | | 7.750% (5-Year USD Swap Rate + 4.842)%(a)(d) | | | | | 1,384,890 | | |
| | | | | | | HSBC Holdings PLC, Junior Subordinated Notes: | | | | | | | |
| | | 430,000 | | | | 6.000% (5-Year USD 1100 Run ICE Swap Rate + 3.746)%(a)(d) | | | | | 440,750 | | |
| | | 400,000 | | | | 6.375% (5-Year USD 1100 Run ICE Swap Rate + 4.368)%(a)(d) | | | | | 412,000 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United Kingdom – (continued) | | ||||||||||||
| | $ | 200,000 | | | | Legal & General Group PLC, Subordinated Notes, 5.250% (5-Year USD Swap Rate + 3.687)% due 3/21/47(a) | | | | $ | 206,000 | | |
| | | 1,480,000 | | | | Lloyds Banking Group PLC, Junior Subordinated Notes, 7.500% (5-Year USD Swap Rate + 4.496)%(a)(d) | | | | | 1,624,168 | | |
| | | 800,000 | | | | NatWest Group PLC, Junior Subordinated Notes, 6.000% (5-Year CMT Index + 5.625)%(a)(d) | | | | | 826,000 | | |
| | | | | | | Standard Chartered PLC, Junior Subordinated Notes: | | | | | | | |
| | | 335,000 | | | | 4.300% (5-Year CMT Index + 3.135)%(a)(c)(d) | | | | | 298,987 | | |
| | | 440,000 | | | | 6.000% (5-Year CMT Index + 5.661)%(a)(c)(d) | | | | | 449,900 | | |
| | | | | | | Vedanta Resources Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 800,000 | | | | 7.125% due 5/31/23 | | | | | 740,200 | | |
| | | 200,000 | | | | 6.125% due 8/9/24 | | | | | 166,396 | | |
| | | | | | | Vodafone Group PLC: | | | | | | | |
| | | 245,000 | | | | Junior Subordinated Notes, 7.000% (5-Year USD Swap Rate + 4.873)% due 4/4/79(a) | | | | | 271,950 | | |
| | | 250,000 | | | | Subordinated Notes, 4.125% (5-Year CMT Index + 2.767)% due 6/4/81(a) | | | | | 230,000 | | |
| | | | | | | Total United Kingdom | | | | | 7,234,741 | | |
| United States – 20.1% | | ||||||||||||
| | | 8,762,000 | | | | 99 Escrow Issuer Inc., Senior Secured Notes, 7.500% due 1/15/26(c) | | | | | 6,483,880 | | |
| | | 150,000 | | | | Air Lease Corp., Junior Subordinated Notes, 4.650% (5-Year CMT Index + 4.076)%(a)(d) | | | | | 142,875 | | |
| | | 845,000 | | | | Ally Financial Inc., Junior Subordinated Notes, 4.700% (5-Year CMT Index + 3.868)%(a)(d) | | | | | 800,749 | | |
| | | 6,400,000 | | | | Altera Shuttle Tankers, 9.500% due 12/15/25 | | | | | 5,603,461 | | |
| | | 250,000 | | | | American AgCredit Corp., Junior Subordinated Notes, 5.250% (5-Year CMT Index + 4.500)%(a)(c)(d) | | | | | 248,750 | | |
| | | 160,000 | | | | American Electric Power Co., Inc., Junior Subordinated Notes, 3.875% (5-Year CMT Index + 2.675)% due 2/15/62(a) | | | | | 149,245 | | |
| | | 240,000 | | | | American Express Co., Junior Subordinated Notes, 3.550% (5-Year CMT Index + 2.854)%(a)(d) | | | | | 222,000 | | |
| | | 395,000 | | | | American International Group Inc., Junior Subordinated Notes, 5.750% (3-Month USD-LIBOR + 2.868)% due 4/1/48(a) | | | | | 405,862 | | |
| | | 3,244,790 | | | | Anagram International Inc./Anagram Holdings LLC, Senior Secured Notes, 15.000% due 8/15/25(b)(c) | | | | | 3,504,373 | | |
| | | 1,100,000 | | | | Assurant Inc., Subordinated Notes, 7.000% (3-Month USD-LIBOR + 4.135)% due 3/27/48(a) | | | | | 1,204,500 | | |
| | | 969,000 | | | | Assured Guaranty Municipal Holdings Inc., Company Guaranteed Notes, 6.400% (1-Month USD-LIBOR + 2.215)% due 12/15/66(a)(c) | | | | | 1,045,975 | | |
| | | | | | | Bank of America Corp., Junior Subordinated Notes: | | | | | | | |
| | | 355,000 | | | | 4.375% (5-Year CMT Index + 2.760)%(a)(d) | | | | | 342,113 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 1,350,000 | | | | 6.300% (3-Month USD-LIBOR + 4.553)%(a)(d) | | | | $ | 1,453,113 | | |
| | | 200,000 | | | | Bank of New York Mellon Corp., Junior Subordinated Notes, 4.700% (5-Year CMT Index + 4.358)%(a)(d) | | | | | 205,250 | | |
| | | 133,000 | | | | Briggs & Stratton Corp., Senior Unsecured Notes, zero coupon, due 12/15/22(e) | | | | | 1,330 | | |
| | | 9,400,000 | | | | BuzzFeed Inc., 7.000% due 9/30/26(e) | | | | | 9,188,500 | | |
| | | 630,000 | | | | Capital Farm Credit ACA, Junior Subordinated Notes, 5.000% (5-Year CMT Index + 4.523)%(a)(c)(d) | | | | | 626,850 | | |
| | | 325,000 | | | | Capital One Financial Corp., Junior Subordinated Notes, 3.950% (5-Year CMT Index + 3.157)%(a)(d) | | | | | 304,860 | | |
| | | 600,000 | | | | CenterPoint Energy Inc., Junior Subordinated Notes, 6.125% (3-Month USD-LIBOR + 3.270)%(a)(d) | | | | | 592,500 | | |
| | | | | | | Charles Schwab Corp., Junior Subordinated Notes: | | | | | | | |
| | | 210,000 | | | | 4.000% (5-Year CMT Index + 3.168)%(a)(d) | | | | | 203,207 | | |
| | | 435,000 | | | | 5.375% (5-Year CMT Index + 4.971)%(a)(d) | | | | | 457,946 | | |
| | | 4,737,000 | | | | Chobani LLC/Chobani Finance Corp. Inc., Company Guaranteed Notes, 7.500% due 4/15/25(c) | | | | | 4,713,315 | | |
| | | | | | | Citigroup Inc., Junior Subordinated Notes: | | | | | | | |
| | | 140,000 | | | | 4.150% (5-Year CMT Index + 3.000)%(a)(d) | | | | | 133,525 | | |
| | | 345,000 | | | | 5.000% (SOFRRATE + 3.813)%(a)(d) | | | | | 348,967 | | |
| | | 2,039,000 | | | | 5.950% (3-Month USD-LIBOR + 3.905)%(a)(d) | | | | | 2,112,914 | | |
| | | | | | | Citizens Financial Group Inc., Junior Subordinated Notes: | | | | | | | |
| | | 260,000 | | | | 4.000% (5-Year CMT Index + 3.215)%(a)(d) | | | | | 244,400 | | |
| | | 100,000 | | | | 6.375% (3-Month USD-LIBOR + 3.157)%(a)(d) | | | | | 97,500 | | |
| | | 65,000 | | | | CMS Energy Corp., Junior Subordinated Notes, 4.750% (5-Year CMT Index + 4.116)% due 6/1/50(a) | | | | | 65,325 | | |
| | | 1,075,000 | | | | CoBank ACB, Junior Subordinated Notes, 6.250% (3-Month USD-LIBOR + 4.660)%(a)(d) | | | | | 1,134,125 | | |
| | | 650,000 | | | | Compeer Financial ACA, Junior Subordinated Notes, 4.875% (5-Year CMT Index + 4.095)%(a)(c)(d)(e) | | | | | 640,250 | | |
| | | 510,000 | | | | Dairy Farmers of America Inc., Junior Subordinated Notes, 7.125%(c)(d) | | | | | 525,300 | | |
| | | 5,224,000 | | | | Diebold Nixdorf Inc., Company Guaranteed Notes, 8.500% due 4/15/24 | | | | | 5,145,640 | | |
| | | 390,000 | | | | Discover Financial Services, Junior Subordinated Notes, 6.125% (5-Year CMT Index + 5.783)%(a)(d) | | | | | 407,550 | | |
| | | | | | | Edison International, Junior Subordinated Notes: | | | | | | | |
| | | 160,000 | | | | 5.000% (5-Year CMT Index + 3.901)%(a)(d) | | | | | 153,198 | | |
| | | 95,000 | | | | 5.375% (5-Year CMT Index + 4.698)%(a)(d) | | | | | 93,694 | | |
| | | 280,000 | | | | Energy Transfer LP, Junior Subordinated Notes, 6.500% (5-Year CMT Index + 5.694)%(a)(d) | | | | | 276,825 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 125,000 | | | | Enstar Finance LLC, Company Guaranteed Notes, 5.500% (5-Year CMT Index + 4.006)% due 1/15/42(a) | | | | $ | 119,616 | | |
| | | 615,000 | | | | Equitable Holdings Inc., Junior Subordinated Notes, 4.950% (5-Year CMT Index + 4.736)%(a)(d) | | | | | 618,382 | | |
| | | 610,000 | | | | Fifth Third Bancorp, Junior Subordinated Notes, 4.500% (5-Year CMT Index + 4.215)%(a)(d) | | | | | 611,525 | | |
| | | 260,000 | | | | First Citizens BancShares Inc., Junior Subordinated Notes, 5.800% (3-Month USD-LIBOR + 3.972)%(a)(d) | | | | | 261,300 | | |
| | | 11,423,000 | | | | Fresh Market Inc., Senior Secured Notes, 9.750% due 5/1/23(c) | | | | | 11,537,230 | | |
| | | 3,164,000 | | | | FXI Holdings Inc., Senior Secured Notes, 12.250% due 11/15/26(c) | | | | | 3,387,663 | | |
| | | 800,000 | | | | General Electric Co., Junior Subordinated Notes, 3.533% (3-Month USD-LIBOR + 3.330)%(a)(d) | | | | | 756,760 | | |
| | | | | | | General Motors Financial Co., Inc., Junior Subordinated Notes: | | | | | | | |
| | | 280,000 | | | | 5.700% (5-Year CMT Index + 4.997)%(a)(d) | | | | | 291,279 | | |
| | | 960,000 | | | | 5.750% (3-Month USD-LIBOR + 3.598)%(a)(d) | | | | | 960,019 | | |
| | | 1,489,000 | | | | Getty Images Inc., Senior Unsecured Notes, 9.750% due 3/1/27(c) | | | | | 1,550,421 | | |
| | | | | | | Goldman Sachs Group Inc., Junior Subordinated Notes: | | | | | | | |
| | | 115,000 | | | | 4.125% (5-Year CMT Index + 2.949)%(a)(d) | | | | | 109,164 | | |
| | | 650,000 | | | | 5.300% (3-Month USD-LIBOR + 3.834)%(a)(d) | | | | | 676,812 | | |
| | | 959,000 | | | | 5.500% (5-Year CMT Index + 3.623)%(a)(d) | | | | | 989,880 | | |
| | | 7,665,575 | | | | Hawaiian Airlines Class A Pass-Through Certificates, Pass Thru Certificates, 3.900% due 1/15/26 | | | | | 7,535,691 | | |
| | | 1,062,000 | | | | Hercules Achievement Inc./Varsity Brands Holding Co., Inc., Senior Secured Notes, 9.000% (3-Month USD-LIBOR + 8.000)% due 12/22/24(a)(c) | | | | | 1,055,362 | | |
| | | 1,120,000 | | | | Huntington Bancshares Inc., Junior Subordinated Notes, 5.625% (5-Year CMT Index + 4.945)%(a)(d) | | | | | 1,184,400 | | |
| | | 8,988,000 | | | | IEA Energy Services LLC, Company Guaranteed Notes, 6.625% due 8/15/29(c) | | | | | 8,313,900 | | |
| | | 250,000 | | | | ILFC E-Capital Trust II, Limited Guaranteed Notes, 3.620% due 12/21/65(a)(c) | | | | | 213,750 | | |
| | | 10,223,000 | | | | INNOVATE Corp., Senior Secured Notes, 8.500% due 2/1/26(c)(g) | | | | | 10,136,718 | | |
| | | | | | | JPMorgan Chase & Co., Junior Subordinated Notes: | | | | | | | |
| | | 635,000 | | | | 3.650% (5-Year CMT Index + 2.850)%(a)(d) | | | | | 602,615 | | |
| | | 1,015,000 | | | | 5.000% (SOFRRATE + 3.380)%(a)(d) | | | | | 1,021,344 | | |
| | | 720,000 | | | | 6.750% (3-Month USD-LIBOR + 3.780)%(a)(d) | | | | | 752,400 | | |
| | | 475,000 | | | | KeyCorp, Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.606)%(a)(d) | | | | | 479,750 | | |
| | | 1,655,000 | | | | Land O’ Lakes Inc., Junior Subordinated Notes, 7.250%(c)(d) | | | | | 1,754,300 | | |
| | | 7,109,000 | | | | Leafly Holdings Inc., Senior Unsecured Notes, 8.000% due 1/31/25(e)(f) | | | | | 7,109,000 | | |
| | | | | | | M&T Bank Corp., Junior Subordinated Notes: | | | | | | | |
| | | 170,000 | | | | 3.500% (5-Year CMT Index + 2.679)%(a)(d) | | | | | 155,125 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 500,000 | | | | 5.125% (3-Month USD-LIBOR + 3.520)%(a)(d) | | | | $ | 508,125 | | |
| | | 855,000 | | | | Markel Corp., Junior Subordinated Notes, 6.000% (5-Year CMT Index + 5.662)%(a)(d) | | | | | 903,470 | | |
| | | | | | | Martin Midstream Partners LP/Martin Midstream Finance Corp., Secured Notes: | | | | | | | |
| | | 7,118,576 | | | | 10.000% due 2/29/24(c) | | | | | 7,260,949 | | |
| | | 3,594,055 | | | | 11.500% due 2/28/25(c) | | | | | 3,690,376 | | |
| | | 1,000,000 | | | | Mercury Chile Holdco LLC, Senior Secured Notes, 6.500% due 1/24/27(c) | | | | | 965,000 | | |
| | | 825,000 | | | | MetLife Inc., Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 2.959)%(a)(d) | | | | | 860,004 | | |
| | | 85,000 | | | | NiSource Inc., Junior Subordinated Notes, 5.650% (5-Year CMT Index + 2.843)%(a)(d) | | | | | 83,088 | | |
| | | 195,000 | | | | PartnerRe Finance B LLC, Company Guaranteed Notes, 4.500% (5-Year CMT Index + 3.815)% due 10/1/50(a) | | | | | 191,100 | | |
| | | | | | | PNC Financial Services Group Inc., Junior Subordinated Notes: | | | | | | | |
| | | 220,000 | | | | 3.400% (5-Year CMT Index + 2.595)%(a)(d) | | | | | 203,830 | | |
| | | 717,000 | | | | 5.000% (3-Month USD-LIBOR + 3.300)%(a)(d) | | | | | 725,604 | | |
| | | 480,000 | | | | Provident Financing Trust I, Limited Guaranteed Notes, 7.405% due 3/15/38 | | | | | 571,200 | | |
| | | 110,000 | | | | Prudential Financial Inc., Junior Subordinated Notes, 5.125% (5-Year CMT Index + 3.162)% due 3/1/52(a) | | | | | 111,513 | | |
| | | 1,150,000 | | | | Regions Financial Corp., Junior Subordinated Notes, 5.750% (5-Year CMT Index + 5.430)%(a)(d) | | | | | 1,198,875 | | |
| | | | | | | SBL Holdings Inc., Junior Subordinated Notes: | | | | | | | |
| | | 195,000 | | | | 6.500% (5-Year CMT Index + 5.620)%(a)(c)(d) | | | | | 181,838 | | |
| | | 845,000 | | | | 7.000% (5-Year CMT Index + 5.580)%(a)(c)(d) | | | | | 800,637 | | |
| | | | | | | Sempra Energy, Junior Subordinated Notes: | | | | | | | |
| | | 410,000 | | | | 4.875% (5-Year CMT Index + 4.550)%(a)(d) | | | | | 417,175 | | |
| | | 230,000 | | | | 4.125% (5-Year CMT Index + 2.868)% due 4/1/52(a) | | | | | 217,678 | | |
| | | 595,000 | | | | Southern Co., Junior Subordinated Notes, 4.000% (5-Year CMT Index + 3.733)% due 1/15/51(a) | | | | | 571,968 | | |
| | | 6,685,000 | | | | StoneX Group Inc., Senior Secured Notes, 8.625% due 6/15/25(c) | | | | | 7,002,537 | | |
| | | 1,156,000 | | | | StorCentric Inc., Senior Secured Notes, 5.875% due 2/19/23(c)(e) | | | | | 1,156,000 | | |
| | | | | | | SVB Financial Group, Junior Subordinated Notes: | | | | | | | |
| | | 240,000 | | | | 4.000% (5-Year CMT Index + 3.202)%(a)(d) | | | | | 225,600 | | |
| | | 355,000 | | | | 4.100% (5-Year CMT Index + 3.064)%(a)(d) | | | | | 319,312 | | |
| | | 60,000 | | | | 4.700% (5-Year CMT Index + 3.064)%(a)(d) | | | | | 56,550 | | |
| | | 1,933,000 | | | | Tilray Brands Inc., Senior Unsecured Notes, 5.000% due 10/1/23 | | | | | 1,821,853 | | |
| | | | | | | Truist Financial Corp., Junior Subordinated Notes: | | | | | | | |
| | | 1,640,000 | | | | 4.800% (5-Year CMT Index + 3.003)%(a)(d) | | | | | 1,640,000 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 190,000 | | | | 5.100% (5-Year CMT Index + 4.349)%(a)(d) | | | | $ | 197,125 | | |
| | | 8,201,000 | | | | UpHealth Inc., Senior Unsecured Notes, 6.250% due 6/15/26(c) | | | | | 6,958,777 | | |
| | | 100,000 | | | | Vistra Corp., Junior Subordinated Notes, 7.000% (5-Year CMT Index + 5.740)%(a)(c)(d) | | | | | 99,250 | | |
| | | 770,000 | | | | Voya Financial Inc., Junior Subordinated Notes, 6.125% (5-Year CMT Index + 3.358)%(a)(d) | | | | | 775,775 | | |
| | | | | | | Wells Fargo & Co., Junior Subordinated Notes: | | | | | | | |
| | | 950,000 | | | | 3.900% (5-Year CMT Index + 3.453)%(a)(d) | | | | | 914,375 | | |
| | | 1,505,000 | | | | 5.900% (3-Month USD-LIBOR + 3.110)%(a)(d) | | | | | 1,516,288 | | |
| | | | | | | Total United States | | | | | 153,610,145 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $518,152,714) | | | | | 505,981,296 | | |
| SOVEREIGN BONDS – 9.3% | | ||||||||||||
| Brazil – 0.9% | | ||||||||||||
| | | 6,850,000 | | | | Brazilian Government International Bond, 2.875% due 6/6/25 | | | | | 6,812,599 | | |
| Chile – 0.2% | | ||||||||||||
| | | 1,600,000 | | | | Chile Government International Bond, 3.125% due 1/21/26 | | | | | 1,638,144 | | |
| Colombia – 1.1% | | ||||||||||||
| | | | | | | Colombia Government International Bond: | | | | | | | |
| | | 3,200,000 | | | | 2.625% due 3/15/23 | | | | | 3,204,512 | | |
| | | 4,900,000 | | | | 4.500% due 1/28/26 | | | | | 4,958,996 | | |
| | | | | | | Total Colombia | | | | | 8,163,508 | | |
| Indonesia – 1.2% | | ||||||||||||
| | | 2,200,000 | | | | Indonesia Government International Bond, 2.950% due 1/11/23 | | | | | 2,220,988 | | |
| | | | | | | Perusahaan Penerbit SBSN Indonesia III: | | | | | | | |
| | | 1,000,000 | | | | 3.400% due 3/29/22 | | | | | 999,890 | | |
| | | 3,018,000 | | | | 3.300% due 11/21/22 | | | | | 3,051,077 | | |
| | | 1,321,000 | | | | 3.750% due 3/1/23 | | | | | 1,343,629 | | |
| | | 1,750,000 | | | | 2.300% due 6/23/25 | | | | | 1,729,070 | | |
| | | | | | | Total Indonesia | | | | | 9,344,654 | | |
| Panama – 0.7% | | ||||||||||||
| | | | | | | Panama Government International Bond: | | | | | | | |
| | | 1,760,000 | | | | 4.000% due 9/22/24 | | | | | 1,813,434 | | |
| | | 3,500,000 | | | | 3.750% due 3/16/25 | | | | | 3,593,100 | | |
| | | | | | | Total Panama | | | | | 5,406,534 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Peru – 1.1% | | ||||||||||||
| | $ | 1,815,000 | | | | Corporation Financiera de Desarrollo SA, 5.250% due 7/15/29(a) | | | | $ | 1,807,758 | | |
| | | 6,900,000 | | | | Peruvian Government International Bond, 2.392% due 1/23/26 | | | | | 6,759,102 | | |
| | | | | | | Total Peru | | | | | 8,566,860 | | |
| Qatar – 0.7% | | ||||||||||||
| | | 5,200,000 | | | | Qatar Government International Bond, 3.250% due 6/2/26 | | | | | 5,384,080 | | |
| Saudi Arabia – 0.8% | | ||||||||||||
| | | | | | | Saudi Government International Bond: | | | | | | | |
| | | 3,000,000 | | | | 2.875% due 3/4/23 | | | | | 3,038,490 | | |
| | | 3,100,000 | | | | 3.250% due 10/26/26 | | | | | 3,216,473 | | |
| | | | | | | Total Saudi Arabia | | | | | 6,254,963 | | |
| South Korea – 2.1% | | ||||||||||||
| | | | | | | Korea Development Bank: | | | | | | | |
| | | 2,150,000 | | | | 1.250% due 6/3/25 | | | | | 2,091,833 | | |
| | | 2,000,000 | | | | 0.800% due 4/27/26 | | | | | 1,898,840 | | |
| | | 200,000 | | | | 1.000% due 9/9/26 | | | | | 191,578 | | |
| | | 7,200,000 | | | | Korea Electric Power Corp., 1.125% due 6/15/25(c) | | | | | 6,940,656 | | |
| | | 5,100,000 | | | | Korea Hydro & Nuclear Power Co., Ltd., 1.250% due 4/27/26(c) | | | | | 4,886,326 | | |
| | | | | | | Total South Korea | | | | | 16,009,233 | | |
| United Arab Emirates – 0.5% | | ||||||||||||
| | | | | | | Abu Dhabi Government International Bond: | | | | | | | |
| | | 2,000,000 | | | | 0.750% due 9/2/23(c) | | | | | 1,972,468 | | |
| | | 1,600,000 | | | | 2.500% due 4/16/25(c) | | | | | 1,618,400 | | |
| | | | | | | Total United Arab Emirates | | | | | 3,590,868 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $73,448,983) | | | | | 71,171,443 | | |
| SENIOR LOANS(a) – 7.5% | | ||||||||||||
| | | 1,962,729 | | | | Elevate Textiles Inc., 5.214% (3-Month USD-LIBOR + 5.000)% due 5/1/24 | | | | | 1,805,711 | | |
| | | 6,606,639 | | | | First Brands Group LLC, 9.500% (3-Month USD-LIBOR + 8.500)% due 3/30/28 | | | | | 6,581,864 | | |
| | | 798,000 | | | | GemmaCert Ltd., due 5/19/24(e)(f)(h) | | | | | 798,000 | | |
| | | 4,828,763 | | | | Golden Nugget Online Gaming LLC, 13.000% (1-Month USD-LIBOR + 12.000)% due 10/4/23 | | | | | 5,118,489 | | |
| | | 6,077,000 | | | | Inotiv Inc., 7.250% (3-Month USD-LIBOR + 6.250)% due 11/5/26 | | | | | 5,955,460 | | |
| | | 4,624,959 | | | | Lealand Finance Co. BV, 1.209% (1-Month USD-LIBOR + 1.000)% due 6/30/25 | | | | | 2,147,322 | | |
| | | 14,820,826 | | | | Mallinckrodt International Finance SA, due 2/28/22(h) | | | | | 14,677,212 | | |
| | $ | 7,211,000 | | | | Mountaineer Merger Corp., 7.750% (3-Month USD-LIBOR + 7.000)% due 10/26/28 | | | | | 6,994,670 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | | 4,985,386 | | | | Pixelle Specialty Solutions LLC, 7.500% (1-Month USD-LIBOR + 6.500)% due 10/31/24 | | | | $ | 4,942,811 | | |
| | | 1,117,000 | | | | QuarterNorth Energy Holding Inc., due 8/27/26(h) | | | | | 1,120,720 | | |
| | | 2,044,106 | | | | RA Acquisition Purchaser LLC, 11.000% (3-Month USD-LIBOR + 10.000)% due 5/31/23(f) | | | | | 2,044,106 | | |
| | | 5,314,000 | | | | Rising Tide Holdings Inc., 9.000% (1-Month USD-LIBOR + 8.250)% due 6/1/29 | | | | | 5,167,865 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $59,222,684) | | | | | 57,354,230 | | |
| ASSET-BACKED SECURITIES – 0.1% | | ||||||||||||
| | | 411,011 | | | | Lendingpoint Asset Securitization Trust, Series 2021-A, Class A, 1.000% due 12/15/28(c) | | | | | 409,595 | | |
| | | | | | | Mission Lane Credit Card Master Trust: | | | | | | | |
| | | 567,000 | | | | Series 2021-A, Class A, 1.590% due 9/15/26(c) | | | | | 558,396 | | |
| | | 100,000 | | | | Series 2021-A, Class B, 2.240% due 9/15/26(c) | | | | | 98,636 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $1,077,973) | | | | | 1,066,627 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 7.3% | | ||||||||||||
| Canada – 0.2% | | ||||||||||||
| | | 158,308 | | | | BGP Acquisition Corp., Class A Shares*(e) | | | | | 1,543,503 | | |
| | | 21,182 | | | | Frontera Energy Corp.* | | | | | 217,963 | | |
| | | | | | | Total Canada | | | | | 1,761,466 | | |
| Cayman Islands – 0.1% | | ||||||||||||
| | | 51,917 | | | | Ahren Acquisition Corp.*(e) | | | | | 518,132 | | |
| Hong Kong – 0.0% | | ||||||||||||
| | | 31,074 | | | | AP Acquisition Corp.* | | | | | 311,361 | | |
| India – 0.1% | | ||||||||||||
| | | 42,400 | | | | ReNew Energy Global PLC, Class A Shares* | | | | | 334,960 | | |
| Israel – 0.5% | | ||||||||||||
| | | 516,578 | | | | Intercure Ltd.* | | | | | 3,300,933 | | |
| | | 47,982 | | | | Target Global Acquisition I Corp., Class A Shares* | | | | | 472,143 | | |
| | | | | | | Total Israel | | | | | 3,773,076 | | |
| United States – 6.4% | | ||||||||||||
| | | 15,560 | | | | Alpha Partners Technology, Class A Shares*(e)(f) | | | | | 7,769 | | |
| | | 31,445 | | | | AltEnergy Acquisition Corp., Class A Shares* | | | | | 309,419 | | |
| | | 42,449 | | | | Anzu Special Acquisition Corp. I, Class A Shares* | | | | | 413,029 | | |
| | | 241,887 | | | | Atlantic Avenue Acquisition Corp., Class A Shares* | | | | | 2,377,749 | | |
| | | 7,000 | | | | AxonPrime Infrastructure Acquisition Corp.*(e)(f) | | | | | 3,500 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | | 22,982 | | | | Berenson Acquisition Corp. I*(e)(f) | | | | $ | 7,584 | | |
| | | 227,518 | | | | Berenson Acquisition Corp. I, Class A Shares*(e) | | | | | 2,209,200 | | |
| | | 28,992 | | | | Bite Acquisition Corp.* | | | | | 282,382 | | |
| | | 341,248 | | | | Carney Technology Acquisition Corp. II, Class A Shares* | | | | | 3,337,405 | | |
| | | 78,146 | | | | Cartesian Growth Corp., Class A Shares*(i) | | | | | 770,520 | | |
| | | 99,974 | | | | Cascade Acquisition Corp., Class A Shares* | | | | | 1,003,739 | | |
| | | 54,430 | | | | CF Acquisition Corp. IV, Class A Shares* | | | | | 533,958 | | |
| | | 33,728 | | | | Chain Bridge I, Class A Shares* | | | | | 331,884 | | |
| | | 49,965 | | | | Clarim Acquisition Corp., Class A Shares* | | | | | 486,659 | | |
| | | 47,614 | | | | Concord Acquisition Corp. III, Class A Shares* | | | | | 468,998 | | |
| | | 496 | | | | Crestwood Equity Partners LP | | | | | 15,262 | | |
| | | 22,785 | | | | CTO Realty Growth Inc. | | | | | 1,428,392 | | |
| | | 7,769 | | | | DHB Capital Corp., Class A Shares* | | | | | 75,515 | | |
| | | 44,212 | | | | Disruptive Acquisition Corp. I, Class A Shares*(e) | | | | | 429,299 | | |
| | | 32,950 | | | | DP Capital Acquisition Corp. I, Class A Shares*(e) | | | | | 325,216 | | |
| | | 352 | | | | Energy Harbor Corp.* | | | | | 17,530 | | |
| | | 23,389 | | | | Enterprise 4.0 Technology Acquisition Corp.*(e) | | | | | 231,785 | | |
| | | 69,779 | | | | Equity Distribution Acquisition Corp., Class A Shares* | | | | | 687,323 | | |
| | | 33,650 | | | | EVe Mobility Acquisition Corp.* | | | | | 334,818 | | |
| | | 50,925 | | | | Executive Network Partnering Corp., Class A Shares* | | | | | 500,847 | | |
| | | 54,883 | | | | Forum Merger IV Corp., Class A Shares* | | | | | 532,914 | | |
| | | 30,710 | | | | G Squared Ascend II Inc., Class A Shares* | | | | | 298,808 | | |
| | | 24,090 | | | | G&P Acquisition Corp., Class A Shares* | | | | | 238,009 | | |
| | | 116,398 | | | | Galata Acquisition Corp., Class A Shares*(e) | | | | | 1,139,536 | | |
| | | 169,810 | | | | Global Consumer Acquisition Corp.* | | | | | 1,689,609 | | |
| | | 33,614 | | | | Global Partner Acquisition Corp. II, Class A Shares* | | | | | 327,736 | | |
| | | 86,133 | | | | Golden Falcon Acquisition Corp., Class A Shares* | | | | | 842,381 | | |
| | | 58,863 | | | | Hamilton Lane Alliance Holdings I Inc., Class A Shares* | | | | | 574,503 | | |
| | | 79,155 | | | | Heartland Media Acquisition Corp.* | | | | | 789,967 | | |
| | | 60,053 | | | | Isleworth Healthcare Acquisition Corp.* | | | | | 592,723 | | |
| | | 60,777 | | | | Jackson Acquisition Co.* | | | | | 604,123 | | |
| | | 39,695 | | | | Juniper II Corp., Class A Shares* | | | | | 390,996 | | |
| | | 56,707 | | | | KnightSwan Acquisition Corp.* | | | | | 564,802 | | |
| | | 61,669 | | | | KORE Group Holdings Inc.* | | | | | 318,212 | | |
| | | 18,015 | | | | Latch Inc.* | | | | | 74,402 | | |
| | | 8,886 | | | | Leafly Holdings Inc.* | | | | | 65,845 | | |
| | | 14,762 | | | | LMF Acquisition Opportunities Inc., Class A Shares* | | | | | 148,653 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | | 95,500 | | | | Magellan Midstream Partners LP | | | | $ | 4,633,660 | | |
| | | 3,221 | | | | MarketWise Inc.* | | | | | 16,588 | | |
| | | 534,907 | | | | Mason Industrial Technology Inc., Class A Shares* | | | | | 5,204,645 | | |
| | | 17,046 | | | | Noble Rock Acquisition Corp., Class A Shares* | | | | | 166,028 | | |
| | | 50,934 | | | | Omnichannel Acquisition Corp., Class A Shares*(i) | | | | | 506,284 | | |
| | | 13,629 | | | | OmniLit Acquisition Corp.* | | | | | 136,563 | | |
| | | 50,040 | | | | One Equity Partners Open Water I Corp., Class A Shares* | | | | | 487,890 | | |
| | | 35,964 | | | | Parabellum Acquisition Corp.*(e)(f) | | | | | 11,329 | | |
| | | 22,071 | | | | Pearl Holdings Acquisition Corp.* | | | | | 219,606 | | |
| | | 45,730 | | | | Peridot Acquisition Corp. II, Class A Shares* | | | | | 444,496 | | |
| | | 4,986 | | | | Pontem Corp., Class A Shares* | | | | | 48,614 | | |
| | | 55,809 | | | | PROOF Acquisition Corp. I* | | | | | 556,974 | | |
| | | 14,913 | | | | PWP Forward Acquisition Corp. I, Class A Shares* | | | | | 144,880 | | |
| | | 52 | | | | Real Alloy Holding Inc.*(e)(f) | | | | | 2,602,000 | | |
| | | 621,485 | | | | Rescap Liquidating Trust*(e) | | | | | 372,891 | | |
| | | 10,650 | | | | Revelstone Capital Acquisition Corp.*(e)(f) | | | | | 3,168 | | |
| | | 47,352 | | | | RMG Acquisition Corp. III, Class A Shares* | | | | | 461,682 | | |
| | | 44,283 | | | | Rocket Lab USA Inc.* | | | | | 422,460 | | |
| | | 9,458 | | | | RXR Acquisition Corp., Class A Shares* | | | | | 91,837 | | |
| | | 31,748 | | | | SDCL EDGE Acquisition Corp., Class A Shares* | | | | | 306,686 | | |
| | | 95,059 | | | | Seaport Global Acquisition II Corp., Class A Shares* | | | | | 938,232 | | |
| | | 31,420 | | | | SportsMap Tech Acquisition Corp.*(e) | | | | | 309,801 | | |
| | | 74,306 | | | | Stratim Cloud Acquisition Corp.* | | | | | 722,254 | | |
| | | 6,517 | | | | Superior Energy Services Inc.*(e) | | | | | 296,524 | | |
| | | 76,153 | | | | Tailwind International Acquisition Corp., Class A Shares* | | | | | 741,730 | | |
| | | 29,889 | | | | Tech & Energy Transition Corp., Class A Shares* | | | | | 290,521 | | |
| | | 138,239 | | | | Tekkorp Digital Acquisition Corp., Class A Shares* | | | | | 1,357,507 | | |
| | | 63,905 | | | | TG Venture Acquisition Corp.*(e) | | | | | 629,464 | | |
| | | 81,494 | | | | Tishman Speyer Innovation Corp. II, Class A Shares* | | | | | 793,752 | | |
| | | 27,856 | | | | Trine II Acquisition Corp., Class A Shares* | | | | | 274,939 | | |
| | | 38,605 | | | | VMG Consumer Acquisition Corp., Class A Shares* | | | | | 380,259 | | |
| | | 12,801 | | | | Zanite Acquisition Corp., Class A Shares*(i) | | | | | 130,826 | | |
| | | | | | | Total United States | | | | | 49,487,091 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $54,056,803) | | | | | 56,186,086 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| EXCHANGE TRADED FUNDS (ETFs) – 3.4% | | ||||||||||||
| United States – 3.5% | | ||||||||||||
| | | 32,300 | | | | Defiance NextGen SPAC Derived | | | | $ | 573,002 | | |
| | | 306,466 | | | | iShares iBoxx High Yield Corporate Bond | | | | | 25,642,010 | | |
| | | | | | | Total United States | | | | | 26,215,012 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $27,292,461) | | | | | 26,215,012 | | |
| PREFERRED STOCKS – 2.4% | | ||||||||||||
| Bermuda – 0.2% | | ||||||||||||
| | | 25,926 | | | | Aspen Insurance Holdings Ltd., 5.625%(d) | | | | | 622,742 | | |
| | | | | | | Athene Holding Ltd.: | | | | | | | |
| | | 4,000 | | | | 6.350% (5-Year CMT Index + 5.970)%(a)(d) | | | | | 108,400 | | |
| | | 24,704 | | | | 6.375% (5-Year CMT Index + 5.970)%(a)(d) | | | | | 666,761 | | |
| | | 20,038 | | | | Enstar Group Ltd., 7.000% (3-Month USD-LIBOR + 4.015)%(a)(d) | | | | | 532,410 | | |
| | | | | | | Total Bermuda | | | | | 1,930,313 | | |
| United Kingdom – 0.4% | | ||||||||||||
| | | 125,826 | | | | Argo Blockchain PLC, 8.750% | | | | | 2,768,172 | | |
| United States – 1.8% | | ||||||||||||
| | | 13,299 | | | | Air Lease Corp., 6.150% (3-Month USD-LIBOR + 3.650)%(a)(d) | | | | | 333,539 | | |
| | | 31,620 | | | | American Equity Investment Life Holding Co., 6.625% (5-Year CMT Index + 6.297)%(a)(d) | | | | | 838,246 | | |
| | | 5,450 | | | | AT&T Inc., 4.750%(d) | | | | | 119,137 | | |
| | | 5,520 | | | | Bank of America Corp., 4.375%(d) | | | | | 122,158 | | |
| | | 3,290 | | | | CoBank ACB, 6.250% (3-Month USD-LIBOR + 4.557)%(a)(d) | | | | | 336,402 | | |
| | | 1,000 | | | | Dairy Farmers of America Inc., 7.875%*(c)(d)(e) | | | | | 100,500 | | |
| | | 35,800 | | | | Delphi Financial Group Inc., 3.696% (3-Month USD-LIBOR + 3.190)%(a) | | | | | 814,450 | | |
| | | 2,600 | | | | Energy Transfer LP, 7.600% (3-Month USD-LIBOR + 5.161)%(a)(d) | | | | | 63,544 | | |
| | | 11,970 | | | | Farm Credit Bank of Texas, 6.750% (3-Month USD-LIBOR + 4.010)%(a)(c)(d) | | | | | 1,232,910 | | |
| | | 62,996 | | | | Federal Home Loan Mortgage Corp., 5.100%*(d)(e) | | | | | 210,407 | | |
| | | 57,977 | | | | Federal National Mortgage Association, 8.250%*(a)(d) | | | | | 153,639 | | |
| | | 213,039 | | | | Fossil Group Inc., 7.000%* | | | | | 5,245,020 | | |
| | | 59,120 | | | | Morgan Stanley, 5.850% (3-Month USD-LIBOR + 3.491)%(a)(d) | | | | | 1,593,284 | | |
| | | 15,933 | | | | New York Community Bancorp Inc., 6.375% (3-Month USD-LIBOR + 3.821)%(a)(d) | | | | | 430,350 | | |
| | | 3,300 | | | | NiSource Inc., 6.500% (5-Year CMT Index + 3.632)%(a)(d) | | | | | 86,394 | | |
| | | 49,161 | | | | NuStar Energy LP, 7.625% (3-Month USD-LIBOR + 5.643)%(a)(d) | | | | | 1,019,599 | | |
| | | 7,500 | | | | Reinsurance Group of America Inc., 5.750% (3-Month USD-LIBOR + 4.040)%(a) | | | | | 204,000 | | |
| | | 6,165 | | | | Synchrony Financial, 5.625%(d) | | | | | 152,522 | | |
| | | 7,928 | | | | Synovus Financial Corp., 5.875% (5-Year CMT Index + 4.127)%(a)(d) | | | | | 211,440 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| PREFERRED STOCKS – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | | 3,240 | | | | Western Alliance Bancorp, 4.250% (5-Year CMT Index + 3.452)%(a)(d) | | | | $ | 80,417 | | |
| | | 6,536 | | | | Wintrust Financial Corp., 6.875% (5-Year CMT Index + 6.507)%(a)(d) | | | | | 175,492 | | |
| | | | | | | Total United States | | | | | 13,523,450 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $19,546,698) | | | | | 18,221,935 | | |
| WARRANTS – 0.0% | | ||||||||||||
| Bermuda – 0.0% | | ||||||||||||
| | | 558,670 | | | | McDermott International Ltd., due 06/30/27, Strike Price $0.00*(e) | | | | | — | | |
| | | 502,803 | | | | WT PUR COM, due 06/30/27, Strike Price $0.00*(e) | | | | | — | | |
| | | | | | | Total Bermuda | | | | | — | | |
| Brazil – 0.0% | | ||||||||||||
| | | 58,463 | | | | OAS SA, due 05/16/39, Strike Price BRL 1.00*(e)(f) | | | | | — | | |
| Cayman Islands – 0.0% | | ||||||||||||
| | | 15,994 | | | | Target Global Trade Inc., due 12/31/27, Strike Price $11.50(e) | | | | | 6,397 | | |
| Israel – 0.0% | | ||||||||||||
| | | 41,956 | | | | GemmaCert Ltd., due 05/19/26, Strike Price $0.00*(e)(f) | | | | | — | | |
| United States – 0.0% | | ||||||||||||
| | | 46,666 | | | | AxonPrime Infrastructure Acquisition Corp., due 07/08/23, Strike Price $11.50*(e)(i) | | | | | 23,333 | | |
| | | 108,811 | | | | Berenson Acquisition Corp. I, due 08/01/26, Strike Price $11.50*(e) | | | | | 35,908 | | |
| | | 2,589 | | | | DHB Capital Corp., due 03/15/28, Strike Price $11.50*(e) | | | | | 1,130 | | |
| | | 71,090 | | | | Leafly Holdings Inc., due 11/07/26, Strike Price $11.50*(e) | | | | | 68,723 | | |
| | | 27,754 | | | | Seaport Global Acquisition II Corp., due 11/01/23, Strike Price $11.50*(e) | | | | | 9,436 | | |
| | | | | | | Total United States | | | | | 138,530 | | |
| | | | | | | TOTAL WARRANTS (Cost – $855,251) | | | | | 144,927 | | |
| TRADE CLAIMS – 1.2% | | ||||||||||||
| | | 9,959,000 | | | | Brazos Electric Power Cooperative Inc., 0.000% due 9/28/23(e)(f) | | | | | 8,963,100 | | |
| | | | | | | TOTAL TRADE CLAIMS (Cost – $9,053,255) | | | | | 8,963,100 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $762,706,822) | | | | | 745,304,656 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 6.3% | | ||||||||||||
| TIME DEPOSITS – 6.1% | | ||||||||||||
| | $ | 43,881,501 | | | | BNP Paribas – Paris, 0.005% due 3/1/22 | | | | | 43,881,501 | | |
| | | 2,340,861 | | | | Royal Bank of Canada – Toronto, 0.005% due 3/1/22 | | | | | 2,340,861 | | |
| | | 578,703 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 3/1/22 | | | | | 578,703 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $46,801,065) | | | | | 46,801,065 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.2% | | ||||||||||||
| MONEY MARKET FUND – 0.2% | | ||||||||||||
| | | 1,290,964 | | | | Federated Government Obligations Fund, Premier Class, 0.025%(j) (Cost – $1,290,964) | | | | $ | 1,290,964 | | |
| | | | | | | TOTAL INVESTMENTS – 103.6% (Cost – $810,798,851) | | | | | 793,396,685 | | |
| | | | | | | Liabilities in Excess of Other Assets – (3.6)% | | | | | (27,875,350) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 765,521,335 | | |
CMT | — | Constant Maturity Treasury Index |
EURIBOR | — | Euro Interbank Offered Rate |
ICE | — | Intercontinental Exchange |
LIBOR | — | London Interbank Offered Rate |
LLC | — | Limited Liability Company |
LP | — | Limited Partnership |
NIBOR | — | Norwegian Interbank Offered Rate |
PCL | — | Public Company Limited |
PLC | — | Public Limited Company |
SOFR | — | Secured Overnight Financing Rate |
| Corporate Bonds & Notes | | | | | 63.8% | | |
| Sovereign Bonds | | | | | 9.0 | | |
| Senior Loans | | | | | 7.2 | | |
| Common Stocks | | | | | 7.1 | | |
| Exchange Traded Funds (ETFs) | | | | | 3.3 | | |
| Preferred Stocks | | | | | 2.3 | | |
| Trade Claims | | | | | 1.1 | | |
| Asset-Backed Securities | | | | | 0.1 | | |
| Warrants | | | | | 0.0* | | |
| Short-Term Investments | | | | | 5.9 | | |
| Money Market Fund | | | | | 0.2 | | |
| | | | | | 100.0% | | |
Equity Options
| Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | | |||||||||||||||
| 315 | | | | $ | 2,635,605 | | | | iShares iBoxx High Yield | | | | | BNP | | | | | | 3/18/22 | | | | | $ | 85.00 | | | | | $ | (3,465) | | |
| 315 | | | | $ | 2,635,605 | | | | iShares iBoxx High Yield | | | | | BNP | | | | | | 4/14/22 | | | | | $ | 81.00 | | | | | | (22,995) | | |
| 1,272 | | | | $ | 10,642,824 | | | | iShares iBoxx High Yield | | | | | BNP | | | | | | 6/17/22 | | | | | $ | 79.00 | | | | | | (134,832) | | |
| 472 | | | | $ | 2,290,144 | | | | Magellan Midstream Partners LP | | | | | BNP | | | | | | 3/18/22 | | | | | $ | 47.50 | | | | | | (69,422) | | |
| 315 | | | | $ | 1,528,380 | | | | Magellan Midstream Partners LP | | | | | BNP | | | | | | 4/14/22 | | | | | $ | 47.50 | | | | | | (75,600) | | |
| 424 | | | | $ | 334,960 | | | | ReNew Energy Global PLC | | | | | BNP | | | | | | 3/18/22 | | | | | $ | 7.50 | | | | | | (36,040) | | |
| | | | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | (Premiums received – $299,242) | | | | | | | | | | | | | | | | | | | | | | $ | (342,354) | | |
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swedish Krona | | | | | 3,850,500 | | | | | | BBH | | | | | $ | 407,066 | | | | | | 3/15/22 | | | | | $ | — | | | | | $ | (5,675) | | | | | $ | (5,675) | | |
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | | | 26,326,000 | | | | | | BBH | | | | | | 29,535,538 | | | | | | 3/15/22 | | | | | $ | 653,539 | | | | | $ | — | | | | | $ | 653,539 | | |
Norwegian Krone | | | | | 32,548,000 | | | | | | BBH | | | | | | 3,693,692 | | | | | | 3/15/22 | | | | | | 12,072 | | | | | | — | | | | | | 12,072 | | |
Swedish Krona | | | | | 12,468,750 | | | | | | BBH | | | | | | 1,318,166 | | | | | | 3/15/22 | | | | | | 29,804 | | | | | | — | | | | | | 29,804 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 695,415 | | | | | $ | — | | | | | $ | 695,415 | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | $ | 695,415 | | | | | $ | (5,675) | | | | | $ | 689,740 | | |
EUR | — | Euro |
NOK | — | Norwegian Krone |
SEK | — | Swedish Krona |
BBH | — | Brown Brothers Harriman & Co. |
BNP | — | BNP Paribas SA |
| Face Amount† | | | Security | | | Value | | ||||||
| SECURITIES SOLD SHORT – 4.1% | | ||||||||||||
| CORPORATE BONDS & NOTES – 0.3% | | ||||||||||||
| Consumer Non-cyclical – 0.0% | | ||||||||||||
| | $ | 322,000 | | | | McKesson Corp., Senior Unsecured Notes, 3.950% due 2/16/28 | | | | $ | 340,455 | | |
| Financial – 0.3% | | ||||||||||||
| | | 1,940,000 | | | | FS Energy & Power Fund, Senior Secured Notes, 7.500% due 8/15/23(a) | | | | | 2,003,050 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Proceeds – $2,329,457) | | | | | 2,343,505 | | |
| Shares/Units | | | | | | | | | | | |||
| EXCHANGE TRADED FUNDS (ETFs) – 3.5% | | ||||||||||||
| | | 32,300 | | | | Defiance NextGen SPAC Derived | | | | | 573,002 | | |
| | | 306,466 | | | | iShares iBoxx High Yield Corporate Bond | | | | | 25,642,010 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Proceeds – $27,308,481) | | | | | 26,215,012 | | |
| COMMON STOCKS – 0.3% | | ||||||||||||
| ENERGY – 0.2% | | ||||||||||||
| Pipelines – 0.2% | | ||||||||||||
| | | 32,500 | | | | Magellan Midstream Partners LP | | | | | 1,576,900 | | |
| INDUSTRIAL – 0.1% | | ||||||||||||
| Aerospace/Defense – 0.1% | | ||||||||||||
| | | 44,283 | | | | Rocket Lab USA Inc.* | | | | | 422,460 | | |
| Environmental Control – 0.0% | | ||||||||||||
| | | 13,400 | | | | GFL Environmental Inc. | | | | | 391,950 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 814,410 | | |
| TECHNOLOGY – 0.0% | | ||||||||||||
| Software – 0.0% | | ||||||||||||
| | | 18,015 | | | | Latch Inc.* | | | | | 74,402 | | |
| | | | | | | TOTAL COMMON STOCKS (Proceeds – $2,549,452) | | | | | 2,465,712 | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT – 4.1% (Proceeds – $32,187,390) | | | | $ | 31,024,229 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 87.2% | | |||||||||||||||
| Alabama – 1.3% | | |||||||||||||||
| | $ | 2,000,000 | | | | AA- | | | Auburn University, Revenue Bonds, Series A, 5.000% due 6/1/35 | | | | $ | 2,367,195 | | |
| | | 2,540,000 | | | | A2(a) | | | Lower Alabama Gas District, Revenue Bonds, 4.000% due 12/1/50(b) | | | | | 2,730,866 | | |
| | | | | | | | | | Mobile County Board of School Commissioners, Special Tax: | | | | | | | |
| | | 260,000 | | | | A | | | 5.000% due 3/1/28 | | | | | 294,232 | | |
| | | 175,000 | | | | A | | | 5.000% due 3/1/29 | | | | | 197,883 | | |
| | | 180,000 | | | | A | | | 5.000% due 3/1/30 | | | | | 203,827 | | |
| | | 185,000 | | | | A | | | 5.000% due 3/1/31 | | | | | 209,537 | | |
| | | 145,000 | | | | A | | | 5.000% due 3/1/32 | | | | | 164,284 | | |
| | | 215,000 | | | | A | | | 5.000% due 3/1/33 | | | | | 243,911 | | |
| | | 3,500,000 | | | | A1(a) | | | Southeast Alabama Gas Supply District, Revenue Bonds, Series A, 4.000% due 6/1/49(b) | | | | | 3,668,322 | | |
| | | 1,500,000 | | | | A1(a) | | | Southeast Energy Authority A Cooperative District, Revenue Bonds, Series B, 4.000% due 12/1/51(b) | | | | | 1,701,631 | | |
| | | | | | | | | | Total Alabama | | | | | 11,781,688 | | |
| Alaska – 0.1% | | |||||||||||||||
| | | 1,000,000 | | | | AA+ | | | Alaska Housing Finance Corp., Revenue Bonds, Series A, 5.000% due 6/1/30 | | | | | 1,165,689 | | |
| | | 215,000 | | | | AA- | | | State of Alaska, GO, Series A, 5.000% due 8/1/33 | | | | | 238,735 | | |
| | | | | | | | | | Total Alaska | | | | | 1,404,424 | | |
| Arizona – 3.1% | | |||||||||||||||
| | | | | | | | | | Arizona Department of Transportation State Highway Fund Revenue, Revenue Bonds: | | | | | | | |
| | | 5,000,000 | | | | AA+ | | | 5.000% due 7/1/27 | | | | | 5,744,947 | | |
| | | 3,810,000 | | | | AA+ | | | 5.000% due 7/1/34 | | | | | 4,334,663 | | |
| | | 2,000,000 | | | | AA | | | Arizona State University, Revenue Bonds, Series A, 5.000% due 7/1/39 | | | | | 2,436,229 | | |
| | | | | | | | | | City of Glendale AZ, Revenue Bonds: | | | | | | | |
| | | 105,000 | | | | AA | | | Series A, 5.000% due 7/1/23 | | | | | 110,563 | | |
| | | 230,000 | | | | AA | | | Series A, 5.000% due 7/1/27 | | | | | 256,097 | | |
| | | 215,000 | | | | AA | | | Series A, 5.000% due 7/1/28 | | | | | 238,951 | | |
| | | 235,000 | | | | AA | | | Series A, 5.000% due 7/1/29 | | | | | 261,098 | | |
| | | 85,000 | | | | AA | | | Series A, 5.000% due 7/1/32 | | | | | 98,936 | | |
| | | | | | | | | | City of Glendale AZ Transportation Excise Tax Revenue, Revenue Bonds, AGM: | | | | | | | |
| | | 55,000 | | | | AA | | | 5.000% due 7/1/24 | | | | | 59,768 | | |
| | | 105,000 | | | | AA | | | 5.000% due 7/1/26 | | | | | 117,095 | | |
| | | | | | | | | | City of Phoenix Civic Improvement Corp., Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 7/1/27(c) | | | | | 75,298 | | |
| | | 90,000 | | | | A+ | | | Series A, 5.000% due 7/1/28(c) | | | | | 103,529 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Arizona – (continued) | | |||||||||||||||
| | $ | 6,365,000 | | | | AAA | | | Series B, 4.000% due 7/1/29 | | | | $ | 6,725,701 | | |
| | | 1,000,000 | | | | AAA | | | City of Scottsdale AZ, GO, 5.000% due 7/1/23 | | | | | 1,053,667 | | |
| | | 160,000 | | | | A+ | | | Coconino County Pollution Control Corp., Revenue Bonds, 1.875% due 9/1/32(b)(c) | | | | | 161,105 | | |
| | | | | | | | | | County of Pima AZ Sewer System Revenue, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | AA | | | Series A, 5.000% due 7/1/22 | | | | | 15,216 | | |
| | | 30,000 | | | | AA | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/23(d) | | | | | 30,432 | | |
| | | | | | | | | | Maricopa County Industrial Development Authority, Revenue Bonds: | | | | | | | |
| | | 800,000 | | | | AA- | | | 5.000% due 1/1/46(b) | | | | | 906,927 | | |
| | | 200,000 | | | | A2(a) | | | 5.000% due 7/1/47 | | | | | 235,694 | | |
| | | 190,000 | | | | AA- | | | Series A, 4.000% due 1/1/24 | | | | | 199,476 | | |
| | | 145,000 | | | | AA- | | | Series A, 5.000% due 1/1/23 | | | | | 149,932 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 1/1/24 | | | | | 64,075 | | |
| | | 225,000 | | | | AA- | | | Series A, 5.000% due 1/1/25 | | | | | 246,902 | | |
| | | 735,000 | | | | A2(a) | | | Series B, 5.000% due 9/1/45(b) | | | | | 798,540 | | |
| | | 430,000 | | | | AA- | | | Series B, 5.000% due 1/1/48(b) | | | | | 441,327 | | |
| | | 290,000 | | | | AA- | | | Series C, 5.000% due 1/1/48(b) | | | | | 316,248 | | |
| | | | | | | | | | Salt River Project Agricultural Improvement & Power District, Revenue Bonds: | | | |||||
| | | 2,000,000 | | | | AA+ | | | Series A, 5.000% due 1/1/29 | | | | | 2,448,819 | | |
| | | 145,000 | | | | AA+ | | | Series A, 5.000% due 1/1/33 | | | | | 172,182 | | |
| | | | | | | | | | State of Arizona, COP: | | | | | | | |
| | | 225,000 | | | | AA- | | | Series A, 5.000% due 10/1/22 | | | | | 230,591 | | |
| | | 300,000 | | | | AA- | | | Series A, 5.000% due 10/1/23 | | | | | 318,557 | | |
| | | 310,000 | | | | AA- | | | Series A, 5.000% due 10/1/24 | | | | | 339,258 | | |
| | | | | | | | | | Total Arizona | | | | | 28,691,823 | | |
| California – 3.5% | | |||||||||||||||
| | | 60,000 | | | | A- | | | Alameda Corridor Transportation Authority, Revenue Bonds, Series A, 5.000% due 10/1/23 | | | | | 63,546 | | |
| | | 210,000 | | | | AA | | | Bay Area Toll Authority, Revenue Bonds, Series B, 2.850% due 4/1/47(b) | | | | | 216,931 | | |
| | | 115,000 | | | | AA- | | | California Health Facilities Financing Authority, Revenue Bonds, Series A, 5.000% due 7/1/25 | | | | | 121,062 | | |
| | | | | | | | | | California State Public Works Board, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 4/1/22 | | | | | 60,219 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 4/1/23 | | | | | 145,529 | | |
| | | 30,000 | | | | A+ | | | Series G, 5.000% due 11/1/23 | | | | | 30,845 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | |||||||||||||||
| | $ | 30,000 | | | | A+ | | | Series G, 5.000% due 11/1/24 | | | | $ | 30,845 | | |
| | | | | | | | | | City of Los Angeles Department of Airports, Revenue Bonds: | | ||||||
| | | 500,000 | | | | AA- | | | 4.000% due 5/15/37(c) | | | | | 564,397 | | |
| | | 650,000 | | | | AA- | | | 4.000% due 5/15/38(c) | | | | | 732,091 | | |
| | | 675,000 | | | | AA- | | | 4.000% due 5/15/39(c) | | | | | 758,601 | | |
| | | 650,000 | | | | AA- | | | 4.000% due 5/15/40(c) | | | | | 729,095 | | |
| | | 3,000,000 | | | | AA- | | | City of Riverside CA Sewer Revenue, Revenue Bonds, Series A, 5.000% due 8/1/36 | | | | | 3,603,570 | | |
| | | | | | | | | | Golden State Tobacco Securitization Corp., Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | A+ | | | Series A, AMBAC, zero coupon, due 6/1/24 | | | | | 169,989 | | |
| | | 145,000 | | | | A+ | | | Series A, Prerefunded 6/01/23 @ 100, 5.000% due 6/1/29(d) | | | | | 152,193 | | |
| | | 115,000 | | | | NR | | | Series A1, 5.000% due 6/1/25 | | | | | 128,139 | | |
| | | 30,000 | | | | NR | | | Series A1, 5.000% due 6/1/26 | | | | | 34,326 | | |
| | | 290,000 | | | | AA- | | | Los Angeles Department of Water & Power Power System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/29 | | | | | 319,760 | | |
| | | 1,500,000 | | | | Aa3(a) | | | Los Angeles Unified School District, GO, Series A, 5.000% due 7/1/27 | | | | | 1,767,667 | | |
| | | 1,980,000 | | | | AAA | | | Moulton-Niguel Water District, COP, 3.000% due 9/1/37 | | | | | 2,101,562 | | |
| | | | | | | | | | Oakland Unified School District, GO: | | | | | | | |
| | | 100,000 | | | | AA | | | AGM, 5.000% due 8/1/26 | | | | | 111,959 | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 8/1/28 | | | | | 33,513 | | |
| | | 145,000 | | | | NR | | | Port of Oakland, Revenue Bonds, 5.000% due 5/1/22(c) | | | | | 146,027 | | |
| | | 90,000 | | | | A | | | Sacramento City Financing Authority, Special Tax, Series A, NPFG, zero coupon due 12/1/26 | | | | | 81,725 | | |
| | | 255,000 | | | | AA- | | | San Diego Convention Center Expansion Financing Authority, Revenue Bonds, Series A, Prerefunded 4/15/22 @ 100, 5.000% due 4/15/23(d) | | | | | 256,364 | | |
| | | | | | | | | | San Diego County Regional Transportation Commission, Revenue Bonds: | | | | | | | |
| | | 600,000 | | | | AA | | | Series B, 5.000% due 4/1/34 | | | | | 763,392 | | |
| | | 250,000 | | | | AA | | | Series B, 5.000% due 4/1/35 | | | | | 317,226 | | |
| | | 300,000 | | | | AA | | | Series B, 5.000% due 4/1/36 | | | | | 379,152 | | |
| | | 400,000 | | | | AA | | | Series B, 5.000% due 4/1/37 | | | | | 504,967 | | |
| | | 500,000 | | | | AA | | | Series B, 5.000% due 4/1/38 | | | | | 629,014 | | |
| | | 500,000 | | | | AA | | | Series B, 5.000% due 4/1/39 | | | | | 627,801 | | |
| | | 515,000 | | | | AA | | | Series B, 5.000% due 4/1/40 | | | | | 642,610 | | |
| | | 185,000 | | | | A | | | San Francisco City & County Airport Comm-San Francisco International Airport, Revenue Bonds, Series A, 5.000% due 5/1/37(c) | | | | | 216,647 | | |
| | | 400,000 | | | | AA+ | | | Santa Clara County Financing Authority, Revenue Bonds, Series A, 3.000% due 5/1/39 | | | | | 415,311 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | |||||||||||||||
| | | | | | | | | | State of California, GO: | | | |||||
| | $ | 760,000 | | | | AA- | | | 4.000% due 3/1/26 | | | | $ | 835,634 | | |
| | | 3,000,000 | | | | AA- | | | 5.000% due 12/1/27 | | | | | 3,567,428 | | |
| | | 80,000 | | | | AA- | | | 5.000% due 9/1/29 | | | | | 92,141 | | |
| | | 1,000,000 | | | | AA- | | | 5.000% due 4/1/30 | | | | | 1,248,601 | | |
| | | 760,000 | | | | AA- | | | 5.000% due 8/1/30 | | | | | 893,043 | | |
| | | 3,310,000 | | | | AA- | | | 5.000% due 9/1/30 | | | | | 4,165,678 | | |
| | | 3,000,000 | | | | AA- | | | 5.000% due 4/1/36 | | | | | 3,646,032 | | |
| | | 435,000 | | | | AA- | | | Series B, 5.000% due 8/1/26 | | | | | 500,725 | | |
| | | 205,000 | | | | AA- | | | Series C, 5.000% due 8/1/29 | | | | | 235,595 | | |
| | | 100,000 | | | | A1(a) | | | Washington Township Health Care District, GO, Series A, 5.500% due 8/1/40 | | | | | 109,188 | | |
| | | 230,000 | | | | AA- | | | West Contra Costa Unified School District, GO, Series Prerefunded 8/1/22 @ 100, 5.000% due 8/1/26(d) | | | | | 234,106 | | |
| | | | | | | | | | Total California | | | | | 32,384,246 | | |
| Colorado – 1.6% | | |||||||||||||||
| | | | | | | | | | City & County of Denver CO Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 11/15/24(c) | | | | | 70,636 | | |
| | | 315,000 | | | | A | | | Series A, 5.000% due 12/1/26(c) | | | | | 357,706 | | |
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 11/15/27(c) | | | | | 34,732 | | |
| | | 195,000 | | | | A+ | | | Series A, 5.000% due 11/15/28(c) | | | | | 225,710 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 11/15/29(c) | | | | | 167,210 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 11/15/30(c) | | | | | 132,642 | | |
| | | 915,000 | | | | A+ | | | Series C, 5.000% due 11/15/30 | | | | | 1,117,444 | | |
| | | | | | | | | | Colorado Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 655,000 | | | | #Aaa(a) | | | zero coupon, due 7/15/22 | | | | | 653,402 | | |
| | | 215,000 | | | | A | | | 2.800% due 5/15/42(b) | | | | | 217,646 | | |
| | | 2,115,000 | | | | AA | | | 5.000% due 11/15/36(b) | | | | | 2,247,826 | | |
| | | 190,000 | | | | Baa1(a) | | | 5.000% due 9/1/46 | | | | | 212,220 | | |
| | | 640,000 | | | | AA | | | 5.000% due 11/15/49(b) | | | | | 736,511 | | |
| | | 500,000 | | | | A- | | | Series A, 5.000% due 8/1/44 | | | | | 580,227 | | |
| | | 325,000 | | | | A- | | | Series B2, 5.000% due 8/1/49(b) | | | | | 362,641 | | |
| | | 90,000 | | | | AA | | | Colorado Housing & Finance Authority, Revenue Bonds, Series H, 4.250% due 11/1/49 | | | | | 96,239 | | |
| | | 1,500,000 | | | | AAA | | | Metro Wastewater Reclamation District, Revenue Bonds, Series A, Prerefunded 4/1/22 @ 100, 4.000% due 4/1/30(d) | | | | | 1,504,267 | | |
| | | 2,000,000 | | | | AA+ | | | Regional Transportation District Sales Tax Revenue, Revenue Bonds, 0.900% due 11/1/26 | | | | | 1,904,672 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Colorado – (continued) | | |||||||||||||||
| | $ | 2,250,000 | | | | AA- | | | State of Colorado, COP, Series A, 4.000% due 12/15/36 | | | | $ | 2,538,117 | | |
| | | 1,435,000 | | | | Aa1(a) | | | University of Colorado, Revenue Bonds, Series C, 2.000% due 6/1/54(b) | | | | | 1,449,499 | | |
| | | | | | | | | | Vauxmont Metropolitan District, GO, AGM: | | | | | | | |
| | | 125,000 | | | | AA | | | 5.000% due 12/15/27 | | | | | 140,180 | | |
| | | 120,000 | | | | AA | | | 5.000% due 12/15/29 | | | | | 134,441 | | |
| | | 135,000 | | | | AA | | | 5.000% due 12/15/31 | | | | | 151,081 | | |
| | | 285,000 | | | | AA | | | 5.000% due 12/1/34 | | | | | 347,335 | | |
| | | | | | | | | | Total Colorado | | | | | 15,382,384 | | |
| Connecticut – 2.2% | | |||||||||||||||
| | | | | | | | | | Connecticut State Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 1,075,000 | | | | AAA | | | Series 2017 B1, 5.000% due 7/1/29 | | | | | 1,331,906 | | |
| | | 410,000 | | | | A | | | Series A, 5.000% due 7/1/34 | | | | | 498,796 | | |
| | | 505,000 | | | | AA- | | | Series B, 1.800% due 7/1/49(b) | | | | | 509,408 | | |
| | | 65,000 | | | | A- | | | Series S, 5.000% due 7/1/26 | | | | | 73,660 | | |
| | | 30,000 | | | | A- | | | Series S, 5.000% due 7/1/29 | | | | | 35,346 | | |
| | | 4,465,000 | | | | AAA | | | Series V1, 0.020% due 7/1/36(b) | | | | | 4,465,000 | | |
| | | | | | | | | | State of Connecticut, GO: | | | | | | | |
| | | 90,000 | | | | A+ | | | Series A, 5.000% due 3/15/26 | | | | | 102,512 | | |
| | | 375,000 | | | | A+ | | | Series A, 5.000% due 4/15/26 | | | | | 428,096 | | |
| | | 150,000 | | | | A+ | | | Series A, 5.000% due 4/15/30 | | | | | 182,417 | | |
| | | 170,000 | | | | A+ | | | Series A, 5.000% due 4/15/34 | | | | | 205,377 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 4/15/35 | | | | | 72,418 | | |
| | | 175,000 | | | | A+ | | | Series B, 5.000% due 1/15/26 | | | | | 198,426 | | |
| | | 2,100,000 | | | | A+ | | | Series D, 5.000% due 7/15/25 | | | | | 2,348,150 | | |
| | | 85,000 | | | | A+ | | | Series E, 5.000% due 9/15/23 | | | | | 86,812 | | |
| | | 100,000 | | | | A+ | | | Series E, 5.000% due 10/15/26 | | | | | 115,684 | | |
| | | 150,000 | | | | A+ | | | Series E, 5.000% due 10/15/29 | | | | | 172,224 | | |
| | | 1,600,000 | | | | A+ | | | Series F, 5.000% due 9/15/26 | | | | | 1,846,937 | | |
| | | | | | | | | | State of Connecticut Special Tax Revenue, Revenue Bonds: | | | | | | | |
| | | 2,250,000 | | | | AA- | | | Series C, 5.000% due 1/1/30 | | | | | 2,782,846 | | |
| | | 1,500,000 | | | | AA- | | | Series D, 4.000% due 11/1/39 | | | | | 1,722,722 | | |
| | | 1,500,000 | | | | AA- | | | Series D, 4.000% due 11/1/40 | | | | | 1,719,530 | | |
| | | 1,500,000 | | | | AAA | | | Town of Greenwich CT, GO, 5.000% due 1/15/23 | | | | | 1,554,904 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Connecticut – (continued) | | |||||||||||||||
| | $ | 330,000 | | | | A+ | | | University of Connecticut, Revenue Bonds, Series A, 5.000% due 11/1/27 | | | | $ | 389,525 | | |
| | | | | | | | | | Total Connecticut | | | | | 20,842,696 | | |
| Delaware – 0.4% | | |||||||||||||||
| | | | | | | | | | Delaware River & Bay Authority, Revenue Bonds: | | | |||||
| | | 35,000 | | | | A | | | Series C, 5.000% due 1/1/24 | | | | | 37,430 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/25 | | | | | 85,418 | | |
| | | 220,000 | | | | A | | | Delaware State Economic Development Authority, Revenue Bonds, 1.050% due 1/1/31(b) | | | | | 214,240 | | |
| | | 3,160,000 | | | | NR | | | State of Delaware, GO, Series B, Prerefunded 7/1/24 @ 100, 5.000% due 7/1/27(d) | | | | | 3,427,847 | | |
| | | | | | | | | | Total Delaware | | | | | 3,764,935 | | |
| District of Columbia – 0.7% | | |||||||||||||||
| | | 2,000,000 | | | | AA+ | | | District of Columbia, GO, Series C, 5.000% due 6/1/34 | | | | | 2,160,221 | | |
| | | | | | | | | | Metropolitan Washington Airports Authority Aviation Revenue, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A+ | | | Series A, 5.000% due 10/1/22(c) | | | | | 51,177 | | |
| | | 75,000 | | | | A+ | | | Series A, 5.000% due 10/1/23(c) | | | | | 79,371 | | |
| | | 2,625,000 | | | | A+ | | | Series A, 5.000% due 10/1/24(c) | | | | | 2,855,959 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 10/1/28(c) | | | | | 135,942 | | |
| | | 120,000 | | | | A+ | | | Series A, 5.000% due 10/1/29(c) | | | | | 141,081 | | |
| | | 95,000 | | | | A+ | | | Series A, 5.000% due 10/1/30(c) | | | | | 111,455 | | |
| | | 205,000 | | | | A+ | | | Series A, 5.000% due 10/1/31(c) | | | | | 239,083 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 10/1/34(c) | | | | | 69,076 | | |
| | | 55,000 | | | | A+ | | | Series A, 5.000% due 10/1/36(c) | | | | | 63,292 | | |
| | | 400,000 | | | | A- | | | Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Revenue Bonds, 4.000% due 10/1/35 | | | | | 441,603 | | |
| | | 240,000 | | | | AA- | | | Washington Metropolitan Area Transit Authority, Revenue Bonds, Series B, 5.000% due 7/1/34 | | | | | 279,215 | | |
| | | | | | | | | | Total District of Columbia | | | | | 6,627,475 | | |
| Florida – 3.8% | | |||||||||||||||
| | | | | | | | | | Brevard County School District, COP: | | | | | | | |
| | | 95,000 | | | | Aa3(a) | | | 5.000% due 7/1/27 | | | | | 102,892 | | |
| | | 215,000 | | | | Aa3(a) | | | 5.000% due 7/1/30 | | | | | 232,552 | | |
| | | 85,000 | | | | Aa3(a) | | | Series C, 5.000% due 7/1/24 | | | | | 91,735 | | |
| | | 60,000 | | | | A+ | | | Citizens Property Insurance Inc., Revenue Bonds, Series A1, 5.000% due 6/1/22 | | | | | 60,655 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | | | | | | | | | City of Jacksonville FL, Revenue Bonds: | | ||||||
| | $ | 115,000 | | | | A+ | | | 5.000% due 10/1/22 | | | | $ | 117,906 | | |
| | | 155,000 | | | | A+ | | | 5.000% due 10/1/23 | | | | | 158,640 | | |
| | | 55,000 | | | | A+ | | | City of Tampa FL, Revenue Bonds, 5.000% due 9/1/28 | | | | | 56,099 | | |
| | | | | | | | | | County of Broward FL Airport System Revenue, Revenue Bonds: | | | |||||
| | | 60,000 | | | | A | | | 5.000% due 10/1/30(c) | | | | | 69,077 | | |
| | | 90,000 | | | | A | | | 5.000% due 10/1/31(c) | | | | | 103,611 | | |
| | | 120,000 | | | | A | | | Series A, 5.000% due 10/1/29(c) | | | | | 132,942 | | |
| | | 85,000 | | | | A | | | Series A, 5.000% due 10/1/31(c) | | | | | 94,012 | | |
| | | 115,000 | | | | A | | | Series A, 5.000% due 10/1/32(c) | | | | | 127,192 | | |
| | | 1,000,000 | | | | A | | | Series B, 5.000% due 10/1/29(c) | | | | | 1,193,352 | | |
| | | 90,000 | | | | A | | | Series Q1, 5.000% due 10/1/23 | | | | | 91,981 | | |
| | | | | | | | | | County of Hillsborough FL Solid Waste & Resource Recovery Revenue, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | AA+ | | | Series A, 5.000% due 9/1/22(c) | | | | | 51,044 | | |
| | | 60,000 | | | | AA+ | | | Series A, 5.000% due 9/1/23(c) | | | | | 63,218 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/24(c) | | | | | 70,352 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/26(c) | | | | | 74,316 | | |
| | | | | | | | | | County of Miami-Dade FL, Revenue Bonds: | | | | | | | |
| | | 160,000 | | | | A+ | | | 5.000% due 10/1/28 | | | | | 183,913 | | |
| | | 120,000 | | | | A+ | | | 5.000% due 10/1/29 | | | | | 137,706 | | |
| | | 215,000 | | | | A+ | | | 5.000% due 10/1/30 | | | | | 246,722 | | |
| | | 65,000 | | | | A+ | | | Series A, Prerefunded 10/01/22 @ 100, 5.000% due 10/1/25(d) | | | | | 66,615 | | |
| | | 120,000 | | | | AA | | | County of Miami-Dade FL, GO, Series A, 5.000% due 11/1/23 | | | | | 127,740 | | |
| | | | | | | | | | County of Miami-Dade FL Aviation Revenue, Revenue Bonds: | | | | | | | |
| | | 85,000 | | | | A- | | | Series A, 5.000% due 10/1/22(c) | | | | | 86,977 | | |
| | | 290,000 | | | | A- | | | Series A, 5.000% due 10/1/24(c) | | | | | 296,658 | | |
| | | 55,000 | | | | A- | | | Series A, 5.000% due 10/1/27(c) | | | | | 59,577 | | |
| | | 80,000 | | | | A- | | | Series A, 5.000% due 10/1/29(c) | | | | | 86,446 | | |
| | | 70,000 | | | | A- | | | Series A, 5.000% due 10/1/30 | | | | | 79,932 | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 10/1/31 | | | | | 34,241 | | |
| | | 160,000 | | | | A- | | | Series A, 5.000% due 10/1/33(c) | | | | | 172,682 | | |
| | | 70,000 | | | | A- | | | Series A, 5.000% due 10/1/35(c) | | | | | 75,456 | | |
| | | 65,000 | | | | A- | | | Series B, 5.000% due 10/1/24 | | | | | 66,550 | | |
| | | 215,000 | | | | A- | | | Series B, 5.000% due 10/1/37 | | | | | 231,815 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 500,000 | | | | A- | | | Series B, 5.000% due 10/1/40(c) | | | | $ | 571,669 | | |
| | | 50,000 | | | | AA | | | County of Miami-Dade FL Transit System, Revenue Bonds, Series Prerefunded 7/1/22 @ 100, 5.000% due 7/1/42(d) | | | | | 50,728 | | |
| | | | | | | | | | Duval County Public Schools, COP: | | | | | | | |
| | | 125,000 | | | | A+ | | | Series B, 5.000% due 7/1/27 | | | | | 138,925 | | |
| | | 30,000 | | | | A+ | | | Series B, 5.000% due 7/1/28 | | | | | 33,321 | | |
| | | 190,000 | | | | A+ | | | Series B, 5.000% due 7/1/30 | | | | | 210,708 | | |
| | | | | | | | | | Florida Municipal Power Agency, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A2(a) | | | 5.000% due 10/1/24 | | | | | 32,799 | | |
| | | 45,000 | | | | A2(a) | | | 5.000% due 10/1/27 | | | | | 50,518 | | |
| | | 80,000 | | | | A1(a) | | | Series A, 5.000% due 10/1/22 | | | | | 81,969 | | |
| | | 355,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/26 | | | | | 363,669 | | |
| | | 55,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/30 | | | | | 62,984 | | |
| | | 60,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/31 | | | | | 68,596 | | |
| | | 2,500,000 | | | | AA | | | Florida’s Turnpike Enterprise, Revenue Bonds, Series C, 4.375% due 7/1/37 | | | | | 2,598,299 | | |
| | | | | | | | | | Greater Orlando Aviation Authority, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | A+ | | | Series A, Prerefunded 10/01/27 @ 100, 5.000% due 10/1/28(c)(d) | | | | | 118,117 | | |
| | | 60,000 | | | | A+ | | | Series A, Prerefunded 10/01/27 @ 100, 5.000% due 10/1/30(c)(d) | | | | | 70,870 | | |
| | | | | | | | | | Halifax Hospital Medical Center, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A- | | | 5.000% due 6/1/28 | | | | | 38,635 | | |
| | | 70,000 | | | | A- | | | 5.000% due 6/1/35 | | | | | 76,919 | | |
| | | | | | | | | | Hillsborough County Port District, Revenue Bonds: | | | | | | | |
| | | 850,000 | | | | A(e) | | | Series B, 5.000% due 6/1/33(c) | | | | | 988,554 | | |
| | | 185,000 | | | | A(e) | | | Series B, 5.000% due 6/1/38(c) | | | | | 214,214 | | |
| | | 75,000 | | | | AA- | | | Indian River County District School Board, COP, Series A, 5.000% due 7/1/24 | | | | | 80,907 | | |
| | | 200,000 | | | | A | | | JEA Electric System Revenue, Revenue Bonds, Series B, 5.000% due 10/1/26 | | | | | 230,560 | | |
| | | | | | | | | | Lake County School Board, COP, AGM: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, Prerefunded 6/1/24 @ 100, 5.000% due 6/1/25(d) | | | | | 32,459 | | |
| | | 50,000 | | | | AA | | | Series A, Prerefunded 6/1/24 @ 100, 5.000% due 6/1/26(d) | | | | | 54,098 | | |
| | | 15,000 | | | | AA | | | Series A, Prerefunded 6/1/24 @ 100, 5.000% due 6/1/28(d) | | | | | 16,230 | | |
�� | | | | | | | | | | Lee Memorial Health System, Revenue Bonds: | | | | | | | |
| | | 550,000 | | | | A+ | | | Series A1, 5.000% due 4/1/33 | | | | | 659,990 | | |
| | | 415,000 | | | | A+ | | | Series A1, 5.000% due 4/1/35 | | | | | 497,122 | | |
| | | 755,000 | | | | A+ | | | Series A2, 5.000% due 4/1/33(b) | | | | | 841,982 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | | | | | | | | | Miami-Dade County Expressway Authority, Revenue Bonds: | | ||||||
| | $ | 45,000 | | | | A | | | Series A, 5.000% due 7/1/31 | | | | $ | 51,136 | | |
| | | 115,000 | | | | A | | | Series A, 5.000% due 7/1/32 | | | | | 130,733 | | |
| | | 95,000 | | | | A | | | Series A, 5.000% due 7/1/33 | | | | | 107,784 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 7/1/34 | | | | | 34,024 | | |
| | | 235,000 | | | | A | | | Series A, 5.000% due 7/1/40 | | | | | 241,085 | | |
| | | 85,000 | | | | A | | | Series A, 5.000% due 7/1/44 | | | | | 90,926 | | |
| | | | | | | | | | Orange County Health Facilities Authority, Revenue Bonds: | | | |||||
| | | 200,000 | | | | A+ | | | Series A, 5.000% due 10/1/39 | | | | | 226,390 | | |
| | | 365,000 | | | | A+ | | | Series A, Prerefunded 4/1/22 @ 100, 5.000% due 10/1/42(d) | | | | | 366,317 | | |
| | | 150,000 | | | | A+ | | | Series B, Prerefunded 4/1/22 @ 100, 5.000% due 10/1/42(d) | | | | | 150,541 | | |
| | | | | | | | | | Orange County School Board, COP: | | | | | | | |
| | | 115,000 | | | | Aa2(a) | | | Series B, Prerefunded 8/1/22 @ 100, 5.000% due 8/1/26(d) | | | | | 117,053 | | |
| | | 200,000 | | | | Aa2(a) | | | Series C, Prerefunded 8/1/25 @ 100, 5.000% due 8/1/29(d) | | | | | 223,918 | | |
| | | 50,000 | | | | AA | | | Orlando Utilities Commission, Revenue Bonds, Series A, 5.000% due 10/1/23 | | | | | 53,077 | | |
| | | | | | | | | | Palm Beach County Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 10,000 | | | | WD(e) | | | 5.000% due 12/1/23 | | | | | 10,665 | | |
| | | 20,000 | | | | WD(e) | | | 5.000% due 12/1/24 | | | | | 21,998 | | |
| | | | | | | | | | Palm Beach County School District, COP: | | | | | | | |
| | | 55,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/22 | | | | | 55,984 | | |
| | | 35,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/23 | | | | | 36,927 | | |
| | | 40,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/24 | | | | | 43,552 | | |
| | | 705,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/26 | | | | | 810,868 | | |
| | | 300,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/26 | | | | | 335,877 | | |
| | | 240,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/27 | | | | | 268,020 | | |
| | | 160,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/28 | | | | | 178,454 | | |
| | | 695,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/26 | | | | | 778,115 | | |
| | | 315,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/27 | | | | | 351,776 | | |
| | | 110,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/28 | | | | | 122,687 | | |
| | | 300,000 | | | | AA | | | Pasco County School Board, COP, Series D, AGM-Insured, 5.000% due 8/1/30 | | | | | 369,300 | | |
| | | | | | | | | | School Board of Miami-Dade County, COP: | | | | | | | |
| | | 120,000 | | | | AA | | | AGM, Series A, 5.000% due 5/1/27 | | | | | 133,153 | | |
| | | 570,000 | | | | A+ | | | Series A, 5.000% due 5/1/31 | | | | | 642,623 | | |
| | | 220,000 | | | | A+ | | | Series B, 5.000% due 8/1/27 | | | | | 251,820 | | |
| | | 395,000 | | | | A+ | | | Series B, 5.000% due 5/1/28 | | | | | 435,968 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 340,000 | | | | A+ | | | Series D, 5.000% due 11/1/24 | | | | $ | 371,809 | | |
| | | 355,000 | | | | A+ | | | Series D, 5.000% due 11/1/25 | | | | | 387,627 | | |
| | | 230,000 | | | | A+ | | | Series D, 5.000% due 11/1/26 | | | | | 251,138 | | |
| | | 115,000 | | | | A+ | | | Series D, 5.000% due 2/1/29 | | | | | 129,105 | | |
| | | 190,000 | | | | A+ | | | Series D, 5.000% due 2/1/30 | | | | | 212,845 | | |
| | | | | | | | | | School District of Broward County, COP: | | | |||||
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 7/1/22 | | | | | 147,092 | | |
| | | 45,000 | | | | A+ | | | Series A, 5.000% due 7/1/25 | | | | | 45,632 | | |
| | | 460,000 | | | | A+ | | | Series A, 5.000% due 7/1/26 | | | | | 499,921 | | |
| | | 265,000 | | | | A+ | | | Series A, 5.000% due 7/1/27 | | | | | 295,618 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 7/1/28 | | | | | 128,247 | | |
| | | 70,000 | | | | A+ | | | Series A, 5.000% due 7/1/32 | | | | | 79,232 | | |
| | | 120,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/25(d) | | | | | 121,747 | | |
| | | 580,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/26(d) | | | | | 588,445 | | |
| | | 335,000 | | | | A+ | | | Series B, 5.000% due 7/1/26 | | | | | 373,706 | | |
| | | 230,000 | | | | A+ | | | Series B, 5.000% due 7/1/27 | | | | | 256,575 | | |
| | | 390,000 | | | | A+ | | | Series B, 5.000% due 7/1/28 | | | | | 435,061 | | |
| | | | | | | | | | Seminole County School Board, COP: | | | | | | | |
| | | 60,000 | | | | Aa3(a) | | | Series C, 5.000% due 7/1/23 | | | | | 63,105 | | |
| | | 50,000 | | | | Aa3(a) | | | Series C, 5.000% due 7/1/24 | | | | | 54,274 | | |
| | | 115,000 | | | | AA | | | South Florida Water Management District, COP, 5.000% due 10/1/30 | | | | | 129,829 | | |
| | | 75,000 | | | | AA- | | | South Miami Health Facilities Authority, Revenue Bonds, 5.000% due 8/15/24 | | | | | 81,587 | | |
| | | | | | | | | | St Lucie County School Board, COP: | | | | | | | |
| | | 60,000 | | | | A | | | Series A, 5.000% due 7/1/25 | | | | | 62,942 | | |
| | | 125,000 | | | | A | | | Series A, 5.000% due 7/1/27 | | | | | 131,009 | | |
| | | 5,995,000 | | | | AAA | | | State of Florida, GO, 5.000% due 7/1/32 | | | | | 7,237,332 | | |
| | | 2,000,000 | | | | AA+ | | | State of Florida Department of Transportation, Revenue Bonds, 5.000% due 7/1/27 | | | | | 2,361,388 | | |
| | | | | | | | | | Tampa Bay Water, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | AA+ | | | Series A, NPFG, 6.000% due 10/1/29 | | | | | 91,018 | | |
| | | 70,000 | | | | AA+ | | | Series NPFG, 5.500% due 10/1/22 | | | | | 71,959 | | |
| | | | | | | | | | Volusia County Educational Facility Authority, Revenue Bonds: | | | | | | | |
| | | 150,000 | | | | A2(a) | | | 4.000% due 10/15/36 | | | | | 166,162 | | |
| | | 80,000 | | | | A2(a) | | | 5.000% due 10/15/44 | | | | | 93,822 | | |
| | | 150,000 | | | | A2(a) | | | 5.000% due 10/15/49 | | | | | 174,823 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | | | | | | | | | Volusia County School Board, COP: | | ||||||
| | $ | 600,000 | | | | Aa3(a) | | | 5.000% due 8/1/24 | | | | $ | 652,827 | | |
| | | 145,000 | | | | AA | | | Series A, 5.000% due 8/1/32 | | | | | 162,668 | | |
| | | | | | | | | | Total Florida | | | | | 35,528,764 | | |
| Georgia – 4.0% | | |||||||||||||||
| | | | | | | | | | City of Atlanta GA Water & Wastewater Revenue, Revenue Bonds: | | | |||||
| | | 30,000 | | | | AA- | | | 5.000% due 11/1/27 | | | | | 33,468 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 11/1/29 | | | | | 77,955 | | |
| | | 2,000,000 | | | | AA- | | | 5.000% due 11/1/40 | | | | | 2,218,622 | | |
| | | 45,000 | | | | A+ | | | County of DeKalb GA Water & Sewerage Revenue, Revenue Bonds, Series A, 5.250% due 10/1/25 | | | | | 45,173 | | |
| | | | | | | | | | Development Authority of Burke County, Revenue Bonds: | | | | | | | |
| | | 600,000 | | | | BBB+ | | | 1.700% due 12/1/49(b) | | | | | 602,035 | | |
| | | 830,000 | | | | BBB+ | | | 2.925% due 11/1/53(b) | | | | | 853,278 | | |
| | | 155,000 | | | | AA- | | | Fulton County Development Authority, Revenue Bonds, 5.000% due 6/15/44 | | | | | 185,615 | | |
| | | | | | | | | | Main Street Natural Gas Inc., Revenue Bonds: | | | | | | | |
| | | 5,000,000 | | | | Aa1(a) | | | Series A, 4.000% due 4/1/48(b) | | | | | 5,189,570 | | |
| | | 840,000 | | | | Aa1(a) | | | Series C, 4.000% due 8/1/48(b) | | | | | 876,612 | | |
| | | | | | | | | | Municipal Electric Authority of Georgia, Revenue Bonds: | | | | | | | |
| | | 160,000 | | | | A- | | | Series A, 5.000% due 1/1/27 | | | | | 184,409 | | |
| | | 145,000 | | | | A- | | | Series A, 5.000% due 1/1/30 | | | | | 172,638 | | |
| | | 105,000 | | | | A | | | Series GG, 5.000% due 1/1/24 | | | | | 108,121 | | |
| | | 35,000 | | | | A | | | Series GG, 5.000% due 1/1/25 | | | | | 36,058 | | |
| | | 145,000 | | | | A | | | Series GG, 5.000% due 1/1/26 | | | | | 149,356 | | |
| | | | | | | | | | Municipal Gas Authority of Georgia, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | AA- | | | Series Q, 5.000% due 10/1/22 | | | | | 61,466 | | |
| | | 35,000 | | | | AA- | | | Series S, 5.000% due 10/1/22 | | | | | 35,859 | | |
| | | 70,000 | | | | AA- | | | Series S, 5.000% due 10/1/24 | | | | | 71,517 | | |
| | | 40,000 | | | | AA- | | | Series U, 5.000% due 10/1/24 | | | | | 43,765 | | |
| | | | | | | | | | State of Georgia, GO: | | | | | | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 7/1/29 | | | | | 6,049,765 | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/30 | | | | | 6,336,460 | | |
| | | 2,500,000 | | | | AAA | | | Series A, 5.000% due 7/1/32 | | | | | 3,083,685 | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 7/1/33 | | | | | 6,435,817 | | |
| | | 3,835,000 | | | | AAA | | | Series C, 5.000% due 7/1/29 | | | | | 4,522,320 | | |
| | | | | | | | | | Total Georgia | | | | | 37,373,564 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Hawaii – 0.1% | | |||||||||||||||
| | | | | | | | | | City & County of Honolulu HI, GO: | | ||||||
| | $ | 115,000 | | | | Aa1(a) | | | Series D, 5.000% due 9/1/22 | | | | $ | 117,460 | | |
| | | 90,000 | | | | Aa1(a) | | | Series D, 5.000% due 9/1/26 | | | | | 104,040 | | |
| | | 500,000 | | | | AA+ | | | State of Hawaii, GO, Series FH, 5.000% due 10/1/28 | | | | | 578,320 | | |
| | | | | | | | | | Total Hawaii | | | | | 799,820 | | |
| Idaho – 0.4% | | |||||||||||||||
| | | | | | | | | | Idaho Housing & Finance Association, Revenue Bonds: | | | |||||
| | | 100,000 | | | | A2(a) | | | 5.000% due 7/15/22 | | | | | 101,594 | | |
| | | 45,000 | | | | A2(a) | | | 5.000% due 7/15/23 | | | | | 47,408 | | |
| | | 35,000 | | | | A2(a) | | | 5.000% due 7/15/24 | | | | | 37,995 | | |
| | | 95,000 | | | | A2(a) | | | 5.000% due 7/15/27 | | | | | 111,732 | | |
| | | 60,000 | | | | Aa1(a) | | | Series A, 4.000% due 1/1/50 | | | | | 63,766 | | |
| | | 250,000 | | | | A2(a) | | | Series A, 5.000% due 7/15/30 | | | | | 312,103 | | |
| | | 250,000 | | | | A2(a) | | | Series A, 5.000% due 7/15/31 | | | | | 315,836 | | |
| | | 2,380,000 | | | | Aa1(a) | | | Kootenai County School District No 271 Coeur d’Alene, GO, 4.000% due 9/15/28 | | | | | 2,662,687 | | |
| | | | | | | | | | Total Idaho | | | | | 3,653,121 | | |
| Illinois – 2.8% | | |||||||||||||||
| | | | | | | | | | Chicago Midway International Airport, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A- | | | Series A, 5.000% due 1/1/29(c) | | | | | 72,110 | | |
| | | 100,000 | | | | A- | | | Series A, 5.000% due 1/1/30(c) | | | | | 110,967 | | |
| | | 70,000 | | | | A- | | | Series A, 5.000% due 1/1/31(c) | | | | | 77,663 | | |
| | | 190,000 | | | | A- | | | Series A, 5.000% due 1/1/32(c) | | | | | 200,947 | | |
| | | 95,000 | | | | A- | | | Series B, 5.000% due 1/1/24 | | | | | 101,309 | | |
| | | | | | | | | | Chicago O’Hare International Airport, Revenue Bonds: | | | | | | | |
| | | 75,000 | | | | BBB+ | | | 5.000% due 7/1/38(c) | | | | | 86,751 | | |
| | | 125,000 | | | | A | | | Series A, 5.000% due 1/1/24(c) | | | | | 132,715 | | |
| | | 270,000 | | | | A | | | Series A, 5.000% due 1/1/29 | | | | | 309,965 | | |
| | | 200,000 | | | | A | | | Series A, 5.000% due 1/1/48(c) | | | | | 227,817 | | |
| | | 285,000 | | | | A | | | Series B, 5.000% due 1/1/32 | | | | | 309,596 | | |
| | | 120,000 | | | | A | | | Series B, 5.000% due 1/1/53 | | | | | 138,469 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/23 | | | | | 82,633 | | |
| | | 45,000 | | | | A | | | Series C, 5.000% due 1/1/24 | | | | | 47,988 | | |
| | | 65,000 | | | | A | | | Series C, 5.000% due 1/1/25 | | | | | 71,346 | | |
| | | 60,000 | | | | A | | | Series C, 5.000% due 1/1/26 | | | | | 67,577 | | |
| | | 70,000 | | | | A | | | Series C, 5.000% due 1/1/33 | | | | | 78,509 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/34 | | | | | 89,715 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 60,000 | | | | A | | | Series D, 5.000% due 1/1/27(c) | | | | $ | 68,138 | | |
| | | 15,000 | | | | A | | | Series D, 5.000% due 1/1/28(c) | | | | | 17,014 | | |
| | | 85,000 | | | | A | | | Series D, 5.000% due 1/1/31(c) | | | | | 96,452 | | |
| | | 45,000 | | | | A | | | Series D, 5.000% due 1/1/33(c) | | | | | 50,925 | | |
| | | 40,000 | | | | A | | | City of Chicago IL Wastewater Transmission Revenue, Revenue Bonds, 5.000% due 1/1/23 | | | | | 40,131 | | |
| | | 30,000 | | | | AA | | | City of Chicago IL Waterworks Revenue, Revenue Bonds, AGM-Insured, 5.250% due 11/1/33 | | | | | 30,231 | | |
| | | | | | | | | | Cook County Forest Preserve District, GO: | | | | | | | |
| | | 30,000 | | | | AA- | | | Series B, 5.000% due 12/15/23 | | | | | 30,328 | | |
| | | 40,000 | | | | AA- | | | Series B, 5.000% due 12/15/24 | | | | | 40,488 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/15/25 | | | | | 60,730 | | |
| | | 155,000 | | | | Aaa(a) | | | Cook Kane Lake & McHenry Counties Community College District No 512, GO, Series B, 5.000% due 12/1/24 | | | | | 170,041 | | |
| | | | | | | | | | County of Cook IL, GO: | | | | | | | |
| | | 60,000 | | | | A+ | | | Series C, 5.000% due 11/15/22 | | | | | 61,729 | | |
| | | 145,000 | | | | A+ | | | Series C, 5.000% due 11/15/23 | | | | | 148,791 | | |
| | | 540,000 | | | | A+ | | | Series C, 5.000% due 11/15/24 | | | | | 554,977 | | |
| | | 15,000 | | | | AA | | | AGM, Series C, 5.000% due 11/15/25 | | | | | 15,420 | | |
| | | 35,000 | | | | Aa3(a) | | | Grundy & Will Counties Community Unit School District No 1 Coal City, GO, 5.000% due 2/1/29 | | | | | 40,416 | | |
| | | 835,000 | | | | AA+ | | | Illinois Development Finance Authority, Revenue Bonds, zero coupon, due 7/15/23 | | | | | 820,524 | | |
| | | | | | | | | | Illinois Finance Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | AA+ | | | 5.000% due 7/15/26 | | | | | 68,819 | | |
| | | 75,000 | | | | A+ | | | 5.000% due 11/15/26 | | | | | 77,080 | | |
| | | 25,000 | | | | A3(a) | | | 5.000% due 8/15/27 | | | | | 27,788 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/28 | | | | | 78,569 | | |
| | | 60,000 | | | | AA+ | | | 5.000% due 7/15/28 | | | | | 71,405 | | |
| | | 40,000 | | | | A | | | 5.000% due 5/15/29 | | | | | 44,862 | | |
| | | 150,000 | | | | AAA | | | 5.000% due 7/1/29 | | | | | 173,789 | | |
| | | 25,000 | | | | A+ | | | 5.000% due 11/15/29 | | | | | 25,676 | | |
| | | 110,000 | | | | A3(a) | | | 5.000% due 12/1/29 | | | | | 124,937 | | |
| | | 145,000 | | | | AAA | | | 5.000% due 1/1/30 | | | | | 167,704 | | |
| | | 330,000 | | | | AA- | | | 5.000% due 8/15/30 | | | | | 410,555 | | |
| | | 255,000 | | | | AAA | | | 5.000% due 7/1/31 | | | | | 294,030 | | |
| | | 175,000 | | | | A3(a) | | | 5.000% due 8/15/35 | | | | | 193,523 | | |
| | | 170,000 | | | | A | | | 5.000% due 1/1/36 | | | | | 192,473 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 870,000 | | | | A | | | 5.000% due 1/1/38 | | | | $ | 1,009,638 | | |
| | | 1,300,000 | | | | A | | | 5.000% due 1/1/44 | | | | | 1,492,324 | | |
| | | 100,000 | | | | A3(a) | | | 5.000% due 12/1/46 | | | | | 112,225 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 8/1/49 | | | | | 27,795 | | |
| | | 495,000 | | | | AA- | | | Series A, 5.000% due 2/15/24 | | | | | 530,984 | | |
| | | 95,000 | | | | AA- | | | Series A, 5.000% due 2/15/25 | | | | | 104,574 | | |
| | | 45,000 | | | | AA- | | | Series A, 5.000% due 2/15/26 | | | | | 50,843 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 11/15/27 | | | | | 33,515 | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 11/15/28 | | | | | 38,954 | | |
| | | 55,000 | | | | A | | | Series A, 5.000% due 11/15/29 | | | | | 61,088 | | |
| | | 75,000 | | | | AA- | | | Series A, 5.000% due 7/1/30 | | | | | 84,959 | | |
| | | 100,000 | | | | A | | | Series A, 5.000% due 11/15/32 | | | | | 110,842 | | |
| | | 50,000 | | | | AA- | | | Series A, 5.000% due 7/1/34 | | | | | 56,595 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 11/15/34 | | | | | 65,740 | | |
| | | 255,000 | | | | AA- | | | Series A, 5.000% due 7/1/36 | | | | | 288,632 | | |
| | | 20,000 | | | | BBB+ | | | Series A, 5.000% due 8/1/47 | | | | | 22,251 | | |
| | | 45,000 | | | | A | | | Series A, Prerefunded 5/15/22 @ 100, 5.000% due 5/15/23(d) | | | | | 45,400 | | |
| | | 95,000 | | | | WD(e) | | | Series A, Prerefunded 8/15/26 @ 100, 5.000% due 8/15/33(d) | | | | | 108,990 | | |
| | | 15,000 | | | | AA+ | | | Series A, Prerefunded 9/1/24 @ 100, 5.000% due 9/1/34(d) | | | | | 16,335 | | |
| | | 85,000 | | | | A+ | | | Series B, 5.000% due 11/15/26 | | | | | 93,578 | | |
| | | 35,000 | | | | AA+ | | | Series C, 3.750% due 2/15/34 | | | | | 37,750 | | |
| | | 160,000 | | | | AA+ | | | Series C, 4.000% due 2/15/36 | | | | | 174,668 | | |
| | | 15,000 | | | | AA+ | | | Series C, 5.000% due 2/15/24 | | | | | 16,078 | | |
| | | 75,000 | | | | AA+ | | | Series C, 5.000% due 2/15/26 | | | | | 84,923 | | |
| | | 200,000 | | | | AA+ | | | Series C, 5.000% due 2/15/28 | | | | | 232,729 | | |
| | | 135,000 | | | | AA+ | | | Series C, 5.000% due 2/15/29 | | | | | 156,882 | | |
| | | 50,000 | | | | AA+ | | | Series C, 5.000% due 2/15/31 | | | | | 57,949 | | |
| | | 365,000 | | | | AA+ | | | Series C, 5.000% due 2/15/32 | | �� | | | 422,465 | | |
| | | 145,000 | | | | AA+ | | | Series C, 5.000% due 2/15/33 | | | | | 167,754 | | |
| | | 65,000 | | | | AA+ | | | Series C, 5.000% due 2/15/36 | | | | | 74,999 | | |
| | | 205,000 | | | | AA+ | | | Series C, 5.000% due 2/15/41 | | | | | 235,801 | | |
| | | 100,000 | | | | AA+ | | | Series E, 2.250% due 11/15/42(b) | | | | | 100,271 | | |
| | | 95,000 | | | | WD(e) | | | Series Prerefunded 11/15/22 @ 100, 5.000% due 11/15/43(d) | | | | | 97,694 | | |
| | | 20,000 | | | | NR | | | Series Prerefunded 2/15/27 @ 100, 4.000% due 2/15/41(d) | | | | | 22,235 | | |
| | | 235,000 | | | | AA+ | | | Series Prerefunded 9/1/22 @ 100, 5.000% due 9/1/32(d) | | | | | 239,932 | | |
| | | 315,000 | | | | AA+ | | | Series Prerefunded 9/1/22 @ 100, 5.000% due 9/1/38(d) | | | | | 321,611 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | | | | | | | | | Illinois Municipal Electric Agency, Revenue Bonds: | | ||||||
| | $ | 290,000 | | | | A | | | Series A, 5.000% due 2/1/28 | | | | $ | 323,242 | | |
| | | 105,000 | | | | A | | | Series A, 5.000% due 2/1/31 | | | | | 116,813 | | |
| | | | | | | | | | Illinois State Toll Highway Authority, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | AA- | | | Series A, 5.000% due 12/1/31 | | | | | 56,155 | | |
| | | 2,000,000 | | | | AA- | | | Series A, 5.000% due 1/1/40 | | | | | 2,443,220 | | |
| | | 175,000 | | | | AA- | | | Series D, 5.000% due 1/1/24 | | | | | 186,918 | | |
| | | | | | | | | | Kane McHenry Cook & De Kalb Counties Unit School District No 300, GO: | | | |||||
| | | 260,000 | | | | AA | | | 5.000% due 1/1/26 | | | | | 286,376 | | |
| | | 55,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 64,784 | | |
| | | 230,000 | | | | AA | | | McHenry & Kane Counties Community Consolidated School District No 158 Huntley, GO, AGM-Insured, zero coupon, due 1/1/24 | | | | | 223,568 | | |
| | | | | | | | | | McHenry County Community Unit School District No 200 Woodstock, GO: | | | | | | | |
| | | 215,000 | | | | NR | | | NPFG, zero coupon, due 1/15/24 | | | | | 209,057 | | |
| | | 225,000 | | | | Aa2(a) | | | Series B, NPFG, zero coupon, due 1/15/25 | | | | | 212,879 | | |
| | | 170,000 | | | | Aa2(a) | | | Series B, NPFG, zero coupon, due 1/15/26 | | | | | 157,033 | | |
| | | | | | | | | | McHenry County Conservation District, GO: | | | | | | | |
| | | 65,000 | | | | AA+ | | | 5.000% due 2/1/24 | | | | | 69,647 | | |
| | | 175,000 | | | | AA+ | | | 5.000% due 2/1/27 | | | | | 193,488 | | |
| | | | | | | | | | State of Illinois, GO: | | | | | | | |
| | | 145,000 | | | | BBB | | | 5.000% due 3/1/22 | | | | | 145,000 | | |
| | | 190,000 | | | �� | BBB | | | 5.000% due 8/1/22 | | | | | 193,232 | | |
| | | 45,000 | | | | BBB | | | 5.000% due 2/1/23 | | | | | 46,594 | | |
| | | 220,000 | | | | BBB | | | 5.000% due 4/1/23 | | | | | 229,074 | | |
| | | 100,000 | | | | BBB | | | 5.000% due 8/1/23 | | | | | 105,242 | | |
| | | 225,000 | | | | BBB | | | 5.000% due 6/1/25 | | | | | 248,109 | | |
| | | 65,000 | | | | BBB | | | 5.000% due 2/1/26 | | | | | 69,218 | | |
| | | 270,000 | | | | BBB | | | 5.000% due 2/1/27 | | | | | 301,130 | | |
| | | 180,000 | | | | BBB | | | 5.000% due 2/1/28 | | | | | 203,353 | | |
| | | 60,000 | | | | BBB | | | 5.000% due 4/1/28 | | | | | 64,077 | | |
| | | 25,000 | | | | BBB | | | 5.000% due 5/1/28 | | | | | 26,745 | | |
| | | 165,000 | | | | BBB | | | 5.000% due 2/1/29 | | | | | 185,719 | | |
| | | 70,000 | | | | BBB | | | 5.000% due 5/1/32 | | | | | 74,582 | | |
| | | 190,000 | | | | BBB | | | 5.000% due 5/1/33 | | | | | 202,351 | | |
| | | 305,000 | | | | BBB | | | 5.250% due 2/1/31 | | | | | 325,116 | | |
| | | 115,000 | | | | BBB | | | 5.500% due 7/1/38 | | | | | 120,951 | | |
| | | 65,000 | | | | BBB | | | Series A, 4.000% due 1/1/23 | | | | | 65,173 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 105,000 | | | | BBB | | | Series A, 5.000% due 1/1/33 | | | | $ | 105,301 | | |
| | | 360,000 | | | | BBB | | | Series B, 5.000% due 9/1/22 | | | | | 367,286 | | |
| | | 365,000 | | | | BBB | | | Series B, 5.000% due 9/1/23 | | | | | 385,116 | | |
| | | 365,000 | | | | BBB | | | Series B, 5.000% due 9/1/24 | | | | | 395,909 | | |
| | | 620,000 | | | | BBB | | | Series D, 5.000% due 11/1/23 | | | | | 657,395 | | |
| | | 405,000 | | | | BBB | | | Series D, 5.000% due 11/1/25 | | | | | 449,717 | | |
| | | 390,000 | | | | BBB | | | Series D, 5.000% due 11/1/26 | | | | | 440,819 | | |
| | | | | | | | | | University of Illinois, Revenue Bonds: | | | |||||
| | | 115,000 | | | | A- | | | 6.000% due 10/1/42 | | | | | 122,865 | | |
| | | 115,000 | | | | A- | | | 6.250% due 10/1/38 | | | | | 123,417 | | |
| | | | | | | | | | Will County Community Unit School District No 365-U Valley View, GO: | | | | | | | |
| | | 2,420,000 | | | | Aa2(a) | | | Series A, 5.000% due 11/1/25 | | | | | 2,725,702 | | |
| | | 165,000 | | | | AA | | | Series B, AGM, zero coupon, due 11/1/26 | | | | | 152,070 | | |
| | | | | | | | | | Total Illinois | | | | | 26,277,068 | | |
| Indiana – 2.3% | | |||||||||||||||
| | | 315,000 | | | | A+ | | | City of Indianapolis IN Thermal Energy System Revenue, Revenue Bonds, Series A, 5.000% due 10/1/24 | | | | | 343,721 | | |
| | | | | | | | | | City of Whiting IN, Revenue Bonds: | | | | | | | |
| | | 370,000 | | | | A- | | | 5.000% due 12/1/44(b)(c) | | | | | 415,566 | | |
| | | 1,020,000 | | | | A- | | | 5.000% due 11/1/45(b)(c) | | | | | 1,045,331 | | |
| | | 300,000 | | | | A- | | | County of St Joseph IN, Revenue Bonds, 4.000% due 4/1/38 | | | | | 323,715 | | |
| | | 4,000,000 | | | | AA+ | | | Crown Point Multi School Building Corp., Revenue Bonds, 5.000% due 1/15/30 | | | | | 4,927,728 | | |
| | | | | | | | | | Indiana Finance Authority, Revenue Bonds: | | | | | | | |
| | | 320,000 | | | | AA | | | 2.250% due 12/1/58(b) | | | | | 328,855 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 3/1/22 | | | | | 30,000 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 9/1/26 | | | | | 34,609 | | |
| | | 15,000 | | | | AA- | | | 5.000% due 9/1/29 | | | | | 17,018 | | |
| | | 240,000 | | | | AA- | | | 5.000% due 3/1/36 | | | | | 263,923 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 9/1/36 | | | | | 67,987 | | |
| | | 65,000 | | | | AA | | | Series A, 5.000% due 10/1/25 | | | | | 66,585 | | |
| | | 70,000 | | | | AA | | | Series A, 5.000% due 10/1/26 | | | | | 76,345 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 10/1/28 | | | | | 38,154 | | |
| | | 45,000 | | | | AA- | | | Series Prerefunded 3/1/22 @ 100, 5.000% due 3/1/23(d) | | | | | 45,000 | | |
| | | 30,000 | | | | AA- | | | Series Prerefunded 3/1/22 @ 100, 5.000% due 3/1/30(d) | | | | | 30,000 | | |
| | | 155,000 | | | | AA- | | | Series Prerefunded 3/1/22 @ 100, 5.000% due 3/1/41(d) | | | | | 155,000 | | |
| | | 90,000 | | | | AA- | | | Series Prerefunded 8/15/23 @ 100, 5.000% due 8/15/25(d) | | | | | 95,118 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Indiana – (continued) | | |||||||||||||||
| | | | | | | | | | Indiana Health Facility Financing Authority, Revenue Bonds: | | ||||||
| | $ | 1,000,000 | | | | AA+ | | | Series A2, 2.000% due 11/15/36(b) | | | | $ | 1,009,845 | | |
| | | 7,500,000 | | | | AA+ | | | Series E, 0.190% due 11/15/39(b) | | | | | 7,500,000 | | |
| | | 255,000 | | | | Aaa(a) | | | Indiana Housing & Community Development Authority, Revenue Bonds, Series B, 3.500% due 1/1/49 | | | | | 266,796 | | |
| | | | | | | | | | Indiana Municipal Power Agency, Revenue Bonds: | | | | | | | |
| | | 20,000 | | | | A+ | | | Series A, 5.000% due 1/1/24 | | | | | 20,260 | | |
| | | 20,000 | | | | A+ | | | Series A, 5.000% due 1/1/25 | | | | | 20,281 | | |
| | | 55,000 | | | | A+ | | | Series A, 5.000% due 1/1/26 | | | | | 55,767 | | |
| | | 10,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/24(d) | | | | | 10,146 | | |
| | | 10,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/25(d) | | | | | 10,146 | | |
| | | 25,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/26(d) | | | | | 25,364 | | |
| | | 515,000 | | | | AAA | | | Indiana University, Revenue Bonds, Series W1, 5.000% due 8/1/26 | | | | | 561,115 | | |
| | | 255,000 | | | | A1(a) | | | Indianapolis Local Public Improvement Bond Bank, Revenue Bonds, 5.000% due 1/1/25(c) | | | | | 277,893 | | |
| | | | | | | | | | Lake Central Multi-District School Building Corp., Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 7/15/22 | | | | | 30,478 | | |
| | | 40,000 | | | | AA+ | | | Series B, 5.000% due 7/15/23 | | | | | 41,362 | | |
| | | 40,000 | | | | NR | | | Series B, Prerefunded 1/15/23 @ 100, 5.000% due 7/15/23(d) | | | | | 41,431 | | |
| | | 120,000 | | | | AA+ | | | Series B, Prerefunded 1/15/23 @ 100, 5.000% due 7/15/24(d) | | | | | 124,325 | | |
| | | 125,000 | | | | AA+ | | | Series B, Prerefunded 1/15/23 @ 100, 5.000% due 7/15/25(d) | | | | | 129,506 | | |
| | | 2,305,000 | | | | AA+ | | | MSD of Wash Township School Building Corp., Revenue Bonds, 5.000% due 7/15/28 | | | | | 2,761,623 | | |
| | | | | | | | | | Total Indiana | | | | | 21,190,993 | | |
| Iowa – 1.2% | | |||||||||||||||
| | | 1,155,000 | | | | Aa1(a) | | | City of Cedar Rapids IA, GO, Series A, 5.000% due 6/1/25 | | | | | 1,251,548 | | |
| | | | | | | | | | Iowa Finance Authority, Revenue Bonds: | | | | | | | |
| | | 3,840,000 | | | | AAA | | | 5.000% due 8/1/31 | | | | | 4,540,639 | | |
| | | 90,000 | | | | BBB(e) | | | Series A, 5.000% due 5/15/43 | | | | | 96,233 | | |
| | | 105,000 | | | | BBB(e) | | | Series A, 5.000% due 5/15/48 | | | | | 112,169 | | |
| | | 5,000,000 | | | | A3(a) | | | PEFA Inc., Revenue Bonds, 5.000% due 9/1/49(b) | | | | | 5,626,881 | | |
| | | | | | | | | | Total Iowa | | | | | 11,627,470 | | |
| Kansas – 0.0% | | |||||||||||||||
| | | | | | | | | | Wyandotte County-Kansas City Unified Government Utility System Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 9/1/30 | | | | | 33,515 | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 9/1/32 | | | | | 39,088 | | |
| | | 130,000 | | | | A | | | Series A, Prerefunded 9/1/22 @ 100, 5.000% due 9/1/24(d) | | | | | 132,728 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Kansas – (continued) | | |||||||||||||||
| | $ | 30,000 | | | | A | | | Series B, Prerefunded 9/1/22 @ 100, 5.000% due 9/1/23(d) | | | | $ | 30,630 | | |
| | | 45,000 | | | | A | | | Series B, Prerefunded 9/1/22 @ 100, 5.000% due 9/1/24(d) | | | | | 45,944 | | |
| | | | | | | | | | Total Kansas | | | | | 281,905 | | |
| Kentucky – 1.3% | | |||||||||||||||
| | | | | | | | | | Kenton County Airport Board, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | A1(a) | | | 5.000% due 1/1/25 | | | | | 27,441 | | |
| | | 15,000 | | | | A1(a) | | | 5.000% due 1/1/26 | | | | | 16,882 | | |
| | | 45,000 | | | | A1(a) | | | 5.000% due 1/1/29 | | | | | 50,631 | | |
| | | 50,000 | | | | A1(a) | | | 5.000% due 1/1/30 | | | | | 56,271 | | |
| | | 5,000,000 | | | | A2(a) | | | Kentucky Public Energy Authority, Revenue Bonds, Series B, 4.000% due 1/1/49(b) | | | | | 5,283,517 | | |
| | | | | | | | | | Kentucky State Property & Building Commission, Revenue Bonds: | | | | | | | |
| | | 160,000 | | | | A- | | | 5.000% due 4/1/27 | | | | | 186,925 | | |
| | | 145,000 | | | | A- | | | 5.000% due 5/1/28 | | | | | 172,890 | | |
| | | 15,000 | | | | A- | | | 5.000% due 5/1/29 | | | | | 17,818 | | |
| | | 40,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 47,565 | | |
| | | 165,000 | | | | A- | | | Series A, 5.000% due 2/1/29 | | | | | 185,704 | | |
| | | 170,000 | | | | A- | | | Series A, 5.000% due 2/1/30 | | | | | 191,194 | | |
| | | 65,000 | | | | A- | | | Series A, 5.000% due 2/1/32 | | | | | 72,999 | | |
| | | 80,000 | | | | A- | | | Series A, 5.000% due 2/1/33 | | | | | 89,780 | | |
| | | 110,000 | | | | A- | | | Series A, Prerefunded 10/1/23 @ 100, 5.000% due 10/1/27(d) | | | | | 116,715 | | |
| | | 325,000 | | | | A- | | | Series B, 5.000% due 11/1/26 | | | | | 375,930 | | |
| | | 1,445,000 | | | | A- | | | Series B, 5.000% due 11/1/27 | | | | | 1,666,511 | | |
| | | 35,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/26 | | | | | 39,988 | | |
| | | 30,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/27 | | | | | 35,117 | | |
| | | 30,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/28 | | | | | 35,019 | | |
| | | 2,000,000 | | | | AA | | | Louisville & Jefferson County Metropolitan Sewer District, Revenue Bonds, Series A, 3.000% due 5/15/44 | | | | | 2,052,135 | | |
| | | | | | | | | | Louisville/Jefferson County Metropolitan Government, Revenue Bonds: | | | | | | | |
| | | 200,000 | | | | A | | | 5.000% due 10/1/47(b) | | | | | 244,288 | | |
| | | 525,000 | | | | A | | | Series A, 5.000% due 10/1/29 | | | | | 600,714 | | |
| | | 95,000 | | | | A | | | Series A, 5.000% due 10/1/32 | | | | | 108,341 | | |
| | | 70,000 | | | | A | | | Series A, 5.500% due 10/1/33 | | | | | 74,455 | | |
| | | 185,000 | | | | A | | | Series A, 5.750% due 10/1/38 | | | | | 197,343 | | |
| | | 100,000 | | | | A- | | | Series Prerefunded 6/1/22 @ 100, 5.000% due 12/1/28(d) | | | | | 101,075 | | |
| | | 335,000 | | | | A- | | | Series Prerefunded 6/1/22 @ 100, 5.000% due 12/1/29(d) | | | | | 338,600 | | |
| | | | | | | | | | Total Kentucky | | | | | 12,385,848 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Louisiana – 0.8% | | |||||||||||||||
| | $ | 4,500,000 | | | | AA- | | | East Baton Rouge Sewerage Commission, Revenue Bonds, Series A, 4.000% due 2/1/45 | | | | $ | 4,964,042 | | |
| | | 1,500,000 | | | | AA | | | Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bonds, 5.000% due 10/1/26 | | | | | 1,724,896 | | |
| | | | | | | | | | Louisiana Public Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A+ | | | Series A, 5.000% due 12/15/22 | | | | | 41,275 | | |
| | | 85,000 | | | | A+ | | | Series A, 5.000% due 12/15/23 | | | | | 90,606 | | |
| | | | | | | | | | New Orleans Aviation Board, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | A- | | | Series B, 5.000% due 1/1/24(c) | | | | | 74,557 | | |
| | | 85,000 | | | | A- | | | Series B, 5.000% due 1/1/25(c) | | | | | 92,532 | | |
| | | 65,000 | | | | A- | | | Series B, 5.000% due 1/1/27(c) | | | | | 70,779 | | |
| | | 10,000 | | | | A- | | | Series B, 5.000% due 1/1/29(c) | | | | | 11,332 | | |
| | | 20,000 | | | | A- | | | Series B, 5.000% due 1/1/31(c) | | | | | 22,636 | | |
| | | 20,000 | | | | A- | | | Series B, 5.000% due 1/1/36(c) | | | | | 22,446 | | |
| | | 15,000 | | | | A- | | | Series B, 5.000% due 1/1/37(c) | | | | | 16,821 | | |
| | | 20,000 | | | | A- | | | Series D2, 5.000% due 1/1/26(c) | | | | | 22,273 | | |
| | | 15,000 | | | | A- | | | Series D2, 5.000% due 1/1/29(c) | | | | | 16,997 | | |
| | | 20,000 | | | | A- | | | Series D2, 5.000% due 1/1/30(c) | | | | | 22,670 | | |
| | | 45,000 | | | | A- | | | Series D2, 5.000% due 1/1/32(c) | | | | | 50,742 | | |
| | | 35,000 | | | | A- | | | Series D2, 5.000% due 1/1/35(c) | | | | | 39,303 | | |
| | | 15,000 | | | | A- | | | Series D2, 5.000% due 1/1/38(c) | | | | | 16,802 | | |
| | | | | | | | | | Total Louisiana | | | | | 7,300,709 | | |
| Maine – 0.3% | | |||||||||||||||
| | | 2,500,000 | | | | AA+ | | | Maine State Housing Authority, Revenue Bonds, Series B, 3.150% due 11/15/39 | | | | | 2,640,056 | | |
| | | 60,000 | | | | AA- | | | Maine Turnpike Authority, Revenue Bonds, 5.000% due 7/1/27 | | | | | 66,974 | | |
| | | | | | | | | | Total Maine | | | | | 2,707,030 | | |
| Maryland – 4.7% | | |||||||||||||||
| | | | | | | | | | City of Baltimore MD, Revenue Bonds: | | | | | | | |
| | | 105,000 | | | | AA- | | | Series C, 5.000% due 7/1/28 | | | | | 121,999 | | |
| | | 195,000 | | | | AA- | | | Series C, 5.000% due 7/1/31 | | | | �� | 226,738 | | |
| | | 200,000 | | | | AA- | | | Series C, 5.000% due 7/1/33 | | | | | 231,948 | | |
| | | 170,000 | | | | AA- | | | Series D, 5.000% due 7/1/33 | | | | | 197,156 | | |
| | | 4,325,000 | | | | AAA | | | County of Harford MD, GO, Series B, 5.000% due 7/1/26 | | | | | 4,989,057 | | |
| | | 2,500,000 | | | | AAA | | | County of Howard MD, GO, Series D, 5.000% due 2/15/30 | | | | | 2,992,089 | | |
| | | | | | | | | | County of Prince George’s MD, GO: | | | | | | | |
| | | 3,595,000 | | | | AAA | | | Series A, 5.000% due 7/15/22 | | | | | 3,653,242 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Maryland – (continued) | | |||||||||||||||
| | $ | 5,805,000 | | | | AAA | | | Series A, 5.000% due 7/15/29 | | | | $ | 7,010,372 | | |
| | | 2,065,000 | | | | AAA | | | Series C, Prerefunded 8/1/23 @ 100, 4.000% due 8/1/26(d) | | | | | 2,151,887 | | |
| | | | | | | | | | Maryland Community Development Administration, Revenue Bonds: | | | | | | | |
| | | 255,000 | | | | Aa1(a) | | | Series B, 4.000% due 9/1/49 | | | | | 270,733 | | |
| | | 230,000 | | | | Aa1(a) | | | Series C, 3.500% due 3/1/50 | | | | | 241,136 | | |
| | | 320,000 | | | | Aa1(a) | | | Series C, 5.000% due 9/1/28 | | | | | 383,099 | | |
| | | | | | | | | | Maryland Health & Higher Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 155,000 | | | | BBB+ | | | Series A, 4.000% due 7/1/42 | | | | | 165,206 | | |
| | | 65,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/33 | | | | | 73,499 | | |
| | | 50,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/34 | | | | | 56,506 | | |
| | | 20,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/35 | | | | | 22,589 | | |
| | | 50,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/36 | | | | | 56,443 | | |
| | | 35,000 | | | | A | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/24(d) | | | | | 35,510 | | |
| | | 30,000 | | | | A | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/25(d) | | | | | 30,437 | | |
| | | | | | | | | | State of Maryland, GO: | | | | | | | |
| | | 2,775,000 | | | | AAA | | | Series A, 5.000% due 3/1/27 | | | | | 3,258,989 | | |
| | | 5,185,000 | | | | AAA | | | Series A, 5.000% due 3/1/30 | | | | | 6,498,863 | | |
| | | 2,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/31 | | | | | 2,467,727 | | |
| | | 5,000,000 | | | | AAA | | | Series B, 5.000% due 8/1/22 | | | | | 5,090,951 | | |
| | | 3,000,000 | | | | AAA | | | State of Maryland Department of Transportation, Revenue Bonds, 3.500% due 10/1/33 | | | | | 3,215,396 | | |
| | | | | | | | | | Total Maryland | | | | | 43,441,572 | | |
| Massachusetts – 1.3% | | |||||||||||||||
| | | | | | | | | | Commonwealth of Massachusetts, GO: | | | | | | | |
| | | 90,000 | | | | AA | | | Series B, 5.000% due 7/1/22 | | | | | 91,320 | | |
| | | 520,000 | | | | AA | | | Series C, 5.000% due 4/1/23 | | | | | 542,992 | | |
| | | 45,000 | | | | AA | | | Massachusetts Bay Transportation Authority Sales Tax Revenue, Revenue Bonds, Series A, 5.000% due 7/1/45 | | | | | 49,767 | | |
| | | | | | | | | | Massachusetts Development Finance Agency, Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | AA- | | | 5.000% due 7/1/23 | | | | | 47,384 | | |
| | | 115,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 124,692 | | |
| | | 50,000 | | | | A | | | 5.000% due 7/1/30 | | | | | 60,565 | | |
| | | 235,000 | | | | A | | | 5.000% due 7/1/31 | | | | | 283,116 | | |
| | | 65,000 | | | | AAA | | | Series A, 5.000% due 7/15/22 | | | | | 66,055 | | |
| | | 105,000 | | | | AA- | | | Series S, 5.000% due 7/1/30 | | | | | 124,165 | | |
| | | 585,000 | | | | A+ | | | Series S1, 5.000% due 10/1/24 | | | | | 639,119 | | |
| | | 335,000 | | | | AA- | | | Series S4, 5.000% due 7/1/38(b) | | | | | 358,838 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Massachusetts – (continued) | | |||||||||||||||
| | $ | 500,000 | | | | AA- | | | Massachusetts Port Authority, Revenue Bonds, Series E, 5.000% due 7/1/31(c) | | | | $ | 616,804 | | |
| | | 1,170,000 | | | | AA | | | Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, Revenue Bonds, Series A, 5.000% due 1/1/39(b) | | | | | 1,208,899 | | |
| | | 5,000,000 | | | | SP-1+ | | | Town of Ashland MA, GO, 2.000% due 8/8/22 | | | | | 5,026,640 | | |
| | | 2,500,000 | | | | AA- | | | University of Massachusetts Building Authority, Revenue Bonds, Series 1, Prerefunded 11/1/22 @ 100, 4.000% due 11/1/43(d) | | | | | 2,553,858 | | |
| | | | | | | | | | Total Massachusetts | | | | | 11,794,214 | | |
| Michigan – 2.0% | | |||||||||||||||
| | | 160,000 | | | | AA | | | City of Detroit MI Sewage Disposal System Revenue, Revenue Bonds, Series G, AGM-Insured, 0.744% due 7/1/32(b) | | | | | 158,913 | | |
| | | 85,000 | | | | Aa1(a) | | | Clarkston Community Schools, GO, 5.000% due 5/1/22 | | | | | 85,615 | | |
| | | 2,155,000 | | | | AA+ | | | County of Kalamazoo MI, GO, 3.000% due 5/1/32 | | | | | 2,308,501 | | |
| | | 1,000,000 | | | | AA | | | Detroit City School District, GO, Series A, AGM, 5.250% due 5/1/30 | | | | | 1,262,617 | | |
| | | 155,000 | | | | AA | | | Detroit Downtown Development Authority, Special Tax, Series A, AGM-Insured, 5.000% due 7/1/37 | | | | | 166,321 | | |
| | | | | | | | | | Grand Rapids Public Schools, GO, AGM: | | | | | | | |
| | | 40,000 | | | | AA | | | 5.000% due 5/1/27 | | | | | 46,671 | | |
| | | 55,000 | | | | AA | | | 5.000% due 5/1/29 | | | | | 63,788 | | |
| | | 100,000 | | | | AA | | | 5.000% due 5/1/30 | | | | | 113,041 | | |
| | | 145,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 163,910 | | |
| | | 20,000 | | | | AA | | | 5.000% due 5/1/32 | | | | | 22,600 | | |
| | | 90,000 | | | | AA | | | 5.000% due 5/1/33 | | | | | 101,621 | | |
| | | | | | | | | | Kalamazoo Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | A2(a) | | | 5.000% due 5/15/27 | | | | | 114,152 | | |
| | | 75,000 | | | | A2(a) | | | 5.000% due 5/15/28 | | | | | 85,548 | | |
| | | 100,000 | | | | AAA | | | Kent County Building Authority, Revenue Bonds, 5.500% due 6/1/22 | | | | | 101,228 | | |
| | | | | | | | | | Michigan Finance Authority, Revenue Bonds: | | | | | | | |
| | | 310,000 | | | | AA | | | AGM, 5.000% due 7/1/22 | | | | | 314,440 | | |
| | | 1,250,000 | | | | Aa3(a) | | | 5.000% due 11/1/23 | | | | | 1,328,269 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 12/1/23 | | | | | 48,003 | | |
| | | 750,000 | | | | Aa3(a) | | | 5.000% due 11/1/24 | | | | | 821,200 | | |
| | | 50,000 | | | | AA- | | | 5.000% due 12/1/24 | | | | | 54,809 | | |
| | | 85,000 | | | | AA- | | | 5.000% due 12/1/25 | | | | | 95,757 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 12/1/26 | | | | | 46,208 | | |
| | | 10,000 | | | | AA- | | | 5.000% due 7/1/27 | | | | | 11,159 | | |
| | | 35,000 | | | | AA- | | | 5.000% due 12/1/27 | | | | | 41,324 | | |
| | | 160,000 | | | | A+ | | | 5.000% due 8/15/28 | | | | | 169,023 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | $ | 60,000 | | | | AA- | | | 5.000% due 12/1/28 | | | | $ | 70,447 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/29 | | | | | 33,383 | | |
| | | 60,000 | | | | A+ | | | 5.000% due 8/15/29 | | | | | 63,375 | | |
| | | 35,000 | | | | AA- | | | 5.000% due 7/1/31 | | | | | 38,923 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/32 | | | | | 33,342 | | |
| | | 315,000 | | | | A | | | 5.000% due 11/15/32 | | | | | 360,254 | | |
| | | 25,000 | | | | AA- | | | 5.000% due 7/1/33 | | | | | 27,768 | | |
| | | 205,000 | | | | A | | | 5.000% due 11/15/36 | | | | | 210,495 | | |
| | | 45,000 | | | | A | | | 5.000% due 11/15/42 | | | | | 46,190 | | |
| | | 735,000 | | | | AA- | | | 5.000% due 12/1/44(b) | | | | | 809,096 | | |
| | | 65,000 | | | | WR(a) | | | Series A, Prerefunded 6/1/22 @ 100, 5.000% due 6/1/27(d) | | | | | 65,707 | | |
| | | 140,000 | | | | WR(a) | | | Series A, Prerefunded 6/1/22 @ 100, 5.000% due 6/1/39(d) | | | | | 141,522 | | |
| | | | | | | | | | Michigan State Building Authority, Revenue Bonds: | | | | | | | |
| | | 495,000 | | | | AA- | | | Series I, 5.000% due 10/15/34 | | | | | 565,493 | | |
| | | 80,000 | | | | AA- | | | Series I, 5.000% due 4/15/35 | | | | | 91,278 | | |
| | | | | | | | | | Michigan State Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 180,000 | | | | AA+ | | | Series C, 2.400% due 11/15/47(b) | | | | | 182,709 | | |
| | | 45,000 | | | | AA- | | | Series C, 5.000% due 12/1/24 | | | | | 49,329 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/1/26 | | | | | 69,312 | | |
| | | 40,000 | | | | AA- | | | Series C, 5.000% due 12/1/27 | | | | | 47,228 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/1/28 | | | | | 70,447 | | |
| | | 710,000 | | | | AA+ | | | Series F5, 4.000% due 11/15/47(b) | | | | | 751,578 | | |
| | | 500,000 | | | | A | | | Michigan Strategic Fund, Revenue Bonds, 1.800% due 10/1/49(b)(c) | | | | | 507,188 | | |
| | | | | | | | | | Portage Public Schools, GO: | | | | | | | |
| | | 35,000 | | | | AA- | | | 5.000% due 11/1/27 | | | | | 40,111 | | |
| | | 90,000 | | | | AA- | | | 5.000% due 11/1/29 | | | | | 102,671 | | |
| | | | | | | | | | Royal Oak Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | 5.000% due 9/1/22 | | | | | 30,637 | | |
| | | 60,000 | | | | A+ | | | 5.000% due 9/1/24 | | | | | 64,200 | | |
| | | 95,000 | | | | AA | | | State of Michigan, Revenue Bonds, 5.000% due 3/15/27 | | | | | 111,273 | | |
| | | 1,500,000 | | | | Aa1(a) | | | State of Michigan, GO, Series A, 4.000% due 5/15/38 | | | | | 1,726,671 | | |
| | | | | | | | | | Warren Consolidated Schools, GO: | | | | | | | |
| | | 130,000 | | | | AA | | | 5.000% due 5/1/30 | | | | | 148,246 | | |
| | | 140,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 158,680 | | |
| | | 145,000 | | | | AA | | | 5.000% due 5/1/32 | | | | | 165,288 | | |
| | | | | | | | | | Wayne County Airport Authority, Revenue Bonds: | | | | | | | |
| | | 5,000 | | | | A- | | | Series A, 5.000% due 12/1/29 | | | | | 5,883 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | $ | 10,000 | | | | A- | | | Series A, 5.000% due 12/1/30 | | | | $ | 11,769 | | |
| | | 10,000 | | | | A- | | | Series A, 5.000% due 12/1/31 | | | | | 11,771 | | |
| | | 15,000 | | | | A- | | | Series A, 5.000% due 12/1/36 | | | | | 17,606 | | |
| | | 620,000 | | | | A- | | | Series B, 5.000% due 12/1/29(c) | | | | | 715,570 | | |
| | | 15,000 | | | | A- | | | Series B, 5.000% due 12/1/30(c) | | | | | 17,316 | | |
| | | 15,000 | | | | A- | | | Series B, 5.000% due 12/1/31(c) | | | | | 17,319 | | |
| | | 10,000 | | | | A- | | | Series B, 5.000% due 12/1/33(c) | | | | | 11,551 | | |
| | | 25,000 | | | | A- | | | Series B, 5.000% due 12/1/36(c) | | | | | 28,885 | | |
| | | 60,000 | | | | A- | | | Series C, 5.000% due 12/1/22 | | | | | 61,830 | | |
| | | 65,000 | | | | A- | | | Series C, 5.000% due 12/1/23 | | | | | 69,185 | | |
| | | 70,000 | | | | A- | | | Series C, 5.000% due 12/1/24 | | | | | 76,833 | | |
| | | 70,000 | | | | A- | | | Series C, 5.000% due 12/1/25 | | | | | 78,804 | | |
| | | 45,000 | | | | A- | | | Series C, 5.000% due 12/1/26 | | | | | 51,873 | | |
| | | 45,000 | | | | A- | | | Series C, 5.000% due 12/1/27 | | | | | 52,916 | | |
| | | | | | | | | | Western Michigan University, Revenue Bonds, AGM: | | | | | | | |
| | | 700,000 | | | | AA | | | Series C, 5.000% due 11/15/36 | | | | | 872,178 | | |
| | | 800,000 | | | | AA | | | Series C, 5.000% due 11/15/38 | | | | | 993,684 | | |
| | | 950,000 | | | | AA | | | Series C, 5.000% due 11/15/40 | | | | | 1,173,876 | | |
| | | | | | | | | | Total Michigan | | | | | 18,776,408 | | |
| Minnesota – 2.5% | | |||||||||||||||
| | | 2,500,000 | | | | AAA | | | Metropolitan Council, GO, Series I, 3.000% due 3/1/27 | | | | | 2,503,884 | | |
| | | | | | | | | | State of Minnesota, GO: | | | | | | | |
| | | 6,870,000 | | | | AAA | | | Series A, 5.000% due 8/1/29 | | | | | 7,904,832 | | |
| | | 1,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/32 | | | | | 1,230,391 | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/37 | | | | | 6,009,508 | | |
| | | 4,835,000 | | | | AAA | | | Series B, 5.000% due 8/1/27 | | | | | 5,725,480 | | |
| | | | | | | | | | Total Minnesota | | | | | 23,374,095 | | |
| Mississippi – 0.8% | | |||||||||||||||
| | | | | | | | | | Mississippi Hospital Equipment & Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 225,000 | | | | A2(a) | | | 5.000% due 1/1/30 | | | | | 272,421 | | |
| | | 435,000 | | | | A2(a) | | | 5.000% due 1/1/34 | | | | | 517,660 | | |
| | | 170,000 | | | | A+ | | | 5.000% due 10/1/40(b) | | | | | 193,048 | | |
| | | | | | | | | | State of Mississippi, GO: | | | | | | | |
| | | 160,000 | | | | AA | | | Series A, 5.000% due 10/1/30 | | | | | 189,288 | | |
| | | 1,250,000 | | | | AA | | | Series A, Prerefunded 10/1/27 @ 100, 5.000% due 10/1/34(d) | | | | | 1,483,813 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Mississippi – (continued) | | |||||||||||||||
| | $ | 4,000,000 | | | | AA | | | Series C, 5.000% due 10/1/35 | | | | $ | 4,814,071 | | |
| | | | | | | | | | Total Mississippi | | | | | 7,470,301 | | |
| Missouri – 0.4% | | |||||||||||||||
| | | | | | | | | | Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | 5.000% due 5/15/29 | | | | | 33,698 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 5/15/30 | | | | | 33,569 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 5/15/31 | | | | | 33,492 | | |
| | | 85,000 | | | | A+ | | | 5.000% due 5/15/36 | | | | | 94,714 | | |
| | | 20,000 | | | | A+ | | | Series B, 4.000% due 2/1/40 | | | | | 21,266 | | |
| | | 70,000 | | | | A+ | | | Series B, 5.000% due 2/1/30 | | | | | 77,164 | | |
| | | 80,000 | | | | A+ | | | Series B, 5.000% due 2/1/32 | | | | | 87,769 | | |
| | | 65,000 | | | | A+ | | | Series B, 5.000% due 2/1/36 | | | | | 70,685 | | |
| | | 105,000 | | | | A+ | | | Series B, 5.000% due 2/1/45 | | | | | 113,215 | | |
| | | 2,500,000 | | | | AAA | | | Metropolitan St Louis Sewer District, Revenue Bonds, Series A, 5.000% due 5/1/37 | | | | | 2,899,443 | | |
| | | 65,000 | | | | AA+ | | | Missouri Housing Development Commission, Revenue Bonds, 4.000% due 5/1/50 | | | | | 69,010 | | |
| | | | | | | | | | Total Missouri | | | | | 3,534,025 | | |
| Montana – 0.0% | | |||||||||||||||
| | | | | | | | | | Montana Board of Housing, Revenue Bonds: | | | | | | | |
| | | 55,000 | | | | AA+ | | | Series A1, 4.000% due 12/1/47(c) | | | | | 56,826 | | |
| | | 30,000 | | | | AA+ | | | Series B, 4.000% due 6/1/50 | | | | | 32,189 | | |
| | | | | | | | | | Montana Facility Finance Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A+(e) | | | 5.000% due 2/15/23 | | | | | 62,193 | | |
| | | 60,000 | | | | A+(e) | | | 5.000% due 2/15/24 | | | | | 64,097 | | |
| | | 60,000 | | | | A+(e) | | | 5.000% due 2/15/25 | | | | | 65,937 | | |
| | | 90,000 | | | | A+(e) | | | 5.000% due 2/15/26 | | | | | 101,539 | | |
| | | | | | | | | | Total Montana | | | | | 382,781 | | |
| Nebraska – 0.1% | | |||||||||||||||
| | | | | | | | | | Nebraska Investment Finance Authority, Revenue Bonds: | | | | | | | |
| | | 200,000 | | | | AA+ | | | Series B, 4.000% due 9/1/49(c) | | | | | 211,589 | | |
| | | 195,000 | | | | AA+ | | | Series E, 3.750% due 9/1/49(c) | | | | | 203,727 | | |
| | | | | | | | | | Nebraska Public Power District, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A+ | | | Series B, 5.000% due 1/1/31 | | | | | 129,431 | | |
| | | 125,000 | | | | A+ | | | Series B, 5.000% due 1/1/34 | | | | | 140,885 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Nebraska – (continued) | | |||||||||||||||
| | $ | 155,000 | | | | A+ | | | Series B, 5.000% due 1/1/36 | | | | $ | 174,266 | | |
| | | | | | | | | | Total Nebraska | | | | | 859,898 | | |
| Nevada – 1.0% | | |||||||||||||||
| | | | | | | | | | Carson City NV, Revenue Bonds: | | | | | | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 9/1/24 | | | | | 21,668 | | |
| | | 15,000 | | | | BBB+ | | | 5.000% due 9/1/28 | | | | | 17,428 | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 9/1/30 | | | | | 23,011 | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 9/1/32 | | | | | 22,910 | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 9/1/34 | | | | | 22,855 | | |
| | | | | | | | | | Clark County School District, GO: | | | | | | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 6/15/23 | | | | | 68,245 | | |
| | | 1,000,000 | | | | A+ | | | Series C, 5.000% due 6/15/23 | | | | | 1,049,928 | | |
| | | 2,250,000 | | | | AA+ | | | County of Clark NV, GO, Series A, 5.000% due 6/1/35 | | | | | 2,647,127 | | |
| | | 1,300,000 | | | | A+ | | | County of Washoe NV, Revenue Bonds, 2.050% due 3/1/36(b)(c) | | | | | 1,301,898 | | |
| | | | | | | | | | Las Vegas Valley Water District, GO: | | | | | | | |
| | | 85,000 | | | | AA | | | Series A, 5.000% due 6/1/32 | | | | | 96,880 | | |
| | | 145,000 | | | | AA | | | Series A, 5.000% due 6/1/33 | | | | | 165,202 | | |
| | | 155,000 | | | | AA | | | Series A, 5.000% due 6/1/34 | | | | | 176,458 | | |
| | | 30,000 | | | | AA | | | Series B, 5.000% due 6/1/22 | | | | | 30,332 | | |
| | | 60,000 | | | | AA | | | Series B, 5.000% due 6/1/23 | | | | | 60,652 | | |
| | | 60,000 | | | | AA | | | Series B, 5.000% due 6/1/24 | | | | | 60,652 | | |
| | | 30,000 | | | | AA | | | Series B, 5.000% due 6/1/25 | | | | | 30,326 | | |
| | | 110,000 | | | | AA+ | | | Nevada Housing Division, Revenue Bonds, Series B, 4.000% due 10/1/49 | | | | | 116,486 | | |
| | | | | | | | | | State of Nevada, GO: | | | | | | | |
| | | 80,000 | | | | AA+ | | | 5.000% due 3/1/25 | | | | | 83,049 | | |
| | | 2,665,000 | | | | AA+ | | | Series A, 5.000% due 5/1/27 | | | | | 3,131,113 | | |
| | | | | | | | | | Total Nevada | | | | | 9,126,220 | | |
| New Hampshire – 0.2% | | |||||||||||||||
| | | 740,000 | | | | A- | | | New Hampshire Business Finance Authority, Revenue Bonds, 2.150% due 7/1/27(b)(c) | | | | | 741,496 | | |
| | | | | | | | | | New Hampshire Health & Education Facilities Authority Act, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | BBB+ | | | 4.000% due 7/1/22 | | | | | 40,412 | | |
| | | 25,000 | | | | A- | | | 4.000% due 10/1/38 | | | | | 26,666 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 43,371 | | |
| | | 35,000 | | | | BBB+ | | | 5.000% due 7/1/26 | | | | | 35,381 | | |
| | | 135,000 | | | | A- | | | 5.000% due 10/1/26 | | | | | 155,047 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Hampshire – (continued) | | |||||||||||||||
| | $ | 145,000 | | | | A- | | | 5.000% due 10/1/27 | | | | $ | 166,256 | | |
| | | 60,000 | | | | A- | | | 5.000% due 10/1/28 | | | | | 68,482 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 7/1/30 | | | | | 82,777 | | |
| | | 65,000 | | | | A | | | 5.000% due 8/1/30 | | | | | 76,727 | | |
| | | 210,000 | | | | A- | | | 5.000% due 10/1/30 | | | | | 237,808 | | |
| | | 70,000 | | | | A2(a) | | | Series A, Prerefunded 10/1/22 @ 100, 5.000% due 10/1/43(d) | | | | | 71,698 | | |
| | | | | | | | | | New Hampshire State Turnpike System, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | AA- | | | Series B, 5.000% due 2/1/23 | | | | | 65,217 | | |
| | | 50,000 | | | | AA- | | | Series B, 5.000% due 2/1/24 | | | | | 50,169 | | |
| | | | | | | | | | Total New Hampshire | | | | | 1,861,507 | | |
| New Jersey – 2.3% | | |||||||||||||||
| | | | | | | | | | Camden County Improvement Authority, Revenue Bonds: | | | |||||
| | | 60,000 | | | | BBB+ | | | 5.000% due 2/15/24 | | | | | 64,073 | | |
| | | 30,000 | | | | BBB+ | | | 5.000% due 2/15/25 | | | | | 32,020 | | |
| | | | | | | | | | City of Bayonne NJ, GO: | | | | | | | |
| | | 45,000 | | | | AA | | | Series Prerefunded 7/1/26 @ 100, 5.000% due 7/1/31(d) | | | | | 51,766 | | |
| | | 30,000 | | | | AA | | | Series Prerefunded 7/1/26 @ 100, 5.000% due 7/1/32(d) | | | | | 34,511 | | |
| | | 30,000 | | | | AA | | | Series Prerefunded 7/1/26 @ 100, 5.000% due 7/1/33(d) | | | | | 34,511 | | |
| | | | | | | | | | New Jersey Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | BBB | | | 5.000% due 3/1/25 | | | | | 41,368 | | |
| | | 850,000 | | | | BBB | | | 5.000% due 11/1/34 | | | | | 993,848 | | |
| | | 1,000,000 | | | | BBB | | | Series EEE, 5.000% due 6/15/30 | | | | | 1,165,908 | | |
| | | 270,000 | | | | BBB | | | Series NN, 5.000% due 3/1/23 | | | | | 280,236 | | |
| | | 370,000 | | | | BBB | | | Series NN, 5.000% due 3/1/24 | | | | | 382,763 | | |
| | | 580,000 | | | | BBB | | | Series XX, 5.000% due 6/15/26 | | | | | 639,444 | | |
| | | 55,000 | | | | Baa1(a) | | | New Jersey Educational Facilities Authority, Revenue Bonds, Series A, 5.000% due 7/1/29 | | | | | 62,472 | | |
| | | | | | | | | | New Jersey Health Care Facilities Financing Authority, Revenue Bonds: | | | | | | | |
| | | 620,000 | | | | AA- | | | 5.000% due 7/1/42(b) | | | | | 692,556 | | |
| | | 625,000 | | | | AA- | | | 5.000% due 7/1/45(b) | | | | | 714,400 | | |
| | | 15,000 | | | | AA | | | Series A, 5.000% due 7/1/28 | | | | | 17,248 | | |
| | | 45,000 | | | | AA | | | Series A, 5.000% due 7/1/33 | | | | | 51,318 | | |
| | | | | | | | | | New Jersey Higher Education Student Assistance Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | AAA | | | Series 1A, 5.000% due 12/1/22(c) | | | | | 41,205 | | |
| | | 100,000 | | | | AA | | | Series 1A, 5.000% due 12/1/24(c) | | | | | 109,364 | | |
| | | 165,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/22 | | | | | 170,032 | | |
| | | 115,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/23 | | | | | 122,466 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Jersey – (continued) | | |||||||||||||||
| | $ | 65,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/24 | | | | $ | 71,178 | | |
| | | 125,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/25 | | | | | 140,236 | | |
| | | | | | | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | BBB | | | 4.000% due 12/15/39 | | | | | 108,011 | | |
| | | 2,000,000 | | | | BBB | | | 4.000% due 6/15/46 | | | | | 2,157,108 | | |
| | | 5,000,000 | | | | A+ | | | 5.000% due 6/15/24 | | | | | 5,402,180 | | |
| | | 435,000 | | | | A+ | | | 5.000% due 6/15/27 | | | | | 494,277 | | |
| | | 1,320,000 | | | | BBB | | | 5.000% due 12/15/28 | | | | | 1,552,753 | | |
| | | 200,000 | | | | BBB | | | 5.000% due 12/15/39 | | | | | 232,061 | | |
| | | 870,000 | | | | BBB | | | Series A, zero coupon, due 12/15/27 | | | | | 749,616 | | |
| | | 195,000 | | | | BBB | | | Series A, zero coupon, due 12/15/28 | | | | | 162,614 | | |
| | | 220,000 | | | | BBB | | | Series A, 5.000% due 12/15/33 | | | | | 254,009 | | |
| | | 2,000,000 | | | | BBB | | | Series A, 5.000% due 12/15/34 | | | | | 2,306,597 | | |
| | | 215,000 | | | | BBB | | | Series AA, 5.000% due 6/15/23 | | | | | 217,643 | | |
| | | 345,000 | | | | BBB | | | Series AA, 5.000% due 6/15/24 | | | | | 349,240 | | |
| | | 360,000 | | | | BBB | | | Series AA, 5.000% due 6/15/25 | | | | | 387,529 | | |
| | | 215,000 | | | | BBB | | | Series AA, 5.000% due 6/15/26 | | | | | 231,542 | | |
| | | 145,000 | | | | BBB | | | Series AA, 5.000% due 6/15/29 | | | | | 146,782 | | |
| | | 1,000,000 | | | | AA- | | | New Jersey Turnpike Authority, Revenue Bonds, Series A, 4.000% due 1/1/42 | | | | | 1,123,249 | | |
| | | | | | | | | | Total New Jersey | | | | | 21,788,134 | | |
| New Mexico – 0.4% | | |||||||||||||||
| | | 2,350,000 | | | | AAA | | | New Mexico Finance Authority, Revenue Bonds, 5.000% due 6/1/29 | | | | | 2,890,194 | | |
| | | 490,000 | | | | AA | | | New Mexico Hospital Equipment Loan Council, Revenue Bonds, Series B, 5.000% due 8/1/49(b) | | | | | 546,809 | | |
| | | 155,000 | | | | Aaa(a) | | | New Mexico Mortgage Finance Authority, Revenue Bonds, Series D, 3.750% due 1/1/50 | | | | | 163,584 | | |
| | | | | | | | | | Total New Mexico | | | | | 3,600,587 | | |
| New York – 9.0% | | |||||||||||||||
| | | | | | | | | | City of New York NY, GO: | | | | | | | |
| | | 190,000 | | | | AA | | | Series A, 5.000% due 8/1/22 | | | | | 193,416 | | |
| | | 5,880,000 | | | | AA | | | Series B1, 5.000% due 11/1/30 | | | | | 7,368,975 | | |
| | | 2,035,000 | | | | AA | | | Series B1, 5.000% due 12/1/38 | | | | | 2,322,792 | | |
| | | 90,000 | | | | AA | | | Series C, 5.000% due 8/1/27 | | | | | 99,290 | | |
| | | 5,000,000 | | | | AA | | | Series D1, 5.000% due 12/1/34 | | | | | 6,003,474 | | |
| | | 1,000,000 | | | | AA | | | Series F1, 5.000% due 4/1/43 | | | | | 1,167,101 | | |
| | | 2,000,000 | | | | AA | | | Series H, 5.000% due 1/1/36 | | | | | 2,385,598 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | $ | 90,000 | | | | AA | | | Series J, 5.000% due 8/1/22 | | | | $ | 91,618 | | |
| | | 1,925,000 | | | | AA | | | County of Nassau NY, GO, Series A, AGM-Insured, 5.000% due 4/1/32 | | | | | 2,287,211 | | |
| | | | | | | | | | Hudson Yards Infrastructure Corp., Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | AA- | | | Series A, 5.000% due 2/15/32 | | | | | 133,879 | | |
| | | 215,000 | | | | AA- | | | Series A, 5.000% due 2/15/35 | | | | | 249,071 | | |
| | | | | | | | | | Long Island Power Authority, Revenue Bonds: | | | | | | | |
| | | 1,020,000 | | | | A | | | Series B, 1.650% due 9/1/49(b) | | | | | 1,025,970 | | |
| | | 60,000 | | | | NR | | | Series B, 5.000% due 9/1/22 | | | | | 61,293 | | |
| | | 45,000 | | | | A | | | Series B, 5.000% due 9/1/23 | | | | | 47,690 | | |
| | | 40,000 | | | | A | | | Series B, 5.000% due 9/1/24 | | | | | 43,695 | | |
| | | | | | | | | | Metropolitan Transportation Authority, Revenue Bonds: | | | |||||
| | | 125,000 | | | | BBB+ | | | Series A1, 5.000% due 11/15/35 | | | | | 135,727 | | |
| | | 145,000 | | | | BBB+ | | | Series A1, 5.000% due 11/15/36 | | | | | 157,563 | | |
| | | 245,000 | | | | BBB+ | | | Series A2, 5.000% due 11/15/29 | | | | | 278,553 | | |
| | | 270,000 | | | | BBB+ | | | Series B, 5.000% due 11/15/30 | | | | | 303,073 | | |
| | | 290,000 | | | | BBB+ | | | Series C1, 5.000% due 11/15/27 | | | | | 329,538 | | |
| | | 685,000 | | | | BBB+ | | | Series C1, 5.000% due 11/15/28 | | | | | 761,600 | | |
| | | 300,000 | | | | BBB+ | | | Series C1, 5.000% due 11/15/31 | | | | | 344,690 | | |
| | | 415,000 | | | | BBB+ | | | Series D1, 5.000% due 11/15/30 | | | | | 448,280 | | |
| | | | | | | | | | MTA Hudson Rail Yards Trust Obligations, Revenue Bonds: | | | | | | | |
| | | 370,000 | | | | A3(a) | | | Series A, 5.000% due 11/15/51 | | | | | 370,865 | | |
| | | 860,000 | | | | A3(a) | | | Series A, 5.000% due 11/15/56 | | | | | 899,862 | | |
| | | 3,000,000 | | | | AA | | | New York City Transitional Finance Authority Building Aid Revenue, Revenue Bonds, Series S1, 5.000% due 7/15/29 | | | | | 3,531,758 | | |
| | | | | | | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds: | | | | | | | |
| | | 2,500,000 | | | | AAA | | | 0.080% due 8/1/45(b) | | | | | 2,500,000 | | |
| | | 275,000 | | | | AAA | | | Series C2, 5.000% due 5/1/32 | | | | | 325,803 | | |
| | | 5,390,000 | | | | AAA | | | Series E1, 4.000% due 2/1/38 | | | | | 6,113,645 | | |
| | | | | | | | | | New York City Water & Sewer System, Revenue Bonds: | | | | | | | |
| | | 4,285,000 | | | | AA+ | | | 0.080% due 6/15/50(b) | | | | | 4,285,000 | | |
| | | 1,725,000 | | | | AA+ | | | 5.000% due 6/15/23 | | | | | 1,814,135 | | |
| | | 1,100,000 | | | | AA+ | | | 5.000% due 6/15/29 | | | | | 1,352,222 | | |
| | | 1,750,000 | | | | A+ | | | New York Liberty Development Corp., Revenue Bonds, 2.750% due 2/15/44 | | | | | 1,622,377 | | |
| | | | | | | | | | New York State Dormitory Authority, Revenue Bonds: | | | | | | | |
| | | 385,000 | | | | AA | | | 5.000% due 5/15/23 | | | | | 388,189 | | |
| | | 475,000 | | | | A- | | | 5.000% due 5/1/48(b) | | | | | 519,240 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | $ | 5,000,000 | | | | Aa2(a) | | | Series A, 5.000% due 9/15/22 | | | | $ | 5,116,128 | | |
| | | 4,500,000 | | | | AA | | | AGM, Series A, 5.000% due 10/1/33 | | | | | 5,531,323 | | |
| | | 4,000,000 | | | | Aa2(a) | | | Series A, 5.250% due 3/15/38 | | | | | 4,904,408 | | |
| | | 2,150,000 | | | | AAA | | | New York State Environmental Facilities Corp., Revenue Bonds, Series A, 5.000% due 6/15/33 | | | | | 2,603,543 | | |
| | | 1,500,000 | | | | Aa2(a) | | | New York State Housing Finance Agency, Revenue Bonds, Series M1, 2.500% due 11/1/45 | | | | | 1,307,607 | | |
| | | | | | | | | | New York State Urban Development Corp., Revenue Bonds: | | | | | | | |
| | | 2,500,000 | | | | AA+ | | | Series A, 3.000% due 3/15/50 | | | | | 2,494,441 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 3/15/22 | | | | | 65,107 | | |
| | | 80,000 | | | | AA+ | | | Series A, 5.000% due 3/15/32 | | | | | 93,618 | | |
| | | 175,000 | | | | AA- | | | Onondaga Civic Development Corp., Revenue Bonds, Series A, 5.000% due 12/1/33 | | | | | 215,482 | | |
| | | 5,000,000 | | | | A+ | | | Port Authority of New York & New Jersey, Revenue Bonds, Series 207, 5.000% due 9/15/24(c) | | | | | 5,422,636 | | |
| | | 400,000 | | | | AA+ | | | Sales Tax Asset Receivable Corp., Revenue Bonds, Series A, Prerefunded 10/15/24 @ 100, 4.000% due 10/15/32(d) | | | | | 428,575 | | |
| | | 75,000 | | | | Aa1(a) | | | State of New York Mortgage Agency, Revenue Bonds, Series 221, 3.500% due 10/1/32(c) | | | | | 78,242 | | |
| | | | | | | | | | Triborough Bridge & Tunnel Authority, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | AA+ | | | 4.000% due 5/15/51 | | | | | 1,125,526 | | |
| | | 1,500,000 | | | | AA+ | | | 5.000% due 5/15/44 | | | | | 1,868,612 | | |
| | | 2,500,000 | | | | AA+ | | | Series A1, 4.000% due 5/15/46 | | | | | 2,799,723 | | |
| | | 85,000 | | | | AA- | | | Series B, 5.000% due 11/15/23 | | | | | 90,651 | | |
| | | 115,000 | | | | AA- | | | Series B, 5.000% due 11/15/24 | | | | | 122,484 | | |
| | | | | | | | | | Total New York | | | | | 84,231,299 | | |
| North Carolina – 0.3% | | |||||||||||||||
| | | | | | | | | | County of New Hanover NC, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | WR(a) | | | 5.000% due 10/1/27 | | | | | 29,515 | | |
| | | 205,000 | | | | WR(a) | | | Series Prerefunded 10/1/27 @ 100, 5.000% due 10/1/47(d) | | | | | 242,020 | | |
| | | 1,000,000 | | | | AAA | | | County of Wake NC, GO, Series C, 5.000% due 2/1/28(f) | | | | | 1,200,959 | | |
| | | 655,000 | | | | AA- | | | North Carolina Medical Care Commission, Revenue Bonds, 2.200% due 12/1/48(b) | | | | | 657,372 | | |
| | | 105,000 | | | | Aa3(a) | | | Raleigh Durham Airport Authority, Revenue Bonds, Series A, 5.000% due 5/1/29(c) | | | | | 125,156 | | |
| | | | | | | | | | State of North Carolina, Revenue Bonds: | | | | | | | |
| | | 330,000 | | | | AA | | | 5.000% due 3/1/22 | | | | | 330,000 | | |
| | | 290,000 | | | | AA | | | 5.000% due 3/1/23 | | | | | 301,763 | | |
| | | | | | | | | | Total North Carolina | | | | | 2,886,785 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Ohio – 1.7% | | |||||||||||||||
| | | | | | | | | | City of Cleveland OH Airport System Revenue, Revenue Bonds, AGM: | | | |||||
| | $ | 30,000 | | | | AA | | | Series A, 5.000% due 1/1/26 | | | | $ | 32,929 | | |
| | | 45,000 | | | | AA | | | Series A, 5.000% due 1/1/28 | | | | | 49,394 | | |
| | | 65,000 | | | | AA | | | Series A, 5.000% due 1/1/29 | | | | | 71,327 | | |
| | | 60,000 | | | | AA | | | Series A, 5.000% due 1/1/30 | | | | | 65,841 | | |
| | | 55,000 | | | | AA | | | Columbus City School District, GO, 5.000% due 12/1/32 | | | | | 62,590 | | |
| | | | | | | | | | County of Allen OH Hospital Facilities Revenue, Revenue Bonds: | | | | | | | |
| | | 125,000 | | | | A+ | | | 5.000% due 12/1/29 | | | | | 153,445 | | |
| | | 125,000 | | | | A+ | | | 5.000% due 12/1/30 | | | | | 154,010 | | |
| | | 80,000 | | | | A+ | | | Series B, 5.000% due 8/1/47(b) | | | | | 80,594 | | |
| | | 60,000 | | | | Aa2(a) | | | County of Franklin OH, Revenue Bonds, 5.000% due 11/1/26 | | | | | 69,402 | | |
| | | 140,000 | | | | A- | | | County of Hamilton OH, Revenue Bonds, 5.250% due 6/1/26 | | | | | 141,439 | | |
| | | 465,000 | | | | A3(a) | | | County of Scioto OH, Revenue Bonds, 5.000% due 2/15/29 | | | | | 529,381 | | |
| | | 285,000 | | | | Aa3(a) | | | Miami University/Oxford OH, Revenue Bonds, Series A, 5.000% due 9/1/30 | | | | | 357,141 | | |
| | | 50,000 | | | | Aaa(a) | | | Ohio Housing Finance Agency, Revenue Bonds, Series B, 4.500% due 3/1/50 | | | | | 53,812 | | |
| | | 1,000,000 | | | | AA | | | Ohio State University, Revenue Bonds, Series A, 5.000% due 12/1/30 | | | | | 1,265,215 | | |
| | | 2,000,000 | | | | AAA | | | Ohio Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, Series A, 0.170% due 12/1/36(b) | | | | | 2,000,000 | | |
| | | | | | | | | | State of Ohio, GO: | | | | | | | |
| | | 1,000,000 | | | | AA+ | | | Series A, 5.000% due 3/1/28 | | | | | 1,199,543 | | |
| | | 1,000,000 | | | | AA+ | | | Series A, 5.000% due 3/1/29 | | | | | 1,225,760 | | |
| | | 1,565,000 | | | | AA+ | | | Series C, 5.000% due 3/15/28 | | | | | 1,878,921 | | |
| | | 1,750,000 | | | | AA+ | | | Series C, 5.000% due 3/15/29 | | | | | 2,146,825 | | |
| | | 1,920,000 | | | | AA+ | | | Series C, 5.000% due 3/15/30 | | | | | 2,406,726 | | |
| | | | | | | | | | State of Ohio, Revenue Bonds: | | | | | | | |
| | | 1,100,000 | | | | A | | | 4.000% due 1/15/40 | | | | | 1,206,302 | | |
| | | 75,000 | | | | AA | | | 5.000% due 1/1/27 | | | | | 87,084 | | |
| | | 145,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 172,271 | | |
| | | 90,000 | | | | A | | | Series A, 4.000% due 1/15/50 | | | | | 97,500 | | |
| | | | | | | | | | Total Ohio | | | | | 15,507,452 | | |
| Oklahoma – 0.2% | | |||||||||||||||
| | | 560,000 | | | | AA- | | | Canadian County Educational Facilities Authority, Revenue Bonds, 5.000% due 9/1/26 | | | | | 645,513 | | |
| | | | | | | | | | Grand River Dam Authority, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AA- | | | Series A, 5.000% due 6/1/27 | | | | | 37,796 | | |
| | | 45,000 | | | | AA- | | | Series A, 5.000% due 6/1/28 | | | | | 48,584 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Oklahoma – (continued) | | |||||||||||||||
| | | | | | | | | | Oklahoma Municipal Power Authority, Revenue Bonds: | | | |||||
| | $ | 50,000 | | | | A | | | Series A, Prerefunded 1/1/25 @ 100, 5.000% due 1/1/26(d) | | | | $ | 55,096 | | |
| | | 175,000 | | | | A | | | Series A, Prerefunded 1/1/25 @ 100, 5.000% due 1/1/27(d) | | | | | 192,835 | | |
| | | 60,000 | | | | A | | | Series A, Prerefunded 1/1/25 @ 100, 5.000% due 1/1/28(d) | | | | | 66,115 | | |
| | | 45,000 | | | | A | | | Series A, Prerefunded 1/1/25 @ 100, 5.000% due 1/1/29(d) | | | | | 49,586 | | |
| | | 60,000 | | | | A | | | Series B, 5.000% due 1/1/27 | | | | | 65,841 | | |
| | | 600,000 | | | | AAA | | | Oklahoma Water Resources Board, Revenue Bonds, Series A, 4.000% due 4/1/35 | | | | | 691,553 | | |
| | | | | | | | | | Total Oklahoma | | | | | 1,852,919 | | |
| Oregon – 1.4% | | |||||||||||||||
| | | 85,000 | | | | Aa1(a) | | | Hillsboro School District No 1J, GO, 5.000% due 6/15/30 | | | | | 100,157 | | |
| | | 4,295,000 | | | | AA- | | | Oregon Health & Science University, Revenue Bonds, Series B2, 5.000% due 7/1/46(b) | | | | | 5,450,081 | | |
| | | 3,800,000 | | | | A+ | | | Oregon State Business Development Commission, Revenue Bonds, Series 232, 2.400% due 12/1/40(b) | | | | | 3,865,558 | | |
| | | | | | | | | | Port of Portland OR Airport Revenue, Revenue Bonds: | | | | | | | |
| | | 300,000 | | | | AA- | | | 5.000% due 7/1/28(c) | | | | | 352,060 | | |
| | | 165,000 | | | | AA- | | | 5.000% due 7/1/29 | | | | | 195,781 | | |
| | | 205,000 | | | | AA- | | | Series 24B, 5.000% due 7/1/32(c) | | | | | 232,771 | | |
| | | 2,675,000 | | | | AA+ | | | Salem-Keizer School District No 24J, GO, 5.000% due 6/15/32 | | | | | 3,215,074 | | |
| | | | | | | | | | Total Oregon | | | | | 13,411,482 | | |
| Pennsylvania – 1.7% | | |||||||||||||||
| | | | | | | | | | City of Philadelphia PA, GO: | | | | | | | |
| | | 550,000 | | | | A | | | Series A, 5.000% due 8/1/22 | | | | | 559,935 | | |
| | | 1,000,000 | | | | A | | | Series B, 5.000% due 2/1/24 | | | | | 1,071,094 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 8/1/27 | | | | | 95,044 | | |
| | | 300,000 | | | | A | | | Series B, 5.000% due 8/1/29 | | | | | 333,858 | | |
| | | 320,000 | | | | A | | | Series B, 5.000% due 8/1/30 | | | | | 356,116 | | |
| | | 335,000 | | | | A | | | Series B, 5.000% due 8/1/31 | | | | | 372,690 | | |
| | | | | | | | | | City of Philadelphia PA Airport Revenue, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A- | | | Series B, 5.000% due 7/1/30(c) | | | | | 57,225 | | |
| | | 70,000 | | | | A- | | | Series B, 5.000% due 7/1/31(c) | | | | | 80,054 | | |
| | | | | | | | | | Commonwealth Financing Authority, Revenue Bonds: | | | | | | | |
| | | 1,010,000 | | | | A | | | Series A, 5.000% due 6/1/28 | | | | | 1,204,382 | | |
| | | 500,000 | | | | A | | | Series B, 5.000% due 6/1/25 | | | | | 556,790 | | |
| | | | | | | | | | Commonwealth of Pennsylvania, GO: | | | | | | | |
| | | 290,000 | | | | A+ | | | 5.000% due 10/15/27 | | | | | 308,367 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Pennsylvania – (continued) | | |||||||||||||||
| | $ | 810,000 | | | | A+ | | | 5.000% due 9/15/29 | | | | $ | 927,346 | | |
| | | | | | | | | | General Authority of Southcentral Pennsylvania, Revenue Bonds: | | | | | | | |
| | | 190,000 | | | | Aa3(a) | | | 5.000% due 6/1/38 | | | | | 229,645 | | |
| | | 310,000 | | | | Aa3(a) | | | 5.000% due 6/1/39 | | | | | 373,623 | | |
| | | | | | | | | | Lancaster County Hospital Authority, Revenue Bonds: | | | | | | | |
| | | 800,000 | | | | A+ | | | 5.000% due 11/1/38 | | | | | 960,061 | | |
| | | 1,000,000 | | | | A+ | | | 5.000% due 11/1/39 | | | | | 1,196,520 | | |
| | | 1,000,000 | | | | A | | | Lehigh County Industrial Development Authority, Revenue Bonds, Series A, 1.800% due 9/1/29(b) | | | | | 1,003,248 | | |
| | | | | | | | | | Montgomery County Higher Education & Health Authority, Revenue Bonds: | | | | | | | |
| | | 325,000 | | | | A | | | 5.000% due 9/1/33 | | | | | 389,907 | | |
| | | 110,000 | | | | A | | | Series A, AMBAC, 6.000% due 6/1/22 | | | | | 111,462 | | |
| | | 1,000,000 | | | | A+ | | | Northampton County General Purpose Authority, Revenue Bonds, 5.000% due 11/1/27 | | | | | 1,182,160 | | |
| | | 60,000 | | | | A | | | Pennsylvania Economic Development Financing Authority, Revenue Bonds, 5.000% due 3/1/22 | | | | | 60,000 | | |
| | | | | | | | | | Pennsylvania Higher Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 775,000 | | | | AA | | | 4.000% due 8/15/38(f) | | | | | 878,426 | | |
| | | 900,000 | | | | AA | | | 5.000% due 8/15/32(f) | | | | | 1,142,969 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 8/15/27 | | | | | 41,383 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 8/15/28 | | | | | 41,103 | | |
| | | 60,000 | | | | AA | | | Series A, 5.000% due 8/15/30 | | | | | 70,325 | | |
| | | | | | | | | | Pennsylvania Turnpike Commission, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/22 | | | | | 15,459 | | |
| | | 15,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/23 | | | | | 15,982 | | |
| | | 45,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/29 | | | | | 53,294 | | |
| | | 30,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/34 | | | | | 35,331 | | |
| | | 35,000 | | | | A | | | Series A2, 5.000% due 12/1/28 | | | | | 40,748 | | |
| | | 35,000 | | | | A | | | Series A2, 5.000% due 12/1/33 | | | | | 41,500 | | |
| | | 1,300,000 | | | | A1(a) | | | Series C, 5.000% due 12/1/46 | | | | | 1,586,964 | | |
| | | | | | | | | | Philadelphia Gas Works Co., Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A | | | 5.000% due 8/1/23 | | | | | 31,648 | | |
| | | 20,000 | | | | A | | | 5.000% due 8/1/24 | | | | | 21,661 | | |
| | | 250,000 | | | | AA | | | Pittsburgh Water & Sewer Authority, Revenue Bonds, Series A, AGM-Insured, 5.000% due 9/1/44 | | | | | 300,902 | | |
| | | 40,000 | | | | A1(a) | | | State Public School Building Authority, Revenue Bonds, 5.000% due 6/1/26 | | | | | 44,328 | | |
| | | | | | | | | | Total Pennsylvania | | | | | 15,791,550 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Rhode Island – 0.5% | | |||||||||||||||
| | | | | | | | | | Rhode Island Health & Educational Building Corp., Revenue Bonds: | | | |||||
| | $ | 240,000 | | | | AA | | | AGM, 5.000% due 5/15/25 | | | | $ | 266,918 | | |
| | | 2,000,000 | | | | AA+ | | | Series A, 5.000% due 9/1/29 | | | | | 2,368,063 | | |
| | | 135,000 | | | | AA+ | | | Rhode Island Housing & Mortgage Finance Corp., Revenue Bonds, Series 70, 4.000% due 10/1/49 | | | | | 142,855 | | |
| | | | | | | | | | Rhode Island Student Loan Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | AA | | | Series A, 3.500% due 12/1/34(c) | | | | | 60,371 | | |
| | | 1,125,000 | | | | AA | | | Series A, 5.000% due 12/1/26(c) | | | | | 1,285,199 | | |
| | | | | | | | | | Tobacco Settlement Financing Corp., Revenue Bonds: | | | | | | | |
| | | 55,000 | | | | BBB | | | Series A, 5.000% due 6/1/27 | | | | | 60,287 | | |
| | | 70,000 | | | | BBB | | | Series A, 5.000% due 6/1/28 | | | | | 76,522 | | |
| | | | | | | | | | Total Rhode Island | | | | | 4,260,215 | | |
| South Carolina – 1.9% | | |||||||||||||||
| | | | | | | | | | Beaufort-Jasper Water & Sewer Authority, Revenue Bonds: | | ||||||
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 3/1/22 | | | | | 30,000 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 3/1/24 | | | | | 32,254 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 3/1/25 | | | | | 33,270 | | |
| | | 2,500,000 | | | | AAA | | | County of Charleston SC, GO, Series C, 5.000% due 11/1/27 | | | | | 2,986,786 | | |
| | | 8,000,000 | | | | Aa1(a) | | | Patriots Energy Group Financing Agency, Revenue Bonds, Series A, 4.000% due 10/1/48(b)(g) | | | | | 8,363,827 | | |
| | | | | | | | | | Scago Educational Facilities Corp. for Colleton School District, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A- | | | 5.000% due 12/1/27 | | | | | 127,062 | | |
| | | 95,000 | | | | A- | | | 5.000% due 12/1/29 | | | | | 105,322 | | |
| | | | | | | | | | South Carolina Jobs-Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | 5.000% due 2/1/24 | | | | | 32,151 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 2/1/25 | | | | | 55,222 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 2/1/26 | | | | | 56,762 | | |
| | | 1,000,000 | | | | A1(a) | | | Series A, 4.000% due 4/1/52 | | | | | 1,117,635 | | |
| | | | | | | | | | South Carolina Ports Authority, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A+ | | | 5.000% due 7/1/28(c) | | | | | 76,787 | | |
| | | 140,000 | | | | A+ | | | 5.000% due 7/1/30(c) | | | | | 163,690 | | |
| | | | | | | | | | South Carolina Public Service Authority, Revenue Bonds: | | | | | | | |
| | | 185,000 | | | | A | | | Series B, 5.000% due 12/1/35 | | | | | 213,383 | | |
| | | 275,000 | | | | A | | | Series B, 5.000% due 12/1/36 | | | | | 317,252 | | |
| | | 115,000 | | | | A | | | Series C, 5.000% due 12/1/25 | | | | | 125,912 | | |
| | | 115,000 | | | | A | | | Series C, 5.000% due 12/1/26 | | | | | 125,849 | | |
| | | 90,000 | | | | A | | | Series C, 5.000% due 12/1/27 | | | | | 98,452 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| South Carolina – (continued) | | |||||||||||||||
| | | | | | | | | | South Carolina State Housing Finance & Development Authority, Revenue Bonds: | | | |||||
| | $ | 170,000 | | | | Aaa(a) | | | Series A, 4.000% due 1/1/50 | | | | $ | 182,043 | | |
| | | 155,000 | | | | Aaa(a) | | | Series A, 4.000% due 7/1/50 | | | | | 166,001 | | |
| | | | | | | | | | University of South Carolina, Revenue Bonds: | | | | | | | |
| | | 450,000 | | | | Aa2(a) | | | 5.000% due 5/1/30(f) | | | | | 558,233 | | |
| | | 800,000 | | | | Aa2(a) | | | 5.000% due 5/1/32(f) | | | | | 1,029,654 | | |
| | | 575,000 | | | | Aa3(a) | | | Series A, 5.000% due 5/1/28(f) | | | | | 683,745 | | |
| | | 625,000 | | | | Aa3(a) | | | Series A, 5.000% due 5/1/30(f) | | | | | 771,595 | | |
| | | | | | | | | | Total South Carolina | | | | | 17,452,887 | | |
| South Dakota – 0.0% | | |||||||||||||||
| | | | | | | | | | South Dakota Health & Educational Facilities Authority, Revenue Bonds: | | | |||||
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/23 | | | | | 31,565 | | |
| | | 15,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 16,268 | | |
| | | 10,000 | | | | AA- | | | 5.000% due 7/1/27 | | | | | 11,717 | | |
| | | 50,000 | | | | AA- | | | 5.000% due 7/1/33 | | | | | 58,142 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 7/1/35 | | | | | 46,470 | | |
| | | 35,000 | | | | A+ | | | Series B, 5.000% due 11/1/24 | | | | | 38,236 | | |
| | | 35,000 | | | | A+ | | | Series B, 5.000% due 11/1/25 | | | | | 38,197 | | |
| | | 5,000 | | | | A+ | | | Series B, 5.000% due 11/1/26 | | | | | 5,454 | | |
| | | | | | | | | | Total South Dakota | | | | | 246,049 | | |
| Tennessee – 1.9% | | |||||||||||||||
| | | 1,585,000 | | | | AAA | | | City of Chattanooga TN, GO, Series A, 4.000% due 2/1/33 | | | | | 1,807,542 | | |
| | | 3,970,000 | | | | AA | | | City of Pigeon Forge TN, GO, Series B, 5.000% due 6/1/27 | | | | | 4,662,678 | | |
| | | | | | | | | | Greeneville Health & Educational Facilities Board, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 7/1/29 | | | | | 35,601 | | |
| | | 35,000 | | | | A- | | | Series A, 5.000% due 7/1/30 | | | | | 41,400 | | |
| | | | | | | | | | Knox County Health Educational & Housing Facility Board, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | BBB | | | 5.000% due 9/1/22 | | | | | 35,705 | | |
| | | 30,000 | | | | BBB | | | 5.000% due 4/1/24 | | | | | 32,078 | | |
| | | 30,000 | | | | BBB | | | 5.000% due 9/1/24 | | | | | 32,455 | | |
| | | 40,000 | | | | BBB | | | 5.000% due 4/1/25 | | | | | 43,948 | | |
| | | | | | | | | | Tennergy Corp., Revenue Bonds: | | | | | | | |
| | | 3,250,000 | | | | A1(a) | | | Series A, 4.000% due 12/1/51(b) | | | | | 3,587,532 | | |
| | | 6,240,000 | | | | Aa1(a) | | | Series A, 5.000% due 2/1/50(b) | | | | | 6,757,739 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Tennessee – (continued) | | |||||||||||||||
| | $ | 350,000 | | | | A2(a) | | | Tennessee Energy Acquisition Corp., Revenue Bonds, Series A, 4.000% due 5/1/48(b) | | | | $ | 359,239 | | |
| | | | | | | | | | Total Tennessee | | | | | 17,395,917 | | |
| Texas – 11.7% | | |||||||||||||||
| | | 1,895,000 | | | | AAA | | | Alamo Community College District, GO, 5.000% due 8/15/34 | | | | | 2,222,184 | | |
| | | | | | | | | | Board of Regents of the University of Texas System, Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | AAA | | | Series B, 5.000% due 8/15/22 | | | | | 91,783 | | |
| | | 70,000 | | | | AAA | | | Series D, 5.000% due 8/15/22 | | | | | 71,387 | | |
| | | 80,000 | | | | AAA | | | Series E, 5.000% due 8/15/22 | | | | | 81,585 | | |
| | | 90,000 | | | | AAA | | | Series J, 5.000% due 8/15/22 | | | | | 91,783 | | |
| | | 6,990,000 | | | | Aaa(a) | | | Brazosport Independent School District, GO, PSF-GTD-Insured, 5.000% due 2/15/29 | | | | | 8,523,928 | | |
| | | | | | | | | | Central Texas Regional Mobility Authority, Revenue Bonds: | | | |||||
| | | 35,000 | | | | A- | | | Series A, Prerefunded 7/01/25 @ 100, 5.000% due 1/1/31(d) | | | | | 39,214 | | |
| | | 30,000 | | | | A- | | | Series A, Prerefunded 7/01/25 @ 100, 5.000% due 1/1/32(d) | | | | | 33,612 | | |
| | | 60,000 | | | | A- | | | Series A, Prerefunded 7/1/25 @ 100, 5.000% due 1/1/34(d) | | | | | 67,224 | | |
| | | 160,000 | | | | A- | | | Series A, Prerefunded 7/1/25 @ 100, 5.000% due 1/1/40(d) | | | | | 179,264 | | |
| | | 600,000 | | | | A- | | | Series B, 4.000% due 1/1/41 | | | | | 662,780 | | |
| | | 375,000 | | | | A- | | | Series B, 5.000% due 1/1/29 | | | | | 448,137 | | |
| | | 1,800,000 | | | | A- | | | Series E, 5.000% due 1/1/38 | | | | | 2,157,290 | | |
| | | 1,770,000 | | | | AAA | | | City of Austin TX, GO, 5.000% due 5/1/27 | | | | | 2,085,366 | | |
| | | | | | | | | | City of Austin TX Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 165,000 | | | | A | | | 5.000% due 11/15/26(c) | | | | | 179,949 | | |
| | | 80,000 | | | | A | | | 5.000% due 11/15/29(c) | | | | | 86,716 | | |
| | | 45,000 | | | | AA | | | City of Austin TX Electric Utility Revenue, Revenue Bonds, Series A, 5.000% due 11/15/23 | | | | | 46,231 | | |
| | | 170,000 | | | | AA- | | | City of Dallas TX, GO, 5.000% due 2/15/24 | | | | | 182,701 | | |
| | | | | | | | | | City of Dallas TX Waterworks & Sewer System Revenue, Revenue Bonds: | | | | | | | |
| | | 3,000,000 | | | | AAA | | | Series A, 5.000% due 10/1/27 | | | | | 3,372,345 | | |
| | | 3,545,000 | | | | AAA | | | Series C, 5.000% due 10/1/31 | | | | | 4,549,023 | | |
| | | | | | | | | | City of Houston TX, GO: | | | | | | | |
| | | 2,000,000 | | | | AA | | | Series A, 5.000% due 3/1/22 | | | | | 2,000,000 | | |
| | | 60,000 | | | | Aa3(a) | | | Series A, 5.000% due 3/1/23 | | | | | 62,477 | | |
| | | 290,000 | | | | Aa3(a) | | | Series A, 5.000% due 3/1/24 | | | | | 312,150 | | |
| | | 120,000 | | | | Aa3(a) | | | Series A, 5.000% due 3/1/25 | | | | | 132,631 | | |
| | | | | | | | | | City of Houston TX Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/26(c) | | | | | 56,283 | | |
| | | 60,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/27(c) | | | | | 68,980 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 30,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/28(c) | | | | $ | 35,128 | | |
| | | 350,000 | | | | A | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/23(c)(d) | | | | | 354,978 | | |
| | | 90,000 | | | | A1(a) | | | Series B, 5.000% due 7/1/28 | | | | | 107,088 | | |
| | | 360,000 | | | | A1(a) | | | Series B, 5.000% due 7/1/29 | | | | | 428,397 | | |
| | | 190,000 | | | | A1(a) | | | Series B, 5.000% due 7/1/30 | | | | | 226,241 | | |
| | | 1,500,000 | | | | A1(a) | | | Series D, 5.000% due 7/1/25 | | | | | 1,669,683 | | |
| | | 2,005,000 | | | | A1(a) | | | Series D, 5.000% due 7/1/26 | | | | | 2,285,606 | | |
| | | | | | | | | | City of Houston TX Combined Utility System Revenue, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | Aa2(a) | | | Series B, 5.000% due 11/15/33 | | | | | 80,637 | | |
| | | 75,000 | | | | AA | | | Series C, 5.000% due 5/15/28 | | | | | 80,882 | | |
| | | 1,040,000 | | | | AAA | | | City of Irving TX, GO, 5.500% due 8/15/23 | | | | | 1,106,906 | | |
| | | | | | | | | | City of San Antonio TX Airport System, Revenue Bonds: | | | |||||
| | | 500,000 | | | | A- | | | Series A, 5.000% due 7/1/27(c) | | | | | 573,741 | | |
| | | 480,000 | | | | A | | | Series A, 5.000% due 7/1/28(c) | | | | | 562,052 | | |
| | | | | | | | | | City of San Antonio TX Electric & Gas Systems Revenue, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | A+ | | | 1.750% due 2/1/49(b) | | | | | 1,003,514 | | |
| | | 500,000 | | | | A+ | | | 4.000% due 2/1/43 | | | | | 570,599 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 2/1/29 | | | | | 52,878 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 2/1/30 | | | | | 35,218 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 2/1/31 | | | | | 52,903 | | |
| | | 35,000 | | | | AA- | | | 5.000% due 2/1/33 | | | | | 41,008 | | |
| | | 750,000 | | | | A+ | | | 5.000% due 2/1/42 | | | | | 937,659 | | |
| | | 90,000 | | | | AA- | | | 5.250% due 2/1/25 | | | | | 100,067 | | |
| | | 1,500,000 | | | | A+ | | | Series 2019, 2.750% due 2/1/48(b) | | | | | 1,518,986 | | |
| | | | | | | | | | Comal Independent School District, GO, PSF-GTD: | | | | | | | |
| | | 3,000,000 | | | | Aaa(a) | | | 5.000% due 2/1/27 | | | | | 3,492,244 | | |
| | | 2,000,000 | | | | Aaa(a) | | | 5.000% due 2/1/28 | | | | | 2,384,604 | | |
| | | | | | | | | | County of Harris TX, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | Series C, 5.000% due 8/15/24 | | | | | 30,578 | | |
| | | 110,000 | | | | AA- | | | Series C, 5.000% due 8/15/25 | | | | | 112,108 | | |
| | | | | | | | | | County of Travis TX, GO: | | | |||||
| | | 85,000 | | | | AAA | | | Series A, 5.000% due 3/1/24 | | | | | 91,299 | | |
| | | 1,490,000 | | | | AAA | | | Series A, 5.000% due 3/1/38 | | | | | 1,809,407 | | |
| | | 2,215,000 | | | | AAA | | | County of Williamson TX, GO, 5.000% due 2/15/30 | | | | | 2,586,680 | | |
| | | | | | | | | | Cypress-Fairbanks Independent School District, GO, PSF-GTD: | | | | | | | |
| | | 1,975,000 | | | | AAA | | | 4.000% due 2/15/32 | | | | | 2,147,378 | | |
| | | 145,000 | | | | AAA | | | 5.000% due 2/15/23 | | | | | 150,667 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 725,000 | | | | AAA | | | 5.000% due 2/15/24 | | | | $ | 778,287 | | |
| | | 620,000 | | | | AAA | | | 5.000% due 2/15/25 | | | | | 685,707 | | |
| | | 105,000 | | | | AAA | | | 5.000% due 2/15/27 | | | | | 119,368 | | |
| | | 210,000 | | | | AA+ | | | Dallas Area Rapid Transit, Revenue Bonds, AMBAC-Insured, 5.250% due 12/1/29 | | | | | 263,632 | | |
| | | 185,000 | | | | A2(a) | | | Dallas County Utility & Reclamation District, GO, 5.000% due 2/15/24 | | | | | 197,520 | | |
| | | | | | | | | | Dallas Fort Worth International Airport, Revenue Bonds: | | | | | | | |
| | | 2,590,000 | | | | A | | | Series A, Prerefunded 11/1/22 @ 100, 5.000% due 11/1/29(c)(d) | | | | | 2,660,278 | | |
| | | 85,000 | | | | A | | | Series B, Prerefunded 11/1/22 @ 100, 5.000% due 11/1/26(c)(d) | | | | | 87,306 | | |
| | | 35,000 | | | | A | | | Series B, Prerefunded 11/1/22 @ 100, 5.000% due 11/1/27(c)(d) | | | | | 35,950 | | |
| | | 80,000 | | | | A | | | Series B, Prerefunded 11/1/22 @ 100, 5.000% due 11/1/28(c)(d) | | | | | 82,171 | | |
| | | 155,000 | | | | A | | | Series B, Prerefunded 11/1/22 @ 100, 5.000% due 11/1/30(c)(d) | | | | | 159,206 | | |
| | | 330,000 | | | | A | | | Series B, Prerefunded 11/1/22 @ 100, 5.000% due 11/1/31(c)(d) | | | | | 338,954 | | |
| | | 420,000 | | | | A | | | Series B, Prerefunded 11/1/22 @ 100, 5.000% due 11/1/32(c)(d) | | | | | 431,396 | | |
| | | 290,000 | | | | A | | | Series B, Prerefunded 11/1/22 @ 100, 5.000% due 11/1/33(c)(d) | | | | | 297,869 | | |
| | | 70,000 | | | | A | | | Series B, Prerefunded 11/1/22 @ 100, 5.000% due 11/1/34(c)(d) | | | | | 71,899 | | |
| | | 1,500,000 | | | | A | | | Series E, 5.000% due 11/1/22(c) | | | | | 1,539,483 | | |
| | | | | | | | | | Eagle Mountain & Saginaw Independent School District, GO, PSF-GTD: | | | | | | | |
| | | 1,270,000 | | | | Aaa(a) | | | 5.000% due 8/15/29 | | | | | 1,563,472 | | |
| | | 1,000,000 | | | | Aaa(a) | | | 5.000% due 8/15/30 | | | | | 1,253,879 | | |
| | | 105,000 | | | | AAA | | | Fort Worth Independent School District, GO, PSF-GTD-Insured, 5.000% due 2/15/26 | | | | | 119,499 | | |
| | | | | | | | | | Grand Parkway Transportation Corp., Revenue Bonds: | | | | | | | |
| | | 150,000 | | | | AA+ | | | Series A, 5.000% due 10/1/31 | | | | | 177,978 | | |
| | | 125,000 | | | | AA+ | | | Series A, 5.000% due 10/1/32 | | | | | 148,067 | | |
| | | 190,000 | | | | AA+ | | | Series A, 5.000% due 10/1/33 | | | | | 224,899 | | |
| | | 145,000 | | | | AA+ | | | Series A, 5.000% due 10/1/34 | | | | | 171,499 | | |
| | | 70,000 | | | | BBB | | | Series A, 5.125% due 10/1/43 | | | | | 73,856 | | |
| | | 940,000 | | | | WR(a) | | | Gregg County Health Facilities Development Corp., Revenue Bonds, Series C, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/42(d) | | | | | 953,369 | | |
| | | | | | | | | | Harris County Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | | 1,025,000 | | | | A+ | | | 5.000% due 6/1/24 | | | | | 1,106,876 | | |
| | | 590,000 | | | | A+ | | | 5.000% due 7/1/49(b) | | | | | 628,921 | | |
| | | | | | | | | | Irving Hospital Authority, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | A+ | | | 5.000% due 10/15/24 | | | | | 16,334 | | |
| | | 20,000 | | | | A+ | | | 5.000% due 10/15/26 | | | | | 22,708 | | |
| | | 15,000 | | | | A+ | | | 5.000% due 10/15/27 | | | | | 16,910 | | |
| | | 20,000 | | | | A+ | | | 5.000% due 10/15/29 | | | | | 22,353 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 30,000 | | | | A+ | | | 5.000% due 10/15/31 | | | | $ | 33,516 | | |
| | | 40,000 | | | | A+ | | | 5.000% due 10/15/35 | | | | | 44,653 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 10/15/36 | | | | | 33,516 | | |
| | | 35,000 | | | | A+ | | | 5.000% due 10/15/39 | | | | | 39,118 | | |
| | | 45,000 | | | | A+ | | | 5.000% due 10/15/44 | | | | | 50,334 | | |
| | | | | | | | | | Lamar Consolidated Independent School District, GO, PSF-GTD: | | | | | | | |
| | | 7,280,000 | | | | AAA | | | 5.000% due 2/15/31 | | | | | 8,433,653 | | |
| | | 7,050,000 | | | | AAA | | | 5.000% due 2/15/34 | | | | | 8,138,161 | | |
| | | 1,225,000 | | | | AA+ | | | Lewisville Independent School District, GO, Series B, 5.000% due 8/15/28 | | | | | 1,371,251 | | |
| | | 1,000,000 | | | | Aaa(a) | | | Liberty Hill Independent School District, GO, PSF-GTD-Insured, 4.000% due 2/1/47(f) | | | | | 1,153,939 | | |
| | | | | | | | | | Love Field Airport Modernization Corp., Revenue Bonds: | | | |||||
| | | 40,000 | | | | A- | | | 5.000% due 11/1/30(c) | | | | | 44,327 | | |
| | | 90,000 | | | | A- | | | 5.000% due 11/1/31(c) | | | | | 99,736 | | |
| | | | | | | | | | Lower Colorado River Authority, Revenue Bonds: | | | | | | | |
| | | 200,000 | | | | A | | | 5.000% due 5/15/26 | | | | | 226,906 | | |
| | | 135,000 | | | | A | | | 5.000% due 5/15/32 | | | | | 159,735 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/34 | | | | | 82,701 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/36 | | | | | 82,439 | | |
| | | 195,000 | | | | A | | | Series B, 5.000% due 5/15/25 | | | | | 215,900 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 5/15/27 | | | | | 94,449 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 5/15/28 | | | | | 94,307 | | |
| | | 245,000 | | | | A | | | Series B, 5.000% due 5/15/29 | | | | | 271,746 | | |
| | | 25,000 | | | | A | | | Series D, 5.000% due 5/15/22 | | | | | 25,228 | | |
| | | 20,000 | | | | A | | | Series D, 5.000% due 5/15/23 | | | | | 20,965 | | |
| | | 35,000 | | | | A | | | Series D, 5.000% due 5/15/24 | | | | | 37,713 | | |
| | | 40,000 | | | | A | | | Series D, 5.000% due 5/15/26 | | | | | 44,526 | | |
| | | 1,000,000 | | | | Aaa(a) | | | Malakoff Independent School District, GO, PSF-GTD-Insured, 5.000% due 2/15/30 | | | | | 1,244,667 | | |
| | | | | | | | | | New Hope Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/24 | | | | | 65,239 | | |
| | | 45,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/26 | | | | | 51,664 | | |
| | | 45,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/27 | | | | | 52,821 | | |
| | | 70,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/30 | | | | | 81,887 | | |
| | | | | | | | | | Newark Higher Education Finance Corp., Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A3(a) | | | 5.000% due 4/1/27 | | | | | 73,138 | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 4/1/28 | | | | | 44,874 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | | | | | | | | | North Harris County Regional Water Authority, Revenue Bonds: | | | |||||
| | $ | 30,000 | | | | AA- | | | 4.000% due 12/15/23 | | | | $ | 30,673 | | |
| | | 55,000 | | | | AA- | | | 4.000% due 12/15/24 | | | | | 56,314 | | |
| | | | | | | | | | North Texas Tollway Authority, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | NR | | | 5.000% due 1/1/23 | | | | | 51,707 | | |
| | | 145,000 | | | | NR | | | 5.000% due 1/1/24 | | | | | 155,002 | | |
| | | 35,000 | | | | A+ | | | Series A, 5.000% due 1/1/30 | | | | | 39,295 | | |
| | | 40,000 | | | | A+ | | | Series A, 5.000% due 1/1/33 | | | | | 46,102 | | |
| | | 200,000 | | | | A+ | | | Series A, 5.000% due 1/1/39 | | | | | 223,832 | | |
| | | 185,000 | | | | A | | | Series B, 5.000% due 1/1/25 | | | | | 203,063 | | |
| | | 290,000 | | | | A+ | | | Series B, 5.000% due 1/1/29 | | | | | 317,552 | | |
| | | 160,000 | | | | A+ | | | Series B, 5.000% due 1/1/30 | | | | | 175,811 | | |
| | | 20,000 | | | | A | | | Series B, 5.000% due 1/1/31 | | | | | 22,415 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 1/1/32 | | | | | 97,712 | | |
| | | 685,000 | | | | Aaa(a) | | | Northside Independent School District, GO, PSF-GTD-Insured, 2.750% due 8/1/48(b) | | | | | 701,149 | | |
| | | | | | | | | | Permanent University Fund – University of Texas System, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | Aaa(a) | | | Series B, 5.000% due 7/1/22 | | | | | 50,733 | | |
| | | 50,000 | | | | Aaa(a) | | | Series B, 5.000% due 7/1/29 | | | | | 57,404 | | |
| | | 50,000 | | | | AAA | | | Rockwall Independent School District, GO, PSF-GTD-Insured, zero coupon, due 2/15/25 | | | | | 48,013 | | |
| | | 2,500,000 | | | | Aaa(a) | | | Round Rock Independent School District, GO, Series A, PSF-GTD-Insured, 5.000% due 8/1/29 | | | | | 3,079,255 | | |
| | | 1,195,000 | | | | Aaa(a) | | | San Antonio Independent School District, GO, Series A, PSF-GTD-Insured, 5.000% due 8/1/28 | | | | | 1,375,556 | | |
| | | | | | | | | | San Antonio Public Facilities Corp., Revenue Bonds: | | | | | | | |
| | | 140,000 | | | | AA+ | | | 5.000% due 9/15/23 | | | | | 142,780 | | |
| | | 215,000 | | | | AA+ | | | 5.000% due 9/15/24 | | | | | 219,571 | | |
| | | 270,000 | | | | AA+ | | | 5.000% due 9/15/25 | | | | | 275,696 | | |
| | | | | | | | | | San Antonio Water System, Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | NR | | | 5.000% due 5/15/22 | | | | | 176,583 | | |
| | | 2,000,000 | | | | AA | | | Series A, 5.000% due 5/15/36 | | | | | 2,396,755 | | |
| | | 390,000 | | | | AA | | | Series B, 2.000% due 5/1/44(b) | | | | | 392,495 | | |
| | | | | | | | | | San Jacinto Community College District, GO: | | | | | | | |
| | | 450,000 | | | | AA | | | 5.000% due 2/15/29 | | | | | 548,420 | | |
| | | 435,000 | | | | AA | | | 5.000% due 2/15/30 | | | | | 539,603 | | |
| | | | | | | | | | State of Texas, GO: | | | | | | | |
| | | 2,500,000 | | | | AAA | | | 5.000% due 10/1/24 | | | | | 2,694,050 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 150,000 | | | | AAA | | | 5.000% due 8/1/26(c) | | | | $ | 163,094 | | |
| | | 200,000 | | | | AAA | | | 5.500% due 8/1/26(c) | | | | | 233,173 | | |
| | | 350,000 | | | | AAA | | | Series B, 5.000% due 8/1/25(c) | | | | | 369,781 | | |
| | | | | | | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | | 165,000 | | | | AA | | | 5.000% due 2/15/25 | | | | | 182,335 | | |
| | | 60,000 | | | | AA | | | 5.000% due 2/15/34 | | | | | 68,165 | | |
| | | 30,000 | | | | Aa3(a) | | | Series Prerefunded 8/15/23 @ 100, 5.000% due 8/15/25(d) | | | | | 31,706 | | |
| | | 45,000 | | | | Aa3(a) | | | Series Prerefunded 8/15/23 @ 100, 5.000% due 8/15/26(d) | | | | | 47,559 | | |
| | | 45,000 | | | | Aa3(a) | | | Series Prerefunded 8/15/23 @ 100, 5.000% due 8/15/28(d) | | | | | 47,559 | | |
| | | 110,000 | | | | Aa3(a) | | | Series Prerefunded 8/15/23 @ 100, 5.000% due 8/15/33(d) | | | | | 116,255 | | |
| | | 155,000 | | | | A3(a) | | | Series Prerefunded 9/1/23 @ 100, 5.500% due 9/1/43(d) | | | | | 165,054 | | |
| | | 165,000 | | | | AAA | | | Texas A&M University, Revenue Bonds, Series C, 5.000% due 5/15/23 | | | | | 173,002 | | |
| | | | | | | | | | Texas Department of Housing & Community Affairs, Revenue Bonds: | | | | | | | |
| | | 405,489 | | | | Aaa(a) | | | 2.950% due 7/1/36 | | | | | 417,511 | | |
| | | 370,000 | | | | AA+ | | | Series A, 4.000% due 3/1/50 | | | | | 398,049 | | |
| | | 600,000 | | | | AA+ | | | Texas Public Finance Authority, Revenue Bonds, 5.000% due 2/1/28 | | | | | 715,381 | | |
| | | 135,000 | | | | Aa2(a) | | | Texas State University System, Revenue Bonds, Series A, 5.000% due 3/15/29 | | | | | 157,410 | | |
| | | | | | | | | | Texas Water Development Board, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | AAA | | | 5.000% due 10/15/25 | | | | | 1,127,964 | | |
| | | 125,000 | | | | AAA | | | Series A, 5.000% due 4/15/22 | | | | | 125,678 | | |
| | | 180,000 | | | | AAA | | | Series A, 5.000% due 4/15/25 | | | | | 200,117 | | |
| | | 75,000 | | | | AAA | | | Series A, 5.000% due 10/15/25 | | | | | 84,597 | | |
| | | 125,000 | | | | AAA | | | Series A, 5.000% due 4/15/26 | | | | | 142,968 | | |
| | | 190,000 | | | | AAA | | | Series A, 5.000% due 4/15/29 | | | | | 225,739 | | |
| | | 505,000 | | | | AAA | | | Series A, 5.000% due 4/15/30 | | | | | 597,897 | | |
| | | 190,000 | | | | AA | | | University of Houston, Revenue Bonds, Series A, 5.000% due 2/15/30 | | | | | 215,217 | | |
| | | | | | | | | | Total Texas | | | | | 109,220,666 | | |
| Utah – 0.4% | | |||||||||||||||
| | | | | | | | | | City of Salt Lake City UT Airport Revenue, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 7/1/26(c) | | | | | 39,429 | | |
| | | 115,000 | | | | A | | | Series A, 5.000% due 7/1/28(c) | | | | | 131,660 | | |
| | | 155,000 | | | | A | | | Series A, 5.000% due 7/1/30(c) | | | | | 180,629 | | |
| | | 375,000 | | | | AAA | | | State of Utah, GO, Series B, 5.000% due 7/1/22 | | | | | 380,511 | | |
| | | 85,000 | | | | A- | | | Utah Associated Municipal Power Systems, Revenue Bonds, Series A, Prerefunded 9/1/22 @ 100, 5.000% due 9/1/24(d) | | | | | 86,827 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Utah – (continued) | | |||||||||||||||
| | $ | 2,500,000 | | | | AA- | | | Utah Transit Authority, Revenue Bonds, Series A, NPFG, 5.000% due 6/15/31 | | | | $ | 3,001,403 | | |
| | | | | | | | | | Total Utah | | | | | 3,820,459 | | |
| Vermont – 0.2% | | |||||||||||||||
| | | | | | | | | | Vermont Student Assistance Corp., Revenue Bonds: | | | | | | | |
| | | 750,000 | | | | A | | | Series A, 5.000% due 6/15/29(c) | | | | | 874,860 | | |
| | | 675,000 | | | | A | | | Series A, 5.000% due 6/15/30(c) | | | | | 795,805 | | |
| | | | | | | | | | Total Vermont | | | | | 1,670,665 | | |
| Virginia – 4.3% | | |||||||||||||||
| | | 195,000 | | | | A+ | | | Arlington County Industrial Development Authority, Revenue Bonds, 5.000% due 7/1/32 | | | | | 240,349 | | |
| | | 30,000 | | | | BBB+ | | | City of Chesapeake VA Chesapeake Expressway Toll Road Revenue, Revenue Bonds, Series A, 5.000% due 7/15/22 | | | | | 30,467 | | |
| | | 5,000,000 | | | | AA+ | | | City of Richmond VA, GO, Series B, 5.000% due 7/15/22 | | | | | 5,081,569 | | |
| | | 2,635,000 | | | | AAA | | | City of Suffolk VA, GO, Series A, 5.000% due 2/1/27 | | | | | 3,086,437 | | |
| | | 5,000,000 | | | | AAA | | | Commonwealth of Virginia, GO, Series B, 4.000% due 6/1/24 | | | | | 5,190,030 | | |
| | | 2,000,000 | | | | AAA | | | County of Fairfax VA Sewer Revenue, Revenue Bonds, Series A, 5.000% due 7/15/46 | | | | | 2,517,850 | | |
| | | | | | | | | | Fredericksburg Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 6/15/27 | | | | | 42,983 | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 6/15/29 | | | | | 42,787 | | |
| | | 45,000 | | | | A3(a) | | | 5.000% due 6/15/33 | | | | | 48,052 | | |
| | | | | | | | | | Hampton Roads Transportation Accountability Commission, Revenue Bonds: | | | | | | | |
| | | 4,000,000 | | | | A+ | | | Series A, 5.000% due 7/1/26 | | | | | 4,583,268 | | |
| | | 3,180,000 | | | | AA | | | Series A, 5.000% due 7/1/35 | | | | | 3,767,313 | | |
| | | 1,065,000 | | | | A- | | | King George County Economic Development Authority, Revenue Bonds, 2.500% due 6/1/23(b)(c) | | | | | 1,074,797 | | |
| | | 320,000 | | | | AA | | | Norfolk Economic Development Authority, Revenue Bonds, Series B, 5.000% due 11/1/48(b) | | | | | 385,242 | | |
| | | | | | | | | | Stafford County Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 20,000 | | | | A3(a) | | | 4.000% due 6/15/37 | | | | | 21,223 | | |
| | | 50,000 | | | | A3(a) | | | 5.000% due 6/15/32 | | | | | 56,073 | | |
| | | 65,000 | | | | A3(a) | | | 5.000% due 6/15/34 | | | | | 72,782 | | |
| | | | | | | | | | Virginia College Building Authority, Revenue Bonds: | | | | | | | |
| | | 1,670,000 | | | | AA+ | | | 5.000% due 2/1/25 | | | | | 1,845,921 | | |
| | | 2,805,000 | | | | AA+ | | | Series A, 5.000% due 9/1/32 | | | | | 3,398,489 | | |
| | | 165,000 | | | | AA+ | | | Series D, 5.000% due 2/1/26 | | | | | 187,720 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Virginia – (continued) | | |||||||||||||||
| | $ | 265,000 | | | | AA+ | | | Series E, 5.000% due 2/1/30 | | | | $ | 315,228 | | |
| | | 305,000 | | | | AA+ | | | Series E, 5.000% due 2/1/31 | | | | | 361,779 | | |
| | | 360,000 | | | | AA+ | | | Virginia Commonwealth Transportation Board, Revenue Bonds, Series A, 5.000% due 5/15/30 | | | | | 427,445 | | |
| | | | | | | | | | Virginia Resources Authority, Revenue Bonds: | | | | | | | |
| | | 500,000 | | | | AAA | | | 5.000% due 11/1/29 | | | | | 621,737 | | |
| | | 5,220,000 | | | | NR | | | Series Prerefunded 11/1/22 @ 100, 5.000% due 11/1/27(d) | | | | | 5,366,950 | | |
| | | 1,000,000 | | | | AAA | | | Virginia Resources Authority Clean Water Revolving Fund, Revenue Bonds, 5.000% due 10/1/30 | | | | | 1,265,913 | | |
| | | | | | | | | | Winchester Economic Development Authority, Revenue Bonds: | | ||||||
| | | 60,000 | | | | A+ | | | 5.000% due 1/1/32 | | | | | 66,749 | | |
| | | 75,000 | | | | A+ | | | 5.000% due 1/1/33 | | | | | 83,436 | | |
| | | 100,000 | | | | BBB+ | | | York County Economic Development Authority, Revenue Bonds, Series A, 1.900% due 5/1/33 | | | | | 100,532 | | |
| | | | | | | | | | Total Virginia | | | | | 40,283,121 | | |
| Washington – 4.4% | | |||||||||||||||
| | | 60,000 | | | | AA | | | Chelan County Public Utility District No 1, Revenue Bonds, Series A, NPFG, zero coupon, due 6/1/24 | | | | | 58,178 | | |
| | | 3,550,000 | | | | AA+ | | | City of Seattle WA Water System Revenue, Revenue Bonds, 5.000% due 8/1/27 | | | | | 4,199,755 | | |
| | | | | | | | | | City of Tacoma WA Electric System Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 34,758 | | |
| | | 35,000 | | | | AA | | | 5.000% due 1/1/36 | | | | | 40,147 | | |
| | | 3,330,000 | | | | AA+ | | | County of King WA Sewer Revenue, Revenue Bonds, Series A, 5.000% due 7/1/22 | | | | | 3,378,822 | | |
| | | | | | | | | | Grant County Public Utility District No 2 Priest Rapids Hydroelectric Project, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/23(d) | | | | | 30,437 | | |
| | | 65,000 | | | | AA | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/24(d) | | | | | 65,946 | | |
| | | | | | | | | | Port of Seattle WA, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | A | | | 5.000% due 6/1/23(c) | | | | | 26,211 | | |
| | | 35,000 | | | | A+ | | | 5.000% due 2/1/27 | | | | | 39,562 | | |
| | | 70,000 | | | | A+ | | | 5.000% due 2/1/29 | | | | | 79,011 | | |
| | | 85,000 | | | | A+ | | | Series A, 5.000% due 5/1/29(c) | | | | | 97,991 | | |
| | | 1,000,000 | | | | AA- | | | Series B, 5.000% due 10/1/26(c) | | | | | 1,133,170 | | |
| | | 980,000 | | | | AA- | | | Series B, 5.000% due 10/1/27(c) | | | | | 1,108,434 | | |
| | | 135,000 | | | | AA- | | | Series B, 5.000% due 10/1/29(c) | | | | | 152,351 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Washington – (continued) | | |||||||||||||||
| | | | | | | | | | State of Washington, GO: | | ||||||
| | $ | 50,000 | | | | AA+ | | | Series 2017A, 5.000% due 8/1/27 | | | | $ | 57,578 | | |
| | | 3,430,000 | | | | AA+ | | | Series A, 5.000% due 8/1/32 | | | | | 4,109,757 | | |
| | | 3,000,000 | | | | AA+ | | | Series A, 5.000% due 8/1/38 | | | | | 3,705,875 | | |
| | | 5,000,000 | | | | AA+ | | | Series C, 5.000% due 2/1/33 | | | | | 6,072,413 | | |
| | | 2,500,000 | | | | AA+ | | | Series E, 5.000% due 6/1/43 | | | | | 3,110,757 | | |
| | | 3,040,000 | | | | AA+ | | | Series R, 5.000% due 8/1/22 | | | | | 3,095,812 | | |
| | | 50,000 | | | | AA+ | | | Series R2017A, 5.000% due 8/1/28 | | | | | 57,462 | | |
| | | 50,000 | | | | AA+ | | | Series R2017A, 5.000% due 8/1/30 | | | | | 57,301 | | |
| | | 355,000 | | | | AA+ | | | Series R2018C, 5.000% due 8/1/30 | | | | | 418,355 | | |
| | | 725,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/32 | | | | | 847,815 | | |
| | | 640,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/33 | | | | | 746,974 | | |
| | | 5,000,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/35 | | | | | 5,824,490 | | |
| | | | | | | | | | Tobacco Settlement Authority, Revenue Bonds: | | | |||||
| | | 70,000 | | | | A | | | 5.000% due 6/1/23 | | | | | 73,294 | | |
| | | 100,000 | | | | A | | | 5.000% due 6/1/24 | | | | | 104,637 | | |
| | | | | | | | | | Washington Health Care Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A | | | 5.000% due 7/1/26 | | | | | 68,668 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 10/1/27 | | | | | 82,559 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 10/1/28 | | | | | 72,114 | | |
| | | 40,000 | | | | A+ | | | 5.000% due 1/1/29 | | | | | 44,113 | | |
| | | 90,000 | | | | A | | | 5.000% due 7/1/29 | | | | | 106,584 | | |
| | | 20,000 | | | | A | | | 5.000% due 7/1/34 | | | | | 23,420 | | |
| | | 780,000 | | | | A | | | 5.000% due 7/1/42 | | | | | 908,634 | | |
| | | 115,000 | | | | AA- | | | Series A, 5.000% due 10/1/24 | | | | | 117,681 | | |
| | | 440,000 | | | | A- | | | Series A, 5.000% due 8/1/39 | | | | | 515,989 | | |
| | | | | | | | | | Washington Higher Education Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/29 | | | | | 16,894 | | |
| | | 35,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/30 | | | | | 39,293 | | |
| | | 40,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/31 | | | | | 44,850 | | |
| | | 210,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/33 | | | | | 235,315 | | |
| | | | | | | | | | Total Washington | | | | | 41,003,407 | | |
| West Virginia – 1.6% | | |||||||||||||||
| | | | | | | | | | State of West Virginia, GO: | | | | | | | |
| | | 9,860,000 | | | | AA- | | | Series B, 5.000% due 12/1/34 | | | | | 11,848,721 | | |
| | | 2,000,000 | | | | AA- | | | Series B, 5.000% due 6/1/35 | | | | | 2,402,460 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| West Virginia – (continued) | | |||||||||||||||
| | $ | 190,000 | | | | BBB+ | | | West Virginia Hospital Finance Authority, Revenue Bonds, 5.000% due 1/1/33 | | | | $ | 221,499 | | |
| | | | | | | | | | Total West Virginia | | | | | 14,472,680 | | |
| Wisconsin – 0.4% | | |||||||||||||||
| | | 160,000 | | | | A | | | Public Finance Authority, Revenue Bonds, 5.000% due 1/1/31 | | | | | 193,913 | | |
| | | | | | | | | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 400,000 | | | | A2(a) | | | 5.000% due 10/1/23 | | | | | 423,962 | | |
| | | 255,000 | | | | A+ | | | 5.000% due 11/15/24 | | | | | 279,954 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 5/1/26 | | | | | 26,745 | | |
| | | 50,000 | | | | A3(a) | | | 5.000% due 6/1/27 | | | | | 50,528 | | |
| | | 195,000 | | | | A+ | | | 5.000% due 11/15/27 | | | | | 213,809 | | |
| | | 50,000 | | | | BBB+ | | | 5.000% due 5/1/28 | | | | | 53,336 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 5/1/29 | | | | | 26,630 | | |
| | | 30,000 | | | | A3(a) | | | 5.000% due 6/1/32 | | | | | 30,301 | | |
| | | 70,000 | | | | A3(a) | | | 5.000% due 6/1/39 | | | | | 70,671 | | |
| | | 1,190,000 | | | | AA | | | 5.000% due 8/15/54(b) | | | | | 1,281,666 | | |
| | | 30,000 | | | | WR(a) | | | Series B, Prerefunded 7/1/23 @ 100, 5.000% due 7/1/25(d) | | | | | 31,573 | | |
| | | 200,000 | | | | WR(a) | | | Series B, Prerefunded 7/1/23 @ 100, 5.000% due 7/1/36(d) | | | | | 210,487 | | |
| | | 50,000 | | | | NR | | | Series C, Prerefunded 8/15/22 @ 100, 5.000% due 8/15/32(d) | | | | | 50,977 | | |
| | | 490,000 | | | | AA | | | Wisconsin Housing & Economic Development Authority, Revenue Bonds, Series A, 3.500% due 9/1/50 | | | | | 516,549 | | |
| | | | | | | | | | Total Wisconsin | | | | | 3,461,101 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $803,833,774) | | | | | 812,984,359 | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $803,833,774) | | | | | 812,984,359 | | |
| SHORT-TERM INVESTMENTS – 12.2% | | |||||||||||||||
| MUNICIPAL BONDS – 4.1% | | |||||||||||||||
| | | 4,000,000 | | | | | | | Charleston County School District, GO, 4.000% due 5/11/22 | | | | | 4,027,588 | | |
| | | 10,000,000 | | | | | | | City of Los Angeles CA, Revenue Notes, 4.000% due 6/23/22 | | | | | 10,103,806 | | |
| | | 2,500,000 | | | | | | | City of Topeka KS Combined Utility Revenue, Revenue Bonds, Series A, 4.000% due 8/1/22 | | | | | 2,535,264 | | |
| | | 5,200,000 | | | | | | | Colorado State Education Loan Program, Revenue Notes, Series A, 4.000% due 6/29/22 | | | | | 5,256,829 | | |
| | | 7,000,000 | | | | | | | Commonwealth of Massachusetts, GO, Series B, 5.000% due 11/1/22 | | | | | 7,197,535 | | |
| | | 5,000,000 | | | | | | | County of Los Angeles CA, Revenue Notes, 4.000% due 6/30/22 | | | | | 5,055,985 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – (continued) | | |||||||||||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| | $ | 3,500,000 | | | | | | | Town of Tonawanda NY, GO, Series B, 1.500% due 8/26/22 | | | | $ | 3,509,313 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $37,774,904) | | | | | 37,686,320 | | |
| TIME DEPOSITS – 8.1% | | |||||||||||||||
| | | 74,287,318 | | | | | | | Citibank – New York, 0.005% due 3/1/22 | | | | | 74,287,318 | | |
| | | 1,672,612 | | | | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 3/1/22 | | | | | 1,672,612 | | |
| | | | | | | | | | TOTAL TIME DEPOSITS (Cost – $75,959,930) | | | | | 75,959,930 | | |
| | | | | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $113,734,834) | | | | | 113,646,250 | | |
| | | | | | | | | | TOTAL INVESTMENTS – 99.4% (Cost – $917,568,608) | | | | | 926,630,609 | | |
| | | | | | | | | | Other Assets in Excess of Liabilities – 0.6% | | | | | 5,579,870 | | |
| | | | | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 932,210,479 | | |
|
| General Obligation | | | | | 44.6% | | |
| Education | | | | | 13.5 | | |
| Water and Sewer | | | | | 7.7 | | |
| Health Care Providers & Services | | | | | 7.1 | | |
| Transportation | | | | | 6.1 | | |
| Airport | | | | | 3.4 | | |
| Power | | | | | 1.2 | | |
| Development | | | | | 1.2 | | |
| Single Family Housing | | | | | 0.8 | | |
| Utilities | | | | | 0.7 | | |
| Student Loan | | | | | 0.4 | | |
| Facilities | | | | | 0.3 | | |
| Multifamily Housing | | �� | | | 0.3 | | |
| Pollution | | | | | 0.1 | | |
| Housing | | | | | 0.1 | | |
| Nursing Homes | | | | | 0.1 | | |
| Tobacco Settlement | | | | | 0.1 | | |
| Bond Bank | | | | | 0.0* | | |
| Short-Term Investments | | | | | 12.3 | | |
| | | | | | 100.0% | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – 25.5% | | ||||||||||||
| | $ | 2,420,092 | | | | Alternative Loan Trust, Series 2005-61, Class 2A2, 0.947% (1-Month USD-LIBOR + 0.760)% due 12/25/35(a) | | | | $ | 2,221,425 | | |
| | | 777,513 | | | | Bear Stearns ALT-A Trust, Series 2006-8, Class 3A1, 0.507% (1-Month USD-LIBOR + 0.320)% due 2/25/34(a) | | | | | 755,324 | | |
| | | | | | | Connecticut Avenue Securities Trust: | | | | | | | |
| | | 6,456,000 | | | | Series 2018-R07, Class 1B1, 4.537% (1-Month USD-LIBOR + 4.350)% due 4/25/31(a)(b) | | | | | 6,584,522 | | |
| | | 8,873,000 | | | | Series 2019-HRP1, Class B1, 9.437% (1-Month USD-LIBOR + 9.250)% due 11/25/39(a)(b) | | | | | 9,138,706 | | |
| | | 6,734,000 | | | | Series 2019-R01, Class 2B1, 4.537% (1-Month USD-LIBOR + 4.350)% due 7/25/31(a)(b) | | | | | 6,810,331 | | |
| | | 6,759,000 | | | | Series 2019-R02, Class 1B1, 4.337% (1-Month USD-LIBOR + 4.150)% due 8/25/31(a)(b) | | | | | 6,834,354 | | |
| | | 6,060,000 | | | | Series 2019-R03, Class 1B1, 4.287% (1-Month USD-LIBOR + 4.100)% due 9/25/31(a)(b) | | | | | 6,084,373 | | |
| | | 7,777,000 | | | | Series 2019-R04, Class 2B1, 5.437% (1-Month USD-LIBOR + 5.250)% due 6/25/39(a)(b) | | | | | 7,845,119 | | |
| | | 3,630,000 | | | | Series 2019-R05, Class 1B1, 4.287% (1-Month USD-LIBOR + 4.100)% due 7/25/39(a)(b) | | | | | 3,616,422 | | |
| | | 4,140,000 | | | | Series 2022-R02, Class 2B1, 4.549% (SOFR30A + 4.500)% due 1/25/42(a)(b) | | | | | 4,000,859 | | |
| | | 3,629,383 | | | | Deutsche Alternative-A Securities Mortgage Loan Trust, Series 2007-OA5, Class A1A, 0.387% (1-Month USD-LIBOR + 0.200)% due 8/25/47(a) | | | | | 3,427,645 | | |
| | | | | | | Federal National Mortgage Association (FNMA), Connecticut Avenue Securities: | | | | | | | |
| | | 572,507 | | | | Series 2015-C04, Class 1M2, 5.887% (1-Month USD-LIBOR + 5.700)% due 4/25/28(a)@ | | | | | 603,929 | | |
| | | 208,102 | | | | Series 2016-C01, Class 1B, 11.937% (1-Month USD-LIBOR + 11.750)% due 8/25/28(a)@ | | | | | 230,372 | | |
| | | 1,706,999 | | | | Series 2016-C01, Class 1M2, 6.937% (1-Month USD-LIBOR + 6.750)% due 8/25/28(a)@ | | | | | 1,789,483 | | |
| | | 685,107 | | | | Series 2016-C02, Class 1B, 12.437% (1-Month USD-LIBOR + 12.250)% due 9/25/28(a)@ | | | | | 778,472 | | |
| | | 5,479,653 | | | | Series 2016-C03, Class 2M2, 6.087% (1-Month USD-LIBOR + 5.900)% due 10/25/28(a)@ | | | | | 5,741,472 | | |
| | | 4,421,627 | | | | Series 2016-C05, Class 2M2, 4.637% (1-Month USD-LIBOR + 4.450)% due 1/25/29(a)@ | | | | | 4,569,319 | | |
| | | 7,060,000 | | | | Series 2017-C01, Class 1B1, 5.937% (1-Month USD-LIBOR + 5.750)% due 7/25/29(a)@ | | | | | 7,766,935 | | |
| | | 5,273,316 | | | | Series 2017-C01, Class 1M2, 3.737% (1-Month USD-LIBOR + 3.550)% due 7/25/29(a)@ | | | | | 5,408,442 | | |
| | | 6,650,000 | | | | Series 2017-C02, Class 2B1, 5.687% (1-Month USD-LIBOR + 5.500)% due 9/25/29(a)@ | | | | | 7,165,476 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 2,050,000 | | | | Series 2017-C02, Class 2M2C, 3.837% (1-Month USD-LIBOR + 3.650)% due 9/25/29(a)@ | | | | $ | 2,134,679 | | |
| | | 6,920,000 | | | | Series 2017-C03, Class 1B1, 5.037% (1-Month USD-LIBOR + 4.850)% due 10/25/29(a)@ | | | | | 7,268,744 | | |
| | | 6,186,593 | | | | Series 2017-C03, Class 1X1, 2.300% due 10/25/29(c)@ | | | | | 89,667 | | |
| | | 6,845,000 | | | | Series 2018-C03, Class 1B1, 3.937% (1-Month USD-LIBOR + 3.750)% due 10/25/30(a)@ | | | | | 6,898,489 | | |
| | | 6,546,000 | | | | Series 2018-C05, Class 1B1, 4.437% (1-Month USD-LIBOR + 4.250)% due 1/25/31(a)@ | | | | | 6,638,038 | | |
| | | 5,163,700 | | | | Series 2018-C06, Class 1B1, 3.937% (1-Month USD-LIBOR + 3.750)% due 3/25/31(a)@ | | | | | 5,133,018 | | |
| | | 4,970,000 | | | | Series 2018-C06, Class 2B1, 4.287% (1-Month USD-LIBOR + 4.100)% due 3/25/31(a) | | | | | 4,976,232 | | |
| | | 2,665,570 | | | | FNBA Mortgage Loan Trust, Series 2004-AR1, Class M2, 1.821% (1-Month USD-LIBOR + 1.650)% due 8/19/34(a) | | | | | 2,719,834 | | |
| | | | | | | Freddie Mac STACR REMIC Trust: | | | | | | | |
| | | 5,438,000 | | | | Series 2020-DNA1, Class B2, 5.437% (1-Month USD-LIBOR + 5.250)% due 1/25/50(a)(b) | | | | | 5,248,094 | | |
| | | 8,000,000 | | | | Series 2020-DNA3, Class B1, 5.287% (1-Month USD-LIBOR + 5.100)% due 6/25/50(a)(b) | | | | | 8,238,097 | | |
| | | 5,000,000 | | | | Series 2020-DNA3, Class B2, 9.537% (1-Month USD-LIBOR + 9.350)% due 6/25/50(a)(b) | | | | | 5,672,402 | | |
| | | 9,000,000 | | | | Series 2020-DNA4, Class B1, 6.187% (1-Month USD-LIBOR + 6.000)% due 8/25/50(a)(b) | | | | | 9,289,649 | | |
| | | 2,120,000 | | | | Series 2020-DNA4, Class B2, 10.187% (1-Month USD-LIBOR + 10.000)% due 8/25/50(a)(b) | | | | | 2,449,347 | | |
| | | 7,780,000 | | | | Series 2020-DNA5, Class B2, 11.549% (SOFR30A + 11.500)% due 10/25/50(a)(b) | | | | | 9,539,356 | | |
| | | 3,442,796 | | | | Series 2020-DNA5, Class M2, 2.849% (SOFR30A + 2.800)% due 10/25/50(a)(b) | | | | | 3,464,233 | | |
| | | 5,600,000 | | | | Series 2020-DNA6, Class B2, 5.699% (SOFR30A + 5.650)% due 12/25/50(a)(b) | | | | | 5,208,700 | | |
| | | 6,827,734 | | | | Series 2020-HQA2, Class M2, 3.287% (1-Month USD-LIBOR + 3.100)% due 3/25/50(a)(b) | | | | | 6,875,730 | | |
| | | 7,500,000 | | | | Series 2020-HQA3, Class B1, 5.937% (1-Month USD-LIBOR + 5.750)% due 7/25/50(a)(b) | | | | | 7,777,487 | | |
| | | 1,280,000 | | | | Series 2020-HQA3, Class B2, 10.187% (1-Month USD-LIBOR + 10.000)% due 7/25/50(a)(b) | | | | | 1,469,325 | | |
| | | 6,540,000 | | | | Series 2020-HQA4, Class B1, 5.437% (1-Month USD-LIBOR + 5.250)% due 9/25/50(a)(b) | | | | | 6,736,290 | | |
| | | 8,560,000 | | | | Series 2021-DNA5, Class B2, 5.549% (SOFR30A + 5.500)% due 1/25/34(a)(b) | | | | | 7,747,654 | | |
| | | 2,601,000 | | | | Series 2021-HQA1, Class B2, 5.049% (SOFR30A + 5.000)% due 8/25/33(a)(b) | | | | | 2,387,667 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,300,000 | | | | Series 2021-HQA2, Class B2, 5.499% (SOFR30A + 5.450)% due 12/25/33(a)(b) | | | | $ | 1,198,879 | | |
| | | | | | | Freddie Mac STACR Trust: | | | | | | | |
| | | 6,494,000 | | | | Series 2018-DNA2, Class B1, 3.887% (1-Month USD-LIBOR + 3.700)% due 12/25/30(a)(b) | | | | | 6,549,400 | | |
| | | 5,500,000 | | | | Series 2018-HQA2, Class B2, 11.187% (1-Month USD-LIBOR + 11.000)% due 10/25/48(a)(b) | | | | | 6,157,387 | | |
| | | 4,720,128 | | | | Series 2019-DNA1, Class B1, 4.837% (1-Month USD-LIBOR + 4.650)% due 1/25/49(a)(b) | | | | | 4,816,075 | | |
| | | 5,000,000 | | | | Series 2019-DNA1, Class B2, 10.937% (1-Month USD-LIBOR + 10.750)% due 1/25/49(a)(b) | | | | | 5,400,481 | | |
| | | 3,580,000 | | | | Series 2019-DNA2, Class B1, 4.537% (1-Month USD-LIBOR + 4.350)% due 3/25/49(a)(b) | | | | | 3,622,991 | | |
| | | 5,000,000 | | | | Series 2019-DNA2, Class B2, 10.687% (1-Month USD-LIBOR + 10.500)% due 3/25/49(a)(b) | | | | | 5,330,959 | | |
| | | 4,870,000 | | | | Series 2019-DNA3, Class B2, 8.337% (1-Month USD-LIBOR + 8.150)% due 7/25/49(a)(b) | | | | | 5,014,647 | | |
| | | 4,588,000 | | | | Series 2019-DNA4, Class B2, 6.437% (1-Month USD-LIBOR + 6.250)% due 10/25/49(a)(b) | | | | | 4,531,978 | | |
| | | 5,800,000 | | | | Series 2019-FTR1, Class B2, 8.537% (1-Month USD-LIBOR + 8.350)% due 1/25/48(a)(b) | | | | | 6,140,854 | | |
| | | 3,920,000 | | | | Series 2019-FTR2, Class B2, 7.587% (1-Month USD-LIBOR + 7.400)% due 11/25/48(a)(b) | | | | | 3,888,884 | | |
| | | 5,620,000 | | | | Series 2019-HQA1, Class B1, 4.587% (1-Month USD-LIBOR + 4.400)% due 2/25/49(a)(b) | | | | | 5,671,102 | | |
| | | 4,030,000 | | | | Series 2019-HQA1, Class B2, 12.437% (1-Month USD-LIBOR + 12.250)% due 2/25/49(a)(b) | | | | | 4,448,764 | | |
| | | 3,800,000 | | | | Series 2019-HQA2, Class B1, 4.287% (1-Month USD-LIBOR + 4.100)% due 4/25/49(a)(b) | | | | | 3,799,996 | | |
| | | 5,000,000 | | | | Series 2019-HQA2, Class B2, 11.437% (1-Month USD-LIBOR + 11.250)% due 4/25/49(a)(b) | | | | | 5,395,398 | | |
| | | 5,000,000 | | | | Series 2019-HRP1, Class B2, 9.687% (1-Month USD-LIBOR + 9.500)% due 2/25/49(a)(b) | | | | | 5,273,909 | | |
| | | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes: | | | | | | | |
| | | 5,931,147 | | | | Series 2015-DNA2, Class B, 7.737% (1-Month USD-LIBOR + 7.550)% due 12/25/27(a) | | | | | 6,204,082 | | |
| | | 4,957,810 | | | | Series 2015-DNA3, Class B, 9.537% (1-Month USD-LIBOR + 9.350)% due 4/25/28(a)@ | | | | | 5,425,753 | | |
| | | 542,660 | | | | Series 2016-DNA1, Class B, 10.187% (1-Month USD-LIBOR + 10.000)% due 7/25/28(a) | | | | | 600,224 | | |
| | | 1,987,313 | | | | Series 2016-HQA3, Class B, 9.187% (1-Month USD-LIBOR + 9.000)% due 3/25/29(a)@ | | | | | 2,121,974 | | |
| Face Amount/Units | | | Security | | | Value | | | ||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | | ||||||||||||||
| | $ | 4,000,000 | | | | Series 2017-DNA3, Class B1, 4.637% (1-Month USD-LIBOR + 4.450)% due 3/25/30(a) | | | | $ | 4,182,509 | | | | ||
| | | 4,290,000 | | | | Series 2017-HQA3, Class B1, 4.637% (1-Month USD-LIBOR + 4.450)% due 4/25/30(a)@ | | | | | 4,460,850 | | | | ||
| | | 1,280,000 | | | | Series 2021-DNA2, Class B2, 6.049% (SOFR30A + 6.000)% due 8/25/33(a)(b) | | | | | 1,200,050 | | | | ||
| | | | | | | STACR Trust: | | | | | | | | | | |
| | | 5,100,000 | | | | Series 2018-DNA3, Class B2, 7.937% (1-Month USD-LIBOR + 7.750)% due 9/25/48(a)(b) | | | | | 5,304,595 | | | | ||
| | | 7,803,680 | | | | Series 2018-HRP1, Class B2, 11.937% (1-Month USD-LIBOR + 11.750)% due 5/25/43(a)(b) | | | | | 8,560,815 | | | | ||
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $330,935,883) | | | | | 324,638,268 | | | | ||
| ASSET-BACKED SECURITIES – 9.1% | | | ||||||||||||||
| | | 2,785,907 | | | | Aames Mortgage Investment Trust, Series 2005-4, Class M3, 0.967% (1-Month USD-LIBOR + 0.780)% due 10/25/35(a) | | | | | 2,774,418 | | | | ||
| | | | | | | ABFC Trust: | | | | | | | | | ||
| | | 3,358,183 | | | | Series 2003-OPT1, Class A3, 0.867% (1-Month USD-LIBOR + 0.680)% due 4/25/33(a) | | | | | 3,251,481 | | | | ||
| | | 2,172,264 | | | | Series 2005-WF1, Class M2, 0.787% (1-Month USD-LIBOR + 0.600)% due 10/25/34(a) | | | | | 2,164,701 | | | | ||
| | | 1,366,934 | | | | Accredited Mortgage Loan Trust, Series 2006-2, Class A4, 0.447% (1-Month USD-LIBOR + 0.260)% due 9/25/36(a) | | | | | 1,349,817 | | | | ||
| | | 1,695,136 | | | | Asset Backed Securities Corp. Home Equity Loan Trust, Series 2007-HE1, Class A4, 0.327% (1-Month USD-LIBOR + 0.140)% due 12/25/36(a) | | | | | 1,663,207 | | | | ||
| | | | | | | Brookside Mill CLO Ltd.: | | | | | | | | | ||
| | | 3,000,000 | | | | Series 2013-1A, Class BR, 1.591% (3-Month USD-LIBOR + 1.350)% due 1/17/28(a)(b) | | | | | 3,000,000 | | | | ||
| | | 410,000 | | | | Series 2013-1A, Class ER, 5.741% (3-Month USD-LIBOR + 5.500)% due 1/17/28(a)(b) | | | | | 410,000 | | | | ||
| | | 3,005,394 | | | | Carrington Mortgage Loan Trust, Series 2006-NC3, Class A3, 0.337% (1-Month USD-LIBOR + 0.150)% due 8/25/36(a) | | | | | 2,933,062 | | | | ||
| | | 2,548,158 | | | | CHEC Loan Trust, Series 2004-1, Class A3, 1.187% (1-Month USD-LIBOR + 1.000)% due 7/25/34(a)(b) | | | | | 2,513,991 | | | | ||
| | | | | | | Countrywide Asset-Backed Certificates: | | | | | | | | | ||
| | | 3,163,958 | | | | Series 2004-2, Class M1, 0.937% (1-Month USD-LIBOR + 0.750)% due 5/25/34(a) | | | | | 3,137,053 | | | | ||
| | | 16,270,145 | | | | Series 2006-22, Class 1A, 0.327% (1-Month USD-LIBOR + 0.140)% due 6/25/35(a) | | | | | 15,592,576 | | | | ||
| | | 1,462,950 | | | | Series 2007-2, Class 2A3, 0.327% (1-Month USD-LIBOR + 0.140)% due 8/25/37(a) | | | | | 1,450,764 | | | | ||
| | | 704,198 | | | | CWABS Asset-Backed Certificates Trust, Series 2007-12, Class 2A3, 0.987% (1-Month USD-LIBOR + 0.800)% due 8/25/47(a) | | | | | 701,137 | | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 1,978,841 | | | | Ellington Loan Acquisition Trust, Series 2007-1, Class A1, 1.287% (1-Month USD-LIBOR + 1.100)% due 5/25/37(a)(b) | | | | $ | 1,968,489 | | |
| | | 3,086,234 | | | | EquiFirst Mortgage Loan Trust, Series 2003-2, Class 1A1, 1.251% (1-Month USD-LIBOR + 1.125)% due 9/25/33(a) | | | | | 3,056,484 | | |
| | | 5,263,953 | | | | Fremont Home Loan Trust, Series 2003-A, Class M1, 1.162% (1-Month USD-LIBOR + 0.975)% due 8/25/33(a) | | | | | 5,190,026 | | |
| | | 5,090,000 | | | | GSAMP Trust, Series 2005-WMC3, Class A2C, 0.847% (1-Month USD-LIBOR + 0.660)% due 12/25/35(a) | | | | | 4,992,992 | | |
| | | 75,560 | | | | Home Equity Asset Trust, Series 2005-7, Class M1, 0.637% (1-Month USD-LIBOR + 0.675)% due 1/25/36(a) | | | | | 75,540 | | |
| | | 3,143,519 | | | | HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class M2, 0.772% (1-Month USD-LIBOR + 0.585)% due 1/25/36(a) | | | | | 3,135,821 | | |
| | | 3,328,856 | | | | JP Morgan Mortgage Acquisition Trust, Series 2007-CH4, Class A5, 0.427% (1-Month USD-LIBOR + 0.240)% due 5/25/37(a) | | | | | 3,305,857 | | |
| | | 2,700,000 | | | | KVK CLO Ltd., Series 2018-1A, Class E, 6.330% (3-Month USD-LIBOR + 5.850)% due 5/20/29(a)(b) | | | | | 2,700,000 | | |
| | | 3,151,575 | | | | Long Beach Mortgage Loan Trust, Series 2004-4, Class M1, 1.087% (1-Month USD-LIBOR + 0.900)% due 10/25/34(a) | | | | | 3,115,284 | | |
| | | 1,300,000 | | | | Longfellow Place CLO Ltd., Series 2013-1A, Class ERR, 7.941% (3-Month USD-LIBOR + 7.700)% due 4/15/29(a)(b) | | | | | 1,265,888 | | |
| | | 2,851,891 | | | | Mastr Asset Backed Securities Trust, Series 2004-WMC1, Class M1, 0.967% (1-Month USD-LIBOR + 0.780)% due 2/25/34(a) | | | | | 2,845,673 | | |
| | | | | | | Merrill Lynch Mortgage Investors Trust: | | | | | | | |
| | | 889,649 | | | | Series 2005-FM1, Class M1, 0.907% (1-Month USD-LIBOR + 0.720)% due 5/25/36(a) | | | | | 883,146 | | |
| | | 2,991,240 | | | | Series 2006-OPT1, Class A2C, 0.337% (1-Month USD-LIBOR + 0.150)% due 8/25/37(a) | | | | | 2,891,132 | | |
| | | 742,796 | | | | Morgan Stanley ABS Capital I Inc. Trust, Series 2005-HE2, Class M1, 0.787% (1-Month USD-LIBOR + 0.600)% due 1/25/35(a) | | | | | 741,773 | | |
| | | | | | | Nationstar Home Equity Loan Trust: | | | | | | | |
| | | 358,780 | | | | Series 2006-B, Class AV4, 0.467% (1-Month USD-LIBOR + 0.280)% due 9/25/36(a) | | | | | 358,606 | | |
| | | 2,422,950 | | | | Series 2007-C, Class 1AV1, 0.362% (1-Month USD-LIBOR + 0.175)% due 6/25/37(a) | | | | | 2,374,349 | | |
| | | 2,323,281 | | | | NovaStar Mortgage Funding Trust, Series 2006-1, Class A2C, 0.507% (1-Month USD-LIBOR + 0.320)% due 5/25/36(a) | | | | | 2,299,679 | | |
| | | 525,626 | | | | Option One Mortgage Loan Trust, Series 2005-3, Class M2, 0.922% (1-Month USD-LIBOR + 0.735)% due 8/25/35(a) | | | | | 525,069 | | |
| | | | | | | Park Place Securities Inc. Asset-Backed Pass-Through Certificates: | | | | | | | |
| | | 3,600,000 | | | | Series 2005-WCH1, Class M5, 1.507% (1-Month USD-LIBOR + 1.320)% due 1/25/36(a) | | | | | 3,571,521 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 1,881,598 | | | | Series 2005-WCW2, Class M2, 0.982% (1-Month USD-LIBOR + 0.795)% due 7/25/35(a) | | | | $ | 1,878,502 | | |
| | | 1,813,129 | | | | Park Place Securities Inc., Series 2005-WCW1, Class M2, 0.892% (1-Month USD-LIBOR + 0.705)% due 9/25/35(a) | | | | | 1,825,266 | | |
| | | 2,703,933 | | | | Ramp Trust, Series 2004-RS8, Class MII2, 1.912% (1-Month USD-LIBOR + 1.150)% due 8/25/34(a) | | | | | 2,674,796 | | |
| | | 380,000 | | | | Steele Creek CLO Ltd., Series 2016-1A, Class ER, 5.953% (3-Month USD-LIBOR + 5.750)% due 6/15/31(a)(b) | | | | | 338,495 | | |
| | | 445,961 | | | | Structured Asset Investment Loan Trust, Series 2004-7, Class A7, 1.027% (1-Month USD-LIBOR + 0.840)% due 8/25/34(a) | | | | | 445,751 | | |
| | | | | | | Structured Asset Securities Corp. Mortgage Loan Trust: | | | | | | | |
| | | 1,000,000 | | | | Series 2005-WF4, Class M6, 1.192% (1-Month USD-LIBOR + 1.005)% due 11/25/35(a) | | | | | 990,405 | | |
| | | 2,600,000 | | | | Series 2005-WF4, Class M8, 2.812% (1-Month USD-LIBOR + 2.625)% due 11/25/35(a) | | | | | 2,643,598 | | |
| | | 8,719,761 | | | | Series 2006-BC6, Class A1, 0.347% (1-Month USD-LIBOR + 0.160)% due 1/25/37(a) | | | | | 8,544,403 | | |
| | | 1,425,875 | | | | Series 2006-BC6, Class A4, 0.357% (1-Month USD-LIBOR + 0.170)% due 1/25/37(a) | | | | | 1,415,547 | | |
| | | 1,844,762 | | | | Series 2006-GEL1, Class M2, 1.387% (1-Month USD-LIBOR + 1.200)% due 11/25/35(a)(b) | | | | | 1,839,750 | | |
| | | 1,285,166 | | | | Series 2007-BC3, Class 2A3, 0.367% (1-Month USD-LIBOR + 0.180)% due 5/25/47(a) | | | | | 1,260,638 | | |
| | | 3,325,384 | | | | Terwin Mortgage Trust, Series 2006-5, Class 1A2B, 0.607% (1-Month USD-LIBOR + 0.420)% due 7/25/37(a)(b) | | | | | 3,288,473 | | |
| | | 1,030,000 | | | | Venture XVIII CLO Ltd., Series 2014-18A, Class ER, 6.831% (3-Month USD-LIBOR + 6.590)% due 10/15/29(a)(b) | | | | | 970,746 | | |
| | | 1,291,000 | | | | Vibrant ClO VIII Ltd., Series 2018-8A, Class A1B, 1.504% (3-Month USD-LIBOR + 1.250)% due 1/20/31(a)(b) | | | | | 1,289,478 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $112,913,996) | | | | | 115,645,384 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 10.1% | | ||||||||||||
| Consumer Cyclical – 5.5% | | ||||||||||||
| | $ | 14,632,000 | | | | AMC Entertainment Holdings Inc., Secured Notes, 10.000% due 6/15/26(b) | | | | $ | 13,516,310 | | |
| | | 10,790,000 | | | | Arrow Bidco LLC, Senior Secured Notes, 9.500% due 3/15/24(b)(d) | | | | | 10,951,850 | | |
| | | 23,119,000 | | | | Cinemark USA Inc., Company Guaranteed Notes, 5.250% due 7/15/28(b)(d) | | | | | 22,050,671 | | |
| | | 10,400,000 | | | | Guitar Center Inc., Senior Secured Notes, 8.500% due 1/15/26(b)(d) | | | | | 10,908,768 | | |
| | | 11,810,000 | | | | Mclaren Finance PLC, Senior Secured Notes, 7.500% due 8/1/26(b)(d) | | | | | 11,750,950 | | |
| | | | | | | Total Consumer Cyclical | | | | | 69,178,549 | | |
| Consumer Non-cyclical – 1.6% | | ||||||||||||
| | | 9,125,000 | | | | Curaleaf Holdings Inc., Senior Secured Notes, 8.000% due 12/15/26(b) | | | | | 9,104,322 | | |
| | | 10,899,000 | | | | MoneyGram International Inc., Senior Secured Notes, 5.375% due 8/1/26(b) | | | | | 11,381,281 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 20,485,603 | | |
| Financial – 0.9% | | ||||||||||||
| | | 13,371,000 | | | | Home Point Capital Inc., Company Guaranteed Notes, 5.000% due 2/1/26(b)(d) | | | | | 11,031,075 | | |
| Industrial – 0.9% | | ||||||||||||
| | | 10,146,000 | | | | Fortress Transportation & Infrastructure Investors LLC, Senior Unsecured Notes, 9.750% due 8/1/27(b) | | | | | 11,135,235 | | |
| Utilities – 1.2% | | ||||||||||||
| | | | | | | Vistra Corp., Junior Subordinated Notes: | | | | | | | |
| | | 13,153,000 | | | | 7.000% (5-Year CMT Index + 5.740)%(a)(b)(e) | | | | | 13,054,353 | | |
| | | 1,755,000 | | | | 8.000% (5-Year CMT Index + 6.930)%(a)(b)(e) | | | | | 1,803,262 | | |
| | | | | | | Total Utilities | | | | | 14,857,615 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $128,799,547) | | | | | 126,688,077 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 27.4% | | ||||||||||||
| COMMUNICATIONS – 0.5% | | ||||||||||||
| Internet – 0.3% | | ||||||||||||
| | | 355,172 | | | | Solo Brands Inc., Class A Shares*(f) | | | | | 3,750,616 | | |
| Telecommunications – 0.2% | | ||||||||||||
| | | 170,879 | | | | Telephone & Data Systems Inc.(d) | | | | | 2,964,751 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 6,715,367 | | |
| CONSUMER CYCLICAL – 5.5% | | ||||||||||||
| Auto Parts & Equipment – 1.0% | | ||||||||||||
| | | 1,006,566 | | | | Holley Inc.*(d)(f) | | | | | 13,055,161 | | |
| Entertainment – 2.5% | | ||||||||||||
| | | 561,852 | | | | Golden Entertainment Inc.*(d) | | | | | 31,986,235 | | |
| Leisure Time – 0.4% | | ||||||||||||
| | | 223,006 | | | | Callaway Golf Co.* | | | | | 5,517,169 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Retail – 1.6% | | ||||||||||||
| | | 363,715 | | | | Kohl’s Corp. | | | | $ | 20,229,828 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 70,788,393 | | |
| CONSUMER NON-CYCLICAL – 5.9% | | ||||||||||||
| Biotechnology – 4.5% | | ||||||||||||
| | | 41,014 | | | | Ascendis Pharma AS, ADR*(d) | | | | | 4,609,563 | | |
| | | 952,589 | | | | Crinetics Pharmaceuticals Inc.* | | | | | 19,070,832 | | |
| | | 222,780 | | | | DICE Therapeutics Inc.*(f) | | | | | 4,119,202 | | |
| | | 399,108 | | | | Elevation Oncology Inc.*(f) | | | | | 1,348,985 | | |
| | | 491,604 | | | | EQRx Inc.*(f) | | | | | 1,484,644 | | |
| | | 547,629 | | | | Relay Therapeutics Inc.* | | | | | 13,203,335 | | |
| | | 43,574 | | | | Sema4 Holdings Corp.* | | | | | 152,073 | | |
| | | 121,607 | | | | SpringWorks Therapeutics Inc.*(d) | | | | | 6,881,740 | | |
| | | 220,082 | | | | Xenon Pharmaceuticals Inc.* | | | | | 6,976,599 | | |
| | | | | | | Total Biotechnology | | | | | 57,846,973 | | |
| Food – 0.5% | | ||||||||||||
| | | 150,000 | | | | US Foods Holding Corp.*(d) | | | | | 5,863,500 | | |
| Healthcare-Products – 0.7% | | ||||||||||||
| | | 61,416 | | | | Minerva Surgical Inc.*(f) | | | | | 321,820 | | |
| | | 393,649 | | | | SeaSpine Holdings Corp.*(d) | | | | | 4,987,533 | | |
| | | 386,550 | | | | SomaLogic Inc.*(d) | | | | | 3,513,740 | | |
| | | | | | | Total Healthcare-Products | | | | | 8,823,093 | | |
| Pharmaceuticals – 0.2% | | ||||||||||||
| | | 399,219 | | | | Curaleaf Holdings Inc.* | | | | | 2,794,533 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 75,328,099 | | |
| DIVERSIFIED – 6.9% | | ||||||||||||
| SPACs – 6.9% | | ||||||||||||
| | | 366,528 | | | | Class Acceleration Corp., Class A Shares*(d) | | | | | 3,577,313 | | |
| | | 565,129 | | | | Corazon Capital V838 Monoceros Corp., Class A Shares*(d)(g) | | | | | 5,484,577 | | |
| | | 743,800 | | | | DA32 Life Science Tech Acquisition Corp., Class A Shares*(d) | | | | | 7,155,356 | | |
| | | 992,028 | | | | EJF Acquisition Corp., Class A Shares*(d)(f) | | | | | 9,821,077 | | |
| | | 446,038 | | | | EQRx, Inc.*(g) | | | | | 1,347,035 | | |
| | | 1,113,750 | | | | First Light Acquisition Group Inc., Class A Shares*(d)(g) | | | | | 10,970,437 | | |
| | | 366,308 | | | | FTAC Zeus Acquisition Corp., Class A Shares*(g) | | | | | 3,571,503 | | |
| | | 937,446 | | | | Jack Creek Investment Corp., Class A Shares*(d) | | | | | 9,149,473 | | |
| | | 561,397 | | | | L&F Acquisition Corp., Class A Shares*(d) | | | | | 5,656,075 | | |
| | | 587,255 | | | | Live Oak Mobility Acquisition Corp., Class A Shares*(d) | | | | | 5,705,182 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 557,775 | | | | Logistics Innovation Technologies Corp., Class A Shares*(d)(g) | | | | $ | 5,388,106 | | |
| | | 568,036 | | | | Senior Connect Acquisition Corp. I, Class A Shares*(d) | | | | | 5,561,072 | | |
| | | 565,129 | | | | Tekkorp Digital Acquisition Corp., Class A Shares*(d)@ | | | | | 5,549,567 | | |
| | | 549,384 | | | | Tishman Speyer Innovation Corp. II, Class A Shares*(d) | | | | | 5,351,000 | | |
| | | 232,340 | | | | Z-Work Acquisition Corp., Class A Shares* | | | | | 2,262,992 | | |
| | | | | | | Total SPACs | | | | | 86,550,765 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 86,550,765 | | |
| FINANCIAL – 4.8% | | ||||||||||||
| Banks – 3.2% | | ||||||||||||
| | | 1,004,191 | | | | Blue Foundry Bancorp*(d) | | | | | 13,948,213 | | |
| | | 767,447 | | | | HarborOne Bancorp Inc.(d) | | | | | 11,350,541 | | |
| | | 1,106,672 | | | | Kearny Financial Corp.(d) | | | | | 14,619,137 | | |
| | | | | | | Total Banks | | | | | 39,917,891 | | |
| Diversified Financial Services – 0.3% | | ||||||||||||
| | | 83,810 | | | | Ally Financial Inc. | | | | | 4,182,119 | | |
| Financial Services – 0.1% | | ||||||||||||
| | | 489,000 | | | | Sema4 Holdings Corp.*(g)@ | | | | | 1,706,610 | | |
| Savings & Loans – 1.2% | | ||||||||||||
| | | 483,799 | | | | Berkshire Hills Bancorp Inc.(d) | | | | | 15,046,149 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 60,852,769 | | |
| INDUSTRIAL – 3.8% | | ||||||||||||
| Engineering & Construction – 1.3% | | ||||||||||||
| | | 486,338 | | | | WillScot Mobile Mini Holdings Corp.* | | | | | 17,279,589 | | |
| Metal Fabricate/Hardware – 0.9% | | ||||||||||||
| | | 1,192,003 | | | | Hillman Solutions Corp.*(d) | | | | | 11,180,988 | | |
| Transportation – 1.6% | | ||||||||||||
| | | 428,632 | | | | Air Transport Services Group Inc.*(d) | | | | | 13,506,195 | | |
| | | 100,169 | | | | XPO Logistics Inc.*(d) | | | | | 7,280,283 | | |
| | | | | | | Total Transportation | | | | | 20,786,478 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 49,247,055 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $333,445,157) | | | | | 349,482,448 | | |
| OPEN-END FUNDS – 18.9% | | ||||||||||||
| | | 19,120,259 | | | | JPMorgan Strategic Income Opportunities Fund, Class R6 Shares | | | | | 219,882,984 | | |
| | | 1,682,086 | | | | Palm Valley Capital Fund | | | | | 20,218,671 | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| OPEN-END FUNDS – (continued) | | | | ||||||||||||||||
| | | | | | | TOTAL OPEN-END FUNDS (Cost – $240,929,813) | | | | $ | 240,101,655 | | | | | ||||
| EQUITY LINKED NOTES – 1.5% | | | | ||||||||||||||||
| DIVERSIFIED – 1.2% | | | | ||||||||||||||||
| SPACs – 1.2% | | | | | | | | ||||||||||||
| | | 1,474,215 | | | | Screaming Eagle Acquisition Corp., 0.000% due* | | | | | 14,565,244 | | | | | ||||
| FINANCIAL – 0.3% | | | | ||||||||||||||||
| Financial Services – 0.3% | | | | ||||||||||||||||
| | | 439,830 | | | | SomaLogic, Inc.*(g)@ | | | | | 3,998,055 | | | | | ||||
| | | | | | | TOTAL EQUITY LINKED NOTES (Cost – $19,140,450) | | | | | 18,563,299 | | | | | ||||
| PREFERRED STOCKS – 1.5% | | | | ||||||||||||||||
| COMMUNICATIONS – 0.8% | | | | ||||||||||||||||
| Telecommunications – 0.8% | | | | ||||||||||||||||
| | | | | | | Telephone & Data Systems Inc.: | | | | | |||||||||
| | | 340,475 | | | | 6.000%(d)(e) | | | | | 7,728,782 | | | | | ||||
| | | 77,001 | | | | 6.625%(e) | | | | | 1,925,025 | | | | | ||||
| | | | | | | Total Telecommunications | | | | | 9,653,807 | | | | | | | ||
| | | | | | | TOTAL COMMUNICATIONS | | | | | 9,653,807 | | | | | ||||
| CONSUMER CYCLICAL – 0.7% | | | | ||||||||||||||||
| Retail – 0.7% | | | | ||||||||||||||||
| | | 93,673 | | | | Qurate Retail Inc., 8.000%(d) | | | | | 8,735,944 | | | | | ||||
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $19,836,090) | | | | | 18,389,751 | | | | | ||||
| WARRANTS – 0.2% | | | | ||||||||||||||||
| DIVERSIFIED – 0.2% | | | | ||||||||||||||||
| SPACs – 0.0% | | | | ||||||||||||||||
| | | 183,263 | | | | Class Acceleration Corp., due 03/31/28, Strike Price $11.50*(g) | | | | | 42,884 | | | | | ||||
| | | 179,620 | | | | Corazon Capital V838 Monoceros Corp., due 12/31/28, Strike Price $11.50*(g) | | | | | 86,110 | | | | | ||||
| | | 39,205 | | | | Deep Lake Capital Acquisition Corp., due 12/31/27, Strike Price $11.50*(g) | | | | | 12,938 | | | | | ||||
| | | 330,676 | | | | EJF Acquisition Corp., due 02/28/27, Strike Price $11.50*(g) | | | | | 363,744 | | | | | ||||
| | | 88,320 | | | | EQRx Inc., due 12/20/26, Strike Price $11.50*(b) | | | | | 51,676 | | | | | ||||
| | | 556,875 | | | | First Light Acquisition Group Inc., due 10/07/23, Strike Price $11.50*(g) | | | | | 228,319 | | | | | ||||
| | | 183,154 | | | | FTAC Zeus Acquisition Corp., due 12/31/27, Strike Price $11.50*(g) | | | | | 67,767 | | | | | ||||
| | | 131,807 | | | | Inspirato Inc., due 02/11/27, Strike Price $11.50*(g) | | | | | 234,616 | | | | | ||||
| | | 468,723 | | | | Jack Creek Investment Corp., due 12/31/27, Strike Price $11.50*(g) | | | | | 112,493 | | | | | ||||
| | | 244,085 | | | | L&F Acquisition Corp., due 05/23/27, Strike Price $11.50*(g) | | | | | 87,871 | | | | | ||||
| | | 117,449 | | | | Live Oak Mobility Acquisition Corp., due 03/04/28, Strike Price $11.50*(g) | | | | | 65,771 | | | | | ||||
| | | 185,925 | | | | Logistics Innovation Technologies Corp., due 06/15/28, Strike Price $11.50*(g) | | | | | 63,754 | | | | |
| Shares/Units | | | Security | | | Value | | ||||||
| WARRANTS – (continued) | | ||||||||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 154,180 | | | | Longview Acquisition Corp. II, due 05/10/26, Strike Price $11.50*(g) | | | | $ | 63,214 | | |
| | | 885,501 | | | | Omnichannel Acquisition Corp., due 12/30/27, Strike Price $11.50*(g) | | | | | 229,256 | | |
| | | 232,452 | | | | Senior Connect Acquisition Corp. I, due 12/31/27, Strike Price $11.50*(g) | | | | | 84,473 | | |
| | | 77,310 | | | | SomaLogic Inc., due 08/31/26, Strike Price $11.50*(f)(g) | | | | | 191,729 | | |
| | | 219,657 | | | | Tekkorp Digital Acquisition Corp., due 10/26/27, Strike Price $11.50*(g)@ | | | | | 73,761 | | |
| | | 109,876 | | | | Tishman Speyer Innovation Corp. II, due 12/31/27, Strike Price $11.50*(g) | | | | | 49,444 | | |
| | | 23,299 | | | | X4 Pharmaceuticals Inc., due 04/12/24, Strike Price $13.20*(g) | | | | | 1,631 | | |
| | | 77,446 | | | | Z-Work Acquisition Corp., due 01/04/26, Strike Price $11.50*(g) | | | | | 20,136 | | |
| | | | | | | Total SPACs | | | | | 2,131,587 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 2,131,587 | | |
| | | | | | | TOTAL WARRANTS (Cost – $4,055,557) | | | | | 2,131,587 | | |
| Notional Amount | | | Security | | | Value | | ||||||
| PURCHASED SWAPTION – 0.2% | | ||||||||||||
| Interest Rate Swaption – 0.2% | | ||||||||||||
| | $ | 90,000,000 | | | | 10-Year Constant Maturity Swap, 3-Month USD-LIBOR, Call, 2.25%, expires 5/22/23, Counterparty: MSCS (Cost – $2,029,500) | | | | | 2,427,559 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $1,192,085,993) | | | | | 1,198,068,028 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 4.7% | | ||||||||||||
| TIME DEPOSITS – 4.7% | | ||||||||||||
| | $ | 3,278,799 | | | | Banco Bilbao Vizcaya Argentaria SA – Madrid, 0.005% due 3/1/22 | | | | | 3,278,799 | | |
| | | 26,247,726 | | | | Barclays Bank PLC – London, 0.005% due 3/1/22 | | | | | 26,247,726 | | |
| | | 30,881,180 | | | | Skandinaviska Enskilda Banken AB – Stockholm, 0.005% due 3/1/22 | | | | | 30,881,180 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $60,407,705) | | | | | 60,407,705 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.8% | | ||||||||||||
| MONEY MARKET FUND – 0.8% | | ||||||||||||
| | | 10,098,320 | | | | Federated Government Obligations Fund, Premier Class, 0.025%(h) (Cost – $10,098,320) | | | | $ | 10,098,320 | | |
| | | | | | | TOTAL INVESTMENTS – 99.9% (Cost – $1,262,592,018) | | | | | 1,268,574,053 | | |
| | | | | | | Other Assets in Excess of Liabilities – 0.1% | | | | | 4,548,227 | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 1,273,122,280 | | |
Security | | | First Acquisition Date | | | First Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Federal National Mortgage Association (FNMA), Connecticut Avenue Securities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Series 2015-C04, Class 1M2, 5.887% (1-Month USD-LIBOR + 5.700%) due 4/25/28 | | | | | 3/26/2020 | | | | | $ | 2,461,077 | | | | | $ | 603,929 | | | | | | 0.05% | | |
Series 2016-C01, Class 1B, 11.937% (1-Month USD-LIBOR + 11.750%) due 8/25/28 | | | | | 8/3/2021 | | | | | | 236,453 | | | | | | 230,372 | | | | | | 0.02% | | |
Series 2016-C01, Class 1M2, 6.937% (1-Month USD-LIBOR + 6.750%) due 8/25/28 | | | | | 4/14/2020 | | | | | | 3,699,038 | | | | | | 1,789,483 | | | | | | 0.14% | | |
Series 2016-C02, Class 1B, 12.437% (1-Month USD-LIBOR + 12.250%) due 9/25/28 | | | | | 8/10/2021 | | | | | | 799,642 | | | | | | 778,472 | | | | | | 0.06% | | |
Series 2016-C03, Class 2M2, 6.087% (1-Month USD-LIBOR + 5.900%) due 10/25/28 | | | | | 3/17/2020 | | | | | | 2,941,204 | | | | | | 5,741,472 | | | | | | 0.45% | | |
Series 2016-C05, Class 2M2, 4.637% (1-Month USD-LIBOR + 4.450%) due 1/25/29 | | | | | 9/26/2019 | | | | | | 4,548,000 | | | | | | 4,569,319 | | | | | | 0.36% | | |
Series 2017-C01, Class 1B1, 5.937% (1-Month USD-LIBOR + 5.750%) due 7/25/29 | | | | | 11/17/2020 | | | | | | 2,739,200 | | | | | | 7,766,935 | | | | | | 0.61% | | |
Security | | | First Acquisition Date | | | First Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Series 2017-C01, Class 1M2, 3.737% (1-Month USD-LIBOR + 3.550%) due 7/25/29 | | | | | 11/24/2020 | | | | | $ | 895,148 | | | | | $ | 5,408,442 | | | | | | 0.42% | | |
Series 2017-C02, Class 2B1, 5.687% (1-Month USD-LIBOR + 5.500%) due 9/25/29 | | | | | 2/22/2022 | | | | | | 7,278,633 | | | | | | 7,165,476 | | | | | | 0.56% | | |
Series 2017-C02, Class 2M2C, 3.837% (1-Month USD-LIBOR + 3.650%) due 9/25/29 | | | | | 5/19/2020 | | | | | | 867,500 | | | | | | 2,134,679 | | | | | | 0.17% | | |
Series 2017-C03, Class 1B1, 5.037% (1-Month USD-LIBOR + 4.850%) due 10/25/29 | | | | | 1/12/2021 | | | | | | 6,145,425 | | | | | | 7,268,744 | | | | | | 0.57% | | |
Series 2017-C03, Class 1X1, 2.300% due 10/25/29 | | | | | 2/16/2021 | | | | | | 181,485 | | | | | | 89,667 | | | | | | 0.01% | | |
Series 2018-C03, Class 1B1, 3.937% (1-Month USD-LIBOR + 3.750%) due 10/25/30 | | | | | 4/7/2021 | | | | | | 3,599,409 | | | | | | 6,898,489 | | | | | | 0.54% | | |
Series 2018-C05, Class 1B1, 4.437% (1-Month USD-LIBOR + 4.250%) due 1/25/31 | | | | | 10/22/2020 | | | | | | 1,499,569 | | | | | | 6,638,038 | | | | | | 0.52% | | |
Series 2018-C06, Class 1B1, 3.937% (1-Month USD-LIBOR + 3.750%) due 3/25/31 | | | | | 6/29/2021 | | | | | | 3,490,313 | | | | | | 5,133,018 | | | | | | 0.40% | | |
Freddie Mac Structured Agency Credit Risk Debt Notes: | | | | | | | | | | | | | | | | | | | | | | | | | |
Series 2015-DNA3, Class B, 9.537% (1-Month USD-LIBOR + 9.350%) due 4/25/28 | | | | | 10/29/2021 | | | | | | 3,045,125 | | | | | | 5,425,753 | | | | | | 0.43% | | |
Series 2016-HQA3, Class B, 9.187% (1-Month USD-LIBOR + 9.000%) due 3/25/29 | | | | | 1/27/2022 | | | | | | 2,131,393 | | | | | | 2,121,974 | | | | | | 0.17% | | |
Series 2017-HQA3, Class B1, 4.637% (1-Month USD-LIBOR + 4.450%) due 4/25/30 | | | | | 4/29/2021 | | | | | | 4,504,500 | | | | | | 4,460,850 | | | | | | 0.35% | | |
Sema4 Holdings Corp. | | | | | 2/9/2021 | | | | | | 4,890,000 | | | | | | 1,706,610 | | | | | | 0.13% | | |
SomaLogic, Inc. | | | | | 3/29/2021 | | | | | | 4,398,300 | | | | | | 3,998,055 | | | | | | 0.31% | | |
Tekkorp Digital Acquisition Corp., Class A Shares | | | | | 10/22/2020 | | | | | | 3,524,215 | | | | | | 5,549,567 | | | | | | 0.44% | | |
| | | | | | | | | | | | | | | | $ | 85,479,344 | | | | | | 6.71% | | |
|
| Common Stocks | | | | | 27.6% | | |
| Collateralized Mortgage Obligations | | | | | 25.5 | | |
| Open-End Funds | | | | | 19.0 | | |
| Corporate Bonds & Notes | | | | | 10.1 | | |
| Asset-Backed Securities | | | | | 9.1 | | |
| Equity Linked Notes | | | | | 1.5 | | |
| Preferred Stocks | | | | | 1.5 | | |
| Warrants | | | | | 0.2 | | |
| Short-Term Investments | | | | | 4.7 | | |
| Money Market Fund | | | | | 0.8 | | |
| | | | | | 100.0% | | |
Swaption Contracts Written
Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | | ||||||
$90,000,000 | | | 10-Year Constant Maturity Swap, 3-Month USD-LIBOR | | | | | MSCS | | | | | | 5/22/23 | | | | 3.25% | | | $667,017 | |
| | | TOTAL SWAPTION CONTRACTS WRITTEN | | | | | | | | | | | | | | | | | | $667,017 | |
Currency | | | Notional Amount | | | Maturity Date | | | Counterparty | | | Payment Frequency | | | Pay | | | Receive | | | Unrealized (Depreciation) | | |||
USD | | | | $ | 8,312,482 | | | | 1/23/23 | | | GSC | | | 1-Month | | | USD-Federal Funds-H.15 | | | GSCBGDEN Basket* | | | $(275,683) | |
| Boyd Gaming Corp. | | | | | 16% | | |
| Churchill Downs Inc. | | | | | 14% | | |
| Caesars Entertainment Inc. | | | | | 12% | | |
| MGM Resorts International | | | | | 14% | | |
| Penn National Gaming Inc. | | | | | 15% | | |
| Red Rock Resorts Inc. | | | | | 15% | | |
| Wynn Resorts Ltd. | | | | | 14% | | |
| | | | | | 100% | | |
Reference Obligation | | | Fixed Deal Receive Rate | | | Maturity Date | | | Payment Frequency | | | Counter party | | | Implied Credit Spread at 2/28/22(2) | | | Notional Amount(3) | | | Market Value | | | Upfront Premiums Paid/ (Received) | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
CDX.NA.HY.35 | | | | | 5.000% | | | | | | 12/20/25 | | | | 3-Month | | | MSCS | | | | | 3.876% | | | | | | USD10,000 | | | | | $ | 501,129 | | | | | $ | 405,000 | | | | | $ | 96,129 | | |
CDX.NA.IG.29 | | | | | 1.000% | | | | | | 12/20/22 | | | | 3-Month | | | GSC | | | | | 0.013% | | | | | | USD 100,000 | | | | | | 997,610 | | | | | | 1,440,000 | | | | | | (442,390) | | |
CDX.NA.IG.31 | | | | | 1.000% | | | | | | 12/20/23 | | | | 3-Month | | | GSC | | | | | 0.920% | | | | | | USD10,000 | | | | | | 34,170 | | | | | | (750,000) | | | | | | 784,170 | | |
CDX.NA.IG.35 | | | | | 1.000% | | | | | | 12/20/25 | | | | 3-Month | | | GSC | | | | | 2.189% | | | | | | USD10,000 | | | | | | (415,868) | | | | | | (905,000) | | | | | | 489,132 | | |
CDX.NA.IG.37 | | | | | 1.000% | | | | | | 12/20/26 | | | | 3-Month | | | MSCS | | | | | 3.106% | | | | | | USD40,000 | | | | | | (3,708,752) | | | | | | (2,360,000) | | | | | | (1,348,752) | | |
CDX.NA.IG.37 | | | | | 1.000% | | | | | | 12/20/26 | | | | 3-Month | | | GSC | | | | | 3.106% | | | | | | USD10,000 | | | | | | (927,188) | | | | | | (735,000) | | | | | | (192,188) | | |
CDX.NA.IG.37 | | | | | 1.000% | | | | | | 12/20/26 | | | | 3-Month | | | GSC | | | | | 3.106% | | | | | | USD10,000 | | | | | | (927,188) | | | | | | (776,000) | | | | | | (151,188) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (4,446,087) | | | | | $ | (3,681,000) | | | | | $ | (765,087) | | |
| Face Amount | | | Security | | | Value | | ||||||
| SECURITIES SOLD SHORT – 10.5% | | ||||||||||||
| CORPORATE BOND & NOTE – 0.4% | | ||||||||||||
| Financial – 0.4% | | ||||||||||||
| | $ | 5,289,000 | | | | United Wholesale Mortgage LLC, Senior Unsecured Notes, 5.500% due 4/15/29(a)(b) | | | | $ | 4,839,435 | | |
| | | | | | | (Proceeds – $4,721,430) | | | | | | | |
| | | | | | | | | |
| Shares/Units | | | | | | | | | | | |||
| EXCHANGE TRADED FUNDS (ETFs) – 10.1% | | ||||||||||||
| | | 114,539 | | | | ARK Genomic Revolution | | | | | 5,541,397 | | |
| | | 131,229 | | | | iShares Russell 2000, Class Common Shares | | | | | 26,681,480 | | |
| | | 82,618 | | | | iShares Biotechnology | | | | | 10,415,651 | | |
| | | 570,936 | | | | SPDR S&P Biotech | | | | | 51,287,181 | | |
| | | 478,255 | | | | SPDR S&P Regional Banking | | | | | 35,524,782 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) | | | | | | | |
| | | | | | | (Proceeds – $159,319,057) | | | | | 129,450,491 | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT – 10.5% | | | | | | | |
| | | | | | | (Proceeds – $164,040,487) | | | | $ | 134,289,926 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 96.7% | | ||||||||||||
| BASIC MATERIALS – 2.1% | | ||||||||||||
| Chemicals – 1.6% | | ||||||||||||
| | | 608 | | | | Albemarle Corp. | | | | $ | 119,101 | | |
| | | 1,359 | | | | Eastman Chemical Co. | | | | | 161,001 | | |
| | | 2,745 | | | | Huntsman Corp. | | | | | 111,008 | | |
| | | 2,644 | | | | Linde PLC | | | | | 775,326 | | |
| | | 2,192 | | | | LyondellBasell Industries NV, Class A Shares | | | | | 213,128 | | |
| | | 1,007 | | | | Nutrien Ltd. | | | | | 86,592 | | |
| | | 442 | | | | Olin Corp. | | | | | 22,767 | | |
| | | 1,728 | | | | RPM International Inc. | | | | | 146,137 | | |
| | | 1,215 | | | | Sherwin-Williams Co. | | | | | 319,703 | | |
| | | | | | | Total Chemicals | | | | | 1,954,763 | | |
| Forest Products & Paper – 0.1% | | ||||||||||||
| | | 3,007 | | | | International Paper Co. | | | | | 130,895 | | |
| Iron/Steel – 0.1% | | ||||||||||||
| | | 927 | | | | Steel Dynamics Inc. | | | | | 65,428 | | |
| | | 1,732 | | | | Vale SA, ADR | | | | | 32,025 | | |
| | | | | | | Total Iron/Steel | | | | | 97,453 | | |
| Mining – 0.3% | | ||||||||||||
| | | 1,743 | | | | Barrick Gold Corp. | | | | | 39,339 | | |
| | | 5,781 | | | | Freeport-McMoRan Inc. | | | | | 271,418 | | |
| | | 651 | | | | Rio Tinto PLC, ADR | | | | | 51,156 | | |
| | | 396 | | | | Southern Copper Corp. | | | | | 27,478 | | |
| | | | | | | Total Mining | | | | | 389,391 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 2,572,502 | | |
| COMMUNICATIONS – 14.8% | | ||||||||||||
| Internet – 10.6% | | ||||||||||||
| | | 439 | | | | Alphabet Inc., Class A Shares*(a) | | | | | 1,185,801 | | |
| | | 1,526 | | | | Alphabet Inc., Class C Shares*(a) | | | | | 4,116,873 | | |
| | | 1,467 | | | | Amazon.com Inc.*(a) | | | | | 4,505,538 | | |
| | | 195 | | | | Booking Holdings Inc.* | | | | | 423,589 | | |
| | | 2,455 | | | | eBay Inc. | | | | | 134,018 | | |
| | | 552 | | | | Lyft Inc., Class A Shares* | | | | | 21,495 | | |
| | | 1,044 | | | | Match Group Inc.* | | | | | 116,396 | | |
| | | 22 | | | | MercadoLibre Inc.* | | | | | 24,786 | | |
| | | 8,056 | | | | Meta Platforms Inc., Class A Shares*(a) | | | | | 1,700,058 | | |
| | | 1,603 | | | | Netflix Inc.*(a) | | | | | 632,416 | | |
| | | 110 | | | | Palo Alto Networks Inc.* | | | | | 65,368 | | |
| | | 117 | | | | Roku Inc., Class A Shares* | | | | | 16,325 | | |
| | | 42 | | | | Shopify Inc., Class A Shares* | | | | | 29,159 | | |
| | | 2,929 | | | | Twitter Inc.* | | | | | 104,126 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Internet – (continued) | | ||||||||||||
| | | 1,097 | | | | Uber Technologies Inc.* | | | | $ | 39,525 | | |
| | | 895 | | | | VeriSign Inc.* | | | | | 191,279 | | |
| | | | | | | Total Internet | | | | | 13,306,752 | | |
| Media – 2.0% | | ||||||||||||
| | | 11 | | | | Cable One Inc. | | | | | 15,761 | | |
| | | 17,819 | | | | Comcast Corp., Class A Shares | | | | | 833,216 | | |
| | | 374 | | | | FactSet Research Systems Inc. | | | | | 151,878 | | |
| | | 2,862 | | | | Fox Corp., Class A Shares | | | | | 119,717 | | |
| | | 490 | | | | Liberty Broadband Corp., Class C Shares* | | | | | 71,883 | | |
| | | 1,112 | | | | Liberty Global PLC, Class C Shares* | | | | | 28,767 | | |
| | | 385 | | | | New York Times Co., Class A Shares | | | | | 16,936 | | |
| | | 2,361 | | | | Paramount Global, Class B Shares | | | | | 72,270 | | |
| | | 11,752 | | | | Sirius XM Holdings Inc. | | | | | 72,392 | | |
| | | 6,765 | | | | Walt Disney Co.*(a) | | | | | 1,004,332 | | |
| | | | | | | Total Media | | | | | 2,387,152 | | |
| Telecommunications – 2.2% | | ||||||||||||
| | | 27,511 | | | | AT&T Inc. | | | | | 651,736 | | |
| | | 1,390 | | | | Ciena Corp.* | | | | | 95,104 | | |
| | | 18,567 | | | | Cisco Systems Inc.(a) | | | | | 1,035,482 | | |
| | | 3,474 | | | | Telefonaktiebolaget LM Ericsson, ADR | | | | | 32,239 | | |
| | | 18,852 | | | | Verizon Communications Inc.(a) | | | | | 1,011,787 | | |
| | | 3,532 | | | | Vodafone Group PLC, ADR | | | | | 62,516 | | |
| | | | | | | Total Telecommunications | | | | | 2,888,864 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 18,582,768 | | |
| CONSUMER CYCLICAL – 9.3% | | ||||||||||||
| Airlines – 0.2% | | ||||||||||||
| | | 7,522 | | | | Delta Air Lines Inc.* | | | | | 300,278 | | |
| Apparel – 0.6% | | ||||||||||||
| | | 491 | | | | Capri Holdings Ltd.* | | | | | 33,260 | | |
| | | 114 | | | | Deckers Outdoor Corp.* | | | | | 32,905 | | |
| | | 5,075 | | | | NIKE Inc., Class B Shares | | | | | 692,991 | | |
| | | 524 | | | | Skechers USA Inc., Class A Shares* | | | | | 24,094 | | |
| | | | | | | Total Apparel | | | | | 783,250 | | |
| Auto Manufacturers – 2.1% | | ||||||||||||
| | | 17,242 | | | | Ford Motor Co. | | | | | 302,770 | | |
| | | 2,730 | | | | Tesla Inc.*(a) | | | | | 2,376,274 | | |
| | | | | | | Total Auto Manufacturers | | | | | 2,679,044 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Auto Parts & Equipment – 0.2% | | ||||||||||||
| | | 246 | | | | Autoliv Inc. | | | | $ | 21,651 | | |
| | | 974 | | | | Gentex Corp. | | | | | 29,483 | | |
| | | 254 | | | | Goodyear Tire & Rubber Co.* | | | | | 3,934 | | |
| | | 494 | | | | Lear Corp. | | | | | 77,726 | | |
| | | 925 | | | | Magna International Inc. | | | | | 68,700 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 201,494 | | |
| Distribution/Wholesale – 0.2% | | ||||||||||||
| | | 485 | | | | WW Grainger Inc. | | | | | 231,374 | | |
| Entertainment – 0.1% | | ||||||||||||
| | | 444 | | | | DraftKings Inc., Class A Shares* | | | | | 10,514 | | |
| | | 198 | | | | Scientific Games Corp.* | | | | | 12,458 | | |
| | | 243 | | | | Vail Resorts Inc. | | | | | 63,314 | | |
| | | | | | | Total Entertainment | | | | | 86,286 | | |
| Food Service – 0.1% | | ||||||||||||
| | | 3,436 | | | | Aramark | | | | | 126,995 | | |
| Home Builders – 0.3% | | ||||||||||||
| | | 3,469 | | | | DR Horton Inc. | | | | | 296,253 | | |
| | | 2,102 | | | | Toll Brothers Inc. | | | | | 114,055 | | |
| | | | | | | Total Home Builders | | | | | 410,308 | | |
| Home Furnishings – 0.1% | | ||||||||||||
| | | 764 | | | | Leggett & Platt Inc. | | | | | 28,329 | | |
| | | 570 | | | | Sony Group Corp., ADR | | | | | 58,442 | | |
| | | | | | | Total Home Furnishings | | | | | 86,771 | | |
| Leisure Time – 0.2% | | ||||||||||||
| | | 204 | | | | Brunswick Corp. | | | | | 19,486 | | |
| | | 4,498 | | | | Carnival Corp.* | | | | | 91,444 | | |
| | | 1,589 | | | | Harley-Davidson Inc. | | | | | 65,626 | | |
| | | 223 | | | | Planet Fitness Inc., Class A Shares* | | | | | 18,873 | | |
| | | 52 | | | | Polaris Inc. | | | | | 6,319 | | |
| | | | | | | Total Leisure Time | | | | | 201,748 | | |
| Lodging – 0.1% | | ||||||||||||
| | | 1,943 | | | | Las Vegas Sands Corp.* | | | | | 83,277 | | |
| Retail – 5.1% | | ||||||||||||
| | | 183 | | | | Burlington Stores Inc.* | | | | | 41,338 | | |
| | | 1,916 | | | | Costco Wholesale Corp. | | | | | 994,883 | | |
| | | 192 | | | | Dick’s Sporting Goods Inc. | | | | | 20,160 | | |
| | | 277 | | | | Five Below Inc.* | | | | | 45,320 | | |
| | | 518 | | | | Foot Locker Inc. | | | | | 16,379 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Retail – (continued) | | ||||||||||||
| | | 3,928 | | | | Home Depot Inc.(a) | | | | $ | 1,240,580 | | |
| | | 568 | | | | Kohl’s Corp. | | | | | 31,592 | | |
| | | 2,983 | | | | Lowe’s Cos. Inc. | | | | | 659,422 | | |
| | | 211 | | | | Lululemon Athletica Inc.* | | | | | 67,507 | | |
| | | 3,282 | | | | McDonald’s Corp. | | | | | 803,335 | | |
| | | 416 | | | | O’Reilly Automotive Inc.* | | | | | 270,084 | | |
| | | 1,235 | | | | Restaurant Brands International Inc. | | | | | 69,135 | | |
| | | 4,598 | | | | Starbucks Corp. | | | | | 422,050 | | |
| | | 2,287 | | | | Target Corp. | | | | | 456,874 | | |
| | | 5,351 | | | | TJX Cos. Inc. | | | | | 353,701 | | |
| | | 6,634 | | | | Walmart Inc.(a) | | | | | 896,651 | | |
| | | 241 | | | | Williams-Sonoma Inc. | | | | | 34,911 | | |
| | | 1,219 | | | | Yum China Holdings Inc. | | | | | 63,412 | | |
| | | | | | | Total Retail | | | | | 6,487,334 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 11,678,159 | | |
| CONSUMER NON-CYCLICAL – 18.0% | | ||||||||||||
| Agriculture – 0.2% | | ||||||||||||
| | | 4,151 | | | | British American Tobacco PLC, ADR | | | | | 183,640 | | |
| | | 656 | | | | Bunge Ltd. | | | | | 68,585 | | |
| | | | | | | Total Agriculture | | | | | 252,225 | | |
| Beverages – 1.3% | | ||||||||||||
| | | 4,153 | | | | Brown-Forman Corp., Class B Shares | | | | | 270,900 | | |
| | | 2,209 | | | | Constellation Brands Inc., Class A Shares | | | | | 476,305 | | |
| | | 9,202 | | | | Keurig Dr Pepper Inc. | | | | | 355,841 | | |
| | | 2,726 | | | | Molson Coors Beverage Co., Class B Shares | | | | | 142,243 | | |
| | | 3,798 | | | | Monster Beverage Corp.* | | | | | 320,551 | | |
| | | | | | | Total Beverages | | | | | 1,565,840 | | |
| Biotechnology – 1.1% | | ||||||||||||
| | | 185 | | | | Alnylam Pharmaceuticals Inc.* | | | | | 29,202 | | |
| | | 2,566 | | | | Amgen Inc. | | | | | 581,148 | | |
| | | 624 | | | | Biogen Inc.* | | | | | 131,670 | | |
| | | 435 | | | | BioMarin Pharmaceutical Inc.* | | | | | 33,982 | | |
| | | 625 | | | | Illumina Inc.* | | | | | 204,125 | | |
| | | 1,089 | | | | Moderna Inc.* | | | | | 167,270 | | |
| | | 402 | | | | Regeneron Pharmaceuticals Inc.* | | | | | 248,581 | | |
| | | 345 | | | | Seagen Inc.* | | | | | 44,460 | | |
| | | 182 | | | | United Therapeutics Corp.* | | | | | 30,248 | | |
| | | | | | | Total Biotechnology | | | | | 1,470,686 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Commercial Services – 1.3% | | ||||||||||||
| | | 469 | | | | Block Inc., Class A Shares* | | | | $ | 59,798 | | |
| | | 509 | | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | | | 41,071 | | |
| | | 1,204 | | | | CoStar Group Inc.* | | | | | 73,456 | | |
| | | 1,171 | | | | Global Payments Inc. | | | | | 156,188 | | |
| | | 99 | | | | Herc Holdings Inc. | | | | | 15,753 | | |
| | | 6,039 | | | | Nielsen Holdings PLC | | | | | 105,199 | | |
| | | 4,470 | | | | PayPal Holdings Inc.* | | | | | 500,327 | | |
| | | 1,497 | | | | S&P Global Inc. | | | | | 562,423 | | |
| | | 1,633 | | | | TransUnion | | | | | 148,211 | | |
| | | | | | | Total Commercial Services | | | | | 1,662,426 | | |
| Food – 1.2% | | ||||||||||||
| | | 3,582 | | | | Campbell Soup Co. | | | | | 161,083 | | |
| | | 6,470 | | | | Hormel Foods Corp. | | | | | 308,231 | | |
| | | 2,133 | | | | JM Smucker Co. | | | | | 287,422 | | |
| | | 7,632 | | | | Kellogg Co. | | | | | 487,990 | | |
| | | 3,714 | | | | McCormick & Co. Inc. | | | | | 353,461 | | |
| | | 737 | | | | US Foods Holding Corp.* | | | | | 28,809 | | |
| | | | | | | Total Food | | | | | 1,626,996 | | |
| Healthcare-Products – 3.6% | | ||||||||||||
| | | 7,531 | | | | Abbott Laboratories | | | | | 908,389 | | |
| | | 1,723 | | | | Alcon Inc. | | | | | 132,654 | | |
| | | 344 | | | | Align Technology Inc.* | | | | | 175,942 | | |
| | | 2,313 | | | | Avantor Inc.* | | | | | 80,238 | | |
| | | 2,726 | | | | Danaher Corp. | | | | | 748,042 | | |
| | | 348 | | | | Exact Sciences Corp.* | | | | | 27,165 | | |
| | | 255 | | | | Insulet Corp.* | | | | | 67,496 | | |
| | | 1,594 | | | | Intuitive Surgical Inc.* | | | | | 462,786 | | |
| | | 6,272 | | | | Medtronic PLC | | | | | 658,497 | | |
| | | 1,624 | | | | Thermo Fisher Scientific Inc. | | | | | 883,456 | | |
| | | 574 | | | | Waters Corp.* | | | | | 181,803 | | |
| | | 1,555 | | | | Zimmer Biomet Holdings Inc. | | | | | 197,781 | | |
| | | | | | | Total Healthcare-Products | | | | | 4,524,249 | | |
| Healthcare-Services – 2.0% | | ||||||||||||
| | | 1,141 | | | | Anthem Inc. | | | | | 515,561 | | |
| | | 333 | | | | Charles River Laboratories International Inc.* | | | | | 96,956 | | |
| | | 196 | | | | ICON PLC* | | | | | 46,650 | | |
| | | 228 | | | | Molina Healthcare Inc.* | | | | | 69,966 | | |
| | | 3,625 | | | | UnitedHealth Group Inc.(a) | | | | | 1,725,029 | | |
| | | | | | | Total Healthcare-Services | | | | | 2,454,162 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Household Products/Wares – 1.3% | | ||||||||||||
| | | 5,115 | | | | Church & Dwight Co. Inc. | | | | $ | 500,503 | | |
| | | 1,571 | | | | Clorox Co. | | | | | 229,036 | | |
| | | 5,493 | | | | Kimberly-Clark Corp. | | | | | 714,914 | | |
| | | 1,171 | | | | Spectrum Brands Holdings Inc. | | | | | 108,645 | | |
| | | | | | | Total Household Products/Wares | | | | | 1,553,098 | | |
| Pharmaceuticals – 6.0% | | ||||||||||||
| | | 6,782 | | | | AbbVie Inc. | | | | | 1,002,176 | | |
| | | 1,231 | | | | AmerisourceBergen Corp. | | | | | 175,454 | | |
| | | 1,633 | | | | AstraZeneca PLC, ADR | | | | | 99,417 | | |
| | | 1,507 | | | | Becton Dickinson & Co. | | | | | 408,819 | | |
| | | 1,424 | | | | Cigna Corp. | | | | | 338,599 | | |
| | | 5,840 | | | | CVS Health Corp. | | | | | 605,316 | | |
| | | 445 | | | | DexCom Inc.* | | | | | 184,190 | | |
| | | 3,021 | | | | Eli Lilly & Co. | | | | | 755,099 | | |
| | | 2,230 | | | | Herbalife Nutrition Ltd.* | | | | | 79,343 | | |
| | | 238 | | | | Jazz Pharmaceuticals PLC* | | | | | 32,706 | | |
| | | 10,282 | | | | Johnson & Johnson(a) | | | | | 1,692,109 | | |
| | | 849 | | | | McKesson Corp. | | | | | 233,441 | | |
| | | 9,836 | | | | Merck & Co. Inc. | | | | | 753,241 | | |
| | | 1,483 | | | | Novartis AG, ADR | | | | | 129,703 | | |
| | | 355 | | | | Perrigo Co. PLC | | | | | 12,610 | | |
| | | 20,475 | | | | Pfizer Inc.(a) | | | | | 961,097 | | |
| | | 2,538 | | | | Teva Pharmaceutical Industries Ltd., ADR* | | | | | 20,634 | | |
| | | | | | | Total Pharmaceuticals | | | | | 7,483,954 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 22,593,636 | | |
| ENERGY – 3.6% | | ||||||||||||
| Energy-Alternate Sources – 0.1% | | ||||||||||||
| | | 561 | | | | Enphase Energy Inc.* | | | | | 93,519 | | |
| Oil & Gas – 3.0% | | ||||||||||||
| | | 1,669 | | | | Canadian Natural Resources Ltd. | | | | | 93,180 | | |
| | | 4,528 | | | | Cenovus Energy Inc. | | | | | 71,090 | | |
| | | 7,947 | | | | Chevron Corp. | | | | | 1,144,368 | | |
| | | 808 | | | | Continental Resources Inc. | | | | | 44,787 | | |
| | | 3,330 | | | | EOG Resources Inc. | | | | | 382,684 | | |
| | | 17,479 | | | | Exxon Mobil Corp.(a) | | | | | 1,370,703 | | |
| | | 227 | | | | HollyFrontier Corp.* | | | | | 6,912 | | |
| | | 4,304 | | | | Occidental Petroleum Corp. | | | | | 188,214 | | |
| | | 1,430 | | | | Ovintiv Inc. | | | | | 65,565 | | |
| | | 2,669 | | | | Phillips 66 | | | | | 224,837 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| ENERGY – (continued) | | ||||||||||||
| Oil & Gas – (continued) | | ||||||||||||
| | | 629 | | | | Range Resources Corp.* | | | | $ | 14,435 | | |
| | | 2,703 | | | | Suncor Energy Inc. | | | | | 82,523 | | |
| | | | | | | Total Oil & Gas | | | | | 3,689,298 | | |
| Oil & Gas Services – 0.3% | | ||||||||||||
| | | 1,770 | | | | NOV Inc. | | | | | 30,355 | | |
| | | 10,295 | | | | Schlumberger NV | | | | | 403,976 | | |
| | | | | | | Total Oil & Gas Services | | | | | 434,331 | | |
| Pipelines – 0.2% | | ||||||||||||
| | | 778 | | | | Cheniere Energy Inc. | | | | | 103,396 | | |
| | | 1,370 | | | | Enbridge Inc. | | | | | 59,157 | | |
| | | 1,562 | | | | Targa Resources Corp. | | | | | 102,108 | | |
| | | 951 | | | | TC Energy Corp. | | | | | 51,078 | | |
| | | | | | | Total Pipelines | | | | | 315,739 | | |
| | | | | | | TOTAL ENERGY | | | | | 4,532,887 | | |
| FINANCIAL – 15.1% | | ||||||||||||
| Banks – 4.8% | | ||||||||||||
| | | 6,970 | | | | Banco Bradesco SA, ADR | | | | | 26,904 | | |
| | | 29,174 | | | | Bank of America Corp.(a) | | | | | 1,289,491 | | |
| | | 665 | | | | Bank of Montreal | | | | | 75,743 | | |
| | | 202 | | | | Canadian Imperial Bank of Commerce | | | | | 25,535 | | |
| | | 7,122 | | | | Citigroup Inc. | | | | | 421,836 | | |
| | | 630 | | | | Cullen/Frost Bankers Inc. | | | | | 88,660 | | |
| | | 1,227 | | | | East West Bancorp Inc. | | | | | 107,436 | | |
| | | 11,475 | | | | First Horizon Corp. | | | | | 269,433 | | |
| | | 1,696 | | | | Goldman Sachs Group Inc. | | | | | 578,828 | | |
| | | 2,157 | | | | ICICI Bank Ltd., ADR | | | | | 41,997 | | |
| | | 7,225 | | | | Itau Unibanco Holding SA, ADR | | | | | 34,897 | | |
| | | 11,221 | | | | JPMorgan Chase & Co.(a) | | | | | 1,591,138 | | |
| | | 6,248 | | | | Morgan Stanley | | | | | 566,943 | | |
| | | 332 | | | | Signature Bank | | | | | 114,503 | | |
| | | 15,263 | | | | Wells Fargo & Co. | | | | | 814,586 | | |
| | | | | | | Total Banks | | | | | 6,047,930 | | |
| Diversified Financial Services – 3.3% | | ||||||||||||
| | | 2,946 | | | | American Express Co. | | | | | 573,115 | | |
| | | 940 | | | | Ameriprise Financial Inc. | | | | | 281,803 | | |
| | | 6,145 | | | | Charles Schwab Corp. | | | | | 519,007 | | |
| | | 28 | | | | Credit Acceptance Corp.* | | | | | 15,403 | | |
| | | 322 | | | | Evercore Inc., Class A Shares | | | | | 40,897 | | |
| | | 1,682 | | | | Jefferies Financial Group Inc. | | | | | 59,778 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Diversified Financial Services – (continued) | | ||||||||||||
| | | 3,129 | | | | Mastercard Inc., Class A Shares(a) | | | | $ | 1,129,006 | | |
| | | 1,519 | | | | Nasdaq Inc. | | | | | 259,977 | | |
| | | 6,103 | | | | Visa Inc., Class A Shares(a) | | | | | 1,318,980 | | |
| | | 536 | | | | XP Inc., Class A Shares* | | | | | 17,334 | | |
| | | | | | | Total Diversified Financial Services | | | | | 4,215,300 | | |
| Equity Real Estate Investment Trusts (REITs) – 2.7% | | ||||||||||||
| | | 4,374 | | | | American Homes 4 Rent, Class A Shares | | | | | 166,256 | | |
| | | 9,925 | | | | Annaly Capital Management Inc. | | | | | 69,078 | | |
| | | 1,912 | | | | AvalonBay Communities Inc. | | | | | 456,184 | | |
| | | 1,388 | | | | Camden Property Trust | | | | | 229,173 | | |
| | | 2,008 | | | | CubeSmart | | | | | 96,806 | | |
| | | 3,008 | | | | Equity LifeStyle Properties Inc. | | | | | 224,457 | | |
| | | 4,192 | | | | Equity Residential | | | | | 357,578 | | |
| | | 2,612 | | | | Healthcare Realty Trust Inc. | | | | | 68,121 | | |
| | | 7,269 | | | | Invitation Homes Inc. | | | | | 274,768 | | |
| | | 3,811 | | | | Medical Properties Trust Inc. | | | | | 77,516 | | |
| | | 1,701 | | | | Mid-America Apartment Communities Inc. | | | | | 348,042 | | |
| | | 148 | | | | Orion Office REIT Inc.* | | | | | 2,520 | | |
| | | 5,458 | | | | Realty Income Corp. | | | | | 360,719 | | |
| | | 987 | | | | Sun Communities Inc. | | | | | 178,647 | | |
| | | 3,257 | | | | VICI Properties Inc. | | | | | 91,066 | | |
| | | 2,837 | | | | WP Carey Inc. | | | | | 219,584 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 3,220,515 | | |
| Insurance – 3.9% | | ||||||||||||
| | | 7,007 | | | | Aflac Inc. | | | | | 428,058 | | |
| | | 1,155 | | | | Aon PLC, Class A Shares | | | | | 337,422 | | |
| | | 3,529 | | | | Arch Capital Group Ltd.* | | | | | 166,251 | | |
| | | 2,310 | | | | Arthur J Gallagher & Co. | | | | | 365,419 | | |
| | | 1,310 | | | | Assurant Inc. | | | | | 222,320 | | |
| | | 7,375 | | | | Berkshire Hathaway Inc., Class B Shares* | | | | | 2,370,694 | | |
| | | 4,252 | | | | Brown & Brown Inc. | | | | | 287,478 | | |
| | | 2,124 | | | | Fidelity National Financial Inc. | | | | | 101,187 | | |
| | | 5,545 | | | | Manulife Financial Corp. | | | | | 112,342 | | |
| | | 154 | | | | Markel Corp.* | | | | | 191,408 | | |
| | | 187 | | | | RenaissanceRe Holdings Ltd. | | | | | 28,196 | | |
| | | 2,111 | | | | Unum Group | | | | | 58,939 | | |
| | | 249 | | | | Voya Financial Inc. | | | | | 16,770 | | |
| | | 2,864 | | | | WR Berkley Corp. | | | | | 258,619 | | |
| | | | | | | Total Insurance | | | | | 4,945,103 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Private Equity – 0.3% | | ||||||||||||
| | | 574 | | | | Blackstone Inc. | | | | $ | 73,168 | | |
| | | 2,415 | | | | Brookfield Asset Management Inc., Class A Shares | | | | | 131,956 | | |
| | | 1,435 | | | | KKR & Co. Inc. | | | | | 86,272 | | |
| | | | | | | Total Private Equity | | | | | 291,396 | | |
| Real Estate – 0.0% | | ||||||||||||
| | | 161 | | | | Jones Lang LaSalle Inc.* | | | | | 39,641 | | |
| Savings & Loans – 0.1% | | ||||||||||||
| | | 2,951 | | | | New York Community Bancorp Inc. | | | | | 34,054 | | |
| | | 8,015 | | | | People’s United Financial Inc. | | | | | 168,956 | | |
| | | | | | | Total Savings & Loans | | | | | 203,010 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 18,962,895 | | |
| INDUSTRIAL – 8.0% | | ||||||||||||
| Aerospace/Defense – 1.0% | | ||||||||||||
| | | 2,656 | | | | Boeing Co.* | | | | | 545,383 | | |
| | | 2,913 | | | | General Dynamics Corp. | | | | | 682,953 | | |
| | | 1,165 | | | | HEICO Corp. | | | | | 171,849 | | |
| | | | | | | Total Aerospace/Defense | | | | | 1,400,185 | | |
| Building Materials – 0.3% | | ||||||||||||
| | | 485 | | | | Lennox International Inc. | | | | | 129,461 | | |
| | | 249 | | | | Louisiana-Pacific Corp. | | | | | 17,915 | | |
| | | 762 | | | | Martin Marietta Materials Inc. | | | | | 289,103 | | |
| | | | | | | Total Building Materials | | | | | 436,479 | | |
| Electrical Components & Equipment – 0.4% | | ||||||||||||
| | | 75 | | | | Acuity Brands Inc. | | | | | 13,678 | | |
| | | 2,501 | | | | AMETEK Inc. | | | | | 324,605 | | |
| | | 321 | | | | Generac Holdings Inc.* | | | | | 101,266 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 439,549 | | |
| Electronics – 0.7% | | ||||||||||||
| | | 6,396 | | | | Amphenol Corp., Class A Shares | | | | | 486,160 | | |
| | | 1,872 | | | | Sensata Technologies Holding PLC* | | | | | 108,407 | | |
| | | 2,637 | | | | Trimble Inc.* | | | | | 183,931 | | |
| | | | | | | Total Electronics | | | | | 778,498 | | |
| Engineering & Construction – 0.0% | | ||||||||||||
| | | 694 | | | | AECOM | | | | | 50,426 | | |
| Environmental Control – 0.5% | | ||||||||||||
| | | 3,142 | | | | Republic Services Inc. | | | | | 377,920 | | |
| | | 1,894 | | | | Waste Connections Inc. | | | | | 233,890 | | |
| | | | | | | Total Environmental Control | | | | | 611,810 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Hand/Machine Tools – 0.1% | | ||||||||||||
| | | 1,273 | | | | Lincoln Electric Holdings Inc. | | | | $ | 162,257 | | |
| Machinery-Construction & Mining – 0.4% | | ||||||||||||
| | | 1,347 | | | | BWX Technologies Inc. | | | | | 71,957 | | |
| | | 2,242 | | | | Caterpillar Inc. | | | | | 420,554 | | |
| | | | | | | | | | | | 492,511 | | |
| Machinery-Diversified – 1.3% | | ||||||||||||
| | | 227 | | | | AGCO Corp. | | | | | 27,276 | | |
| | | 477 | | | | Cognex Corp. | | | | | 32,226 | | |
| | | 660 | | | | Colfax Corp.* | | | | | 26,539 | | |
| | | 1,077 | | | | Deere & Co. | | | | | 387,741 | | |
| | | 1,733 | | | | Dover Corp. | | | | | 271,838 | | |
| | | 2,334 | | | | Graco Inc. | | | | | 168,258 | | |
| | | 1,044 | | | | IDEX Corp. | | | | | 200,344 | | |
| | | 185 | | | | Nordson Corp. | | | | | 41,901 | | |
| | | 934 | | | | Rockwell Automation Inc. | | | | | 248,986 | | |
| | | 1,956 | | | | Xylem Inc. | | | | | 173,986 | | |
| | | | | | | Total Machinery-Diversified | | | | | 1,579,095 | | |
| Miscellaneous Manufacturers – 1.2% | | ||||||||||||
| | | 4,627 | | | | 3M Co. | | | | | 687,804 | | |
| | | 765 | | | | Carlisle Cos. Inc. | | | | | 181,611 | | |
| | | 5,084 | | | | General Electric Co. | | | | | 485,573 | | |
| | | 2,842 | | | | Textron Inc. | | | | | 207,835 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 1,562,823 | | |
| Packaging & Containers – 0.3 | | ||||||||||||
| | | 617 | | | | Crown Holdings Inc. | | | | | 75,687 | | |
| | | 906 | | | | Packaging Corp. of America | | | | | 133,354 | | |
| | | 2,521 | | | | Sonoco Products Co. | | | | | 148,033 | | |
| | | | | | | Total Packaging & Containers | | | | | 357,074 | | |
| Shipbuilding – 0.2% | | ||||||||||||
| | | 903 | | | | Huntington Ingalls Industries Inc. | | | | | 184,573 | | |
| Transportation – 1.6% | | ||||||||||||
| | | 530 | | | | Canadian National Railway Co. | | | | | 65,715 | | |
| | | 1,121 | | | | Canadian Pacific Railway Ltd. | | | | | 78,784 | | |
| | | 772 | | | | Old Dominion Freight Line Inc. | | | | | 242,431 | | |
| | | 3,187 | | | | Union Pacific Corp. | | | | | 783,843 | | |
| | | 3,599 | | | | United Parcel Service Inc., Class B Shares | | | | | 757,302 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Transportation – (continued) | | ||||||||||||
| | | 283 | | | | XPO Logistics Inc.* | | | | $ | 20,568 | | |
| | | | | | | Total Transportation | | | | | 1,948,643 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 10,003,923 | | |
| TECHNOLOGY – 23.2% | | ||||||||||||
| Computers – 8.1% | | ||||||||||||
| | | 2,735 | | | | Accenture PLC, Class A Shares | | | | | 864,315 | | |
| | | 52,411 | | | | Apple Inc.(a) | | | | | 8,654,104 | | |
| | | 484 | | | | Check Point Software Technologies Ltd.* | | | | | 70,122 | | |
| | | 2,121 | | | | Dell Technologies Inc., Class C Shares* | | | | | 108,086 | | |
| | | 301 | | | | EPAM Systems Inc.* | | | | | 62,533 | | |
| | | 3,969 | | | | International Business Machines Corp. | | | | | 486,242 | | |
| | | 138 | | | | Kyndryl Holdings Inc.* | | | | | 2,189 | | |
| | | | | | | Total Computers | | | | | 10,247,591 | | |
| Semiconductors – 5.9% | | ||||||||||||
| | | 6,697 | | | | Advanced Micro Devices Inc.* | | | | | 826,008 | | |
| | | 3,920 | | | | Applied Materials Inc. | | | | | 526,064 | | |
| | | 135 | | | | ASML Holding NV, Class NY Registered Shares | | | | | 89,979 | | |
| | | 1,652 | | | | Broadcom Inc.(a) | | | | | 970,451 | | |
| | | 285 | | | | Cirrus Logic Inc.* | | | | | 24,758 | | |
| | | 688 | | | | Entegris Inc. | | | | | 89,770 | | |
| | | 15,841 | | | | Intel Corp. | | | | | 755,616 | | |
| | | 590 | | | | Lam Research Corp. | | | | | 331,197 | | |
| | | 940 | | | | Marvell Technology Inc. | | | | | 64,230 | | |
| | | 4,797 | | | | Micron Technology Inc. | | | | | 426,261 | | |
| | | 8,608 | | | | NVIDIA Corp.(a) | | | | | 2,099,061 | | |
| | | 1,421 | | | | NXP Semiconductors NV | | | | | 270,161 | | |
| | | 994 | | | | ON Semiconductor Corp.* | | | | | 62,234 | | |
| | | 4,322 | | | | QUALCOMM Inc. | | | | | 743,341 | | |
| | | 158 | | | | Silicon Laboratories Inc.* | | | | | 24,286 | | |
| | | 560 | | | | Taiwan Semiconductor Manufacturing Co. Ltd., ADR | | | | | 59,926 | | |
| | | | | | | Total Semiconductors | | | | | 7,363,343 | | |
| Software – 9.2% | | ||||||||||||
| | | 1,967 | | | | Activision Blizzard Inc. | | | | | 160,310 | | |
| | | 1,803 | | | | Adobe Inc.*(a) | | | | | 843,227 | | |
| | | 266 | | | | Black Knight Inc.* | | | | | 14,947 | | |
| | | 2,441 | | | | Fidelity National Information Services Inc. | | | | | 232,456 | | |
| | | 1,205 | | | | Intuit Inc. | | | | | 571,616 | | |
| | | 25,257 | | | | Microsoft Corp.(a) | | | | | 7,546,539 | | |
| | | 6,025 | | | | Oracle Corp. | | | | | 457,719 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Software – (continued) | | ||||||||||||
| | | 3,671 | | | | salesforce.com inc.*(a) | | | | $ | 772,856 | | |
| | | 474 | | | | SAP SE, ADR | | | | | 53,363 | | |
| | | 834 | | | | ServiceNow Inc.* | | | | | 483,653 | | |
| | | 920 | | | | SS&C Technologies Holdings Inc. | | | | | 68,972 | | |
| | | 231 | | | | Twilio Inc., Class A Shares* | | | | | 40,379 | | |
| | | 346 | | | | Veeva Systems Inc., Class A Shares* | | | | | 79,251 | | |
| | | 350 | | | | VMware Inc., Class A Shares | | | | | 41,062 | | |
| | | 373 | | | | Workday Inc., Class A Shares* | | | | | 85,436 | | |
| | | 167 | | | | Zoom Video Communications Inc., Class A Shares* | | | | | 22,144 | | |
| | | | | | | Total Software | | | | | 11,473,930 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 29,084,864 | | |
| UTILITIES – 2.6% | | ||||||||||||
| Electric – 2.4% | | ||||||||||||
| | | 6,172 | | | | Alliant Energy Corp. | | | | | 360,445 | | |
| | | 5,237 | | | | Ameren Corp. | | | | | 450,120 | | |
| | | 7,624 | | | | American Electric Power Co. Inc. | | | | | 691,115 | | |
| | | 4,461 | | | | Consolidated Edison Inc. | | | | | 382,620 | | |
| | | 3,756 | | | | DTE Energy Co. | | | | | 456,692 | | |
| | | 9,929 | | | | PPL Corp. | | | | | 259,842 | | |
| | | 5,600 | | | | Xcel Energy Inc. | | | | | 377,048 | | |
| | | | | | | Total Electric | | | | | 2,977,882 | | |
| Water – 0.2% | | ||||||||||||
| | | 5,207 | | | | Essential Utilities Inc. | | | | | 245,302 | | |
| | | | | | | TOTAL UTILITIES | | | | | 3,223,184 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $125,648,625) | | | | | 121,234,818 | | |
| Number of Contracts | | | Notional Amount | | | Security | | | Value | | ||||||
| PURCHASED OPTIONS – 3.5% | | | ||||||||||||||
| Index Option – 3.5% | | | ||||||||||||||
| | | 92 | | | | 40,240,248 | | | S&P 500 Index Options, Put, 4,540.00, expires 3/31/22 | | | | | 1,983,520 | | |
| | | 92 | | | | 40,240,248 | | | S&P 500 Index Options, Put, 4,250.00, expires 4/29/22 | | | | | 1,168,400 | | |
| | | 91 | | | | 39,802,854 | | | S&P 500 Index Options, Put, 4,125.00, expires 5/31/22 | | | | | 1,183,000 | | |
| | | | | | | | | | TOTAL PURCHASED OPTIONS (Cost – $3,733,945) | | | | | 4,334,920 | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $129,382,570) | | | | | 125,569,738 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 1.2% | | ||||||||||||
| TIME DEPOSIT – 1.2% | | ||||||||||||
| | $ | 1,469,202 | | | | BNP Paribas – Paris, 0.005% due 3/1/22 | | | | | | | |
| | | | | | | (Cost – $1,469,202) | | | | $ | 1,469,202 | | |
| | | | | | | TOTAL INVESTMENTS – 101.4% (Cost – $130,851,772) | | | | | 127,038,940 | | |
| | | | | | | Liabilities in Excess of Other Assets – (1.4)% | | | | | (1,702,591) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 125,336,349 | | |
| Technology | | | | | 22.9% | | |
| Consumer Non-Cyclical | | | | | 17.8 | | |
| Financial | | | | | 14.9 | | |
| Communications | | | | | 14.6 | | |
| Consumer Cyclical | | | | | 9.2 | | |
| Industrial | | | | | 7.9 | | |
| Energy | | | | | 3.6 | | |
| Utilities | | | | | 2.5 | | |
| Basic Materials | | | | | 2.0 | | |
| Purchased Options | | | | | 3.4 | | |
| Short-Term Investments | | | | | 1.2 | | |
| | | | | | 100.0% | | |
| Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | | |||||||||
| 92 | | | 40,240,248 | | | S&P 500 Index Options | | | | | MSC | | | | | | 3/31/22 | | | | $3,820.00 | | | | $ | (201,940) | | |
| 46 | | | 20,120,124 | | | S&P 500 Index Options | | | | | MSC | | | | | | 3/31/22 | | | | 4,910.00 | | | | | (4,370) | | |
| 92 | | | 40,240,248 | | | S&P 500 Index Options | | | | | MSC | | | | | | 4/29/22 | | | | 3,575.00 | | | | | (240,120) | | |
| 47 | | | 20,557,518 | | | S&P 500 Index Options | | | | | MSC | | | | | | 4/29/22 | | | | 4,650.00 | | | | | (181,420) | | |
| 91 | | | 39,802,854 | | | S&P 500 Index Options | | | | | MSC | | | | | | 5/31/22 | | | | 3,500.00 | | | | | (349,440) | | |
| 46 | | | 20,120,124 | | | S&P 500 Index Options | | | | | MSC | | | | | | 5/31/22 | | | | 4,550.00 | | | | | (443,440) | | |
| | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN | | | | | | |||||||||||||||||
| | | | | | | (Premiums received – $1,956,542) | | | | | | | | | | | | $ | (1,420,730) | | |
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Core Fixed Income Fund | | |||||||||||||||
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value(1),(2) | | | | $ | 5,296,739,090 | | | | | $ | 1,363,377,751 | | | | | $ | 2,699,245,199 | | | | | $ | 515,725,639 | | | | | $ | 2,385,326,308 | | |
Foreign currency, at value(3) | | | | | — | | | | | | — | | | | | | 138,940 | | | | | | — | | | | | | — | | |
Cash | | | | | 504 | | | | | | 201 | | | | | | 278 | | | | | | 60 | | | | | | — | | |
Unrealized appreciation on unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Receivable for securities sold | | | | | 32,829,002 | | | | | | 7,875,090 | | | | | | 6,630,520 | | | | | | — | | | | | | 128,818,166 | | |
Dividends and interest receivable | | | | | 5,308,900 | | | | | | 1,189,231 | | | | | | 4,170,198 | | | | | | 1,777,943 | | | | | | 9,819,255 | | |
Receivable for Fund shares sold | | | | | 2,558,354 | | | | | | 657,708 | | | | | | 2,218,039 | | | | | | 205,858 | | | | | | 1,026,974 | | |
Receivable for expense reimbursement | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized appreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Variation margin on open future contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized appreciation on swap contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Upfront premiums paid on swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Deposits with counterparty(4) | | | | | 164,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Cash held at Broker | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Prepaid expenses | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Prepaid Chief Compliance Officer expense | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Pre-paid organizational fees | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Other assets | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Receivable for expense reimbursement | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Assets | | | | | 5,337,599,850 | | | | | | 1,373,099,981 | | | | | | 2,712,403,174 | | | | | | 517,709,500 | | | | | | 2,524,990,703 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for collateral received from securities on loan | | | | | 23,492,013 | | | | | | 37,322,114 | | | | | | 27,311,506 | | | | | | 3,345,980 | | | | | | — | | |
Payable for Fund shares repurchased | | | | | 2,500,872 | | | | | | 605,640 | | | | | | 2,205,597 | | | | | | 197,944 | | | | | | 1,349,326 | | |
Payable for securities purchased | | | | | 19,102,027 | | | | | | 10,595,388 | | | | | | 3,594,122 | | | | | | — | | | | | | 313,946,784 | | |
Investment management fee payable | | | | | 2,455,748 | | | | | | 908,059 | | | | | | 1,981,784 | | | | | | 259,538 | | | | | | 983,290 | | |
Transfer agent fees payable | | | | | 612,989 | | | | | | 153,670 | | | | | | 321,237 | | | | | | 47,725 | | | | | | 266,756 | | |
Custody fee payable | | | | | 195,814 | | | | | | 63,367 | | | | | | 253,451 | | | | | | 28,515 | | | | | | 144,444 | | |
Trustees’ fees payable | | | | | 61,828 | | | | | | 12,739 | | | | | | 32,417 | | | | | | 11,832 | | | | | | 26,376 | | |
Registration fees payable | | | | | — | | | | | | 1,178 | | | | | | 20,231 | | | | | | — | | | | | | 4,890 | | |
Shareholder services | | | | | — | | | | | | 25,445 | | | | | | 47,383 | | | | | | 13,135 | | | | | | 49,803 | | |
Variation margin on open future contracts (Note 4) | | | | | 7,827 | | | | | | — | | | | | | — | | | | | | — | | | | | | 600,442 | | |
Upfront premiums received on swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized depreciation on unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 816 | | |
Unrealized depreciation on swap contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward sale commitments(5) (Note 5) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 3,530,386 | | |
Securities sold short(5) (Note 5) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Due to custodian(3) | | | | | — | | | | | | — | | | | | | — | | | | | | 50 | | | | | | 233 | | |
Options contracts written, at value(6) (Note 4) | | | | | — | | | | | | — | | | | | | 1,839 | | | | | | — | | | | | | — | | |
Unrealized depreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Foreign capital gains tax payable | | | | | — | | | | | | — | | | | | | 4,752,378 | | | | | | — | | | | | | — | | |
Investment interest payable on securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Accrued Chief Compliance Officer expense | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Accrued expenses | | | | | 96,565 | | | | | | 24,221 | | | | | | 110,547 | | | | | | 10,429 | | | | | | 65,565 | | |
Total Liabilities | | | | | 48,525,683 | | | | | | 49,711,821 | | | | | | 40,632,492 | | | | | | 3,915,148 | | | | | | 320,969,111 | | |
Total Net Assets | | | | $ | 5,289,074,167 | | | | | $ | 1,323,388,160 | | | | | $ | 2,671,770,682 | | | | | $ | 513,794,352 | | | | | $ | 2,204,021,592 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 376,446 | | | | | $ | 105,343 | | | | | $ | 204,682 | | | | | $ | 43,259 | | | | | $ | 230,897 | | |
Paid-in capital in excess of par value | | | | | 4,021,601,655 | | | | | | 1,133,404,493 | | | | | | 2,294,343,995 | | | | | | 446,871,472 | | | | | | 2,320,664,208 | | |
Total distributable earnings (losses) | | | | | 1,267,096,066 | | | | | | 189,878,324 | | | | | | 377,222,005 | | | | | | 66,879,621 | | | | | | (116,873,513) | | |
Total Net Assets | | | | $ | 5,289,074,167 | | | | | $ | 1,323,388,160 | | | | | $ | 2,671,770,682 | | | | | $ | 513,794,352 | | | | | $ | 2,204,021,592 | | |
Total Net Assets Class I | | | | $ | 4,782,704,608 | | | | | $ | 1,197,852,110 | | | | | $ | 2,418,623,126 | | | | | $ | 469,451,932 | | | | | $ | 2,002,155,338 | | |
Total Net Assets Class Z | | | | $ | 506,369,559 | | | | | $ | 125,536,050 | | | | | $ | 253,147,556 | | | | | $ | 44,342,420 | | | | | $ | 201,866,254 | | |
Shares Outstanding Class I | | | | | 331,140,472 | | | | | | 92,369,632 | | | | | | 182,627,126 | | | | | | 39,410,076 | | | | | | 210,267,689 | | |
Shares Outstanding Class Z | | | | | 45,305,889 | | | | | | 12,973,275 | | | | | | 22,054,690 | | | | | | 3,848,541 | | | | | | 20,629,654 | | |
Net Asset Value Class I | | | | $ | 14.44 | | | | | $ | 12.97 | | | | | $ | 13.24 | | | | | $ | 11.91 | | | | | $ | 9.52 | | |
Net Asset Value Class Z | | | | $ | 11.18 | | | | | $ | 9.68 | | | | | $ | 11.48 | | | | | $ | 11.52 | | | | | $ | 9.79 | | |
(1) Investments, at cost | | | | $ | 4,217,014,560 | | | | | $ | 1,204,828,284 | | | | | $ | 2,308,986,185 | | | | | $ | 446,357,100 | | | | | $ | 2,478,256,982 | | |
(2) Includes securities on loan | | | | $ | 25,225,307 | | | | | $ | 36,882,210 | | | | | $ | 26,408,771 | | | | | $ | 3,181,631 | | | | | $ | — | | |
(3) Foreign currency, at cost | | | | $ | — | | | | | $ | — | | | | | $ | 171,747 | | | | | $ | (50) | | | | | $ | — | | |
(4) Related to futures contracts | | | | $ | 164,000 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(5) Proceeds received | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 3,507,797 | | |
(6) Premiums received | | | | $ | — | | | | | $ | — | | | | | $ | 13,267 | | | | | $ | — | | | | | $ | — | | |
(7) Related to swap contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
| | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | | Destinations Shelter Fund | | |||||||||||||||
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value(1),(2) | | | | $ | 636,156,502 | | | | | $ | 793,396,685 | | | | | $ | 926,630,609 | | | | | $ | 1,268,574,053 | | | | | $ | 127,038,940 | | |
Foreign currency, at value(3) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Cash | | | | | 361 | | | | | | 189 | | | | | | 480,318 | | | | | | 154 | | | | | | — | | |
Unrealized appreciation on unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Receivable for securities sold | | | | | 2,599,667 | | | | | | 4,498,498 | | | | | | 6,508,660 | | | | | | 13,202,288 | | | | | | 790,704 | | |
Dividends and interest receivable | | | | | 6,204,913 | | | | | | 8,958,030 | | | | | | 8,453,838 | | | | | | 2,279,615 | | | | | | 157,012 | | |
Receivable for Fund shares sold | | | | | 257,235 | | | | | | 321,168 | | | | | | 464,724 | | | | | | 564,216 | | | | | | 14,302 | | |
Receivable for expense reimbursement | | | | | — | | | | | | — | | | | | | 8,468 | | | | | | — | | | | | | — | | |
Unrealized appreciation on open forward foreign currency contracts (Note 4) | | | | | 969,583 | | | | | | 695,415 | | | | | | — | | | | | | — | | | | | | — | | |
Variation margin on open future contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized appreciation on swap contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | 1,369,431 | | | | | | — | | |
Upfront premiums paid on swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | 1,845,000 | | | | | | — | | |
Deposits with counterparty | | | | | — | | | | | | 2,255,000(4) | | | | | | — | | | | | | 7,183,778(7) | | | | | | — | | |
Cash held at Broker | | | | | — | | | | | | 5,170,231 | | | | | | — | | | | | | 142,244,674 | | | | | | — | | |
Prepaid expenses | | | | | — | | | | | | 32,668 | | | | | | — | | | | | | — | | | | | | — | | |
Prepaid Chief Compliance Officer expense | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Pre-paid organizational fees | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 161,796 | | |
Other assets | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Receivable for expense reimbursement | | | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | |
Total Assets | | | | | 646,188,261 | | | | | | 815,327,884 | | | | | | 942,546,617 | | | | | | 1,437,263,209 | | | | | | 128,162,754 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for collateral received from securities on loan | | | | | 2,977,241 | | | | | | 1,290,964 | | | | | | — | | | | | | 10,098,320 | | | | | | — | | |
Payable for Fund shares repurchased | | | | | 432,131 | | | | | | 549,659 | | | | | | 872,549 | | | | | | 814,609 | | | | | | 26,979 | | |
Payable for securities purchased | | | | | 54,282,540 | | | | | | 15,948,324 | | | | | | 8,821,732 | | | | | | 9,063,460 | | | | | | 1,199,624 | | |
Investment management fee payable | | | | | 315,899 | | | | | | 446,863 | | | | | | 385,637 | | | | | | 887,765 | | | | | | 72,048 | | |
Transfer agent fees payable | | | | | 71,296 | | | | | | 88,810 | | | | | | 105,314 | | | | | | 148,135 | | | | | | 21,383 | | |
Custody fee payable | | | | | 40,982 | | | | | | 52,067 | | | | | | 75,839 | | | | | | 66,306 | | | | | | 3,911 | | |
Trustees’ fees payable | | | | | 6,001 | | | | | | 9,347 | | | | | | 11,141 | | | | | | 14,766 | | | | | | 760 | | |
Registration fees payable | | | | | 9,471 | | | | | | — | | | | | | 3,431 | | | | | | 9,508 | | | | | | — | | |
Shareholder services | | | | | 9,108 | | | | | | 19,039 | | | | | | 37,748 | | | | | | 15,808 | | | | | | 770 | | |
Variation margin on open future contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Upfront premiums received on swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | 5,526,000 | | | | | | — | | |
Unrealized depreciation on unfunded loan commitments | | | | | — | | | | | | 666 | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized depreciation on swap contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | 2,410,201 | | | | | | — | | |
Forward sale commitments(5) (Note 5) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short(5) (Note 5) | | | | | — | | | | | | 31,024,229 | | | | | | — | | | | | | 134,289,926 | | | | | | — | | |
Due to custodian(3) | | | | | 52 | | | | | | 17 | | | | | | — | | | | | | — | | | | | | 78,501 | | |
Options contracts written, at value(6) (Note 4) | | | | | — | | | | | | 342,354 | | | | | | — | | | | | | 667,017 | | | | | | 1,420,730 | | |
Unrealized depreciation on open forward foreign currency contracts (Note 4) | | | | | 16,257 | | | | | | 5,675 | | | | | | — | | | | | | — | | | | | | — | | |
Foreign capital gains tax payable | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Investment interest payable on securities sold short | | | | | — | | | | | | 13,356 | | | | | | — | | | | | | 109,894 | | | | | | — | | |
Accrued Chief Compliance Officer expense | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Accrued expenses | | | | | 16,627 | | | | | | 15,179 | | | | | | 22,747 | | | | | | 19,214 | | | | | | 1,699 | | |
Total Liabilities | | | | | 58,177,605 | | | | | | 49,806,549 | | | | | | 10,336,138 | | | | | | 164,140,929 | | | | | | 2,826,405 | | |
Total Net Assets | | | | $ | 588,010,656 | | | | | $ | 765,521,335 | | | | | $ | 932,210,479 | | | | | $ | 1,273,122,280 | | | | | $ | 125,336,349 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 60,622 | | | | | $ | 78,274 | | | | | $ | 92,580 | | | | | $ | 124,876 | | | | | $ | 13,114 | | |
Paid-in capital in excess of par value | | | | | 594,954,276 | | | | | | 790,600,490 | | | | | | 930,235,069 | | | | | | 1,251,706,057 | | | | | | 129,494,545 | | |
Total distributable earnings (losses) | | | | | (7,004,242) | | | | | | (25,157,429) | | | | | | 1,882,830 | | | | | | 21,291,347 | | | | | | (4,171,310) | | |
Total Net Assets | | | | $ | 588,010,656 | | | | | $ | 765,521,335 | | | | | $ | 932,210,479 | | | | | $ | 1,273,122,280 | | | | | $ | 125,336,349 | | |
Total Net Assets Class I | | | | $ | 538,792,380 | | | | | $ | 699,356,258 | | | | | $ | 886,808,850 | | | | | $ | 1,164,682,525 | | | | | $ | 123,220,690 | | |
Total Net Assets Class Z | | | | $ | 49,218,276 | | | | | $ | 66,165,077 | | | | | $ | 45,401,629 | | | | | $ | 108,439,755 | | | | | $ | 2,115,659 | | |
Shares Outstanding Class I | | | | | 55,647,118 | | | | | | 71,619,961 | | | | | | 88,083,436 | | | | | | 113,989,968 | | | | | | 12,890,085 | | |
Shares Outstanding Class Z | | | | | 4,975,037 | | | | | | 6,654,159 | | | | | | 4,496,175 | | | | | | 10,885,819 | | | | | | 224,136 | | |
Net Asset Value Class I | | | | $ | 9.68 | | | | | $ | 9.76 | | | | | $ | 10.07 | | | | | $ | 10.22 | | | | | $ | 9.56 | | |
Net Asset Value Class Z | | | | $ | 9.89 | | | | | $ | 9.94 | | | | | $ | 10.10 | | | | | $ | 9.96 | | | | | $ | 9.44 | | |
(1) Investments, at cost | | | | $ | 645,723,489 | | | | | $ | 810,798,851 | | | | | $ | 917,568,608 | | | | | $ | 1,262,592,018 | | | | | $ | 130,851,772 | | |
(2) Includes securities on loan | | | | $ | 2,912,588 | | | | | $ | 1,261,547 | | | | | $ | — | | | | | $ | 9,872,790 | | | | | $ | — | | |
(3) Foreign currency, at cost | | | | $ | (53) | | | | | $ | (17) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(4) Related to securities sold short | | | | $ | — | | | | | $ | 2,255,000 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(5) Proceeds received | | | | $ | — | | | | | $ | 32,187,390 | | | | | $ | — | | | | | $ | 164,040,487 | | | | | $ | — | | |
(6) Premiums received | | | | $ | — | | | | | $ | 299,242 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,956,542 | | |
(7) Related to swap contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 7,183,778 | | | | | $ | — | | |
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Core Fixed Income Fund | | |||||||||||||||
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends | | | | $ | 52,397,748 | | | | | $ | 13,196,868 | | | | | $ | 36,750,147 | | | | | $ | 17,665,255 | | | | | $ | 493,351 | | |
Interest | | | | | 5,876 | | | | | | 2,090 | | | | | | 1,024 | | | | | | 57,471 | | | | | | 43,371,602 | | |
Income from securities lending | | | | | 77,398 | | | | | | 799,389 | | | | | | 1,073,185 | | | | | | 39,570 | | | | | | — | | |
Less: Foreign taxes withheld (Note 5) | | | | | (53,168) | | | | | | (31,934) | | | | | | (4,248,487) | | | | | | (578,014) | | | | | | — | | |
Total Investment Income | | | | | 52,427,854 | | | | | | 13,966,413 | | | | | | 33,575,869 | | | | | | 17,184,282 | | | | | | 43,864,953 | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee (Note 7) | | | | | 39,060,667 | | | | | | 12,067,822 | | | | | | 26,917,133 | | | | | | 3,563,869 | | | | | | 14,487,858 | | |
Transfer agent fees | | | | | 7,408,489 | | | | | | 1,902,899 | | | | | | 3,813,717 | | | | | | 633,752 | | | | | | 3,173,794 | | |
Custody fees | | | | | 1,190,920 | | | | | | 388,232 | | | | | | 1,553,940 | | | | | | 171,777 | | | | | | 839,232 | | |
Trustees’ fees | | | | | 238,808 | | | | | | 53,984 | | | | | | 126,162 | | | | | | 24,070 | | | | | | 100,936 | | |
Insurance | | | | | 102,324 | | | | | | 27,208 | | | | | | 51,825 | | | | | | 8,973 | | | | | | 54,330 | | |
Audit and tax | | | | | 110,320 | | | | | | 25,392 | | | | | | 120,118 | | | | | | 4,315 | | | | | | 34,535 | | |
Legal expense | | | | | 180,030 | | | | | | 46,346 | | | | | | 78,305 | | | | | | 12,204 | | | | | | 66,895 | | |
Chief Compliance Officer expense | | | | | 110,856 | | | | | | 24,673 | | | | | | 49,526 | | | | | | 6,948 | | | | | | 39,466 | | |
Organizational expense | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Shareholder reports fees | | | | | 284 | | | | | | 103 | | | | | | 103 | | | | | | 110 | | | | | | 103 | | |
Distribution fees | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Shareholder services | | | | | 176,170 | | | | | | 74,808 | | | | | | 124,464 | | | | | | 68,592 | | | | | | 120,907 | | |
Registration fees | | | | | 51,390 | | | | | | 33,918 | | | | | | 114,561 | | | | | | 38,102 | | | | | | 98,860 | | |
Broker fees on securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Miscellaneous expense | | | | | 170,138 | | | | | | 45,144 | | | | | | 88,988 | | | | | | 18,760 | | | | | | 124,862 | | |
Interest and dividend expense | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Expenses. | | | | | 48,800,396 | | | | | | 14,690,529 | | | | | | 33,038,842 | | | | | | 4,551,472 | | | | | | 19,141,778 | | |
Less: Fee waivers and/or expense reimbursement (Note 7) | | | | | (7,992,671) | | | | | | (165,934) | | | | | | (1,038,876) | | | | | | (519,795) | | | | | | (1,815,642) | | |
Net Expenses. | | | | | 40,807,725 | | | | | | 14,524,595 | | | | | | 31,999,966 | | | | | | 4,031,677 | | | | | | 17,326,136 | | |
Net Investment Income (Loss) | | | | $ | 11,620,129 | | | | | $ | (558,182) | | | | | $ | 1,575,903 | | | | | $ | 13,152,605 | | | | | $ | 26,538,817 | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, UNFUNDED LOAN COMMITMENTS, OPTIONS CONTRACTS WRITTEN, FORWARD SALE COMMITMENTS, SECURITIES SHORT SOLD, SWAP CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 4 AND 5): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | $ | 784,177,540 | | | | | $ | 186,101,171 | | | | | $ | 131,482,543* | | | | | $ | 34,336,855*** | | | | | $ | (25,585,469) | | |
Futures contracts | | | | | 1,243,790 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,946,689 | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 445,594 | | |
Options contracts written | | | | | — | | | | | | — | | | | | | 80,410 | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | (8,545) | | | | | | 57 | | |
Investments sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 9,148 | | |
Forward foreign currency contracts | | | | | — | | | | | | — | | | | | | 789,064 | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | 1,464 | | | | | | — | | | | | | 362,062 | | | | | | 43,820 | | | | | | — | | |
Realized Gain (Loss) | | | | | 785,422,794 | | | | | | 186,101,171 | | | | | | 132,714,079 | | | | | | 34,372,130 | | | | | | (22,183,981) | | |
Change in Net Unrealized Appreciation (Depreciation) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | (449,389,861) | | | | | | (166,512,626) | | | | | | (375,473,696)** | | | | | | 29,793,784 | | | | | | (66,005,936) | | |
Futures contracts | | | | | (391,794) | | | | | | — | | | | | | — | | | | | | — | | | | | | (501,195) | | |
Unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (816) | | |
Options contracts written | | | | | — | | | | | | — | | | | | | 5,304 | | | | | | — | | | | | | — | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (80,302) | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward foreign currency contracts | | | | | — | | | | | | — | | | | | | (142,993) | | | | | | — | | | | | | — | | |
Foreign currency translations | | | | | 403 | | | | | | — | | | | | | (14,510) | | | | | | (18,816) | | | | | | — | | |
Change in Net Unrealized Appreciation (Depreciation): | | | | | (449,781,252) | | | | | | (166,512,626) | | | | | | (375,625,895) | | | | | | 29,774,968 | | | | | | (66,588,249) | | |
Net Gain (Loss) on Investments, Futures Contracts, Options Contracts Written, Forward Sale Commitments, Securities Short Sold, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions | | | | | 335,641,542 | | | | | | 19,588,545 | | | | | | (242,911,816) | | | | | | 64,147,098 | | | | | | (88,772,230) | | |
Total Increase (Decrease) in Net Assets from Operations | | | | $ | 347,261,671 | | | | | $ | 19,030,363 | | | | | $ | (241,335,913) | | | | | $ | 77,299,703 | | | | | $ | (62,233,413) | | |
| | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | | Destinations Shelter Fund* | | |||||||||||||||
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends | | | | $ | 604,035 | | | | | $ | 1,533,425 | | | | | $ | — | | | | | $ | 4,695,065 | | | | | $ | 315,030 | | |
Interest | | | | | 20,735,889 | | | | | | 31,627,962 | | | | | | 16,340,873 | | | | | | 22,703,906 | | | | | | 7 | | |
Income from securities lending | | | | | 87,171 | | | | | | 178,344 | | | | | | — | | | | | | 452,771 | | | | | | — | | |
Less: Foreign taxes withheld (Note 5) | | | | | — | | | | | | (9,329) | | | | | | — | | | | | | (2,726) | | | | | | (1,047) | | |
Total Investment Income | | | | | 21,427,095 | | | | | | 33,330,402 | | | | | | 16,340,873 | | | | | | 27,849,016 | | | | | | 313,990 | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee (Note 7) | | | | | 3,726,914 | | | | | | 6,689,157 | | | | | | 6,595,937 | | | | | | 16,801,708 | | | | | | 179,886 | | |
Transfer agent fees | | | | | 763,822 | | | | | | 1,125,542 | | | | | | 1,394,735 | | | | | | 1,784,277 | | | | | | 31,805 | | |
Custody fees | | | | | 252,755 | | | | | | 312,730 | | | | | | 453,982 | | | | | | 389,214 | | | | | | 26,022 | | |
Trustees’ fees | | | | | 20,193 | | | | | | 32,244 | | | | | | 38,516 | | | | | | 52,713 | | | | | | 762 | | |
Insurance | | | | | 9,371 | | | | | | 16,126 | | | | | | 23,449 | | | | | | 24,970 | | | | | | 422 | | |
Audit and tax | | | | | 3,079 | | | | | | 6,507 | | | | | | 18,510 | | | | | | 10,678 | | | | | | 394 | | |
Legal expense | | | | | 14,029 | | | | | | 25,241 | | | | | | 28,759 | | | | �� | | 43,189 | | | | | | 6,279 | | |
Chief Compliance Officer expense | | | | | 9,639 | | | | | | 13,222 | | | | | | 16,277 | | | | | | 23,013 | | | | | | 394 | | |
Organizational expense | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 26,167 | | |
Shareholder reports fees | | | | | 103 | | | | | | 103 | | | | | | — | | | | | | 103 | | | | | | — | | |
Distribution fees | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Shareholder services | | | | | 51,078 | | | | | | 62,621 | | | | | | 40,968 | | | | | | 82,929 | | | | | | 827 | | |
Registration fees | | | | | 24,977 | | | | | | — | | | | | | 29,341 | | | | | | 34,441 | | | | | | 10,974 | | |
Broker fees on securities sold short | | | | | — | | | | | | 207,077 | | | | | | — | | | | | | 1,881,268 | | | | | | — | | |
Miscellaneous expense | | | | | 35,909 | | | | | | 57,104 | | | | | | 31,765 | | | | | | — | | | | | | 2,263 | | |
Interest and dividend expense | | | | | — | | | | | | 660,886 | | | | | | — | | | | | | 473,244 | | | | | | — | | |
Total Expenses | | | | | 4,911,869 | | | | | | 9,208,560 | | | | | | 8,672,239 | | | | | | 21,601,747 | | | | | | 286,195 | | |
Less: Fee waivers and/or expense reimbursement (Note 7) | | | | | (10,498) | | | | | | (864,912) | | | | | | (1,566,914) | | | | | | (5,434,539) | | | | | | (27,178) | | |
Net Expenses | | | | | 4,901,371 | | | | | | 8,343,648 | | | | | | 7,105,325 | | | | | | 16,167,208 | | | | | | 259,017 | | |
Net Investment Income (Loss) | | | | $ | 16,525,724 | | | | | $ | 24,986,754 | | | | | $ | 9,235,548 | | | | | $ | 11,681,808 | | | | | $ | 54,973 | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, UNFUNDED LOAN COMMITMENTS, OPTIONS CONTRACTS WRITTEN, FORWARD SALE COMMITMENTS, SECURITIES SHORT SOLD, SWAP CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 4 AND 5): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | $ | 4,834,360 | | | | | $ | 8,277,897 | | | | | $ | 196,462 | | | | | $ | 33,848,714 | | | | | $ | (1,302,760) | | |
Futures contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Options contracts written | | | | | — | | | | | | 2,141,258 | | | | | | — | | | | | | — | | | | | | 396,556 | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | (8,053,227) | | | | | | — | | |
Investments sold short | | | | | — | | | | | | (1,307,002) | | | | | | — | | | | | | — | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | 11,113,266 | | | | | | — | | |
Forward foreign currency contracts | | | | | 3,099,374 | | | | | | 1,888,307 | | | | | | — | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | (162,280) | | | | | | (130,578) | | | | | | — | | | | | | — | | | | | | — | | |
Realized Gain (Loss). | | | | | 7,771,454 | | | | | | 10,869,882 | | | | | | 196,462 | | | | | | 36,908,753 | | | | | | (906,204) | | |
Change in Net Unrealized Appreciation (Depreciation) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | (6,937,336) | | | | | | (26,046,674) | | | | | | (24,430,854) | | | | | | (72,208,349) | | | | | | (3,812,832) | | |
Futures contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unfunded loan commitments | | | | | (116,255) | | | | | | (666) | | | | | | — | | | | | | — | | | | | | — | | |
Options contracts written | | | | | — | | | | | | (117,916) | | | | | | — | | | | | | (667,017) | | | | | | 535,812 | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | 1,624,949 | | | | | | — | | | | | | 45,726,172 | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | (7,546,238) | | | | | | — | | |
Forward foreign currency contracts | | | | | 693,218 | | | | | | 384,807 | | | | | | — | | | | | | — | | | | | | — | | |
Foreign currency translations | | | | | (1,593) | | | | | | (43,741) | | | | | | — | | | | | | — | | | | | | — | | |
Change in Net Unrealized Appreciation (Depreciation): | | | | | (6,361,966) | | | | | | (24,199,241) | | | | | | (24,430,854) | | | | | | (34,695,432) | | | | | | (3,277,020) | | |
Net Gain (Loss) on Investments, Futures Contracts, Options Contracts Written, Forward Sale Commitments, Securities Short Sold, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions | | | | | 1,409,488 | | | | | | (13,329,359) | | | | | | (24,234,392) | | | | | | 2,213,321 | | | | | | (4,183,224) | | |
Total Increase (Decrease) in Net Assets from Operations | | | | $ | 17,935,212 | | | | | | 11,657,395 | | | | | $ | (14,998,844) | | | | | $ | 13,895,129 | | | | | $ | (4,128,251) | | |
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | |||||||||||||||||||||||||||||
| | | February 28, 2022 | | | February 28, 2021 | | | February 28, 2022 | | | February 28, 2021 | | | February 28, 2022 | | | February 28, 2021 | | | ||||||||||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 11,620,129 | | | | | $ | 23,831,149 | | | | | $ | (558,182) | | | | | $ | 896,716 | | | | | $ | 1,575,903 | | | | | $ | 546,320 | | | | ||
Net realized gain (loss) | | | | | 785,422,794 | | | | | | 227,791,299 | | | | | | 186,101,171 | | | | | | 160,527,673 | | | | | | 132,714,079 | | | | | | 12,520,943 | | | | ||
Change in unrealized appreciation (depreciation) | | | | | (449,781,252) | | | | | | 1,084,588,379 | | | | | | (166,512,626) | | | | | | 290,864,457 | | | | | | (375,625,895) | | | | | | 566,170,523 | | | | ||
Increase (Decrease) in Net Assets From Operations | | | | | 347,261,671 | | | | | | 1,336,210,827 | | | | | | 19,030,363 | | | | | | 452,288,846 | | | | | | (241,335,913) | | | | | | 579,237,786 | | | | ||
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||
Class I | | | | | (742,888,992) | | | | | | (87,281,044) | | | | | | (278,308,203) | | | | | | (22,516,715) | | | | | | (106,963,772) | | | | | | (663,386) | | | | ||
Class Z | | | | | (91,165,797) | | | | | | (6,999,957) | | | | | | (34,347,234) | | | | | | (1,796,366) | | | | | | (12,287,268) | | | | | | (234,506) | | | | ||
Decrease in Net Assets From Distributions to Shareholders | | | | | (834,054,789) | | | | | | (94,281,001) | | | | | | (312,655,437) | | | | | | (24,313,081) | | | | | | (119,251,040) | | | | | | (897,892) | | | | ||
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||
Class I | | | | | 1,103,438,865 | | | | | | 684,494,010 | | | | | | 297,005,363 | | | | | | 124,974,104 | | | | | | 718,986,973 | | | | | | 366,061,881 | | | | ||
Class Z | | | | | 307,509,210 | | | | | | 90,160,931 | | | | | | 78,783,437 | | | | | | 19,907,864 | | | | | | 172,083,487 | | | | | | 48,789,282 | | | | ||
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||
Class I | | | | | 737,636,369 | | | | | | 86,767,648 | | | | | | 276,576,197 | | | | | | 22,394,639 | | | | | | 106,257,235 | | | | | | 659,537 | | | | ||
Class Z | | | | | 89,090,035 | | | | | | 6,794,463 | | | | | | 33,532,848 | | | | | | 1,740,399 | | | | | | 11,989,392 | | | | | | 226,851 | | | | ||
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||
Class I | | | | | (1,096,768,348) | | | | | | (1,146,597,874) | | | | | | (284,468,165) | | | | | | (274,215,231) | | | | | | (371,411,313) | | | | | | (509,687,356) | | | | ||
Class Z | | | | | (97,620,389) | | | | | | (81,513,637) | | | | | | (25,683,964) | | | | | | (17,853,191) | | | | | | (38,215,141) | | | | | | (35,303,264) | | | | ||
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 1,043,285,742 | | | | | | (359,894,459) | | | | | | 375,745,716 | | | | | | (123,051,416) | | | | | | 599,690,633 | | | | | | (129,253,069) | | | | ||
Increase (Decrease) in Net Assets | | | | | 556,492,624 | | | | | | 882,035,367 | | | | | | 82,120,642 | | | | | | 304,924,349 | | | | | | 239,103,680 | | | | | | 449,086,825 | | | | ||
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||
Beginning of year | | | | | 4,732,581,543 | | | | | | 3,850,546,176 | | | | | | 1,241,267,518 | | | | | | 936,343,169 | | | | | | 2,432,667,002 | | | | | | 1,983,580,177 | | | | ||
End of year | | | | $ | 5,289,074,167 | | | | | $ | 4,732,581,543 | | | | | $ | 1,323,388,160 | | | | | $ | 1,241,267,518 | | | | | $ | 2,671,770,682 | | | | | $ | 2,432,667,002 | | | |
| | | Destinations Equity Income Fund | | | Destinations Core Fixed Income Fund | | ||||||||||||||||||
| | | February 28, 2022 | | | February 28, 2021 | | | February 28, 2022 | | | February 28, 2021 | | ||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 13,152,605 | | | | | $ | 14,068,354 | | | | | $ | 26,538,817 | | | | | $ | 40,363,272 | | |
Net realized gain (loss) | | | | | 34,372,130 | | | | | | (37,763,039) | | | | | | (22,183,981) | | | | | | 71,935,441 | | |
Change in unrealized appreciation (depreciation) | | | | | 29,774,968 | | | | | | 55,055,823 | | | | | | (66,588,249) | | | | | | (111,053,086) | | |
Increase (Decrease) in Net Assets From Operations | | | | | 77,299,703 | | | | | | 31,361,138 | | | | | | (62,233,413) | | | | | | 1,245,627 | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5): | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (12,120,599) | | | | | | (17,047,791) | | | | | | (82,331,867) | | | | | | (45,411,862) | | |
Class Z | | | | | (1,173,794) | | | | | | (1,044,996) | | | | | | (7,562,843) | | | | | | (2,565,783) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (13,294,393) | | | | | | (18,092,787) | | | | | | (89,894,710) | | | | | | (47,977,645) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 105,617,365 | | | | | | 42,296,206 | | | | | | 391,752,962 | | | | | | 566,944,532 | | |
Class Z | | | | | 22,657,044 | | | | | | 9,176,726 | | | | | | 126,031,585 | | | | | | 55,197,432 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 12,040,971 | | | | | | 16,937,229 | | | | | | 81,742,945 | | | | | | 45,153,843 | | |
Class Z | | | | | 1,091,506 | | | | | | 953,306 | | | | | | 7,322,356 | | | | | | 2,458,341 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (82,484,563) | | | | | | (137,678,016) | | | | | | (411,407,304) | | | | | | (384,588,684) | | |
Class Z | | | | | (7,803,737) | | | | | | (8,307,893) | | | | | | (39,644,563) | | | | | | (32,672,496) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 51,118,586 | | | | | | (76,622,442) | | | | | | 155,797,981 | | | | | | 252,492,968 | | |
Increase (Decrease) in Net Assets | | | | | 115,123,896 | | | | | | (63,354,091) | | | | | | 3,669,858 | | | | | | 205,760,950 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | | 398,670,456 | | | | | | 462,024,547 | | | | | | 2,200,351,734 | | | | | | 1,994,590,784 | | |
End of year | | | | $ | 513,794,352 | | | | | $ | 398,670,456 | | | | | $ | 2,204,021,592 | | | | | $ | 2,200,351,734 | | |
| | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | |||||||||||||||||||||||||||
| | | February 28, 2022 | | | February 28, 2021 | | | February 28, 2022 | | | February 28, 2021 | | | February 28, 2022 | | | February 28, 2021 | | ||||||||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 16,525,724 | | | | | $ | 13,517,328 | | | | | $ | 24,986,754 | | | | | $ | 30,033,909 | | | | | $ | 9,235,548 | | | | | $ | 11,067,571 | | |
Net realized gain (loss) | | | | | 7,771,454 | | | | | | (1,552,406) | | | | | | 10,869,882 | | | | | | (3,016,659) | | | | | | 196,462 | | | | | | 6,670,758 | | |
Change in unrealized appreciation (depreciation) | | | | | (6,361,966) | | | | | | 3,661,273 | | | | | | (24,199,241) | | | | | | 15,909,081 | | | | | | (24,430,854) | | | | | | (19,255,288) | | |
Increase (Decrease) in Net Assets From Operations | | | | | 17,935,212 | | | | | | 15,626,195 | | | | | | 11,657,395 | | | | | | 42,926,331 | | | | | | (14,998,844) | | | | | | (1,516,959) | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (19,463,239) | | | | | | (12,423,555) | | | | | | (30,081,087) | | | | | | (28,302,527) | | | | | | (13,428,406) | | | | | | (18,714,445) | | |
Class Z | | | | | (1,563,200) | | | | | | (617,410) | | | | | | (2,508,298) | | | | | | (1,478,999) | | | | | | (678,567) | | | | | | (514,550) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (21,026,439) | | | | | | (13,040,965) | | | | | | (32,589,385) | | | | | | (29,781,526) | | | | | | (14,106,973) | | | | | | (19,228,995) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 194,152,137 | | | | | | 171,086,753 | | | | | | 131,429,645 | | | | | | 167,996,725 | | | | | | 153,593,332 | | | | | | 183,253,560 | | |
Class Z | | | | | 33,535,547 | | | | | | 11,930,570 | | | | | | 38,991,349 | | | | | | 16,710,837 | | | | | | 33,049,295 | | | | | | 14,800,618 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 19,330,200 | | | | | | 12,349,552 | | | | | | 29,867,741 | | | | | | 28,132,491 | | | | | | 13,320,546 | | | | | | 18,578,076 | | |
Class Z | | | | | 1,506,794 | | | | | | 590,193 | | | | | | 2,404,353 | | | | | | 1,401,780 | | | | | | 641,326 | | | | | | 479,548 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (90,072,075) | | | | | | (88,084,770) | | | | | | (160,548,450) | | | | | | (224,106,513) | | | | | | (136,501,200) | | | | | | (176,085,320) | | |
Class Z | | | | | (7,547,679) | | | | | | (5,004,378) | | | | | | (13,570,620) | | | | | | (12,985,085) | | | | | | (12,605,433) | | | | | | (7,453,789) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 150,904,924 | | | | | | 102,867,920 | | | | | | 28,574,018 | | | | | | (22,849,765) | | | | | | 51,497,866 | | | | | | 33,572,693 | | |
Increase (Decrease) in Net Assets | | | | | 147,813,697 | | | | | | 105,453,150 | | | | | | 7,642,028 | | | | | | (9,704,960) | | | | | | 22,392,049 | | | | | | 12,826,739 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | | 440,196,959 | | | | | | 334,743,809 | | | | | | 757,879,307 | | | | | | 767,584,267 | | | | | | 909,818,430 | | | | | | 896,991,691 | | |
End of year | | | | $ | 588,010,656 | | | | | $ | 440,196,959 | | | | | $ | 765,521,335 | | | | | $ | 757,879,307 | | | | | $ | 932,210,479 | | | | | $ | 909,818,430 | | |
| | | Destinations Multi Strategy Alternatives Fund | | | Destinations Shelter Fund* | | ||||||||||||
| | | February 28, 2022 | | | February 28, 2021 | | | February 28, 2022 | | |||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 11,681,808 | | | | | $ | 13,571,592 | | | | | $ | 54,973 | | |
Net realized gain (loss) | | | | | 36,908,753 | | | | | | 18,809,890 | | | | | | (906,204) | | |
Change in unrealized appreciation (depreciation) | | | | | (34,695,432) | | | | | | 74,890,594 | | | | | | (3,277,020) | | |
Increase (Decrease) in Net Assets From Operations. | | | | | 13,895,129 | | | | | | 107,272,076 | | | | | | (4,128,251) | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5): | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (53,140,787) | | | | | | (14,280,507) | | | | | | (42,023) | | |
Class Z | | | | | (4,807,807) | | | | | | (792,977) | | | | | | (1,036) | | |
Decrease in Net Assets From Distributions to Shareholders. | | | | | (57,948,594) | | | | | | (15,073,484) | | | | | | (43,059) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 248,568,216 | | | | | | 281,655,299 | | | | | | 131,089,495 | | |
Class Z | | | | | 65,274,948 | | | | | | 25,454,430 | | | | | | 2,259,436 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 52,757,833 | | | | | | 14,207,122 | | | | | | 42,023 | | |
Class Z | | | | | 4,653,976 | | | | | | 760,344 | | | | | | 1,036 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (198,834,909) | | | | | | (169,315,819) | | | | | | (3,841,704) | | |
Class Z | | | | | (17,735,424) | | | | | | (11,887,150) | | | | | | (42,627) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 154,684,640 | | | | | | 140,874,226 | | | | | | 129,507,659 | | |
Increase (Decrease) in Net Assets | | | | | 110,631,175 | | | | | | 233,072,818 | | | | | | 125,336,349 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | |
Beginning of year/period | | | | | 1,162,491,105 | | | | | | 929,418,287 | | | | | | — | | |
End of year/period | | | | $ | 1,273,122,280 | | | | | $ | 1,162,491,105 | | | | | $ | 125,336,349 | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 15.84 | | | | | $ | 11.88 | | | | | $ | 11.61 | | | | | $ | 11.71 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.04 | | | | | | 0.07 | | | | | | 0.10 | | | | | | 0.11 | | | | | | 0.10 | | |
Net realized and unrealized gain (loss) | | | | | 1.33 | | | | | | 4.19 | | | | | | 0.40 | | | | | | 0.18 | | | | | | 1.69 | | |
Total Income (Loss) from Operations | | | | | 1.37 | | | | | | 4.26 | | | | | | 0.50 | | | | | | 0.29 | | | | | | 1.79 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.10) | | | | | | (0.01) | | | | | | (0.10) | | | | | | (0.10) | | | | | | (0.08) | | |
Net realized gain | | | | | (2.67) | | | | | | (0.29) | | | | | | (0.13) | | | | | | (0.29) | | | | | | — | | |
Total Distributions | | | | | (2.77) | | | | | | (0.30) | | | | | | (0.23) | | | | | | (0.39) | | | | | | (0.08) | | |
Net Asset Value, End of Period | | | | $ | 14.44 | | | | | $ | 15.84 | | | | | $ | 11.88 | | | | | $ | 11.61 | | | | | $ | 11.71 | | |
Total Return(3) | | | | | 7.48% | | | | | | 35.94% | | | | | | 4.18% | | | | | | 2.73% | | | | | | 17.89%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 4,783 | | | | | $ | 4,450 | | | | | $ | 3,651 | | | | | $ | 3,427 | | | | | $ | 2,804 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.95% | | | | | | 0.95% | | | | | | 0.95% | | | | | | 0.97% | | | | | | 0.98%(5) | | |
Net expenses(6) | | | | | 0.80% | | | | | | 0.82% | | | | | | 0.82% | | | | | | 0.85% | | | | | | 0.85%(5) | | |
Net investment income(6) | | | | | 0.21% | | | | | | 0.56% | | | | | | 0.84% | | | | | | 0.91% | | | | | | 0.97%(5) | | |
Portfolio Turnover Rate(7) | | | | | 83% | | | | | | 48% | | | | | | 49% | | | | | | 28% | | | | | | 52%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 12.81 | | | | | $ | 9.65 | | | | | $ | 9.46 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.05 | | | | | | 0.08 | | | | | | 0.10 | | | | | | 0.07 | | |
Net realized and unrealized gain (loss) | | | | | 1.12 | | | | | | 3.40 | | | | | | 0.34 | | | | | | (0.21) | | |
Total Income (Loss) from Operations | | | | | 1.17 | | | | | | 3.48 | | | | | | 0.44 | | | | | | (0.14) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.13) | | | | | | (0.03) | | | | | | (0.12) | | | | | | (0.11) | | |
Net realized gain | | | | | (2.67) | | | | | | (0.29) | | | | | | (0.13) | | | | | | (0.29) | | |
Total Distributions | | | | | (2.80) | | | | | | (0.32) | | | | | | (0.25) | | | | | | (0.40) | | |
Net Asset Value, End of Period | | | | $ | 11.18 | | | | | $ | 12.81 | | | | | $ | 9.65 | | | | | $ | 9.46 | | |
Total Return(3) | | | | | 7.65% | | | | | | 36.16% | | | | | | 4.45% | | | | | | (0.94)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 506 | | | | | $ | 283 | | | | | $ | 200 | | | | | $ | 70 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.82%(5) | | |
Net expenses(6) | | | | | 0.65% | | | | | | 0.67% | | | | | | 0.67% | | | | | | 0.70%(5) | | |
Net investment income(6) | | | | | 0.36% | | | | | | 0.70% | | | | | | 0.96% | | | | | | 1.06%(5) | | |
Portfolio Turnover Rate(7) | | | | | 83% | | | | | | 48% | | | | | | 49% | | | | | | 28%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 16.43 | | | | | $ | 10.92 | | | | | $ | 11.31 | | | | | $ | 10.98 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(2) | | | | | (0.01) | | | | | | 0.01 | | | | | | 0.06 | | | | | | 0.06 | | | | | | 0.04 | | |
Net realized and unrealized gain | | | | | 0.55 | | | | | | 5.80 | | | | | | 0.04 | | | | | | 0.84 | | | | | | 1.04 | | |
Total Income from Operations | | | | | 0.54 | | | | | | 5.81 | | | | | | 0.10 | | | | | | 0.90 | | | | | | 1.08 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.00)* | | | | | | (0.06) | | | | | | (0.05) | | | | | | (0.04) | | |
Net realized gain | | | | | (4.00) | | | | | | (0.30) | | | | | | (0.43) | | | | | | (0.52) | | | | | | (0.06) | | |
Total Distributions | | | | | (4.00) | | | | | | (0.30) | | | | | | (0.49) | | | | | | (0.57) | | | | | | (0.10) | | |
Net Asset Value, End of Period | | | | $ | 12.97 | | | | | $ | 16.43 | | | | | $ | 10.92 | | | | | $ | 11.31 | | | | | $ | 10.98 | | |
Total Return(3) | | | | | 1.66% | | | | | | 53.65% | | | | | | 0.52% | | | | | | 9.02% | | | | | | 10.83%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 1,198 | | | | | $ | 1,167 | | | | | $ | 890 | | | | | $ | 962 | | | | | $ | 701 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.11% | | | | | | 1.11% | | | | | | 1.11% | | | | | | 1.12% | | | | | | 1.14%(5) | | |
Net expenses(6) | | | | | 1.10% | | | | | | 1.11% | | | | | | 1.08% | | | | | | 1.03% | | | | | | 1.03%(5) | | |
Net investment income(6) | | | | | (0.05)% | | | | | | 0.09% | | | | | | 0.54% | | | | | | 0.53% | | | | | | 0.41%(5) | | |
Portfolio Turnover Rate(7) | | | | | 111% | | | | | | 145% | | | | | | 110% | | | | | | 85% | | | | | | 112%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 13.17 | | | | | $ | 8.80 | | | | | $ | 9.20 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.01 | | | | | | 0.02 | | | | | | 0.06 | | | | | | 0.04 | | |
Net realized and unrealized gain (loss) | | | | | 0.50 | | | | | | 4.67 | | | | | | 0.05 | | | | | | (0.25) | | |
Total Income (Loss) from Operations | | | | | 0.51 | | | | | | 4.69 | | | | | | 0.11 | | | | | | (0.21) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.02) | | | | | | (0.08) | | | | | | (0.07) | | |
Net realized gain | | | | | (4.00) | | | | | | (0.30) | | | | | | (0.43) | | | | | | (0.52) | | |
Total Distributions | | | | | (4.00) | | | | | | (0.32) | | | | | | (0.51) | | | | | | (0.59) | | |
Net Asset Value, End of Period | | | | $ | 9.68 | | | | | $ | 13.17 | | | | | $ | 8.80 | | | | | $ | 9.20 | | |
Total Return(3) | | | | | 1.86% | | | | | | 53.85% | | | | | | 0.69% | | | | | | (1.24)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 126 | | | | | $ | 74 | | | | | $ | 46 | | | | | $ | 19 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.96% | | | | | | 0.96% | | | | | | 0.97% | | | | | | 0.97%(5) | | |
Net expenses(6) | | | | | 0.95% | | | | | | 0.96% | | | | | | 0.94% | | | | | | 0.88%(5) | | |
Net investment income(6) | | | | | 0.10% | | | | | | 0.22% | | | | | | 0.66% | | | | | | 0.68%(5) | | |
Portfolio Turnover Rate(7) | | | | | 111% | | | | | | 145% | | | | | | 110% | | | | | | 85%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 15.11 | | | | | $ | 11.30 | | | | | $ | 10.86 | | | | | $ | 11.69 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.01 | | | | | | 0.00* | | | | | | 0.09 | | | | | | 0.09 | | | | | | 0.07 | | |
Net realized and unrealized gain (loss) | | | | | (1.22) | | | | | | 3.81 | | | | | | 0.44 | | | | | | (0.77) | | | | | | 1.70 | | |
Total Income (Loss) from Operations | | | | | (1.21) | | | | | | 3.81 | | | | | | 0.53 | | | | | | (0.68) | | | | | | 1.77 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.03) | | | | | | (0.00)* | | | | | | (0.09) | | | | | | (0.12) | | | | | | (0.07) | | |
Net realized gain | | | | | (0.63) | | | | | | — | | | | | | — | | | | | | (0.03) | | | | | | (0.01) | | |
Total Distributions | | | | | (0.66) | | | | | | — | | | | | | (0.09) | | | | | | (0.15) | | | | | | (0.08) | | |
Net Asset Value, End of Period | | | | $ | 13.24 | | | | | $ | 15.11 | | | | | $ | 11.30 | | | | | $ | 10.86 | | | | | $ | 11.69 | | |
Total Return(3) | | | | | (8.36)% | | | | | | 33.76% | | | | | | 4.83% | | | | | | (5.71)% | | | | | | 17.70%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 2,419 | | | | | $ | 2,288 | | | | | $ | 1,884 | | | | | $ | 1,618 | | | | | $ | 1,413 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.24% | | | | | | 1.24% | | | | | | 1.25% | | | | | | 1.28% | | | | | | 1.30%(5) | | |
Net expenses(6) | | | | | 1.20% | | | | | | 1.23% | | | | | | 1.17% | | | | | | 1.18% | | | | | | 1.15%(5) | | |
Net investment income(6) | | | | | 0.05% | | | | | | 0.02% | | | | | | 0.77% | | | | | | 0.83% | | | | | | 0.69%(5) | | |
Portfolio Turnover Rate(7) | | | | | 48% | | | | | | 38% | | | | | | 27% | | | | | | 32% | | | | | | 50%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 13.18 | | | | | $ | 9.86 | | | | | $ | 9.48 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.02 | | | | | | 0.02 | | | | | | 0.06 | | | | | | 0.02 | | |
Net realized and unrealized gain (loss) | | | | | (1.05) | | | | | | 3.32 | | | | | | 0.43 | | | | | | (0.38) | | |
Total Income (Loss) from Operations | | | | | (1.03) | | | | | | 3.34 | | | | | | 0.49 | | | | | | (0.36) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.04) | | | | | | (0.02) | | | | | | (0.11) | | | | | | (0.13) | | |
Net realized gain | | | | | (0.63) | | | | | | — | | | | | | — | | | | | | (0.03) | | |
Total Distributions | | | | | (0.67) | | | | | | (0.02) | | | | | | (0.11) | | | | | | (0.16) | | |
Net Asset Value, End of Period | | | | $ | 11.48 | | | | | $ | 13.18 | | | | | $ | 9.86 | | | | | $ | 9.48 | | |
Total Return(3) | | | | | (8.16)% | | | | | | 33.91% | | | | | | 5.05% | | | | | | (3.43)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 253 | | | | | $ | 145 | | | | | $ | 99 | | | | | $ | 33 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.09% | | | | | | 1.09% | | | | | | 1.10% | | | | | | 1.13%(5) | | |
Net expenses(6) | | | | | 1.05% | | | | | | 1.08% | | | | | | 1.02% | | | | | | 1.03%(5) | | |
Net investment income(6) | | | | | 0.13% | | | | | | 0.14% | | | | | | 0.62% | | | | | | 0.98%(5) | | |
Portfolio Turnover Rate(7) | | | | | 48% | | | | | | 38% | | | | | | 27% | | | | | | 32%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.26 | | | | | $ | 9.74 | | | | | $ | 10.20 | | | | | $ | 10.14 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.34 | | | | | | 0.34 | | | | | | 0.35 | | | | | | 0.32 | | | | | | 0.31 | | |
Net realized and unrealized gain (loss) | | | | | 1.65 | | | | | | 0.63 | | | | | | (0.40) | | | | | | 0.39 | | | | | | 0.12 | | |
Total Income (Loss) from Operations | | | | | 1.99 | | | | | | 0.97 | | | | | | (0.05) | | | | | | 0.71 | | | | | | 0.43 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.34) | | | | | | (0.31) | | | | | | (0.32) | | | | | | (0.29) | | | | | | (0.26) | | |
Net realized gain | | | | | — | | | | | | (0.14) | | | | | | (0.09) | | | | | | (0.36) | | | | | | (0.03) | | |
Total Distributions | | | | | (0.34) | | | | | | (0.45) | | | | | | (0.41) | | | | | | (0.65) | | | | | | (0.29) | | |
Net Asset Value, End of Period | | | | $ | 11.91 | | | | | $ | 10.26 | | | | | $ | 9.74 | | | | | $ | 10.20 | | | | | $ | 10.14 | | |
Total Return(3) | | | | | 19.58% | | | | | | 10.37% | | | | | | (0.78)% | | | | | | 7.52% | | | | | | 4.34%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 469 | | | | | $ | 375 | | | | | $ | 441 | | | | | $ | 391 | | | | | $ | 320 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.04% | | | | | | 1.03% | | | | | | 1.03% | | | | | | 1.04% | | | | | | 1.05%(5) | | |
Net expenses(6) | | | | | 0.92% | | | | | | 0.92% | | | | | | 0.88% | | | | | | 0.87% | | | | | | 0.93%(5) | | |
Net investment income(6) | | | | | 2.94% | | | | | | 3.60% | | | | | | 3.31% | | | | | | 3.13% | | | | | | 3.18%(5) | | |
Portfolio Turnover Rate(7) | | | | | 58% | | | | | | 54% | | | | | | 43% | | | | | | 74% | | | | | | 57%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.94 | | | | | $ | 9.44 | | | | | $ | 9.89 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.35 | | | | | | 0.34 | | | | | | 0.36 | | | | | | 0.20 | | |
Net realized and unrealized gain (loss) | | | | | 1.59 | | | | | | 0.62 | | | | | | (0.38) | | | | | | 0.21 | | |
Total Income (Loss) from Operations | | | | | 1.94 | | | | | | 0.96 | | | | | | (0.02) | | | | | | 0.41 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.36) | | | | | | (0.32) | | | | | | (0.34) | | | | | | (0.16) | | |
Net realized gain | | | | | — | | | | | | (0.14) | | | | | | (0.09) | | | | | | (0.36) | | |
Total Distributions | | | | | (0.36) | | | | | | (0.46) | | | | | | (0.43) | | | | | | (0.52) | | |
Net Asset Value, End of Period | | | | $ | 11.52 | | | | | $ | 9.94 | | | | | $ | 9.44 | | | | | $ | 9.89 | | |
Total Return(3) | | | | | 19.71% | | | | | | 10.63% | | | | | | (0.58)% | | | | | | 4.51%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 44 | | | | | $ | 24 | | | | | | 21 | | | | | $ | 10 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.89% | | | | | | 0.88% | | | | | | 0.88% | | | | | | 0.89%(5) | | |
Net expenses(6) | | | | | 0.77% | | | | | | 0.77% | | | | | | 0.74% | | | | | | 0.72%(5) | | |
Net investment income(6) | | | | | 3.09% | | | | | | 3.72% | | | | | | 3.46% | | | | | | 3.28%(5) | | |
Portfolio Turnover Rate(7) | | | | | 58% | | | | | | 54% | | | | | | 43% | | | | | | 74%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.19 | | | | | $ | 10.42 | | | | | $ | 9.83 | | | | | $ | 9.83 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.12 | | | | | | 0.20 | | | | | | 0.28 | | | | | | 0.28 | | | | | | 0.21 | | |
Net realized and unrealized gain (loss) | | | | | (0.38) | | | | | | (0.20) | | | | | | 0.59 | | | | | | (0.01) | | | | | | (0.17) | | |
Total Income (Loss) from Operations | | | | | (0.26) | | | | | | — | | | | | | 0.87 | | | | | | 0.27 | | | | | | 0.04 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.13) | | | | | | (0.20) | | | | | | (0.28) | | | | | | (0.27) | | | | | | (0.19) | | |
Net realized gain | | | | | (0.28) | | | | | | (0.03) | | | | | | — | | | | | | — | | | | | | (0.02) | | |
Total Distributions | | | | | (0.41) | | | | | | (0.23) | | | | | | (0.28) | | | | | | (0.27) | | | | | | (0.21) | | |
Net Asset Value, End of Period | | | | $ | 9.52 | | | | | $ | 10.19 | | | | | $ | 10.42 | | | | | $ | 9.83 | | | | | $ | 9.83 | | |
Total Return(3) | | | | | (2.72)% | | | | | | 0.05% | | | | | | 8.97% | | | | | | 2.77% | | | | | | 0.34%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 2,002 | | | | | $ | 2,079 | | | | | $ | 1,896 | | | | | $ | 1,708 | | | | | $ | 1,500 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.87% | | | | | | 0.87% | | | | | | 0.88% | | | | | | 0.89% | | | | | | 0.90%(5) | | |
Net expenses(6) | | | | | 0.79% | | | | | | 0.78% | | | | | | 0.80% | | | | | | 0.81% | | | | | | 0.82%(5) | | |
Net investment income(6) | | | | | 1.18% | | | | | | 1.91% | | | | | | 2.80% | | | | | | 2.85% | | | | | | 2.22%(5) | | |
Portfolio Turnover Rate(7) | | | | | 240% | | | | | | 204% | | | | | | 43% | | | | | | 64% | | | | | | 170%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.46 | | | | | $ | 10.69 | | | | | $ | 10.08 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.14 | | | | | | 0.22 | | | | | | 0.30 | | | | | | 0.20 | | |
Net realized and unrealized gain (loss) | | | | | (0.39) | | | | | | (0.21) | | | | | | 0.61 | | | | | | 0.03 | | |
Total Income (Loss) from Operations | | | | | (0.25) | | | | | | 0.01 | | | | | | 0.91 | | | | | | 0.23 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.14) | | | | | | (0.21) | | | | | | (0.30) | | | | | | (0.15) | | |
Net realized gain | | | | | (0.28) | | | | | | (0.03) | | | | | | — | | | | | | — | | |
Total Distributions | | | | | (0.42) | | | | | | (0.24) | | | | | | (0.30) | | | | | | (0.15) | | |
Net Asset Value, End of Period | | | | $ | 9.79 | | | | | $ | 10.46 | | | | | $ | 10.69 | | | | | $ | 10.08 | | |
Total Return(3) | | | | | (2.50)% | | | | | | 0.17% | | | | | | 9.11% | | | | | | 2.29(4) | | |
Net Assets, End of Period (millions) | | | | $ | 202 | | | | | $ | 121 | | | | | $ | 99 | | | | | $ | 29 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.72% | | | | | | 0.72% | | | | | | 0.73% | | | | | | 0.74%(5) | | |
Net expenses(6) | | | | | 0.64% | | | | | | 0.63% | | | | | | 0.65% | | | | | | 0.66%(5) | | |
Net investment income(6) | | | | | 1.36% | | | | | | 2.05% | | | | | | 2.90% | | | | | | 3.00%(5) | | |
Portfolio Turnover Rate(7) | | | | | 240% | | | | | | 204% | | | | | | 43% | | | | | | 64%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.73 | | | | | $ | 9.75 | | | | | $ | 9.84 | | | | | $ | 9.90 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.30 | | | | | | 0.34 | | | | | | 0.33 | | | | | | 0.35 | | | | | | 0.27 | | |
Net realized and unrealized gain (loss) | | | | | 0.03 | | | | | | (0.02) | | | | | | (0.08) | | | | | | (0.08) | | | | | | (0.12) | | |
Total Income from Operations | | | | | 0.33 | | | | | | 0.32 | | | | | | 0.25 | | | | | | 0.27 | | | | | | 0.15 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.37) | | | | | | (0.34) | | | | | | (0.34) | | | | | | (0.33) | | | | | | (0.25) | | |
Net realized gain | | | | | (0.01) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Distributions | | | | | (0.38) | | | | | | (0.34) | | | | | | (0.34) | | | | | | (0.33) | | | | | | (0.25) | | |
Net Asset Value, End of Period | | | | $ | 9.68 | | | | | $ | 9.73 | | | | | $ | 9.75 | | | | | $ | 9.84 | | | | | $ | 9.90 | | |
Total Return(3) | | | | | 3.40% | | | | | | 3.43% | | | | | | 2.59% | | | | | | 2.79% | | | | | | 1.52%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 539 | | | | | $ | 418 | | | | | $ | 320 | | | | | $ | 386 | | | | | $ | 178 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.93% | | | | | | 0.95% | | | | | | 0.96% | | | | | | 0.97% | | | | | | 1.00%(5) | | |
Net expenses(6) | | | | | 0.93% | | | | | | 0.95% | | | | | | 0.94% | | | | | | 0.93% | | | | | | 0.94%(5) | | |
Net investment income(6) | | | | | 3.09% | | | | | | 3.63% | | | | | | 3.30% | | | | | | 3.51% | | | | | | 2.84%(5) | | |
Portfolio Turnover Rate(7) | | | | | 107% | | | | | | 168% | | | | | | 138% | | | | | | 120% | | | | | | 32%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.93 | | | | | $ | 9.94 | | | | | $ | 10.03 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.33 | | | | | | 0.36 | | | | | | 0.34 | | | | | | 0.22 | | |
Net realized and unrealized gain (loss) | | | | | 0.02 | | | | | | (0.02) | | | | | | (0.07) | | | | | | (0.03) | | |
Total Income from Operations | | | | | 0.35 | | | | | | 0.34 | | | | | | 0.27 | | | | | | 0.19 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.38) | | | | | | (0.35) | | | | | | (0.36) | | | | | | (0.16) | | |
Net realized gain | | | | | (0.01) | | | | | | — | | | | | | — | | | | | | — | | |
Total Distributions | | | | | (0.39) | | | | | | (0.35) | | | | | | (0.36) | | | | | | (0.16) | | |
Net Asset Value, End of Period | | | | $ | 9.89 | | | | | $ | 9.93 | | | | | $ | 9.94 | | | | | $ | 10.03 | | |
Total Return(3) | | | | | 3.56% | | | | | | 3.60% | | | | | | 2.69% | | | | | | 1.82%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 49 | | | | | $ | 22 | | | | | $ | 14 | | | | | $ | 6 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.78% | | | | | | 0.80% | | | | | | 0.82% | | | | | | 0.82%(5) | | |
Net expenses(6) | | | | | 0.78% | | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.78%(5) | | |
Net investment income(6) | | | | | 3.28% | | | | | | 3.78% | | | | | | 3.40% | | | | | | 3.66%(5) | | |
Portfolio Turnover Rate(7) | | | | | 107% | | | | | | 168% | | | | | | 138% | | | | | | 120%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.02 | | | | | $ | 9.83 | | | | | $ | 9.82 | | | | | $ | 9.99 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.32 | | | | | | 0.40 | | | | | | 0.39 | | | | | | 0.38 | | | | | | 0.37 | | |
Net realized and unrealized gain (loss) | | | | | (0.17) | | | | | | 0.19 | | | | | | 0.02 | | | | | | (0.18) | | | | | | (0.02) | | |
Total Income from Operations | | | | | 0.15 | | | | | | 0.59 | | | | | | 0.41 | | | | | | 0.20 | | | | | | 0.35 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.41) | | | | | | (0.40) | | | | | | (0.40) | | | | | | (0.37) | | | | | | (0.35) | | |
Net realized gain | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.01) | | |
Total Distributions | | | | | (0.41) | | | | | | (0.40) | | | | | | (0.40) | | | | | | (0.37) | | | | | | (0.36) | | |
Net Asset Value, End of Period | | | | $ | 9.76 | | | | | $ | 10.02 | | | | | $ | 9.83 | | | | | $ | 9.82 | | | | | $ | 9.99 | | |
Total Return(3) | | | | | 1.49% | | | | | | 6.28% | | | | | | 4.18% | | | | | | 2.20% | | | | | | 3.34%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 699 | | | | | $ | 718 | | | | | $ | 733 | | | | | $ | 769 | | | | | $ | 601 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.19% | | | | | | 1.13% | | | | | | 1.11% | | | | | | 1.09% | | | | | | 1.10%(5) | | |
Net expenses(6)(7) | | | | | 1.08% | | | | | | 1.02% | | | | | | 1.00% | | | | | | 0.98% | | | | | | 0.99%(5) | | |
Net investment income(7) | | | | | 3.17% | | | | | | 4.17% | | | | | | 3.92% | | | | | | 3.90% | | | | | | 3.88%(5) | | |
Portfolio Turnover Rate(8) | | | | | 90% | | | | | | 164% | | | | | | 84% | | | | | | 79% | | | | | | 64%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.19 | | | | | $ | 9.99 | | | | | $ | 9.98 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.34 | | | | | | 0.42 | | | | | | 0.41 | | | | | | 0.26 | | |
Net realized and unrealized gain (loss) | | | | | (0.17) | | | | | | 0.19 | | | | | | 0.01 | | | | | | (0.08) | | |
Total Income from Operations | | | | | 0.17 | | | | | | 0.61 | | | | | | 0.42 | | | | | | 0.18 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.42) | | | | | | (0.41) | | | | | | (0.41) | | | | | | (0.20) | | |
Total Distributions | | | | | (0.42) | | | | | | (0.41) | | | | | | (0.41) | | | | | | (0.20) | | |
Net Asset Value, End of Period | | | | $ | 9.94 | | | | | $ | 10.19 | | | | | $ | 9.99 | | | | | $ | 9.98 | | |
Total Return(3) | | | | | 1.67% | | | | | | 6.43% | | | | | | 4.26% | | | | | | 1.72%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 66 | | | | | $ | 40 | | | | | $ | 34 | | | | | $ | 14 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.04% | | | | | | 0.98% | | | | | | 0.96% | | | | | | 0.94%(5) | | |
Net expenses(6)(7) | | | | | 0.93% | | | | | | 0.87% | | | | | | 0.85% | | | | | | 0.83%(5) | | |
Net investment income(7) | | | | | 3.30% | | | | | | 4.31% | | | | | | 4.06% | | | | | | 4.05%(5) | | |
Portfolio Turnover Rate(8) | | | | | 90% | | | | | | 164% | | | | | | 84% | | | | | | 79%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.38 | | | | | $ | 10.61 | | | | | $ | 10.11 | | | | | $ | 9.93 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.10 | | | | | | 0.13 | | | | | | 0.16 | | | | | | 0.17 | | | | | | 0.08 | | |
Net realized and unrealized gain (loss) | | | | | (0.26) | | | | | | (0.13) | | | | | | 0.58 | | | | | | 0.15 | | | | | | (0.09) | | |
Total Income (Loss) from Operations | | | | | (0.16) | | | | | | — | | | | | | 0.74 | | | | | | 0.32 | | | | | | (0.01) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.13) | | | | | | (0.16) | | | | | | (0.20) | | | | | | (0.14) | | | | | | (0.05) | | |
Net realized gain | | | | | (0.02) | | | | | | (0.07) | | | | | | (0.04) | | | | | | — | | | | | | (0.01) | | |
Total Distributions | | | | | (0.15) | | | | | | (0.23) | | | | | | (0.24) | | | | | | (0.14) | | | | | | (0.06) | | |
Net Asset Value, End of Period | | | | $ | 10.07 | | | | | $ | 10.38 | | | | | $ | 10.61 | | | | | $ | 10.11 | | | | | $ | 9.93 | | |
Total Return(3) | | | | | (1.53)% | | | | | | 0.00% | | | | | | 7.38% | | | | | | 3.30% | | | | | | (0.14)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 887 | | | | | $ | 884 | | | | | $ | 878 | | | | | $ | 862 | | | | | $ | 230 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.93% | | | | | | 0.93% | | | | | | 0.95% | | | | | | 0.95% | | | | | | 0.97%(5) | | |
Net expenses(6) | | | | | 0.76% | | | | | | 0.77% | | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.80%(5) | | |
Net investment income(6) | | | | | 0.97% | | | | | | 1.26% | | | | | | 1.56% | | | | | | 1.71% | | | | | | 0.79%(5) | | |
Portfolio Turnover Rate(7) | | | | | 41% | | | | | | 38% | | | | | | 38% | | | | | | 84% | | | | | | 69%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.40 | | | | | $ | 10.64 | | | | | $ | 10.14 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.12 | | | | | | 0.15 | | | | | | 0.18 | | | | | | 0.13 | | |
Net realized and unrealized gain (loss) | | | | | (0.25) | | | | | | (0.14) | | | | | | 0.57 | | | | | | 0.11 | | |
Total Income (Loss) from Operations | | | | | (0.13) | | | | | | 0.01 | | | | | | 0.75 | | | | | | 0.24 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.15) | | | | | | (0.18) | | | | | | (0.21) | | | | | | (0.10) | | |
Net realized gain | | | | | (0.02) | | | | | | (0.07) | | | | | | (0.04) | | | | | | — | | |
Total Distributions | | | | | (0.17) | | | | | | (0.25) | | | | | | (0.25) | | | | | | (0.10) | | |
Net Asset Value, End of Period | | | | $ | 10.10 | | | | | $ | 10.40 | | | | | $ | 10.64 | | | | | $ | 10.14 | | |
Total Return(3) | | | | | (1.29)% | | | | | | 0.05% | | | | | | 7.51% | | | | | | 2.42%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 45 | | | | | $ | 26 | | | | | $ | 19 | | | | | $ | 12 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.78% | | | | | | 0.78% | | | | | | 0.80% | | | | | | 0.80%(5) | | |
Net expenses(6) | | | | | 0.61% | | | | | | 0.62% | | | | | | 0.65% | | | | | | 0.65%(5) | | |
Net investment income(6) | | | | | 1.14% | | | | | | 1.40% | | | | | | 1.71% | | | | | | 1.86%(5) | | |
Portfolio Turnover Rate(7) | | | | | 41% | | | | | | 38% | | | | | | 38% | | | | | | 84%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | | |||||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.57 | | | | | $ | 9.67 | | | | | $ | 9.76 | | | | | $ | 10.20 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.10 | | | | | | 0.14 | | | | | | 0.37 | | | | | | 0.40 | | | | | | 0.27 | | |
Net realized and unrealized gain (loss) | | | | | 0.03 | | | | | | 0.91 | | | | | | (0.02) | | | | | | (0.32) | | | | | | 0.13 | | |
Total Income from Operations | | | | | 0.13 | | | | | | 1.05 | | | | | | 0.35 | | | | | | 0.08 | | | | | | 0.40 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.22) | | | | | | (0.15) | | | | | | (0.41) | | | | | | (0.35) | | | | | | (0.20) | | |
Net realized gain | | | | | (0.26) | | | | | | — | | | | | | (0.03) | | | | | | (0.17) | | | | | | — | | |
Total Distributions | | | | | (0.48) | | | | | | (0.15) | | | | | | (0.44) | | | | | | (0.52) | | | | | | (0.20) | | |
Net Asset Value, End of Period | | | | $ | 10.22 | | | | | $ | 10.57 | | | | | $ | 9.67 | | | | | $ | 9.76 | | | | | $ | 10.20 | | |
Total Return(3) | | | | | 1.25% | | | | | | 11.09% | | | | | | 3.76% | | | | | | 1.10% | | | | | | 3.94%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 1,165 | | | | | $ | 1,102 | | | | | $ | 888 | | | | | $ | 897 | | | | | $ | 909 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.75% | | | | | | 1.79% | | | | | | 1.73% | | | | | | 1.71% | | | | | | 1.73%(5) | | |
Net expenses(6)(7) | | | | | 1.31% | | | | | | 1.40% | | | | | | 1.34% | | | | | | 1.23% | | | | | | 1.25%(5) | | |
Net investment income(7) | | | | | 0.93% | | | | | | 1.40% | | | | | | 3.86% | | | | | | 4.01% | | | | | | 2.82%(5) | | |
Portfolio Turnover Rate(8) | | | | | 90% | | | | | | 150% | | | | | | 119% | | | | | | 109% | | | | | | 111%(4) | | |
| | | Class Z | | |||||||||||||||||||||
| | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.32 | | | | | $ | 9.44 | | | | | $ | 9.54 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.11 | | | | | | 0.14 | | | | | | 0.35 | | | | | | 0.31 | | |
Net realized and unrealized gain (loss) | | | | | 0.03 | | | | | | 0.91 | | | | | | — | | | | | | (0.35) | | |
Total Income (Loss) from Operations | | | | | 0.14 | | | | | | 1.05 | | | | | | 0.35 | | | | | | (0.04) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.24) | | | | | | (0.17) | | | | | | (0.42) | | | | | | (0.25) | | |
Net realized gain | | | | | (0.26) | | | | | | — | | | | | | (0.03) | | | | | | (0.17) | | |
Total Distributions | | | | | (0.50) | | | | | | (0.17) | | | | | | (0.45) | | | | | | (0.42) | | |
Net Asset Value, End of Period | | | | $ | 9.96 | | | | | $ | 10.32 | | | | | $ | 9.44 | | | | | $ | 9.54 | | |
Total Return(3) | | | | | 1.31% | | | | | | 11.29% | | | | | | 3.87% | | | | | | (0.21)(4) | | |
Net Assets, End of Period (millions) | | | | $ | 108 | | | | | $ | 60 | | | | | $ | 41 | | | | | $ | 15 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.60% | | | | | | 1.64% | | | | | | 1.59% | | | | | | 1.56%(5) | | |
Net expenses(6)(7) | | | | | 1.16% | | | | | | 1.25% | | | | | | 1.20% | | | | | | 1.08%(5) | | |
Net investment income(7) | | | | | 1.10% | | | | | | 1.52% | | | | | | 3.75% | | | | | | 4.16%(5) | | |
Portfolio Turnover Rate(8) | | | | | 90% | | | | | | 150% | | | | | | 119% | | | | | | 109%(4) | | |
(annualized) for the year ended February 28, 2022, for the year ended February 28, 2021, for the year ended February 29, 2020 and the period ended February 28, 2019, respectively.
| | | Class I | | |||
| | | 2022(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.01 | | |
Net realized and unrealized gain (loss) | | | | | (0.44) | | |
Total Income (Loss) from Operations | | | | | (0.43) | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | (0.01) | | |
Total Distributions | | | | | (0.01) | | |
Net Asset Value, End of Period | | | | $ | 9.56 | | |
Total Return(3) | | | | | (4.33)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 123 | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses | | | | | 1.40%(5) | | |
Net expenses(6) | | | | | 1.27%(5) | | |
Net investment income(6) | | | | | 0.27%(5) | | |
Portfolio Turnover Rate(7) | | | | | 2%(4) | | |
| | | Class Z | | |||
| | | 2022(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.01 | | |
Net realized and unrealized gain (loss) | | | | | (0.56) | | |
Total Income (Loss) from Operations | | | | | (0.55) | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | (0.01) | | |
Total Distributions | | | | | (0.01) | | |
Net Asset Value, End of Period | | | | $ | 9.44 | | |
Total Return(3) | | | | | (5.51)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 2 | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses | | | | | 1.22%(5) | | |
Net expenses(6) | | | | | 1.04%(5) | | |
Net investment income(6) | | | | | 0.30%(5) | | |
Portfolio Turnover Rate(7) | | | | | 2%(4) | | |
| | | Total Fair Value at February 28, 2022 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Large Cap Equity Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks: | | ||||||||||||||||||||||||
Basic Materials | | | | $ | 77,451,621 | | | | | $ | 77,451,621 | | | | | $ | — | | | | | $ | — | | |
Communications | | | | | 1,016,010,039 | | | | | | 1,016,010,039 | | | | | | — | | | | | | — | | |
Consumer Cyclical | | | | | 389,799,823 | | | | | | 348,889,462 | | | | | | 40,910,361 | | | | | | — | | |
Consumer Non-cyclical | | | | | 1,257,518,953 | | | | | | 1,257,518,953 | | | | | | — | | | | | | — | | |
Energy | | | | | 206,378,831 | | | | | | 206,378,831 | | | | | | — | | | | | | — | | |
Financial | | | | | 798,928,929 | | | | | | 796,731,766 | | | | | | — | | | | | | 2,197,163 | | |
Industrial | | | | | 350,774,145 | | | | | | 350,774,145 | | | | | | — | | | | | | — | | |
Technology | | | | | 999,448,580 | | | | | | 993,523,759 | | | | | | — | | | | | | 5,924,821 | | |
Utilities | | | | | 89,504,233 | | | | | | 89,504,233 | | | | | | — | | | | | | — | | |
Preferred Stocks | | | | | 13,427,860 | | | | | | — | | | | | | — | | | | | | 13,427,860 | | |
| | | Total Fair Value at February 28, 2022 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Large Cap Equity Fund (continued) | | ||||||||||||||||||||||||
Investments, at value (continued) | | ||||||||||||||||||||||||
Short-Term Investments: | | ||||||||||||||||||||||||
Time Deposits | | | | $ | 74,004,063 | | | | | $ | — | | | | | $ | 74,004,063 | | | | | $ | — | | |
Money Market Fund | | | | | 23,492,013 | | | | | | 23,492,013 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 5,296,739,090 | | | | | $ | 5,160,274,822 | | | | | $ | 114,914,424 | | | | | $ | 21,549,844 | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contract | | | | $ | (216,234) | | | | | $ | (216,234) | | | | | $ | — | | | | | $ | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (216,234) | | | | | $ | (216,234) | | | | | $ | — | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks | | | | $ | 1,262,800,693 | | | | | $ | 1,262,800,693 | | | | | $ | — | | | | | $ | — | | |
Exchange Traded Funds (ETFs) | | | | | 10,371,473 | | | | | | 10,371,473 | | | | | | — | | | | | | — | | |
Warrant | | | | | 22,992 | | | | | | 22,992 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 52,860,479 | | | | | | — | | | | | | 52,860,479 | | | | | | — | | |
Money Market Fund | | | | | 37,322,114 | | | | | | 37,322,114 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 1,363,377,751 | | | | | $ | 1,310,517,272 | | | | | $ | 52,860,479 | | | | | $ | — | | |
Destinations International Equity Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks: | | ||||||||||||||||||||||||
Australia | | | | $ | 16,941,669 | | | | | $ | — | | | | | $ | 16,941,669 | | | | | $ | — | | |
Austria | | | | | 1,696,862 | | | | | | — | | | | | | 1,696,862 | | | | | | — | | |
Bermuda | | | | | 2,014,851 | | | | | | — | | | | | | 2,014,851 | | | | | | — | | |
Brazil | | | | | 43,318,767 | | | | | | 9,628,795 | | | | | | 33,689,972 | | | | | | — | | |
Canada | | | | | 89,919,030 | | | | | | 89,919,030 | | | | | | — | | | | | | — | | |
China | | | | | 199,542,156 | | | | | | 50,182,991 | | | | | | 148,701,084 | | | | | | 658,081 | | |
Colombia | | | | | 14,718,629 | | | | | | 14,718,629 | | | | | | — | | | | | | — | | |
Cyprus | | | | | 225,351 | | | | | | — | | | | | | — | | | | | | 225,351 | | |
Denmark | | | | | 19,701,820 | | | | | | — | | | | | | 19,701,820 | | | | | | — | | |
Egypt | | | | | 5,147,662 | | | | | | 5,147,662 | | | | | | — | | | | | | — | | |
Finland | | | | | 15,664,906 | | | | | | — | | | | | | 15,664,906 | | | | | | — | | |
France | | | | | 239,283,059 | | | | | | — | | | | | | 239,283,059 | | | | | | — | | |
Germany | | | | | 149,300,015 | | | | | | — | | | | | | 149,300,015 | | | | | | — | | |
Greece | | | | | 3,590,048 | | | | | | — | | | | | | 3,590,048 | | | | | | — | | |
Hong Kong | | | | | 82,219,992 | | | | | | — | | | | | | 82,219,992 | | | | | | — | | |
Hungary | | | | | 3,241,182 | | | | | | — | | | | | | 3,241,182 | | | | | | — | | |
India | | | | | 162,327,556 | | | | | | — | | | | | | 162,327,556 | | | | | | — | | |
Indonesia | | | | | 28,233,387 | | | | | | — | | | | | | 28,233,387 | | | | | | — | | |
Ireland | | | | | 29,024,102 | | | | | | 6,257,734 | | | | | | 22,766,368 | | | | | | — | | |
Israel | | | | | 9,462,668 | | | | | | 1,318,585 | | | | | | 8,144,083 | | | | | | — | | |
Italy | | | | | 43,005,415 | | | | | | 1,644,499 | | | | | | 41,360,916 | | | | | | — | | |
Japan | | | | | 390,334,702 | | | | | | — | | | | | | 390,334,702 | | | | | | — | | |
Jersey, Channel Islands | | | | | 10,865,980 | | | | | | — | | | | | | 10,865,980 | | | | | | — | | |
Malaysia | | | | | 2,359,003 | | | | | | — | | | | | | 2,359,003 | | | | | | — | | |
Mexico | | | | | 36,799,689 | | | | | | 36,799,689 | | | | | | — | | | | | | — | | |
Netherlands | | | | | 76,598,199 | | | | | | 3,580,150 | | | | | | 73,018,049 | | | | | | — | | |
Norway | | | | | 14,920,889 | | | | | | — | | | | | | 14,920,889 | | | | | | — | | |
| | | Total Fair Value at February 28, 2022 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations International Equity Fund (continued) | | ||||||||||||||||||||||||
Investments, at value (continued) | | ||||||||||||||||||||||||
Common Stocks: (continued) | | ||||||||||||||||||||||||
Peru | | | | $ | 4,015,990 | | | | | $ | 4,015,990 | | | | | $ | — | | | | | $ | — | | |
Philippines | | | | | 9,911,506 | | | | | | — | | | | | | 9,911,506 | | | | | | — | | |
Poland | | | | | 6,960,175 | | | | | | — | | | | | | 6,960,175 | | | | | | — | | |
Portugal | | | | | 11,044,853 | | | | | | — | | | | | | 11,044,853 | | | | | | — | | |
Russia | | | | | 4,599,299 | | | | | | — | | | | | | — | | | | | | 4,599,299 | | |
Singapore | | | | | 34,638,336 | | | | | | — | | | | | | 34,638,336 | | | | | | — | | |
South Africa | | | | | 14,894,995 | | | | | | 3,539,111 | | | | | | 11,355,884 | | | | | | — | | |
South Korea | | | | | 79,434,849 | | | | | | — | | | | | | 79,434,849 | | | | | | — | | |
Spain | | | | | 12,212,064 | | | | | | — | | | | | | 12,212,064 | | | | | | — | | |
Sweden | | | | | 32,423,804 | | | | | | 655,914 | | | | | | 31,767,890 | | | | | | — | | |
Switzerland | | | | | 164,373,324 | | | | | | — | | | | | | 164,373,324 | | | | | | — | | |
Taiwan | | | | | 93,162,764 | | | | | | 40,476,318 | | | | | | 52,686,446 | | | | | | — | | |
Thailand | | | | | 11,532,047 | | | | | | — | | | | | | 11,532,047 | | | | | | — | | |
United Arab Emirates | | | | | 3,369,505 | | | | | | — | | | | | | 3,369,505 | | | | | | — | | |
United Kingdom | | | | | 320,561,019 | | | | | | 10,145,165 | | | | | | 310,411,699 | | | | | | 4,155 | | |
United States | | | | | 65,128,586 | | | | | | 63,642,531 | | | | | | — | | | | | | 1,486,055 | | |
Exchange Traded Fund (ETF) | | | | | 25,029,712 | | | | | | 25,029,712 | | | | | | — | | | | | | — | | |
Warrants: | | | | | | | | | | | | | | | | | | | | | | | | | |
Switzerland | | | | | 85,159 | | | | | | 85,159 | | | | | | — | | | | | | — | | |
United States | | | | | 402 | | | | | | — | | | | | | — | | | | | | 402 | | |
Right | | | | | 14,815 | | | | | | — | | | | | | — | | | | | | 14,815 | | |
Preferred Stocks | | | | | 43,680 | | | | | | — | | | | | | — | | | | | | 43,680 | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 77,629,220 | | | | | | — | | | | | | 77,629,220 | | | | | | — | | |
U.S. Government Agency | | | | | 10,410,000 | | | | | | — | | | | | | 10,410,000 | | | | | | — | | |
Money Market Fund | | | | | 27,311,506 | | | | | | 27,311,506 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 2,699,245,199 | | | | | $ | 394,099,170 | | | | | $ | 2,298,114,191 | | | | | $ | 7,031,838 | | |
Other Financial Instruments – Liabilites | | | | | | | | | | | | | | | | | | | | | | | | | |
Option Contracts Written | | | | $ | (1,839) | | | | | $ | — | | | | | $ | (1,839) | | | | | $ | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (1,839) | | | | | $ | — | | | | | $ | (1,839) | | | | | $ | — | | |
Destinations Equity Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Basic Materials | | | | $ | 20,892,000 | | | | | $ | 13,574,374 | | | | | $ | 7,317,626 | | | | | $ | — | | |
Communications | | | | | 41,493,073 | | | | | | 23,950,348 | | | | | | 17,542,725 | | | | | | — | | |
Consumer Cyclical | | | | | 28,687,140 | | | | | | 22,024,606 | | | | | | 6,662,534 | | | | | | — | | |
Consumer Non-cyclical | | | | | 110,457,600 | | | | | | 89,724,795 | | | | | | 20,732,805 | | | | | | — | | |
Energy | | | | | 54,647,311 | | | | | | 35,767,164 | | | | | | 18,880,147 | | | | | | — | | |
Financial | | | | | 88,187,705 | | | | | | 65,180,612 | | | | | | 23,007,093 | | | | | | — | | |
Industrial | | | | | 31,388,898 | | | | | | 15,304,298 | | | | | | 16,084,600 | | | | | | — | | |
Technology | | | | | 20,808,092 | | | | | | 14,250,653 | | | | | | 6,557,439 | | | | | | — | | |
Utilities | | | | | 49,694,081 | | | | | | 41,081,710 | | | | | | 8,612,371 | | | | | | — | | |
Exchange Traded Funds (ETFs) | | | | | 49,503,479 | | | | | | 49,503,479 | | | | | | — | | | | | | — | | |
Convertible Preferred Stocks | | | | | 6,241,857 | | | | | | 6,241,857 | | | | | | — | | | | | | — | | |
| | | Total Fair Value at February 28, 2022 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Equity Income Fund (continued) | | ||||||||||||||||||||||||
Investments, at value (continued) | | ||||||||||||||||||||||||
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | $ | 10,378,423 | | | | | $ | — | | | | | $ | 10,378,423 | | | | | $ | — | | |
Money Market Fund | | | | | 3,345,980 | | | | | | 3,345,980 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 515,725,639 | | | | | $ | 379,949,876 | | | | | $ | 135,775,763 | | | | | $ | — | | |
Destinations Core Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes | | | | $ | 560,560,815 | | | | | $ | — | | | | | $ | 560,560,815 | | | | | $ | — | | |
Collateralized Mortgage Obligations | | | | | 541,564,801 | | | | | | — | | | | | | 541,564,801 | | | | | | — | | |
U.S. Government Agencies & Obligations | | | | | 499,388,219 | | | | | | — | | | | | | 499,388,219 | | | | | | — | | |
Mortgage-Backed Securities | | | | | 444,634,072 | | | | | | — | | | | | | 444,634,072 | | | | | | — | | |
Asset-Backed Securities | | | | | 212,447,883 | | | | | | — | | | | | | 212,447,883 | | | | | | — | | |
Sovereign Bonds | | | | | 29,172,295 | | | | | | — | | | | | | 29,172,295 | | | | | | — | | |
Senior Loans | | | | | 27,458,449 | | | | | | — | | | | | | 27,458,449 | | | | | | — | | |
Municipal Bonds | | | | | 1,877,449 | | | | | | — | | | | | | 1,877,449 | | | | | | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Communications | | | | | 34,952 | | | | | | — | | | | | | 34,952 | | | | | | — | | |
Diversified | | | | | 29,298 | | | | | | — | | | | | | 29,298 | | | | | | — | | |
Energy | | | | | 58,495 | | | | | | 58,495 | | | | | | — | | | | | | — | | |
Industrial | | | | | 2,010 | | | | | | — | | | | | | 2,010 | | | | | | — | | |
Utilities | | | | | 96 | | | | | | — | | | | | | 96 | | | | | | — | | |
Rights | | | | | — | | | | | | — | | | | | | —* | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 65,598,229 | | | | | | — | | | | | | 65,598,229 | | | | | | — | | |
U.S. Government Obligation | | | | | 2,499,245 | | | | | | — | | | | | | 2,499,245 | | | | | | — | | |
Total Investments, at value | | | | $ | 2,385,326,308 | | | | | $ | 58,495 | | | | | $ | 2,385,267,813 | | | | | $ | — | | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | $ | 341,042 | | | | | $ | 341,042 | | | | | $ | — | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 341,042 | | | | | $ | 341,042 | | | | | $ | — | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Sale Commitments | | | | $ | (3,530,386) | | | | | $ | — | | | | | $ | (3,530,386) | | | | | $ | — | | |
Futures Contracts | | | | | (842,237) | | | | | | (842,237) | | | | | | — | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (4,372,623) | | | | | $ | (842,237) | | | | | $ | (3,530,386) | | | | | $ | — | | |
Destinations Low Duration Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes: | | | | | | | | | | | | | | | | | | | | | | | | | |
Basic Materials | | | | $ | 13,563,871 | | | | | $ | — | | | | | $ | 13,563,871 | | | | | $ | — | | |
Communications | | | | | 68,023,589 | | | | | | — | | | | | | 68,023,589 | | | | | | — | | |
Consumer Cyclical | | | | | 36,716,330 | | | | | | — | | | | | | 36,716,330 | | | | | | — | | |
Consumer Non-cyclical | | | | | 58,864,659 | | | | | | — | | | | | | 48,563,742 | | | | | | 10,300,917 | | |
Diversified | | | | | 4,743,585 | | | | | | — | | | | | | 4,743,585 | | | | | | — | | |
Energy | | | | | 10,627,408 | | | | | | — | | | | | | 10,627,408 | | | | | | — | | |
Financial | | | | | 17,476,559 | | | | | | — | | | | | | 17,476,559 | | | | | | — | | |
Government | | | | | 190,050 | | | | | | — | | | | | | 190,050 | | | | | | — | | |
Industrial | | | | | 32,154,955 | | | | | | — | | | | | | 32,154,955 | | | | | | — | | |
Insurance | | | | | 2,223,618 | | | | | | — | | | | | | 2,223,618 | | | | | | — | | |
Media | | | | | 9,579,500 | | | | | | — | | | | | | — | | | | | | 9,579,500 | | |
Technology | | | | | 19,920,802 | | | | | | — | | | | | | 17,447,287 | | | | | | 2,473,515 | | |
| | | Total Fair Value at February 28, 2022 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Low Duration Fixed Income Fund (continued) | | ||||||||||||||||||||||||
Investments, at value (continued) | | ||||||||||||||||||||||||
Utilities | | | | $ | 15,896,051 | | | | | $ | — | | | | | $ | 15,896,051 | | | | | $ | — | | |
Senior Loans | | | | | 72,865,554 | | | | | | — | | | | | | 57,386,531 | | | | | | 15,479,023 | | |
Asset-Backed Securities | | | | | 30,260,506 | | | | | | — | | | | | | 30,260,506 | | | | | | — | | |
Collateralized Mortgage Obligations | | | | | 22,574,531 | | | | | | — | | | | | | 22,574,531 | | | | | | — | | |
U.S. Government Agencies & Obligations | | | | | 12,816,349 | | | | | | — | | | | | | 12,816,349 | | | | | | — | | |
Sovereign Bonds | | | | | 1,661,761 | | | | | | — | | | | | | 1,661,761 | | | | | | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Consumer Non-cyclical | | | | | 78,709 | | | | | | 78,709 | | | | | | — | | | | | | — | | |
Diversified | | | | | 54,574,283 | | | | | | 53,221,902 | | | | | | — | | | | | | 1,352,381 | | |
Energy | | | | | 142,005 | | | | | | — | | | | | | — | | | | | | 142,005 | | |
Financial | | | | | 11,800 | | | | | | — | | | | | | — | | | | | | 11,800 | | |
Exchange Traded Fund (ETF) | | | | | 33,897,919 | | | | | | 33,897,919 | | | | | | — | | | | | | — | | |
Warrants: | | | | | | | | | | | | | | | | | | | | | | | | | |
Diversified | | | | | 201,857 | | | | | | 189,460 | | | | | | — | | | | | | 12,397 | | |
Trade Claim | | | | | 9,468,300 | | | | | | — | | | | | | — | | | | | | 9,468,300 | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Papers | | | | | 9,506,668 | | | | | | — | | | | | | 9,506,668 | | | | | | — | | |
Time Deposits | | | | | 95,138,042 | | | | | | — | | | | | | 95,138,042 | | | | | | — | | |
Money Market Fund | | | | | 2,977,241 | | | | | | 2,977,241 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 636,156,502 | | | | | $ | 90,365,231 | | | | | $ | 496,971,433 | | | | | $ | 48,819,838** | | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 969,583 | | | | | $ | — | | | | | $ | 969,583 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 969,583 | | | | | $ | — | | | | | $ | 969,583 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | (16,257) | | | | | $ | — | | | | | $ | (16,257) | | | | | $ | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (16,257) | | | | | $ | — | | | | | $ | (16,257) | | | | | $ | — | | |
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds &Notes: | | | | | | | | | | | | | | | | | | | | | | | | | |
Australia | | | | $ | 1,384,994 | | | | | $ | — | | | | | $ | 1,384,994 | | | | | $ | — | | |
Bermuda | | | | | 5,927,536 | | | | | | — | | | | | | 5,927,536 | | | | | | — | | |
Brazil | | | | | 12,365,650 | | | | | | — | | | | | | 12,365,650 | | | | | | — | | |
British Virgin Islands | | | | | 508,228 | | | | | | — | | | | | | 508,228 | | | | | | — | | |
Canada | | | | | 44,160,739 | | | | | | — | | | | | | 44,160,739 | | | | | | — | | |
Cayman Islands | | | | | 33,175,733 | | | | | | — | | | | | | 33,175,733 | | | | | | — | | |
Chile | | | | | 30,250,305 | | | | | | — | | | | | | 30,250,305 | | | | | | — | | |
Colombia | | | | | 16,126,449 | | | | | | — | | | | | | 16,126,449 | | | | | | — | | |
Denmark | | | | | 877,018 | | | | | | — | | | | | | 877,018 | | | | | | — | | |
Dominican Republic | | | | | 1,124,761 | | | | | | — | | | | | | 1,124,761 | | | | | | — | | |
France | | | | | 2,192,171 | | | | | | — | | | | | | 2,192,171 | | | | | | — | | |
Germany | | | | | 8,027,553 | | | | | | — | | | | | | 8,027,553 | | | | | | — | | |
Hong Kong | | | | | 479,220 | | | | | | — | | | | | | 479,220 | | | | | | — | | |
India | | | | | 4,318,590 | | | | | | — | | | | | | 4,318,590 | | | | | | — | | |
Indonesia | | | | | 3,170,847 | | | | | | — | | | | | | 3,170,847 | | | | | | — | | |
Italy | | | | | 13,150,362 | | | | | | — | | | | | | 13,150,362 | | | | | | — | | |
Jersey, Channel Islands | | | | | 7,039,438 | | | | | | — | | | | | | 7,039,438 | | | | | | — | | |
Luxembourg | | | | | 1,519,875 | | | | | | — | | | | | | 1,519,875 | | | | | | — | | |
Malaysia | | | | | 16,019,495 | | | | | | — | | | | | | 16,019,495 | | | | | | — | | |
| | | Total Fair Value at February 28, 2022 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Global Fixed Income Opportunities Fund (continued) | | ||||||||||||||||||||||||
Investments, at value (continued) | | ||||||||||||||||||||||||
Mexico | | | | $ | 5,255,186 | | | | | $ | — | | | | | $ | 5,255,186 | | | | | $ | — | | |
Multinational | | | | | 5,387,513 | | | | | | — | | | | | | 5,387,513 | | | | | | — | | |
Netherlands | | | | | 9,624,993 | | | | | | — | | | | | | 9,624,993 | | | | | | — | | |
Norway | | | | | 14,165,509 | | | | | | — | | | | | | 14,165,509 | | | | | | — | | |
Panama | | | | | 5,433,854 | | | | | | — | | | | | | 5,433,854 | | | | | | — | | |
Paraguay | | | | | 892,535 | | | | | | — | | | | | | 892,535 | | | | | | — | | |
Peru | | | | | 21,005,877 | | | | | | — | | | | | | 21,005,877 | | | | | | — | | |
Portugal | | | | | — | | | | | | — | | | | | | — | | | | | | —* | | |
Qatar | | | | | 6,178,900 | | | | | | — | | | | | | 6,178,900 | | | | | | — | | |
Saudi Arabia | | | | | 797,480 | | | | | | — | | | | | | 797,480 | | | | | | — | | |
Singapore | | | | | 37,452,039 | | | | | | — | | | | | | 37,452,039 | | | | | | — | | |
South Korea | | | | | 30,385,544 | | | | | | — | | | | | | 30,385,544 | | | | | | — | | |
Spain | | | | | 569,100 | | | | | | — | | | | | | 569,100 | | | | | | — | | |
Sweden | | | | | 1,307,722 | | | | | | — | | | | | | 1,307,722 | | | | | | — | | |
Switzerland | | | | | 3,040,411 | | | | | | — | | | | | | 3,040,411 | | | | | | — | | |
Thailand | | | | | 1,820,783 | | | | | | — | | | | | | 1,820,783 | | | | | | — | | |
United Kingdom | | | | | 7,234,741 | | | | | | — | | | | | | 7,234,741 | | | | | | — | | |
United States | | | | | 153,610,145 | | | | | | — | | | | | | 137,311,315 | | | | | | 16,298,830 | | |
Sovereign Bonds | | | | | 71,171,443 | | | | | | — | | | | | | 71,171,443 | | | | | | — | | |
Senior Loans | | | | | 57,354,230 | | | | | | — | | | | | | 54,512,124 | | | | | | 2,842,106 | | |
Asset-Backed Securities | | | | | 1,066,627 | | | | | | — | | | | | | 1,066,627 | | | | | | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Canada | | | | | 1,761,466 | | | | | | 217,963 | | | | | | — | | | | | | 1,543,503 | | |
Cayman Islands | | | | | 518,132 | | | | | | 518,132 | | | | | | — | | | | | | — | | |
Hong Kong | | | | | 311,361 | | | | | | 311,361 | | | | | | — | | | | | | — | | |
India | | | | | 334,960 | | | | | | 334,960 | | | | | | — | | | | | | — | | |
Israel | | | | | 3,773,076 | | | | | | 472,143 | | | | | | 3,300,933 | | | | | | — | | |
United States | | | | | 49,487,091 | | | | | | 46,164,796 | | | | | | — | | | | | | 3,322,295 | | |
Preferred Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Bermuda | | | | | 1,930,313 | | | | | | 1,930,313 | | | | | | — | | | | | | — | | |
United Kingdom | | | | | 2,768,172 | | | | | | 2,768,172 | | | | | | — | | | | | | — | | |
United States | | | | | 13,523,450 | | | | | | 12,608,500 | | | | | | 914,950 | | | | | | — | | |
Exchange Traded Funds (ETFs) | | | | | 26,215,012 | | | | | | 26,215,012 | | | | | | — | | | | | | — | | |
Warrants: | | | | | | | | | | | | | | | | | | | | | | | | | |
Bermuda | | | | | — | | | | | | — | | | | | | — | | | | | | —* | | |
Brazil | | | | | — | | | | | | — | | | | | | — | | | | | | —* | | |
Cayman Islands | | | | | 6,397 | | | | | | 6,397 | | | | | | — | | | | | | — | | |
Israel | | | | | — | | | | | | — | | | | | | — | | | | | | —* | | |
United States | | | | | 138,530 | | | | | | 138,530 | | | | | | — | | | | | | — | | |
Trade Claim | | | | | 8,963,100 | | | | | | — | | | | | | — | | | | | | 8,963,100 | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 46,801,065 | | | | | | — | | | | | | 46,801,065 | | | | | | — | | |
Money Market Fund | | | | | 1,290,964 | | | | | | 1,290,964 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 793,396,685 | | | | | $ | 92,977,243 | | | | | $ | 667,449,608 | | | | | $ | 32,969,834** | | |
Other Financial Instruments – Asset | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 695,415 | | | | | $ | — | | | | | $ | 695,415 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 695,415 | | | | | $ | — | | | | | $ | 695,415 | | | | | $ | — | | |
|
| | | Total Fair Value at February 28, 2022 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Global Fixed Income Opportunities Fund (continued) | | ||||||||||||||||||||||||
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Options Contracts Written | | | | $ | (342,354) | | | | | $ | (342,354) | | | | | $ | — | | | | | $ | — | | |
Forward Foreign Currency Contract | | | | | (5,675) | | | | | | — | | | | | | (5,675) | | | | | | — | | |
Securities Sold Short | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | $ | (2,343,505) | | | | | $ | — | | | | | $ | (2,343,505) | | | | | $ | — | | |
Common Stocks | | | | | (2,465,712) | | | | | | (2,465,712) | | | | | | — | | | | | | — | | |
Exchange Traded Fund (ETF) | | | | | (26,215,012) | | | | | | (26,215,012) | | | | | | — | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (31,372,258) | | | | | $ | (29,023,078) | | | | | $ | (2,349,180) | | | | | $ | — | | |
Destinations Municipal Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Municipal Bonds | | | | $ | 812,984,359 | | | | | $ | — | | | | | $ | 812,984,359 | | | | | $ | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Municipal Bonds | | | | | 37,686,320 | | | | | | — | | | | | | 37,686,320 | | | | | | — | | |
Time Deposits | | | | | 75,959,930 | | | | | | — | | | | | | 75,959,930 | | | | | | — | | |
Total Investments, at value | | | | $ | 926,630,609 | | | | | $ | — | | | | | $ | 926,630,609 | | | | | $ | — | | |
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Collateralized Mortgage Obligations | | | | $ | 324,638,268 | | | | | $ | — | | | | | $ | 324,638,268 | | | | | $ | — | | |
Corporate Bonds & Notes | | | | | 126,688,077 | | | | | | — | | | | | | 126,688,077 | | | | | | — | | |
Asset-Backed Securities | | | | | 115,645,384 | | | | | | — | | | | | | 115,645,384 | | | | | | — | | |
Common Stocks | | | | | 349,482,448 | | | | | | 349,482,448 | | | | | | — | | | | | | — | | |
Open-End Funds | | | | | 240,101,655 | | | | | | 240,101,655 | | | | | | — | | | | | | — | | |
Preferred Stocks | | | | | 18,389,751 | | | | | | 18,389,751 | | | | | | — | | | | | | — | | |
Warrants | | | | | 2,131,587 | | | | | | 2,131,587 | | | | | | — | | | | | | — | | |
Equity Linked Notes | | | | | 18,563,299 | | | | | | 18,563,299 | | | | | | — | | | | | | — | | |
Purchased Swaption | | | | | 2,427,559 | | | | | | — | | | | | | 2,427,559 | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 60,407,705 | | | | | | — | | | | | | 60,407,705 | | | | | | — | | |
Money Market Fund | | | | | 10,098,320 | | | | | | 10,098,320 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 1,268,574,053 | | | | | $ | 638,767,060 | | | | | $ | 629,806,993 | | | | | $ | — | | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps | | | | $ | 1,369,431 | | | | | $ | — | | | | | $ | 1,369,431 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 1,369,431 | | | | | $ | — | | | | | $ | 1,369,431 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps | | | | $ | (2,134,518) | | | | | $ | — | | | | | $ | (2,134,518) | | | | | $ | — | | |
Swaption Contracts Written | | | | | (667,017) | | | | | | — | | | | | | (667,017) | | | | | | — | | |
OTC Total Return Swaps | | | | | (275,683) | | | | | | — | | | | | | (275,683) | | | | | | — | | |
Securities Sold Short: | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange Traded Funds (ETFs) | | | | | (129,450,491) | | | | | | (129,450,491) | | | | | | — | | | | | | — | | |
Corporate Bond & Note | | | | | (4,839,435) | | | | | | — | | | | | | (4,839,435) | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (137,367,144) | | | | | $ | (129,450,491) | | | | | $ | (7,916,653) | | | | | $ | — | | |
|
| | | Total Fair Value at February 28, 2022 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Shelter Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks | | | | $ | 121,234,818 | | | | | $ | 121,234,818 | | | | | $ | — | | | | | $ | — | | |
Purchased Options | | | | | 4,334,920 | | | | | | — | | | | | | 4,334,920 | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposit | | | | | 1,469,202 | | | | | | — | | | | | | 1,469,202 | | | | | | — | | |
Total Investments, at value | | | | $ | 127,038,940 | | | | | $ | 121,234,818 | | | | | $ | 5,804,122 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Options Contracts Written | | | | $ | (1,420,730) | | | | | $ | (443,440) | | | | | $ | (977,290) | | | | | $ | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (1,420,730) | | | | | $ | (443,440) | | | | | $ | (977,290) | | | | | $ | — | | |
|
| | | Fair Value at February 28, 2022 | | | Valuation Technique | | | Unobservable Input | | | Range | | | Weighted Average | | | Impact | | |||||||||
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Senior Loans | | | | $ | 15,479,023 | | | | Prior Transaction Analysis | | | Transaction Price | | | | | 99.94 – 100 | | | | | | 99.98 | | | | Increase | |
Common Stock | | | | $ | 1,518,583 | | | | Prior Transaction Analysis | | | Transaction Price | | | | | 0.19 – 45.50 | | | | | | 12.87 | | | | Increase | |
Corporate Bond | | | | $ | 22,353,932 | | | | Prior Transaction Analysis | | | Transaction Price | | | | | 97.75 – 100 | | | | | | 99.02 | | | | Increase | |
Trade Claim | | | | $ | 9,468,300 | | | | Prior Transaction Analysis | | | Transaction Price | | | | | 90 | | | | | | 90 | | | | Increase | |
Total | | | | $ | 48,819,838 | | | | | | | | | | | | | | | | | | | | | | | |
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Senior Loans | | | | $ | 2,842,106 | | | | Prior Transaction Analysis | | | Transaction Price | | | | | 100 | | | | | | 100 | | | | Increase | |
Common Stock | | | | $ | 2,263,798 | | | | Prior Transaction Analysis | | | Transaction Price | | | | | 0.30 – 49.80 | | | | | | 13.10 | | | | Increase | |
Common Stock | | | | $ | 2,602,000 | | | | Market Comparables | | | Enterprise Value/EBITDA multiple | | | | | 3.54x | | | | | | 3.54x | | | | Increase | |
Corporate Bond | | | | $ | 16,298,830 | | | | Prior Transaction Analysis | | | Transaction Price | | | | | 97.75 – 100 | | | | | | 98.72 | | | | Increase | |
Trade Claim | | | | $ | 8,963,100 | | | | Prior Transaction Analysis | | | Transaction Price | | | | | 90 | | | | | | 90 | | | | Increase | |
Total | | | | $ | 32,969,834 | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | | Warrants | | | Municipal Bonds | | | Rights | | | Trade Claim | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||
Destinations Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance as of February 28, 2021 | | | | $ | 43,495,464 | | | | | $ | 6,277,755 | | | | | $ | — | | | | | $ | 37,217,709 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | | | | | | | ||||||||||||||||
Purchases | | | | | 7,508,960 | | | | | | 2,820,201 | | | | | | — | | | | | | 4,688,759 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | | | | | | ||||||||||||||||
(Sales/Paydowns) | | | | | (13,545,084) | | | | | | (832,143) | | | | | | — | | | | | | (12,712,941) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | | | | | |
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | | Warrants | | | Municipal Bonds | | | Rights | | | Trade Claim | | |||||||||||||||||||||||||||
Destinations Large Cap Equity Fund (continued) | | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total realized gain (loss) | | | | $ | (486) | | | | | $ | (486) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | �� | $ | — | | |
Change in unrealized appreciation (depreciation) | | | | | (15,909,010) | | | | | | (143,343) | | | | | | — | | | | | | (15,765,667) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of February 28, 2022 | | | | $ | 21,549,844 | | | | | $ | 8,121,984 | | | | | $ | — | | | | | $ | 13,427,860 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2022 | | | | $ | 616,564 | | | | | $ | 165,097 | | | | | $ | — | | | | | $ | 451,467 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
Balance as of February 28, 2021 | | | | $ | 1,907,550 | | | | | $ | 240,700 | | | | | $ | — | | | | | $ | 1,666,850 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 11,920,813 | | | | | | 11,866,261 | | | | | | — | | | | | | 54,552 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | (4,463,482) | | | | | | (3,669,888) | | | | | | — | | | | | | (793,594) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | 362,184 | | | | | | 362,184 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | (7,061,925) | | | | | | (6,193,014) | | | | | | — | | | | | | (884,128) | | | | | | — | | | | | | 402 | | | | | | — | | | | | | 14,815 | | | | | | — | | |
Transfers In | | | | | 4,366,698 | | | | | | 4,366,698 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of February 28, 2022 | | | | $ | 7,031,838 | | | | | $ | 6,972,941 | | | | | $ | — | | | | | $ | 43,680 | | | | | $ | — | | | | | $ | 402 | | | | | $ | — | | | | | $ | 14,815 | | | | | | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2022 | | | | $ | (5,970,800) | | | | | $ | (5,975,145) | | | | | $ | — | | | | | $ | (10,872) | | | | | $ | — | | | | | $ | 402 | | | | | $ | — | | | | | $ | 14,815 | | | | | $ | — | | |
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
Balance as of February 28, 2021 | | | | $ | 15,677,082 | | | | | $ | 201,059 | | | | | $ | — | | | | | $ | — | | | | | $ | 15,476,023 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 53,893,028 | | | | | | 1,344,126 | | | | | | 29,696,000 | | | | | | — | | | | | | 11,256,029 | | | | | | 9,888 | | | | | | — | | | | | | — | | | | | | 11,586,984 | | |
(Sales/Paydowns) | | | | | (20,597,833) | | | | | | (332,050) | | | | | | (7,119,000) | | | | | | — | | | | | | (11,113,549) | | | | | | — | | | | | | — | | | | | | — | | | | | | (2,033,233) | | |
Total realized gain (loss) | | | | | (66,418) | | | | | | (63,610) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (2,808) | | |
Change in unrealized appreciation (depreciation) | | | | | (228,027) | | | | | | 214,655 | | | | | | (223,068) | | | | | | — | | | | | | (139,480) | | | | | | 2,509 | | | | | | — | | | | | | — | | | | | | (82,643) | | |
Transfers In | | | | | 142,006 | | | | | | 142,006 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of February 28, 2022 | | | | $ | 48,819,838 | | | | | $ | 1,506,186 | | | | | $ | 22,353,932 | | | | | $ | — | | | | | $ | 15,479,023 | | | | | $ | 12,397 | | | | | $ | — | | | | | $ | — | | | | | $ | 9,468,300 | | |
Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2022 | | | | $ | (422,628) | | | | | $ | 20,054 | | | | | $ | (223,068) | | | | | $ | — | | | | | $ | (139,480) | | | | | $ | 2,509 | | | | | $ | — | | | | | $ | — | | | | | $ | (82,643) | | |
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | | Warrants | | | Municipal Bonds | | | Rights | | | Trade Claim | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance as of February 28, 2021 | | | | $ | 20,689,967* | | | | | $ | 3,686,882* | | | | | $ | 2,996* | | | | | $ | — | | | | | $ | 17,000,089* | | | | | $ | —* | | | | | $ | —* | | | | | $ | — | | | | | $ | — | | | | | | | | | | | ||||||||||||||||
Purchases | | | | | 44,578,341 | | | | | | 9,462,924 | | | | | | 24,710,000 | | | | | | — | | | | | | 1,352,162 | | | | | | — | | | | | | — | | | | | | — | | | | | | 9,053,255 | | | | | | | | | | | ||||||||||||||||
(Sales/Paydowns) | | | | | (42,455,820) | | | | | | (18,716,863) | | | | | | (8,197,509) | | | | | | — | | | | | | (15,531,448) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | | | | | | ||||||||||||||||
Total realized gain (loss) | | | | | 5,050,857 | | | | | | 5,050,857 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | | | | | | ||||||||||||||||
Change in unrealized appreciation (depreciation) | | | | | 1,280,011 | | | | | | 1,566,850 | | | | | | (217,987) | | | | | | — | | | | | | 21,303 | | | | | | — | | | | | | — | | | | | | — | | | | | | (90,155) | | | | | | | | | | | ||||||||||||||||
Transfers In | | | | | 3,816,478 | | | | | | 3,815,148 | | | | | | 1,330 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | | | | | | ||||||||||||||||
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | | | | | | ||||||||||||||||
Balance as of February 28, 2022 | | | | $ | 32,969,834 | | | | | $ | 4,865,798 | | | | | $ | 16,298,830 | | | | | $ | — | | | | | $ | 2,842,106 | | | | | $ | —* | | | | | $ | — | | | | | $ | — | | | | | $ | 8,963,100 | | | | | | | | | | | ||||||||||||||||
Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2022 | | | | $ | 730,670 | | | | | $ | 1,017,509 | | | | | $ | (217,987) | | | | | $ | — | | | | | $ | 21,303 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (90,155) | | | | | | | | | | | ||||||||||||||||
Destinations Multi Strategy Alternatives Fund | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance as of February 28, 2021 | | | | $ | 2,311,250 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,311,250 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | | | | | | | ||||||||||||||||
Purchases | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | | | | | | ||||||||||||||||
(Sales/Paydowns) | | | | | (2,311,250) | | | | | | — | | | | | | — | | | | | | (2,311,250) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | | | | | | ||||||||||||||||
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | | | | | | ||||||||||||||||
Change in unrealized appreciation (depreciation) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | | | | | | ||||||||||||||||
Transfers In | | | | | — | | | ��� | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | | | | | | ||||||||||||||||
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | | | | | | ||||||||||||||||
Balance as of February 28, 2022 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | | | | | | | ||||||||||||||||
Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2022 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | | | | | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Liability derivatives(a) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 216,234 | | | | | $ | 216,234 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 216,234 | | | | | $ | 216,234 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,243,790 | | | | | $ | 1,243,790 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,243,790 | | | | | $ | 1,243,790 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (391,794) | | | | | $ | (391,794) | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (391,794) | | | | | $ | (391,794) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding(d) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,839 | | | | | $ | 1,839 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,839 | | | | | $ | 1,839 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 80,410 | | | | | $ | 80,410 | | |
Net realized gain (loss) on forward foreign currency contracts | | | | | — | | | | | | 789,064 | | | | | | — | | | | | | — | | | | | | 789,064 | | |
| | | | $ | — | | | | | $ | 789,064 | | | | | $ | — | | | | | $ | 80,410 | | | | | $ | 869,474 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 5,304 | | | | | $ | 5,304 | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | | — | | | | | | (142,993) | | | | | | — | | | | | | — | | | | | | (142,993) | | |
| | | | $ | — | | | | | $ | (142,993) | | | | | $ | — | | | | | $ | 5,304 | | | | | $ | (137,689) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives(a) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts | | | | $ | 341,042 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 341,042 | | |
| | | | $ | 341,042 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 341,042 | | |
Liability derivatives(a) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts | | | | $ | 842,237 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 842,237 | | |
| | | | | 842,237 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 842,237 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on swap contracts | | | | $ | — | | | | | $ | — | | | | | $ | 9,148 | | | | | $ | — | | | | | $ | 9,148 | | |
Net realized gain (loss) on futures contracts | | | | | 2,946,689 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,946,689 | | |
| | | | $ | 2,946,689 | | | | | $ | — | | | | | $ | 9,148 | | | | | $ | — | | | | | $ | 2,955,837 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts | | | | $ | (501,195) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (501,195) | | |
| | | | $ | (501,195) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (501,195) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives(e) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency contracts | | | | $ | — | | | | | $ | 969,583 | | | | | $ | — | | | | | $ | — | | | | | $ | 969,583 | | |
| | | | $ | — | | | | | $ | 969,583 | | | | | $ | — | | | | | $ | — | | | | | $ | 969,583 | | |
Liability derivatives(f) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency contracts | | | | $ | — | | | | | $ | 16,257 | | | | | $ | — | | | | | $ | — | | | | | $ | 16,257 | | |
| | | | $ | — | | | | | $ | 16,257 | | | | | $ | — | | | | | $ | — | | | | | $ | 16,257 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on forward foreign currency contracts | | | | $ | — | | | | | $ | 3,099,374 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,099,374 | | |
| | | | $ | — | | | | | $ | 3,099,374 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,099,374 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | $ | — | | | | | $ | 693,218 | | | | | $ | — | | | | | $ | — | | | | | $ | 693,218 | | |
| | | | $ | — | | | | | $ | 693,218 | | | | | $ | — | | | | | $ | — | | | | | $ | 693,218 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency contracts(e) | | | | $ | — | | | | | $ | 695,415 | | | | | $ | — | | | | | $ | — | | | | | $ | 695,415 | | |
| | | | $ | — | | | | | $ | 695,415 | | | | | $ | — | | | | | $ | — | | | | | $ | 695,415 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding(d) | | | | $ | 161,292 | | | | | $ | — | | | | | $ | — | | | | | $ | 181,062 | | | | | $ | 342,354 | | |
Unrealized depreciation on forward foreign currency contracts(f) | | | | | — | | | | | | 5,675 | | | | | | — | | | | | | — | | | | | | 5,675 | | |
| | | | $ | 161,292 | | | | | $ | 5,675 | | | | | $ | — | | | | | $ | 181,062 | | | | | $ | 348,029 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 2,141,258 | | | | | $ | 2,141,258 | | |
Net realized gain (loss) on forward foreign currency contracts | | | | | — | | | | | | 1,888,307 | | | | | | — | | | | | | — | | | | | | 1,888,307 | | |
| | | | $ | — | | | | | $ | 1,888,307 | | | | | $ | — | | | | | $ | 2,141,258 | | | | | $ | 4,029,565 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (117,916) | | | | | $ | (117,916) | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | | — | | | | | | 384,807 | | | | | | — | | | | | | — | | | | | | 384,807 | | |
| | | | $ | — | | | | | $ | 384,807 | | | | | $ | — | | | | | $ | (117,916) | | | | | $ | 266,891 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on swap contracts(g) | | | | $ | — | | | | | $ | — | | | | | $ | 1,369,431 | | | | | $ | — | | | | | $ | 1,369,431 | | |
Interest rate purchased swaption contracts (h) | | | | | 2,427,559 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,427,559 | | |
Liability derivatives | | | | $ | 2,427,559 | | | | | $ | — | | | | | $ | 1,369,431 | | | | | $ | — | | | | | $ | 3,796,990 | | |
Unrealized depreciation on swap contracts(i) | | | | $ | — | | | | | $ | — | | | | | $ | 2,134,518 | | | | | $ | 275,683 | | | | | $ | 2,410,201 | | |
Interest rate swaptions contracts written(d) | | | | | 667,017 | | | | | | — | | | | | | — | | | | | | — | | | | | | 667,017 | | |
| | | | $ | 667,017 | | | | | $ | — | | | | | $ | 2,134,518 | | | | | $ | 275,683 | | | | | $ | 3,077,218 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on swap contracts. | | | | $ | — | | | | | $ | — | | | | | $ | 9,645,557 | | | | | $ | 1,467,709 | | | | | $ | 11,113,266 | | |
Net realized gain (loss) on option contracts purchased | | | | | — | | | | | | — | | | | | | — | | | | | | (335,580) | | | | | | (335,580) | | |
| | | | $ | — | | | | | $ | — | | | | | $ | 9,645,557 | | | | | $ | 1,132,129 | | | | | $ | 10,777,686 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on interest rate swaptions contracts written | | | | $ | (667,017) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (667,017) | | |
Net change in unrealized appreciation (depreciation) on interest rate swaptions contracts purchased | | | | | 398,059 | | | | | | — | | | | | | — | | | | | | — | | | | | | 398,059 | | |
Net change in unrealized appreciation (depreciation) on swap contracts | | | | | — | | | | | | — | | | | | | (7,270,555) | | | | | | (275,683) | | | | | | (7,546,238) | | |
| | | | $ | (268,958) | | | | | $ | — | | | | | $ | (7,270,555) | | | | | $ | (275,683) | | | | | $ | (7,815,196) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchased option contracts(h) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 4,334,920 | | | | | $ | 4,334,920 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 4,334,920 | | | | | $ | 4,334,920 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding(d) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,420,730 | | | | | $ | 1,420,730 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,420,730 | | | | | $ | 1,420,730 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on purchased options | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (1,322,139) | | | | | $ | (1,322,139) | | |
Net realized gain (loss) on options contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | 396,556 | | | | | | 396,556 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (925,583) | | | | | $ | (925,583) | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on purchased option contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 600,975 | | | | | $ | 600,975 | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | 535,812 | | | | | | 535,812 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,136,787 | | | | | $ | 1,136,787 | | |
| | | Average notional amounts | | |||
Futures contracts | | | | $ | 4,474,936 | | |
| | | Average notional amounts | | |||
Option contracts written | | | | $ | 16,641 | | |
Forward foreign currency contracts | | | | | 22,438,915(a) | | |
| | | Average notional amounts | | |||
Futures contracts | | | | $ | 145,139,410 | | |
Swap contracts | | | | | 15,030,000(b) | | |
| | | Average notional amounts | | |||
Forward foreign currency contracts | | | | $ | 42,428,926 | | |
| | | Average notional amounts | | |||
Option contracts purchased | | | | $ | 675,782(c) | | |
Option contracts written . . . . . . . . . . . . . . .. . . . . | | | | | 375,080 | | |
Forward foreign currency contracts | | | | | 35,918,485 | | |
| | | Average notional amounts | | |||
Interest Rate Swaption contracts purchased | | | | $ | 1,864,842 | | |
Interest Rate Swaption contracts written | | | | | 526,684(d) | | |
Swap contracts | | | | | 192,800,504 | | |
Option contracts purchased | | | | | 88,240(b) | | |
| | | Average notional amounts | | |||
Option contracts purchased . . . . . . . . . . . . . . . . . . | | | | $ | 1,396,686 | | |
Option contracts written. . . . . . . . . . . . . . . . . . . . . | | | | | 718,386 | | |
Gross Amounts Not Offset in the Statements of Assets and Liabilities | | ||||||||||||||||||||||||
| | | Gross Asset Amount Presented in Statements of Assets and Liabilities(a) | | | Financial Instrument | | | Collateral Received(b)(c) | | | Net Amount (Not Less than $0) | | ||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 25,225,307 | | | | | $ | — | | | | | $ | (23,492,013) | | | | | $ | 1,733,294* | | |
Destinations Small-Mid Cap Equity Fund | | | | | 36,882,210 | | | | | | — | | | | | | (36,882,210) | | | | | | — | | |
Destinations International Equity Fund | | | | | 26,408,771 | | | | | | — | | | | | | (26,408,771) | | | | | | — | | |
Destinations Equity Income Fund | | | | | 3,181,631 | | | | | | — | | | | | | (3,181,631) | | | | | | — | | |
Destinations Low Duration Fixed Income Fund | | | | | 2,912,588 | | | | | | — | | | | | | (2,912,588) | | | | | | — | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 1,261,547 | | | | | | — | | | | | | (1,261,547) | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 9,872,790 | | | | | | — | | | | | | (9,872,790) | | | | | | — | | |
| | | Remaining Contractual Maturity of the Agreements As of February 28, 2022 | | |||||||||||||||||||||||||||
| | | Overnight and Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | | |||||||||||||||
Destinations Large Cap Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 23,492,013 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 23,492,013 | | |
Total Borrowings | | | | $ | 23,492,013 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 23,492,013 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 23,492,013 | | |
Destinations Small-Mid Cap Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 37,322,114 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 37,322,114 | | |
Total Borrowings | | | | $ | 37,322,114 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 37,322,114 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 37,322,114 | | |
Destinations International Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 27,311,506 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 27,311,506 | | |
Total Borrowings | | | | $ | 27,311,506 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 27,311,506 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 27,311,506 | | |
Destinations Equity Income Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 3,345,980 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 3,345,980 | | |
Total Borrowings | | | | $ | 3,345,980 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 3,345,980 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 3,345,980 | | |
Destinations Low Duration Fixed Income Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 2,977,241 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 2,977,241 | | |
Total Borrowings | | | | $ | 2,977,241 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 2,977,241 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 2,977,241 | | |
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Warrants | | | | $ | 485 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 485 | | |
Common Stocks | | | | | 1,290,479 | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,290,479 | | |
Total Borrowings | | | | $ | 1,290,964 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,290,964 | | |
| | | Remaining Contractual Maturity of the Agreements As of February 28, 2022 | | |||||||||||||||||||||||||||
| | | Overnight and Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | | |||||||||||||||
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,290,964 | | |
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Warrants | | | | $ | 255 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 255 | | |
Common Stocks | | | | | 10,098,065 | | | | | | — | | | | | | — | | | | | | — | | | | | | 10,098,065 | | |
Total Borrowings | | | | $ | 10,098,320 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 10,098,320 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 10,098,320 | | |
|
| | | Principal | | | Unfunded Bank Loan Interest (Cost) | | | Value of Underlying Bank Loan Interest (Value) | | | Unrealized Appreciation/ (Depreciation) | | ||||||||||||
Destinations Core Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | |
athenahealth Group Inc. | | | | $ | 55,797 | | | | | $ | 55,520 | | | | | $ | 55,225 | | | | | $ | (295) | | |
Hillman Group Inc. (partially unfunded) | | | | | 6,211 | | | | | | 6,211 | | | | | | 6,134 | | | | | | (77) | | |
Zelis Cost Management Buyer Inc. | | | | | 63,333 | | | | | | 62,907 | | | | | | 62,463 | | | | | | (444) | | |
| | | | $ | 125,341 | | | | | $ | 124,638 | | | | | $ | 123,822 | | | | | $ | (816) | | |
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Inotiv Inc. | | | | $ | 2,142,000 | | | | | $ | 2,099,826 | | | | | $ | 2,099,160 | | | | | $ | (666) | | |
| | | | $ | 2,142,000 | | | | | $ | 2,099,826 | | | | | $ | 2,099,160 | | | | | $ | (666) | | |
| | | Assets | | | Liabilities | | ||||||
Derivative Instruments(a) | | | Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities | | | Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities | | ||||||
Destinations International Equity Fund: | | | | | | | | | | | | | |
Options contracts | | | | $ | — | | | | | $ | 1,839 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | — | | | | | $ | 1,839 | | |
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | 969,583 | | | | | $ | 16,257 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 969,583 | | | | | $ | 16,257 | | |
Destinations Global Fixed Income Opportunities Fund: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | 695,415 | | | | | $ | 5,675 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 695,415 | | | | | $ | 5,675 | | |
Destinations Multi Strategy Alternatives Fund: | | | | | | | | | | | | | |
Swaptions | | | | $ | 2,427,559 | | | | | $ | 667,017 | | |
Swap contracts | | | | | 1,369,431 | | | | | | 2,410,201 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 3,796,990 | | | | | $ | 3,077,218 | | |
Counterparty | | | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(a) | | | Other Cash Collateral(b) | | | Net Amount(c) | | ||||||||||||
Destinations International Equity Fund: | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Goldman Sachs & Co. | | | | $ | 1,839 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,839 | | |
Total Over-the-counter derivative instruments | | | | $ | 1,839 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,839 | | |
Counterparty | | | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(d) | | | Other Cash Collateral(b) | | | Net Amount(e) | | ||||||||||||
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 969,583 | | | | | $ | (16,257) | | | | | $ | — | | | | | $ | 953,326 | | |
Total Over-the-counter derivative instruments | | | | $ | 969,583 | | | | | $ | (16,257) | | | | | $ | — | | | | | $ | 953,326 | | |
Counterparty | | | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(a) | | | Other Cash Collateral(b) | | | Net Amount(c) | | ||||||||||||
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 16,257 | | | | | $ | (16,257) | | | | | $ | — | | | | | $ | — | | |
Total Over-the-counter derivative instruments | | | | $ | 16,257 | | | | | $ | (16,257) | | | | | $ | — | | | | | $ | — | | |
Counterparty | | | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(d) | | | Other Cash Collateral(b) | | | Net Amount(e) | | ||||||||||||
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 695,415 | | | | | $ | (5,675) | | | | | $ | — | | | | | $ | 689,740 | | |
Total Over-the-counter derivative instruments | | | | $ | 695,415 | | | | | $ | (5,675) | | | | | $ | — | | | | | $ | 689,740 | | |
Counterparty | | | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(a) | | | Other Cash Collateral(b) | | | Net Amount(c) | | ||||||||||||
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 5,675 | | | | | $ | (5,675) | | | | | $ | — | | | | | $ | — | | |
Total Over-the-counter derivative instruments | | | | $ | 5,675 | | | | | $ | (5,675) | | | | | $ | — | | | | | $ | — | | |
Counterparty | | | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(d) | | | Other Cash Collateral(b) | | | Net Amount(e) | | ||||||||||||
Destinations Multi Strategy Alternatives Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Goldman Sachs & Co. – LMCG Investments, LLC | | | | $ | 1,273,302 | | | | | $ | (785,766) | | | | | $ | — | | | | | $ | 487,536 | | |
Morgan Stanley Capital Services LLC – LMCG Investments, LLC | | | | | 2,523,688 | | | | | | (2,015,769) | | | | | | — | | | | | | 507,919 | | |
Total Over-the-counter derivative instruments | | | | $ | 3,796,990 | | | | | $ | (2,801,535) | | | | | $ | — | | | | | $ | 995,455 | | |
Counterparty | | | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(a) | | | Other Cash Collateral(b) | | | Net Amount(c) | | ||||||||||||
Destinations Multi Strategy Alternatives Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Goldman Sachs & Co. – Driehaus Capital Management LLC | | | | $ | 275,683 | | | | | $ | — | | | | | $ | (275,683) | | | | | $ | — | | |
Goldman Sachs & Co. – LMCG Investments, LLC | | | | | 785,766 | | | | | | (785,766) | | | | | | — | | | | | | — | | |
Morgan Stanley Capital Services LLC – LMCG Investments, LLC | | | | | 2,015,769 | | | | | | (2,015,769) | | | | | | — | | | | | | — | | |
Total Over-the-counter derivative instruments | | | | $ | 3,077,218 | | | | | $ | (2,801,535) | | | | | $ | (275,683) | | | | | $ | — | | |
Fund | | | Sub-advisory Fee | | | Brinker Capital Investments, LLC Fee | | | Maximum Allowable Annual Management Fee | | |||||||||
Destinations Large Cap Equity Fund | | | | | 0.21% | | | | | | 0.39% | | | | | | 0.75% | | |
Destinations Small-Mid Cap Equity Fund | | | | | 0.50% | | | | | | 0.39% | | | | | | 0.90% | | |
Destinations International Equity Fund | | | | | 0.57% | | | | | | 0.39% | | | | | | 1.00% | | |
Destinations Equity Income Fund | | | | | 0.29% | | | | | | 0.39% | | | | | | 0.80% | | |
Destinations Core Fixed Income Fund | | | | | 0.18% | | | | | | 0.39% | | | | | | 0.65% | | |
Destinations Low Duration Fixed Income Fund | | | | | 0.31% | | | | | | 0.39% | | | | | | 0.70% | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 0.35% | | | | | | 0.39% | | | | | | 0.85% | | |
Destinations Municipal Fixed Income Fund | | | | | 0.14% | | | | | | 0.39% | | | | | | 0.70% | | |
Destinations Multi Strategy Alternatives Fund | | | | | 0.52% | | | | | | 0.39% | | | | | | 1.35% | | |
Destinations Shelter Fund | | | | | 0.33% | | | | | | 0.39% | | | | | | 0.85% | | |
Fund | | | | | | | |
Destinations Large Cap Equity Fund | | | | $ | 7,992,671 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 165,934 | | |
Destinations International Equity Fund | | | | | 1,038,876 | | |
Destinations Equity Income Fund | | | | | 519,795 | | |
Destinations Core Fixed Income Fund | | | | | 1,815,642 | | |
Destinations Low Duration Fixed Income Fund | | | | | 10,498 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 864,912 | | |
Destinations Municipal Fixed Income Fund | | | | | 1,566,914 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 5,434,539 | | |
Destinations Shelter Fund | | | | | 27,178 | | |
Fund | | | Purchases | | | Sales | | | Realized Gain/(Loss) | | |||||||||
Destinations Large Cap Equity Fund | | | | $ | 1,772,765 | | | | | $ | 111,642,595 | | | | | $ | (47,304,081) | | |
| | | Sub-Transfer Agent Fees | | |||
Fund | | | Class I | | |||
Destinations Large Cap Equity Fund | | | | $ | 7,173,773 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 1,845,733 | | |
Destinations International Equity Fund | | | | | 3,708,368 | | |
Destinations Equity Income Fund | | | | | 615,617 | | |
Destinations Core Fixed Income Fund | | | | | 3,085,863 | | |
Destinations Low Duration Fixed Income Fund | | | | | 742,114 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 1,091,937 | | |
Destinations Municipal Fixed Income Fund | | | | | 1,353,819 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 1,730,749 | | |
Destinations Shelter Fund | | | | | 31,120 | | |
| | | Investments | | | U.S. Government & Agency Obligations | | ||||||||||||||||||
Fund | | | Purchases | | | Sales | | | Purchases | | | Sales | | ||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 4,480,159,982 | | | | | $ | 4,258,875,803 | | | | | $ | — | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | | 1,483,205,474 | | | | | | 1,446,119,893 | | | | | | — | | | | | | — | | |
Destinations International Equity Fund | | | | | 1,705,585,765 | | | | | | 1,245,061,226 | | | | | | — | | | | | | — | | |
Destinations Equity Income Fund | | | | | 295,147,804 | | | | | | 248,496,137 | | | | | | — | | | | | | — | | |
Destinations Core Fixed Income Fund | | | | | 5,566,178,385 | | | | | | 5,317,847,053 | | | | | | 4,828,521,386 | | | | | | 4,742,068,623 | | |
Destinations Low Duration Fixed Income Fund | | | | | 625,405,882 | | | | | | 513,898,109 | | | | | | 18,535,907 | | | | | | 14,990,681 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 685,484,610 | | | | | | 639,537,261 | | | | | | — | | | | | | — | | |
Destinations Municipal Fixed Income Fund | | | | | 413,232,286 | | | | | | 356,154,072 | | | | | | — | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 992,587,806 | | | | | | 778,744,029 | | | | | | — | | | | | | — | | |
Destinations Shelter Fund | | | | | 126,874,967 | | | | | | 1,249,000 | | | | | | — | | | | | | — | | |
| | | Investments | | | U.S. Government & Agency Obligations | | ||||||||||||||||||
Fund | | | Securities Sold Short | | | Covers on Securities Sold Short | | | Securities Sold Short | | | Covers on Securities Sold Short | | ||||||||||||
Destinations Large Cap Equity Fund | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Destinations International Equity Fund | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Destinations Equity Income Fund | | | | | 1,033,216 | | | | | | 1,041,761 | | | | | | — | | | | | | — | | |
Destinations Core Fixed Income Fund | | | | | 231,612,203 | | | | | | 245,344,421 | | | | | | 231,612,203 | | | | | | 245,344,421 | | |
Destinations Low Duration Fixed Income Fund | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 24,656,424 | | | | | | 22,502,865 | | | | | | — | | | | | | — | | |
Destinations Municipal Fixed Income Fund | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 146,450,336 | | | | | | 96,969,439 | | | | | | — | | | | | | — | | |
Destinations Shelter Fund | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Fund | | | Aggregate Cost For Federal Income Tax Purposes | | | Gross Unrealized Appreciation | | | Gross Unrealized (Depreciation) | | | Net Unrealized Appreciation (Depreciation) | | ||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 4,239,703,010 | | | | | $ | 1,285,454,940 | | | | | $ | (228,418,860) | | | | | $ | 1,057,036,080 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 1,212,965,405 | | | | | | 217,764,704 | | | | | | (67,352,358) | | | | | | 150,412,346 | | |
Destinations International Equity Fund | | | | | 2,337,001,626 | | | | | | 566,523,932 | | | | | | (204,282,198) | | | | | | 362,241,734 | | |
Destinations Equity Income Fund | | | | | 452,690,134 | | | | | | 80,037,835 | | | | | | (17,002,330) | | | | | | 63,035,505 | | |
Destinations Core Fixed Income Fund | | | | | 2,478,103,710 | | | | | | 11,577,139 | | | | | | (107,884,927) | | | | | | (96,307,788) | | |
Destinations Low Duration Fixed Income Fund | | | | | 645,993,770 | | | | | | 4,763,020 | | | | | | (14,600,288) | | | | | | (9,837,268) | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 778,178,283 | | | | | | 15,721,422 | | | | | | (31,870,269) | | | | | | (16,148,847) | | |
Destinations Municipal Fixed Income Fund | | | | | 924,323,060 | | | | | | 9,115,416 | | | | | | (6,807,867) | | | | | | 2,307,549 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 1,103,681,229 | | | | | | 80,558,579 | | | | | | (55,344,469) | | | | | | 25,214,110 | | |
Destinations Shelter Fund | | | | | 130,028,105 | | | | | | 3,225,465 | | | | | | (7,635,360) | | | | | | (4,409,895) | | |
| | | Year ended February 28, 2022 | | | Year ended February 28, 2022 | | | Year ended February 28, 2021 | | | Year ended February 28, 2021 | | ||||||||||||||||||||||||||||||||||||
| | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||||||||||||
| | | Class I | | | Class Z | | | Class I | | | Class Z | | ||||||||||||||||||||||||||||||||||||
Destinations Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 67,703,618 | | | | | $ | 1,103,438,865 | | | | | | 23,065,446 | | | | | $ | 307,509,210 | | | | | | 52,435,357 | | | | | $ | 684,494,010 | | | | | | 8,388,833 | | | | | $ | 90,160,931 | | |
Shares issued on reinvestment | | | | | 47,589,443 | | | | | | 737,636,369 | | | | | | 7,430,362 | | | | | | 89,090,035 | | | | | | 5,697,153 | | | | | | 86,767,648 | | | | | | 551,947 | | | | | | 6,794,463 | | |
Shares repurchased | | | | | (64,991,965) | | | | | | (1,096,768,348) | | | | | | (7,270,147) | | | | | | (97,620,389) | | | | | | (84,637,430) | | | | | | (1,146,597,874) | | | | | | (7,563,919) | | | | | | (81,513,637) | | |
Net Increase/(Decrease) | | | | | 50,301,096 | | | | | $ | 744,306,886 | | | | | | 23,225,661 | | | | | $ | 298,978,856 | | | | | | (26,504,920) | | | | | $ | (375,336,216) | | | | | | 1,376,861 | | | | | $ | 15,441,757 | | |
Destinations Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 19,166,704 | | | | | $ | 297,005,363 | | | | | | 6,190,364 | | | | | $ | 78,783,437 | | | | | | 10,424,629 | | | | | $ | 124,974,104 | | | | | | 2,063,195 | | | | | $ | 19,907,864 | | |
Shares issued on reinvestment | | | | | 19,897,568 | | | | | | 276,576,197 | | | | | | 3,233,640 | | | | | | 33,532,848 | | | | | | 1,560,603 | | | | | | 22,394,639 | | | | | | 151,339 | | | | | | 1,740,399 | | |
Shares repurchased | | | | | (17,715,345) | | | | | | (284,468,165) | | | | | | (2,084,378) | | | | | | (25,683,964) | | | | | | (22,456,528) | | | | | | (274,215,231) | | | | | | (1,839,951) | | | | | | (17,853,191) | | |
Net Increase/(Decrease) | | | | | 21,348,927 | | | | | $ | 289,113,395 | | | | | | 7,339,626 | | | | | $ | 86,632,321 | | | | | | (10,471,296) | | | | | $ | (126,846,488) | | | | | | 374,583 | | | | | $ | 3,795,072 | | |
Destinations International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 48,301,639 | | | | | $ | 718,986,973 | | | | | | 13,024,657 | | | | | $ | 172,083,487 | | | | | | 27,801,118 | | | | | $ | 366,061,881 | | | | | | 4,283,792 | | | | | $ | 48,789,282 | | |
Shares issued on reinvestment | | | | | 7,394,379 | | | | | | 106,257,235 | | | | | | 963,003 | | | | | | 11,989,392 | | | | | | 44,958 | | | | | | 659,537 | | | | | | 17,737 | | | | | | 226,851 | | |
Shares repurchased | | | | | (24,463,688) | | | | | | (371,411,313) | | | | | | (2,916,018) | | | | | | (38,215,141) | | | | | | (43,148,172) | | | | | | (509,687,356) | | | | | | (3,389,599) | | | | | | (35,303,264) | | |
Net Increase/(Decrease) | | | | | 31,232,330 | | | | | $ | 453,832,895 | | | | | | 11,071,642 | | | | | $ | 145,857,738 | | | | | | (15,302,096) | | | | | $ | (142,965,938) | | | | | | 911,930 | | | | | $ | 13,712,869 | | |
Destinations Equity Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 9,047,865 | | | | | $ | 105,617,365 | | | | | | 2,024,865 | | | | | $ | 22,657,044 | | | | | | 4,512,876 | | | | | $ | 42,296,206 | | | | | | 1,013,696 | | | | | $ | 9,176,726 | | |
Shares issued on reinvestment | | | | | 1,048,797 | | | | | | 12,040,971 | | | | | | 97,939 | | | | | | 1,091,506 | | | | | | 1,790,430 | | | | | | 16,937,229 | | | | | | 103,692 | | | | | | 953,306 | | |
Shares repurchased | | | | | (7,176,260) | | | | | | (82,484,563) | | | | | | (700,084) | | | | | | (7,803,737) | | | | | | (15,094,775) | | | | | | (137,678,016) | | | | | | (934,096) | | | | | | (8,307,893) | | |
Net Increase/(Decrease) | | | | | 2,920,402 | | | | | $ | 35,173,773 | | | | | | 1,422,720 | | | | | $ | 15,944,813 | | | | | | (8,791,469) | | | | | $ | (78,444,581) | | | | | | 183,292 | | | | | $ | 1,822,139 | | |
Destinations Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 39,189,586 | | | | | $ | 391,752,962 | | | | | | 12,208,877 | | | | | $ | 126,031,585 | | | | | | 55,084,785 | | | | | $ | 566,944,532 | | | | | | 5,222,974 | | | | | $ | 55,197,432 | | |
Shares issued on reinvestment | | | | | 8,242,807 | | | | | | 81,742,945 | | | | | | 719,136 | | | | | | 7,322,356 | | | | | | 4,374,396 | | | | | | 45,153,843 | | | | | | 232,113 | | | | | | 2,458,341 | | |
Shares repurchased | | | | | (41,239,978) | | | | | | (411,407,304) | | | | | | (3,877,150) | | | | | | (39,644,563) | | | ��� | | | (37,377,623) | | | | | | (384,588,684) | | | | | | (3,098,501) | | | | | | (32,672,496) | | |
Net Increase | | | | | 6,192,415 | | | | | $ | 62,088,603 | | | | | | 9,050,863 | | | | | $ | 93,709,378 | | | | | | 22,081,558 | | | | | $ | 227,509,691 | | | | | | 2,356,586 | | | | | $ | 24,983,277 | | |
| | | Year ended February 28, 2022 | | | Year ended February 28, 2022 | | | Year ended February 28, 2021 | | | Year ended February 28, 2021 | | ||||||||||||||||||||||||||||||||||||
| | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||||||||||||
| | | Class I | | | Class Z | | | Class I | | | Class Z | | ||||||||||||||||||||||||||||||||||||
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 19,903,695 | | | | | $ | 194,152,137 | | | | | | 3,364,413 | | | | | $ | 33,535,547 | | | | | | 18,171,975 | | | | | $ | 171,086,753 | | | | | | 1,237,743 | | | | | $ | 11,930,570 | | |
Shares issued on reinvestment | | | | | 1,983,712 | | | | | | 19,330,200 | | | | | | 151,405 | | | | | | 1,506,794 | | | | | | 1,311,218 | | | | | | 12,349,552 | | | | | | 61,385 | | | | | | 590,193 | | |
Shares repurchased | | | | | (9,227,838) | | | | | | (90,072,075) | | | | | | (757,219) | | | | | | (7,547,679) | | | | | | (9,356,530) | | | | | | (88,084,770) | | | | | | (520,775) | | | | | | (5,004,378) | | |
Net Increase | | | | | 12,659,569 | | | | | $ | 123,410,262 | | | | | | 2,758,599 | | | | | $ | 27,494,662 | | | | | | 10,126,663 | | | | | $ | 95,351,535 | | | | | | 778,353 | | | | | $ | 7,516,385 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 13,151,293 | | | | | $ | 131,429,645 | | | | | | 3,828,562 | | | | | $ | 38,991,349 | | | | | | 17,769,711 | | | | | $ | 167,996,725 | | | | | | 1,728,722 | | | | | $ | 16,710,837 | | |
Shares issued on reinvestment | | | | | 2,998,282 | | | | | | 29,867,741 | | | | | | 237,242 | | | | | | 2,404,353 | | | | | | 2,961,429 | | | | | | 28,132,491 | | | | | | 144,921 | | | | | | 1,401,780 | | |
Shares repurchased | | | | | (16,156,558) | | | | | | (160,548,450) | | | | | | (1,340,960) | | | | | | (13,570,620) | | | | | | (23,756,259) | | | | | | (224,106,513) | | | | | | (1,359,298) | | | | | | (12,985,085) | | |
Net Increase/(Decrease) | | | | | (6,983) | | | | | $ | 748,936 | | | | | | 2,724,844 | | | | | $ | 27,825,082 | | | | | | (3,025,119) | | | | | $ | (27,977,297) | | | | | | 514,345 | | | | | $ | 5,127,532 | | |
Destinations Municipal Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 14,764,790 | | | | | $ | 153,593,332 | | | | | | 3,163,542 | | | | | $ | 33,049,295 | | | | | | 17,585,113 | | | | | $ | 183,253,560 | | | | | | 1,416,158 | | | | | $ | 14,800,618 | | |
Shares issued on reinvestment | | | | | 1,284,662 | | | | | | 13,320,546 | | | | | | 61,705 | | | | | | 641,326 | | | | | | 1,775,709 | | | | | | 18,578,076 | | | | | | 45,694 | | | | | | 479,548 | | |
Shares repurchased | | | | | (13,163,074) | | | | | | (136,501,200) | | | | | | (1,215,536) | | | | | | (12,605,433) | | | | | | (16,956,969) | | | | | | (176,085,320) | | | | | | (716,487) | | | | | | (7,453,789) | | |
Net Increase | | | | | 2,886,378 | | | | | $ | 30,412,678 | | | | | | 2,009,711 | | | | | $ | 21,085,188 | | | | | | 2,403,853 | | | | | $ | 25,746,316 | | | | | | 745,365 | | | | | $ | 7,826,377 | | |
Destinations Multi Strategy Alternatives Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 23,458,808 | | | | | $ | 248,568,216 | | | | | | 6,288,112 | | | | | $ | 65,274,948 | | | | | | 28,726,572 | | | | | $ | 281,655,299 | | | | | | 2,660,566 | | | | | $ | 25,454,430 | | |
Shares issued on reinvestment | | | | | 5,036,403 | | | | | | 52,757,833 | | | | | | 455,537 | | | | | | 4,653,976 | | | | | | 1,497,504 | | | | | | 14,207,122 | | | | | | 81,832 | | | | | | 760,344 | | |
Shares repurchased | | | | | (18,748,571) | | | | | | (198,834,909) | | | | | | (1,718,387) | | | | | | (17,735,424) | | | | | | (17,826,528) | | | | | | (169,315,819) | | | | | | (1,274,919) | | | | | | (11,887,150) | | |
Net Increase | | | | | 9,746,640 | | | | | $ | 102,491,140 | | | | | | 5,025,262 | | | | | $ | 52,193,500 | | | | | | 12,397,548 | | | | | $ | 126,546,602 | | | | | | 1,467,479 | | | | | $ | 14,327,624 | | |
Destinations Shelter Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 13,274,968 | | | | | $ | 131,089,495 | | | | | | 228,378 | | | | | $ | 2,259,436 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Shares issued on reinvestment | | | | | 4,104 | | | | | | 42,023 | | | | | | 102 | | | | | | 1,036 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Shares repurchased | | | | | (388,987) | | | | | | (3,841,704) | | | | | | (4,344) | | | | | | (42,627) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Net Increase | | | | | 12,890,085 | | | | | $ | 127,289,814 | | | | | | 224,136 | | | | | $ | 2,217,845 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
|
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | | Destinations Shelter Fund | | ||||||||||||||||||||||||||||||
Distributions paid from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Tax Exempt | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 11,920,721 | | | | | $ | — | | | | | $ | — | | |
Ordinary Income | | | | | 184,929,976 | | | | | | 135,724,581 | | | | | | 4,963,801 | | | | | | 13,294,393 | | | | | | 31,243,616 | | | | | | 21,026,439 | | | | | | 32,589,385 | | | | | | 912,957 | | | | | | 28,655,831 | | | | | | 43,059 | | |
Net Long-term Capital Gains | | | | | 649,124,813 | | | | | | 176,930,856 | | | | | | 114,287,239 | | | | | | — | | | | | | 58,651,094 | | | | | | — | | | | | | — | | | | | | 1,273,295 | | | | | | 29,292,763 | | | | | | — | | |
Total Distributions Paid. | | | | $ | 834,054,789 | | | | | $ | 312,655,437 | | | | | $ | 119,251,040 | | | | | $ | 13,294,393 | | | | | $ | 89,894,710 | | | | | $ | 21,026,439 | | | | | $ | 32,589,385 | | | | | $ | 14,106,973 | | | | | $ | 57,948,594 | | | | | $ | 43,059 | | |
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | |||||||||||||||||||||||||||
Distributions paid from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Tax Exempt | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 13,579,156 | | | | | $ | — | | |
Ordinary Income | | | | | 34,300,625 | | | | | | 13,323,295 | | | | | | 897,892 | | | | | | 15,077,452 | | | | | | 43,206,745 | | | | | | 13,040,965 | | | | | | 29,781,526 | | | | | | 365,133 | | | | | | 15,073,484 | | |
Net Long-term Capital Gains | | | | | 59,980,376 | | | | | | 10,989,786 | | | | | | — | | | | | | 3,015,335 | | | | | | 4,770,900 | | | | | | — | | | | | | — | | | | | | 5,284,706 | | | | | | — | | |
Total Distributions Paid | | | | $ | 94,281,001 | | | | | $ | 24,313,081 | | | | | $ | 897,892 | | | | | $ | 18,092,787 | | | | | $ | 47,977,645 | | | | | $ | 13,040,965 | | | | | $ | 29,781,526 | | | | | $ | 19,228,995 | | | | | $ | 15,073,484 | | |
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | | Destinations Shelter Fund | | ||||||||||||||||||||||||||||||
Undistributed ordinary income – net | | | | $ | 36,042,509 | | | | | $ | 761,843 | | | | | $ | 857,068 | | | | | $ | 3,711,649 | | | | | $ | 2,428,668 | | | | | $ | 2,837,446 | | | | | $ | 1,486,260 | | | | | $ | 630 | | | | | $ | — | | | | | $ | 109,563 | | |
Undistributed long-term capital gains – net | | | | | 174,017,326 | | | | | | 38,704,133 | | | | | | 18,865,234 | | | | | | 138,820 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,538,250 | | | | | | 129,022 | | |
Undistributed tax-exempt income – net | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 814,608 | | | | | | — | | | | | | — | | |
Total Undistributed earnings | | | | | 210,059,835 | | | | | | 39,465,976 | | | | | | 19,722,302 | | | | | | 3,850,469 | | | | | | 2,428,668 | | | | | | 2,837,446 | | | | | | 1,486,260 | | | | | | 815,238 | | | | | | 2,538,250 | | | | | | 238,585 | | |
Capital Loss Carryforward | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (22,993,577) | | | | | | — | | | | | | (10,494,247) | | | | | | — | | | | | | — | | | | | | — | | |
Current Year Late Year Loss Deferral | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (1,239,957) | | | | | | (6,461,013) | | | | | | — | | |
Unrealized appreciation (depreciation) | | | | | 1,057,036,231 | | | | | | 150,412,348 | | | | | | 357,499,703 | | | | | | 63,029,152 | | | | | | (96,308,604) | | | | | | (9,841,688) | | | | | | (16,149,442) | | | | | | 2,307,549 | | | | | | 25,214,110 | | | | | | (4,409,895) | | |
Total accumulated earnings/(losses) – net | | | | $ | 1,267,096,066 | | | | | $ | 189,878,324 | | | | | $ | 377,222,005 | | | | | $ | 66,879,621 | | | | | $ | (116,873,513) | | | | | $ | (7,004,242) | | | | | $ | (25,157,429) | | | | | $ | 1,882,830 | | | | | $ | 21,291,347 | | | | | $ | (4,171,310) | | |
Year of Expiration | | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | | Destinations Shelter Fund | | ||||||||||||||||||||||||||||||
Short-Term | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 22,993,577 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Long-Term . | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 10,494,247 | | | | | | — | | | | | | — | | | | | | — | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 22,993,577 | | | | | $ | — | | | | | $ | 10,494,247 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Fund | | | Statements of Operations, Statements of Changes in Net Assets and Financial Highlights Presented | |
Destinations Large Cap Equity Fund | | | Statement of Operations for the year then ended, and the Statements of Changes in Net Assets and Financial Highlights for each of the years in the two-year period then ended. | |
Destinations Small-Mid Cap Equity Fund | | | Statement of Operations for the year then ended, and the Statements of Changes in Net Assets and Financial Highlights for each of the years in the two-year period then ended. | |
Destinations International Equity Fund | | | Statement of Operations for the year then ended, and the Statements of Changes in Net Assets and Financial Highlights for each of the years in the two-year period then ended. | |
Destinations Equity Income Fund | | | Statement of Operations for the year then ended, and the Statements of Changes in Net Assets and Financial Highlights for each of the years in the two-year period then ended. | |
Destinations Core Fixed Income Fund | | | Statement of Operations for the year then ended, and the Statements of Changes in Net Assets and Financial Highlights for each of the years in the two-year period then ended. | |
Destinations Low Duration Fixed Income Fund | | | Statement of Operations for the year then ended, and the Statements of Changes in Net Assets and Financial Highlights for each of the years in the two-year period then ended. | |
Fund | | | Statements of Operations, Statements of Changes in Net Assets and Financial Highlights Presented | |
Destinations Global Fixed Income Opportunities Fund | | | Statement of Operations for the year then ended, and the Statements of Changes in Net Assets and Financial Highlights for each of the years in the two-year period then ended. | |
Destinations Municipal Fixed Income Fund | | | Statement of Operations for the year then ended, and the Statements of Changes in Net Assets and Financial Highlights for each of the years in the two-year period then ended. | |
Destinations Multi Strategy Alternatives Fund | | | Statement of Operations for the year then ended, and the Statements of Changes in Net Assets and Financial Highlights for each of the years in the two-year period then ended. | |
Destinations Shelter Fund | | | Statement of Operations and Statement of Changes in Net Assets for the period October 27, 2021 (commencement of operations) to February 28, 2022. Financial Highlights for Class I: October 27, 2021 to February 28, 2022 and Financial Highlights for Class Z: December 2, 2021 to February 28, 2022. | |
April 29, 2022
Name, Address and Date of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served* | | | Principal Occupation(s) During Past Five Years | | | Number of Funds in Fund Complex Overseen By Trustee | | | Other Board Memberships Held During Past Five Years by Trustee | |
INDEPENDENT TRUSTEES* | | | | | | | ||||||||||
J. Scott Coleman, CFA 7 Forest Road Wayne, PA 19087 Birth Year: 1960 | | | Trustee | | | Since 2017 | | | President and Managing Partner of Woodland Park Consulting, LLC since 2017. President and CEO of Optimum Fund Trust from 2011 to 2015. President of Delaware Distributors from 2008 to 2015. Executive Vice President, Head of Distribution and Marketing, Delaware Investments 2008 to 2015. In addition, Head of Macquarie Investment Management EMEA Distribution from 2012 to 2015. Managing Director at Goldman Sachs & Co. from 2001 to 2008. | | | 10 | | | Optimum Fund Trust from 2011 to 2015. | |
Nicholas M. Marsini, Jr. 120 St. Moritz Drive Wilmington, DE 19807 Birth Year: 1955 | | | Trustee, Chair of Audit Committee | | | Since 2017 | | | Retired since 2016. Regional President of PNC Delaware from 2011 to 2016. Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from 1997 to 2010. | | | 10 | | | FundVantage Trust, Third Avenue Trust, Third Avenue Variable Series Trust. | |
Name, Address and Date of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served* | | | Principal Occupation(s) During Past Five Years | | | Number of Funds in Fund Complex Overseen By Trustee | | | Other Board Memberships Held During Past Five Years by Trustee | |
Gregory E. McGowan 300 SE 2nd Street Fort Lauderdale, FL 33301 Birth Year: 1949 | | | Trustee | | | Since 2017 | | | President and CEO, GEMPENN Global Consultancy, Inc. since 2016. Senior Strategic Advisor, Franklin Templeton Investments in 2016. Executive Vice President, Director and General Counsel of Templeton International, Inc. from 1992 to 2016. Executive Vice President, Secretary and General Counsel of Templeton Global Advisors Limited (a Bahamian corporation) from 1992 to 2016. | | | 10 | | | Lifestar Holdings (Formerly Global Capital PLC a Malta Public Company), Franklin Templeton Sealand Fund Management Co. Ltd., China Life Franklin Asset Management Company Limited, Templeton Investment Counsel LLC, Franklin Templeton Trustee Services Private Limited (India), Franklin Templeton International Services S.A. (Luxembourg), Franklin Templeton Investments (Asia) Limited, Franklin Templeton Investments Japan Ltd., Templeton Asset Management Ltd. (Singapore), Franklin Templeton Holding Limited (Mauritius), Franklin Templeton Investment Services Mexico, S. de R. L., Templeton Global Growth Fund Ltd Australia), Franklin Liberty Shares ICAV (Ireland), Franklin Emerging Markets Debt Fund PLC (Ireland), Franklin Floating Rate Fund PLC (Ireland). | |
INTERESTED TRUSTEES* | | |||||||||||||||
Joseph V. Del Raso Troutman Pepper Hamilton LLP 3000 Two Logan Square, 18th & Arch Streets Philadelphia, PA 19103-2799 Birth Year: 1952 | | | Trustee | | | Since 2017 (Chair of the Board until April 1, 2018). | | | Partner at Troutman Pepper Hamilton LLP (law firm) since 1998. | | | 10 | | | Lifestar Holdings (Formerly Global Capital PLC a Malta Public Company). | |
Noreen D. Beaman** Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1964 | | | Chair of the Board of Trustees and Chief Executive Officer | | | Since 2018 | | | President of Brinker Capital Investments, LLC from 2020 until 2022. Chief Executive Officer of Brinker Capital, Inc. from 2012 to 2020. President of Brinker Capital Holdings, LLC from 2020 to 2022. President and CEO of Brinker Capital Securities, LLC from 2020 to 2022. President of Orion Advisor Solutions, Inc. from 2021 to 2022 (EVP in 2020). President of Orion Advisor Technology, LLC from 2021 to 2022 (EVP in 2020). President of Orion Portfolio Solutions, LLC from 2021 to 2022. | | | 10 | | | Board of Directors/Managers for following entities since 2020 and Vice Chair since February 2022: GT Polaris GP, LLC, GT Polaris Holdings, Inc., GT Polaris Midco, Inc., Orion Advisor Solutions, Inc. MMI Executive Committee since 2021; MMI Board of Governors (2020-2021); MMI Leadership Pathway (2016 to 2020); Envestnet Institute Women In Wealth (2017 to 2020); St. Peter’s University Board of Trustees and Chair of Investment Committee of St. Peter’s University since 2021; St. Peter’s University Board of Trustees (2014 to 2017). | |
Name, Address and Date of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past Five Years | |
OFFICERS* | | | | | | | | | | |
Kevin Fustos Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1970 | | | Chief Financial Officer & Treasurer | | | Since December 2020 | | | Vice President of Financial Planning and Analysis, Orion Advisor Solutions, since 2016; Omaha Public Power District from 2004 to 2016. | |
Brian Ferko Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1971 | | | Chief Compliance Officer & Anti- Money Laundering Officer | | | Since January 2017 | | | Chief Compliance Officer of Brinker Capital Investments, LLC since 2015; Chief Compliance Officer of Brinker Capital Investments, LLC contracted through Cipperman Compliance Services from 2010 to 2015; Chief Operating Officer of Cipperman Compliance Services from 2012 to 2015. | |
Donna Marley Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1955 | | | Chief Operating Officer | | | Since April 2017 | | | Senior Vice President of Funds of Brinker Capital Investments, LLC since 2017; Executive Director of Morgan Stanley from 2009 to 2017. | |
Peter Townsend Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1977 | | | Secretary & Deputy Chief Compliance Officer | | | Since January 2017 | | | Deputy Funds Chief Compliance Officer of Brinker Capital Investments, LLC since 2017; Director of Compliance of Penn Capital Management Company, Inc. from 2015 to 2017; Director of Compliance of Cipperman Compliance Services from 2013 to 2015; Associate of J.P. Morgan Chase & Co. from 2008 to 2013. | |
Amy Magnotta, CFA Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1978 | | | Investment Officer | | | Since January 2017 | | | Head of Discretionary Portfolios at Brinker Capital Investments, LLC since 2021; Co-Head of Discretionary Portfolios at Brinker Capital Investments, LLC in 2020; Senior Vice President and Head of Discretionary Portfolios of Brinker Capital Investments, LLC from 2017 to 2020; Senior Investment Manager of Brinker Capital Investments, LLC from 2008 to 2017. | |
Name, Address and Date of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past Five Years | |
Leigh Lowman, CFA Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1982 | | | Investment Officer | | | Since January 2017 | | | Senior Portfolio Manager of Brinker Capital Investments, LLC since 2021; Investment Manager of Brinker Capital Investments, LLC from 2017 to 2020; Senior Investment Analyst of Brinker Capital Investments, LLC from 2015 to 2017; Outreach Analyst of The Investment Fund for Foundations from 2014 to 2015; Senior Associate of Mondrian Investment Partners from 2011 to 2014. | |
Timothy Holland, CFA Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1969 | | | Investment Officer | | | Since June 2017 | | | Chief Investment Officer of Brinker Capital Investments, LLC since 2020; Senior Vice President and Global Investment Strategist of Brinker Capital Investments, LLC from 2017 to 2020; Co-Head US Sub Advisory of Pictet Asset Management in 2016; Portfolio Manager and Partner of TAMRO Capital Partners from 2005 to 2016. | |
Grant Engelbart, CFA, CAIA Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1987 | | | Investment Officer | | | Since March 2021 | | | Senior Portfolio Manager at Brinker Capital Investments, LLC since 2021; Senior Portfolio Manager and Director of Research at CLS Investments, LLC from 2018 to 2021; Portfolio Manager at CLS Investments, LLC from 2013 to 2018. | |
Patrick Amerson Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1994 | | | Investment Officer | | | Since December 2021 | | | Investment Analyst at Brinker Capital Investments, LLC since 2021; Client Service Representative at Brinker Capital Investments, LLC from 2019 to 2021; Operations Associate at Brinker Capital Investments, LLC from 2017-2019. | |
Michael Hadden Brinker Capital Investments, LLC 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1994 | | | Investment Officer | | | Since December 2021 | | | Portfolio Manager at Brinker Capital Investments, LLC since 2020; Investment Research Analyst at CLS Investments, LLC from 2018 to 2020; Junior Investment Analyst at CLS Investments LLC from 2017 to 2018. | |
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Core Fixed Income Fund | | |||||||||||||||
Ordinary Income: | | | | | | | |||||||||||||||||||||||||
Qualified Dividend Income for Individuals | | | | | 26.38% | | | | | | 6.93% | | | | | | 100.00% | | | | | | 100.00% | | | | | | — | | |
Dividends Qualifying for the Dividends Received | | | | | | | |||||||||||||||||||||||||
Deduction for Corporations | | | | | 25.22% | | | | | | 6.71% | | | | | | 9.45% | | | | | | 73.07% | | | | | | — | | |
Foreign Taxes Paid | | | | | — | | | | | | — | | | | | $ | 4,249,101 | | | | | | — | | | | | | — | | |
Foreign Source Income | | | | | — | | | | | | — | | | | | $ | 34,454,375 | | | | | | — | | | | | | — | | |
Foreign Tax Paid Per Share | | | | | — | | | | | | — | | | | | | 0.02 | | | | | | — | | | | | | — | | |
Foreign Source Income Per Share | | | | | — | | | | | | — | | | | | | 0.17 | | | | | | — | | | | | | — | | |
| | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | | Destinations Shelter Fund | | |||||||||||||||
Ordinary Income: | | | | | | | |||||||||||||||||||||||||
Qualified Dividend Income for Individuals | | | | | — | | | | | | — | | | | | | — | | | | | | 6.80% | | | | | | 100.00% | | |
Dividends Qualifying for the Dividends Received Deduction for Corporations | | | | | — | | | | | | — | | | | | | — | | | | | | 6.83% | | | | | | 100.00% | | |
Interest from Tax-Exempt Obligations | | | | | — | | | | | | — | | | | | | 100.00% | | | | | | — | | | | | | — | | |
1055 Westlakes Drive, Suite 250
Berwyn, PA 19312
www.brinkercapital.com
Three Canal Plaza, Suite 100
Portland, ME 04101
www.foreside.com
1701 Market Street
Philadelphia, PA 19103
www.morganlewis.com
1835 Market Street, 3rd Floor
Philadelphia, PA 19103
www.bbdcpa.com
(b) | Include a copy of each notice transmitted to stockholders in reliance on Rule 30e-3 under the Act (17 CFR 270.30e-3) that contains disclosures specified by paragraph (c)(3) of that rule. |
Not applicable.
ITEM 2. CODE OF ETHICS.
As of the period ended February 28, 2022 (“Reporting Period”), the Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (“Code”). The Registrant has not amended any provision in its Code that relates to an element of the Code’s definitions enumerated in paragraph (b) of Item 2 of this Form N-CSR. A copy of this Code is filed as an Exhibit to this Form N-CSR pursuant to Item 13(a)(1). The Registrant has not granted any waiver, including any implicit waiver, from a provision of its Code to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the Registrant has determined that Nicholas Marsini Jr. possesses the attributes identified in Instruction (b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert,” and has designated Mr. Marsini as the Registrant’s audit committee financial expert. Mr. Marsini is an “independent” Trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
AUDIT FEES –
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years ended February 28, 2022 and February 28, 2021 for professional services rendered by the Registrant’s principal accountant (“Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for each of the last two fiscal years, were $228,000 in 2022 and $209,000 in 2021.
(b) Audit-Related Fees. The aggregate fees billed for each of the last two fiscal years ended February 28, 2022 and February 28, 2021, for assurance and related services by the Auditor that were reasonably related to the performance of the audit of the Registrant’s financial statements and were not reported under paragraph (a) of this Item 4, were $0 in 2022 and $0 in 2021.
(c) Tax Fees. The aggregate fees billed for each of the last two fiscal years ended February 28, 2022 and February 28, 2021, for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $27,750 in 2022 and $25,000 in 2021. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held.
(d) All Other Fees. The aggregate fees billed for each of the last two fiscal years ended February 28, 2022 and February 28, 2021, for products and services provided by the Auditor to the Registrant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 for 2022 and $0 for 2021.
(e)(1) The Charter for the Audit Committee (“Committee”) of the Brinker Capital Destinations Trust provides that the Committee may pre-approve all audit and permitted non-audit services the independent auditor provides to a Fund, and all services that the independent auditor provides to the Fund’s investment adviser(s) and advisory affiliates (whether or not directly related to the Fund’s operations and financial reporting); except that (a) services provided to a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser, and (b) de minimis non-audit services, shall not require pre-approval
(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(c) of Rule 2-01 of Regulation S-X, with respect to: Audit-Related Fees were 0% for 2022 and 0% for 2021; Tax Fees were 0% for 2022 and 0% for 2021; and Other Fees were 0% for 2022 and 0% for 2021.
(f) Not Applicable.
(g) Aggregate non-audit fees billed by the Auditor for services rendered to the Registrant and the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management as is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for each of the last two fiscal years of the Registrant (“Service Affiliates”) were $0 for 2022 and $0 for 2021.
(h) The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the Auditor’s independence.
(i) A registrant identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form NCSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental basis documentation that establishes that the registrant is not owned or controlled by a governmental entity in the foreign jurisdiction. The registrant must submit this documentation on or before the due date for this form. A registrant that is owned or controlled by a foreign governmental entity is not required to submit such documentation.
Not Applicable.
(j) A registrant that is a foreign issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.
Not Applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. INVESTMENTS.
(a) | 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 N-CSR. |
(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 COMPANIES 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 Trustees, 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 (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 officer and principal financial officer, 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 (17 CFR 270.30a-3(c)) were effective, as of a date within 90 days of the filing date of this report, based on their evaluations of these disclosure controls and procedures as required by Rule 30a-3(b) under the Investment Company Act of 1940, as amended (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 Investment Company Act of 1940, as amended (17 CFR 270.30a-3(d)), that occurred during the Registrant’s last fiscal half year that have materially affected, or are 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.
Not Applicable.
ITEM 13. EXHIBITS.
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.
Brinker Capital Destinations Trust | ||
By: | /s/ Noreen D. Beaman | |
Noreen D. Beaman | ||
Chief Executive Officer | ||
Date: | May 6, 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: | /s/ Noreen D. Beaman | |
Noreen D. Beaman | ||
Chief Executive Officer | ||
Date: | May 6, 2022 |
Brinker Capital Destinations Trust | ||
By: | /s/ Kevin Fustos | |
Kevin Fustos | ||
Chief Financial Officer and Treasurer | ||
Date: | May 6, 2022 |