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 29, 2024
Date of reporting period:
March 1, 2023 – August 31, 2023
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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President, Brinker Capital Destinations Trust
August 31, 2023
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 | | | | | 11.90% | | | | | $ | 1,000.00 | | | | | $ | 1,118.99 | | | | | | 0.82% | | | | | $ | 4.38 | | |
Destinations Large Cap Equity Fund – Class Z | | | | | 12.02% | | | | | | 1,000.00 | | | | | | 1,120.21 | | | | | | 0.67% | | | | | | 3.58 | | |
Destinations Small-Mid Cap Equity Fund – Class I | | | | | 1.87% | | | | | | 1,000.00 | | | | | | 1,018.66 | | | | | | 1.15% | | | | | | 5.85 | | |
Destinations Small-Mid Cap Equity Fund – Class Z | | | | | 1.95% | | | | | | 1,000.00 | | | | | | 1,019.54 | | | | | | 1.00% | | | | | | 5.09 | | |
Destinations International Equity Fund – Class I | | | | | 5.12% | | | | | | 1,000.00 | | | | | | 1,051.19 | | | | | | 1.01% | | | | | | 5.22 | | |
Destinations International Equity Fund – Class Z | | | | | 5.24% | | | | | | 1,000.00 | | | | | | 1,052.42 | | | | | | 0.86% | | | | | | 4.45 | | |
Destinations Equity Income Fund – Class I | | | | | 0.33% | | | | | | 1,000.00 | | | | | | 1,003.32 | | | | | | 0.93% | | | | | | 4.70 | | |
Destinations Equity Income Fund – Class Z | | | | | 0.40% | | | | | | 1,000.00 | | | | | | 1,003.96 | | | | | | 0.78% | | | | | | 3.94 | | |
Destinations Core Fixed Income Fund – Class I | | | | | 0.76% | | | | | | 1,000.00 | | | | | | 1,007.56 | | | | | | 0.82% | | | | | | 4.15 | | |
Destinations Core Fixed Income Fund – Class Z | | | | | 0.79% | | | | | | 1,000.00 | | | | | | 1,007.95 | | | | | | 0.67% | | | | | | 3.39 | | |
Destinations Low Duration Fixed Income Fund – Class I | | | | | 2.56% | | | | | | 1,000.00 | | | | | | 1,025.55 | | | | | | 0.97% | | | | | | 4.95 | | |
Destinations Low Duration Fixed Income Fund – Class Z | | | | | 2.68% | | | | | | 1,000.00 | | | | | | 1,026.80 | | | | | | 0.82% | | | | | | 4.19 | | |
Destinations Global Fixed Income Opportunities Fund – Class I | | | | | 2.56% | | | | | | 1,000.00 | | | | | | 1,025.65 | | | | | | 0.99% | | | | | | 5.05 | | |
Destinations Global Fixed Income Opportunities Fund – Class Z | | | | | 2.59% | | | | | | 1,000.00 | | | | | | 1,025.89 | | | | | | 0.84% | | | | | | 4.29 | | |
Destinations Municipal Fixed Income Fund – Class I | | | | | 0.95% | | | | | | 1,000.00 | | | | | | 1,009.49 | | | | | | 0.78% | | | | | | 3.95 | | |
Destinations Municipal Fixed Income Fund – Class Z | | | | | 1.02% | | | | | | 1,000.00 | | | | | | 1,010.20 | | | | | | 0.63% | | | | | | 3.19 | | |
Destinations Multi Strategy Alternatives Fund – Class I | | | | | 3.85% | | | | | | 1,000.00 | | | | | | 1,038.52 | | | | | | 1.29% | | | | | | 6.63 | | |
Destinations Multi Strategy Alternatives Fund – Class Z | | | | | 3.80% | | | | | | 1,000.00 | | | | | | 1,037.99 | | | | | | 1.14% | | | | | | 5.86 | | |
Destinations Shelter Fund – Class I | | | | | 11.44% | | | | | | 1,000.00 | | | | | | 1,114.35 | | | | | | 1.22% | | | | | | 6.50 | | |
Destinations Shelter Fund – Class Z | | | | | 11.39% | | | | | | 1,000.00 | | | | | | 1,113.90 | | | | | | 1.08% | | | | | | 5.75 | | |
Fund | | | Hypothetical Annualized Total Return | | | Beginning Account Value | | | Ending Account Value | | | Avg | | | Annualized Expense Ratios(2) | | | Expense Paid During the Period(3) | | ||||||||||||||||||
Destinations Large Cap Equity Fund – Class I | | | | | 5.00% | | | | | $ | 1,000.00 | | | | | $ | 1,021.07 | | | | | | 1,010.54 | | | | | | 0.82% | | | | | $ | 4.18 | | |
Destinations Large Cap Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.83 | | | | | | 1,010.91 | | | | | | 0.67% | | | | | | 3.41 | | |
Destinations Small-Mid Cap Equity Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.41 | | | | | | 1,009.70 | | | | | | 1.15% | | | | | | 5.85 | | |
Destinations Small-Mid Cap Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.16 | | | | | | 1,010.08 | | | | | | 1.00% | | | | | | 5.09 | | |
Destinations International Equity Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.11 | | | | | | 1,010.06 | | | | | | 1.01% | | | | | | 5.14 | | |
Destinations International Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.87 | | | | | | 1,010.44 | | | | | | 0.86% | | | | | | 4.38 | | |
Destinations Equity Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.52 | | | | | | 1,010.26 | | | | | | 0.93% | | | | | | 4.74 | | |
Destinations Equity Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.27 | | | | | | 1,010.64 | | | | | | 0.78% | | | | | | 3.97 | | |
Destinations Core Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.07 | | | | | | 1,010.54 | | | | | | 0.82% | | | | | | 4.18 | | |
Destinations Core Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.83 | | | | | | 1,010.91 | | | | | | 0.67% | | | | | | 3.41 | | |
Destinations Low Duration Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.32 | | | | | | 1,010.16 | | | | | | 0.97% | | | | | | 4.94 | | |
Destinations Low Duration Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.07 | | | | | | 1,010.54 | | | | | | 0.82% | | | | | | 4.18 | | |
Destinations Global Fixed Income Opportunities Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.21 | | | | | | 1,010.11 | | | | | | 0.99% | | | | | | 5.04 | | |
Destinations Global Fixed Income Opportunities Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.97 | | | | | | 1,010.49 | | | | | | 0.84% | | | | | | 4.28 | | |
Destinations Municipal Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.27 | | | | | | 1,010.64 | | | | | | 0.78% | | | | | | 3.97 | | |
Destinations Municipal Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,022.03 | | | | | | 1,011.01 | | | | | | 0.63% | | | | | | 3.21 | | |
Destinations Multi Strategy Alternatives Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,018.70 | | | | | | 1,009.35 | | | | | | 1.29% | | | | | | 6.56 | | |
Destinations Multi Strategy Alternatives Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.46 | | | | | | 1,009.73 | | | | | | 1.14% | | | | | | 5.80 | | |
Destinations Shelter Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.06 | | | | | | 1,009.53 | | | | | | 1.22% | | | | | | 6.21 | | |
Destinations Shelter Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.76 | | | | | | 1,009.88 | | | | | | 1.08% | | | | | | 5.50 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 97.2% | | ||||||||||||
| BASIC MATERIALS – 1.4% | | ||||||||||||
| Chemicals – 0.6% | | ||||||||||||
| | | 1,627 | | | | Air Products & Chemicals Inc. | | | | $ | 480,762 | | |
| | | 858 | | | | Albemarle Corp. | | | | | 170,493 | | |
| | | 715 | | | | Celanese Corp., Class A Shares | | | | | 90,347 | | |
| | | 1,406 | | | | CF Industries Holdings Inc. | | | | | 108,360 | | |
| | | 5,165 | | | | Dow Inc. | | | | | 281,802 | | |
| | | 3,357 | | | | DuPont de Nemours Inc. | | | | | 258,120 | | |
| | | 87,156 | | | | Eastman Chemical Co. | | | | | 7,409,132 | | |
| | | 1,816 | | | | Ecolab Inc. | | | | | 333,799 | | |
| | | 926 | | | | FMC Corp. | | | | | 79,849 | | |
| | | 1,869 | | | | International Flavors & Fragrances Inc. | | | | | 131,671 | | |
| | | 14,370 | | | | Linde PLC | | | | | 5,561,765 | | |
| | | 75,031 | | | | LyondellBasell Industries NV, Class A Shares | | | | | 7,410,812 | | |
| | | 2,581 | | | | Mosaic Co. | | | | | 100,272 | | |
| | | 1,722 | | | | PPG Industries Inc. | | | | | 244,111 | | |
| | | 1,728 | | | | Sherwin-Williams Co. | | | | | 469,532 | | |
| | | | | | | Total Chemicals | | | | | 23,130,827 | | |
| Forest Products & Paper – 0.2% | | ||||||||||||
| | | 211,872 | | | | International Paper Co. | | | | | 7,398,570 | | |
| Iron/Steel – 0.0% | | ||||||||||||
| | | 1,854 | | | | Nucor Corp. | | | | | 319,073 | | |
| | | 1,223 | | | | Steel Dynamics Inc. | | | | | 130,360 | | |
| | | | | | | Total Iron/Steel | | | | | 449,433 | | |
| Mining – 0.6% | | ||||||||||||
| | | 610,014 | | | | Freeport-McMoRan Inc. | | | | | 24,345,659 | | |
| | | 5,816 | | | | Newmont Corp. | | | | | 229,267 | | |
| | | | | | | Total Mining | | | | | 24,574,926 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 55,553,756 | | |
| COMMUNICATIONS – 11.8% | | ||||||||||||
| Advertising – 0.5% | | ||||||||||||
| | | 273,321 | | | | Interpublic Group of Cos., Inc. | | | | | 8,912,998 | | |
| | | 111,033 | | | | Omnicom Group Inc. | | | | | 8,994,783 | | |
| | | 33,711 | | | | Trade Desk Inc., Class A Shares* | | | | | 2,697,891 | | |
| | | | | | | Total Advertising | | | | | 20,605,672 | | |
| Internet – 8.3% | | ||||||||||||
| | | 443,854 | | | | Alphabet Inc., Class A Shares* | | | | | 60,439,599 | | |
| | | 224,817 | | | | Alphabet Inc., Class C Shares* | | | | | 30,878,615 | | |
| | | 679,718 | | | | Amazon.com Inc.* | | | | | 93,807,881 | | |
| | | 10,966 | | | | Booking Holdings Inc.* | | | | | 34,049,759 | | |
| | | 992 | | | | CDW Corp. | | | | | 209,461 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Internet – (continued) | | ||||||||||||
| | | 202,513 | | | | Coupang Inc., Class A Shares* | | | | $ | 3,843,697 | | |
| | | 3,976 | | | | eBay Inc. | | | | | 178,045 | | |
| | | 92,496 | | | | Etsy Inc.* | | | | | 6,804,931 | | |
| | | 1,085 | | | | Expedia Group Inc.* | | | | | 117,603 | | |
| | | 429 | | | | F5 Inc.* | | | | | 70,210 | | |
| | | 4,153 | | | | Gen Digital Inc. | | | | | 84,098 | | |
| | | 163,162 | | | | Match Group Inc.* | | | | | 7,647,403 | | |
| | | 110,310 | | | | Meta Platforms Inc., Class A Shares* | | | | | 32,639,626 | | |
| | | 23,235 | | | | Netflix Inc.* | | | | | 10,076,555 | | |
| | | 113,867 | | | | Palo Alto Networks Inc.* | | | | | 27,703,841 | | |
| | | 136,894 | | | | Pinterest Inc., Class A Shares* | | | | | 3,763,216 | | |
| | | 54,797 | | | | Shopify Inc., Class A Shares* | | | | | 3,643,452 | | |
| | | 28,095 | | | | Spotify Technology SA* | | | | | 4,325,787 | | |
| | | 35,548 | | | | VeriSign Inc.* | | | | | 7,386,519 | | |
| | | | | | | Total Internet | | | | | 327,670,298 | | |
| Media – 1.0% | | ||||||||||||
| | | 77,103 | | | | Charter Communications Inc., Class A Shares* | | | | | 33,780,366 | | |
| | | 30,493 | | | | Comcast Corp., Class A Shares | | | | | 1,425,853 | | |
| | | 280 | | | | FactSet Research Systems Inc. | | | | | 122,195 | | |
| | | 216,785 | | | | Fox Corp., Class A Shares | | | | | 7,166,912 | | |
| | | 1,266 | | | | Fox Corp., Class B Shares | | | | | 38,638 | | |
| | | 2,739 | | | | News Corp., Class A Shares | | | | | 58,861 | | |
| | | 845 | | | | News Corp., Class B Shares | | | | | 18,590 | | |
| | | 3,618 | | | | Paramount Global, Class B Shares | | | | | 54,596 | | |
| | | 13,385 | | | | Walt Disney Co.* | | | | | 1,120,057 | | |
| | | 16,191 | | | | Warner Bros Discovery Inc.* | | | | | 212,750 | | |
| | | | | | | Total Media | | | | | 43,998,818 | | |
| Telecommunications – 2.0% | | ||||||||||||
| | | 1,814 | | | | Arista Networks Inc.* | | | | | 354,147 | | |
| | | 52,226 | | | | AT&T Inc. | | | | | 772,422 | | |
| | | 505,305 | | | | Cisco Systems Inc. | | | | | 28,979,242 | | |
| | | 5,577 | | | | Corning Inc. | | | | | 183,037 | | |
| | | 2,325 | | | | Juniper Networks Inc. | | | | | 67,704 | | |
| | | 26,708 | | | | Motorola Solutions Inc. | | | | | 7,573,588 | | |
| | | 316,511 | | | | T-Mobile US Inc.* | | | | | 43,124,624 | | |
| | | 30,772 | | | | Verizon Communications Inc. | | | | | 1,076,405 | | |
| | | | | | | Total Telecommunications | | | | | 82,131,169 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 474,405,957 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – 9.4% | | ||||||||||||
| Airlines – 0.2% | | ||||||||||||
| | | 909 | | | | Alaska Air Group Inc.* | | | | $ | 38,151 | | |
| | | 4,656 | | | | American Airlines Group Inc.* | | | | | 68,583 | | |
| | | 4,698 | | | | Delta Air Lines Inc. | | | | | 201,450 | | |
| | | 4,354 | | | | Southwest Airlines Co. | | | | | 137,586 | | |
| | | 141,471 | | | | United Airlines Holdings Inc.* | | | | | 7,046,671 | | |
| | | | | | | Total Airlines | | | | | 7,492,441 | | |
| Apparel – 0.7% | | ||||||||||||
| | | 283,208 | | | | NIKE Inc., Class B Shares | | | | | 28,805,086 | | |
| | | 294 | | | | Ralph Lauren Corp., Class A Shares | | | | | 34,289 | | |
| | | 1,726 | | | | Tapestry Inc. | | | | | 57,510 | | |
| | | 2,366 | | | | VF Corp. | | | | | 46,752 | | |
| | | | | | | Total Apparel | | | | | 28,943,637 | | |
| Auto Manufacturers – 1.1% | | ||||||||||||
| | | 31,671 | | | | Cummins Inc. | | | | | 7,285,597 | | |
| | | 13,563 | | | | Ferrari NV | | | | | 4,309,508 | | |
| | | 28,687 | | | | Ford Motor Co. | | | | | 347,973 | | |
| | | 244,036 | | | | General Motors Co. | | | | | 8,177,646 | | |
| | | 3,825 | | | | PACCAR Inc. | | | | | 314,759 | | |
| | | 342,058 | | | | Rivian Automotive Inc., Class A Shares* | | | | | 7,774,978 | | |
| | | 56,880 | | | | Tesla Inc.* | | | | | 14,679,590 | | |
| | | | | | | Total Auto Manufacturers | | | | | 42,890,051 | | |
| Auto Parts & Equipment – 0.5% | | ||||||||||||
| | | 128,191 | | | | Aptiv PLC* | | | | | 13,004,977 | | |
| | | 219,547 | | | | Aurora Innovation Inc., Class A Shares* | | | | | 695,964 | | |
| | | 1,678 | | | | BorgWarner Inc. | | | | | 68,378 | | |
| | | 223,570 | | | | Mobileye Global Inc., Class A Shares* | | | | | 7,938,971 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 21,708,290 | | |
| Distribution/Wholesale – 1.4% | | ||||||||||||
| | | 6,282 | | | | Copart Inc.* | | | | | 281,622 | | |
| | | 4,182 | | | | Fastenal Co. | | | | | 240,800 | | |
| | | 115,829 | | | | Ferguson PLC | | | | | 18,713,333 | | |
| | | 682,147 | | | | LKQ Corp. | | | | | 35,833,182 | | |
| | | 280 | | | | Pool Corp. | | | | | 102,368 | | |
| | | 329 | | | | WW Grainger Inc. | | | | | 234,952 | | |
| | | | | | | Total Distribution/Wholesale | | | | | 55,406,257 | | |
| Entertainment – 0.5% | | ||||||||||||
| | | 1,537 | | | | Caesars Entertainment Inc.* | | | | | 84,935 | | |
| | | 346,853 | | | | International Game Technology PLC | | | | | 11,106,233 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Entertainment – (continued) | | ||||||||||||
| | | 85,326 | | | | Live Nation Entertainment Inc.* | | | | $ | 7,212,607 | | |
| | | | | | | Total Entertainment | | | | | 18,403,775 | | |
| Home Builders – 0.0% | | ||||||||||||
| | | 2,290 | | | | DR Horton Inc. | | | | | 272,556 | | |
| | | 1,858 | | | | Lennar Corp., Class A Shares | | | | | 221,269 | | |
| | | 22 | | | | NVR Inc.* | | | | | 140,301 | | |
| | | 1,653 | | | | PulteGroup Inc. | | | | | 135,645 | | |
| | | | | | | Total Home Builders | | | | | 769,771 | | |
| Home Furnishings – 0.2% | | ||||||||||||
| | | 95,483 | | | | Dolby Laboratories Inc., Class A Shares | | | | | 8,065,449 | | |
| | | 390 | | | | Whirlpool Corp. | | | | | 54,584 | | |
| | | | | | | Total Home Furnishings | | | | | 8,120,033 | | |
| Housewares – 0.0% | | ||||||||||||
| | | 2,696 | | | | Newell Brands Inc. | | | | | 28,524 | | |
| Leisure Time – 0.0% | | ||||||||||||
| | | 7,174 | | | | Carnival Corp.* | | | | | 113,493 | | |
| | | 3,019 | | | | Norwegian Cruise Line Holdings Ltd.* | | | | | 50,025 | | |
| | | 1,608 | | | | Royal Caribbean Cruises Ltd.* | | | | | 159,096 | | |
| | | | | | | Total Leisure Time | | | | | 322,614 | | |
| Lodging – 0.6% | | ||||||||||||
| | | 1,952 | | | | Hilton Worldwide Holdings Inc. | | | | | 290,165 | | |
| | | 435,052 | | | | Las Vegas Sands Corp. | | | | | 23,866,953 | | |
| | | 1,892 | | | | Marriott International Inc., Class A Shares | | | | | 385,041 | | |
| | | 2,344 | | | | MGM Resorts International | | | | | 103,089 | | |
| | | 739 | | | | Wynn Resorts Ltd. | | | | | 74,920 | | |
| | | | | | | Total Lodging | | | | | 24,720,168 | | |
| Retail – 4.0% | | ||||||||||||
| | | 137 | | | | AutoZone Inc.* | | | | | 346,792 | | |
| | | 1,636 | | | | Bath & Body Works Inc. | | | | | 60,319 | | |
| | | 1,458 | | | | Best Buy Co., Inc. | | | | | 111,464 | | |
| | | 631,133 | | | | BJ’s Wholesale Club Holdings Inc.* | | | | | 42,532,053 | | |
| | | 1,132 | | | | CarMax Inc.* | | | | | 92,462 | | |
| | | 13,419 | | | | Chipotle Mexican Grill Inc., Class A Shares* | | | | | 25,853,582 | | |
| | | 52,375 | | | | Costco Wholesale Corp. | | | | | 28,768,540 | | |
| | | 892 | | | | Darden Restaurants Inc. | | | | | 138,715 | | |
| | | 1,638 | | | | Dollar General Corp. | | | | | 226,863 | | |
| | | 125,429 | | | | Dollar Tree Inc.* | | | | | 15,347,492 | | |
| | | 18,523 | | | | Domino’s Pizza Inc. | | | | | 7,175,810 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Retail – (continued) | | ||||||||||||
| | | 12,542 | | | | Floor & Decor Holdings Inc., Class A Shares* | | | | $ | 1,250,437 | | |
| | | 1,033 | | | | Genuine Parts Co. | | | | | 158,803 | | |
| | | 7,423 | | | | Home Depot Inc. | | | | | 2,451,817 | | |
| | | 4,369 | | | | Lowe’s Cos., Inc. | | | | | 1,006,967 | | |
| | | 46,893 | | | | Lululemon Athletica Inc.* | | | | | 17,878,425 | | |
| | | 5,366 | | | | McDonald’s Corp. | | | | | 1,508,651 | | |
| | | 457 | | | | O’Reilly Automotive Inc.* | | | | | 429,443 | | |
| | | 41,133 | | | | Ross Stores Inc. | | | | | 5,010,411 | | |
| | | 8,421 | | | | Starbucks Corp. | | | | | 820,542 | | |
| | | 3,373 | | | | Target Corp. | | | | | 426,853 | | |
| | | 8,466 | | | | TJX Cos., Inc. | | | | | 782,936 | | |
| | | 809 | | | | Tractor Supply Co. | | | | | 176,767 | | |
| | | 377 | | | | Ulta Beauty Inc.* | | | | | 156,466 | | |
| | | 5,250 | | | | Walgreens Boots Alliance Inc. | | | | | 132,878 | | |
| | | 10,275 | | | | Walmart Inc. | | | | | 1,670,818 | | |
| | | 55,940 | | | | Yum! Brands Inc. | | | | | 7,237,517 | | |
| | | | | | | Total Retail | | | | | 161,753,823 | | |
| Toys/Games/Hobbies – 0.2% | | ||||||||||||
| | | 80,804 | | | | Hasbro Inc. | | | | | 5,817,888 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 376,377,272 | | |
| CONSUMER NON-CYCLICAL – 23.2% | | ||||||||||||
| Agriculture – 0.7% | | ||||||||||||
| | | 179,945 | | | | Altria Group Inc. | | | | | 7,957,168 | | |
| | | 4,008 | | | | Archer-Daniels-Midland Co. | | | | | 317,834 | | |
| | | 105,114 | | | | Bunge Ltd. | | | | | 12,016,632 | | |
| | | 100,639 | | | | Philip Morris International Inc. | | | | | 9,667,382 | | |
| | | | | | | Total Agriculture | | | | | 29,959,016 | | |
| Beverages – 1.5% | | ||||||||||||
| | | 104,647 | | | | Brown-Forman Corp., Class B Shares | | | | | 6,920,306 | | |
| | | 28,517 | | | | Coca-Cola Co. | | | | | 1,706,172 | | |
| | | 18,840 | | | | Constellation Brands Inc., Class A Shares | | | | | 4,908,950 | | |
| | | 1,289,064 | | | | Keurig Dr Pepper Inc. | | | | | 43,377,004 | | |
| | | 1,347 | | | | Molson Coors Beverage Co., Class B Shares | | | | | 85,521 | | |
| | | 5,581 | | | | Monster Beverage Corp.* | | | | | 320,405 | | |
| | | 10,091 | | | | PepsiCo Inc. | | | | | 1,795,391 | | |
| | | | | | | Total Beverages | | | | | 59,113,749 | | |
| Biotechnology – 3.7% | | ||||||||||||
| | | 31,380 | | | | Alnylam Pharmaceuticals Inc.* | | | | | 6,207,592 | | |
| | | 3,912 | | | | Amgen Inc. | | | | | 1,002,802 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Biotechnology – (continued) | | ||||||||||||
| | | 8,395 | | | | Argenx SE, ADR* | | | | $ | 4,218,404 | | |
| | | 54,055 | | | | Biogen Inc.* | | | | | 14,452,145 | | |
| | | 354,729 | | | | BioMarin Pharmaceutical Inc.* | | | | | 32,415,136 | | |
| | | 154 | | | | Bio-Rad Laboratories Inc., Class A Shares* | | | | | 61,631 | | |
| | | 5,223 | | | | Corteva Inc. | | | | | 263,814 | | |
| | | 278,052 | | | | Gilead Sciences Inc. | | | | | 21,265,417 | | |
| | | 111,993 | | | | Illumina Inc.* | | | | | 18,503,483 | | |
| | | 112,659 | | | | Incyte Corp.* | | | | | 7,269,885 | | |
| | | 22,869 | | | | Legend Biotech Corp., ADR* | | | | | 1,586,194 | | |
| | | 2,421 | | | | Moderna Inc.* | | | | | 273,742 | | |
| | | 19,506 | | | | Regeneron Pharmaceuticals Inc.* | | | | | 16,121,514 | | |
| | | 93,000 | | | | Sarepta Therapeutics Inc.* | | | | | 11,253,930 | | |
| | | 34,123 | | | | Vertex Pharmaceuticals Inc.* | | | | | 11,886,406 | | |
| | | | | | | Total Biotechnology | | | | | 146,782,095 | | |
| Commercial Services – 2.1% | | ||||||||||||
| | | 3,036 | | | | Automatic Data Processing Inc. | | | | | 772,996 | | |
| | | 4,143 | | | | Cintas Corp. | | | | | 2,088,776 | | |
| | | 348,541 | | | | CoStar Group Inc.* | | | | | 28,576,877 | | |
| | | 37,821 | | | | Equifax Inc. | | | | | 7,817,601 | | |
| | | 540 | | | | FleetCor Technologies Inc.* | | | | | 146,734 | | |
| | | 579 | | | | Gartner Inc.* | | | | | 202,465 | | |
| | | 1,928 | | | | Global Payments Inc. | | | | | 244,258 | | |
| | | 30,919 | | | | MarketAxess Holdings Inc. | | | | | 7,449,315 | | |
| | | 1,154 | | | | Moody’s Corp. | | | | | 388,667 | | |
| | | 8,289 | | | | PayPal Holdings Inc.* | | | | | 518,145 | | |
| | | 147,600 | | | | Quanta Services Inc. | | | | | 30,976,812 | | |
| | | 777 | | | | Robert Half Inc. | | | | | 57,467 | | |
| | | 1,658 | | | | Rollins Inc. | | | | | 65,607 | | |
| | | 2,412 | | | | S&P Global Inc. | | | | | 942,754 | | |
| | | 38,699 | | | | TransUnion | | | | | 3,143,133 | | |
| | | 508 | | | | United Rentals Inc. | | | | | 242,082 | | |
| | | 1,062 | | | | Verisk Analytics Inc., Class A Shares | | | | | 257,238 | | |
| | | | | | | Total Commercial Services | | | | | 83,890,927 | | |
| Cosmetics/Personal Care – 0.6% | | ||||||||||||
| | | 6,120 | | | | Colgate-Palmolive Co. | | | | | 449,636 | | |
| | | 1,697 | | | | Estee Lauder Cos., Inc., Class A Shares | | | | | 272,419 | | |
| | | 808,700 | | | | Kenvue Inc. | | | | | 18,640,535 | | |
| | | 35,590 | | | | Procter & Gamble Co. | | | | | 5,492,961 | | |
| | | | | | | Total Cosmetics/Personal Care | | | | | 24,855,551 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Food – 1.8% | | ||||||||||||
| | | 1,439 | | | | Campbell Soup Co. | | | | $ | 60,006 | | |
| | | 3,507 | | | | Conagra Brands Inc. | | | | | 104,789 | | |
| | | 4,320 | | | | General Mills Inc. | | | | | 292,291 | | |
| | | 1,077 | | | | Hershey Co. | | | | | 231,404 | | |
| | | 2,074 | | | | Hormel Foods Corp. | | | | | 80,036 | | |
| | | 781 | | | | JM Smucker Co. | | | | | 113,206 | | |
| | | 1,875 | | | | Kellogg Co. | | | | | 114,413 | | |
| | | 5,834 | | | | Kraft Heinz Co. | | | | | 193,047 | | |
| | | 749,380 | | | | Kroger Co. | | | | | 34,763,738 | | |
| | | 1,054 | | | | Lamb Weston Holdings Inc. | | | | | 102,670 | | |
| | | 1,837 | | | | McCormick & Co., Inc. | | | | | 150,781 | | |
| | | 9,989 | | | | Mondelez International Inc., Class A Shares | | | | | 711,816 | | |
| | | 286,620 | | | | Nestle SA, ADR(a) | | | | | 34,431,661 | | |
| | | 3,719 | | | | Sysco Corp. | | | | | 259,028 | | |
| | | 2,136 | | | | Tyson Foods Inc., Class A Shares | | | | | 113,785 | | |
| | | | | | | Total Food | | | | | 71,722,671 | | |
| Healthcare-Products – 5.8% | | ||||||||||||
| | | 12,775 | | | | Abbott Laboratories | | | | | 1,314,548 | | |
| | | 96,911 | | | | Alcon Inc. | | | | | 8,042,644 | | |
| | | 532 | | | | Align Technology Inc.* | | | | | 196,915 | | |
| | | 94,952 | | | | Avantor Inc.* | | | | | 2,055,711 | | |
| | | 141,571 | | | | Baxter International Inc. | | | | | 5,747,783 | | |
| | | 1,125 | | | | Bio-Techne Corp. | | | | | 88,200 | | |
| | | 295,036 | | | | Boston Scientific Corp.* | | | | | 15,914,242 | | |
| | | 25,254 | | | | Cooper Cos., Inc. | | | | | 9,343,727 | | |
| | | 141,723 | | | | Danaher Corp. | | | | | 37,556,595 | | |
| | | 1,540 | | | | DENTSPLY SIRONA Inc. | | | | | 57,119 | | |
| | | 94,727 | | | | Edwards Lifesciences Corp.* | | | | | 7,243,774 | | |
| | | 292,961 | | | | Exact Sciences Corp.* | | | | | 24,512,047 | | |
| | | 115,747 | | | | GE HealthCare Technologies Inc. | | | | | 8,154,376 | | |
| | | 92,392 | | | | Globus Medical Inc., Class A Shares* | | | | | 4,998,407 | | |
| | | 98,326 | | | | Hologic Inc.* | | | | | 7,348,885 | | |
| | | 607 | | | | IDEXX Laboratories Inc.* | | | | | 310,426 | | |
| | | 107,051 | | | | Insulet Corp.* | | | | | 20,522,747 | | |
| | | 139,412 | | | | Intuitive Surgical Inc.* | | | | | 43,591,344 | | |
| | | 375,542 | | | | Medtronic PLC | | | | | 30,606,673 | | |
| | | 1,076 | | | | ResMed Inc. | | | | | 171,719 | | |
| | | 929 | | | | Revvity Inc. | | | | | 108,721 | | |
| | | 727 | | | | STERIS PLC | | | | | 166,912 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Healthcare-Products – (continued) | | ||||||||||||
| | | 8,911 | | | | Stryker Corp. | | | | $ | 2,526,714 | | |
| | | 336 | | | | Teleflex Inc. | | | | | 71,481 | | |
| | | 10,130 | | | | Thermo Fisher Scientific Inc. | | | | | 5,643,423 | | |
| | | 438 | | | | Waters Corp.* | | | | | 122,990 | | |
| | | 542 | | | | West Pharmaceutical Services Inc. | | | | | 220,540 | | |
| | | 1,538 | | | | Zimmer Biomet Holdings Inc. | | | | | 183,207 | | |
| | | | | | | Total Healthcare-Products | | | | | 236,821,870 | | |
| Healthcare-Services – 2.6% | | ||||||||||||
| | | 1,289 | | | | Catalent Inc.* | | | | | 64,411 | | |
| | | 189,993 | | | | Centene Corp.* | | | | | 11,713,068 | | |
| | | 365 | | | | Charles River Laboratories International Inc.* | | | | | 75,489 | | |
| | | 68,303 | | | | DaVita Inc.* | | | | | 6,995,593 | | |
| | | 1,750 | | | | Elevance Health Inc. | | | | | 773,518 | | |
| | | 1,506 | | | | HCA Healthcare Inc. | | | | | 417,614 | | |
| | | 11,760 | | | | Humana Inc. | | | | | 5,428,769 | | |
| | | 1,361 | | | | IQVIA Holdings Inc.* | | | | | 302,999 | | |
| | | 33,970 | | | | Laboratory Corp. of America Holdings | | | | | 7,069,157 | | |
| | | 23,157 | | | | Molina Healthcare Inc.* | | | | | 7,181,449 | | |
| | | 54,571 | | | | Quest Diagnostics Inc. | | | | | 7,176,087 | | |
| | | 113,160 | | | | UnitedHealth Group Inc. | | | | | 53,929,793 | | |
| | | 460 | | | | Universal Health Services Inc., Class B Shares | | | | | 61,962 | | |
| | | | | | | Total Healthcare-Services | | | | | 101,189,909 | | |
| Household Products/Wares – 0.0% | | ||||||||||||
| | | 596 | | | | Avery Dennison Corp. | | | | | 112,274 | | |
| | | 1,787 | | | | Church & Dwight Co., Inc. | | | | | 172,928 | | |
| | | 905 | | | | Clorox Co. | | | | | 141,587 | | |
| | | 2,473 | | | | Kimberly-Clark Corp. | | | | | 318,597 | | |
| | | | | | | Total Household Products/Wares | | | | | 745,386 | | |
| Pharmaceuticals – 4.4% | | ||||||||||||
| | | 154,737 | | | | AbbVie Inc. | | | | | 22,740,150 | | |
| | | 114,449 | | | | Becton Dickinson & Co. | | | | | 31,982,773 | | |
| | | 15,578 | | | | Bristol-Myers Squibb Co. | | | | | 960,384 | | |
| | | 1,888 | | | | Cardinal Health Inc. | | | | | 164,879 | | |
| | | 1,186 | | | | Cencora Inc. | | | | | 208,712 | | |
| | | 20,855 | | | | Cigna Group | | | | | 5,761,402 | | |
| | | 9,409 | | | | CVS Health Corp. | | | | | 613,185 | | |
| | | 104,204 | | | | DexCom Inc.* | | | | | 10,522,520 | | |
| | | 108,507 | | | | Eli Lilly & Co. | | | | | 60,134,579 | | |
| | | 971 | | | | Henry Schein Inc.* | | | | | 74,320 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Pharmaceuticals – (continued) | | ||||||||||||
| | | 17,671 | | | | Johnson & Johnson | | | | $ | 2,857,047 | | |
| | | 29,816 | | | | McKesson Corp. | | | | | 12,293,733 | | |
| | | 18,577 | | | | Merck & Co., Inc. | | | | | 2,024,521 | | |
| | | 316,807 | | | | Organon & Co. | | | | | 6,957,082 | | |
| | | 41,128 | | | | Pfizer Inc. | | | | | 1,455,109 | | |
| | | 201,446 | | | | Sanofi, ADR | | | | | 10,712,898 | | |
| | | 8,688 | | | | Viatris Inc. | | | | | 93,396 | | |
| | | 15,468 | | | | Zoetis Inc., Class A Shares | | | | | 2,946,809 | | |
| | | | | | | Total Pharmaceuticals | | | | | 172,503,499 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 927,584,673 | | |
| ENERGY – 6.0% | | ||||||||||||
| Energy-Alternate Sources – 0.0% | | ||||||||||||
| | | 996 | | | | Enphase Energy Inc.* | | | | | 126,024 | | |
| | | 726 | | | | First Solar Inc.* | | | | | 137,301 | | |
| | | 400 | | | | SolarEdge Technologies Inc.* | | | | | 65,028 | | |
| | | | | | | Total Energy-Alternate Sources | | | | | 328,353 | | |
| Oil & Gas – 5.5% | | ||||||||||||
| | | 2,303 | | | | APA Corp. | | | | | 100,963 | | |
| | | 13,058 | | | | Chevron Corp. | | | | | 2,103,644 | | |
| | | 169,585 | | | | ConocoPhillips | | | | | 20,185,703 | | |
| | | 5,777 | | | | Coterra Energy Inc. | | | | | 162,854 | | |
| | | 4,790 | | | | Devon Energy Corp. | | | | | 244,721 | | |
| | | 1,362 | | | | Diamondback Energy Inc. | | | | | 206,724 | | |
| | | 181,789 | | | | EOG Resources Inc. | | | | | 23,381,701 | | |
| | | 526,203 | | | | EQT Corp. | | | | | 22,742,494 | | |
| | | 29,663 | | | | Exxon Mobil Corp. | | | | | 3,298,229 | | |
| | | 152,239 | | | | Hess Corp. | | | | | 23,520,925 | | |
| | | 4,671 | | | | Marathon Oil Corp. | | | | | 123,081 | | |
| | | 179,155 | | | | Marathon Petroleum Corp. | | | | | 25,577,959 | | |
| | | 537,802 | | | | Occidental Petroleum Corp. | | | | | 33,768,588 | | |
| | | 3,414 | | | | Phillips 66 | | | | | 389,742 | | |
| | | 1,741 | | | | Pioneer Natural Resources Co. | | | | | 414,236 | | |
| | | 344,781 | | | | Shell PLC, ADR | | | | | 21,407,452 | | |
| | | 734,804 | | | | Suncor Energy Inc. | | | | | 24,895,159 | | |
| | | 209,553 | | | | Valaris Ltd.* | | | | | 15,783,532 | | |
| | | 2,653 | | | | Valero Energy Corp. | | | | | 344,625 | | |
| | | | | | | Total Oil & Gas | | | | | 218,652,332 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| ENERGY – (continued) | | ||||||||||||
| Oil & Gas Services – 0.5% | | ||||||||||||
| | | 7,371 | | | | Baker Hughes Co., Class A Shares | | | | $ | 266,756 | | |
| | | 6,624 | | | | Halliburton Co. | | | | | 255,819 | | |
| | | 334,009 | | | | Schlumberger NV | | | | | 19,693,171 | | |
| | | | | | | Total Oil & Gas Services | | | | | 20,215,746 | | |
| Pipelines – 0.0% | | ||||||||||||
| | | 14,494 | | | | Kinder Morgan Inc. | | | | | 249,587 | | |
| | | 3,275 | | | | ONEOK Inc. | | | | | 213,530 | | |
| | | 1,659 | | | | Targa Resources Corp. | | | | | 143,089 | | |
| | | 8,924 | | | | Williams Cos., Inc. | | | | | 308,146 | | |
| | | | | | | Total Pipelines | | | | | 914,352 | | |
| | | | | | | TOTAL ENERGY | | | | | 240,110,783 | | |
| FINANCIAL – 17.1% | | ||||||||||||
| Banks – 2.1% | | ||||||||||||
| | | 51,138 | | | | Bank of America Corp. | | | | | 1,466,126 | | |
| | | 5,389 | | | | Bank of New York Mellon Corp. | | | | | 241,804 | | |
| | | 14,191 | | | | Citigroup Inc. | | | | | 585,946 | | |
| | | 3,528 | | | | Citizens Financial Group Inc. | | | | | 99,243 | | |
| | | 938 | | | | Comerica Inc. | | | | | 45,127 | | |
| | | 5,007 | | | | Fifth Third Bancorp | | | | | 132,936 | | |
| | | 28,942 | | | | Goldman Sachs Group Inc. | | | | | 9,484,583 | | |
| | | 10,573 | | | | Huntington Bancshares Inc. | | | | | 117,255 | | |
| | | 311,836 | | | | JPMorgan Chase & Co. | | | | | 45,630,962 | | |
| | | 6,684 | | | | KeyCorp | | | | | 75,730 | | |
| | | 1,245 | | | | M&T Bank Corp. | | | | | 155,687 | | |
| | | 134,517 | | | | Morgan Stanley | | | | | 11,454,123 | | |
| | | 1,537 | | | | Northern Trust Corp. | | | | | 116,920 | | |
| | | 2,938 | | | | PNC Financial Services Group Inc. | | | | | 354,705 | | |
| | | 6,843 | | | | Regions Financial Corp. | | | | | 125,501 | | |
| | | 2,557 | | | | State Street Corp. | | | | | 175,768 | | |
| | | 9,722 | | | | Truist Financial Corp. | | | | | 297,007 | | |
| | | 391,878 | | | | US Bancorp | | | | | 14,315,303 | | |
| | | 27,530 | | | | Wells Fargo & Co. | | | | | 1,136,714 | | |
| | | 1,072 | | | | Zions Bancorp N.A. | | | | | 38,056 | | |
| | | | | | | Total Banks | | | | | 86,049,496 | | |
| Diversified Financial Services – 5.7% | | ||||||||||||
| | | 4,362 | | | | American Express Co. | | | | | 689,152 | | |
| | | 33,260 | | | | Ameriprise Financial Inc. | | | | | 11,227,911 | | |
| | | 573,140 | | | | Ant Group Co., Ltd.*(a)(c)@ | | | | | 561,219 | | |
| | | 1,097 | | | | BlackRock Inc., Class A Shares | | | | | 768,492 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Diversified Financial Services – (continued) | | ||||||||||||
| | | 2,794 | | | | Capital One Financial Corp. | | | | $ | 286,078 | | |
| | | 760 | | | | Cboe Global Markets Inc. | | | | | 113,780 | | |
| | | 641,348 | | | | Charles Schwab Corp. | | | | | 37,935,734 | | |
| | | 128,967 | | | | CME Group Inc., Class A Shares | | | | | 26,139,032 | | |
| | | 1,842 | | | | Discover Financial Services | | | | | 165,909 | | |
| | | 2,035 | | | | Franklin Resources Inc. | | | | | 54,416 | | |
| | | 4,095 | | | | Intercontinental Exchange Inc. | | | | | 483,169 | | |
| | | 3,258 | | | | Invesco Ltd. | | | | | 51,867 | | |
| | | 58,724 | | | | LPL Financial Holdings Inc. | | | | | 13,541,167 | | |
| | | 349 | | | | Maplebear Inc. d/b/a Instacart, Non-voting Shares*(a)(c)@ | | | | | 12,599 | | |
| | | 6,679 | | | | Maplebear Inc. d/b/a Instacart, Private Placement*(a)(c)@ | | | | | 241,112 | | |
| | | 44,110 | | | | Mastercard Inc., Class A Shares | | | | | 18,201,550 | | |
| | | 2,484 | | | | Nasdaq Inc. | | | | | 130,360 | | |
| | | 1,420 | | | | Raymond James Financial Inc. | | | | | 148,518 | | |
| | | 3,233 | | | | Synchrony Financial | | | | | 104,361 | | |
| | | 1,643 | | | | T Rowe Price Group Inc. | | | | | 184,394 | | |
| | | 365,605 | | | | Visa Inc., Class A Shares | | | | | 89,821,836 | | |
| | | 258,085 | | | | Voya Financial Inc. | | | | | 17,983,363 | | |
| | | | | | | Total Diversified Financial Services | | | | | 218,846,019 | | |
| Equity Real Estate Investment Trusts (REITs) – 0.2% | | ||||||||||||
| | | 1,186 | | | | Alexandria Real Estate Equities Inc. | | | | | 137,979 | | |
| | | 3,411 | | | | American Tower Corp. | | | | | 618,483 | | |
| | | 1,025 | | | | AvalonBay Communities Inc. | | | | | 188,415 | | |
| | | 1,022 | | | | Boston Properties Inc. | | | | | 68,239 | | |
| | | 887 | | | | Camden Property Trust | | | | | 95,459 | | |
| | | 3,173 | | | | Crown Castle Inc. | | | | | 318,886 | | |
| | | 2,107 | | | | Digital Realty Trust Inc. | | | | | 277,534 | | |
| | | 678 | | | | Equinix Inc. | | | | | 529,776 | | |
| | | 2,495 | | | | Equity Residential | | | | | 161,751 | | |
| | | 464 | | | | Essex Property Trust Inc. | | | | | 110,613 | | |
| | | 1,549 | | | | Extra Space Storage Inc. | | | | | 199,325 | | |
| | | 524 | | | | Federal Realty Investment Trust | | | | | 51,321 | | |
| | | 4,494 | | | | Healthpeak Properties Inc. | | | | | 92,487 | | |
| | | 5,123 | | | | Host Hotels & Resorts Inc. | | | | | 80,892 | | |
| | | 4,256 | | | | Invitation Homes Inc. | | | | | 145,087 | | |
| | | 2,130 | | | | Iron Mountain Inc. | | | | | 135,340 | | |
| | | 4,431 | | | | Kimco Realty Corp. | | | | | 83,923 | | |
| | | 846 | | | | Mid-America Apartment Communities Inc. | | | | | 122,865 | | |
| | | 6,763 | | | | Prologis Inc. | | | | | 839,965 | | |
| Shares/Units | | ��� | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) – (continued) | | ||||||||||||
| | | 1,158 | | | | Public Storage | | | | $ | 320,048 | | |
| | | 4,939 | | | | Realty Income Corp. | | | | | 276,782 | | |
| | | 1,103 | | | | Regency Centers Corp. | | | | | 68,607 | | |
| | | 791 | | | | SBA Communications Corp., Class A Shares | | | | | 177,603 | | |
| | | 2,396 | | | | Simon Property Group Inc. | | | | | 271,922 | | |
| | | 2,515 | | | | UDR Inc. | | | | | 100,349 | | |
| | | 2,931 | | | | Ventas Inc. | | | | | 128,026 | | |
| | | 7,354 | | | | VICI Properties Inc., Class A Shares | | | | | 226,797 | | |
| | | 3,647 | | | | Welltower Inc. | | | | | 302,263 | | |
| | | 224,613 | | | | Weyerhaeuser Co. | | | | | 7,356,076 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 13,486,813 | | |
| Insurance – 8.1% | | ||||||||||||
| | | 4,102 | | | | Aflac Inc. | | | | | 305,886 | | |
| | | 115,115 | | | | Allstate Corp. | | | | | 12,410,548 | | |
| | | 223,423 | | | | American International Group Inc. | | | | | 13,074,714 | | |
| | | 45,896 | | | | Aon PLC, Class A Shares | | | | | 15,301,267 | | |
| | | 2,710 | | | | Arch Capital Group Ltd.* | | | | | 208,291 | | |
| | | 1,554 | | | | Arthur J Gallagher & Co. | | | | | 358,166 | | |
| | | 139,015 | | | | Assurant Inc. | | | | | 19,368,960 | | |
| | | 329,387 | | | | Berkshire Hathaway Inc., Class B Shares* | | | | | 118,645,197 | | |
| | | 1,683 | | | | Brown & Brown Inc. | | | | | 124,710 | | |
| | | 30,706 | | | | Chubb Ltd. | | | | | 6,167,914 | | |
| | | 1,156 | | | | Cincinnati Financial Corp. | | | | | 122,293 | | |
| | | 35,541 | | | | Everest Group Ltd. | | | | | 12,818,928 | | |
| | | 50,336 | | | | Fairfax Financial Holdings Ltd. | | | | | 41,501,025 | | |
| | | 648 | | | | Globe Life Inc. | | | | | 72,297 | | |
| | | 2,309 | | | | Hartford Financial Services Group Inc. | | | | | 165,832 | | |
| | | 1,103 | | | | Lincoln National Corp. | | | | | 28,303 | | |
| | | 1,412 | | | | Loews Corp. | | | | | 87,671 | | |
| | | 3,627 | | | | Marsh & McLennan Cos., Inc. | | | | | 707,229 | | |
| | | 4,829 | | | | MetLife Inc. | | | | | 305,869 | | |
| | | 1,669 | | | | Principal Financial Group Inc. | | | | | 129,698 | | |
| | | 296,134 | | | | Progressive Corp. | | | | | 39,525,005 | | |
| | | 2,696 | | | | Prudential Financial Inc. | | | | | 255,230 | | |
| | | 86,493 | | | | RenaissanceRe Holdings Ltd. | | | | | 16,251,170 | | |
| | | 1,693 | | | | Travelers Cos., Inc. | | | | | 272,962 | | |
| | | 142,300 | | | | Willis Towers Watson PLC | | | | | 29,421,948 | | |
| | | 1,464 | | | | WR Berkley Corp. | | | | | 90,563 | | |
| | | | | | | Total Insurance | | | | | 327,721,676 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Private Equity – 1.0% | | ||||||||||||
| | | 106,405 | | | | Ares Management Corp., Class A Shares | | | | $ | 11,006,533 | | |
| | | 419,873 | | | | KKR & Co., Inc. | | | | | 26,372,223 | | |
| | | | | | | Total Private Equity | | | | | 37,378,756 | | |
| Real Estate – 0.0% | | ||||||||||||
| | | 2,315 | | | | CBRE Group Inc., Class A Shares* | | | | | 196,891 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 683,679,651 | | |
| INDUSTRIAL – 6.6% | | ||||||||||||
| Aerospace/Defense – 1.9% | | ||||||||||||
| | | 21,865 | | | | Airbus SE | | | | | 3,209,619 | | |
| | | 79,350 | | | | Boeing Co.* | | | | | 17,776,781 | | |
| | | 33,736 | | | | General Dynamics Corp. | | | | | 7,645,927 | | |
| | | 186,436 | | | | Howmet Aerospace Inc. | | | | | 9,222,989 | | |
| | | 1,395 | | | | L3Harris Technologies Inc. | | | | | 248,436 | | |
| | | 17,803 | | | | Lockheed Martin Corp. | | | | | 7,981,975 | | |
| | | 57,412 | | | | Northrop Grumman Corp. | | | | | 24,864,563 | | |
| | | 10,734 | | | | RTX Corp. | | | | | 923,553 | | |
| | | 380 | | | | TransDigm Group Inc.* | | | | | 343,463 | | |
| | | | | | | Total Aerospace/Defense | | | | | 72,217,306 | | |
| Building Materials – 1.2% | | ||||||||||||
| | | 331,421 | | | | Armstrong World Industries Inc. | | | | | 25,383,534 | | |
| | | 6,112 | | | | Carrier Global Corp. | | | | | 351,134 | | |
| | | 5,035 | | | | Johnson Controls International PLC | | | | | 297,367 | | |
| | | 455 | | | | Martin Marietta Materials Inc. | | | | | 203,117 | | |
| | | 1,616 | | | | Masco Corp. | | | | | 95,360 | | |
| | | 378 | | | | Mohawk Industries Inc.* | | | | | 38,325 | | |
| | | 97,270 | | | | Trane Technologies PLC | | | | | 19,965,640 | | |
| | | 974 | | | | Vulcan Materials Co. | | | | | 212,576 | | |
| | | | | | | Total Building Materials | | | | | 46,547,053 | | |
| Electrical Components & Equipment – 0.0% | | ||||||||||||
| | | 1,683 | | | | AMETEK Inc. | | | | | 268,455 | | |
| | | 4,187 | | | | Emerson Electric Co. | | | | | 411,373 | | |
| | | 454 | | | | Generac Holdings Inc.* | | | | | 53,940 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 733,768 | | |
| Electronics – 0.5% | | ||||||||||||
| | | 2,168 | | | | Agilent Technologies Inc. | | | | | 262,480 | | |
| | | 629 | | | | Allegion PLC | | | | | 71,586 | | |
| | | 5,011 | | | | Amphenol Corp., Class A Shares | | | | | 442,872 | | |
| | | 2,586 | | | | Fortive Corp. | | | | | 203,906 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Electronics – (continued) | | ||||||||||||
| | | 1,223 | | | | Garmin Ltd. | | | | $ | 129,662 | | |
| | | 43,223 | | | | Honeywell International Inc. | | | | | 8,123,331 | | |
| | | 18,604 | | | | Hubbell Inc., Class B Shares | | | | | 6,065,834 | | |
| | | 1,307 | | | | Keysight Technologies Inc.* | | | | | 174,223 | | |
| | | 162 | | | | Mettler-Toledo International Inc.* | | | | | 196,584 | | |
| | | 9,065 | | | | Sartorius AG | | | | | 3,709,532 | | |
| | | 2,319 | | | | TE Connectivity Ltd. | | | | | 307,012 | | |
| | | 1,767 | | | | Trimble Inc.* | | | | | 96,814 | | |
| | | | | | | Total Electronics | | | | | 19,783,836 | | |
| Engineering & Construction – 0.0% | | ||||||||||||
| | | 930 | | | | Jacobs Solutions Inc. | | | | | 125,383 | | |
| Environmental Control – 0.0% | | ||||||||||||
| | | 1,178 | | | | Pentair PLC | | | | | 82,766 | | |
| | | 1,505 | | | | Republic Services Inc., Class A Shares | | | | | 216,916 | | |
| | | 2,721 | | | | Waste Management Inc. | | | | | 426,598 | | |
| | | | | | | Total Environmental Control | | | | | 726,280 | | |
| Hand/Machine Tools – 0.0% | | ||||||||||||
| | | 381 | | | | Snap-on Inc. | | | | | 102,337 | | |
| | | 1,060 | | | | Stanley Black & Decker Inc. | | | | | 100,043 | | |
| | | | | | | Total Hand/Machine Tools | | | | | 202,380 | | |
| Machinery-Construction & Mining – 0.0% | | ||||||||||||
| | | 3,813 | | | | Caterpillar Inc. | | | | | 1,071,949 | | |
| Machinery-Diversified – 0.0% | | ||||||||||||
| | | 1,981 | | | | Deere & Co. | | | | | 814,072 | | |
| | | 1,024 | | | | Dover Corp. | | | | | 151,859 | | |
| | | 553 | | | | IDEX Corp. | | | | | 125,199 | | |
| | | 2,967 | | | | Ingersoll Rand Inc. | | | | | 206,533 | | |
| | | 385 | | | | Nordson Corp. | | | | | 93,994 | | |
| | | 3,040 | | | | Otis Worldwide Corp. | | | | | 260,072 | | |
| | | 841 | | | | Rockwell Automation Inc. | | | | | 262,459 | | |
| | | 1,333 | | | | Westinghouse Air Brake Technologies Corp. | | | | | 149,989 | | |
| | | 1,750 | | | | Xylem Inc. | | | | | 181,195 | | |
| | | | | | | Total Machinery-Diversified | | | | | 2,245,372 | | |
| Miscellaneous Manufacturers – 1.9% | | ||||||||||||
| | | 4,033 | | | | 3M Co. | | | | | 430,200 | | |
| | | 102,811 | | | | AO Smith Corp. | | | | | 7,453,798 | | |
| | | 35,679 | | | | Axon Enterprise Inc.* | | | | | 7,596,416 | | |
| | | 106,287 | | | | Carlisle Cos., Inc. | | | | | 27,955,607 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Miscellaneous Manufacturers – (continued) | | ||||||||||||
| | | 73,718 | | | | Eaton Corp. PLC | | | | $ | 16,982,416 | | |
| | | 7,981 | | | | General Electric Co. | | | | | 913,505 | | |
| | | 2,034 | | | | Illinois Tool Works Inc. | | | | | 503,110 | | |
| | | 940 | | | | Parker-Hannifin Corp. | | | | | 391,886 | | |
| | | 17,781 | | | | Teledyne Technologies Inc.* | | | | | 7,437,792 | | |
| | | 95,050 | | | | Textron Inc. | | | | | 7,386,336 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 77,051,066 | | |
| Packaging & Containers – 0.0% | | ||||||||||||
| | | 10,968 | | | | Amcor PLC | | | | | 106,828 | | |
| | | 2,300 | | | | Ball Corp. | | | | | 125,235 | | |
| | | 663 | | | | Packaging Corp. of America | | | | | 98,853 | | |
| | | 1,036 | | | | Sealed Air Corp. | | | | | 38,394 | | |
| | | 1,822 | | | | WestRock Co. | | | | | 59,598 | | |
| | | | | | | Total Packaging & Containers | | | | | 428,908 | | |
| Shipbuilding – 0.2% | | ||||||||||||
| | | 32,187 | | | | Huntington Ingalls Industries Inc. | | | | | 7,091,440 | | |
| Transportation – 0.9% | | ||||||||||||
| | | 843 | | | | CH Robinson Worldwide Inc. | | | | | 76,232 | | |
| | | 14,916 | | | | CSX Corp. | | | | | 450,463 | | |
| | | 1,166 | | | | Expeditors International of Washington Inc. | | | | | 136,084 | | |
| | | 95,368 | | | | FedEx Corp. | | | | | 24,892,955 | | |
| | | 670 | | | | JB Hunt Transport Services Inc. | | | | | 125,880 | | |
| | | 1,669 | | | | Norfolk Southern Corp. | | | | | 342,162 | | |
| | | 7,213 | | | | Old Dominion Freight Line Inc. | | | | | 3,082,620 | | |
| | | 4,483 | | | | Union Pacific Corp. | | | | | 988,815 | | |
| | | 46,732 | | | | United Parcel Service Inc., Class B Shares | | | | | 7,916,401 | | |
| | | | | | | Total Transportation | | | | | 38,011,612 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 266,236,353 | | |
| TECHNOLOGY – 20.3% | | ||||||||||||
| Computers – 4.0% | | ||||||||||||
| | | 19,478 | | | | Accenture PLC, Class A Shares | | | | | 6,306,392 | | |
| | | 454,630 | | | | Apple Inc. | | | | | 85,411,338 | | |
| | | 32,534 | | | | CACI International Inc., Class A Shares* | | | | | 10,671,477 | | |
| | | 62,902 | | | | Check Point Software Technologies Ltd.* | | | | | 8,465,980 | | |
| | | 3,729 | | | | Cognizant Technology Solutions Corp., Class A Shares | | | | | 267,034 | | |
| | | 142,739 | | | | Crowdstrike Holdings Inc., Class A Shares* | | | | | 23,270,739 | | |
| | | 1,648 | | | | DXC Technology Co.* | | | | | 34,180 | | |
| | | 422 | | | | EPAM Systems Inc.* | | | | | 109,294 | | |
| | | 126,500 | | | | Fortinet Inc.* | | | | | 7,616,565 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Computers – (continued) | | ||||||||||||
| | | 9,392 | | | | Hewlett Packard Enterprise Co. | | | | $ | 159,570 | | |
| | | 6,333 | | | | HP Inc. | | | | | 188,153 | | |
| | | 63,345 | | | | International Business Machines Corp. | | | | | 9,300,946 | | |
| | | 74,968 | | | | Leidos Holdings Inc. | | | | | 7,310,130 | | |
| | | 1,579 | | | | NetApp Inc. | | | | | 121,109 | | |
| | | 1,376 | | | | Seagate Technology Holdings PLC | | | | | 97,407 | | |
| | | 2,608 | | | | Western Digital Corp.* | | | | | 117,360 | | |
| | | | | | | Total Computers | | | | | 159,447,674 | | |
| Office/Business Equipment – 0.0% | | ||||||||||||
| | | 380 | | | | Zebra Technologies Corp., Class A Shares* | | | | | 104,504 | | |
| Semiconductors – 5.3% | | ||||||||||||
| | | 263,761 | | | | Advanced Micro Devices Inc.* | | | | | 27,884,813 | | |
| | | 3,714 | | | | Analog Devices Inc. | | | | | 675,131 | | |
| | | 194,197 | | | | Applied Materials Inc. | | | | | 29,665,534 | | |
| | | 11,881 | | | | ASML Holding NV, Class NY Registered Shares, ADR | | | | | 7,847,757 | | |
| | | 3,062 | | | | Broadcom Inc. | | | | | 2,825,889 | | |
| | | 343,804 | | | | Intel Corp. | | | | | 12,081,273 | | |
| | | 1,015 | | | | KLA Corp. | | | | | 509,398 | | |
| | | 14,880 | | | | Lam Research Corp. | | | | | 10,451,712 | | |
| | | 40,688 | | | | Marvell Technology Inc. | | | | | 2,370,076 | | |
| | | 4,014 | | | | Microchip Technology Inc. | | | | | 328,506 | | |
| | | 240,018 | | | | Micron Technology Inc. | | | | | 16,786,859 | | |
| | | 328 | | | | Monolithic Power Systems Inc. | | | | | 170,957 | | |
| | | 183,481 | | | | NVIDIA Corp. | | | | | 90,557,048 | | |
| | | 1,899 | | | | NXP Semiconductors NV | | | | | 390,662 | | |
| | | 3,165 | | | | ON Semiconductor Corp.* | | | | | 311,626 | | |
| | | 726 | | | | Qorvo Inc.* | | | | | 77,965 | | |
| | | 71,874 | | | | QUALCOMM Inc. | | | | | 8,231,729 | | |
| | | 1,167 | | | | Skyworks Solutions Inc. | | | | | 126,900 | | |
| | | 1,141 | | | | Teradyne Inc. | | | | | 123,080 | | |
| | | 6,640 | | | | Texas Instruments Inc. | | | | | 1,115,918 | | |
| | | | | | | Total Semiconductors | | | | | 212,532,833 | | |
| Software – 11.0% | | ||||||||||||
| | | 5,218 | | | | Activision Blizzard Inc. | | | | | 480,004 | | |
| | | 72,422 | | | | Adobe Inc.* | | | | | 40,508,521 | | |
| | | 113,860 | | | | Akamai Technologies Inc.* | | | | | 11,965,547 | | |
| | | 638 | | | | ANSYS Inc.* | | | | | 203,439 | | |
| | | 8,701 | | | | Atlassian Corp., Class A Shares* | | | | | 1,775,526 | | |
| | | 1,581 | | | | Autodesk Inc.* | | | | | 350,887 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Software – (continued) | | ||||||||||||
| | | 862 | | | | Broadridge Financial Solutions Inc. | | | | $ | 160,513 | | |
| | | 2,010 | | | | Cadence Design Systems Inc.* | | | | | 483,284 | | |
| | | 575 | | | | Canva Inc.*(a)(c)@ | | | | | 613,330 | | |
| | | 1,271 | | | | Celonis SE*(a)(c)@ | | | | | 283,535 | | |
| | | 30,023 | | | | Ceridian HCM Holding Inc.* | | | | | 2,177,268 | | |
| | | 377,469 | | | | Dynatrace Inc.* | | | | | 18,194,006 | | |
| | | 1,909 | | | | Electronic Arts Inc. | | | | | 229,042 | | |
| | | 3,796 | | | | Epic Games Inc., Private Placement*(a)(c)@ | | | | | 2,621,707 | | |
| | | 8,479 | | | | Fair Isaac Corp.* | | | | | 7,670,019 | | |
| | | 4,348 | | | | Fidelity National Information Services Inc. | | | | | 242,879 | | |
| | | 394,013 | | | | Fiserv Inc.* | | | | | 47,829,238 | | |
| | | 108,269 | | | | Intuit Inc. | | | | | 58,661,227 | | |
| | | 523 | | | | Jack Henry & Associates Inc. | | | | | 81,996 | | |
| | | 835 | | | | Magic Leap Inc., Series D, Private Placement*(a)(c)@ | | | | | 16,034 | | |
| | | 418,347 | | | | Microsoft Corp. | | | | | 137,117,413 | | |
| | | 4,174 | | | | MongoDB Inc., Class A Shares* | | | | | 1,591,546 | | |
| | | 55,707 | | | | MSCI Inc., Class A Shares | | | | | 30,283,439 | | |
| | | 11,260 | | | | Oracle Corp. | | | | | 1,355,591 | | |
| | | 2,351 | | | | Paychex Inc. | | | | | 287,363 | | |
| | | 354 | | | | Paycom Software Inc. | | | | | 104,373 | | |
| | | 853 | | | | PTC Inc.* | | | | | 125,536 | | |
| | | 13,981 | | | | Roper Technologies Inc. | | | | | 6,977,358 | | |
| | | 43,822 | | | | Salesforce Inc.* | | | | | 9,704,820 | | |
| | | 90,702 | | | | ServiceNow Inc.* | | | | | 53,408,059 | | |
| | | 20,012 | | | | Stripe Inc., Class B Shares, Private Placement*(a)(c)@ | | | | | 438,463 | | |
| | | 1,117 | | | | Synopsys Inc.* | | | | | 512,580 | | |
| | | 1,162 | | | | Take-Two Interactive Software Inc.* | | | | | 165,236 | | |
| | | 305 | | | | Tyler Technologies Inc.* | | | | | 121,521 | | |
| | | | | | | Total Software | | | | | 436,741,300 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 808,826,311 | | |
| UTILITIES – 1.4% | | ||||||||||||
| Electric – 1.4% | | ||||||||||||
| | | 4,961 | | | | AES Corp. | | | | | 88,951 | | |
| | | 1,798 | | | | Alliant Energy Corp. | | | | | 90,206 | | |
| | | 1,894 | | | | Ameren Corp. | | | | | 150,137 | | |
| | | 3,765 | | | | American Electric Power Co., Inc. | | | | | 295,176 | | |
| | | 4,613 | | | | CenterPoint Energy Inc. | | | | | 128,657 | | |
| | | 2,134 | | | | CMS Energy Corp. | | | | | 119,909 | | |
| | | 2,600 | | | | Consolidated Edison Inc. | | | | | 231,296 | | |
| | | 220,352 | | | | Constellation Energy Corp. | | | | | 22,951,864 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| UTILITIES – (continued) | | ||||||||||||
| Electric – (continued) | | ||||||||||||
| | | 6,105 | | | | Dominion Energy Inc. | | | | $ | 296,337 | | |
| | | 1,420 | | | | DTE Energy Co. | | | | | 146,800 | | |
| | | 5,642 | | | | Duke Energy Corp. | | | | | 501,010 | | |
| | | 2,798 | | | | Edison International | | | | | 192,642 | | |
| | | 1,491 | | | | Entergy Corp. | | | | | 142,018 | | |
| | | 1,687 | | | | Evergy Inc. | | | | | 92,734 | | |
| | | 2,552 | | | | Eversource Energy | | | | | 162,869 | | |
| | | 7,281 | | | | Exelon Corp. | | | | | 292,114 | | |
| | | 3,980 | | | | FirstEnergy Corp. | | | | | 143,559 | | |
| | | 216,822 | | | | IDACORP Inc. | | | | | 20,780,221 | | |
| | | 14,846 | | | | NextEra Energy Inc. | | | | | 991,713 | | |
| | | 1,651 | | | | NRG Energy Inc. | | | | | 61,995 | | |
| | | 11,797 | | | | PG&E Corp.* | | | | | 192,291 | | |
| | | 94,716 | | | | Pinnacle West Capital Corp. | | | | | 7,318,705 | | |
| | | 5,395 | | | | PPL Corp. | | | | | 134,443 | | |
| | | 3,656 | | | | Public Service Enterprise Group Inc. | | | | | 223,308 | | |
| | | 4,606 | | | | Sempra | | | | | 323,433 | | |
| | | 7,977 | | | | Southern Co. | | | | | 540,282 | | |
| | | 2,311 | | | | WEC Energy Group Inc. | | | | | 194,401 | | |
| | | 4,010 | | | | Xcel Energy Inc. | | | | | 229,091 | | |
| | | | | | | Total Electric | | | | | 57,016,162 | | |
| Gas – 0.0% | | ||||||||||||
| | | 1,118 | | | | Atmos Energy Corp. | | | | | 129,632 | | |
| | | 2,910 | | | | NiSource Inc. | | | | | 77,872 | | |
| | | | | | | Total Gas | | | | | 207,504 | | |
| Water – 0.0% | | ||||||||||||
| | | 1,414 | | | | American Water Works Co., Inc. | | | | | 196,178 | | |
| | | | | | | TOTAL UTILITIES | | | | | 57,419,844 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $2,808,376,185) | | | | | 3,890,194,600 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 1.6% | | ||||||||||||
| | | 18,587 | | | | iShares Russell 1000 Growth | | | | | 5,239,861 | | |
| | | 239,974 | | | | Vanguard Mega Capital Growth | | | | | 57,905,726 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $54,534,212) | | | | | 63,145,587 | | |
| PREFERRED STOCKS – 0.2% | | ||||||||||||
| CONSUMER CYCLICAL – 0.1% | | ||||||||||||
| Auto Manufacturers – 0.1% | | ||||||||||||
| | | 22,768 | | | | Dr Ing hc F Porsche AG(b) | | | | | 2,514,406 | | |
| | | 21,292 | | | | Sila Nanotechnologies Inc., Series F, Private Placement*(a)(c)@ | | | | | 431,802 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| PREFERRED STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Auto Manufacturers – (continued) | | ||||||||||||
| | | 9,549 | | | | Waymo LLC, Series A2, Private Placement*(a)(c)@ | | | | $ | 431,710 | | |
| | | | | | | Total Auto Manufacturers | | | | | 3,377,918 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 3,377,918 | | |
| FINANCIAL – 0.0% | | ||||||||||||
| Diversified Financial Services – 0.0% | | ||||||||||||
| | | 1,020 | | | | Maplebear Inc. d/b/a Instacart, Series A*(a)(c)@ | | | | | 36,822 | | |
| | | 13,638 | | | | Maplebear Inc. d/b/a Instacart, Series G*(a)(c)@ | | | | | 492,332 | | |
| | | 2,066 | | | | Maplebear Inc. d/b/a Instacart, Series I*(a)(c)@ | | | | | 74,583 | | |
| | | | | | | Total Diversified Financial Services | | | | | 603,737 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 603,737 | | |
| INDUSTRIAL – 0.1% | | ||||||||||||
| Electrical Components & Equipment – 0.0% | | ||||||||||||
| | | 48,400 | | | | GM Cruise Holdings LLC, Class F Shares, Private Placement*(a)(c)@ | | | | | 877,008 | | |
| | | 39,865 | | | | GM Cruise Holdings LLC, Class G Shares, Private Placement*(a)(c)@ | | | | | 722,354 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 1,599,362 | | |
| Environmental Control – 0.1% | | ||||||||||||
| | | 23,420 | | | | Redwood Materials Inc., Series C, Private Placement*(a)(c)@ | | | | | 1,117,974 | | |
| Machinery – 0.0% | | ||||||||||||
| | | 108,389 | | | | Nuro Inc., Series C, Private Placement*(a)(c)@ | | | | | 672,012 | | |
| | | 26,242 | | | | Nuro Inc., Series D*(a)(c)@ | | | | | 162,700 | | |
| | | | | | | Total Machinery | | | | | 834,712 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 3,552,048 | | |
| TECHNOLOGY – 0.0% | | ||||||||||||
| Software – 0.0% | | ||||||||||||
| | | 27 | | | | Canva Inc., Series A, Private Placement*(a)(c)@ | | | | | 28,800 | | |
| | | 10 | | | | Canva Inc., Series A-3, Private Placement*(a)(c)@ | | | | | 10,667 | | |
| | | 1 | | | | Canva Inc., Series A-4, Private Placement*(a)(c)@ | | | | | 1,067 | | |
| | | 3,788 | | | | Celonis SE, Series D*(a)(c)@ | | | | | 845,027 | | |
| | | 6,765 | | | | Formagrid Inc.*(a)(c)@ | | | | | 443,852 | | |
| | | 20,620 | | | | Rappi Inc., Series E, Private Placement*(a)(c)@ | | | | | 742,526 | | |
| | | | | | | Total Software | | | | | 2,071,939 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 2,071,939 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $13,477,791) | | | | | 9,605,642 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $2,876,388,188) | | | | | 3,962,945,829 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 1.2% | | ||||||||||||
| TIME DEPOSITS – 1.2% | | ||||||||||||
| | $ | 11,852,161 | | | | ANZ National Bank – London, 4.680% due 9/1/23 | | | | $ | 11,852,161 | | |
| | | 90,742EUR | | | | Citibank – London, 2.630% due 9/1/23 | | | | | 98,391 | | |
| | | 9,946,505 | | | | Citibank – New York, 4.680% due 9/1/23 | | | | | 9,946,505 | | |
| | | 27,939,638 | | | | JPMorgan Chase & Co. – New York, 4.680% due 9/1/23 | | | | | 27,939,638 | | |
| | | 4GBP | | | | Skandinaviska Enskilda Banken AB – Stockholm, 4.170% due 9/1/23 | | | | | 6 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $49,836,701) | | | | | 49,836,701 | | |
| | | | | | | TOTAL INVESTMENTS – 100.2% (Cost – $2,926,224,889) | | | | | 4,012,782,530 | | |
| | | | | | | Liabilities in Excess of Other Assets – (0.2)% | | | | | (7,509,161) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 4,005,273,369 | | |
Security | | | First Acquisition Date | | | First Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Ant Group Co., Ltd. | | | | | 8/14/2023 | | | | | $ | 573,140 | | | | | $ | 561,219 | | | | | | 0.01% | | |
Canva Inc. | | | | | 12/17/2021 | | | | | | 589,640 | | | | | | 613,330 | | | | | | 0.02% | | |
Canva Inc., Series A, Private Placement | | | | | 12/17/2021 | | | | | | 46,012 | | | | | | 28,800 | | | | | | 0.00%* | | |
Canva Inc., Series A-3, Private Placement | | | | | 12/17/2021 | | | | | | 17,042 | | | | | | 10,667 | | | | | | 0.00%* | | |
Canva Inc., Series A-4, Private Placement | | | | | 12/17/2021 | | | | | | 1,704 | | | | | | 1,067 | | | | | | 0.00%* | | |
Celonis SE | | | | | 6/17/2021 | | | | | | 470,003 | | | | | | 283,535 | | | | | | 0.01% | | |
Celonis SE, Series D | | | | | 6/17/2021 | | | | | | 1,225,484 | | | | | | 845,027 | | | | | | 0.02% | | |
Epic Games Inc., Private Placement | | | | | 6/18/2020 | | | | | | 1,665,200 | | | | | | 2,621,707 | | | | | | 0.07% | | |
Formagrid Inc. | | | | | 12/8/2021 | | | | | | 1,266,980 | | | | | | 443,852 | | | | | | 0.01% | | |
GM Cruise Holdings LLC, Class F Shares, Private Placement | | | | | 5/7/2019 | | | | | | 883,300 | | | | | | 877,008 | | | | | | 0.02% | | |
GM Cruise Holdings LLC, Class G Shares, Private Placement | | | | | 1/21/2021 | | | | | | 1,050,443 | | | | | | 722,354 | | | | | | 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 | | | | | | 12,599 | | | | | | 0.00%* | | |
Maplebear Inc. d/b/a Instacart, Private Placement | | | | | 8/7/2020 | | | | | | 309,464 | | | | | | 241,112 | | | | | | 0.01% | | |
Maplebear Inc. d/b/a Instacart, Series A | | | | | 11/18/2020 | | | | | | 62,232 | | | | | | 36,822 | | | | | | 0.00%* | | |
Maplebear Inc. d/b/a Instacart, Series G | | | | | 7/2/2020 | | | | | | 655,877 | | | | | | 492,332 | | | | | | 0.01% | | |
Security (continued) | | | First Acquisition Date | | | First Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Maplebear Inc. d/b/a Instacart, Series I | | | | | 2/26/2021 | | | | | $ | 258,250 | | | | | $ | 74,583 | | | | | | 0.00%* | | |
Nuro Inc., Series C, Private Placement | | | | | 10/30/2020 | | | | | | 940,662 | | | | | | 672,012 | | | | | | 0.02% | | |
Nuro Inc., Series D | | | | | 10/29/2021 | | | | | | 547,033 | | | | | | 162,700 | | | | | | 0.00%* | | |
Rappi Inc., Series E, Private Placement | | | | | 9/8/2020 | | | | | | 492,486 | | | | | | 742,526 | | | | | | 0.02% | | |
Redwood Materials Inc., Series C, Private Placement | | | | | 5/28/2021 | | | | | | 1,110,190 | | | | | | 1,117,974 | | | | | | 0.03% | | |
Sila Nanotechnologies Inc., Series F, Private Placement | | | | | 1/7/2021 | | | | | | 878,780 | | | | | | 431,802 | | | | | | 0.01% | | |
Stripe Inc., Class B Shares, Private Placement | | | | | 12/17/2019 | | | | | | 313,988 | | | | | | 438,463 | | | | | | 0.01% | | |
Waymo LLC, Series A2, Private Placement | | | | | 5/8/2020 | | | | | | 819,946 | | | | | | 431,710 | | | | | | 0.01% | | |
Total | | | | | | | | | | | | | | | | $ | 11,879,235 | | | | | | 0.30% | | |
| Consumer Non-cyclical | | | | | 23.1% | | |
| Technology | | | | | 20.2 | | |
| Financial | | | | | 17.1 | | |
| Communications | | | | | 11.8 | | |
| Consumer Cyclical | | | | | 9.5 | | |
| Industrial | | | | | 6.7 | | |
| Energy | | | | | 6.0 | | |
| Utilities | | | | | 1.4 | | |
| Basic Materials | | | | | 1.4 | | |
| Exchange Traded Funds (ETFs) | | | | | 1.6 | | |
| Short-Term Investments | | | | | 1.2 | | |
| | | | | | 100.0% | | |
Open Futures Contracts | | | Number of Contracts | | | Expiration Date (Month/Year) | | | Notional Amounts | | | Market Value | | | Unrealized Appreciation | | |||||||||||||||
Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 E-mini Index September Futures | | | | | 174 | | | | | | 9/23 | | | | | $ | 3,804,374 | | | | | $ | 3,928,920 | | | | | $ | 124,546 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 92.6% | | ||||||||||||
| BASIC MATERIALS – 4.5% | | ||||||||||||
| Chemicals – 3.1% | | ||||||||||||
| | | 48,100 | | | | Ashland Inc. | | | | $ | 4,166,903 | | |
| | | 117,072 | | | | Axalta Coating Systems Ltd.* | | | | | 3,313,138 | | |
| | | 24,482 | | | | Cabot Corp. | | | | | 1,773,966 | | |
| | | 62,050 | | | | Ingevity Corp.* | | | | | 3,343,874 | | |
| | | 14,664 | | | | Innospec Inc. | | | | | 1,575,207 | | |
| | | 154,809 | | | | Livent Corp.* | | | | | 3,323,749 | | |
| | | 43,200 | | | | PPG Industries Inc. | | | | | 6,124,032 | | |
| | | 75,749 | | | | Valvoline Inc. | | | | | 2,608,796 | | |
| | | | | | | Total Chemicals | | | | | 26,229,665 | | |
| Iron/Steel – 0.6% | | ||||||||||||
| | | 93,518 | | | | ATI Inc.* | | | | | 4,239,171 | | |
| | | 5,603 | | | | Carpenter Technology Corp. | | | | | 350,916 | | |
| | | | | | | Total Iron/Steel | | | | | 4,590,087 | | |
| Mining – 0.8% | | ||||||||||||
| | | 17,186 | | | | Cameco Corp. | | | | | 635,882 | | |
| | | 103,200 | | | | Freeport-McMoRan Inc. | | | | | 4,118,712 | | |
| | | 459,554 | | | | Uranium Energy Corp.* | | | | | 1,985,273 | | |
| | | | | | | Total Mining | | | | | 6,739,867 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 37,559,619 | | |
| COMMUNICATIONS – 2.5% | | ||||||||||||
| Internet – 1.0% | | ||||||||||||
| | | 32,438 | | | | Couchbase Inc.* | | | | | 554,690 | | |
| | | 143,853 | | | | Eventbrite Inc., Class A Shares* | | | | | 1,457,231 | | |
| | | 86,652 | | | | Gambling.com Group Ltd.* | | | | | 1,228,725 | | |
| | | 98,374 | | | | Magnite Inc.* | | | | | 811,586 | | |
| | | 16,504 | | | | Overstock.com Inc.* | | | | | 430,919 | | |
| | | 75,877 | | | | Perion Network Ltd.* | | | | | 2,518,358 | | |
| | | 91,100 | | | | Upwork Inc.* | | | | | 1,349,191 | | |
| | | | | | | Total Internet | | | | | 8,350,700 | | |
| Media – 0.2% | | ||||||||||||
| | | 79,116 | | | | TEGNA Inc. | | | | | 1,307,787 | | |
| | | 2,051 | | | | World Wrestling Entertainment Inc., Class A Shares | | | | | 198,024 | | |
| | | | | | | Total Media | | | | | 1,505,811 | | |
| Telecommunications – 1.3% | | ||||||||||||
| | | 12,234 | | | | Aviat Networks Inc.* | | | | | 431,126 | | |
| | | 65,261 | | | | Credo Technology Group Holding Ltd.* | | | | | 1,074,196 | | |
| | | 58,277 | | | | Extreme Networks Inc.* | | | | | 1,599,704 | | |
| | | 411,613 | | | | Harmonic Inc.* | | | | | 4,396,027 | | |
| | | 2,816 | | | | Iridium Communications Inc. | | | | | 137,843 | | |
| | | 357,219 | | | | Viavi Solutions Inc.* | | | | | 3,732,939 | | |
| | | | | | | Total Telecommunications | | | | | 11,371,835 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 21,228,346 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – 8.2% | | ||||||||||||
| Airlines – 0.1% | | ||||||||||||
| | | 71,826 | | | | Sun Country Airlines Holdings Inc.* | | | | $ | 1,069,489 | | |
| Apparel – 0.9% | | ||||||||||||
| | | 12,962 | | | | Carter’s Inc. | | | | | 927,690 | | |
| | | 12,877 | | | | Oxford Industries Inc. | | | | | 1,300,448 | | |
| | | 4,333 | | | | Skechers USA Inc., Class A Shares* | | | | | 217,993 | | |
| | | 65,275 | | | | Steven Madden Ltd. | | | | | 2,251,988 | | |
| | | 67,567 | | | | Urban Outfitters Inc.* | | | | | 2,243,900 | | |
| | | | | | | Total Apparel | | | | | 6,942,019 | | |
| Auto Manufacturers – 0.5% | | ||||||||||||
| | | 68,629 | | | | Blue Bird Corp.* | | | | | 1,499,544 | | |
| | | 109,179 | | | | Wabash National Corp. | | | | | 2,461,987 | | |
| | | | | | | Total Auto Manufacturers | | | | | 3,961,531 | | |
| Auto Parts & Equipment – 0.8% | | ||||||||||||
| | | 29,224 | | | | Dorman Products Inc.* | | | | | 2,411,272 | | |
| | | 16,265 | | | | Gentherm Inc.* | | | | | 979,316 | | |
| | | 98,811 | | | | Goodyear Tire & Rubber Co.* | | | | | 1,275,650 | | |
| | | 2,085 | | | | Visteon Corp.* | | | | | 290,378 | | |
| | | 31,667 | | | | XPEL Inc.* | | | | | 2,637,861 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 7,594,477 | | |
| Distribution/Wholesale – 0.1% | | ||||||||||||
| | | 12,277 | | | | Core & Main Inc., Class A Shares* | | | | | 403,177 | | |
| | | 77,115 | | | | Hudson Technologies Inc.* | | | | | 930,007 | | |
| | | 2,444 | | | | SiteOne Landscape Supply Inc.* | | | | | 418,388 | | |
| | | | | | | Total Distribution/Wholesale | | | | | 1,751,572 | | |
| Entertainment – 0.1% | | ||||||||||||
| | | 181,960 | | | | Genius Sports Ltd.* | | | | | 1,208,214 | | |
| Food Service – 0.2% | | ||||||||||||
| | | 64,908 | | | | Sovos Brands Inc.* | | | | | 1,453,939 | | |
| Home Builders – 0.7% | | ||||||||||||
| | | 33,897 | | | | Beazer Homes USA Inc.* | | | | | 993,521 | | |
| | | 19,402 | | | | Century Communities Inc. | | | | | 1,440,599 | | |
| | | 21,066 | | | | Installed Building Products Inc. | | | | | 3,048,882 | | |
| | | 1,074 | | | | Meritage Homes Corp. | | | | | 149,329 | | |
| | | 2,310 | | | | Skyline Champion Corp.* | | | | | 164,634 | | |
| | | | | | | Total Home Builders | | | | | 5,796,965 | | |
| Home Furnishings – 0.2% | | ||||||||||||
| | | 155,654 | | | | Arhaus Inc., Class A Shares* | | | | | 1,540,975 | | |
| Leisure Time – 1.2% | | ||||||||||||
| | | 245,691 | | | | OneSpaWorld Holdings Ltd.* | | | | | 2,810,705 | | |
| | | 140,171 | | | | Topgolf Callaway Brands Corp.* | | | | | 2,444,582 | | |
| | | 137,902 | | | | Xponential Fitness Inc., Class A Shares* | | | | | 2,986,957 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Leisure Time – (continued) | | ||||||||||||
| | | 26,035 | | | | YETI Holdings Inc.* | | | | $ | 1,300,448 | | |
| | | | | | | Total Leisure Time | | | | | 9,542,692 | | |
| Retail – 3.4% | | ||||||||||||
| | | 39,858 | | | | Abercrombie & Fitch Co., Class A Shares* | | | | | 2,142,368 | | |
| | | 102,439 | | | | American Eagle Outfitters Inc. | | | | | 1,737,365 | | |
| | | 27,900 | | | | Best Buy Co., Inc. | | | | | 2,132,955 | | |
| | | 3,084 | | | | Cava Group Inc.*(a) | | | | | 136,960 | | |
| | | 48,094 | | | | Cheesecake Factory Inc. | | | | | 1,531,794 | | |
| | | 79,236 | | | | First Watch Restaurant Group Inc.* | | | | | 1,514,992 | | |
| | | 2,611 | | | | Freshpet Inc.* | | | | | 197,157 | | |
| | | 28,400 | | | | Genuine Parts Co. | | | | | 4,365,932 | | |
| | | 12,806 | | | | GMS Inc.* | | | | | 887,968 | | |
| | | 36,755 | | | | Kura Sushi USA Inc., Class A Shares* | | | | | 3,211,284 | | |
| | | 17,404 | | | | Murphy USA Inc. | | | | | 5,528,207 | | |
| | | 2,954 | | | | Ollie’s Bargain Outlet Holdings Inc.* | | | | | 227,694 | | |
| | | 5,484 | | | | Savers Value Village Inc.* | | | | | 135,729 | | |
| | | 35,000 | | | | Target Corp. | | | | | 4,429,250 | | |
| | | 1,589 | | | | Texas Roadhouse Inc., Class A Shares | | | | | 165,415 | | |
| | | 609 | | | | Wingstop Inc. | | | | | 97,830 | | |
| | | | | | | Total Retail | | | | | 28,442,900 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 69,304,773 | | |
| CONSUMER NON-CYCLICAL – 25.1% | | ||||||||||||
| Beverages – 1.9% | | ||||||||||||
| | | 17,402 | | | | Celsius Holdings Inc.* | | | | | 3,411,488 | | |
| | | 43,630 | | | | Duckhorn Portfolio Inc.* | | | | | 542,757 | | |
| | | 126,600 | | | | Keurig Dr Pepper Inc. | | | | | 4,260,090 | | |
| | | 34,709 | | | | MGP Ingredients Inc. | | | | | 4,161,609 | | |
| | | 117,262 | | | | Vita Coco Co., Inc.* | | | | | 3,317,342 | | |
| | | | | | | Total Beverages | | | | | 15,693,286 | | |
| Biotechnology – 4.7% | | ||||||||||||
| | | 53,436 | | | | 89bio Inc.* | | | | | 915,893 | | |
| | | 310,622 | | | | ADMA Biologics Inc.* | | | | | 1,195,895 | | |
| | | 37,597 | | | | Aerovate Therapeutics Inc.*(a) | | | | | 597,416 | | |
| | | 1,949 | | | | Apellis Pharmaceuticals Inc.* | | | | | 82,267 | | |
| | | 52,452 | | | | Apogee Therapeutics Inc.* | | | | | 1,203,249 | | |
| | | 79,375 | | | | Astria Therapeutics Inc.* | | | | | 706,438 | | |
| | | 2,676 | | | | Axsome Therapeutics Inc.* | | | | | 216,221 | | |
| | | 4,946 | | | | Biohaven Ltd.* | | | | | 90,462 | | |
| | | 49,478 | | | | Biomea Fusion Inc.*(a) | | | | | 834,694 | | |
| | | 187,200 | | | | Crinetics Pharmaceuticals Inc.* | | | | | 3,242,304 | | |
| | | 60,369 | | | | Day One Biopharmaceuticals Inc.* | | | | | 814,378 | | |
| | | 200,622 | | | | Dynavax Technologies Corp.* | | | | | 2,880,932 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Biotechnology – (continued) | | ||||||||||||
| | | 3,609 | | | | Halozyme Therapeutics Inc.* | | | | $ | 153,599 | | |
| | | 75,280 | | | | Ideaya Biosciences Inc.* | | | | | 2,210,221 | | |
| | | 178,105 | | | | ImmunoGen Inc.* | | | | | 2,821,183 | | |
| | | 664 | | | | Karuna Therapeutics Inc.* | | | | | 124,673 | | |
| | | 62,302 | | | | Kiniksa Pharmaceuticals Ltd., Class A Shares* | | | | | 1,073,463 | | |
| | | 2,136 | | | | Krystal Biotech Inc.* | | | | | 265,889 | | |
| | | 36,761 | | | | Mineralys Therapeutics Inc.* | | | | | 472,011 | | |
| | | 54,794 | | | | NeoGenomics Inc.* | | | | | 823,554 | | |
| | | 92,549 | | | | Nuvalent Inc., Class A Shares* | | | | | 4,217,458 | | |
| | | 26,970 | | | | REVOLUTION Medicines Inc.* | | | | | 916,171 | | |
| | | 49,173 | | | | SpringWorks Therapeutics Inc.* | | | | | 1,385,695 | | |
| | | 92,474 | | | | Structure Therapeutics Inc., ADR*(a) | | | | | 2,606,842 | | |
| | | 83,220 | | | | Terns Pharmaceuticals Inc.* | | | | | 438,569 | | |
| | | 3,546 | | | | Ultragenyx Pharmaceutical Inc.* | | | | | 130,457 | | |
| | | 81,152 | | | | Ventyx Biosciences Inc.* | | | | | 2,718,592 | | |
| | | 51,088 | | | | Veracyte Inc.* | | | | | 1,348,723 | | |
| | | 150,445 | | | | Xenon Pharmaceuticals Inc.* | | | | | 5,864,346 | | |
| | | | | | | Total Biotechnology | | | | | 40,351,595 | | |
| Commercial Services – 4.5% | | ||||||||||||
| | | 259,663 | | | | Arlo Technologies Inc.* | | | | | 2,536,908 | | |
| | | 38,700 | | | | Equifax Inc. | | | | | 7,999,290 | | |
| | | 94,504 | | | | Flywire Corp.* | | | | | 3,267,948 | | |
| | | 782 | | | | FTI Consulting Inc.* | | | | | 145,311 | | |
| | | 29,300 | | | | Global Payments Inc. | | | | | 3,712,017 | | |
| | | 86,434 | | | | Huron Consulting Group Inc.* | | | | | 8,639,078 | | |
| | | 52,112 | | | | Korn Ferry | | | | | 2,656,670 | | |
| | | 173,895 | | | | Performant Financial Corp.* | | | | | 408,653 | | |
| | | 109,648 | | | | Remitly Global Inc.* | | | | | 2,757,647 | | |
| | | 1,750 | | | | Shift4 Payments Inc., Class A Shares* | | | | | 99,383 | | |
| | | 22,102 | | | | Stride Inc.* | | | | | 939,114 | | |
| | | 8,400 | | | | United Rentals Inc. | | | | | 4,002,936 | | |
| | | 4,392 | | | | WillScot Mobile Mini Holdings Corp.* | | | | | 180,160 | | |
| | | 230,409 | | | | WW International Inc.* | | | | | 2,237,271 | | |
| | | | | | | Total Commercial Services | | | | | 39,582,386 | | |
| Cosmetics/Personal Care – 1.6% | | ||||||||||||
| | | 53,513 | | | | elf Beauty Inc.* | | | | | 7,422,788 | | |
| | | 1,618 | | | | Inter Parfums Inc. | | | | | 226,083 | | |
| | | 250,800 | | | | Kenvue Inc. | | | | | 5,780,940 | | |
| | | | | | | Total Cosmetics/Personal Care | | | | | 13,429,811 | | |
| Food – 2.2% | | ||||||||||||
| | | 86,610 | | | | Hain Celestial Group Inc.* | | | | | 917,200 | | |
| | | 80,073 | | | | Hostess Brands Inc., Class A Shares* | | | | | 2,280,479 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Food – (continued) | | ||||||||||||
| | | 28,972 | | | | Ingredion Inc. | | | | $ | 2,981,509 | | |
| | | 62,200 | | | | Kroger Co. | | | | | 2,885,458 | | |
| | | 10,848 | | | | Lancaster Colony Corp. | | | | | 1,791,981 | | |
| | | 50,537 | | | | Performance Food Group Co.* | | | | | 3,139,864 | | |
| | | 98,612 | | | | Real Good Food Co., Inc., Class A Shares* | | | | | 388,531 | | |
| | | 82,620 | | | | TreeHouse Foods Inc.* | | | | | 3,843,482 | | |
| | | | | | | Total Food | | | | | 18,228,504 | | |
| Healthcare-Products – 4.8% | | ||||||||||||
| | | 205,063 | | | | Alphatec Holdings Inc.* | | | | | 3,352,780 | | |
| | | 1,532 | | | | AtriCure Inc.* | | | | | 69,170 | | |
| | | 35,434 | | | | Avita Medical Inc.* | | | | | 577,574 | | |
| | | 2,363 | | | | Axonics Inc.* | | | | | 135,400 | | |
| | | 36,885 | | | | Cutera Inc.* | | | | | 419,751 | | |
| | | 98,505 | | | | EDAP TMS SA, ADR* | | | | | 792,965 | | |
| | | 76,666 | | | | Envista Holdings Corp.* | | | | | 2,454,845 | | |
| | | 18,971 | | | | Establishment Labs Holdings Inc.* | | | | | 1,145,279 | | |
| | | 3,999 | | | | Glaukos Corp.* | | | | | 300,485 | | |
| | | 4,998 | | | | Inspire Medical Systems Inc.* | | | | | 1,133,946 | | |
| | | 81,220 | | | | Integra LifeSciences Holdings Corp.* | | | | | 3,455,099 | | |
| | | 18,170 | | | | LeMaitre Vascular Inc. | | | | | 1,050,408 | | |
| | | 4,579 | | | | Natera Inc.* | | | | | 268,925 | | |
| | | 42,523 | | | | NuVasive Inc.* | | | | | 1,690,289 | | |
| | | 29,716 | | | | PROCEPT BioRobotics Corp.* | | | | | 1,013,613 | | |
| | | 26,222 | | | | QuidelOrtho Corp.* | | | | | 2,159,644 | | |
| | | 64,600 | | | | Revvity Inc. | | | | | 7,560,138 | | |
| | | 73,450 | | | | RxSight Inc.* | | | | | 2,130,785 | | |
| | | 71,357 | | | | Tactile Systems Technology Inc.* | | | | | 1,352,215 | | |
| | | 58,794 | | | | TransMedics Group Inc.* | | | | | 3,858,650 | | |
| | | 70,572 | | | | Treace Medical Concepts Inc.* | | | | | 1,097,395 | | |
| | | 37,400 | | | | Zimmer Biomet Holdings Inc. | | | | | 4,455,088 | | |
| | | | | | | Total Healthcare-Products | | | | | 40,474,444 | | |
| Healthcare-Services – 1.9% | | ||||||||||||
| | | 33,583 | | | | Amedisys Inc.* | | | | | 3,148,406 | | |
| | | 67,371 | | | | Encompass Health Corp. | | | | | 4,786,036 | | |
| | | 17,200 | | | | Humana Inc. | | | | | 7,940,036 | | |
| | | | | | | Total Healthcare-Services | | | | | 15,874,478 | | |
| Household Products/Wares – 1.1% | | ||||||||||||
| | | 30,100 | | | | Avery Dennison Corp. | | | | | 5,670,238 | | |
| | | 21,800 | | | | Clorox Co. | | | | | 3,410,610 | | |
| | | | | | | Total Household Products/Wares | | | | | 9,080,848 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Pharmaceuticals – 2.4% | | ||||||||||||
| | | 97,335 | | | | ACELYRIN Inc.* | | | | $ | 2,465,496 | | |
| | | 11,317 | | | | BellRing Brands Inc.* | | | | | 469,656 | | |
| | | 71,221 | | | | Harrow Health Inc.* | | | | | 1,080,423 | | |
| | | 55,073 | | | | Ironwood Pharmaceuticals Inc., Class A Shares* | | | | | 484,642 | | |
| | | 71,903 | | | | KalVista Pharmaceuticals Inc.* | | | | | 780,148 | | |
| | | 93,778 | | | | Merus NV* | | | | | 2,097,814 | | |
| | | 43,292 | | | | Morphic Holding Inc.* | | | | | 2,384,523 | | |
| | | 42,000 | | | | PetIQ Inc., Class A Shares* | | | | | 801,360 | | |
| | | 84,764 | | | | Prestige Consumer Healthcare Inc.* | | | | | 4,944,284 | | |
| | | 31,104 | | | | Rhythm Pharmaceuticals Inc.* | | | | | 809,015 | | |
| | | 58,642 | | | | Vaxcyte Inc.* | | | | | 3,044,693 | | |
| | | | | | | Total Pharmaceuticals | | | | | 19,362,054 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 212,077,406 | | |
| ENERGY – 5.0% | | ||||||||||||
| Energy-Alternate Sources – 0.3% | | ||||||||||||
| | | 54,975 | | | | Fluence Energy Inc., Class A Shares* | | | | | 1,448,591 | | |
| | | 38,575 | | | | Green Plains Inc.* | | | | | 1,197,368 | | |
| | | | | | | Total Energy-Alternate Sources | | | | | 2,645,959 | | |
| Oil & Gas – 3.2% | | ||||||||||||
| | | 81,800 | | | | Chesapeake Energy Corp. | | | | | 7,215,578 | | |
| | | 49,576 | | | | Civitas Resources Inc. | | | | | 4,076,139 | | |
| | | 122,925 | | | | Diamond Offshore Drilling Inc.* | | | | | 1,827,895 | | |
| | | 55,500 | | | | Hess Corp. | | | | | 8,574,750 | | |
| | | 4,280 | | | | Noble Corp. PLC | | | | | 225,727 | | |
| | | 326,843 | | | | Permian Resources Corp., Class A Shares | | | | | 4,634,634 | | |
| | | 35,582 | | | | Transocean Ltd.* | | | | | 291,061 | | |
| | | 3,585 | | | | Weatherford International PLC* | | | | | 317,344 | | |
| | | | | | | Total Oil & Gas | | | | | 27,163,128 | | |
| Oil & Gas Services – 1.5% | | ||||||||||||
| | | 80,400 | | | | Baker Hughes Co., Class A Shares | | | | | 2,909,676 | | |
| | | 104,216 | | | | ChampionX Corp. | | | | | 3,761,155 | | |
| | | 103,823 | | | | Oceaneering International Inc.* | | | | | 2,366,126 | | |
| | | 28,463 | | | | TechnipFMC PLC | | | | | 541,936 | | |
| | | 38,547 | | | | Tidewater Inc.* | | | | | 2,506,711 | | |
| | | | | | | Total Oil & Gas Services | | | | | 12,085,604 | | |
| | | | | | | TOTAL ENERGY | | | | | 41,894,691 | | |
| FINANCIAL – 17.2% | | ||||||||||||
| Banks – 5.2% | | ||||||||||||
| | | 69,376 | | | | Bancorp Inc.* | | | | | 2,546,793 | | |
| | | 18,548 | | | | City Holding Co. | | | | | 1,694,545 | | |
| | | 194,348 | | | | Columbia Banking System Inc. | | | | | 3,980,247 | | |
| | | 5,200 | | | | First Citizens BancShares Inc., Class A Shares | | | | | 7,074,080 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Banks – (continued) | | ||||||||||||
| | | 137,237 | | | | First Interstate BancSystem Inc., Class A Shares | | | | $ | 3,555,811 | | |
| | | 54,700 | | | | Independent Bank Corp. | | | | | 2,954,894 | | |
| | | 35,593 | | | | National Bank Holdings Corp., Class A Shares | | | | | 1,122,603 | | |
| | | 233,004 | | | | Old National Bancorp | | | | | 3,555,641 | | |
| | | 50,066 | | | | Pinnacle Financial Partners Inc. | | | | | 3,332,393 | | |
| | | 14,457 | | | | Triumph Financial Inc.* | | | | | 928,573 | | |
| | | 84,583 | | | | Univest Financial Corp. | | | | | 1,521,648 | | |
| | | 116,000 | | | | US Bancorp | | | | | 4,237,480 | | |
| | | 328,753 | | | | Valley National Bancorp | | | | | 3,017,953 | | |
| | | 57,728 | | | | Wintrust Financial Corp. | | | | | 4,480,270 | | |
| | | | | | | Total Banks | | | | | 44,002,931 | | |
| Diversified Financial Services – 2.0% | | ||||||||||||
| | | 44,900 | | | | Capital One Financial Corp. | | | | | 4,597,311 | | |
| | | 1,202 | | | | Evercore Inc., Class A Shares | | | | | 168,340 | | |
| | | 97,684 | | | | FTAI Aviation Ltd. | | | | | 3,610,401 | | |
| | | 133,000 | | | | Jefferies Financial Group Inc. | | | | | 4,746,770 | | |
| | | 42,400 | | | | Raymond James Financial Inc. | | | | | 4,434,616 | | |
| | | | | | | Total Diversified Financial Services | | | | | 17,557,438 | | |
| Equity Real Estate Investment Trusts (REITs) – 4.2% | | ||||||||||||
| | | 145,400 | | | | American Homes 4 Rent, Class A Shares | | | | | 5,240,216 | | |
| | | 164,100 | | | | Americold Realty Trust Inc. | | | | | 5,521,965 | | |
| | | 367,475 | | | | Chimera Investment Corp. | | | | | 2,223,224 | | |
| | | 97,141 | | | | Corporate Office Properties Trust | | | | | 2,514,009 | | |
| | | 55,000 | | | | Extra Space Storage Inc. | | | | | 7,077,400 | | |
| | | 69,867 | | | | National Storage Affiliates Trust | | | | | 2,347,531 | | |
| | | 27,000 | | | | SBA Communications Corp., Class A Shares | | | | | 6,062,310 | | |
| | | 113,016 | | | | STAG Industrial Inc. | | | | | 4,128,474 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 35,115,129 | | |
| Insurance – 4.7% | | ||||||||||||
| | | 79,100 | | | | Allstate Corp. | | | | | 8,527,771 | | |
| | | 72,000 | | | | Fidelity National Financial Inc. | | | | | 2,980,800 | | |
| | | 48,337 | | | | First American Financial Corp. | | | | | 2,981,426 | | |
| | | 23,538 | | | | Hanover Insurance Group Inc. | | | | | 2,511,975 | | |
| | | 74,100 | | | | Hartford Financial Services Group Inc. | | | | | 5,321,862 | | |
| | | 1,781 | | | | Kinsale Capital Group Inc. | | | | | 709,960 | | |
| | | 145,646 | | | | MGIC Investment Corp. | | | | | 2,560,457 | | |
| | | 64,035 | | | | NMI Holdings Inc., Class A Shares* | | | | | 1,832,682 | | |
| | | 21,879 | | | | Primerica Inc. | | | | | 4,396,804 | | |
| | | 38,113 | | | | Skyward Specialty Insurance Group Inc.* | | | | | 926,908 | | |
| | | 32,700 | | | | Willis Towers Watson PLC | | | | | 6,761,052 | | |
| | | | | | | Total Insurance | | | | | 39,511,697 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Private Equity – 0.6% | | ||||||||||||
| | | 79,000 | | | | KKR & Co., Inc. | | | | $ | 4,961,990 | | |
| Real Estate – 0.5% | | ||||||||||||
| | | 12,127 | | | | McGrath RentCorp | | | | | 1,226,040 | | |
| | | 385,397 | | | | Newmark Group Inc., Class A Shares | | | | | 2,732,465 | | |
| | | | | | | Total Real Estate | | | | | 3,958,505 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 145,107,690 | | |
| INDUSTRIAL – 17.5% | | ||||||||||||
| Aerospace/Defense – 2.7% | | ||||||||||||
| | | 47,121 | | | | AAR Corp.* | | | | | 2,902,654 | | |
| | | 25,100 | | | | General Dynamics Corp. | | | | | 5,688,664 | | |
| | | 33,246 | | | | Hexcel Corp. | | | | | 2,436,932 | | |
| | | 87,200 | | | | Howmet Aerospace Inc. | | | | | 4,313,784 | | |
| | | 36,300 | | | | L3Harris Technologies Inc. | | | | | 6,464,667 | | |
| | | 911 | | | | Moog Inc., Class A Shares | | | | | 105,822 | | |
| | | | | | | Total Aerospace/Defense | | | | | 21,912,523 | | |
| Building Materials – 1.8% | | ||||||||||||
| | | 5,188 | | | | AAON Inc. | | | | | 327,155 | | |
| | | 102,991 | | | | AZEK Co., Inc., Class A Shares* | | | | | 3,502,724 | | |
| | | 22,585 | | | | Hayward Holdings Inc.* | | | | | 334,258 | | |
| | | 47,239 | | | | Knife River Corp.* | | | | | 2,430,919 | | |
| | | 30,574 | | | | Masonite International Corp.* | | | | | 3,140,255 | | |
| | | 93,129 | | | | Modine Manufacturing Co.* | | | | | 4,432,009 | | |
| | | 1,462 | | | | Simpson Manufacturing Co., Inc. | | | | | 233,569 | | |
| | | 4,102 | | | | SPX Technologies Inc.* | | | | | 324,140 | | |
| | | 6,200 | | | | Summit Materials Inc., Class A Shares* | | | | | 231,942 | | |
| | | 37,674 | | | | Tecnoglass Inc. | | | | | 1,468,156 | | |
| | | | | | | Total Building Materials | | | | | 16,425,127 | | |
| Electrical Components & Equipment – 0.8% | | ||||||||||||
| | | 25,986 | | | | Belden Inc. | | | | | 2,440,085 | | |
| | | 40,400 | | | | Emerson Electric Co. | | | | | 3,969,300 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 6,409,385 | | |
| Electronics – 1.8% | | ||||||||||||
| | | 170,693 | | | | Applied Optoelectronics Inc.*(a) | | | | | 2,350,443 | | |
| | | 1,400 | | | | Atkore Inc.* | | | | | 215,558 | | |
| | | 1,787 | | | | Badger Meter Inc. | | | | | 296,785 | | |
| | | 56,259 | | | | Camtek Ltd.* | | | | | 3,392,418 | | |
| | | 11,039 | | | | Celestica Inc.* | | | | | 257,319 | | |
| | | 180,894 | | | | Enovix Corp.*(a) | | | | | 2,492,719 | | |
| | | 101,153 | | | | Evolv Technologies Holdings Inc.* | | | | | 707,059 | | |
| | | 48,600 | | | | Fortive Corp. | | | | | 3,832,110 | | |
| | | 21,032 | | | | National Instruments Corp. | | | | | 1,253,507 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Electronics – (continued) | | ||||||||||||
| | | 5,408 | | | | NEXTracker Inc., Class A Shares* | | | | $ | 227,785 | | |
| | | | | | | Total Electronics | | | | | 15,025,703 | | |
| Engineering & Construction – 1.7% | | ||||||||||||
| | | 3,075 | | | | Arcosa Inc. | | | | | 240,526 | | |
| | | 2,457 | | | | Comfort Systems USA Inc. | | | | | 453,488 | | |
| | | 23,591 | | | | EMCOR Group Inc. | | | | | 5,290,282 | | |
| | | 4,997 | | | | Fluor Corp.* | | | | | 174,845 | | |
| | | 16,818 | | | | MYR Group Inc.* | | | | | 2,389,333 | | |
| | | 79,558 | | | | Primoris Services Corp. | | | | | 2,813,966 | | |
| | | 44,950 | | | | Sterling Infrastructure Inc.* | | | | | 3,720,062 | | |
| | | | | | | Total Engineering & Construction | | | | | 15,082,502 | | |
| Environmental Control – 1.0% | | ||||||||||||
| | | 25,429 | | | | Clean Harbors Inc.* | | | | | 4,306,147 | | |
| | | 67,615 | | | | Energy Recovery Inc.* | | | | | 1,837,776 | | |
| | | 98,085 | | | | Enviri Corp.* | | | | | 730,733 | | |
| | | 44,713 | | | | Montrose Environmental Group Inc.* | | | | | 1,718,768 | | |
| | | 1,436 | | | | Tetra Tech Inc. | | | | | 225,955 | | |
| | | | | | | Total Environmental Control | | | | | 8,819,379 | | |
| Hand/Machine Tools – 0.6% | | ||||||||||||
| | | 62,718 | | | | Enerpac Tool Group Corp., Class A Shares | | | | | 1,643,212 | | |
| | | 1,659 | | | | MSA Safety Inc. | | | | | 303,066 | | |
| | | 19,143 | | | | Regal Rexnord Corp. | | | | | 3,104,803 | | |
| | | | | | | Total Hand/Machine Tools | | | | | 5,051,081 | | |
| Machinery-Construction & Mining – 0.5% | | ||||||||||||
| | | 52,897 | | | | BWX Technologies Inc. | | | | | 3,901,683 | | |
| | | 1,893 | | | | Terex Corp. | | | | | 114,735 | | |
| | | | | | | Total Machinery-Construction & Mining | | | | | 4,016,418 | | |
| Machinery-Diversified – 2.3% | | ||||||||||||
| | | 2,652 | | | | Applied Industrial Technologies Inc. | | | | | 409,389 | | |
| | | 59,646 | | | | Cactus Inc., Class A Shares | | | | | 3,181,518 | | |
| | | 3,257 | | | | Chart Industries Inc.* | | | | | 588,149 | | |
| | | 40,694 | | | | CIRCOR International Inc.* | | | | | 2,266,249 | | |
| | | 32,800 | | | | Dover Corp. | | | | | 4,864,240 | | |
| | | 2,946 | | | | ESAB Corp. | | | | | 212,613 | | |
| | | 152,696 | | | | Gates Industrial Corp. PLC* | | | | | 1,875,107 | | |
| | | 21,700 | | | | IDEX Corp. | | | | | 4,912,880 | | |
| | | | | | | Total Machinery-Diversified | | | | | 18,310,145 | | |
| Metal Fabricate/Hardware – 0.8% | | ||||||||||||
| | | 27,727 | | | | Standex International Corp. | | | | | 4,259,699 | | |
| | | 11,276 | | | | Valmont Industries Inc. | | | | | 2,858,466 | | |
| | | | | | | Total Metal Fabricate/Hardware | | | | | 7,118,165 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Miscellaneous Manufacturers – 2.3% | | ||||||||||||
| | | 1,843 | | | | Axon Enterprise Inc.* | | | | $ | 392,393 | | |
| | | 13,900 | | | | Carlisle Cos., Inc. | | | | | 3,655,978 | | |
| | | 27,789 | | | | EnPro Industries Inc. | | | | | 3,790,142 | | |
| | | 680 | | | | Fabrinet* | | | | | 109,324 | | |
| | | 56,820 | | | | Federal Signal Corp. | | | | | 3,463,179 | | |
| | | 44,290 | | | | ITT Inc. | | | | | 4,529,981 | | |
| | | 8,800 | | | | Parker-Hannifin Corp. | | | | | 3,668,720 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 19,609,717 | | |
| Packaging & Containers – 0.5% | | ||||||||||||
| | | 96,645 | | | | O-I Glass Inc.* | | | | | 1,919,370 | | |
| | | 57,825 | | | | Silgan Holdings Inc. | | | | | 2,609,642 | | |
| | | | | | | Total Packaging & Containers | | | | | 4,529,012 | | |
| Transportation – 0.7% | | ||||||||||||
| | | 89,900 | | | | Knight-Swift Transportation Holdings Inc., Class A Shares | | | | | 4,928,318 | | |
| | | 1,142 | | | | Saia Inc.* | | | | | 486,720 | | |
| | | | | | | Total Transportation | | | | | 5,415,038 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 147,724,195 | | |
| TECHNOLOGY – 7.2% | | ||||||||||||
| Computers – 1.7% | | ||||||||||||
| | | 10,671 | | | | CACI International Inc., Class A Shares* | | | | | 3,500,195 | | |
| | | 997 | | | | CyberArk Software Ltd.* | | | | | 165,542 | | |
| | | 75,300 | | | | Dell Technologies Inc., Class C Shares | | | | | 4,234,872 | | |
| | | 75,995 | | | | ExlService Holdings Inc.* | | | | | 2,221,334 | | |
| | | 6,485 | | | | Integral Ad Science Holding Corp.* | | | | | 92,541 | | |
| | | 58,746 | | | | Lumentum Holdings Inc.* | | | | | 3,179,921 | | |
| | | 3,236 | | | | Super Micro Computer Inc.* | | | | | 890,159 | | |
| | | | | | | Total Computers | | | | | 14,284,564 | | |
| Semiconductors – 3.6% | | ||||||||||||
| | | 119,138 | | | | Aehr Test Systems* | | | | | 6,077,229 | | |
| | | 22,897 | | | | Axcelis Technologies Inc.* | | | | | 4,399,658 | | |
| | | 1,621 | | | | Lattice Semiconductor Corp.* | | | | | 157,658 | | |
| | | 88,700 | | | | Marvell Technology Inc. | | | | | 5,166,775 | | |
| | | 1,949 | | | | Onto Innovation Inc.* | | | | | 270,872 | | |
| | | 44,700 | | | | Power Integrations Inc. | | | | | 3,755,694 | | |
| | | 4,472 | | | | Rambus Inc.* | | | | | 252,534 | | |
| | | 13,130 | | | | Silicon Laboratories Inc.* | | | | | 1,770,712 | | |
| | | 98,837 | | | | SkyWater Technology Inc.*(a) | | | | | 662,208 | | |
| | | 51,400 | | | | Skyworks Solutions Inc. | | | | | 5,589,236 | | |
| | | 86,254 | | | | SMART Global Holdings Inc.* | | | | | 2,227,941 | | |
| | | | | | | Total Semiconductors | | | | | 30,330,517 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Software – 1.9% | | ||||||||||||
| | | 113,131 | | | | ACV Auctions Inc., Class A Shares* | | | | $ | 1,901,732 | | |
| | | 41,727 | | | | Agilysys Inc.* | | | | | 2,943,631 | | |
| | | 1,818 | | | | Appfolio Inc., Class A Shares* | | | | | 350,456 | | |
| | | 68,287 | | | | Digi International Inc.* | | | | | 2,279,420 | | |
| | | 1,458 | | | | Duolingo Inc., Class A Shares* | | | | | 214,559 | | |
| | | 183,627 | | | | Fastly Inc., Class A Shares* | | | | | 4,368,486 | | |
| | | 2,048 | | | | Five9 Inc.* | | | | | 148,214 | | |
| | | 3,281 | | | | Monday.com Ltd.* | | | | | 582,181 | | |
| | | 24,918 | | | | PDF Solutions Inc.* | | | | | 905,520 | | |
| | | 36,191 | | | | Phreesia Inc.* | | | | | 1,030,358 | | |
| | | 6,506 | | | | Procore Technologies Inc.* | | | | | 439,480 | | |
| | | 1,637 | | | | SPS Commerce Inc.* | | | | | 304,695 | | |
| | | 117,155 | | | | Yext Inc.* | | | | | 1,026,278 | | |
| | | | | | | Total Software | | | | | 16,495,010 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 61,110,091 | | |
| UTILITIES – 5.4% | | ||||||||||||
| Electric – 5.2% | | ||||||||||||
| | | 73,300 | | | | Ameren Corp. | | | | | 5,810,491 | | |
| | | 35,527 | | | | Black Hills Corp. | | | | | 1,953,985 | | |
| | | 205,700 | | | | CenterPoint Energy Inc. | | | | | 5,736,973 | | |
| | | 99,600 | | | | CMS Energy Corp. | | | | | 5,596,524 | | |
| | | 153,400 | | | | Exelon Corp. | | | | | 6,154,408 | | |
| | | 28,598 | | | | IDACORP Inc. | | | | | 2,740,833 | | |
| | | 98,156 | | | | Portland General Electric Co. | | | | | 4,305,122 | | |
| | | 237,800 | | | | PPL Corp. | | | | | 5,925,976 | | |
| | | 99,800 | | | | Xcel Energy Inc. | | | | | 5,701,574 | | |
| | | | | | | Total Electric | | | | | 43,925,886 | | |
| Gas – 0.2% | | ||||||||||||
| | | 25,830 | | | | Spire Inc. | | | | | 1,508,730 | | |
| | | | | | | TOTAL UTILITIES | | | | | 45,434,616 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $648,874,560) | | | | | 781,441,427 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 4.8% | | ||||||||||||
| | | 185,491 | | | | iShares Russell 2000(a) | | | | | 34,985,457 | | |
| | | 77,008 | | | | iShares Russell Mid-Capital | | | | | 5,641,606 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $39,826,152) | | | | | 40,627,063 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $688,700,712) | | | | | 822,068,490 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 2.7% | | ||||||||||||
| TIME DEPOSITS – 2.7% | | ||||||||||||
| | $ | 251,610 | | | | ANZ National Bank – London, 4.680% due 9/1/23 | | | | $ | 251,610 | | |
| | | 12,284,040 | | | | Citibank – New York, 4.680% due 9/1/23 | | | | | 12,284,040 | | |
| | | 9,799,298 | | | | JPMorgan Chase & Co. – New York, 4.680% due 9/1/23 | | | | | 9,799,298 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $22,334,948) | | | | | 22,334,948 | | |
| Shares/Units | | | | | | | | | | | |||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 2.6% | | ||||||||||||
| MONEY MARKET FUND – 2.6% | | ||||||||||||
| | | 22,079,194 | | | | Federated Government Obligations Fund, Premier Class, 5.165%(b) (Cost – $22,079,194) | | | | | 22,079,194 | | |
| | | | | | | TOTAL INVESTMENTS – 102.7% (Cost – $733,114,854) | | | | | 866,482,632 | | |
| | | | | | | Liabilities in Excess of Other Assets – (2.7)% | | | | | (22,943,395) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 843,539,237 | | |
| Consumer Non-cyclical | | | | | 24.5% | | |
| Industrial | | | | | 17.0 | | |
| Financial | | | | | 16.8 | | |
| Consumer Cyclical | | | | | 8.0 | | |
| Technology | | | | | 7.1 | | |
| Utilities | | | | | 5.2 | | |
| Energy | | | | | 4.8 | | |
| Basic Materials | | | | | 4.3 | | |
| Communications | | | | | 2.4 | | |
| Exchange Traded Funds (ETFs) | | | | | 4.7 | | |
| Short-Term Investments | | | | | 2.6 | | |
| Money Market Fund | | | | | 2.6 | | |
| | | | | | 100.0% | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 87.9% | | ||||||||||||
| Argentina – 0.1% | | ||||||||||||
| | | 281,990 | | | | Despegar.com Corp.* | | | | $ | 2,241,820 | | |
| Australia – 1.0% | | ||||||||||||
| | | 126,979 | | | | AGL Energy Ltd. | | | | | 911,088 | | |
| | | 495,810 | | | | Coronado Global Resources Inc.(a) | | | | | 506,715 | | |
| | | 63,360 | | | | Eagers Automotive Ltd. | | | | | 655,023 | | |
| | | 261,840 | | | | GrainCorp Ltd., Class A Shares | | | | | 1,236,496 | | |
| | | 234,802 | | | | Helia Group Ltd. | | | | | 589,498 | | |
| | | 70,741 | | | | JB Hi-Fi Ltd. | | | | | 2,083,018 | | |
| | | 990,155 | | | | Johns Lyng Group Ltd. | | | | | 4,110,528 | | |
| | | 536,802 | | | | Metcash Ltd. | | | | | 1,293,691 | | |
| | | 853,968 | | | | Perenti Ltd.* | | | | | 585,563 | | |
| | | 88,552 | | | | Pro Medicus Ltd. | | | | | 4,196,586 | | |
| | | 67,544 | | | | Super Retail Group Ltd. | | | | | 566,674 | | |
| | | 388,647 | | | | Woodside Energy Group Ltd. | | | | | 9,329,992 | | |
| | | | | | | Total Australia | | | | | 26,064,872 | | |
| Austria – 0.1% | | ||||||||||||
| | | 107,709 | | | | Raiffeisen Bank International AG* | | | | | 1,547,326 | | |
| Belgium – 0.0% | | ||||||||||||
| | | 134,073 | | | | Proximus SADP | | | | | 1,012,860 | | |
| Bermuda – 0.1% | | ||||||||||||
| | | 174,082 | | | | Hiscox Ltd. | | | | | 2,194,408 | | |
| Brazil – 1.8% | | ||||||||||||
| | | 148,136 | | | | Aeris Industria E Comercio de Equipamentos Para Geracao de Energia SA* | | | | | 28,428 | | |
| | | 56,726 | | | | Afya Ltd., Class A Shares* | | | | | 854,861 | | |
| | | 403,822 | | | | B3 SA – Brasil Bolsa Balcao | | | | | 1,054,747 | | |
| | | 216,800 | | | | Bradespar SA | | | | | 985,375 | | |
| | | 253,400 | | | | Compania de Saneamento de Minas Gerais Copasa MG* | | | | | 917,285 | | |
| | | 108,600 | | | | Compania de Saneamento do Parana* | | | | | 496,887 | | |
| | | 866,985 | | | | Inter & Co., Inc.* | | | | | 3,520,200 | | |
| | | 497,431 | | | | Localiza Rent a Car SA | | | | | 6,355,549 | | |
| | | 1,683,453 | | | | Lojas Renner SA | | | | | 5,451,226 | | |
| | | 379,500 | | | | Metalurgica Gerdau SA | | | | | 906,127 | | |
| | | 111,547 | | | | NU Holdings Ltd., Class A Shares* | | | | | 764,097 | | |
| | | 240,557 | | | | Petroleo Brasileiro SA, Class A Shares, ADR | | | | | 3,112,808 | | |
| | | 378,712 | | | | Raia Drogasil SA | | | | | 2,102,255 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Brazil – (continued) | | ||||||||||||
| | | 94,956 | | | | StoneCo Ltd., Class A Shares* | | | | $ | 1,164,160 | | |
| | | 576,843 | | | | Suzano SA | | | | | 5,843,705 | | |
| | | 1,230,300 | | | | TOTVS SA | | | | | 6,894,094 | | |
| | | 216,800 | | | | XP Inc., Class A Shares* | | | | | 5,493,712 | | |
| | | | | | | Total Brazil | | | | | 45,945,516 | | |
| Canada – 4.7% | | ||||||||||||
| | | 348,374 | | | | AGF Management Ltd., Class B Shares | | | | | 2,049,714 | | |
| | | 79,331 | | | | Agnico Eagle Mines Ltd. | | | | | 3,852,062 | | |
| | | 38,880 | | | | Canadian National Railway Co. | | | | | 4,378,277 | | |
| | | 56,826 | | | | Canadian Pacific Kansas City Ltd. | | | | | 4,510,848 | | |
| | | 41,061 | | | | Canfor Corp.* | | | | | 631,474 | | |
| | | 67,297 | | | | Celestica Inc.* | | | | | 1,568,869 | | |
| | | 2,323 | | | | Constellation Software Inc. | | | | | 4,771,606 | | |
| | | 47,937 | | | | Definity Financial Corp. | | | | | 1,319,048 | | |
| | | 22,370 | | | | Descartes Systems Group Inc.* | | | | | 1,676,855 | | |
| | | 62,683 | | | | Element Fleet Management Corp. | | | | | 963,533 | | |
| | | 506,200 | | | | Enbridge Inc. | | | | | 17,772,445 | | |
| | | 51,281 | | | | EQB Inc.(b) | | | | | 2,952,301 | | |
| | | 28,049 | | | | Finning International Inc. | | | | | 880,787 | | |
| | | 108,338 | | | | Franco-Nevada Corp. | | | | | 15,607,664 | | |
| | | 32,606 | | | | Interfor Corp., Class Common S Shares* | | | | | 550,190 | | |
| | | 42,959 | | | | National Bank of Canada | | | | | 2,993,968 | | |
| | | 115,828 | | | | Parex Resources Inc. | | | | | 2,191,920 | | |
| | | 78,649 | | | | Russel Metals Inc. | | | | | 2,339,330 | | |
| | | 59,849 | | | | Shopify Inc., Class A Shares* | | | | | 3,979,360 | | |
| | | 826,529 | | | | Suncor Energy Inc. | | | | | 27,997,508 | | |
| | | 17,578 | | | | TECSYS Inc.(b) | | | | | 376,095 | | |
| | | 38,899 | | | | TELUS International CDA Inc.* | | | | | 341,719 | | |
| | | 276,328 | | | | TMX Group Ltd. | | | | | 6,114,718 | | |
| | | 60,400 | | | | Vermilion Energy Inc. | | | | | 879,716 | | |
| | | 25,781 | | | | Waste Connections Inc. | | | | | 3,531,739 | | |
| | | 96,722 | | | | Wheaton Precious Metals Corp. | | | | | 4,219,060 | | |
| | | | | | | Total Canada | | | | | 118,450,806 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| China – 3.6% | | ||||||||||||
| | | 135,761 | | | | Alibaba Group Holding Ltd., ADR* | | | | $ | 12,612,197 | | |
| | | 13,309 | | | | Baidu Inc., ADR* | | | | | 1,900,924 | | |
| | | 808,437 | | | | China Mengniu Dairy Co., Ltd.* | | | | | 2,733,210 | | |
| | | 607,991 | | | | Estun Automation Co., Ltd., Class A Shares(c) | | | | | 1,936,402 | | |
| | | 481,190 | | | | FinVolution Group, ADR | | | | | 2,415,574 | | |
| | | 266,558 | | | | Full Truck Alliance Co., Ltd., ADR* | | | | | 1,785,939 | | |
| | | 228,268 | | | | Glodon Co., Ltd., Class A Shares(c) | | | | | 769,236 | | |
| | | 320,346 | | | | Hello Group Inc., ADR | | | | | 2,764,586 | | |
| | | 235,300 | | | | Inner Mongolia Yili Industrial Group Co., Ltd., Class A Shares(c) | | | | | 840,264 | | |
| | | 319,350 | | | | JD Health International Inc.*(a) | | | | | 1,712,126 | | |
| | | 18,569 | | | | JD.com Inc., ADR | | | | | 616,677 | | |
| | | 5,570 | | | | JD.com Inc., Class A Shares | | | | | 92,391 | | |
| | | 211,049 | | | | Jiangsu Hengli Hydraulic Co., Ltd., Class A Shares(c) | | | | | 1,802,840 | | |
| | | 77,117 | | | | Kanzhun Ltd., ADR* | | | | | 1,141,332 | | |
| | | 3,621,822 | | | | Kingdee International Software Group Co., Ltd.* | | | | | 5,581,877 | | |
| | | 416,762 | | | | Kingsoft Corp., Ltd. | | | | | 1,665,701 | | |
| | | 46,379 | | | | Kweichow Moutai Co., Ltd., Class A Shares(c) | | | | | 11,751,404 | | |
| | | 456,491 | | | | Lufax Holding Ltd., ADR | | | | | 552,354 | | |
| | | 240,254 | | | | Midea Group Co., Ltd., Class A Shares(c) | | | | | 1,864,143 | | |
| | | 1,311,421 | | | | NARI Technology Co., Ltd., Class A Shares(c) | | | | | 4,291,500 | | |
| | | 362,100 | | | | Shandong Pharmaceutical Glass Co., Ltd., Class A Shares(c) | | | | | 1,312,446 | | |
| | | 299,300 | | | | Shenzhen Inovance Technology Co., Ltd., Class A Shares(c) | | | | | 2,803,648 | | |
| | | 33,770 | | | | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A Shares(c) | | | | | 1,252,377 | | |
| | | 311,265 | | | | Shenzhou International Group Holdings Ltd. | | | | | 3,178,863 | | |
| | | 126,000 | | | | Silergy Corp. | | | | | 1,132,091 | | |
| | | 200,454 | | | | Tencent Holdings Ltd. | | | | | 8,326,462 | | |
| | | 21,066 | | | | Tencent Holdings Ltd., ADR(b)(c) | | | | | 872,343 | | |
| | | 276,424 | | | | Venustech Group Inc., Class A Shares(c) | | | | | 1,107,768 | | |
| | | 34,086 | | | | Wuliangye Yibin Co., Ltd., Class A Shares(c) | | | | | 728,409 | | |
| | | 144,313 | | | | Yum China Holdings Inc. | | | | | 7,737,734 | | |
| | | 158,008 | | | | Yunnan Baiyao Group Co., Ltd., Class A Shares(c) | | | | | 1,185,650 | | |
| | | 39,367 | | | | Zai Lab Ltd., ADR* | | | | | 1,002,678 | | |
| | | | | | | Total China | | | | | 89,471,146 | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – (continued) | | | | ||||||||||||||||
| Cyprus – 0.0% | | | | ||||||||||||||||
| | | 16,006 | | | | TCS Group Holding PLC, GDR*(c)@ | | | | $ | 2 | | | | | ||||
| Denmark – 0.7% | | | | ||||||||||||||||
| | | 20,004 | | | | D/S Norden AS | | | | | 961,519 | | | | | ||||
| | | 6,344 | | | | Genmab AS* | | | | | 2,430,818 | | | | | ||||
| | | 30,828 | | | | Jyske Bank AS, Class Registered Shares* | | | | | 2,194,246 | | | | | ||||
| | | 32,456 | | | | Novo Nordisk AS, ADR | | | | | 6,024,483 | | | | | ||||
| | | 66,585 | | | | Novozymes AS, Class B Shares | | | | | 2,889,924 | | | | | ||||
| | | 13,047 | | | | Royal Unibrew AS | | | | | 1,141,935 | | | | | ||||
| | | 40,879 | | | | Sydbank AS | | | | | 1,921,306 | | | | | ||||
| | | | | | | Total Denmark | | | | | 17,564,231 | | | | | ||||
| Finland – 0.1% | | | | ||||||||||||||||
| | | 55,847 | | | | Musti Group OYJ* | | | | | 1,235,773 | | | | | ||||
| | | 312,211 | | | | Outokumpu OYJ | | | | | 1,451,042 | | | | | ||||
| | | 172,286 | | | | Talenom OYJ(b) | | | | | 1,097,201 | | | | | ||||
| | | | | | | Total Finland | | | | | 3,784,016 | | | | | ||||
| France – 7.6% | | | | | | | | ||||||||||||
| | | 478,187 | | | | Accor SA | | | | | 17,103,196 | | | | | ||||
| | | 124,800 | | | | Arkema SA | | | | | 13,027,548 | | | | | ||||
| | | 17,796 | | | | Aubay | | | | | 824,009 | | | | | ||||
| | | 54,209 | | | | Capgemini SE | | | | | 10,075,753 | | | | | ||||
| | | 554,010 | | | | Cie Generale des Etablissements Michelin SCA | | | | | 17,308,452 | | | | | ||||
| | | 234,203 | | | | Danone SA | | | | | 13,647,689 | | | | | ||||
| | | 22,519 | | | | Dassault Aviation SA | | | | | 4,420,454 | | | | | ||||
| | | 81,657 | | | | Dassault Systemes SE | | | | | 3,229,270 | | | | | ||||
| | | 10,014 | | | | Esker SA | | | | | 1,720,265 | | | | | ||||
| | | 34,726 | | | | EssilorLuxottica SA | | | | | 6,524,629 | | | | | ||||
| | | 7,771 | | | | Kering SA | | | | | 4,143,547 | | | | | ||||
| | | 130,501 | | | | Legrand SA | | | | | 12,854,643 | | | | | ||||
| | | 12,628 | | | | L’Oreal SA | | | | | 5,534,902 | | | | | ||||
| | | 12,151 | | | | LVMH Moet Hennessy Louis Vuitton SE | | | | | 10,276,567 | | | | | ||||
| | | 54,191 | | | | Pernod Ricard SA | | | | | 10,621,110 | | | | | ||||
| | | 60,493 | | | | Rexel SA | | | | | 1,416,534 | | | | | ||||
| | | 29,404 | | | | Safran SA | | | | | 4,713,290 | | | | | ||||
| | | 97,855 | | | | Schneider Electric SE | | | | | 16,747,288 | | | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| France – (continued) | | ||||||||||||
| | | 13,335 | | | | Teleperformance SE | | | | $ | 1,845,506 | | |
| | | 104,022 | | | | Thales SA | | | | | 15,202,333 | | |
| | | 212,078 | | | | TotalEnergies SE | | | | | 13,335,554 | | |
| | | 229,974 | | | | Veolia Environnement SA | | | | | 7,169,825 | | |
| | | | | | | Total France | | | | | 191,742,364 | | |
| Germany – 6.5% | | ||||||||||||
| | | 6,224 | | | | Adesso SE | | | | | 780,132 | | |
| | | 21,782 | | | | adidas AG | | | | | 4,356,300 | | |
| | | 67,748 | | | | Allianz SE, Class Registered Shares | | | | | 16,481,122 | | |
| | | 14,604 | | | | Atoss Software AG | | | | | 3,555,293 | | |
| | | 292,673 | | | | BASF SE | | | | | 14,843,807 | | |
| | | 75,605 | | | | Bayer AG, Class Registered Shares | | | | | 4,148,609 | | |
| | | 38,640 | | | | Beiersdorf AG | | | | | 5,060,350 | | |
| | | 58,787 | | | | Daimler Truck Holding AG | | | | | 2,069,701 | | |
| | | 70,619 | | | | Deutsche Boerse AG | | | | | 12,537,720 | | |
| | | 325,868 | | | | Deutsche Telekom AG, Class Registered Shares | | | | | 6,975,751 | | |
| | | 260,952 | | | | DHL Group | | | | | 12,191,375 | | |
| | | 20,780 | | | | Elmos Semiconductor SE | | | | | 1,505,186 | | |
| | | 155,255 | | | | Evotec SE* | | | | | 3,642,888 | | |
| | | 99,865 | | | | GEA Group AG | | | | | 3,941,638 | | |
| | | 214,155 | | | | Henkel AG & Co. KGaA | | | | | 16,429,913 | | |
| | | 5,984 | | | | HOCHTIEF AG | | | | | 640,106 | | |
| | | 41,849 | | | | Infineon Technologies AG | | | | | 1,498,168 | | |
| | | 66,004 | | | | Kloeckner & Co. SE | | | | | 563,809 | | |
| | | 47,832 | | | | Knorr-Bremse AG | | | | | 3,274,351 | | |
| | | 27,571 | | | | LEG Immobilien SE* | | | | | 1,991,039 | | |
| | | 24,331 | | | | Mensch und Maschine Software SE | | | | | 1,451,001 | | |
| | | 7,769 | | | | Nagarro SE*(b) | | | | | 585,527 | | |
| | | 57,287 | | | | Nexus AG | | | | | 3,503,383 | | |
| | | 57,457 | | | | Puma SE | | | | | 3,864,369 | | |
| | | 37,408 | | | | Rheinmetall AG | | | | | 10,193,256 | | |
| | | 15,558 | | | | Salzgitter AG | | | | | 458,971 | | |
| | | 92,553 | | | | SAP SE | | | | | 12,928,211 | | |
| | | 9,283 | | | | Sartorius AG | | | | | 3,793,096 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Germany – (continued) | | ||||||||||||
| | | 32,051 | | | | Suedzucker AG | | | | $ | 517,246 | | |
| | | 37,050 | | | | Symrise AG, Class A Shares | | | | | 3,863,738 | | |
| | | 110,535 | | | | TAG Immobilien AG* | | | | | 1,255,709 | | |
| | | 114,310 | | | | Vonovia SE | | | | | 2,739,724 | | |
| | | 33,408 | | | | Wuestenrot & Wuerttembergische AG | | | | | 556,410 | | |
| | | 33,690 | | | | Zalando SE*(a) | | | | | 1,049,520 | | |
| | | | | | | Total Germany | | | | | 163,247,419 | | |
| Greece – 0.1% | | ||||||||||||
| | | 201,523 | | | | Sarantis SA | | | | | 1,690,383 | | |
| Hong Kong – 2.3% | | ||||||||||||
| | | 1,188,410 | | | | AIA Group Ltd. | | | | | 10,729,861 | | |
| | | 6,804,500 | | | | BOC Hong Kong Holdings Ltd. | | | | | 18,943,251 | | |
| | | 513,142 | | | | Budweiser Brewing Co. APAC Ltd.(a) | | | | | 1,115,566 | | |
| | | 2,028,500 | | | | CK Hutchison Holdings Ltd. | | | | | 11,063,798 | | |
| | | 1,222,000 | | | | CLP Holdings Ltd. | | | | | 9,565,627 | | |
| | | 243,096 | | | | Galaxy Entertainment Group Ltd.* | | | | | 1,605,452 | | |
| | | 66,000 | | | | Hong Kong Exchanges & Clearing Ltd. | | | | | 2,564,752 | | |
| | | 576,500 | | | | Kerry Properties Ltd. | | | | | 1,062,079 | | |
| | | 97,488 | | | | Techtronic Industries Co., Ltd. | | | | | 965,766 | | |
| | | | | | | Total Hong Kong | | | | | 57,616,152 | | |
| India – 6.2% | | ||||||||||||
| | | 108,821 | | | | Aarti Industries Ltd. | | | | | 645,864 | | |
| | | 40,992 | | | | Aarti Pharmalabs Ltd.* | | | | | 196,200 | | |
| | | 117,565 | | | | Aavas Financiers Ltd.* | | | | | 2,323,000 | | |
| | | 480,912 | | | | Axis Bank Ltd. | | | | | 5,633,761 | | |
| | | 126,233 | | | | Bajaj Finance Ltd. | | | | | 10,931,711 | | |
| | | 203,759 | | | | Berger Paints India Ltd. | | | | | 1,775,415 | | |
| | | 212,355 | | | | Bharti Airtel Ltd. | | | | | 2,096,136 | | |
| | | 86,831 | | | | Birlasoft Ltd. | | | | | 535,117 | | |
| | | 599,992 | | | | CESC Ltd. | | | | | 604,746 | | |
| | | 410,468 | | | | Cholamandalam Investment & Finance Co., Ltd. | | | | | 5,554,605 | | |
| | | 67,259 | | | | Cigniti Technologies Ltd. | | | | | 653,140 | | |
| | | 21,040 | | | | Divi’s Laboratories Ltd. | | | | | 911,680 | | |
| | | 22,006 | | | | Dixon Technologies India Ltd.* | | | | | 1,331,482 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| India – (continued) | | ||||||||||||
| | | 64,973 | | | | Dr Lal PathLabs Ltd. | | | | $ | 1,700,507 | | |
| | | 927,490 | | | | Edelweiss Financial Services Ltd. | | | | | 608,084 | | |
| | | 79,846 | | | | Elecon Engineering Co., Ltd. | | | | | 854,037 | | |
| | | 303,121 | | | | Elgi Equipments Ltd. | | | | | 1,799,332 | | |
| | | 46,295 | | | | GMM Pfaudler Ltd. | | | | | 881,480 | | |
| | | 152,584 | | | | Godrej Consumer Products Ltd.* | | | | | 1,855,833 | | |
| | | 65,521 | | | | Godrej Properties Ltd.* | | | | | 1,297,692 | | |
| | | 643,584 | | | | HDFC Bank Ltd. | | | | | 12,260,980 | | |
| | | 75,061 | | | | HDFC Bank Ltd., ADR | | | | | 4,677,051 | | |
| | | 367,553 | | | | HDFC Life Insurance Co., Ltd.(a) | | | | | 2,873,797 | | |
| | | 182,842 | | | | Hindustan Unilever Ltd. | | | | | 5,545,620 | | |
| | | 350,145 | | | | ICICI Bank Ltd., ADR | | | | | 8,112,860 | | |
| | | 29,241 | | | | Info Edge India Ltd. | | | | | 1,532,967 | | |
| | | 97,533 | | | | Jio Financial Services Ltd.* | | | | | 283,957 | | |
| | | 1,319,532 | | | | JM Financial Ltd. | | | | | 1,255,845 | | |
| | | 154,873 | | | | Jubilant Foodworks Ltd. | | | | | 960,063 | | |
| | | 278,900 | | | | KPIT Technologies Ltd. | | | | | 3,960,468 | | |
| | | 123,274 | | | | Larsen & Toubro Ltd. | | | | | 4,021,775 | | |
| | | 92,273 | | | | LIC Housing Finance Ltd. | | | | | 472,772 | | |
| | | 43,078 | | | | Mahindra & Mahindra Ltd. | | | | | 821,623 | | |
| | | 50,059 | | | | Maruti Suzuki India Ltd. | | | | | 6,053,131 | | |
| | | 154,068 | | | | Max Financial Services Ltd.* | | | | | 1,732,527 | | |
| | | 97,193 | | | | Max Healthcare Institute Ltd.* | | | | | 689,731 | | |
| | | 72,342 | | | | Mold-Tek Packaging Ltd. | | | | | 842,393 | | |
| | | 58,964 | | | | Muthoot Finance Ltd. | | | | | 898,020 | | |
| | | 2,357,489 | | | | National Aluminium Co., Ltd. | | | | | 2,677,332 | | |
| | | 483,272 | | | | NCC Ltd. | | | | | 1,008,611 | | |
| | | 325,030 | | | | Nippon Life India Asset Management Ltd.(a) | | | | | 1,225,469 | | |
| | | 2,347,687 | | | | NTPC Ltd. | | | | | 6,219,767 | | |
| | | 11,405 | | | | Nuvama Wealth Management Ltd.*(c)(d)@ | | | | | 483,796 | | |
| | | 1,179,538 | | | | Power Finance Corp., Ltd. | | | | | 3,682,404 | | |
| | | 274,623 | | | | Redington Ltd. | | | | | 521,038 | | |
| | | 101,986 | | | | Reliance Industries Ltd. | | | | | 2,961,421 | | |
| | | 122,945 | | | | SBI Life Insurance Co., Ltd.(a) | | | | | 1,928,017 | | |
| | | 30,214 | | | | SRF Ltd. | | | | | 859,848 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| India – (continued) | | ||||||||||||
| | | 1,245,309 | | | | Star Health & Allied Insurance Co., Ltd.* | | | | $ | 9,549,478 | | |
| | | 39,420 | | | | Supreme Industries Ltd. | | | | | 2,217,578 | | |
| | | 79,703 | | | | Tarsons Products Ltd.* | | | | | 496,085 | | |
| | | 116,051 | | | | Tata Communications Ltd. | | | | | 2,521,750 | | |
| | | 19,660 | | | | Tata Consultancy Services Ltd. | | | | | 799,483 | | |
| | | 120,114 | | | | Tata Consumer Products Ltd. | | | | | 1,214,863 | | |
| | | 258,103 | | | | Titan Co., Ltd. | | | | | 9,711,732 | | |
| | | 42,738 | | | | Trent Ltd. | | | | | 1,060,844 | | |
| | | 145,481 | | | | Varun Beverages Ltd. | | | | | 1,587,079 | | |
| | | 435,678 | | | | Vijaya Diagnostic Centre Pvt Ltd. | | | | | 2,755,551 | | |
| | | 1,935,187 | | | | Zomato Ltd.* | | | | | 2,302,202 | | |
| | | | | | | Total India | | | | | 154,969,750 | | |
| Indonesia – 0.7% | | ||||||||||||
| | | 17,495,200 | | | | Bank Central Asia Tbk PT | | | | | 10,592,353 | | |
| | | 7,434,129 | | | | Bank Rakyat Indonesia Persero Tbk PT | | | | | 2,707,742 | | |
| | | 724,000 | | | | Indo Tambangraya Megah Tbk PT | | | | | 1,374,281 | | |
| | | 26,438,600 | | | | Sarana Menara Nusantara Tbk PT | | | | | 1,787,383 | | |
| | | | | | | Total Indonesia | | | | | 16,461,759 | | |
| Ireland – 1.4% | | ||||||||||||
| | | 1,881,401 | | | | AIB Group PLC | | | | | 8,571,707 | | |
| | | 658,829 | | | | Bank of Ireland Group PLC | | | | | 6,570,075 | | |
| | | 113,366 | | | | CRH PLC | | | | | 6,514,188 | | |
| | | 179,132 | | | | Experian PLC | | | | | 6,250,142 | | |
| | | 21,882 | | | | Kerry Group PLC, Class A Shares | | | | | 2,043,495 | | |
| | | 46,419 | | | | Ryanair Holdings PLC, ADR* | | | | | 4,607,086 | | |
| | | | | | | Total Ireland | | | | | 34,556,693 | | |
| Israel – 0.2% | | ||||||||||||
| | | 336,552 | | | | Bezeq The Israeli Telecommunication Corp., Ltd. | | | | | 455,432 | | |
| | | 72,189 | | | | Nayax Ltd.* | | | | | 1,625,484 | | |
| | | 7,926 | | | | Nice Ltd., ADR* | | | | | 1,543,985 | | |
| | | 21,828 | | | | Rami Levy Chain Stores Hashikma Marketing 2006 Ltd. | | | | | 1,262,933 | | |
| | | | | | | Total Israel | | | | | 4,887,834 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Italy – 2.0% | | ||||||||||||
| | | 55,637 | | | | Amplifon SpA | | | | $ | 1,808,561 | | |
| | | 356,025 | | | | Azimut Holding SpA | | | | | 8,233,608 | | |
| | | 318,914 | | | | Banca Mediolanum SpA | | | | | 2,909,567 | | |
| | | 708,073 | | | | Banco BPM SpA | | | | | 3,390,725 | | |
| | | 1,111,957 | | | | BPER Banca | | | | | 3,348,530 | | |
| | | 20,019 | | | | Buzzi SpA | | | | | 599,561 | | |
| | | 26,165 | | | | DiaSorin SpA | | | | | 2,762,358 | | |
| | | 43,523 | | | | Digital Value SpA | | | | | 3,056,111 | | |
| | | 2,298,355 | | | | Enel SpA | | | | | 15,443,450 | | |
| | | 147,249 | | | | Ermenegildo Zegna NV | | | | | 2,205,790 | | |
| | | 47,630 | | | | Gruppo MutuiOnline SpA | | | | | 1,347,821 | | |
| | | 193,751 | | | | Iveco Group NV* | | | | | 1,921,549 | | |
| | | 422,154 | | | | Unipol Gruppo SpA | | | | | 2,350,869 | | |
| | | | | | | Total Italy | | | | | 49,378,500 | | |
| Japan – 13.7% | | ||||||||||||
| | | 53,200 | | | | Adastria Co., Ltd. | | | | | 1,063,310 | | |
| | | 33,800 | | | | Alfresa Holdings Corp. | | | | | 578,932 | | |
| | | 413,300 | | | | Asahi Group Holdings Ltd. | | | | | 16,098,850 | | |
| | | 140,922 | | | | Avant Group Corp. | | | | | 1,365,730 | | |
| | | 160,081 | | | | AZ-COM MARUWA Holdings Inc. | | | | | 2,497,701 | | |
| | | 46,740 | | | | Base Co., Ltd. | | | | | 1,398,586 | | |
| | | 81,400 | | | | Calbee Inc. | | | | | 1,624,723 | | |
| | | 484,900 | | | | Chiba Bank Ltd. | | | | | 3,465,319 | | |
| | | 150,500 | | | | Chugai Pharmaceutical Co., Ltd. | | | | | 4,573,328 | | |
| | | 96,000 | | | | Citizen Watch Co., Ltd. | | | | | 588,806 | | |
| | | 158,200 | | | | Credit Saison Co., Ltd. | | | | | 2,472,921 | | |
| | | 61,500 | | | | Daicel Corp. | | | | | 513,330 | | |
| | | 18,000 | | | | Daido Steel Co., Ltd. | | | | | 744,275 | | |
| | | 94,400 | | | | Daiichi Sankyo Co., Ltd. | | | | | 2,798,898 | | |
| | | 15,300 | | | | Daikin Industries Ltd. | | | | | 2,639,295 | | |
| | | 41,200 | | | | Daiwabo Holdings Co., Ltd. | | | | | 834,962 | | |
| | | 43,600 | | | | Disco Corp. | | | | | 8,606,074 | | |
| | | 60,200 | | | | EDION Corp. | | | | | 605,894 | | |
| | | 195,700 | | | | Electric Power Development Co., Ltd. | | | | | 3,054,222 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Japan – (continued) | | ||||||||||||
| | | 68,000 | | | | Ezaki Glico Co., Ltd. | | | | $ | 1,794,160 | | |
| | | 168,200 | | | | Fujikura Ltd. | | | | | 1,392,173 | | |
| | | 39,326 | | | | Funai Soken Holdings Inc. | | | | | 728,112 | | |
| | | 47,500 | | | | GungHo Online Entertainment Inc. | | | | | 781,392 | | |
| | | 242,700 | | | | Hachijuni Bank Ltd. | | | | | 1,308,173 | | |
| | | 27,000 | | | | Hanwa Co., Ltd. | | | | | 859,093 | | |
| | | 8,800 | | | | Hikari Tsushin Inc. | | | | | 1,463,359 | | |
| | | 48,310 | | | | Hirose Electric Co., Ltd. | | | | | 5,844,256 | | |
| | | 506,500 | | | | Honda Motor Co., Ltd. | | | | | 16,338,663 | | |
| | | 94,400 | | | | IDOM Inc. | | | | | 508,597 | | |
| | | 1,176 | | | | Invincible Investment Corp. | | | | | 488,674 | | |
| | | 43,300 | | | | JAFCO Group Co., Ltd. | | | | | 555,096 | | |
| | | 277,200 | | | | Japan Elevator Service Holdings Co., Ltd. | | | | | 4,610,038 | | |
| | | 112,846 | | | | JCR Pharmaceuticals Co., Ltd. | | | | | 986,729 | | |
| | | 99,600 | | | | JGC Holdings Corp. | | | | | 1,329,935 | | |
| | | 69,100 | | | | JTEKT Corp. | | | | | 624,675 | | |
| | | 135,600 | | | | Kansai Paint Co., Ltd. | | | | | 2,222,937 | | |
| | | 13,296 | | | | Keyence Corp. | | | | | 5,529,082 | | |
| | | 142,200 | | | | Kobe Steel Ltd. | | | | | 1,784,359 | | |
| | | 837,500 | | | | Koito Manufacturing Co., Ltd. | | | | | 14,210,502 | | |
| | | 580,100 | | | | Komatsu Ltd. | | | | | 16,612,430 | | |
| | | 11,100 | | | | Kose Corp. | | | | | 925,444 | | |
| | | 17,400 | | | | Lawson Inc. | | | | | 830,224 | | |
| | | 136,600 | | | | Lion Corp. | | | | | 1,487,268 | | |
| | | 17,300 | | | | Macnica Holdings Inc. | | | | | 811,707 | | |
| | | 591,100 | | | | Makita Corp. | | | | | 16,254,975 | | |
| | | 67,263 | | | | Management Solutions Co., Ltd.(b) | | | | | 1,774,604 | | |
| | | 621,900 | | | | Mebuki Financial Group Inc. | | | | | 1,721,012 | | |
| | | 38,500 | | | | Medipal Holdings Corp. | | | | | 659,826 | | |
| | | 766,600 | | | | MINEBEA MITSUMI Inc. | | | | | 12,987,907 | | |
| | | 1,022,900 | | | | Mitsubishi Electric Corp. | | | | | 13,380,708 | | |
| | | 990,100 | | | | Mitsubishi Motors Corp. | | | | | 3,882,658 | | |
| | | 56,500 | | | | Mitsui Fudosan Co., Ltd. | | | | | 1,237,230 | | |
| | | 117,900 | | | | m-up Holdings Inc. | | | | | 1,206,624 | | |
| | | 58,200 | | | | Murata Manufacturing Co., Ltd. | | | | | 3,288,132 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Japan – (continued) | | ||||||||||||
| | | 638,700 | | | | Nabtesco Corp. | | | | $ | 12,085,995 | | |
| | | 81,500 | | | | Nextage Co., Ltd. | | | | | 1,833,757 | | |
| | | 21,520 | | | | NexTone Inc.* | | | | | 275,495 | | |
| | | 72,800 | | | | NHK Spring Co., Ltd. | | | | | 564,745 | | |
| | | 3,598,500 | | | | Nippon Telegraph & Telephone Corp. | | | | | 4,157,717 | | |
| | | 52,500 | | | | Nishimatsuya Chain Co., Ltd. | | | | | 606,075 | | |
| | | 175,500 | | | | Nomura Research Institute Ltd. | | | | | 5,037,324 | | |
| | | 364,000 | | | | North Pacific Bank Ltd. | | | | | 766,243 | | |
| | | 32,300 | | | | NS United Kaiun Kaisha Ltd. | | | | | 901,458 | | |
| | | 2,154,400 | | | | NSK Ltd. | | | | | 12,501,116 | | |
| | | 298,800 | | | | Olympus Corp. | | | | | 4,079,066 | | |
| | | 45,900 | | | | Otsuka Holdings Co., Ltd. | | | | | 1,748,798 | | |
| | | 177,200 | | | | Outsourcing Inc. | | | | | 1,386,421 | | |
| | | 128,600 | | | | Persol Holdings Co., Ltd. | | | | | 2,198,438 | | |
| | | 265,200 | | | | Premium Group Co., Ltd. | | | | | 2,967,494 | | |
| | | 426,806 | | | | Prestige International Inc. | | | | | 1,722,133 | | |
| | | 126,304 | | | | Rakus Co., Ltd. | | | | | 2,049,005 | | |
| | | 54,200 | | | | Recruit Holdings Co., Ltd. | | | | | 1,932,549 | | |
| | | 1,461,000 | | | | Resona Holdings Inc. | | | | | 7,742,413 | | |
| | | 292,700 | | | | Rohto Pharmaceutical Co., Ltd. | | | | | 7,624,496 | | |
| | | 47,800 | | | | Sankyo Co., Ltd. | | | | | 2,081,365 | | |
| | | 36,900 | | | | Sanwa Holdings Corp. | | | | | 561,170 | | |
| | | 892 | | | | Sekisui House REIT Inc. | | | | | 515,416 | | |
| | | 119,400 | | | | Seven & i Holdings Co., Ltd. | | | | | 4,901,123 | | |
| | | 312,700 | | | | Shimadzu Corp. | | | | | 9,191,418 | | |
| | | 47,600 | | | | Shiseido Co., Ltd. | | | | | 1,944,119 | | |
| | | 363,396 | | | | SIGMAXYZ Holdings Inc. | | | | | 4,077,630 | | |
| | | 162,600 | | | | SKY Perfect JSAT Holdings Inc. | | | | | 739,549 | | |
| | | 14,200 | | | | SMC Corp. | | | | | 6,866,375 | | |
| | | 75,938 | | | | SMS Co., Ltd. | | | | | 1,461,866 | | |
| | | 170,700 | | | | Sojitz Corp. | | | | | 3,667,870 | | |
| | | 41,300 | | | | Sony Group Corp. | | | | | 3,437,020 | | |
| | | 84,600 | | | | Stanley Electric Co., Ltd. | | | | | 1,484,288 | | |
| | | 67,300 | | | | Strike Co., Ltd. | | | | | 1,477,527 | | |
| | | 56,300 | | | | Sumitomo Metal Mining Co., Ltd. | | | | | 1,737,772 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Japan – (continued) | | ||||||||||||
| | | 51,200 | | | | Sumitomo Rubber Industries Ltd. | | | | $ | 539,850 | | |
| | | 391,582 | | | | Systena Corp. | | | | | 724,746 | | |
| | | 33,300 | | | | Taiheiyo Cement Corp. | | | | | 638,469 | | |
| | | 37,400 | | | | Taisei Corp. | | | | | 1,258,376 | | |
| | | 76,900 | | | | Takashimaya Co., Ltd. | | | | | 1,154,598 | | |
| | | 13,100 | | | | Temairazu Inc.(b) | | | | | 301,346 | | |
| | | 123,900 | | | | Tokyo Steel Manufacturing Co., Ltd. | | | | | 1,393,378 | | |
| | | 83,800 | | | | Tokyo Tatemono Co., Ltd. | | | | | 1,101,141 | | |
| | | 191,500 | | | | Tokyu Fudosan Holdings Corp. | | | | | 1,192,050 | | |
| | | 702,600 | | | | Tosoh Corp. | | | | | 9,093,321 | | |
| | | 128,200 | | | | Toyo Suisan Kaisha Ltd. | | | | | 5,293,027 | | |
| | | 54,000 | | | | Toyo Tire Corp. | | | | | 813,190 | | |
| | | 28,400 | | | | Toyota Boshoku Corp. | | | | | 537,183 | | |
| | | 30,400 | | | | Transcosmos Inc. | | | | | 664,907 | | |
| | | 10,100 | | | | Yamato Kogyo Co., Ltd. | | | | | 486,895 | | |
| | | 143,500 | | | | Yokogawa Electric Corp. | | | | | 2,825,565 | | |
| | | 37,900 | | | | Yokohama Rubber Co., Ltd. | | | | | 769,981 | | |
| | | 1,039,400 | | | | Z Holdings Corp. | | | | | 3,115,956 | | |
| | | | | | | Total Japan | | | | | 344,175,135 | | |
| Jersey, Channel Islands – 0.2% | | ||||||||||||
| | | 446,667 | | | | JTC PLC | | | | | 3,942,675 | | |
| Luxembourg – 0.1% | | ||||||||||||
| | | 41,447 | | | | Eurofins Scientific SE | | | | | 2,545,134 | | |
| | | 9,272 | | | | Tenaris SA | | | | | 148,031 | | |
| | | 4,648 | | | | Tenaris SA, ADR | | | | | 148,411 | | |
| | | | | | | Total Luxembourg | | | | | 2,841,576 | | |
| Malaysia – 0.0% | | ||||||||||||
| | | 3,746,000 | | | | CTOS Digital Bhd | | | | | 1,146,327 | | |
| Mexico – 0.3% | | ||||||||||||
| | | 328,723 | | | | Grupo Mexico SAB de CV, Class B Shares | | | | | 1,571,177 | | |
| | | 402,384 | | | | Qualitas Controladora SAB de CV | | | | | 3,165,457 | | |
| | | 580,927 | | | | Wal-Mart de Mexico SAB de CV | | | | | 2,290,116 | | |
| | | | | | | Total Mexico | | | | | 7,026,750 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Netherlands – 3.6% | | ||||||||||||
| | | 1,468 | | | | Adyen NV*(a) | | | | $ | 1,223,112 | | |
| | | 278,137 | | | | Akzo Nobel NV | | | | | 22,581,342 | | |
| | | 20,718 | | | | ASML Holding NV | | | | | 13,629,310 | | |
| | | 56,447 | | | | Euronext NV(a) | | | | | 4,067,744 | | |
| | | 25,616 | | | | Heineken NV | | | | | 2,489,318 | | |
| | | 1,311,846 | | | | ING Groep NV | | | | | 18,593,457 | | |
| | | 47,805 | | | | Koninklijke Philips NV | | | | | 1,073,763 | | |
| | | 138,572 | | | | Prosus NV* | | | | | 9,548,331 | | |
| | | 198,549 | | | | Randstad NV | | | | | 11,627,781 | | |
| | | 46,491 | | | | Wolters Kluwer NV | | | | | 5,604,537 | | |
| | | | | | | Total Netherlands | | | | | 90,438,695 | | |
| Norway – 1.6% | | ||||||||||||
| | | 880,946 | | | | Aker BP ASA | | | | | 23,923,285 | | |
| | | 644,780 | | | | DNB Bank ASA | | | | | 12,758,612 | | |
| | | 219,311 | | | | Elkem ASA(a) | | | | | 453,227 | | |
| | | 98,031 | | | | Europris ASA(a) | | | | | 557,935 | | |
| | | 146,756 | | | | Golden Ocean Group Ltd. | | | | | 1,080,396 | | |
| | | 618,536 | | | | MPC Container Ships ASA | | | | | 1,071,901 | | |
| | | 784,525 | | | | Norwegian Air Shuttle ASA* | | | | | 664,035 | | |
| | | | | | | Total Norway | | | | | 40,509,391 | | |
| Peru – 0.1% | | ||||||||||||
| | | 19,669 | | | | Credicorp Ltd. | | | | | 2,781,787 | | |
| | | 15,112 | | | | InRetail Peru Corp.(a) | | | | | 511,541 | | |
| | | | | | | Total Peru | | | | | 3,293,328 | | |
| Philippines – 0.2% | | ||||||||||||
| | | 1,809,782 | | | | Ayala Land Inc. | | | | | 867,027 | | |
| | | 831,924 | | | | BDO Unibank Inc. | | | | | 2,056,021 | | |
| | | 153,440 | | | | SM Investments Corp. | | | | | 2,254,659 | | |
| | | | | | | Total Philippines | | | | | 5,177,707 | | |
| Poland – 0.2% | | ||||||||||||
| | | 2,742 | | | | Benefit Systems SA* | | | | | 1,123,518 | | |
| | | 177,058 | | | | InPost SA* | | | | | 2,079,451 | | |
| | | 65,584 | | | | LiveChat Software SA(b) | | | | | 2,126,147 | | |
| | | | | | | Total Poland | | | | | 5,329,116 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Portugal – 0.3% | | ||||||||||||
| | | 401,250 | | | | Galp Energia SGPS SA | | | | $ | 5,519,861 | | |
| | | 107,883 | | | | Jeronimo Martins SGPS SA | | | | | 2,732,857 | | |
| | | | | | | Total Portugal | | | | | 8,252,718 | | |
| Russia – 0.0% | | ||||||||||||
| | | 322,796 | | | | Fix Price Group PLC, GDR*(a)(c)(d) | | | | | 32,280 | | |
| | | 5,600 | | | | Novatek PJSC, GDR*(c)(d)@ | | | | | 112 | | |
| | | 978,392 | | | | Sberbank of Russia PJSC(c)(d)@ | | | | | 591 | | |
| | | | | | | Total Russia | | | | | 32,983 | | |
| Saudi Arabia – 0.1% | | ||||||||||||
| | | 109,166 | | | | Al Hammadi Holding | | | | | 1,563,955 | | |
| | | 141,792 | | | | Saudi National Bank | | | | | 1,350,321 | | |
| | | | | | | Total Saudi Arabia | | | | | 2,914,276 | | |
| Singapore – 1.2% | | ||||||||||||
| | | 14,244,900 | | | | Genting Singapore Ltd. | | | | | 9,220,936 | | |
| | | 3,697,500 | | | | Golden Agri-Resources Ltd. | | | | | 682,930 | | |
| | | 153,954 | | | | Hafnia Ltd. | | | | | 901,614 | | |
| | | 37,321 | | | | Sea Ltd., ADR* | | | | | 1,404,389 | | |
| | | 309,800 | | | | Sembcorp Industries Ltd. | | | | | 1,225,598 | | |
| | | 1,148,200 | | | | Sheng Siong Group Ltd. | | | | | 1,291,129 | | |
| | | 723,800 | | | | United Overseas Bank Ltd. | | | | | 15,220,558 | | |
| | | 1,056,800 | | | | Yanlord Land Group Ltd.* | | | | | 526,995 | | |
| | | | | | | Total Singapore | | | | | 30,474,149 | | |
| South Africa – 0.1% | | ||||||||||||
| | | 18,312 | | | | Capitec Bank Holdings Ltd. | | | | | 1,531,336 | | |
| | | 25,957 | | | | Gold Fields Ltd. | | | | | 330,551 | | |
| | | 62,291 | | | | Gold Fields Ltd., ADR | | | | | 786,735 | | |
| | | 4,576 | | | | Naspers Ltd., Class N Shares | | | | | 776,680 | | |
| | | | | | | Total South Africa | | | | | 3,425,302 | | |
| South Korea – 2.9% | | ||||||||||||
| | | 7,591 | | | | AfreecaTV Co., Ltd. | | | | | 467,037 | | |
| | | 101,330 | | | | BNK Financial Group Inc. | | | | | 520,985 | | |
| | | 51,409 | | | | GS Engineering & Construction Corp. | | | | | 563,078 | | |
| | | 11,784 | | | | HAESUNG DS Co., Ltd. | | | | | 609,799 | | |
| | | 55,844 | | | | Hanwha Corp. | | | | | 1,052,610 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| South Korea – (continued) | | ||||||||||||
| | | 9,799 | | | | HD Hyundai Electric Co., Ltd. | | | | $ | 519,560 | | |
| | | 16,510 | | | | HD Hyundai Heavy Industries Co., Ltd.(b) | | | | | 1,627,184 | | |
| | | 99,278 | | | | HD Hyundai Infracore Co., Ltd. | | | | | 786,946 | | |
| | | 36,621 | | | | HD Korea Shipbuilding & Offshore Engineering Co., Ltd. | | | | | 3,414,772 | | |
| | | 57,444 | | | | Hyundai Marine & Fire Insurance Co., Ltd. | | | | | 1,310,719 | | |
| | | 14,145 | | | | Hyundai Wia Corp. | | | | | 613,883 | | |
| | | 97,432 | | | | JB Financial Group Co., Ltd. | | | | | 713,114 | | |
| | | 8,269 | | | | JYP Entertainment Corp. | | | | | 699,006 | | |
| | | 28,674 | | | | Korea Aerospace Industries Ltd.(b) | | | | | 1,093,455 | | |
| | | 23,806 | | | | LEENO Industrial Inc.(b) | | | | | 3,018,475 | | |
| | | 1,198 | | | | LG Chem Ltd. | | | | | 525,936 | | |
| | | 12,895 | | | | LOTTE Fine Chemical Co., Ltd. | | | | | 587,107 | | |
| | | 17,540 | | | | LS Corp. | | | | | 1,414,320 | | |
| | | 72,292 | | | | LX INTERNATIONAL Corp. | | | | | 1,653,242 | | |
| | | 17,760 | | | | NAVER Corp. | | | | | 2,867,453 | | |
| | | 132,454 | | | | NICE Information Service Co., Ltd. | | | | | 979,545 | | |
| | | 11,094 | | | | OCI Holdings Co., Ltd. | | | | | 769,566 | | |
| | | 23,698 | | | | Poongsan Corp. | | | | | 630,400 | | |
| | | 506,550 | | | | Samsung Electronics Co., Ltd. | | | | | 25,564,130 | | |
| | | 1,462 | | | | Samsung SDI Co., Ltd. | | | | | 676,244 | | |
| | | 140,338 | | | | SK Hynix Inc. | | | | | 12,888,894 | | |
| | | 11,931 | | | | Tokai Carbon Korea Co., Ltd.(b) | | | | | 825,037 | | |
| | | 22,326 | | | | Youngone Corp. | | | | | 904,387 | | |
| | | 113,553 | | | | Yuhan Corp. | | | | | 6,232,343 | | |
| | | | | | | Total South Korea | | | | | 73,529,227 | | |
| Spain – 1.0% | | ||||||||||||
| | | 76,071 | | | | Acerinox SA | | | | | 762,981 | | |
| | | 153,879 | | | | Amadeus IT Group SA | | | | | 10,525,822 | | |
| | | 1,167,308 | | | | Banco de Sabadell SA | | | | | 1,348,903 | | |
| | | 1,717,134 | | | | CaixaBank SA | | | | | 6,939,366 | | |
| | | 33,700 | | | | Compania de Distribucion Integral Logista Holdings SA | | | | | 911,628 | | |
| | | 156,820 | | | | Fluidra SA | | | | | 3,514,158 | | |
| | | 39,433 | | | | Indra Sistemas SA | | | | | 556,622 | | |
| | | 79,096 | | | | Inmobiliaria Colonial Socimi SA | | | | | 479,680 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Spain – (continued) | | ||||||||||||
| | | 59,738 | | | | Merlin Properties Socimi SA | | | | $ | 533,702 | | |
| | | | | | | Total Spain | | | | | 25,572,862 | | |
| Sweden – 3.0% | | ||||||||||||
| | | 127,549 | | | | Assa Abloy AB, Class B Shares | | | | | 2,876,075 | | |
| | | 56,233 | | | | Betsson AB, Class B Shares* | | | | | 628,064 | | |
| | | 339,448 | | | | Cloetta AB, Class B Shares | | | | | 571,259 | | |
| | | 890,196 | | | | Electrolux AB, Class B Shares | | | | | 9,773,011 | | |
| | | 1,510,172 | | | | Elekta AB, Class B Shares(b) | | | | | 10,760,302 | | |
| | | 193,892 | | | | Epiroc AB, Class A Shares | | | | | 3,704,970 | | |
| | | 185,379 | | | | Essity AB, Class B Shares | | | | | 4,324,285 | | |
| | | 464,655 | | | | Fortnox AB | | | | | 2,412,719 | | |
| | | 631,318 | | | | Getinge AB, Class B Shares | | | | | 10,913,472 | | |
| | | 163,681 | | | | Hemnet Group AB | | | | | 2,967,880 | | |
| | | 63,321 | | | | Olink Holding AB, ADR*(b) | | | | | 1,046,696 | | |
| | | 846,190 | | | | SKF AB, Class B Shares | | | | | 13,683,082 | | |
| | | 522,725 | | | | SSAB AB, Class B Shares | | | | | 2,883,416 | | |
| | | 553,028 | | | | Storskogen Group AB, Class B Shares | | | | | 415,768 | | |
| | | 182,075 | | | | Svenska Cellulosa AB SCA, Class B Shares | | | | | 2,422,784 | | |
| | | 110,566 | | | | Swedbank AB, Class A Shares | | | | | 1,960,458 | | |
| | | 21,185 | | | | Thule Group AB(a) | | | | | 609,100 | | |
| | | 3,280,064 | | | | VEF AB* | | | | | 713,685 | | |
| | | 40,021 | | | | Vitec Software Group AB, Class B Shares | | | | | 2,161,242 | | |
| | | | | | | Total Sweden | | | | | 74,828,268 | | |
| Switzerland – 5.1% | | ||||||||||||
| | | 18,017 | | | | Accelleron Industries AG | | | | | 487,382 | | |
| | | 87,982 | | | | Alcon Inc. | | | | | 7,349,572 | | |
| | | 1,920 | | | | Barry Callebaut AG, Class Registered Shares | | | | | 3,345,104 | | |
| | | 154 | | | | Chocoladefabriken Lindt & Spruengli AG | | | | | 1,841,002 | | |
| | | 18,236 | | | | Cie Financiere Richemont SA, Class Registered Shares | | | | | 2,586,016 | | |
| | | 6,210 | | | | Geberit AG, Class Registered Shares | | | | | 3,212,569 | | |
| | | 1,290 | | | | Givaudan SA, Class Registered Shares | | | | | 4,291,002 | | |
| | | 1,028,775 | | | | Glencore PLC | | | | | 5,478,326 | | |
| | | 446,340 | | | | Julius Baer Group Ltd. | | | | | 30,972,822 | | |
| | | 4,415 | | | | Lonza Group AG, Class Registered Shares | | | | | 2,436,024 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Switzerland – (continued) | | ||||||||||||
| | | 194,848 | | | | Nestle SA, Class Registered Shares | | | | $ | 23,428,584 | | |
| | | 5,139 | | | | Partners Group Holding AG | | | | | 5,537,245 | | |
| | | 41,666 | | | | Roche Holding AG | | | | | 12,252,084 | | |
| | | 24,114 | | | | Schindler Holding AG | | | | | 5,369,097 | | |
| | | 61,216 | | | | SGS SA, Class Registered Shares | | | | | 5,569,319 | | |
| | | 12,786 | | | | Sika AG, Class Registered Shares | | | | | 3,612,497 | | |
| | | 360,634 | | | | UBS Group AG, Class Registered Shares | | | | | 9,573,787 | | |
| | | | | | | Total Switzerland | | | | | 127,342,432 | | |
| Taiwan – 2.6% | | ||||||||||||
| | | 169,844 | | | | Chief Telecom Inc. | | | | | 1,969,032 | | |
| | | 61,000 | | | | Chroma ATE Inc. | | | | | 534,006 | | |
| | | 216,336 | | | | Delta Electronics Inc. | | | | | 2,341,281 | | |
| | | 91,000 | | | | Elite Material Co., Ltd. | | | | | 1,241,265 | | |
| | | 46,000 | | | | International Games System Co., Ltd. | | | | | 829,317 | | |
| | | 859,000 | | | | King Yuan Electronics Co., Ltd. | | | | | 2,064,586 | | |
| | | 255,285 | | | | Materials Analysis Technology Inc. | | | | | 2,433,710 | | |
| | | 185,000 | | | | Powertech Technology Inc. | | | | | 578,813 | | |
| | | 832,000 | | | | Radiant Opto-Electronics Corp. | | | | | 3,114,564 | | |
| | | 305,000 | | | | Simplo Technology Co., Ltd. | | | | | 2,941,195 | | |
| | | 437,000 | | | | Supreme Electronics Co., Ltd. | | | | | 660,690 | | |
| | | 340,000 | | | | T3EX Global Holdings Corp. | | | | | 795,026 | | |
| | | 92,000 | | | | TaiDoc Technology Corp. | | | | | 496,405 | | |
| | | 1,022,320 | | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | | | 17,608,707 | | |
| | | 290,488 | | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | | | 27,180,962 | | |
| | | 40,981 | | | | Voltronic Power Technology Corp.* | | | | | 1,863,075 | | |
| | | | | | | Total Taiwan | | | | | 66,652,634 | | |
| Thailand – 0.3% | | ||||||||||||
| | | 1,746,400 | | | | AP Thailand PCL(c) | | | | | 633,332 | | |
| | | 1,118,900 | | | | Betagro PCL(c) | | | | | 798,758 | | |
| | | 73,800 | | | | Bumrungrad Hospital PCL(c)@ | | | | | 545,808 | | |
| | | 1,031,000 | | | | CP ALL PCL, Class F Shares(c) | | | | | 1,920,981 | | |
| | | 2,016,900 | | | | Regional Container Lines PCL(c) | | | | | 1,244,005 | | |
| | | 19,912,600 | | | | Sansiri PCL(c) | | | | | 1,159,957 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Thailand – (continued) | | ||||||||||||
| | | 1,174,100 | | | | Supalai PCL(c) | | | | $ | 727,526 | | |
| | | | | | | Total Thailand | | | | | 7,030,367 | | |
| Turkey – 0.3% | | ||||||||||||
| | | 173,638 | | | | Anadolu Efes Biracilik Ve Malt Sanayii AS | | | | | 700,866 | | |
| | | 64,380 | | | | Dogus Otomotiv Servis ve Ticaret AS | | | | | 686,131 | | |
| | | 343,984 | | | | Enerjisa Enerji AS(a) | | | | | 659,573 | | |
| | | 1,442,819 | | | | Sok Marketler Ticaret AS | | | | | 3,348,924 | | |
| | | 64,412 | | | | Turk Traktor ve Ziraat Makineleri AS | | | | | 2,195,150 | | |
| | | | | | | Total Turkey | | | | | 7,590,644 | | |
| United Arab Emirates – 0.0% | | ||||||||||||
| | | 81,922 | | | | Network International Holdings PLC*(a) | | | | | 402,441 | | |
| United Kingdom – 9.7% | | ||||||||||||
| | | 206,367 | | | | AJ Bell PLC | | | | | 758,601 | | |
| | | 59,944 | | | | Ashtead Group PLC | | | | | 4,184,571 | | |
| | | 138,189 | | | | Ashtead Technology Holdings PLC | | | | | 707,038 | | |
| | | 588,445 | | | | Associated British Foods PLC | | | | | 14,817,870 | | |
| | | 68,772 | | | | AstraZeneca PLC, ADR | | | | | 4,664,117 | | |
| | | 439,038 | | | | B&M European Value Retail SA | | | | | 3,211,821 | | |
| | | 865,263 | | | | BAE Systems PLC | | | | | 11,010,653 | | |
| | | 134,112 | | | | Balfour Beatty PLC | | | | | 555,918 | | |
| | | 1,053,625 | | | | Baltic Classifieds Group PLC | | | | | 2,809,100 | | |
| | | 450,680 | | | | Bridgepoint Group PLC(a) | | | | | 988,994 | | |
| | | 590,777 | | | | Bytes Technology Group PLC | | | | | 3,632,033 | | |
| | | 12,629,721 | | | | Centrica PLC | | | | | 24,223,073 | | |
| | | 27,874 | | | | Croda International PLC | | | | | 1,945,194 | | |
| | | 103,323 | | | | Darktrace PLC* | | | | | 469,945 | | |
| | | 222,995 | | | | Diageo PLC | | | | | 9,140,614 | | |
| | | 455,779 | | | | DiscoverIE Group PLC | | | | | 4,196,475 | | |
| | | 136,786 | | | | Drax Group PLC | | | | | 955,560 | | |
| | | 3,405,672 | | | | DS Smith PLC | | | | | 13,469,897 | | |
| | | 60,770 | | | | Dunelm Group PLC | | | | | 892,526 | | |
| | | 83,309 | | | | easyJet PLC* | | | | | 446,479 | | |
| | | 591,994 | | | | Entain PLC | | | | | 8,679,881 | | |
| | | 63,548 | | | | Ergomed PLC* | | | | | 839,392 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United Kingdom – (continued) | | ||||||||||||
| | | 148,585 | | | | Future PLC | | | | $ | 1,461,342 | | |
| | | 1,500,883 | | | | Haleon PLC | | | | | 6,118,485 | | |
| | | 3,436,365 | | | | HSBC Holdings PLC | | | | | 25,378,866 | | |
| | | 367,125 | | | | IMI PLC | | | | | 6,963,793 | | |
| | | 92,349 | | | | Inchcape PLC | | | | | 890,282 | | |
| | | 87,696 | | | | Intertek Group PLC | | | | | 4,589,172 | | |
| | | 138,308 | | | | Investec PLC | | | | | 816,244 | | |
| | | 53,726 | | | | JET2 PLC | | | | | 716,243 | | |
| | | 1,257,556 | | | | Johnson Service Group PLC | | | | | 1,892,320 | | |
| | | 73,215 | | | | Keller Group PLC | | | | | 711,036 | | |
| | | 858,751 | | | | Kin & Carta PLC* | | | | | 886,567 | | |
| | | 5,905,624 | | | | Legal & General Group PLC | | | | | 16,328,891 | | |
| | | 52,704 | | | | London Stock Exchange Group PLC | | | | | 5,457,243 | | |
| | | 415,617 | | | | Marks & Spencer Group PLC* | | | | | 1,193,893 | | |
| | | 381,261 | | | | Mortgage Advice Bureau Holdings Ltd.(c) | | | | | 2,697,029 | | |
| | | 2,068,685 | | | | NatWest Group PLC | | | | | 6,015,398 | | |
| | | 189,801 | | | | Ocado Group PLC* | | | | | 2,083,679 | | |
| | | 191,577 | | | | OSB Group PLC | | | | | 828,287 | | |
| | | 309,651 | | | | Patisserie Holdings PLC*(c)(d) | | | | | 3,922 | | |
| | | 718,300 | | | | Persimmon PLC | | | | | 9,659,899 | | |
| | | 265,284 | | | | Redde Northgate PLC | | | | | 1,078,517 | | |
| | | 247,628 | | | | Rightmove PLC | | | | | 1,749,858 | | |
| | | 1,300,531 | | | | Smith & Nephew PLC | | | | | 17,570,905 | | |
| | | 25,423 | | | | Spirax-Sarco Engineering PLC | | | | | 3,254,941 | | |
| | | 24,976 | | | | TORM PLC, Class A Shares | | | | | 615,495 | | |
| | | 96,825 | | | | Unilever PLC | | | | | 4,951,587 | | |
| | | 67,428 | | | | Vistry Group PLC | | | | | 665,377 | | |
| | | 16,363 | | | | Willis Towers Watson PLC | | | | | 3,383,214 | | |
| | | 271,581 | | | | YouGov PLC | | | | | 2,993,907 | | |
| | | 12,330 | | | | YuLife Holdings Ltd., Class C Shares*(c)@ | | | | | 278,526 | | |
| | | | | | | Total United Kingdom | | | | | 243,834,670 | | |
| United States – 1.6% | | ||||||||||||
| | | 43,218 | | | | Agilent Technologies Inc. | | | | | 5,232,403 | | |
| | | 43,704 | | | | Analog Devices Inc. | | | | | 7,944,513 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | | 11,191 | | | | ANSYS Inc.* | | | | $ | 3,568,474 | | |
| | | 9,086 | | | | BeiGene Ltd., ADR* | | | | | 1,885,799 | | |
| | | 59,889 | | | | Bruker Corp. | | | | | 3,928,718 | | |
| | | 26,998 | | | | Cadence Design Systems Inc.* | | | | | 6,491,399 | | |
| | | 572 | | | | Canva Inc., Private Placement*(c)@ | | | | | 610,130 | | |
| | | 97,853 | | | | Codere Online Luxembourg SA Forward Shares*(c) | | | | | 306,280 | | |
| | | 24,735 | | | | Codere Online Luxembourg SA Founders Shares*(c) | | | | | 77,421 | | |
| | | 1,830 | | | | Codere Online Luxembourg SA Private Shares*(c) | | | | | 5,728 | | |
| | | 102,264 | | | | Coupang Inc., Class A Shares* | | | | | 1,940,971 | | |
| | | 11,447 | | | | Linde PLC | | | | | 4,430,447 | | |
| | | 8,252 | | | | Mastercard Inc., Class A Shares | | | | | 3,405,105 | | |
| | | 1,516 | | | | MSCI Inc., Class A Shares | | | | | 824,128 | | |
| | | 404 | | | | S&P Global Inc. | | | | | 157,908 | | |
| | | 7,757 | | | | Starbucks Corp. | | | | | 755,842 | | |
| | | | | | | Total United States | | | | | 41,565,266 | | |
| Uruguay – 0.5% | | ||||||||||||
| | | 10,003 | | | | MercadoLibre Inc.* | | | | | 13,727,717 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $1,921,671,746) | | | | | 2,213,884,513 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 8.9% | | ||||||||||||
| United States – 8.9% | | ||||||||||||
| | | 1,217,959 | | | | iShares Core MSCI Emerging Markets | | | | | 59,753,069 | | |
| | | 3,242,315 | | | | iShares MSCI EAFE Value | | | | | 160,202,784 | | |
| | | 28,655 | | | | Vanguard FTSE All World ex-US Small-Capital | | | | | 3,194,746 | | |
| | | | | | | Total United States | | | | | 223,150,599 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $221,228,883) | | | | | 223,150,599 | | |
| PREFERRED STOCKS – 0.0% | | ||||||||||||
| United States – 0.0% | | ||||||||||||
| | | 31 | | | | Canva Inc., Series A, Private Placement*(c)@ | | | | | 33,066 | | |
| | | 1 | | | | Canva Inc., Series A-3, Private Placement*(c)@ | | | | | 1,067 | | |
| | | | | | | Total United States | | | | | 34,133 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $54,552) | | | | | 34,133 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| WARRANTS – 0.0% | | ||||||||||||
| Canada – 0.0% | | ||||||||||||
| | | 2,323 | | | | Constellation Software Inc.* | | | | $ | — | | |
| United States – 0.0% | | ||||||||||||
| | | 915 | | | | Codere Online Luxembourg SA* | | | | | 168 | | |
| | | | | | | TOTAL WARRANTS (Cost – $0) | | | | | 168 | | |
| RIGHT – 0.0% | | ||||||||||||
| Canada – 0.0% | | ||||||||||||
| | | 2,323 | | | | Constellation Software Inc.* (Cost – $1,374) | | | | | 1,289 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $2,142,956,555) | | | | | 2,437,070,702 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 3.2% | | ||||||||||||
| TIME DEPOSITS – 3.2% | | ||||||||||||
| | | 21,020AUD | | | | ANZ National Bank – Hong Kong, 2.860% due 9/1/23 | | | | | 13,619 | | |
| | $ | 8,420,234 | | | | ANZ National Bank – London, 4.680% due 9/1/23 | | | | | 8,420,234 | | |
| | | 10,004,387 | | | | Barclays Bank PLC – London, 4.680% due 9/1/23 | | | | | 10,004,387 | | |
| | | 306,462CHF | | | | BNP Paribas SA – Paris, 0.740% due 9/1/23 | | | | | 346,911 | | |
| | | | | | | Brown Brothers Harriman – Grand Cayman: | | | | | | | |
| | | 15,610DKK | | | | 2.250% due 9/1/23 | | | | | 2,271 | | |
| | | 1,798,484SEK | | | | 2.460% due 9/1/23 | | | | | 164,274 | | |
| | | 458NOK | | | | 2.800% due 9/1/23 | | | | | 43 | | |
| | | 144,203CAD | | | | 3.830% due 9/1/23 | | | | | 106,723 | | |
| | | 46GBP | | | | 4.170% due 9/1/23 | | | | | 58 | | |
| | | 448,614ZAR | | | | 6.160% due 9/1/23 | | | | | 23,754 | | |
| | | 1,268,379EUR | | | | Citibank – London, 2.630% due 9/1/23 | | | | | 1,375,303 | | |
| | | 16,032,722 | | | | Citibank – New York, 4.680% due 9/1/23 | | | | | 16,032,722 | | |
| | | 1,929,742HKD | | | | Hong Kong & Shanghai Bank – Hong Kong, 1.200% due 9/1/23 | | | | | 246,064 | | |
| | | 35,822SGD | | | | Hong Kong & Shanghai Bank – Singapore, 2.810% due 9/4/23 | | | | | 26,508 | | |
| | | 14,732,842 | | | | JPMorgan Chase & Co. – New York, 4.680% due 9/1/23 | | | | | 14,732,842 | | |
| | | 109,311GBP | | | | Skandinaviska Enskilda Banken AB – Stockholm, 4.170% due 9/1/23 | | | | | 138,465 | | |
| | | | | | | Sumitomo Mitsui Banking Corp. – Tokyo: | | | | | | | |
| | | 84,181,315JPY | | | | (0.530)% due 9/1/23 | | | | | 578,665 | | |
| | | 28,382,276 | | | | 4.680% due 9/1/23 | | | | | 28,382,276 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $80,595,119) | | | | | 80,595,119 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.8% | | ||||||||||||
| MONEY MARKET FUND – 0.8% | | ||||||||||||
| | | 20,632,983 | | | | Federated Government Obligations Fund, Premier Class, 5.165%(e) (Cost – $20,632,983) | | | | $ | 20,632,983 | | |
| | | | | | | TOTAL INVESTMENTS – 100.8% (Cost – $2,244,184,657) | | | | | 2,538,298,804 | | |
| | | | | | | Liabilities in Excess of Other Assets – (0.8)% | | | | | (19,438,948) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 2,518,859,856 | | |
Security | | | First Acquisition Date | | | First Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Bumrungrad Hospital PCL | | | | | 1/27/2023 | | | | | $ | 79,602 | | | | | $ | 545,808 | | | | | | 0.02% | | |
Canva Inc., Private Placement | | | | | 8/16/2021 | | | | | | 397,070 | | | | | | 610,130 | | | | | | 0.02% | | |
Canva Inc., Series A, Private Placement | | | | | 11/4/2021 | | | | | | 52,848 | | | | | | 33,066 | | | | | | 0.00%* | | |
Canva Inc., Series A-3, Private Placement | | | | | 11/4/2021 | | | | | | 1,705 | | | | | | 1,067 | | | | | | 0.00%* | | |
Novatek PJSC, GDR | | | | | 3/19/2020 | | | | | | 251,081 | | | | | | 112 | | | | | | 0.00%* | | |
Nuvama Wealth Management Ltd. | | | | | 6/2/2023 | | | | | | 1,385 | | | | | | 483,796 | | | | | | 0.02% | | |
Sberbank of Russia PJSC | | | | | 4/6/2017 | | | | | | 557,253 | | | | | | 591 | | | | | | 0.00%* | | |
TCS Group Holding PLC, GDR | | | | | 1/24/2022 | | | | | | 381,460 | | | | | | 2 | | | | | | 0.00%* | | |
YuLife Holdings Ltd., Class C Shares | | | | | 10/11/2022 | | | | | | 243,652 | | | | | | 278,526 | | | | | | 0.01% | | |
| | | | | | | | | | | | | | | | $ | 1,953,098 | | | | | | 0.07% | | |
| Financial | | | | | 18.0% | | |
| Consumer Non-cyclical | | | | | 16.9 | | |
| Industrial | | | | | 15.7 | | |
| Consumer Cyclical | | | | | 10.0 | | |
| Technology | | | | | 9.3 | | |
| Basic Materials | | | | | 5.7 | | |
| Communications | | | | | 4.5 | | |
| Energy | | | | | 4.3 | | |
| Utilities | | | | | 2.8 | | |
| Exchange Traded Funds (ETFs) | | | | | 8.8 | | |
| Short-Term Investments | | | | | 3.2 | | |
| Money Market Fund | | | | | 0.8 | | |
| | | | | | 100.0% | | |
| Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | | ||||||||||||
| 32 | | | 1,490,560 CHF | | | Belimo Holding AG, Call | | | | | BBH | | | | | | 9/15/23 | | | | | $ | 65.00 | | | | | $ | (362) | | |
| 59 | | | 191,691 EUR | | | Daimler Truck Holding AG, Call | | | | | GSC | | | | | | 9/15/23 | | | | | | 35.00 | | | | | | (192) | | |
| 21 | | | 2,005,920 CHF | | | Partners Group Holding AG, Call | | | | | BBH | | | | | | 9/15/23 | | | | | | 1,040.00 | | | | | | (5,682) | | |
| | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | (Premiums received – $10,694) | | | | | | | | | | | | | | | | | | | | | | $ | (6,236) | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BOND & NOTE – 0.2% | | ||||||||||||
| Utilities – 0.2% | | ||||||||||||
| | $ | 1,300,000 | | | | Alliant Energy Corp., Senior Unsecured Notes, 3.875% due 3/15/26(a) | | | | $ | 1,265,550 | | |
| | | | | | | TOTAL CORPORATE BOND & NOTE (Cost – $1,300,000) | | | | | 1,265,550 | | |
| Shares/Units | | | | | | | | | | | |||
| COMMON STOCKS – 94.6% | | ||||||||||||
| BASIC MATERIALS – 5.2% | | ||||||||||||
| Chemicals – 3.1% | | ||||||||||||
| | | 68,560 | | | | DuPont de Nemours Inc. | | | | | 5,271,578 | | |
| | | 82,625 | | | | LyondellBasell Industries NV, Class A Shares | | | | | 8,160,871 | | |
| | | 51,931 | | | | Nutrien Ltd. (Toronto Exchange) | | | | | 3,289,501 | | |
| | | 38,650 | | | | Nutrien Ltd. (New York Exchange) | | | | | 2,447,318 | | |
| | | | | | | Total Chemicals | | | | | 19,169,268 | | |
| Mining – 2.1% | | ||||||||||||
| | | 85,550 | | | | Agnico Eagle Mines Ltd.(b) | | | | | 4,150,031 | | |
| | | 159,243 | | | | BHP Group Ltd. | | | | | 4,577,872 | | |
| | | 60,625 | | | | Freeport-McMoRan Inc. | | | | | 2,419,544 | | |
| | | 27,825 | | | | Rio Tinto PLC, ADR | | | | | 1,739,063 | | |
| | | | | | | Total Mining | | | | | 12,886,510 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 32,055,778 | | |
| COMMUNICATIONS – 5.7% | | ||||||||||||
| Advertising – 0.5% | | ||||||||||||
| | | 42,532 | | | | Publicis Groupe SA | | | | | 3,314,048 | | |
| Media – 0.6% | | ||||||||||||
| | | 83,057 | | | | Comcast Corp., Class A Shares | | | | | 3,883,745 | | |
| Telecommunications – 4.6% | | ||||||||||||
| | | 293,209 | | | | AT&T Inc. | | | | | 4,336,561 | | |
| | | 141,925 | | | | BCE Inc. | | | | | 6,012,276 | | |
| | | 127,110 | | | | Cisco Systems Inc. | | | | | 7,289,758 | | |
| | | 1,344,800 | | | | Singapore Telecommunications Ltd. | | | | | 2,365,617 | | |
| | | 330,580 | | | | Telenor ASA | | | | | 3,542,550 | | |
| | | 121,225 | | | | TELUS Corp.(b) | | | | | 2,128,711 | | |
| | | 77,175 | | | | Verizon Communications Inc. | | | | | 2,699,582 | | |
| | | | | | | Total Telecommunications | | | | | 28,375,055 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 35,572,848 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – 6.3% | | ||||||||||||
| Apparel – 0.6% | | ||||||||||||
| | | 6,835 | | | | Kering SA | | | | $ | 3,644,466 | | |
| Auto Manufacturers – 0.4% | | ||||||||||||
| | | 82,000 | | | | General Motors Co. | | | | | 2,747,820 | | |
| Distribution/Wholesale – 1.6% | | ||||||||||||
| | | 57,550 | | | | LKQ Corp. | | | | | 3,023,101 | | |
| | | 110,870 | | | | Mitsui & Co., Ltd. | | | | | 4,101,717 | | |
| | | 7,000 | | | | Watsco Inc. | | | | | 2,551,850 | | |
| | | | | | | Total Distribution/Wholesale | | | | | 9,676,668 | | |
| Lodging – 0.5% | | ||||||||||||
| | | 53,847 | | | | Las Vegas Sands Corp. | | | | | 2,954,046 | | |
| Retail – 3.2% | | ||||||||||||
| | | 41,475 | | | | Best Buy Co., Inc. | | | | | 3,170,764 | | |
| | | 5,665 | | | | Cie Financiere Richemont SA, Class Registered Shares | | | | | 803,344 | | |
| | | 20,710 | | | | Darden Restaurants Inc. | | | | | 3,220,612 | | |
| | | 8,575 | | | | Home Depot Inc.(c) | | | | | 2,832,322 | | |
| | | 8,190 | | | | McDonald’s Corp.(c) | | | | | 2,302,619 | | |
| | | 101,760 | | | | Walgreens Boots Alliance Inc. | | | | | 2,575,546 | | |
| | | 32,862 | | | | Walmart Inc. | | | | | 5,343,690 | | |
| | | | | | | Total Retail | | | | | 20,248,897 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 39,271,897 | | |
| CONSUMER NON-CYCLICAL – 22.3% | | ||||||||||||
| Agriculture – 2.2% | | ||||||||||||
| | | 132,445 | | | | British American Tobacco PLC | | | | | 4,395,173 | | |
| | | 100,696 | | | | Philip Morris International Inc. | | | | | 9,672,858 | | |
| | | | | | | Total Agriculture | | | | | 14,068,031 | | |
| Beverages – 3.0% | | ||||||||||||
| | | 135,758 | | | | Coca-Cola Co. | | | | | 8,122,401 | | |
| | | 63,921 | | | | Heineken NV | | | | | 6,211,730 | | |
| | | 36,625 | | | | Keurig Dr Pepper Inc. | | | | | 1,232,431 | | |
| | | 17,550 | | | | PepsiCo Inc. | | | | | 3,122,496 | | |
| | | | | | | Total Beverages | | | | | 18,689,058 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Biotechnology – 2.5% | | ||||||||||||
| | | 33,815 | | | | Amgen Inc. | | | | $ | 8,668,137 | | |
| | | 92,503 | | | | Gilead Sciences Inc. | | | | | 7,074,629 | | |
| | | | | | | Total Biotechnology | | | | | 15,742,766 | | |
| Cosmetics/Personal Care – 2.8% | | ||||||||||||
| | | 94,410 | | | | Kao Corp. | | | | | 3,668,455 | | |
| | | 244,743 | | | | Kenvue Inc.(c) | | | | | 5,641,326 | | |
| | | 11,400 | | | | Procter & Gamble Co. | | | | | 1,759,476 | | |
| | | 118,190 | | | | Unilever PLC | | | | | 6,036,915 | | |
| | | | | | | Total Cosmetics/Personal Care | | | | | 17,106,172 | | |
| Food – 0.9% | | ||||||||||||
| | | 113,935 | | | | Conagra Brands Inc. | | | | | 3,404,378 | | |
| | | 38,835 | | | | Kellogg Co. | | | | | 2,369,712 | | |
| | | | | | | Total Food | | | | | 5,774,090 | | |
| Healthcare-Products – 1.1% | | ||||||||||||
| | | 87,882 | | | | Medtronic PLC | | | | | 7,162,383 | | |
| Healthcare-Services – 1.5% | | ||||||||||||
| | | 6,903 | | | | Elevance Health Inc. | | | | | 3,051,195 | | |
| | | 13,011 | | | | Humana Inc. | | | | | 6,006,268 | | |
| | | | | | | Total Healthcare-Services | | | | | 9,057,463 | | |
| Household Products/Wares – 0.9% | | ||||||||||||
| | | 41,665 | | | | Kimberly-Clark Corp. | | | | | 5,367,702 | | |
| Pharmaceuticals – 7.4% | | ||||||||||||
| | | 41,086 | | | | AbbVie Inc. | | | | | 6,037,999 | | |
| | | 35,276 | | | | AstraZeneca PLC | | | | | 4,758,817 | | |
| | | 72,850 | | | | AstraZeneca PLC, ADR | | | | | 4,940,687 | | |
| | | 19,295 | | | | Johnson & Johnson(c) | | | | | 3,119,616 | | |
| | | 49,975 | | | | Merck & Co., Inc. | | | | | 5,446,276 | | |
| | | 182,690 | | | | Pfizer Inc. | | | | | 6,463,572 | | |
| | | 84,241 | | | | Roche Holding AG, ADR(d) | | | | | 3,085,748 | | |
| | | 111,801 | | | | Sanofi | | | | | 11,896,372 | | |
| | | | | | | Total Pharmaceuticals | | | | | 45,749,087 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 138,716,752 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| ENERGY – 10.6% | | ||||||||||||
| Oil & Gas – 6.4% | | ||||||||||||
| | | 44,325 | | | | Chesapeake Energy Corp. | | | | $ | 3,909,908 | | |
| | | 58,976 | | | | Chevron Corp. | | | | | 9,501,034 | | |
| | | 35,300 | | | | ConocoPhillips(c) | | | | | 4,201,759 | | |
| | | 23,550 | | | | EOG Resources Inc. | | | | | 3,029,001 | | |
| | | 10,925 | | | | Pioneer Natural Resources Co. | | | | | 2,599,385 | | |
| | | 184,116 | | | | Shell PLC | | | | | 5,628,897 | | |
| | | 177,080 | | | | TotalEnergies SE | | | | | 11,134,865 | | |
| | | | | | | Total Oil & Gas | | | | | 40,004,849 | | |
| Oil & Gas Services – 0.4% | | ||||||||||||
| | | 72,549 | | | | Baker Hughes Co., Class A Shares | | | | | 2,625,548 | | |
| Pipelines – 3.8% | | ||||||||||||
| | | 184,925 | | | | Enbridge Inc. | | | | | 6,492,630 | | |
| | | 194,727 | | | | Enterprise Products Partners LP | | | | | 5,181,686 | | |
| | | 119,651 | | | | TC Energy Corp. | | | | | 4,321,321 | | |
| | | 218,750 | | | | Williams Cos., Inc. | | | | | 7,553,438 | | |
| | | | | | | Total Pipelines | | | | | 23,549,075 | | |
| | | | | | | TOTAL ENERGY | | | | | 66,179,472 | | |
| FINANCIAL – 17.4% | | ||||||||||||
| Banks – 10.5% | | ||||||||||||
| | | 89,950 | | | | Canadian Imperial Bank of Commerce | | | | | 3,564,182 | | |
| | | 82,700 | | | | Fifth Third Bancorp | | | | | 2,195,685 | | |
| | | 9,625 | | | | Goldman Sachs Group Inc. | | | | | 3,154,209 | | |
| | | 424,290 | | | | Huntington Bancshares Inc. | | | | | 4,705,376 | | |
| | | 50,145 | | | | JPMorgan Chase & Co.(c) | | | | | 7,337,718 | | |
| | | 36,575 | | | | Morgan Stanley | | | | | 3,114,361 | | |
| | | 603,351 | | | | Nordea Bank Abp | | | | | 6,609,065 | | |
| | | 417,056 | | | | Oversea-Chinese Banking Corp., Ltd. | | | | | 3,871,053 | | |
| | | 66,125 | | | | PNC Financial Services Group Inc. | | | | | 7,983,271 | | |
| | | 185,040 | | | | Sumitomo Mitsui Trust Holdings Inc. | | | | | 6,926,449 | | |
| | | 79,425 | | | | Truist Financial Corp. | | | | | 2,426,434 | | |
| | | 131,348 | | | | US Bancorp | | | | | 4,798,143 | | |
| | | 197,536 | | | | Wells Fargo & Co. | | | | | 8,156,261 | | |
| | | | | | | Total Banks | | | | | 64,842,207 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Diversified Financial Services – 1.2% | | ||||||||||||
| | | 5,100 | | | | CME Group Inc., Class A Shares(c) | | | | $ | 1,033,668 | | |
| | | 34,401 | | | | Deutsche Boerse AG | | | | | 6,107,565 | | |
| | | | | | | Total Diversified Financial Services | | | | | 7,141,233 | | |
| Equity Real Estate Investment Trusts (REITs) – 1.9% | | ||||||||||||
| | | 148,700 | | | | Brixmor Property Group Inc. | | | | | 3,268,426 | | |
| | | 28,660 | | | | Lamar Advertising Co., Class A Shares | | | | | 2,614,365 | | |
| | | 45,562 | | | | NNN REIT Inc. | | | | | 1,794,687 | | |
| | | 15,297 | | | | Prologis Inc. | | | | | 1,899,887 | | |
| | | 26,175 | | | | Terreno Realty Corp. | | | | | 1,593,796 | | |
| | | 27,083 | | | | VICI Properties Inc., Class A Shares | | | | | 835,240 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 12,006,401 | | |
| Insurance – 3.8% | | ||||||||||||
| | | 22,681 | | | | Allianz SE, Class Registered Shares | | | | | 5,517,629 | | |
| | | 32,200 | | | | American International Group Inc. | | | | | 1,884,344 | | |
| | | 14,007 | | | | Everest Group Ltd. | | | | | 5,052,045 | | |
| | | 85,620 | | | | NN Group NV(b) | | | | | 3,301,004 | | |
| | | 25,775 | | | | Progressive Corp. | | | | | 3,440,189 | | |
| | | 11,068 | | | | Zurich Insurance Group AG | | | | | 5,194,254 | | |
| | | | | | | Total Insurance | | | | | 24,389,465 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 108,379,306 | | |
| INDUSTRIAL – 11.2% | | ||||||||||||
| Aerospace/Defense – 2.4% | | ||||||||||||
| | | 24,145 | | | | Airbus SE | | | | | 3,535,048 | | |
| | | 18,146 | | | | General Dynamics Corp. | | | | | 4,112,609 | | |
| | | 5,425 | | | | Lockheed Martin Corp. | | | | | 2,432,299 | | |
| | | 48,200 | | | | RTX Corp. | | | | | 4,147,128 | | |
| | | | | | | Total Aerospace/Defense | | | | | 14,227,084 | | |
| Building Materials – 1.1% | | ||||||||||||
| | | 41,100 | | | | CRH PLC, ADR | | | | | 2,366,127 | | |
| | | 27,450 | | | | Heidelberg Materials AG | | | | | 2,211,036 | | |
| | | 12,088 | | | | Knife River Corp.* | | | | | 622,049 | | |
| | | 96,675 | | | | MDU Resources Group Inc. | | | | | 1,968,303 | | |
| | | | | | | Total Building Materials | | | | | 7,167,515 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Electrical Components & Equipment – 0.7% | | ||||||||||||
| | | 42,607 | | | | Emerson Electric Co. | | | | $ | 4,186,138 | | |
| Engineering & Construction – 0.6% | | ||||||||||||
| | | 116,726 | | | | Ferrovial SE(b) | | | | | 3,697,920 | | |
| Hand/Machine Tools – 0.4% | | ||||||||||||
| | | 29,100 | | | | Stanley Black & Decker Inc. | | | | | 2,746,458 | | |
| Machinery-Construction & Mining – 0.9% | | ||||||||||||
| | | 6,000 | | | | Caterpillar Inc.(c) | | | | | 1,686,780 | | |
| | | 310,200 | | | | Mitsubishi Electric Corp. | | | | | 4,057,773 | | |
| | | | | | | Total Machinery-Construction & Mining | | | | | 5,744,553 | | |
| Machinery-Diversified – 0.6% | | ||||||||||||
| | | 28,260 | | | | AGCO Corp. | | | | | 3,660,518 | | |
| Miscellaneous Manufacturers – 2.1% | | ||||||||||||
| | | 43,421 | | | | Eaton Corp. PLC(c) | | | | | 10,002,896 | | |
| | | 21,510 | | | | Siemens AG, Class Registered Shares | | | | | 3,239,670 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 13,242,566 | | |
| Packaging & Containers – 0.7% | | ||||||||||||
| | | 422,900 | | | | Amcor PLC | | | | | 4,119,046 | | |
| Transportation – 1.7% | | ||||||||||||
| | | 107,812 | | | | DHL Group | | | | | 5,036,851 | | |
| | | 4,225 | | | | Union Pacific Corp. | | | | | 931,908 | | |
| | | 30,000 | | | | United Parcel Service Inc., Class B Shares | | | | | 5,082,000 | | |
| | | | | | | Total Transportation | | | | | 11,050,759 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 69,842,557 | | |
| TECHNOLOGY – 6.0% | | ||||||||||||
| Computers – 0.4% | | ||||||||||||
| | | 14,650 | | | | Capgemini SE | | | | | 2,722,976 | | |
| Semiconductors – 3.5% | | ||||||||||||
| | | 7,825 | | | | Analog Devices Inc. | | | | | 1,422,428 | | |
| | | 6,848 | | | | Broadcom Inc. | | | | | 6,319,951 | | |
| | | 64,450 | | | | Intel Corp. | | | | | 2,264,773 | | |
| | | 147,600 | | | | MediaTek Inc. | | | | | 3,261,581 | | |
| | | 18,475 | | | | QUALCOMM Inc. | | | | | 2,115,942 | | |
| | | 79,177 | | | | Samsung Electronics Co., Ltd. | | | | | 3,225,733 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Semiconductors – (continued) | | ||||||||||||
| | | 19,725 | | | | Texas Instruments Inc. | | | | $ | 3,314,983 | | |
| | | | | | | Total Semiconductors | | | | | 21,925,391 | | |
| Software – 2.1% | | ||||||||||||
| | | 5,125 | | | | Microsoft Corp.(c) | | | | | 1,679,770 | | |
| | | 51,747 | | | | Oracle Corp. | | | | | 6,229,821 | | |
| | | 41,725 | | | | Paychex Inc. | | | | | 5,100,047 | | |
| | | | | | | Total Software | | | | | 13,009,638 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 37,658,005 | | |
| UTILITIES – 9.9% | | ||||||||||||
| Electric – 9.9% | | ||||||||||||
| | | 31,250 | | | | Ameren Corp. | | | | | 2,477,187 | | |
| | | 72,320 | | | | American Electric Power Co., Inc. | | | | | 5,669,888 | | |
| | | 117,150 | | | | CenterPoint Energy Inc. | | | | | 3,267,314 | | |
| | | 147,781 | | | | Dominion Energy Inc. | | | | | 7,173,290 | | |
| | | 82,570 | | | | Duke Energy Corp. | | | | | 7,332,216 | | |
| | | 508,909 | | | | Enel SpA | | | | | 3,419,537 | | |
| | | 201,137 | | | | Engie SA | | | | | 3,236,926 | | |
| | | 31,575 | | | | Entergy Corp. | | | | | 3,007,519 | | |
| | | 47,500 | | | | Evergy Inc. | | | | | 2,611,075 | | |
| | | 528,965 | | | | National Grid PLC | | | | | 6,612,821 | | |
| | | 44,850 | | | | NextEra Energy Inc. | | | | | 2,995,980 | | |
| | | 134,325 | | | | PPL Corp. | | | | | 3,347,379 | | |
| | | 35,400 | | | | Public Service Enterprise Group Inc. | | | | | 2,162,232 | | |
| | | 28,050 | | | | Sempra | | | | | 1,969,671 | | |
| | | 97,535 | | | | Southern Co. | | | | | 6,606,046 | | |
| | | | | | | Total Electric | | | | | 61,889,081 | | |
| | | | | | | TOTAL UTILITIES | | | | | 61,889,081 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $553,625,528) | | | | | 589,565,696 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 3.4% | | ||||||||||||
| | | 131,029 | | | | iShares Core Dividend Growth | | | | | 6,810,887 | | |
| | | 253,227 | | | | JPMorgan Equity Premium Income | | | | | 14,076,889 | | |
Shares/Units | | | Security | | | Value | | |||
COMMON STOCKS – (continued) | | |||||||||
EXCHANGE TRADED FUNDS (ETFs) – (continued) | | |||||||||
| | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $20,273,430) | | | | $ | 20,887,776 | | |
| | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $575,198,958) | | | | | 611,719,022 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 1.2% | | ||||||||||||
| EQUITY LINKED NOTE – 0.3% | | ||||||||||||
| | $ | 81,050 | | | | Merrill Lynch International & Co. CV, 0.120% due 2/20/24(d) (Cost – $1,920,017) | | | | | 1,918,600 | | |
| TIME DEPOSITS – 0.9% | | ||||||||||||
| | | 7,553 | | | | ANZ National Bank – London, 4.680% due 9/1/23 | | | | | 7,553 | | |
| | | 328EUR | | | | Citibank – London, 2.630% due 9/1/23 | | | | | 356 | | |
| | | 4,556,439 | | | | Citibank – New York, 4.680% due 9/1/23 | | | | | 4,556,439 | | |
| | | 982,815 | | | | JPMorgan Chase & Co. – New York, 4.680% due 9/1/23 | | | | | 982,815 | | |
| | | 46,690GBP | | | | Skandinaviska Enskilda Banken AB – Stockholm, 4.170% due 9/1/23 | | | | | 59,143 | | |
| | | 48,894 | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 4.680% due 9/1/23 | | | | | 48,894 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $5,655,200) | | | | | 5,655,200 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $7,575,217) | | | | | 7,573,800 | | |
| Shares/Units | | | | | | | | | | | |||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 1.7% | | ||||||||||||
| MONEY MARKET FUND – 1.7% | | ||||||||||||
| | | 10,518,183 | | | | Federated Government Obligations Fund, Premier Class, 5.165%(e) (Cost – $10,518,183) | | | | | 10,518,183 | | |
| | | | | | | TOTAL INVESTMENTS – 101.1% (Cost – $593,292,358) | | | | | 629,811,005 | | |
| | | | | | | Liabilities in Excess of Other Assets – (1.1)% | | | | | (6,893,654) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 622,917,351 | | |
| Consumer Non-cyclical | | | | | 22.0% | | |
| Financial | | | | | 17.2 | | |
| Industrial | | | | | 11.1 | | |
| Energy | | | | | 10.5 | | |
| Utilities | | | | | 10.0 | | |
| Consumer Cyclical | | | | | 6.3 | | |
| Technology | | | | | 6.0 | | |
| Communications | | | | | 5.6 | | |
| Basic Materials | | | | | 5.1 | | |
| Exchange Traded Funds (ETFs) | | | | | 3.3 | | |
| Short-Term Investments | | | | | 1.2 | | |
| Money Market Fund | | | | | 1.7 | | |
| | | | | | 100.0% | | |
| Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | | |||||||||||||||
| 15 | | | | $ | 421,695 | | | | Caterpillar Inc., Call | | | | | CITI | | | | | | 9/15/23 | | | | | $ | 310.00 | | | | | $ | (210) | | |
| 150 | | | | | 598,650 | | | | Freeport-McMoRan Inc., Put | | | | | CITI | | | | | | 9/15/23 | | | | | | 32.00 | | | | | | (300) | | |
| 30 | | | | | 508,200 | | | | United Parcel Service of America Inc., Put | | | | | CITI | | | | | | 9/15/23 | | | | | | 150.00 | | | | | | (150) | | |
| 30 | | | | | 508,200 | | | | United Parcel Service of America Inc., Put | | | | | CITI | | | | | | 9/15/23 | | | | | | 160.00 | | | | | | (1,080) | | |
| 30 | | | | | 508,200 | | | | United Parcel Service of America Inc., Put | | | | | CITI | | | | | | 9/15/23 | | | | | | 170.00 | | | | | | (7,890) | | |
| | | | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | (Premiums received – $10,376) | | | | | | | | | | | | | | | | | | | | | | $ | (9,630) | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – 24.3% | | ||||||||||||
| FHLMC – 6.3% | | ||||||||||||
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC)., Gold: | | ||||||
| | $ | 536,291 | | | | 2.000% due 5/1/36 | | | | $ | 471,605 | | |
| | | 204,471 | | | | 2.000% due 6/1/36 | | | | | 179,799 | | |
| | | 93,229 | | | | 2.000% due 12/1/40 | | | | | 78,679 | | |
| | | 588,142 | | | | 2.000% due 5/1/41 | | | | | 493,796 | | |
| | | 703,775 | | | | 2.000% due 12/1/41 | | | | | 584,763 | | |
| | | 287,726 | | | | 2.000% due 9/1/50 | | | | | 230,816 | | |
| | | 506,303 | | | | 2.000% due 10/1/50 | | | | | 405,298 | | |
| | | 7,530,104 | | | | 2.000% due 3/1/51 | | | | | 6,018,331 | | |
| | | 1,240,919 | | | | 2.000% due 4/1/51 | | | | | 991,599 | | |
| | | 498,178 | | | | 2.000% due 5/1/51 | | | | | 402,515 | | |
| | | 192,407 | | | | 2.000% due 8/1/51 | | | | | 153,708 | | |
| | | 196,034 | | | | 2.000% due 11/1/51 | | | | | 157,000 | | |
| | | 764,960 | | | | 2.000% due 4/1/52 | | | | | 616,451 | | |
| | | 293,606 | | | | 2.500% due 5/1/50 | | | | | 246,785 | | |
| | | 351,208 | | | | 2.500% due 6/1/50 | | | | | 293,620 | | |
| | | 1,926,025 | | | | 2.500% due 7/1/50 | | | | | 1,610,494 | | |
| | | 513,905 | | | | 2.500% due 9/1/50 | | | | | 427,568 | | |
| | | 601,696 | | | | 2.500% due 11/1/50 | | | | | 502,715 | | |
| | | 183,860 | | | | 2.500% due 2/1/51 | | | | | 154,514 | | |
| | | 459,412 | | | | 2.500% due 3/1/51 | | | | | 384,091 | | |
| | | 216,323 | | | | 2.500% due 5/1/51 | | | | | 180,192 | | |
| | | 302,301 | | | | 2.500% due 7/1/51 | | | | | 252,291 | | |
| | | 178,687 | | | | 2.500% due 8/1/51 | | | | | 148,811 | | |
| | | 334,497 | | | | 2.500% due 10/1/51 | | | | | 278,662 | | |
| | | 6,158,154 | | | | 2.500% due 12/1/51 | | | | | 5,108,934 | | |
| | | 6,746,176 | | | | 2.500% due 1/1/52 | | | | | 5,618,262 | | |
| | | 1,173,209 | | | | 2.500% due 4/1/52 | | | | | 974,091 | | |
| | | 683,910 | | | | 3.000% due 2/1/33 | | | | | 645,375 | | |
| | | 396,473 | | | | 3.000% due 5/1/33 | | | | | 370,773 | | |
| | | 296,789 | | | | 3.000% due 3/1/35 | | | | | 275,313 | | |
| | | 529,925 | | | | 3.000% due 5/1/35 | | | | | 491,106 | | |
| | | 4,167,931 | | | | 3.000% due 3/1/42 | | | | | 3,694,910 | | |
| | | 120,673 | | | | 3.000% due 1/1/47 | | | | | 105,873 | | |
| | | 242,148 | | | | 3.000% due 2/1/47 | | | | | 212,413 | | |
| | | 5,111,144 | | | | 3.000% due 4/1/50 | | | | | 4,336,698 | | |
| | | 226,216 | | | | 3.000% due 7/1/50 | | | | | 196,256 | | |
| | | 803,264 | | | | 3.000% due 8/1/51 | | | | | 696,211 | | |
| | | 517,272 | | | | 3.000% due 9/1/51 | | | | | 449,745 | | |
| | | 633,020 | | | | 3.000% due 10/1/51 | | | | | 550,387 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
| FHLMC – (continued) | | ||||||||||||
| | $ | 7,874,084 | | | | 3.000% due 1/1/52 | | | | $ | 6,860,530 | | |
| | | 8,421,415 | | | | 3.000% due 5/1/52 | | | | | 7,323,826 | | |
| | | 7,026,126 | | | | 3.000% due 6/1/52 | | | | | 6,068,293 | | |
| | | 3,744,176 | | | | 3.030% due 1/1/50 | | | | | 2,871,240 | | |
| | | 813,049 | | | | 3.500% due 8/1/43 | | | | | 748,753 | | |
| | | 12,819,504 | | | | 3.500% due 12/1/46 | | | | | 11,673,299 | | |
| | | 371,146 | | | | 3.500% due 1/1/48 | | | | | 338,072 | | |
| | | 662,761 | | | | 4.000% due 10/1/44 | | | | | 629,257 | | |
| | | 852,935 | | | | 4.000% due 12/1/47 | | | | | 802,134 | | |
| | | 741,103 | | | | 4.000% due 4/1/49 | | | | | 693,033 | | |
| | | 343,857 | | | | 4.000% due 7/1/49 | | | | | 321,859 | | |
| | | 8,449,352 | | | | 4.000% due 8/1/51 | | | | | 7,918,173 | | |
| | | 13,247,820 | | | | 4.350% due 10/1/32 | | | | | 12,432,643 | | |
| | | 7,700,000 | | | | 4.380% due 5/1/28 | | | | | 7,434,676 | | |
| | | 317,695 | | | | 4.500% due 5/1/48 | | | | | 305,563 | | |
| | | 5,636,432 | | | | 4.500% due 7/1/52 | | | | | 5,345,694 | | |
| | | 3,590,361 | | | | 4.500% due 10/1/52 | | | | | 3,404,278 | | |
| | | 7,600,000 | | | | 4.840% due 4/1/30 | | | | | 7,469,226 | | |
| | | 188,966 | | | | 5.000% due 8/1/52 | | | | | 183,348 | | |
| | | 6,527,018 | | | | 5.000% due 9/1/52 | | | | | 6,331,842 | | |
| | | 888,425 | | | | 5.000% due 10/1/52 | | | | | 861,734 | | |
| | | 860,074 | | | | 5.000% due 1/1/53 | | | | | 833,969 | | |
| | | 1,784,129 | | | | 5.000% due 4/1/53 | | | | | 1,730,561 | | |
| | | 666,691 | | | | 5.500% due 2/1/53 | | | | | 660,941 | | |
| | | 460,328 | | | | 6.000% due 12/1/52 | | | | | 466,221 | | |
| | | 195,980 | | | | 6.000% due 3/1/53 | | | | | 198,491 | | |
| | | | | | | TOTAL FHLMC | | | | | 132,898,106 | | |
| FNMA – 15.4% | | ||||||||||||
| | | | | | | Federal National Mortgage Association (FNMA): | | | | | | | |
| | | 1,079,804 | | | | 1.500% due 9/1/51 | | | | | 815,135 | | |
| | | 252,602 | | | | 1.500% due 10/1/51 | | | | | 190,725 | | |
| | | 147,812 | | | | 1.500% due 11/1/51 | | | | | 111,534 | | |
| | | 970,966 | | | | 1.500% due 4/1/52 | | | | | 733,131 | | |
| | | 573,054 | | | | 2.000% due 5/1/36 | | | | | 503,927 | | |
| | | 742,080 | | | | 2.000% due 6/1/36 | | | | | 654,209 | | |
| | | 571,537 | | | | 2.000% due 8/1/36 | | | | | 502,607 | | |
| | | 370,112 | | | | 2.000% due 9/1/36 | | | | | 325,393 | | |
| | | 308,791 | | | | 2.000% due 12/1/36 | | | | | 271,445 | | |
| | | 1,700,000 | | | | 2.000% due 9/1/38(a) | | | | | 1,489,215 | | |
| | | 365,382 | | | | 2.000% due 9/1/40 | | | | | 308,430 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
| FNMA – (continued) | | ||||||||||||
| | $ | 870,966 | | | | 2.000% due 12/1/40 | | | | $ | 732,761 | | |
| | | 399,319 | | | | 2.000% due 4/1/41 | | | | | 334,711 | | |
| | | 122,817 | | | | 2.000% due 5/1/41 | | | | | 103,117 | | |
| | | 504,979 | | | | 2.000% due 10/1/41 | | | | | 420,683 | | |
| | | 11,619,511 | | | | 2.000% due 8/1/50 | | | | | 9,353,135 | | |
| | | 1,313,019 | | | | 2.000% due 9/1/50 | | | | | 1,053,367 | | |
| | | 848,452 | | | | 2.000% due 12/1/50 | | | | | 679,097 | | |
| | | 3,947,380 | | | | 2.000% due 2/1/51 | | | | | 3,172,541 | | |
| | | 6,081,102 | | | | 2.000% due 3/1/51 | | | | | 4,852,766 | | |
| | | 3,016,577 | | | | 2.000% due 4/1/51 | | | | | 2,406,774 | | |
| | | 14,578,122 | | | | 2.000% due 5/1/51 | | | | | 11,630,456 | | |
| | | 149,319 | | | | 2.000% due 7/1/51 | | | | | 119,370 | | |
| | | 13,330,000 | | | | 2.000% due 9/1/53(a) | | | | | 10,613,492 | | |
| | | 225,065 | | | | 2.250% due 4/1/33 | | | | | 181,957 | | |
| | | 94,374 | | | | 2.500% due 6/1/30 | | | | | 87,708 | | |
| | | 760,000 | | | | 2.500% due 9/1/38(a) | | | | | 683,436 | | |
| | | 6,053,947 | | | | 2.500% due 2/1/47 | | | | | 5,108,052 | | |
| | | 321,450 | | | | 2.500% due 4/1/50 | | | | | 268,807 | | |
| | | 317,269 | | | | 2.500% due 6/1/50 | | | | | 265,283 | | |
| | | 58,936 | | | | 2.500% due 7/1/50 | | | | | 49,277 | | |
| | | 533,459 | | | | 2.500% due 9/1/50 | | | | | 447,390 | | |
| | | 6,148,381 | | | | 2.500% due 10/1/50 | | | | | 5,172,183 | | |
| | | 9,986,460 | | | | 2.500% due 11/1/50 | | | | | 8,349,328 | | |
| | | 305,780 | | | | 2.500% due 1/1/51 | | | | | 256,548 | | |
| | | 1,115,356 | | | | 2.500% due 2/1/51 | | | | | 930,418 | | |
| | | 5,338,066 | | | | 2.500% due 5/1/51 | | | | | 4,451,433 | | |
| | | 1,313,535 | | | | 2.500% due 6/1/51 | | | | | 1,094,213 | | |
| | | 444,390 | | | | 2.500% due 7/1/51 | | | | | 370,713 | | |
| | | 11,046,417 | | | | 2.500% due 8/1/51 | | | | | 9,186,642 | | |
| | | 287,336 | | | | 2.500% due 9/1/51 | | | | | 239,385 | | |
| | | 8,489,033 | | | | 2.500% due 10/1/51 | | | | | 7,053,349 | | |
| | | 10,284,446 | | | | 2.500% due 11/1/51 | | | | | 8,577,324 | | |
| | | 6,774,699 | | | | 2.500% due 12/1/51 | | | | | 5,624,499 | | |
| | | 518,947 | | | | 2.500% due 1/1/52 | | | | | 434,354 | | |
| | | 7,490,964 | | | | 2.500% due 2/1/52 | | | | | 6,207,143 | | |
| | | 737,506 | | | | 2.500% due 3/1/52 | | | | | 616,134 | | |
| | | 409,285 | | | | 2.500% due 4/1/52 | | | | | 340,930 | | |
| | | 662,918 | | | | 2.500% due 1/1/57 | | | | | 549,260 | | |
| | | 4,443,000 | | | | 2.760% due 9/1/31 | | | | | 3,841,872 | | |
| | | 346,193 | | | | 3.000% due 2/1/30 | | | | | 326,816 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
| FNMA – (continued) | | ||||||||||||
| | $ | 221,534 | | | | 3.000% due 10/1/30 | | | | $ | 208,679 | | |
| | | 504,925 | | | | 3.000% due 1/1/31 | | | | | 476,625 | | |
| | | 1,025,584 | | | | 3.000% due 11/1/36 | | | | | 941,667 | | |
| | | 125,000 | | | | 3.000% due 9/1/38(a) | | | | | 115,498 | | |
| | | 3,576,869 | | | | 3.000% due 3/1/43 | | | | | 3,166,628 | | |
| | | 6,573,938 | | | | 3.000% due 6/1/43 | | | | | 5,818,911 | | |
| | | 117,977 | | | | 3.000% due 11/1/48 | | | | | 103,203 | | |
| | | 4,182,296 | | | | 3.000% due 11/1/49 | | | | | 3,637,441 | | |
| | | 55,369 | | | | 3.000% due 12/1/49 | | | | | 48,158 | | |
| | | 224,546 | | | | 3.000% due 2/1/50 | | | | | 196,552 | | |
| | | 929,456 | | | | 3.000% due 8/1/50 | | | | | 807,570 | | |
| | | 383,449 | | | | 3.000% due 10/1/50 | | | | | 332,368 | | |
| | | 2,503,866 | | | | 3.000% due 11/1/50 | | | | | 2,195,324 | | |
| | | 529,693 | | | | 3.000% due 12/1/50 | | | | | 459,151 | | |
| | | 451,848 | | | | 3.000% due 5/1/51 | | | | | 396,246 | | |
| | | 99,541 | | | | 3.000% due 6/1/51 | | | | | 86,019 | | |
| | | 820,306 | | | | 3.000% due 7/1/51 | | | | | 710,836 | | |
| | | 1,039,601 | | | | 3.000% due 8/1/51 | | | | | 900,184 | | |
| | | 897,168 | | | | 3.000% due 9/1/51 | | | | | 778,098 | | |
| | | 1,322,874 | | | | 3.000% due 10/1/51 | | | | | 1,146,598 | | |
| | | 1,227,981 | | | | 3.000% due 11/1/51 | | | | | 1,061,475 | | |
| | | 651,918 | | | | 3.000% due 12/1/51 | | | | | 564,989 | | |
| | | 308,964 | | | | 3.000% due 1/1/52 | | | | | 267,145 | | |
| | | 6,971,763 | | | | 3.000% due 2/1/52 | | | | | 6,009,809 | | |
| | | 4,880,435 | | | | 3.000% due 4/1/52 | | | | | 4,211,331 | | |
| | | 468,804 | | | | 3.000% due 5/1/52 | | | | | 406,997 | | |
| | | 4,261,063 | | | | 3.000% due 4/1/53 | | | | | 3,725,106 | | |
| | | 229,204 | | | | 3.500% due 7/1/32 | | | | | 219,061 | | |
| | | 708,410 | | | | 3.500% due 3/1/33 | | | | | 677,033 | | |
| | | 410,005 | | | | 3.500% due 7/1/37 | | | | | 380,814 | | |
| | | 643,581 | | | | 3.500% due 3/1/46 | | | | | 585,591 | | |
| | | 693,880 | | | | 3.500% due 5/1/47 | | | | | 634,534 | | |
| | | 826,861 | | | | 3.500% due 11/1/47 | | | | | 751,508 | | |
| | | 452,984 | | | | 3.500% due 7/1/50 | | | | | 409,658 | | |
| | | 10,145,246 | | | | 3.500% due 11/1/50 | | | | | 9,189,089 | | |
| | | 1,430,551 | | | | 3.500% due 2/1/51 | | | | | 1,297,212 | | |
| | | 7,442,750 | | | | 3.500% due 7/1/51 | | | | | 6,747,106 | | |
| | | 714,147 | | | | 3.500% due 4/1/52 | | | | | 641,650 | | |
| | | 475,000 | | | | 3.520% due 11/1/32 | | | | | 428,923 | | |
| | | 7,931,819 | | | | 3.720% due 6/1/32 | | | | | 7,144,198 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
| FNMA – (continued) | | ||||||||||||
| | $ | 302,162 | | | | 4.000% due 8/1/38 | | | | $ | 289,641 | | |
| | | 205,000 | | | | 4.000% due 9/1/38(a) | | | | | 196,816 | | |
| | | 465,357 | | | | 4.000% due 11/1/38 | | | | | 441,121 | | |
| | | 586,282 | | | | 4.000% due 3/1/47 | | | | | 551,632 | | |
| | | 56,486 | | | | 4.000% due 12/1/47 | | | | | 53,259 | | |
| | | 81,920 | | | | 4.000% due 2/1/48 | | | | | 76,785 | | |
| | | 895,964 | | | | 4.000% due 6/1/48 | | | | | 842,637 | | |
| | | 1,135,925 | | | | 4.000% due 10/1/48 | | | | | 1,068,252 | | |
| | | 972,928 | | | | 4.000% due 4/1/49 | | | | | 905,884 | | |
| | | 153,042 | | | | 4.000% due 5/1/49 | | | | | 144,051 | | |
| | | 667,202 | | | | 4.000% due 4/1/50 | | | | | 625,517 | | |
| | | 296,979 | | | | 4.000% due 8/1/51 | | | | | 277,297 | | |
| | | 469,923 | | | | 4.000% due 6/1/52 | | | | | 434,917 | | |
| | | 4,218,364 | | | | 4.000% due 7/1/52 | | | | | 3,895,279 | | |
| | | 7,232,832 | | | | 4.000% due 10/1/52 | | | | | 6,680,372 | | |
| | | 387,764 | | | | 4.030% due 6/1/28 | | | | | 373,813 | | |
| | | 475,000 | | | | 4.190% due 4/1/28 | | | | | 459,727 | | |
| | | 200,000 | | | | 4.210% due 3/1/33 | | | | | 190,043 | | |
| | | 166,737 | | | | 4.370% due 5/1/28 | | | | | 163,117 | | |
| | | 290,000 | | | | 4.410% due 4/1/30 | | | | | 282,567 | | |
| | | 452,369 | | | | 4.460% due 5/1/28 | | | | | 444,262 | | |
| | | 240,000 | | | | 4.500% due 4/1/33 | | | | | 233,352 | | |
| | | 377,278 | | | | 4.500% due 12/1/37 | | | | | 370,114 | | |
| | | 7,694,000 | | | | 4.500% due 9/1/38(a) | | | | | 7,495,038 | | |
| | | 227,543 | | | | 4.500% due 5/1/48 | | | | | 220,144 | | |
| | | 227,985 | | | | 4.500% due 6/1/48 | | | | | 219,597 | | |
| | | 3,859,770 | | | | 4.500% due 10/1/50 | | | | | 3,724,030 | | |
| | | 3,992,129 | | | | 4.500% due 7/1/52 | | | | | 3,785,537 | | |
| | | 7,544,373 | | | | 4.500% due 8/1/52 | | | | | 7,153,754 | | |
| | | 880,176 | | | | 4.500% due 3/1/53 | | | | | 834,510 | | |
| | | 20,907,000 | | | | 4.500% due 9/1/53(a) | | | | | 19,822,449 | | |
| | | 214,196 | | | | 4.510% due 5/1/33 | | | | | 209,012 | | |
| | | 120,000 | | | | 4.750% due 4/1/28 | | | | | 119,264 | | |
| | | 656,585 | | | | 5.000% due 7/1/52 | | | | | 637,062 | | |
| | | 17,708,215 | | | | 5.000% due 9/1/52 | | | | | 17,181,131 | | |
| | | 1,521,522 | | | | 5.000% due 10/1/52 | | | | | 1,475,678 | | |
| | | 141,570 | | | | 5.000% due 11/1/52 | | | | | 137,312 | | |
| | | 2,426,848 | | | | 5.000% due 12/1/52 | | | | | 2,353,716 | | |
| | | 4,546,682 | | | | 5.000% due 3/1/53 | | | | | 4,408,605 | | |
| | | 3,209,467 | | | | 5.000% due 4/1/53 | | | | | 3,112,542 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
| FNMA – (continued) | | ||||||||||||
| | $ | 1,291,971 | | | | 5.092% due 5/1/44(b) | | | | $ | 1,310,436 | | |
| | | 458,283 | | | | 5.500% due 10/1/52 | | | | | 454,331 | | |
| | | 846,347 | | | | 5.500% due 11/1/52 | | | | | 835,842 | | |
| | | 1,435,060 | | | | 5.500% due 12/1/52 | | | | | 1,417,811 | | |
| | | 6,434,970 | | | | 5.500% due 1/1/53 | | | | | 6,352,397 | | |
| | | 774,197 | | | | 5.500% due 6/1/53 | | | | | 764,262 | | |
| | | 19,865,000 | | | | 5.500% due 9/1/53(a) | | | | | 19,613,584 | | |
| | | 488,838 | | | | 6.000% due 5/1/53 | | | | | 496,458 | | |
| | | 12,500,000 | | | | 6.000% due 9/1/53(a) | | | | | 12,532,715 | | |
| | | | | | | TOTAL FNMA | | | | | 325,639,132 | | |
| GNMA – 2.6% | | ||||||||||||
| | | | | | | Government National Mortgage Association (GNMA): | | | | | | | |
| | | 2,525,000 | | | | 2.000% due 9/1/53(a) | | | | | 2,082,533 | | |
| | | 5,865,000 | | | | 2.500% due 9/1/53(a) | | | | | 4,989,374 | | |
| | | 3,737,000 | | | | 3.500% due 9/1/53(a) | | | | | 3,393,225 | | |
| | | 1,850,000 | | | | 4.000% due 9/1/53(a) | | | | | 1,723,680 | | |
| | | 2,505,000 | | | | 4.500% due 9/1/53(a) | | | | | 2,387,187 | | |
| | | 5,885,000 | | | | 5.000% due 9/1/53(a) | | | | | 5,726,496 | | |
| | | 4,725,000 | | | | 5.500% due 9/1/41(a) | | | | | 4,677,012 | | |
| | | | | | | Government National Mortgage Association (GNMA) II: | | | | | | | |
| | | 677,173 | | | | 2.000% due 10/20/50 | | | | | 561,497 | | |
| | | 698,191 | | | | 2.500% due 9/20/51 | | | | | 594,401 | | |
| | | 6,518,016 | | | | 2.500% due 10/20/51 | | | | | 5,532,252 | | |
| | | 264,370 | | | | 3.000% due 4/20/31 | | | | | 250,333 | | |
| | | 515,473 | | | | 3.000% due 6/20/50 | | | | | 444,015 | | |
| | | 96,093 | | | | 3.000% due 12/20/50 | | | | | 85,226 | | |
| | | 2,318,874 | | | | 3.000% due 4/20/51 | | | | | 2,050,717 | | |
| | | 865,914 | | | | 3.000% due 8/20/51 | | | | | 762,941 | | |
| | | 865,021 | | | | 3.000% due 9/20/51 | | | | | 763,485 | | |
| | | 2,268,000 | | | | 3.000% due 12/20/51 | | | | | 1,998,198 | | |
| | | 721,741 | | | | 3.000% due 4/20/52 | | | | | 635,271 | | |
| | | 510,272 | | | | 3.000% due 12/20/52 | | | | | 449,563 | | |
| | | 117,873 | | | | 3.500% due 8/20/42 | | | | | 109,200 | | |
| | | 445,278 | | | | 3.500% due 10/20/43 | | | | | 413,099 | | |
| | | 79,563 | | | | 3.500% due 12/20/43 | | | | | 73,751 | | |
| | | 16,040 | | | | 3.500% due 7/20/44 | | | | | 14,823 | | |
| | | 391,736 | | | | 3.500% due 6/20/46 | | | | | 361,670 | | |
| | | 328,612 | | | | 3.500% due 2/20/49 | | | | | 301,837 | | |
| | | 348,593 | | | | 3.500% due 6/20/50 | | | | | 318,542 | | |
| | | 673,703 | | | | 3.500% due 9/20/50 | | | | | 614,081 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
| GNMA – (continued) | | ||||||||||||
| | $ | 3,082,735 | | | | 3.500% due 10/20/51 | | | | $ | 2,806,550 | | |
| | | 4,603,830 | | | | 3.500% due 2/20/52 | | | | | 4,180,223 | | |
| | | 1,051,585 | | | | 3.500% due 1/20/53 | | | | | 954,827 | | |
| | | 496,568 | | | | 4.000% due 10/20/44 | | | | | 472,356 | | |
| | | 327,831 | | | | 4.000% due 2/20/45 | | | | | 310,864 | | |
| | | 224,823 | | | | 4.000% due 10/20/45 | | | | | 213,347 | | |
| | | 281,629 | | | | 4.000% due 2/20/47 | | | | | 266,542 | | |
| | | 586,050 | | | | 4.000% due 10/20/48 | | | | | 552,538 | | |
| | | 485,197 | | | | 4.000% due 3/20/49 | | | | | 456,897 | | |
| | | 1,319,322 | | | | 4.000% due 2/20/52 | | | | | 1,230,711 | | |
| | | 642,773 | | | | 4.500% due 2/20/40 | | | | | 628,870 | | |
| | | 218,661 | | | | 4.500% due 7/20/49 | | | | | 210,733 | | |
| | | 227,486 | | | | 4.500% due 8/20/49 | | | | | 218,456 | | |
| | | | | | | TOTAL GNMA | | | | | 53,817,323 | | |
| | | | | | | TOTAL MORTGAGE-BACKED SECURITIES (Cost – $552,906,205) | | | | | 512,354,561 | | |
| CORPORATE BONDS & NOTES – 23.9% | | ||||||||||||
| Basic Materials – 0.7% | | ||||||||||||
| | | 570,000 | | | | Anglo American Capital PLC, Company Guaranteed Notes, 3.875% due 3/16/29(c) | | | | | 519,860 | | |
| | | 4,600,000 | | | | ArcelorMittal SA, Senior Unsecured Notes, 6.800% due 11/29/32 | | | | | 4,725,847 | | |
| | | 90,000 | | | | ASP Unifrax Holdings Inc., Senior Secured Notes, 5.250% due 9/30/28(c) | | | | | 60,863 | | |
| | | 385,000 | | | | BHP Billiton Finance USA Ltd., Company Guaranteed Notes, 4.900% due 2/28/33 | | | | | 379,892 | | |
| | | 200,000 | | | | Braskem Idesa SAPI, Senior Secured Notes, 6.990% due 2/20/32 | | | | | 119,772 | | |
| | | 400,000 | | | | Braskem Netherlands Finance BV, Company Guaranteed Notes, 8.500% (5-Year CMT Index + 8.220%) due 1/23/81(b) | | | | | 402,300 | | |
| | | 400,000 | | | | CAP SA, Senior Unsecured Notes, 3.900% due 4/27/31 | | | | | 298,373 | | |
| | | | | | | Celanese US Holdings LLC, Company Guaranteed Notes: | | | | | | | |
| | | 735,000 | | | | 6.165% due 7/15/27 | | | | | 735,393 | | |
| | | 380,000 | | | | 6.550% due 11/15/30 | | | | | 380,187 | | |
| | | 200,000 | | | | CSN Resources SA, Company Guaranteed Notes, 5.875% due 4/8/32 | | | | | 161,747 | | |
| | | 75,000 | | | | CVR Partners LP/CVR Nitrogen Finance Corp., Senior Secured Notes, 6.125% due 6/15/28(c) | | | | | 67,145 | | |
| | | | | | | Freeport-McMoRan Inc., Company Guaranteed Notes: | | | | | | | |
| | | 100,000 | | | | 4.375% due 8/1/28 | | | | | 92,776 | | |
| | | 100,000 | | | | 4.625% due 8/1/30 | | | | | 92,484 | | |
| | | 605,000 | | | | Georgia-Pacific LLC, Senior Unsecured Notes, 3.600% due 3/1/25(c) | | | | | 587,309 | | |
| | | | | | | Glencore Funding LLC, Company Guaranteed Notes: | | | | | | | |
| | | 435,000 | | | | 1.625% due 4/27/26(c) | | | | | 394,319 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Basic Materials – (continued) | | ||||||||||||
| | $ | 380,000 | | | | 5.700% due 5/8/33(c) | | | | $ | 372,326 | | |
| | | 105,000 | | | | Illuminate Buyer LLC/Illuminate Holdings IV Inc., Senior Unsecured Notes, 9.000% due 7/1/28(c) | | | | | 97,198 | | |
| | | 300,000 | | | | Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT, Senior Unsecured Notes, 4.750% due 5/15/25 | | | | | 294,013 | | |
| | | 90,000 | | | | Mativ Holdings Inc., Company Guaranteed Notes, 6.875% due 10/1/26(c) | | | | | 81,500 | | |
| | | 200,000 | | | | MEGlobal Canada ULC, Company Guaranteed Notes, 5.000% due 5/18/25 | | | | | 196,200 | | |
| | | 300,000 | | | | Nexa Resources SA, Company Guaranteed Notes, 5.375% due 5/4/27 | | | | | 282,122 | | |
| | | 115,000 | | | | Novelis Corp., Company Guaranteed Notes, 4.750% due 1/30/30(c) | | | | | 102,918 | | |
| | | 200,000 | | | | Olympus Water US Holding Corp., Senior Secured Notes, 4.250% due 10/1/28(c) | | | | | 164,196 | | |
| | | 1,840,000 | | | | RPM International Inc., Senior Unsecured Notes, 2.950% due 1/15/32 | | | | | 1,477,042 | | |
| | | 200,000 | | | | Sasol Financing USA LLC, Company Guaranteed Notes, 5.500% due 3/18/31 | | | | | 160,071 | | |
| | | 680,000 | | | | Sherwin-Williams Co., Senior Unsecured Notes, 2.300% due 5/15/30 | | | | | 567,851 | | |
| | | 50,000 | | | | SK Invictus Intermediate II SARL, Senior Secured Notes, 5.000% due 10/30/29(c) | | | | | 41,078 | | |
| | | 45,000 | | | | TMS International Corp., Senior Unsecured Notes, 6.250% due 4/15/29(c) | | | | | 37,575 | | |
| | | 400,000 | | | | UPL Corp., Ltd, Company Guaranteed Notes, 4.625% due 6/16/30 | | | | | 330,223 | | |
| | | 400,000 | | | | Vedanta Resources Finance II PLC, Company Guaranteed Notes, 9.250% due 4/23/26(c) | | | | | 227,741 | | |
| | | 165,000 | | | | WR Grace Holdings LLC, Senior Unsecured Notes, 5.625% due 8/15/29(c) | | | | | 139,541 | | |
| | | | | | | Total Basic Materials | | | | | 13,589,862 | | |
| Communications – 2.3% | | ||||||||||||
| | | 200,000 | | | | Acuris Finance U.S. Inc./Acuris Finance SARL, Senior Secured Notes, 5.000% due 5/1/28(c) | | | | | 162,000 | | |
| | | 200,000 | | | | Altice France SA, Senior Secured Notes, 5.500% due 10/15/29(c) | | | | | 144,464 | | |
| | | 475,000 | | | | Amazon.com Inc., Senior Unsecured Notes, 4.100% due 4/13/62 | | | | | 393,802 | | |
| | | 50,000 | | | | Arches Buyer Inc., Senior Secured Notes, 4.250% due 6/1/28(c) | | | | | 43,492 | | |
| | | | | | | AT&T Inc., Senior Unsecured Notes: | | | | | | | |
| | | 185,000 | | | | 2.750% due 6/1/31 | | | | | 152,837 | | |
| | | 4,546,000 | | | | 2.250% due 2/1/32 | | | | | 3,546,806 | | |
| | | 5,485,000 | | | | 2.550% due 12/1/33 | | | | | 4,185,199 | | |
| | | 480,000 | | | | 5.400% due 2/15/34 | | | | | 466,128 | | |
| | | 255,000 | | | | 3.800% due 12/1/57 | | | | | 171,972 | | |
| | | 200,000 | | | | C&W Senior Financing DAC, Senior Unsecured Notes, 6.875% due 9/15/27 | | | | | 185,616 | | |
| | | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | | | | |
| | | 150,000 | | | | 5.125% due 5/1/27(c) | | | | | 141,013 | | |
| | | 265,000 | | | | 4.750% due 3/1/30(c) | | | | | 227,845 | | |
| | | 125,000 | | | | 4.500% due 8/15/30(c) | | | | | 105,150 | | |
| | | 95,000 | | | | 4.750% due 2/1/32(c) | | | | | 78,612 | | |
| | | 60,000 | | | | 4.250% due 1/15/34(c) | | | | | 45,948 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | ||||||
| | $ | 360,000 | | | | 4.200% due 3/15/28 | | | | $ | 335,309 | | |
| | | 1,055,000 | | | | 2.300% due 2/1/32 | | | | | 796,193 | | |
| | | 3,965,000 | | | | 6.384% due 10/23/35 | | | | | 3,846,358 | | |
| | | 156,000 | | | | 3.500% due 3/1/42 | | | | | 101,986 | | |
| | | 2,380,000 | | | | 4.800% due 3/1/50 | | | | | 1,763,312 | | |
| | | 175,000 | | | | 3.700% due 4/1/51 | | | | | 108,750 | | |
| | | 165,000 | | | | 3.900% due 6/1/52 | | | | | 105,578 | | |
| | | 185,000 | | | | 4.400% due 12/1/61 | | | | | 121,591 | | |
| | | | | | | Clear Channel Outdoor Holdings Inc.: | | | | | | | |
| | | 50,000 | | | | Company Guaranteed Notes, 7.500% due 6/1/29(c) | | | | | 37,265 | | |
| | | 45,000 | | | | Senior Secured Notes, 9.000% due 9/15/28(c) | | | | | 45,225 | | |
| | | | | | | Comcast Corp., Company Guaranteed Notes: | | | | | | | |
| | | 690,000 | | | | 4.800% due 5/15/33 | | | | | 674,566 | | |
| | | 1,250,000 | | | | 3.750% due 4/1/40 | | | | | 1,028,090 | | |
| | | 1,004,000 | | | | 2.937% due 11/1/56 | | | | | 624,766 | | |
| | | 90,000 | | | | CommScope Inc., Senior Secured Notes, 4.750% due 9/1/29(c) | | | | | 66,882 | | |
| | | 85,000 | | | | CommScope Technologies LLC, Company Guaranteed Notes, 5.000% due 3/15/27(c) | | | | | 47,258 | | |
| | | 80,000 | | | | Consolidated Communications Inc., Senior Secured Notes, 5.000% due 10/1/28(c) | | | | | 59,954 | | |
| | | 430,000 | | | | Cox Communications Inc., Senior Unsecured Notes, 2.600% due 6/15/31(c) | | | | | 347,429 | | |
| | | 2,766,000 | | | | Crown Castle Towers LLC, Asset Backed, 4.241% due 7/15/28(c) | | | | | 2,556,075 | | |
| | | 200,000 | | | | CSC Holdings LLC, Company Guaranteed Notes, 6.500% due 2/1/29(c) | | | | | 165,332 | | |
| | | 200,000 | | | | CT Trust, Senior Secured Notes, 5.125% due 2/3/32 | | | | | 164,696 | | |
| | | | | | | Digicel Group Holdings Ltd.: | | | | | | | |
| | | 56,915 | | | | Senior Unsecured Notes, 8.000% due 4/1/25(c)(d)(e) | | | | | 9,676 | | |
| | | 85,477 | | | | Subordinated Notes, 7.000%(c)(f)(g) | | | | | 8,120 | | |
| | | 90,000 | | | | DIRECTV Financing LLC/Directv Financing Co.-Obligor Inc., Senior Secured Notes, 5.875% due 8/15/27(c) | | | | | 79,760 | | |
| | | | | | | Discovery Communications LLC, Company Guaranteed Notes: | | | | | | | |
| | | 54,000 | | | | 4.125% due 5/15/29 | | | | | 49,571 | | |
| | | 145,000 | | | | 3.625% due 5/15/30 | | | | | 127,351 | | |
| | | 236,000 | | | | 5.200% due 9/20/47 | | | | | 191,050 | | |
| | | 309,000 | | | | 5.300% due 5/15/49 | | | | | 252,012 | | |
| | | 880,000 | | | | 4.650% due 5/15/50 | | | | | 655,931 | | |
| | | | | | | DISH DBS Corp.: | | | | | | | |
| | | | | | | Company Guaranteed Notes: | | | | | | | |
| | | 40,000 | | | | 5.875% due 11/15/24 | | | | | 37,205 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 75,000 | | | | 5.125% due 6/1/29 | | | | $ | 40,552 | | |
| | | 140,000 | | | | Senior Secured Notes, 5.750% due 12/1/28(c) | | | | | 108,678 | | |
| | | 65,000 | | | | Embarq Corp., Senior Unsecured Notes, 7.995% due 6/1/36 | | | | | 39,595 | | |
| | | | | | | Expedia Group Inc., Company Guaranteed Notes: | | | | | | | |
| | | 455,000 | | | | 5.000% due 2/15/26 | | | | | 449,691 | | |
| | | 875,000 | | | | 3.800% due 2/15/28 | | | | | 815,553 | | |
| | | | | | | Frontier Communications Holdings LLC: | | | | | | | |
| | | | | | | Senior Secured Notes: | | | | | | | |
| | | 45,000 | | | | 5.875% due 10/15/27(c) | | | | | 40,986 | | |
| | | 90,000 | | | | 5.000% due 5/1/28(c) | | | | | 77,117 | | |
| | | 54,900 | | | | Secured Notes, 5.875% due 11/1/29 | | | | | 40,658 | | |
| | | 135,000 | | | | GCI LLC, Senior Unsecured Notes, 4.750% due 10/15/28(c) | | | | | 117,112 | | |
| | | 25,000 | | | | iHeartCommunications Inc., Company Guaranteed Notes, 8.375% due 5/1/27 | | | | | 17,311 | | |
| | | | | | | Intelsat Jackson Holdings SA: | | | | | | | |
| | | 110,000 | | | | Company Guaranteed Notes, 5.500% due 8/1/23(d) | | | | | — | | |
| | | 90,000 | | | | Senior Secured Notes, 6.500% due 3/15/30(c) | | | | | 82,522 | | |
| | | 2,990,000 | | | | Interpublic Group of Cos., Inc., Senior Unsecured Notes, 2.400% due 3/1/31 | | | | | 2,416,930 | | |
| | | | | | | Level 3 Financing Inc.: | | | | | | | |
| | | 40,000 | | | | Company Guaranteed Notes, 3.750% due 7/15/29(c) | | | | | 23,860 | | |
| | | 110,000 | | | | Senior Secured Notes, 10.500% due 5/15/30(c) | | | | | 111,737 | | |
| | | 45,000 | | | | Lumen Technologies Inc., Senior Secured Notes, 4.000% due 2/15/27(c) | | | | | 28,360 | | |
| | | 150,000 | | | | Match Group Holdings II LLC, Senior Unsecured Notes, 5.000% due 12/15/27(c) | | | | | 140,751 | | |
| | | 110,000 | | | | McGraw-Hill Education Inc., Senior Secured Notes, 5.750% due 8/1/28(c) | | | | | 97,625 | | |
| | | | | | | Meta Platforms Inc., Senior Unsecured Notes: | | | | | | | |
| | | 775,000 | | | | 4.950% due 5/15/33 | | | | | 771,214 | | |
| | | 645,000 | | | | 5.600% due 5/15/53 | | | | | 647,652 | | |
| | | 360,000 | | | | Millicom International Cellular SA, Senior Unsecured Notes, 6.250% due 3/25/29 | | | | | 329,252 | | |
| | | 200,000 | | | | Network i2i Ltd., Company Guaranteed Notes, 5.650% (5-Year CMT Index + 4.274%)(b)(f) | | | | | 194,500 | | |
| | | 45,000 | | | | News Corp., Company Guaranteed Notes, 5.125% due 2/15/32(c) | | | | | 40,725 | | |
| | | 780,000 | | | | Omnicom Group Inc., Senior Unsecured Notes, 2.450% due 4/30/30 | | | | | 646,860 | | |
| | | | | | | Paramount Global, Senior Unsecured Notes: | | | | | | | |
| | | 140,000 | | | | 4.200% due 6/1/29 | | | | | 125,303 | | |
| | | 343,000 | | | | 4.950% due 1/15/31 | | | | | 305,950 | | |
| | | 795,000 | | | | 4.200% due 5/19/32 | | | | | 662,281 | | |
| | | 360,000 | | | | 4.375% due 3/15/43 | | | | | 248,537 | | |
| | | 100,000 | | | | 5.850% due 9/1/43 | | | | | 82,774 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | | | | | | Radiate Holdco LLC/Radiate Finance Inc.: | | ||||||
| | $ | 35,000 | | | | Senior Secured Notes, 4.500% due 9/15/26(c) | | | | $ | 27,278 | | |
| | | 40,000 | | | | Senior Unsecured Notes, 6.500% due 9/15/28(c) | | | | | 21,601 | | |
| | | 315,000 | | | | Rogers Communications Inc., Company Guaranteed Notes, 4.550% due 3/15/52 | | | | | 244,078 | | |
| | | 50,000 | | | | Scripps Escrow II Inc., Senior Secured Notes, 3.875% due 1/15/29(c) | | | | | 40,142 | | |
| | | 35,000 | | | | Scripps Escrow Inc., Company Guaranteed Notes, 5.875% due 7/15/27(c) | | | | | 28,279 | | |
| | | 230,000 | | | | Sirius XM Radio Inc., Company Guaranteed Notes, 5.500% due 7/1/29(c) | | | | | 207,059 | | |
| | | 2,750,250 | | | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes, 5.152% due 3/20/28(c) | | | | | 2,726,821 | | |
| | | 30,000 | | | | Telesat Canada/Telesat LLC, Company Guaranteed Notes, 6.500% due 10/15/27(c) | | | | | 14,850 | | |
| | | | | | | T-Mobile USA Inc., Company Guaranteed Notes: | | | | | | | |
| | | 1,035,000 | | | | 2.250% due 2/15/26 | | | | | 957,051 | | |
| | | 805,000 | | | | 3.875% due 4/15/30 | | | | | 734,744 | | |
| | | 2,001,000 | | | | 2.875% due 2/15/31 | | | | | 1,682,394 | | |
| | | 375,000 | | | | 5.050% due 7/15/33 | | | | | 361,851 | | |
| | | 95,000 | | | | Townsquare Media Inc., Senior Secured Notes, 6.875% due 2/1/26(c) | | | | | 91,437 | | |
| | | | | | | Univision Communications Inc., Senior Secured Notes: | | | | | | | |
| | | 75,000 | | | | 4.500% due 5/1/29(c) | | | | | 64,555 | | |
| | | 150,000 | | | | 7.375% due 6/30/30(c) | | | | | 145,174 | | |
| | | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | | | | | |
| | | 9,341,000 | | | | 1.750% due 1/20/31 | | | | | 7,270,603 | | |
| | | 141,000 | | | | 2.550% due 3/21/31 | | | | | 116,069 | | |
| | | 1,425,000 | | | | 2.355% due 3/15/32 | | | | | 1,127,087 | | |
| | | 200,000 | | | | VTR Finance NV, Senior Unsecured Notes, 6.375% due 7/15/28 | | | | | 91,030 | | |
| | | 200,000 | | | | VZ Secured Financing BV, Senior Secured Notes, 5.000% due 1/15/32(c) | | | | | 163,051 | | |
| | | | | | | Total Communications | | | | | 49,277,415 | | |
| Consumer Cyclical – 1.9% | | ||||||||||||
| | | 140,000 | | | | Academy Ltd., Senior Secured Notes, 6.000% due 11/15/27(c) | | | | | 134,148 | | |
| | | 5,000,000 | | | | Advance Auto Parts Inc., Company Guaranteed Notes, 3.900% due 4/15/30 | | | | | 4,330,372 | | |
| | | 140,000 | | | | Air Canada, Senior Secured Notes, 3.875% due 8/15/26(c) | | | | | 129,279 | | |
| | | 40,000 | | | | AMC Entertainment Holdings Inc., Senior Secured Notes, 7.500% due 2/15/29(c) | | | | | 27,302 | | |
| | | 140,000 | | | | American Airlines Inc., Senior Secured Notes, 7.250% due 2/15/28(c) | | | | | 137,525 | | |
| | | 195,000 | | | | American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes, 5.750% due 4/20/29(c) | | | | | 186,494 | | |
| | | 60,000 | | | | American Axle & Manufacturing Inc., Company Guaranteed Notes, 5.000% due 10/1/29 | | | | | 49,395 | | |
| | | 145,000 | | | | Ashton Woods USA LLC/Ashton Woods Finance Co., Senior Unsecured Notes, 4.625% due 4/1/30(c) | | | | | 124,882 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 1,702,000 | | | | AutoZone Inc., Senior Unsecured Notes, 1.650% due 1/15/31 | | | | $ | 1,321,814 | | |
| | | 120,000 | | | | BCPE Empire Holdings Inc., Senior Unsecured Notes, 7.625% due 5/1/27(c) | | | | | 113,886 | | |
| | | | | | | Beacon Roofing Supply Inc.: | | | | | | | |
| | | 35,000 | | | | Company Guaranteed Notes, 4.125% due 5/15/29(c) | | | | | 30,100 | | |
| | | 115,000 | | | | Senior Secured Notes, 6.500% due 8/1/30(c) | | | | | 113,602 | | |
| | | | | | | Caesars Entertainment Inc.: | | | | | | | |
| | | 5,000 | | | | Senior Secured Notes, 7.000% due 2/15/30(c) | | | | | 5,019 | | |
| | | 110,000 | | | | Senior Unsecured Notes, 4.625% due 10/15/29(c) | | | | | 96,287 | | |
| | | | | | | Carnival Corp.: | | | | | | | |
| | | 190,000 | | | | Company Guaranteed Notes, 5.750% due 3/1/27(c) | | | | | 178,811 | | |
| | | 135,000 | | | | Secured Notes, 9.875% due 8/1/27(c) | | | | | 142,697 | | |
| | | 95,000 | | | | Senior Secured Notes, 7.000% due 8/15/29(c) | | | | | 96,393 | | |
| | | 280,000 | | | | Cedar Fair LP, Company Guaranteed Notes, 5.250% due 7/15/29 | | | | | 252,048 | | |
| | | 140,000 | | | | Clarios Global LP/Clarios US Finance Co., Senior Secured Notes, 6.750% due 5/15/28(c) | | | | | 139,630 | | |
| | | | | | | Dana Inc., Senior Unsecured Notes: | | | | | | | |
| | | 45,000 | | | | 5.375% due 11/15/27 | | | | | 42,571 | | |
| | | 20,000 | | | | 4.250% due 9/1/30 | | | | | 16,445 | | |
| | | 60,000 | | | | Dealer Tire LLC/DT Issuer LLC, Senior Unsecured Notes, 8.000% due 2/1/28(c) | | | | | 56,004 | | |
| | | 175,000 | | | | Dick’s Sporting Goods Inc., Senior Unsecured Notes, 4.100% due 1/15/52 | | | | | 113,661 | | |
| | | | | | | Dollar General Corp., Senior Unsecured Notes: | | | | | | | |
| | | 300,000 | | | | 4.250% due 9/20/24 | | | | | 295,281 | | |
| | | 725,000 | | | | 3.500% due 4/3/30 | | | | | 644,351 | | |
| | | 585,000 | | | | Dollar Tree Inc., Senior Unsecured Notes, 4.000% due 5/15/25 | | | | | 567,540 | | |
| | | 115,000 | | | | Dornoch Debt Merger Sub Inc., Senior Unsecured Notes, 6.625% due 10/15/29(c) | | | | | 99,141 | | |
| | | 185,000 | | | | eG Global Finance PLC, Senior Secured Notes, 8.500% due 10/30/25(c) | | | | | 183,151 | | |
| | | 165,000 | | | | Everi Holdings Inc., Company Guaranteed Notes, 5.000% due 7/15/29(c) | | | | | 147,238 | | |
| | | 70,000 | | | | Ferrellgas LP/Ferrellgas Finance Corp., Senior Unsecured Notes, 5.375% due 4/1/26(c) | | | | | 65,802 | | |
| | | 145,000 | | | | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Company Guaranteed Notes, 6.750% due 1/15/30(c) | | | | | 119,737 | | |
| | | 300,000 | | | | Ford Motor Co., Senior Unsecured Notes, 3.250% due 2/12/32 | | | | | 234,183 | | |
| | | 400,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 4.950% due 5/28/27 | | | | | 375,341 | | |
| | | 50,000 | | | | Full House Resorts Inc., Senior Secured Notes, 8.250% due 2/15/28(c) | | | | | 44,487 | | |
| | | 90,000 | | | | Gap Inc., Company Guaranteed Notes, 3.875% due 10/1/31(c) | | | | | 65,219 | | |
| | | | | | | General Motors Financial Co., Inc., Senior Unsecured Notes: | | | | | | | |
| | | 335,000 | | | | 2.400% due 10/15/28 | | | | | 283,532 | | |
| | | 160,000 | | | | 3.100% due 1/12/32 | | | | | 128,199 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 125,000 | | | | Goodyear Tire & Rubber Co., Company Guaranteed Notes, 5.250% due 7/15/31 | | | | $ | 107,656 | | |
| | | 150,000 | | | | Group 1 Automotive Inc., Company Guaranteed Notes, 4.000% due 8/15/28(c) | | | | | 133,185 | | |
| | | 460,000 | | | | Hyundai Capital America, Senior Unsecured Notes, 5.680% due 6/26/28(c) | | | | | 457,412 | | |
| | | 155,000 | | | | Installed Building Products Inc., Company Guaranteed Notes, 5.750% due 2/1/28(c) | | | | | 145,418 | | |
| | | 40,000 | | | | Lions Gate Capital Holdings LLC, Company Guaranteed Notes, 5.500% due 4/15/29(c) | | | | | 24,378 | | |
| | | | | | | Lowe’s Cos., Inc., Senior Unsecured Notes: | | | | | | | |
| | | 755,000 | | | | 4.400% due 9/8/25 | | | | | 741,302 | | |
| | | 3,090,000 | | | | 4.250% due 4/1/52 | | | | | 2,444,463 | | |
| | | 1,160,000 | | | | 5.625% due 4/15/53 | | | | | 1,126,570 | | |
| | | 100,000 | | | | LSF9 Atlantis Holdings LLC/Victra Finance Corp., Senior Secured Notes, 7.750% due 2/15/26(c) | | | | | 91,126 | | |
| | | 130,000 | | | | M/I Homes Inc., Company Guaranteed Notes, 4.950% due 2/1/28 | | | | | 120,621 | | |
| | | 765,000 | | | | Marriott International Inc., Senior Unsecured Notes, 2.850% due 4/15/31 | | | | | 635,162 | | |
| | | 175,000 | | | | Mattamy Group Corp., Senior Unsecured Notes, 4.625% due 3/1/30(c) | | | | | 154,671 | | |
| | | | | | | Michaels Cos., Inc.: | | | | | | | |
| | | 80,000 | | | | Senior Secured Notes, 5.250% due 5/1/28(c) | | | | | 66,700 | | |
| | | 70,000 | | | | Senior Unsecured Notes, 7.875% due 5/1/29(c) | | | | | 48,524 | | |
| | | 110,000 | | | | Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., Senior Secured Notes, 4.875% due 5/1/29(c) | | | | | 95,700 | | |
| | | 120,000 | | | | Murphy Oil USA Inc., Company Guaranteed Notes, 4.750% due 9/15/29 | | | | | 110,052 | | |
| | | | | | | NCL Corp., Ltd.: | | | | | | | |
| | | 85,000 | | | | Company Guaranteed Notes, 5.875% due 3/15/26(c) | | | | | 80,145 | | |
| | | 85,000 | | | | Senior Secured Notes, 8.375% due 2/1/28(c) | | | | | 87,615 | | |
| | | 130,000 | | | | Ontario Gaming GTA LP, Senior Secured Notes, 8.000% due 8/1/30(c) | | | | | 131,403 | | |
| | | 605,000 | | | | O’Reilly Automotive Inc., Senior Unsecured Notes, 4.700% due 6/15/32 | | | | | 578,464 | | |
| | | 55,000 | | | | Penn Entertainment Inc., Senior Unsecured Notes, 4.125% due 7/1/29(c) | | | | | 44,981 | | |
| | | 250,000 | | | | PetSmart Inc./PetSmart Finance Corp., Senior Secured Notes, 4.750% due 2/15/28(c) | | | | | 224,257 | | |
| | | 70,000 | | | | Premier Entertainment Sub LLC/Premier Entertainment Finance Corp., Company Guaranteed Notes, 5.625% due 9/1/29(c) | | | | | 55,874 | | |
| | | | | | | Royal Caribbean Cruises Ltd.: | | | | | | | |
| | | 20,000 | | | | Company Guaranteed Notes, 7.250% due 1/15/30(c) | | | | | 20,304 | | |
| | | 135,000 | | | | Senior Unsecured Notes, 5.500% due 8/31/26(c) | | | | | 129,359 | | |
| | | 145,000 | | | | Scientific Games Holdings LP/Scientific Games US FinCo Inc., Senior Unsecured Notes, 6.625% due 3/1/30(c) | | | | | 127,819 | | |
| | | 65,000 | | | | Scientific Games International Inc., Company Guaranteed Notes, 7.250% due 11/15/29(c) | | | | �� | 65,274 | | |
| | | 100,000 | | | | Scotts Miracle-Gro Co., Company Guaranteed Notes, 4.500% due 10/15/29 | | | | | 83,632 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 120,000 | | | | Sonic Automotive Inc., Company Guaranteed Notes, 4.625% due 11/15/29(c) | | | | $ | 102,587 | | |
| | | 6,250,000 | | | | Southwest Airlines Co., Senior Unsecured Notes, 5.125% due 6/15/27 | | | | | 6,175,849 | | |
| | | | | | | SRS Distribution Inc.: | | | | | | | |
| | | 75,000 | | | | Company Guaranteed Notes, 6.125% due 7/1/29(c) | | | | | 65,211 | | |
| | | 70,000 | | | | Senior Secured Notes, 4.625% due 7/1/28(c) | | | | | 62,302 | | |
| | | | | | | Staples Inc.: | | | | | | | |
| | | 100,000 | | | | Senior Secured Notes, 7.500% due 4/15/26(c) | | | | | 82,740 | | |
| | | 35,000 | | | | Senior Unsecured Notes, 10.750% due 4/15/27(c) | | | | | 19,089 | | |
| | | 70,000 | | | | Station Casinos LLC, Company Guaranteed Notes, 4.625% due 12/1/31(c) | | | | | 57,706 | | |
| | | 3,440,000 | | | | Steelcase Inc., Senior Unsecured Notes, 5.125% due 1/18/29 | | | | | 3,042,064 | | |
| | | 165,000 | | | | Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes, 5.000% due 6/1/31(c) | | | | | 141,831 | | |
| | | 130,000 | | | | Superior Plus LP/Superior General Partner Inc., Company Guaranteed Notes, 4.500% due 3/15/29(c) | | | | | 114,397 | | |
| | | 50,000 | | | | SWF Escrow Issuer Corp., Senior Unsecured Notes, 6.500% due 10/1/29(c) | | | | | 32,485 | | |
| | | 558,593 | | | | United Airlines 2012-1 Class A Pass-Through Trust, Pass-Thru Certificates, 4.150% due 4/11/24 | | | | | 551,656 | | |
| | | 1,586,806 | | | | United Airlines 2016-2 Class B Pass-Through Trust, Pass-Thru Certificates, 3.650% due 10/7/25 | | | | | 1,495,518 | | |
| | | 165,000 | | | | United Airlines Inc., Senior Secured Notes, 4.625% due 4/15/29(c) | | | | | 146,710 | | |
| | | 85,000 | | | | Victoria’s Secret & Co., Company Guaranteed Notes, 4.625% due 7/15/29(c) | | | | | 61,543 | | |
| | | | | | | Viking Cruises Ltd.: | | | | | | | |
| | | 145,000 | | | | Company Guaranteed Notes, 5.875% due 9/15/27(c) | | | | | 135,575 | | |
| | | 125,000 | | | | Senior Unsecured Notes, 9.125% due 7/15/31(c) | | | | | 129,142 | | |
| | | 5,000,000 | | | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes, 1.250% due 11/24/25(c) | | | | | 4,557,964 | | |
| | | | | | | Warnermedia Holdings Inc., Company Guaranteed Notes: | | | | | | | |
| | | 680,000 | | | | 3.755% due 3/15/27 | | | | | 637,784 | | |
| | | 615,000 | | | | 4.279% due 3/15/32 | | | | | 542,700 | | |
| | | 3,435,000 | | | | 5.141% due 3/15/52 | | | | | 2,738,071 | | |
| | | 40,000 | | | | Wheel Pros Inc., Senior Unsecured Notes, 6.500% due 5/15/29(c) | | | | | 11,800 | | |
| | | 155,000 | | | | Wyndham Hotels & Resorts Inc., Company Guaranteed Notes, 4.375% due 8/15/28(c) | | | | | 141,360 | | |
| | | 130,000 | | | | Yum! Brands Inc., Senior Unsecured Notes, 4.750% due 1/15/30(c) | | | | | 119,713 | | |
| | | | | | | Total Consumer Cyclical | | | | | 40,389,431 | | |
| Consumer Non-cyclical – 2.4% | | ||||||||||||
| | | | | | | AbbVie Inc., Senior Unsecured Notes: | | | | | | | |
| | | 655,000 | | | | 3.850% due 6/15/24 | | | | | 645,544 | | |
| | | 5,120,000 | | | | 4.550% due 3/15/35 | | | | | 4,842,962 | | |
| | | 510,000 | | | | 4.250% due 11/21/49 | | | | | 429,501 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 274,500 | | | | Adani International Container Terminal Pvt Ltd., Senior Secured Notes, 3.000% due 2/16/31(c) | | | | $ | 208,038 | | |
| | | | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 200,000 | | | | 4.000% due 7/30/27 | | | | | 166,592 | | |
| | | 200,000 | | | | 4.375% due 7/3/29 | | | | | 159,261 | | |
| | | 170,000 | | | | AdaptHealth LLC, Company Guaranteed Notes, 5.125% due 3/1/30(c) | | | | | 139,449 | | |
| | | 300,000 | | | | Agrosuper SA, Senior Unsecured Notes, 4.600% due 1/20/32 | | | | | 249,347 | | |
| | | 35,000 | | | | Air Methods Corp., Senior Unsecured Notes, 8.000% due 5/15/25(c) | | | | | 175 | | |
| | | | | | | Alcon Finance Corp., Company Guaranteed Notes: | | | | | | | |
| | | 995,000 | | | | 2.750% due 9/23/26(c) | | | | | 918,748 | | |
| | | 290,000 | | | | 2.600% due 5/27/30(c) | | | | | 244,575 | | |
| | | 200,000 | | | | 5.750% due 12/6/52(c) | | | | | 203,305 | | |
| | | | | | | Allied Universal Holdco LLC/Allied Universal Finance Corp.: | | | | | | | |
| | | 130,000 | | | | Senior Secured Notes, 6.625% due 7/15/26(c) | | | | | 123,649 | | |
| | | 90,000 | | | | Senior Unsecured Notes, 9.750% due 7/15/27(c) | | | | | 82,660 | | |
| | | | | | | Amgen Inc., Senior Unsecured Notes: | | | | | | | |
| | | 375,000 | | | | 5.150% due 3/2/28 | | | | | 374,608 | | |
| | | 310,000 | | | | 5.250% due 3/2/30 | | | | | 310,429 | | |
| | | 2,765,000 | | | | 5.250% due 3/2/33 | | | | | 2,750,623 | | |
| | | 1,110,000 | | | | 5.650% due 3/2/53 | | | | | 1,100,393 | | |
| | | 500,000 | | | | 5.750% due 3/2/63 | | | | | 493,772 | | |
| | | 3,487,000 | | | | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes, 4.700% due 2/1/36 | | | | | 3,337,441 | | |
| | | | | | | APi Group DE Inc., Company Guaranteed Notes: | | | | | | | |
| | | 90,000 | | | | 4.125% due 7/15/29(c) | | | | | 77,402 | | |
| | | 115,000 | | | | 4.750% due 10/15/29(c) | | | | | 104,216 | | |
| | | 355,000 | | | | Bacardi Ltd./Bacardi-Martini BV, Senior Unsecured Notes, 5.400% due 6/15/33(c) | | | | | 345,811 | | |
| | | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | | | | |
| | | 230,000 | | | | 6.343% due 8/2/30 | | | | | 231,463 | | |
| | | 73,000 | | | | 4.742% due 3/16/32 | | | | | 66,001 | | |
| | | 190,000 | | | | 6.421% due 8/2/33 | | | | | 189,662 | | |
| | | | | | | Bausch Health Cos., Inc., Senior Secured Notes: | | | | | | | |
| | | 45,000 | | | | 6.125% due 2/1/27(c) | | | | | 29,587 | | |
| | | 140,000 | | | | 4.875% due 6/1/28(c) | | | | | 83,075 | | |
| | | 55,000 | | | | 11.000% due 9/30/28(c) | | | | | 39,267 | | |
| | | 600,000 | | | | Becton Dickinson & Co., Senior Unsecured Notes, 4.693% due 2/13/28 | | | | | 589,282 | | |
| | | 200,000 | | | | BRF SA, Senior Unsecured Notes, 4.875% due 1/24/30 | | | | | 172,428 | | |
| | | | | | | Cargill Inc., Senior Unsecured Notes: | | | | | | | |
| | | 660,000 | | | | 2.125% due 11/10/31(c) | | | | | 531,979 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 280,000 | | | | 4.000% due 6/22/32(c) | | | | $ | 258,799 | | |
| | | 320,000 | | | | 4.750% due 4/24/33(c) | | | | | 312,455 | | |
| | | 65,000 | | | | Catalent Pharma Solutions Inc., Company Guaranteed Notes, 3.500% due 4/1/30(c) | | | | | 54,859 | | |
| | | | | | | CHS/Community Health Systems Inc., Senior Secured Notes: | | | | | | | |
| | | 70,000 | | | | 6.000% due 1/15/29(c) | | | | | 58,625 | | |
| | | 85,000 | | | | 4.750% due 2/15/31(c) | | | | | 63,325 | | |
| | | 325,000 | | | | CommonSpirit Health, Senior Secured Notes, 2.760% due 10/1/24 | | | | | 314,909 | | |
| | | | | | | Conagra Brands Inc., Senior Unsecured Notes: | | | | | | | |
| | | 600,000 | | | | 5.300% due 10/1/26 | | | | | 597,675 | | |
| | | 845,000 | | | | 4.850% due 11/1/28 | | | | | 822,585 | | |
| | | | | | | Constellation Brands Inc.: | | | | | | | |
| | | 150,000 | | | | Company Guaranteed Notes, 3.150% due 8/1/29 | | | | | 134,020 | | |
| | | 610,000 | | | | Senior Unsecured Notes, 2.875% due 5/1/30 | | | | | 526,382 | | |
| | | | | | | Coty Inc.: | | | | | | | |
| | | 55,000 | | | | Company Guaranteed Notes, 6.500% due 4/15/26(c) | | | | | 54,853 | | |
| | | 95,000 | | | | Senior Secured Notes, 5.000% due 4/15/26(c) | | | | | 91,322 | | |
| | | 170,000 | | | | Coty Inc./HFC Prestige Products Inc./HFC Prestige International US LLC, Senior Secured Notes, 6.625% due 7/15/30(c) | | | | | 170,031 | | |
| | | | | | | CSL Finance PLC, Company Guaranteed Notes: | | | | | | | |
| | | 210,000 | | | | 4.050% due 4/27/29(c) | | | | | 198,995 | | |
| | | 265,000 | | | | 4.250% due 4/27/32(c) | | | | | 248,602 | | |
| | | | | | | CVS Health Corp., Senior Unsecured Notes: | | | | | | | |
| | | 670,000 | | | | 5.125% due 2/21/30 | | | | | 659,928 | | |
| | | 170,000 | | | | 5.250% due 2/21/33 | | | | | 166,249 | | |
| | | 330,000 | | | | 5.300% due 6/1/33 | | | | | 323,203 | | |
| | | 947,000 | | | | 4.780% due 3/25/38 | | | | | 848,093 | | |
| | | 335,000 | | | | 5.875% due 6/1/53 | | | | | 327,252 | | |
| | | 680,000 | | | | Elevance Health Inc., Senior Unsecured Notes, 4.100% due 5/15/32 | | | | | 626,589 | | |
| | | | | | | Encompass Health Corp., Company Guaranteed Notes: | | | | | | | |
| | | 65,000 | | | | 4.500% due 2/1/28 | | | | | 60,377 | | |
| | | 20,000 | | | | 4.750% due 2/1/30 | | | | | 18,217 | | |
| | | 165,000 | | | | 4.625% due 4/1/31 | | | | | 144,694 | | |
| | | 50,000 | | | | Endo Luxembourg Finance Co. I SARL/Endo US Inc., Senior Secured Notes, 6.125% due 4/1/29(c)(d)(e) | | | | | 35,549 | | |
| | | | | | | Estee Lauder Cos., Inc., Senior Unsecured Notes: | | | | | | | |
| | | 300,000 | | | | 4.375% due 5/15/28 | | | | | 292,762 | | |
| | | 250,000 | | | | 4.650% due 5/15/33 | | | | | 242,140 | | |
| | | 100,000 | | | | 5.150% due 5/15/53 | | | | | 96,935 | | |
| | | 182,000 | | | | Fideicomiso PA Pacifico Tres, Senior Secured Notes, 8.250% due 1/15/35 | | | | | 165,165 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 150,000 | | | | Fortrea Holdings Inc., Senior Secured Notes, 7.500% due 7/1/30(c) | | | | $ | 146,813 | | |
| | | 400,000 | | | | Frigorifico Concepcion SA, Senior Secured Notes, 7.700% due 7/21/28 | | | | | 338,768 | | |
| | | | | | | Garda World Security Corp.: | | | | | | | |
| | | 220,000 | | | | Senior Secured Notes, 4.625% due 2/15/27(c) | | | | | 203,524 | | |
| | | 150,000 | | | | Senior Unsecured Notes, 6.000% due 6/1/29(c) | | | | | 122,213 | | |
| | | 510,000 | | | | GE HealthCare Technologies Inc., Company Guaranteed Notes, 5.857% due 3/15/30 | | | | | 518,342 | | |
| | | 150,000 | | | | General Mills Inc., Senior Unsecured Notes, 4.950% due 3/29/33 | | | | | 146,320 | | |
| | | 555,000 | | | | Gilead Sciences Inc., Senior Unsecured Notes, 1.650% due 10/1/30 | | | | | 445,877 | | |
| | | 240,000 | | | | Grifols SA, Senior Unsecured Notes, 4.750% due 10/15/28(c) | | | | | 210,559 | | |
| | | | | | | Haleon US Capital LLC, Company Guaranteed Notes: | | | | | | | |
| | | 250,000 | | | | 3.375% due 3/24/29 | | | | | 228,536 | | |
| | | 250,000 | | | | 3.625% due 3/24/32 | | | | | 222,084 | | |
| | | | | | | HCA Inc., Company Guaranteed Notes: | | | | | | | |
| | | 340,000 | | | | 4.125% due 6/15/29 | | | | | 314,060 | | |
| | | 315,000 | | | | 5.125% due 6/15/39 | | | | | 285,737 | | |
| | | 40,000 | | | | Hertz Corp., Company Guaranteed Notes, 5.000% due 12/1/29(c) | | | | | 32,888 | | |
| | | 80,000 | | | | H-Food Holdings LLC/Hearthside Finance Co., Inc., Senior Unsecured Notes, 8.500% due 6/1/26(c) | | | | | 31,400 | | |
| | | | | | | Humana Inc., Senior Unsecured Notes: | | | | | | | |
| | | 555,000 | | | | 3.700% due 3/23/29 | | | | | 513,844 | | |
| | | 180,000 | | | | 5.875% due 3/1/33 | | | | | 186,363 | | |
| | | | | | | Kaiser Foundation Hospitals, Unsecured Notes: | | | | | | | |
| | | 90,000 | | | | 2.810% due 6/1/41 | | | | | 63,950 | | |
| | | 330,000 | | | | 3.002% due 6/1/51 | | | | | 222,204 | | |
| | | 185,000 | | | | Kenvue Inc., Company Guaranteed Notes, 5.100% due 3/22/43(c) | | | | | 181,458 | | |
| | | 4,167,000 | | | | Kraft Heinz Foods Co., Company Guaranteed Notes, 4.625% due 10/1/39 | | | | | 3,670,086 | | |
| | | 90,000 | | | | Kronos Acquisition Holdings Inc./KIK Custom Products Inc., Senior Secured Notes, 5.000% due 12/31/26(c) | | | | | 83,925 | | |
| | | 75,000 | | | | Legacy LifePoint Health LLC, Senior Secured Notes, 4.375% due 2/15/27(c) | | | | | 64,920 | | |
| | | 75,000 | | | | Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer Inc., Senior Secured Notes, 5.000% due 2/1/26(c) | | | | | 70,478 | | |
| | | 40,000 | | | | LifePoint Health Inc., Company Guaranteed Notes, 5.375% due 1/15/29(c) | | | | | 27,653 | | |
| | | 400,000 | | | | MARB BondCo PLC, Company Guaranteed Notes, 3.950% due 1/29/31 | | | | | 311,291 | | |
| | | 450,000 | | | | McKesson Corp., Senior Unsecured Notes, 5.100% due 7/15/33 | | | | | 446,534 | | |
| | | 210,000 | | | | Medline Borrower LP, Senior Unsecured Notes, 5.250% due 10/1/29(c) | | | | | 186,485 | | |
| | | 210,000 | | | | Merck & Co., Inc., Senior Unsecured Notes, 4.500% due 5/17/33 | | | | | 204,670 | | |
| | | 150,000 | | | | Metis Merger Sub LLC, Senior Unsecured Notes, 6.500% due 5/15/29(c) | | | | | 130,269 | | |
| | | 200,000 | | | | Minerva Luxembourg SA, Company Guaranteed Notes, 4.375% due 3/18/31 | | | | | 159,164 | | |
| | | 145,000 | | | | ModivCare Escrow Issuer Inc., Senior Unsecured Notes, 5.000% due 10/1/29(c) | | | | | 106,938 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 1,840,000 | | | | Mondelez International Inc., Senior Unsecured Notes, 1.500% due 2/4/31 | | | | $ | 1,427,678 | | |
| | | 200,000 | | | | Organon & Co./Organon Foreign Debt Co.-Issuer BV, Senior Unsecured Notes, 5.125% due 4/30/31(c) | | | | | 170,401 | | |
| | | 140,000 | | | | Owens & Minor Inc., Company Guaranteed Notes, 6.625% due 4/1/30(c) | | | | | 127,360 | | |
| | | 25,000 | | | | PECF USS Intermediate Holding III Corp., Senior Unsecured Notes, 8.000% due 11/15/29(c) | | | | | 15,944 | | |
| | | 195,000 | | | | PepsiCo Inc., Senior Unsecured Notes, 3.600% due 2/18/28 | | | | | 186,799 | | |
| | | 80,000 | | | | Performance Food Group Inc., Company Guaranteed Notes, 4.250% due 8/1/29(c) | | | | | 70,405 | | |
| | | | | | | Philip Morris International Inc., Senior Unsecured Notes: | | | | | | | |
| | | 675,000 | | | | 5.125% due 11/17/27 | | | | | 673,732 | | |
| | | 520,000 | | | | 4.875% due 2/15/28 | | | | | 513,287 | | |
| | | 295,000 | | | | 5.625% due 11/17/29 | | | | | 298,273 | | |
| | | 755,000 | | | | 5.125% due 2/15/30 | | | | | 746,233 | | |
| | | 455,000 | | | | 5.375% due 2/15/33 | | | | | 449,296 | | |
| | | | | | | Post Holdings Inc., Company Guaranteed Notes: | | | | | | | |
| | | 45,000 | | | | 5.500% due 12/15/29(c) | | | | | 41,627 | | |
| | | 26,000 | | | | 4.625% due 4/15/30(c) | | | | | 23,036 | | |
| | | 60,000 | | | | Prime Security Services Borrower LLC/Prime Finance Inc., Secured Notes, 6.250% due 1/15/28(c) | | | | | 57,144 | | |
| | | 70,000 | | | | Primo Water Holdings Inc., Company Guaranteed Notes, 4.375% due 4/30/29(c) | | | | | 61,425 | | |
| | | 815,000 | | | | Quanta Services Inc., Senior Unsecured Notes, 2.350% due 1/15/32 | | | | | 644,705 | | |
| | | 40,000 | | | | Radiology Partners Inc., Company Guaranteed Notes, 9.250% due 2/1/28(c) | | | | | 15,700 | | |
| | | 55,000 | | | | RegionalCare Hospital Partners Holdings Inc./LifePoint Health Inc., Company Guaranteed Notes, 9.750% due 12/1/26(c) | | | | | 51,418 | | |
| | | | | | | Royalty Pharma PLC, Company Guaranteed Notes: | | | | | | | |
| | | 1,195,000 | | | | 2.200% due 9/2/30 | | | | | 952,422 | | |
| | | 95,000 | | | | 2.150% due 9/2/31 | | | | | 73,720 | | |
| | | 905,000 | | | | 3.300% due 9/2/40 | | | | | 622,325 | | |
| | | 60,000 | | | | RP Escrow Issuer LLC, Senior Secured Notes, 5.250% due 12/15/25(c) | | | | | 46,213 | | |
| | | 180,000 | | | | Rutas 2 & 7 Finance Ltd., Senior Secured Notes, zero coupon, due 9/30/36 | | | | | 115,124 | | |
| | | 220,000 | | | | SEG Holding LLC/SEG Finance Corp., Senior Secured Notes, 5.625% due 10/15/28(c) | | | | | 212,300 | | |
| | | 110,000 | | | | Select Medical Corp., Company Guaranteed Notes, 6.250% due 8/15/26(c) | | | | | 108,957 | | |
| | | 625,000 | | | | Smithfield Foods Inc., Company Guaranteed Notes, 4.250% due 2/1/27(c) | | | | | 581,597 | | |
| | | 130,000 | | | | Spectrum Brands Inc., Company Guaranteed Notes, 5.000% due 10/1/29(c) | | | | | 119,223 | | |
| | | 55,000 | | | | Sutter Health, Unsecured Notes, 3.361% due 8/15/50 | | | | | 38,674 | | |
| | | 290,000 | | | | Sysco Corp., Company Guaranteed Notes, 3.250% due 7/15/27 | | | | | 270,249 | | |
| | | | | | | Tenet Healthcare Corp.: | | | | | | | |
| | | 90,000 | | | | Company Guaranteed Notes, 6.125% due 10/1/28 | | | | | 86,682 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 100,000 | | | | Secured Notes, 6.250% due 2/1/27 | | | | $ | 98,469 | | |
| | | 125,000 | | | | Senior Secured Notes, 6.125% due 6/15/30 | | | | | 121,126 | | |
| | | 780,000 | | | | Triton Container International Ltd./TAL International Container Corp., Company Guaranteed Notes, 3.250% due 3/15/32 | | | | | 606,070 | | |
| | | 65,000 | | | | Triton Water Holdings Inc., Senior Unsecured Notes, 6.250% due 4/1/29(c) | | | | | 55,254 | | |
| | | 80,000 | | | | United Natural Foods Inc., Company Guaranteed Notes, 6.750% due 10/15/28(c) | | | | | 66,600 | | |
| | | | | | | UnitedHealth Group Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,305,000 | | | | 4.250% due 1/15/29 | | | | | 1,265,808 | | |
| | | 580,000 | | | | 4.000% due 5/15/29 | | | | | 554,451 | | |
| | | 185,000 | | | | 5.300% due 2/15/30 | | | | | 188,759 | | |
| | | 290,000 | | | | 4.200% due 5/15/32 | | | | | 273,964 | | |
| | | 310,000 | | | | 3.500% due 8/15/39 | | | | | 252,967 | | |
| | | 185,000 | | | | 5.875% due 2/15/53 | | | | | 197,858 | | |
| | | 85,000 | | | | 4.950% due 5/15/62 | | | | | 78,529 | | |
| | | 145,000 | | | | 6.050% due 2/15/63 | | | | | 157,954 | | |
| | | 45,000 | | | | Upbound Group Inc., Company Guaranteed Notes, 6.375% due 2/15/29(c) | | | | | 40,883 | | |
| | | 185,000 | | | | Viatris Inc., Company Guaranteed Notes, 1.650% due 6/22/25 | | | | | 171,180 | | |
| | | 135,000 | | | | VT Topco Inc., Senior Secured Notes, 8.500% due 8/15/30(c) | | | | | 137,025 | | |
| | | 120,000 | | | | WASH Multifamily Acquisition Inc., Senior Secured Notes, 5.750% due 4/15/26(c) | | | | | 111,287 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 50,213,321 | | |
| Energy – 2.7% | | ||||||||||||
| | | 65,000 | | | | Aethon United BR LP/Aethon United Finance Corp., Senior Unsecured Notes, 8.250% due 2/15/26(c) | | | | | 65,325 | | |
| | | | | | | AI Candelaria Spain SA, Senior Secured Notes: | | | | | | | |
| | | 220,833 | | | | 7.500% due 12/15/28 | | | | | 203,995 | | |
| | | 250,000 | | | | 5.750% due 6/15/33(c) | | | | | 182,914 | | |
| | | 145,000 | | | | Antero Midstream Partners LP/Antero Midstream Finance Corp., Company Guaranteed Notes, 5.750% due 3/1/27(c) | | | | | 140,536 | | |
| | | 70,000 | | | | Antero Resources Corp., Company Guaranteed Notes, 5.375% due 3/1/30(c) | | | | | 65,448 | | |
| | | 500,000 | | | | BG Energy Capital PLC, Company Guaranteed Notes, 5.125% due 10/15/41(c) | | | | | 456,151 | | |
| | | 55,000 | | | | Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Unsecured Notes, 7.625% due 12/15/25(c) | | | | | 55,160 | | |
| | | | | | | BP Capital Markets America Inc., Company Guaranteed Notes: | | | | | | | |
| | | 340,000 | | | | 2.721% due 1/12/32 | | | | | 284,573 | | |
| | | 3,080,000 | | | | 4.812% due 2/13/33 | | | | | 2,981,244 | | |
| | | 2,210,000 | | | | 4.893% due 9/11/33 | | | | | 2,150,029 | | |
| | | 350,000 | | | | 2.939% due 6/4/51 | | | | | 228,515 | | |
| | | 215,000 | | | | 3.379% due 2/8/61 | | | | | 144,761 | | |
| | | 145,000 | | | | Callon Petroleum Co., Company Guaranteed Notes, 7.500% due 6/15/30(c) | | | | | 143,320 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 695,000 | | | | Cheniere Energy Inc., Senior Secured Notes, 4.625% due 10/15/28 | | | | $ | 654,209 | | |
| | | 230,000 | | | | Cheniere Energy Partners LP, Company Guaranteed Notes, 5.950% due 6/30/33(c) | | | | | 229,532 | | |
| | | 160,000 | | | | Chesapeake Energy Corp., Company Guaranteed Notes, 5.875% due 2/1/29(c) | | | | | 153,132 | | |
| | | 130,000 | | | | Chord Energy Corp., Company Guaranteed Notes, 6.375% due 6/1/26(c) | | | | | 128,131 | | |
| | | 150,000 | | | | Civitas Resources Inc., Company Guaranteed Notes, 8.375% due 7/1/28(c) | | | | | 154,500 | | |
| | | 125,000 | | | | CNX Midstream Partners LP, Company Guaranteed Notes, 4.750% due 4/15/30(c) | | | | | 107,867 | | |
| | | 150,000 | | | | CNX Resources Corp., Company Guaranteed Notes, 6.000% due 1/15/29(c) | | | | | 142,855 | | |
| | | 215,000 | | | | Columbia Pipelines Holding Co. LLC, Senior Unsecured Notes, 6.042% due 8/15/28(c) | | | | | 217,009 | | |
| | | | | | | Columbia Pipelines Operating Co. LLC, Senior Unsecured Notes: | | | | | | | |
| | | 70,000 | | | | 5.927% due 8/15/30(c) | | | | | 70,611 | | |
| | | 355,000 | | | | 6.036% due 11/15/33(c) | | | | | 358,639 | | |
| | | 2,645,000 | | | | 6.544% due 11/15/53(c) | | | | | 2,703,732 | | |
| | | | | | | ConocoPhillips Co., Company Guaranteed Notes: | | | | | | | |
| | | 410,000 | | | | 5.050% due 9/15/33 | | | | | 407,460 | | |
| | | 255,000 | | | | 3.800% due 3/15/52 | | | | | 196,349 | | |
| | | 165,000 | | | | 5.700% due 9/15/63 | | | | | 166,113 | | |
| | | 300,000 | | | | Cosan Overseas Ltd., Company Guaranteed Notes, 8.250%(f) | | | | | 298,500 | | |
| | | 250,000 | | | | CQP Holdco LP/BIP-V Chinook Holdco LLC, Senior Secured Notes, 5.500% due 6/15/31(c) | | | | | 228,120 | | |
| | | 100,000 | | | | CSI Compressco LP/CSI Compressco Finance Inc., Senior Secured Notes, 7.500% due 4/1/25(c) | | | | | 97,125 | | |
| | | 525,000 | | | | Diamondback Energy Inc., Company Guaranteed Notes, 6.250% due 3/15/33 | | | | | 542,514 | | |
| | | | | | | Ecopetrol SA, Senior Unsecured Notes: | | | | | | | |
| | | 100,000 | | | | 5.875% due 5/28/45 | | | | | 70,494 | | |
| | | 550,000 | | | | 5.875% due 11/2/51 | | | | | 371,495 | | |
| | | 400,000 | | | | EIG Pearl Holdings SARL, Senior Secured Notes, 3.545% due 8/31/36 | | | | | 332,000 | | |
| | | | | | | Enbridge Inc., Company Guaranteed Notes: | | | | | | | |
| | | 935,000 | | | | 5.700% due 3/8/33 | | | | | 935,431 | | |
| | | 110,000 | | | | 2.500% due 8/1/33 | | | | | 85,394 | | |
| | | | | | | Energy Transfer LP: | | | | | | | |
| | | | | | | Company Guaranteed Notes: | | | | | | | |
| | | 395,000 | | | | 5.000% due 5/15/44 | | | | | 321,624 | | |
| | | 110,000 | | | | 5.350% due 5/15/45 | | | | | 94,014 | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 285,000 | | | | 4.750% due 1/15/26 | | | | | 279,043 | | |
| | | 3,354,000 | | | | 4.900% due 3/15/35 | | | | | 3,066,018 | | |
| | | 1,683,000 | | | | 5.950% due 10/1/43 | | | | | 1,536,832 | | |
| | | 125,000 | | | | 6.250% due 4/15/49 | | | | | 119,663 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | | | | | | Enterprise Products Operating LLC, Company Guaranteed Notes: | | ||||||
| | $ | 6,000,000 | | | | 4.150% due 10/16/28 | | | | $ | 5,730,803 | | |
| | | 200,000 | | | | 2.800% due 1/31/30 | | | | | 173,324 | | |
| | | 375,000 | | | | 5.350% due 1/31/33 | | | | | 377,088 | | |
| | | | | | | EQM Midstream Partners LP, Senior Unsecured Notes: | | | | | | | |
| | | 140,000 | | | | 6.500% due 7/1/27(c) | | | | | 139,114 | | |
| | | 85,000 | | | | 4.750% due 1/15/31(c) | | | | | 75,113 | | |
| | | 440,000 | | | | Equinor ASA, Company Guaranteed Notes, 3.700% due 4/6/50 | | | | | 339,767 | | |
| | | 370,000 | | | | Exxon Mobil Corp., Senior Unsecured Notes, 2.992% due 3/19/25 | | | | | 358,222 | | |
| | | | | | | Galaxy Pipeline Assets Bidco Ltd., Senior Secured Notes: | | | | | | | |
| | | 354,840 | | | | 2.160% due 3/31/34(c) | | | | | 297,850 | | |
| | | 341,946 | | | | 2.940% due 9/30/40(c) | | | | | 269,048 | | |
| | | 237,463 | | | | 2.940% due 9/30/40 | | | | | 186,839 | | |
| | | 200,000 | | | | Geopark Ltd., Company Guaranteed Notes, 5.500% due 1/17/27 | | | | | 172,881 | | |
| | | 200,000 | | | | Gran Tierra Energy Inc., Company Guaranteed Notes, 7.750% due 5/23/27(c) | | | | | 158,955 | | |
| | | 200,000 | | | | Gran Tierra Energy International Holdings Ltd., Company Guaranteed Notes, 6.250% due 2/15/25 | | | | | 176,713 | | |
| | | | | | | Greensaif Pipelines Bidco SARL, Senior Secured Notes: | | | | | | | |
| | | 365,000 | | | | 6.129% due 2/23/38(c) | | | | | 366,203 | | |
| | | 200,000 | | | | 6.510% due 2/23/42(c) | | | | | 202,354 | | |
| | | 176,852 | | | | Guara Norte SARL, Senior Secured Notes, 5.198% due 6/15/34 | | | | | 154,736 | | |
| | | 56,206 | | | | Gulfport Energy Corp., Company Guaranteed Notes, 8.000% due 5/17/26(c) | | | | | 57,079 | | |
| | | 175,000 | | | | Gulfport Energy Operating Corp., Company Guaranteed Notes, 6.375% due 5/15/25(d) | | | | | 110 | | |
| | | 245,000 | | | | Halliburton Co., Senior Unsecured Notes, 4.850% due 11/15/35 | | | | | 229,708 | | |
| | | 475,000 | | | | Hess Corp., Senior Unsecured Notes, 7.300% due 8/15/31 | | | | | 518,571 | | |
| | | | | | | Hess Midstream Operations LP, Company Guaranteed Notes: | | | | | | | |
| | | 145,000 | | | | 5.125% due 6/15/28(c) | | | | | 136,013 | | |
| | | 165,000 | | | | 4.250% due 2/15/30(c) | | | | | 145,051 | | |
| | | 80,000 | | | | 5.500% due 10/15/30(c) | | | | | 74,894 | | |
| | | | | | | Hilcorp Energy I LP/Hilcorp Finance Co., Senior Unsecured Notes: | | | | | | | |
| | | 190,000 | | | | 6.250% due 11/1/28(c) | | | | | 183,288 | | |
| | | 45,000 | | | | 5.750% due 2/1/29(c) | | | | | 41,737 | | |
| | | 332,800 | | | | Hunt Oil Co. of Peru LLC Sucursal Del Peru, Senior Unsecured Notes, 6.375% due 6/1/28 | | | | | 316,713 | | |
| | | 660,000 | | | | Kinder Morgan Inc., Company Guaranteed Notes, 5.200% due 6/1/33 | | | | | 632,224 | | |
| | | 241,563 | | | | MC Brazil Downstream Trading SARL, Senior Secured Notes, 7.250% due 6/30/31 | | | | | 161,847 | | |
| | | 35,000 | | | | Moss Creek Resources Holdings Inc., Company Guaranteed Notes, 7.500% due 1/15/26(c) | | | | | 33,503 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | | | | | | MPLX LP, Senior Unsecured Notes: | | ||||||
| | $ | 305,000 | | | | 1.750% due 3/1/26 | | | | $ | 277,788 | | |
| | | 210,000 | | | | 4.000% due 3/15/28 | | | | | 197,145 | | |
| | | 85,000 | | | | 2.650% due 8/15/30 | | | | | 70,544 | | |
| | | 60,000 | | | | 4.950% due 9/1/32 | | | | | 56,683 | | |
| | | 255,000 | | | | 4.950% due 3/14/52 | | | | | 210,139 | | |
| | | 90,000 | | | | Nabors Industries Ltd., Company Guaranteed Notes, 7.250% due 1/15/26(c) | | | | | 86,577 | | |
| | | 85,000 | | | | NGL Energy Operating LLC/NGL Energy Finance Corp., Senior Secured Notes, 7.500% due 2/1/26(c) | | | | | 84,624 | | |
| | | 75,000 | | | | NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes, 7.500% due 4/15/26 | | | | | 72,105 | | |
| | | 265,000 | | | | NuStar Logistics LP, Company Guaranteed Notes, 6.000% due 6/1/26 | | | | | 259,721 | | |
| | | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | | | | | | |
| | | 4,175,000 | | | | 7.150% due 5/15/28 | | | | | 4,290,402 | | |
| | | 270,000 | | | | 6.625% due 9/1/30 | | | | | 278,725 | | |
| | | 195,000 | | | | 6.450% due 9/15/36 | | | | | 199,394 | | |
| | | 200,000 | | | | Oleoducto Central SA, Senior Unsecured Notes, 4.000% due 7/14/27 | | | | | 179,454 | | |
| | | | | | | ONEOK Inc., Company Guaranteed Notes: | | | | | | | |
| | | 150,000 | | | | 4.350% due 3/15/29 | | | | | 140,235 | | |
| | | 105,000 | | | | 3.100% due 3/15/30 | | | | | 90,147 | | |
| | | 255,000 | | | | 6.100% due 11/15/32 | | | | | 259,026 | | |
| | | 120,000 | | | | 5.200% due 7/15/48 | | | | | 102,619 | | |
| | | | | | | Ovintiv Inc., Company Guaranteed Notes: | | | | | | | |
| | | 100,000 | | | | 5.650% due 5/15/28 | | | | | 99,235 | | |
| | | 140,000 | | | | 7.375% due 11/1/31 | | | | | 150,146 | | |
| | | 225,000 | | | | 6.250% due 7/15/33 | | | | | 224,604 | | |
| | | | | | | Parkland Corp., Company Guaranteed Notes: | | | | | | | |
| | | 95,000 | | | | 4.500% due 10/1/29(c) | | | | | 83,706 | | |
| | | 70,000 | | | | 4.625% due 5/1/30(c) | | | | | 61,710 | | |
| | | 60,000 | | | | PBF Holding Co. LLC/PBF Finance Corp., Company Guaranteed Notes, 6.000% due 2/15/28 | | | | | 56,755 | | |
| | | 500,000 | | | | Petrobras Global Finance BV, Company Guaranteed Notes, 6.750% due 6/3/50 | | | | | 460,600 | | |
| | | | | | | Petroleos del Peru SA, Senior Unsecured Notes: | | | | | | | |
| | | 200,000 | | | | 4.750% due 6/19/32 | | | | | 147,960 | | |
| | | 200,000 | | | | 5.625% due 6/19/47 | | | | | 127,984 | | |
| | | 250,000 | | | | Petroleos Mexicanos, Company Guaranteed Notes, 6.750% due 9/21/47 | | | | | 154,733 | | |
| | | | | | | Phillips 66 Co., Company Guaranteed Notes: | | | | | | | |
| | | 245,000 | | | | 4.950% due 12/1/27 | | | | | 242,518 | | |
| | | 95,000 | | | | 5.300% due 6/30/33 | | | | | 94,040 | | |
| | | 200,000 | | | | Pioneer Natural Resources Co., Senior Unsecured Notes, 5.100% due 3/29/26 | | | | | 198,445 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 140,000 | | | | Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes, 3.550% due 12/15/29@ | | | | $ | 123,080 | | |
| | | | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes: | | | | | | | |
| | | 425,000 | | | | 5.000% due 3/15/27 | | | | | 417,809 | | |
| | | 185,000 | | | | 4.500% due 5/15/30 | | | | | 174,095 | | |
| | | | | | | Schlumberger Investment SA, Company Guaranteed Notes: | | | | | | | |
| | | 2,315,000 | | | | 2.650% due 6/26/30 | | | | | 2,002,008 | | |
| | | 440,000 | | | | 4.850% due 5/15/33 | | | | | 430,064 | | |
| | | | | | | Shell International Finance BV, Company Guaranteed Notes: | | | | | | | |
| | | 450,000 | | | | 3.250% due 4/6/50 | | | | | 319,326 | | |
| | | 365,000 | | | | 3.000% due 11/26/51 | | | | | 244,340 | | |
| | | 95,000 | | | | Southwestern Energy Co., Company Guaranteed Notes, 4.750% due 2/1/32 | | | | | 84,156 | | |
| | | 105,000 | | | | SunCoke Energy Inc., Senior Secured Notes, 4.875% due 6/30/29(c) | | | | | 89,351 | | |
| | | | | | | Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes: | | | | | | | |
| | | 55,000 | | | | 6.000% due 4/15/27 | | | | | 54,425 | | |
| | | 55,000 | | | | 4.500% due 5/15/29 | | | | | 49,739 | | |
| | | 190,000 | | | | Targa Resources Corp., Company Guaranteed Notes, 6.125% due 3/15/33 | | | | | 193,460 | | |
| | | 825,000 | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes, 4.000% due 1/15/32 | | | | | 711,742 | | |
| | | 6,275,000 | | | | Tennessee Gas Pipeline Co. LLC, Company Guaranteed Notes, 2.900% due 3/1/30(c) | | | | | 5,371,579 | | |
| | | 405,000 | | | | TransCanada PipeLines Ltd., Senior Unsecured Notes, 2.500% due 10/12/31@ | | | | | 322,699 | | |
| | | 155,000 | | | | Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes, 3.250% due 5/15/30@ | | | | | 136,616 | | |
| | | 153,750 | | | | Transocean Poseidon Ltd., Senior Secured Notes, 6.875% due 2/1/27(c) | | | | | 152,797 | | |
| | | 317,646 | | | | UEP Penonome II SA, Senior Secured Notes, 6.500% due 10/1/38(c) | | | | | 242,896 | | |
| | | 130,000 | | | | Venture Global Calcasieu Pass LLC, Senior Secured Notes, 4.125% due 8/15/31(c) | | | | | 110,273 | | |
| | | | | | | Venture Global LNG Inc., Senior Secured Notes: | | | | | | | |
| | | 95,000 | | | | 8.125% due 6/1/28(c) | | | | | 95,831 | | |
| | | 65,000 | | | | 8.375% due 6/1/31(c) | | | | | 65,565 | | |
| | | | | | | Weatherford International Ltd.: | | | | | | | |
| | | 85,000 | | | | Company Guaranteed Notes, 8.625% due 4/30/30(c) | | | | | 87,058 | | |
| | | 55,000 | | | | Senior Secured Notes, 6.500% due 9/15/28(c) | | | | | 55,133 | | |
| | | | | | | Western Midstream Operating LP, Senior Unsecured Notes: | | | | | | | |
| | | 155,000 | | | | 4.050% due 2/1/30 | | | | | 138,261 | | |
| | | 2,525,000 | | | | 6.150% due 4/1/33 | | | | | 2,512,391 | | |
| | | | | | | Williams Cos., Inc., Senior Unsecured Notes: | | | | | | | |
| | | 255,000 | | | | 3.750% due 6/15/27 | | | | | 240,037 | | |
| | | 475,000 | | | | 2.600% due 3/15/31 | | | | | 389,821 | | |
| | | 270,000 | | | | 4.650% due 8/15/32 | | | | | 253,539 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 390,000 | | | | 5.650% due 3/15/33 | | | | $ | 392,171 | | |
| | | | | | | Total Energy | | | | | 57,298,151 | | |
| Financial – 9.5% | | ||||||||||||
| | | 4,195,000 | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 1.650% due 10/29/24 | | | | | 3,988,261 | | |
| | | 535,000 | | | | Air Lease Corp., Senior Unsecured Notes, 3.250% due 3/1/25 | | | | | 512,017 | | |
| | | 650,000 | | | | Alexandria Real Estate Equities Inc., Company Guaranteed Notes, 1.875% due 2/1/33 | | | | | 479,629 | | |
| | | | | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer: | | �� | | | | | |
| | | 145,000 | | | | Senior Secured Notes, 6.750% due 4/15/28(c) | | | | | 142,856 | | |
| | | 130,000 | | | | Senior Unsecured Notes, 6.750% due 10/15/27(c) | | | | | 122,879 | | |
| | | | | | | American Express Co., Senior Unsecured Notes: | | | | | | | |
| | | 625,000 | | | | 3.950% due 8/1/25 | | | | | 606,429 | | |
| | | 215,000 | | | | 5.043% (SOFRRATE + 1.835%) due 5/1/34(b) | | | | | 206,587 | | |
| | | | | | | American Tower Corp., Senior Unsecured Notes: | | | | | | | |
| | | 475,000 | | | | 3.650% due 3/15/27 | | | | | 445,913 | | |
| | | 415,000 | | | | 3.600% due 1/15/28 | | | | | 383,024 | | |
| | | 1,680,000 | | | | 3.950% due 3/15/29 | | | | | 1,545,716 | | |
| | | 535,000 | | | | 3.800% due 8/15/29 | | | | | 486,557 | | |
| | | 2,618,000 | | | | 2.100% due 6/15/30 | | | | | 2,088,767 | | |
| | | 355,000 | | | | American Tower Trust #1, Asset Backed, 5.490% due 3/15/28(c) | | | | | 353,853 | | |
| | | 100,000 | | | | AmWINS Group Inc., Senior Unsecured Notes, 4.875% due 6/30/29(c) | | | | | 89,725 | | |
| | | | | | | Aon Corp./Aon Global Holdings PLC, Company Guaranteed Notes: | | | | | | | |
| | | 145,000 | | | | 5.350% due 2/28/33 | | | | | 144,766 | | |
| | | 185,000 | | | | 3.900% due 2/28/52 | | | | | 141,930 | | |
| | | 145,000 | | | | AssuredPartners Inc., Senior Unsecured Notes, 5.625% due 1/15/29(c) | | | | | 125,965 | | |
| | | 800,000 | | | | Athene Global Funding, Secured Notes, 2.646% due 10/4/31(c) | | | | | 611,384 | | |
| | | 790,000 | | | | Athene Holding Ltd., Senior Unsecured Notes, 3.950% due 5/25/51 | | | | | 552,325 | | |
| | | | | | | Avolon Holdings Funding Ltd.: | | | | | | | |
| | | 250,000 | | | | Company Guaranteed Notes, 3.250% due 2/15/27(c) | | | | | 224,847 | | |
| | | 460,000 | | | | Senior Unsecured Notes, 2.125% due 2/21/26(c) | | | | | 413,317 | | |
| | | 200,000 | | | | Banco Davivienda SA, Junior Subordinated Notes, 6.650% (5-Year CMT Index + 5.097%)(b)(c)(f) | | | | | 145,917 | | |
| | | | | | | Banco de Credito del Peru SA, Subordinated Notes: | | | | | | | |
| | | 200,000 | | | | 3.125% (5-Year CMT Index + 3.000%) due 7/1/30(b) | | | | | 185,777 | | |
| | | 200,000 | | | | 3.250% (5-Year CMT Index + 2.450%) due 9/30/31(b) | | | | | 178,486 | | |
| | | 400,000 | | | | Banco do Brasil SA, Junior Subordinated Notes, 6.250% (5-Year CMT Index + 4.398%)(b)(f) | | | | | 378,185 | | |
| | | 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(b)(c) | | | | | 183,677 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 100,000 | | | | Banco GNB Sudameris SA, Subordinated Notes, 7.051% (5-Year CMT Index + 4.561%) due 4/3/27(b) | | | | $ | 95,958 | | |
| | | 150,000 | | | | Banco Industrial SA, Subordinated Notes, 4.875% (5-Year CMT Index + 4.442%) due 1/29/31(b) | | | | | 139,155 | | |
| | | 300,000 | | | | Banco Internacional del Peru SAA Interbank, Subordinated Notes, 4.000% (5-Year CMT Index + 3.711%) due 7/8/30(b) | | | | | 275,250 | | |
| | | 400,000 | | | | Banco Mercantil del Norte SA, Junior Subordinated Notes, 7.625% (5-Year CMT Index + 5.353%)(b)(f) | | | | | 372,563 | | |
| | | 200,000 | | | | Banco Nacional de Comercio Exterior SNC, Subordinated Notes, 2.720% (5-Year CMT Index + 2.000%) due 8/11/31(b) | | | | | 167,732 | | |
| | | 200,000 | | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, Subordinated Notes, 5.950% (5-Year CMT Index + 2.995%) due 10/1/28(b) | | | | | 197,891 | | |
| | | 400,000 | | | | Bancolombia SA, Subordinated Notes, 4.625% (5-Year CMT Index + 2.944%) due 12/18/29(b) | | | | | 353,207 | | |
| | | 200,000 | | | | Bank Hapoalim BM, Subordinated Notes, 3.255% (5-Year CMT Index + 2.155%) due 1/21/32(b)(c) | | | | | 171,453 | | |
| | | 200,000 | | | | Bank Leumi Le-Israel BM, Subordinated Notes, 3.275% (5-Year CMT Index + 1.631%) due 1/29/31(b)(c) | | | | | 179,720 | | |
| | | | | | | Bank of America Corp.: | | | | | | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 130,000 | | | | 3.841% (SOFRRATE + 1.110%) due 4/25/25(b) | | | | | 128,126 | | |
| | | 195,000 | | | | 4.827% (SOFRRATE + 1.750%) due 7/22/26(b) | | | | | 191,362 | | |
| | | 710,000 | | | | 5.202% (SOFRRATE + 1.630%) due 4/25/29(b) | | | | | 699,266 | | |
| | | 725,000 | | | | 3.974% (3-Month TSFR + 1.472%) due 2/7/30(b) | | | | | 667,501 | | |
| | | 855,000 | | | | 2.592% (SOFRRATE + 2.150%) due 4/29/31(b) | | | | | 711,196 | | |
| | | 7,070,000 | | | | 1.922% (SOFRRATE + 1.370%) due 10/24/31(b) | | | | | 5,538,831 | | |
| | | 4,030,000 | | | | 2.687% (SOFRRATE + 1.320%) due 4/22/32(b) | | | | | 3,297,392 | | |
| | | 240,000 | | | | 2.572% (SOFRRATE + 1.210%) due 10/20/32(b) | | | | | 192,376 | | |
| | | 1,185,000 | | | | 2.972% (SOFRRATE + 1.330%) due 2/4/33(b) | | | | | 974,325 | | |
| | | 1,250,000 | | | | Subordinated Notes, 2.482% (5-Year CMT Index + 1.200%) due 9/21/36(b) | | | | | 949,559 | | |
| | | 815,000 | | | | Bank of Montreal, Subordinated Notes, 3.088% (5-Year CMT Index + 1.400%) due 1/10/37(b) | | | | | 628,751 | | |
| | | 1,190,000 | | | | Bank of Nova Scotia, Senior Unsecured Notes, 3.450% due 4/11/25 | | | | | 1,149,491 | | |
| | | | | | | Barclays PLC: | | | | | | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 5,000,000 | | | | 4.375% due 1/12/26 | | | | | 4,819,778 | | |
| | | 500,000 | | | | 7.385% (1-Year CMT Index + 3.300%) due 11/2/28(b) | | | | | 520,517 | | |
| | | 620,000 | | | | 6.224% (SOFRRATE + 2.980%) due 5/9/34(b) | | | | | 612,312 | | |
| | | 200,000 | | | | Subordinated Notes, 7.119% (SOFRRATE + 3.570%) due 6/27/34(b) | | | | | 199,730 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | BBVA Bancomer SA, Subordinated Notes: | | ||||||
| | $ | 200,000 | | | | 5.350% (5-Year CMT Index + 3.000%) due 11/12/29(b) | | | | $ | 193,099 | | |
| | | 200,000 | | | | 5.875% (5-Year CMT Index + 4.308%) due 9/13/34(b) | | | | | 177,693 | | |
| | | 6,135,000 | | | | Berkshire Hathaway Finance Corp., Company Guaranteed Notes, 3.850% due 3/15/52 | | | | | 4,887,258 | | |
| | | 1,020,000 | | | | Blackstone Holdings Finance Co. LLC, Company Guaranteed Notes, 2.000% due 1/30/32(c) | | | | | 764,287 | | |
| | | | | | | BNP Paribas SA, Senior Unsecured Notes: | | | | | | | |
| | | 640,000 | | | | 2.219% (SOFRRATE + 2.074%) due 6/9/26(b)(c) | | | | | 597,912 | | |
| | | 325,000 | | | | 5.125% (1-Year CMT Index + 1.450%) due 1/13/29(b)(c) | | | | | 318,405 | | |
| | | 245,000 | | | | 5.335% (1-Year CMT Index + 1.500%) due 6/12/29(b)(c) | | | | | 241,409 | | |
| | | | | | | Boston Properties LP, Senior Unsecured Notes: | | | | | | | |
| | | 3,000,000 | | | | 3.400% due 6/21/29 | | | | | 2,566,219 | | |
| | | 2,975,000 | | | | 3.250% due 1/30/31 | | | | | 2,421,860 | | |
| | | 520,000 | | | | BPCE SA, Senior Unsecured Notes, 2.045% (SOFRRATE + 1.087%) due 10/19/27(b)(c) | | | | | 460,479 | | |
| | | | | | | Brighthouse Financial Global Funding, Senior Secured Notes: | | | | | | | |
| | | 195,000 | | | | 1.000% due 4/12/24(c) | | | | | 189,067 | | |
| | | 650,000 | | | | 1.750% due 1/13/25(c) | | | | | 612,511 | | |
| | | 550,000 | | | | Brown & Brown Inc., Senior Unsecured Notes, 2.375% due 3/15/31 | | | | | 439,672 | | |
| | | | | | | Capital One Financial Corp., Senior Unsecured Notes: | | | | | | | |
| | | 595,000 | | | | 4.985% (SOFRRATE + 2.160%) due 7/24/26(b) | | | | | 581,572 | | |
| | | 85,000 | | | | 1.878% (SOFRRATE + 0.855%) due 11/2/27(b) | | | | | 74,515 | | |
| | | 100,000 | | | | 5.468% (SOFRRATE + 2.080%) due 2/1/29(b) | | | | | 97,007 | | |
| | | 470,000 | | | | 6.312% (SOFRRATE + 2.640%) due 6/8/29(b) | | | | | 469,743 | | |
| | | 195,000 | | | | 3.273% (SOFRRATE + 1.790%) due 3/1/30(b) | | | | | 167,349 | | |
| | | 550,000 | | | | 5.247% (SOFRRATE + 2.600%) due 7/26/30(b) | | | | | 523,208 | | |
| | | 340,000 | | | | 6.377% (SOFRRATE + 2.860%) due 6/8/34(b) | | | | | 335,844 | | |
| | | 2,301,000 | | | | Charles Schwab Corp., Senior Unsecured Notes, 2.750% due 10/1/29 | | | | | 1,978,987 | | |
| | | | | | | Citigroup Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,365,000 | | | | 3.668% (3-Month TSFR + 1.652%) due 7/24/28(b) | | | | | 1,269,417 | | |
| | | 3,555,000 | | | | 2.976% (SOFRRATE + 1.422%) due 11/5/30(b) | | | | | 3,057,175 | | |
| | | 3,375,000 | | | | 2.520% (SOFRRATE + 1.177%) due 11/3/32(b) | | | | | 2,678,244 | | |
| | | 440,000 | | | | Corebridge Financial Inc., Senior Unsecured Notes, 3.850% due 4/5/29 | | | | | 402,666 | | |
| | | 650,000 | | | | Credit Agricole SA, Senior Unsecured Notes, 5.301% due 7/12/28(c) | | | | | 648,794 | | |
| | | 660,000 | | | | Credit Suisse AG, Senior Unsecured Notes, 7.500% due 2/15/28 | | | | | 705,872 | | |
| | | 5,000,000 | | | | Credit Suisse Group AG, Senior Unsecured Notes, 4.194% (SOFRRATE + 3.730%) due 4/1/31(b)(c) | | | | | 4,502,136 | | |
| | | | | | | Crown Castle Inc., Senior Unsecured Notes: | | | | | | | |
| | | 170,000 | | | | 3.800% due 2/15/28 | | | | | 158,113 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 920,000 | | | | 4.800% due 9/1/28 | | | | $ | 893,130 | | |
| | | 675,000 | | | | 4.300% due 2/15/29 | | | | | 633,891 | | |
| | | 3,410,000 | | | | 2.100% due 4/1/31 | | | | | 2,688,389 | | |
| | | 200,000 | | | | DBS Group Holdings Ltd., Subordinated Notes, 1.822% (5-Year CMT Index + 1.100%) due 3/10/31(b) | | | | | 180,928 | | |
| | | | | | | Deutsche Bank AG, Senior Unsecured Notes: | | | | | | | |
| | | 755,000 | | | | 2.129% (SOFRRATE + 1.870%) due 11/24/26(b) | | | | | 684,987 | | |
| | | 285,000 | | | | 6.720% (SOFRRATE + 3.180%) due 1/18/29(b) | | | | | 288,550 | | |
| | | | | | | Equinix Inc., Senior Unsecured Notes: | | | | | | | |
| | | 525,000 | | | | 3.200% due 11/18/29 | | | | | 459,925 | | |
| | | 370,000 | | | | 3.900% due 4/15/32 | | | | | 329,315 | | |
| | | 635,000 | | | | 2.950% due 9/15/51 | | | | | 395,173 | | |
| | | 1,110,000 | | | | Equitable Financial Life Global Funding, Secured Notes, 1.800% due 3/8/28(c) | | | | | 942,042 | | |
| | | 60,000 | | | | Fifth Third Bancorp, Senior Unsecured Notes, 6.339% (SOFRRATE + 2.340%) due 7/27/29(b) | | | | | 60,735 | | |
| | | 6,134,000 | | | | Five Corners Funding Trust II, Senior Unsecured Notes, 2.850% due 5/15/30(c) | | | | | 5,251,412 | | |
| | | 216,982 | | | | Global Aircraft Leasing Co., Ltd., Senior Unsecured Notes, 6.500% due 9/15/24(c)(g) | | | | | 203,789 | | |
| | | 200,000 | | | | Global Bank Corp., Senior Unsecured Notes, 5.250% (3-Month USD-LIBOR + 3.300%) due 4/16/29(b) | | | | | 187,700 | | |
| | | 345,000 | | | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes, 5.300% due 1/15/29 | | | | | 325,302 | | |
| | | | | | | Goldman Sachs Group Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,260,000 | | | | 6.796% (3-Month TSFR + 1.432%) due 5/15/26(b) | | | | | 1,263,672 | | |
| | | 125,000 | | | | 4.482% (SOFRRATE + 1.725%) due 8/23/28(b) | | | | | 120,272 | | |
| | | 300,000 | | | | 1.992% (SOFRRATE + 1.090%) due 1/27/32(b) | | | | | 233,644 | | |
| | | 1,740,000 | | | | 2.615% (SOFRRATE + 1.281%) due 4/22/32(b) | | | | | 1,407,915 | | |
| | | 900,000 | | | | 2.383% (SOFRRATE + 1.248%) due 7/21/32(b) | | | | | 711,405 | | |
| | | 140,000 | | | | 2.650% (SOFRRATE + 1.264%) due 10/21/32(b) | | | | | 112,345 | | |
| | | 725,000 | | | | Guardian Life Global Funding, Secured Notes, 1.250% due 5/13/26(c) | | | | | 646,052 | | |
| | | 65,000 | | | | Hightower Holding LLC, Company Guaranteed Notes, 6.750% due 4/15/29(c) | | | | | 56,577 | | |
| | | 690,000 | | | | Host Hotels & Resorts LP, Senior Unsecured Notes, 3.500% due 9/15/30 | | | | | 588,643 | | |
| | | | | | | HSBC Holdings PLC: | | | | | | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 440,000 | | | | 5.887% (SOFRRATE + 1.570%) due 8/14/27(b) | | | | | 438,620 | | |
| | | 310,000 | | | | 5.210% (SOFRRATE + 2.610%) due 8/11/28(b) | | | | | 302,498 | | |
| | | 410,000 | | | | 6.161% (SOFRRATE + 1.970%) due 3/9/29(b) | | | | | 412,776 | | |
| | | 350,000 | | | | 4.583% (3-Month TSFR + 1.796%) due 6/19/29(b) | | | | | 330,428 | | |
| | | 620,000 | | | | 2.206% (SOFRRATE + 1.285%) due 8/17/29(b) | | | | | 519,410 | | |
| | | 1,335,000 | | | | 5.402% (SOFRRATE + 2.870%) due 8/11/33(b) | | | | | 1,274,379 | | |
| | | 200,000 | | | | 6.254% (SOFRRATE + 2.390%) due 3/9/34(b) | | | | | 202,175 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 1,215,000 | | | | Subordinated Notes, 6.547% (SOFRRATE + 2.980%) due 6/20/34(b) | | | | $ | 1,192,769 | | |
| | | 65,000 | | | | HUB International Ltd., Senior Secured Notes, 7.250% due 6/15/30(c) | | | | | 66,163 | | |
| | | | | | | Huntington Bancshares Inc., Senior Unsecured Notes: | | | | | | | |
| | | 120,000 | | | | 6.208% (SOFRRATE + 2.020%) due 8/21/29(b) | | | | | 120,788 | | |
| | | 1,735,000 | | | | 5.023% (SOFRRATE + 2.050%) due 5/17/33(b) | | | | | 1,606,661 | | |
| | | 250,000 | | | | Huntington National Bank, Senior Unsecured Notes, 5.650% due 1/10/30 | | | | | 243,263 | | |
| | | 165,000 | | | | Intercontinental Exchange Inc., Senior Unsecured Notes, 4.350% due 6/15/29 | | | | | 158,125 | | |
| | | 530,000 | | | | Intesa Sanpaolo SpA, Senior Unsecured Notes, 6.625% due 6/20/33(c) | | | | | 523,043 | | |
| | | 755,000 | | | | Invitation Homes Operating Partnership LP, Company Guaranteed Notes, 2.700% due 1/15/34 | | | | | 573,396 | | |
| | | | | | | Iron Mountain Inc., Company Guaranteed Notes: | | | | | | | |
| | | 155,000 | | | | 7.000% due 2/15/29(c) | | | | | 154,576 | | |
| | | 80,000 | | | | 4.500% due 2/15/31(c) | | | | | 68,724 | | |
| | | | | | | JPMorgan Chase & Co., Senior Unsecured Notes: | | | | | | | |
| | | 620,000 | | | | 3.960% (3-Month TSFR + 1.507%) due 1/29/27(b) | | | | | 596,322 | | |
| | | 325,000 | | | | 4.851% (SOFRRATE + 1.990%) due 7/25/28(b) | | | | | 318,485 | | |
| | | 730,000 | | | | 3.509% (3-Month TSFR + 1.207%) due 1/23/29(b) | | | | | 672,973 | | |
| | | 605,000 | | | | 5.299% (SOFRRATE + 1.450%) due 7/24/29(b) | | | | | 601,544 | | |
| | | 5,817,000 | | | | 2.522% (SOFRRATE + 2.040%) due 4/22/31(b) | | | | | 4,878,888 | | |
| | | 770,000 | | | | 2.580% (3-Month TSFR + 1.250%) due 4/22/32(b) | | | | | 630,330 | | |
| | | 2,780,000 | | | | 2.545% (SOFRRATE + 1.180%) due 11/8/32(b) | | | | | 2,245,801 | | |
| | | 755,000 | | | | 2.963% (SOFRRATE + 1.260%) due 1/25/33(b) | | | | | 627,274 | | |
| | | 2,925,000 | | | | 4.912% (SOFRRATE + 2.080%) due 7/25/33(b) | | | | | 2,813,095 | | |
| | | 4,655,000 | | | | KeyBank NA, Senior Unsecured Notes, 5.000% due 1/26/33 | | | | | 4,043,288 | | |
| | | 300,000 | | | | Kimco Realty OP LLC, Company Guaranteed Notes, 4.450% due 1/15/24 | | | | | 297,929 | | |
| | | 90,000 | | | | LFS Topco LLC, Company Guaranteed Notes, 5.875% due 10/15/26(c) | | | | | 77,851 | | |
| | | 2,180,000 | | | | Lloyds Banking Group PLC, Senior Unsecured Notes, 4.976% (1-Year CMT Index + 2.300%) due 8/11/33(b) | | | | | 2,017,869 | | |
| | | 880,000 | | | | Macquarie Group Ltd., Senior Unsecured Notes, 2.871% (SOFRRATE + 1.532%) due 1/14/33(b)(c) | | | | | 689,809 | | |
| | | 1,015,000 | | | | Manufacturers & Traders Trust Co., Senior Unsecured Notes, 4.700% due 1/27/28 | | | | | 948,856 | | |
| | | 360,000 | | | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes, 4.750% due 3/15/39 | | | | | 333,083 | | |
| | | 740,000 | | | | Massachusetts Mutual Life Insurance Co., Subordinated Notes, 3.375% due 4/15/50(c) | | | | | 511,631 | | |
| | | | | | | MetLife Inc., Senior Unsecured Notes: | | �� | | | | | |
| | | 330,000 | | | | 5.375% due 7/15/33 | | | | | 328,503 | | |
| | | 655,000 | | | | 5.250% due 1/15/54 | | | | | 620,763 | | |
| | | 1,235,000 | | | | Metropolitan Life Global Funding I, Secured Notes, 2.400% due 1/11/32(c) | | | | | 1,001,441 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | Morgan Stanley: | | ||||||
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | $ | 7,000,000 | | | | 3.772% (3-Month TSFR + 1.402%) due 1/24/29(b) | | | | $ | 6,492,724 | | |
| | | 580,000 | | | | 5.123% (SOFRRATE + 1.730%) due 2/1/29(b) | | | | | 568,476 | | |
| | | 155,000 | | | | 5.164% (SOFRRATE + 1.590%) due 4/20/29(b) | | | | | 152,029 | | |
| | | 180,000 | | | | 5.449% (SOFRRATE + 1.630%) due 7/20/29(b) | | | | | 178,943 | | |
| | | 3,135,000 | | | | 2.699% (SOFRRATE + 1.143%) due 1/22/31(b) | | | | | 2,638,654 | | |
| | | 485,000 | | | | 1.928% (SOFRRATE + 1.020%) due 4/28/32(b) | | | | | 373,972 | | |
| | | 185,000 | | | | 2.511% (SOFRRATE + 1.200%) due 10/20/32(b) | | | | | 147,316 | | |
| | | | | | | Subordinated Notes: | | | | | | | |
| | | 1,530,000 | | | | 2.484% (SOFRRATE + 1.360%) due 9/16/36(b) | | | | | 1,153,872 | | |
| | | 90,000 | | | | 5.948% (5-Year CMT Index + 2.430%) due 1/19/38(b) | | | | | 87,516 | | |
| | | 200,000 | | | | Multibank Inc., Senior Unsecured Notes, 7.750% due 2/3/28(c) | | | | | 203,020 | | |
| | | | | | | Nasdaq Inc., Senior Unsecured Notes: | | | | | | | |
| | | 240,000 | | | | 5.350% due 6/28/28 | | | | | 240,099 | | |
| | | 530,000 | | | | 5.550% due 2/15/34 | | | | | 529,076 | | |
| | | 80,000 | | | | 6.100% due 6/28/63 | | | | | 78,938 | | |
| | | 145,000 | | | | Nationstar Mortgage Holdings Inc., Company Guaranteed Notes, 5.750% due 11/15/31(c) | | | | | 125,143 | | |
| | | 380,000 | | | | NatWest Group PLC, Senior Unsecured Notes, 5.847% (1-Year CMT Index + 1.350%) due 3/2/27(b) | | | | | 377,744 | | |
| | | 100,000 | | | | Navient Corp., Senior Unsecured Notes, 5.000% due 3/15/27 | | | | | 90,958 | | |
| | | | | | | OneMain Finance Corp., Company Guaranteed Notes: | | | | | | | |
| | | 115,000 | | | | 7.125% due 3/15/26 | | | | | 113,130 | | |
| | | 90,000 | | | | 5.375% due 11/15/29 | | | | | 77,742 | | |
| | | 1,545,000 | | | | Ontario Teachers’ Cadillac Fairview Properties Trust, Senior Unsecured Notes, 2.500% due 10/15/31(c) | | | | | 1,215,554 | | |
| | | 200,000 | | | | Oversea-Chinese Banking Corp., Ltd., Subordinated Notes, 1.832% (5-Year CMT Index + 1.580%) due 9/10/30(b) | | | | | 184,144 | | |
| | | 195,000 | | | | Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co.-Issuer, Senior Secured Notes, 4.875% due 5/15/29(c) | | | | | 169,163 | | |
| | | 160,000 | | | | PennyMac Financial Services Inc., Company Guaranteed Notes, 4.250% due 2/15/29(c) | | | | | 132,442 | | |
| | | | | | | PNC Financial Services Group Inc.: | | | | | | | |
| | | 3,245,000 | | | | Senior Unsecured Notes, 5.068% (SOFRRATE + 1.933%) due 1/24/34(b) | | | | | 3,073,657 | | |
| | | 4,450,000 | | | | Subordinated Notes, 4.626% (SOFRRATE + 1.850%) due 6/6/33(b) | | | | | 4,029,138 | | |
| | | 425,000 | | | | Principal Financial Group Inc., Company Guaranteed Notes, 5.375% due 3/15/33 | | | | | 421,268 | | |
| | | 80,000 | | | | Realogy Group LLC/Realogy Co.-Issuer Corp., Company Guaranteed Notes, 5.250% due 4/15/30(c) | | | | | 55,533 | | |
| | | 320,000 | | | | Realty Income Corp., Senior Unsecured Notes, 5.050% due 1/13/26 | | | | | 318,365 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | Royal Bank of Canada, Senior Unsecured Notes: | | ||||||
| | $ | 3,720,000 | | | | 6.024% (SOFRRATE + 0.710%) due 1/21/27(b) | | | | $ | 3,675,873 | | |
| | | 375,000 | | | | 5.200% due 8/1/28 | | | | | 372,419 | | |
| | | 145,000 | | | | Ryan Specialty LLC, Senior Secured Notes, 4.375% due 2/1/30(c) | | | | | 129,600 | | |
| | | 735,000 | | | | Santander Holdings USA Inc., Senior Unsecured Notes, 2.490% (SOFRRATE + 1.249%) due 1/6/28(b) | | | | | 644,437 | | |
| | | 2,575,000 | | | | SBA Tower Trust, Asset Backed, 1.631% due 11/15/26(c) | | | | | 2,240,076 | | |
| | | 1,905,000 | | | | Simon Property Group LP, Senior Unsecured Notes, 2.200% due 2/1/31 | | | | | 1,517,642 | | |
| | | 1,335,000 | | | | Societe Generale SA, Subordinated Notes, 6.221% (1-Year CMT Index + 3.200%) due 6/15/33(b)(c) | | | | | 1,254,222 | | |
| | | 565,000 | | | | Standard Chartered PLC, Senior Unsecured Notes, 7.767% (1-Year CMT Index + 3.450%) due 11/16/28(b)(c) | | | | | 598,374 | | |
| | | | | | | Toronto-Dominion Bank, Senior Unsecured Notes: | | | | | | | |
| | | 655,000 | | | | 4.693% due 9/15/27 | | | | | 638,849 | | |
| | | 2,638,000 | | | | 3.200% due 3/10/32 | | | | | 2,247,306 | | |
| | | 3,050,000 | | | | 4.456% due 6/8/32 | | | | | 2,841,009 | | |
| | | | | | | Truist Financial Corp., Senior Unsecured Notes: | | | | | | | |
| | | 255,000 | | | | 4.873% (SOFRRATE + 1.435%) due 1/26/29(b) | | | | | 244,642 | | |
| | | 3,295,000 | | | | 5.122% (SOFRRATE + 1.852%) due 1/26/34(b) | | | | | 3,090,690 | | |
| | | | | | | UBS Group AG, Senior Unsecured Notes: | | | | | | | |
| | | 435,000 | | | | 4.751% (1-Year CMT Index + 1.750%) due 5/12/28(b)(c) | | | | | 417,651 | | |
| | | 260,000 | | | | 6.442% (SOFRRATE + 3.700%) due 8/11/28(b)(c) | | | | | 264,753 | | |
| | | 3,600,000 | | | | 2.746% (1-Year CMT Index + 1.100%) due 2/11/33(b)(c) | | | | | 2,835,993 | | |
| | | 1,420,000 | | | | 6.537% (SOFRRATE + 3.920%) due 8/12/33(b)(c) | | | | | 1,474,765 | | |
| | | 5,160,000 | | | | UDR Inc., Company Guaranteed Notes, 3.200% due 1/15/30 | | | | | 4,543,972 | | |
| | | 423,000 | | | | Unifin Financiera SAB de CV, Junior Subordinated Notes, 8.875% (5-Year CMT Index + 6.308%)(d)(e)(f) | | | | | 423 | | |
| | | | | | | United Overseas Bank Ltd., Subordinated Notes: | | | | | | | |
| | | 200,000 | | | | 1.750% (5-Year CMT Index + 1.520%) due 3/16/31(b) | | | | | 179,646 | | |
| | | 200,000 | | | | 2.000% (5-Year CMT Index + 1.230%) due 10/14/31(b) | | | | | 176,902 | | |
| | | 45,000 | | | | Uniti Group LP/Uniti Group Finance Inc./CSL Capital LLC, Senior Secured Notes, 10.500% due 2/15/28(c) | | | | | 44,894 | | |
| | | 6,006,000 | | | | US Bancorp, Subordinated Notes, 2.491% (5-Year CMT Index + 0.950%) due 11/3/36(b) | | | | | 4,426,160 | | |
| | | 5,650,000 | | | | Ventas Realty LP, Company Guaranteed Notes, 3.850% due 4/1/27 | | | | | 5,293,156 | | |
| | | | | | | VICI Properties LP, Senior Unsecured Notes: | | | | | | | |
| | | 270,000 | | | | 4.950% due 2/15/30 | | | | | 253,962 | | |
| | | 470,000 | | | | 5.125% due 5/15/32 | | | | | 435,605 | | |
| | | | | | | Wells Fargo & Co., Senior Unsecured Notes: | | | | | | | |
| | | 620,000 | | | | 3.000% due 4/22/26 | | | | | 581,162 | | |
| | | 395,000 | | | | 3.908% (SOFRRATE + 1.320%) due 4/25/26(b) | | | | | 381,878 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 1,130,000 | | | | 3.526% (SOFRRATE + 1.510%) due 3/24/28(b) | | | | $ | 1,051,378 | | |
| | | 685,000 | | | | 3.584% (3-Month TSFR + 1.572%) due 5/22/28(b) | | | | | 635,944 | | |
| | | 710,000 | | | | 4.808% (SOFRRATE + 1.980%) due 7/25/28(b) | | | | | 688,683 | | |
| | | 845,000 | | | | 5.574% (SOFRRATE + 1.740%) due 7/25/29(b) | | | | | 841,500 | | |
| | | 615,000 | | | | 3.350% (SOFRRATE + 1.500%) due 3/2/33(b) | | | | | 517,900 | | |
| | | 260,000 | | | | 4.897% (SOFRRATE + 2.100%) due 7/25/33(b) | | | | | 244,644 | | |
| | | 5,955,000 | | | | 5.389% (SOFRRATE + 2.020%) due 4/24/34(b) | | | | | 5,800,215 | | |
| | | 230,000 | | | | 5.013% (3-Month TSFR + 4.502%) due 4/4/51(b) | | | | | 207,684 | | |
| | | | | | | Welltower OP LLC, Company Guaranteed Notes: | | | | | | | |
| | | 760,000 | | | | 2.050% due 1/15/29 | | | | | 636,852 | | |
| | | 5,725,000 | | | | 2.750% due 1/15/32 | | | | | 4,628,649 | | |
| | | 745,000 | | | | Westpac Banking Corp., Subordinated Notes, 3.020% (5-Year CMT Index + 1.530%) due 11/18/36(b) | | | | | 570,723 | | |
| | | 650,000 | | | | Willis North America Inc., Company Guaranteed Notes, 2.950% due 9/15/29 | | | | | 563,500 | | |
| | | | | | | XHR LP, Senior Secured Notes: | | | | | | | |
| | | 100,000 | | | | 6.375% due 8/15/25(c) | | | | | 98,799 | | |
| | | 295,000 | | | | 4.875% due 6/1/29(c) | | | | | 255,239 | | |
| | | | | | | Total Financial | | | | | 201,378,453 | | |
| Industrial – 0.9% | | ||||||||||||
| | | | | | | Advanced Drainage Systems Inc., Company Guaranteed Notes: | | | | | | | |
| | | 130,000 | | | | 5.000% due 9/30/27(c) | | | | | 124,150 | | |
| | | 50,000 | | | | 6.375% due 6/15/30(c) | | | | | 49,252 | | |
| | | 200,000 | | | | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, Senior Unsecured Notes, 4.000% due 9/1/29(c) | | | | | 162,560 | | |
| | | 525,000 | | | | Arrow Electronics Inc., Senior Unsecured Notes, 3.875% due 1/12/28 | | | | | 485,954 | | |
| | | 267,172 | | | | Bioceanico Sovereign Certificate Ltd., Senior Secured Notes, zero coupon, due 6/5/34 | | | | | 188,461 | | |
| | | | | | | Boeing Co., Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 5.040% due 5/1/27 | | | | | 494,496 | | |
| | | 745,000 | | | | 2.950% due 2/1/30 | | | | | 644,934 | | |
| | | 160,000 | | | | 5.150% due 5/1/30 | | | | | 157,414 | | |
| | | 140,000 | | | | Bombardier Inc., Senior Unsecured Notes, 7.875% due 4/15/27(c) | | | | | 139,638 | | |
| | | | | | | Builders FirstSource Inc., Company Guaranteed Notes: | | | | | | | |
| | | 140,000 | | | | 5.000% due 3/1/30(c) | | | | | 128,601 | | |
| | | 90,000 | | | | 4.250% due 2/1/32(c) | | | | | 76,515 | | |
| | | 100,000 | | | | 6.375% due 6/15/32(c) | | | | | 97,494 | | |
| | | | | | | Cemex SAB de CV, Subordinated Notes: | | | | | | | |
| | | 200,000 | | | | 5.125% (5-Year CMT Index + 4.534%)(b)(f) | | | | | 185,584 | | |
| | | 200,000 | | | | 9.125% (5-Year CMT Index + 5.157%)(b)(c)(f) | | | | | 208,936 | | |
| | | 45,000 | | | | Clean Harbors Inc., Company Guaranteed Notes, 5.125% due 7/15/29(c) | | | | | 42,593 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 55,000 | | | | Clydesdale Acquisition Holdings Inc., Senior Secured Notes, 6.625% due 4/15/29(c) | | | | $ | 52,335 | | |
| | | 100,000 | | | | Coherent Corp., Company Guaranteed Notes, 5.000% due 12/15/29(c) | | | | | 88,820 | | |
| | | 100,000 | | | | Cornerstone Building Brands Inc., Company Guaranteed Notes, 6.125% due 1/15/29(c) | | | | | 81,185 | | |
| | | 870,000 | | | | CSX Corp., Senior Unsecured Notes, 3.350% due 9/15/49 | | | | | 617,072 | | |
| | | 1,115,000 | | | | DAE Funding LLC, Company Guaranteed Notes, 1.550% due 8/1/24(c) | | | | | 1,063,815 | | |
| | | 95,000 | | | | Eaton Corp., Company Guaranteed Notes, 4.350% due 5/18/28 | | | | | 93,278 | | |
| | | 60,000 | | | | Energizer Holdings Inc., Company Guaranteed Notes, 6.500% due 12/31/27(c) | | | | | 57,967 | | |
| | | 120,000 | | | | Fortress Transportation & Infrastructure Investors LLC, Company Guaranteed Notes, 5.500% due 5/1/28(c) | | | | | 111,470 | | |
| | | 50,000 | | | | GrafTech Finance Inc., Senior Secured Notes, 4.625% due 12/15/28(c) | | | | | 39,250 | | |
| | | 115,000 | | | | Griffon Corp., Company Guaranteed Notes, 5.750% due 3/1/28 | | | | | 107,180 | | |
| | | 140,000 | | | | Ingersoll Rand Inc., Senior Unsecured Notes, 5.700% due 8/14/33 | | | | | 141,961 | | |
| | | 675,000 | | | | Jacobs Engineering Group Inc., Company Guaranteed Notes, 5.900% due 3/1/33 | | | | | 667,836 | | |
| | | 75,000 | | | | JELD-WEN Inc., Company Guaranteed Notes, 4.875% due 12/15/27(c) | | | | | 66,748 | | |
| | | 90,323 | | | | Lima Metro Line 2 Finance Ltd., Senior Secured Notes, 5.875% due 7/5/34 | | | | | 88,596 | | |
| | | | | | | Madison IAQ LLC: | | | | | | | |
| | | 70,000 | | | | Senior Secured Notes, 4.125% due 6/30/28(c) | | | | | 61,931 | | |
| | | 150,000 | | | | Senior Unsecured Notes, 5.875% due 6/30/29(c) | | | | | 126,300 | | |
| | | 168,118 | | | | MV24 Capital BV, Senior Secured Notes, 6.748% due 6/1/34 | | | | | 151,523 | | |
| | | 520,000 | | | | Northrop Grumman Corp., Senior Unsecured Notes, 5.150% due 5/1/40 | | | | | 498,775 | | |
| | | 775,000 | | | | Otis Worldwide Corp., Senior Unsecured Notes, 2.565% due 2/15/30 | | | | | 662,758 | | |
| | | 100,000 | | | | Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer Inc., Senior Secured Notes, 4.375% due 10/15/28(c) | | | | | 88,750 | | |
| | | 160,000 | | | | Parker-Hannifin Corp., Senior Unsecured Notes, 4.250% due 9/15/27 | | | | | 155,211 | | |
| | | | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes: | | | | | | | |
| | | 375,000 | | | | 5.750% due 5/24/26(c) | | | | | 372,403 | | |
| | | 290,000 | | | | 4.200% due 4/1/27(c) | | | | | 273,042 | | |
| | | 450,000 | | | | 4.400% due 7/1/27(c) | | | | | 424,997 | | |
| | | 170,000 | | | | 6.050% due 8/1/28(c) | | | | | 170,148 | | |
| | | 440,000 | | | | 6.200% due 6/15/30(c) | | | | | 441,971 | | |
| | | | | | | Regal Rexnord Corp., Company Guaranteed Notes: | | | | | | | |
| | | 1,085,000 | | | | 6.050% due 4/15/28(c) | | | | | 1,073,509 | | |
| | | 135,000 | | | | 6.300% due 2/15/30(c) | | | | | 134,405 | | |
| | | 100,000 | | | | Roller Bearing Co. of America Inc., Senior Unsecured Notes, 4.375% due 10/15/29(c) | | | | | 89,467 | | |
| | | 295,000 | | | | RTX Corp., Senior Unsecured Notes, 5.150% due 2/27/33 | | | | | 291,636 | | |
| | | 70,000 | | | | Seaspan Corp., Senior Unsecured Notes, 5.500% due 8/1/29(c) | | | | | 54,408 | | |
| | | 180,000 | | | | Standard Industries Inc., Senior Unsecured Notes, 4.375% due 7/15/30(c) | | | | | 154,299 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 89,000 | | | | Tervita Corp., Secured Notes, 11.000% due 12/1/25(c) | | | | $ | 92,868 | | |
| | | 105,000 | | | | Titan Acquisition Ltd./Titan Co.-Borrower LLC, Senior Unsecured Notes, 7.750% due 4/15/26(c) | | | | | 102,050 | | |
| | | | | | | TransDigm Inc.: | | | | | | | |
| | | | | | | Senior Secured Notes: | | | | | | | |
| | | 220,000 | | | | 6.250% due 3/15/26(c) | | | | | 217,903 | | |
| | | 230,000 | | | | 6.875% due 12/15/30(c) | | | | | 231,518 | | |
| | | 140,000 | | | | Company Guaranteed Notes, 5.500% due 11/15/27 | | | | | 132,863 | | |
| | | 95,000 | | | | Trident TPI Holdings Inc., Company Guaranteed Notes, 12.750% due 12/31/28(c) | | | | | 98,810 | | |
| | | 605,000 | | | | Waste Management Inc., Company Guaranteed Notes, 4.875% due 2/15/29 | | | | | 600,267 | | |
| | | | | | | WRKCo Inc., Company Guaranteed Notes: | | | | | | | |
| | | 550,000 | | | | 3.750% due 3/15/25 | | | | | 533,460 | | |
| | | 5,245,000 | | | | 3.900% due 6/1/28 | | | | | 4,866,708 | | |
| | | 170,000 | | | | XPO Inc., Company Guaranteed Notes, 7.125% due 6/1/31(c) | | | | | 170,904 | | |
| | | | | | | Total Industrial | | | | | 18,736,979 | | |
| Technology – 0.6% | | ||||||||||||
| | | 165,000 | | | | AthenaHealth Group Inc., Senior Unsecured Notes, 6.500% due 2/15/30(c) | | | | | 143,298 | | |
| | | 135,000 | | | | Booz Allen Hamilton Inc., Company Guaranteed Notes, 5.950% due 8/4/33 | | | | | 136,542 | | |
| | | 15,000 | | | | Boxer Parent Co., Inc., Senior Secured Notes, 7.125% due 10/2/25(c) | | | | | 15,019 | | |
| | | | | | | Broadcom Inc., Senior Unsecured Notes: | | | | | | | |
| | | 787,000 | | | | 3.419% due 4/15/33(c) | | | | | 652,129 | | |
| | | 582,000 | | | | 4.926% due 5/15/37(c) | | | | | 524,282 | | |
| | | 40,000 | | | | Castle US Holding Corp., Senior Unsecured Notes, 9.500% due 2/15/28(c) | | | | | 21,800 | | |
| | | | | | | CDW LLC/CDW Finance Corp., Company Guaranteed Notes: | | | | | | | |
| | | 210,000 | | | | 2.670% due 12/1/26 | | | | | 190,358 | | |
| | | 180,000 | | | | 3.569% due 12/1/31 | | | | | 152,203 | | |
| | | 145,000 | | | | Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., Senior Secured Notes, 8.000% due 6/15/29(c) | | | | | 145,942 | | |
| | | 80,000 | | | | Clarivate Science Holdings Corp., Company Guaranteed Notes, 4.875% due 7/1/29(c) | | | | | 69,765 | | |
| | | 155,000 | | | | Dun & Bradstreet Corp., Company Guaranteed Notes, 5.000% due 12/15/29(c) | | | | | 139,109 | | |
| | | 200,000 | | | | Helios Software Holdings Inc./ION Corporate Solutions Finance SARL, Senior Secured Notes, 4.625% due 5/1/28(c) | | | | | 172,000 | | |
| | | 210,000 | | | | Hewlett Packard Enterprise Co., Senior Unsecured Notes, 5.900% due 10/1/24 | | | | | 210,188 | | |
| | | | | | | Intel Corp., Senior Unsecured Notes: | | | | | | | |
| | | 130,000 | | | | 5.125% due 2/10/30 | | | | | 130,230 | | |
| | | 160,000 | | | | 3.250% due 11/15/49 | | | | | 109,145 | | |
| | | 1,580,000 | | | | 5.700% due 2/10/53 | | | | | 1,564,664 | | |
| | | 450,000 | | | | 5.050% due 8/5/62 | | | | | 399,726 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – (continued) | | ||||||||||||
| | | | | | | Marvell Technology Inc., Company Guaranteed Notes: | | ||||||
| | $ | 495,000 | | | | 1.650% due 4/15/26 | | | | $ | 449,219 | | |
| | | 205,000 | | | | 2.450% due 4/15/28 | | | | | 179,788 | | |
| | | 770,000 | | | | Microchip Technology Inc., Senior Unsecured Notes, 2.670% due 9/1/23 | | | | | 770,000 | | |
| | | 455,000 | | | | Microsoft Corp., Senior Unsecured Notes, 2.921% due 3/17/52 | | | | | 322,653 | | |
| | | 520,000 | | | | NetApp Inc., Senior Unsecured Notes, 1.875% due 6/22/25 | | | | | 487,318 | | |
| | | | | | | NVIDIA Corp., Senior Unsecured Notes: | | | | | | | |
| | | 695,000 | | | | 2.850% due 4/1/30 | | | | | 623,758 | | |
| | | 5,000 | | | | 3.500% due 4/1/40 | | | | | 4,162 | | |
| | | 500,000 | | | | NXP BV/NXP Funding LLC, Company Guaranteed Notes, 4.875% due 3/1/24 | | | | | 496,966 | | |
| | | | | | | NXP BV/NXP Funding LLC/NXP USA Inc., Company Guaranteed Notes: | | | | | | | |
| | | 470,000 | | | | 3.875% due 6/18/26 | | | | | 450,237 | | |
| | | 250,000 | | | | 4.300% due 6/18/29 | | | | | 234,117 | | |
| | | | | | | Oracle Corp., Senior Unsecured Notes: | | | | | | | |
| | | 335,000 | | | | 6.150% due 11/9/29 | | | | | 348,716 | | |
| | | 165,000 | | | | 2.950% due 4/1/30 | | | | | 143,024 | | |
| | | 55,000 | | | | 6.250% due 11/9/32 | | | | | 57,567 | | |
| | | 365,000 | | | | 4.900% due 2/6/33 | | | | | 348,663 | | |
| | | 325,000 | | | | 3.800% due 11/15/37 | | | | | 262,092 | | |
| | | 15,000 | | | | 3.600% due 4/1/40 | | | | | 11,352 | | |
| | | 2,509,000 | | | | 3.600% due 4/1/50 | | | | | 1,734,131 | | |
| | | 210,000 | | | | Qorvo Inc., Company Guaranteed Notes, 1.750% due 12/15/24(c) | | | | | 196,946 | | |
| | | 35,000 | | | | Virtusa Corp., Senior Unsecured Notes, 7.125% due 12/15/28(c) | | | | | 28,656 | | |
| | | 635,000 | | | | Workday Inc., Senior Unsecured Notes, 3.700% due 4/1/29 | | | | | 586,755 | | |
| | | | | | | Total Technology | | | | | 12,512,520 | | |
| Utilities – 2.9% | | ||||||||||||
| | | 200,000 | | | | Adani Electricity Mumbai Ltd., Senior Secured Notes, 3.867% due 7/22/31 | | | | | 139,041 | | |
| | | 665,000 | | | | AEP Texas Inc., Senior Unsecured Notes, 3.450% due 1/15/50 | | | | | 459,276 | | |
| | | 450,000 | | | | Alabama Power Co., Senior Unsecured Notes, 3.450% due 10/1/49 | | | | | 319,299 | | |
| | | 155,000 | | | | Arizona Public Service Co., Senior Unsecured Notes, 5.550% due 8/1/33 | | | | | 155,139 | | |
| | | | | | | Berkshire Hathaway Energy Co., Senior Unsecured Notes: | | | | | | | |
| | | 610,000 | | | | 6.125% due 4/1/36 | | | | | 638,418 | | |
| | | 1,100,000 | | | | 5.950% due 5/15/37 | | | | | 1,118,744 | | |
| | | 50,000 | | | | 4.600% due 5/1/53 | | | | | 41,196 | | |
| | | 155,000 | | | | Boston Gas Co., Senior Unsecured Notes, 3.757% due 3/16/32(c) | | | | | 134,416 | | |
| | | 800,000 | | | | Brooklyn Union Gas Co., Senior Unsecured Notes, 4.866% due 8/5/32(c) | | | | | 735,248 | | |
| | | | | | | Calpine Corp.: | | | | | | | |
| | | 95,000 | | | | Senior Secured Notes, 4.500% due 2/15/28(c) | | | | | 87,944 | | |
| | | 75,000 | | | | Senior Unsecured Notes, 4.625% due 2/1/29(c) | | | | | 65,175 | | |
| | | 200,000 | | | | Chile Electricity PEC SpA, Senior Secured Notes, zero coupon, due 1/25/28(c) | | | | | 155,644 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 150,000 | | | | Clearway Energy Operating LLC, Company Guaranteed Notes, 4.750% due 3/15/28(c) | | | | $ | 138,697 | | |
| | | | | | | Cleco Corporate Holdings LLC: | | | | | | | |
| | | 70,000 | | | | Senior Secured Notes, 4.973% due 5/1/46 | | | | | 56,157 | | |
| | | 180,000 | | | | Senior Unsecured Notes, 3.375% due 9/15/29 | | | | | 152,482 | | |
| | | 400,000 | | | | Consolidated Edison Co. of New York Inc., Senior Unsecured Notes, 3.200% due 12/1/51 | | | | | 267,976 | | |
| | | | | | | Dominion Energy Inc., Senior Unsecured Notes: | | | | | | | |
| | | 3,215,000 | | | | 3.375% due 4/1/30 | | | | | 2,834,942 | | |
| | | 1,185,000 | | | | 5.375% due 11/15/32 | | | | | 1,166,642 | | |
| | | 30,000 | | | | 6.300% due 3/15/33 | | | | | 31,358 | | |
| | | | | | | DTE Energy Co., Senior Unsecured Notes: | | | | | | | |
| | | 325,000 | | | | step bond to yield, 4.220% due 11/1/24 | | | | | 318,764 | | |
| | | 645,000 | | | | 4.875% due 6/1/28 | | | | | 630,687 | | |
| | | | | | | Duke Energy Carolinas LLC, 1st Mortgage Notes: | | | | | | | |
| | | 1,225,000 | | | | 5.300% due 2/15/40 | | | | | 1,192,935 | | |
| | | 255,000 | | | | 3.550% due 3/15/52 | | | | | 185,442 | | |
| | | | | | | Duke Energy Corp., Senior Unsecured Notes: | | | | | | | |
| | | 4,000,000 | | | | 0.900% due 9/15/25 | | | | | 3,651,543 | | |
| | | 1,030,000 | | | | 2.650% due 9/1/26 | | | | | 952,982 | | |
| | | 165,000 | | | | 2.450% due 6/1/30 | | | | | 137,252 | | |
| | | 1,455,000 | | | | 2.550% due 6/15/31 | | | | | 1,188,404 | | |
| | | 450,000 | | | | 4.500% due 8/15/32 | | | | | 418,746 | | |
| | | 155,000 | | | | 5.000% due 8/15/52 | | | | | 135,847 | | |
| | | 75,000 | | | | Duke Energy Ohio Inc., 1st Mortgage Notes, 5.250% due 4/1/33 | | | | | 75,181 | | |
| | | 430,000 | | | | Edison International, Senior Unsecured Notes, 5.250% due 11/15/28 | | | | | 419,801 | | |
| | | 156,450 | | | | Empresa Electrica Angamos SA, Senior Secured Notes, 4.875% due 5/25/29 | | | | | 141,001 | | |
| | | 120,160 | | | | Empresa Electrica Cochrane SpA, Senior Secured Notes, 5.500% due 5/14/27 | | | | | 111,749 | | |
| | | 200,000 | | | | Empresas Publicas de Medellin ESP, Senior Unsecured Notes, 4.375% due 2/15/31 | | | | | 155,239 | | |
| | | 445,000 | | | | Enel Finance International NV, Senior Unsecured Notes, 5.000% due 6/15/32(c) | | | | | 416,120 | | |
| | | | | | | Entergy Louisiana LLC, 1st Mortgage Notes: | | | | | | | |
| | | 1,100,000 | | | | 4.950% due 1/15/45 | | | | | 971,483 | | |
| | | 210,000 | | | | 4.750% due 9/15/52 | | | | | 182,437 | | |
| | | 915,000 | | | | Essential Utilities Inc., Senior Unsecured Notes, 3.351% due 4/15/50 | | | | | 607,003 | | |
| | | 780,000 | | | | Evergy Inc., Senior Unsecured Notes, 2.900% due 9/15/29 | | | | | 678,624 | | |
| | | | | | | Eversource Energy, Senior Unsecured Notes: | | | | | | | |
| | | 165,000 | | | | 4.750% due 5/15/26 | | | | | 162,348 | | |
| | | 150,000 | | | | 5.450% due 3/1/28 | | | | | 150,503 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 960,000 | | | | 5.125% due 5/15/33 | | | | $ | 928,888 | | |
| | | | | | | Exelon Corp., Senior Unsecured Notes: | | | | | | | |
| | | 915,000 | | | | 5.150% due 3/15/28 | | | | | 908,387 | | |
| | | 120,000 | | | | 4.100% due 3/15/52 | | | | | 92,847 | | |
| | | 141,176 | | | | Fenix Power Peru SA, Senior Unsecured Notes, 4.317% due 9/20/27 | | | | | 130,941 | | |
| | | 125,000 | | | | Florida Power & Light Co., 1st Mortgage Notes, 5.100% due 4/1/33 | | | | | 125,001 | | |
| | | | | | | Georgia Power Co., Senior Unsecured Notes: | | | | | | | |
| | | 205,000 | | | | 4.650% due 5/16/28 | | | | | 199,911 | | |
| | | 415,000 | | | | 4.700% due 5/15/32 | | | | | 396,220 | | |
| | | 290,000 | | | | 4.950% due 5/17/33 | | | | | 280,602 | | |
| | | 380,000 | | | | ITC Holdings Corp., Senior Unsecured Notes, 2.950% due 5/14/30(c) | | | | | 324,781 | | |
| | | 168,000 | | | | JSW Hydro Energy Ltd., Senior Secured Notes, 4.125% due 5/18/31 | | | | | 141,691 | | |
| | | 270,000 | | | | Kentucky Utilities Co., 1st Mortgage Notes, 5.450% due 4/15/33 | | | | | 272,716 | | |
| | | 275,000 | | | | KeySpan Gas East Corp., Senior Unsecured Notes, 5.994% due 3/6/33(c) | | | | | 272,989 | | |
| | | 90,000 | | | | Leeward Renewable Energy Operations LLC, Company Guaranteed Notes, 4.250% due 7/1/29(c) | | | | | 78,240 | | |
| | | 643,680 | | | | LLPL Capital Pte Ltd., Senior Secured Notes, 6.875% due 2/4/39(c) | | | | | 567,723 | | |
| | | 195,000 | | | | Louisville Gas & Electric Co., 1st Mortgage Notes, 5.450% due 4/15/33 | | | | | 197,181 | | |
| | | 400,000 | | | | Mercury Chile Holdco LLC, Senior Secured Notes, 6.500% due 1/24/27(c) | | | | | 369,923 | | |
| | | 500,000 | | | | Minejesa Capital BV, Senior Secured Notes, 5.625% due 8/10/37 | | | | | 392,419 | | |
| | | 250,000 | | | | Mong Duong Finance Holdings BV, Senior Secured Notes, 5.125% due 5/7/29 | | | | | 225,520 | | |
| | | 330,000 | | | | Monongahela Power Co., 1st Mortgage Notes, 5.400% due 12/15/43(c) | | | | | 309,121 | | |
| | | 135,000 | | | | National Grid PLC, Senior Unsecured Notes, 5.602% due 6/12/28 | | | | | 135,288 | | |
| | | | | | | National Rural Utilities Cooperative Finance Corp.: | | | | | | | |
| | | | | | | Secured Notes: | | | | | | | |
| | | 615,000 | | | | 4.150% due 12/15/32 | | | | | 561,872 | | |
| | | 140,000 | | | | 5.800% due 1/15/33 | | | | | 144,507 | | |
| | | 130,000 | | | | Senior Unsecured Notes, 4.800% due 3/15/28 | | | | | 128,545 | | |
| | | | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes: | | | | | | | |
| | | 290,000 | | | | 4.255% due 9/1/24 | | | | | 285,389 | | |
| | | 95,000 | | | | 6.051% due 3/1/25 | | | | | 95,375 | | |
| | | 1,125,000 | | | | 4.625% due 7/15/27 | | | | | 1,097,119 | | |
| | | 1,455,000 | | | | 2.250% due 6/1/30 | | | | | 1,196,031 | | |
| | | 135,000 | | | | 5.050% due 2/28/33 | | | | | 130,659 | | |
| | | | | | | NiSource Inc., Senior Unsecured Notes: | | | | | | | |
| | | 1,619,000 | | | | 3.600% due 5/1/30 | | | | | 1,450,981 | | |
| | | 50,000 | | | | 5.400% due 6/30/33 | | | | | 49,522 | | |
| | | 200,000 | | | | NRG Energy Inc., Company Guaranteed Notes, 3.625% due 2/15/31(c) | | | | | 156,086 | | |
| | | 410,000 | | | | Oglethorpe Power Corp., 1st Mortgage Notes, 5.050% due 10/1/48 | | | | | 353,328 | | |
| | | 200,000 | | | | Ohio Edison Co., Senior Unsecured Notes, 5.500% due 1/15/33(c) | | | | | 197,840 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 480,000 | | | | Ohio Power Co., Senior Unsecured Notes, 5.000% due 6/1/33 | | | | $ | 467,775 | | |
| | | 2,855,000 | | | | Oklahoma Gas & Electric Co., Senior Unsecured Notes, 5.600% due 4/1/53 | | | | | 2,838,537 | | |
| | | | | | | Pacific Gas & Electric Co.: | | | | | | | |
| | | | | | | 1st Mortgage Notes: | | | | | | | |
| | | 1,385,000 | | | | 5.450% due 6/15/27 | | | | | 1,354,107 | | |
| | | 205,000 | | | | 6.100% due 1/15/29 | | | | | 202,593 | | |
| | | 665,000 | | | | 4.550% due 7/1/30 | | | | | 598,010 | | |
| | | 1,925,000 | | | | 2.500% due 2/1/31 | | | | | 1,502,182 | | |
| | | 470,000 | | | | 6.150% due 1/15/33 | | | | | 457,706 | | |
| | | 930,000 | | | | 6.400% due 6/15/33 | | | | | 917,314 | | |
| | | 525,000 | | | | 4.950% due 7/1/50 | | | | | 405,943 | | |
| | | 135,000 | | | | 6.750% due 1/15/53 | | | | | 131,213 | | |
| | | 610,000 | | | | Senior Secured Notes, 3.250% due 6/1/31 | | | | | 494,524 | | |
| | | 170,000 | | | | Pike Corp., Company Guaranteed Notes, 5.500% due 9/1/28(c) | | | | | 152,984 | | |
| | | 150,000 | | | | PPL Capital Funding Inc., Company Guaranteed Notes, 4.125% due 4/15/30 | | | | | 137,850 | | |
| | | | | | | Puget Energy Inc., Senior Secured Notes: | | | | | | | |
| | | 535,000 | | | | 3.650% due 5/15/25 | | | | | 513,525 | | |
| | | 230,000 | | | | 4.100% due 6/15/30 | | | | | 205,714 | | |
| | | 625,000 | | | | Sempra, Senior Unsecured Notes, 3.400% due 2/1/28 | | | | | 578,348 | | |
| | | 288,278 | | | | Southaven Combined Cycle Generation LLC, Secured Notes, 3.846% due 8/15/33 | | | | | 263,878 | | |
| | | | | | | Southern California Edison Co., 1st Mortgage Notes: | | | | | | | |
| | | 580,000 | | | | 4.900% due 6/1/26 | | | | | 576,393 | | |
| | | 155,000 | | | | 5.850% due 11/1/27 | | | | | 158,657 | | |
| | | 230,000 | | | | 5.300% due 3/1/28 | | | | | 230,859 | | |
| | | 130,000 | | | | 2.850% due 8/1/29 | | | | | 114,370 | | |
| | | 325,000 | | | | 2.250% due 6/1/30 | | | | | 269,969 | | |
| | | 545,000 | | | | 4.125% due 3/1/48 | | | | | 429,527 | | |
| | | 5,000,000 | | | | 4.875% due 3/1/49 | | | | | 4,340,553 | | |
| | | | | | | Southern California Gas Co., 1st Mortgage Notes: | | | | | | | |
| | | 555,000 | | | | 5.200% due 6/1/33 | | | | | 545,004 | | |
| | | 5,955,000 | | | | 5.750% due 6/1/53 | | | | | 5,891,106 | | |
| | | | | | | Southern Co., Senior Unsecured Notes: | | | | | | | |
| | | 535,000 | | | | 4.850% due 6/15/28 | | | | | 523,975 | | |
| | | 1,015,000 | | | | 3.700% due 4/30/30 | | | | | 918,547 | | |
| | | 455,000 | | | | 5.200% due 6/15/33 | | | | | 442,572 | | |
| | | 555,000 | | | | Southwestern Electric Power Co., Senior Unsecured Notes, 5.300% due 4/1/33 | | | | | 543,293 | | |
| | | 665,000 | | | | Virginia Electric & Power Co., Senior Unsecured Notes, 5.000% due 4/1/33 | | | | | 646,746 | | |
| | | 230,000 | | | | Xcel Energy Inc., Senior Unsecured Notes, 4.600% due 6/1/32 | | | | | 214,779 | | |
| | | | | | | Total Utilities | | | | | 60,848,081 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $568,465,067) | | | | $ | 504,244,213 | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS – 21.3% | | ||||||||||||
| | $ | 841,553 | | | | 510 Asset Backed Trust, Series 2021-NPL1, Class A1, step bond to yield, 2.240% due 6/25/61(c)(d) | | | | | 783,288 | | |
| | | 289,468 | | | | Ajax Mortgage Loan Trust, Series 2021-C, Class A, step bond to yield, 2.115% due 1/25/61(c) | | | | | 272,989 | | |
| | | | | | | Alternative Loan Trust: | | | | | | | |
| | | 566,168 | | | | Series 2005-28CB, Class 1A7, 5.500% due 8/25/35 | | | | | 479,262 | | |
| | | 4,979,455 | | | | Series 2005-7CB, Class 2A2, 0.000% (1-Month TSFR + 4.936%) due 3/1/38(b)(h) | | | | | 128,294 | | |
| | | 4,979,455 | | | | Series 2005-7CB, Class 2A5, 5.500% (1-Month TSFR + 0.564%) due 3/1/38(b) | | | | | 3,707,390 | | |
| | | 3,968,682 | | | | Series 2006-OA2, Class A1, 5.848% (1-Month TSFR + 0.534%) due 5/20/46(b) | | | | | 3,320,031 | | |
| | | 2,156,624 | | | | Series 2007-4CB, Class 1A1, 5.750% (1-Month TSFR + 0.714%) due 4/25/37(b) | | | | | 1,657,979 | | |
| | | 6,442,926 | | | | Series 2007-9T1, Class 2A2, 6.000% due 5/25/37 | | | | | 2,965,010 | | |
| | | | | | | Angel Oak Mortgage Trust: | | | | | | | |
| | | 347,581 | | | | Series 2020-R1, Class A1, 0.990% due 4/25/53(b)(c) | | | | | 312,298 | | |
| | | 390,767 | | | | Series 2021-1, Class A1, 0.909% due 1/25/66(b)(c) | | | | | 321,995 | | |
| | | 343,139 | | | | Series 2021-2, Class A1, 0.985% due 4/25/66(b)(c) | | | | | 280,399 | | |
| | | 646,179 | | | | Series 2021-3, Class A1, 1.068% due 5/25/66(b)(c) | | | | | 535,106 | | |
| | | 536,018 | | | | Series 2021-4, Class A1, 1.035% due 1/20/65(b)(c) | | | | | 429,790 | | |
| | | 828,673 | | | | Series 2021-5, Class A1, 0.951% due 7/25/66(b)(c) | | | | | 685,322 | | |
| | | 1,219,283 | | | | Series 2021-6, Class A1, 1.458% due 9/25/66(b)(c) | | | | | 962,233 | | |
| | | 1,401,733 | | | | Series 2022-1, Class A1, step bond to yield, 2.881% due 12/25/66(c) | | | | | 1,229,508 | | |
| | | | | | | Arbor Multifamily Mortgage Securities Trust: | | | | | | | |
| | | 7,965,000 | | | | Series 2020-MF1, Class A5, 2.756% due 5/15/53(c) | | | | | 6,808,241 | | |
| | | 1,485,000 | | | | Series 2021-MF2, Class A5, 2.513% due 6/15/54(c) | | | | | 1,211,302 | | |
| | | 1,920,000 | | | | Series 2021-MF2, Class C, 2.809% due 6/15/54(b)(c) | | | | | 1,303,697 | | |
| | | 2,550,000 | | | | Series 2022-MF4, Class A5, 3.403% due 2/15/55(b)(c) | | | | | 2,199,457 | | |
| | | 2,600,000 | | | | Series 2022-MF4, Class B, 3.403% due 2/15/55(b)(c) | | | | | 2,040,055 | | |
| | | 500,000 | | | | BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class C, 6.708% (1-Month TSFR + 1.397%) due 9/15/34(b)(c) | | | | | 496,280 | | |
| | | | | | | BANK: | | | | | | | |
| | | 10,059,985 | | | | Series 2017-BNK4, Class XA, 1.499% due 5/15/50(b)(h) | | | | | 372,211 | | |
| | | 15,475,675 | | | | Series 2018-BN10, Class XA, 0.835% due 2/15/61(b)(h) | | | | | 385,415 | | |
| | | 7,540,000 | | | | Series 2020-BN30, Class A4, 1.925% due 12/15/53 | | | | | 5,831,784 | | |
| | | 6,449,686 | | | | Series 2022-BNK39, Class XA, 0.533% due 2/15/55(b)(h) | | | | | 176,679 | | |
| | | 1,691,473 | | | | Series 2023-BNK45, Class XA, 1.204% due 2/15/56(b)(h) | | | | | 110,452 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 5,310,000 | | | | Series 2023-BNK46, Class A4, 5.745% due 8/15/56 | | | | $ | 5,417,497 | | |
| | | | | | | BBCMS Mortgage Trust: | | | |||||
| | | 1,236,000 | | | | Series 2018-TALL, Class F, 8.743% (1-Month TSFR + 3.432%) due 3/15/37(b)(c) | | | | | 586,588 | | |
| | | 1,800,000 | | | | Series 2020-C6, Class A4, 2.639% due 2/15/53 | | | | | 1,520,885 | | |
| | | 1,469,354 | | | | Series 2020-C7, Class XA, 1.732% due 4/15/53(b)(h) | | | | | 96,830 | | |
| | | 305,000 | | | | Series 2022-C15, Class A5, 3.662% due 4/15/55(b) | | | | | 267,685 | | |
| | | 280,000 | | | | Series 2022-C16, Class A5, 4.600% due 6/15/55(b) | | | | | 263,845 | | |
| | | 365,000 | | | | Series 2022-C18, Class A4, 5.439% due 12/15/55(b) | | | | | 367,758 | | |
| | | 120,000 | | | | Series 2022-C18, Class A5, 5.710% due 12/15/55(b) | | | | | 122,397 | | |
| | | 2,040,027 | | | | Bear Stearns ALT-A Trust, Series 2006-1, Class 21A2, 4.126% due 2/25/36(b) | | | | | 1,425,865 | | |
| | | | | | | Benchmark Mortgage Trust: | | | | | | | |
| | | 1,835,000 | | | | Series 2019-B15, Class A5, 2.928% due 12/15/72 | | | | | 1,542,143 | | |
| | | 2,362,570 | | | | Series 2020-B22, Class XA, 1.627% due 1/15/54(b)(h) | | | | | 195,012 | | |
| | | 6,232,276 | | | | Series 2023-B39, Class XA, 0.724% due 7/15/56(b)(h) | | | | | 257,976 | | |
| | | 397,396 | | | | BINOM Securitization Trust, Series 2021-INV1, Class A1, 2.034% due 6/25/56(b)(c) | | | | | 338,579 | | |
| | | | | | | BRAVO Residential Funding Trust: | | | | | | | |
| | | 1,028,373 | | | | Series 2021-C, Class A1, step bond to yield, 1.620% due 3/1/61(c) | | | | | 920,159 | | |
| | | 223,620 | | | | Series 2021-NQM1, Class A1, 0.941% due 2/25/49(b)(c) | | | | | 195,020 | | |
| | | 191,519 | | | | Series 2021-NQM2, Class A1, 0.970% due 3/25/60(b)(c) | | | | | 177,874 | | |
| | | 4,700,000 | | | | Series 2023-NQM5, Class A1, step bond to yield, 6.505% due 6/25/63(c) | | | | | 4,701,813 | | |
| | | 1,265,943 | | | | BX, Series 2021-MFM1, Class D, 6.924% (1-Month TSFR + 1.614%) due 1/15/34(b)(c) | | | | | 1,234,526 | | |
| | | | | | | BX Commercial Mortgage Trust: | | | | | | | |
| | | 544,000 | | | | Series 2019-XL, Class D, 6.875% (1-Month TSFR + 1.564%) due 10/15/36(b)(c) | | | | | 539,183 | | |
| | | 1,819,000 | | | | Series 2019-XL, Class E, 7.225% (1-Month TSFR + 1.914%) due 10/15/36(b)(c) | | | | | 1,800,594 | | |
| | | 3,145,000 | | | | Series 2019-XL, Class F, 7.425% (1-Month TSFR + 2.114%) due 10/15/36(b)(c) | | | | | 3,109,199 | | |
| | | 500,000 | | | | Series 2021-CIP, Class A, 6.345% (1-Month TSFR + 1.035%) due 12/15/38(b)(c) | | | | | 489,649 | | |
| | | 2,900,000 | | | | Series 2021-VOLT, Class C, 6.525% (1-Month TSFR + 1.214%) due 9/15/36(b)(c) | | | | | 2,772,622 | | |
| | | 536,000 | | | | Series 2021-VOLT, Class E, 7.425% (1-Month TSFR + 2.114%) due 9/15/36(b)(c) | | | | | 507,751 | | |
| | | | | | | BX Trust: | | | | | | | |
| | | 1,529,000 | | | | Series 2019-OC11, Class E, 4.075% due 12/9/41(b)(c) | | | | | 1,244,427 | | |
| | | 1,400,000 | | | | Series 2021-ARIA, Class A, 6.324% (1-Month TSFR + 1.014%) due 10/15/36(b)(c) | | | | | 1,363,985 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,265,000 | | | | Series 2022-GPA, Class C, 8.523% (1-Month TSFR + 3.213%) due 8/15/42(b)(c) | | | | $ | 1,262,619 | | |
| | | | | | | CAMB Commercial Mortgage Trust: | | | | | | | |
| | | 851,000 | | | | Series 2019-LIFE, Class A, 6.495% (1-Month TSFR + 1.184%) due 12/15/37(b)(c) | | | | | 846,695 | | |
| | | 5,900,000 | | | | Series 2021-CX2, Class C, 2.864% due 11/10/46(b)(c) | | | | | 4,387,241 | | |
| | | 258,478 | | | | Cascade MH Asset Trust, Series 2021-MH1, Class A1, 1.753% due 2/25/46(c) | | | | | 219,790 | | |
| | | 15,902,736 | | | | CD Mortgage Trust, Series 2017-CD4, Class XA, 1.379% due 5/10/50(b)(h) | | | | | 536,881 | | |
| | | 1,834,000 | | | | CGDB Commercial Mortgage Trust, Series 2019-MOB, Class E, 7.425% (1-Month TSFR + 2.114%) due 11/15/36(b)(c) | | | | | 1,744,910 | | |
| | | | | | | CIM Trust: | | | | | | | |
| | | 1,062,335 | | | | Series 2021-R6, Class A1, 1.425% due 7/25/61(b)(c) | | | | | 905,687 | | |
| | | 5,259,515 | | | | Series 2023-R2, Class A1, 5.500% due 8/25/64(b)(c) | | | | | 5,205,172 | | |
| | | | | | | Citigroup Commercial Mortgage Trust: | | | | | | | |
| | | 1,415,000 | | | | Series 2015-GC31, Class A4, 3.762% due 6/10/48 | | | | | 1,349,131 | | |
| | | 31,184,515 | | | | Series 2015-GC35, Class XA, 0.859% due 11/10/48(b)(h) | | | | | 371,167 | | |
| | | 805,000 | | | | Series 2016-P4, Class B, 3.377% due 7/10/49 | | | | | 702,376 | | |
| | | 7,640,000 | | | | Series 2019-GC43, Class A4, 3.038% due 11/10/52 | | | | | 6,514,070 | | |
| | | 2,850,000 | | | | Series 2023-SMRT, Class B, 6.048% due 6/10/28(b)(c) | | | | | 2,778,313 | | |
| | | | | | | COLT Mortgage Loan Trust: | | | | | | | |
| | | 565,132 | | | | Series 2021-1, Class A1, 0.910% due 6/25/66(b)(c) | | | | | 453,426 | | |
| | | 544,783 | | | | Series 2021-2, Class A1, 0.924% due 8/25/66(b)(c) | | | | | 417,075 | | |
| | | 155,725 | | | | Series 2021-2R, Class A1, 0.798% due 7/27/54(c) | | | | | 135,487 | | |
| | | 985,855 | | | | Series 2021-3, Class A1, 0.956% due 9/27/66(b)(c) | | | | | 761,940 | | |
| | | 1,309,707 | | | | Series 2021-HX1, Class A1, 1.110% due 10/25/66(b)(c) | | | | | 1,052,474 | | |
| | | 1,376,654 | | | | Series 2022-1, Class A1, 2.284% due 12/27/66(b)(c) | | | | | 1,175,869 | | |
| | | | | | | Commercial Mortgage Trust: | | | | | | | |
| | | 1,050,000 | | | | Series 2015-CR23, Class A4, 3.497% due 5/10/48 | | | | | 1,004,892 | | |
| | | 3,035,000 | | | | Series 2020-CX, Class A, 2.173% due 11/10/46(c) | | | | | 2,368,971 | | |
| | | 2,615,000 | | | | Series 2020-CX, Class B, 2.446% due 11/10/46(c) | | | | | 2,037,148 | | |
| | | 1,150,000 | | | | Series 2020-CX, Class C, 2.773% due 11/10/46(b)(c) | | | | | 886,149 | | |
| | | 3,750,000 | | | | Series 2020-SBX, Class C, 2.056% due 1/10/38(b)(c) | | | | | 3,145,886 | | |
| | | 203,000 | | | | Series 2022-HC, Class A, 2.819% due 1/10/39(c) | | | | | 169,314 | | |
| | | 300,000 | | | | Series 2022-HC, Class C, 3.376% due 1/10/39(c) | | | | | 236,896 | | |
| | | | | | | Connecticut Avenue Securities Trust: | | | | | | | |
| | | 138,807 | | | | Series 2022-R08, Class 1M1, 7.838% (SOFR30A + 2.550%) due 7/25/42(b)(c) | | | | | 141,441 | | |
| | | 347,010 | | | | Series 2023-R03, Class 2M1, 7.788% (SOFR30A + 2.500%) due 4/25/43(b)(c) | | | | | 350,699 | | |
| | | 238,955 | | | | Series 2023-R04, Class 1M1, 7.596% (SOFR30A + 2.300%) due 5/25/43(b)(c) | | | | | 242,696 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 695,929 | | | | Series 2023-R05, Class 1M1, 7.196% (SOFR30A + 1.900%) due 6/25/43(b)(c) | | | | $ | 698,977 | | |
| | | 322,296 | | | | Series 2023-R06, Class 1M1, 6.988% (SOFR30A + 1.700%) due 7/25/43(b)(c) | | | | | 322,296 | | |
| | | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | | | | |
| | | 1,233,210 | | | | Series 2018-RPL9, Class A, 3.850% due 9/25/57(b)(c) | | | | | 1,149,468 | | |
| | | 418,248 | | | | Series 2021-AFC1, Class A1, 0.830% due 3/25/56(b)(c) | | | | | 313,425 | | |
| | | 504,354 | | | | Series 2021-NQM5, Class A1, 0.938% due 5/25/66(b)(c) | | | | | 389,233 | | |
| | | 3,073,946 | | | | Series 2021-RPL3, Class A1, 2.000% due 1/25/60(b)(c) | | | | | 2,612,234 | | |
| | | 356,882 | | | | Series 2021-RPL4, Class A1, 1.796% due 12/27/60(b)(c) | | | | | 335,998 | | |
| | | | | | | Credit Suisse Mortgage Capital Certificates: | | | | | | | |
| | | 109,727 | | | | Series 2019-ICE4, Class D, 6.958% (1-Month TSFR + 1.647%) due 5/15/36(b)(c) | | | | | 108,979 | | |
| | | 5,494,331 | | | | Series 2019-ICE4, Class E, 7.508% (1-Month TSFR + 2.197%) due 5/15/36(b)(c) | | | | | 5,442,840 | | |
| | | | | | | CSAIL Commercial Mortgage Trust: | | | | | | | |
| | | 1,985,982 | | | | Series 2015-C4, Class A3, 3.544% due 11/15/48 | | | | | 1,910,328 | | |
| | | 824,000 | | | | Series 2016-C7, Class B, 4.473% due 11/15/49(b) | | | | | 724,553 | | |
| | | 1,205,000 | | | | Series 2018-C14, Class C, 5.064% due 11/15/51(b) | | | | | 924,924 | | |
| | | 1,373,937 | | | | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5A6, 5.500% due 10/25/35 | | | | | 742,701 | | |
| | | | | | | CSMC: | | | | | | | |
| | | 1,012,265 | | | | Series 2010-8R, Class 5A11, 4.521% due 2/26/37(b)(c) | | | | | 948,967 | | |
| | | 538,732 | | | | Series 2020-NET, Class A, 2.257% due 8/15/37(c) | | | | | 485,561 | | |
| | | 183,000 | | | | Series 2021-B33, Class A1, 3.053% due 10/10/43(c) | | | | | 151,592 | | |
| | | 650,000 | | | | Series 2021-B33, Class A2, 3.167% due 10/10/43(c) | | | | | 473,575 | | |
| | | 176,361 | | | | Series 2021-NQM1, Class A1, 0.809% due 5/25/65(b)(c) | | | | | 147,000 | | |
| | | 719,018 | | | | Series 2021-NQM2, Class A1, 1.179% due 2/25/66(b)(c) | | | | | 599,572 | | |
| | | 791,937 | | | | Series 2021-NQM4, Class A1, 1.101% due 5/25/66(b)(c) | | | | | 650,428 | | |
| | | 1,377,618 | | | | Series 2021-NQM6, Class A1, 1.174% due 7/25/66(b)(c) | | | | | 1,093,766 | | |
| | | 618,223 | | | | Series 2021-NQM8, Class A1, 1.841% due 10/25/66(b)(c) | | | | | 510,255 | | |
| | | 1,488,156 | | | | Series 2022-NQM1, Class A1, 2.265% due 11/25/66(b)(c) | | | | | 1,242,035 | | |
| | | 3,545,399 | | | | DBGS Mortgage Trust, Series 2018-BIOD, Class E, 7.306% (1-Month TSFR + 1.996%) due 5/15/35(b)(c) | | | | | 3,468,374 | | |
| | | | | | | DBJPM Mortgage Trust: | | | | | | | |
| | | 21,195,000 | | | | Series 2017-C6, Class XB, 0.335% due 6/10/50(b)(h) | | | | | 228,809 | | |
| | | 2,221,416 | | | | Series 2020-C9, Class XA, 1.824% due 9/15/53(b)(h) | | | | | 135,702 | | |
| | | 610,000 | | | | DC Office Trust, Series 2019-MTC, Class A, 2.965% due 9/15/45(c) | | | | | 491,893 | | |
| | | | | | | Deephaven Residential Mortgage Trust: | | | | | | | |
| | | 120,128 | | | | Series 2021-1, Class A1, 0.715% due 5/25/65(b)(c) | | | | | 109,534 | | |
| | | 228,834 | | | | Series 2021-2, Class A1, 0.899% due 4/25/66(b)(c) | | | | | 196,519 | | |
| | | 6,724,737 | | | | Series 2022-2, Class A1, 4.300% due 3/25/67(b)(c) | | | | | 6,243,334 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 4,336,939 | | | | DSLA Mortgage Loan Trust, Series 2005-AR4, Class 1A, 5.948% (1-Month TSFR + 0.634%) due 8/19/45(b) | | | | $ | 3,087,012 | | |
| | | | | | | Ellington Financial Mortgage Trust: | | | | | | | |
| | | 87,581 | | | | Series 2021-1, Class A1, 0.797% due 2/25/66(b)(c) | | | | | 72,993 | | |
| | | 230,277 | | | | Series 2021-2, Class A1, 0.931% due 6/25/66(b)(c) | | | | | 183,464 | | |
| | | 880,931 | | | | Series 2021-3, Class A1, 1.241% due 9/25/66(b)(c) | | | | | 677,803 | | |
| | | 691,305 | | | | Series 2022-1, Class A1, 2.206% due 1/25/67(b)(c) | | | | | 570,725 | | |
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC). REMICS: | | | | | | | |
| | | 611,465 | | | | Series 3835, Class FO, 0.000% due 4/15/41(i) | | | | | 483,084 | | |
| | | 1,056,118 | | | | Series 4116, Class AP, 1.350% due 8/15/42 | | | | | 889,066 | | |
| | | 3,952,231 | | | | Series 4223, Class SB, 0.000% (SOFR30A + 5.293%) due 7/15/43(b) | | | | | 2,626,365 | | |
| | | 1,000,000 | | | | Series 4265, Class GL, 3.000% due 4/15/42 | | | | | 844,447 | | |
| | | 712,385 | | | | Series 4447, Class IO, 5.000% due 3/15/45(h) | | | | | 148,363 | | |
| | | 740,651 | | | | Series 4504, Class DZ, 3.500% due 8/15/45 | | | | | 671,321 | | |
| | | 131,491 | | | | Series 4518, Class CZ, 3.500% due 10/15/45 | | | | | 117,071 | | |
| | | 9,371,413 | | | | Series 4655, Class CZ, 3.000% due 2/15/47 | | | | | 7,910,970 | | |
| | | 22,070,486 | | | | Series 4726, Class Z, 3.500% due 10/15/47 | | | | | 19,595,392 | | |
| | | 161,375 | | | | Series 4751, Class PL, 3.000% due 12/15/47 | | | | | 122,061 | | |
| | | 4,346,181 | | | | Series 4892, Class ES, 0.748% (SOFR30A + 6.036%) due 7/25/45(b)(h) | | | | | 423,855 | | |
| | | 357,709 | | | | Series 5018, Class LW, 1.000% due 10/25/40 | | | | | 280,216 | | |
| | | 717,493 | | | | Series 5083, Class AI, 2.500% due 3/25/51(h) | | | | | 101,007 | | |
| | | 1,631,712 | | | | Series 5092, Class WI, 2.500% due 4/25/36(h) | | | | | 162,830 | | |
| | | 877,508 | | | | Series 5169, Class IO, 3.000% due 9/25/51(h) | | | | | 142,058 | | |
| | | 593,609 | | | | Series 5201, Class PA, 2.500% due 3/25/52 | | | | | 518,327 | | |
| | | 159,000 | | | | Series 5228, Class JL, 2.500% due 10/25/41 | | | | | 122,863 | | |
| | | | | | | Federal National Mortgage Association (FNMA), Aces: | | | | | | | |
| | | 32,726,570 | | | | Series 2020-M12, Class IO, 1.404% due 7/25/29(b)(h) | | | | | 1,622,731 | | |
| | | 10,118,880 | | | | Series 2020-M15, Class X1, 1.582% due 9/25/31(b)(h) | | | | | 662,600 | | |
| | | 20,802,316 | | | | Series 2020-M7, Class X2, 1.331% due 3/25/31(b)(h) | | | | | 1,296,887 | | |
| | | 5,807,766 | | | | Series 2022-M4, Class A1X, 2.548% due 5/25/30(b) | | | | | 5,191,231 | | |
| | | 7,133,048 | | | | Series 2022-M5, Class A1, 2.437% due 1/1/34(b) | | | | | 6,309,089 | | |
| | | | | | | Federal National Mortgage Association (FNMA), Interest Strip: | | | | | | | |
| | | 1,216,446 | | | | Series 426, Class C38, 2.000% due 3/25/52(h) | | | | | 154,027 | | |
| | | 781,838 | | | | Series 429, Class C3, 2.500% due 9/25/52(h) | | | | | 122,273 | | |
| | | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | | | | |
| | | 471,000 | | | | Series 2011-142, Class PE, 3.500% due 1/25/42 | | | | | 423,005 | | |
| | | 116,614 | | | | Series 2011-51, Class TO, zero coupon, due 6/25/41(i) | | | | | 85,815 | | |
| | | 649,816 | | | | Series 2012-120, Class ZB, 3.500% due 11/25/42 | | | | | 587,712 | | |
| | | 501,401 | | | | Series 2013-15, Class ZV, 3.000% due 3/25/43 | | | | | 434,670 | | |
| | | 137,606 | | | | Series 2013-2, Class MA, 3.500% due 2/25/43 | | | | | 126,647 | | |
| | | 1,072,000 | | | | Series 2013-62, Class PY, 2.500% due 6/25/43 | | | | | 872,620 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,376,646 | | | | Series 2013-72, Class IW, 3.500% due 7/25/33(h) | | | | $ | 111,943 | | |
| | | 2,823,041 | | | | Series 2014-11, Class KZ, 2.500% due 10/25/41 | | | | | 2,445,646 | | |
| | | 534,810 | | | | Series 2014-95, Class ZC, 3.000% due 1/25/45 | | | | | 457,952 | | |
| | | 590,260 | | | | Series 2015-55, Class PD, 2.500% due 3/25/43 | | | | | 557,201 | | |
| | | 676,051 | | | | Series 2016-3, Class MI, 5.500% due 2/25/46(h) | | | | | 106,499 | | |
| | | 511,152 | | | | Series 2016-43, Class GZ, 3.000% due 7/25/46 | | | | | 427,223 | | |
| | | 786,487 | | | | Series 2017-105, Class ZE, 3.000% due 1/25/48 | | | | | 599,100 | | |
| | | 10,138 | | | | Series 2017-107, Class GA, 3.000% due 8/25/45 | | | | | 10,088 | | |
| | | 692,941 | | | | Series 2017-22, Class BZ, 3.500% due 4/25/47 | | | | | 616,119 | | |
| | | 7,731,019 | | | | Series 2017-24, Class LG, 3.000% due 4/25/37 | | | | | 6,832,273 | | |
| | | 561,180 | | | | Series 2018-91, Class BE, 3.500% due 12/25/58 | | | | | 504,234 | | |
| | | 386,026 | | | | Series 2020-35, Class AI, 3.000% due 6/25/50(h) | | | | | 61,724 | | |
| | | 671,287 | | | | Series 2020-74, Class HI, 5.500% due 10/25/50(h) | | | | | 129,435 | | |
| | | 1,935,523 | | | | Series 2020-99, Class KI, 1.500% due 11/25/35(h) | | | | | 107,058 | | |
| | | 986,674 | | | | Series 2021-3, Class NI, 2.500% due 2/25/51(h) | | | | | 133,610 | | |
| | | 934,426 | | | | Series 2021-3, Class TI, 2.500% due 2/25/51(h) | | | | | 160,695 | | |
| | | 11,368,129 | | | | Series 2021-4, Class GD, 1.000% due 2/25/51 | | | | | 8,435,342 | | |
| | | 993,241 | | | | Series 2021-95, Class GI, 3.000% due 1/25/52(h) | | | | | 152,511 | | |
| | | 857,105 | | | | Series 2022-3, Class PI, 3.000% due 1/25/52(h) | | | | | 107,697 | | |
| | | | | | | FMC GMSR Issuer Trust: | | | | | | | |
| | | 4,000,000 | | | | Series 2021-GT1, Class A, 3.620% due 7/25/26(b)(c) | | | | | 3,342,700 | | |
| | | 3,420,000 | | | | Series 2021-GT2, Class A, 3.850% due 10/25/26(b)(c) | | | | | 2,844,001 | | |
| | | | | | | Freddie Mac Multifamily Structured Pass-Through Certificates: | | | | | | | |
| | | 105,921,064 | | | | Series K064, Class X1, 0.735% due 3/25/27(b)(h) | | | | | 1,871,721 | | |
| | | 27,883,664 | | | | Series K066, Class X1, 0.885% due 6/25/27(b)(h) | | | | | 638,483 | | |
| | | 2,070,882 | | | | Series K118, Class X1, 1.051% due 9/25/30(b)(h) | | | | | 107,842 | | |
| | | 63,530,685 | | | | Series K119, Class X1, 1.024% due 9/25/30(b)(h) | | | | | 3,194,882 | | |
| | | 29,065,058 | | | | Series K120, Class X1, 1.132% due 10/25/30(b)(h) | | | | | 1,595,948 | | |
| | | 41,281,909 | | | | Series K121, Class X1, 1.119% due 10/25/30(b)(h) | | | | | 2,267,888 | | |
| | | 12,717,993 | | | | Series K122, Class X1, 0.971% due 11/25/30(b)(h) | | | | | 612,766 | | |
| | | 23,890,316 | | | | Series K124, Class X1, 0.810% due 12/25/30(b)(h) | | | | | 972,436 | | |
| | | 53,738,524 | | | | Series K125, Class X1, 0.674% due 1/25/31(b)(h) | | | | | 1,775,166 | | |
| | | 30,628,701 | | | | Series K129, Class X1, 1.142% due 5/25/31(b)(h) | | | | | 1,783,834 | | |
| | | 30,149,170 | | | | Series K130, Class X1, 1.143% due 6/25/31(b)(h) | | | | | 1,881,565 | | |
| | | 55,981,533 | | | | Series K132, Class X1, 0.608% due 8/25/31(b)(h) | | | | | 1,810,140 | | |
| | | 30,203,714 | | | | Series K-1519, Class X1, 0.693% due 12/25/35(b)(h) | | | | | 1,380,784 | | |
| | | 1,500,000 | | | | Series Q001, Class A3, 3.815% due 2/25/32 | | | | | 1,387,118 | | |
| | | 5,000,000 | | | | Freddie Mac STACR REMIC Trust, Series 2021-HQA2, Class M2, 7.338% (SOFR30A + 2.050%) due 12/25/33(b)(c) | | | | | 4,903,530 | | |
| | | | | | | Freddie Mac Strips: | | | | | | | |
| | | 854,295 | | | | Series 303, Class C10, 3.500% due 1/15/33(h) | | | | | 87,599 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 944,071 | | | | Series 375, Class C1, 2.500% due 1/25/51(h) | | | | $ | 138,360 | | |
| | | 877,486 | | | | Series 386, Class C14, 2.500% due 3/15/52(h) | | | | | 124,432 | | |
| | | 2,900,174 | | | | Series 389, Class C1, 1.500% due 5/15/37(h) | | | | | 169,256 | | |
| | | 1,295,820 | | | | Series 389, Class C35, 2.000% due 6/15/52(h) | | | | | 160,556 | | |
| | | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes: | | | | | | | |
| | | 100,104 | | | | Series 2022-HQA2, Class M1A, 7.938% (SOFR30A + 2.650%) due 7/25/42(b)(c) | | | | | 102,052 | | |
| | | 403,078 | | | | Series 2023-HQA2, Class M1A, 7.288% (SOFR30A + 2.000%) due 6/25/43(b)(c) | | | | | 404,612 | | |
| | | | | | | GCAT Trust: | | | | | | | |
| | | 451,432 | | | | Series 2021-NQM1, Class A1, 0.874% due 1/25/66(b)(c) | | | | | 377,117 | | |
| | | 478,073 | | | | Series 2021-NQM2, Class A1, 1.036% due 5/25/66(b)(c) | | | | | 384,746 | | |
| | | 620,934 | | | | Series 2021-NQM3, Class A1, 1.091% due 5/25/66(b)(c) | | | | | 501,866 | | |
| | | 856,154 | | | | Series 2021-NQM4, Class A1, 1.093% due 8/25/66(b)(c) | | | | | 656,646 | | |
| | | 1,213,939 | | | | Series 2021-NQM5, Class A1, 1.262% due 7/25/66(b)(c) | | | | | 947,617 | | |
| | | 449,608 | | | | Series 2021-NQM7, Class A1, 1.915% due 8/25/66(b)(c) | | | | | 384,706 | | |
| | | | | | | Government National Mortgage Association (GNMA): | | | | | | | |
| | | 699,265 | | | | Series 2012-116, Class IB, 4.000% due 9/16/42(h) | | | | | 139,405 | | |
| | | 1,259,527 | | | | Series 2012-32, Class Z, 3.500% due 3/20/42 | | | | | 1,161,695 | | |
| | | 672,969 | | | | Series 2014-12, Class ZB, 3.000% due 1/16/44 | | | | | 594,650 | | |
| | | 703,504 | | | | Series 2014-46, Class IO, 5.000% due 3/16/44(h) | | | | | 103,906 | | |
| | | 625,000 | | | | Series 2018-37, Class BY, 3.500% due 3/20/48 | | | | | 550,669 | | |
| | | 524,600 | | | | Series 2019-5, Class JI, 5.000% due 7/16/44(h) | | | | | 94,060 | | |
| | | 24,936,534 | | | | Series 2020-173, Class JI, 2.000% due 11/20/50(h) | | | | | 2,628,498 | | |
| | | 15,118,448 | | | | Series 2021-129, Class IO, 0.982% due 6/16/63(b)(h) | | | | | 1,038,521 | | |
| | | 11,306,820 | | | | Series 2021-137, Class IQ, 3.000% due 8/20/51(h) | | | | | 1,736,083 | | |
| | | 21,582,614 | | | | Series 2021-184, Class IO, 0.883% due 12/16/61(b)(h) | | | | | 1,396,816 | | |
| | | 14,239,502 | | | | Series 2021-30, Class IB, 2.500% due 2/20/51(h) | | | | | 1,944,526 | | |
| | | 17,217,519 | | | | Series 2021-35, Class IO, 1.029% due 12/16/62(b)(h) | | | | | 1,235,226 | | |
| | | 19,192,068 | | | | Series 2021-52, Class IO, 0.719% due 4/16/63(b)(h) | | | | | 1,052,696 | | |
| | | 16,298,083 | | | | Series 2021-58, Class SL, 0.000% (1-Month TSFR + 3.636%) due 4/20/51(b)(h) | | | | | 559,984 | | |
| | | 4,611,978 | | | | Series 2021-77, Class EA, 1.000% due 7/20/50 | | | | | 3,477,300 | | |
| | | 14,900,484 | | | | Series 2021-77, Class IT, 2.500% due 5/20/51(h) | | | | | 2,094,431 | | |
| | | 19,759,942 | | | | Series 2021-79, Class IO, 0.881% due 8/16/63(b)(h) | | | | | 1,265,520 | | |
| | | 10,138,322 | | | | Series 2022-174, Class AZ, 3.500% due 5/20/51 | | | | | 8,229,317 | | |
| | | 473,814 | | | | Series 2022-24, Class GA, 3.000% due 2/20/52 | | | | | 421,934 | | |
| | | 28,186,917 | | | | Series 2022-49, Class IO, 0.762% due 3/16/64(b)(h) | | | | | 1,669,979 | | |
| | | 16,188,857 | | | | Series 2022-61, Class EI, 3.000% due 7/20/51(h) | | | | | 2,224,054 | | |
| | | 8,413,990 | | | | Series 2022-64, Class IO, 2.500% due 2/20/50(h) | | | | | 1,007,512 | | |
| | | 31,266,584 | | | | Series 2022-80, Class IO, 0.592% due 6/16/64(b)(h) | | | | | 1,554,765 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 28,728,155 | | | | Series 2022-82, Class IO, 0.537% due 2/16/64(b)(h) | | | | $ | 1,372,401 | | |
| | | | | | | Great Wolf Trust: | | | | | | | |
| | | 500,000 | | | | Series 2019-WOLF, Class E, 8.156% (1-Month TSFR + 2.846%) due 12/15/36(b)(c) | | | | | 493,044 | | |
| | | 500,000 | | | | Series 2019-WOLF, Class F, 8.555% (1-Month TSFR + 3.245%) due 12/15/36(b)(c) | | | | | 491,151 | | |
| | | | | | | GS Mortgage Securities Corp. Trust: | | | | | | | |
| | | 400,000 | | | | Series 2018-TWR, Class D, 7.208% (1-Month TSFR + 1.897%) due 7/15/31(b)(c) | | | | | 199,974 | | |
| | | 400,000 | | | | Series 2018-TWR, Class E, 7.708% (1-Month TSFR + 2.397%) due 7/15/31(b)(c) | | | | | 171,974 | | |
| | | 400,000 | | | | Series 2018-TWR, Class F, 8.408% (1-Month TSFR + 3.097%) due 7/15/31(b)(c) | | | | | 143,974 | | |
| | | 400,000 | | | | Series 2018-TWR, Class G, 9.533% (1-Month TSFR + 4.222%) due 7/15/31(b)(c) | | | | | 115,974 | | |
| | | 700,000 | | | | Series 2021-IP, Class D, 7.525% (1-Month TSFR + 2.214%) due 10/15/36(b)(c) | | | | | 640,696 | | |
| | | | | | | GS Mortgage Securities Trust: | | | | | | | |
| | | 705,000 | | | | Series 2015-GC30, Class A4, 3.382% due 5/10/50 | | | | | 670,895 | | |
| | | 9,961,885 | | | | Series 2017-GS7, Class XA, 1.227% due 8/10/50(b)(h) | | | | | 319,541 | | |
| | | 1,400,000 | | | | Series 2018-GS9, Class A4, 3.992% due 3/10/51(b) | | | | | 1,299,260 | | |
| | | 1,200,000 | | | | Series 2018-GS9, Class C, 4.496% due 3/10/51(b) | | | | | 977,858 | | |
| | | 340,000 | | | | Series 2019-GC38, Class A2, 3.872% due 2/10/52 | | | | | 336,857 | | |
| | | 1,500,000 | | | | Series 2020-GC45, Class A5, 2.911% due 2/13/53 | | | | | 1,290,081 | | |
| | | 4,717,199 | | | | HarborView Mortgage Loan Trust, Series 2006-14, Class 2A1A, 5.728% (1-Month TSFR + 0.414%) due 1/25/47(b) | | | | | 4,216,341 | | |
| | | 1,925,196 | | | | Homes Trust, Series 2023-NQM2, Class A1, step bond to yield, 6.456% due 2/25/68(c) | | | | | 1,928,342 | | |
| | | | | | | Imperial Fund Mortgage Trust: | | | | | | | |
| | | 489,879 | | | | Series 2021-NQM2, Class A1, 1.073% due 9/25/56(b)(c) | | | | | 384,457 | | |
| | | 887,230 | | | | Series 2021-NQM3, Class A1, 1.595% due 11/25/56(b)(c) | | | | | 729,629 | | |
| | | 1,420,456 | | | | Series 2022-NQM2, Class A1, step bond to yield, 3.638% due 3/25/67(c) | | | | | 1,280,387 | | |
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | | | | | |
| | | 805,000 | | | | Series 2018-WPT, Class FFX, 5.542% due 7/5/33(b)(c) | | | | | 624,438 | | |
| | | 1,950,000 | | | | Series 2019-OSB, Class A, 3.397% due 6/5/39(c) | | | | | 1,677,144 | | |
| | | 823,000 | | | | Series 2020-ACE, Class C, 3.817% due 1/10/37(b)(c) | | | | | 749,619 | | |
| | | 805,000 | | | | Series 2020-LOOP, Class E, 3.990% due 12/5/38(b)(c) | | | | | 502,247 | | |
| | | 666,799 | | | | Series 2022-NLP, Class A, 5.907% (1-Month TSFR + 0.597%) due 4/15/37(b)(c) | | | | | 620,772 | | |
| | | | | | | JP Morgan Mortgage Trust: | | | | | | | |
| | | 2,100,550 | | | | Series 2006-S1, Class 2A9, 6.500% due 4/25/36 | | | | | 2,062,012 | | |
| | | 6,419,757 | | | | Series 2006-S4, Class A7, 6.000% due 1/25/37 | | | | | 2,622,348 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,527,943 | | | | Series 2021-3, Class B1, 2.941% due 7/25/51(b)(c) | | | | $ | 1,182,273 | | |
| | | | | | | JPMBB Commercial Mortgage Securities Trust: | | | | | | | |
| | | 475,000 | | | | Series 2014-C21, Class A5, 3.775% due 8/15/47 | | | | | 463,948 | | |
| | | 1,667,000 | | | | Series 2015-C27, Class C, 4.440% due 2/15/48(b) | | | | | 1,365,198 | | |
| | | 1,205,000 | | | | Series 2015-C28, Class C, 4.273% due 10/15/48(b) | | | | | 1,043,535 | | |
| | | 529,000 | | | | Series 2016-C1, Class A5, 3.576% due 3/17/49 | | | | | 497,428 | | |
| | | 1,100,000 | | | | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class A5, 3.490% due 7/15/50 | | | | | 994,195 | | |
| | | 1,123,000 | | | | JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7, Class B, 3.294% due 5/13/53(b) | | | | | 813,267 | | |
| | | | | | | Legacy Mortgage Asset Trust: | | | | | | | |
| | | 348,335 | | | | Series 2021-GS2, Class A1, step bond to yield, 1.750% due 4/25/61(c) | | | | | 324,928 | | |
| | | 465,483 | | | | Series 2021-GS3, Class A1, step bond to yield, 1.750% due 7/25/61(c) | | | | | 439,921 | | |
| | | 237,105 | | | | Series 2021-GS4, Class A1, step bond to yield, 1.650% due 11/25/60(c) | | | | | 217,505 | | |
| | | 2,964,596 | | | | Lehman XS Trust, Series 2007-4N, Class 1A3, 5.909% (1-Month TSFR + 0.594%) due 3/25/47(b) | | | | | 2,520,864 | | |
| | | | | | | Life Mortgage Trust: | | | | | | | |
| | | 1,619,935 | | | | Series 2021-BMR, Class A, 6.124% (1-Month TSFR + 0.814%) due 3/15/38(b)(c) | | | | | 1,587,375 | | |
| | | 3,179,908 | | | | Series 2021-BMR, Class D, 6.824% (1-Month TSFR + 1.514%) due 3/15/38(b)(c) | | | | | 3,076,058 | | |
| | | 2,400,000 | | | | Series 2022-BMR2, Class D, 7.852% (1-Month TSFR + 2.542%) due 5/15/39(b)(c) | | | | | 2,289,411 | | |
| | | 825,040 | | | | Med Trust, Series 2021-MDLN, Class G, 10.674% (1-Month TSFR + 5.364%) due 11/15/38(b)(c) | | | | | 773,422 | | |
| | | 6,136,546 | | | | Merrill Lynch Mortgage Investors Trust, Series 2006-AF1, Class AF1, 5.750% due 8/25/36 | | | | | 3,021,684 | | |
| | | | | | | MFA Trust: | | | | | | | |
| | | 266,583 | | | | Series 2021-NQM1, Class A1, 1.153% due 4/25/65(b)(c) | | | | | 232,990 | | |
| | | 357,899 | | | | Series 2021-NQM2, Class A1, 1.029% due 11/25/64(b)(c) | | | | | 295,630 | | |
| | | 3,800,000 | | | | Series 2023-NQM3, Class A1, 6.835% due 7/25/68(c) | | | | | 3,799,978 | | |
| | | | | | | Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | |
| | | 293,000 | | | | Series 2014-C19, Class AS, 3.832% due 12/15/47 | | | | | 279,194 | | |
| | | 15,668,845 | | | | Series 2014-C19, Class XA, 1.099% due 12/15/47(b)(h) | | | | | 107,153 | | |
| | | 2,583,782 | | | | Series 2015-C20, Class A4, 3.249% due 2/15/48 | | | | | 2,476,535 | | |
| | | 1,405,000 | | | | Series 2015-C26, Class A5, 3.531% due 10/15/48 | | | | | 1,331,114 | | |
| | | 1,652,000 | | | | Series 2016-C31, Class C, 4.403% due 11/15/49(b) | | | | | 1,275,607 | | |
| | | | | | | Morgan Stanley Capital I Trust: | | | | | | | |
| | | 13,948,707 | | | | Series 2016-UB11, Class XA, 1.574% due 8/15/49(b)(h) | | | | | 460,134 | | |
| | | 12,006,109 | | | | Series 2016-UB12, Class XA, 0.787% due 12/15/49(b)(h) | | | | | 203,933 | | |
| | | 1,356,000 | | | | Series 2019-H7, Class AS, 3.524% due 7/15/52 | | | | | 1,173,324 | | |
| | | 583,000 | | | | Series 2019-H7, Class B, 3.725% due 7/15/52 | | | | | 473,473 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 21,931,722 | | | | Series 2019-L3, Class XA, 0.755% due 11/15/52(b)(h) | | | | $ | 650,265 | | |
| | | 806,000 | | | | Series 2020-L4, Class B, 3.082% due 2/15/53 | | | | | 598,167 | | |
| | | 1,535,849 | | | | Morgan Stanley Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1, 2.693% due 10/25/60(b)(c) | | | | | 1,513,594 | | |
| | | | | | | New Residential Mortgage Loan Trust: | | | | | | | |
| | | 337,997 | | | | Series 2021-NQ1R, Class A1, 0.943% due 7/25/55(b)(c) | | | | | 286,988 | | |
| | | 220,359 | | | | Series 2021-NQ2R, Class A1, 0.941% due 10/25/58(b)(c) | | | | | 195,438 | | |
| | | 1,066,221 | | | | Series 2021-NQM3, Class A1, 1.156% due 11/27/56(b)(c) | | | | | 866,756 | | |
| | | 1,027,319 | | | | NMLT Trust, Series 2021-INV1, Class A1, 1.185% due 5/25/56(b)(c) | | | | | 833,522 | | |
| | | | | | | OBX Trust: | | | | | | | |
| | | 685,534 | | | | Series 2021-NQM1, Class A1, 1.072% due 2/25/66(b)(c) | | | | | 567,514 | | |
| | | 617,523 | | | | Series 2021-NQM3, Class A1, 1.054% due 7/25/61(b)(c) | | | | | 460,621 | | |
| | | 1,208,978 | | | | Series 2022-NQM1, Class A1, 2.305% due 11/25/61(b)(c) | | | | | 1,017,571 | | |
| | | 3,617,851 | | | | Series 2023-NQM3, Class A1, step bond to yield, 5.949% due 2/25/63(c) | | | | | 3,591,382 | | |
| | | | | | | PMT Credit Risk Transfer Trust: | | | | | | | |
| | | 790,314 | | | | Series 2019-2R, Class A, 9.193% (1-Month TSFR + 3.864%) due 5/30/25(b)(c) | | | | | 788,746 | | |
| | | 398,610 | | | | Series 2019-3R, Class A, 9.118% (SOFR30A + 3.814%) due 11/27/31(b)(c) | | | | | 391,960 | | |
| | | 1,294,878 | | | | PRET LLC, Series 2021-RN3, Class A1, step bond to yield, 1.843% due 9/25/51(c) | | | | | 1,181,798 | | |
| | | 943,204 | | | | Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1, step bond to yield, 1.992% due 2/25/61(c) | | | | | 894,689 | | |
| | | | | | | PRPM LLC: | | | | | | | |
| | | 239,295 | | | | Series 2021-2, Class A1, 2.115% due 3/25/26(b)(c) | | | | | 230,480 | | |
| | | 415,359 | | | | Series 2021-3, Class A1, step bond to yield, 1.867% due 4/25/26(c) | | | | | 390,604 | | |
| | | 639,608 | | | | Series 2021-5, Class A1, step bond to yield, 1.793% due 6/25/26(c) | | | | | 596,653 | | |
| | | 570,630 | | | | Series 2021-6, Class A1, step bond to yield, 1.793% due 7/25/26(c) | | | | | 538,790 | | |
| | | 3,266,701 | | | | Series 2021-7, Class A1, step bond to yield, 1.867% due 8/25/26(c) | | | | | 3,020,858 | | |
| | | 584,443 | | | | Series 2021-8, Class A1, 1.743% due 9/25/26(b)(c) | | | | | 541,838 | | |
| | | 1,516,517 | | | | Series 2021-9, Class A1, step bond to yield, 2.363% due 10/25/26(c) | | | | | 1,425,358 | | |
| | | 230,652 | | | | Series 2021-RPL1, Class A1, step bond to yield, 1.319% due 7/25/51(c) | | | | | 203,674 | | |
| | | 936,149 | | | | Series 2022-5, Class A1, step bond to yield, 6.900% due 9/27/27(c) | | | | | 932,156 | | |
| | | | | | | Rali Trust: | | | | | | | |
| | | 1,119,080 | | | | Series 2005-QS13, Class 1A3, 5.500% due 9/25/35 | | | | | 903,223 | | |
| | | 2,977,648 | | | | Series 2006-QS17, Class A8, 6.000% due 12/25/36 | | | | | 2,388,701 | | |
| | | 3,594,294 | | | | Residential Asset Securitization Trust, Series 2005-A8CB, Class A6, 5.000% due 7/25/35 | | | | | 2,132,822 | | |
| | | | | | | Residential Mortgage Loan Trust: | | | | | | | |
| | | 3,100,000 | | | | Series 2020-1, Class M1, 3.242% due 1/26/60(b)(c) | | | | | 2,634,359 | | |
| | | 222,999 | | | | Series 2021-1R, Class A1, 0.859% due 1/25/65(b)(c) | | | | | 201,291 | | |
| | | | | | | Seasoned Credit Risk Transfer Trust: | | | | | | | |
| | | 325,171 | | | | Series 2019-1, Class MA, 3.500% due 7/25/58 | | | | | 302,721 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 510,070 | | | | Series 2019-1, Class MT, 3.500% due 7/25/58 | | | | $ | 442,332 | | |
| | | 5,445,383 | | | | Series 2019-4, Class MV, 3.000% due 2/25/59 | | | | | 4,658,597 | | |
| | | 636,314 | | | | Series 2020-1, Class MT, 2.500% due 8/25/59 | | | | | 520,712 | | |
| | | 6,233,741 | | | | Series 2020-2, Class MT, 2.000% due 11/25/59 | | | | | 4,958,936 | | |
| | | 6,054,807 | | | | Series 2020-3, Class M5TW, 3.000% due 5/25/60 | | | | | 5,339,998 | | |
| | | 3,640,000 | | | | SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class B, 4.534% due 1/5/43(b)(c) | | | | | 2,266,349 | | |
| | | | | | | SG Residential Mortgage Trust: | | | | | | | |
| | | 893,116 | | | | Series 2021-1, Class A1, 1.160% due 7/25/61(b)(c) | | | | | 691,500 | | |
| | | 5,238,000 | | | | Series 2021-2, Class B1, 4.038% due 12/25/61(b)(c) | | | | | 3,391,917 | | |
| | | 5,150,000 | | | | SMRT, Series 2022-MINI, Class D, 7.261% (1-Month TSFR + 1.950%) due 1/15/39(b)(c) | | | | | 4,917,446 | | |
| | | 515,992 | | | | STAR Trust, Series 2021-1, Class A1, 1.219% due 5/25/65(b)(c) | | | | | 440,970 | | |
| | | | | | | Starwood Mortgage Residential Trust: | | | | | | | |
| | | 181,774 | | | | Series 2021-2, Class A1, 0.943% due 5/25/65(b)(c) | | | | | 160,288 | | |
| | | 760,832 | | | | Series 2021-3, Class A1, 1.127% due 6/25/56(b)(c) | | | | | 607,198 | | |
| | | 1,022,348 | | | | Series 2021-4, Class A1, 1.162% due 8/25/56(b)(c) | | | | | 846,451 | | |
| | | 952,727 | | | | Series 2021-6, Class A1, 1.920% due 11/25/66(b)(c) | | | | | 769,098 | | |
| | | 3,480,000 | | | | STWD Trust, Series 2021-FLWR, Class D, 6.800% (1-Month TSFR + 1.490%) due 7/15/36(b)(c) | | | | | 3,357,684 | | |
| | | 697,729 | | | | Toorak Mortgage Corp. Ltd., Series 2021-1, Class A1, step bond to yield, 2.240% due 6/25/24(c) | | | | | 677,364 | | |
| | | | | | | Towd Point Mortgage Trust: | | | | | | | |
| | | 1,512,760 | | | | Series 2021-R1, Class A1, 2.918% due 11/30/60(b)(c) | | | | | 1,221,789 | | |
| | | 3,054,387 | | | | Series 2022-4, Class A1, 3.750% due 9/25/62(c) | | | | | 2,792,064 | | |
| | | 289,990 | | | | Triangle Re Ltd., Series 2021-3, Class M1A, 7.188% (SOFR30A + 1.900%) due 2/25/34(b)(c) | | | | | 290,443 | | |
| | | 393,979 | | | | TRK Trust, Series 2021-INV1, Class A1, 1.153% due 7/25/56(b)(c) | | | | | 332,930 | | |
| | | 4,286,840 | | | | UBS Commercial Mortgage Trust, Series 2017-C1, Class XA, 1.685% due 6/15/50(b)(h) | | | | | 183,164 | | |
| | | | | | | VCAT LLC: | | | | | | | |
| | | 159,358 | | | | Series 2021-NPL2, Class A1, step bond to yield, 2.115% due 3/27/51(c) | | | | | 151,819 | | |
| ��� | | 717,978 | | | | Series 2021-NPL4, Class A1, step bond to yield, 1.868% due 8/25/51(c) | | | | | 671,307 | | |
| | | | | | | Verus Securitization Trust: | | | | | | | |
| | | 3,814,000 | | | | Series 2021-1, Class B1, 2.977% due 1/25/66(b)(c) | | | | | 2,394,430 | | |
| | | 283,083 | | | | Series 2021-2, Class A1, 1.031% due 2/25/66(b)(c) | | | | | 237,866 | | |
| | | 432,832 | | | | Series 2021-4, Class A1, 0.938% due 7/25/66(b)(c) | | | | | 335,240 | | |
| | | 1,079,526 | | | | Series 2021-5, Class A1, 1.013% due 9/25/66(b)(c) | | | | | 871,191 | | |
| | | 1,104,665 | | | | Series 2021-6, Class A1, 1.630% due 10/25/66(b)(c) | | | | | 901,097 | | |
| | | 1,307,686 | | | | Series 2021-7, Class A1, 1.829% due 10/25/66(b)(c) | | | | | 1,108,570 | | |
| | | 221,956 | | | | Series 2021-R1, Class A1, 0.820% due 10/25/63(b)(c) | | | | | 197,817 | | |
| | | 323,998 | | | | Series 2021-R2, Class A1, 0.918% due 2/25/64(b)(c) | | | | | 276,751 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 923,049 | | | | Series 2022-1, Class A1, step bond to yield, 2.724% due 1/25/67(c) | | | | $ | 807,112 | | |
| | | 3,602,430 | | | | Series 2023-4, Class A1, step bond to yield, 5.811% due 5/25/68(c) | | | | | 3,563,905 | | |
| | | 3,691,258 | | | | Series 2023-INV1, Class A1, step bond to yield, 5.999% due 2/25/68(c) | | | | | 3,659,938 | | |
| | | 276,002 | | | | VOLT C LLC, Series 2021-NPL9, Class A1, step bond to yield, 1.992% due 5/25/51(c) | | | | | 253,519 | | |
| | | 770,423 | | | | VOLT XCIII LLC, Series 2021-NPL2, Class A1, step bond to yield, 1.893% due 2/27/51(c) | | | | | 716,258 | | |
| | | 1,614,360 | | | | VOLT XCVII LLC, Series 2021-NPL6, Class A1, step bond to yield, 2.240% due 4/25/51(c) | | | | | 1,507,203 | | |
| | | | | | | Wells Fargo Commercial Mortgage Trust: | | | | | | | |
| | | 1,400,000 | | | | Series 2016-BNK1, Class A3, 2.652% due 8/15/49 | | | | | 1,269,659 | | |
| | | 9,027,432 | | | | Series 2017-C38, Class XA, 1.091% due 7/15/50(b)(h) | | | | | 244,442 | | |
| | | 745,257 | | | | Series 2018-C45, Class ASB, 4.147% due 6/15/51 | | | | | 721,357 | | |
| | | 806,000 | | | | Series 2020-C55, Class AS, 2.937% due 2/15/53 | | | | | 673,578 | | |
| | | 3,119,981 | | | | Series 2021-SAVE, Class D, 7.925% (1-Month TSFR + 2.614%) due 2/15/40(b)(c) | | | | | 2,790,573 | | |
| | | 500,000 | | | | WFRBS Commercial Mortgage Trust, Series 2014-C22, Class A5, 3.752% due 9/15/57 | | | | | 483,569 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $530,069,702) | | | | | 448,940,945 | | |
| U.S. GOVERNMENT OBLIGATIONS – 20.8% | | ||||||||||||
| | | | | | | U.S. Treasury Bonds: | | | | | | | |
| | | 5,920,000 | | | | 4.625% due 2/28/25 | | | | | 5,879,069 | | |
| | | 1,780,000 | | | | 1.250% due 11/30/26 | | | | | 1,607,632 | | |
| | | 12,805,000 | | | | 4.125% due 11/15/32 | | | | | 12,798,998 | | |
| | | 3,565,000 | | | | 2.000% due 11/15/41 | | | | | 2,494,525 | | |
| | | 7,870,000 | | | | 3.250% due 5/15/42 | | | | | 6,720,550 | | |
| | | 9,165,000 | | | | 3.375% due 8/15/42 | | | | | 7,953,144 | | |
| | | 13,005,000 | | | | 3.875% due 2/15/43 | | | | | 12,100,746 | | |
| | | 3,975,000 | | | | 3.625% due 8/15/43 | | | | | 3,552,811 | | |
| | | 6,715,000 | | | | 3.625% due 2/15/44 | | | | | 5,989,990 | | |
| | | 12,905,000 | | | | 3.375% due 5/15/44 | | | | | 11,066,037 | | |
| | | 2,470,000 | | | | 2.500% due 2/15/45 | | | | | 1,813,810 | | |
| | | 1,390,000 | | | | 2.250% due 8/15/46 | | | | | 957,471 | | |
| | | 8,500,000 | | | | 3.000% due 2/15/48 | | | | | 6,747,207 | | |
| | | 7,800,000 | | | | 3.125% due 5/15/48 | | | | | 6,335,062 | | |
| | | 5,110,000 | | | | 3.375% due 11/15/48 | | | | | 4,342,702 | | |
| | | 34,460,000 | | | | 2.375% due 5/15/51 | | | | | 23,951,046 | | |
| | | 12,330,000 | | | | 1.875% due 11/15/51 | | | | | 7,576,207 | | |
| | | 7,170,000 | | | | 3.000% due 8/15/52 | | | | | 5,713,874 | | |
| | | 625,000 | | | | 4.000% due 11/15/52 | | | | | 603,052 | | |
| | | 68,402,000 | | | | 3.625% due 5/15/53 | | | | | 61,690,054 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 51,335,000 | | | | 4.125% due 8/15/53 | | | | $ | 50,645,186 | | |
| | | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | | | | |
| | | 4,711,437.2 | | | | 0.250% due 2/15/50 | | | | | 3,031,515 | | |
| | | 955,746.88 | | | | 0.125% due 2/15/52 | | | | | 576,817 | | |
| | | | | | | U.S. Treasury Inflation Indexed Notes: | | | | | | | |
| | | 1,197,257.65 | | | | 0.750% due 7/15/28 | | | | | 1,128,789 | | |
| | | 4,562,421.75 | | | | 0.250% due 7/15/29 | | | | | 4,141,021 | | |
| | | 2,719,172.85 | | | | 0.125% due 7/15/30 | | | | | 2,409,654 | | |
| | | | | | | U.S. Treasury Notes: | | | | | | | |
| | | 4,495,000 | | | | 4.500% due 11/30/24 | | | | | 4,454,615 | | |
| | | 2,050,000 | | | | 3.875% due 3/31/25 | | | | | 2,012,924 | | |
| | | 3,200,000 | | | | 3.875% due 4/30/25 | | | | | 3,141,875 | | |
| | | 7,580,000 | | | | 2.750% due 5/15/25 | | | | | 7,303,745 | | |
| | | 3,745,000 | | | | 4.750% due 7/31/25 | | | | | 3,734,906 | | |
| | | 12,500,000 | | | | 0.250% due 8/31/25 | | | | | 11,413,086 | | |
| | | 1,580,000 | | | | 0.375% due 11/30/25 | | | | | 1,434,097 | | |
| | | 2,695,000 | | | | 4.000% due 12/15/25 | | | | | 2,651,417 | | |
| | | 5,060,000 | | | | 4.000% due 2/15/26 | | | | | 4,980,147 | | |
| | | 14,175,000 | | | | 4.625% due 3/15/26 | | | | | 14,164,479 | | |
| | | 3,250,000 | | | | 3.750% due 4/15/26 | | | | | 3,179,795 | | |
| | | 10,400,000 | | | | 0.750% due 4/30/26 | | | | | 9,405,500 | | |
| | | 3,050,000 | | | | 4.500% due 7/15/26 | | | | | 3,044,520 | | |
| | | 19,290,000 | | | | 2.750% due 4/30/27 | | | | | 18,207,198 | �� | |
| | | 850,000 | | | | 4.000% due 2/29/28 | | | | | 839,541 | | |
| | | 2,350,000 | | | | 3.625% due 3/31/28 | | | | | 2,284,457 | | |
| | | 7,120,000 | | | | 3.500% due 4/30/28 | | | | | 6,883,594 | | |
| | | 1,800,000 | | | | 3.625% due 5/31/28 | | | | | 1,750,641 | | |
| | | 3,250,000 | | | | 4.000% due 6/30/28 | | | | | 3,211,152 | | |
| | | 1,355,000 | | | | 3.875% due 12/31/29 | | | | | 1,327,741 | | |
| | | 1,125,000 | | | | 3.500% due 1/31/30 | | | | | 1,079,165 | | |
| | | 14,410,000 | | | | 3.625% due 3/31/30 | | | | | 13,919,159 | | |
| | | 2,500,000 | | | | 3.750% due 5/31/30 | | | | | 2,432,520 | | |
| | | 2,500,000 | | | | 3.750% due 6/30/30 | | | | | 2,432,422 | | |
| | | 6,430,000 | | | | 2.750% due 8/15/32 | | | | | 5,771,679 | | |
| | | 10,990,000 | | | | 3.500% due 2/15/33 | | | | | 10,466,258 | | |
| | | 38,500,000 | | | | 3.875% due 8/15/33 | | | | | 37,814,219 | | |
| | | 9,390,000 | | | | 3.625% due 2/15/53 | | | | | 8,459,803 | | |
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $478,942,143) | | | | | 439,627,624 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – 9.3% | | ||||||||||||
| | $ | 1,000,000 | | | | 37 Capital CLO I, Series 2021-1A, Class A, 6.770% (3-Month TSFR + 1.462%) due 10/15/34(b)(c) | | | | $ | 997,032 | | |
| | | 505,000 | | | | Affirm Asset Securitization Trust, Series 2023-A, Class 1A, 6.610% due 1/18/28(c) | | | | | 501,776 | | |
| | | 2,335,000 | | | | Aligned Data Centers Issuer LLC, Series 2023-1A, Class A2, 6.000% due 8/17/48(c) | | | | | 2,274,787 | | |
| | | 500,000 | | | | Allegro CLO X Ltd., Series 2019-1A, Class AR, 6.738% (3-Month TSFR + 1.412%) due 7/20/32(b)(c) | | | | | 495,282 | | |
| | | 500,000 | | | | ALM 2020 Ltd., Series 2020-1A, Class A2, 7.420% (3-Month TSFR + 2.112%) due 10/15/29(b)(c) | | | | | 500,058 | | |
| | | 415,000 | | | | American Credit Acceptance Receivables Trust, Series 2023-3, Class B, 6.090% due 11/12/27(c) | | | | | 415,306 | | |
| | | 1,470,000 | | | | AmeriCredit Automobile Receivables Trust, Series 2022-2, Class B, 4.810% due 4/18/28 | | | | | 1,441,659 | | |
| | | 4,000,000 | | | | AMSR Trust, Series 2020-SFR4, Class E2, 2.456% due 11/17/37(c) | | | | | 3,632,694 | | |
| | | 1,000,000 | | | | Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class B, 7.127% (3-Month TSFR + 1.762%) due 1/28/31(b)(c) | | | | | 985,968 | | |
| | | 500,000 | | | | Apidos CLO XII, Series 2013-12A, Class CR, 7.370% (3-Month TSFR + 2.062%) due 4/15/31(b)(c) | | | | | 488,137 | | |
| | | 260,000 | | | | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL2, Class A, 6.525% (1-Month TSFR + 1.214%) due 5/15/36(b)(c) | | | | | 255,612 | | |
| | | 1,050,000 | | | | ARI Fleet Lease Trust, Series 2023-A, Class A2, 5.410% due 2/17/32(c) | | | | | 1,041,683 | | |
| | | 1,375,923 | | | | Asset Backed Securities Corp. Home Equity Loan Trust, Series 2007-HE2, Class A4, 5.659% (1-Month TSFR + 0.344%) due 5/25/37(b) | | | | | 927,538 | | |
| | | 421,730 | | | | Avant Loans Funding Trust, Series 2021-REV1, Class A, 1.210% due 7/15/30(c) | | | | | 415,732 | | |
| | | 5,920,000 | | | | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A, 2.330% due 8/20/26(c) | | | | | 5,548,178 | | |
| | | 1,440,000 | | | | Bain Capital Credit CLO, Series 2019-1A, Class AR, 6.712% (3-Month TSFR + 1.392%) due 4/19/34(b)(c) | | | | | 1,430,104 | | |
| | | | | | | Bain Capital Credit CLO Ltd.: | | | | | | | |
| | | 1,660,000 | | | | Series 2017-2A, Class AR2, 6.793% (3-Month TSFR + 1.442%) due 7/25/34(b)(c) | | | | | 1,633,713 | | |
| | | 1,045,000 | | | | Series 2023-4A, Class B, 0.000% (3-Month TSFR + 2.500%) due 10/21/36(b)(c)(d)(j) | | | | | 1,045,091 | | |
| | | 1,000,000 | | | | Battalion CLO XI Ltd., Series 2017-11A, Class AR, 6.757% (3-Month TSFR + 1.412%) due 4/24/34(b)(c) | | | | | 994,887 | | |
| | | 118,470 | | | | BHG Securitization Trust, Series 2021-B, Class A, 0.900% due 10/17/34(c) | | | | | 113,734 | | |
| | | 1,085,000 | | | | BlueMountain CLO XXIV Ltd., Series 2019-24A, Class AR, 6.688% (3-Month TSFR + 1.362%) due 4/20/34(b)(c) | | | | | 1,075,296 | | |
| | | | | | | BSPRT Issuer Ltd.: | | | | | | | |
| | | 775,000 | | | | Series 2021-FL6, Class A, 6.525% (1-Month TSFR + 1.214%) due 3/15/36(b)(c) | | | | | 760,963 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 370,000 | | | | Series 2021-FL7, Class B, 7.475% (1-Month TSFR + 2.164%) due 12/15/38(b)(c) | | | | $ | 357,098 | | |
| | | 1,973,747 | | | | Carlyle Global Market Strategies CLO Ltd., Series 2014-3RA, Class A1A, 6.669% (3-Month TSFR + 1.312%) due 7/27/31(b)(c) | | | | | 1,964,922 | | |
| | | 1,700,000 | | | | Carmax Auto Owner Trust, Series 2021-1, Class C, 0.940% due 12/15/26 | | | | | 1,564,996 | | |
| | | 1,120,940 | | | | Carrington Mortgage Loan Trust, Series 2006-NC4, Class A3, 5.589% (1-Month TSFR + 0.274%) due 10/25/36(b) | | | | | 1,070,316 | | |
| | | 750,000 | | | | CBAM Ltd., Series 2019-10A, Class DR, 9.088% (3-Month TSFR + 3.762%) due 4/20/32(b)(c) | | | | | 733,036 | | |
| | | 4,354,538 | | | | C-BASS Trust, Series 2006-CB9, Class A4, 5.889% (1-Month TSFR + 0.574%) due 11/25/36(b) | | | | | 1,961,337 | | |
| | | 425,000 | | | | CCG Receivables Trust, Series 2023-1, Class A2, 5.820% due 9/16/30(c) | | | | | 425,229 | | |
| | | | | | | CF Hippolyta Issuer LLC: | | | | | | | |
| | | 285,227 | | | | Series 2020-1, Class A1, 1.690% due 7/15/60(c) | | | | | 257,896 | | |
| | | 122,518 | | | | Series 2021-1A, Class A1, 1.530% due 3/15/61(c) | | | | | 107,642 | | |
| | | 108,381 | | | | Series 2021-1A, Class B1, 1.980% due 3/15/61(c) | | | | | 92,873 | | |
| | | 183,701 | | | | Series 2022-1A, Class A1, 5.970% due 8/15/62(c) | | | | | 179,969 | | |
| | | 821,423 | | | | Chesapeake Funding II LLC, Series 2023-1A, Class A1, 5.650% due 5/15/35(c) | | | | | 817,130 | | |
| | | 1,600,000 | | | | Clover CLO LLC, Series 2021-1A, Class A, 6.707% (3-Month TSFR + 1.362%) due 4/22/34(b)(c) | | | | | 1,586,400 | | |
| | | 230,000 | | | | CNH Equipment Trust, Series 2023-A, Class A4, 4.770% due 10/15/30 | | | | | 226,082 | | |
| | | 1,170,211 | | | | CPS Auto Receivables Trust, Series 2023-B, Class A, 5.910% due 8/16/27(c) | | | | | 1,168,467 | | |
| | | 1,250,000 | | | | CQS US CLO Ltd., Series 2021-1A, Class A, 6.808% (3-Month TSFR + 1.482%) due 1/20/35(b)(c) | | | | | 1,239,875 | | |
| | | 346,216 | | | | Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.000% due 5/15/30(c) | | | | | 338,892 | | |
| | | 4,044,137 | | | | Credit-Based Asset Servicing & Securitization LLC, Series 2006-CB4, Class AV4, 2.915% (1-Month TSFR + 0.594%) due 5/25/36(b) | | | | | 2,550,310 | | |
| | | | | | | DB Master Finance LLC: | | | | | | | |
| | | 1,598,400 | | | | Series 2019-1A, Class A23, 4.352% due 5/20/49(c) | | | | | 1,489,989 | | |
| | | 328,155 | | | | Series 2021-1A, Class A23, 2.791% due 11/20/51(c) | | | | | 259,875 | | |
| | | 365,000 | | | | DLLAA LLC, Series 2023-1A, Class A3, 5.640% due 2/22/28(c) | | | | | 366,509 | | |
| | | | | | | Domino’s Pizza Master Issuer LLC: | | | | | | | |
| | | 979,475 | | | | Series 2019-1A, Class A2, 3.668% due 10/25/49(c) | | | | | 859,011 | | |
| | | 669,588 | | | | Series 2021-1A, Class A2I, 2.662% due 4/25/51(c) | | | | | 571,904 | | |
| | | 1,926,398 | | | | Dryden 53 CLO Ltd., Series 2017-53A, Class A, 6.690% (3-Month TSFR + 1.382%) due 1/15/31(b)(c) | | | | | 1,919,681 | | |
| | | | | | | DT Auto Owner Trust: | | | | | | | |
| | | 310,000 | | | | Series 2023-1A, Class B, 5.190% due 10/16/28(c) | | | | | 305,294 | | |
| | | 375,000 | | | | Series 2023-2A, Class B, 5.410% due 2/15/29(c) | | | | | 370,389 | | |
| | | 970,000 | | | | Elmwood CLO 19 Ltd., Series 2022-6A, Class BR, 0.000% (3-Month TSFR + 2.400%) due 10/17/36(b)(c)(d)(j) | | | | | 970,085 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 655,000 | | | | Elmwood CLO 23 Ltd., Series 2023-2A, Class B, 7.307% (3-Month TSFR + 2.250%) due 4/16/36(b)(c) | | | | $ | 654,467 | | |
| | | 480,000 | | | | Enterprise Fleet Financing LLC, Series 2023-1, Class A3, 5.420% due 10/22/29(c) | | | | | 476,451 | | |
| | | | | | | Exeter Automobile Receivables Trust: | | | | | | | |
| | | 600,000 | | | | Series 2021-1A, Class D, 1.080% due 11/16/26 | | | | | 575,987 | | |
| | | 900,000 | | | | Series 2021-1A, Class E, 2.210% due 2/15/28(c) | | | | | 840,694 | | |
| | | 383,023 | | | | Series 2022-1A, Class B, 2.180% due 6/15/26 | | | | | 379,925 | | |
| | | 197,000 | | | | Series 2022-6A, Class B, 6.030% due 8/16/27 | | | | | 196,579 | | |
| | | 470,000 | | | | Series 2023-1A, Class B, 5.720% due 4/15/27 | | | | | 466,929 | | |
| | | 201,000 | | | | Series 2023-3A, Class B, 6.110% due 9/15/27 | | | | | 200,682 | | |
| | | 800,000 | | | | Fillmore Park CLO Ltd., Series 2018-1A, Class D, 8.470% (3-Month TSFR + 3.162%) due 7/15/30(b)(c) | | | | | 769,026 | | |
| | | 5,284,036 | | | | First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A1, 5.709% (1-Month TSFR + 0.394%) due 3/25/37(b) | | | | | 2,812,557 | | |
| | | 1,362,296 | | | | FirstKey Homes Trust, Series 2022-SFR2, Class A, 4.250% due 7/17/39(c) | | | | | 1,293,201 | | |
| | | | | | | Flagship Credit Auto Trust: | | | | | | | |
| | | 173,000 | | | | Series 2023-1, Class B, 5.050% due 1/18/28(c) | | | | | 169,591 | | |
| | | 470,000 | | | | Series 2023-2, Class B, 5.210% due 5/15/28(c) | | | | | 461,760 | | |
| | | | | | | Ford Credit Auto Owner Trust: | | | | | | | |
| | | 6,750,000 | | | | Series 2020-1, Class C, 2.540% due 8/15/31(c) | | | | | 6,377,465 | | |
| | | 3,650,000 | | | | Series 2020-2, Class C, 1.740% due 4/15/33(c) | | | | | 3,316,594 | | |
| | | 3,350,000 | | | | Series 2023-B, Class B, 5.560% due 3/15/29 | | | | | 3,329,953 | | |
| | | 2,405,000 | | | | Series 2023-B, Class C, 5.710% due 12/15/30 | | | | | 2,390,901 | | |
| | | 2,000,000 | | | | Franklin Park Place CLO I LLC, Series 2022-1A, Class A, 6.711% (3-Month TSFR + 1.400%) due 4/14/35(b)(c) | | | | | 1,981,970 | | |
| | | 1,690,000 | | | | FS Rialto, Series 2021-FL3, Class A, 6.677% (1-Month TSFR + 1.364%) due 11/16/36(b)(c) | | | | | 1,650,919 | | |
| | | 550,716 | | | | FS RIALTO, Series 2021-FL2, Class A, 6.647% (1-Month TSFR + 1.334%) due 5/16/38(b)(c) | | | | | 536,667 | | |
| | | 2,500,000 | | | | Generate CLO 6 Ltd., Series 6A, Class A1R, 6.807% (3-Month TSFR + 1.462%) due 1/22/35(b)(c) | | | | | 2,476,337 | | |
| | | | | | | GLS Auto Receivables Issuer Trust: | | | | | | | |
| | | 968,754 | | | | Series 2021-2A, Class C, 1.080% due 6/15/26(c) | | | | | 948,001 | | |
| | | 100,000 | | | | Series 2022-3A, Class B, 4.920% due 1/15/27(c) | | | | | 98,393 | | |
| | | | | | | GM Financial Consumer Automobile Receivables Trust: | | | | | | | |
| | | 2,750,000 | | | | Series 2021-1, Class C, 1.040% due 5/17/27 | | | | | 2,575,331 | | |
| | | 2,455,000 | | | | Series 2023-2, Class B, 4.820% due 10/16/28 | | | | | 2,406,418 | | |
| | | 1,500,000 | | | | Series 2023-2, Class C, 5.210% due 12/18/28 | | | | | 1,479,784 | | |
| | | 1,555,000 | | | | Series 2023-3, Class B, 5.720% due 1/16/29 | | | | | 1,558,255 | | |
| | | 2,290,000 | | | | Series 2023-3, Class C, 5.920% due 2/16/29 | | | | | 2,295,101 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 1,000,000 | | | | Goldentree Loan Management US CLO 15 Ltd., Series 2022-15A, Class DR, 0.000% (3-Month TSFR + 4.400%) due 10/20/36(b)(c)(d)(j) | | | | $ | 1,000,089 | | |
| | | 1,357,279 | | | | GoodLeap Sustainable Home Solutions Trust, Series 2021-5CS, Class C, 3.500% due 10/20/48(c) | | | | | 929,342 | | |
| | | 785,000 | | | | Greystone CRE Notes Ltd., Series 2019-FL2, Class C, 7.425% (1-Month USD-LIBOR + 2.000%) due 9/15/37(b)(c) | | | | | 767,001 | | |
| | | 1,000,000 | | | | Halsey Point CLO I Ltd., Series 2019-1A, Class B1, 7.788% (3-Month TSFR + 2.462%) due 1/20/33(b)(c) | | | | | 995,000 | | |
| | | 500,000 | | | | Halseypoint CLO 5 Ltd., Series 2021-5A, Class A1A, 6.841% (3-Month TSFR + 1.472%) due 1/30/35(b)(c) | | | | | 498,001 | | |
| | | 1,235,000 | | | | Hertz Vehicle Financing III LLC, Series 2023-3A, Class A, 5.940% due 2/25/28(c) | | | | | 1,235,726 | | |
| | | | | | | Home Partners of America Trust: | | | | | | | |
| | | 1,674,107 | | | | Series 2021-1, Class D, 2.477% due 9/17/41(c) | | | | | 1,382,755 | | |
| | | 764,716 | | | | Series 2021-1, Class E, 2.577% due 9/17/41(c) | | | | | 630,567 | | |
| | | 880,973 | | | | Series 2021-1, Class F, 3.325% due 9/17/41(c) | | | | | 707,244 | | |
| | | 4,416,429 | | | | Horizon Aircraft Finance III Ltd., Series 2019-2, Class A, 3.425% due 11/15/39(c) | | | | | 3,438,499 | | |
| | | 1,950,000 | | | | John Deere Owner Trust, Series 2023-B, Class A4, 5.110% due 5/15/30 | | | | | 1,934,256 | | |
| | | 4,019,200 | | | | JP Morgan Mortgage Acquisition Corp., Series 2005-WMC1, Class M4, 6.329% (1-Month TSFR + 1.014%) due 9/25/35(b) | | | | | 3,553,717 | | |
| | | | | | | Kubota Credit Owner Trust: | | | | | | | |
| | | 515,000 | | | | Series 2023-1A, Class A3, 5.020% due 6/15/27(c) | | | | | 510,157 | | |
| | | 520,000 | | | | Series 2023-2A, Class A3, 5.280% due 1/18/28(c) | | | | | 519,010 | | |
| | | 1,000,000 | | | | LCM XV LP, Series 15A, Class DR, 9.288% (3-Month TSFR + 3.962%) due 7/20/30(b)(c) | | | | | 922,663 | | |
| | | 1,376,666 | | | | Lendingpoint Asset Securitization Trust, Series 2021-A, Class C, 2.750% due 12/15/28(c) | | | | | 1,349,180 | | |
| | | 1,000,000 | | | | Marble Point CLO XXI Ltd., Series 2021-3A, Class A1, 6.810% (3-Month TSFR + 1.502%) due 10/17/34(b)(c) | | | | | 992,279 | | |
| | | 1,000,000 | | | | Marble Point CLO XXII Ltd., Series 2021-2A, Class A, 6.813% (3-Month TSFR + 1.462%) due 7/25/34(b)(c) | | | | | 983,783 | | |
| | | 518,392 | | | | Marlette Funding Trust, Series 2019-4A, Class C, 3.760% due 12/17/29(c) | | | | | 513,243 | | |
| | | 1,925,000 | | | | ME Funding LLC, Series 2019-1, Class A2, 6.448% due 7/30/49(c) | | | | | 1,878,815 | | |
| | | 7,863,705 | | | | Merrill Lynch Mortgage Investors Trust, Series 2006-HE6, Class A1, 5.709% (1-Month TSFR + 0.394%) due 11/25/37(b) | | | | | 3,874,631 | | |
| | | 1,000,000 | | | | MetroNet Infrastructure Issuer LLC, Series 2023-1A, Class A2, 6.560% due 4/20/53(c) | | | | | 976,121 | | |
| | | | | | | MF1 Ltd.: | | | | | | | |
| | | 410,000 | | | | Series 2021-FL7, Class A, 6.506% (1-Month TSFR + 1.194%) due 10/16/36(b)(c) | | | | | 401,800 | | |
| | | 845,000 | | | | Series 2022-FL8, Class AS, 7.064% (1-Month TSFR + 1.750%) due 2/19/37(b)(c) | | | | | 824,688 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 821,382 | | | | MKS CLO Ltd., Series 2017-1A, Class AR, 6.588% (3-Month TSFR + 1.262%) due 7/20/30(b)(c) | | | | $ | 818,065 | | |
| | | 853,703 | | | | MP CLO III Ltd., Series 2013-1A, Class AR, 6.838% (3-Month TSFR + 1.512%) due 10/20/30(b)(c) | | | | | 853,214 | | |
| | | | | | | Navient Private Education Refi Loan Trust: | | | | | | | |
| | | 410,290 | | | | Series 2021-EA, Class A, 0.970% due 12/16/69(c) | | | | | 345,361 | | |
| | | 627,006 | | | | Series 2021-FA, Class A, 1.110% due 2/18/70(c) | | | | | 527,324 | | |
| | | 789,933 | | | | Series 2023-A, Class A, 5.510% due 10/15/71(c) | | | | | 779,965 | | |
| | | 4,000,000 | | | | New Century Home Equity Loan Trust, Series 2005-B, Class M2, 6.164% (1-Month TSFR + 0.849%) due 10/25/35(b) | | | | | 3,312,672 | | |
| | | 1,050,000 | | | | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.910% due 10/20/61(c) | | | | | 905,373 | | |
| | | 929,932 | | | | Northwoods Capital XVI Ltd., Series 2017-16A, Class A, 6.896% (3-Month TSFR + 1.532%) due 11/15/30(b)(c) | | | | | 930,250 | | |
| | | 925,000 | | | | Octagon 61 Ltd., Series 2023-2A, Class B, 7.419% (3-Month TSFR + 2.350%) due 4/20/36(b)(c) | | | | | 922,618 | | |
| | | 500,000 | | | | Octagon Investment Partners 51 Ltd., Series 2021-1A, Class A, 6.738% (3-Month TSFR + 1.412%) due 7/20/34(b)(c) | | | | | 495,261 | | |
| | | 962,500 | | | | Octagon Investment Partners XXI Ltd., Series 2014-1A, Class A2R3, 7.031% (3-Month TSFR + 1.662%) due 2/14/31(b)(c) | | | | | 940,761 | | |
| | | 995,000 | | | | OneMain Direct Auto Receivables Trust, Series 2023-1A, Class A, 5.410% due 11/14/29(c) | | | | | 986,498 | | |
| | | | | | | Pagaya AI Debt Selection Trust: | | | | | | | |
| | | 970,903 | | | | Series 2021-1, Class B, 2.130% due 11/15/27(c) | | | | | 959,373 | | |
| | | 1,999,891 | | | | Series 2021-3, Class B, 1.740% due 5/15/29(c) | | | | | 1,945,768 | | |
| | | | | | | Pagaya AI Debt Trust: | | | | | | | |
| | | 1,499,802 | | | | Series 2022-1, Class B, 3.344% due 10/15/29(c) | | | | | 1,414,232 | | |
| | | 1,352,384 | | | | Series 2023-3, Class A, 7.600% due 12/16/30(c) | | | | | 1,357,785 | | |
| | | 2,915,000 | | | | PFS Financing Corp., Series 2023-C, Class A, 5.520% due 10/16/28(c) | | | | | 2,912,186 | | |
| | | 1,800,000 | | | | PMT Issuer Trust – FMSR, Series 2021-FT1, Class A, 8.429% (1-Month USD-LIBOR + 3.000%) due 3/25/26(b)(c) | | | | | 1,739,772 | | |
| | | 745,000 | | | | Prestige Auto Receivables Trust, Series 2022-1A, Class B, 6.550% due 7/17/28(c) | | | | | 745,242 | | |
| | | 503,812 | | | | PRET LLC, Series 2021-NPL3, Class A1, step bond to yield, 1.868% due 7/25/51(c) | | | | | 470,513 | | |
| | | | | | | Pretium Mortgage Credit Partners I LLC: | | | | | | | |
| | | 547,750 | | | | Series 2021-NPL2, Class A1, step bond to yield, 1.992% due 6/27/60(c) | | | | | 510,091 | | |
| | | 1,023,687 | | | | Series 2021-NPL4, Class A1, step bond to yield, 2.363% due 10/27/60(c) | | | | | 963,654 | | |
| | | | | | | Progress Residential Trust: | | | | | | | |
| | | 3,720,000 | | | | Series 2021-SFR11, Class B, 2.732% due 1/17/39(c) | | | | | 3,164,487 | | |
| | | 332,727 | | | | Series 2022-SFR3, Class A, 3.200% due 4/17/39(c) | | | | | 304,229 | | |
| | | 247,578 | | | | Series 2022-SFR5, Class A, 4.451% due 6/17/39(c) | | | | | 236,112 | | |
| | | 1,063,454 | | | | Series 2022-SFR6, Class A, 4.451% due 7/20/39(c) | | | | | 1,013,375 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 550,000 | | | | Series 2023-SFR1, Class A, 4.300% due 3/17/40(c) | | | | $ | 519,077 | | |
| | | 1,885,703 | | | | Race Point IX CLO Ltd., Series 2015-9A, Class A1A2, 6.510% (3-Month TSFR + 1.202%) due 10/15/30(b)(c) | | | | | 1,879,970 | | |
| | | 2,010,000 | | | | Regatta VI Funding Ltd., Series 2016-1A, Class AR2, 6.748% (3-Month TSFR + 1.422%) due 4/20/34(b)(c) | | | | | 1,996,812 | | |
| | | 1,000,000 | | | | Regatta XI Funding Ltd., Series 2018-1A, Class B, 7.220% (3-Month TSFR + 1.912%) due 7/17/31(b)(c) | | | | | 985,154 | | |
| | | 1,420,000 | | | | RR 23 Ltd., Series 2022-23A, Class A2R, 7.999% (3-Month TSFR + 2.650%) due 10/15/35(b)(c) | | | | | 1,423,665 | | |
| | | 500,000 | | | | Sandstone Peak Ltd., Series 2021-1A, Class A1, 6.790% (3-Month TSFR + 1.482%) due 10/15/34(b)(c) | | | | | 499,884 | | |
| | | | | | | Santander Drive Auto Receivables Trust: | | | | | | | |
| | | 840,000 | | | | Series 2022-4, Class B, 4.420% due 11/15/27 | | | | | 821,418 | | |
| | | 185,000 | | | | Series 2022-6, Class B, 4.720% due 6/15/27 | | | | | 181,619 | | |
| | | 740,000 | | | | Series 2022-7, Class B, 5.950% due 1/17/28 | | | | | 738,768 | | |
| | | 365,000 | | | | Series 2023-1, Class B, 4.980% due 2/15/28 | | | | | 358,552 | | |
| | | 635,000 | | | | Series 2023-3, Class B, 5.610% due 7/17/28 | | | | | 632,334 | | |
| | | 520,000 | | | | SFS Auto Receivables Securitization Trust, Series 2023-1A, Class A4, 5.470% due 12/20/29(c) | | | | | 516,827 | | |
| | | 20,470 | | | | SoFi Consumer Loan Program Trust, Series 2021-1, Class A, 0.490% due 9/25/30(c) | | | | | 20,255 | | |
| | | 1,000,000 | | | | Sofi Professional Loan Program Trust, Series 2018-B, Class BFX, 3.830% due 8/25/47(c) | | | | | 901,056 | | |
| | | 1,710,000 | | | | Sound Point CLO XXIX Ltd., Series 2021-1A, Class A, 6.683% (3-Month TSFR + 1.332%) due 4/25/34(b)(c) | | | | | 1,680,743 | | |
| | | 500,000 | | | | Sound Point CLO XXVII Ltd., Series 2020-2A, Class AR, 6.793% (3-Month TSFR + 1.442%) due 10/25/34(b)(c) | | | | | 493,326 | | |
| | | 915,000 | | | | Stack Infrastructure Issuer LLC, Series 2023-2A, Class A2, 5.900% due 7/25/48(c) | | | | | 891,626 | | |
| | | 3,500,000 | | | | STAR Trust, Series 2021-SFR1, Class G, 8.625% (1-Month TSFR + 3.314%) due 4/17/38(b)(c) | | | | | 3,347,350 | | |
| | | 8,700,000 | | | | Structured Asset Investment Loan Trust, Series 2006-4, Class A5, 5.739% (1-Month TSFR + 0.424%) due 7/25/36(b) | | | | | 2,829,805 | | |
| | | 813,356 | | | | Sunnova Helios V Issuer LLC, Series 2021-A, Class A, 1.800% due 2/20/48(c) | | | | | 681,435 | | |
| | | 1,820,156 | | | | Sunrun Demeter Issuer LLC, Series 2021-2A, Class A, 2.270% due 1/30/57(c) | | | | | 1,454,941 | | |
| | | 500,000 | | | | Tesla Auto Lease Trust, Series 2021-B, Class B, 0.910% due 9/22/25(c) | | | | | 478,421 | | |
| | | 735,000 | | | | Texas Natural Gas Securitization Finance Corp., Series , Class , 5.102% due 4/1/35 | | | | | 733,434 | | |
| | | 257,643 | | | | Tricolor Auto Securitization Trust, Series 2023-1A, Class A, 6.480% due 8/17/26(c) | | | | | 257,072 | | |
| | | 380,000 | | | | Tricon Residential Trust, Series 2023-SFR1, Class A, 5.100% due 7/17/40(c) | | | | | 371,645 | | |
| | | 424,430 | | | | TRTX Issuer Ltd., Series 2021-FL4, Class A, 6.628% (1-Month TSFR + 1.314%) due 3/15/38(b)(c) | | | | | 408,657 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | | | | | | Upstart Pass-Through Trust: | | ||||||
| | $ | 380,654 | | | | Series 2021-ST3, Class A, 2.000% due 5/20/27(c) | | | | $ | 367,253 | | |
| | | 469,884 | | | | Series 2021-ST4, Class A, 2.000% due 7/20/27(c) | | | | | 448,920 | | |
| | | | | | | Upstart Securitization Trust: | | | | | | | |
| | | 191,118 | | | | Series 2019-3, Class C, 5.381% due 1/21/30(c) | | | | | 190,875 | | |
| | | 679,740 | | | | Series 2020-1, Class C, 4.899% due 4/22/30(c) | | | | | 670,737 | | |
| | | 19,147 | | | | Series 2021-3, Class A, 0.830% due 7/20/31(c) | | | | | 19,052 | | |
| | | 124,725 | | | | Series 2021-4, Class A, 0.840% due 9/20/31(c) | | | | | 123,182 | | |
| | | 960,000 | | | | Vantage Data Centers Issuer LLC, Series 2019-1A, Class A2, 3.188% due 7/15/44(c) | | | | | 931,006 | | |
| | | 1,203,510 | | | | VCAT LLC, Series 2021-NPL6, Class A1, step bond to yield, 1.917% due 9/25/51(c) | | | | | 1,112,094 | | |
| | | 1,710,000 | | | | Venture 42 CLO Ltd., Series 2021-42A, Class A1A, 6.700% (3-Month TSFR + 1.392%) due 4/15/34(b)(c) | | | | | 1,675,865 | | |
| | | 660,000 | | | | Venture 43 CLO Ltd., Series 2021-43A, Class A1, 6.810% (3-Month TSFR + 1.502%) due 4/15/34(b)(c) | | | | | 657,177 | | |
| | | 985,867 | | | | Vericrest Opportunity Loan Transferee, Series 2021-NP11, Class A1, step bond to yield, 1.868% due 8/25/51(c) | | | | | 903,333 | | |
| | | 3,315,000 | | | | Verizon Master Trust, Series 2023-2, Class C, 5.380% due 4/13/28 | | | | | 3,273,358 | | |
| | | 618,018 | | | | VOLT CIII LLC, Series 2021-CF1, Class A1, step bond to yield, 1.992% due 8/25/51(c)(d) | | | | | 570,722 | | |
| | | 679,970 | | | | VOLT XCIX LLC, Series 2021-NPL8, Class A1, step bond to yield, 2.116% due 4/25/51(c) | | | | | 633,684 | | |
| | | 396,852 | | | | VOLT XCV LLC, Series 2021-NPL4, Class A1, step bond to yield, 2.240% due 3/27/51(c) | | | | | 380,717 | | |
| | | | | | | Wellfleet CLO X Ltd.: | | | | | | | |
| | | 1,335,000 | | | | Series 2019-XA, Class A1R, 6.758% (3-Month TSFR + 1.432%) due 7/20/32(b)(c) | | | | | 1,317,968 | | |
| | | 1,000,000 | | | | Series 2019-XA, Class A2R, 7.338% (3-Month TSFR + 2.012%) due 7/20/32(b)(c) | | | | | 973,976 | | |
| | | 877,100 | | | | Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370% due 6/15/51(c) | | | | | 729,596 | | |
| | | | | | | Westlake Automobile Receivables Trust: | | | | | | | |
| | | 200,000 | | | | Series 2023-1A, Class B, 5.410% due 1/18/28(c) | | | | | 197,807 | | |
| | | 895,000 | | | | Series 2023-2A, Class B, 6.140% due 3/15/28(c) | | | | | 897,495 | | |
| | | 985,000 | | | | Wingstop Funding LLC, Series 2020-1A, Class A2, 2.841% due 12/5/50(c) | | | | | 864,861 | | |
| | | 330,000 | | | | World Omni Auto Receivables Trust, Series 2023-A, Class B, 5.030% due 5/15/29 | | | | | 324,096 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $211,706,225) | | | | | 196,190,743 | | |
| SENIOR LOANS(b) – 0.7% | | ||||||||||||
| | | 76,000 | | | | AAdvantage Loyalty IP Ltd., 10.338% (3-Month USD-LIBOR + 0.475%) due 4/20/28 | | | | | 78,862 | | |
| | | 25,000 | | | | Access CIG LLC, 10.331% (1-Month USD-LIBOR + 0.500%) due 8/18/28 | | | | | 24,490 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | | | | | | Acrisure LLC: | | ||||||
| | $ | 110,000 | | | | 8.946% (1-Month USD-LIBOR + 0.350%) due 2/15/27 | | | | $ | 107,702 | | |
| | | 221,625 | | | | 9.696% (1-Month USD-LIBOR + 0.425%) due 2/15/27 | | | | | 220,517 | | |
| | | 40,625 | | | | Acuris Finance U.S. Inc., 9.392% (3-Month USD-LIBOR + 0.400%) due 2/16/28 | | | | | 40,289 | | |
| | | 35,000 | | | | ADMI Corp., due 12/23/27(k) | | | | | 32,185 | | |
| | | 163,350 | | | | Air Canada, 9.128% (3-Month USD-LIBOR + 0.350%) due 8/11/28 | | | | | 163,321 | | |
| | | 107,525 | | | | AlixPartners LLP, 8.196% (1-Month USD-LIBOR + 0.275%) due 2/4/28 | | | | | 107,360 | | |
| | | 79,600 | | | | Alliant Holdings Intermediate LLC, 8.814% (1-Month USD-LIBOR + 0.350%) due 11/5/27 | | | | | 79,536 | | |
| | | 49,125 | | | | Allied Universal Holdco LLC, 9.181% (1-Month USD-LIBOR + 0.375%) due 5/12/28 | | | | | 47,697 | | |
| | | 61,321 | | | | Allspring Buyer LLC, 8.753% (3-Month USD-LIBOR + 0.325%) due 11/1/28 | | | | | 61,178 | | |
| | | 39,900 | | | | Altice France SA, 10.808% (3-Month USD-LIBOR + 0.550%) due 8/15/28 | | | | | 34,838 | | |
| | | 53,350 | | | | American Airlines Inc., 6.510% (6-Month USD-LIBOR + 0.175%) due 1/29/27 | | | | | 52,477 | | |
| | | 9,750 | | | | AmWINS Group Inc., 7.696% (1-Month USD-LIBOR + 0.225%) due 2/19/28 | | | | | 9,738 | | |
| | | 298,485 | | | | Ascend Learning LLC, 8.931% (1-Month USD-LIBOR + 0.350%) due 12/11/28 | | | | | 286,653 | | |
| | | 240,383 | | | | Astra Acquisition Corp., 10.696% (1-Month USD-LIBOR + 0.525%) due 10/25/28 | | | | | 183,593 | | |
| | | 20,000 | | | | Asurion LLC, 10.696% (1-Month USD-LIBOR + 0.525%) due 1/31/28 | | | | | 17,856 | | |
| | | 137,694 | | | | athenahealth Group Inc., 8.820% (1-Month USD-LIBOR + 0.350%) due 2/15/29 | | | | | 135,915 | | |
| | | 268,746 | | | | Aveanna Healthcare LLC, 0.000% due 7/17/28 | | | | | 234,481 | | |
| | | 152,213 | | | | Axalta Coating Systems Dutch Holding B BV, 7.926% (1-Month USD-LIBOR + 0.250%) due 12/20/29 | | | | | 152,450 | | |
| | | 331,095 | | | | Bausch + Lomb Corp., 8.592% (3-Month USD-LIBOR + 0.325%) due 5/10/27 | | | | | 323,275 | | |
| | | 152,310 | | | | Boxer Parent Co., Inc., 9.196% (1-Month USD-LIBOR + 0.375%) due 10/2/25 | | | | | 152,187 | | |
| | | 139,650 | | | | Caesars Entertainment Inc., 8.681% (1-Month USD-LIBOR + 0.325%) due 2/6/30 | | | | | 139,633 | | |
| | | 14,438 | | | | Calpine Corp., 7.446% (1-Month USD-LIBOR + 0.200%) due 8/12/26 | | | | | 14,417 | | |
| | | 299,579 | | | | Carnival Corp., 8.696% (1-Month USD-LIBOR + 0.325%) due 10/18/28 | | | | | 298,737 | | |
| | | 150,475 | | | | Cengage Learning Inc., 10.323% (3-Month USD-LIBOR + 0.475%) due 7/14/26 | | | | | 149,928 | | |
| | | 121,875 | | | | Charter Next Generation Inc., 9.196% (1-Month USD-LIBOR + 0.375%) due 12/1/27 | | | | | 120,941 | | |
| | | 144,632 | | | | CHG Healthcare Services Inc. due 9/29/28(k) | | | | | 143,638 | | |
| | | 245,000 | | | | Clarios Global LP, 9.081% (1-Month USD-LIBOR + 0.375%) due 5/6/30 | | | | | 244,312 | | |
| | | 8,630 | | | | Columbus McKinnon Corp., 8.230% (3-Month USD-LIBOR + 0.275%) due 5/14/28 | | | | | 8,630 | | |
| | | 62,888 | | | | Connect Finco SARL, 8.831% (1-Month USD-LIBOR + 0.350%) due 12/11/26 | | | | | 62,681 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 78,295 | | | | Constellation Renewables LLC, 8.184% (3-Month USD-LIBOR + 0.250%) due 12/15/27 | | | | $ | 77,741 | | |
| | | 102,792 | | | | Cornerstone OnDemand Inc., 9.253% (3-Month USD-LIBOR + 0.375%) due 10/16/28 | | | | | 97,609 | | |
| | | 99,338 | | | | Cyxtera DC Holdings Inc., 10.250% (3-Month USD-LIBOR + 0.200%) due 5/1/24 | | | | | 59,404 | | |
| | | 117,995 | | | | DCert Buyer Inc., 9.331% (1-Month USD-LIBOR + 0.400%) due 10/16/26 | | | | | 117,477 | | |
| | | 15,000 | | | | DG Investment Intermediate Holdings 2 Inc., 12.196% (1-Month USD-LIBOR + 0.675%) due 3/30/29 | | | | | 13,208 | | |
| | | 110,026 | | | | DIRECTV Financing LLC, 10.446% (1-Month USD-LIBOR + 0.500%) due 8/2/27 | | | | | 108,626 | | |
| | | | | | | Dynasty Acquisition Co., Inc.: | | | | | | | |
| | | 245,000 | | | | 9.315% (1-Month USD-LIBOR + 0.400%) due 8/24/28 | | | | | 244,451 | | |
| | | 185,996 | | | | EAB Global Inc., 9.130% (3-Month USD-LIBOR + 0.350%) due 8/16/28 | | | | | 183,943 | | |
| | | 24,438 | | | | Ecovyst Catalyst Technologies LLC, 7.969% (3-Month USD-LIBOR + 0.250%) due 6/9/28 | | | | | 24,311 | | |
| | | | | | | EG Group Ltd.: | | | | | | | |
| | | 61,386 | | | | 9.433% (1-Month USD-LIBOR + 0.400%) due 2/7/25 | | | | | 61,283 | | |
| | | 36,426 | | | | 9.414% (1-Month USD-LIBOR + 0.425%) due 3/31/26 | | | | | 36,267 | | |
| | | | | | | Envision Healthcare Corp.: | | | | | | | |
| | | 65,209 | | | | 8.992% (3-Month USD-LIBOR + 0.375%) due 3/31/27 | | | | | 119 | | |
| | | 26,828 | | | | 9.492% (3-Month USD-LIBOR + 0.425%) due 3/31/27 | | | | | 6,618 | | |
| | | 327,125 | | | | Fertitta Entertainment LLC, 9.331% (1-Month USD-LIBOR + 0.400%) due 1/27/29 | | | | | 323,628 | | |
| | | 20,787 | | | | Flame NewCo LLC, 11.431% (1-Month USD-LIBOR + 0.600%) due 6/30/28 | | | | | 19,401 | | |
| | | 147,145 | | | | Flutter Entertainment PLC, 7.753% (3-Month USD-LIBOR + 0.225%) due 7/21/26 | | | | | 147,020 | | |
| | | 290,000 | | | | Formula One Management Ltd., 8.331% (1-Month USD-LIBOR + 0.300%) due 1/15/30 | | | | | 290,725 | | |
| | | 117,293 | | | | Gainwell Acquisition Corp., 9.342% (3-Month USD-LIBOR + 0.400%) due 10/1/27 | | | | | 115,351 | | |
| | | 155,000 | | | | Garda World Security Corp., 9.668% (1-Month USD-LIBOR + 0.425%) due 10/30/26 | | | | | 154,640 | | |
| | | 77,572 | | | | Getty Images Inc., 9.842% (3-Month USD-LIBOR + 0.450%) due 2/19/26 | | | | | 77,572 | | |
| | | 33,365 | | | | Grab Holdings Inc., 9.946% (1-Month USD-LIBOR + 0.450%) due 1/29/26 | | | | | 33,490 | | |
| | | 128,053 | | | | Graham Packaging Co., Inc., 8.446% (1-Month USD-LIBOR + 0.300%) due 8/4/27 | | | | | 127,686 | | |
| | | 107,264 | | | | Great Outdoors Group LLC, 9.196% (1-Month USD-LIBOR + 0.375%) due 3/6/28 | | | | | 106,829 | | |
| | | 24,308 | | | | Greystone Select Financial LLC, 10.582% (3-Month USD-LIBOR + 0.500%) due 6/16/28 | | | | | 23,214 | | |
| | | 155,000 | | | | Grifols Worldwide Operations Ltd., 7.481% (1-Month USD-LIBOR + 0.200%) due 11/15/27 | | | | | 152,946 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 45,781 | | | | H-Food Holdings LLC, 9.269% (3-Month USD-LIBOR + 0.369%) due 5/23/25 | | | | $ | 41,335 | | |
| | | 63,538 | | | | Horizon Therapeutics USA Inc., 7.180% (1-Month USD-LIBOR + 0.175%) due 3/15/28 | | | | | 63,449 | | |
| | | 236,531 | | | | Hunter Douglas Holding BV, 8.891% (3-Month USD-LIBOR + 0.350%) due 2/26/29(d) | | | | | 229,584 | | |
| | | 97,663 | | | | Husky Injection Molding Systems Ltd., 8.731% (3-Month USD-LIBOR + 0.300%) due 3/28/25 | | | | | 96,946 | | |
| | | 50,125 | | | | Hyland Software Inc., 11.696% (1-Month USD-LIBOR + 0.625%) due 7/7/25 | | | | | 49,686 | | |
| | | | | | | Icon PLC: | | | | | | | |
| | | 141,296 | | | | 7.753% (3-Month USD-LIBOR + 0.225%) due 7/3/28 | | | | | 141,311 | | |
| | | 95,551 | | | | iHeartCommunications Inc., 8.446% (1-Month USD-LIBOR + 0.300%) due 5/1/26 | | | | | 85,056 | | |
| | | 87,600 | | | | Ingram Micro Inc., 9.038% (3-Month USD-LIBOR + 0.350%) due 6/30/28 | | | | | 87,408 | | |
| | | 237,489 | | | | Intelsat Jackson Holdings SA, 9.772% (3-Month USD-LIBOR + 0.425%) due 2/1/29 | | | | | 237,358 | | |
| | | 163,892 | | | | ION Trading Finance Ltd. due 4/1/28(k) | | | | | 160,341 | | |
| | | 137,583 | | | | IRB Holding Corp., 8.431% (1-Month USD-LIBOR + 0.300%) due 12/15/27 | | | | | 136,737 | | |
| | | 326,932 | | | | Jazz Pharmaceuticals PLC, 8.946% (1-Month USD-LIBOR + 0.350%) due 5/5/28 | | | | | 326,932 | | |
| | | 72,887 | | | | Kronos Acquisition Holdings Inc., 9.253% (3-Month USD-LIBOR + 0.375%) due 12/22/26 | | | | | 71,875 | | |
| | | 124,600 | | | | LifePoint Health Inc., 9.377% (3-Month USD-LIBOR + 0.375%) due 11/16/25 | | | | | 123,478 | | |
| | | 33,616 | | | | Lions Gate Capital Holdings LLC, 7.681% (1-Month USD-LIBOR + 0.225%) due 3/24/25 | | | | | 33,522 | | |
| | | 139,116 | | | | Lummus Technology Holdings V LLC, 8.946% (1-Month USD-LIBOR + 0.350%) due 6/30/27 | | | | | 138,299 | | |
| | | 35,723 | | | | Maravai Intermediate Holdings LLC, 8.320% (3-Month USD-LIBOR + 0.300%) due 10/19/27 | | | | | 34,294 | | |
| | | 147,000 | | | | Mavis Tire Express Services Topco Corp., 9.446% (1-Month USD-LIBOR + 0.400%) due 5/4/28 | | | | | 146,412 | | |
| | | 78,504 | | | | McAfee Corp., 9.168% (1-Month USD-LIBOR + 0.375%) due 3/1/29 | | | | | 76,933 | | |
| | | 424,625 | | | | Medline Borrower LP, 8.696% (1-Month USD-LIBOR + 0.325%) due 10/23/28 | | | | | 424,137 | | |
| | | 104,753 | | | | Messer Industries GmbH, 8.003% (3-Month USD-LIBOR + 0.250%) due 3/2/26 | | | | | 104,680 | | |
| | | 88,000 | | | | Mileage Plus Holdings LLC, 10.764% (3-Month USD-LIBOR + 0.525%) due 6/21/27 | | | | | 91,670 | | |
| | | 45,000 | | | | Misys Ltd., 12.981% (3-Month USD-LIBOR + 0.725%) due 6/13/25 | | | | | 44,934 | | |
| | | 28,106 | | | | NASCAR Holdings LLC, 7.946% (1-Month USD-LIBOR + 0.250%) due 10/19/26 | | | | | 28,167 | | |
| | | 43,000 | | | | NCR Corp., 7.946% (1-Month USD-LIBOR + 0.250%) due 8/28/26 | | | | | 42,866 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 172,375 | | | | Olympus Water US Holding Corp., 9.253% (3-Month USD-LIBOR + 0.375%) due 11/9/28 | | | | $ | 169,683 | | |
| | | 298,352 | | | | OneDigital Borrower LLC, 9.681% (1-Month USD-LIBOR + 0.425%) due 11/16/27 | | | | | 297,233 | | |
| | | 195,000 | | | | Organon & Co., 8.431% (1-Month USD-LIBOR + 0.300%) due 6/2/28 | | | | | 195,183 | | |
| | | 330,000 | | | | Osmosis Buyer Ltd., 9.062% (1-Month USD-LIBOR + 0.375%) due 7/31/28 | | | | | 328,644 | | |
| | | 53,588 | | | | Packaging Coordinators Midco Inc., 9.003% (3-Month USD-LIBOR + 0.350%) due 11/30/27 | | | | | 53,292 | | |
| | | 43,153 | | | | Packers Holdings LLC, 8.664% (1-Month USD-LIBOR + 0.325%) due 3/9/28 | | | | | 27,995 | | |
| | | 44,497 | | | | PCI Gaming Authority, 7.946% (1-Month USD-LIBOR + 0.250%) due 5/29/26 | | | | | 44,489 | | |
| | | 114,977 | | | | Peraton Corp., 9.181% (1-Month USD-LIBOR + 0.375%) due 2/1/28 | | | | | 113,738 | | |
| | | 109,723 | | | | Perrigo Co. PLC, 7.681% (1-Month USD-LIBOR + 0.225%) due 4/20/29 | | | | | 109,065 | | |
| | | 73,500 | | | | PetSmart LLC, 9.181% (1-Month USD-LIBOR + 0.375%) due 2/11/28 | | | | | 73,271 | | |
| | | 4,873 | | | | PetVet Care Centers LLC, 8.931% (1-Month USD-LIBOR + 0.350%) due 2/14/25 | | | | | 4,834 | | |
| | | 126,100 | | | | PG&E Corp., 8.446% (1-Month USD-LIBOR + 0.300%) due 6/23/25 | | | | | 125,855 | | |
| | | 109,175 | | | | PMHC II Inc., 9.698% (3-Month USD-LIBOR + 0.425%) due 4/23/29 | | | | | 101,743 | | |
| | | 84,277 | | | | Polaris Newco LLC, 9.538% (3-Month USD-LIBOR + 0.400%) due 6/2/28 | | | | | 81,697 | | |
| | | 75,127 | | | | Pregis TopCo LLC, 9.081% (1-Month USD-LIBOR + 0.375%) due 7/31/26 | | | | | 75,049 | | |
| | | 192,075 | | | | Pretium PKG Holdings Inc., 9.530% (3-Month USD-LIBOR + 0.400%) due 10/2/28 | | | | | 116,797 | | |
| | | 280,725 | | | | Proofpoint Inc., 8.696% (1-Month USD-LIBOR + 0.325%) due 8/31/28 | | | | | 277,699 | | |
| | | 170,762 | | | | Pug LLC, 8.946% (1-Month USD-LIBOR + 0.350%) due 2/12/27 | | | | | 161,797 | | |
| | | 116,857 | | | | Radiate Holdco LLC, 8.696% (1-Month USD-LIBOR + 0.325%) due 9/25/26 | | | | | 95,440 | | |
| | | 330,000 | | | | RealPage Inc., 8.446% (1-Month USD-LIBOR + 0.300%) due 4/24/28 | | | | | 325,987 | | |
| | | 9,211 | | | | RentPath Inc., 0.000% due 12/31/25(d) | | | | | 92 | | |
| | | 40,294 | | | | Reynolds Consumer Products LLC, 7.181% (1-Month USD-LIBOR + 0.175%) due 2/4/27 | | | | | 40,253 | | |
| | | 149,812 | | | | Scientific Games Holdings LP, 8.768% (3-Month USD-LIBOR + 0.350%) due 4/4/29 | | | | | 148,922 | | |
| | | 220,000 | | | | Select Medical Corp., 0.000% due 3/6/27 | | | | | 220,000 | | |
| | | 76,500 | | | | SkyMiles IP Ltd., 9.076% (3-Month USD-LIBOR + 0.375%) due 10/20/27 | | | | | 79,551 | | |
| | | 19,300 | | | | SMG US Midco 2 Inc., 8.131% (3-Month USD-LIBOR + 0.250%) due 1/23/25 | | | | | 19,246 | | |
| | | 330,000 | | | | Sophia LP, 9.038% (1-Month USD-LIBOR + 0.350%) due 10/7/27 | | | | | 329,244 | | |
| | | 300,000 | | | | Sotera Health Holdings LLC, 8.196% (1-Month USD-LIBOR + 0.275%) due 12/11/26 | | | | | 296,343 | | |
| | | 37,881 | | | | Spin Holdco Inc., 9.230% (3-Month USD-LIBOR + 0.400%) due 3/4/28 | | | | | 31,631 | | |
| | | 298,899 | | | | SRS Distribution Inc., 8.946% (1-Month USD-LIBOR + 0.350%) due 6/2/28 | | | | | 294,604 | | |
| | | 48,772 | | | | Staples Inc., 10.634% (3-Month USD-LIBOR + 0.500%) due 4/16/26 | | | | | 41,738 | | |
| | | 33,870 | | | | Sunshine Luxembourg VII SARL, 9.092% (3-Month USD-LIBOR + 0.375%) due 10/1/26 | | | | | 33,889 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 127,702 | | | | SWF Holdings I Corp., 9.446% (1-Month USD-LIBOR + 0.400%) due 10/6/28 | | | | $ | 105,993 | | |
| | | 49,000 | | | | Tecta America Corp., 9.446% (1-Month USD-LIBOR + 0.400%) due 4/10/28 | | | | | 48,954 | | |
| | | 152,675 | | | | Tempo Acquisition LLC, 8.331% (1-Month USD-LIBOR + 0.300%) due 8/31/28 | | | | | 152,866 | | |
| | | 287,396 | | | | Trans Union LLC, 7.696% (1-Month USD-LIBOR + 0.225%) due 12/1/28 | | | | | 287,118 | | |
| | | 164,588 | | | | TransDigm Inc., 8.492% (3-Month USD-LIBOR + 0.325%) due 8/24/28 | | | | | 164,662 | | |
| | | 100,371 | | | | Travelport Finance (Luxembourg) SARL, 6.931% (1-Month USD-LIBOR + 0.150%) due 2/28/25 | | | | | 95,394 | | |
| | | 43,675 | | | | Tricorbraun Holdings Inc., 8.696% (1-Month USD-LIBOR + 0.325%) due 3/3/28 | | | | | 42,528 | | |
| | | 132,300 | | | | Triton Water Holdings Inc., 8.753% (3-Month USD-LIBOR + 0.325%) due 3/31/28 | | | | | 129,894 | | |
| | | 352,560 | | | | UKG Inc., 8.618% (3-Month USD-LIBOR + 0.325%) due 5/4/26 | | | | | 352,154 | | |
| | | 31,039 | | | | Ultra Clean Holdings Inc., 9.196% (1-Month USD-LIBOR + 0.375%) due 8/27/25 | | | | | 31,039 | | |
| | | 42,791 | | | | United Airlines Inc., 9.292% (3-Month USD-LIBOR + 0.375%) due 4/21/28 | | | | | 42,844 | | |
| | | 37,193 | | | | Upbound Group Inc., 8.881% (3-Month USD-LIBOR + 0.325%) due 2/17/28 | | | | | 37,054 | | |
| | | 165,725 | | | | US Foods Inc., 7.446% (1-Month USD-LIBOR + 0.200%) due 9/13/26 | | | | | 165,725 | | |
| | | 4,900 | | | | Verscend Holding Corp., 9.446% (1-Month USD-LIBOR + 0.400%) due 8/27/25 | | | | | 4,893 | | |
| | | 38,987 | | | | WaterBridge Midstream Operating LLC, 11.363% (3-Month USD-LIBOR + 0.575%) due 6/22/26 | | | | | 39,071 | | |
| | | 107,438 | | | | WestJet Airlines Ltd., 8.415% (1-Month USD-LIBOR + 0.300%) due 12/11/26 | | | | | 105,185 | | |
| | | 20,000 | | | | Ziggo Financing Partnership, 7.925% (1-Month USD-LIBOR + 0.250%) due 4/30/28 | | | | | 19,531 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $15,865,710) | | | | | 15,490,395 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 0.1% | | | ||||||||||||||
| California – 0.0% | | | ||||||||||||||
| | | 20,000 | | | | AA- | | | Regents of the University of California Medical Center Pooled Revenue, Revenue Bonds, 6.548% due 5/15/48 | | | | | 23,009 | | |
| | | 360,000 | | | | AA- | | | State of California, GO, 7.300% due 10/1/39 | | | | | 426,336 | | |
| | | | | | | | | | Total California | | | | | 449,345 | | |
| Massachusetts – 0.0% | | | ||||||||||||||
| | | 546,203 | | | | Aa1(l) | | | Commonwealth of Massachusetts, Revenue Bonds, 4.110% due 7/15/31 | | | | | 531,410 | | |
| New York – 0.1% | | | ||||||||||||||
| | | 680,000 | | | | BBB+ | | | Metropolitan Transportation Authority, Revenue Bonds, 6.814% due 11/15/40 | | | | | 735,565 | | |
| | | 200,000 | | | | A | | | New York State Thruway Authority, Revenue Bonds, 2.900% due 1/1/35 | | | | | 167,219 | | |
| | | 920,000 | | | | A+ | | | New York Transportation Development Corp., Revenue Bonds, 4.248% due 9/1/35 | | | | | 888,051 | | |
| | | | | | | | | | Total New York | | | | | 1,790,835 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | | ||||||||||||||
| Texas – 0.0% | | | ||||||||||||||
| | $ | 465,000 | | | | A+ | | | Dallas Fort Worth International Airport, Revenue Bonds, 4.507% due 11/1/51 | | | | $ | 416,404 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $3,737,401) | | | | | 3,187,994 | | |
| SOVEREIGN BONDS – 0.1% | | | ||||||||||||||
| Bermuda – 0.0% | | | ||||||||||||||
| | | 890,000 | | | | | | | Bermuda Government International Bond, 2.375% due 8/20/30 | | | | | 727,842 | | |
| Chile – 0.0% | | | ||||||||||||||
| | | 200,000 | | | | | | | Chile Government International Bond, 3.100% due 1/22/61 | | | | | 125,760 | | |
| Colombia – 0.0% | | | ||||||||||||||
| | | 600,000 | | | | | | | Colombia Government International Bond, 4.125% due 5/15/51 | | | | | 360,108 | | |
| Dominican Republic – 0.0% | | | ||||||||||||||
| | | 100,000 | | | | | | | Dominican Republic International Bond, 8.625% due 4/20/27 | | | | | 104,252 | | |
| Hungary – 0.0% | | | ||||||||||||||
| | | 595,000 | | | | | | | Hungary Government International Bond, 5.250% due 6/16/29(c) | | | | | 581,272 | | |
| Mexico – 0.0% | | | ||||||||||||||
| | | 579,000 | | | | | | | Mexico Government International Bond, 6.338% due 5/4/53 | | | | | 577,962 | | |
| Panama – 0.0% | | | ||||||||||||||
| | | | | | | | | | Panama Government International Bond: | | | | | | | |
| | | 200,000 | | | | | | | 4.500% due 4/1/56 | | | | | 144,824 | | |
| | | 300,000 | | | | | | | 3.870% due 7/23/60 | | | | | 191,607 | | |
| | | | | | | | | | Total Panama | | | | | 336,431 | | |
| Peru – 0.0% | | | ||||||||||||||
| | | 200,000 | | | | | | | Corp. Financiera de Desarrollo SA, 5.250% due 7/15/29(b) | | | | | 194,752 | | |
| Romania – 0.1% | | | ||||||||||||||
| | | | | | | | | | Romanian Government International Bond: | | | | | | | |
| | | 636,000 | | | | | | | 3.000% due 2/27/27(c) | | | | | 580,668 | | |
| | | 1,228,000 | | | | | | | 3.000% due 2/14/31 | | | | | 1,013,355 | | |
| | | | | | | | | | Total Romania | | | | | 1,594,023 | | |
| Saudi Arabia – 0.0% | | | ||||||||||||||
| | | 430,000 | | | | | | | Saudi Government International Bond, 5.000% due 1/18/53(c) | | | | | 381,218 | | |
| South Africa – 0.0% | | | ||||||||||||||
| | | 200,000 | | | | | | | Republic of South Africa Government International Bond, 4.300% due 10/12/28 | | | | | 176,269 | | |
| | | | | | | | | | TOTAL SOVEREIGN BONDS (Cost – $6,151,949) | | | | | 5,159,889 | | |
| Shares/Units | | | | | | Security | | | Value | | ||||||
| OPEN-END FUND – 2.7% | | | ||||||||||||||
| | | 593,202 | | | | | | | iShares 20+ Year Treasury Bond | | | | $ | 57,327,041 | | |
| | | | | | | | | | (Cost – $58,604,954) | | | | | | | |
| COMMON STOCKS – 0.0% | | | ||||||||||||||
| COMMUNICATIONS – 0.0% | | | ||||||||||||||
| Telecommunications – 0.0% | | | ||||||||||||||
| | | 1,030 | | | | | | | Intelsat SA*(d) | | | | | 22,660 | | |
| INDUSTRIAL – 0.0% | | | ||||||||||||||
| Metals & Mining – 0.0% | | | ||||||||||||||
| | | 1,907 | | | | | | | Flame Aggregator LLC(d)(m) | | | | | 11,976 | | |
| | | | | | | | | | Total Metals & Mining | | | | | 11,976 | | |
| | | | | | | | | | TOTAL INDUSTRIAL | | | | | 11,976 | | |
| | | | | | | | | | TOTAL COMMON STOCKS (Cost – $84,901) | | | | | 34,636 | | |
| RIGHTS – 0.0% | | | ||||||||||||||
| | | 214 | | | | | | | Intelsat Jackson Holdings SA*(d) | | | | | 1,204 | | |
| | | | | | | | | | TOTAL RIGHTS (Cost – $0) | | | | | 1,204 | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $2,426,534,257) | | | | | 2,182,559,245 | | |
| Face Amount† | | | | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 1.4% | | |||||||||||||||
| TIME DEPOSITS – 1.3% | | |||||||||||||||
| | $ | 3,114,224 | | | | | | | ANZ National Bank – London, 4.680% due 9/1/23 | | | | | 3,114,224 | | |
| | | 7,145,266 | | | | | | | Barclays Bank PLC – London, 4.680% due 9/1/23 | | | | | 7,145,266 | | |
| | | 95EUR | | | | | | | Citibank – London, 2.630% due 9/1/23 | | | | | 103 | | |
| | | 6,825,899 | | | | | | | Citibank – New York, 4.680% due 9/1/23 | | | | | 6,825,899 | | |
| | | 136,428 | | | | | | | JPMorgan Chase & Co. – New York, 4.680% due 9/1/23 | | | | | 136,428 | | |
| | | 10,611,507 | | | | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 4.680% due 9/1/23 | | | | | 10,611,507 | | |
| | | | | | | | | | TOTAL TIME DEPOSITS (Cost – $27,833,427) | | | | | 27,833,427 | | |
| U.S. GOVERNMENT OBLIGATION – 0.1% | | |||||||||||||||
| | | 900,000 | | | | | | | U.S. Treasury Bills, 4.960% due 12/28/23(n) (Cost – $885,790) | | | | | 884,402 | | |
| | | | | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $28,719,217) | | | | | 28,717,829 | | |
| | | | | | | | | | TOTAL INVESTMENTS – 104.6% (Cost – $2,455,253,474) | | | | | 2,211,277,074 | | |
| | | | | | | | | | Liabilities in Excess of Other Assets – (4.6)% | | | | | (98,241,729) | | |
| | | | | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 2,113,035,345 | | |
Security | | | First Acquisition Date | | | First Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes: | | | | | | | | | | | | | | | | | | | | | | | | | |
3.550% due 12/15/29 | | | | | 3/24/2022 | | | | | $ | 134,858 | | | | | $ | 123,080 | | | | | | 0.00% | | |
TransCanada PipeLines Ltd., Senior Unsecured Notes, 2.500% due 10/12/31 | | | | | 10/7/2021 | | | | | | 476,842 | | | | | | 322,699 | | | | | | 0.01% | | |
Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes, 3.250% due 5/15/30 | | | | | 3/17/2022 | | | | | | 220,781 | | | | | | 136,616 | | | | | | 0.02% | | |
Total | | | | | | | | | | | | | | | | $ | 582,395 | | | | | | 0.03% | | |
| Mortgage-Backed Securities | | | | | 23.2% | | |
| Corporate Bonds & Notes | | | | | 22.8 | | |
| Collateralized Mortgage Obligations | | | | | 20.3 | | |
| U.S. Government Obligations | | | | | 19.9 | | |
| Asset-Backed Securities | | | | | 8.9 | | |
| Open-End Fund | | | | | 2.6 | | |
| Senior Loans | | | | | 0.7 | | |
| Sovereign Bonds | | | | | 0.2 | | |
| Municipal Bonds | | | | | 0.1 | | |
| Common Stocks | | | | | 0.0* | | |
| Rights | | | | | 0.0* | | |
| Short-Term Investments | | | | | 1.3 | | |
| | | | | | 100.0% | | |
Open Futures Contracts | | | Number of Contracts | | | Expiration Date (Month/Year) | | | Notional Amounts | | | Market Value | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||
Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. 10 Year Note (CBT) | | | | | 668 | | | | | | 12/23 | | | | | $ | 73,537,447 | | | | | $ | 74,168,875 | | | | | $ | 631,428 | | |
U.S. 2 Year Note (CBT) | | | | | 210 | | | | | | 12/23 | | | | | | 42,663,492 | | | | | | 42,798,985 | | | | | | 135,493 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | 766,921 | | |
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. 10 Year Ultra | | | | | 275 | | | | | | 12/23 | | | | | $ | (31,589,140) | | | | | $ | 31,930,078 | | | | | $ | (340,938) | | |
U.S. 5 Year Note (CBT) | | | | | 459 | | | | | | 12/23 | | | | | | (48,709,750) | | | | | | 49,077,140 | | | | | | (367,390) | | |
U.S. Long Bond (CBT) | | | | | 124 | | | | | | 12/23 | | | | | | (14,894,071) | | | | | | 15,089,251 | | | | | | (195,180) | | |
U.S. Ultra Bond (CBT) | | | | | 53 | | | | | | 12/23 | | | | | | (6,776,992) | | | | | | 6,861,844 | | | | | | (84,852) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | (988,360) | | |
Net Unrealized Depreciation on Open Exchange Traded Futures Contracts | | | | $ | (221,439) | | |
Pay/Receive Floating Rate | | | Floating Rate Index | | | Fixed Rate | | | Maturity Date | | | Notional Amounts | | | Market Value | | | Upfront Premiums Paid/ (Received) | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||
Receive | | | 1D SOFR | | | | | 3.590% | | | | | | 9/20/53 | | | | USD 2,765,000 | | | | $ | (31,064) | | | | | $ | 11,920 | | | | | $ | (42,984) | | |
Receive | | | 1D SOFR | | | | | 3.250% | | | | | | 6/21/53 | | | | USD 960,000 | | | | | 53,773 | | | | | | (10,562) | | | | | | 64,335 | | |
Receive | | | 1D SOFR | | | | | 2.880% | | | | | | 3/15/53 | | | | USD 990,000 | | | | | 128,047 | | | | | | 11,594 | | | | | | 116,453 | | |
Receive | | | 1D SOFR | | | | | 2.970% | | | | | | 3/15/53 | | | | USD 3,065,000 | | | | | 345,736 | | | | | | 9,928 | | | | | | 335,808 | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 496,492 | | | | | $ | 22,880 | | | | | $ | 473,612 | | |
Reference Obligation | | | Fixed Deal Receive Rate | | | Maturity Date | | | Payment Frequency | | | Implied Credit Spread at 8/31/23(2) | | | Notional Amounts(3) | | | Market Value | | | Upfront Premiums Paid/ (Received) | | | Unrealized Appreciation | | |||||||||||||||||||||
CDX.NA.IG.40 | | | | | 1.000% | | | | | | 6/20/28 | | | | | | 3-Month | | | | | | 0.636% | | | | USD 9,245,000 | | | | $ | 162,413 | | | | | $ | 116,786 | | | | | $ | 45,627 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 162,413 | | | | | $ | 116,786 | | | | | $ | 45,627 | | |
| Face Amounts | | | Security | | | Value | | ||||||
| | | | | | | Federal National Mortgage Association: | | | | | | | |
| | $ | 6,886,000 | | | | 2.500% due 9/1/53(a) (Proceeds – $5,763,513) | | | | $ | (5,704,083) | | |
| | | 4,815,000 | | | | 3.000% due 9/1/53(a) (Proceeds – $4,192,719) | | | | | (4,148,235) | | |
| | | 752,000 | | | | 3.500% due 9/1/53(a) (Proceeds – $675,155) | | | | | (672,129) | | |
| | | 4,080,000 | | | | 4.000% due 9/1/53(a) (Proceeds – $3,766,051) | | | | | (3,765,713) | | |
| Face Amounts | | | Security | | | Value | | ||||||
| | $ | 8,340,000 | | | | 5.000% due 9/1/53(a) (Proceeds – $8,088,299) | | | | $ | (8,086,705) | | |
| | | 854,000 | | | | 5.500% due 9/1/53(a) (Proceeds – $845,927) | | | | | (843,192) | | |
| | | | | | | Government National Mortgage Association: | | | | | | | |
| | | 1,755,000 | | | | 3.000% due 9/1/53(a) (Proceeds – $1,528,632) | | | | | (1,542,960) | | |
| | | 415,000 | | | | 4.000% due 9/1/53(a) (Proceeds – $386,517) | | | | | (386,663) | | |
| | | | | | | TOTAL OPEN FORWARD SALE COMMITMENTS | | | | | | | |
| | | | | | | (Proceeds – $25,246,813) | | | | $ | (25,149,680) | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 46.9% | | ||||||||||||
| Basic Materials – 2.9% | | ||||||||||||
| | $ | 200,000 | | | | Braskem Netherlands Finance BV, Company Guaranteed Notes, 8.500% (5-Year CMT Index + 8.220%) due 1/23/81(a) | | | | $ | 201,150 | | |
| | | 200,000 | | | | Freeport Indonesia PT, Senior Unsecured Notes, 4.763% due 4/14/27(b) | | | | | 192,079 | | |
| | | 250,000 | | | | Freeport-McMoRan Inc., Company Guaranteed Notes, 4.125% due 3/1/28 | | | | | 231,885 | | |
| | | | | | | Glencore Funding LLC, Company Guaranteed Notes: | | | | | | | |
| | | 15,000 | | | | 4.125% due 3/12/24(b) | | | | | 14,862 | | |
| | | 60,000 | | | | 4.000% due 4/16/25(b) | | | | | 58,515 | | |
| | | 155,000 | | | | 1.625% due 9/1/25(b) | | | | | 143,414 | | |
| | | 200,000 | | | | Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT, Senior Unsecured Notes, 4.750% due 5/15/25 | | | | | 196,008 | | |
| | | 200,000 | | | | Industrias Penoles SAB de CV, Senior Unsecured Notes, 4.150% due 9/12/29 | | | | | 181,722 | | |
| | | 6,059,000 | | | | Infrabuild Australia Pty Ltd., Senior Secured Notes, 12.000% due 10/1/24(b) | | | | | 5,882,206 | | |
| | | 200,000 | | | | MEGlobal Canada ULC, Company Guaranteed Notes, 5.000% due 5/18/25 | | | | | 196,200 | | |
| | | 200,000 | | | | Sasol Financing USA LLC, Company Guaranteed Notes, 4.375% due 9/18/26 | | | | | 179,751 | | |
| | | 6,931,000 | | | | Tacora Resources Inc., Senior Secured Notes, 8.250% due 5/15/26(b)(c) | | | | | 4,193,255 | | |
| | | | | | | Total Basic Materials | | | | | 11,671,047 | | |
| Communications – 10.8% | | ||||||||||||
| | | 8,600,000 | | | | BuzzFeed Inc., Company Guaranteed Notes, 8.500% due 12/3/26(b) | | | | | 5,507,440 | | |
| | | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | | | | |
| | | 2,599,000 | | | | 4.500% due 2/1/24 | | | | | 2,580,055 | | |
| | | 401,000 | | | | 7.284% (3-Month TSFR + 1.912%) due 2/1/24(a) | | | | | 402,651 | | |
| | | 7,382,000 | | | | Clear Channel International BV, Senior Secured Notes, 6.625% due 8/1/25(b) | | | | | 7,314,796 | | |
| | | 2,548,000 | | | | Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes, 6.750% due 10/1/26(b) | | | | | 2,417,177 | | |
| | | 195,000 | | | | Expedia Group Inc., Company Guaranteed Notes, 6.250% due 5/1/25(b) | | | | | 195,845 | | |
| | | 4,209,000 | | | | Getty Images Inc., Company Guaranteed Notes, 9.750% due 3/1/27(b) | | | | | 4,202,095 | | |
| | | 120,000 | | | | Meta Platforms Inc., Senior Unsecured Notes, 4.600% due 5/15/28 | | | | | 118,952 | | |
| | | 180,000 | | | | Millicom International Cellular SA, Senior Unsecured Notes, 5.125% due 1/15/28 | | | | | 163,209 | | |
| | | 6,342,000EUR | | | | Opnet SpA, Senior Secured Notes, 9.848% (3-Month EURIBOR + 6.000%) due 2/9/26(a)(b)(d) | | | | | 6,876,630 | | |
| | | 200,000 | | | | Sable International Finance Ltd., Senior Secured Notes, 5.750% due 9/7/27 | | | | | 185,500 | | |
| | | 7,609,000 | | | | Sprint LLC, Company Guaranteed Notes, 7.875% due 9/15/23 | | | | | 7,612,272 | | |
| | | 4,821,000 | | | | TEGNA Inc., Company Guaranteed Notes, 4.750% due 3/15/26(b) | | | | | 4,593,597 | | |
| | | 200,000 | | | | Telefonica Celular del Paraguay SA, Senior Unsecured Notes, 5.875% due 4/15/27 | | | | | 189,500 | | |
| | | 1,818,000 | | | | Uber Technologies Inc., Company Guaranteed Notes, 7.500% due 5/15/25(b) | | | | | 1,835,551 | | |
| | | | | | | Total Communications | | | | | 44,195,270 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – 4.1% | | ||||||||||||
| | $ | 1,739,000 | | | | American Greetings Corp., Company Guaranteed Notes, 8.750% due 4/15/25(b) | | | | $ | 1,711,655 | | |
| | | 1,998,000EUR | | | | DEAG Deutsche Entertainment AG, Senior Unsecured Notes, 8.000% due 7/12/26 | | | | | 2,213,217 | | |
| | | 220,000 | | | | Dollar Tree Inc., Senior Unsecured Notes, 4.000% due 5/15/25 | | | | | 213,434 | | |
| | | 215,000 | | | | General Motors Financial Co., Inc., Company Guaranteed Notes, 5.250% due 3/1/26 | | | | | 211,730 | | |
| | | 2,000,000EUR | | | | Georg Jensen A/S, Secured Notes, 10.323% due 5/14/25(a) | | | | | 2,174,021 | | |
| | | 6,823,199 | | | | Hawaiian Airlines 2013-1 Class A Pass-Through Certificates, Pass-Thru Certificates, 3.900% due 1/15/26 | | | | | 6,174,431 | | |
| | | 354,000 | | | | Hercules Achievement Inc./Varsity Brands Holding Co., Inc., Senior Secured Notes, 13.503% (3-Month TSFR + 8.262%) due 12/22/24(a)(b) | | | | | 346,529 | | |
| | | 230,000 | | | | Hyundai Capital America, Senior Unsecured Notes, 1.000% due 9/17/24(b) | | | | | 218,624 | | |
| | | 215,000 | | | | Marriott International Inc., Senior Unsecured Notes, 3.600% due 4/15/24 | | | | | 211,694 | | |
| | | 1,094,000EUR | | | | Secop Group Holding GmbH, Senior Secured Notes, 11.954% (3-Month EURIBOR + 8.400%) due 12/29/26(a) | | | | | 1,192,155 | | |
| | | 225,000 | | | | Warnermedia Holdings Inc., Company Guaranteed Notes, 3.788% due 3/15/25 | | | | | 217,728 | | |
| | | 2,068,000 | | | | Yum! Brands Inc., Senior Unsecured Notes, 3.875% due 11/1/23 | | | | | 2,057,794 | | |
| | | | | | | Total Consumer Cyclical | | | | | 16,943,012 | | |
| Consumer Non-cyclical – 6.5% | | ||||||||||||
| | | 183,000 | | | | Adani International Container Terminal Pvt Ltd., Senior Secured Notes, 3.000% due 2/16/31 | | | | | 138,692 | | |
| | | 200,000 | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes, 4.000% due 7/30/27 | | | | | 166,592 | | |
| | | 210,000 | | | | Amgen Inc., Senior Unsecured Notes, 5.507% due 3/2/26 | | | | | 210,018 | | |
| | | 200,000 | | | | BRF GmbH, Company Guaranteed Notes, 4.350% due 9/29/26 | | | | | 187,968 | | |
| | | 13,681,000 | | | | Columbia Care Inc., Senior Secured Notes, 9.500% due 2/3/26(d) | | | | | 11,902,470 | | |
| | | 210,000 | | | | Constellation Brands Inc., Senior Unsecured Notes, 5.000% due 2/2/26 | | | | | 207,333 | | |
| | | 3,750,000SEK | | | | Desenio Group AB, 9.221% (3-Month SEK-STIBOR + 5.500%) due 12/16/24(a) | | | | | 228,979 | | |
| | | 215,000 | | | | Elevance Health Inc., Senior Unsecured Notes, 3.500% due 8/15/24 | | | | | 210,379 | | |
| | | | | | | HCA Inc., Company Guaranteed Notes: | | | | | | | |
| | | 195,000 | | | | 5.000% due 3/15/24 | | | | | 193,879 | | |
| | | 20,000 | | | | 5.375% due 2/1/25 | | | | | 19,870 | | |
| | | | | | | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance Inc., Company Guaranteed Notes: | | | | | | | |
| | | 100,000 | | | | 2.500% due 1/15/27 | | | | | 89,890 | | |
| | | 100,000 | | | | 3.000% due 2/2/29 | | | | | 85,801 | | |
| | | 8,497,000 | | | | Leafly Holdings Inc., Senior Unsecured Notes, 8.000% due 1/31/25(e)(d) | | | | | 7,222,450 | | |
| | | 1,678,000 | | | | Nathan’s Famous Inc., Senior Secured Notes, 6.625% due 11/1/25(b) | | | | | 1,668,885 | | |
| | | 200,000 | | | | NBM US Holdings Inc., Company Guaranteed Notes, 7.000% due 5/14/26 | | | | | 197,230 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 220,000 | | | | Philip Morris International Inc., Senior Unsecured Notes, 4.875% due 2/13/26 | | | | $ | 217,855 | | |
| | | 200,000 | | | | PSA Treasury Pte Ltd., Company Guaranteed Notes, 2.500% due 4/12/26 | | | | | 185,970 | | |
| | | | | | | Royalty Pharma PLC, Company Guaranteed Notes: | | | | | | | |
| | | 100,000 | | | | 0.750% due 9/2/23 | | | | | 100,000 | | |
| | | 40,000 | | | | 1.200% due 9/2/25 | | | | | 36,436 | | |
| | | 95,000 | | | | 1.750% due 9/2/27 | | | | | 81,962 | | |
| | | 7,626,000 | | | | UpHealth Inc., Senior Unsecured Notes, 6.250% due 6/15/26(b) | | | | | 3,050,400 | | |
| | | 230,000 | | | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 1.450% due 11/22/24 | | | | | 218,352 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 26,621,411 | | |
| Diversified – 0.6% | | ||||||||||||
| | | 2,505,000EUR | | | | LR Global Holding GmbH, Senior Secured Notes, 11.053% (3-Month EURIBOR + 7.250%) due 2/3/25(a) | | | | | 2,621,105 | | |
| Energy – 3.2% | | ||||||||||||
| | | 220,833 | | | | AI Candelaria Spain SA, Senior Secured Notes, 7.500% due 12/15/28 | | | | | 203,995 | | |
| | | 200,000 | | | | Cosan Luxembourg SA, Company Guaranteed Notes, 7.000% due 1/20/27 | | | | | 199,605 | | |
| | | 100,000 | | | | Ecopetrol SA, Senior Unsecured Notes, 4.125% due 1/16/25 | | | | | 96,912 | | |
| | | | | | | Energy Transfer LP, Senior Unsecured Notes: | | | | | | | |
| | | 180,000 | | | | 5.875% due 1/15/24 | | | | | 179,851 | | |
| | | 10,000 | | | | 4.500% due 4/15/24 | | | | | 9,903 | | |
| | | 5,000 | | | | 4.050% due 3/15/25 | | | | | 4,867 | | |
| | | 20,000 | | | | 4.750% due 1/15/26 | | | | | 19,582 | | |
| | | 145,874 | | | | Galaxy Pipeline Assets Bidco Ltd., Senior Secured Notes, 1.750% due 9/30/27 | | | | | 134,571 | | |
| | | 141,200 | | | | GNL Quintero SA, Senior Unsecured Notes, 4.634% due 7/31/29 | | | | | 135,981 | | |
| | | 2,277,000 | | | | Greenfire Resources Inc., Senior Secured Notes, 12.000% due 8/15/25(b) | | | | | 2,402,235 | | |
| | | 176,852 | | | | Guara Norte SARL, Senior Secured Notes, 5.198% due 6/15/34 | | | | | 154,736 | | |
| | | 3,785,000 | | | | HighPeak Energy Inc., Company Guaranteed Notes, 10.000% due 2/15/24(b)(d) | | | | | 3,851,237 | | |
| | | 166,400 | | | | Hunt Oil Co. of Peru LLC Sucursal Del Peru, Senior Unsecured Notes, 6.375% due 6/1/28 | | | | | 158,356 | | |
| | | 4,705,000 | | | | NGL Energy Operating LLC/NGL Energy Finance Corp., Senior Secured Notes, 7.500% due 2/1/26(b) | | | | | 4,684,182 | | |
| | | 200,000 | | | | Oleoducto Central SA, Senior Unsecured Notes, 4.000% due 7/14/27 | | | | | 179,454 | | |
| | | 200,000 | | | | ONGC Videsh Ltd., Company Guaranteed Notes, 4.625% due 7/15/24 | | | | | 197,675 | | |
| | | 200,000 | | | | Petrobras Global Finance BV, Company Guaranteed Notes, 7.375% due 1/17/27 | | | | | 207,041 | | |
| | | 200,000 | | | | Transportadora de Gas del Peru SA, Senior Unsecured Notes, 4.250% due 4/30/28 | | | | | 192,134 | | |
| | | | | | | Total Energy | | | | | 13,012,317 | | |
| Financial – 5.2% | | ||||||||||||
| | | 215,000 | | | | American Express Co., Senior Unsecured Notes, 4.990% (SOFRRATE + 0.999%) due 5/1/26(a) | | | | | 211,930 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 200,000 | | | | Athene Global Funding, Senior Secured Notes, 6.035% (SOFRRATE + 0.700%) due 5/24/24(a)(b) | | | | $ | 198,541 | | |
| | | | | | | Avolon Holdings Funding Ltd.: | | | | | | | |
| | | 15,000 | | | | Company Guaranteed Notes, 5.125% due 10/1/23(b) | | | | | 14,976 | | |
| | | 225,000 | | | | Senior Unsecured Notes, 2.125% due 2/21/26(b) | | | | | 202,166 | | |
| | | 100,000 | | | | Banco BBVA Peru SA, Subordinated Notes, 5.250% (5-Year CMT Index + 2.750%) due 9/22/29(a) | | | | | 97,506 | | |
| | | 200,000 | | | | Banco Bilbao Vizcaya Argentaria Colombia SA, Subordinated Notes, 4.875% due 4/21/25 | | | | | 193,295 | | |
| | | 150,000 | | | | Banco Continental SAECA, Senior Unsecured Notes, 2.750% due 12/10/25(b) | | | | | 136,345 | | |
| | | 200,000 | | | | Banco de Bogota SA, Subordinated Notes, 6.250% due 5/12/26 | | | | | 194,785 | | |
| | | 200,000 | | | | Banco de Credito del Peru SA, Subordinated Notes, 3.125% (5-Year CMT Index + 3.000%) due 7/1/30(a) | | | | | 185,777 | | |
| | | 150,000 | | | | Banco Internacional del Peru SAA Interbank, Subordinated Notes, 4.000% (5-Year CMT Index + 3.711%) due 7/8/30(a) | | | | | 137,625 | | |
| | | 200,000 | | | | Banco Nacional de Comercio Exterior SNC, Subordinated Notes, 2.720% (5-Year CMT Index + 2.000%) due 8/11/31(a) | | | | | 167,732 | | |
| | | 200,000 | | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, Subordinated Notes, 5.950% (5-Year CMT Index + 2.995%) due 10/1/28(a) | | | | | 197,891 | | |
| | | 200,000 | | | | Bancolombia SA, Subordinated Notes, 6.909% (5-Year CMT Index + 2.929%) due 10/18/27(a) | | | | | 193,239 | | |
| | | 200,000 | | | | Bank Hapoalim BM, Subordinated Notes, 3.255% (5-Year CMT Index + 2.155%) due 1/21/32(a)(b) | | | | | 171,453 | | |
| | | 200,000 | | | | Bank Leumi Le-Israel BM, Subordinated Notes, 3.275% (5-Year CMT Index + 1.631%) due 1/29/31(a)(b) | | | | | 179,720 | | |
| | | 220,000 | | | | Bank of America Corp., Senior Unsecured Notes, 3.458% (3-Month TSFR + 1.232%) due 3/15/25(a) | | | | | 216,866 | | |
| | | 210,000 | | | | Bank of Montreal, Senior Unsecured Notes, 5.908% (SOFRRATE + 0.710%) due 3/8/24(a) | | | | | 210,264 | | |
| | | 220,000 | | | | Bank of Nova Scotia, Senior Unsecured Notes, 4.750% due 2/2/26 | | | | | 216,077 | | |
| | | 3,894,000 | | | | Barclays PLC, Junior Subordinated Notes, 7.750% (5-Year USD Swap Rate + 4.842%)(a)(f) | | | | | 3,893,728 | | |
| | | 200,000 | | | | BBVA Bancomer SA, Subordinated Notes, 5.350% (5-Year CMT Index + 3.000%) due 11/12/29(a) | | | | | 193,099 | | |
| | | 200,000 | | | | Capital One Financial Corp., Senior Unsecured Notes, 4.985% (SOFRRATE + 2.160%) due 7/24/26(a) | | | | | 195,486 | | |
| | | 330,000 | | | | Citigroup Inc., Senior Unsecured Notes, 3.352% (3-Month TSFR + 1.158%) due 4/24/25(a) | | | | | 323,885 | | |
| | | 200,000 | | | | DBS Group Holdings Ltd., Subordinated Notes, 4.520% (5-Year USD 1100 Run ICE Swap Rate + 1.590%) due 12/11/28(a) | | | | | 199,206 | | |
| | | 344,000 | | | | Five Point Operating Co. LP/Five Point Capital Corp., Company Guaranteed Notes, 7.875% due 11/15/25(b) | | | | | 320,785 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 200,000 | | | | Global Bank Corp., Senior Unsecured Notes, 5.250% (3-Month USD-LIBOR + 3.300%) due 4/16/29(a) | | | | $ | 187,700 | | |
| | | 225,000 | | | | Goldman Sachs Group Inc., Senior Unsecured Notes, 3.500% due 4/1/25 | | | | | 217,070 | | |
| | | 844,000 | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes, 4.750% due 9/15/24 | | | | | 815,703 | | |
| | | 14,069 | | | | Interoceanica IV Finance Ltd., Senior Secured Notes, zero coupon, due 11/30/25 | | | | | 12,846 | | |
| | | | | | | JPMorgan Chase & Co., Senior Unsecured Notes: | | | | | | | |
| | | 105,000 | | | | 3.220% (3-Month TSFR + 1.417%) due 3/1/25(a) | | | | | 103,548 | | |
| | | 220,000 | | | | 3.900% due 7/15/25 | | | | | 213,787 | | |
| | | | | | | Morgan Stanley, Senior Unsecured Notes: | | | | | | | |
| | | 160,000 | | | | 5.785% (SOFRRATE + 0.455%) due 1/25/24(a) | | | | | 159,966 | | |
| | | 60,000 | | | | 3.875% due 1/27/26 | | | | | 57,749 | | |
| | | 200,000 | | | | Multibank Inc., Senior Unsecured Notes, 7.750% due 2/3/28(b) | | | | | 203,020 | | |
| | | 200,000 | | | | NongHyup Bank, Senior Unsecured Notes, 1.250% due 7/20/25 | | | | | 184,474 | | |
| | | 20,400,000NOK | | | | Nordic Capital Fund II A/S, 10.620% (3-Month NIBOR + 6.250%) due 6/30/24(a) | | | | | 1,899,700 | | |
| | | 100,000 | | | | PNC Financial Services Group Inc., Senior Unsecured Notes, 5.812% (SOFRRATE + 1.322%) due 6/12/26(a) | | | | | 99,904 | | |
| | | 225,000 | | | | Royal Bank of Canada, Senior Unsecured Notes, 3.375% due 4/14/25 | | | | | 217,661 | | |
| | | 7,593,000 | | | | StoneX Group Inc., Senior Secured Notes, 8.625% due 6/15/25(b) | | | | | 7,688,596 | | |
| | | 2,500,000SEK | | | | Storskogen Group AB, Senior Unsecured Notes, 10.707% (3-Month SEK-STIBOR + 6.875%) due 3/22/27(a) | | | | | 232,347 | | |
| | | 215,000 | | | | Toronto-Dominion Bank, Senior Unsecured Notes, 0.700% due 9/10/24 | | | | | 204,497 | | |
| | | 205,000 | | | | Truist Financial Corp., Senior Unsecured Notes, 4.260% (SOFRRATE + 1.456%) due 7/28/26(a) | | | | | 198,034 | | |
| | | 210,000 | | | | Wells Fargo & Co., Senior Unsecured Notes, 2.406% (3-Month TSFR + 1.087%) due 10/30/25(a) | | | | | 201,371 | | |
| | | | | | | Welltower OP LLC, Company Guaranteed Notes: | | | | | | | |
| | | 215,000 | | | | 3.625% due 3/15/24 | | | | | 212,226 | | |
| | | 10,000 | | | | 4.000% due 6/1/25 | | | | | 9,691 | | |
| | | | | | | Total Financial | | | | | 21,372,267 | | |
| Healthcare – 1.3% | | ||||||||||||
| | | 6,180,606 | | | | ProSomnus Holdings Inc., zero coupon, due 12/31/49(e)(d) | | | | | 5,466,400 | | |
| Industrial – 9.9% | | ||||||||||||
| | | 3,845,054 | | | | Anagram International Inc./Anagram Holdings LLC, Senior Secured Notes, 15.000% due 8/15/25(b) | | | | | 3,691,252 | | |
| | | 7,090,000 | | | | Ball Corp., Company Guaranteed Notes, 4.000% due 11/15/23 | | | | | 7,050,445 | | |
| | | 267,172 | | | | Bioceanico Sovereign Certificate Ltd., Senior Secured Notes, zero coupon, due 6/5/34 | | | | | 188,461 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 230,000 | | | | Canadian Pacific Railway Co., Company Guaranteed Notes, 1.350% due 12/2/24 | | | | $ | 218,011 | | |
| | | 225,000 | | | | Caterpillar Financial Services Corp., Senior Unsecured Notes, 4.350% due 5/15/26 | | | | | 221,454 | | |
| | | 649,000 | | | | FXI Holdings Inc., Senior Secured Notes, 12.250% due 11/15/26(b) | | | | | 582,477 | | |
| | | 10,035,000 | | | | General Electric Co., Junior Subordinated Notes, 8.882% (3-Month USD-LIBOR + 3.330%)(a)(f) | | | | | 10,035,000 | | |
| | | 2,958,000 | | | | Hillenbrand Inc., Company Guaranteed Notes, 5.750% due 6/15/25 | | | | | 2,939,512 | | |
| | | 9,643,000 | | | | INNOVATE Corp., Senior Secured Notes, 8.500% due 2/1/26(b) | | | | | 7,376,895 | | |
| | | 215,000 | | | | John Deere Capital Corp., Senior Unsecured Notes, 4.750% due 1/20/28 | | | | | 214,041 | | |
| | | 90,323 | | | | Lima Metro Line 2 Finance Ltd., Senior Secured Notes, 5.875% due 7/5/34 | | | | | 88,596 | | |
| | | 168,118 | | | | MV24 Capital BV, Senior Secured Notes, 6.748% due 6/1/34 | | | | | 151,523 | | |
| | | 200,000 | | | | Parker-Hannifin Corp., Senior Unsecured Notes, 3.650% due 6/15/24 | | | | | 196,544 | | |
| | | 225,000 | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes, 4.400% due 7/1/27(b) | | | | | 212,498 | | |
| | | 225,000 | | | | Republic Services Inc., Senior Unsecured Notes, 2.500% due 8/15/24 | | | | | 218,120 | | |
| | | 220,000 | | | | RTX Corp., Senior Unsecured Notes, 5.000% due 2/27/26 | | | | | 219,049 | | |
| | | 215,000 | | | | Ryder System Inc., Senior Unsecured Notes, 5.250% due 6/1/28 | | | | | 212,300 | | |
| | | 2,621,000 | | | | TransDigm Inc., Company Guaranteed Notes, 6.375% due 6/15/26 | | | | | 2,620,705 | | |
| | | 4,218,000 | | | | TransDigm UK Holdings PLC, Company Guaranteed Notes, 6.875% due 5/15/26 | | | | | 4,289,685 | | |
| | | | | | | Total Industrial | | | | | 40,726,568 | | |
| Technology – 1.9% | | ||||||||||||
| | | 1,125,000EUR | | | | Azerion Holding BV, Senior Secured Notes, 7.250% due 4/28/24 | | | | | 1,201,540 | | |
| | | 25,000 | | | | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes, 3.875% due 1/15/27 | | | | | 23,754 | | |
| | | 205,000 | | | | Broadcom Inc., Company Guaranteed Notes, 3.150% due 11/15/25 | | | | | 195,104 | | |
| | | 4,296,000EUR | | | | Fiven ASA, Senior Secured Notes, 10.401% (3-Month EURIBOR + 6.850%) due 6/21/24(a) | | | | | 4,716,380 | | |
| | | 13,750,000SEK | | | | Impala Bondco PLC, Senior Secured Notes, 12.868% (3-Month SEK-STIBOR + 9.000%) due 10/20/24(a) | | | | | 1,105,220 | | |
| | | 205,000 | | | | Microchip Technology Inc., Senior Unsecured Notes, 0.972% due 2/15/24 | | | | | 200,282 | | |
| | | 225,000 | | | | NXP BV/NXP Funding LLC/NXP USA Inc., Company Guaranteed Notes, 4.400% due 6/1/27 | | | | | 216,374 | | |
| | | 205,000 | | | | Oracle Corp., Senior Unsecured Notes, 5.800% due 11/10/25 | | | | | 206,993 | | |
| | | | | | | Total Technology | | | | | 7,865,647 | | |
| Utilities – 0.5% | | ||||||||||||
| | | 200,000 | | | | AES Andes SA, Junior Subordinated Notes, 7.125% (5-Year USD Swap Rate + 4.644%) due 3/26/79(a)(b) | | | | | 191,272 | | |
| | | 300,000 | | | | Chile Electricity PEC SpA, Senior Secured Notes, zero coupon, due 1/25/28 | | | | | 233,466 | | |
| | | 104,300 | | | | Empresa Electrica Angamos SA, Senior Secured Notes, 4.875% due 5/25/29 | | | | | 94,000 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 215,000 | | | | Entergy Louisiana LLC, Collateral Trust, 0.950% due 10/1/24 | | | | $ | 204,051 | | |
| | | 200,000 | | | | Inkia Energy Ltd., Senior Unsecured Notes, 5.875% due 11/9/27 | | | | | 191,500 | | |
| | | 200,000 | | | | Mercury Chile Holdco LLC, Senior Secured Notes, 6.500% due 1/24/27(b) | | | | | 184,962 | | |
| | | 131,562 | | | | Mexico Generadora de Energia S de rl, Senior Secured Notes, 5.500% due 12/6/32 | | | | | 126,228 | | |
| | | 200,000 | | | | Minejesa Capital BV, Senior Secured Notes, 4.625% due 8/10/30 | | | | | 180,492 | | |
| | | | | | | Pacific Gas & Electric Co., 1st Mortgage Notes: | | | | | | | |
| | | 80,000 | | | | 3.250% due 2/16/24 | | | | | 78,987 | | |
| | | 150,000 | | | | 4.950% due 6/8/25 | | | | | 146,714 | | |
| | | 200,000 | | | | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Senior Unsecured Notes, 4.125% due 5/15/27 | | | | | 189,576 | | |
| | | 215,000 | | | | Southern California Edison Co., 1st Mortgage Notes, 4.900% due 6/1/26 | | | | | 213,663 | | |
| | | | | | | Total Utilities | | | | | 2,034,911 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $210,512,916) | | | | | 192,529,955 | | |
| ASSET-BACKED SECURITIES – 10.4% | | ||||||||||||
| | | 114,563 | | | | AccessLex Institute, Series 2007-A, Class A3, 5.953% (3-Month USD-LIBOR + 0.300%) due 5/25/36(a) | | | | | 111,305 | | |
| | | 989,306 | | | | Accredited Mortgage Loan Trust, Series 2005-1, Class M4, 5.460% (1-Month TSFR + 1.269%) due 4/25/35(a) | | | | | 983,917 | | |
| | | | | | | ACHV ABS Trust: | | | | | | | |
| | | 102,044 | | | | Series 2023-1PL, Class A, 6.420% due 3/18/30(b) | | | | | 102,065 | | |
| | | 407,141 | | | | Series 2023-3PL, Class A, 6.600% due 8/19/30(b) | | | | | 407,128 | | |
| | | 211,052 | | | | ACM Auto Trust, Series 2023-1A, Class A, 6.610% due 1/22/30(b) | | | | | 210,735 | | |
| | | | | | | ACREC Ltd.: | | | | | | | |
| | | 203,426 | | | | Series 2021-FL1, Class A, 6.576% (1-Month TSFR + 1.264%) due 10/16/36(a)(b) | | | | | 199,231 | | |
| | | 350,000 | | | | Series 2021-FL1, Class AS, 6.926% (1-Month TSFR + 1.614%) due 10/16/36(a)(b) | | | | | 336,221 | | |
| | | | | | | Affirm Asset Securitization Trust: | | | | | | | |
| | | 9,446 | | | | Series 2020-Z2, Class A, 1.900% due 1/15/25(b) | | | | | 9,362 | | |
| | | 42,101 | | | | Series 2021-Z1, Class A, 1.070% due 8/15/25(b) | | | | | 41,327 | | |
| | | 1,000,000 | | | | Allegro CLO X Ltd., Series 2019-1A, Class AR, 6.738% (3-Month TSFR + 1.412%) due 7/20/32(a)(b) | | | | | 990,564 | | |
| | | 35,356 | | | | Aqua Finance Trust, Series 2020-AA, Class A, 1.900% due 7/17/46(b) | | | | | 32,740 | | |
| | | 225,000 | | | | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL2, Class A, 6.525% (1-Month TSFR + 1.214%) due 5/15/36(a)(b) | | | | | 221,203 | | |
| | | 500,000 | | | | Bain Capital Credit CLO, Series 2019-1A, Class AR, 6.712% (3-Month TSFR + 1.392%) due 4/19/34(a)(b) | | | | | 496,564 | | |
| | | 500,000 | | | | Bain Capital Credit CLO Ltd., Series 2021-1A, Class A, 6.632% (3-Month TSFR + 1.322%) due 4/18/34(a)(b) | | | | | 491,712 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 250,000 | | | | BDS Ltd., Series 2021-FL10, Class A, 6.776% (1-Month TSFR + 1.464%) due 12/16/36(a)(b) | | | | $ | 247,032 | | |
| | | 404,000 | | | | BRSP Ltd., Series 2021-FL1, Class A, 6.578% (1-Month TSFR + 1.264%) due 8/19/38(a)(b) | | | | | 392,335 | | |
| | | | | | | BSPRT Issuer Ltd.: | | | | | | | |
| | | 193,000 | | | | Series 2021-FL6, Class A, 6.525% (1-Month TSFR + 1.214%) due 3/15/36(a)(b) | | | | | 189,504 | | |
| | | 209,000 | | | | Series 2021-FL7, Class A, 6.745% (1-Month TSFR + 1.434%) due 12/15/38(a)(b) | | | | | 206,259 | | |
| | | 376,042 | | | | CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220% due 9/25/45(b) | | | | | 329,807 | | |
| | | | | | | Carlyle US CLO Ltd.: | | | | | | | |
| | | 1,000,000 | | | | Series 2019-4A, Class A11R, 6.628% (3-Month TSFR + 1.320%) due 4/15/35(a)(b) | | | | | 987,078 | | |
| | | 1,000,000 | | | | Series 2021-7A, Class A1, 6.730% (3-Month TSFR + 1.422%) due 10/15/35(a)(b) | | | | | 993,054 | | |
| | | | | | | CHCP Ltd.: | | | | | | | |
| | | 228,715 | | | | Series 2021-FL1, Class A, 6.477% (1-Month TSFR + 1.164%) due 2/15/38(a)(b) | | | | | 225,397 | | |
| | | 100,000 | | | | Series 2021-FL1, Class AS, 6.727% (1-Month TSFR + 1.414%) due 2/15/38(a)(b) | | | | | 95,400 | | |
| | | 177,000 | | | | CLNC Ltd., Series 2019-FL1, Class AS, 6.978% (1-Month TSFR + 1.664%) due 8/20/35(a)(b) | | | | | 173,008 | | |
| | | 157,294 | | | | Commonbond Student Loan Trust, Series 2020-AGS, Class A, 1.980% due 8/25/50(b) | | | | | 133,895 | | |
| | | 500,000 | | | | DataBank Issuer, Series 2023-1A, Class A2, 5.116% due 2/25/53(b) | | | | | 459,100 | | |
| | | 500,000 | | | | Drive Auto Receivables Trust, Series 2021-3, Class C, 1.470% due 1/15/27 | | | | | 482,891 | | |
| | | 174,993 | | | | Exeter Automobile Receivables Trust, Series 2021-1A, Class C, 0.740% due 1/15/26 | | | | | 173,648 | | |
| | | 1,782,587 | | | | First Franklin Mortgage Loan Trust, Series 2003-FF2, Class M1, 7.233% (1-Month TSFR + 1.914%) due 7/25/33(a) | | | | | 1,733,841 | | |
| | | 1,000,000 | | | | Franklin Park Place CLO I LLC, Series 2022-1A, Class A, 6.711% (3-Month TSFR + 1.400%) due 4/14/35(a)(b) | | | | | 990,985 | | |
| | | 209,000 | | | | FS Rialto, Series 2021-FL3, Class A, 6.677% (1-Month TSFR + 1.364%) due 11/16/36(a)(b) | | | | | 204,167 | | |
| | | 196,684 | | | | FS RIALTO, Series 2021-FL2, Class A, 6.647% (1-Month TSFR + 1.334%) due 5/16/38(a)(b) | | | | | 191,667 | | |
| | | 487,148 | | | | Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, 6.653% (3-Month TSFR + 1.282%) due 5/16/31(a)(b) | | | | | 484,711 | | |
| | | 484,377 | | | | GLS Auto Receivables Issuer Trust, Series 2021-2A, Class C, 1.080% due 6/15/26(b) | | | | | 474,001 | | |
| | | 240,000 | | | | GPMT Ltd., Series 2021-FL4, Class A, 6.779% (1-Month TSFR + 1.464%) due 12/15/36(a)(b) | | | | | 232,060 | | |
| | | 504,000 | | | | Greystone CRE Notes Ltd., Series 2021-FL3, Class A, 6.445% (1-Month TSFR + 1.134%) due 7/15/39(a)(b) | | | | | 493,226 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 1,000,000 | | | | Greywolf CLO VII Ltd., Series 2018-2A, Class A1, 6.766% (3-Month TSFR + 1.440%) due 10/20/31(a)(b) | | | | $ | 997,365 | | |
| | | 1,000,000 | | | | Gulf Stream Meridian 3 Ltd., Series 2021-IIIA, Class A1, 6.890% (3-Month TSFR + 1.582%) due 4/15/34(a)(b) | | | | | 997,515 | | |
| | | 500,000 | | | | Halseypoint CLO 5 Ltd., Series 2021-5A, Class A1A, 6.841% (3-Month TSFR + 1.472%) due 1/30/35(a)(b) | | | | | 498,001 | | |
| | | 498,256 | | | | Hayfin US XII Ltd., Series 2018-8A, Class A, 6.708% (3-Month TSFR + 1.382%) due 4/20/31(a)(b) | | | | | 496,803 | | |
| | | 500,000 | | | | Hertz Vehicle Financing LLC, Series 2021-1A, Class B, 1.560% due 12/26/25(b) | | | | | 472,008 | | |
| | | 126,416 | | | | HGI CRE CLO Ltd., Series 2021-FL1, Class A, 6.477% (1-Month TSFR + 1.164%) due 6/16/36(a)(b) | | | | | 123,940 | | |
| | | 176,187 | | | | Hilton Grand Vacations Trust, Series 2020-AA, Class A, 2.740% due 2/25/39(b) | | | | | 165,388 | | |
| | | 3,068,000 | | | | HTS Fund I LLC, Series 2021-1, Class A, 1.411% due 8/25/36(b) | | | | | 2,677,385 | | |
| | | 1,000,000 | | | | Jamestown CLO XVI Ltd., Series 2021-16A, Class A, 6.813% (3-Month TSFR + 1.462%) due 7/25/34(a)(b) | | | | | 989,699 | | |
| | | 330,000 | | | | KREF Ltd., Series 2021-FL2, Class A, 6.498% (1-Month TSFR + 1.184%) due 2/15/39(a)(b) | | | | | 325,067 | | |
| | | 14,221 | | | | Laurel Road Prime Student Loan Trust, Series 2019-A, Class A1FX, 2.340% due 10/25/48(b) | | | | | 13,728 | | |
| | | | | | | LCCM Trust: | | | | | | | |
| | | 283,967 | | | | Series 2021-FL2, Class A, 6.625% (1-Month TSFR + 1.314%) due 12/13/38(a)(b) | | | | | 277,036 | | |
| | | 310,000 | | | | Series 2021-FL3, Class A, 6.875% (1-Month TSFR + 1.564%) due 11/15/38(a)(b) | | | | | 306,594 | | |
| | | 500,000 | | | | Lendbuzz Securitization Trust, Series 2023-2A, Class A2, 7.090% due 10/16/28(b) | | | | | 499,261 | | |
| | | 42,212 | | | | LMREC Inc., Series 2019-CRE3, Class A, 6.830% (1-Month TSFR + 1.514%) due 12/22/35(a)(b) | | | | | 42,126 | | |
| | | | | | | LoanCore Issuer Ltd.: | | | | | | | |
| | | 410,000 | | | | Series 2021-CRE5, Class A, 6.725% (1-Month USD-LIBOR + 1.300%) due 7/15/36(a)(b) | | | | | 398,199 | | |
| | | 410,000 | | | | Series 2021-CRE6, Class A, 6.725% (1-Month TSFR + 1.414%) due 11/15/38(a)(b) | | | | | 395,138 | | |
| | | 1,000,000 | | | | Marble Point CLO XXI Ltd., Series 2021-3A, Class A1, 6.810% (3-Month TSFR + 1.502%) due 10/17/34(a)(b) | | | | | 992,279 | | |
| | | 500,000 | | | | Marble Point CLO XXII Ltd., Series 2021-2A, Class A, 6.813% (3-Month TSFR + 1.462%) due 7/25/34(a)(b) | | | | | 491,892 | | |
| | | 48,210 | | | | Marlette Funding Trust, Series 2019-4A, Class C, 3.760% due 12/17/29(b) | | | | | 47,732 | | |
| | | 481,250 | | | | ME Funding LLC, Series 2019-1, Class A2, 6.448% due 7/30/49(b) | | | | | 469,704 | | |
| | | | | | | MF1 Ltd.: | | | | | | | |
| | | 198,299 | | | | Series 2021-FL6, Class A, 6.526% (1-Month TSFR + 1.214%) due 7/16/36(a)(b) | | | | | 194,333 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 208,000 | | | | Series 2021-FL7, Class A, 6.506% (1-Month TSFR + 1.194%) due 10/16/36(a)(b) | | | | $ | 203,840 | | |
| | | 551,645 | | | | MMAF Equipment Finance LLC, Series 2022-B, Class A2, 5.570% due 9/9/25(b) | | | | | 549,005 | | |
| | | 70,397 | | | | Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.170% due 9/16/69(b) | | | | | 62,584 | | |
| | | 929,932 | | | | Northwoods Capital XVI Ltd., Series 2017-16A, Class A, 6.896% (3-Month TSFR + 1.532%) due 11/15/30(a)(b) | | | | | 930,250 | | |
| | | 982,916 | | | | Ocean Trails CLO V, Series 2014-5A, Class ARR, 6.843% (3-Month TSFR + 1.542%) due 10/13/31(a)(b) | | | | | 981,184 | | |
| | | 248,423 | | | | OCP CLO Ltd., Series 2014-5A, Class A1R, 6.692% (3-Month TSFR + 1.342%) due 4/26/31(a)(b) | | | | | 247,719 | | |
| | | | | | | Pagaya AI Debt Selection Trust: | | | | | | | |
| | | 485,451 | | | | Series 2021-1, Class B, 2.130% due 11/15/27(b) | | | | | 479,686 | | |
| | | 649,965 | | | | Series 2021-3, Class B, 1.740% due 5/15/29(b) | | | | | 632,375 | | |
| | | 90,562 | | | | Series 2021-5, Class A, 1.530% due 8/15/29(b) | | | | | 89,341 | | |
| | | | | | | Pagaya AI Debt Trust: | | | | | | | |
| | | 93,625 | | | | Series 2022-1, Class A, 2.030% due 10/15/29(b) | | | | | 91,534 | | |
| | | 160,509 | | | | Series 2022-3, Class A, 6.060% due 3/15/30(b) | | | | | 159,840 | | |
| | | 450,795 | | | | Series 2023-3, Class A, 7.600% due 12/16/30(b) | | | | | 452,595 | | |
| | | 393,603 | | | | PRET LLC, Series 2021-NPL3, Class A1, step bond to yield, 1.868% due 7/25/51(b) | | | | | 367,588 | | |
| | | 1,000,000 | | | | Sound Point CLO VI-R Ltd., Series 2014-2RA, Class A, 6.838% (3-Month TSFR + 1.512%) due 10/20/31(a)(b) | | | | | 993,183 | | |
| | | 471,595 | | | | Sound Point CLO XVIII Ltd., Series 2017-4A, Class A1, 6.708% (3-Month TSFR + 1.382%) due 1/21/31(a)(b) | | | | | 466,142 | | |
| | | 1,000,000 | | | | Steele Creek CLO Ltd., Series 2018-2A, Class A, 6.841% (3-Month TSFR + 1.462%) due 8/18/31(a)(b) | | | | | 995,075 | | |
| | | 200,000 | | | | STWD Ltd., Series 2021-FL2, Class A, 6.626% (1-Month TSFR + 1.314%) due 4/18/38(a)(b) | | | | | 195,156 | | |
| | | 250,000 | | | | Tesla Auto Lease Trust, Series 2021-B, Class B, 0.910% due 9/22/25(b) | | | | | 239,210 | | |
| | | 392,883 | | | | Theorem Funding Trust, Series 2023-1A, Class A, 7.580% due 4/15/29(b) | | | | | 394,352 | | |
| | | | | | | THL Credit Wind River CLO Ltd.: | | | | | | | |
| | | 2,000,000 | | | | Series 2017-1A, Class ARR, 6.632% (3-Month TSFR + 1.322%) due 4/18/36(a)(b) | | | | | 1,971,060 | | |
| | | 1,300,000 | | | | Series 2019-1A, Class AR, 6.748% (3-Month TSFR + 1.422%) due 7/20/34(a)(b) | | | | | 1,287,865 | | |
| | | 154,338 | | | | TRTX Issuer Ltd., Series 2021-FL4, Class A, 6.628% (1-Month TSFR + 1.314%) due 3/15/38(a)(b) | | | | | 148,602 | | |
| | | 14,108 | | | | Upstart Securitization Trust, Series 2021-3, Class A, 0.830% due 7/20/31(b) | | | | | 14,039 | | |
| | | 430,249 | | | | VCAT LLC, Series 2021-NPL4, Class A1, step bond to yield, 1.868% due 8/25/51(b) | | | | | 402,281 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 600,000 | | | | Vibrant CLO IV Ltd., Series 2016-4A, Class A1RR, 6.708% (3-Month TSFR + 1.382%) due 7/20/32(a)(b) | | | | $ | 587,724 | | |
| | | 420,581 | | | | Vibrant CLO VIII Ltd., Series 2018-8A, Class A1A, 6.728% (3-Month TSFR + 1.402%) due 1/20/31(a)(b) | | | | | 418,188 | | |
| | | 150,000 | | | | VMC Finance LLC, Series 2022-FL5, Class A, 7.130% (SOFR30A + 1.900%) due 2/18/39(a)(b) | | | | | 146,516 | | |
| | | 404,546 | | | | VOLT XCII LLC, Series 2021-NPL1, Class A1, step bond to yield, 1.893% due 2/27/51(b) | | | | | 380,761 | | |
| | | 273,306 | | | | VOLT XCIV LLC, Series 2021-NPL3, Class A1, step bond to yield, 2.240% due 2/27/51(b) | | | | | 257,986 | | |
| | | 569,720 | | | | VOLT XCIX LLC, Series 2021-NPL8, Class A1, step bond to yield, 2.116% due 4/25/51(b) | | | | | 530,938 | | |
| | | 1,000,000 | | | | Wellfleet CLO Ltd., Series 2020-2A, Class AR, 6.790% (3-Month TSFR + 1.482%) due 7/15/34(a)(b) | | | | | 990,031 | | |
| | | 500,000 | | | | Wellfleet CLO X Ltd., Series 2019-XA, Class A1R, 6.758% (3-Month TSFR + 1.432%) due 7/20/32(a)(b) | | | | | 493,621 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $43,020,837) | | | | | 42,558,604 | | |
| SENIOR LOANS(a) – 9.4% | | ||||||||||||
| | | 7,405,811 | | | | Cengage Learning Inc., 10.323% (3-Month USD-LIBOR + 4.750%) due 7/14/26 | | | | | 7,378,854 | | |
| | | 3,217,573 | | | | Diebold Nixdorf Inc., 12.816% (3-Month USD-LIBOR + 7.500%) due 8/11/28 | | | | | 3,193,441 | | |
| | | 4,841,765 | | | | First Brands Group LLC, 10.881% (6-Month USD-LIBOR + 5.000%) due 3/30/27 | | | | | 4,769,138 | | |
| | | 1,692,267 | | | | Fogo de Chao Inc., 9.696% (1-Month USD-LIBOR + 4.250%) due 4/7/25 | | | | | 1,689,542 | | |
| | | 2,678,311 | | | | Getty Images Inc., 9.842% (3-Month USD-LIBOR + 4.500%) due 2/19/26 | | | | | 2,678,311 | | |
| | | | | | | K&N Parent Inc.: | | | | | | | |
| | | 2,924,536 | | | | 13.217% due 2/3/27(e)(d) | | | | | 2,983,027 | | |
| | | 3,244,649 | | | | 10.467% (3-Month USD-LIBOR + 5.250%) due 8/16/27 | | | | | 2,433,487 | | |
| | | 2,695,935 | | | | Lealand Finance Co. BV, 8.446% (1-Month USD-LIBOR + 3.000%) due 6/28/24 | | | | | 1,887,155 | | |
| | | 3,219,856 | | | | Lions Gate Capital Holdings LLC, 7.681% (1-Month USD-LIBOR + 2.250%) due 3/24/25 | | | | | 3,210,808 | | |
| | | 8,190,230 | | | | QuarterNorth Energy Holding Inc., 13.446% (1-Month USD-LIBOR + 8.000%) due 8/27/26 | | | | | 8,135,601 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $42,403,859) | | | | | 38,359,364 | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS – 7.1% | | ||||||||||||
| | | 192,367 | | | | Angel Oak Mortgage Trust, Series 2020-6, Class A1, 1.261% due 5/25/65(a)(b) | | | | | 170,973 | | |
| | | 183,000 | | | | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF2, Class A2, 2.023% due 6/15/54(b) | | | | | 165,940 | | |
| | | | | | | BANK: | | | | | | | |
| | | 1,261,078 | | | | Series 2017-BNK4, Class XA, 1.499% due 5/15/50(a)(g) | | | | | 46,659 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,652,692 | | | | Series 2017-BNK6, Class XA, 0.906% due 7/15/60(a)(g) | | | | $ | 36,872 | | |
| | | 200,000 | | | | BBCMS Mortgage Trust, Series 2019-BWAY, Class A, 6.380% (1-Month TSFR + 1.070%) due 11/15/34(a)(b) | | | | | 160,899 | | |
| | | | | | | Benchmark Mortgage Trust: | | | | | | | |
| | | 9,874,110 | | | | Series 2018-B4, Class XA, 0.607% due 7/15/51(a)(g) | | | | | 156,159 | | |
| | | 3,662,077 | | | | Series 2020-B16, Class XA, 1.043% due 2/15/53(a)(g) | | | | | 161,190 | | |
| | | 178,604 | | | | BHP Trust, Series 2019-BXHP, Class A, 6.333% (1-Month TSFR + 1.022%) due 8/15/36(a)(b) | | | | | 177,304 | | |
| | | 243,140 | | | | BMO Mortgage Trust, Series 2023-C5, Class A1, 5.740% due 6/15/56 | | | | | 240,824 | | |
| | | 208,000 | | | | BPR Trust, Series 2021-TY, Class A, 6.475% (1-Month TSFR + 1.164%) due 9/15/38(a)(b) | | | | | 200,172 | | |
| | | | | | | BRAVO Residential Funding Trust: | | | | | | | |
| | | 572,856 | | | | Series 2021-A, Class A1, step bond to yield, 1.991% due 10/25/59(b) | | | | | 550,040 | | |
| | | 852,386 | | | | Series 2022-RPL1, Class A1, 2.750% due 9/25/61(a)(b) | | | | | 739,133 | | |
| | | 600,000 | | | | Series 2023-NQM5, Class A1, step bond to yield, 6.505% due 6/25/63(b) | | | | | 600,231 | | |
| | | 174,378 | | | | BSREP Commercial Mortgage Trust, Series 2021-DC, Class A, 6.375% (1-Month TSFR + 1.064%) due 8/15/38(a)(b) | | | | | 162,335 | | |
| | | 247,216 | | | | BX 2022-MVRK Mortgage Trust, Series 2022-MVRK, Class A, 6.777% (1-Month TSFR + 1.467%) due 3/15/39(a)(b) | | | | | 243,030 | | |
| | | | | | | BX Commercial Mortgage Trust: | | | | | | | |
| | | 155,707 | | | | Series 2021-21M, Class A, 6.154% (1-Month TSFR + 0.844%) due 10/15/36(a)(b) | | | | | 152,350 | | |
| | | 100,000 | | | | Series 2021-CIP, Class A, 6.345% (1-Month TSFR + 1.035%) due 12/15/38(a)(b) | | | | | 97,930 | | |
| | | 208,000 | | | | Series 2021-VOLT, Class B, 6.375% (1-Month TSFR + 1.064%) due 9/15/36(a)(b) | | | | | 200,691 | | |
| | | 2,747,000 | | | | Series 2021-VOLT, Class C, 6.525% (1-Month TSFR + 1.214%) due 9/15/36(a)(b) | | | | | 2,626,343 | | |
| | | 163,423 | | | | Series 2021-XL2, Class B, 6.422% (1-Month TSFR + 1.112%) due 10/15/38(a)(b) | | | | | 159,117 | | |
| | | 162,014 | | | | Series 2022-LP2, Class A, 6.323% (1-Month TSFR + 1.013%) due 2/15/39(a)(b) | | | | | 157,543 | | |
| | | | | | | BX Trust: | | | | | | | |
| | | 80,656 | | | | Series 2019-CALM, Class A, 6.300% (1-Month TSFR + 0.990%) due 11/15/32(a)(b) | | | | | 80,172 | | |
| | | 183,000 | | | | Series 2021-VIEW, Class A, 6.704% (1-Month TSFR + 1.394%) due 6/15/36(a)(b) | | | | | 173,974 | | |
| | | 1,330,163 | | | | CD Mortgage Trust, Series 2017-CD4, Class XA, 1.379% due 5/10/50(a)(g) | | | | | 44,907 | | |
| | | 287,000 | | | | CFCRE Commercial Mortgage Trust, Series 2017-C8, Class XB, 1.061% due 6/15/50(a)(g) | | | | | 8,060 | | |
| | | | | | | Citigroup Commercial Mortgage Trust: | | | | | | | |
| | | 244,000 | | | | Series 2015-GC27, Class A5, 3.137% due 2/10/48 | | | | | 234,412 | | |
| | | 400,000 | | | | Series 2016-P3, Class A4, 3.329% due 4/15/49 | | | | | 373,514 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 386,000 | | | | Series 2019-PRM, Class D, 4.350% due 5/10/36(b) | | | | $ | 383,795 | | |
| | | 7,829 | | | | COLT Mortgage Loan Trust, Series 2020-2, Class A1, 1.853% due 3/25/65(a)(b) | | | | | 7,772 | | |
| | | 124,384 | | | | COLT Mortgage Pass-Through Certificates, Series 2021-1R, Class A1, 0.857% due 5/25/65(a)(b) | | | | | 104,113 | | |
| | | 706,844 | | | | COLT Trust, Series 2021-RPL1, Class A1, 1.665% due 9/25/61(a)(b) | | | | | 610,905 | | |
| | | | | | | Commercial Mortgage Trust: | | | | | | | |
| | | 95,662 | | | | Series 2013-LC13, Class AM, 4.557% due 8/10/46(a)(b) | | | | | 95,423 | | |
| | | 250,000 | | | | Series 2014-LC15, Class A4, 4.006% due 4/10/47 | | | | | 247,484 | | |
| | | 227,000 | | | | Series 2018-HCLV, Class A, 6.456% (1-Month TSFR + 1.146%) due 9/15/33(a)(b) | | | | | 208,175 | | |
| | | 420,025 | | | | Credit Suisse Commercial Mortgage Capital Trust, Series 2020-RPL3, Class A1, 2.691% due 3/25/60(a)(b) | | | | | 416,814 | | |
| | | | | | | CSAIL Commercial Mortgage Trust: | | | | | | | |
| | | 577,690 | | | | Series 2017-C8, Class XA, 1.238% due 6/15/50(a)(g) | | | | | 18,210 | | |
| | | 4,066,032 | | | | Series 2017-CX10, Class XA, 0.887% due 11/15/50(a)(g) | | | | | 93,662 | | |
| | | 3,083,249 | | | | Series 2018-CX12, Class XA, 0.689% due 8/15/51(a)(g) | | | | | 68,848 | | |
| | | 200,000 | | | | DBJPM Mortgage Trust, Series 2016-C3, Class A5, 2.890% due 8/10/49 | | | | | 182,903 | | |
| | | 1,179,649 | | | | Ellington Financial Mortgage Trust, Series 2022-3, Class A1, step bond to yield, 5.000% due 8/25/67(b) | | | | | 1,139,623 | | |
| | | 150,000 | | | | ELP Commercial Mortgage Trust, Series 2021-ELP, Class A, 6.126% (1-Month TSFR + 0.815%) due 11/15/38(a)(b) | | | | | 146,800 | | |
| | | 208,996 | | | | EQUS Mortgage Trust, Series 2021-EQAZ, Class A, 6.180% (1-Month TSFR + 0.869%) due 10/15/38(a)(b) | | | | | 204,272 | | |
| | | 1,379,682 | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS, Series 4987, Class BF, 5.802% (SOFR30A + 0.514%) due 6/25/50(a) | | | | | 1,326,363 | | |
| | | 244,531 | | | | Federal National Mortgage Association (FNMA) REMICS, Series 2019-43, Class FD, 5.802% (SOFR30A + 0.514%) due 8/25/49(a) | | | | | 234,975 | | |
| | | | | | | Federal National Mortgage Association (FNMA), Aces: | | | | | | | |
| | | 1,140,367 | | | | Series 2020-M49, Class 1A1, 1.297% due 11/25/30(a) | | | | | 991,686 | | |
| | | 170,987 | | | | Series 2021-M7, Class A1, 1.783% due 3/25/31(a) | | | | | 151,022 | | |
| | | 915,803 | | | | GCAT Trust, Series 2022-NQM4, Class A1, step bond to yield, 5.269% due 8/25/67(b) | | | | | 896,176 | | |
| | | 220,339 | | | | GPMT Ltd., Series 2021-FL3, Class A, 6.361% due 7/16/35(a)(b) | | | | | 217,320 | | |
�� | | | 184,000 | | | | Great Wolf Trust, Series 2019-WOLF, Class A, 6.458% (1-Month TSFR + 1.148%) due 12/15/36(a)(b) | | | | | 183,216 | | |
| | | 250,000 | | | | GS Mortgage Securities Corp. II, Series 2023-SHIP, Class A, 4.466% due 9/10/38(a)(b) | | | | | 240,464 | | |
| | | 208,000 | | | | GS Mortgage Securities Corp. Trust, Series 2021-IP, Class A, 6.375% (1-Month TSFR + 1.064%) due 10/15/36(a)(b) | | | | | 197,825 | | |
| | | | | | | GS Mortgage Securities Trust: | | | | | | | |
| | | 3,642,696 | | | | Series 2016-GS4, Class XA, 0.689% due 11/10/49(a)(g) | | | | | 51,923 | | |
| | | 1,692,027 | | | | Series 2017-GS6, Class XA, 1.156% due 5/10/50(a)(g) | | | | | 50,983 | | |
| | | 3,249,846 | | | | Series 2017-GS8, Class XA, 1.083% due 11/10/50(a)(g) | | | | | 96,665 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 250,000 | | | | IMT Trust, Series 2017-APTS, Class AFX, 3.478% due 6/15/34(b) | | | | $ | 242,791 | | |
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | | | | | |
| | | 1,269,546 | | | | Series 2014-C20, Class XA, 1.293% due 7/15/47(a)(g) | | | | | 1,996 | | |
| | | 285,000 | | | | Series 2016-JP2, Class A4, 2.822% due 8/15/49 | | | | | 260,909 | | |
| | | 4,075,000 | | | | Series 2020-MKST, Class XCP, zero coupon, due 12/15/36(a)(b)(d)(g) | | | | | 41 | | |
| | | | | | | JPMBB Commercial Mortgage Securities Trust: | | | | | | | |
| | | 229,000 | | | | Series 2014-C18, Class A5, 4.079% due 2/15/47 | | | | | 226,056 | | |
| | | 334,000 | | | | Series 2014-C21, Class A5, 3.775% due 8/15/47 | | | | | 326,229 | | |
| | | 801,546 | | | | Series 2015-C32, Class XA, 1.256% due 11/15/48(a)(g) | | | | | 10,220 | | |
| | | 200,000 | | | | Series 2016-C1, Class A5, 3.576% due 3/17/49 | | | | | 188,063 | | |
| | | | | | | Legacy Mortgage Asset Trust: | | | | | | | |
| | | 231,546 | | | | Series 2020-GS4, Class A1, step bond to yield, 6.250% due 2/25/60(b) | | | | | 231,422 | | |
| | | 376,358 | | | | Series 2021-GS4, Class A1, step bond to yield, 1.650% due 11/25/60(b) | | | | | 345,245 | | |
| | | 116,783 | | | | Series 2021-SL1, Class A, 1.991% due 9/25/60(a)(b) | | | | | 115,557 | | |
| | | 23,599 | | | | LoanCore Issuer Ltd., Series 2019-CRE3, Class AS, 6.795% (1-Month TSFR + 1.484%) due 4/15/34(a)(b) | | | | | 23,284 | | |
| | | 99,522 | | | | Med Trust, Series 2021-MDLN, Class A, 6.374% (1-Month TSFR + 1.064%) due 11/15/38(a)(b) | | | | | 97,025 | | |
| | | 700,000 | | | | MFA Trust, Series 2023-NQM3, Class A1, 6.617% due 7/25/68(b) | | | | | 699,996 | | |
| | | 203,077 | | | | MHP, Series 2022-MHIL, Class A, 6.125% (1-Month TSFR + 0.815%) due 1/15/27(a)(b) | | | | | 198,364 | | |
| | | | | | | Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | |
| | | 244,000 | | | | Series 2014-C16, Class AS, 4.094% due 6/15/47 | | | | | 232,591 | | |
| | | 250,000 | | | | Series 2014-C17, Class A5, 3.741% due 8/15/47 | | | | | 244,232 | | |
| | | | | | | Morgan Stanley Capital I Trust: | | | | | | | |
| | | 1,167,457 | | | | Series 2016-UB11, Class XA, 1.574% due 8/15/49(a)(g) | | | | | 38,512 | | |
| | | 3,469,950 | | | | Series 2016-UB12, Class XA, 0.787% due 12/15/49(a)(g) | | | | | 58,940 | | |
| | | 853,759 | | | | Series 2017-H1, Class XA, 1.479% due 6/15/50(a)(g) | | | | | 26,344 | | |
| | | 184,000 | | | | Series 2021-L6, Class A2, 2.126% due 6/15/54(a) | | | | | 165,279 | | |
| | | 209,308 | | | | MSC Trust, Series 2021-ILP, Class A, 6.203% (1-Month TSFR + 0.892%) due 11/15/23(a)(b) | | | | | 204,580 | | |
| | | | | | | New Residential Mortgage Loan Trust: | | | | | | | |
| | | 1,122,893 | | | | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(a)(b) | | | | | 1,041,579 | | |
| | | 146,724 | | | | Series 2020-NQM1, Class A2, 2.718% due 1/26/60(a)(b) | | | | | 133,125 | | |
| | | 341,236 | | | | NYMT Loan Trust, Series 2020-SP2, Class A1, 2.944% due 10/25/60(a)(b) | | | | | 338,535 | | |
| | | | | | | OBX Trust: | | | | | | | |
| | | 640,942 | | | | Series 2022-NQM1, Class A1, 2.305% due 11/25/61(a)(b) | | | | | 539,468 | | |
| | | 929,726 | | | | Series 2023-NQM1, Class A1, 6.120% due 11/25/62(a)(b) | | | | | 925,585 | | |
| | | 119,127 | | | | PFP Ltd., Series 2021-8, Class A, 6.427% (1-Month TSFR + 1.114%) due 8/9/37(a)(b) | | | | | 116,914 | | |
| | | 458,713 | | | | PRPM LLC, Series 2021-4, Class A1, step bond to yield, 1.867% due 4/25/26(b) | | | | | 425,719 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 200,000 | | | | RIAL Issuer Ltd., Series 2022-FL8, Class A, 7.563% (1-Month TSFR + 2.250%) due 1/19/37(a)(b) | | | | $ | 195,875 | | |
| | | 176,268 | | | | SMR Mortgage Trust, Series 2022-IND, Class A, 6.960% (1-Month TSFR + 1.650%) due 2/15/39(a)(b) | | | | | 168,318 | | |
| | | 1,025,000 | | | | SMRT, Series 2022-MINI, Class B, 6.661% (1-Month TSFR + 1.350%) due 1/15/39(a)(b) | | | | | 994,141 | | |
| | | 210,000 | | | | SREIT Trust, Series 2021-MFP, Class A, 6.156% (1-Month TSFR + 0.845%) due 11/15/38(a)(b) | | | | | 205,784 | | |
| | | 830,598 | | | | UBS Commercial Mortgage Trust, Series 2017-C1, Class XA, 1.685% due 6/15/50(a)(g) | | | | | 35,489 | | |
| | | | | | | Velocity Commercial Capital Loan Trust: | | | | | | | |
| | | 1,001,707 | | | | Series 2021-2, Class A, 1.520% due 8/25/51(a)(b) | | | | | 823,123 | | |
| | | 378,661 | | | | Series 2021-2, Class M1, 1.820% due 8/25/51(a)(b) | | | | | 302,347 | | |
| | | | | | | Verus Securitization Trust: | | | | | | | |
| | | 317,581 | | | | Series 2019-INV2, Class A3, 4.219% due 7/25/59(a)(b) | | | | | 306,369 | | |
| | | 26,652 | | | | Series 2020-2, Class A1, 2.226% due 5/25/60(a)(b) | | | | | 25,977 | | |
| | | 535,310 | | | | Series 2021-7, Class A1, 1.829% due 10/25/66(a)(b) | | | | | 453,800 | | |
| | | 202,952 | | | | Series 2021-R1, Class A2, 1.057% due 10/25/63(a)(b) | | | | | 181,398 | | |
| | | 548,602 | | | | Series 2023-1, Class A1, step bond to yield, 5.850% due 12/25/67(b) | | | | | 542,278 | | |
| | | 92,906 | | | | Vista Point Securitization Trust, Series 2020-2, Class A1, 1.475% due 4/25/65(a)(b) | | | | | 84,027 | | |
| | | | | | | Wells Fargo Commercial Mortgage Trust: | | | | | | | |
| | | 2,207,778 | | | | Series 2015-LC22, Class XA, 0.897% due 9/15/58(a)(g) | | | | | 26,362 | | |
| | | 4,396,894 | | | | Series 2015-NXS2, Class XA, 0.736% due 7/15/58(a)(g) | | | | | 36,937 | | |
| | | 185,000 | | | | Series 2021-C60, Class A2, 2.042% due 8/15/54 | | | | | 166,711 | | |
| | | 82,105 | | | | Series 2021-SAVE, Class A, 6.575% (1-Month TSFR + 1.264%) due 2/15/40(a)(b) | | | | | 78,290 | | |
| | | 250,000 | | | | WFRBS Commercial Mortgage Trust, Series 2014-C22, Class A5, 3.752% due 9/15/57 | | | | | 241,785 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $32,563,889) | | | | | 29,015,803 | | |
| U.S. GOVERNMENT OBLIGATIONS – 5.5% | | ||||||||||||
| | | | | | | U.S. Treasury Notes: | | | | | | | |
| | | 1,520,000 | | | | 4.250% due 12/31/24 | | | | | 1,501,416 | | |
| | | 760,000 | | | | 4.125% due 1/31/25 | | | | | 749,401 | | |
| | | 960,000 | | | | 3.875% due 3/31/25 | | | | | 942,637 | | |
| | | 2,640,000 | | | | 3.875% due 4/30/25 | | | | | 2,592,047 | | |
| | | 4,010,000 | | | | 4.250% due 5/31/25 | | | | | 3,960,971 | | |
| | | 760,000 | | | | 4.625% due 6/30/25 | | | | | 755,784 | | |
| | | 7,000,000 | | | | 3.125% due 8/15/25 | | | | | 6,772,227 | | |
| | | 1,320,000 | | | | 3.875% due 1/15/26 | | | | | 1,295,044 | | |
| | | 2,310,000 | | | | 3.625% due 5/15/26 | | | | | 2,252,972 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,620,000 | | | | 4.125% due 6/15/26 | | | | $ | 1,601,269 | | |
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $22,560,383) | | | | | 22,423,768 | | |
| MORTGAGE-BACKED SECURITIES – 0.5% | | ||||||||||||
| FHLMC – 0.1% | | ||||||||||||
| | | | | | | Freddie Mac Pool: | | | | | | | |
| | | 183,224 | | | | 3.000% due 5/1/42 | | | | | 161,241 | | |
| | | 208,831 | | | | 3.500% due 10/1/42 | | | | | 189,793 | | |
| | | | | | | TOTAL FHLMC | | | | | 351,034 | | |
| FNMA – 0.4% | | ||||||||||||
| | | | | | | Federal National Mortgage Association (FNMA) Pool: | | | | | | | |
| | | 206,046 | | | | 3.000% due 5/1/42 | | | | | 181,325 | | |
| | | 1,400,000 | | | | 4.810% due 9/1/29 | | | | | 1,379,475 | | |
| | | | | | | TOTAL FNMA | | | | | 1,560,800 | | |
| | | | | | | TOTAL MORTGAGE-BACKED SECURITIES (Cost – $1,972,790) | | | | | 1,911,834 | | |
| SOVEREIGN BONDS – 0.2% | | ||||||||||||
| Colombia – 0.0% | | ||||||||||||
| | | 200,000 | | | | Colombia Government International Bond, 4.500% due 1/28/26 | | | | | 192,182 | | |
| Dominican Republic – 0.0% | | ||||||||||||
| | | 100,000 | | | | Dominican Republic International Bond, 5.500% due 1/27/25 | | | | | 98,888 | | |
| Peru – 0.1% | | ||||||||||||
| | | 200,000 | | | | Corp. Financiera de Desarrollo SA, 5.250% due 7/15/29(a) | | | | | 194,752 | | |
| South Africa – 0.1% | | ||||||||||||
| | | 200,000 | | | | Republic of South Africa Government International Bond, 4.875% due 4/14/26 | | | | | 192,428 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $715,742) | | | | | 678,250 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| EXCHANGE TRADED FUND (ETF) – 10.4% | | ||||||||||||
| | | 912,239 | | | | iShares Core 1-5 Year USD Bond (Cost – $42,102,982) | | | | | 42,638,051 | | |
| COMMON STOCKS – 0.1% | | ||||||||||||
| DIVERSIFIED – 0.0% | | ||||||||||||
| Holding Companies-Diversified – 0.0% | | ||||||||||||
| | | 8,000 | | | | AxonPrime Infrastructure Acquisition Corp.*(e) | | | | | — | | |
| | | 25,927 | | | | Berenson Acquisition Corp. I*(e) | | | | | — | | |
| | | | | | | Total Holding Companies-Diversified | | | | | — | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | — | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – 0.1% | | ||||||||||||
| Financial Services – 0.1% | | ||||||||||||
| | | 16,305 | | | | Alpha Partners Technology*(e)(d) | | | | $ | 850 | | |
| | | 273,338 | | | | K&N Holdco LLC*(e)(d) | | | | | 410,007 | | |
| | | 12,300 | | | | Revelstone Capital Acquisition Corp.*(e)(d) | | | | | 1,314 | | |
| | | | | | | Total Financial Services | | | | | 412,171 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 412,171 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $273,524) | | | | | 412,171 | | |
| WARRANTS – 0.0% | | ||||||||||||
| BASIC MATERIALS – 0.0% | | ||||||||||||
| Iron/Steel – 0.0% | | ||||||||||||
| | | 26,954,480 | | | | Tacora Resources Inc.*(e) | | | | | — | | |
| DIVERSIFIED – 0.0% | | ||||||||||||
| Holding Companies-Diversified – 0.0% | | ||||||||||||
| | | 75,173 | | | | Financials Acquisition Corp.*(d) | | | | | 2,857 | | |
| | | 131,256 | | | | Hambro Perks Acquisition Co., Ltd.*(e)(d) | | | | | — | | |
| | | 72,418 | | | | Hiro Metaverse Acquisitions I SA*(d) | | | | | 14,219 | | |
| | | 43,327 | | | | Leafly Holdings Inc.*(d) | | | | | 1,776 | | |
| | | | | | | Total Holding Companies-Diversified | | | | | 18,852 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 18,852 | | |
| HEALTHCARE – 0.0% | | ||||||||||||
| Healthcare Equipment & Supplies – 0.0% | | ||||||||||||
| | | 61,806 | | | | ProSomnus Inc.*(d) | | | | | 1,928 | | |
| | | | | | | TOTAL WARRANTS (Cost – $1,976) | | | | | 20,780 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $396,128,898) | | | | | 370,548,580 | | |
| FaceAmount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 9.3% | | ||||||||||||
| COMMERCIAL PAPERS – 4.0% | | ||||||||||||
| | $ | 3,674,000 | | | | Arrow Electronics Inc., 5.823% due 9/12/23(h) | | | | $ | 3,666,907 | | |
| | | 3,274,000 | | | | Canadian Natural Resources Ltd., 6.170% due 9/25/23(h) | | | | | 3,260,379 | | |
| | | 4,900,000 | | | | Crown Castle Inc., 6.045% due 9/28/23(h) | | | | | 4,877,774 | | |
| | | 4,784,000 | | | | Walgreens Boots Alliance Inc., 6.113% due 10/13/23(h) | | | | | 4,749,692 | | |
| | | | | | | TOTAL COMMERCIAL PAPERS (Cost – $16,556,144) | | | | | 16,554,752 | | |
| CORPORATE NOTE – 0.3% | | ||||||||||||
| | | 996,806 | | | | Tacora Resources Inc., 13.000% due 9/8/23(b)(e)(d)(i) (Cost – $991,212) | | | | | 996,806 | | |
| TIME DEPOSITS – 2.8% | | ||||||||||||
| | | 10,208,936 | | ��� | | Barclays Bank PLC – London, 4.680% due 9/1/23 | | | | | 10,208,936 | | |
| | | 624,450 | | | | Citibank – New York, 4.680% due 9/1/23 | | | | | 624,450 | | |
| | | 779,338 | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 4.680% due 9/1/23 | | | | | 779,338 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $11,612,724) | | | | | 11,612,724 | | |
| U.S. GOVERNMENT OBLIGATIONS – 2.2% | | ||||||||||||
| | | | | | | U.S. Treasury Bills: | | | | | | | |
| | | 6,000,000 | | | | 4.158% due 10/5/23(h) | | | | | 5,975,750 | | |
| | | 3,270,000 | | | | 5.110% due 5/16/24(h) | | | | | 3,148,736 | | |
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $9,130,734) | | | | | 9,124,486 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $38,290,814) | | | | | 38,288,768 | | |
| | | | | | | TOTAL INVESTMENTS – 99.8% (Cost – $434,419,712) | | | | | 408,837,348 | | |
| | | | | | | Other Assets in Excess of Liabilities – 0.2% | | | | | 894,167 | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 409,731,515 | | |
| Corporate Bonds & Notes | | | | | 47.1% | | |
| Exchange Traded Fund (ETF) | | | | | 10.4 | | |
| Asset-Backed Securities | | | | | 10.4 | | |
| Senior Loans | | | | | 9.3 | | |
| Collateralized Mortgage Obligations | | | | | 7.1 | | |
| U.S. Government Obligations | | | | | 5.5 | | |
| Mortgage-Backed Securities | | | | | 0.5 | | |
| Sovereign Bonds | | | | | 0.2 | | |
| Common Stock | | | | | 0.1 | | |
| Warrants | | | | | 0.0* | | |
| Short-Term Investments | | | | | 9.4 | | |
| | | | | | 100.0% | | |
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | | | 810,000 | | | | | | BBH | | | | | $ | 878,695 | | | | | | 9/15/23 | | | | | $ | 2,465 | | | | | $ | — | | | | | $ | 2,465 | | |
Swedish Krona | | | | | 2,605,000 | | | | | | BBH | | | | | | 238,058 | | | | | | 9/15/23 | | | | | | 1,291 | | | | | | — | | | | | | 1,291 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 3,756 | | | | | $ | — | | | | | | 3,756 | | |
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | | | 20,952,000 | | | | | | BBH | | | | | | 22,728,900 | | | | | | 9/15/23 | | | | | $ | 307,719 | | | | | $ | — | | | | | $ | 307,719 | | |
Norwegian Krone | | | | | 20,018,000 | | | | | | BBH | | | | | | 1,883,623 | | | | | | 9/15/23 | | | | | | 42,592 | | | | | | — | | | | | | 42,592 | | |
Swedish Krona | | | | | 20,070,000 | | | | | | BBH | | | | | | 1,834,097 | | | | | | 9/15/23 | | | | | | 25,823 | | | | | | — | | | | | | 25,823 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 376,134 | | | | | $ | — | | | | | $ | 376,134 | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | $ | 379,890 | | | | | $ | — | | | | | $ | 379,890 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 69.7% | | ||||||||||||
| Australia – 1.8% | | ||||||||||||
| | $ | 1,750,000 | | | | Carbon Revolution Ltd., Senior Secured Notes, 8.500% due 5/15/27(a)(b)(c) | | | | $ | 1,750,000 | | |
| | | 12,605,000 | | | | Infrabuild Australia Pty Ltd., Senior Secured Notes, 12.000% due 10/1/24(c) | | | | | 12,237,201 | | |
| | | 1,250,000 | | | | QBE Insurance Group Ltd., Subordinated Notes, 6.750% (USD Swap Rate + 4.300%) due 12/2/44(d) | | | | | 1,235,584 | | |
| | | | | | | Total Australia | | | | | 15,222,785 | | |
| Austria – 0.1% | | ||||||||||||
| | | 900,000 | | | | BRF GmbH, Company Guaranteed Notes, 4.350% due 9/29/26 | | | | | 845,856 | | |
| Bermuda – 0.5% | | ||||||||||||
| | | | | | | Digicel Group Holdings Ltd.: | | | | | | | |
| | | 391,135 | | | | Senior Unsecured Notes, 8.000% due 4/1/25(a)(c)(e) | | | | | 66,493 | | |
| | | 65,015 | | | | Subordinated Notes, 7.000%(c)(f)(g) | | | | | 6,176 | | |
| | | 400,000 | | | | Geopark Ltd., Company Guaranteed Notes, 5.500% due 1/17/27 | | | | | 345,762 | | |
| | | 4,185,000 | | | | Inkia Energy Ltd., Senior Unsecured Notes, 5.875% due 11/9/27 | | | | | 4,007,138 | | |
| | | | | | | Total Bermuda | | | | | 4,425,569 | | |
| Brazil – 1.1% | | ||||||||||||
| | | 5,100,000 | | | | Banco do Brasil SA, Junior Subordinated Notes, 6.250% (5-Year CMT Index + 4.398%)(d)(f) | | | | | 4,821,855 | | |
| | | 1,400,000 | | | | Banco do Estado do Rio Grande do Sul SA, Subordinated Notes, 5.375% (5-Year CMT Index + 4.928%) due 1/28/31(d) | | | | | 1,285,740 | | |
| | | 3,000,000 | | | | Itau Unibanco Holding SA, Subordinated Notes, 3.875% (5-Year CMT Index + 3.446%) due 4/15/31(d) | | | | | 2,755,588 | | |
| | | | | | | Total Brazil | | | | | 8,863,183 | | |
| British Virgin Islands – 0.0% | | ||||||||||||
| | | 200,000 | | | | Gold Fields Orogen Holdings BVI Ltd., Company Guaranteed Notes, 5.125% due 5/15/24 | | | | | 198,404 | | |
| Canada – 3.3% | | ||||||||||||
| | | 10,024,000 | | | | Columbia Care Inc., Senior Secured Notes, 9.500% due 2/3/26(a) | | | | | 8,720,880 | | |
| | | 1,465,000 | | | | Emera Inc., Junior Subordinated Notes, 6.750% (3-Month USD-LIBOR + 5.440%) due 6/15/76(d) | | | | | 1,406,400 | | |
| | | | | | | Enbridge Inc., Subordinated Notes: | | | | | | | |
| | | 575,000 | | | | 6.000% (3-Month TSFR + 4.152%) due 1/15/77(d) | | | | | 541,952 | | |
| | | 315,000 | | | | 5.500% (3-Month TSFR + 3.680%) due 7/15/77(d) | | | | | 282,825 | | |
| | | 735,000 | | | | 5.750% (5-Year CMT Index + 5.314%) due 7/15/80(d) | | | | | 669,185 | | |
| | | 575,000 | | | | 7.625% (5-Year CMT Index + 4.418%) due 1/15/83(d) | | | | | 579,576 | | |
| | | 2,473,000 | | | | Greenfire Resources Inc., Senior Secured Notes, 12.000% due 8/15/25(c) | | | | | 2,609,015 | | |
| | | 6,300,000 | | | | MEGlobal Canada ULC, Company Guaranteed Notes, 5.000% due 5/18/25 | | | | | 6,180,300 | | |
| | | 1,000,000 | | | | MEGlobal Canada ULC 1, Company Guaranteed Notes, 5.000% due 5/18/25(c) | | | | | 981,000 | | |
| | | 7,495,000 | | | | Tacora Resources Inc., Senior Secured Notes, 8.250% due 5/15/26(c)(e) | | | | | 4,534,475 | | |
| | | | | | | TransCanada Trust, Company Guaranteed Notes: | | | | | | | |
| | | 280,000 | | | | 5.500% (SOFRRATE + 4.416%) due 9/15/79(d) | | | | | 235,206 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Canada – (continued) | | ||||||||||||
| | $ | 535,000 | | | | 5.600% (5-Year CMT Index + 3.986%) due 3/7/82(d) | | | | $ | 445,831 | | |
| | | | | | | Total Canada | | | | | 27,186,645 | | |
| Cayman Islands – 0.7% | | ||||||||||||
| | | 1,024,161 | | | | Bioceanico Sovereign Certificate Ltd., Senior Secured Notes, zero coupon, due 6/5/34 | | | | | 722,435 | | |
| | | 500,000 | | | | Cosan Overseas Ltd., Company Guaranteed Notes, 8.250%(f) | | | | | 497,500 | | |
| | | 140,693 | | | | Interoceanica IV Finance Ltd., Senior Secured Notes, zero coupon, due 11/30/25 | | | | | 128,464 | | |
| | | 609,680 | | | | Lima Metro Line 2 Finance Ltd., Senior Secured Notes, 5.875% due 7/5/34 | | | | | 598,022 | | |
| | | 3,973,000 | | | | Sable International Finance Ltd., Senior Secured Notes, 5.750% due 9/7/27 | | | | | 3,684,958 | | |
| | | | | | | Total Cayman Islands | | | | | 5,631,379 | | |
| Chile – 2.4% | | ||||||||||||
| | | | | | | AES Andes SA, Junior Subordinated Notes: | | | | | | | |
| | | 800,000 | | | | 7.125% (5-Year USD Swap Rate + 4.644%) due 3/26/79(c)(d) | | | | | 765,088 | | |
| | | 1,000,000 | | | | 7.125% (5-Year USD Swap Rate + 4.644%) due 3/26/79(d) | | | | | 956,361 | | |
| | | 600,000 | | | | 6.350% (5-Year CMT Index + 4.917%) due 10/7/79(d) | | | | | 571,868 | | |
| | | 1,700,000 | | | | Agrosuper SA, Senior Unsecured Notes, 4.600% due 1/20/32 | | | | | 1,412,968 | | |
| | | 5,200,000 | | | | CAP SA, Senior Unsecured Notes, 3.900% due 4/27/31 | | | | | 3,878,853 | | |
| | | 600,000 | | | | Cencosud SA, Company Guaranteed Notes, 5.150% due 2/12/25 | | | | | 590,645 | | |
| | | 3,400,000 | | | | Chile Electricity PEC SpA, Senior Secured Notes, zero coupon, due 1/25/28(c) | | | | | 2,645,946 | | |
| | | 627,365 | | | | Empresa Electrica Angamos SA, Senior Secured Notes, 4.875% due 5/25/29 | | | | | 565,412 | | |
| | | 2,042,720 | | | | Empresa Electrica Cochrane SpA, Senior Secured Notes, 5.500% due 5/14/27 | | | | | 1,899,730 | | |
| | | 3,300,000 | | | | Enel Generacion Chile SA, Senior Unsecured Notes, 4.250% due 4/15/24 | | | | | 3,228,396 | | |
| | | 2,118,000 | | | | GNL Quintero SA, Senior Unsecured Notes, 4.634% due 7/31/29 | | | | | 2,039,716 | | |
| | | 1,803,000 | | | | VTR Comunicaciones SpA, Senior Secured Notes, 5.125% due 1/15/28 | | | | | 1,117,461 | | |
| | | | | | | Total Chile | | | | | 19,672,444 | | |
| Colombia – 2.2% | | ||||||||||||
| | | 250,000 | | | | Banco GNB Sudameris SA, Subordinated Notes, 7.051% (5-Year CMT Index + 4.561%) due 4/3/27(d) | | | | | 239,895 | | |
| | | 7,850,000 | | | | Bancolombia SA, Subordinated Notes, 4.625% (5-Year CMT Index + 2.944%) due 12/18/29(d) | | | | | 6,931,685 | | |
| | | | | | | Ecopetrol SA, Senior Unsecured Notes: | | | | | | | |
| | | 1,700,000 | | | | 4.125% due 1/16/25 | | | | | 1,647,504 | | |
| | | 4,000,000 | | | | 6.875% due 4/29/30 | | | | | 3,725,194 | | |
| | | 3,372,000 | | | | Empresas Publicas de Medellin ESP, Senior Unsecured Notes, 4.375% due 2/15/31 | | | | | 2,617,322 | | |
| | | 728,000 | | | | Fideicomiso PA Pacifico Tres, Senior Secured Notes, 8.250% due 1/15/35 | | | | | 660,660 | | |
| | | 1,450,000 | | | | Grupo de Inversiones Suramericana SA, Senior Unsecured Notes, 5.500% due 4/29/26 | | | | | 1,400,005 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Colombia – (continued) | | ||||||||||||
| | $ | 1,000,000 | | | | Oleoducto Central SA, Senior Unsecured Notes, 4.000% due 7/14/27 | | | | $ | 897,268 | | |
| | | | | | | Total Colombia | | | | | 18,119,533 | | |
| Denmark – 0.5% | | ||||||||||||
| | | 4,069,000EUR | | | | Skill Bidco ApS, Senior Secured Notes, 10.545% (3-Month EURIBOR + 6.750%) due 3/2/28(d) | | | | | 4,296,201 | | |
| France – 0.6% | | ||||||||||||
| | | | | | | BNP Paribas SA, Junior Subordinated Notes: | | | | | | | |
| | | 675,000 | | | | 7.750% (5-Year CMT Index + 4.899%)(c)(d)(f) | | | | | 655,169 | | |
| | | 295,000 | | | | 8.500% (5-Year CMT Index + 4.354%)(c)(d)(f) | | | | | 293,967 | | |
| | | 595,000 | | | | 9.250% (5-Year CMT Index + 4.969%)(c)(d)(f) | | | | | 613,070 | | |
| | | 1,600,000 | | | | Credit Agricole SA, Junior Subordinated Notes, 8.125% (5-Year USD Swap Rate + 6.185%)(c)(d)(f) | | | | | 1,594,221 | | |
| | | | | | | Societe Generale SA, Junior Subordinated Notes: | | | | | | | |
| | | 450,000 | | | | 6.750% (5-Year USD Swap Rate + 3.929%)(c)(d)(f) | | | | | 381,182 | | |
| | | 1,275,000 | | | | 9.375% (5-Year CMT Index + 5.385%)(c)(d)(f) | | | | | 1,267,775 | | |
| | | | | | | Total France | | | | | 4,805,384 | | |
| Germany – 1.6% | | ||||||||||||
| | | 2,873,000EUR | | | | DEAG Deutsche Entertainment AG, Senior Unsecured Notes, 8.000% due 7/12/26 | | | | | 3,182,468 | | |
| | | | | | | Deutsche Bank AG, Junior Subordinated Notes: | | | | | | | |
| | | 200,000 | | | | 4.789% (5-Year USD Swap Rate + 4.358%)(d)(f) | | | | | 165,250 | | |
| | | 1,400,000 | | | | 6.000% (5-Year CMT Index + 4.524%)(d)(f) | | | | | 1,116,500 | | |
| | | 2,568,168EUR | | | | Lifefit Group Midco GmbH, Senior Secured Notes, 13.112% (3-Month EURIBOR + 7.500%) due 1/26/25(g) | | | | | 2,687,201 | | |
| | | 3,770,000EUR | | | | LR Global Holding GmbH, Senior Secured Notes, 11.053% (3-Month EURIBOR + 7.250%) due 2/3/25(d) | | | | | 3,944,738 | | |
| | | 2,054,000EUR | | | | Secop Group Holding GmbH, Senior Secured Notes, 11.954% (3-Month EURIBOR + 8.400%) due 12/29/26(d) | | | | | 2,238,288 | | |
| | | | | | | Total Germany | | | | | 13,334,445 | | |
| Guatemala – 0.6% | | ||||||||||||
| | | 2,300,000 | | | | Banco Industrial SA, Subordinated Notes, 4.875% (5-Year CMT Index + 4.442%) due 1/29/31(d) | | | | | 2,133,710 | | |
| | | 3,000,000 | | | | CT Trust, Senior Secured Notes, 5.125% due 2/3/32 | | | | | 2,470,440 | | |
| | | | | | | Total Guatemala | | | | | 4,604,150 | | |
| India – 2.0% | | ||||||||||||
| | | 2,800,000 | | | | Adani Electricity Mumbai Ltd., Senior Secured Notes, 3.949% due 2/12/30 | | | | | 2,056,734 | | |
| | | 1,509,750 | | | | Adani International Container Terminal Pvt Ltd., Senior Secured Notes, 3.000% due 2/16/31 | | | | | 1,144,211 | | |
| | | | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 1,300,000 | | | | 3.375% due 7/24/24 | | | | | 1,247,710 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| India – (continued) | | ||||||||||||
| | $ | 3,100,000 | | | | 4.000% due 7/30/27 | | | | $ | 2,582,174 | | |
| | | 800,000 | | | | 4.200% due 8/4/27 | | | | | 670,026 | | |
| | | 1,200,000 | | | | 3.828% due 2/2/32 | | | | | 844,919 | | |
| | | | | | | Adani Transmission Step-One Ltd., Senior Secured Notes: | | | | | | | |
| | | 1,300,000 | | | | 4.000% due 8/3/26 | | | | | 1,132,106 | | |
| | | 3,015,500 | | | | 4.250% due 5/21/36 | | | | | 2,229,980 | | |
| | | 850,000 | | | | ONGC Videsh Ltd., Company Guaranteed Notes, 4.625% due 7/15/24 | | | | | 840,117 | | |
| | | 4,100,000 | | | | Reliance Industries Ltd., Senior Unsecured Notes, 4.125% due 1/28/25 | | | | | 4,009,459 | | |
| | | | | | | Total India | | | | | 16,757,436 | | |
| Indonesia – 1.4% | | ||||||||||||
| | | 3,400,000 | | | | Freeport Indonesia PT, Senior Unsecured Notes, 4.763% due 4/14/27(c) | | | | | 3,265,344 | | |
| | | 3,500,000 | | | | Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT, Senior Unsecured Notes, 4.750% due 5/15/25 | | | | | 3,430,146 | | |
| | | 4,500,000 | | | | Pertamina Persero PT, Senior Unsecured Notes, 1.400% due 2/9/26 | | | | | 4,063,629 | | |
| | | 1,200,000 | | | | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Senior Unsecured Notes, 4.125% due 5/15/27 | | | | | 1,137,457 | | |
| | | | | | | Total Indonesia | | | | | 11,896,576 | | |
| Israel – 1.0% | | ||||||||||||
| | | 5,338,000 | | | | Bank Hapoalim BM, Subordinated Notes, 3.255% (5-Year CMT Index + 2.155%) due 1/21/32(c)(d) | | | | | 4,576,086 | | |
| | | 4,170,000 | | | | Bank Leumi Le-Israel BM, Subordinated Notes, 3.275% (5-Year CMT Index + 1.631%) due 1/29/31(c)(d) | | | | | 3,747,162 | | |
| | | | | | | Total Israel | | | | | 8,323,248 | | |
| Italy – 1.1% | | ||||||||||||
| | | 485,000 | | | | Intesa Sanpaolo SpA, Company Guaranteed Notes, 7.700% (5-Year USD Swap Rate + 5.462%)(c)(d)(f) | | | | | 459,142 | | |
| | | 7,956,000EUR | | | | Opnet SpA, Senior Secured Notes, 9.848% (3-Month EURIBOR + 6.250%) due 2/9/26(a)(c)(d) | | | | | 8,626,691 | | |
| | | | | | | Total Italy | | | | | 9,085,833 | | |
| Jersey, Channel Islands – 0.6% | | ||||||||||||
| | | 5,397,338 | | | | Galaxy Pipeline Assets Bidco Ltd., Senior Secured Notes, 1.750% due 9/30/27 | | | | | 4,979,110 | | |
| Luxembourg – 3.1% | | ||||||||||||
| | | | | | | Cosan Luxembourg SA, Company Guaranteed Notes: | | | | | | | |
| | | 673,000 | | | | 7.000% due 1/20/27 | | | | | 671,670 | | |
| | | 5,100,000 | | | | 7.500% due 6/27/30(c) | | | | | 5,097,602 | | |
| | | | | | | CSN Resources SA, Company Guaranteed Notes: | | | | | | | |
| | | 900,000 | | | | 7.625% due 4/17/26 | | | | | 893,250 | | |
| | | 2,350,000 | | | | 5.875% due 4/8/32 | | | | | 1,900,528 | | |
| | | 2,122,224 | | | | Guara Norte SARL, Senior Secured Notes, 5.198% due 6/15/34 | | | | | 1,856,834 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Luxembourg – (continued) | | ||||||||||||
| | $ | 2,867,835 | | | | MC Brazil Downstream Trading SARL, Senior Secured Notes, 7.250% due 6/30/31 | | | | $ | 1,921,449 | | |
| | | | | | | Millicom International Cellular SA, Senior Unsecured Notes: | | | | | | | |
| | | 2,277,900 | | | | 6.625% due 10/15/26 | | | | | 2,237,692 | | |
| | | 2,565,000 | | | | 5.125% due 1/15/28 | | | | | 2,325,727 | | |
| | | 900,000 | | | | 6.250% due 3/25/29 | | | | | 823,130 | | |
| | | 2,600,000 | | | | Minerva Luxembourg SA, Company Guaranteed Notes, 4.375% due 3/18/31 | | | | | 2,069,131 | | |
| | | 2,600,000 | | | | Nexa Resources SA, Company Guaranteed Notes, 5.375% due 5/4/27 | | | | | 2,445,054 | | |
| | | 3,577,000 | | | | Puffin Finance SARL, Senior Secured Notes, 15.000% due 9/11/25 | | | | | 3,666,425 | | |
| | | | | | | Total Luxembourg | | | | | 25,908,492 | | |
| Malaysia – 0.9% | | ||||||||||||
| | | 1,250,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 4.357% due 3/24/26 | | | | | 1,213,056 | | |
| | | 6,700,000 | | | | TNB Global Ventures Capital Bhd, Senior Unsecured Notes, 3.244% due 10/19/26 | | | | | 6,266,475 | | |
| | | | | | | Total Malaysia | | | | | 7,479,531 | | |
| Mauritius – 0.5% | | ||||||||||||
| | | 2,500,000 | | | | Network i2i Ltd., Company Guaranteed Notes, 5.650% (5-Year CMT Index + 4.274%)(d)(f) | | | | | 2,431,250 | | |
| | | 2,200,000 | | | | UPL Corp., Ltd., Company Guaranteed Notes, 4.500% due 3/8/28 | | | | | 1,924,017 | | |
| | | | | | | Total Mauritius | | | | | 4,355,267 | | |
| Mexico – 3.0% | | ||||||||||||
| | | 6,500,000 | | | | Banco Mercantil del Norte SA, Junior Subordinated Notes, 5.875% (5-Year CMT Index + 4.643%)(d)(f) | | | | | 5,722,495 | | |
| | | 2,800,000 | | | | Banco Nacional de Comercio Exterior SNC, Subordinated Notes, 2.720% (5-Year CMT Index + 2.000%) due 8/11/31(d) | | | | | 2,348,249 | | |
| | | 1,000,000 | | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, Subordinated Notes, 5.950% (5-Year CMT Index + 2.995%) due 10/1/28(d) | | | | | 989,455 | | |
| | | | | | | BBVA Bancomer SA, Subordinated Notes: | | | | | | | |
| | | 2,443,000 | | | | 5.350% (5-Year CMT Index + 3.000%) due 11/12/29(d) | | | | | 2,358,707 | | |
| | | 3,800,000 | | | | 5.875% (5-Year CMT Index + 4.308%) due 9/13/34(d) | | | | | 3,376,161 | | |
| | | 5,500,000 | | | | Cemex SAB de CV, Subordinated Notes, 5.125% (5-Year CMT Index + 4.534%) (d)(f) | | | | | 5,103,547 | | |
| | | 1,900,000 | | | | Industrias Penoles SAB de CV, Senior Unsecured Notes, 4.150% due 9/12/29 | | | | | 1,726,357 | | |
| | | 1,512,963 | | | | Mexico Generadora de Energia S de rl, Senior Secured Notes, 5.500% due 12/6/32 | | | | | 1,451,618 | | |
| | | 3,300,000 | | | | Petroleos Mexicanos, Company Guaranteed Notes, 6.750% due 9/21/47 | | | | | 2,042,480 | | |
| | | | | | | Total Mexico | | | | | 25,119,069 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Multinational – 0.6% | | ||||||||||||
| | $ | 4,293,000 | | | | Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes, 6.750% due 10/1/26(c) | | | | $ | 4,072,583 | | |
| | | 1,400,000 | | | | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance Inc., Company Guaranteed Notes, 3.000% due 2/2/29 | | | | | 1,201,211 | | |
| | | | | | | Total Multinational | | | | | 5,273,794 | | |
| Netherlands – 3.6% | | ||||||||||||
| | | 200,000 | | | | Aegon NV, Subordinated Notes, 5.500% (6-Month USD-LIBOR + 3.540%) due 4/11/48(d) | | | | | 187,920 | | |
| | | 1,755,000 | | | | AerCap Holdings NV, Company Guaranteed Notes, 5.875% (5-Year CMT Index + 4.535%) due 10/10/79(d) | | | | | 1,694,462 | | |
| | | 1,122,000EUR | | | | Azerion Holding BV, Senior Secured Notes, 7.250% due 4/28/24 | | | | | 1,198,336 | | |
| | | 4,700,000 | | | | Braskem Netherlands Finance BV, Company Guaranteed Notes, 8.500% (5-Year CMT Index + 8.220%) due 1/23/81(d) | | | | | 4,727,025 | | |
| | | 5,878,000 | | | | Clear Channel International BV, Senior Secured Notes, 6.625% due 8/1/25(c) | | | | | 5,824,488 | | |
| | | | | | | ING Groep NV, Junior Subordinated Notes: | | | | | | | |
| | | 735,000 | | | | 5.750% (5-Year CMT Index + 4.342%)(d)(f) | | | | | 654,959 | | |
| | | 400,000 | | | | 6.500% (5-Year USD Swap Rate + 4.446%)(d)(f) | | | | | 377,757 | | |
| | | 200,000 | | | | 6.750% (5-Year USD 1100 Run ICE Swap Rate + 4.204%)(d)(f) | | | | | 195,149 | | |
| | | | | | | Minejesa Capital BV, Senior Secured Notes: | | | | | | | |
| | | 6,200,000 | | | | 4.625% due 8/10/30 | | | | | 5,595,259 | | |
| | | 1,300,000 | | | | 5.625% due 8/10/37 | | | | | 1,020,289 | | |
| | | 1,000,000 | | | | Mong Duong Finance Holdings BV, Senior Secured Notes, 5.125% due 5/7/29 | | | | | 902,081 | | |
| | | 4,930,060 | | | | MV24 Capital BV, Senior Secured Notes, 6.748% due 6/1/34 | | | | | 4,443,406 | | |
| | | 2,700,000 | | | | Petrobras Global Finance BV, Company Guaranteed Notes, 7.375% due 1/17/27 | | | | | 2,795,053 | | |
| | | 1,600,000 | | | | VTR Finance NV, Senior Unsecured Notes, 6.375% due 7/15/28 | | | | | 728,238 | | |
| | | | | | | Total Netherlands | | | | | 30,344,422 | | |
| Norway – 0.7% | | ||||||||||||
| | | 14,500,000NOK | | | | Aker Horizons ASA, Senior Unsecured Notes, 7.930% (3-Month NIBOR + 3.250%) due 8/15/25(d) | | | | | 1,322,181 | | |
| | | 29,500,000NOK | | | | Austevoll Seafood ASA, Senior Unsecured Notes, 6.150% (3-Month NIBOR + 2.000%) due 6/21/28(d) | | | | | 2,774,864 | | |
| | | 4,933,000NOK | | | | Duett Software Group AS, Senior Secured Notes, 9.450% (3-Month NIBOR + 5.000%) due 4/12/26(d) | | | | | 448,933 | | |
| | | 3,900,000NOK | | | | Kistefos AS, Senior Unsecured Notes, 9.770% (3-Month NIBOR + 5.000%) due 9/13/28(d) | | | | | 366,846 | | |
| | | 1,200,000EUR | | | | LINK Mobility Group Holding ASA, Senior Unsecured Notes, 3.375% due 12/15/25 | | | | | 1,177,550 | | |
| | | 209,998 | | | | Mime Petroleum AS, Subordinated Notes, 13.500% due 3/21/83 | | | | | 42,000 | | |
| | | | | | | Total Norway | | | | | 6,132,374 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Panama – 0.4% | | ||||||||||||
| | $ | 2,000,000 | | | | Global Bank Corp., Senior Unsecured Notes, 5.250% (3-Month USD-LIBOR + 3.300%) due 4/16/29(d) | | | | $ | 1,877,000 | | |
| | | 1,100,000 | | | | Multibank Inc., Senior Unsecured Notes, 7.750% due 2/3/28(c) | | | | | 1,116,610 | | |
| | | | | | | Total Panama | | | | | 2,993,610 | | |
| Paraguay – 0.2% | | ||||||||||||
| | | 450,000 | | | | Banco Continental SAECA, Senior Unsecured Notes, 2.750% due 12/10/25(c) | | | | | 409,034 | | |
| | | 1,200,000 | | | | Frigorifico Concepcion SA, Senior Secured Notes, 7.700% due 7/21/28 | | | | | 1,016,305 | | |
| | | | | | | Total Paraguay | | | | | 1,425,339 | | |
| Peru – 3.6% | | ||||||||||||
| | | | | | | Banco de Credito del Peru SA, Subordinated Notes: | | | | | | | |
| | | 2,050,000 | | | | 3.125% (5-Year CMT Index + 3.000%) due 7/1/30(d) | | | | | 1,904,219 | | |
| | | 2,800,000 | | | | 3.250% (5-Year CMT Index + 2.450%) due 9/30/31(c)(d) | | | | | 2,498,798 | | |
| | | 1,950,000 | | | | 3.250% (5-Year CMT Index + 2.450%) due 9/30/31(d) | | | | | 1,740,235 | | |
| | | | | | | Banco Internacional del Peru SAA Interbank, Subordinated Notes: | | | | | | | |
| | | 1,500,000 | | | | 6.625% (3-Month USD-LIBOR + 5.760%) due 3/19/29(d) | | | | | 1,490,472 | | |
| | | 4,392,000 | | | | 4.000% (5-Year CMT Index + 3.711%) due 7/8/30(d) | | | | | 4,029,660 | | |
| | | 750,000 | | | | Camposol SA, Company Guaranteed Notes, 6.000% due 2/3/27 | | | | | 518,808 | | |
| | | 4,023,529 | | | | Fenix Power Peru SA, Senior Unsecured Notes, 4.317% due 9/20/27 | | | | | 3,731,824 | | |
| | | 5,241,600 | | | | Hunt Oil Co. of Peru LLC Sucursal Del Peru, Senior Unsecured Notes, 6.375% due 6/1/28 | | | | | 4,988,228 | | |
| | | 2,700,000 | | | | Kallpa Generacion SA, Senior Unsecured Notes, 4.875% due 5/24/26 | | | | | 2,592,000 | | |
| | | 2,200,000 | | | | Orazul Energy Peru SA, Company Guaranteed Notes, 5.625% due 4/28/27 | | | | | 1,987,260 | | |
| | | 4,300,000 | | | | Petroleos del Peru SA, Senior Unsecured Notes, 5.625% due 6/19/47 | | | | | 2,751,646 | | |
| | | 2,000,000 | | | | Transportadora de Gas del Peru SA, Senior Unsecured Notes, 4.250% due 4/30/28 | | | | | 1,921,339 | | |
| | | | | | | Total Peru | | | | | 30,154,489 | | |
| Portugal – 0.0% | | ||||||||||||
| | | 70,068 | | | | Invepar, zero coupon, due 12/30/28(a)(b) | | | | | — | | |
| Singapore – 3.6% | | ||||||||||||
| | | 6,000,000 | | | | DBS Group Holdings Ltd., Subordinated Notes, 1.822% (5-Year CMT Index + 1.100%) due 3/10/31(d) | | | | | 5,427,835 | | |
| | | 4,023,000 | | | | LLPL Capital Pte Ltd., Senior Secured Notes, 6.875% due 2/4/39 | | | | | 3,548,272 | | |
| | | 2,350,000 | | | | ONGC Videsh Vankorneft Pte Ltd., Company Guaranteed Notes, 3.750% due 7/27/26 | | | | | 2,233,346 | | |
| | | 6,700,000 | | | | Oversea-Chinese Banking Corp., Ltd., Subordinated Notes, 1.832% (5-Year CMT Index + 1.580%) due 9/10/30(c)(d) | | | | | 6,168,824 | | |
| | | 1,150,000 | | | | PSA Treasury Pte Ltd., Company Guaranteed Notes, 2.500% due 4/12/26 | | | | | 1,069,327 | | |
| | | 6,500,000 | | | | SingTel Group Treasury Pte Ltd., Company Guaranteed Notes, 2.375% due 10/3/26 | | | | | 5,958,095 | | |
| | | | | | | United Overseas Bank Ltd., Subordinated Notes: | | | | | | | |
| | | 6,400,000 | | | | 1.750% (5-Year CMT Index + 1.520%) due 3/16/31(d) | | | | | 5,748,666 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Singapore – (continued) | | ||||||||||||
| | $ | 200,000 | | | | 2.000% (5-Year CMT Index + 1.230%) due 10/14/31(d) | | | | $ | 176,902 | | |
| | | | | | | Total Singapore | | | | | 30,331,267 | | |
| South Korea – 2.3% | | ||||||||||||
| | | 4,900,000 | | | | Korea East-West Power Co., Ltd., Senior Unsecured Notes, 1.750% due 5/6/25(c) | | | | | 4,596,492 | | |
| | | 4,300,000 | | | | Korea Southern Power Co., Ltd., Senior Unsecured Notes, 0.750% due 1/27/26(c) | | | | | 3,834,638 | | |
| | | | | | | KT Corp., Senior Unsecured Notes: | | | | | | | |
| | | 7,300,000 | | | | 1.000% due 9/1/25 | | | | | 6,676,475 | | |
| | | 400,000 | | | | 2.500% due 7/18/26 | | | | | 369,008 | | |
| | | 3,900,000 | | | | LG Chem Ltd., Senior Unsecured Notes, 3.250% due 10/15/24 | | | | | 3,789,286 | | |
| | | | | | | Total South Korea | | | | | 19,265,899 | | |
| Spain – 0.7% | | ||||||||||||
| | | 4,401,650 | | | | AI Candelaria Spain SA, Senior Secured Notes, 7.500% due 12/15/28 | | | | | 4,066,024 | | |
| | | | | | | Banco Bilbao Vizcaya Argentaria SA, Junior Subordinated Notes: | | | | | | | |
| | | 800,000 | | | | 6.125% (5-Year USD Swap Rate + 3.870%)(d)(f) | | | | | 684,028 | | |
| | | 200,000 | | | | 6.500% (5-Year CMT Index + 5.192%)(d)(f) | | | | | 187,776 | | |
| | | | | | | Banco Santander SA, Junior Subordinated Notes: | | | | | | | |
| | | 1,400,000 | | | | 4.750% (5-Year CMT Index + 3.753%)(d)(f) | | | | | 1,069,036 | | |
| | | 200,000 | | | | 7.500% (5-Year USD 1100 Run ICE Swap Rate + 4.989%)(d)(f) | | | | | 191,989 | | |
| | | | | | | Total Spain | | | | | 6,198,853 | | |
| Sweden – 0.3% | | ||||||||||||
| | | 25,000,000SEK | | | | Stockwik Forvaltning AB, Senior Secured Notes, 11.779% (3-Month SEK-STIBOR + 8.000%) due 3/20/26(d) | | | | | 2,203,589 | | |
| | | 3,750,000SEK | | | | Storskogen Group AB, Senior Unsecured Notes, 10.707% (3-Month SEK-STIBOR + 6.875%) due 3/22/27(d) | | | | | 348,521 | | |
| | | | | | | Total Sweden | | | | | 2,552,110 | | |
| Switzerland – 0.2% | | ||||||||||||
| | | 635,000 | | | | Credit Suisse Group AG, Junior Subordinated Notes, 9.750% (5-Year CMT Index + 6.383%)(c)(f) | | | | | 31,750 | | |
| | | | | | | UBS Group AG, Junior Subordinated Notes: | | | | | | | |
| | | 1,180,000 | | | | 6.875% (5-Year USD Swap Rate + 4.590%)(d)(f) | | | | | 1,105,157 | | |
| | | 300,000 | | | | 7.000% (5-Year USD Swap Rate + 4.344%)(c)(d)(f) | | | | | 297,450 | | |
| | | | | | | Total Switzerland | | | | | 1,434,357 | | |
| United Kingdom – 2.6% | | ||||||||||||
| | | | �� | | | Barclays PLC, Junior Subordinated Notes: | | | | | | | |
| | | 720,000 | | | | 6.125% (5-Year CMT Index + 5.867%)(d)(f) | | | | | 638,959 | | |
| | | 1,900,000 | | | | 8.000% (5-Year CMT Index + 5.431%)(d)(f) | | | | | 1,698,334 | | |
| | | 6,314,000 | | | | 7.750% (5-Year USD Swap Rate + 4.842%)(d)(f) | | | | | 6,313,559 | | |
| Face Amount/Units† | | | Security | | | Value | | | ||||||||
| CORPORATE BONDS & NOTES – (continued) | | | ||||||||||||||
| United Kingdom – (continued) | | | ||||||||||||||
| | | | | | | HSBC Holdings PLC, Junior Subordinated Notes: | | | | | ||||||
| | $ | 450,000 | | | | 6.375% (5-Year USD 1100 Run ICE Swap Rate + 4.368%)(d)(f) | | | | $ | 433,755 | | | | ||
| | | 2,355,000 | | | | 8.000% (5-Year CMT Index + 3.858%)(d)(f) | | | | | 2,348,781 | | | | ||
| | | 12,500,000SEK | | | | Impala BondCo PLC, Senior Secured Notes, 12.868% (3-Month SEK-STIBOR + 9.000%) due 10/20/24(d) | | | | | 1,004,745 | | | | ||
| | | | | | | Lloyds Banking Group PLC, Junior Subordinated Notes: | | | | | | | | | ||
| | | 1,340,000 | | | | 7.500% (5-Year USD 1100 Run ICE Swap Rate + 4.496%)(d)(f) | | | | | 1,254,081 | | | | ||
| | | 600,000 | | | | 8.000% (5-Year CMT Index + 3.913%)(d)(f) | | | | | 543,140 | | | | ||
| | | 2,400,000 | | | | MARB BondCo PLC, Company Guaranteed Notes, 3.950% due 1/29/31 | | | | | 1,867,744 | | | | ||
| | | | | | | NatWest Group PLC, Junior Subordinated Notes: | | | | | | | | | ||
| | | 945,000 | | | | 6.000% (5-Year CMT Index + 5.625%)(d)(f) | | | | | 868,430 | | | | ||
| | | 950,000 | | | | 8.000% (5-Year USD Swap Rate + 5.720%)(d)(f) | | | | | 926,202 | | | | ||
| | | 240,000 | | | | Standard Chartered PLC, Junior Subordinated Notes, 6.000% (5-Year CMT Index + 5.661%)(c)(d)(f) | | | | | 227,989 | | | | ||
| | | 2,327,000 | | | | TransDigm UK Holdings PLC, Company Guaranteed Notes, 6.875% due 5/15/26 | | | | | 2,366,547 | | | | ||
| | | 200,000 | | | | Vedanta Resources Ltd., Senior Unsecured Notes, 6.125% due 8/9/24 | | | | | 119,158 | | | | ||
| | | | | | | Vodafone Group PLC, Junior Subordinated Notes: | | | | | | | | | ||
| | | 1,185,000 | | | | 7.000% (5-Year USD Swap Rate + 4.873%) due 4/4/79(d) | | | | | 1,193,549 | | | | ||
| | | 250,000 | | | | 4.125% (5-Year CMT Index + 2.767%) due 6/4/81(d) | | | | | 195,208 | | | | ||
| | | | | | | Total United Kingdom | | | | | 22,000,181 | | | | ||
| United States – 21.9% | | | ||||||||||||||
| | | 7,321,000 | | | | 99 Escrow Issuer Inc., Senior Secured Notes, 7.500% due 1/15/26(c) | | | | | 2,886,013 | | | | ||
| | | 820,000 | | | | AerCap Global Aviation Trust, Company Guaranteed Notes, 6.500% (3-Month TSFR + 4.562%) due 6/15/45(c)(d) | | | | | 808,549 | | | | ||
| | | 1,080,000 | | | | Air Lease Corp., Junior Subordinated Notes, 4.650% (5-Year CMT Index + 4.076%)(d)(f) | | | | | 939,892 | | | | ||
| | | 1,315,000 | | | | Ally Financial Inc., Junior Subordinated Notes, 4.700% (5-Year CMT Index + 3.868%)(d)(f) | | | | | 890,528 | | | | ||
| | | 250,000 | | | | American AgCredit Corp., Junior Subordinated Notes, 5.250% (5-Year CMT Index + 4.500%)(c)(d)(f) | | | | | 221,250 | | | | ||
| | | 160,000 | | | | American Electric Power Co., Inc., Junior Subordinated Notes, 3.875% (5-Year CMT Index + 2.675%) due 2/15/62(d) | | | | | 129,001 | | | | ||
| | | 465,000 | | | | American Express Co., Junior Subordinated Notes, 3.550% (5-Year CMT Index + 2.854%)(d)(f) | | | | | 387,113 | | | | ||
| | | 1,938,000 | | | | American Greetings Corp., Company Guaranteed Notes, 8.750% due 4/15/25(c) | | | | | 1,907,526 | | | | ||
| | | 160,000 | | | | American International Group Inc., Junior Subordinated Notes, 5.750% (3-Month USD-LIBOR + 2.868%) due 4/1/48(d) | | | | | 151,080 | | | | ||
| | | 3,269,522 | | | | Anagram International Inc./Anagram Holdings LLC, Senior Secured Notes, 15.000% due 8/15/25(c) | | | | | 3,138,741 | | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 1,200,000 | | | | Assurant Inc., Subordinated Notes, 7.000% (3-Month USD-LIBOR + 4.135%) due 3/27/48(d) | | | | $ | 1,162,471 | | |
| | | 969,000 | | | | Assured Guaranty Municipal Holdings Inc., Company Guaranteed Notes, 6.400% (1-Month USD-LIBOR + 2.215%) due 12/15/66(c)(d) | | | | | 855,592 | | |
| | | 311,000 | | | | AXIS Specialty Finance LLC, Company Guaranteed Notes, 4.900% (5-Year CMT Index + 3.186%) due 1/15/40(d) | | | | | 250,114 | | |
| | | | | | | Bank of America Corp., Junior Subordinated Notes: | | | | | | | |
| | | 355,000 | | | | 4.375% (5-Year CMT Index + 2.760%)(d)(f) | | | | | 304,704 | | |
| | | 200,000 | | | | 6.100% (3-Month TSFR + 4.160%)(d)(f) | | | | | 196,587 | | |
| | | 250,000 | | | | 6.250% (3-Month TSFR + 3.967%)(d)(f) | | | | | 248,750 | | |
| | | 1,550,000 | | | | 6.300% (3-Month TSFR + 4.815%)(d)(f) | | | | | 1,545,819 | | |
| | | 1,140,000 | | | | 6.500% (3-Month TSFR + 4.436%)(d)(f) | | | | | 1,142,850 | | |
| | | 500,000 | | | | Bank of New York Mellon Corp., Junior Subordinated Notes, 4.700% (5-Year CMT Index + 4.358%)(d)(f) | | | | | 485,080 | | |
| | | 9,250,000 | | | | BuzzFeed Inc., Company Guaranteed Notes, 8.500% due 12/3/26(c) | | | | | 5,923,700 | | |
| | | 280,000 | | | | Capital Farm Credit ACA, Junior Subordinated Notes, 5.000% (5-Year CMT Index + 4.523%)(c)(d)(f) | | | | | 249,200 | | |
| | | 685,000 | | | | Capital One Financial Corp., Junior Subordinated Notes, 3.950% (5-Year CMT Index + 3.157%)(d)(f) | | | | | 525,738 | | |
| | | 1,240,000 | | | | CenterPoint Energy Inc., Junior Subordinated Notes, 6.125% (3-Month USD-LIBOR + 3.270%)(d)(f) | | | | | 1,240,000 | | |
| | | | | | | Charles Schwab Corp., Junior Subordinated Notes: | | | | | | | |
| | | 610,000 | | | | 4.000% (5-Year CMT Index + 3.168%)(d)(f) | | | | | 527,833 | | |
| | | 945,000 | | | | 5.375% (5-Year CMT Index + 4.971%)(d)(f) | | | | | 911,925 | | |
| | | | | | | Citigroup Inc., Junior Subordinated Notes: | | | | | | | |
| | | 265,000 | | | | 4.150% (5-Year CMT Index + 3.000%)(d)(f) | | | | | 220,954 | | |
| | | 795,000 | | | | 5.000% (SOFRRATE + 3.813%)(d)(f) | | | | | 760,974 | | |
| | | 1,504,000 | | | | 5.950% (3-Month TSFR + 4.167%)(d)(f) | | | | | 1,450,044 | | |
| | | 1,225,000 | | | | 6.250% (3-Month TSFR + 4.779%)(d)(f) | | | | | 1,205,278 | | |
| | | 560,000 | | | | 6.300% (3-Month TSFR + 3.685%)(d)(f) | | | | | 550,340 | | |
| | | 480,000 | | | | 7.375% (5-Year CMT Index + 3.209%)(d)(f) | | | | | 483,000 | | |
| | | 450,000 | | | | 9.699% (3-Month TSFR + 4.330%)(d)(f) | | | | | 449,998 | | |
| | | | | | | Citizens Financial Group Inc., Junior Subordinated Notes: | | | | | | | |
| | | 460,000 | | | | 4.000% (5-Year CMT Index + 3.215%)(d)(f) | | | | | 347,953 | | |
| | | 100,000 | | | | 6.375% (3-Month TSFR + 3.419%)(d)(f) | | | | | 86,575 | | |
| | | 215,000 | | | | CMS Energy Corp., Junior Subordinated Notes, 4.750% (5-Year CMT Index + 4.116%) due 6/1/50(d) | | | | | 187,785 | | |
| | | | | | | CoBank ACB, Junior Subordinated Notes: | | | | | | | |
| | | 1,075,000 | | | | 6.250% (3-Month USD-LIBOR + 4.660%)(d)(f) | | | | | 1,031,080 | | |
| | | 460,000 | | | | 6.450% (5-Year CMT Index + 3.487%)(d)(f) | | | | | 438,365 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 650,000 | | | | Compeer Financial ACA, Junior Subordinated Notes, 4.875% (5-Year CMT Index + 4.095%)(a)(c)(d)(f) | | | | $ | 585,000 | | |
| | | 510,000 | | | | Dairy Farmers of America Inc., Junior Subordinated Notes, 7.125%(c)(f) | | | | | 453,900 | | |
| | | | | | | Discover Financial Services, Junior Subordinated Notes: | | | | | | | |
| | | 125,000 | | | | 5.500% (3-Month TSFR + 3.338%)(d)(f) | | | | | 93,050 | | |
| | | 490,000 | | | | 6.125% (5-Year CMT Index + 5.783%)(d)(f) | | | | | 470,845 | | |
| | | | | | | Edison International, Junior Subordinated Notes: | | | | | | | |
| | | 570,000 | | | | 5.000% (5-Year CMT Index + 3.901%)(d)(f) | | | | | 490,200 | | |
| | | 535,000 | | | | 5.375% (5-Year CMT Index + 4.698%)(d)(f) | | | | | 472,663 | | |
| | | | | | | Energy Transfer LP, Junior Subordinated Notes: | | | | | | | |
| | | 1,060,000 | | | | 6.500% (5-Year CMT Index + 5.694%)(d)(f) | | | | | 966,773 | | |
| | | 44,000 | | | | 7.125% (5-Year CMT Index + 5.306%)(d)(f) | | | | | 38,935 | | |
| | | 610,000 | | | | Enstar Finance LLC, Company Guaranteed Notes, 5.500% (5-Year CMT Index + 4.006%) due 1/15/42(d) | | | | | 481,999 | | |
| | | 615,000 | | | | Equitable Holdings Inc., Junior Subordinated Notes, 4.950% (5-Year CMT Index + 4.736%)(d)(f) | | | | | 589,788 | | |
| | | 705,000 | | | | Fifth Third Bancorp, Junior Subordinated Notes, 4.500% (5-Year CMT Index + 4.215%)(d)(f) | | | | | 641,419 | | |
| | | 260,000 | | | | First Citizens BancShares Inc., Junior Subordinated Notes, 9.524% (3-Month USD-LIBOR + 3.972%)(d)(f) | | | | | 262,032 | | |
| | | 2,838,000 | | | | Five Point Operating Co. LP/Five Point Capital Corp., Company Guaranteed Notes, 7.875% due 11/15/25(c) | | | | | 2,646,477 | | |
| | | | | | | Freeport-McMoRan Inc., Company Guaranteed Notes: | | | | | | | |
| | | 3,000,000 | | | | 5.000% due 9/1/27 | | | | | 2,881,871 | | |
| | | 2,700,000 | | | | 4.125% due 3/1/28 | | | | | 2,504,364 | | |
| | | 940,000 | | | | FXI Holdings Inc., Senior Secured Notes, 12.250% due 11/15/26(c) | | | | | 843,650 | | |
| | | | | | | General Electric Co., Junior Subordinated Notes: | | | | | | | |
| | | 373,000 | | | | 7.832% (3-Month USD-LIBOR + 2.280%)(d)(f) | | | | | 373,000 | | |
| | | 198,000 | | | | 7.922% (3-Month USD-LIBOR + 2.370%)(d)(f) | | | | | 197,901 | | |
| | | 9,470,000 | | | | 8.882% (3-Month USD-LIBOR + 3.330%)(d)(f) | | | | | 9,470,000 | | |
| | | | | | | General Motors Financial Co., Inc., Junior Subordinated Notes: | | | | | | | |
| | | 1,605,000 | | | | 5.700% (5-Year CMT Index + 4.997%)(d)(f) | | | | | 1,375,111 | | |
| | | 1,685,000 | | | | 5.750% (3-Month USD-LIBOR + 3.598%)(d)(f) | | | | | 1,381,700 | | |
| | | 4,483,000 | | | | Getty Images Inc., Company Guaranteed Notes, 9.750% due 3/1/27(c) | | | | | 4,475,646 | | |
| | | | | | | Goldman Sachs Group Inc., Junior Subordinated Notes: | | | | | | | |
| | | 395,000 | | | | 4.125% (5-Year CMT Index + 2.949%)(d)(f) | | | | | 331,758 | | |
| | | 1,405,000 | | | | 5.300% (3-Month TSFR + 4.096%)(d)(f) | | | | | 1,354,069 | | |
| | | 1,209,000 | | | | 5.500% (5-Year CMT Index + 3.623%)(d)(f) | | | | | 1,183,849 | | |
| | | 530,000 | | | | 7.500% (5-Year CMT Index + 3.156%)(d)(f) | | | | | 532,650 | | |
| | | 3,000,000 | | | | Hawaii Electric Light Co., Inc., 3.280% due 12/30/40(a)(b) | | | | | 1,710,000 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 7,548,459 | | | | Hawaiian Airlines 2013-1 Class A Pass-Through Certificates, Pass Thru Certificates, 3.900% due 1/15/26 | | | | $ | 6,830,731 | | |
| | | 310,000 | | | | Hercules Achievement Inc./Varsity Brands Holding Co., Inc., Senior Secured Notes, 13.503% (3-Month TSFR + 8.262%) due 12/22/24(c)(d) | | | | | 303,458 | | |
| | | 1,408,000 | | | | HighPeak Energy Inc., Company Guaranteed Notes, 10.000% due 2/15/24(a)(c) | | | | | 1,432,640 | | |
| | | 1,260,000 | | | | Huntington Bancshares Inc., Junior Subordinated Notes, 5.625% (5-Year CMT Index + 4.945%)(d)(f) | | | | | 1,146,600 | | |
| | | | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes: | | | | | | | |
| | | 1,619,000 | | | | 4.750% due 9/15/24 | | | | | 1,564,719 | | |
| | | 4,790,000 | | | | 6.375% due 12/15/25 | | | | | 4,566,693 | | |
| | | 11,715,000 | | | | IEA Energy Services LLC, Company Guaranteed Notes, 6.625% due 8/15/29(c) | | | | | 11,441,923 | | |
| | | 250,000 | | | | ILFC E-Capital Trust II, Limited Guaranteed Notes, 7.314% (3-Month USD-LIBOR + 1.800%) due 12/21/65(c)(d) | | | | | 184,176 | | |
| | | 10,882,000 | | | | INNOVATE Corp., Senior Secured Notes, 8.500% due 2/1/26(c)(h) | | | | | 8,324,730 | | |
| | | | | | | JPMorgan Chase & Co., Junior Subordinated Notes: | | | | | | | |
| | | 565,000 | | | | 3.650% (5-Year CMT Index + 2.850%)(d)(f) | | | | | 499,267 | | |
| | | 1,495,000 | | | | 5.000% (3-Month TSFR + 3.380%)(d)(f) | | | | | 1,464,181 | | |
| | | 200,000 | | | | 6.100% (3-Month TSFR + 3.592%)(d)(f) | | | | | 199,000 | | |
| | | 1,855,000 | | | | 6.750% (3-Month TSFR + 4.042%)(d)(f) | | | | | 1,855,000 | | |
| | | 280,000 | | | | KeyCorp, Junior Subordinated Notes, 5.000% (3-Month TSFR + 3.868%)(d)(f) | | | | | 217,112 | | |
| | | 1,655,000 | | | | Land O’ Lakes Inc., Junior Subordinated Notes, 7.250%(c)(f) | | | | | 1,340,550 | | |
| | | 7,109,000 | | | | Leafly Holdings Inc., Senior Unsecured Notes, 8.000% due 1/31/25(a)(b) | | | | | 6,042,650 | | |
| | | | | | | M&T Bank Corp., Junior Subordinated Notes: | | | | | | | |
| | | 170,000 | | | | 3.500% (5-Year CMT Index + 2.679%)(d)(f) | | | | | 120,848 | | |
| | | 655,000 | | | | 5.125% (3-Month USD-LIBOR + 3.520%)(d)(f) | | | | | 542,131 | | |
| | | 1,360,000 | | | | Markel Group Inc., Junior Subordinated Notes, 6.000% (5-Year CMT Index + 5.662%)(d)(f) | | | | | 1,318,833 | | |
| | | 1,700,000 | | | | Mercury Chile Holdco LLC, Senior Secured Notes, 6.500% due 1/24/27(c) | | | | | 1,573,562 | | |
| | | | | | | MetLife Inc., Junior Subordinated Notes: | | | | | | | |
| | | 580,000 | | | | 3.850% (5-Year CMT Index + 3.576%)(d)(f) | | | | | 534,818 | | |
| | | 885,000 | | | | 5.875% (3-Month TSFR + 3.221%)(d)(f) | | | | | 826,325 | | |
| | | 2,000,000 | | | | NBM US Holdings Inc., Company Guaranteed Notes, 7.000% due 5/14/26 | | | | | 1,972,303 | | |
| | | 5,913,000 | | | | NGL Energy Operating LLC/NGL Energy Finance Corp., Senior Secured Notes, 7.500% due 2/1/26(c) | | | | | 5,886,837 | | |
| | | 330,000 | | | | Paramount Global, Junior Subordinated Notes, 6.375% (5-Year CMT Index + 3.999%) due 3/30/62(d) | | | | | 272,250 | | |
| | | 195,000 | | | | PartnerRe Finance B LLC, Company Guaranteed Notes, 4.500% (5-Year CMT Index + 3.815%) due 10/1/50(d) | | | | | 163,513 | | |
| | | | | | | PNC Financial Services Group Inc., Junior Subordinated Notes: | | | | | | | |
| | | 447,000 | | | | 5.000% (3-Month TSFR + 3.562%)(d)(f) | | | | | 390,070 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 500,000 | | | | 6.000% (5-Year CMT Index + 3.000%)(d)(f) | | | | $ | 449,550 | | |
| | | 695,000 | | | | 6.200% (5-Year CMT Index + 3.238%)(d)(f) | | | | | 648,142 | | |
| | | 865,000 | | | | 6.250% (5-Year CMT Index + 2.808%)(d)(f) | | | | | 765,171 | | |
| | | 545,000 | | | | 8.711% (3-Month TSFR + 3.302%)(d)(f) | | | | | 540,220 | | |
| | | 3,399,856 | | | | ProSomnus Holdings Inc., 9.000% due 12/31/49(a)(b) | | | | | 2,921,986 | | |
| | | 330,000 | | | | Provident Financing Trust I, Limited Guaranteed Notes, 7.405% due 3/15/38 | | | | | 326,951 | | |
| | | 895,000 | | | | Prudential Financial Inc., Junior Subordinated Notes, 5.125% (5-Year CMT Index + 3.162%) due 3/1/52(d) | | | | | 799,585 | | |
| | | 735,000 | | | | Regions Financial Corp., Junior Subordinated Notes, 5.750% (5-Year CMT Index + 5.430%)(d)(f) | | | | | 700,580 | | |
| | | 2,700,000 | | | | Sasol Financing USA LLC, Company Guaranteed Notes, 4.375% due 9/18/26 | | | | | 2,426,635 | | |
| | | | | | | SBL Holdings Inc., Junior Subordinated Notes: | | | | | | | |
| | | 1,195,000 | | | | 6.500% (5-Year CMT Index + 5.620%)(c)(d)(f) | | | | | 672,863 | | |
| | | 845,000 | | | | 7.000% (5-Year CMT Index + 5.580%)(c)(d)(f) | | | | | 514,842 | | |
| | | | | | | Sempra, Junior Subordinated Notes: | | | | | | | |
| | | 510,000 | | | | 4.875% (5-Year CMT Index + 4.550%)(d)(f) | | | | | 482,353 | | |
| | | 230,000 | | | | 4.125% (5-Year CMT Index + 2.868%) due 4/1/52(d) | | | | | 185,976 | | |
| | | 520,000 | | | | Southern Co., Junior Subordinated Notes, 4.000% (5-Year CMT Index + 3.733%) due 1/15/51(d) | | | | | 482,204 | | |
| | | 7,097,000 | | | | Sprint LLC, Company Guaranteed Notes, 7.875% due 9/15/23 | | | | | 7,100,052 | | |
| | | 8,135,000 | | | | StoneX Group Inc., Senior Secured Notes, 8.625% due 6/15/25(c) | | | | | 8,237,420 | | |
| | | 3,128,000 | | | | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., Secured Notes, step bond to yield, 9.000% due 10/15/26(c) | | | | | 3,018,520 | | |
| | | 1,655,000 | | | | TransDigm Inc., Company Guaranteed Notes, 6.375% due 6/15/26 | | | | | 1,654,814 | | |
| | | | | | | Truist Financial Corp., Junior Subordinated Notes: | | | | | | | |
| | | 810,000 | | | | 4.800% (5-Year CMT Index + 3.003%)(d)(f) | | | | | 717,255 | | |
| | | 2,155,000 | | | | 5.100% (5-Year CMT Index + 4.349%)(d)(f) | | | | | 1,885,410 | | |
| | | 3,148,000 | | | | Uber Technologies Inc., Company Guaranteed Notes, 8.000% due 11/1/26(c) | | | | | 3,205,284 | | |
| | | 7,295,000 | | | | UpHealth Inc., Senior Unsecured Notes, 6.250% due 6/15/26(c) | | | | | 2,918,000 | | |
| | | | | | | Vistra Corp., Junior Subordinated Notes: | | | | | | | |
| | | 205,000 | | | | 7.000% (5-Year CMT Index + 5.740%)(c)(d)(f) | | | | | 189,740 | | |
| | | 120,000 | | | | 8.000% (5-Year CMT Index + 6.930%)(c)(d)(f) | | | | | 114,679 | | |
| | | 390,000 | | | | Voya Financial Inc., Junior Subordinated Notes, 6.125% (5-Year CMT Index + 3.358%)(d)(f) | | | | | 385,488 | | |
| | | 2,844,000 | | | | Warnermedia Holdings Inc., Company Guaranteed Notes, 5.050% due 3/15/42 | | | | | 2,337,859 | | |
| | | | | | | Wells Fargo & Co., Junior Subordinated Notes: | | | | | | | |
| | | 1,290,000 | | | | 3.900% (5-Year CMT Index + 3.453%)(d)(f) | | | | | 1,143,585 | | |
| | | 1,470,000 | | | | 5.875%(d)(f) | | | | | 1,457,138 | | |
| | | 570,000 | | | | 5.900%(d)(f) | | | | | 564,100 | | |
| | | 1,225,000 | | | | 7.625% (5-Year CMT Index + 3.606%)(d)(f) | | | | | 1,254,094 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 234,000 | | | | XPO Inc., Senior Secured Notes, 6.250% due 6/1/28(c) | | | | $ | 229,291 | | |
| | | 3,452,000 | | | | Ziff Davis Inc., Company Guaranteed Notes, 4.625% due 10/15/30(c) | | | | | 2,969,180 | | |
| | | | | | | Total United States | | | | | 183,364,939 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $622,171,142) | | | | | 582,582,174 | | |
| SENIOR LOANS(d) – 7.1% | | ||||||||||||
| | | | | | | American Greetings Corp.: | | | | | | | |
| | | 1,739,640 | | | | 10.131% (3-Month USD-LIBOR + 4.500%) due 4/6/24(a) | | | | | 1,736,926 | | |
| | | 2,024,825 | | | | 11.331% (1-Month USD-LIBOR + 6.000%) due 4/6/28 | | | | | 2,021,667 | | |
| | | 9,306,427 | | | | Cengage Learning Inc., 10.323% (3-Month USD-LIBOR + 4.750%) due 7/14/26 | | | | | 9,272,551 | | |
| | | 780,478 | | | | Chefs’ Warehouse Inc., 10.180% 1-Month USD-LIBOR + 4.750%) due 8/23/29 | | | | | 781,453 | | |
| | | 6,192,556 | | | | Chobani LLC, 8.946% (1-Month USD-LIBOR + 3.500%) due 10/25/27 | | | | | 6,184,816 | | |
| | | 1,373,566 | | | | Container Store Inc., 10.288% (3-Month USD-LIBOR + 4.750%) due 1/31/26 | | | | | 1,243,078 | | |
| | | 2,842,460 | | | | Crocs Inc., 8.892% (3-Month USD-LIBOR + 3.500%) due 2/20/29 | | | | | 2,849,253 | | |
| | | 1,747,844 | | | | Diebold Nixdorf Inc., due 8/11/28(i) | | | | | 1,734,735 | | |
| | | | | | | Elevate Textiles Inc.: | | | | | | | |
| | | 337,532 | | | | 13.742% (3-Month USD-LIBOR + 8.500%) due 9/30/27 | | | | | 334,156 | | |
| | | 920,223 | | | | 13.146% (1-Month USD-LIBOR + 8.100%) due 9/30/27 | | | | | 736,179 | | |
| | | | | | | First Brands Group LLC: | | | | | | | |
| | | 703,310 | | | | 10.881% (6-Month USD-LIBOR + 5.000%) due 3/30/27 | | | | | 692,760 | | |
| | | 6,606,639 | | | | 14.381% (6-Month USD-LIBOR + 8.500%) due 3/30/28 | | | | | 6,157,916 | | |
| | | 1,695,246 | | | | Fogo de Chao Inc., 9.696% (1-Month USD-LIBOR + 4.250%) due 4/7/25 | | | | | 1,692,517 | | |
| | | 951,630 | | | | GemmaCert Ltd., 9.000% (6-Month USD-LIBOR + 9.000%) due 5/19/24(a)(b) | | | | | 638,401 | | |
| | | 3,372,835 | | | | Getty Images Inc., 9.842% (3-Month USD-LIBOR + 4.500%) due 2/19/26 | | | | | 3,372,835 | | |
| | | 8,160,923 | | | | Inotiv Inc., 12.206% (6-Month USD-LIBOR + 6.750%) due 11/5/26 | | | | | 7,834,486 | | |
| | | 997,455 | | | | Magnite Inc., 10.483% (1-Month USD-LIBOR + 5.000%) due 4/28/28 | | | | | 994,962 | | |
| | | 9,071,851 | | | | Mountaineer Merger Corp., 12.634% (6-Month USD-LIBOR + 7.000%) due 10/26/28 | | | | | 7,227,272 | | |
| | | 4,295,697 | | | | QuarterNorth Energy Holding Inc., 13.446% (1-Month USD-LIBOR + 8.000%) due 8/27/26 | | | | | 4,267,044 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $61,157,629) | | | | | 59,773,007 | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS – 2.3% | | ||||||||||||
| | | 1,800,352 | | | | BX, Series 2021-MFM1, Class D, 6.924% due 1/15/34(c)(d) | | | | | 1,755,672 | | |
| | | | | | | BX Commercial Mortgage Trust: | | | | | | | |
| | | 3,933,000 | | | | Series 2021-VOLT, Class C, 6.525%due 9/15/36(c)(d) | | | | | 3,760,250 | | |
| | | 219,946 | | | | Series 2021-VINO, Class C, 6.527%due 5/15/38(c)(d) | | | | | 214,146 | | |
| | | 1,515,157 | | | | Series 2021-SOAR, Class C, 6.525%due 6/15/38(c)(d) | | | | | 1,488,800 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,366,814 | | | | Series 2021-XL2, Class C, 6.622%due 10/15/38(c)(d) | | | | $ | 1,327,365 | | |
| | | 934,489 | | | | BX Trust, Series 2022-IND, Class B, 7.250% due 4/15/37(c)(d) | | | | | 918,965 | | |
| | | 3,363,000 | | | | CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D, 7.175% due 12/15/37(c)(d) | | | | | 3,324,855 | | |
| | | 871,831 | | | | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D, 6.958% due 5/15/36(c)(d) | | | | | 865,891 | | |
| | | 1,280,000 | | | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class B, 6.474% due 4/15/38(c)(d) | | | | | 1,261,478 | | |
| | | 1,169,000 | | | | MHC Commercial Mortgage Trust, Series 2021-MHC, Class D, 7.025% due 4/15/38(c)(d) | | | | | 1,145,543 | | |
| | | 1,131,373 | | | | MSCG Trust, Series 2018-SELF, Class D, 7.008% due 10/15/37(c)(d) | | | | | 1,111,426 | | |
| | | 1,920,000 | | | | SMRT, Series 2022-MINI, Class B, 6.661% due 1/15/39(c)(d) | | | | | 1,862,196 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $18,940,036) | | | | | 19,036,587 | | |
| SOVEREIGN BONDS – 2.0% | | ||||||||||||
| Colombia – 0.6% | | ||||||||||||
| | | 4,900,000 | | | | Colombia Government International Bond, 4.500% due 1/28/26 | | | | | 4,708,448 | | |
| Dominican Republic – 0.1% | | ||||||||||||
| | | 1,000,000 | | | | Dominican Republic International Bond, 5.500% due 1/27/25 | | | | | 988,882 | | |
| Peru – 0.2% | | ||||||||||||
| | | 1,815,000 | | | | Corp. Financiera de Desarrollo SA, 5.250% due 7/15/29(d) | | | | | 1,767,378 | | |
| Saudi Arabia – 0.3% | | ||||||||||||
| | | 2,500,000 | | | | Saudi Government International Bond, 3.250% due 10/26/26 | | | | | 2,359,890 | | |
| South Africa – 0.6% | | ||||||||||||
| | | | | | | Republic of South Africa Government International Bond: | | | | | | | |
| | | 3,200,000 | | | | 4.665% due 1/17/24 | | | | | 3,168,384 | | |
| | | 1,600,000 | | | | 4.875% due 4/14/26 | | | | | 1,539,424 | | |
| | | | | | | Total South Africa | | | | | 4,707,808 | | |
| South Korea – 0.2% | | ||||||||||||
| | | 200,000 | | | | Korea Development Bank, 1.000% due 9/9/26 | | | | | 175,811 | | |
| | | 1,900,000 | | | | Korea Electric Power Corp., 1.125% due 6/15/25(c) | | | | | 1,760,255 | | |
| | | | | | | Total South Korea | | | | | 1,936,066 | | |
| Ukraine – 0.0% | | ||||||||||||
| | | 1,800,000 | | | | Ukraine Government International Bond, 9.750% due 11/1/30 | | | | | 526,306 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $18,351,448) | | | | | 16,994,778 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| EXCHANGE TRADED FUND (ETF) – 6.1% | | ||||||||||||
| United States – 6.1% | | ||||||||||||
| | | 1,486,171 | | | | Xtrackers USD High Yield Corporate Bond (Cost – $51,025,081) | | | | $ | 51,421,517 | | |
| PREFERRED STOCKS – 3.1% | | ||||||||||||
| Bermuda – 0.4% | | ||||||||||||
| | | | | | | Aspen Insurance Holdings Ltd.: | | ||||||
| | | 49,296 | | | | 5.625%(f) | | | | | 939,582 | | |
| | | 6,550 | | | | 9.593%(d)(f) | | | | | 168,662 | | |
| | | | | | | Athene Holding Ltd.: | | | | | | | |
| | | 25,555 | | | | 6.350% (3-Month USD-LIBOR + 4.253%)(d)(f) | | | | | 564,510 | | |
| | | 22,269 | | | | 6.375% (5-Year CMT Index + 5.970%)(d)(f) | | | | | 543,364 | | |
| | | 10,445 | | | | Axis Capital Holdings Ltd., 5.500%(f) | | | | | 206,184 | | |
| | | 30,038 | | | | Enstar Group Ltd., 7.000% (3-Month USD-LIBOR + 4.015%)(d)(f) | | | | | 705,893 | | |
| | | | | | | Total Bermuda | | | | | 3,128,195 | | |
| United Kingdom – 0.0% | | ||||||||||||
| | | 4,046 | | | | Argo Blockchain PLC, 8.750% | | | | | 27,311 | | |
| United States – 2.7% | | ||||||||||||
| | | 4,850 | | | | AgriBank FCB, 6.875% (3-Month USD-LIBOR + 4.225%)(d)(f) | | | | | 485,485 | | |
| | | 18,819 | | | | Air Lease Corp., 6.150% (3-Month TSFR + 3.912%)(d)(f) | | | | | 449,774 | | |
| | | | | | | American Equity Investment Life Holding Co.: | | | | | | | |
| | | 26,165 | | | | 5.950% (5-Year CMT Index + 4.322%)(d)(f) | | | | | 549,203 | | |
| | | 60,435 | | | | 6.625% (5-Year CMT Index + 6.297%)(d)(f) | | | | | 1,408,136 | | |
| | | 8,130 | | | | Assurant Inc., 5.250% | | | | | 162,275 | | |
| | | 21,565 | | | | AT&T Inc., 4.750%(f) | | | | | 417,930 | | |
| | | 11,890 | | | | Capital One Financial Corp., 5.000%(f) | | | | | 224,959 | | |
| | | 2,850 | | | | CoBank ACB, 6.200% (3-Month USD-LIBOR + 3.744%)(d)(f) | | | | | 273,628 | | |
| | | 1,000 | | | | Dairy Farmers of America Inc., 7.875%(a)(c)(f) | | | | | 93,000 | | |
| | | 2,600 | | | | Energy Transfer LP, 7.600% (3-Month USD-LIBOR + 5.161%)(d)(f) | | | | | 64,558 | | |
| | | 18,271 | | | | Equitable Holdings Inc., 5.250%(f) | | | | | 364,141 | | |
| | | 11,970 | | | | Farm Credit Bank of Texas, 6.750% (3-Month USD-LIBOR + 4.010%)(c)(d)(f) | | | | | 1,199,441 | | |
| | | 9,075 | | | | Fifth Third Bancorp, 6.625% (3-Month TSFR + 3.972%)(d)(f) | | | | | 230,324 | | |
| | | 208,194 | | | | Fossil Group Inc., 7.000% | | | | | 3,539,298 | | |
| | | 14,220 | | | | Goldman Sachs Group Inc., 9.267% (3-Month TSFR + 3.902%)(d)(f) | | | | | 357,917 | | |
| | | | | | | KeyCorp: | | | | | | | |
| | | 26,085 | | | | 6.125% (3-Month USD-LIBOR + 3.892%)(d)(f)(j) | | | | | 556,654 | | |
| | | 29,270 | | | | 6.200% (5-Year CMT Index + 3.132%)(d)(f) | | | | | 586,863 | | |
| | | | | | | Morgan Stanley: | | | | | | | |
| | | 49,425 | | | | 5.850% (3-Month USD-LIBOR + 3.491%)(d)(f) | | | | | 1,176,809 | | |
| | | 30,000 | | | | 6.375% (3-Month USD-LIBOR + 3.708%)(d)(f) | | | | | 747,900 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| PREFERRED STOCKS – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | | 24,480 | | | | 6.500%(f) | | | | $ | 634,032 | | |
| | | 27,998 | | | | New York Community Bancorp Inc., 6.375% (3-Month USD-LIBOR + 3.821%)(d)(f) | | | | | 642,274 | | |
| | | 67,935 | | | | NGL Energy Partners LP, 12.783% (3-Month USD-LIBOR + 7.213%)*(d)(f) | | | | | 1,698,375 | | |
| | | 7,100 | | | | NiSource Inc., 6.500% (5-Year CMT Index + 3.632%)(d)(f) | | | | | 176,790 | | |
| | | | | | | NuStar Energy LP: | | | | | | | |
| | | 35,146 | | | | 11.151% (3-Month USD-LIBOR + 5.643%)(d)(f) | | | | | 927,854 | | |
| | | 21,505 | | | | 12.274% (3-Month USD-LIBOR + 6.766%)(d)(f) | | | | | 550,528 | | |
| | | 17,500 | | | | NuStar Logistics LP, 12.304% (3-Month TSFR + 6.996%)(d) | | | | | 468,475 | | |
| | | 28,836 | | | | Regions Financial Corp., 5.700% (3-Month USD-LIBOR + 3.148%)(d)(f) | | | | | 589,696 | | |
| | | | | | | Reinsurance Group of America Inc.: | | | | | | | |
| | | 15,000 | | | | 5.750% (3-Month USD-LIBOR + 4.040%)(d) | | | | | 370,350 | | |
| | | 14,425 | | | | 7.125% (5-Year CMT Index + 3.456%(d) | | | | | 375,050 | | |
| | | 43,599 | | | | Saratoga Investment Corp., 6.000% | | | | | 1,022,397 | | |
| | | 12,635 | | | | Selective Insurance Group Inc., 4.600%(f) | | | | | 208,478 | | |
| | | 25,945 | | | | Synchrony Financial, 5.625%(f) | | | | | 423,682 | | |
| | | 13,953 | | | | Synovus Financial Corp., 5.875% (5-Year CMT Index + 4.127%)(d)(f) | | | | | 298,176 | | |
| | | 30,380 | | | | Voya Financial Inc., 5.350% (5-Year CMT Index + 3.210%)(d)(f) | | | | | 716,968 | | |
| | | 7,160 | | | | Western Alliance Bancorp, 4.250% (5-Year CMT Index + 3.452%)(d)(f) | | | | | 112,698 | | |
| | | 18,366 | | | | Wintrust Financial Corp., 6.875% (5-Year CMT Index + 6.507%)(d)(f) | | | | | 430,315 | | |
| | | | | | | Total United States | | | | | 22,534,433 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $27,889,018) | | | | | 25,689,939 | | |
| COMMON STOCKS – 1.2% | | ||||||||||||
| United States – 1.2% | | ||||||||||||
| | | 15,560 | | | | Alpha Partners Technology*(a)(b) | | | | | 811 | | |
| | | 7,000 | | | | AxonPrime Infrastructure Acquisition Corp.*(b) | | | | | — | | |
| | | 22,982 | | | | Berenson Acquisition Corp. I*(b) | | | | | — | | |
| | | 228,050 | | | | Bitcoin Depot Inc.*(j) | | | | | 633,979 | | |
| | | 183,721 | | | | CTO Realty Growth Inc.(j) | | | | | 3,237,164 | | |
| | | 29,281 | | | | Elevate Textiles Holding Corp.*(a) | | | | | 95,163 | | |
| | | 34,967 | | | | KORE Group Holdings Inc.* | | | | | 24,827 | | |
| | | 5,813 | | | | QuarterNorth Energy Inc.*(a)(b) | | | | | 685,934 | | |
| | | 57 | | | | Real Alloy Holding Inc.*(a)(b) | | | | | 3,376,768 | | |
| | | 10,650 | | | | Revelstone Capital Acquisition Corp.*(a)(b) | | | | | 1,137 | | |
| | | 56,900 | | | | Verizon Communications Inc. | | | | | 1,990,362 | | |
| | | | | | | Total United States | | | | | 10,046,145 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $9,416,489) | | | | | 10,046,145 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| EQUITY LINKED NOTES – 0.0% | | ||||||||||||
| United States – 0.0% | | ||||||||||||
| | | 21,346 | | | | Legato Merger Corp.*(a)(b) | | | | $ | 145,580 | | |
| | | 35,964 | | | | Parabellum Acquisition Corp.*(b) | | | | | — | | |
| | | | | | | Total United States | | | | | 145,580 | | |
| | | | | | | TOTAL EQUITY LINKED NOTES (Cost – $67) | | | | | 145,580 | | |
| WARRANTS – 0.0% | | ||||||||||||
| Bermuda – 0.0% | | ||||||||||||
| | | 558,670 | | | | McDermott International Ltd.*(a)(b) | | | | | — | | |
| | | 502,803 | | | | WT PUR COM*(a)(b) | | | | | — | | |
| | | | | | | Total Bermuda | | | | | — | | |
| Brazil – 0.0% | | ||||||||||||
| | | 58,463 | | | | OAS SA*(a)(b) | | | | | — | | |
| Canada – 0.0% | | ||||||||||||
| | | 29,147,860 | | | | Tacora Resources Inc.*(b) | | | | | — | | |
| Israel – 0.0% | | ||||||||||||
| | | 41,956 | | | | GemmaCert Ltd.*(a)(b) | | | | | — | | |
| United Kingdom – 0.0% | | ||||||||||||
| | | 57,514 | | | | Financials Acquisition Corp.*(a) | | | | | 2,185 | | |
| United States – 0.0% | | ||||||||||||
| | | 36,249 | | | | Leafly Holdings Inc.*(a) | | | | | 1,486 | | |
| | | 309,502 | | | | ProSomnus Inc.*(a) | | | | | 9,657 | | |
| | | | | | | Total United States | | | | | 11,143 | | |
| | | | | | | TOTAL WARRANTS (Cost – $364,008) | | | | | 13,328 | | |
| Number of Contracts | | | Notional Amounts | | | Security | | | Value | | ||||||
| PURCHASED OPTION – 0.0% | | |||||||||||||||
| Index Option – 0.0% | | |||||||||||||||
| | | 569 | | | | $4,283,432 | | | iShares iBoxx HighYield, Put, @ $73.00, expires 09/15/2023, Counterparty: RJA | | | | | 2,845 | | |
| | | | | | | | | | TOTAL PURCHASED OPTION (Cost – $27,903) | | | | | 2,845 | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $809,342,821) | | | | | 765,705,900 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 8.6% | | ||||||||||||
| COMMERCIAL PAPERS – 5.6% | | ||||||||||||
| | | | | | | Arrow Electronics Inc.: | | | | | | | |
| | $ | 5,320,000 | | | | 5.823% due 9/12/23(k) | | | | $ | 5,309,729 | | |
| | | 3,440,000 | | | | 5.767% due 9/18/23(k) | | | | | 3,429,881 | | |
| | | 4,742,000 | | | | Canadian Natural Resources Ltd., 6.170% due 9/25/23(k) | | | | | 4,722,271 | | |
| | | 6,444,000 | | | | Conagra Brands Inc., 5.826% due 9/8/23(k) | | | | | 6,435,760 | | |
| | | 7,107,000 | | | | Crown Castle Inc., 6.096% due 9/7/23(k) | | | | | 7,099,054 | | |
| | | 5,928,000 | | | | Glencore Funding LLC, 5.835% due 10/17/23(k) | | | | | 5,883,901 | | |
| | | 6,910,000 | | | | Parker-Hannifin Corp., 5.575% due 10/17/23(k) | | | | | 6,858,966 | | |
| | | 6,928,000 | | | | Walgreens Boots Alliance Inc., 6.113% due 10/13/23(k) | | | | | 6,878,317 | | |
| | | | | | | TOTAL COMMERCIAL PAPERS (Cost – $46,625,078) | | | | | 46,617,879 | | |
| CORPORATE NOTE – 0.2% | | ||||||||||||
| | | 1,551,869 | | | | Tacora Resources Inc., 13.000% due 9/8/23(a)(b)(c)(g) (Cost – $1,544,519) | | | | | 1,551,869 | | |
| TIME DEPOSITS – 2.8% | | ||||||||||||
| | | 18,071,400 | | | | ANZ National Bank – London, 4.680% due 9/1/23 | | | | | 18,071,400 | | |
| | | 3,106,074 | | | | Citibank – New York, 4.680% due 9/1/23 | | | | | 3,106,074 | | |
| | | 1,786,079 | | | | JPMorgan Chase & Co. – New York, 4.680% due 9/1/23 | | | | | 1,786,079 | | |
| | | 690,762 | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 4.680% due 9/1/23 | | | | | 690,762 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $23,654,315) | | | | | 23,654,315 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $71,823,912) | | | | | 71,824,063 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.1% | | ||||||||||||
| MONEY MARKET FUND – 0.1% | | ||||||||||||
| | | 843,675 | | | | Federated Government Obligations Fund, Premier Class, 5.165%(l) (Cost – $843,675) | | | | | 843,675 | | |
| | | | | | | TOTAL INVESTMENTS – 100.2% (Cost – $882,010,408) | | | | | 838,373,638 | | |
| | | | | | | Liabilities in Excess of Other Assets – (0.2)% | | | | | (2,083,237) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 836,290,401 | | |
CMT | — | Constant Maturity Treasury Index |
ETF | — | Exchange Traded Fund |
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 |
PLC | — | Public Limited Company |
SOFR | — | Secured Overnight Financing Rate |
STIBOR | — | Stockholm Interbank Offered Rate |
TSFR | — | CME Term SOFR Reference Rate |
| Corporate Bonds & Notes | | | | | 69.5% | | |
| Senior Loans | | | | | 7.1 | | |
| Exchange Traded Fund (ETF) | | | | | 6.1 | | |
| Preferred Stocks | | | | | 3.1 | | |
| Collateralized Mortgage Obligations | | | | | 2.3 | | |
| Sovereign Bonds | | | | | 2.0 | | |
| Common Stocks | | | | | 1.2 | | |
| Warrants | | | | | 0.0* | | |
| Equity Linked Notes | | | | | 0.0* | | |
| Purchased Options | | | | | 0.0* | | |
| Short-Term Investments | | | | | 8.6 | | |
| Money Market Fund | | | | | 0.1 | | |
| | | | | | 100.0% | | |
Equity Options
| Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | | |||||||||||||||
| 495 | | | | $ | 3,726,360 | | | | iShares iBoxx HighYield, Call | | | | | RJA | | | | | | 10/20/23 | | | | | $ | 75.00 | | | | | $ | (34,650) | | |
| 187 | | | | | 1,860,463 | | | | MasTec Inc., Call | | | | | RJA | | | | | | 12/15/23 | | | | | $ | 115.00 | | | | | | (40,205) | | |
| 142 | | | | | 436,792 | | | | NCR Corp., Put | | | | | RJA | | | | | | 1/19/24 | | | | | $ | 24.00 | | | | | | (8,236) | | |
| 142 | | | | | 436,792 | | | | NCR Corp., Call | | | | | RJA | | | | | | 1/19/24 | | | | | $ | 30.00 | | | | | | (40,328) | | |
| 251 | | | | | 877,998 | | | | Verizon Communications Inc., Put | | | | | RJA | | | | | | 9/15/23 | | | | | $ | 33.00 | | | | | | (1,506) | | |
| 285 | | | | | 996,930 | | | | Verizon Communications Inc., Call | | | | | RJA | | | | | | 9/15/23 | | | | | $ | 34.00 | | | | | | (34,200) | | |
| 284 | | | | | 993,432 | | | | Verizon Communications Inc., Call | | | | | RJA | | | | | | 10/20/23 | | | | | $ | 35.00 | | | | | | (24,140) | | |
| 148 | | | | | 194,472 | | | | Warner Bros Discovery Inc., Put | | | | | BOA | | | | | | 9/15/23 | | | | | $ | 12.50 | | | | | | (2,516) | | |
| | | | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | (Premiums received – $150,066) | | | | | | | | | | | | | | | | | | | | | | $ | (185,781) | | |
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swedish Krona | | | | | 2,610,000 | | | | | | BBH | | | | | $ | 238,515 | | | | | | 9/15/23 | | | | | $ | 1,293 | | | | | $ | — | | | | | $ | 1,293 | | |
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | | | 25,557,805 | | | | | | BBH | | | | | | 27,725,315 | | | | | | 9/15/23 | | | | | | 375,364 | | | | | | — | | | | | | 375,364 | | |
Norwegian Krone | | | | | 48,670,000 | | | | | | BBH | | | | | | 4,579,676 | | | | | | 9/15/23 | | | | | | 103,554 | | | | | | — | | | | | | 103,554 | | |
Swedish Krona | | | | | 38,100,000 | | | | | | BBH | | | | | | 3,481,768 | | | | | | 9/15/23 | | | | | | 49,021 | | | | | | — | | | | | | 49,021 | | |
Swedish Krona | | | | | 4,960,000 | | | | | | BBH | | | | | | 453,270 | | | | | | 9/15/23 | | | | | | — | | | | | | (2,824) | | | | | | (2,824) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 527,939 | | | | | $ | (2,824) | | | | | $ | 525,115 | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | $ | 529,232 | | | | | $ | (2,824) | | | | | $ | 526,408 | | |
Euro
GBP | — | British Pound |
NOK | — | Norwegian Krone |
SEK | — | Swedish Krona |
BBH | — | Brown Brothers Harriman & Co. |
BOA | — | Bank of America Corp. |
RJA | — | Raymond James &Associates |
| Face Amount† | | | Security | | | Value | | ||||||
| SECURITIES SOLD SHORT – 0.3% | | ||||||||||||
| CORPORATE BONDS & NOTES – 0.3% | | ||||||||||||
| Consumer Non-cyclical – 0.2% | | ||||||||||||
| | $ | 1,138,000 | | | | Johnson & Johnson, Senior Unsecured Notes, 4.950% due 5/15/33 | | | | $ | 1,181,916 | | |
| Industrial – 0.1% | | ||||||||||||
| | | 1,138,000 | | | | Likewize Corp., Senior Secured Notes, 9.750% due 10/15/25(a) | | | | | 1,115,292 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Proceeds – $2,300,251) | | | | | 2,297,208 | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT – 0.3% (Proceeds – $2,300,251) | | | | | 2,297,208 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 91.3% | | |||||||||||||||
| Alabama – 1.7% | | |||||||||||||||
| | $ | 3,000,000 | | | | BBB | | | County of Jefferson AL Sewer Revenue, Revenue Bonds, Series D, 6.500% due 10/1/53 | | | | $ | 3,153,190 | | |
| | | 1,000,000 | | | | A1(a) | | | Health Care Authority of the City of Huntsville, Revenue Bonds, Series A, 5.000% due 6/1/53(b)(c) | | | | | 1,073,252 | | |
| | | 2,500,000 | | | | BB- | | | Hoover Industrial Development Board, Revenue Bonds, 5.750% due 10/1/49(d) | | | | | 2,520,235 | | |
| | | 2,540,000 | | | | A2(a) | | | Lower Alabama Gas District, Revenue Bonds, 4.000% due 12/1/50(b) | | | | | 2,505,577 | | |
| | | | | | | | | | Mobile County Board of School Commissioners, Special Tax: | | | | | | | |
| | | 260,000 | | | | A | | | 5.000% due 3/1/28 | | | | | 268,544 | | |
| | | 175,000 | | | | A | | | 5.000% due 3/1/29 | | | | | 180,794 | | |
| | | 180,000 | | | | A | | | 5.000% due 3/1/30 | | | | | 186,010 | | |
| | | 185,000 | | | | A | | | 5.000% due 3/1/31 | | | | | 191,246 | | |
| | | 145,000 | | | | A | | | 5.000% due 3/1/32 | | | | | 149,888 | | |
| | | 215,000 | | | | A | | | 5.000% due 3/1/33 | | | | | 222,180 | | |
| | | 3,500,000 | | | | A1(a) | | | Southeast Alabama Gas Supply District, Revenue Bonds, Series A, 4.000% due 6/1/49(b) | | | | | 3,484,796 | | |
| | | 500,000 | | | | B- | | | Sumter County Industrial Development Authority, Revenue Bonds, 6.000% due 7/15/52(b)(d) | | | | | 359,741 | | |
| | | 1,500,000 | | | | NR | | | Tuscaloosa County Industrial Development Authority, Revenue Bonds, Series A, 5.250% due 5/1/44(e) | | | | | 1,357,798 | | |
| | | | | | | | | | Total Alabama | | | | | 15,653,251 | | |
| Alaska – 0.1% | | |||||||||||||||
| | | 1,000,000 | | | | AA+ | | | Alaska Housing Finance Corp., Revenue Bonds, Series A, 5.000% due 6/1/30 | | | | | 1,056,997 | | |
| | | 215,000 | | | | AA- | | | State of Alaska, GO, Series A, 5.000% due 8/1/33 | | | | | 220,041 | | |
| | | | | | | | | | Total Alaska | | | | | 1,277,038 | | |
| Arizona – 2.9% | | |||||||||||||||
| | | 5,000,000 | | | | AA+ | | | Arizona Department of Transportation State Highway Fund Revenue, Revenue Bonds, 5.000% due 7/1/27 | | | | | 5,250,214 | | |
| | | 1,695,000 | | | | BB- | | | Arizona Industrial Development Authority, Revenue Bonds, 5.000% due 7/1/49(e) | | | | | 1,497,989 | | |
| | | 2,000,000 | | | | AA | | | Arizona State University, Revenue Bonds, Series A, 5.000% due 7/1/39 | | | | | 2,131,798 | | |
| | | | | | | | | | City of Glendale AZ, Revenue Bonds: | | | | | | | |
| | | 230,000 | | | | AA+ | | | Series A, 5.000% due 7/1/27 | | | | | 236,830 | | |
| | | 215,000 | | | | AA+ | | | Series A, 5.000% due 7/1/28 | | | | | 221,462 | | |
| | | 235,000 | | | | AA+ | | | Series A, 5.000% due 7/1/29 | | | | | 242,063 | | |
| | | 85,000 | | | | AA+ | | | City of Glendale AZ Excise Tax Revenue, Revenue Bonds, Series A, 5.000% due 7/1/32 | | | | | 90,218 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Arizona – (continued) | | |||||||||||||||
| | | | | | | | | | City of Glendale AZ Transportation Excise Tax Revenue, Revenue Bonds: | | | | | | | |
| | $ | 55,000 | | | | AA+ | | | 5.000% due 7/1/24 | | | | $ | 55,769 | | |
| | | 105,000 | | | | AA+ | | | 5.000% due 7/1/26 | | | | | 108,118 | | |
| | | | | | | | | | City of Phoenix Civic Improvement Corp., Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | AA- | | | Series A, 5.000% due 7/1/27(d) | | | | | 68,120 | | |
| | | 90,000 | | | | AA- | | | Series A, 5.000% due 7/1/28(d) | | | | | 93,826 | | |
| | | 6,365,000 | | | | AAA | | | Series B, 4.000% due 7/1/29 | | | | | 6,372,659 | | |
| | | | | | | | | | Maricopa County Industrial Development Authority, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | BB+ | | | 4.000% due 10/15/47(d)(e) | | | | | 832,517 | | |
| | | 200,000 | | | | A2(a) | | | 5.000% due 7/1/47 | | | | | 206,735 | | |
| | | 190,000 | | | | AA- | | | Series A, 4.000% due 1/1/24 | | | | | 190,316 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 1/1/24 | | | | | 60,290 | | |
| | | 225,000 | | | | AA- | | | Series A, 5.000% due 1/1/25 | | | | | 229,381 | | |
| | | 735,000 | | | | A2(a) | | | Series B, 5.000% due 9/1/45(b) | | | | | 743,191 | | |
| | | 290,000 | | | | AA- | | | Series C, 5.000% due 1/1/48(b) | | | | | 294,465 | | |
| | | 800,000 | | | | AA- | | | Series D, 5.000% due 1/1/46(b) | | | | | 828,572 | | |
| | | 2,000,000 | | | | A- | | | Maricopa County Pollution Control Corp., Revenue Bonds, 2.400% due 6/1/35 | | | | | 1,546,865 | | |
| | | 3,000,000 | | | | AA+ | | | Salt River Project Agricultural Improvement & Power District, Revenue Bonds, Series A, 4.000% due 12/1/33 | | | | | 3,018,791 | | |
| | | 1,000,000 | | | | NR | | | Sierra Vista Industrial Development Authority, Revenue Bonds, 5.750% due 6/15/58(e) | | | | | 959,340 | | |
| | | | | | | | | | State of Arizona, COP: | | | | | | | |
| | | 300,000 | | | | AA- | | | Series A, 5.000% due 10/1/23 | | | | | 300,293 | | |
| | | 310,000 | | | | AA- | | | Series A, 5.000% due 10/1/24 | | | | | 314,698 | | |
| | | | | | | | | | Total Arizona | | | | | 25,894,520 | | |
| Arkansas – 0.3% | | |||||||||||||||
| | | | | | | | | | Arkansas Development Finance Authority, Revenue Bonds: | | | | | | | |
| | | 2,000,000 | | | | BB- | | | 4.500% due 9/1/49(d)(e) | | | | | 1,849,928 | | |
| | | 1,150,000 | | | | BB- | | | 5.700% due 5/1/53(d) | | | | | 1,152,728 | | |
| | | | | | | | | | Total Arkansas | | | | | 3,002,656 | | |
| California – 2.6% | | |||||||||||||||
| | | 205,000 | | | | AA | | | Bay Area Toll Authority, Revenue Bonds, Series B, 2.850% due 4/1/47(b) | | | | | 201,993 | | |
| | | 1,845,000 | | | | NR | | | California Community Housing Agency, Revenue Bonds, 4.000% due 2/1/50(e) | | | | | 1,370,795 | | |
| | | 115,000 | | | | A | | | California Health Facilities Financing Authority, Revenue Bonds, Series A, 5.000% due 7/1/25 | | | | | 115,114 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | |||||||||||||||
| | $ | 3,000,000 | | | | BB- | | | California Municipal Finance Authority, Revenue Bonds, 4.000% due 7/15/29(d) | | | | $ | 2,958,262 | | |
| | | 2,525,000 | | | | BB | | | California Statewide Communities Development Authority, Revenue Bonds, 5.500% due 12/1/54 | | | | | 2,517,142 | | |
| | | | | | | | | | City of Los Angeles Department of Airports, Revenue Bonds: | | | | | | | |
| | | 650,000 | | | | AA- | | | 4.000% due 5/15/38(d) | | | | | 636,867 | | |
| | | 675,000 | | | | AA- | | | 4.000% due 5/15/39(d) | | | | | 655,784 | | |
| | | 650,000 | | | | AA- | | | 4.000% due 5/15/40(d) | | | | | 626,337 | | |
| | | 1,000,000 | | | | NR | | | CMFA Special Finance Agency, Revenue Bonds, Series A, 4.000% due 12/1/45(e) | | | | | 773,484 | | |
| | | | | | | | | | CSCDA Community Improvement Authority, Revenue Bonds: | | | | | | | |
| | | 3,000,000 | | | | NR | | | 3.000% due 6/1/47(e) | | | | | 2,099,435 | | |
| | | 1,000,000 | | | | NR | | | 3.000% due 12/1/56(e) | | | | | 654,835 | | |
| | | 1,000,000 | | | | NR | | | 4.000% due 8/1/56(e) | | | | | 734,589 | | |
| | | | | | | | | | Golden State Tobacco Securitization Corp., Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | A+ | | | Series A, zero coupon, due 6/1/24 | | | | | 170,907 | | |
| | | 115,000 | | | | NR | | | Series A1, 5.000% due 6/1/25 | | | | | 118,731 | | |
| | | 30,000 | | | | NR | | | Series A1, 5.000% due 6/1/26 | | | | | 31,598 | | |
| | | 5,000,000 | | | | NR | | | Series B2, zero coupon, due 6/1/66 | | | | | 495,153 | | |
| | | 290,000 | | | | AA- | | | Los Angeles Department of Water & Power, Revenue Bonds, Series A, 5.000% due 7/1/29 | | | | | 297,529 | | |
| | | | | | | | | | Oakland Unified School District, GO: | | | | | | | |
| | | 100,000 | | | | AA | | | 5.000% due 8/1/26 | | | | | 103,501 | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 8/1/28 | | | | | 31,021 | | |
| | | 90,000 | | | | A | | | Sacramento City Financing Authority, Special Tax, Series A, NPFG, zero coupon, due 12/1/26 | | | | | 79,785 | | |
| | | 185,000 | | | | A+ | | | San Francisco City & County Airport Comm-San Francisco International Airport, Revenue Bonds, Series A, 5.000% due 5/1/37(d) | | | | | 193,976 | | |
| | | 1,800,000 | | | | AAA | | | San Jose Financing Authority, Revenue Bonds, Series B, 5.000% due 11/1/42 | | | | | 1,992,882 | | |
| | | 400,000 | | | | AA+ | | | Santa Clara County Financing Authority, Revenue Bonds, Series A, 3.000% due 5/1/39 | | | | | 335,716 | | |
| | | | | | | | | | State of California, GO: | | | | | | | |
| | | 760,000 | | | | AA- | | | 4.000% due 3/1/26 | | | | | 777,438 | | |
| | | 80,000 | | | | AA- | | | 5.000% due 9/1/29 | | | | | 84,511 | | |
| | | 4,100,000 | | | | AA- | | | 5.000% due 3/1/31 | | | | | 4,208,855 | | |
| | | 435,000 | | | | AA- | | | Series B, 5.000% due 8/1/26 | | | | | 459,216 | | |
| | | 205,000 | | | | AA- | | | Series C, 5.000% due 8/1/29 | | | | | 216,241 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | |||||||||||||||
| | $ | 100,000 | | | | A2(a) | | | Washington Township Health Care District, GO, Series A, 5.500% due 8/1/40 | | | | $ | 101,519 | | |
| | | | | | | | | | Total California | | | | | 23,043,216 | | |
| Colorado – 3.3% | | |||||||||||||||
| | | 2,000,000 | | | | AA | | | Board of Governors of Colorado State University System, Revenue Bonds, Series C, 4.000% due 3/1/38 | | | | | 1,965,201 | | |
| | | | | | | | | | City & County of Denver CO Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | AA- | | | Series A, 5.000% due 11/15/24(d) | | | | | 65,834 | | |
| | | 315,000 | | | | A+ | | | Series A, 5.000% due 12/1/26(d) | | | | | 325,863 | | |
| | | 30,000 | | | | AA- | | | Series A, 5.000% due 11/15/27(d) | | | | | 31,538 | | |
| | | 2,695,000 | | | | AA- | | | Series A, 5.000% due 11/15/28(d) | | | | | 2,862,440 | | |
| | | 145,000 | | | | AA- | | | Series A, 5.000% due 11/15/29(d) | | | | | 151,795 | | |
| | | 115,000 | | | | AA- | | | Series A, 5.000% due 11/15/30(d) | | | | | 120,413 | | |
| | | 3,400,000 | | | | AA- | | | Series D, 5.500% due 11/15/30(d) | | | | | 3,800,417 | | |
| | | | | | | | | | Colorado Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 1,555,000 | | | | AA | | | 5.000% due 11/15/36(b) | | | | | 1,559,907 | | |
| | | 190,000 | | | | Baa1(a) | | | 5.000% due 9/1/46 | | | | | 190,401 | | |
| | | 580,000 | | | | AA | | | 5.000% due 11/15/49(b) | | | | | 605,087 | | |
| | | 2,000,000 | | | | A- | | | 5.250% due 11/1/52 | | | | | 2,037,744 | | |
| | | 500,000 | | | | A- | | | Series A, 5.000% due 8/1/44 | | | | | 510,463 | | |
| | | 325,000 | | | | A- | | | Series B2, 5.000% due 8/1/49(b) | | | | | 332,761 | | |
| | | 560,000 | | | | NR | | | Series Prerefunded 11/15/23 @ 100, 5.000% due 11/15/36(b)(f) | | | | | 561,767 | | |
| | | 60,000 | | | | NR | | | Series Prerefunded 11/19/26 @ 100, 5.000% due 11/15/49(b)(f) | | | | | 63,461 | | |
| | | 70,000 | | | | AA | | | Colorado Housing & Finance Authority, Revenue Bonds, Series H, 4.250% due 11/1/49 | | | | | 69,505 | | |
| | | 3,000,000 | | | | Aa2(a) | | | Gunnison Watershed School District No Re 1J, GO, 5.000% due 12/1/47 | | | | | 3,226,538 | | |
| | | 2,000,000 | | | | AAA | | | Regional Transportation District Sales Tax Revenue, Revenue Bonds, Series A, 0.900% due 11/1/26 | | | | | 1,769,941 | | |
| | | | | | | | | | State of Colorado, COP: | | | | | | | |
| | | 2,250,000 | | | | AA- | | | Series A, 4.000% due 12/15/36 | | | | | 2,259,276 | | |
| | | 3,775,000 | | | | AA- | | | Series A, 4.000% due 12/15/39 | | | | | 3,730,386 | | |
| | | 1,435,000 | | | | Aa1(a) | | | University of Colorado, Revenue Bonds, Series C, 2.000% due 6/1/54(b) | | | | | 1,400,724 | | |
| | | | | | | | | | Vauxmont Metropolitan District, GO: | | | | | | | |
| | | 125,000 | | | | AA | | | 5.000% due 12/15/27 | | | | | 131,111 | | |
| | | 120,000 | | | | AA | | | 5.000% due 12/15/29 | | | | | 125,835 | | |
| | | 135,000 | | | | AA | | | 5.000% due 12/15/31 | | | | | 141,547 | | |
| | | 285,000 | | | | AA | | | 5.000% due 12/1/34 | | | | | 307,408 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Colorado – (continued) | | |||||||||||||||
| | $ | 1,750,000 | | | | NR | | | Village Metropolitan District, GO, 5.000% due 12/1/49 | | | | $ | 1,606,615 | | |
| | | | | | | | | | Total Colorado | | | | | 29,953,978 | | |
| Connecticut – 1.1% | | |||||||||||||||
| | | | | | | | | | Connecticut State Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 505,000 | | | | AA- | | | Series B, 1.800% due 7/1/49(b) | | | | | 494,155 | | |
| | | 65,000 | | | | A | | | Series S, 5.000% due 7/1/26 | | | | | 67,654 | | |
| | | 30,000 | | | | A | | | Series S, 5.000% due 7/1/29 | | | | | 32,065 | | |
| | | | | | | | | | State of Connecticut, GO: | | | | | | | |
| | | 90,000 | | | | AA- | | | Series A, 5.000% due 3/15/26 | | | | | 93,903 | | |
| | | 375,000 | | | | AA- | | | Series A, 5.000% due 4/15/26 | | | | | 391,889 | | |
| | | 150,000 | | | | AA- | | | Series A, 5.000% due 4/15/30 | | | | | 165,118 | | |
| | | 170,000 | | | | AA- | | | Series A, 5.000% due 4/15/34 | | | | | 185,606 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 4/15/35 | | | | | 65,155 | | |
| | | 175,000 | | | | AA- | | | Series B, 5.000% due 1/15/26 | | | | | 182,004 | | |
| | | 2,100,000 | | | | AA- | | | Series D, 5.000% due 7/15/25 | | | | | 2,165,445 | | |
| | | 100,000 | | | | AA- | | | Series E, 5.000% due 10/15/26 | | | | | 105,533 | | |
| | | 150,000 | | | | AA- | | | Series E, 5.000% due 10/15/29 | | | | | 157,771 | | |
| | | | | | | | | | State of Connecticut Special Tax Revenue, Revenue Bonds: | | | | | | | |
| | | 2,425,000 | | | | AA | | | Series A, 5.000% due 7/1/39 | | | | | 2,671,990 | | |
| | | 2,500,000 | | | | AA | | | Series A, 5.250% due 7/1/43 | | | | | 2,769,854 | | |
| | | 330,000 | | | | AA- | | | University of Connecticut, Revenue Bonds, Series A, 5.000% due 11/1/27 | | | | | 354,235 | | |
| | | | | | | | | | Total Connecticut | | | | | 9,902,377 | | |
| Delaware – 0.4% | | |||||||||||||||
| | | | | | | | | | Delaware River & Bay Authority, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A | | | Series C, 5.000% due 1/1/24 | | | | | 35,168 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/25 | | | | | 80,393 | | |
| | | 3,160,000 | | | | NR | | | State of Delaware, GO, Series B, Prerefunded 7/1/24 @ 100, 5.000% due 7/1/27(f) | | | | | 3,204,194 | | |
| | | | | | | | | | Total Delaware | | | | | 3,319,755 | | |
| District of Columbia – 1.5% | | |||||||||||||||
| | | | | | | | | | District of Columbia, GO: | | | | | | | |
| | | 1,500,000 | | | | AA+ | | | Series A, 5.000% due 6/1/34 | | | | | 1,534,381 | | |
| | | 2,000,000 | | | | AA+ | | | Series C, 5.000% due 6/1/34 | | | | | 2,022,193 | | |
| | | 2,500,000 | | | | AA+ | | | District of Columbia Water & Sewer Authority, Revenue Bonds, Series C, 5.000% due 10/1/27 | | | | | 2,540,706 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| District of Columbia – (continued) | | |||||||||||||||
| | | | | | | | | | Metropolitan Washington Airports Authority Aviation Revenue, Revenue Bonds: | | | | | | | |
| | $ | 75,000 | | | | AA- | | | Series A, 5.000% due 10/1/23(d) | | | | $ | 75,065 | | |
| | | 2,625,000 | | | | AA- | | | Series A, 5.000% due 10/1/24(d) | | | | | 2,657,321 | | |
| | | 115,000 | | | | AA- | | | Series A, 5.000% due 10/1/28(d) | | | | | 122,123 | | |
| | | 95,000 | | | | AA- | | | Series A, 5.000% due 10/1/30(d) | | | | | 100,406 | | |
| | | 205,000 | | | | AA- | | | Series A, 5.000% due 10/1/31(d) | | | | | 215,871 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 10/1/34(d) | | | | | 62,587 | | |
| | | 55,000 | | | | AA- | | | Series A, 5.000% due 10/1/36(d) | | | | | 56,775 | | |
| | | 400,000 | | | | A- | | | Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Revenue Bonds, Series B, 4.000% due 10/1/35 | | | | | 402,825 | | |
| | | 240,000 | | | | AA- | | | Washington Metropolitan Area Transit Authority, Revenue Bonds, Series B, 5.000% due 7/1/34 | | | | | 252,654 | | |
| | | | | | | | | | Washington Metropolitan Area Transit Authority Dedicated Revenue, Revenue Bonds: | | | | | | | |
| | | 1,250,000 | | | | AA | | | 5.000% due 7/15/36 | | | | | 1,392,957 | | |
| | | 1,000,000 | | | | AA | | | 5.000% due 7/15/37 | | | | | 1,117,986 | | |
| | | 1,000,000 | | | | AA | | | 5.000% due 7/15/38 | | | | | 1,108,729 | | |
| | | | | | | | | | Total District of Columbia | | | | | 13,662,579 | | |
| Florida – 6.5% | | |||||||||||||||
| | | | | | | | | | Brevard County School District, COP: | | | | | | | |
| | | 95,000 | | | | Aa3(a) | | | 5.000% due 7/1/27 | | | | | 96,043 | | |
| | | 215,000 | | | | Aa3(a) | | | 5.000% due 7/1/30 | | | | | 216,942 | | |
| | | 85,000 | | | | Aa3(a) | | | Series C, 5.000% due 7/1/24 | | | | | 86,050 | | |
| | | | | | | | | | Capital Trust Agency Inc., Revenue Bonds: | | | | | | | |
| | | 500,000 | | | | BB | | | 6.375% due 5/1/53(e) | | | | | 486,969 | | |
| | | 450,000 | | | | NR | | | Series A1, 4.000% due 6/15/29(e) | | | | | 422,675 | | |
| | | 2,000,000 | | | | NR | | | Series A1, 5.000% due 7/1/56(e) | | | | | 1,759,863 | | |
| | | 1,500,000 | | | | NR | | | Celebration Pointe Community Development District No 1, Special Assessment, 4.000% due 5/1/53 | | | | | 1,169,017 | | |
| | | | | | | | | | County of Broward FL Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A+ | | | 5.000% due 10/1/30(d) | | | | | 62,653 | | |
| | | 90,000 | | | | A+ | | | 5.000% due 10/1/31(d) | | | | | 94,022 | | |
| | | 120,000 | | | | A+ | | | Series A, 5.000% due 10/1/29(d) | | | | | 121,950 | | |
| | | 85,000 | | | | A+ | | | Series A, 5.000% due 10/1/31(d) | | | | | 86,057 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 10/1/32(d) | | | | | 116,298 | | |
| | | 1,000,000 | | | | A+ | | | Series B, 5.000% due 10/1/29(d) | | | | | 1,064,954 | | |
| | | 90,000 | | | | A+ | | | Series Q1, 5.000% due 10/1/23 | | | | | 90,075 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | | | | | | | | | County of Hillsborough FL Solid Waste & Resource Recovery Revenue, Revenue Bonds: | | | | | | | |
| | $ | 60,000 | | | | AA+ | | | Series A, 5.000% due 9/1/23(d) | | | | $ | 60,000 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/24(d) | | | | | 65,636 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/26(d) | | | | | 67,180 | | |
| | | | | | | | | | County of Miami-Dade FL, Revenue Bonds: | | | | | | | |
| | | 160,000 | | | | A+ | | | 5.000% due 10/1/28 | | | | | 166,945 | | |
| | | 120,000 | | | | A+ | | | 5.000% due 10/1/29 | | | | | 124,641 | | |
| | | 215,000 | | | | A+ | | | 5.000% due 10/1/30 | | | | | 223,061 | | |
| | | 120,000 | | | | AA | | | County of Miami-Dade FL, GO, Series A, 5.000% due 11/1/23 | | | | | 120,293 | | |
| | | | | | | | | | County of Miami-Dade FL Aviation Revenue, Revenue Bonds: | | | | | | | |
| | | 290,000 | | | | A | | | Series A, 5.000% due 10/1/24(d) | | | | | 290,333 | | |
| | | 55,000 | | | | A | | | Series A, 5.000% due 10/1/27(d) | | | | | 55,445 | | |
| | | 80,000 | | | | A | | | Series A, 5.000% due 10/1/29(d) | | | | | 80,668 | | |
| | | 70,000 | | | | A | | | Series A, 5.000% due 10/1/30 | | | | | 72,873 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 10/1/31 | | | | | 31,242 | | |
| | | 160,000 | | | | A | | | Series A, 5.000% due 10/1/33(d) | | | | | 160,919 | | |
| | | 5,000,000 | | | | A | | | Series A, 5.000% due 10/1/34(d) | | | | | 5,025,961 | | |
| | | 70,000 | | | | A | | | Series A, 5.000% due 10/1/35(d) | | | | | 70,260 | | |
| | | 65,000 | | | | A | | | Series B, 5.000% due 10/1/24 | | | | | 65,057 | | |
| | | 215,000 | | | | A | | | Series B, 5.000% due 10/1/37 | | | | | 216,524 | | |
| | | 500,000 | | | | A | | | Series B, 5.000% due 10/1/40(d) | | | | | 509,235 | | |
| | | 10,000,000 | | | | AA- | | | County of Miami-Dade FL Water & Sewer System Revenue, Revenue Bonds, Series B, 5.000% due 10/1/44 | | | | | 10,340,249 | | |
| | | | | | | | | | County of Miami-Dade Seaport Department, Revenue Bonds: | | | | | | | |
| | | 2,430,000 | | | | A3(a) | | | Series A, 5.000% due 10/1/32(d) | | | | | 2,643,700 | | |
| | | 1,250,000 | | | | A3(a) | | | Series A, 5.000% due 10/1/47(d) | | | | | 1,270,085 | | |
| | | | | | | | | | Duval County Public Schools, COP: | | | | | | | |
| | | 125,000 | | | | A+ | | | Series B, 5.000% due 7/1/27 | | | | | 128,295 | | |
| | | 30,000 | | | | A+ | | | Series B, 5.000% due 7/1/28 | | | | | 30,780 | | |
| | | 190,000 | | | | A+ | | | Series B, 5.000% due 7/1/30 | | | | | 194,772 | | |
| | | 1,125,000 | | | | NR | | | Florida Development Finance Corp., Revenue Bonds, 6.125% due 7/1/32(b)(d)(e) | | | | | 1,127,449 | | |
| | | 1,600,000 | | | | NR | | | Florida Higher Educational Facilities Financial Authority, Revenue Bonds, 5.000% due 6/1/48(e) | | | | | 1,406,162 | | |
| | | 2,000,000 | | | | A | | | Florida Insurance Assistance Interlocal Agency Inc., Revenue Bonds, Series A1, 5.000% due 9/1/25 | | | | | 2,039,376 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | | | | | | | | | Florida Municipal Power Agency, Revenue Bonds: | | | | | | | |
| | $ | 30,000 | | | | A2(a) | | | 5.000% due 10/1/24 | | | | $ | 30,490 | | |
| | | 45,000 | | | | A2(a) | | | 5.000% due 10/1/27 | | | | | 46,327 | | |
| | | 55,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/30 | | | | | 57,338 | | |
| | | 60,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/31 | | | | | 62,409 | | |
| | | | | | | | | | Greater Orlando Aviation Authority, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | NR | | | 5.000% due 11/15/36(d) | | | | | 989,460 | | |
| | | 100,000 | | | | A+ | | | Series A, Prerefunded 10/1/27 @ 100, 5.000% due 10/1/28(d)(f) | | | | | 105,653 | | |
| | | 60,000 | | | | A+ | | | Series A, Prerefunded 10/1/27 @ 100, 5.000% due 10/1/30(d)(f) | | | | | 63,392 | | |
| | | | | | | | | | Halifax Hospital Medical Center, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A- | | | Series Prerefunded 6/1/25 @ 100, 5.000% due 6/1/28(f) | | | | | 35,985 | | |
| | | 70,000 | | | | A- | | | Series Prerefunded 6/1/25 @ 100, 5.000% due 6/1/35(f) | | | | | 71,971 | | |
| | | | | | | | | | Hillsborough County Port District, Revenue Bonds: | | | | | | | |
| | | 850,000 | | | | A(g) | | | Series B, 5.000% due 6/1/33(d) | | | | | 894,576 | | |
| | | 185,000 | | | | A(g) | | | Series B, 5.000% due 6/1/38(d) | | | | | 189,009 | | |
| | | 75,000 | | | | AA- | | | Indian River County District School Board, COP, Series A, 5.000% due 7/1/24 | | | | | 75,927 | | |
| | | | | | | | | | JEA Electric System Revenue, Revenue Bonds: | | | | | | | |
| | | 200,000 | | | | A | | | Series B, 5.000% due 10/1/26 | | | | | 210,011 | | |
| | | 5,000,000 | | | | A+ | | | Series C1, 4.000% due 10/1/34(b) | | | | | 5,000,000 | | |
| | | | | | | | | | Lake County School Board, COP: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, Prerefunded 6/1/24 @ 100, 5.000% due 6/1/25(f) | | | | | 30,289 | | |
| | | 50,000 | | | | AA | | | Series A, Prerefunded 6/1/24 @ 100, 5.000% due 6/1/26(f) | | | | | 50,482 | | |
| | | 15,000 | | | | AA | | | Series A, Prerefunded 6/1/24 @ 100, 5.000% due 6/1/28(f) | | | | | 15,145 | | |
| | | | | | | | | | Lee Memorial Health System, Revenue Bonds: | | | | | | | |
| | | 550,000 | | | | A+ | | | Series A1, 5.000% due 4/1/33 | | | | | 587,021 | | |
| | | 415,000 | | | | A+ | | | Series A1, 5.000% due 4/1/35 | | | | | 441,107 | | |
| | | 755,000 | | | | A+ | | | Series A2, 5.000% due 4/1/33(b) | | | | | 772,310 | | |
| | | | | | | | | | Miami-Dade County Expressway Authority, Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | A | | | Series A, 5.000% due 7/1/31 | | | | | 46,369 | | |
| | | 115,000 | | | | A | | | Series A, 5.000% due 7/1/32 | | | | | 118,436 | | |
| | | 95,000 | | | | A | | | Series A, 5.000% due 7/1/33 | | | | | 97,710 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 7/1/34 | | | | | 30,783 | | |
| | | 235,000 | | | | A | | | Series A, 5.000% due 7/1/40 | | | | | 235,050 | | |
| | | 85,000 | | | | A | | | Series A, 5.000% due 7/1/44 | | | | | 83,135 | | |
| | | 200,000 | | | | A+ | | | Orange County Health Facilities Authority, Revenue Bonds, Series A, 5.000% due 10/1/39 | | | | | 204,190 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 200,000 | | | | Aa2(a) | | | Orange County School Board, COP, Series C, Prerefunded 8/1/25 @ 100, 5.000% due 8/1/29(f) | | | | $ | 206,578 | | |
| | | 50,000 | | | | AA | | | Orlando Utilities Commission, Revenue Bonds, Series A, 5.000% due 10/1/23 | | | | | 50,057 | | |
| | | | | | | | | | Palm Beach County Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 10,000 | | | | WD(g) | | | 5.000% due 12/1/23 | | | | | 10,039 | | |
| | | 20,000 | | | | WD(g) | | | 5.000% due 12/1/24 | | | | | 20,388 | | |
| | | | | | | | | | Palm Beach County School District, COP: | | | | | | | |
| | | 40,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/24 | | | | | 40,527 | | |
| | | 705,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/26 | | | | | 739,432 | | |
| | | 300,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/26 | | | | | 308,148 | | |
| | | 240,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/27 | | | | | 246,296 | | |
| | | 695,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/26 | | | | | 713,877 | | |
| | | 315,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/27 | | | | | 323,263 | | |
| | | 110,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/28 | | | | | 112,804 | | |
| | | 300,000 | | | | AA | | | Pasco County School Board, COP, Series D, AGM-Insured, 5.000% due 8/1/30 | | | | | 337,180 | | |
| | | | | | | | | | School Board of Miami-Dade County, COP: | | | | | | | |
| | | 120,000 | | | | AA | | | Series A, 5.000% due 5/1/27 | | | | | 122,807 | | |
| | | 570,000 | | | | A+ | | | Series A, 5.000% due 5/1/31 | | | | | 591,065 | | |
| | | 220,000 | | | | A+ | | | Series B, 5.000% due 8/1/27 | | | | | 229,832 | | |
| | | 395,000 | | | | A+ | | | Series B, 5.000% due 5/1/28 | | | | | 403,006 | | |
| | | 340,000 | | | | A+ | | | Series D, 5.000% due 11/1/24 | | | | | 346,259 | | |
| | | 355,000 | | | | A+ | | | Series D, 5.000% due 11/1/25 | | | | | 360,525 | | |
| | | 230,000 | | | | A+ | | | Series D, 5.000% due 11/1/26 | | | | | 233,501 | | |
| | | 115,000 | | | | A+ | | | Series D, 5.000% due 2/1/29 | | | | | 118,608 | | |
| | | 190,000 | | | | A+ | | | Series D, 5.000% due 2/1/30 | | | | | 195,829 | | |
| | | | | | | | | | School District of Broward County, COP: | | | | | | | |
| | | 330,000 | | | | A+ | | | Series A, 5.000% due 7/1/26 | | | | | 338,269 | | |
| | | 265,000 | | | | A+ | | | Series A, 5.000% due 7/1/27 | | | | | 272,301 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 7/1/28 | | | | | 117,698 | | |
| | | 70,000 | | | | A+ | | | Series A, 5.000% due 7/1/32 | | | | | 72,448 | | |
| | | 335,000 | | | | A+ | | | Series B, 5.000% due 7/1/26 | | | | | 343,394 | | |
| | | 230,000 | | | | A+ | | | Series B, 5.000% due 7/1/27 | | | | | 236,337 | | |
| | | 390,000 | | | | A+ | | | Series B, 5.000% due 7/1/28 | | | | | 399,079 | | |
| | | 50,000 | ��� | | | Aa3(a) | | | Seminole County School Board, COP, Series C, 5.000% due 7/1/24 | | | | | 50,598 | | |
| | | 115,000 | | | | AA | | | South Florida Water Management District, COP, 5.000% due 10/1/30 | | | | | 119,489 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 75,000 | | | | AA- | | | South Miami Health Facilities Authority, Revenue Bonds, 5.000% due 8/15/24 | | | | $ | 76,033 | | |
| | | | | | | | | | St Lucie County School Board, COP: | | | | | | | |
| | | 60,000 | | | | A | | | Series A, 5.000% due 7/1/25 | | | | | 60,146 | | |
| | | 125,000 | | | | A | | | Series A, 5.000% due 7/1/27 | | | | | 125,305 | | |
| | | 5,995,000 | | | | AAA | | | State of Florida, GO, 5.000% due 7/1/32 | | | | | 6,554,637 | | |
| | | 70,000 | | | | AA+ | | | Tampa Bay Water, Revenue Bonds, Series A, NPFG, 6.000% due 10/1/29 | | | | | 81,927 | | |
| | | | | | | | | | Volusia County Educational Facility Authority, Revenue Bonds: | | | | | | | |
| | | 150,000 | | | | A2(a) | | | 4.000% due 10/15/36 | | | | | 147,186 | | |
| | | 80,000 | | | | A2(a) | | | 5.000% due 10/15/44 | | | | | 82,687 | | |
| | | 150,000 | | | | A2(a) | | | 5.000% due 10/15/49 | | | | | 153,972 | | |
| | | | | | | | | | Volusia County School Board, COP: | | | | | | | |
| | | 600,000 | | | | Aa3(a) | | | 5.000% due 8/1/24 | | | | | 607,912 | | |
| | | 145,000 | | | | AA | | | Series A, 5.000% due 8/1/32 | | | | | 149,631 | | |
| | | | | | | | | | Total Florida | | | | | 58,704,354 | | |
| Georgia – 2.2% | | |||||||||||||||
| | | | | | | | | | City of Atlanta GA Water & Wastewater Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | 5.000% due 11/1/27 | | | | | 30,833 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 11/1/29 | | | | | 72,024 | | |
| | | 2,000,000 | | | | AA- | | | 5.000% due 11/1/40 | | | | | 2,038,135 | | |
| | | | | | | | | | Development Authority of Burke County, Revenue Bonds: | | | | | | | |
| | | 600,000 | | | | BBB+ | | | 1.700% due 12/1/49(b) | | | | | 580,872 | | |
| | | 830,000 | | | | BBB+ | | | 2.925% due 11/1/53(b) | | | | | 820,724 | | |
| | | 1,000,000 | | | | Ba3(a) | | | Development Authority Of The City Of Marietta, Revenue Bonds, Series A, 5.000% due 11/1/37(e) | | | | | 933,464 | | |
| | | 155,000 | | | | AA- | | | Fulton County Development Authority, Revenue Bonds, 5.000% due 6/15/44 | | | | | 163,365 | | |
| | | | | | | | | | Main Street Natural Gas Inc., Revenue Bonds: | | | | | | | |
| | | 5,000,000 | | | | Aa1(a) | | | Series A, 4.000% due 4/1/48(b) | | | | | 5,000,000 | | |
| | | 840,000 | | | | Aa1(a) | | | Series C, 4.000% due 8/1/48(b) | | | | | 839,697 | | |
| | | 2,000,000 | | | | BBB- | | | Series C, 4.000% due 8/1/52(b)(e) | | | | | 1,913,559 | | |
| | | 1,500,000 | | | | Aa1(a) | | | Series C, 5.000% due 9/1/53(b) | | | | | 1,557,129 | | |
| | | | | | | | | | Municipal Electric Authority of Georgia, Revenue Bonds: | | | | | | | |
| | | 160,000 | | | | A- | | | Series A, 5.000% due 1/1/27 | | | | | 166,712 | | |
| | | 145,000 | | | | A- | | | Series A, 5.000% due 1/1/30 | | | | | 154,977 | | |
| | | 105,000 | | | | A | | | Series GG, 5.000% due 1/1/24 | | | | | 105,077 | | |
| | | 35,000 | | | | A | | | Series GG, 5.000% due 1/1/25 | | | | | 35,023 | | |
| | | 145,000 | | | | A | | | Series GG, 5.000% due 1/1/26 | | | | | 145,100 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Georgia – (continued) | | |||||||||||||||
| | $ | 40,000 | | | | AA- | | | Municipal Gas Authority of Georgia, Revenue Bonds, Series U, 5.000% due 10/1/24 | | | | $ | 40,594 | | |
| | | 5,000,000 | | | | AAA | | | State of Georgia, GO, Series A, 5.000% due 7/1/29 | | | | | 5,470,453 | | |
| | | | | | | | | | Total Georgia | | | | | 20,067,738 | | |
| Hawaii – 1.1% | | |||||||||||||||
| | | 2,500,000 | | | | Aa2(a) | | | City & County Honolulu HI Wastewater System Revenue, Revenue Bonds, Series A, 4.125% due 7/1/47 | | | | | 2,394,310 | | |
| | | | | | | | | | City & County of Honolulu HI, GO: | | | | | | | |
| | | 7,105,000 | | | | Aa2(a) | | | Series C, 4.000% due 10/1/32 | | | | | 7,231,539 | | |
| | | 90,000 | | | | Aa2(a) | | | Series D, 5.000% due 9/1/26 | | | | | 94,760 | | |
| | | 500,000 | | | | AA+ | | | State of Hawaii, GO, Series FH, 5.000% due 10/1/28 | | | | | 527,059 | | |
| | | | | | | | | | Total Hawaii | | | | | 10,247,668 | | |
| Idaho – 0.8% | | |||||||||||||||
| | | 1,500,000 | | | | NR | | | Idaho Falls Auditorium District, COP, 5.250% due 5/15/51(e) | | | | | 1,404,441 | | |
| | | | | | | | | | Idaho Housing & Finance Association, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A2(a) | | | 5.000% due 7/15/24 | | | | | 35,462 | | |
| | | 95,000 | | | | A2(a) | | | 5.000% due 7/15/27 | | | | | 101,206 | | |
| | | 1,000,000 | | | | Aa1(a) | | | 5.000% due 8/15/41 | | | | | 1,081,912 | | |
| | | 1,000,000 | | | | Aa1(a) | | | 5.000% due 8/15/42 | | | | | 1,073,197 | | |
| | | 50,000 | | | | Aa1(a) | | | Series A, 4.000% due 1/1/50 | | | | | 49,346 | | |
| | | 250,000 | | | | A2(a) | | | Series A, 5.000% due 7/15/30 | | | | | 277,842 | | |
| | | 250,000 | | | | A2(a) | | | Series A, 5.000% due 7/15/31 | | | | | 281,709 | | |
| | | 2,380,000 | | | | Aa1(a) | | | Kootenai County School District No 271 Coeur d’Alene, GO, 4.000% due 9/15/28 | | | | | 2,453,195 | | |
| | | | | | | | | | Total Idaho | | | | | 6,758,310 | | |
| Illinois – 4.3% | | |||||||||||||||
| | | | | | | | | | Chicago Board of Education, GO: | | | | | | | |
| | | 1,040,000 | | | | BB+ | | | Series A, 5.000% due 12/1/47 | | | | | 1,022,700 | | |
| | | 2,500,000 | | | | BB+ | | | Series E, 5.125% due 12/1/32 | | | | | 2,504,806 | | |
| | | 2,075,000 | | | | AA | | | Chicago Board of Education Dedicated Capital Improvement Tax, Revenue Bonds, 5.750% due 4/1/48 | | | | | 2,263,930 | | |
| | | | | | | | | | Chicago Midway International Airport, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A | | | Series A, 5.000% due 1/1/29(d) | | | | | 66,571 | | |
| | | 100,000 | | | | A | | | Series A, 5.000% due 1/1/30(d) | | | | | 102,441 | | |
| | | 70,000 | | | | A | | | Series A, 5.000% due 1/1/31(d) | | | | | 71,733 | | |
| | | 190,000 | | | | A | | | Series A, 5.000% due 1/1/32(d) | | | | | 190,266 | | |
| | | 95,000 | | | | A | | | Series B, 5.000% due 1/1/24 | | | | | 95,425 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | | | | | | | | | Chicago O’Hare International Airport, Revenue Bonds: | | | | | | | |
| | $ | 75,000 | | | | BBB+ | | | 5.000% due 7/1/38(d) | | | | $ | 75,297 | | |
| | | 125,000 | | | | A+ | | | Series A, 5.000% due 1/1/24(d) | | | | | 125,398 | | |
| | | 270,000 | | | | A+ | | | Series A, 5.000% due 1/1/29 | | | | | 283,636 | | |
| | | 200,000 | | | | A+ | | | Series A, 5.000% due 1/1/48(d) | | | | | 202,879 | | |
| | | 285,000 | | | | A+ | | | Series B, 5.000% due 1/1/32 | | | | | 289,285 | | |
| | | 120,000 | | | | A+ | | | Series B, 5.000% due 1/1/53 | | | | | 123,145 | | |
| | | 45,000 | | | | A+ | | | Series C, 5.000% due 1/1/24 | | | | | 45,201 | | |
| | | 65,000 | | | | A+ | | | Series C, 5.000% due 1/1/25 | | | | | 66,223 | | |
| | | 60,000 | | | | A+ | | | Series C, 5.000% due 1/1/26 | | | | | 62,286 | | |
| | | 80,000 | | | | A+ | | | Series C, 5.000% due 1/1/34 | | | | | 82,499 | | |
| | | 60,000 | | | | A+ | | | Series D, 5.000% due 1/1/27(d) | | | | | 62,099 | | |
| | | 15,000 | | | | A+ | | | Series D, 5.000% due 1/1/28(d) | | | | | 15,514 | | |
| | | 85,000 | | | | A+ | | | Series D, 5.000% due 1/1/31(d) | | | | | 88,117 | | |
| | | 45,000 | | | | A+ | | | Series D, 5.000% due 1/1/33(d) | | | | | 46,634 | | |
| | | 1,000,000 | | | | A+ | | | City of Chicago IL Wastewater Transmission Revenue, Revenue Bonds, 5.000% due 1/1/33 | | | | | 1,001,641 | | |
| | | 3,700,000 | | | | AA | | | City of Chicago IL Waterworks Revenue, Revenue Bonds, Series A, AGM-Insured, 5.500% due 11/1/62 | | | | | 4,020,057 | | |
| | | 155,000 | | | | Aaa(a) | | | Cook Kane Lake & McHenry Counties Community College District No 512, GO, Series B, 5.000% due 12/1/24 | | | | | 157,725 | | |
| | | 35,000 | | | | Aa3(a) | | | Grundy & Will Counties Community Unit School District No 1 Coal City, GO, 5.000% due 2/1/29 | | | | | 37,190 | | |
| | | | | | | | | | Illinois Finance Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | AA+ | | | 5.000% due 7/15/26 | | | | | 62,642 | | |
| | | 75,000 | | | | A+ | | | 5.000% due 11/15/26 | | | | | 75,045 | | |
| | | 25,000 | | | | A3(a) | | | 5.000% due 8/15/27 | | | | | 25,502 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/28 | | | | | 72,308 | | |
| | | 60,000 | | | | AA+ | | | 5.000% due 7/15/28 | | | | | 64,468 | | |
| | | 40,000 | | | | A | | | 5.000% due 5/15/29 | | | | | 41,240 | | |
| | | 25,000 | | | | A+ | | | 5.000% due 11/15/29 | | | | | 25,014 | | |
| | | 110,000 | | | | A3(a) | | | 5.000% due 12/1/29 | | | | | 113,427 | | |
| | | 145,000 | | | | AAA | | | 5.000% due 1/1/30 | | | | | 153,747 | | |
| | | 330,000 | | | | AA- | | | 5.000% due 8/15/30 | | | | | 368,492 | | |
| | | 255,000 | | | | AAA | | | 5.000% due 7/1/31 | | | | | 270,545 | | |
| | | 175,000 | | | | A3(a) | | | 5.000% due 8/15/35 | | | | | 177,392 | | |
| | | 100,000 | | | | A3(a) | | | 5.000% due 12/1/46 | | | | | 99,995 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 8/1/49 | | | | | 23,892 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 495,000 | | | | AA- | | | Series A, 5.000% due 2/15/24 | | | | $ | 498,093 | | |
| | | 95,000 | | | | AA- | | | Series A, 5.000% due 2/15/25 | | | | | 96,763 | | |
| | | 45,000 | | | | AA- | | | Series A, 5.000% due 2/15/26 | | | | | 46,512 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 11/15/27 | | | | | 30,853 | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 11/15/28 | | | | | 35,967 | | |
| | | 55,000 | | | | A | | | Series A, 5.000% due 11/15/29 | | | | | 56,411 | | |
| | | 100,000 | | | | A | | | Series A, 5.000% due 11/15/32 | | | | | 102,351 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 11/15/34 | | | | | 60,990 | | |
| | | 2,000,000 | | | | A+ | | | Series A, 5.000% due 11/15/38 | | | | | 2,011,832 | | |
| | | 20,000 | | | | BBB+ | | | Series A, 5.000% due 8/1/47 | | | | | 19,251 | | |
| | | 75,000 | | | | Aa3(a) | | | Series A, Prerefunded 7/1/26 @ 100, 5.000% due 7/1/30(f) | | | | | 78,743 | | |
| | | 50,000 | | | | Aa3(a) | | | Series A, Prerefunded 7/1/26 @ 100, 5.000% due 7/1/34(f) | | | | | 52,495 | | |
| | | 255,000 | | | | Aa3(a) | | | Series A, Prerefunded 7/1/26 @ 100, 5.000% due 7/1/36(f) | | | | | 267,726 | | |
| | | 95,000 | | | | WD(g) | | | Series A, Prerefunded 8/15/26 @ 100, 5.000% due 8/15/33(f) | | | | | 99,428 | | |
| | | 15,000 | | | | WD(g) | | | Series A, Prerefunded 9/1/24 @ 100, 5.000% due 9/1/34(f) | | | | | 15,224 | | |
| | | 85,000 | | | | A+ | | | Series B, 5.000% due 11/15/26 | | | | | 86,643 | | |
| | | 35,000 | | | | AA+ | | | Series C, 3.750% due 2/15/34 | | | | | 35,003 | | |
| | | 160,000 | | | | AA+ | | | Series C, 4.000% due 2/15/36 | | | | | 159,053 | | |
| | | 15,000 | | | | AA+ | | | Series C, 5.000% due 2/15/24 | | | | | 15,096 | | |
| | | 75,000 | | | | AA+ | | | Series C, 5.000% due 2/15/26 | | | | | 77,663 | | |
| | | 200,000 | | | | AA+ | | | Series C, 5.000% due 2/15/28 | | | | | 210,051 | | |
| | | 135,000 | | | | AA+ | | | Series C, 5.000% due 2/15/29 | | | | | 141,821 | | |
| | | 50,000 | | | | AA+ | | | Series C, 5.000% due 2/15/31 | | | | | 52,471 | | |
| | | 365,000 | | | | AA+ | | | Series C, 5.000% due 2/15/32 | | | | | 382,783 | | |
| | | 145,000 | | | | AA+ | | | Series C, 5.000% due 2/15/33 | | | | | 151,785 | | |
| | | 65,000 | | | | AA+ | | | Series C, 5.000% due 2/15/36 | | | | | 67,503 | | |
| | | 205,000 | | | | AA+ | | | Series C, 5.000% due 2/15/41 | | | | | 209,835 | | |
| | | 170,000 | | | | AA- | | | Series Prerefunded 1/1/27 @ 100, 5.000% due 1/1/36(f) | | | | | 179,695 | | |
| | | 870,000 | | | | AA- | | | Series Prerefunded 1/1/28 @ 100, 5.000% due 1/1/38(f) | | | | | 933,450 | | |
| | | 1,300,000 | | | | AA- | | | Series Prerefunded 1/1/28 @ 100, 5.000% due 1/1/44(f) | | | | | 1,394,810 | | |
| | | 20,000 | | | | NR | | | Series Prerefunded 2/15/27 @ 100, 4.000% due 2/15/41(f) | | | | | 20,474 | | |
| | | | | | | | | | Illinois Municipal Electric Agency, Revenue Bonds: | | | | | | | |
| | | 290,000 | | | | A | | | Series A, 5.000% due 2/1/28 | | | | | 297,024 | | |
| | | 105,000 | | | | A | | | Series A, 5.000% due 2/1/31 | | | | | 107,116 | | |
| | | | | | | | | | Illinois State Toll Highway Authority, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | AA- | | | Series A, 5.000% due 12/1/31 | | | | | 51,541 | | |
| | | 175,000 | | | | AA- | | | Series D, 5.000% due 1/1/24 | | | | | 175,879 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | | | | | | | | | Kane McHenry Cook & De Kalb Counties Unit School District No 300, GO: | | | | | | | |
| | $ | 260,000 | | | | AA | | | 5.000% due 1/1/26 | | | | $ | 263,637 | | |
| | | 55,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 57,527 | | |
| | | 1,045,000 | | | | Aa1(a) | | | Maine Township High School District No 207, GO, Series 2022, 4.000% due 12/1/25 | | | | | 1,056,732 | | |
| | | 230,000 | | | | AA | | | McHenry & Kane Counties Community Consolidated School District No 158 Huntley, GO, zero coupon, due 1/1/24 | | | | | 227,251 | | |
| | | | | | | | | | McHenry County Community Unit School District No 200 Woodstock, GO: | | | | | | | |
| | | 225,000 | | | | Aa2(a) | | | Series B, NPFG, zero coupon, due 1/15/25 | | | | | 212,840 | | |
| | | 170,000 | | | | Aa2(a) | | | Series B, NPFG, zero coupon, due 1/15/26 | | | | | 154,737 | | |
| | | 215,000 | | | | NR | | | Series NPFG, zero coupon, due 1/15/24 | | | | | 212,086 | | |
| | | | | | | | | | McHenry County Conservation District, GO: | | | | | | | |
| | | 65,000 | | | | AA+ | | | 5.000% due 2/1/24 | | | | | 65,411 | | |
| | | 175,000 | | | | AA+ | | | 5.000% due 2/1/27 | | | | | 178,812 | | |
| | | 2,000,000 | | | | A | | | Metropolitan Pier & Exposition Authority, Revenue Bonds, 5.000% due 6/15/52 | | | | | 2,000,803 | | |
| | | | | | | | | | State of Illinois, GO: | | | | | | | |
| | | 225,000 | | | | A- | | | 5.000% due 6/1/25 | | | | | 229,740 | | |
| | | 270,000 | | | | A- | | | 5.000% due 2/1/27 | | | | | 278,511 | | |
| | | 180,000 | | | | A- | | | 5.000% due 2/1/28 | | | | | 187,521 | | |
| | | 60,000 | | | | A- | | | 5.000% due 4/1/28 | | | | | 60,261 | | |
| | | 25,000 | | | | A- | | | 5.000% due 5/1/28 | | | | | 25,124 | | |
| | | 165,000 | | | | A- | | | 5.000% due 2/1/29 | | | | | 171,900 | | |
| | | 70,000 | | | | A- | | | 5.000% due 5/1/32 | | | | | 70,304 | | |
| | | 190,000 | | | | A- | | | 5.000% due 5/1/33 | | | | | 190,745 | | |
| | | 305,000 | | | | A- | | | 5.250% due 2/1/31 | | | | | 306,121 | | |
| | | 1,185,000 | | | | A- | | | 5.500% due 5/1/39 | | | | | 1,271,995 | | |
| | | 2,000,000 | | | | A- | | | Series A, 5.000% due 3/1/29 | | | | | 2,139,458 | | |
| | | 365,000 | | | | A- | | | Series B, 5.000% due 9/1/23 | | | | | 365,000 | | |
| | | 365,000 | | | | A- | | | Series B, 5.000% due 9/1/24 | | | | | 369,345 | | |
| | | 620,000 | | | | A- | | | Series D, 5.000% due 11/1/23 | | | | | 621,076 | | |
| | | 405,000 | | | | A- | | | Series D, 5.000% due 11/1/25 | | | | | 415,627 | | |
| | | 390,000 | | | | A- | | | Series D, 5.000% due 11/1/26 | | | | | 405,289 | | |
| | | | | | | | | | University of Illinois, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A- | | | 6.000% due 10/1/42 | | | | | 115,212 | | |
| | | 115,000 | | | | A- | | | 6.250% due 10/1/38 | | | | | 115,244 | | |
| | | 1,000,000 | | | | AAA | | | Village of Schaumburg IL, GO, 4.000% due 12/1/33 | | | | | 1,022,760 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | | | | | | | | | 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 | | | | $ | 2,506,111 | | |
| | | 165,000 | | | | AA | | | Series B, AGM, zero coupon, due 11/1/26 | | | | | 146,138 | | |
| | | | | | | | | | Total Illinois | | | | | 38,342,060 | | |
| Indiana – 2.8% | | |||||||||||||||
| | | 315,000 | | | | A+ | | | City of Indianapolis IN Thermal Energy System Revenue, Revenue Bonds, Series A, 5.000% due 10/1/24 | | | | | 320,374 | | |
| | | 805,000 | | | | NR | | | City of Valparaiso IN, Revenue Bonds, 7.000% due 1/1/44(d) | | | | | 812,529 | | |
| | | 370,000 | | | | A- | | | City of Whiting IN, Revenue Bonds, 5.000% due 12/1/44(b)(d) | | | | | 378,844 | | |
| | | 300,000 | | | | A- | | | County of St Joseph IN, Revenue Bonds, 4.000% due 4/1/38 | | | | | 275,381 | | |
| | | | | | | | | | Indiana Finance Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | 5.000% due 9/1/26 | | | | | 31,273 | | |
| | | 15,000 | | | | AA- | | | 5.000% due 9/1/29 | | | | | 15,692 | | |
| | | 240,000 | | | | AA- | | | 5.000% due 3/1/36 | | | | | 242,837 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 9/1/36 | | | | | 61,830 | | |
| | | 1,000,000 | | | | AAA | | | 5.000% due 2/1/39(c) | | | | | 1,108,253 | | |
| | | 4,050,000 | | | | AAA | | | 5.000% due 2/1/40 | | | | | 4,469,072 | | |
| | | 4,255,000 | | | | AAA | | | 5.000% due 2/1/41 | | | | | 4,677,304 | | |
| | | 70,000 | | | | AA | | | Series A, 5.000% due 10/1/26 | | | | | 71,169 | | |
| | | 250,000 | | | | AA | | | Series A, 5.000% due 10/1/38 | | | | | 276,117 | | |
| | | 320,000 | | | | AA | | | Series B, 2.250% due 12/1/58(b) | | | | | 310,401 | | |
| | | 7,500,000 | | | | AA+ | | | Indiana Health Facility Financing Authority, Revenue Bonds, Series E6, 4.100% due 11/15/39(b) | | | | | 7,500,000 | | |
| | | 185,000 | | | | Aaa(a) | | | Indiana Housing & Community Development Authority, Revenue Bonds, Series B, 3.500% due 1/1/49 | | | | | 180,436 | | |
| | | 515,000 | | | | AAA | | | Indiana University, Revenue Bonds, Series W1, 5.000% due 8/1/26 | | | | | 522,361 | | |
| | | | | | | | | | Indianapolis Local Public Improvement Bond Bank, Revenue Bonds: | | | | | | | |
| | | 255,000 | | | | A1(a) | | | 5.000% due 1/1/25(d) | | | | | 257,822 | | |
| | | 550,000 | | | | A1(a) | | | 5.000% due 1/1/35(d) | | | | | 593,388 | | |
| | | 550,000 | | | | A1(a) | | | 5.250% due 1/1/36(d) | | | | | 597,271 | | |
| | | 600,000 | | | | A1(a) | | | 5.250% due 1/1/37(d) | | | | | 645,363 | | |
| | | 1,500,000 | | | | A1(a) | | | 5.250% due 1/1/41(d) | | | | | 1,581,724 | | |
| | | | | | | | | | Total Indiana | | | | | 24,929,441 | | |
| Iowa – 1.1% | | |||||||||||||||
| | | 1,155,000 | | | | Aa1(a) | | | City of Cedar Rapids IA, GO, Series A, 5.000% due 6/1/25 | | | | | 1,168,167 | | |
| | | | | | | | | | Iowa Finance Authority, Revenue Bonds: | | | | | | | |
| | | 1,785,000 | | | | BB+ | | | 4.750% due 8/1/42 | | | | | 1,697,221 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Iowa – (continued) | | |||||||||||||||
| | $ | 2,000,000 | | | | BBB- | | | 5.000% due 12/1/50 | | | | $ | 1,970,575 | | |
| | | 5,000,000 | | | | A3(a) | | | PEFA Inc., Revenue Bonds, 5.000% due 9/1/49(b) | | | | | 5,047,337 | | |
| | | | | | | | | | Total Iowa | | | | | 9,883,300 | | |
| 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 | | | | | 30,695 | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 9/1/32 | | | | | 35,805 | | |
| | | | | | | | | | Total Kansas | | | | | 66,500 | | |
| Kentucky – 1.5% | | |||||||||||||||
| | | 1,000,000 | | | | NR | | | City of Henderson KY, Revenue Bonds, 3.700% due 1/1/32(d)(e) | | | | | 967,192 | | |
| | | | | | | | | | Kenton County Airport Board, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | A1(a) | | | 5.000% due 1/1/25 | | | | | 25,519 | | |
| | | 15,000 | | | | A1(a) | | | 5.000% due 1/1/26 | | | | | 15,572 | | |
| | | 45,000 | | | | A1(a) | | | 5.000% due 1/1/29 | | | | | 46,696 | | |
| | | 50,000 | | | | A1(a) | | | 5.000% due 1/1/30 | | | | | 51,783 | | |
| | | 5,000,000 | | | | A2(a) | | | Kentucky Public Energy Authority, Revenue Bonds, Series B, 4.000% due 1/1/49(b) | | | | | 4,978,340 | | |
| | | | | | | | | | Kentucky State Property & Building Commission, Revenue Bonds: | | | | | | | |
| | | 160,000 | | | | A | | | 5.000% due 4/1/27 | | | | | 168,710 | | |
| | | 145,000 | | | | A | | | 5.000% due 5/1/28 | | | | | 155,387 | | |
| | | 15,000 | | | | A | | | 5.000% due 5/1/29 | | | | | 16,096 | | |
| | | 40,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 43,166 | | |
| | | 165,000 | | | | A | | | Series A, 5.000% due 2/1/29 | | | | | 170,986 | | |
| | | 170,000 | | | | A | | | Series A, 5.000% due 2/1/30 | | | | | 176,088 | | |
| | | 65,000 | | | | A | | | Series A, 5.000% due 2/1/32 | | | | | 67,176 | | |
| | | 80,000 | | | | A | | | Series A, 5.000% due 2/1/33 | | | | | 82,547 | | |
| | | 110,000 | | | | A | | | Series A, Prerefunded 10/1/23 @ 100, 5.000% due 10/1/27(f) | | | | | 110,124 | | |
| | | 325,000 | | | | A | | | Series B, 5.000% due 11/1/26 | | | | | 340,379 | | |
| | | 35,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/26 | | | | | 36,444 | | |
| | | 30,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/27 | | | | | 31,678 | | |
| | | 30,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/28 | | | | | 31,732 | | |
| | | 2,000,000 | | | | AA | | | Louisville & Jefferson County Metropolitan Sewer District, Revenue Bonds, Series A, 3.000% due 5/15/44 | | | | | 1,501,011 | | |
| | | | | | | | | | Louisville/Jefferson County Metropolitan Government, Revenue Bonds: | | | | | | | |
| | | 3,200,000 | | | | A | | | 5.000% due 10/1/47(b) | | | | | 3,415,589 | | |
| | | 525,000 | | | | A | | | Series A, 5.000% due 10/1/29 | | | | | 540,858 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Kentucky – (continued) | | |||||||||||||||
| | $ | 70,000 | | | | A | | | Series A, 5.500% due 10/1/33 | | | | $ | 70,088 | | |
| | | 185,000 | | | | A | | | Series A, 5.750% due 10/1/38 | | | | | 185,266 | | |
| | | | | | | | | | Total Kentucky | | | | | 13,228,427 | | |
| Louisiana – 1.1% | | |||||||||||||||
| | | 2,500,000 | | | | AA- | | | East Baton Rouge Sewerage Commission, Revenue Bonds, Series A, 4.000% due 2/1/45 | | | | | 2,346,790 | | |
| | | 2,800,000 | | | | A1(a) | | | Louisiana Local Government Environmental Facilities & Community Development Auth, Revenue Bonds, 5.000% due 8/15/37 | | | | | 2,870,329 | | |
| | | 1,500,000 | | | | AA | | | Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bonds, 5.000% due 10/1/26 | | | | | 1,567,040 | | |
| | | 85,000 | | | | A+ | | | Louisiana Public Facilities Authority, Revenue Bonds, Series A, 5.000% due 12/15/23 | | | | | 85,317 | | |
| | | | | | | | | | New Orleans Aviation Board, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | A | | | Series B, 5.000% due 1/1/24(d) | | | | | 70,189 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 1/1/25(d) | | | | | 85,996 | | |
| | | 65,000 | | | | A | | | Series B, 5.000% due 1/1/27(d) | | | | | 65,553 | | |
| | | 10,000 | | | | A | | | Series B, 5.000% due 1/1/29(d) | | | | | 10,358 | | |
| | | 20,000 | | | | A | | | Series B, 5.000% due 1/1/31(d) | | | | | 20,733 | | |
| | | 20,000 | | | | A | | | Series B, 5.000% due 1/1/36(d) | | | | | 20,575 | | |
| | | 15,000 | | | | A | | | Series B, 5.000% due 1/1/37(d) | | | | | 15,365 | | |
| | | 20,000 | | | | A | | | Series D2, 5.000% due 1/1/26(d) | | | | | 20,438 | | |
| | | 15,000 | | | | A | | | Series D2, 5.000% due 1/1/29(d) | | | | | 15,538 | | |
| | | 20,000 | | | | A | | | Series D2, 5.000% due 1/1/30(d) | | | | | 20,724 | | |
| | | 45,000 | | | | A | | | Series D2, 5.000% due 1/1/32(d) | | | | | 46,655 | | |
| | | 35,000 | | | | A | | | Series D2, 5.000% due 1/1/35(d) | | | | | 36,164 | | |
| | | 15,000 | | | | A | | | Series D2, 5.000% due 1/1/38(d) | | | | | 15,286 | | |
| | | 1,000,000 | | | | BB- | | | Parish of St James LA, Revenue Bonds, Series 2, 6.350% due 10/1/40(e) | | | | | 1,085,260 | | |
| | | 450,000 | | | | BBB- | | | Parish of St John the Baptist LA, Revenue Bonds, 4.050% due 6/1/37(b) | | | | | 445,487 | | |
| | | 1,000,000 | | | | A2(a) | | | St John the Baptist Parish School District No 1, GO, 5.250% due 3/1/37 | | | | | 1,066,319 | | |
| | | | | | | | | | Total Louisiana | | | | | 9,910,116 | | |
| Maine – 0.2% | | |||||||||||||||
| | | 2,500,000 | | | | AA+ | | | Maine State Housing Authority, Revenue Bonds, Series B, 3.150% due 11/15/39 | | | | | 2,100,261 | | |
| | | 60,000 | | | | AA- | | | Maine Turnpike Authority, Revenue Bonds, 5.000% due 7/1/27 | | | | | 61,835 | | |
| | | | | | | | | | Total Maine | | | | | 2,162,096 | | |
| Maryland – 2.0% | | |||||||||||||||
| | | 600,000 | | | | NR | | | Anne Arundel County Consolidated Special Taxing District, Special Tax, 5.125% due 7/1/36 | | | | | 601,565 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Maryland – (continued) | | |||||||||||||||
| | | | | | | | | | City of Baltimore MD, Revenue Bonds: | | | | | | | |
| | $ | 105,000 | | | | AA- | | | Series C, 5.000% due 7/1/28 | | | | $ | 111,373 | | |
| | | 195,000 | | | | AA- | | | Series C, 5.000% due 7/1/31 | | | | | 206,508 | | |
| | | 200,000 | | | | AA- | | | Series C, 5.000% due 7/1/33 | | | | | 211,527 | | |
| | | 170,000 | | | | A+ | | | Series D, 5.000% due 7/1/33 | | | | | 179,798 | | |
| | | 730,000 | | | | BB+ | | | County of Frederick MD, Revenue Bonds, Series A, 5.000% due 9/1/37(e) | | | | | 689,930 | | |
| | | 2,500,000 | | | | AAA | | | County of Howard MD, GO, Series D, 5.000% due 2/15/30 | | | | | 2,710,225 | | |
| | | 5,805,000 | | | | AAA | | | County of Prince George’s MD, GO, Series A, 5.000% due 7/15/29 | | | | | 6,333,405 | | |
| | | | | | | | | | Maryland Community Development Administration, Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | Aa1(a) | | | Series B, 4.000% due 9/1/49 | | | | | 173,011 | | |
| | | 185,000 | | | | Aa1(a) | | | Series C, 3.500% due 3/1/50 | | | | | 180,595 | | |
| | | 320,000 | | | | Aa1(a) | | | Series C, 5.000% due 9/1/28 | | | | | 343,747 | | |
| | | 2,000,000 | | | | NR | | | Maryland Economic Development Corp., Special Tax, 4.000% due 9/1/50 | | | | | 1,611,805 | | |
| | | | | | | | | | Maryland Health & Higher Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 155,000 | | | | BBB+ | | | Series A, 4.000% due 7/1/42 | | | | | 137,096 | | |
| | | 65,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/33 | | | | | 66,458 | | |
| | | 50,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/34 | | | | | 51,177 | | |
| | | 20,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/35 | | | | | 20,414 | | |
| | | 50,000 | | | | BBB+ | | | Series A, 5.000% due 7/1/36 | | | | | 50,845 | | |
| | | 1,405,000 | | | | Baa3(a) | | | Series A, 5.500% due 1/1/46 | | | | | 1,415,340 | | |
| | | 3,000,000 | | | | AAA | | | State of Maryland Department of Transportation, Revenue Bonds, 3.500% due 10/1/33 | | | | | 2,984,194 | | |
| | | | | | | | | | Total Maryland | | | | | 18,079,013 | | |
| Massachusetts – 1.5% | | |||||||||||||||
| | | | | | | | | | Commonwealth of Massachusetts, GO: | | | | | | | |
| | | 2,640,000 | | | | AA+ | | | 5.000% due 5/1/41 | | | | | 2,907,776 | | |
| | | 1,500,000 | | | | AA+ | | | Series E, 5.000% due 11/1/45 | | | | | 1,624,072 | | |
| | | | | | | | | | Massachusetts Bay Transportation Authority Sales Tax Revenue, Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | AA+ | | | Series A, 5.000% due 7/1/45 | | | | | 45,673 | | |
| | | 2,500,000 | | | | AA+ | | | Series A, Prerefunded 7/1/24 @ 100, 5.000% due 7/1/37(f) | | | | | 2,532,927 | | |
| | | 1,220,000 | | | | AA+ | | | Series A1, 5.000% due 7/1/41 | | | | | 1,348,684 | | |
| | | | | | | | | | Massachusetts Development Finance Agency, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 116,459 | | |
| | | 50,000 | | | | A | | | 5.000% due 7/1/30 | | | | | 53,494 | | |
| | | 235,000 | | | | A | | | 5.000% due 7/1/31 | | | | | 251,620 | | |
| | | 1,000,000 | | | | BBB | | | 5.250% due 7/1/52 | | | | | 1,023,230 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Massachusetts – (continued) | | |||||||||||||||
| | $ | 2,500,000 | | | | AAA | | | Series A, 4.000% due 7/15/36 | | | | $ | 2,524,872 | | |
| | | 585,000 | | | | A+ | | | Series S1, 5.000% due 10/1/24 | | | | | 594,361 | | |
| | | 335,000 | | | | AA- | | | Series S4, 5.000% due 7/1/38(b) | | | | | 336,704 | | |
| | | 500,000 | | | | AA | | | Massachusetts Port Authority, Revenue Bonds, Series E, 5.000% due 7/1/31(d) | | | | | 550,372 | | |
| | | | | | | | | | Total Massachusetts | | | | | 13,910,244 | | |
| Michigan – 1.6% | | |||||||||||||||
| | | 160,000 | | | | AA | | | City of Detroit MI Sewage Disposal System Revenue, Revenue Bonds, Series D, AGM-Insured, 4.291% due 7/1/32(b) | | | | | 150,604 | | |
| | | 2,155,000 | | | | AA+ | | | County of Kalamazoo MI, GO, 3.000% due 5/1/32 | | | | | 2,073,797 | | |
| | | 155,000 | | | | AA | | | Detroit Downtown Development Authority, Special Tax, Series A, AGM-Insured, 5.000% due 7/1/37 | | | | | 155,327 | | |
| | | | | | | | | | Grand Rapids Public Schools, GO: | | | | | | | |
| | | 40,000 | | | | AA | | | 5.000% due 5/1/27 | | | | | 42,251 | | |
| | | 55,000 | | | | AA | | | 5.000% due 5/1/29 | | | | | 58,337 | | |
| | | 100,000 | | | | AA | | | 5.000% due 5/1/30 | | | | | 103,507 | | |
| | | 145,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 149,863 | | |
| | | 20,000 | | | | AA | | | 5.000% due 5/1/32 | | | | | 20,640 | | |
| | | 90,000 | | | | AA | | | 5.000% due 5/1/33 | | | | | 92,880 | | |
| | | | | | | | | | Kalamazoo Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | A2(a) | | | 5.000% due 5/15/27 | | | | | 103,341 | | |
| | | 75,000 | | | | A2(a) | | | 5.000% due 5/15/28 | | | | | 77,473 | | |
| | | | | | | | | | Michigan Finance Authority, Revenue Bonds: | | | | | | | |
| | | 1,250,000 | | | | Aa3(a) | | | 5.000% due 11/1/23 | | | | | 1,253,049 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 12/1/23 | | | | | 45,163 | | |
| | | 750,000 | | | | Aa3(a) | | | 5.000% due 11/1/24 | | | | | 763,979 | | |
| | | 50,000 | | | | AA- | | | 5.000% due 12/1/24 | | | | | 50,965 | | |
| | | 85,000 | | | | AA- | | | 5.000% due 12/1/25 | | | | | 87,695 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 12/1/26 | | | | | 41,951 | | |
| | | 35,000 | | | | AA- | | | 5.000% due 12/1/27 | | | | | 37,340 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 12/1/28 | | | | | 63,911 | | |
| | | 315,000 | | | | A | | | 5.000% due 11/15/32 | | | | | 325,874 | | |
| | | 735,000 | | | | AA- | | | 5.000% due 12/1/44(b) | | | | | 750,266 | | |
| | | 10,000 | | | | AA- | | | Series D1, 5.000% due 7/1/27 | | | | | 10,194 | | |
| | | 30,000 | | | | AA- | | | Series D1, 5.000% due 7/1/29 | | | | | 30,656 | | |
| | | 35,000 | | | | AA- | | | Series D1, 5.000% due 7/1/31 | | | | | 35,827 | | |
| | | 30,000 | | | | AA- | | | Series D1, 5.000% due 7/1/32 | | | | | 30,667 | | |
| | | 25,000 | | | | AA- | | | Series D1, 5.000% due 7/1/33 | | | | | 25,551 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | | | | | | | | | Michigan State Building Authority, Revenue Bonds: | | | | | | | |
| | $ | 495,000 | | | | AA- | | | Series I, 5.000% due 10/15/34 | | | | $ | 519,338 | | |
| | | 80,000 | | | | AA- | | | Series I, 5.000% due 4/15/35 | | | | | 83,966 | | |
| | | | | | | | | | Michigan State Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 710,000 | | | | AA+ | | | 4.000% due 11/15/47(b) | | | | | 710,956 | | |
| | | 45,000 | | | | AA- | | | Series C, 5.000% due 12/1/24 | | | | | 45,868 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/1/26 | | | | | 62,927 | | |
| | | 40,000 | | | | AA- | | | Series C, 5.000% due 12/1/27 | | | | | 42,675 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/1/28 | | | | | 63,911 | | |
| | | 500,000 | | | | BB | | | Michigan Strategic Fund, Revenue Bonds, 4.000% due 10/1/61(b)(d) | | | | | 495,005 | | |
| | | 2,590,000 | | | | Aa2(a) | | | Plymouth-Canton Community School District, GO, 5.000% due 5/1/40 | | | | | 2,819,966 | | |
| | | 90,000 | | | | AA- | | | Portage Public Schools, GO, 5.000% due 11/1/29 | | | | | 93,504 | | |
| | | 60,000 | | | | Aa3(a) | | | Royal Oak Hospital Finance Authority, Revenue Bonds, Series Prerefunded 3/1/24 @ 100, 5.000% due 9/1/24(f) | | | | | 60,443 | | |
| | | 1,500,000 | | | | Aa1(a) | | | State of Michigan, GO, Series A, 4.000% due 5/15/38 | | | | | 1,499,985 | | |
| | | | | | | | | | Warren Consolidated Schools, GO: | | | | | | | |
| | | 130,000 | | | | AA | | | 5.000% due 5/1/30 | | | | | 134,994 | | |
| | | 140,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 144,803 | | |
| | | 145,000 | | | | AA | | | 5.000% due 5/1/32 | | | | | 149,788 | | |
| | | | | | | | | | Wayne County Airport Authority, Revenue Bonds: | | | | | | | |
| | | 5,000 | | | | A | | | Series A, 5.000% due 12/1/29 | | | | | 5,315 | | |
| | | 10,000 | | | | A | | | Series A, 5.000% due 12/1/30 | | | | | 10,616 | | |
| | | 10,000 | | | | A | | | Series A, 5.000% due 12/1/31 | | | | | 10,619 | | |
| | | 15,000 | | | | A | | | Series A, 5.000% due 12/1/36 | | | | | 15,636 | | |
| | | 620,000 | | | | A | | | Series B, 5.000% due 12/1/29(d) | | | | | 648,116 | | |
| | | 15,000 | | | | A | | | Series B, 5.000% due 12/1/30(d) | | | | | 15,689 | | |
| | | 15,000 | | | | A | | | Series B, 5.000% due 12/1/31(d) | | | | | 15,693 | | |
| | | 10,000 | | | | A | | | Series B, 5.000% due 12/1/33(d) | | | | | 10,449 | | |
| | | 25,000 | | | | A | | | Series B, 5.000% due 12/1/36(d) | | | | | 25,774 | | |
| | | 65,000 | | | | A | | | Series C, 5.000% due 12/1/23 | | | | | 65,229 | | |
| | | 70,000 | | | | A | | | Series C, 5.000% due 12/1/24 | | | | | 71,316 | | |
| | | 70,000 | | | | A | | | Series C, 5.000% due 12/1/25 | | | | | 72,510 | | |
| | | 45,000 | | | | A | | | Series C, 5.000% due 12/1/26 | | | | | 47,492 | | |
| | | 45,000 | | | | A | | | Series C, 5.000% due 12/1/27 | | | | | 48,322 | | |
| | | | | | | | | | Total Michigan | | | | | 14,572,013 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Minnesota – 1.5% | | |||||||||||||||
| | $ | 2,500,000 | | | | AAA | | | Metropolitan Council, GO, Series I, 3.000% due 3/1/27 | | | | $ | 2,469,647 | | |
| | | | | | | | | | State of Minnesota, GO: | | | | | | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/37 | | | | | 5,373,597 | | |
| | | 4,835,000 | | | | AAA | | | Series B, 5.000% due 8/1/27 | | | | | 5,197,475 | | |
| | | | | | | | | | Total Minnesota | | | | | 13,040,719 | | |
| Mississippi – 0.8% | | |||||||||||||||
| | | 1,500,000 | | | | NR | | | Mississippi Business Finance Corp., Revenue Bonds, 5.000% due 2/1/36(b)(d)(e) | | | | | 1,440,787 | | |
| | | | | | | | | | Mississippi Hospital Equipment & Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 170,000 | | | | A+ | | | 5.000% due 10/1/40(b) | | | | | 175,967 | | |
| | | 435,000 | | | | A3(a) | | | Series A, 5.000% due 1/1/34 | | | | | 461,468 | | |
| | | 225,000 | | | | A3(a) | | | Series B, 5.000% due 1/1/30 | | | | | 238,504 | | |
| | | | | | | | | | State of Mississippi, GO: | | | | | | | |
| | | 160,000 | | | | AA | | | Series A, 5.000% due 10/1/30 | | | | | 171,058 | | |
| | | 4,000,000 | | | | AA | | | Series C, 5.000% due 10/1/35 | | | | | 4,298,098 | | |
| | | | | | | | | | Total Mississippi | | | | | 6,785,882 | | |
| Missouri – 0.9% | | |||||||||||||||
| | | 2,550,000 | | | | AA+ | | | Grain Valley No R-V School District, GO, Series A, 5.000% due 3/1/35 | | | | | 2,691,368 | | |
| | | | | | | | | | Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | 5.000% due 5/15/29 | | | | | 30,930 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 5/15/30 | | | | | 30,863 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 5/15/31 | | | | | 30,875 | | |
| | | 85,000 | | | | AA- | | | 5.000% due 5/15/36 | | | | | 86,832 | | |
| | | 20,000 | | | | A+ | | | Series B, 4.000% due 2/1/40 | | | | | 18,639 | | |
| | | 70,000 | | | | A+ | | | Series B, 5.000% due 2/1/30 | | | | | 71,445 | | |
| | | 80,000 | | | | A+ | | | Series B, 5.000% due 2/1/32 | | | | | 81,594 | | |
| | | 65,000 | | | | A+ | | | Series B, 5.000% due 2/1/36 | | | | | 66,086 | | |
| | | 2,500,000 | | | | AAA | | | Metropolitan St Louis Sewer District, Revenue Bonds, Series A, 5.000% due 5/1/37 | | | | | 2,620,434 | | |
| | | 2,100,000 | | | | AA- | | | Missouri Development Finance Board, Revenue Bonds, 5.500% due 5/1/41 | | | | | 2,288,607 | | |
| | | 50,000 | | | | AA+ | | | Missouri Housing Development Commission, Revenue Bonds, Series B, 4.000% due 5/1/50 | | | | | 49,352 | | |
| | | | | | | | | | Total Missouri | | | | | 8,067,025 | | |
| Montana – 0.2% | | |||||||||||||||
| | | | | | | | | | Montana Board of Housing, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | AA+ | | | Series A1, 4.000% due 12/1/47(d) | | | | | 24,805 | | |
| | | 25,000 | | | | AA+ | | | Series B, 4.000% due 6/1/50 | | | | | 24,659 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Montana – (continued) | | |||||||||||||||
| | | | | | | | | | Montana Facility Finance Authority, Revenue Bonds: | | | | | | | |
| | $ | 60,000 | | | | A+(g) | | | 5.000% due 2/15/24 | | | | $ | 60,269 | | |
| | | 60,000 | | | | A+(g) | | | 5.000% due 2/15/25 | | | | | 60,784 | | |
| | | 90,000 | ��� | | | A+(g) | | | 5.000% due 2/15/26 | | | | | 92,155 | | |
| | | 1,390,000 | | | | AA | | | Yellowstone & Carbon Counties School District No 7-70 Laurel, GO, 5.000% due 7/1/42 | | | | | 1,493,736 | | |
| | | | | | | | | | Total Montana | | | | | 1,756,408 | | |
| Nebraska – 0.2% | | |||||||||||||||
| | | | | | | | | | Nebraska Investment Finance Authority, Revenue Bonds: | | | | | | | |
| | | 145,000 | | | | AAA | | | Series B, 4.000% due 9/1/49(d) | | | | | 142,306 | | |
| | | 140,000 | | | | AAA | | | Series E, 3.750% due 9/1/49(d) | | | | | 137,250 | | |
| | | | | | | | | | Nebraska Public Power District, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A+ | | | Series B, 5.000% due 1/1/31 | | | | | 118,463 | | |
| | | 125,000 | | | | A+ | | | Series B, 5.000% due 1/1/34 | | | | | 127,729 | | |
| | | 155,000 | | | | A+ | | | Series B, 5.000% due 1/1/36 | | | | | 158,245 | | |
| | | 1,000,000 | | | | Aa3(a) | | | Ralston Public Schools, GO, 5.000% due 12/15/43 | | | | | 1,085,755 | | |
| | | | | | | | | | Total Nebraska | | | | | 1,769,748 | | |
| Nevada – 0.8% | | |||||||||||||||
| | | | | | | | | | Carson City NV, Revenue Bonds: | | | | | | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 9/1/24 | | | | | 20,198 | | |
| | | 15,000 | | | | BBB+ | | | 5.000% due 9/1/28 | | | | | 15,586 | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 9/1/30 | | | | | 20,762 | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 9/1/32 | | | | | 20,759 | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 9/1/34 | | | | | 20,683 | | |
| | | 2,000,000 | | | | AA- | | | Clark County School District, GO, Series A, 5.000% due 6/15/39 | | | | | 2,185,825 | | |
| | | 1,520,000 | | | | AAA | | | Clark County Water Reclamation District, GO, 4.000% due 7/1/35 | | | | | 1,522,609 | | |
| | | 2,750,000 | | | | AA+ | | | County of Clark NV, GO, Series B, 4.000% due 11/1/34 | | | | | 2,777,615 | | |
| | | | | | | | | | Las Vegas Valley Water District, GO: | | | | | | | |
| | | 85,000 | | | | AA | | | Series A, 5.000% due 6/1/32 | | | | | 88,611 | | |
| | | 145,000 | | | | AA | | | Series A, 5.000% due 6/1/33 | | | | | 151,082 | | |
| | | 155,000 | | | | AA | | | Series A, 5.000% due 6/1/34 | | | | | 161,337 | | |
| | | 70,000 | | | | AA+ | | | Nevada Housing Division, Revenue Bonds, Series B, 4.000% due 10/1/49 | | | | | 69,111 | | |
| | | | | | | | | | Total Nevada | | | | | 7,054,178 | | |
| New Hampshire – 0.3% | | |||||||||||||||
| | | | | | | | | | New Hampshire Business Finance Authority, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | B+ | | | 2.950% due 4/1/29(d)(e) | | | | | 898,630 | | |
| | | 740,000 | | | | A- | | | Series A2, zero coupon, due 7/1/27(b)(d) | | | | | 727,729 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Hampshire – (continued) | | |||||||||||||||
| | | | | | | | | | New Hampshire Health & Education Facilities Authority Act, Revenue Bonds: | | | | | | | |
| | $ | 25,000 | | | | A- | | | 4.000% due 10/1/38 | | | | $ | 22,798 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 40,507 | | |
| | | 35,000 | | | | BBB+ | | | 5.000% due 7/1/26 | | | | | 35,024 | | |
| | | 135,000 | | | | A- | | | 5.000% due 10/1/26 | | | | | 139,362 | | |
| | | 145,000 | | | | A- | | | 5.000% due 10/1/27 | | | | | 149,059 | | |
| | | 60,000 | | | | A- | | | 5.000% due 10/1/28 | | | | | 61,624 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 7/1/30 | | | | | 75,410 | | |
| | | 65,000 | | | | A | | | 5.000% due 8/1/30 | | | | | 68,332 | | |
| | | 210,000 | | | | A- | | | 5.000% due 10/1/30 | | | | | 214,616 | | |
| | | | | | | | | | Total New Hampshire | | | | | 2,433,091 | | |
| New Jersey – 2.1% | | |||||||||||||||
| | | | | | | | | | Camden County Improvement Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A- | | | 5.000% due 2/15/24 | | | | | 60,258 | | |
| | | 30,000 | | | | A- | | | Series Prerefunded 2/15/24 @ 100, 5.000% due 2/15/25(f) | | | | | 30,201 | | |
| | | | | | | | | | City of Bayonne NJ, GO: | | | | | | | |
| | | 45,000 | | | | AA | | | Series Prerefunded 7/1/26 @ 100, 5.000% due 7/1/31(f) | | | | | 47,308 | | |
| | | 30,000 | | | | AA | | | Series Prerefunded 7/1/26 @ 100, 5.000% due 7/1/32(f) | | | | | 31,539 | | |
| | | 30,000 | | | | AA | | | Series Prerefunded 7/1/26 @ 100, 5.000% due 7/1/33(f) | | | | | 31,539 | | |
| | | | | | | | | | New Jersey Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 850,000 | | | | A- | | | 5.000% due 11/1/34 | | | | | 915,923 | | |
| | | 1,000,000 | | | | A- | | | Series EEE, 5.000% due 6/15/30 | | | | | 1,071,356 | | |
| | | 580,000 | | | | A- | | | Series XX, Prerefunded 6/15/25 @ 100, 5.000% due 6/15/26(f) | | | | | 598,717 | | |
| | | 55,000 | | | | A3(a) | | | New Jersey Educational Facilities Authority, Revenue Bonds, Series A, 5.000% due 7/1/29 | | | | | 56,526 | | |
| | | | | | | | | | New Jersey Health Care Facilities Financing Authority, Revenue Bonds: | | | | | | | |
| | | 2,000,000 | | | | BBB- | | | 4.000% due 7/1/48 | | | | | 1,631,348 | | |
| | | 15,000 | | | | AA | | | Series A, 5.000% due 7/1/28 | | | | | 15,694 | | |
| | | 45,000 | | | | AA | | | Series A, 5.000% due 7/1/33 | | | | | 46,950 | | |
| | | 620,000 | | | | AA- | | | Series B2, 5.000% due 7/1/42(b) | | | | | 634,471 | | |
| | | 625,000 | | | | AA- | | | Series B3, 5.000% due 7/1/45(b) | | | | | 645,591 | | |
| | | | | | | | | | New Jersey Higher Education Student Assistance Authority, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | AA | | | Series 1A, 5.000% due 12/1/24(d) | | | | | 101,285 | | |
| | | 115,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/23 | | | | | 115,406 | | |
| | | 65,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/24 | | | | | 66,064 | | |
| | | 125,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/25 | | | | | 129,018 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Jersey – (continued) | | |||||||||||||||
| | | | | | | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds: | | | | | | | |
| | $ | 5,000,000 | | | | A+ | | | 5.000% due 6/15/24 | | | | $ | 5,054,572 | | |
| | | 435,000 | | | | A+ | | | 5.000% due 6/15/27 | | | | | 452,531 | | |
| | | 1,320,000 | | | | A- | | | 5.000% due 12/15/28 | | | | | 1,425,252 | | |
| | | 200,000 | | | | A- | | | 5.000% due 12/15/39 | | | | | 209,987 | | |
| | | 870,000 | | | | A- | | | Series A, zero coupon, due 12/15/27 | | | | | 742,073 | | |
| | | 195,000 | | | | A- | | | Series A, zero coupon, due 12/15/28 | | | | | 160,288 | | |
| | | 220,000 | | | | A- | | | Series A, 5.000% due 12/15/33 | | | | | 235,002 | | |
| | | 2,000,000 | | | | A- | | | Series A, 5.000% due 12/15/34 | | | | | 2,129,693 | | |
| | | 360,000 | | | | A- | | | Series AA, 5.000% due 6/15/25 | | | | | 363,828 | | |
| | | 215,000 | | | | A- | | | Series AA, 5.000% due 6/15/26 | | | | | 217,179 | | |
| | | 1,525,000 | | | | AA- | | | New Jersey Turnpike Authority, Revenue Bonds, Series B, 5.000% due 1/1/46 | | | | | 1,640,795 | | |
| | | | | | | | | | Total New Jersey | | | | | 18,860,394 | | |
| New Mexico – 0.1% | | |||||||||||||||
| | | 490,000 | | | | AA | | | New Mexico Hospital Equipment Loan Council, Revenue Bonds, Series B, 5.000% due 8/1/49(b) | | | | | 501,098 | | |
| | | 120,000 | | | | Aaa(a) | | | New Mexico Mortgage Finance Authority, Revenue Bonds, Series D, 3.750% due 1/1/50 | | | | | 117,696 | | |
| | | | | | | | | | Total New Mexico | | | | | 618,794 | | |
| New York – 9.8% | | |||||||||||||||
| | | 1,430,000 | | | | Ba1(a) | | | Brooklyn Arena Local Development Corp., Revenue Bonds, zero coupon, due 7/15/46 | | | | | 422,030 | | |
| | | | | | | | | | City of New York NY, GO: | | | | | | | |
| | | 1,000,000 | | | | AA | | | Series A, 5.000% due 8/1/40 | | | | | 1,088,978 | | |
| | | 2,035,000 | | | | AA | | | Series B1, 5.000% due 12/1/38 | | | | | 2,098,921 | | |
| | | 2,500,000 | | | | AA | | | Series B1, 5.000% due 12/1/41 | | | | | 2,570,864 | | |
| | | 500,000 | | | | AA | | | Series B1, 5.250% due 10/1/41 | | | | | 550,815 | | |
| | | 5,000,000 | | | | AA | | | Series D1, 5.000% due 12/1/34 | | | | | 5,390,891 | | |
| | | 1,000,000 | | | | AA | | | Series F1, 5.000% due 4/1/43 | | | | | 1,039,455 | | |
| | | | | | | | | | Hudson Yards Infrastructure Corp., Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | AA- | | | Series A, 5.000% due 2/15/32 | | | | | 121,847 | | |
| | | 215,000 | | | | AA- | | | Series A, 5.000% due 2/15/35 | | | | | 226,667 | | |
| | | | | | | | | | Long Island Power Authority, Revenue Bonds: | | | | | | | |
| | | 1,020,000 | | | | A | | | Series B, 1.650% due 9/1/49(b) | | | | | 996,595 | | |
| | | 45,000 | | | | A | | | Series B, 5.000% due 9/1/23 | | | | | 45,000 | | |
| | | 40,000 | | | | A | | | Series B, 5.000% due 9/1/24 | | | | | 40,699 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | | | | | | | | | Metropolitan Transportation Authority, Revenue Bonds: | | | | | | | |
| | $ | 1,780,000 | | | | AA | | | Series A, 5.250% due 11/15/27 | | | | $ | 1,891,851 | | |
| | | 125,000 | | | | BBB+ | | | Series A1, 5.000% due 11/15/35 | | | | | 126,331 | | |
| | | 145,000 | | | | BBB+ | | | Series A1, 5.000% due 11/15/36 | | | | | 146,308 | | |
| | | 245,000 | | | | BBB+ | | | Series A2, 5.000% due 11/15/29 | | | | | 256,506 | | |
| | | 270,000 | | | | BBB+ | | | Series B, 5.000% due 11/15/30 | | | | | 278,427 | | |
| | | 290,000 | | | | BBB+ | | | Series C1, 5.000% due 11/15/27 | | | | | 300,020 | | |
| | | 685,000 | | | | BBB+ | | | Series C1, 5.000% due 11/15/28 | | | | | 701,237 | | |
| | | 300,000 | | | | BBB+ | | | Series C1, 5.000% due 11/15/31 | | | | | 316,819 | | |
| | | 2,700,000 | | | | BBB+ | | | Series C1, 5.250% due 11/15/55 | | | | | 2,774,842 | | |
| | | 415,000 | | | | BBB+ | | | Series D1, 5.000% due 11/15/30 | | | | | 418,779 | | |
| | | | | | | | | | MTA Hudson Rail Yards Trust Obligations, Revenue Bonds: | | | | | | | |
| | | 370,000 | | | | A3(a) | | | Series A, 5.000% due 11/15/51 | | | | | 370,605 | | |
| | | 860,000 | | | | A3(a) | | | Series A, 5.000% due 11/15/56 | | | | | 860,083 | | |
| | | 250,000 | | | | CCC+ | | | Nassau County Tobacco Settlement Corp., Revenue Bonds, Series A3, 5.000% due 6/1/35 | | | | | 229,918 | | |
| | | | | | | | | | New York City Municipal Water Finance Authority, Revenue Bonds: | | | | | | | |
| | | 4,285,000 | | | | AA+ | | | 4.000% due 6/15/50(b) | | | | | 4,285,000 | | |
| | | 2,685,000 | | | | AA+ | | | 5.000% due 6/15/41 | | | | | 2,864,500 | | |
| | | 2,000,000 | | | | AA+ | | | Series AA1, 5.250% due 6/15/52 | | | | | 2,160,241 | | |
| | | 1,945,000 | | | | AA+ | | | Series EE, 5.000% due 6/15/45 | | | | | 2,031,673 | | |
| | | | | | | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds: | | | | | | | |
| | | 1,100,000 | | | | AAA | | | 3.950% due 5/1/34(b) | | | | | 1,100,000 | | |
| | | 1,500,000 | | | | AAA | | | Series A1, 4.000% due 11/1/37 | | | | | 1,502,879 | | |
| | | 3,200,000 | | | | AAA | | | Series A1, 5.000% due 8/1/41 | | | | | 3,455,514 | | |
| | | 2,185,000 | | | | AAA | | | Series A1, 5.000% due 8/1/43 | | | | | 2,344,665 | | |
| | | 1,775,000 | | | | AAA | | | Series B1, 5.000% due 11/1/36 | | | | | 1,785,361 | | |
| | | 275,000 | | | | AAA | | | Series C2, 5.000% due 5/1/32 | | | | | 296,299 | | |
| | | 1,000,000 | | | | AAA | | | Series E1, 5.000% due 2/1/31 | | | | | 1,020,494 | | |
| | | 1,700,000 | | | | AAA | | | Series F1, 5.000% due 2/1/41 | | | | | 1,842,060 | | |
| | | | | | | | | | New York Liberty Development Corp., Revenue Bonds: | | | | | | | |
| | | 2,000,000 | | | | NR | | | 5.000% due 11/15/44(e) | | | | | 1,906,862 | | |
| | | 1,750,000 | | | | AA- | | | Series 1WTC, 2.750% due 2/15/44 | | | | | 1,247,034 | | |
| | | | | | | | | | New York State Dormitory Authority, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | B- | | | 4.000% due 7/1/45 | | | | | 695,949 | | |
| | | 4,000,000 | | | | Aa1(a) | | | Series A, 5.250% due 3/15/38 | | | | | 4,303,875 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | $ | 225,000 | | | | A- | | | Series B2, 5.000% due 5/1/48(b) | | | | $ | 225,425 | | |
| | | 250,000 | | | | A- | | | Series B3, 5.000% due 5/1/48(b) | | | | | 256,168 | | |
| | | | | | | | | | New York State Urban Development Corp., Revenue Bonds: | | | | | | | |
| | | 1,250,000 | | | | AA+ | | | Series A, 3.000% due 3/15/50 | | | | | 931,008 | | |
| | | 80,000 | | | | AA+ | | | Series A, 5.000% due 3/15/32 | | | | | 84,485 | | |
| | | 3,500,000 | | | | AA+ | | | Series A, 5.000% due 3/15/38 | | | | | 3,628,624 | | |
| | | | | | | | | | New York Transportation Development Corp., Revenue Bonds: | | | | | | | |
| | | 2,000,000 | | | | Baa3(a) | | | 5.000% due 1/1/30(d) | | | | | 2,056,526 | | |
| | | 2,000,000 | | | | Baa1(a) | | | 5.000% due 12/1/36(d) | | | | | 2,100,506 | | |
| | | 2,500,000 | | | | Baa1(a) | | | 5.000% due 12/1/37(d) | | | | | 2,596,064 | | |
| | | 1,750,000 | | | | Baa3(a) | | | 5.000% due 10/1/40(d) | | | | | 1,765,714 | | |
| | | 1,500,000 | | | | B | | | Niagara Area Development Corp., Revenue Bonds, Series A, 4.750% due 11/1/42(d)(e) | | | | | 1,306,614 | | |
| | | 175,000 | | | | AA- | | | Onondaga Civic Development Corp., Revenue Bonds, Series A, 5.000% due 12/1/33 | | | | | 196,148 | | |
| | | | | | | | | | Port Authority of New York & New Jersey, Revenue Bonds: | | | | | | | |
| | | 1,750,000 | | | | AA- | | | 5.000% due 9/15/31(d) | | | | | 1,833,369 | | |
| | | 1,160,000 | | | | AA- | | | 5.000% due 1/15/39(d) | | | | | 1,243,227 | | |
| | | 5,000,000 | | | | AA- | | | Series 207, 5.000% due 9/15/24(d) | | | | | 5,072,622 | | |
| | | 2,500,000 | | | | AA- | | | Series 207, 5.000% due 9/15/29(d) | | | | | 2,620,244 | | |
| | | 400,000 | | | | AA+ | | | Sales Tax Asset Receivable Corp., Revenue Bonds, Series A, Prerefunded 10/15/24 @ 100, 4.000% due 10/15/32(f) | | | | | 403,044 | | |
| | | 65,000 | | | | Aa1(a) | | | State of New York Mortgage Agency Homeowner Mortgage Revenue, Revenue Bonds, Series 221, 3.500% due 10/1/32(d) | | | | | 62,961 | | |
| | | | | | | | | | Triborough Bridge & Tunnel Authority, Revenue Bonds: | | | | | | | |
| | | 2,000,000 | | | | AA- | | | 5.000% due 11/15/25 | | | | | 2,075,242 | | |
| | | 1,500,000 | | | | AA+ | | | 5.000% due 5/15/44 | | | | | 1,603,153 | | |
| | | 85,000 | | | | AA- | | | Series B, 5.000% due 11/15/23 | | | | | 85,265 | | |
| | | 115,000 | | | | AA- | | | Series B, 5.000% due 11/15/24 | | | | | 115,329 | | |
| | | 1,500,000 | | | | NR | | | TSASC Inc., Revenue Bonds, 5.000% due 6/1/48 | | | | | 1,376,373 | | |
| | | | | | | | | | Total New York | | | | | 87,745,005 | | |
| North Carolina – 0.2% | | |||||||||||||||
| | | | | | | | | | County of New Hanover NC, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | WR(a) | | | 5.000% due 10/1/27 | | | | | 26,855 | | |
| | | 205,000 | | | | WR(a) | | | Series Prerefunded 10/1/27 @ 100, 5.000% due 10/1/47(f) | | | | | 220,213 | | |
| | | 1,000,000 | | | | AAA | | | County of Wake NC, GO, Series C, 5.000% due 2/1/28 | | | | | 1,086,086 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| North Carolina – (continued) | | |||||||||||||||
| | $ | 105,000 | | | | Aa3(a) | | | Raleigh Durham Airport Authority, Revenue Bonds, Series A, 5.000% due 5/1/29(d) | | | | $ | 111,706 | | |
| | | | | | | | | | Total North Carolina | | | | | 1,444,860 | | |
| Ohio – 1.8% | | |||||||||||||||
| | | 3,950,000 | | | | NR | | | Buckeye Tobacco Settlement Financing Authority, Revenue Bonds, Series B2, 5.000% due 6/1/55 | | | | | 3,610,665 | | |
| | | | | | | | | | City of Cleveland OH Airport System Revenue, Revenue Bonds, AGM: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 1/1/26 | | | | | 30,555 | | |
| | | 45,000 | | | | AA | | | Series A, 5.000% due 1/1/28 | | | | | 45,951 | | |
| | | 65,000 | | | | AA | | | Series A, 5.000% due 1/1/29 | | | | | 66,416 | | |
| | | 60,000 | | | | AA | | | Series A, 5.000% due 1/1/30 | | | | | 61,277 | | |
| | | 3,000,000 | | | | BB+ | | | Cleveland-Cuyahoga County Port Authority, Revenue Bonds, 5.500% due 12/1/43 | | | | | 2,992,461 | | |
| | | 55,000 | | | | AA | | | Columbus City School District, GO, 5.000% due 12/1/32 | | | | | 57,219 | | |
| | | | | | | | | | County of Allen OH Hospital Facilities Revenue, Revenue Bonds: | | | | | | | |
| | | 125,000 | | | | A+ | | | 5.000% due 12/1/29 | | | | | 136,598 | | |
| | | 125,000 | | | | A+ | | | 5.000% due 12/1/30 | | | | | 137,251 | | |
| | | 500,000 | | | | BBB | | | County of Cuyahoga OH, Revenue Bonds, 5.250% due 2/15/47 | | | | | 493,532 | | |
| | | 60,000 | | | | Aa2(a) | | | County of Franklin OH, Revenue Bonds, 5.000% due 11/1/26 | | | | | 62,949 | | |
| | | 140,000 | | | | BB+ | | | County of Muskingum OH, Revenue Bonds, 5.000% due 2/15/44 | | | | | 126,641 | | |
| | | 265,000 | | | | A3(a) | | | County of Scioto OH, Revenue Bonds, 5.000% due 2/15/29 | | | | | 272,944 | | |
| | | 1,000,000 | | | | NR | | | County of Washington OH, Revenue Bonds, 6.625% due 12/1/42 | | | | | 999,336 | | |
| | | 2,750,000 | | | | Ba1(a) | | | Jefferson County Port Authority, Revenue Bonds, 3.500% due 12/1/51(d)(e) | | | | | 1,873,417 | | |
| | | 285,000 | | | | Aa3(a) | | | Miami University, Revenue Bonds, Series A, 5.000% due 9/1/30 | | | | | 319,210 | | |
| | | 1,500,000 | | | | B- | | | Ohio Air Quality Development Authority, Revenue Bonds, 5.000% due 7/1/49(d)(e) | | | | | 1,347,634 | | |
| | | 40,000 | | | | Aaa(a) | | | Ohio Housing Finance Agency, Revenue Bonds, Series B, 4.500% due 3/1/50 | | | | | 39,955 | | |
| | | 2,000,000 | | | | AAA | | | Ohio Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, Series A, 4.000% due 12/1/36(b) | | | | | 2,000,000 | | |
| | | 1,000,000 | | | | AA+ | | | State of Ohio, GO, Series A, 5.000% due 3/1/28 | | | | | 1,083,956 | | |
| | | | | | | | | | State of Ohio, Revenue Bonds: | | | | | | | |
| | | 75,000 | | | | AA | | | 5.000% due 1/1/27 | | | | | 79,205 | | |
| | | 90,000 | | | | A | | | Series A, 4.000% due 1/15/50 | | | | | 79,385 | | |
| | | | | | | | | | Total Ohio | | | | | 15,916,557 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Oklahoma – 1.0% | | |||||||||||||||
| | $ | 560,000 | | | | A+ | | | Canadian County Educational Facilities Authority, Revenue Bonds, 5.000% due 9/1/26 | | | | $ | 585,545 | | |
| | | | | | | | | | Grand River Dam Authority, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AA- | | | Series A, 5.000% due 6/1/27 | | | | | 35,348 | | |
| | | 45,000 | | | | AA- | | | Series A, 5.000% due 6/1/28 | | | | | 45,453 | | |
| | | 3,300,000 | | | | AA- | | | Oklahoma Capitol Improvement Authority, Revenue Bonds, Series A, 5.000% due 7/1/30 | | | | | 3,337,291 | | |
| | | | | | | | | | Oklahoma Development Finance Authority, Revenue Bonds: | | | | | | | |
| | | 2,000,000 | | | | BB- | | | Series B, 5.500% due 8/15/52 | | | | | 1,911,506 | | |
| | | 1,000,000 | | | | BB- | | | Series C, 5.450% due 8/15/28 | | | | | 868,595 | | |
| | | | | | | | | | Oklahoma Municipal Power Authority, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A | | | Series A, Prerefunded 1/1/25 @ 100, 5.000% due 1/1/26(f) | | | | | 51,124 | | |
| | | 175,000 | | | | A | | | Series A, Prerefunded 1/1/25 @ 100, 5.000% due 1/1/27(f) | | | | | 178,932 | | |
| | | 60,000 | | | | A | | | Series A, Prerefunded 1/1/25 @ 100, 5.000% due 1/1/28(f) | | | | | 61,348 | | |
| | | 45,000 | | | | A | | | Series A, Prerefunded 1/1/25 @ 100, 5.000% due 1/1/29(f) | | | | | 46,011 | | |
| | | 60,000 | | | | A | | | Series B, 5.000% due 1/1/27 | | | | | 60,997 | | |
| | | 600,000 | | | | AAA | | | Oklahoma Water Resources Board, Revenue Bonds, Series A, 4.000% due 4/1/35 | | | | | 621,240 | | |
| | | | | | | | | | Tulsa Airports Improvement Trust, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | B+ | | | 5.000% due 6/1/35(b)(d) | | | | | 1,003,887 | | |
| | | 525,000 | | | | NR | | | Series A, 5.500% due 6/1/35(d) | | | | | 526,199 | | |
| | | | | | | | | | Total Oklahoma | | | | | 9,333,476 | | |
| Oregon – 2.0% | | |||||||||||||||
| | | 85,000 | | | | Aa1(a) | | | Hillsboro School District No 1J, GO, 5.000% due 6/15/30 | | | | | 90,524 | | |
| | | 1,590,000 | | | | A | | | Oregon State Facilities Authority, Revenue Bonds, 5.000% due 10/1/45 | | | | | 1,588,267 | | |
| | | | | | | | | | Oregon State Lottery, Revenue Bonds: | | | | | | | |
| | | 4,000,000 | | | | AAA | | | Series A, 5.000% due 4/1/42 | | | | | 4,355,281 | | |
| | | 4,850,000 | | | | AAA | | | Series A, 5.000% due 4/1/43 | | | | | 5,254,349 | | |
| | | 3,000,000 | | | | AAA | | | Series D, 5.000% due 4/1/29 | | | | | 3,076,292 | | |
| | | | | | | | | | Port of Portland OR Airport Revenue, Revenue Bonds: | | | | | | | |
| | | 300,000 | | | | AA- | | | 5.000% due 7/1/28(d) | | | | | 317,564 | | |
| | | 165,000 | | | | AA- | | | 5.000% due 7/1/29 | | | | | 178,099 | | |
| | | 205,000 | | | | AA- | | | Series 24B, 5.000% due 7/1/32(d) | | | | | 212,479 | | |
| | | 2,675,000 | | | | AA+ | | | Salem-Keizer School District No 24J, GO, 5.000% due 6/15/32 | | | | | 2,888,393 | | |
| | | | | | | | | | Total Oregon | | | | | 17,961,248 | | |
| Pennsylvania – 2.8% | | |||||||||||||||
| | | 1,000,000 | | | | BB | | | Bucks County Industrial Development Authority, Revenue Bonds, 4.000% due 7/1/51 | | | | | 714,578 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Pennsylvania – (continued) | | |||||||||||||||
| | | | | | | | | | City of Philadelphia PA, GO: | | | | | | | |
| | $ | 1,000,000 | | | | A | | | Series B, 5.000% due 2/1/24 | | | | $ | 1,005,679 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 8/1/27 | | | | | 87,470 | | |
| | | 300,000 | | | | A | | | Series B, 5.000% due 8/1/29 | | | | | 307,823 | | |
| | | 320,000 | | | | A | | | Series B, 5.000% due 8/1/30 | | | | | 328,106 | | |
| | | 335,000 | | | | A | | | Series B, 5.000% due 8/1/31 | | | | | 343,114 | | |
| | | | | | | | | | City of Philadelphia PA Airport Revenue, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A+ | | | Series B, 5.000% due 7/1/30(d) | | | | | 52,076 | | |
| | | 70,000 | | | | A+ | | | Series B, 5.000% due 7/1/31(d) | | | | | 72,946 | | |
| | | | | | | | | | Commonwealth Financing Authority, Revenue Bonds: | | | | | | | |
| | | 1,010,000 | | | | A | | | Series A, 5.000% due 6/1/28 | | | | | 1,084,736 | | |
| | | 500,000 | | | | A | | | Series B, 5.000% due 6/1/25 | | | | | 514,250 | | |
| | | | | | | | | | Commonwealth of Pennsylvania, GO: | | | | | | | |
| | | 3,000,000 | | | | A+ | | | 4.000% due 3/15/34 | | | | | 3,019,514 | | |
| | | 5,000,000 | | | | A+ | | | 4.000% due 9/15/34 | | | | | 5,054,015 | | |
| | | 290,000 | | | | A+ | | | 5.000% due 10/15/27 | | | | | 290,546 | | |
| | | 810,000 | | | | A+ | | | 5.000% due 9/15/29 | | | | | 855,344 | | |
| | | | | | | | | | General Authority of Southcentral Pennsylvania, Revenue Bonds: | | | | | | | |
| | | 190,000 | | | | Aa3(a) | | | 5.000% due 6/1/38 | | | | | 198,006 | | |
| | | 310,000 | | | | Aa3(a) | | | 5.000% due 6/1/39 | | | | | 321,968 | | |
| | | | | | | | | | Lancaster County Hospital Authority, Revenue Bonds: | | | | | | | |
| | | 800,000 | | | | A | | | 5.000% due 11/1/38 | | | | | 835,487 | | |
| | | 1,000,000 | | | | A | | | 5.000% due 11/1/39 | | | | | 1,040,207 | | |
| | | 325,000 | | | | A | | | Montgomery County Higher Education & Health Authority, Revenue Bonds, 5.000% due 9/1/33 | | | | | 345,197 | | |
| | | | | | | | | | Pennsylvania Economic Development Financing Authority, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | Baa2(a) | | | 5.500% due 6/30/37(d) | | | | | 1,092,342 | | |
| | | 1,500,000 | | | | Baa2(a) | | | 5.500% due 6/30/39(d) | | | | | 1,619,824 | | |
| | | 1,000,000 | | | | AA | | | 5.500% due 6/30/42(d) | | | | | 1,094,026 | | |
| | | 1,000,000 | | | | Baa2(a) | | | 6.000% due 6/30/61(d) | | | | | 1,083,785 | | |
| | | | | | | | | | Pennsylvania Higher Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 775,000 | | | | AA | | | 4.000% due 8/15/38 | | | | | 761,165 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 8/15/27 | | | | | 37,212 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 8/15/28 | | | | | 37,232 | | |
| | | 60,000 | | | | AA | | | Series A, 5.000% due 8/15/30 | | | | | 63,885 | | |
| | | 1,000,000 | | | | AA | | | Series C, 4.000% due 8/15/41 | | | | | 951,153 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Pennsylvania – (continued) | | |||||||||||||||
| | | | | | | | | | Pennsylvania Turnpike Commission, Revenue Bonds: | | | | | | | |
| | $ | 15,000 | | | | Aa3(a) | | | Series A1, 5.000% due 12/1/23 | | | | $ | 15,053 | | |
| | | 45,000 | | | | Aa3(a) | | | Series A1, 5.000% due 12/1/29 | | | | | 48,468 | | |
| | | 30,000 | | | | Aa3(a) | | | Series A1, 5.000% due 12/1/34 | | | | | 31,877 | | |
| | | 35,000 | | | | A+ | | | Series A2, 5.000% due 12/1/28 | | | | | 36,965 | | |
| | | 35,000 | | | | A+ | | | Series A2, 5.000% due 12/1/33 | | | | | 37,756 | | |
| | | 1,300,000 | | | | Aa3(a) | | | Series C, 5.000% due 12/1/46 | | | | | 1,367,866 | | |
| | | 20,000 | | | | A | | | Philadelphia Gas Works Co., Revenue Bonds, 5.000% due 8/1/24 | | | | | 20,262 | | |
| | | 40,000 | | | | A1(a) | | | State Public School Building Authority, Revenue Bonds, 5.000% due 6/1/26 | | | | | 40,817 | | |
| | | | | | | | | | Total Pennsylvania | | | | | 24,810,750 | | |
| Puerto Rico – 1.1% | | |||||||||||||||
| | | | | | | | | | Commonwealth of Puerto Rico, GO: | | | | | | | |
| | | 2,000,000 | | | | NR | | | Series A1, 4.000% due 7/1/41 | | | | | 1,723,214 | | |
| | | 1,000,000 | | | | NR | | | Series A1, 4.000% due 7/1/46 | | | | | 828,992 | | |
| | | 2,000,000 | | | | NR | | | Puerto Rico Commonwealth Aqueduct & Sewer Authority, Revenue Bonds, Series B, 4.000% due 7/1/42(e) | | | | | 1,709,660 | | |
| | | 1,000,000 | | | | NR | | | Puerto Rico Highway & Transportation Authority, Revenue Bonds, Series A, 5.000% due 7/1/62 | | | | | 983,750 | | |
| | | 5,000,000 | | | | NR | | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Series A1, 5.000% due 7/1/58 | | | | | 4,839,528 | | |
| | | | | | | | | | Total Puerto Rico | | | | | 10,085,144 | | |
| Rhode Island – 0.2% | | |||||||||||||||
| | | 240,000 | | | | AA | | | Rhode Island Health & Educational Building Corp., Revenue Bonds, 5.000% due 5/15/25 | | | | | 245,860 | | |
| | | 95,000 | | | | AA+ | | | Rhode Island Housing & Mortgage Finance Corp., Revenue Bonds, Series 70, 4.000% due 10/1/49 | | | | | 93,926 | | |
| | | | | | | | | | Rhode Island Student Loan Authority, Revenue Bonds: | | | | | | | |
| | | 55,000 | | | | AA | | | Series A, 3.500% due 12/1/34(d) | | | | | 53,143 | | |
| | | 1,125,000 | | | | AA | | | Series A, 5.000% due 12/1/26(d) | | | | | 1,162,066 | | |
| | | | | | | | | | Tobacco Settlement Financing Corp., Revenue Bonds: | | | | | | | |
| | | 55,000 | | | | BBB | | | Series A, 5.000% due 6/1/27 | | | | | 55,910 | | |
| | | 70,000 | | | | BBB | | | Series A, 5.000% due 6/1/28 | | | | | 71,177 | | |
| | | | | | | | | | Total Rhode Island | | | | | 1,682,082 | | |
| South Carolina – 1.3% | | |||||||||||||||
| | | | | | | | | | Beaufort-Jasper Water & Sewer Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 3/1/24 | | | | | 30,249 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 3/1/25 | | | | | 30,750 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| South Carolina – (continued) | | |||||||||||||||
| | $ | 8,000,000 | | | | Aa1(a) | | | Patriots Energy Group Financing Agency, Revenue Bonds, Series A, 4.000% due 10/1/48(b) | | | | $ | 7,981,299 | | |
| | | | | | | | | | Scago Educational Facilities Corp. for Colleton School District, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A- | | | 5.000% due 12/1/27 | | | | | 117,556 | | |
| | | 95,000 | | | | A- | | | 5.000% due 12/1/29 | | | | | 96,912 | | |
| | | | | | | | | | South Carolina Jobs-Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | 5.000% due 2/1/24 | | | | | 30,146 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 2/1/25 | | | | | 50,832 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 2/1/26 | | | | | 51,460 | | |
| | | 1,000,000 | | | | NR | | | 7.500% due 11/15/53 | | | | | 991,568 | | |
| | | 1,000,000 | | | | NR | | | 7.750% due 11/15/58 | | | | | 991,473 | | |
| | | | | | | | | | South Carolina Ports Authority, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A+ | | | 5.000% due 7/1/28(d) | | | | | 68,512 | | |
| | | 140,000 | | | | A+ | | | 5.000% due 7/1/30(d) | | | | | 147,455 | | |
| | | | | | | | | | South Carolina Public Service Authority, Revenue Bonds: | | | | | | | |
| | | 185,000 | | | | A- | | | Series B, 5.000% due 12/1/35 | | | | | 189,361 | | |
| | | 275,000 | | | | A- | | | Series B, 5.000% due 12/1/36 | | | | | 280,301 | | |
| | | 115,000 | | | | A- | | | Series C, 5.000% due 12/1/25 | | | | | 116,659 | | |
| | | 115,000 | | | | A- | | | Series C, 5.000% due 12/1/26 | | | | | 116,404 | | |
| | | 90,000 | | | | A- | | | Series C, 5.000% due 12/1/27 | | | | | 90,935 | | |
| | | | | | | | | | South Carolina State Housing Finance & Development Authority, Revenue Bonds: | | | | | | | |
| | | 120,000 | | | | Aaa(a) | | | Series A, 4.000% due 1/1/50 | | | | | 118,383 | | |
| | | 125,000 | | | | Aaa(a) | | | Series A, 4.000% due 7/1/50 | | | | | 123,331 | | |
| | | | | | | | | | Total South Carolina | | | | | 11,623,586 | | |
| South Dakota – 0.0% | | |||||||||||||||
| | | | | | | | | | South Dakota Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 15,171 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 7/1/35 | | | | | 41,863 | | |
| | | 35,000 | | | | A+ | | | Series B, 5.000% due 11/1/24 | | | | | 35,493 | | |
| | | 35,000 | | | | A+ | | | Series B, 5.000% due 11/1/25 | | | | | 35,405 | | |
| | | 5,000 | | | | A+ | | | Series B, 5.000% due 11/1/26 | | | | | 5,060 | | |
| | | | | | | | | | Total South Dakota | | | | | 132,992 | | |
| Tennessee – 1.5% | | |||||||||||||||
| | | | | | | | | | Greeneville Health & Educational Facilities Board, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 7/1/29 | | | | | 31,574 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Tennessee – (continued) | | |||||||||||||||
| | $ | 35,000 | | | | A- | | | Series A, 5.000% due 7/1/30 | | | | $ | 36,777 | | |
| | | | | | | | | | Knox County Health Educational & Housing Facility Board, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | BBB | | | 5.000% due 4/1/24 | | | | | 30,184 | | |
| | | 30,000 | | | | BBB | | | 5.000% due 9/1/24 | | | | | 30,233 | | |
| | | 40,000 | | | | BBB | | | 5.000% due 4/1/25 | | | | | 40,469 | | |
| | | 1,000,000 | | | | AA | | | Metropolitan Government Nashville & Davidson County Sports Authority, Revenue Bonds, Series B, AGM-Insured, 5.250% due 7/1/48 | | | | | 1,073,297 | | |
| | | 1,125,000 | | | | A1(a) | | | Metropolitan Nashville Airport Authority, Revenue Bonds, Series B, 5.250% due 7/1/33(d) | | | | | 1,245,573 | | |
| | | | | | | | | | Tennergy Corp., Revenue Bonds: | | | | | | | |
| | | 3,250,000 | | | | A1(a) | | | Series A, 4.000% due 12/1/51(b) | | | | | 3,182,989 | | |
| | | 6,240,000 | | | | Aa1(a) | | | Series A, 5.000% due 2/1/50(b) | | | | | 6,284,989 | | |
| | | 1,225,000 | | | | AA+ | | | Tennessee Housing Development Agency, Revenue Bonds, Series 2B, 3.950% due 1/1/38 | | | | | 1,219,016 | | |
| | | | | | | | | | Total Tennessee | | | | | 13,175,101 | | |
| Texas – 12.1% | | |||||||||||||||
| | | 1,765,000 | | | | AAA | | | Academy Independent School District, GO, PSF-GTD-Insured, 5.000% due 8/15/43 | | | | | 1,894,606 | | |
| | | 1,895,000 | | | | AAA | | | Alamo Community College District, GO, 5.000% due 8/15/34 | | | | | 2,018,882 | | |
| | | 1,500,000 | | | | Aaa(a) | | | Brazosport Independent School District, GO, PSF-GTD-Insured, 4.000% due 2/15/33 | | | | | 1,523,716 | | |
| | | | | | | | | | Central Texas Regional Mobility Authority, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A | | | Series A, Prerefunded 7/1/25 @ 100, 5.000% due 1/1/31(f) | | | | | 35,941 | | |
| | | 30,000 | | | | A | | | Series A, Prerefunded 7/1/25 @ 100, 5.000% due 1/1/32(f) | | | | | 30,807 | | |
| | | 60,000 | | | | A | | | Series A, Prerefunded 7/1/25 @ 100, 5.000% due 1/1/34(f) | | | | | 61,614 | | |
| | | 160,000 | | | | A | | | Series A, Prerefunded 7/1/25 @ 100, 5.000% due 1/1/40(f) | | | | | 164,304 | | |
| | | 600,000 | | | | A | | | Series B, 4.000% due 1/1/41 | | | | | 564,265 | | |
| | | 375,000 | | | | A | | | Series B, 5.000% due 1/1/29 | | | | | 401,355 | | |
| | | 1,800,000 | | | | A | | | Series E, 5.000% due 1/1/38 | | | | | 1,887,782 | | |
| | | 1,770,000 | | | | AAA | | | City of Austin TX, GO, 5.000% due 5/1/27 | | | | | 1,884,055 | | |
| | | | | | | | | | City of Austin TX Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 165,000 | | | | A+ | | | 5.000% due 11/15/26(d) | | | | | 166,302 | | |
| | | 80,000 | | | | A+ | | | 5.000% due 11/15/29(d) | | | | | 80,742 | | |
| | | 45,000 | | | | AA- | | | City of Austin TX Electric Utility Revenue, Revenue Bonds, Series A, 5.000% due 11/15/23 | | | | | 45,051 | | |
| | | 170,000 | | | | AA- | | | City of Dallas TX, GO, 5.000% due 2/15/24 | | | | | 171,250 | | |
| | | 3,835,000 | | | | AAA | | | City of Dallas TX Waterworks & Sewer System Revenue, Revenue Bonds, Series A, 5.000% due 10/1/32 | | | | | 3,945,793 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 995,000 | | | | AA+ | | | City of El Paso TX Water & Sewer Revenue, Revenue Bonds, 5.000% due 3/1/41 | | | | $ | 1,051,708 | | |
| | | | | | | | | | City of Houston TX, GO: | | | | | | | |
| | | 290,000 | | | | Aa3(a) | | | Series A, 5.000% due 3/1/24 | | | | | 292,198 | | |
| | | 120,000 | | | | Aa3(a) | | | Series A, 5.000% due 3/1/25 | | | | | 122,879 | | |
| | | | | | | | | | City of Houston TX Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/26(d) | | | | | 51,445 | | |
| | | 60,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/27(d) | | | | | 62,510 | | |
| | | 30,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/28(d) | | | | | 31,634 | | |
| | | 90,000 | | | | A1(a) | | | Series B, 5.000% due 7/1/28 | | | | | 97,503 | | |
| | | 360,000 | | | | A1(a) | | | Series B, 5.000% due 7/1/29 | | | | | 388,319 | | |
| | | 1,500,000 | | | | A1(a) | | | Series D, 5.000% due 7/1/25 | | | | | 1,539,547 | | |
| | | 2,005,000 | | | | A1(a) | | | Series D, 5.000% due 7/1/26 | | | | | 2,099,533 | | |
| | | | | | | | | | City of Houston TX Combined Utility System Revenue, Revenue Bonds: | | | | | | | |
| | | 3,000,000 | | | | Aa2(a) | | | Series B, 4.000% due 11/15/31 | | | | | 3,036,429 | | |
| | | 70,000 | | | | Aa2(a) | | | Series B, 5.000% due 11/15/33 | | | | | 73,555 | | |
| | | 75,000 | | | | AA | | | Series C, 5.000% due 5/15/28 | | | | | 75,849 | | |
| | | | | | | | | | City of San Antonio TX Airport System, Revenue Bonds: | | | | | | | |
| | | 500,000 | | | | A | | | Series A, 5.000% due 7/1/27(d) | | | | | 520,558 | | |
| | | 480,000 | | | | A+ | | | Series A, 5.000% due 7/1/28(d) | | | | | 506,148 | | |
| | | | | | | | | | City of San Antonio TX Electric & Gas Systems Revenue, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | A+ | | | 1.750% due 2/1/49(b) | | | | | 936,509 | | |
| | | 500,000 | | | | A+ | | | 4.000% due 2/1/43 | | | | | 469,530 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 2/1/29 | | | | | 48,172 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 2/1/30 | | | | | 32,013 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 2/1/31 | | | | | 48,012 | | |
| | | 35,000 | | | | AA- | | | 5.000% due 2/1/33 | | | | | 37,225 | | |
| | | 2,500,000 | | | | A+ | | | 5.000% due 2/1/34 | | | | | 2,510,869 | | |
| | | 750,000 | | | | A+ | | | 5.000% due 2/1/42 | | | | | 798,429 | | |
| | | 90,000 | | | | AA- | | | 5.250% due 2/1/25 | | | | | 92,263 | | |
| | | 3,000,000 | | | | Baa3(a) | | | Clifton Higher Education Finance Corp., Revenue Bonds, Series D, 6.125% due 8/15/48 | | | | | 2,994,226 | | |
| | | 3,000,000 | | | | Aaa(a) | | | Comal Independent School District, GO, PSF-GTD-Insured, 5.000% due 2/1/27 | | | | | 3,174,121 | | |
| | | 2,345,000 | | | | AAA | | | Community Independent School District/TX, GO, PSF-GTD-Insured, 5.000% due 2/15/41 | | | | | 2,545,516 | | |
| | | 2,790,000 | | | | AAA | | | County of Harris TX, GO, Series A, 5.000% due 10/1/28 | | | | | 2,865,541 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | | | | | | | | | County of Travis TX, GO: | | | | | | | |
| | $ | 85,000 | | | | AAA | | | Series A, 5.000% due 3/1/24 | | | | $ | 85,677 | | |
| | | 1,490,000 | | | | AAA | | | Series A, 5.000% due 3/1/38 | | | | | 1,584,579 | | |
| | | 2,215,000 | | | | AAA | | | County of Williamson TX, GO, 5.000% due 2/15/30 | | | | | 2,342,423 | | |
| | | | | | | | | | Cypress-Fairbanks Independent School District, GO: | | | | | | | |
| | | 1,975,000 | | | | AAA | | | 4.000% due 2/15/32 | | | | | 1,995,180 | | |
| | | 725,000 | | | | AAA | | | 5.000% due 2/15/24 | | | | | 730,331 | | |
| | | 620,000 | | | | AAA | | | 5.000% due 2/15/25 | | | | | 634,405 | | |
| | | 105,000 | | | | AAA | | | 5.000% due 2/15/27 | | | | | 109,182 | | |
| | | 1,000,000 | | | | AAA | | | Series A, 3.400% due 2/15/31 | | | | | 961,503 | | |
| | | | | | | | | | Dallas Area Rapid Transit, Revenue Bonds: | | | | | | | |
| | | 210,000 | | | | AA+ | | | 5.250% due 12/1/29 | | | | | 235,179 | | |
| | | 2,500,000 | | | | AA+ | | | Series B, 5.000% due 12/1/47 | | | | | 2,632,674 | | |
| | | 185,000 | | | | A2(a) | | | Dallas County Utility & Reclamation District, GO, 5.000% due 2/15/24 | | | | | 186,115 | | |
| | | 1,500,000 | | | | A1(a) | | | Dallas Fort Worth International Airport, Revenue Bonds, Series B, 5.000% due 11/1/40(c) | | | | | 1,608,708 | | |
| | | | | | | | | | Eagle Mountain & Saginaw Independent School District, GO: | | | | | | | |
| | | 1,270,000 | | | | Aaa(a) | | | 5.000% due 8/15/29 | | | | | 1,405,619 | | |
| | | 1,000,000 | | | | Aaa(a) | | | 5.000% due 8/15/30 | | | | | 1,116,642 | | |
| | | 105,000 | | | | AAA | | | Fort Worth Independent School District, GO, PSF-GTD-Insured, 5.000% due 2/15/26 | | | | | 109,229 | | |
| | | | | | | | | | Georgetown Independent School District, GO: | | | | | | | |
| | | 1,000,000 | | | | AAA | | | 3.750% due 8/15/41 | | | | | 917,963 | | |
| | | 1,000,000 | | | | AAA | | | 3.875% due 8/15/44 | | | | | 899,472 | | |
| | | 1,495,000 | | | | AAA | | | 4.125% due 8/15/47 | | | | | 1,463,489 | | |
| | | | | | | | | | Grand Parkway Transportation Corp., Revenue Bonds: | | | | | | | |
| | | 150,000 | | | | AA+ | | | Series A, 5.000% due 10/1/31 | | | | | 162,026 | | |
| | | 125,000 | | | | AA+ | | | Series A, 5.000% due 10/1/32 | | | | | 134,695 | | |
| | | 190,000 | | | | AA+ | | | Series A, 5.000% due 10/1/33 | | | | | 204,316 | | |
| | | 145,000 | | | | AA+ | | | Series A, 5.000% due 10/1/34 | | | | | 155,403 | | |
| | | 70,000 | | | | BBB+ | | | Series A, 5.125% due 10/1/43 | | | | | 70,075 | | |
| | | | | | | | | | Harris County Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | | 1,025,000 | | | | A+ | | | 5.000% due 6/1/24 | | | | | 1,035,624 | | |
| | | 1,500,000 | | | | A+ | | | 5.000% due 7/1/39 | | | | | 1,525,568 | | |
| | | 315,000 | | | | A+ | | | 5.000% due 7/1/49(b) | | | | | 319,352 | | |
| | | | | | | | | | Irving Hospital Authority, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | A+ | | | Series A, 5.000% due 10/15/24 | | | | | 15,213 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 20,000 | | | | A+ | | | Series A, 5.000% due 10/15/26 | | | | $ | 20,563 | | |
| | | 15,000 | | | | A+ | | | Series A, 5.000% due 10/15/27 | | | | | 15,456 | | |
| | | 20,000 | | | | A+ | | | Series A, 5.000% due 10/15/29 | | | | | 20,610 | | |
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 10/15/31 | | | | | 30,768 | | |
| | | 40,000 | | | | A+ | | | Series A, 5.000% due 10/15/35 | | | | | 40,768 | | |
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 10/15/36 | | | | | 30,440 | | |
| | | 35,000 | | | | A+ | | | Series A, 5.000% due 10/15/39 | | | | | 35,184 | | |
| | | 45,000 | | | | A+ | | | Series A, 5.000% due 10/15/44 | | | | | 44,209 | | |
| | | | | | | | | | Lamar Consolidated Independent School District, GO: | | | | | | | |
| | | 7,280,000 | | | | AAA | | | 5.000% due 2/15/31 | | | | | 7,691,666 | | |
| | | 7,050,000 | | | | AAA | | | 5.000% due 2/15/34 | | | | | 7,404,408 | | |
| | | 2,000,000 | | | | AAA | | | Leander Independent School District, GO, PSF-GTD-Insured, 5.000% due 8/15/27 | | | | | 2,061,506 | | |
| | | 1,225,000 | | | | AA+ | | | Lewisville Independent School District, GO, Series B, 5.000% due 8/15/28 | | | | | 1,262,469 | | |
| | | | | | | | | | Love Field Airport Modernization Corp., Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A | | | 5.000% due 11/1/30(d) | | | | | 40,589 | | |
| | | 90,000 | | | | A | | | 5.000% due 11/1/31(d) | | | | | 91,157 | | |
| | | | | | | | | | Lower Colorado River Authority, Revenue Bonds: | | | | | | | |
| | | 200,000 | | | | A | | | 5.000% due 5/15/26 | | | | | 207,926 | | |
| | | 135,000 | | | | A | | | 5.000% due 5/15/32 | | | | | 144,672 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/34 | | | | | 74,689 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/36 | | | | | 73,921 | | |
| | | 195,000 | | | | A | | | Series B, 5.000% due 5/15/25 | | | | | 200,377 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 5/15/27 | | | | | 86,875 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 5/15/28 | | | | | 86,945 | | |
| | | 245,000 | | | | A | | | Series B, 5.000% due 5/15/29 | | | | | 250,606 | | |
| | | 35,000 | | | | A | | | Series D, 5.000% due 5/15/24 | | | | | 35,387 | | |
| | | 40,000 | | | | A | | | Series D, 5.000% due 5/15/26 | | | | | 40,829 | | |
| | | 1,000,000 | | | | Aaa(a) | | | Malakoff Independent School District, GO, PSF-GTD-Insured, 5.000% due 2/15/30 | | | | | 1,117,871 | | |
| | | 2,500,000 | | | | BB- | | | Mission Economic Development Corp., Revenue Bonds, 4.625% due 10/1/31(d)(e) | | | | | 2,438,266 | | |
| | | | | | | | | | New Hope Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/24 | | | | | 60,799 | | |
| | | 45,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/26 | | | | | 47,002 | | |
| | | 45,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/27 | | | | | 47,741 | | |
| | | 70,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/15/30 | | | | | 74,426 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | | | | | | | | | Newark Higher Education Finance Corp., Revenue Bonds: | | | | | | | |
| | $ | 65,000 | | | | A3(a) | | | 5.000% due 4/1/27 | | | | $ | 67,049 | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 4/1/28 | | | | | 41,338 | | |
| | | 1,000,000 | | | | Aaa(a) | | | North East Independent School District, GO, Series A PSF-GTD-Insured, 4.000% due 8/1/41 | | | | | 983,213 | | |
| | | | | | | | | | North Harris County Regional Water Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | 4.000% due 12/15/23 | | | | | 30,009 | | |
| | | 55,000 | | | | AA- | | | 4.000% due 12/15/24 | | | | | 55,018 | | |
| | | 2,000,000 | | | | NR | | | North Parkway Municipal Management District No 1, Special Assessment, 5.000% due 9/15/51(e) | | | | | 1,793,526 | | |
| | | | | | | | | | North Texas Tollway Authority, Revenue Bonds: | | | | | | | |
| | | 145,000 | | | | NR | | | 5.000% due 1/1/24 | | | | | 145,723 | | |
| | | 35,000 | | | | AA- | | | Series A, 5.000% due 1/1/30 | | | | | 36,335 | | |
| | | 40,000 | | | | AA- | | | Series A, 5.000% due 1/1/33 | | | | | 42,043 | | |
| | | 200,000 | | | | AA- | | | Series A, 5.000% due 1/1/39 | | | | | 203,907 | | |
| | | 185,000 | | | | A+ | | | Series B, 5.000% due 1/1/25 | | | | | 188,699 | | |
| | | 160,000 | | | | AA- | | | Series B, 5.000% due 1/1/30 | | | | | 162,775 | | |
| | | 20,000 | | | | A+ | | | Series B, 5.000% due 1/1/31 | | | | | 20,703 | | |
| | | 85,000 | | | | A+ | | | Series B, 5.000% due 1/1/32 | | | | | 89,374 | | |
| | | 1,000,000 | | | | AAA | | | Pecos Barstow Toyah Independent School District, GO, PSF-GTD-Insured, 5.000% due 2/15/38 | | | | | 1,026,563 | | |
| | | 50,000 | | | | Aaa(a) | | | Permanent University Fund – University of Texas System, Revenue Bonds, Series B, 5.000% due 7/1/29 | | | | | 52,188 | | |
| | | 1,500,000 | | | | NR | | | Port Beaumont Navigation District, Revenue Bonds, 4.000% due 1/1/50(d)(e) | | | | | 1,047,459 | | |
| | | 50,000 | | | | AAA | | | Rockwall Independent School District, GO, PSF-GTD-Insured, zero coupon, due 2/15/25 | | | | | 47,470 | | |
| | | 1,195,000 | | | | Aaa(a) | | | San Antonio Independent School District, GO, Series A PSF-GTD-Insured, 5.000% due 8/1/28 | | | | | 1,256,526 | | |
| | | 2,000,000 | | | | AA+ | | | San Antonio Water System, Revenue Bonds, Series A, 5.000% due 5/15/36 | | | | | 2,131,054 | | |
| | | | | | | | | | San Jacinto Community College District, GO: | | | | | | | |
| | | 450,000 | | | | AA | | | 5.000% due 2/15/29 | | | | | 487,887 | | |
| | | 435,000 | | | | AA | | | 5.000% due 2/15/30 | | | | | 476,652 | | |
| | | | | | | | | | State of Texas, GO: | | | | | | | |
| | | 2,500,000 | | | | AAA | | | 5.000% due 10/1/24 | | | | | 2,522,495 | | |
| | | 150,000 | | | | AAA | | | 5.000% due 8/1/26(d) | | | | | 151,555 | | |
| | | 200,000 | | | | AAA | | | 5.500% due 8/1/26(d) | | | | | 210,701 | | |
| | | 350,000 | | | | AAA | | | Series B, 5.000% due 8/1/25(d) | | | | | 350,330 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | | | | | | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | $ | 165,000 | | | | AA | | | 5.000% due 2/15/25 | | | | $ | 168,412 | | |
| | | 60,000 | | | | AA | | | 5.000% due 2/15/34 | | | | | 62,387 | | |
| | | 155,000 | | | | A3(a) | | | Series Prerefunded 9/1/23 @ 100, 5.500% due 9/1/43(f) | | | | | 155,000 | | |
| | | | | | | | | | Texas Department of Housing & Community Affairs, Revenue Bonds: | | | | | | | |
| | | 395,702 | | | | Aaa(a) | | | 2.950% due 7/1/36 | | | | | 346,630 | | |
| | | 300,000 | | | | AA+ | | | Series A, 4.000% due 3/1/50 | | | | | 295,893 | | |
| | | 600,000 | | | | AA+ | | | Texas Public Finance Authority, Revenue Bonds, 5.000% due 2/1/28 | | | | | 643,688 | | |
| | | 135,000 | | | | Aa2(a) | | | Texas State University System, Revenue Bonds, Series A, 5.000% due 3/15/29 | | | | | 142,983 | | |
| | | | | | | | | | Texas Water Development Board, Revenue Bonds: | | | | | | | |
| | | 2,000,000 | | | | AAA | | | 4.650% due 10/15/40 | | | | | 2,117,913 | | |
| | | 1,000,000 | | | | AAA | | | 5.000% due 10/15/25 | | | | | 1,035,993 | | |
| | | 180,000 | | | | AAA | | | Series A, 5.000% due 4/15/25 | | | | | 184,740 | | |
| | | 75,000 | | | | AAA | | | Series A, 5.000% due 10/15/25 | | | | | 77,699 | | |
| | | 125,000 | | | | AAA | | | Series A, 5.000% due 4/15/26 | | | | | 130,757 | | |
| | | 190,000 | | | | AAA | | | Series A, 5.000% due 4/15/29 | | | | | 203,052 | | |
| | | 505,000 | | | | AAA | | | Series A, 5.000% due 4/15/30 | | | | | 539,793 | | |
| | | 190,000 | | | | AA | | | University of Houston, Revenue Bonds, Series A, 5.000% due 2/15/30 | | | | | 196,864 | | |
| | | 1,095,000 | | | | Aaa(a) | | | Wink-Loving Independent School District, GO, PSF-GTD-Insured, 5.000% due 2/15/27 | | | | | 1,102,131 | | |
| | | | | | | | | | Total Texas | | | | | 108,822,000 | | |
| Utah – 0.5% | | |||||||||||||||
| | | | | | | | | | City of Salt Lake City UT Airport Revenue, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A+ | | | Series A, 5.000% due 7/1/26(d) | | | | | 36,011 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 7/1/28(d) | | | | | 119,639 | | |
| | | 155,000 | | | | A+ | | | Series A, 5.000% due 7/1/30(d) | | | | | 163,254 | | |
| | | 1,250,000 | | | | AA | | | City of Vineyard UT Water & Sewer Revenue, Revenue Bonds, 5.000% due 5/1/43 | | | | | 1,336,507 | | |
| | | 1,400,000 | | | | A2(a) | | | Duchesne County School District, Revenue Bonds, 5.000% due 6/1/37 | | | | | 1,469,791 | | |
| | | 1,270,000 | | | | NR | | | Mida Mountain Village Public Infrastructure District, Special Assessment, 4.000% due 8/1/50(e) | | | | | 937,499 | | |
| | | | | | | | | | Total Utah | | | | | 4,062,701 | | |
| Vermont – 0.2% | | |||||||||||||||
| | | | | | | | | | Vermont Student Assistance Corp., Revenue Bonds: | | | | | | | |
| | | 750,000 | | | | A | | | Series A, 5.000% due 6/15/29(d) | | | | | 773,274 | | |
| | | 675,000 | | | | A | | | Series A, 5.000% due 6/15/30(d) | | | | | 698,025 | | |
| | | | | | | | | | Total Vermont | | | | | 1,471,299 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Virgin Islands – 0.2% | | |||||||||||||||
| | $ | 1,500,000 | | | | NR | | | Matching Fund Special Purpose Securitization Corp., Revenue Bonds, Series A, 5.000% due 10/1/39 | | | | $ | 1,486,867 | | |
| Virginia – 2.5% | | |||||||||||||||
| | | 195,000 | | | | A+ | | | Arlington County Industrial Development Authority, Revenue Bonds, 5.000% due 7/1/32 | | | | | 213,056 | | |
| | | 2,635,000 | | | | AAA | | | City of Suffolk VA, GO, Series A, 5.000% due 2/1/27 | | | | | 2,802,829 | | |
| | | 5,000,000 | | | | AAA | | | Commonwealth of Virginia, GO, Series B, 4.000% due 6/1/24 | | | | | 5,002,470 | | |
| | | 2,000,000 | | | | AAA | | | County of Fairfax VA Sewer Revenue, Revenue Bonds, Series A, 5.000% due 7/15/46 | | | | | 2,160,333 | | |
| | | | | | | | | | Fredericksburg Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 6/15/27 | | | | | 40,265 | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 6/15/29 | | | | | 40,296 | | |
| | | 45,000 | | | | A3(a) | | | 5.000% due 6/15/33 | | | | | 45,302 | | |
| | | 3,180,000 | | | | AA | | | Hampton Roads Transportation Accountability Commission, Revenue Bonds, Series A, Prerefunded 1/1/28 @ 100, 5.000% due 7/1/35(f) | | | | | 3,445,341 | | |
| | | 320,000 | | | | AA | | | Norfolk Economic Development Authority, Revenue Bonds, Series B, 5.000% due 11/1/48(b) | | | | | 344,483 | | |
| | | 2,000,000 | | | | NR | | | Peninsula Town Center Community Development Authority, Special Assessment, 4.500% due 9/1/45(e) | | | | | 1,732,860 | | |
| | | | | | | | | | Stafford County Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 20,000 | | | | A3(a) | | | 4.000% due 6/15/37 | | | | | 18,655 | | |
| | | 50,000 | | | | A3(a) | | | 5.000% due 6/15/32 | | | | | 51,496 | | |
| | | 65,000 | | | | A3(a) | | | 5.000% due 6/15/34 | | | | | 66,848 | | |
| | | 3,000,000 | | | | B- | | | Tobacco Settlement Financing Corp., Revenue Bonds, Series B1, 5.000% due 6/1/47 | | | | | 2,753,893 | | |
| | | | | | | | | | Virginia College Building Authority, Revenue Bonds: | | | | | | | |
| | | 1,670,000 | | | | AA+ | | | 5.000% due 2/1/25 | | | | | 1,710,464 | | |
| | | 165,000 | | | | AA+ | | | Series D, 5.000% due 2/1/26 | | | | | 172,061 | | |
| | | 265,000 | | | | AA+ | | | Series E, 5.000% due 2/1/30 | | | | | 286,606 | | |
| | | 305,000 | | | | AA+ | | | Series E, 5.000% due 2/1/31 | | | | | 329,414 | | |
| | | 360,000 | | | | AA+ | | | Virginia Commonwealth Transportation Board, Revenue Bonds, Series A, 5.000% due 5/15/30 | | | | | 386,346 | | |
| | | 500,000 | | | | AAA | | | Virginia Resources Authority, Revenue Bonds, Series C, 5.000% due 11/1/29 | | | | | 559,665 | | |
| | | | | | | | | | Winchester Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A+ | | | 5.000% due 1/1/32 | | | | | 61,611 | | |
| | | 75,000 | | | | A+ | | | 5.000% due 1/1/33 | | | | | 76,938 | | |
| | | | | | | | | | Total Virginia | | | | | 22,301,232 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Washington – 4.0% | | |||||||||||||||
| | $ | 60,000 | | | | AA | | | Chelan County Public Utility District No 1, Revenue Bonds, Series A, NPFG, zero coupon, due 6/1/24 | | | | $ | 58,461 | | |
| | | | | | | | | | City of Tacoma WA Electric System Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 31,643 | | |
| | | 35,000 | | | | AA | | | 5.000% due 1/1/36 | | | | | 36,413 | | |
| | | 1,000,000 | | | | Aaa(a) | | | Franklin County School District No 1 Pasco, GO, 4.250% due 12/1/42 | | | | | 997,484 | | |
| | | | | | | | | | Port of Seattle WA, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AA- | | | 5.000% due 2/1/27 | | | | | 36,314 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 2/1/29 | | | | | 72,612 | | |
| | | 85,000 | | | | AA- | | | Series A, 5.000% due 5/1/29(d) | | | | | 88,447 | | |
| | | 1,000,000 | | | | AA | | | Series B, 5.000% due 10/1/26(d) | | | | | 1,026,372 | | |
| | | 980,000 | | | | AA | | | Series B, 5.000% due 10/1/27(d) | | | | | 1,005,121 | | |
| | | 135,000 | | | | AA | | | Series B, 5.000% due 10/1/29(d) | | | | | 138,461 | | |
| | | | | | | | | | State of Washington, GO: | | | | | | | |
| | | 50,000 | | | | AA+ | | | Series 2017A, 5.000% due 8/1/27 | | | | | 52,432 | | |
| | | 3,430,000 | | | | AA+ | | | Series A, 5.000% due 8/1/32 | | | | | 3,722,933 | | |
| | | 7,500,000 | | | | AA+ | | | Series A3, 5.000% due 8/1/45 | | | | | 8,078,594 | | |
| | | 2,500,000 | | | | AA+ | | | Series B, 5.000% due 6/1/44 | | | | | 2,713,987 | | |
| | | 5,000,000 | | | | AA+ | | | Series C, 5.000% due 2/1/33 | | | | | 5,487,479 | | |
| | | 2,500,000 | | | | AA+ | | | Series E, 5.000% due 6/1/43 | | | | | 2,682,194 | | |
| | | 50,000 | | | | AA+ | | | Series R2017A, 5.000% due 8/1/28 | | | | | 52,475 | | |
| | | 50,000 | | | | AA+ | | | Series R2017A, 5.000% due 8/1/30 | | | | | 52,305 | | |
| | | 355,000 | | | | AA+ | | | Series R2018C, 5.000% due 8/1/30 | | | | | 379,865 | | |
| | | 640,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/33 | | | | | 678,773 | | |
| | | 5,000,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/35 | | | | | 5,280,389 | | |
| | | 100,000 | | | | A | | | Tobacco Settlement Authority, Revenue Bonds, 5.000% due 6/1/24 | | | | | 100,051 | | |
| | | | | | | | | | Washington Health Care Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | BBB+ | | | 5.000% due 7/1/26 | | | | | 60,566 | | |
| | | 70,000 | | | | A | | | 5.000% due 10/1/27 | | | | | 73,253 | | |
| | | 60,000 | | | | A | | | 5.000% due 10/1/28 | | | | | 63,602 | | |
| | | 90,000 | | | | BBB+ | | | 5.000% due 7/1/29 | | | | | 89,749 | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 7/1/34 | | | | | 19,857 | | |
| | | 780,000 | | | | BBB+ | | | 5.000% due 7/1/42 | | | | | 735,082 | | |
| | | 115,000 | | | | A | | | Series A, 5.000% due 10/1/24 | | | | | 115,050 | | |
| | | 440,000 | | | | A- | | | Series A, 5.000% due 8/1/39 | | | | | 452,301 | | |
| | | 40,000 | | | | A2(a) | | | Series Prerefunded 7/1/25 @ 100, 5.000% due 1/1/29(f) | | | | | 41,219 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Washington – (continued) | | |||||||||||||||
| | | | | | | | | | Washington Higher Education Facilities Authority, Revenue Bonds: | | | | | | | |
| | $ | 15,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/29 | | | | $ | 15,402 | | |
| | | 35,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/30 | | | | | 35,903 | | |
| | | 40,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/31 | | | | | 41,000 | | |
| | | 210,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/33 | | | | | 214,652 | | |
| | | 2,000,000 | | | | BB+ | | | Washington State Convention Center Public Facilities District, Revenue Bonds, 3.000% due 7/1/48 | | | | | 1,383,921 | | |
| | | | | | | | | | Total Washington | | | | | 36,114,362 | | |
| West Virginia – 1.5% | | |||||||||||||||
| | | | | | | | | | State of West Virginia, GO: | | | | | | | |
| | | 10,000,000 | | | | AA- | | | Series B, 5.000% due 12/1/34 | | | | | 10,793,594 | | |
| | | 2,000,000 | | | | AA- | | | Series B, 5.000% due 6/1/35 | | | | | 2,150,846 | | |
| | | 190,000 | | | | BBB+ | | | West Virginia Hospital Finance Authority, Revenue Bonds, 5.000% due 1/1/33 | | | | | 193,503 | | |
| | | | | | | | | | Total West Virginia | | | | | 13,137,943 | | |
| Wisconsin – 1.1% | | |||||||||||||||
| | | 3,385,000 | | | | AAA | | | County of Dane WI, GO, Series A, 3.000% due 6/1/25 | | | | | 3,345,663 | | |
| | | | | | | | | | Public Finance Authority, Revenue Bonds: | | | | | | | |
| | | 2,000,000 | | | | NR | | | 4.250% due 7/1/54(d) | | | | | 1,376,019 | | |
| | | 160,000 | | | | A | | | 5.000% due 1/1/31 | | | | | 169,651 | | |
| | | 500,000 | | | | BB | | | Series A, 5.000% due 10/1/39(e) | | | | | 473,019 | | |
| | | 1,500,000 | | | | AA | | | Racine Unified School District, GO, AGM-Insured, 5.000% due 4/1/38 | | | | | 1,616,152 | | |
| | | | | | | | | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 400,000 | | | | A2(a) | | | 5.000% due 10/1/23 | | | | | 400,388 | | |
| | | 255,000 | | | | A+ | | | 5.000% due 11/15/24 | | | | | 259,018 | | |
| | | 25,000 | | | | A- | | | 5.000% due 5/1/26 | | | | | 25,126 | | |
| | | 50,000 | | | | A3(a) | | | 5.000% due 6/1/27 | | | | | 50,025 | | |
| | | 195,000 | | | | A+ | | | 5.000% due 11/15/27 | | | | | 197,657 | | |
| | | 50,000 | | | | A- | | | 5.000% due 5/1/28 | | | | | 50,326 | | |
| | | 25,000 | | | | A- | | | 5.000% due 5/1/29 | | | | | 25,168 | | |
| | | 30,000 | | | | A3(a) | | | 5.000% due 6/1/32 | | | | | 30,005 | | |
| | | 70,000 | | | | A3(a) | | | 5.000% due 6/1/39 | | | | | 66,704 | | |
| | | 1,190,000 | | | | AA | | | Series B3, 5.000% due 8/15/54(b) | | | | | 1,196,614 | | |
| | | 380,000 | | | | AA+ | | | Wisconsin Housing & Economic Development Authority Home Ownership Revenue, Revenue Bonds, Series A, 3.500% due 9/1/50 | | | | | 369,645 | | |
| | | | | | | | | | Total Wisconsin | | | | | 9,651,180 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $837,384,870) | | | | | 817,915,274 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| EXCHANGE TRADED FUND (ETF) – 3.4% | | ||||||||||||
| | | 618,324 | | | | Vanguard Tax-Exempt Bond Index (Cost – $31,027,597) | | | | $ | 30,594,672 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $868,412,467) | | | | | 848,509,946 | | |
| Face Amount | | | | | | | | | | | |||
| SHORT-TERM INVESTMENTS – 4.7% | | ||||||||||||
| MUNICIPAL BOND – 0.2% | | ||||||||||||
| | $ | 1,750,000 | | | | Crowley Independent School District, GO, PSF-GTD-Insured, 5.000% due 2/1/24 (Cost – $1,760,495) | | | | | 1,760,928 | | |
| TIME DEPOSITS – 4.5% | | ||||||||||||
| | | 1,076,619 | | | | ANZ National Bank – London, 4.680% due 9/1/23 | | | | | 1,076,619 | | |
| | | 22,775,972 | | | | Citibank – New York, 4.680% due 9/1/23 | | | | | 22,775,972 | | |
| | | 1,425,736 | | | | JPMorgan Chase & Co. – New York, 4.680% due 9/1/23 | | | | | 1,425,736 | | |
| | | 15,042,355 | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 4.680% due 9/1/23 | | | | | 15,042,355 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $40,320,682) | | | | | 40,320,682 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $42,081,177) | | | | | 42,081,610 | | |
| | | | | | | TOTAL INVESTMENTS – 99.4% (Cost – $910,493,644) | | | | | 890,591,556 | | |
| | | | | | | Other Assets in Excess of Liabilities – 0.6% | | | | | 5,613,823 | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 896,205,379 | | |
| General Obligation | | | | | 38.7% | | |
| Education | | | | | 13.0 | | |
| Water and Sewer | | | | | 9.6 | | |
| Health Care Providers & Services | | | | | 7.9 | | |
| Airport | | | | | 5.9 | | |
| Development | | | | | 5.8 | | |
| Transportation | | | | | 4.8 | | |
| Power | | | | | 1.6 | | |
| Tobacco Settlement | | | | | 1.0 | | |
| Utilities | | | | | 0.9 | | |
| Single Family Housing | | | | | 0.8 | | |
| Multifamily Housing | | | | | 0.7 | | |
| Bond Bank | | | | | 0.4 | | |
| Student Loan | | | | | 0.3 | | |
| Pollution | | | | | 0.3 | | |
| Nursing Homes | | | | | 0.2 | | |
| Exchange Traded Funds (ETFs) | | | | | 3.4 | | |
| Short-Term Investments | | | | | 4.7 | | |
| | | | | | 100.0% | | |
Open Futures Contracts | | | Number of Contracts | | | Expiration Date (Month/Year) | | | Notional Amounts | | | Market Value | | | Unrealized (Depreciation) | | |||||||||||||||
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Long Bond (CBT) | | | | | 6 | | | | | | 12/23 | | | | | $ | (711,047) | | | | | $ | 730,125 | | | | | $ | (19,078) | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – 21.1% | | ||||||||||||
| | $ | 1,954,088 | | | | Adjustable Rate Mortgage Trust, Series 2005-2, Class 6M2, 6.409% (1-Month TSFR + 1.094%) due 6/25/35(a) | | | | $ | 1,935,821 | | |
| | | 1,912,557 | | | | Alternative Loan Trust, Series 2005-61, Class 2A2, 6.189% (1-Month TSFR + 0.874%) due 12/25/35(a) | | | | | 1,691,943 | | |
| | | 635,672 | | | | Bear Stearns ALT-A Trust, Series 2006-8, Class 3A1, 5.749% (1-Month TSFR + 0.434%) due 2/25/34(a) | | | | | 569,319 | | |
| | | | | | | Connecticut Avenue Securities Trust: | | | | | | | |
| | | 8,200,000 | | | | Series 2019-HRP1, Class B1, 14.652% (SOFR30A + 9.364%) due 11/25/39(a)(b) | | | | | 8,853,815 | | |
| | | 6,734,000 | | | | Series 2019-R01, Class 2B1, 9.752% (SOFR30A + 4.464%) due 7/25/31(a)(b) | | | | | 7,127,846 | | |
| | | 3,185,510 | | | | Deutsche Alternative-A Securities Mortgage Loan Trust, Series 2007-OA5, Class A1A, 5.629% (1-Month TSFR + 0.314%) due 8/25/47(a) | | | | | 2,846,235 | | |
| | | | | | | Federal National Mortgage Association (FNMA), Connecticut Avenue Securities: | | | | | | | |
| | | 531,345 | | | | Series 2016-C01, Class 1B, 17.152% (SOFR30A + 11.864%) due 8/25/28(a)@ | | | | | 599,530 | | |
| | | 3,393,859 | | | | Series 2016-C02, Class 1B, 17.652% (SOFR30A + 12.364%) due 9/25/28(a)@ | | | | | 3,931,388 | | |
| | | 486,117 | | | | Series 2016-C03, Class 1B, 17.152% (SOFR30A + 11.864%) due 10/25/28(a)@ | | | | | 555,068 | | |
| | | 2,773,104 | | | | Series 2016-C03, Class 2M2, 11.302% (SOFR30A + 6.014%) due 10/25/28(a)@ | | | | | 2,953,356 | | |
| | | 1,261,418 | | | | Series 2016-C04, Class 1B, 15.652% (SOFR30A + 10.364%) due 1/25/29(a)@ | | | | | 1,387,062 | | |
| | | 4,648,823 | | | | Series 2016-C06, Class 1B, 14.652% (SOFR30A + 9.364%) due 4/25/29(a)@ | | | | | 4,993,963 | | |
| | | 5,234,000 | | | | Series 2017-C02, Class 2B1, 10.902% (SOFR30A + 5.614%) due 9/25/29(a)@ | | | | | 5,778,825 | | |
| | | 2,556,684 | | | | FNBA Mortgage Loan Trust, Series 2004-AR1, Class M2, 7.078% (1-Month TSFR + 1.764%) due 8/19/34(a) | | | | | 2,556,514 | | |
| | | | | | | Freddie Mac STACR REMIC Trust: | | | | | | | |
| | | 5,438,000 | | | | Series 2020-DNA1, Class B2, 10.652% (SOFR30A + 5.364%) due 1/25/50(a)(b) | | | | | 5,439,695 | | |
| | | 3,780,000 | | | | Series 2020-DNA5, Class B2, 16.788% (SOFR30A + 11.500%) due 10/25/50(a)(b) | | | | | 4,857,431 | | |
| | | 5,600,000 | | | | Series 2020-DNA6, Class B2, 10.938% (SOFR30A + 5.650%) due 12/25/50(a)(b) | | | | | 5,708,453 | | |
| | | 3,160,898 | | | | Series 2020-HQA3, Class B1, 11.152% (SOFR30A + 5.864%) due 7/25/50(a)(b) | | | | | 3,429,306 | | |
| | | 1,280,000 | | | | Series 2020-HQA3, Class B2, 15.402% (SOFR30A + 10.114%) due 7/25/50(a)(b) | | | | | 1,631,651 | | |
| | | 1,260,000 | | | | Series 2020-HQA4, Class B2, 14.802% (SOFR30A + 9.514%) due 9/25/50(a)(b) | | | | | 1,548,689 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 3,060,000 | | | | Series 2021-DNA5, Class B2, 10.788% (SOFR30A + 5.500%) due 1/25/34(a)(b) | | | | $ | 2,861,515 | | |
| | | 2,601,000 | | | | Series 2021-HQA1, Class B2, 10.288% (SOFR30A + 5.000%) due 8/25/33(a)(b) | | | | | 2,491,507 | | |
| | | 2,990,000 | | | | Series 2021-HQA2, Class B2, 10.738% (SOFR30A + 5.450%) due 12/25/33(a)(b) | | | | | 2,882,613 | | |
| | | | | | | Freddie Mac STACR Trust: | | | | | | | |
| | | 5,000,000 | | | | Series 2019-DNA1, Class B1, 10.052% (SOFR30A + 4.764%) due 1/25/49(a)(b) | | | | | 5,494,640 | | |
| | | 5,000,000 | | | | Series 2019-DNA2, Class B1, 9.752% (SOFR30A + 4.464%) due 3/25/49(a)(b) | | | | | 5,359,400 | | |
| | | 5,000,000 | | | | Series 2019-DNA2, Class B2, 15.902% (SOFR30A + 10.614%) due 3/25/49(a)(b) | | | | | 5,873,833 | | |
| | | 4,870,000 | | | | Series 2019-DNA3, Class B2, 13.552% (SOFR30A + 8.264%) due 7/25/49(a)(b) | | | | | 5,317,312 | | |
| | | 4,588,000 | | | | Series 2019-DNA4, Class B2, 11.652% (SOFR30A + 6.364%) due 10/25/49(a)(b) | | | | | 4,784,414 | | |
| | | 5,800,000 | | | | Series 2019-FTR1, Class B2, 13.752% (SOFR30A + 8.464%) due 1/25/48(a)(b) | | | | | 6,539,877 | | |
| | | 4,349,000 | | | | Series 2019-FTR4, Class B2, 10.402% (SOFR30A + 5.114%) due 11/25/47(a)(b) | | | | | 4,181,567 | | |
| | | 5,620,000 | | | | Series 2019-HQA1, Class B1, 9.802% (SOFR30A + 4.514%) due 2/25/49(a)(b) | | | | | 6,067,858 | | |
| | | 4,030,000 | | | | Series 2019-HQA1, Class B2, 17.652% (SOFR30A + 12.364%) due 2/25/49(a)(b) | | | | | 4,895,463 | | |
| | | 5,500,000 | | | | Series 2019-HQA2, Class B1, 9.502% (SOFR30A + 4.214%) due 4/25/49(a)(b) | | | | | 5,835,170 | | |
| | | 5,000,000 | | | | Series 2019-HRP1, Class B2, 14.902% (SOFR30A + 9.614%) due 2/25/49(a)(b) | | | | | 5,244,700 | | |
| | | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes: | | | | | | | |
| | | 5,247,263 | | | | Series 2015-DNA2, Class B, 12.952% (SOFR30A + 7.664%) due 12/25/27(a) | | | | | 5,387,924 | | |
| | | 1,910,708 | | | | Series 2016-DNA1, Class B, 15.402% (SOFR30A + 10.114%) due 7/25/28(a) | | | | | 2,124,090 | | |
| | | 1,066,687 | | | | Series 2016-DNA4, Class B, 14.002% (SOFR30A + 8.714%) due 3/25/29(a)@ | | | | | 1,148,261 | | |
| | | 1,981,663 | | | | Series 2016-HQA3, Class B, 14.402% (SOFR30A + 9.114%) due 3/25/29(a)@ | | | | | 2,159,542 | | |
| | | 553,949 | | | | Series 2017-DNA2, Class B2, 16.652% (SOFR30A + 11.364%) due 10/25/29(a) | | | | | 641,270 | | |
| | | 4,000,000 | | | | Series 2017-DNA3, Class B1, 9.852% (SOFR30A + 4.564%) due 3/25/30(a) | | | | | 4,338,826 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 4,290,000 | | | | Series 2017-HQA3, Class B1, 9.852% (SOFR30A + 4.564%) due 4/25/30(a)@ | | | | $ | 4,633,200 | | |
| | | 1,010,000 | | | | Series 2021-DNA2, Class B2, 11.288% (SOFR30A + 6.000%) due 8/25/33(a)(b) | | | | | 1,041,540 | | |
| | | 2,448,030 | | | | HomeBanc Mortgage Trust, Series 2005-4, Class M3, 6.239% (1-Month TSFR + 0.924%) due 10/25/35(a) | | | | | 2,150,336 | | |
| | | 3,512,248 | | | | IndyMac INDX Mortgage Loan Trust, Series 2006-FLX1, Class A1, 5.849% (1-Month TSFR + 0.534%) due 11/25/36(a) | | | | | 3,348,698 | | |
| | | | | | | STACR Trust: | | | | | | | |
| | | 5,124,057 | | | | Series 2018-HRP1, Class B1, 9.152% (SOFR30A + 3.864%) due 4/25/43(a)(b) | | | | | 5,264,968 | | |
| | | 4,745,653 | | | | Series 2018-HRP1, Class B2, 17.152% (SOFR30A + 11.864%) due 5/25/43(a)(b) | | | | | 5,500,949 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $168,207,490) | | | | | 173,965,383 | | |
| ASSET-BACKED SECURITIES – 15.3% | | ||||||||||||
| | | 1,685,537 | | | | Aames Mortgage Investment Trust, Series 2005-4, Class M3, 6.209% (1-Month TSFR + 0.894%) due 10/25/35(a) | | | | | 1,645,589 | | |
| | | 3,115,045 | | | | ABFC Trust, Series 2003-OPT1, Class A3, 6.109% (1-Month TSFR + 0.794%) due 4/25/33(a) | | | | | 2,934,163 | | |
| | | 2,430,000 | | | | Accredited Mortgage Loan Trust, Series 2006-2, Class M1, 5.699% (1-Month TSFR + 0.384%) due 9/25/36(a) | | | | | 2,219,686 | | |
| | | 4,000,000 | | | | AGL Core CLO 2 Ltd., Series 2019-2A, Class A1, 6.978% (3-Month TSFR + 1.652%) due 4/20/32(a)(b) | | | | | 3,990,000 | | |
| | | 2,500,000 | | | | Allegro CLO IX Ltd., Series 2018-3A, Class B2, 7.270% (3-Month TSFR + 1.962%) due 10/16/31(a)(b) | | | | | 2,464,331 | | |
| | | 5,000,000 | | | | Anchorage Capital CLO 18 Ltd., Series 2021-18A, Class A1, 6.720% (3-Month TSFR + 1.412%) due 4/15/34(a)(b) | | | | | 4,949,642 | | |
| | | 1,101,444 | | | | Asset Backed Securities Corp. Home Equity Loan Trust, Series 2007-HE1, Class A4, 3.805% (1-Month TSFR + 0.254%) due 12/25/36(a) | | | | | 1,054,656 | | |
| | | 5,475,000 | | | | Buckhorn Park CLO Ltd., Series 2019-1A, Class B1R, 7.222% (3-Month TSFR + 1.912%) due 7/18/34(a)(b) | | | | | 5,412,073 | | |
| | | 2,274,842 | | | | Carrington Mortgage Loan Trust, Series 2006-NC3, Class A3, 5.579% (1-Month TSFR + 0.264%) due 8/25/36(a) | | | | | 2,127,021 | | |
| | | 2,052,013 | | | | CHEC Loan Trust, Series 2004-1, Class A3, 6.429% (1-Month TSFR + 1.114%) due 7/25/34(a)(b) | | | | | 1,951,259 | | |
| | | 910,968 | | | | Countrywide Asset-Backed Certificates, Series 2004-2, Class M1, 6.179% (1-Month TSFR + 0.864%) due 5/25/34(a) | | | | | 900,511 | | |
| | | 427,809 | | | | CWABS Asset-Backed Certificates Trust, Series 2007-2, Class 2A3, 5.569% (1-Month TSFR + 0.254%) due 8/25/37(a) | | | | | 421,781 | | |
| | | 162,071 | | | | CWABS Inc. Asset-Backed Certificates Trust, Series 2007-12, Class 2A3, 6.229% (1-Month TSFR + 0.914%) due 8/25/47(a) | | | | | 160,139 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 1,586,345 | | | | Ellington Loan Acquisition Trust, Series 2007-1, Class A1, 6.529% (1-Month TSFR + 1.214%) due 5/25/37(a)(b) | | | | $ | 1,502,310 | | |
| | | 2,699,242 | | | | EquiFirst Mortgage Loan Trust, Series 2003-2, Class 1A1, 6.552% (1-Month TSFR + 1.239%) due 9/25/33(a) | | | | | 2,568,315 | | |
| | | 4,362,494 | | | | Fremont Home Loan Trust, Series 2003-A, Class M1, 6.404% (1-Month TSFR + 1.089%) due 8/25/33(a) | | | | | 4,309,341 | | |
| | | 2,370,000 | | | | Home Equity Asset Trust, Series 2005-6, Class M5, 6.374% (1-Month TSFR + 1.059%) due 12/25/35(a) | | | | | 2,155,374 | | |
| | | 3,000,000 | | | | HPS Loan Management Ltd., Series 9A-2016, Class A2R, 7.282% (3-Month TSFR + 1.962%) due 7/19/30(a)(b) | | | | | 2,965,360 | | |
| | | 6,500,000 | | | | Invesco CLO Ltd., Series 2022-3A, Class B, 8.096% (3-Month TSFR + 2.750%) due 10/22/35(a)(b) | | | | | 6,521,848 | | |
| | | 1,697,106 | | | | JP Morgan Mortgage Acquisition Trust, Series 2007-CH4, Class A5, 5.669% (1-Month TSFR + 0.354%) due 5/25/37(a) | | | | | 1,675,826 | | |
| | | 2,242,407 | | | | Long Beach Mortgage Loan Trust, Series 2004-4, Class M1, 6.329% (1-Month TSFR + 1.014%) due 10/25/34(a) | | | | | 2,133,595 | | |
| | | 1,300,000 | | | | Longfellow Place CLO Ltd., Series 2013-1A, Class ERR, 13.270% (3-Month TSFR + 7.962%) due 4/15/29(a)(b) | | | | | 1,262,790 | | |
| | | 2,270,167 | | | | Mastr Asset Backed Securities Trust, Series 2004-WMC1, Class M1, 6.209% (1-Month TSFR + 0.894%) due 2/25/34(a) | | | | | 2,266,512 | | |
| | | | | | | Merrill Lynch Mortgage Investors Trust: | | | | | | | |
| | | 445,114 | | | | Series 2005-FM1, Class M1, 6.149% (1-Month TSFR + 0.834%) due 5/25/36(a) | | | | | 435,301 | | |
| | | 1,729,260 | | | | Series 2006-OPT1, Class A2C, 5.729% (1-Month TSFR + 0.414%) due 8/25/37(a) | | | | | 1,615,682 | | |
| | | 5,950,000 | | | | Neuberger Berman Loan Advisers CLO 29 Ltd., Series 2018-29A, Class B1, 7.282% (3-Month TSFR + 1.962%) due 10/19/31(a)(b) | | | | | 5,902,259 | | |
| | | 1,140,705 | | | | NovaStar Mortgage Funding Trust, Series 2006-1, Class A2C, 5.749% (1-Month TSFR + 0.434%) due 5/25/36(a) | | | | | 1,123,065 | | |
| | | 2,303 | | | | Option One Mortgage Loan Trust, Series 2005-3, Class M2, 6.164% (1-Month TSFR + 0.849%) due 8/25/35(a) | | | | | 2,297 | | |
| | | | | | | Park Place Securities Inc. Asset-Backed Pass-Through Certificates: | | | | | | | |
| | | 3,600,000 | | | | Series 2005-WCH1, Class M5, 6.749% (1-Month TSFR + 1.434%) due 1/25/36(a) | | | | | 3,286,718 | | |
| | | 864,020 | | | | Series 2005-WCW2, Class M2, 6.224% (1-Month TSFR + 0.909%) due 7/25/35(a) | | | | | 851,760 | | |
| | | 2,443,146 | | | | Ramp Trust, Series 2004-RS8, Class MII2, 5.230% (1-Month TSFR + 1.264%) due 8/25/34(a) | | | | | 2,363,341 | | |
| | | 9,505,000 | | | | RR 4 Ltd., Series 2018-4A, Class A2, 7.120% (3-Month TSFR + 1.812%) due 4/15/30(a)(b) | | | | | 9,367,106 | | |
| | | 2,557,785 | | | | Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1, 6.194% (1-Month TSFR + 0.879%) due 2/25/35(a) | | | | | 2,455,943 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 380,000 | | | | Steele Creek CLO Ltd., Series 2016-1A, Class ER, 11.302% (3-Month USD-LIBOR + 5.750%) due 6/15/31(a)(b) | | | | $ | 286,078 | | |
| | | 6,196,338 | | | | Stratus CLO Ltd., Series 2021-2A, Class A, 6.488% (3-Month TSFR + 1.162%) due 12/28/29(a)(b) | | | | | 6,161,035 | | |
| | | 3,597,973 | | | | Structured Asset Investment Loan Trust, Series 2004-2, Class A4, 6.134% (1-Month TSFR + 0.819%) due 3/25/34(a) | | | | | 3,450,936 | | |
| | | | | | | Structured Asset Securities Corp. Mortgage Loan Trust: | | | | | | | |
| | | 2,600,000 | | | | Series 2005-WF4, Class M8, 8.054% (1-Month TSFR + 2.739%) due 11/25/35(a) | | | | | 2,406,595 | | |
| | | 705,234 | | | | Series 2006-BC6, Class A4, 5.599% (1-Month TSFR + 0.284%) due 1/25/37(a) | | | | | 688,499 | | |
| | | 1,060,176 | | | | Series 2006-GEL1, Class M2, 6.629% (1-Month TSFR + 1.314%) due 11/25/35(a)(b) | | | | | 1,042,697 | | |
| | | 817,626 | | | | Series 2007-BC3, Class 2A3, 5.609% (1-Month TSFR + 0.294%) due 5/25/47(a) | | | | | 777,304 | | |
| | | | | | | Terwin Mortgage Trust: | | | | | | | |
| | | 6,738,000 | | | | Series 2006-5, Class 1A2C, 6.029% (1-Month TSFR + 0.714%) due 7/25/37(a)(b) | | | | | 6,264,226 | | |
| | | 2,465,000 | | | | Series 2006-7, Class 1A2C, 5.969% (1-Month TSFR + 0.654%) due 7/25/37(a)(b) | | | | | 2,013,769 | | |
| | | 16,150,000 | | | | Valley Stream Park CLO Ltd., Series 2022-1A, Class B, 8.526% (3-Month TSFR + 3.200%) due 10/20/34(a)(b) | | | | | 16,149,822 | | |
| | | 1,030,000 | | | | Venture XVIII CLO Ltd., Series 2014-18A, Class ER, 12.160% (3-Month TSFR + 6.852%) due 10/15/29(a)(b) | | | | | 706,781 | | |
| | | 1,291,000 | | | | Vibrant CLO VIII Ltd., Series 2018-8A, Class A1B, 6.838% (3-Month TSFR + 1.512%) due 1/20/31(a)(b) | | | | | 1,271,855 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $127,224,907) | | | | | 126,215,191 | | |
| CORPORATE BONDS & NOTES – 12.3% | | ||||||||||||
| Communications – 0.1% | | ||||||||||||
| | | 301,000 | | | | AMC Networks Inc., Company Guaranteed Notes, 5.000% due 4/1/24 | | | | | 297,775 | | |
| | | 875,000 | | | | TEGNA Inc., Company Guaranteed Notes, 5.000% due 9/15/29 | | | | | 770,000 | | |
| | | | | | | Total Communications | | | | | 1,067,775 | | |
| Consumer Cyclical – 4.8% | | ||||||||||||
| | | 6,551,000 | | | | Cinemark USA Inc., Company Guaranteed Notes, 5.875% due 3/15/26(b) | | | | | 6,289,043 | | |
| | | 17,150,000 | | | | Full House Resorts Inc., Senior Secured Notes, 8.250% due 2/15/28(b) | | | | | 15,259,078 | | |
| | | 16,856,000 | | | | Golden Entertainment Inc., Senior Unsecured Notes, 7.625% due 4/15/26(b)(c) | | | | | 16,729,580 | | |
| | | 2,794,000 | | | | Kohl’s Corp., Senior Unsecured Notes, 4.625% due 5/1/31 | | | | | 2,057,082 | | |
| | | | | | | Total Consumer Cyclical | | | | | 40,334,783 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – 2.4% | | ||||||||||||
| | $ | 14,932,000 | | | | Arrow Bidco LLC, Senior Secured Notes, 9.500% due 3/15/24(b)(c) | | | | $ | 14,919,308 | | |
| | | 4,527,000 | | | | Williams Scotsman International Inc., Senior Secured Notes, 6.125% due 6/15/25(b) | | | | | 4,487,118 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 19,406,426 | | |
| Energy – 1.6% | | ||||||||||||
| | | 6,946,000 | | | | Calumet Specialty Products Partners LP/Calumet Finance Corp., Company Guaranteed Notes, 11.000% due 4/15/25(b) | | | | | 7,105,507 | | |
| | | 3,377,000 | | | | Nabors Industries Inc., Company Guaranteed Notes, 5.750% due 2/1/25 | | | | | 3,314,221 | | |
| | | 2,917,000 | | | | Shelf Drilling Holdings Ltd., Company Guaranteed Notes, 8.250% due 2/15/25(b) | | | | | 2,872,662 | | |
| | | | | | | Total Energy | | | | | 13,292,390 | | |
| Industrial – 0.8% | | ||||||||||||
| | | 6,533,000 | | | | Danaos Corp., Senior Unsecured Notes, 8.500% due 3/1/28(b) | | | | | 6,631,337 | | |
| Technology – 0.8% | | ||||||||||||
| | | | | | | NCR Corp., Company Guaranteed Notes: | | | | | | | |
| | | 5,086,000 | | | | 5.750% due 9/1/27(b) | | | | | 5,135,166 | | |
| | | 1,201,000 | | | | 6.125% due 9/1/29(b) | | | | | 1,236,951 | | |
| | | | | | | Total Technology | | | | | 6,372,117 | | |
| Utilities – 1.8% | | ||||||||||||
| | | 2,400,000 | | | | NRG Energy Inc., Junior Subordinated Notes, 10.250% (5-Year CMT Index + 5.920%)(a)(b)(d) | | | | | 2,357,536 | | |
| | | 13,154,000 | | | | Vistra Corp., Junior Subordinated Notes, 7.000% (5-Year CMT Index + 5.740%) (a)(b)(d) | | | | | 12,174,823 | | |
| | | | | | | Total Utilities | | | | | 14,532,359 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $102,707,383) | | | | | 101,637,187 | | |
| SENIOR LOAN(a) – 1.1% | | ||||||||||||
| | | 9,400,760 | | | | Playa Hotels & Resorts BV, 9.564% (1-Month USD-LIBOR + 0.425%) due 1/5/29 (Cost – $9,122,564) | | | | | 9,387,975 | | |
| Shares/Units | | | | | | | | | | | |||
| COMMON STOCKS – 14.3% | | ||||||||||||
| CONSUMER CYCLICAL – 2.3% | | ||||||||||||
| Entertainment – 2.0% | | ||||||||||||
| | | 446,121 | | | | Golden Entertainment Inc.(c) | | | | | 16,243,266 | | |
| Leisure Time – 0.2% | | ||||||||||||
| | | 95,105 | | | | Life Time Group Holdings Inc.* | | | | | 1,635,806 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Lodging – 0.1% | | ||||||||||||
| | | 96,125 | | | | Playa Hotels & Resorts NV* | | | | $ | 717,093 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 18,596,165 | | |
| CONSUMER NON-CYCLICAL – 6.1% | | ||||||||||||
| Biotechnology – 3.7% | | ||||||||||||
| | | 37,200 | | | | Apogee Therapeutics Inc.* | | | | | 853,368 | | |
| | | 591,805 | | | | Crinetics Pharmaceuticals Inc.* | | | | | 10,250,063 | | |
| | | 46,295 | | | | Horizon Therapeutics PLC* | | | | | 5,219,298 | | |
| | | 238,041 | | | | Relay Therapeutics Inc.* | | | | | 2,432,779 | | |
| | | 77,091 | | | | Structure Therapeutics Inc., ADR* | | | | | 2,173,195 | | |
| | | 255,592 | | | | Xenon Pharmaceuticals Inc.* | | | | | 9,962,976 | | |
| | | | | | | Total Biotechnology | | | | | 30,891,679 | | |
| Commercial Services – 1.7% | | ||||||||||||
| | | 199,720 | | | | Target Hospitality Corp.* | | | | | 3,175,548 | | |
| | | 271,405 | | | | WillScot Mobile Mini Holdings Corp.* | | | | | 11,133,033 | | |
| | | | | | | Total Commercial Services | | | | | 14,308,581 | | |
| Food – 0.6% | | ||||||||||||
| | | 224,458 | | | | Albertsons Cos., Inc., Class A Shares | | | | | 5,027,859 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 50,228,119 | | |
| DIVERSIFIED – 0.4% | | ||||||||||||
| Holding Companies-Diversified – 0.4% | | ||||||||||||
| | | 292,343 | | | | Haymaker Acquisition Corp. 4* | | | | | 2,990,669 | | |
| SPACs – 0.0% | | ||||||||||||
| | | 70,340 | | | | First Light Acquisition Group Inc., Class A Shares*(e)(f)@ | | | | | — | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 2,990,669 | | |
| FINANCIAL – 2.1% | | ||||||||||||
| Banks – 2.1% | | ||||||||||||
| | | 970,081 | | | | Blue Foundry Bancorp*(c) | | | | | 8,973,249 | | |
| | | 1,096,018 | | | | Kearny Financial Corp.(c) | | | | | 8,121,494 | | |
| | | | | | | Total Banks | | | | | 17,094,743 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 17,094,743 | | |
| INDUSTRIAL – 1.2% | | ||||||||||||
| Metal Fabricate/Hardware – 0.7% | | ||||||||||||
| | | 674,014 | | | | Hillman Solutions Corp.*(c) | | | | | 6,099,827 | | |
| Transportation – 0.5% | | ||||||||||||
| | | 67,720 | | | | GXO Logistics Inc.* | | | | | 4,332,048 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 10,431,875 | | |
| Shares/Units | | | Security | | | Value | | | ||||||||
| COMMON STOCKS – (continued) | | | ||||||||||||||
| TECHNOLOGY – 2.2% | | | ||||||||||||||
| Software – 2.2% | | | ||||||||||||||
| | | 102,739 | | | | Activision Blizzard Inc. | | | | $ | 9,450,961 | | | | ||
| | | 54,181 | | | | VMware Inc., Class A Shares* | | | | | 9,144,669 | | | | ||
| | | | | | | Total Software | | | | | 18,595,630 | | | | ||
| | | | | | | TOTAL TECHNOLOGY | | | | | 18,595,630 | | | | ||
| | | | | | | TOTAL COMMON STOCKS (Cost – $112,917,039) | | | | | 117,937,201 | | | | ||
| OPEN-END FUNDS – 19.6% | | | ||||||||||||||
| | | 12,029,230 | | | | JPMorgan Strategic Income Opportunities Fund, Class R6 Shares | | | | | 137,373,811 | | | | ||
| | | 1,897,743 | | | | Palm Valley Capital Fund | | | | | 24,139,293 | | | | ||
| | | | | | | TOTAL OPEN-END FUNDS (Cost – $159,868,228) | | | | | 161,513,104 | | | | ||
| EQUITY LINKED NOTE – 0.4% | | | ||||||||||||||
| DIVERSIFIED – 0.4% | | | ||||||||||||||
| SPACs – 0.4% | | | ||||||||||||||
| | | 299,624 | | | | Ares Acquisition Corp. II* (Cost – $1,990,303) | | | | | 3,065,153 | | | | ||
| PREFERRED STOCK – 0.9% | | | ||||||||||||||
| CONSUMER CYCLICAL – 0.9% | | | ||||||||||||||
| Distribution/Wholesale – 0.9% | | | ||||||||||||||
| | | 264,277 | | | | WESCO International Inc., 10.625%(a)(d) (Cost – $7,116,956) | | | | | 7,206,834 | | | | | |
| WARRANTS – 0.0% | | | ||||||||||||||
| DIVERSIFIED – 0.0% | | | ||||||||||||||
| SPACs – 0.0% | | | ||||||||||||||
| | | 149,812 | | | | Ares Acquisition Corp. II*(e) | | | | | 45,842 | | | | ||
| | | 468,723 | | | | Bridger Aerospace Group Holdings Inc.*(e) | | | | | 98,479 | | | | ||
| | | 88,320 | | | | EQRX Inc.*(e) | | | | | 3,542 | | | | ||
| | | 556,875 | | | | First Light Acquisition Group Inc.*(e) | | | | | 117,222 | | | | ||
| | | 131,807 | | | | Inspirato Inc.*(e) | | | | | 4,613 | | | | ||
| | | 358,816 | | | | Pagaya Technologies Ltd.*(e) | | | | | 154,291 | | | | ||
| | | 491,405 | | | | Screaming Eagle Acquisition Corp.*(e) | | | | | 93,367 | | | | ||
| | | 77,310 | | | | SomaLogic Inc.*(e)(g) | | | | | 17,047 | | | | ||
| | | 23,299 | | | | X4 Pharmaceuticals Inc.* | | | | | 7 | | | | ||
| | | 244,085 | | | | ZeroFox Holdings Inc.*(e) | | | | | 7,347 | | | | ||
| | | | | | | Total SPACs | | | | | 541,757 | | | | ||
| | | | | | | TOTAL DIVERSIFIED | | | | | 541,757 | | | | ||
| | | | | | | TOTAL WARRANTS (Cost – $2,989,328) | | | | | 541,757 | | | | ||
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $692,144,198) | | | | | 701,469,785 | | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 11.0% | | ||||||||||||
| TIME DEPOSITS – 11.0% | | ||||||||||||
| | $ | 39,377,033 | | | | Citibank – New York, 4.680% due 9/1/23 | | | | $ | 39,377,033 | | |
| | | 3,582,550 | | | | JPMorgan Chase & Co. – New York, 4.680% due 9/1/23 | | | | | 3,582,550 | | |
| | | 47,392,217 | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 4.680% due 9/1/23 | | | | | 47,392,217 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $90,351,800) | | | | | 90,351,800 | | |
| Shares/Units | | | | | | | | | | | |||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.0% | | ||||||||||||
| MONEY MARKET FUND – 0.0% | | ||||||||||||
| | | 100 | | | | Federated Government Obligations Fund, Premier Class, 5.165%(h) (Cost – $100) | | | | | 100 | | |
| | | | | | | TOTAL INVESTMENTS – 96.1% (Cost – $782,496,098) | | | | | 791,821,685 | | |
| | | | | | | Other Assets in Excess of Liabilities – 3.9% | | | | | 32,179,330 | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 824,001,015 | | |
Security | | | First Acquisition Date | | | First Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Federal National Mortgage Association (FNMA), Connecticut Avenue Securities: | | | | | | | | | | | | | | | | | | | | | | | | | |
Series 2016-C01, Class 1B, 17.152% (SOFR30A + 11.864%) due 8/25/28 | | | | | 8/3/2021 | | | | | $ | 236,453 | | | | | $ | 599,530 | | | | | | 0.07% | | |
Series 2016-C02, Class 1B, 17.652% (SOFR30A + 12.364%) due 9/25/28 | | | | | 8/10/2021 | | | | | | 799,642 | | | | | | 3,931,388 | | | | | | 0.48% | | |
Series 2016-C03, Class 1B, 17.152% (SOFR30A + 11.864%) due 10/25/28 | | | | | 4/27/2022 | | | | | | 537,977 | | | | | | 555,068 | | | | | | 0.07% | | |
Series 2016-C03, Class 2M2, 11.302% (SOFR30A + 6.014%) due 10/25/28 | | | | | 3/17/2020 | | | | | | 1,138,013 | | | | | | 2,953,356 | | | | | | 0.36% | | |
Series 2016-C04, Class 1B, 15.652% (SOFR30A + 10.364%) due 1/25/29 | | | | | 4/13/2022 | | | | | | 1,355,446 | | | | | | 1,387,062 | | | | | | 0.17% | | |
Series 2016-C06, Class 1B, 14.652% (SOFR30A + 9.364%) due 4/25/29 | | | | | 3/11/2022 | | | | | | 1,143,710 | | | | | | 4,993,963 | | | | | | 0.61% | | |
Series 2017-C02, Class 2B1, 10.902% (SOFR30A + 5.614%) due 9/25/29 | | | | | 2/22/2022 | | | | | | 4,378,125 | | | | | | 5,778,825 | | | | | | 0.70% | | |
Freddie Mac Structured Agency Credit Risk Debt Notes: | | | | | | | | | | | | | | | | | | | | | | | | | |
Series 2016-DNA4, Class B, 14.002% (SOFR30A + 8.714%) due 3/25/29 | | | | | 3/11/2022 | | | | | | 1,105,244 | | | | | | 1,148,261 | | | | | | 0.14% | | |
Series 2016-HQA3, Class B, 14.402% (SOFR30A + 9.114%) due 3/25/29 | | | | | 1/27/2022 | | | | | | 2,131,393 | | | | | | 2,159,542 | | | | | | 0.26% | | |
Series 2017-HQA3, Class B1, 9.852% (SOFR30A + 4.564%) due 4/25/30 | | | | | 4/29/2021 | | | | | | 1,354,500 | | | | | | 4,633,200 | | | | | | 0.56% | | |
First Light Acquisition Group Inc. | | | | | 9/10/2021 | | | | | | 306 | | | | | | — | | | | | | 0.00% | | |
| | | | | | | | | | | | | | | | $ | 28,140,195 | | | | | | 3.42% | | |
| Collateralized Mortgage Obligations | | | | | 22.0% | | |
| Open-End Funds | | | | | 20.4 | | |
| Asset-Backed Securities | | | | | 15.9 | | |
| Common Stocks | | | | | 14.9 | | |
| Corporate Bonds & Notes | | | | | 12.8 | | |
| Senior Loan | | | | | 1.2 | | |
| Preferred Stock | | | | | 0.9 | | |
| Equity Linked Note | | | | | 0.4 | | |
| Warrants | | | | | 0.1 | | |
| Short-Term Investments | | | | | 11.4 | | |
| Money Market Fund | | | | | 0.0* | | |
| | | | | | 100.0% | | |
Currency | | | Notional Amount | | | Maturity Date | | | Counterparty | | | Payment Frequency | | | Pay | | | Receive | | | Unrealized Appreciation/ (Depreciation) | | |||||||||
USD | | | | | 8,646,077 | | | | 1/23/24 | | | GSC | | | | | 1-Month | | | | USD-Federal Funds-H.15 | | | GSCBGDEN Basket* | | | | $ | (169,412) | | |
USD | | | | | 10,383,355 | | | | 8/30/24 | | | GSC | | | | | 1-Month | | | | USD-Federal Funds-H.15 | | | GSCNNED3 Basket** | | | | | (37,845) | | |
USD | | | | | 9,281,535 | | | | 8/30/24 | | | GSC | | | | | 1-Month | | | | USD-Federal Funds-H.15 | | | Cannae Holdings Inc. | | | | | 208,043 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 786 | | |
| Boyd Gaming Corp. | | | | | 26% | | |
| Churchill Downs Inc. | | | | | 22% | | |
| Red Rock Resorts Inc. | | | | | 22% | | |
| Penn Entertainment Inc. | | | | | 13% | | |
| Caesars Entertainment Inc. | | | | | 17% | | |
| | | | | | 100% | | |
| Dun & Bradstreet Holdings Inc. | | | | | 50% | | |
| Alight Inc. | | | | | 23% | | |
| Ceridian HCM Holding Inc. | | | | | 23% | | |
| Paysafe Ltd | | | | | 4% | | |
| | | | | | 100% | | |
Credit Default Swap Contracts:
Reference Obligation | | | Fixed Deal Receive Rate | | | Maturity Date | | | Payment Frequency | | | Counter party | | | Implied Credit Spread at 8/31/23(2) | | | Notional Amounts(3) | | | Market Value | | | Upfront Premiums Paid/ (Received) | | | Unrealized Appreciation | | ||||||||||||||||||
CDX.NA.HY.35 | | | | | 5.000% | | | | | | 12/20/25 | | | | 3-Month | | | MSCS | | | | | 1.974% | | | | USD 20,000,000 | | | | $ | 1,515,331 | | | | | $ | 651,500 | | | | | $ | 863,831 | | |
CDX.NA.HY.37 | | | | | 5.000% | | | | | | 12/20/26 | | | | 3-Month | | | MSCS | | | | | 1.235% | | | | USD 20,000,000 | | | | | 2,504,991 | | | | | | 1,234,622 | | | | | | 1,270,369 | | |
CDX.NA.HY.39 | | | | | 5.000% | | | | | | 12/20/27 | | | | 3-Month | | | MSCS | | | | | 2.527% | | | | USD 25,000,000 | | | | | 2,623,533 | | | | | | 1,437,500 | | | | | | 1,186,033 | | |
CDX.NA.IG.39 | | | | | 1.000% | | | | | | 12/20/27 | | | | 3-Month | | | GSC | | | | | 2.706% | | | | USD 60,000,000 | | | | | (3,778,177) | | | | | | (8,736,000) | | | | | | 4,957,823 | | |
CDX.NA.IG.39 | | | | | 1.000% | | | | | | 12/20/27 | | | | 3-Month | | | MSCS | | | | | 2.706% | | | | USD 20,000,000 | | | | | (1,259,392) | | | | | | (2,630,800) | | | | | | 1,371,408 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,606,286 | | | | | $ | (8,043,178) | | | | | $ | 9,649,464 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| SECURITIES SOLD SHORT – 5.0% | | ||||||||||||
| EXCHANGE TRADED FUNDS (ETFs) – 4.2% | | ||||||||||||
| | | 108,132 | | | | Global X US Infrastructure Development | | | | $ | 3,489,420 | | |
| | | 46,521 | | | | iShares Russell 2000, Class Common Shares | | | | | 8,774,326 | | |
| | | 194,771 | | | | SPDR S&P Biotech | | | | | 15,425,863 | | |
| | | 154,691 | | | | SPDR S&P Regional Banking | | | | | 6,893,031 | | |
| | | | | | | Total Exchange Traded Funds (ETFs) | | | | | 34,582,640 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Proceeds – $52,127,587) | | | | | 34,582,640 | | |
| COMMON STOCK – 0.8% | | ||||||||||||
| TECHNOLOGY – 0.8% | | ||||||||||||
| Semiconductors – 0.8% | | ||||||||||||
| | | 6,870 | | | | Broadcom Inc. (Proceeds – $5,367,349) | | | | | 6,340,254 | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT – 5.0% (Proceeds – $57,494,936) | | | | $ | 40,922,894 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 98.5% | | ||||||||||||
| BASIC MATERIALS – 1.6% | | ||||||||||||
| Chemicals – 1.2% | | ||||||||||||
| | | 608 | | | | Albemarle Corp. | | | | $ | 120,816 | | |
| | | 2,745 | | | | Huntsman Corp. | | | | | 76,503 | | |
| | | 1,690 | | | | Linde PLC | | | | | 654,098 | | |
| | | 2,192 | | | | LyondellBasell Industries NV, Class A Shares | | | | | 216,504 | | |
| | | 588 | | | | Nutrien Ltd. | | | | | 37,232 | | |
| | | 442 | | | | Olin Corp. | | | | | 25,645 | | |
| | | 1,318 | | | | RPM International Inc. | | | | | 131,457 | | |
| | | | | | | Total Chemicals | | | | | 1,262,255 | | |
| Iron/Steel – 0.0% | | ||||||||||||
| | | 1,732 | | | | Vale SA, Class B Shares, ADR | | | | | 22,810 | | |
| Mining – 0.4% | | ||||||||||||
| | | 1,743 | | | | Barrick Gold Corp. | | | | | 28,254 | | |
| | | 6,964 | | | | Freeport-McMoRan Inc. | | | | | 277,933 | | |
| | | 651 | | | | Rio Tinto PLC, ADR | | | | | 40,688 | | |
| | | 396 | | | | Southern Copper Corp. | | | | | 31,941 | | |
| | | | | | | Total Mining | | | | | 378,816 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 1,663,881 | | |
| COMMUNICATIONS – 13.8% | | ||||||||||||
| Internet – 10.5% | | ||||||||||||
| | | 4,103 | | | | Alphabet Inc., Class A Shares*(a) | | | | | 558,705 | | |
| | | 26,135 | | | | Alphabet Inc., Class C Shares*(a) | | | | | 3,589,642 | | |
| | | 24,604 | | | | Amazon.com Inc.*(a) | | | | | 3,395,598 | | |
| | | 139 | | | | Booking Holdings Inc.* | | | | | 431,599 | | |
| | | 3,079 | | | | eBay Inc. | | | | | 137,878 | | |
| | | 451 | | | | Lyft Inc., Class A Shares* | | | | | 5,313 | | |
| | | 22 | | | | MercadoLibre Inc.* | | | | | 30,192 | | |
| | | 6,110 | | | | Meta Platforms Inc., Class A Shares*(a) | | | | | 1,807,888 | | |
| | | 1,170 | | | | Netflix Inc.*(a) | | | | | 507,406 | | |
| | | 73 | | | | Roku Inc., Class A Shares* | | | | | 5,928 | | |
| | | 779 | | | | Shopify Inc., Class A Shares* | | | | | 51,796 | | |
| | | 1,097 | | | | Uber Technologies Inc.* | | | | | 51,811 | | |
| | | 484 | | | | VeriSign Inc.* | | | | | 100,570 | | |
| | | | | | | Total Internet | | | | | 10,674,326 | | |
| Media – 1.6% | | ||||||||||||
| | | 14,613 | | | | Comcast Corp., Class A Shares | | | | | 683,304 | | |
| | | 316 | | | | FactSet Research Systems Inc. | | | | | 137,905 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Media – (continued) | | ||||||||||||
| | | 4,624 | | | | Fox Corp., Class A Shares | | | | $ | 152,869 | | |
| | | 280 | | | | Liberty Broadband Corp., Class C Shares* | | | | | 26,197 | | |
| | | 385 | | | | New York Times Co., Class A Shares | | | | | 17,044 | | |
| | | 7,920 | | | | Sirius XM Holdings Inc. | | | | | 34,848 | | |
| | | 6,258 | | | | Walt Disney Co.*(a) | | | | | 523,669 | | |
| | | | | | | Total Media | | | | | 1,575,836 | | |
| Telecommunications – 1.7% | | ||||||||||||
| | | 27,511 | | | | AT&T Inc. | | | | | 406,888 | | |
| | | 868 | | | | Ciena Corp.* | | | | | 43,383 | | |
| | | 12,777 | | | | Cisco Systems Inc.(a) | | | | | 732,761 | | |
| | | 13,618 | | | | Telefonaktiebolaget LM Ericsson, ADR | | | | | 70,269 | | |
| | | 13,712 | | | | Verizon Communications Inc.(a) | | | | | 479,646 | | |
| | | 3,923 | | | | Vodafone Group PLC, ADR | | | | | 36,562 | | |
| | | | | | | Total Telecommunications | | | | | 1,769,509 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 14,019,671 | | |
| CONSUMER CYCLICAL – 9.2% | | ||||||||||||
| Airlines – 0.2% | | ||||||||||||
| | | 4,966 | | | | Delta Air Lines Inc. | | | | | 212,942 | | |
| Apparel – 0.5% | | ||||||||||||
| | | 491 | | | | Capri Holdings Ltd.* | | | | | 25,773 | | |
| | | 51 | | | | Deckers Outdoor Corp.* | | | | | 26,984 | | |
| | | 3,814 | | | | NIKE Inc., Class B Shares | | | | | 387,922 | | |
| | | 524 | | | | Skechers USA Inc., Class A Shares* | | | | | 26,362 | | |
| | | | | | | Total Apparel | | | | | 467,041 | | |
| Auto Manufacturers – 2.1% | | ||||||||||||
| | | 17,242 | | | | Ford Motor Co. | | | | | 209,145 | | |
| | | 7,563 | | | | Tesla Inc.*(a) | | | | | 1,951,859 | | |
| | | | | | | Total Auto Manufacturers | | | | | 2,161,004 | | |
| Auto Parts & Equipment – 0.2% | | ||||||||||||
| | | 246 | | | | Autoliv Inc. | | | | | 24,010 | | |
| | | 974 | | | | Gentex Corp. | | | | | 31,811 | | |
| | | 5,896 | | | | Goodyear Tire & Rubber Co.* | | | | | 76,117 | | |
| | | 494 | | | | Lear Corp. | | | | | 71,180 | | |
| | | 172 | | | | Magna International Inc. | | | | | 10,117 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 213,235 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Distribution/Wholesale – 0.2% | | ||||||||||||
| | | 307 | | | | WW Grainger Inc. | | | | $ | 219,241 | | |
| Entertainment – 0.1% | | ||||||||||||
| | | 444 | | | | DraftKings Inc., Class A Shares* | | | | | 13,165 | | |
| | | 198 | | | | Light & Wonder Inc.* | | | | | 15,181 | | |
| | | 243 | | | | Vail Resorts Inc. | | | | | 54,996 | | |
| | | | | | | Total Entertainment | | | | | 83,342 | | |
| Food Service – 0.1% | | ||||||||||||
| | | 1,163 | | | | Aramark | | | | | 43,240 | | |
| Home Builders – 0.4% | | ||||||||||||
| | | 2,557 | | | | DR Horton Inc. | | | | | 304,334 | | |
| | | 1,604 | | | | Toll Brothers Inc. | | | | | 131,416 | | |
| | | | | | | Total Home Builders | | | | | 435,750 | | |
| Home Furnishings – 0.0% | | ||||||||||||
| | | 764 | | | | Leggett & Platt Inc. | | | | | 21,545 | | |
| Leisure Time – 0.1% | | ||||||||||||
| | | 204 | | | | Brunswick Corp. | | | | | 16,141 | | |
| | | 1,589 | | | | Harley-Davidson Inc. | | | | | 53,629 | | |
| | | 223 | | | | Planet Fitness Inc., Class A Shares* | | | | | 13,558 | | |
| | | 52 | | | | Polaris Inc. | | | | | 5,829 | | |
| | | | | | | Total Leisure Time | | | | | 89,157 | | |
| Lodging – 0.1% | | ||||||||||||
| | | 1,943 | | | | Las Vegas Sands Corp. | | | | | 106,593 | | |
| Retail – 5.2% | | ||||||||||||
| | | 80 | | | | Burlington Stores Inc.* | | | | | 12,981 | | |
| | | 1,590 | | | | Costco Wholesale Corp. | | | | | 873,355 | | |
| | | 192 | | | | Dick’s Sporting Goods Inc. | | | | | 22,337 | | |
| | | 277 | | | | Five Below Inc.* | | | | | 47,633 | | |
| | | 3,171 | | | | Home Depot Inc.(a) | | | | | 1,047,381 | | |
| | | 568 | | | | Kohl’s Corp. | | | | | 15,132 | | |
| | | 2,271 | | | | Lowe’s Cos., Inc. | | | | | 523,420 | | |
| | | 211 | | | | Lululemon Athletica Inc.* | | | | | 80,446 | | |
| | | 2,499 | | | | McDonald’s Corp. | | | | | 702,594 | | |
| | | 831 | | | | Restaurant Brands International Inc. | | | | | 57,713 | | |
| | | 4,021 | | | | Starbucks Corp. | | | | | 391,806 | | |
| | | 1,848 | | | | Target Corp. | | | | | 233,864 | | |
| | | 4,701 | | | | TJX Cos., Inc. | | | | | 434,748 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Retail – (continued) | | ||||||||||||
| | | 4,561 | | | | Walmart Inc.(a) | | | | $ | 741,664 | | |
| | | 241 | | | | Williams-Sonoma Inc. | | | | | 34,029 | | |
| | | 485 | | | | Yum China Holdings Inc. | | | | | 26,040 | | |
| | | | | | | Total Retail | | | | | 5,245,143 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 9,298,233 | | |
| CONSUMER NON-CYCLICAL – 18.4% | | ||||||||||||
| Agriculture – 0.7% | | ||||||||||||
| | | 2,467 | | | | British American Tobacco PLC, ADR | | | | | 81,904 | | |
| | | 5,957 | | | | Philip Morris International Inc. | | | | | 572,229 | | |
| | | | | | | Total Agriculture | | | | | 654,133 | | |
| Beverages – 1.4% | | ||||||||||||
| | | 3,504 | | | | Brown-Forman Corp., Class B Shares | | | | | 231,719 | | |
| | | 1,598 | | | | Constellation Brands Inc., Class A Shares | | | | | 416,375 | | |
| | | 9,076 | | | | Keurig Dr Pepper Inc. | | | | | 305,407 | | |
| | | 2,726 | | | | Molson Coors Beverage Co., Class B Shares | | | | | 173,074 | | |
| | | 5,800 | | | | Monster Beverage Corp.* | | | | | 332,978 | | |
| | | | | | | Total Beverages | | | | | 1,459,553 | | |
| Biotechnology – 1.2% | | ||||||||||||
| | | 185 | | | | Alnylam Pharmaceuticals Inc.* | | | | | 36,597 | | |
| | | 1,877 | | | | Amgen Inc. | | | | | 481,150 | | |
| | | 696 | | | | Biogen Inc.* | | | | | 186,083 | | |
| | | 435 | | | | BioMarin Pharmaceutical Inc.* | | | | | 39,750 | | |
| | | 799 | | | | Moderna Inc.* | | | | | 90,343 | | |
| | | 402 | | | | Regeneron Pharmaceuticals Inc.* | | | | | 332,249 | | |
| | | 276 | | | | Seagen Inc.* | | | | | 56,875 | | |
| | | 182 | | | | United Therapeutics Corp.* | | | | | 40,834 | | |
| | | | | | | Total Biotechnology | | | | | 1,263,881 | | |
| Commercial Services – 1.4% | | ||||||||||||
| | | 1,965 | | | | Automatic Data Processing Inc. | | | | | 500,309 | | |
| | | 344 | | | | Block Inc., Class A Shares* | | | | | 19,832 | | |
| | | 509 | | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | | | 57,675 | | |
| | | 1,171 | | | | Global Payments Inc. | | | | | 148,354 | | |
| | | 99 | | | | Herc Holdings Inc. | | | | | 12,884 | | |
| | | 1,378 | | | | S&P Global Inc. | | | | | 538,605 | | |
| | | 1,031 | | | | TransUnion | | | | | 83,738 | | |
| | | | | | | Total Commercial Services | | | | | 1,361,397 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Food – 1.0% | | ||||||||||||
| | | 3,024 | | | | Campbell Soup Co. | | | | $ | 126,101 | | |
| | | 5,229 | | | | Hormel Foods Corp. | | | | | 201,787 | | |
| | | 1,512 | | | | JM Smucker Co. | | | | | 219,164 | | |
| | | 4,583 | | | | Kellogg Co. | | | | | 279,655 | | |
| | | 2,202 | | | | McCormick & Co., Inc. | | | | | 180,740 | | |
| | | 737 | | | | US Foods Holding Corp.* | | | | | 29,797 | | |
| | | | | | | Total Food | | | | | 1,037,244 | | |
| Healthcare-Products – 3.5% | | ||||||||||||
| | | 5,909 | | | | Abbott Laboratories | | | | | 608,036 | | |
| | | 1,138 | | | | Alcon Inc. | | | | | 94,443 | | |
| | | 1,633 | | | | Avantor Inc.* | | | | | 35,354 | | |
| | | 2,445 | | | | Danaher Corp. | | | | | 647,925 | | |
| | | 220 | | | | Enovis Corp.* | | | | | 12,329 | | |
| | | 348 | | | | Exact Sciences Corp.* | | | | | 29,117 | | |
| | | 1,694 | | | | GE HealthCare Technologies Inc. | | | | | 119,342 | | |
| | | 1,385 | | | | Intuitive Surgical Inc.* | | | | | 433,062 | | |
| | | 4,964 | | | | Medtronic PLC | | | | | 404,566 | | |
| | | 1,394 | | | | Thermo Fisher Scientific Inc. | | | | | 776,597 | | |
| | | 538 | | | | Waters Corp.* | | | | | 151,070 | | |
| | | 1,555 | | | | Zimmer Biomet Holdings Inc. | | | | | 185,232 | | |
| | | | | | | Total Healthcare-Products | | | | | 3,497,073 | | |
| Healthcare-Services – 1.9% | | ||||||||||||
| | | 947 | | | | Elevance Health Inc. | | | | | 418,583 | | |
| | | 196 | | | | ICON PLC* | | | | | 50,948 | | |
| | | 439 | | | | Molina Healthcare Inc.* | | | | | 136,143 | | |
| | | 2,719 | | | | UnitedHealth Group Inc.(a) | | | | | 1,295,821 | | |
| | | | | | | Total Healthcare-Services | | | | | 1,901,495 | | |
| Household Products/Wares – 1.0% | | ||||||||||||
| | | 1,211 | | | | Clorox Co. | | | | | 189,461 | | |
| | | 6,167 | | | | Kimberly-Clark Corp. | | | | | 794,495 | | |
| | | 663 | | | | Spectrum Brands Holdings Inc. | | | | | 55,142 | | |
| | | | | | | Total Household Products/Wares | | | | | 1,039,098 | | |
| Pharmaceuticals – 6.3% | | ||||||||||||
| | | 5,066 | | | | AbbVie Inc. | | | | | 744,499 | | |
| | | 1,291 | | | | AstraZeneca PLC, ADR | | | | | 87,556 | | |
| | | 1,507 | | | | Becton Dickinson & Co. | | | | | 421,131 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Pharmaceuticals – (continued) | | ||||||||||||
| | | 1,267 | | | | Cigna Group | | | | $ | 350,021 | | |
| | | 4,986 | | | | CVS Health Corp. | | | | | 324,938 | | |
| | | 1,524 | | | | DexCom Inc.* | | | | | 153,893 | | |
| | | 2,255 | | | | Eli Lilly & Co. | | | | | 1,249,721 | | |
| | | 238 | | | | Jazz Pharmaceuticals PLC* | | | | | 34,120 | | |
| | | 7,603 | | | | Johnson & Johnson(a) | | | | | 1,229,253 | | |
| | | 674 | | | | McKesson Corp. | | | | | 277,904 | | |
| | | 8,011 | | | | Merck & Co., Inc. | | | | | 873,039 | | |
| | | 262 | | | | Novartis AG, ADR | | | | | 26,326 | | |
| | | 355 | | | | Perrigo Co. PLC | | | | | 12,425 | | |
| | | 17,338 | | | | Pfizer Inc.(a) | | | | | 613,418 | | |
| | | 2,538 | | | | Teva Pharmaceutical Industries Ltd., ADR* | | | | | 24,771 | | |
| | | | | | | Total Pharmaceuticals | | | | | 6,423,015 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 18,636,889 | | |
| ENERGY – 4.4% | | ||||||||||||
| Oil & Gas – 3.6% | | ||||||||||||
| | | 1,669 | | | | Canadian Natural Resources Ltd. | | | | | 107,968 | | |
| | | 3,832 | | | | Cenovus Energy Inc. | | | | | 76,372 | | |
| | | 6,331 | | | | Chevron Corp. | | | | | 1,019,924 | | |
| | | 3,330 | | | | EOG Resources Inc. | | | | | 428,305 | | |
| | | 12,473 | | | | Exxon Mobil Corp.(a) | | | | | 1,386,873 | | |
| | | 227 | | | | HF Sinclair Corp. | | | | | 12,505 | | |
| | | 3,501 | | | | Occidental Petroleum Corp. | | | | | 219,828 | | |
| | | 1,205 | | | | Ovintiv Inc. | | | | | 56,587 | | |
| | | 2,372 | | | | Phillips 66 | | | | | 270,787 | | |
| | | 629 | | | | Range Resources Corp. | | | | | 20,367 | | |
| | | 2,703 | | | | Suncor Energy Inc. | | | | | 91,578 | | |
| | | | | | | Total Oil & Gas | | | | | 3,691,094 | | |
| Oil & Gas Services – 0.5% | | ||||||||||||
| | | 1,770 | | | | NOV Inc. | | | | | 37,400 | | |
| | | 7,067 | | | | Schlumberger NV | | | | | 416,670 | | |
| | | | | | | Total Oil & Gas Services | | | | | 454,070 | | |
| Pipelines – 0.3% | | ||||||||||||
| | | 528 | | | | Cheniere Energy Inc. | | | | | 86,169 | | |
| | | 1,370 | | | | Enbridge Inc. | | | | | 48,060 | | |
| | | 1,562 | | | | Targa Resources Corp. | | | | | 134,722 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| ENERGY – (continued) | | ||||||||||||
| Pipelines – (continued) | | ||||||||||||
| | | 951 | | | | TC Energy Corp. | | | | $ | 34,350 | | |
| | | | | | | Total Pipelines | | | | | 303,301 | | |
| | | | | | | TOTAL ENERGY | | | | | 4,448,465 | | |
| FINANCIAL – 14.0% | | ||||||||||||
| Banks – 3.8% | | ||||||||||||
| | | 5,068 | | | | Banco Bradesco SA, ADR | | | | | 15,153 | | |
| | | 20,917 | | | | Bank of America Corp.(a) | | | | | 599,690 | | |
| | | 60 | | | | Bank of Montreal | | | | | 5,165 | | |
| | | 5,686 | | | | Citigroup Inc. | | | | | 234,775 | | |
| | | 255 | | | | Cullen/Frost Bankers Inc. | | | | | 24,105 | | |
| | | 1,227 | | | | East West Bancorp Inc. | | | | | 67,902 | | |
| | | 2,100 | | | | First Horizon Corp. | | | | | 26,355 | | |
| | | 1,483 | | | | Goldman Sachs Group Inc. | | | | | 485,994 | | |
| | | 554 | | | | ICICI Bank Ltd., ADR | | | | | 12,836 | | |
| | | 4,360 | | | | Itau Unibanco Holding SA, ADR | | | | | 23,980 | | |
| | | 8,138 | | | | JPMorgan Chase & Co.(a) | | | | | 1,190,834 | | |
| | | 1,435 | | | | M&T Bank Corp. | | | | | 179,447 | | |
| | | 5,625 | | | | Morgan Stanley | | | | | 478,969 | | |
| | | 12,708 | | | | Wells Fargo & Co. | | | | | 524,713 | | |
| | | | | | | Total Banks | | | | | 3,869,918 | | |
| Diversified Financial Services – 3.8% | | ||||||||||||
| | | 2,638 | | | | American Express Co. | | | | | 416,778 | | |
| | | 940 | | | | Ameriprise Financial Inc. | | | | | 317,325 | | |
| | | 453 | | | | Brookfield Asset Management Ltd., Class A Shares | | | | | 15,651 | | |
| | | 4,298 | | | | Charles Schwab Corp. | | | | | 254,227 | | |
| | | 28 | | | | Credit Acceptance Corp.* | | | | | 14,050 | | |
| | | 322 | | | | Evercore Inc., Class A Shares | | | | | 45,096 | | |
| | | 1,682 | | | | Jefferies Financial Group Inc. | | | | | 60,031 | | |
| | | 2,891 | | | | Mastercard Inc., Class A Shares(a) | | | | | 1,192,942 | | |
| | | 3,522 | | | | Nasdaq Inc. | | | | | 184,835 | | |
| | | 5,186 | | | | Visa Inc., Class A Shares(a) | | | | | 1,274,097 | | |
| | | 249 | | | | Voya Financial Inc. | | | | | 17,350 | | |
| | | | | | | Total Diversified Financial Services | | | | | 3,792,382 | | |
| Equity Real Estate Investment Trusts (REITs) – 2.3% | | ||||||||||||
| | | 4,374 | | | | American Homes 4 Rent, Class A Shares | | | | | 157,639 | | |
| | | 2,481 | | | | Annaly Capital Management Inc. | | | | | 50,290 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) – (continued) | | ||||||||||||
| | | 1,043 | | | | AvalonBay Communities Inc. | | | | $ | 191,724 | | |
| | | 1,104 | | | | Camden Property Trust | | | | | 118,813 | | |
| | | 2,008 | | | | CubeSmart | | | | | 83,754 | | |
| | | 1,984 | | | | Equity LifeStyle Properties Inc. | | | | | 132,849 | | |
| | | 3,439 | | | | Equity Residential | | | | | 222,950 | | |
| | | 813 | | | | Essex Property Trust Inc. | | | | | 193,811 | | |
| | | 5,278 | | | | Invitation Homes Inc. | | | | | 179,927 | | |
| | | 2,519 | | | | Medical Properties Trust Inc. | | | | | 18,187 | | |
| | | 1,701 | | | | Mid-America Apartment Communities Inc. | | | | | 247,036 | | |
| | | 5,458 | | | | Realty Income Corp. | | | | | 305,866 | | |
| | | 581 | | | | Sun Communities Inc. | | | | | 71,126 | | |
| | | 6,749 | | | | VICI Properties Inc., Class A Shares | | | | | 208,139 | | |
| | | 2,231 | | | | WP Carey Inc. | | | | | 145,127 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 2,327,238 | | |
| Insurance – 3.9% | | ||||||||||||
| | | 3,161 | | | | Aflac Inc. | | | | | 235,716 | | |
| | | 955 | | | | Aon PLC, Class A Shares | | | | | 318,388 | | |
| | | 1,800 | | | | Arthur J Gallagher & Co. | | | | | 414,864 | | |
| | | 795 | | | | Assurant Inc. | | | | | 110,767 | | |
| | | 5,632 | | | | Berkshire Hathaway Inc., Class B Shares* | | | | | 2,028,646 | | |
| | | 2,817 | | | | Brown & Brown Inc. | | | | | 208,740 | | |
| | | 2,124 | | | | Fidelity National Financial Inc. | | | | | 87,934 | | |
| | | 5,545 | | | | Manulife Financial Corp. | | | | | 102,472 | | |
| | | 116 | | | | Markel Group Inc.* | | | | | 171,555 | | |
| | | 187 | | | | RenaissanceRe Holdings Ltd. | | | | | 35,135 | | |
| | | 2,111 | | | | Unum Group | | | | | 103,840 | | |
| | | 1,697 | | | | WR Berkley Corp. | | | | | 104,976 | | |
| | | | | | | Total Insurance | | | | | 3,923,033 | | |
| Private Equity – 0.2% | | ||||||||||||
| | | 1,041 | | | | Blackstone Inc. | | | | | 110,731 | | |
| | | 1,210 | | | | Brookfield Corp. | | | | | 41,273 | | |
| | | 1,435 | | | | KKR & Co., Inc. | | | | | 90,132 | | |
| | | | | | | Total Private Equity | | | | | 242,136 | | |
| Real Estate – 0.0% | | ||||||||||||
| | | 161 | | | | Jones Lang LaSalle Inc.* | | | | | 27,821 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Savings & Loans – 0.0% | | ||||||||||||
| | | 2,951 | | | | New York Community Bancorp Inc. | | | | $ | 36,238 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 14,218,766 | | |
| INDUSTRIAL – 8.0% | | ||||||||||||
| Aerospace/Defense – 1.0% | | ||||||||||||
| | | 1,825 | | | | Boeing Co.* | | | | | 408,855 | | |
| | | 2,028 | | | | General Dynamics Corp. | | | | | 459,626 | | |
| | | 1,075 | | | | HEICO Corp. | | | | | 181,363 | | |
| | | | | | | Total Aerospace/Defense | | | | | 1,049,844 | | |
| Building Materials – 0.5% | | ||||||||||||
| | | 315 | | | | Lennox International Inc. | | | | | 118,695 | | |
| | | 249 | | | | Louisiana-Pacific Corp. | | | | | 15,558 | | |
| | | 762 | | | | Martin Marietta Materials Inc. | | | | | 340,164 | | |
| | | | | | | Total Building Materials | | | | | 474,417 | | |
| Electrical Components & Equipment – 0.4% | | ||||||||||||
| | | 359 | | | | Acuity Brands Inc. | | | | | 57,900 | | |
| | | 1,994 | | | | AMETEK Inc. | | | | | 318,063 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 375,963 | | |
| Electronics – 0.7% | | ||||||||||||
| | | 6,396 | | | | Amphenol Corp., Class A Shares | | | | | 565,278 | | |
| | | 931 | | | | Sensata Technologies Holding PLC | | | | | 35,024 | | |
| | | 2,177 | | | | Trimble Inc.* | | | | | 119,278 | | |
| | | | | | | Total Electronics | | | | | 719,580 | | |
| Engineering & Construction – 0.1% | | ||||||||||||
| | | 694 | | | | AECOM | | | | | 60,899 | | |
| Environmental Control – 0.4% | | ||||||||||||
| | | 1,787 | | | | Republic Services Inc., Class A Shares | | | | | 257,560 | | |
| | ��� | 806 | | | | Waste Connections Inc. | | | | | 110,414 | | |
| | | | | | | Total Environmental Control | | | | | 367,974 | | |
| Hand/Machine Tools – 0.0% | | ||||||||||||
| | | 148 | | | | Lincoln Electric Holdings Inc. | | | | | 28,484 | | |
| Machinery-Construction & Mining – 0.6% | | ||||||||||||
| | | 1,347 | | | | BWX Technologies Inc. | | | | | 99,355 | | |
| | | 1,931 | | | | Caterpillar Inc. | | | | | 542,862 | | |
| | | | | | | Total Machinery-Construction & Mining | | | | | 642,217 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Machinery-Diversified – 1.5% | | ||||||||||||
| | | 227 | | | | AGCO Corp. | | | | $ | 29,403 | | |
| | | 477 | | | | Cognex Corp. | | | | | 22,457 | | |
| | | 911 | | | | Deere & Co. | | | | | 374,366 | | |
| | | 1,733 | | | | Dover Corp. | | | | | 257,004 | | |
| | | 1,956 | | | | Graco Inc. | | | | | 154,407 | | |
| | | 710 | | | | IDEX Corp. | | | | | 160,744 | | |
| | | 530 | | | | Nordson Corp. | | | | | 129,394 | | |
| | | 704 | | | | Rockwell Automation Inc. | | | | | 219,704 | | |
| | | 1,686 | | | | Xylem Inc. | | | | | 174,568 | | |
| | | | | | | Total Machinery-Diversified | | | | | 1,522,047 | | |
| Miscellaneous Manufacturers – 1.1% | | ||||||||||||
| | | 3,701 | | | | 3M Co. | | | | | 394,786 | | |
| | | 330 | | | | Carlisle Cos., Inc. | | | | | 86,797 | | |
| | | 3,744 | | | | General Electric Co. | | | | | 428,538 | | |
| | | 2,842 | | | | Textron Inc. | | | | | 220,852 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 1,130,973 | | |
| Packaging & Containers – 0.3% | | ||||||||||||
| | | 617 | | | | Crown Holdings Inc. | | | | | 57,171 | | |
| | | 906 | | | | Packaging Corp. of America | | | | | 135,085 | | |
| | | 1,417 | | | | Sonoco Products Co. | | | | | 81,407 | | |
| | | | | | | Total Packaging & Containers | | | | | 273,663 | | |
| Shipbuilding – 0.2% | | ||||||||||||
| | | 903 | | | | Huntington Ingalls Industries Inc. | | | | | 198,949 | | |
| Transportation – 1.2% | | ||||||||||||
| | | 530 | | | | Canadian National Railway Co. | | | | | 59,683 | | |
| | | 1,121 | | | | Canadian Pacific Kansas City Ltd. | | | | | 88,985 | | |
| | | 2,139 | | | | Union Pacific Corp. | | | | | 471,799 | | |
| | | 3,582 | | | | United Parcel Service Inc., Class B Shares | | | | | 606,791 | | |
| | | 283 | | | | XPO Inc.* | | | | | 21,120 | | |
| | | | | | | Total Transportation | | | | | 1,248,378 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 8,093,388 | | |
| TECHNOLOGY – 26.6% | | ||||||||||||
| Computers – 8.8% | | ||||||||||||
| | | 2,146 | | | | Accenture PLC, Class A Shares | | | | | 694,810 | | |
| | | 40,045 | | | | Apple Inc.(a) | | | | | 7,523,254 | | |
| | | 484 | | | | Check Point Software Technologies Ltd.* | | | | | 65,142 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Computers���– (continued) | | ||||||||||||
| | | 1,338 | | | | Dell Technologies Inc., Class C Shares | | | | $ | 75,249 | | |
| | | 3,598 | | | | International Business Machines Corp. | | | | | 528,294 | | |
| | | 138 | | | | Kyndryl Holdings Inc.* | | | | | 2,330 | | |
| | | | | | | Total Computers | | | | | 8,889,079 | | |
| Semiconductors – 7.5% | | ||||||||||||
| | | 5,353 | | | | Advanced Micro Devices Inc.* | | | | | 565,919 | | |
| | | 3,538 | | | | Applied Materials Inc. | | | | | 540,465 | | |
| | | 181 | | | | ASML Holding NV, Class NY Registered Shares, ADR | | | | | 119,556 | | |
| | | 1,295 | | | | Broadcom Inc.(a) | | | | | 1,195,143 | | |
| | | 285 | | | | Cirrus Logic Inc.* | | | | | 23,381 | | |
| | | 682 | | | | Entegris Inc. | | | | | 69,066 | | |
| | | 583 | | | | Lam Research Corp. | | | | | 409,499 | | |
| | | 1,980 | | | | Marvell Technology Inc. | | | | | 115,335 | | |
| | | 4,028 | | | | Micron Technology Inc. | | | | | 281,718 | | |
| | | 6,638 | | | | NVIDIA Corp.(a) | | | | | 3,276,185 | | |
| | | 1,421 | | | | NXP Semiconductors NV | | | | | 292,328 | | |
| | | 2,501 | | | | ON Semiconductor Corp.* | | | | | 246,249 | | |
| | | 3,689 | | | | QUALCOMM Inc. | | | | | 422,501 | | |
| | | 158 | | | | Silicon Laboratories Inc.* | | | | | 21,308 | | |
| | | 309 | | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | | | 28,913 | | |
| | | | | | | Total Semiconductors | | | | | 7,607,566 | | |
| Software – 10.3% | | ||||||||||||
| | | 1,440 | | | | Adobe Inc.*(a) | | | | | 805,450 | | |
| | | 266 | | | | Black Knight Inc.* | | | | | 20,152 | | |
| | | 1,037 | | | | Intuit Inc. | | | | | 561,857 | | |
| | | 20,135 | | | | Microsoft Corp.(a) | | | | | 6,599,448 | | |
| | | 5,139 | | | | Oracle Corp. | | | | | 618,684 | | |
| | | 2,990 | | | | Salesforce Inc.*(a) | | | | | 662,165 | | |
| | | 470 | | | | SAP SE, ADR | | | | | 65,654 | | |
| | | 803 | | | | ServiceNow Inc.* | | | | | 472,831 | | |
| | | 3,477 | | | | SS&C Technologies Holdings Inc. | | | | | 199,649 | | |
| | | 233 | | | | Veeva Systems Inc., Class A Shares* | | | | | 48,627 | | |
| | | 944 | | | | VMware Inc., Class A Shares* | | | | | 159,328 | | |
| | | 373 | | | | Workday Inc., Class A Shares* | | | | | 91,199 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Software – (continued) | | ||||||||||||
| | | 1,765 | | | | Zoom Video Communications Inc., Class A Shares* | | | | $ | 125,368 | | |
| | | | | | | Total Software | | | | | 10,430,412 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 26,927,057 | | |
| UTILITIES – 2.5% | | ||||||||||||
| Electric – 2.4% | | ||||||||||||
| | | 4,615 | | | | Alliant Energy Corp. | | | | | 231,534 | | |
| | | 4,965 | | | | Ameren Corp. | | | | | 393,575 | | |
| | | 6,849 | | | | American Electric Power Co., Inc. | | | | | 536,962 | | |
| | | 3,809 | | | | Consolidated Edison Inc. | | | | | 338,849 | | |
| | | 3,756 | | | | DTE Energy Co. | | | | | 388,295 | | |
| | | 9,929 | | | | PPL Corp. | | | | | 247,431 | | |
| | | 5,600 | | | | Xcel Energy Inc. | | | | | 319,928 | | |
| | | | | | | Total Electric | | | | | 2,456,574 | | |
| Water – 0.1% | | ||||||||||||
| | | 3,490 | | | | Essential Utilities Inc. | | | | | 128,781 | | |
| | | | | | | TOTAL UTILITIES | | | | | 2,585,355 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $95,172,912) | | | | | 99,891,705 | | |
| Number of Contracts | | | Notional Amounts | | | | | | | | | | | |||
| PURCHASED OPTIONS – 0.7% | | | ||||||||||||||
| Index Option – 0.7% | | | ||||||||||||||
| | | 73 | | | | $32,905,918 | | | S&P 500 Index Options, Put, @ $4,235.00, expires 9/29/23, Counterparty: MSC | | | | | 58,400 | | |
| | | 73 | | | | 32,905,918 | | | S&P 500 Index Options, Put, @ $4,350.00, expires 10/31/23, Counterparty: MSC | | | | | 267,910 | | |
| | | 73 | | | | 32,905,918 | | | S&P 500 Index Options, Put, @ $4,290.00, expires 11/30/23, Counterparty: MSC | | | | | 328,500 | | |
| | | | | | | | | | TOTAL PURCHASED OPTIONS (Cost – $967,394) | | | | | 654,810 | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $96,140,306) | | | | | 100,546,515 | | |
��� | Face Amount | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 0.8% | | ||||||||||||
| TIME DEPOSITS – 0.8% | | ||||||||||||
| | $ | 139,735 | | | | Citibank – New York, 4.680% due 9/1/23 | | | | $ | 139,735 | | |
| | | 698,573 | | | | JPMorgan Chase & Co. – New York, 4.680% due 9/1/23 | | | | | 698,573 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $838,308) | | | | | 838,308 | | |
| | | | | | | TOTAL INVESTMENTS – 100.0% (Cost – $96,978,614) | | | | | 101,384,823 | | |
| | | | | | | Other Assets in Excess of Liabilities – 0.0% | | | | | 20,069 | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 101,404,892 | | |
| Technology | | | | | 26.6% | | |
| Consumer Non-cyclical | | | | | 18.4 | | |
| Financial | | | | | 14.0 | | |
| Communications | | | | | 13.8 | | |
| Consumer Cyclical | | | | | 9.2 | | |
| Industrial | | | | | 8.0 | | |
| Energy | | | | | 4.4 | | |
| Utilities | | | | | 2.6 | | |
| Basic Materials | | | | | 1.6 | | |
| Purchased Options | | | | | 0.6 | | |
| Short-Term Investments | | | | | 0.8 | | |
| | | | | | 100.0% | | |
| Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | | |||||||||||||||
| 37 | | | | $ | 16,678,342 | | | | S&P 500 Index Options, Call | | | | | MSC | | | | | | 9/29/23 | | | | | $ | 4,660.00 | | | | | $ | (35,150) | | |
| 37 | | | | | 16,678,342 | | | | S&P 500 Index Options, Call | | | | | MSC | | | | | | 10/31/23 | | | | | $ | 4,800.00 | | | | | | (28,860) | | |
| 37 | | | | | 16,678,342 | | | | S&P 500 Index Options, Call | | | | | MSC | | | | | | 11/30/23 | | | | | $ | 4,740.00 | | | | | | (129,685) | | |
| 73 | | | | | 32,905,918 | | | | S&P 500 Index Options, Put | | | | | MSC | | | | | | 9/29/23 | | | | | $ | 3,560.00 | | | | | | (7,118) | | |
| 73 | | | | | 32,905,918 | | | | S&P 500 Index Options, Put | | | | | MSC | | | | | | 10/31/23 | | | | | $ | 3,660.00 | | | | | | (29,930) | | |
| 73 | | | | | 32,905,918 | | | | S&P 500 Index Options, Put | | | | | MSC | | | | | | 11/30/23 | | | | | $ | 3,610.00 | | | | | | (57,670) | | |
| | | | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN | | | | | | ||||||||||||||||||||
| | | | | | | | | | (Premiums received – $584,027) | | | | | | | | | | | | | $ | (288,413) | | |
| | | 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) | | | | $ | 4,012,782,530 | | | | | $ | 866,482,632 | | | | | $ | 2,538,298,804 | | | | | $ | 629,811,005 | | | | | $ | 2,211,277,074 | | |
Foreign currency, at value(3) | | | | | 219 | | | | | | — | | | | | | 332,283 | | | | | | 67,503 | | | | | | — | | |
Cash | | | | | 142,776 | | | | | | 87,794 | | | | | | 273,538 | | | | | | 35,189 | | | | | | 128,865 | | |
Receivable for securities sold | | | | | 14,543,799 | | | | | | 1,916,963 | | | | | | 1,411,313 | | | | | | 1,951,422 | | | | | | 54,265,553 | | |
Dividends and interest receivable | | | | | 4,357,767 | | | | | | 898,335 | | | | | | 8,460,025 | | | | | | 2,590,133 | | | | | | 13,583,597 | | |
Receivable for Fund shares sold | | | | | 1,277,781 | | | | | | 589,956 | | | | | | 797,785 | | | | | | 160,799 | | | | | | 642,506 | | |
Cash held at Broker | | | | | 191,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,008,981 | | |
Prepaid expenses | | | | | 116,063 | | | | | | 21,183 | | | | | | 49,996 | | | | | | 41,985 | | | | | | 30,870 | | |
Prepaid Chief Compliance Officer expense | | | | | 10,236 | | | | | | 465 | | | | | | — | | | | | | 4,803 | | | | | | — | | |
Total Assets | | | | | 4,033,422,171 | | | | | | 869,997,328 | | | | | | 2,549,623,744 | | | | | | 634,662,839 | | | | | | 2,280,937,446 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for collateral received from securities on loan | | | | | — | | | | | | 22,079,194 | | | | | | 20,632,983 | | | | | | 10,518,183 | | | | | | — | | |
Payable for Fund shares repurchased | | | | | 3,270,862 | | | | | | 882,883 | | | | | | 2,005,672 | | | | | | 659,913 | | | | | | 1,796,909 | | |
Payable for securities purchased | | | | | 20,782,464 | | | | | | 2,345,019 | | | | | | 2,412,347 | | | | | | — | | | | | | 137,572,927 | | |
Investment management fee payable | | | | | 2,089,673 | | | | | | 633,022 | | | | | | 1,216,135 | | | | | | 372,049 | | | | | | 1,015,252 | | |
Transfer agent fees payable | | | | | 1,111,173 | | | | | | 230,020 | | | | | | 626,060 | | | | | | 139,963 | | | | | | 530,073 | | |
Custody fee payable | | | | | 153,023 | | | | | | 76,061 | | | | | | 72,649 | | | | | | 5,401 | | | | | | 217,514 | | |
Trustees’ fees payable | | | | | 138,520 | | | | | | 36,968 | | | | | | 117,023 | | | | | | 12,283 | | | | | | 64,218 | | |
Registration fees payable | | | | | 167,415 | | | | | | 71,501 | | | | | | 181,792 | | | | | | — | | | | | | 88,135 | | |
Shareholder services | | | | | 104,949 | | | | | | 37,404 | | | | | | 38,177 | | | | | | 26,007 | | | | | | 118,257 | | |
Variation margin on open future contracts (Note 4) | | | | | 6,937 | | | | | | — | | | | | | — | | | | | | — | | | | | | 69,020 | | |
Forward sale commitments(5) (Note 5) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 25,149,680 | | |
Options contracts written, at value(6) (Note 4) | | | | | — | | | | | | — | | | | | | 6,236 | | | | | | 9,630 | | | | | | — | | |
Foreign capital gains tax payable | | | | | — | | | | | | — | | | | | | 3,125,317 | | | | | | — | | | | | | — | | |
Accrued Chief Compliance Officer expense | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 15,021 | | |
Accrued expenses | | | | | 323,786 | | | | | | 66,019 | | | | | | 329,497 | | | | | | 2,059 | | | | | | 217,463 | | |
Variation margin on open swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,047,632 | | |
Total Liabilities | | | | | 28,148,802 | | | | | | 26,458,091 | | | | | | 30,763,888 | | | | | | 11,745,488 | | | | | | 167,902,101 | | |
Total Net Assets | | | | $ | 4,005,273,369 | | | | | $ | 843,539,237 | | | | | $ | 2,518,859,856 | | | | | $ | 622,917,351 | | | | | $ | 2,113,035,345 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 290,334 | | | | | $ | 72,556 | | | | | $ | 207,502 | | | | | $ | 56,396 | | | | | $ | 256,478 | | |
Paid-in capital in excess of par value | | | | | 2,884,459,186 | | | | | | 754,130,587 | | | | | | 2,342,053,540 | | | | | | 600,023,494 | | | | | | 2,528,378,110 | | |
Total distributable earnings (losses) | | | | | 1,120,523,849 | | | | | | 89,336,094 | | | | | | 176,598,814 | | | | | | 22,837,461 | | | | | | (415,599,243) | | |
Total Net Assets | | | | $ | 4,005,273,369 | | | | | $ | 843,539,237 | | | | | $ | 2,518,859,856 | | | | | $ | 622,917,351 | | | | | $ | 2,113,035,345 | | |
Total Net Assets Class I | | | | $ | 3,628,427,714 | | | | | $ | 764,415,345 | | | | | $ | 2,280,007,222 | | | | | $ | 567,350,660 | | | | | $ | 1,919,151,080 | | |
Total Net Assets Class Z | | | | $ | 376,845,655 | | | | | $ | 79,123,892 | | | | | $ | 238,852,634 | | | | | $ | 55,566,691 | | | | | $ | 193,884,265 | | |
Shares Outstanding Class I | | | | | 255,484,379 | | | | | | 63,639,196 | | | | | | 185,049,608 | | | | | | 51,201,401 | | | | | | 233,551,688 | | |
Shares Outstanding Class Z | | | | | 34,849,183 | | | | | | 8,917,197 | | | | | | 22,452,571 | | | | | | 5,194,137 | | | | | | 22,926,718 | | |
Net Asset Value Class I | | | | $ | 14.20 | | | | | $ | 12.01 | | | | | $ | 12.32 | | | | | $ | 11.08 | | | | | $ | 8.22 | | |
Net Asset Value Class Z | | | | $ | 10.81 | | | | | $ | 8.87 | | | | | $ | 10.64 | | | | | $ | 10.70 | | | | | $ | 8.46 | | |
(1) Investments, at cost | | | | $ | 2,926,224,889 | | | | | $ | 733,114,854 | | | | | $ | 2,244,184,657 | | | | | $ | 593,292,358 | | | | | $ | 2,455,253,474 | | |
(2) Includes securities on loan | | | | $ | — | | | | | $ | 21,308,567 | | | | | $ | 19,398,663 | | | | | $ | 9,937,135 | | | | | $ | — | | |
(3) Foreign currency, at cost | | | | $ | 221 | | | | | $ | — | | | | | $ | 332,977 | | | | | $ | 68,604 | | | | | $ | — | | |
(4) Related to futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(5) Proceeds received | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 25,246,813 | | |
(6) Premiums received | | | | $ | — | | | | | $ | — | | | | | $ | 10,694 | | | | | $ | 10,376 | | | | | $ | — | | |
(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) | | | | $ | 408,837,348 | | | | | $ | 838,373,638 | | | | | $ | 890,591,556 | | | | | $ | 791,821,685 | | | | | $ | 101,384,823 | | |
Foreign currency, at value(3) | | | | | 422 | | | | | | 250 | | | | | | — | | | | | | — | | | | | | — | | |
Cash | | | | | 55,256 | | | | | | 144,213 | | | | | | 196,620 | | | | | | 420,221 | | | | | | 3,991 | | |
Receivable for securities sold | | | | | 4,176,767 | | | | | | 7,308,013 | | | | | | 3,684,770 | | | | | | 7,318,587 | | | | | | 1,197,629 | | |
Dividends and interest receivable | | | | | 5,166,849 | | | | | | 11,149,971 | | | | | | 9,103,142 | | | | | | 3,719,837 | | | | | | 160,260 | | |
Receivable for Fund shares sold | | | | | 676,949 | | | | | | 223,956 | | | | | | 158,211 | | | | | | 346,443 | | | | | | 649 | | |
Receivable for expense reimbursement | | | | | — | | | | | | — | | | | | | 8,468 | | | | | | — | | | | | | — | | |
Unrealized appreciation on open forward foreign currency contracts (Note 4) | | | | | 379,890 | | | | | | 529,232 | | | | | | — | | | | | | — | | | | | | — | | |
Variation margin on open future contracts (Note 4) | | | | | — | | | | | | — | | | | | | 20,775 | | | | | | — | | | | | | — | | |
Unrealized appreciation on swap contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | 9,857,507 | | | | | | — | | |
Upfront premiums paid on swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | 3,323,622 | | | | | | — | | |
Deposits with counterparty(4) | | | | | — | | | | | | 2,765,000 | | | | | | — | | | | | | 11,053,778 | | | | | | — | | |
Cash held at Broker | | | | | — | | | | | | 3,553,098 | | | | | | — | | | | | | 52,490,006 | | | | | | — | | |
Prepaid expenses | | | | | 25,230 | | | | | | 27,746 | | | | | | 16,875 | | | | | | 10,577 | | | | | | 30,853 | | |
Prepaid Chief Compliance Officer expense | | | | | — | | | | | | 3,277 | | | | | | — | | | | | | — | | | | | | — | | |
Other assets | | | | | — | | | | | | 8,469 | | | | | | — | | | | | | — | | | | | | — | | |
Total Assets | | | | | 419,318,711 | | | | | | 864,086,863 | | | | | | 903,780,417 | | | | | | 880,362,263 | | | | | | 102,778,205 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for collateral received from securities on loan | | | | | — | | | | | | 843,675 | | | | | | — | | | | | | 100 | | | | | | — | | |
Payable for Fund shares repurchased | | | | | 349,504 | | | | | | 754,692 | | | | | | 980,122 | | | | | | 696,745 | | | | | | 65,926 | | |
Payable for securities purchased | | | | | 8,731,680 | | | | | | 22,661,259 | | | | | | 5,743,548 | | | | | | 1,958,687 | | | | | | 825,736 | | |
Investment management fee payable | | | | | 216,675 | | | | | | 519,094 | | | | | | 417,310 | | | | | | 630,703 | | | | | | 63,281 | | |
Transfer agent fees payable | | | | | 96,744 | | | | | | 185,333 | | | | | | 222,302 | | | | | | 208,660 | | | | | | 28,997 | | |
Custody fee payable | | | | | 73,222 | | | | | | 55,393 | | | | | | 95,693 | | | | | | 125,837 | | | | | | 33,280 | | |
Trustees’ fees payable | | | | | 15,698 | | | | | | 15,958 | | | | | | 22,990 | | | | | | 46,824 | | | | | | 3,971 | | |
Registration fees payable | | | | | 13,996 | | | | | | 23,923 | | | | | | 11,810 | | | | | | 41,865 | | | | | | 51,456 | | |
Shareholder services | | | | | 1,433 | | | | | | 26,209 | | | | | | 46,426 | | | | | | 47,535 | | | | | | — | | |
Upfront premiums received on swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | 11,366,800 | | | | | | — | | |
Unrealized depreciation on swap contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | 207,257 | | | | | | — | | |
Securities sold short(5) (Note 5) | | | | | — | | | | | | 2,297,208 | | | | | | — | | | | | | 40,922,894 | | | | | | — | | |
Options contracts written, at value(6) (Note 4) | | | | | — | | | | | | 185,781 | | | | | | — | | | | | | — | | | | | | 288,413 | | |
Unrealized depreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | 2,824 | | | | | | — | | | | | | — | | | | | | — | | |
Investment interest payable on securities sold short | | | | | — | | | | | | 58,503 | | | | | | — | | | | | | — | | | | | | — | | |
Accrued Chief Compliance Officer expense | | | | | — | | | | | | — | | | | | | — | | | | | | 11,091 | | | | | | — | | |
Accrued expenses | | | | | 88,244 | | | | | | 17,400 | | | | | | 34,837 | | | | | | 96,250 | | | | | | 12,253 | | |
Other liabilities | | | | | — | | | | | | 149,210 | | | | | | — | | | | | | — | | | | | | — | | |
Total Liabilities | | | | | 9,587,196 | | | | | | 27,796,462 | | | | | | 7,575,038 | | | | | | 56,361,248 | | | | | | 1,373,313 | | |
Total Net Assets | | | | $ | 409,731,515 | | | | | $ | 836,290,401 | | | | | $ | 896,205,379 | | | | | $ | 824,001,015 | | | | | $ | 101,404,892 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 44,727 | | | | | $ | 91,945 | | | | | $ | 94,324 | | | | | $ | 80,087 | | | | | $ | 10,478 | | |
Paid-in capital in excess of par value | | | | | 448,030,523 | | | | | | 914,612,792 | | | | | | 945,154,202 | | | | | | 807,055,528 | | | | | | 105,856,017 | | |
Total distributable earnings (losses) | | | | | (38,343,735) | | | | | | (78,414,336) | | | | | | (49,043,147) | | | | | | 16,865,400 | | | | | | (4,461,603) | | |
Total Net Assets | | | | $ | 409,731,515 | | | | | $ | 836,290,401 | | | | | $ | 896,205,379 | | | | | $ | 824,001,015 | | | | | $ | 101,404,892 | | |
Total Net Assets Class I | | | | $ | 376,204,892 | | | | | $ | 767,072,092 | | | | | $ | 848,011,280 | | | | | $ | 758,494,562 | | | | | $ | 99,392,108 | | |
Total Net Assets Class Z | | | | $ | 33,526,623 | | | | | $ | 69,218,309 | | | | | $ | 48,194,099 | | | | | $ | 65,506,453 | | | | | $ | 2,012,784 | | |
Shares Outstanding Class I | | | | | 41,145,569 | | | | | | 84,471,588 | | | | | | 89,266,407 | | | | | | 73,565,549 | | | | | | 10,267,160 | | |
Shares Outstanding Class Z | | | | | 3,581,162 | | | | | | 7,473,319 | | | | | | 5,057,394 | | | | | | 6,521,464 | | | | | | 210,523 | | |
Net Asset Value Class I | | | | $ | 9.14 | | | | | $ | 9.08 | | | | | $ | 9.50 | | | | | $ | 10.31 | | | | | $ | 9.68 | | |
Net Asset Value Class Z | | | | $ | 9.36 | | | | | $ | 9.26 | | | | | $ | 9.53 | | | | | $ | 10.04 | | | | | $ | 9.56 | | |
(1) Investments, at cost | | | | $ | 434,419,712 | | | | | $ | 882,010,408 | | | | | $ | 910,493,644 | | | | | $ | 782,496,098 | | | | | $ | 96,978,614 | | |
(2) Includes securities on loan | | | | $ | — | | | | | $ | 826,573 | | | | | $ | — | | | | | $ | 22 | | | | | $ | — | | |
(3) Foreign currency, at cost | | | | $ | 422 | | | | | $ | 250 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(4) Related to futures contracts | | | | $ | — | | | | | $ | 2,765,000 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(5) Proceeds received | | | | $ | — | | | | | $ | 2,300,251 | | | | | $ | — | | | | | $ | 57,494,936 | | | | | $ | — | | |
(6) Premiums received | ��� | | | $ | — | | | | | $ | 150,066 | | | | | $ | — | | | | | $ | — | | | | | $ | 584,027 | | |
(7) Related to swap contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
| | | 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 | | | | $ | 26,461,428 | | | | | $ | 6,125,759 | | | | | $ | 50,029,198 | | | | | $ | 16,094,069 | | | | | $ | 925,268 | | |
Interest | | | | | 1,395,778 | | | | | | 547,488 | | | | | | 1,847,304 | | | | | | 366,493 | | | | | | 38,452,266 | | |
Income from securities lending | | | | | 118,611 | | | | | | 161,194 | | | | | | 179,631 | | | | | | 43,077 | | | | | | — | | |
Less: Foreign taxes withheld (Note 5) | | | | | (459,361) | | | | | | (91) | | | | | | (4,980,902) | | | | | | (819,484) | | | | | | — | | |
Miscellaneous income | | | | | — | | | | | | — | | | | | | 79,086 | | | | | | — | | | | | | 438 | | |
Total Investment Income | | | | | 27,516,456 | | | | | | 6,834,350 | | | | | | 47,154,317 | | | | | | 15,684,155 | | | | | | 39,377,972 | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee (Note 7) | | | | | 15,669,613 | | | | | | 4,166,596 | | | | | | 12,172,543 | | | | | | 2,731,711 | | | | | | 6,806,429 | | |
Transfer agent fees | | | | | 2,864,630 | | | | | | 648,289 | | | | | | 1,665,776 | | | | | | 483,691 | | | | | | 1,442,531 | | |
Custody fees | | | | | 414,248 | | | | | | 151,270 | | | | | | 427,713 | | | | | | 92,396 | | | | | | 421,034 | | |
Trustees’ fees | | | | | 238,900 | | | | | | 63,434 | | | | | | 136,033 | | | | | | 30,110 | | | | | | 118,341 | | |
Insurance | | | | | 51,825 | | | | | | 13,712 | | | | | | 26,122 | | | | | | 5,516 | | | | | | 75,676 | | |
Audit and tax | | | | | 92,184 | | | | | | 23,521 | | | | | | 42,445 | | | | | | 17,228 | | | | | | 42,616 | | |
Legal expense | | | | | 92,997 | | | | | | 23,817 | | | | | | 55,976 | | | | | | 12,481 | | | | | | 45,247 | | |
Chief Compliance Officer expense | | | | | 55,934 | | | | | | 13,647 | | | | | | 45,235 | | | | | | 7,487 | | | | | | 40,011 | | |
Shareholder reports fees | | | | | 4,377 | | | | | | 1,255 | | | | | | 2,260 | | | | | | 604 | | | | | | 2,070 | | |
Shareholder services | | | | | 111,789 | | | | | | 57,410 | | | | | | 81,569 | | | | | | 54,690 | | | | | | 84,988 | | |
Registration fees | | | | | 151,233 | | | | | | 80,033 | | | | | | 126,086 | | | | | | 27,289 | | | | | | 79,635 | | |
Miscellaneous expense | | | | | 104,083 | | | | | | 29,680 | | | | | | 116,442 | | | | | | 9,977 | | | | | | 98,992 | | |
Interest and dividend expense | | | | | 43,603 | | | | | | 22,334 | | | | | | 5,552 | | | | | | 5,262 | | | | | | 8,808 | | |
Total Expenses | | | | | 19,895,416 | | | | | | 5,294,998 | | | | | | 14,903,752 | | | | | | 3,478,442 | | | | | | 9,266,378 | | |
Less: Fee waivers and/or expense reimbursement (Note 7) | | | | | (2,971,866) | | | | | | (7,647) | | | | | | (2,780,571) | | | | | | (344,559) | | | | | | (850,615) | | |
Net Expenses | | | | | 16,923,550 | | | | | | 5,287,351 | | | | | | 12,123,181 | | | | | | 3,133,883 | | | | | | 8,415,763 | | |
Net Investment Income (Loss) | | | | $ | 10,592,906 | | | | | $ | 1,546,999 | | | | | $ | 35,031,136 | | | | | $ | 12,550,272 | | | | | $ | 30,962,209 | | |
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 | | | | $ | 154,892,643 | | | | | $ | 27,131,916 | | | | | $ | (1,249,169)* | | | | | $ | (11,473,894) | | | | | $ | (31,716,902) | | |
Futures contracts | | | | | 245,676 | | | | | | — | | | | | | — | | | | | | — | | | | | | 959,276 | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,301,331 | | |
Options contracts written | | | | | — | | | | | | — | | | | | | 33,481 | | | | | | 141,183 | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (28,301) | | |
Swap contracts | | | | | — | | | | | | — | | | | | | 122,002 | | | | | | — | | | | | | — | | |
Forward foreign currency contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | 5,622 | | | | | | — | | | | | | (568,223) | | | | | | (15,519) | | | | | | — | | |
Realized Gain (Loss) | | | | | 155,143,941 | | | | | | 27,131,916 | | | | | | (1,661,909) | | | | | | (11,348,230) | | | | | | (29,484,596) | | |
Change in Net Unrealized Appreciation (Depreciation) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 315,781,960 | | | | | | (9,414,722) | | | | | | 76,182,440** | | | | | | 2,439,222 | | | | | | 14,709,083 | | |
Futures contracts | | | | | 102,351 | | | | | | — | | | | | | — | | | | | | — | | | | | | (329,096) | | |
Unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 118 | | |
Options contracts written | | | | | — | | | | | | — | | | | | | 20,045 | | | | | | (1,559) | | | | | | — | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (160,807) | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 158,481 | | |
Forward foreign currency contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | (957) | | | | | | — | | | | | | 206,090 | | | | | | 21,982 | | | | | | — | | |
Change in Net Unrealized Appreciation (Depreciation): | | | | | 315,883,354 | | | | | | (9,414,722) | | | | | | 76,408,575 | | | | | | 2,459,645 | | | | | | 14,377,779 | | |
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 | | | | | 471,027,295 | | | | | | 17,717,194 | | | | | | 74,746,666 | | | | | | (8,888,585) | | | | | | (15,106,817) | | |
Total Increase (Decrease) in Net Assets from Operations | | | | $ | 481,620,201 | | | | | $ | 19,264,193 | | | | | $ | 109,777,802 | | | | | $ | 3,661,687 | | | | | $ | 15,855,392 | | |
| | | 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 | | | | $ | 765,694 | | | | | $ | 3,341,675 | | | | | $ | 305,996 | | | | | $ | 4,497,969 | | | | | $ | 837,682 | | |
Interest | | | | | 14,188,247 | | | | | | 24,363,495 | | | | | | 13,659,410 | | | | | | 20,604,216 | | | | | | 27,451 | | |
Income from securities lending | | | | | 6,255 | | | | | | 48,356 | | | | | | — | | | | | | 2,332 | | | | | | — | | |
Less: Foreign taxes withheld (Note 5) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (4,294) | | |
Miscellaneous income | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Investment Income | | | | | 14,960,196 | | | | | | 27,753,526 | | | | | | 13,965,406 | | | | | | 25,104,517 | | | | | | 860,839 | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee (Note 7) | | | | | 1,480,369 | | | | | | 3,350,346 | | | | | | 3,132,954 | | | | | | 5,409,725 | | | | | | 430,104 | | |
Transfer agent fees | | | | | 307,596 | | | | | | 560,814 | | | | | | 646,563 | | | | | | 573,237 | | | | | | 81,111 | | |
Custody fees | | | | | 119,679 | | | | | | 136,782 | | | | | | 193,794 | | | | | | 174,121 | | | | | | 48,622 | | |
Trustees’ fees | | | | | 27,951 | | | | | | 37,805 | | | | | | 47,159 | | | | | | 63,612 | | | | | | 6,492 | | |
Insurance | | | | | 6,585 | | | | | | 8,127 | | | | | | 11,809 | | | | | | 13,461 | | | | | | 2,031 | | |
Audit and tax | | | | | 11,999 | | | | | | 15,787 | | | | | | 16,963 | | | | | | 25,983 | | | | | | 4,180 | | |
Legal expense | | | | | 10,889 | | | | | | 13,552 | | | | | | 18,602 | | | | | | 45,141 | | | | | | 2,122 | | |
Chief Compliance Officer expense | | | | | 7,647 | | | | | | 9,345 | | | | | | 17,513 | | | | | | 20,790 | | | | | | 2,438 | | |
Shareholder reports fees | | | | | 23,086 | | | | | | 821 | | | | | | 894 | | | | | | 1,371 | | | | | | 61 | | |
Shareholder services | | | | | 46,596 | | | | | | 51,462 | | | | | | 15,774 | | | | | | 65,694 | | | | | | 1,439 | | |
Registration fees | | | | | 37,104 | | | | | | 54,766 | | | | | | 34,918 | | | | | | 53,088 | | | | | | 86,244 | | |
Miscellaneous expense | | | | | 28,322 | | | | | | 39,514 | | | | | | 19,737 | | | | | | 34,843 | | | | | | 11,115 | | |
Interest and dividend expense | | | | | 6,201 | | | | | | 92,476 | | | | | | 746 | | | | | | 378,846 | | | | | | 354 | | |
Total Expenses | | | | | 2,114,024 | | | | | | 4,371,597 | | | | | | 4,157,426 | | | | | | 6,859,912 | | | | | | 676,313 | | |
Less: Fee waivers and/or expense reimbursement (Note 7) | | | | | (74,481) | | | | | | (500,073) | | | | | | (702,224) | | | | | | (1,738,191) | | | | | | (55,900) | | |
Net Expenses | | | | | 2,039,543 | | | | | | 3,871,524 | | | | | | 3,455,202 | | | | | | 5,121,721 | | | | | | 620,413 | | |
Net Investment Income (Loss) | | | | $ | 12,920,653 | | | | | $ | 23,882,002 | | | | | $ | 10,510,204 | | | | | $ | 19,982,796 | | | | | $ | 240,426 | | |
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 | | | | $ | (7,934,342) | | | | | $ | (14,171,314) | | | | | $ | (3,773,721) | | | | | $ | 3,405,419 | | | | | $ | (5,159,081) | | |
Futures contracts | | | | | — | | | | | | — | | | | | | 72,699 | | | | | | — | | | | | | — | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Options contracts written | | | | | — | | | | | | 454,235 | | | | | | — | | | | | | — | | | | | | (298,724) | | |
Securities sold short | | | | | — | | | | | | 177,612 | | | | | | — | | | | | | 10,066,143 | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | 2,340,951 | | | | | | — | | |
Forward foreign currency contracts | | | | | (1,432,785) | | | | | | (1,454,266) | | | | | | — | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | 895,937 | | | | | | 971,529 | | | | | | — | | | | | | — | | | | | | — | | |
Realized Gain (Loss) | | | | | (8,471,190) | | | | | | (14,022,204) | | | | | | (3,701,022) | | | | | | 15,812,513 | | | | | | (5,457,805) | | |
Change in Net Unrealized Appreciation (Depreciation) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 6,508,165 | | | | | | 10,293,761 | | | | | | 1,124,645 | | | | | | (5,420,109) | | | | | | 16,212,136 | | |
Futures contracts | | | | | — | | | | | | — | | | | | | (19,078) | | | | | | — | | | | | | — | | |
Unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Options contracts written | | | | | — | | | | | | (172,843) | | | | | | — | | | | | | — | | | | | | (135,290) | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | (107,808) | | | | | | — | | | | | | (5,262,381) | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | 4,718,801 | | | | | | — | | |
Forward foreign currency contracts | | | | | (193,318) | | | | | | 106,838 | | | | | | — | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | (134,708) | | | | | | (173,588) | | | | | | — | | | | | | — | | | | | | — | | |
Change in Net Unrealized Appreciation (Depreciation): | | | | | 6,180,139 | | | | | | 9,946,360 | | | | | | 1,105,567 | | | | | | (5,963,689) | | | | | | 16,076,846 | | |
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 | | | | | (2,291,051) | | | | | | (4,075,844) | | | | | | (2,595,455) | | | | | | 9,848,824 | | | | | | 10,619,041 | | |
Total Increase (Decrease) in Net Assets from Operations | | | | $ | 10,629,602 | | | | | $ | 19,806,158 | | | | | $ | 7,914,749 | | | | | $ | 29,831,620 | | | | | $ | 10,859,467 | | |
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | |||||||||||||||||||||||||||
| | | August 31, 2023 | | | February 28, 2023 | | | August 31, 2023 | | | February 28, 2023 | | | August 31, 2023 | | | February 28, 2023 | | ||||||||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
Net investment income (loss) | | | | $ | 10,592,906 | | | | | $ | 30,019,640 | | | | | $ | 1,546,999 | | | | | $ | 4,320,997 | | | | | $ | 35,031,136 | | | | | $ | 23,057,959 | | |
Net realized gain (loss) | | | | | 155,143,941 | | | | | | (113,462,263) | | | | | | 27,131,916 | | | | | | (68,894,421) | | | | | | (1,661,909) | | | | | | (108,951,275) | | |
Change in unrealized appreciation (depreciation) | | | | | 315,883,354 | | | | | | (308,710,516) | | | | | | (9,414,722) | | | | | | (15,766,967) | | | | | | 76,408,575 | | | | | | (170,786,833) | | |
Increase (Decrease) in Net Assets From Operations | | | | | 481,620,201 | | | | | | (392,153,139) | | | | | | 19,264,193 | | | | | | (80,340,391) | | | | | | 109,777,802 | | | | | | (256,680,149) | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | — | | | | | | (208,655,308) | | | | | | — | | | | | | (34,942,635) | | | | | | — | | | | | | (47,929,247) | | |
Class Z | | | | | — | | | | | | (27,383,971) | | | | | | — | | | | | | (4,523,397) | | | | | | — | | | | | | (5,791,597) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | — | | | | | | (236,039,279) | | | | | | — | | | | | | (39,466,032) | | | | | | — | | | | | | (53,720,844) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 158,043,698 | | | | | | 504,336,142 | | | | | | 38,784,738 | | | | | | 133,573,872 | | | | | | 562,951,898 | | | | | | 228,834,565 | | |
Class Z | | | | | 29,872,990 | | | | | | 78,471,942 | | | | | | 6,615,668 | | | | | | 20,629,275 | | | | | | 66,186,743 | | | | | | 37,882,738 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | — | | | | | | 206,900,479 | | | | | | — | | | | | | 34,693,512 | | | | | | — | | | | | | 47,529,535 | | |
Class Z | | | | | — | | | | | | 26,936,686 | | | | | | — | | | | | | 4,443,660 | | | | | | — | | | | | | 5,691,480 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (958,389,101) | | | | | | (938,155,299) | | | | | | (327,279,114) | | | | | | (222,745,216) | | | | | | (222,444,714) | | | | | | (574,480,158) | | |
Class Z | | | | | (94,658,024) | | | | | | (150,588,094) | | | | | | (30,429,023) | | | | | | (37,594,065) | | | | | | (21,599,535) | | | | | | (82,840,187) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | (865,130,437) | | | | | | (272,098,144) | | | | | | (312,307,731) | | | | | | (66,998,962) | | | | | | 385,094,392 | | | | | | (337,382,027) | | |
Increase (Decrease) in Net Assets | | | | | (383,510,236) | | | | | | (900,290,562) | | | | | | (293,043,538) | | | | | | (186,805,385) | | | | | | 494,872,194 | | | | | | (647,783,020) | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 4,388,783,605 | | | | | | 5,289,074,167 | | | | | | 1,136,582,775 | | | | | | 1,323,388,160 | | | | | | 2,023,987,662 | | | | | | 2,671,770,682 | | |
End of period | | | | $ | 4,005,273,369 | | | | | $ | 4,388,783,605 | | | | | $ | 843,539,237 | | | | | $ | 1,136,582,775 | | | | | $ | 2,518,859,856 | | | | | $ | 2,023,987,662 | | |
| | | Destinations Equity Income Fund | | | Destinations Core Fixed Income Fund | | ||||||||||||||||||
| | | August 31, 2023 | | | February 28, 2023 | | | August 31, 2023 | | | February 28, 2023 | | ||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 12,550,272 | | | | | $ | 17,968,124 | | | | | $ | 30,962,209 | | | | | $ | 56,483,287 | | |
Net realized gain (loss) | | | | | (11,348,230) | | | | | | 13,464,926 | | | | | | (29,484,596) | | | | | | (111,507,289) | | |
Change in unrealized appreciation (depreciation) | | | | | 2,459,645 | | | | | | (35,314,418) | | | | | | 14,377,779 | | | | | | (164,503,972) | | |
Increase (Decrease) in Net Assets From Operations | | | | | 3,661,687 | | | | | | (3,881,368) | | | | | | 15,855,392 | | | | | | (219,527,974) | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5): | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (12,707,260) | | | | | | (27,242,743) | | | | | | (35,132,107) | | | | | | (51,511,757) | | |
Class Z | | | | | (1,266,171) | | | | | | (2,606,305) | | | | | | (3,474,026) | | | | | | (4,935,258) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (13,973,431) | | | | | | (29,849,048) | | | | | | (38,606,133) | | | | | | (56,447,015) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 29,660,289 | | | | | | 297,686,879 | | | | | | 318,874,271 | | | | | | 403,068,744 | | |
Class Z | | | | | 5,343,140 | | | | | | 32,837,879 | | | | | | 40,796,623 | | | | | | 52,229,510 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 12,600,477 | | | | | | 27,030,415 | | | | | | 34,824,258 | | | | | | 51,103,461 | | |
Class Z | | | | | 1,226,958 | | | | | | 2,504,455 | | | | | | 3,412,040 | | | | | | 4,834,646 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (117,134,041) | | | | | | (111,671,803) | | | | | | (207,110,438) | | | | | | (411,011,008) | | |
Class Z | | | | | (10,171,214) | | | | | | (16,748,275) | | | | | | (18,354,614) | | | | | | (64,928,010) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | (78,474,391) | | | | | | 231,639,550 | | | | | | 172,442,140 | | | | | | 35,297,343 | | |
Increase (Decrease) in Net Assets | | | | | (88,786,135) | | | | | | 197,909,134 | | | | | | 149,691,399 | | | | | | (240,677,646) | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 711,703,486 | | | | | | 513,794,352 | | | | | | 1,963,343,946 | | | | | | 2,204,021,592 | | |
End of period | | | | $ | 622,917,351 | | | | | $ | 711,703,486 | | | | | $ | 2,113,035,345 | | | | | $ | 1,963,343,946 | | |
| | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | |||||||||||||||||||||||||||
| | | August 31, 2023 | | | February 28, 2023 | | | August 31, 2023 | | | February 28, 2023 | | | August 31, 2023 | | | February 28, 2023 | | ||||||||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 12,920,653 | | | | | $ | 24,589,689 | | | | | $ | 23,882,002 | | | | | $ | 34,061,879 | | | | | $ | 10,510,204 | | | | | $ | 13,962,205 | | |
Net realized gain (loss) | | | | | (8,471,190) | | | | | | (1,752,868) | | | | | | (14,022,204) | | | | | | (12,472,083) | | | | | | (3,701,022) | | | | | | (13,511,455) | | |
Change in unrealized appreciation (depreciation) | | | | | 6,180,139 | | | | | | (22,815,109) | | | | | | 9,946,360 | | | | | | (37,561,560) | | | | | | 1,105,567 | | | | | | (30,088,734) | | |
Increase (Decrease) in Net Assets From Operations | | | | | 10,629,602 | | | | | | 21,712 | | | | | | 19,806,158 | | | | | | (15,971,764) | | | | | | 7,914,749 | | | | | | (29,637,984) | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (11,755,296) | | | | | | (26,958,411) | | | | | | (21,615,996) | | | | | | (30,862,604) | | | | | | (11,514,751) | | | | | | (16,101,585) | | |
Class Z | | | | | (1,027,713) | | | | | | (2,249,387) | | | | | | (1,893,905) | | | | | | (2,718,796) | | | | | | (673,411) | | | | | | (912,995) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (12,783,009) | | | | | | (29,207,798) | | | | | | (23,509,901) | | | | | | (33,581,400) | | | | | | (12,188,162) | | | | | | (17,014,580) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 27,284,971 | | | | | | 90,253,320 | | | | | | 169,636,019 | | | | | | 119,399,527 | | | | | | 115,418,014 | | | | | | 160,539,965 | | |
Class Z | | | | | 5,532,674 | | | | | | 9,730,784 | | | | | | 17,487,197 | | | | | | 13,620,653 | | | | | | 10,785,287 | | | | | | 17,583,000 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 11,643,430 | | | | | | 26,746,026 | | | | | | 21,418,234 | | | | | | 30,612,580 | | | | | | 11,386,509 | | | | | | 15,945,827 | | |
Class Z | | | | | 1,008,142 | | | | | | 2,197,436 | | | | | | 1,847,061 | | | | | | 2,640,802 | | | | | | 647,089 | | | | | | 875,610 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (112,104,696) | | | | | | (177,476,575) | | | | | | (82,233,296) | | | | | | (142,145,739) | | | | | | (93,672,282) | | | | | | (200,082,715) | | |
Class Z | | | | | (9,829,517) | | | | | | (21,925,643) | | | | | | (6,777,337) | | | | | | (21,479,728) | | | | | | (6,846,860) | | | | | | (17,658,567) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | (76,464,996) | | | | | | (70,474,652) | | | | | | 121,377,878 | | | | | | 2,648,095 | | | | | | 37,717,757 | | | | | | (22,796,880) | | |
Increase (Decrease) in Net Assets | | | | | (78,618,403) | | | | | | (99,660,738) | | | | | | 117,674,135 | | | | | | (46,905,069) | | | | | | 33,444,344 | | | | | | (69,449,444) | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 488,349,918 | | | | | | 588,010,656 | | | | | | 718,616,266 | | | | | | 765,521,335 | | | | | | 862,761,035 | | | | | | 932,210,479 | | |
End of period | | | | $ | 409,731,515 | | | | | $ | 488,349,918 | | | | | $ | 836,290,401 | | | | | $ | 718,616,266 | | | | | $ | 896,205,379 | | | | | $ | 862,761,035 | | |
| | | Destinations Multi Strategy Alternatives Fund | | | Destinations Shelter Fund | | ||||||||||||||||||
| | | August 31, 2023 | | | February 28, 2023 | | | August 31, 2023 | | | February 28, 2023 | | ||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 19,982,796 | | | | | $ | 35,519,960 | | | | | $ | 240,426 | | | | | $ | 363,609 | | |
Net realized gain (loss) | | | | | 15,812,513 | | | | | | (32,215,484) | | | | | | (5,457,805) | | | | | | (2,762,442) | | |
Change in unrealized appreciation (depreciation) | | | | | (5,963,689) | | | | | | 7,486,759 | | | | | | 16,076,846 | | | | | | (8,098,003) | | |
Increase (Decrease) in Net Assets From Operations | | | | | 29,831,620 | | | | | | 10,791,235 | | | | | | 10,859,467 | | | | | | (10,496,836) | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5) : | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (12,334,940) | | | | | | (28,931,104) | | | | | | (153,311) | | | | | | (484,190) | | |
Class Z | | | | | (1,123,218) | | | | | | (2,659,540) | | | | | | (4,020) | | | | | | (11,403) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (13,458,158) | | | | | | (31,590,644) | | | | | | (157,331) | | | | ��� | | (495,593) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 78,353,556 | | | | | | 111,935,599 | | | | | | 1,655,126 | | | | | | 8,031,819 | | |
Class Z | | | | | 8,112,870 | | | | | | 18,229,720 | | | | | | 132,695 | | | | | | 289,310 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 12,221,483 | | | | | | 28,697,347 | | �� | | | | 153,311 | | | | | | 484,189 | | |
Class Z | | | | | 1,100,634 | | | | | | 2,601,205 | | | | | | 4,020 | | | | | | 11,403 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (198,061,128) | | | | | | (435,422,534) | | | | | | (12,326,645) | | | | | | (21,510,482) | | |
Class Z | | | | | (17,261,546) | | | | | | (55,202,524) | | | | | | (104,620) | | | | | | (461,290) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | (115,534,131) | | | | | | (329,161,187) | | | | | | (10,486,113) | | | | | | (13,155,051) | | |
Increase (Decrease) in Net Assets | | | | | (99,160,669) | | | | | | (349,960,596) | | | | | | 216,023 | | | | | | (24,147,480) | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 923,161,684 | | | | | | 1,273,122,280 | | | | | | 101,188,869 | | | | | | 125,336,349 | | |
End of period | | | | $ | 824,001,015 | | | | | $ | 923,161,684 | | | | | $ | 101,404,892 | | | | | $ | 101,188,869 | | |
| | | Class I | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 12.69 | | | | | $ | 14.44 | | | | | $ | 15.84 | | | | | $ | 11.88 | | | | | $ | 11.61 | | | | | $ | 11.71 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.03 | | | | | | 0.08 | | | | | | 0.04 | | | | | | 0.07 | | | | | | 0.10 | | | | | | 0.11 | | |
Net realized and unrealized gain (loss) | | | | | 1.48 | | | | | | (1.14) | | | | | | 1.33 | | | | | | 4.19 | | | | | | 0.40 | | | | | | 0.18 | | |
Total Income (Loss) from Operations | | | | | 1.51 | | | | | | (1.06) | | | | | | 1.37 | | | | | | 4.26 | | | | | | 0.50 | | | | | | 0.29 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.07) | | | | | | (0.10) | | | | | | (0.01) | | | | | | (0.10) | | | | | | (0.10) | | |
Net realized gain | | | | | — | | | | | | (0.62) | | | | | | (2.67) | | | | | | (0.29) | | | | | | (0.13) | | | | | | (0.29) | | |
Total Distributions | | | | | — | | | | | | (0.69) | | | | | | (2.77) | | | | | | (0.30) | | | | | | (0.23) | | | | | | (0.39) | | |
Net Asset Value, End of Period | | | | $ | 14.20 | | | | | $ | 12.69 | | | | | $ | 14.44 | | | | | $ | 15.84 | | | | | $ | 11.88 | | | | | $ | 11.61 | | |
Total Return(3) | | | | | 11.90%(4) | | | | | | (7.21)% | | | | | | 7.48% | | | | | | 35.94% | | | | | | 4.18% | | | | | | 2.73% | | |
Net Assets, End of Period (millions) | | | | $ | 3,628 | | | | | $ | 3,992 | | | | | $ | 4,783 | | | | | $ | 4,450 | | | | | $ | 3,651 | | | | | $ | 3,427 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.96%(5) | | | | | | 0.96% | | | | | | 0.95% | | | | | | 0.95% | | | | | | 0.95% | | | | | | 0.97% | | |
Net expenses(6) | | | | | 0.82%(5) | | | | | | 0.82% | | | | | | 0.80% | | | | | | 0.82% | | | | | | 0.82% | | | | | | 0.85% | | |
Net investment income(6) | | | | | 0.49%(5) | | | | | | 0.64% | | | | | | 0.21% | | | | | | 0.56% | | | | | | 0.84% | | | | | | 0.91% | | |
Portfolio Turnover Rate(7) | | | | | 43%(4) | | | | | | 71% | | | | | | 83% | | | | | | 48% | | | | | | 49% | | | | | | 28% | | |
| | | Class Z | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.65 | | | | | $ | 11.18 | | | | | $ | 12.81 | | | | | $ | 9.65 | | | | | $ | 9.46 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.03 | �� | | | | | 0.08 | | | | | | 0.05 | | | | | | 0.08 | | | | | | 0.10 | | | | | | 0.07 | | |
Net realized and unrealized gain (loss) | | | | | 1.13 | | | | | | (0.90) | | | | | | 1.12 | | | | | | 3.40 | | | | | | 0.34 | | | | | | (0.21) | | |
Total Income (Loss) from Operations | | | | | 1.16 | | | | | | (0.82) | | | | | | 1.17 | | | | | | 3.48 | | | | | | 0.44 | | | | | | (0.14) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.09) | | | | | | (0.13) | | | | | | (0.03) | | | | | | (0.12) | | | | | | (0.11) | | |
Net realized gain | | | | | — | | | | | | (0.62) | | | | | | (2.67) | | | | | | (0.29) | | | | | | (0.13) | | | | | | (0.29) | | |
Total Distributions | | | | | — | | | | | | (0.71) | | | | | | (2.80) | | | | | | (0.32) | | | | | | (0.25) | | | | | | (0.40) | | |
Net Asset Value, End of Period | | | | $ | 10.81 | | | | | $ | 9.65 | | | | | $ | 11.18 | | | | | $ | 12.81 | | | | | $ | 9.65 | | | | | $ | 9.46 | | |
Total Return(3) | | | | | 12.02%(4) | | | | | | (7.16)% | | | | | | 7.65% | | | | | | 36.16% | | | | | | 4.45% | | | | | | (0.94)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 377 | | | | | $ | 397 | | | | | $ | 506 | | | | | $ | 283 | | | | | $ | 200 | | | | | $ | 70 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.81%(5) | | | | | | 0.81% | | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.82%(5) | | |
Net expenses(6) | | | | | 0.67%(5) | | | | | | 0.67% | | | | | | 0.65% | | | | | | 0.67% | | | | | | 0.67% | | | | | | 0.70%(5) | | |
Net investment income(6) | | | | | 0.64%(5) | | | | | | 0.79% | | | | | | 0.36% | | | | | | 0.70% | | | | | | 0.96% | | | | | | 1.06%(5) | | |
Portfolio Turnover Rate(7) | | | | | 43%(4) | | | | | | 71% | | | | | | 83% | | ��� | | | | 48% | | | | | | 49% | | | | | | 28%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 11.79 | | | | | $ | 12.97 | | | | | $ | 16.43 | | | | | $ | 10.92 | | | | | $ | 11.31 | | | | | $ | 10.98 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(2) | | | | | 0.02 | | | | | | 0.04 | | | | | | (0.01) | | | | | | 0.01 | | | | | | 0.06 | | | | | | 0.06 | | |
Net realized and unrealized gain (loss) | | | | | 0.20 | | | | | | (0.82) | | | | | | 0.55 | | | | | | 5.80 | | | | | | 0.04 | | | | | | 0.84 | | |
Total Income (Loss) from Operations | | | | | 0.22 | | | | | | (0.78) | | | | | | 0.54 | | | | | | 5.81 | | | | | | 0.10 | | | | | | 0.90 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | — | | | | | | — | | | | | | (0.00)* | | | | | | (0.06) | | | | | | (0.05) | | |
Net realized gain | | | | | — | | | | | | (0.40) | | | | | | (4.00) | | | | | | (0.30) | | | | | | (0.43) | | | | | | (0.52) | | |
Total Distributions | | | | | — | | | | | | (0.40) | | | | | | (4.00) | | | | | | (0.30) | | | | | | (0.49) | | | | | | (0.57) | | |
Net Asset Value, End of Period | | | | $ | 12.01 | | | | | $ | 11.79 | | | | | $ | 12.97 | | | | | $ | 16.43 | | | | | $ | 10.92 | | | | | $ | 11.31 | | |
Total Return(3) | | | | | 1.87%(4) | | | | | | (5.86)% | | | | | | 1.66% | | | | | | 53.65% | | | | | | 0.52% | | | | | | 9.02% | | |
Net Assets, End of Period (millions) | | | | $ | 765 | | | | | $ | 1,036 | | | | | $ | 1,198 | | | | | $ | 1,167 | | | | | $ | 890 | | | | | $ | 962 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.15%(5) | | | | | | 1.13% | | | | | | 1.11% | | | | | | 1.11% | | | | | | 1.11% | | | | | | 1.12% | | |
Net expenses(6) | | | | | 1.15%(5) | | | | | | 1.12% | | | | | | 1.10% | | | | | | 1.11% | | | | | | 1.08% | | | | | | 1.03% | | |
Net investment income(6) | | | | | 0.32%(5) | | | | | | 0.36% | | | | | | (0.05)% | | | | | | 0.09% | | | | | | 0.54% | | | | | | 0.53% | | |
Portfolio Turnover Rate(7) | | | | | 52%(4) | | | | | | 125% | | | | | | 111% | | | | | | 145% | | | | | | 110% | | | | | | 85% | | |
| | | Class Z | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 8.70 | | | | | $ | 9.68 | | | | | $ | 13.17 | | | | | $ | 8.80 | | | | | $ | 9.20 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.02 | | | | | | 0.05 | | | | | | 0.01 | | | | | | 0.02 | | | | | | 0.06 | | | | | | 0.04 | | |
Net realized and unrealized gain (loss) | | | | | 0.15 | | | | | | (0.63) | | | | | | 0.50 | | | | | | 4.67 | | | | | | 0.05 | | | | | | (0.25) | | |
Total Income (Loss) from Operations | | | | | 0.17 | | | | | | (0.58) | | | | | | 0.51 | | | | | | 4.69 | | | | | | 0.11 | | | | | | (0.21) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | — | | | | | | — | | | | | | (0.02) | | | | | | (0.08) | | | | | | (0.07) | | |
Net realized gain | | | | | — | | | | | | (0.40) | | | | | | (4.00) | | | | | | (0.30) | | | | | | (0.43) | | | | | | (0.52) | | |
Total Distributions | | | | | — | | | | | | (0.40) | | | | | | (4.00) | | | | | | (0.32) | | | | | | (0.51) | | | | | | (0.59) | | |
Net Asset Value, End of Period | | | | $ | 8.87 | | | | | $ | 8.70 | | | | | $ | 9.68 | | | | | $ | 13.17 | | | | | $ | 8.80 | | | | | $ | 9.20 | | |
Total Return(3) | | | | | 1.95%(4) | | | | | | (5.78)% | | | | | | 1.86% | | | | | | 53.85% | | | | | | 0.69% | | | | | | (1.24)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 79 | | | | | $ | 101 | | | | | $ | 126 | | | | | $ | 74 | | | | | $ | 46 | | | | | $ | 19 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.00%(5) | | | | | | 0.98% | | | | | | 0.96% | | | | | | 0.96% | | | | | | 0.97% | | | | | | 0.97%(5) | | |
Net expenses(6) | | | | | 1.00%(5) | | | | | | 0.97% | | | | | | 0.95% | | | | | | 0.96% | | | | | | 0.94% | | | | | | 0.88%(5) | | |
Net investment income(6) | | | | | 0.47%(5) | | | | | | 0.51% | | | | | | 0.10% | | | | | | 0.22% | | | | | | 0.66% | | | | | | 0.68%(5) | | |
Portfolio Turnover Rate(7) | | | | | 52%(4) | | | | | | 125% | | | | | | 111% | | | | | | 145% | | | | | | 110% | | | | | | 85%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 11.72 | | | | | $ | 13.24 | | | | | $ | 15.11 | | | | | $ | 11.30 | | | | | $ | 10.86 | | | | | $ | 11.69 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.18 | | | | | | 0.12 | | | | | | 0.01 | | | | | | 0.00* | | | | | | 0.09 | | | | | | 0.09 | | |
Net realized and unrealized gain (loss) | | | | | 0.42 | | | | | | (1.33) | | | | | | (1.22) | | | | | | 3.81 | | | | | | 0.44 | | | | | | (0.77) | | |
Total Income (Loss) from Operations | | | | | 0.60 | | | | | | (1.21) | | | | | | (1.21) | | | | | | 3.81 | | | | | | 0.53 | | | | | | (0.68) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.20) | | | | | | (0.03) | | | | | | (0.00)* | | | | | | (0.09) | | | | | | (0.12) | | |
Net realized gain | | | | | — | | | | | | (0.11) | | | | | | (0.63) | | | | | | — | | | | | | — | | | | | | (0.03) | | |
Total Distributions | | | | | — | | | | | | (0.31) | | | | | | (0.66) | | | | | | — | | | | | | (0.09) | | | | | | (0.15) | | |
Net Asset Value, End of Period | | | | $ | 12.32 | | | | | $ | 11.72 | | | | | $ | 13.24 | | | | | $ | 15.11 | | | | | $ | 11.30 | | | | | $ | 10.86 | | |
Total Return(3) | | | | | 5.12%(4) | | | | | | (9.07)% | | | | | | (8.36)% | | | | | | 33.76% | | | | | | 4.83% | | | | | | (5.71)% | | |
Net Assets, End of Period (millions) | | | | $ | 2,280 | | | | | $ | 1,840 | | | | | $ | 2,419 | | | | | $ | 2,288 | | | | | $ | 1,884 | | | | | $ | 1,618 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.24%(5) | | | | | | 1.26% | | | | | | 1.24% | | | | | | 1.24% | | | | | | 1.25% | | | | | | 1.28% | | |
Net expenses(6) | | | | | 1.01%(5) | | | | | | 1.16% | | | | | | 1.20% | | | | | | 1.23% | | | | | | 1.17% | | | | | | 1.18% | | |
Net investment income(6) | | | | | 2.85%(5) | | | | | | 1.02% | | | | | | 0.05% | | | | | | 0.02% | | | | | | 0.77% | | | | | | 0.83% | | |
Portfolio Turnover Rate(7) | | | | | 26%(4) | | | | | | 66% | | | | | | 48% | | | | | | 38% | | | | | | 27% | | | | | | 32% | | |
| | | Class Z | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.11 | | | | | $ | 11.48 | | | | | $ | 13.18 | | | | | $ | 9.86 | | | | | $ | 9.48 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.16 | | | | | | 0.12 | | | | | | 0.02 | | | | | | 0.02 | | | | | | 0.06 | | | | | | 0.02 | | |
Net realized and unrealized gain (loss) | | | | | 0.37 | | | | | | (1.16) | | | | | | (1.05) | | | | | | 3.32 | | | | | | 0.43 | | | | | | (0.38) | | |
Total Income (Loss) from Operations | | | | | 0.53 | | | | | | (1.04) | | | | | | (1.03) | | | | | | 3.34 | | | | | | 0.49 | | | | | | (0.36) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.22) | | | | | | (0.04) | | | | | | (0.02) | | | | | | (0.11) | | | | | | (0.13) | | |
Net realized gain | | | | | — | | | | | | (0.11) | | | | | | (0.63) | | | | | | — | | | | | | — | | | | | | (0.03) | | |
Total Distributions | | | | | — | | | | | | (0.33) | | | | | | (0.67) | | | | | | (0.02) | | | | | | (0.11) | | | | | | (0.16) | | |
Net Asset Value, End of Period | | | | $ | 10.64 | | | | | $ | 10.11 | | | | | $ | 11.48 | | | | | $ | 13.18 | | | | | $ | 9.86 | | | | | $ | 9.48 | | |
Total Return(3) | | | | | 5.24%(4) | | | | | | (8.98)% | | | | | | (8.16)% | | | | | | 33.91% | | | | | | 5.05% | | | | | | (3.43)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 239 | | | | | $ | 184 | | | | | $ | 253 | | | | | $ | 145 | | | | | $ | 99 | | | | | $ | 33 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.09%(5) | | | | | | 1.11% | | | | | | 1.09% | | | | | | 1.09% | | | | | | 1.10% | | | | | | 1.13%(5) | | |
Net expenses(6) | | | | | 0.86%(5) | | | | | | 1.01% | | | | | | 1.05% | | | | | | 1.08% | | | | | | 1.02% | | | | | | 1.03%(5) | | |
Net investment income(6) | | | | | 3%(5) | | | | | | 1.18% | | | | | | 0.13% | | | | | | 0.14% | | | | | | 0.62% | | | | | | 0.98%(5) | | |
Portfolio Turnover Rate(7) | | | | | 26%(4) | | | | | | 66% | | | | | | 48% | | | | | | 38% | | | | | | 27% | | | | | | 32%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 11.27 | | | | | $ | 11.91 | | | | | $ | 10.26 | | | | | $ | 9.74 | | | | | $ | 10.20 | | | | | $ | 10.14 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.20 | | | | | | 0.36 | | | | | | 0.34 | | | | | | 0.34 | | | | | | 0.35 | | | | | | 0.32 | | |
Net realized and unrealized gain (loss) | | | | | (0.16) | | | | | | (0.47) | | | | | | 1.65 | | | | | | 0.63 | | | | | | (0.40) | | | | | | 0.39 | | |
Total Income (Loss) from Operations | | | | | 0.04 | | | | | | (0.11) | | | | | | 1.99 | | | | | | 0.97 | | | | | | (0.05) | | | | | | 0.71 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.23) | | | | | | (0.34) | | | | | | (0.34) | | | | | | (0.31) | | | | | | (0.32) | | | | | | (0.29) | | |
Net realized gain | | | | | — | | | | | | (0.19) | | | | | | — | | | | | | (0.14) | | | | | | (0.09) | | | | | | (0.36) | | |
Total Distributions | | | | | (0.23) | | | | | | (0.53) | | | | | | (0.34) | | | | | | (0.45) | | | | | | (0.41) | | | | | | (0.65) | | |
Net Asset Value, End of Period | | | | $ | 11.08 | | | | | $ | 11.27 | | | | | $ | 11.91 | | | | | $ | 10.26 | | | | | $ | 9.74 | | | | | $ | 10.20 | | |
Total Return(3) | | | | | 0.33%(4) | | | | | | (0.83)% | | | | | | 19.68% | | | | | | 10.37% | | | | | | (0.78)% | | | | | | 7.52% | | |
Net Assets, End of Period (millions) | | | | $ | 567 | | | | | $ | 652 | | | | | $ | 469 | | | | | $ | 375 | | | | | $ | 441 | | | | | $ | 391 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.03%(5) | | | | | | 1.04% | | | | | | 1.04% | | | | | | 1.03% | | | | | | 1.03% | | | | | | 1.04% | | |
Net expenses(6) | | | | | 0.93%(5) | | | | | | 0.94% | | | | | | 0.92% | | | | | | 0.92% | | | | | | 0.88% | | | | | | 0.87% | | |
Net investment income(6) | | | | | 3.65%(5) | | | | | | 3.10% | | | | | | 2.94% | | | | | | 3.60% | | | | | | 3.31% | | | | | | 3.13% | | |
Portfolio Turnover Rate(7) | | | | | 27%(4) | | | | | | 46% | | | | | | 58% | | | | | | 54% | | | | | | 43% | | | | | | 74% | | |
| | | Class Z | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.89 | | | | | $ | 11.52 | | | | | $ | 9.94 | | | | | $ | 9.44 | | | | | $ | 9.89 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.21 | | | | | | 0.36 | | | | | | 0.35 | | | | | | 0.34 | | | | | | 0.36 | | | | | | 0.20 | | |
Net realized and unrealized gain (loss) | | | | | (0.17) | | | | | | (0.45) | | | | | | 1.59 | | | | | | 0.62 | | | | | | (0.38) | | | | | | 0.21 | | |
Total Income (Loss) from Operations | | | | | 0.04 | | | | | | (0.09) | | | | | | 1.94 | | | | | | 0.96 | | | | | | (0.02) | | | | | | 0.41 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.23) | | | | | | (0.35) | | | | | | (0.36) | | | | | | (0.32) | | | | | | (0.34) | | | | | | (0.16) | | |
Net realized gain | | | | | — | | | | | | (0.19) | | | | | | — | | | | | | (0.14) | | | | | | (0.09) | | | | | | (0.36) | | |
Total Distributions | | | | | (0.23) | | | | | | (0.54) | | | | | | (0.36) | | | | | | (0.46) | | | | | | (0.43) | | | | | | (0.52) | | |
Net Asset Value, End of Period | | | | $ | 10.70 | | | | | $ | 10.89 | | | | | $ | 11.52 | | | | | $ | 9.94 | | | | | $ | 9.44 | | | | | $ | 9.89 | | |
Total Return(3) | | | | | 0.40%(4) | | | | | | (0.65)% | | | | | | 19.71% | | | | | | 10.63% | | | | | | (0.58)% | | | | | | 4.51%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 56 | | | | | $ | 60 | | | | | $ | 44 | | | | | $ | 24 | | | | | $ | 21 | | | | | $ | 10 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.88%(5) | | | | | | 0.89% | | | | | | 0.89% | | | | | | 0.88% | | | | | | 0.88% | | | | | | 0.89%(5) | | |
Net expenses(6) | | | | | 0.78%(5) | | | | | | 0.79% | | | | | | 0.77% | | | | | | 0.77% | | | | | | 0.74% | | | | | | 0.72%(5) | | |
Net investment income(6) | | | | | 3.79%(5) | | | | | | 3.24% | | | | | | 3.09% | | | | | | 3.72% | | | | | | 3.46% | | | | | | 3.28%(5) | | |
Portfolio Turnover Rate(7) | | | | | 27%(4) | | | | | | 46% | | | | | | 58% | | | | | | 54% | | | | | | 43% | | | | | | 74%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 8.31 | | | | | $ | 9.52 | | | | | $ | 10.19 | | | | | $ | 10.42 | | | | | $ | 9.83 | | | | | $ | 9.83 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.12 | | | | | | 0.24 | | | | | | 0.12 | | | | | | 0.20 | | | | | | 0.28 | | | | | | 0.28 | | |
Net realized and unrealized gain (loss) | | | | | (0.06) | | | | | | (1.21) | | | | | | (0.38) | | | | | | (0.20) | | | | | | 0.59 | | | | | | (0.01) | | |
Total Income (Loss) from Operations | | | | | 0.06 | | | | | | (0.97) | | | | | | (0.26) | | | | | | — | | | | | | 0.87 | | | | | | 0.27 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.15) | | | | | | (0.24) | | | | | | (0.13) | | | | | | (0.20) | | | | | | (0.28) | | | | | | (0.27) | | |
Net realized gain | | | | | — | | | | | | — | | | | | | (0.28) | | | | | | (0.03) | | | | | | — | | | | | | — | | |
Total Distributions | | | | | (0.15) | | | | | | (0.24) | | | | | | (0.41) | | | | | | (0.23) | | | | | | (0.28) | | | | | | (0.27) | | |
Net Asset Value, End of Period | | | | $ | 8.22 | | | | | $ | 8.31 | | | | | $ | 9.52 | | | | | $ | 10.19 | | | | | $ | 10.42 | | | | | $ | 9.83 | | |
Total Return(3) | | | | | 0.76%(4) | | | | | | (10.19)% | | | | | | (2.72)% | | | | | | 0.05% | | | | | | 8.97% | | | | | | 2.77% | | |
Net Assets, End of Period (millions) | | | | $ | 1,919 | | | | | $ | 1,793 | | | | | $ | 2,002 | | | | | $ | 2,079 | | | | | $ | 1,896 | | | | | $ | 1,708 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.9%(5) | | | | | | 0.89% | | | | | | 0.87% | | | | | | 0.87% | | | | | | 0.88% | | | | | | 0.89% | | |
Net expenses(6) | | | | | 0.82%(5) | | | | | | 0.81% | | | | | | 0.79% | | | | | | 0.78% | | | | | | 0.80% | | | | | | 0.81% | | |
Net investment income(6) | | | | | 2.94%(5) | | | | | | 2.82% | | | | | | 1.18% | | | | | | 1.91% | | | | | | 2.80% | | | | | | 2.85% | | |
Portfolio Turnover Rate(7) | | | | | 95%(4) | | | | | | 198% | | | | | | 240% | | | | | | 204% | | | | | | 43% | | | | | | 64% | | |
| | | Class Z | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 8.55 | | | | | $ | 9.79 | | | | | $ | 10.46 | | | | | $ | 10.69 | | | | | $ | 10.08 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.13 | | | | | | 0.26 | | | | | | 0.14 | | | | | | 0.22 | | | | | | 0.30 | | | | | | 0.20 | | |
Net realized and unrealized gain (loss) | | | | | (0.06) | | | | | | (1.24) | | | | | | (0.39) | | | | | | (0.21) | | | | | | 0.61 | | | | | | 0.03 | | |
Total Income (Loss) from Operations | | | | | 0.07 | | | | | | (0.98) | | | | | | (0.25) | | | | | | 0.01 | | | | | | 0.91 | | | | | | 0.23 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.16) | | | | | | (0.26) | | | | | | (0.14) | | | | | | (0.21) | | | | | | (0.30) | | | | | | (0.15) | | |
Net realized gain | | | | | — | | | | | | — | | | | | | (0.28) | | | | | | (0.03) | | | | | | — | | | | | | — | | |
Total Distributions | | | | | (0.16) | | | | | | (0.26) | | | | | | (0.42) | | | | | | (0.24) | | | | | | (0.30) | | | | | | (0.15) | | |
Net Asset Value, End of Period | | | | $ | 8.46 | | | | | $ | 8.55 | | | | | $ | 9.79 | | | | | $ | 10.46 | | | | | $ | 10.69 | | | | | $ | 10.08 | | |
Total Return(3) | | | | | 0.79%(4) | | | | | | (10.08)% | | | | | | (2.50)% | | | | | | 0.17% | | | | | | 9.11% | | | | | | 2.29%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 194 | | | | | $ | 170 | | | | | $ | 202 | | | | | $ | 121 | | | | | $ | 99 | | | | | $ | 29 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.75%(5) | | | | | | 0.74% | | | | | | 0.72% | | | | | | 0.72% | | | | | | 0.73% | | | | | | 0.74%(5) | | |
Net expenses(6) | | | | | 0.67%(5) | | | | | | 0.66% | | | | | | 0.64% | | | | | | 0.63% | | | | | | 0.65% | | | | | | 0.66%(5) | | |
Net investment income(6) | | | | | 3.07%(5) | | | | | | 2.96% | | | | | | 1.36% | | | | | | 2.05% | | | | | | 2.90% | | | | | | 3.00%(5) | | |
Portfolio Turnover Rate(7) | | | | | 95%(4) | | | | | | 198% | | | | | | 240% | | | | | | 204% | | | | | | 43% | | | | | | 64%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.19 | | | | | $ | 9.68 | | | | | $ | 9.73 | | | | | $ | 9.75 | | | | | $ | 9.84 | | | | | $ | 9.90 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.28 | | | | | | 0.42 | | | | | | 0.30 | | | | | | 0.34 | | | | | | 0.33 | | | | | | 0.35 | | |
Net realized and unrealized gain (loss) | | | | | (0.05) | | | | | | (0.39) | | | | | | 0.03 | | | | | | (0.02) | | | | | | (0.08) | | | | | | (0.08) | | |
Total Income from Operations | | | | | 0.23 | | | | | | 0.03 | | | | | | 0.33 | | | | | | 0.32 | | | | | | 0.25 | | | | | | 0.27 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.28) | | | | | | (0.51) | | | | | | (0.37) | | | | | | (0.34) | | | | | | (0.34) | | | | | | (0.33) | | |
Net realized gain | | | | | — | | | | | | (0.01) | | | | | | (0.01) | | | | | | — | | | | | | — | | | | | | — | | |
Total Distributions | | | | | (0.28) | | | | | | (0.52) | | | | | | (0.38) | | | | | | (0.34) | | | | | | (0.34) | | | | | | (0.33) | | |
Net Asset Value, End of Period | | | | $ | 9.14 | | | | | $ | 9.19 | | | | | $ | 9.68 | | | | | $ | 9.73 | | | | | $ | 9.75 | | | | | $ | 9.84 | | |
Total Return(3) | | | | | 2.56%(4) | | | | | | 0.37% | | | | | | 3.40% | | | | | | 3.43% | | | | | | 2.59% | | | | | | 2.79% | | |
Net Assets, End of Period (millions) | | | | $ | 376 | | | | | $ | 451 | | | | | $ | 539 | | | | | $ | 418 | | | | | $ | 320 | | | | | $ | 386 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.01%(5) | | | | | | 0.96% | | | | | | 0.93% | | | | | | 0.95% | | | | | | 0.96% | | | | | | 0.97% | | |
Net expenses(6) | | | | | 0.97%(5) | | | | | | 0.94% | | | | | | 0.93% | | | | | | 0.95% | | | | | | 0.94% | | | | | | 0.93% | | |
Net investment income(6) | | | | | 6.08%(5) | | | | | | 4.51% | | | | | | 3.09% | | | | | | 3.63% | | | | | | 3.30% | | | | | | 3.51% | | |
Portfolio Turnover Rate(7) | | | | | 36%(4) | | | | | | 98% | | | | | | 107% | | | | | | 168% | | | | | | 138% | | | | | | 120% | | |
| | | Class Z | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.40 | | | | | $ | 9.89 | | | | | $ | 9.93 | | | | | $ | 9.94 | | | | | $ | 10.03 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.29 | | | | | | 0.44 | | | | | | 0.33 | | | | | | 0.36 | | | | | | 0.34 | | | | | | 0.22 | | |
Net realized and unrealized gain (loss) | | | | | (0.04) | | | | | | (0.40) | | | | | | 0.02 | | | | | | (0.02) | | | | | | (0.07) | | | | | | (0.03) | | |
Total Income from Operations | | | | | 0.25 | | | | | | 0.04 | | | | | | 0.35 | | | | | | 0.34 | | | | | | 0.27 | | | | | | 0.19 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.29) | | | | | | (0.52) | | | | | | (0.38) | | | | | | (0.35) | | | | | | (0.36) | | | | | | (0.16) | | |
Net realized gain | | | | | — | | | | | | (0.01) | | | | | | (0.01) | | | | | | — | | | | | | — | | | | | | — | | |
Total Distributions | | | | | (0.29) | | | | | | (0.53) | | | | | | (0.39) | | | | | | (0.35) | | | | | | (0.36) | | | | | | (0.16) | | |
Net Asset Value, End of Period | | | | $ | 9.36 | | | | | $ | 9.40 | | | | | $ | 9.89 | | | | | $ | 9.93 | | | | | $ | 9.94 | | | | | $ | 10.03 | | |
Total Return(3) | | | | | 2.68%(4) | | | | | | 0.49% | | | | | | 3.56% | | | | | | 3.60% | | | | | | 2.69% | | | | | | 1.82%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 34 | | | | | $ | 37 | | | | | $ | 49 | | | | | $ | 22 | | | | | $ | 14 | | | | | $ | 6 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.86%(5) | | | | | | 0.80% | | | | | | 0.78% | | | | | | 0.80% | | | | | | 0.82% | | | | | | 0.82%(5) | | |
Net expenses(6) | | | | | 0.82%(5) | | | | | | 0.79% | | | | | | 0.78% | | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.78%(5) | | |
Net investment income(6) | | | | | 6.23%(5) | | | | | | 4.63% | | | | | | 3.28% | | | | | | 3.78% | | | | | | 3.40% | | | | | | 3.66%(5) | | |
Portfolio Turnover Rate(7) | | | | | 36%(4) | | | | | | 98% | | | | | | 107% | | | | | | 168% | | | | | | 138% | | | | | | 120%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.12 | | | | | $ | 9.76 | | | | | $ | 10.02 | | | | | $ | 9.83 | | | | | $ | 9.82 | | | | | $ | 9.99 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.28 | | | | | | 0.44 | | | | | | 0.32 | | | | | | 0.40 | | | | | | 0.39 | | | | | | 0.38 | | |
Net realized and unrealized gain (loss) | | | | | (0.05) | | | | | | (0.65) | | | | | | (0.17) | | | | | | 0.19 | | | | | | 0.02 | | | | | | (0.18) | | |
Total Income (Loss) from Operations | | | | | 0.23 | | | | | | (0.21) | | | | | | 0.15 | | | | | | 0.59 | | | | | | 0.41 | | | | | | 0.20 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.27) | | | | | | (0.43) | | | | | | (0.41) | | | | | | (0.40) | | | | | | (0.40) | | | | | | (0.37) | | |
Total Distributions | | | | | (0.27) | | | | | | (0.43) | | | | | | (0.41) | | | | | | (0.40) | | | | | | (0.40) | | | | | | (0.37) | | |
Net Asset Value, End of Period | | | | $ | 9.08 | | | | | $ | 9.12 | | | | | $ | 9.76 | | | | | $ | 10.02 | | | | | $ | 9.83 | | | | | $ | 9.82 | | |
Total Return(3) | | | | | 2.56%(4) | | | | | | (2.09)% | | | | | | 1.49% | | | | | | 6.28% | | | | | | 4.18% | | | | | | 2.20% | | |
Net Assets, End of Period (millions) | | | | $ | 767 | | | | | $ | 662 | | | | | $ | 699 | | | | | $ | 718 | | | | | $ | 733 | | | | | $ | 769 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.12%(5) | | | | | | 1.14% | | | | | | 1.19% | | | | | | 1.13% | | | | | | 1.11% | | | | | | 1.09% | | |
Net expenses(6)(7) | | | | | 0.99%(5) | | | | | | 1.03% | | | | | | 1.08% | | | | | | 1.02% | | | | | | 1.00% | | | | | | 0.98% | | |
Net investment income(7) | | | | | 6.04%(5) | | | | | | 4.70% | | | | | | 3.17% | | | | | | 4.17% | | | | | | 3.92% | | | | | | 3.90% | | |
Portfolio Turnover Rate(8) | | | | | 34%(4) | | | | | | 58% | | | | | | 90% | | | | | | 164% | | | | | | 84% | | | | | | 79% | | |
| | | Class Z | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.30 | | | | | $ | 9.94 | | | | | $ | 10.19 | | | | | $ | 9.99 | | | | | $ | 9.98 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.29 | | | | | | 0.46 | | | | | | 0.34 | | | | | | 0.42 | | | | | | 0.41 | | | | | | 0.26 | | |
Net realized and unrealized gain (loss) | | | | | (0.05) | | | | | | (0.66) | | | | | | (0.17) | | | | | | 0.19 | | | | | | 0.01 | | | | | | (0.08) | | |
Total Income (Loss) from Operations | | | | | 0.24 | | | | | | (0.20) | | | | | | 0.17 | | | | | | 0.61 | | | | | | 0.42 | | | | | | 0.18 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.28) | | | | | | (0.44) | | | | | | (0.42) | | | | | | (0.41) | | | | | | (0.41) | | | | | | (0.20) | | |
Total Distributions | | | | | (0.28) | | | | | | (0.44) | | | | | | (0.42) | | | | | | (0.41) | | | | | | (0.41) | | | | | | (0.20) | | |
Net Asset Value, End of Period | | | | $ | 9.26 | | | | | $ | 9.30 | | | | | $ | 9.94 | | | | | $ | 10.19 | | | | | $ | 9.99 | | | | | $ | 9.98 | | |
Total Return(3) | | | | | 2.59%(4) | | | | | | (1.91)% | | | | | | 1.67% | | | | | | 6.43% | | | | | | 4.26% | | | | | | 1.72%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 69 | | | | | $ | 57 | | | | | $ | 66 | | | | | $ | 40 | | | | | $ | 34 | | | | | $ | 14 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.97%(5) | | | | | | 0.99% | | | | | | 1.04% | | | | | | 0.98% | | | | | | 0.96% | | | | | | 0.94%(5) | | |
Net expenses(6)(7) | | | | | 0.84%(5) | | | | | | 0.88% | | | | | | 0.93% | | | | | | 0.87% | | | | | | 0.85% | | | | | | 0.83%(5) | | |
Net investment income(7) | | | | | 6.18%(5) | | | | | | 4.83% | | | | | | 3.30% | | | | | | 4.31% | | | | | | 4.06% | | | | | | 4.05%(5) | | |
Portfolio Turnover Rate(8) | | | | | 34%(4) | | | | | | 58% | | | | | | 90% | | | | | | 164% | | | | | | 84% | | | | | | 79%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.54 | | | | | $ | 10.07 | | | | | $ | 10.38 | | | | | $ | 10.61 | | | | | $ | 10.11 | | | | | $ | 9.93 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.11 | | | | | | 0.16 | | | | | | 0.10 | | | | | | 0.13 | | | | | | 0.16 | | | | | | 0.17 | | |
Net realized and unrealized gain (loss) | | | | | (0.02) | | | | | | (0.50) | | | | | | (0.26) | | | | | | (0.13) | | | | | | 0.58 | | | | | | 0.15 | | |
Total Income (Loss) from Operations | | | | | 0.09 | | | | | | (0.34) | | | | | | (0.16) | | | | | | — | | | | | | 0.74 | | | | | | 0.32 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.13) | | | | | | (0.19) | | | | | | (0.13) | | | | | | (0.16) | | | | | | (0.20) | | | | | | (0.14) | | |
Net realized gain | | | | | — | | | | | | — | | | | | | (0.02) | | | | | | (0.07) | | | | | | (0.04) | | | | | | — | | |
Total Distributions | | | | | (0.13) | | | | | | (0.19) | | | | | | (0.15) | | | | | | (0.23) | | | | | | (0.24) | | | | | | (0.14) | | |
Net Asset Value, End of Period | | | | $ | 9.50 | | | | | $ | 9.54 | | | | | $ | 10.07 | | | | | $ | 10.38 | | | | | $ | 10.61 | | | | | $ | 10.11 | | |
Total Return(3) | | | | | 0.95%(4) | | | | | | (4.87)% | | | | | | (1.53)% | | | | | | 0.00% | | | | | | 7.38% | | | | | | 3.30% | | |
Net Assets, End of Period (millions) | | | | $ | 848 | | | | | $ | 819 | | | | | $ | 887 | | | | | $ | 884 | | | | | $ | 878 | | | | | $ | 862 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.94%(5) | | | | | | 0.94% | | | | | | 0.93% | | | | | | 0.93% | | | | | | 0.95% | | | | | | 0.95% | | |
Net expenses(6) | | | | | 0.78%(5) | | | | | | 0.78% | | | | | | 0.76% | | | | | | 0.77% | | | | | | 0.80% | | | | | | 0.80% | | |
Net investment income(6) | | | | | 2.34%(5) | | | | | | 1.62% | | | | | | 0.97% | | | | | | 1.26% | | | | | | 1.56% | | | | | | 1.71% | | |
Portfolio Turnover Rate(7) | | | | | 34%(4) | | | | | | 48% | | | | | | 41% | | | | | | 38% | | | | | | 38% | | | | | | 84% | | |
| | | Class Z | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.57 | | | | | $ | 10.10 | | | | | $ | 10.40 | | | | | $ | 10.64 | | | | | $ | 10.14 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.12 | | | | | | 0.17 | | | | | | 0.12 | | | | | | 0.15 | | | | | | 0.18 | | | | | | 0.13 | | |
Net realized and unrealized gain (loss) | | | | | (0.02) | | | | | | (0.50) | | | | | | (0.25) | | | | | | (0.14) | | | | | | 0.57 | | | | | | 0.11 | | |
Total Income (Loss) from Operations | | | | | 0.10 | | | | | | (0.33) | | | | | | (0.13) | | | | | | 0.01 | | | | | | 0.75 | | | | | | 0.24 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.14) | | | | | | (0.20) | | | | | | (0.15) | | | | | | (0.18) | | | | | | (0.21) | | | | | | (0.10) | | |
Net realized gain | | | | | — | | | | | | — | | | | | | (0.02) | | | | | | (0.07) | | | | | | (0.04) | | | | | | — | | |
Total Distributions | | | | | (0.14) | | | | | | (0.20) | | | | | | (0.17) | | | | | | (0.25) | | | | | | (0.25) | | | | | | (0.10) | | |
Net Asset Value, End of Period | | | | $ | 9.53 | | | | | $ | 9.57 | | | | | $ | 10.10 | | | | | $ | 10.40 | | | | | $ | 10.64 | | | | | $ | 10.14 | | |
Total Return(3) | | | | | 1.02%(4) | | | | | | (3.21)% | | | | | | (1.29)% | | | | | | 0.05% | | | | | | 7.51% | | | | | | 2.42%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 48 | | | | | $ | 44 | | | | | $ | 45 | | | | | $ | 26 | | | | | $ | 19 | | | | | $ | 12 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 0.79%(5) | | | | | | 0.79% | | | | | | 0.78% | | | | | | 0.78% | | | | | | 0.80% | | | | | | 0.80%(5) | | |
Net expenses(6) | | | | | 0.63%(5) | | | | | | 0.63% | | | | | | 0.61% | | | | | | 0.62% | | | | | | 0.65% | | | | | | 0.65%(5) | | |
Net investment income(6) | | | | | 2.49%(5) | | | | | | 1.77% | | | | | | 1.14% | | | | | | 1.40% | | | | | | 1.71% | | | | | | 1.86%(5) | | |
Portfolio Turnover Rate(7) | | | | | 34%(4) | | | | | | 48% | | | | | | 41% | | | | | | 38% | | | | | | 38% | | | | | | 84%(4) | | |
| | | Class I | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 10.10 | | | | | $ | 10.22 | | | | | $ | 10.57 | | | | | $ | 9.67 | | | | | $ | 9.76 | | | | | $ | 10.20 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.25 | | | | | | 0.31 | | | | | | 0.10 | | | | | | 0.14 | | | | | | 0.37 | | | | | | 0.40 | | |
Net realized and unrealized gain (loss) | | | | | 0.13 | | | | | | (0.13) | | | | | | 0.03 | | | | | | 0.91 | | | | | | (0.02) | | | | | | (0.32) | | |
Total Income from Operations | | | | | 0.38 | | | | | | 0.18 | | | | | | 0.13 | | | | | | 1.05 | | | | | | 0.35 | | | | | | 0.08 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.17) | | | | | | (0.27) | | | | | | (0.22) | | | | | | (0.15) | | | | | | (0.41) | | | | | | (0.35) | | |
Net realized gain | | | | | — | | | | | | (0.03) | | | | | | (0.26) | | | | | | — | | | | | | (0.03) | | | | | | (0.17) | | |
Total Distributions | | | | | (0.17) | | | | | | (0.30) | | | | | | (0.48) | | | | | | (0.15) | | | | | | (0.44) | | | | | | (0.52) | | |
Net Asset Value, End of Period | | | | $ | 10.31 | | | | | $ | 10.10 | | | | | $ | 10.22 | | | | | $ | 10.57 | | | | | $ | 9.67 | | | | | $ | 9.76 | | |
Total Return(3) | | | | | 3.85%(4) | | | | | | 1.87% | | | | | | 1.25% | | | | | | 11.09% | | | | | | 3.76% | | | | | | 1.10% | | |
Net Assets, End of Period (millions) | | | | $ | 758 | | | | | $ | 851 | | | | | $ | 1,165 | | | | | $ | 1,102 | | | | | $ | 888 | | | | | $ | 897 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.72%(5) | | | | | | 1.75% | | | | | | 1.75% | | | | | | 1.79% | | | | | | 1.73% | | | | | | 1.71% | | |
Net expenses(6)(7) | | | | | 1.29%(5) | | | | | | 1.30% | | | | | | 1.31% | | | | | | 1.40% | | | | | | 1.34% | | | | | | 1.23% | | |
Net investment income(7) | | | | | 4.96%(5) | | | | | | 3.13% | | | | | | 0.93% | | | | | | 1.40% | | | | | | 3.86% | | | | | | 4.01% | | |
Portfolio Turnover Rate(8) | | | | | 42%(4) | | | | | | 70% | | | | | | 90% | | | | | | 150% | | | | | | 119% | | | | | | 109% | | |
| | | Class Z | | |||||||||||||||||||||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019(1) | | ||||||||||||||||||
Net asset value, Beginning of Period | | | | $ | 9.85 | | | | | $ | 9.96 | | | | | $ | 10.32 | | | | | $ | 9.44 | | | | | $ | 9.54 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.25 | | | | | | 0.32 | | | | | | 0.11 | | | | | | 0.14 | | | | | | 0.35 | | | | | | 0.31 | | |
Net realized and unrealized gain (loss) | | | | | 0.12 | | | | | | (0.12) | | | | | | 0.03 | | | | | | 0.91 | | | | | | — | | | | | | (0.35) | | |
Total Income (Loss) from Operations | | | | | 0.37 | | | | | | 0.20 | | | | | | 0.14 | | | | | | 1.05 | | | | | | 0.35 | | | | | | (0.04) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.18) | | | | | | (0.28) | | | | | | (0.24) | | | | | | (0.17) | | | | | | (0.42) | | | | | | (0.25) | | |
Net realized gain | | | | | — | | | | | | (0.03) | | | | | | (0.26) | | | | | | — | | | | | | (0.03) | | | | | | (0.17) | | |
Total Distributions | | | | | (0.18) | | | | | | (0.31) | | | | | | (0.50) | | | | | | (0.17) | | | | | | (0.45) | | | | | | (0.42) | | |
Net Asset Value, End of Period | | | | $ | 10.04 | | | | | $ | 9.85 | | | | | $ | 9.96 | | | | | $ | 10.32 | | | | | $ | 9.44 | | | | | $ | 9.54 | | |
Total Return(3) | | | | | 3.80%(4) | | | | | | 2.16% | | | | | | 1.31% | | | | | | 11.29% | | | | | | 3.87% | | | | | | (0.21)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 66 | | | | | $ | 72 | | | | | $ | 108 | | | | | $ | 60 | | | | | $ | 41 | | | | | $ | 15 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.57%(5) | | | | | | 1.60% | | | | | | 1.60% | | | | | | 1.64% | | | | | | 1.59% | | | | | | 1.56%(5) | | |
Net expenses(6)(7) | | | | | 1.14%(5) | | | | | | 1.15% | | | | | | 1.16% | | | | | | 1.25% | | | | | | 1.20% | | | | | | 1.08%(5) | | |
Net investment income(7) | | | | | 5.11%(5) | | | | | | 3.24% | | | | | | 1.10% | | | | | | 1.52% | | | | | | 3.75% | | | | | | 4.16%(5) | | |
Portfolio Turnover Rate(8) | | | | | 42%(4) | | | | | | 70% | | | | | | 90% | | | | | | 150% | | | | | | 119% | | | | | | 109%(4) | | |
| | | Class I | | |||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022(1) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 8.70 | | | | | $ | 9.56 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.02 | | | | | | 0.03 | | | | | | 0.01 | | |
Net realized and unrealized gain (loss) | | | | | 0.97 | | | | | | (0.85) | | | | | | (0.44) | | |
Total Income (Loss) from Operations | | | | | 0.99 | | | | | | (0.82) | | | | | | (0.43) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.01) | | | | | | (0.02) | | | | | | (0.01) | | |
Net realized gain | | | | | — | | | | | | (0.02) | | | | | | — | | |
Total Distributions | | | | | (0.01) | | | | | | (0.04) | | | | | | (0.01) | | |
Net Asset Value, End of Period | | | | $ | 9.68 | | | | | $ | 8.70 | | | | | $ | 9.56 | | |
Total Return(3) | | | | | 11.44%(4) | | | | | | (8.56)% | | | | | | (4.33)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 99 | | | | | $ | 99 | | | | | $ | 123 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.34%(5) | | | | | | 1.40% | | | | | | 1.40%(5) | | |
Net expenses(6) | | | | | 1.23%(5) | | | | | | 1.29% | | | | | | 1.27%(5) | | |
Net investment income(6) | | | | | 0.47%(5) | | | | | | 0.33% | | | | | | 0.27%(5) | | |
Portfolio Turnover Rate(7) | | | | | 3%(4) | | | | | | 5% | | | | | | 2%(4) | | |
| | | Class Z | | |||||||||||||||
| | | 2023(1) | | | 2023 | | | 2022(1) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 8.60 | | | | | $ | 9.44 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.03 | | | | | | 0.04 | | | | | | 0.01 | | |
Net realized and unrealized gain (loss) | | | | | 0.95 | | | | | | (0.83) | | | | | | (0.56) | | |
Total Income (Loss) from Operations | | | | | 0.98 | | | | | | (0.79) | | | | | | (0.55) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.02) | | | | | | (0.03) | | | | | | (0.01) | | |
Net realized gain | | | | | — | | | | | | (0.02) | | | | | | — | | |
Total Distributions | | | | | (0.02) | | | | | | (0.05) | | | | | | (0.01) | | |
Net Asset Value, End of Period | | | | $ | 9.56 | | | | | $ | 8.60 | | | | | $ | 9.44 | | |
Total Return(3) | | | | | 11.39%(4) | | | | | | (8.33)% | | | | | | (5.51)%(4) | | |
Net Assets, End of Period (millions) | | | | $ | 2 | | | | | $ | 2 | | | | | $ | 2 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | | | 1.19%(5) | | | | | | 1.25% | | | | | | 1.22%(5) | | |
Net expenses(6) | | | | | 1.08%(5) | | | | | | 1.14% | | | | | | 1.04%(5) | | |
Net investment income(6) | | | | | 0.62%(5) | | | | | | 0.48% | | | | | | 0.30%(5) | | |
Portfolio Turnover Rate(7) | | | | | 3%(4) | | | | | | 5% | | | | | | 2%(4) | | |
| | | Total Fair Value at August 31, 2023 | | | 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 | | | | $ | 55,553,756 | | | | | $ | 55,553,756 | | | | | $ | — | | | | | $ | — | | |
Communications | | | | | 474,405,957 | | | | | | 474,405,957 | | | | | | — | | | | | | — | | |
Consumer Cyclical | | | | | 376,377,272 | | | | | | 376,377,272 | | | | | | — | | | | | | — | | |
Consumer Non-cyclical | | | | | 927,584,673 | | | | | | 927,584,673 | | | | | | — | | | | | | — | | |
Energy | | | | | 240,110,783 | | | | | | 240,110,783 | | | | | | — | | | | | | — | | |
Financial | | | | | 683,679,651 | | | | | | 682,864,721 | | | | | | — | | | | | | 814,930 | | |
Industrial | | | | | 266,236,353 | | | | | | 266,236,353 | | | | | | — | | | | | | — | | |
Technology | | | | | 808,826,311 | | | | | | 804,853,242 | | | | | | — | | | | | | 3,973,069 | | |
Utilities | | | | | 57,419,844 | | | | | | 57,419,844 | | | | | | — | | | | | | — | | |
Exchange Traded Funds (ETFs) | | | | | 63,145,587 | | | | | | 63,145,587 | | | | | | — | | | | | | — | | |
| | | Total Fair Value at August 31, 2023 | | | 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) | | ||||||||||||||||||||||||
Preferred Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Consumer Cyclical | | | | $ | 3,377,918 | | | | | $ | 2,514,406 | | | | | $ | — | | | | | $ | 863,512 | | |
Financial | | | | | 603,737 | | | | | | — | | | | | | — | | | | | | 603,737 | | |
Industrial | | | | | 3,552,048 | | | | | | — | | | | | | — | | | | | | 3,552,048 | | |
Technology | | | | | 2,071,939 | | | | | | — | | | | | | — | | | | | | 2,071,939 | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 49,836,701 | | | | | | — | | | | | | 49,836,701 | | | | | | — | | |
Total Investments, at value | | | | $ | 4,012,782,530 | | | | | $ | 3,951,066,594 | | | | | $ | 49,836,701 | | | | | $ | 11,879,235 | | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | $ | 124,546 | | | | | $ | 124,546 | | | | | $ | — | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 124,546 | | | | | $ | 124,546 | | | | | $ | — | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks | | | | $ | 781,441,427 | | | | | $ | 781,441,427 | | | | | $ | — | | | | | $ | — | | |
Exchange Traded Funds (ETFs) | | | | | 40,627,063 | | | | | | 40,627,063 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 22,334,948 | | | | | | — | | | | | | 22,334,948 | | | | | | — | | |
Money Market Fund | | | | | 22,079,194 | | | | | | 22,079,194 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 866,482,632 | | | | | $ | 844,147,684 | | | | | $ | 22,334,948 | | | | | $ | — | | |
Destinations International Equity Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks: | | ||||||||||||||||||||||||
Argentina | | | | $ | 2,241,820 | | | | | $ | 2,241,820 | | | | | $ | — | | | | | $ | — | | |
Australia | | | | | 26,064,872 | | | | | | — | | | | | | 26,064,872 | | | | | | — | | |
Austria | | | | | 1,547,326 | | | | | | — | | | | | | 1,547,326 | | | | | | — | | |
Belgium | | | | | 1,012,860 | | | | | | — | | | | | | 1,012,860 | | | | | | — | | |
Bermuda | | | | | 2,194,408 | | | | | | — | | | | | | 2,194,408 | | | | | | — | | |
Brazil | | | | | 45,945,516 | | | | | | 11,389,638 | | | | | | 34,555,878 | | | | | | — | | |
Canada | | | | | 118,450,806 | | | | | | 18,077,079 | | | | | | 100,373,727 | | | | | | — | | |
China | | | | | 89,471,146 | | | | | | 32,503,797 | | | | | | 56,967,349 | | | | | | — | | |
Cyprus | | | | | 2 | | | | | | — | | | | | | 2 | | | | | | — | | |
Denmark | | | | | 17,564,231 | | | | | | 6,024,483 | | | | | | 11,539,748 | | | | | | — | | |
Finland | | | | | 3,784,016 | | | | | | — | | | | | | 3,784,016 | | | | | | — | | |
France | | | | | 191,742,364 | | | | | | — | | | | | | 191,742,364 | | | | | | — | | |
Germany | | | | | 163,247,419 | | | | | | — | | | | | | 163,247,419 | | | | | | — | | |
Greece | | | | | 1,690,383 | | | | | | — | | | | | | 1,690,383 | | | | | | — | | |
Hong Kong | | | | | 57,616,152 | | | | | | — | | | | | | 57,616,152 | | | | | | — | | |
India | | | | | 154,969,750 | | | | | | 12,789,911 | | | | | | 141,696,043 | | | | | | 483,796 | | |
Indonesia | | | | | 16,461,759 | | | | | | — | | | | | | 16,461,759 | | | | | | — | | |
Ireland | | | | | 34,556,693 | | | | | | 4,607,086 | | | | | | 29,949,607 | | | | | | — | | |
Israel | | | | | 4,887,834 | | | | | | 1,543,985 | | | | | | 3,343,849 | | | | | | — | | |
Italy | | | | | 49,378,500 | | | | | | 2,205,790 | | | | | | 47,172,710 | | | | | | — | | |
| | | Total Fair Value at August 31, 2023 | | | 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) | | ||||||||||||||||||||||||
Japan | | | | $ | 344,175,135 | | | | | $ | — | | | | | $ | 344,175,135 | | | | | $ | — | | |
Jersey, Channel Islands | | | | | 3,942,675 | | | | | | — | | | | | | 3,942,675 | | | | | | — | | |
Luxembourg | | | | | 2,841,576 | | | | | | 148,411 | | | | | | 2,693,165 | | | | | | — | | |
Malaysia | | | | | 1,146,327 | | | | | | — | | | | | | 1,146,327 | | | | | | — | | |
Mexico | | | | | 7,026,750 | | | | | | — | | | | | | 7,026,750 | | | | | | — | | |
Netherlands | | | | | 90,438,695 | | | | | | — | | | | | | 90,438,695 | | | | | | — | | |
Norway | | | | | 40,509,391 | | | | | | — | | | | | | 40,509,391 | | | | | | — | | |
Peru | | | | | 3,293,328 | | | | | | 2,781,787 | | | | | | 511,541 | | | | | | — | | |
Philippines | | | | | 5,177,707 | | | | | | — | | | | | | 5,177,707 | | | | | | — | | |
Poland | | | | | 5,329,116 | | | | | | — | | | | | | 5,329,116 | | | | | | — | | |
Portugal | | | | | 8,252,718 | | | | | | — | | | | | | 8,252,718 | | | | | | — | | |
Russia | | | | | 32,983 | | | | | | — | | | | | | — | | | | | | 32,983 | | |
Saudi Arabia | | | | | 2,914,276 | | | | | | — | | | | | | 2,914,276 | | | | | | — | | |
Singapore | | | | | 30,474,149 | | | | | | 1,404,389 | | | | | | 29,069,760 | | | | | | — | | |
South Africa | | | | | 3,425,302 | | | | | | 786,735 | | | | | | 2,638,567 | | | | | | — | | |
South Korea | | | | | 73,529,227 | | | | | | — | | | | | | 73,529,227 | | | | | | — | | |
Spain | | | | | 25,572,862 | | | | | | — | | | | | | 25,572,862 | | | | | | — | | |
Sweden | | | | | 74,828,268 | | | | | | 1,046,696 | | | | | | 73,781,572 | | | | | | — | | |
Switzerland | | | | | 127,342,432 | | | | | | — | | | | | | 127,342,432 | | | | | | — | | |
Taiwan | | | | | 66,652,634 | | | | | | 27,180,962 | | | | | | 39,471,672 | | | | | | — | | |
Thailand | | | | | 7,030,367 | | | | | | — | | | | | | 7,030,367 | | | | | | — | | |
Turkey | | | | | 7,590,644 | | | | | | — | | | | | | 7,590,644 | | | | | | — | | |
United Arab Emirates | | | | | 402,441 | | | | | | — | | | | | | 402,441 | | | | | | — | | |
United Kingdom | | | | | 243,834,670 | | | | | | 8,047,331 | | | | | | 235,783,417 | | | | | | 3,922 | | |
United States | | | | | 41,565,266 | | | | | | 40,955,136 | | | | | | 610,130 | | | | | | — | | |
Uruguay | | | | | 13,727,717 | | | | | | 13,727,717 | | | | | | — | | | | | | — | | |
Exchange Traded Funds (ETFs) | | | | | 223,150,599 | | | | | | 223,150,599 | | | | | | — | | | | | | — | | |
Preferred Stocks | | | | | 34,133 | | | | | | — | | | | | | 34,133 | | | | | | — | | |
Warrants: | | | | | | | | | | | | | | | | | | | | | | | | | |
Canada | | | | | —* | | | | | | — | | | | | | —* | | | | | | — | | |
United States | | | | | 168 | | | | | | 168 | | | | | | — | | | | | | — | | |
Right | | | | | 1,289 | | | | | | — | | | | | | 1,289 | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 80,595,119 | | | | | | — | | | | | | 80,595,119 | | | | | | — | | |
Money Market Fund | | | | | 20,632,983 | | | | | | 20,632,983 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 2,538,298,804 | | | | | $ | 431,246,503 | | | | | $ | 2,106,531,600 | | | | | $ | 520,701 | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Options Contracts Written | | | | $ | (6,236) | | | | | $ | (6,236) | | | | | $ | — | | | | | $ | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (6,236) | | | | | $ | (6,236) | | | | | $ | — | | | | | $ | — | | |
|
| | | Total Fair Value at August 31, 2023 | | | 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 | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bond & Note | | | | $ | 1,265,550 | | | | | $ | — | | | | | $ | 1,265,550 | | | | | $ | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Basic Materials | | | | | 32,055,778 | | | | | | 24,188,405 | | | | | | 7,867,373 | | | | | | — | | |
Communications | | | | | 35,572,848 | | | | | | 20,338,357 | | | | | | 15,234,491 | | | | | | — | | |
Consumer Cyclical | | | | | 39,271,897 | | | | | | 30,722,370 | | | | | | 8,549,527 | | | | | | — | | |
Consumer Non-cyclical | | | | | 138,716,752 | | | | | | 101,749,290 | | | | | | 36,967,462 | | | | | | — | | |
Energy | | | | | 66,179,472 | | | | | | 38,601,759 | | | | | | 27,577,713 | | | | | | — | | |
Financial | | | | | 108,379,306 | | | | | | 67,288,105 | | | | | | 41,091,201 | | | | | | — | | |
Industrial | | | | | 69,842,557 | | | | | | 48,064,259 | | | | | | 21,778,298 | | | | | | — | | |
Technology | | | | | 37,658,005 | | | | | | 28,447,715 | | | | | | 9,210,290 | | | | | | — | | |
Utilities | | | | | 61,889,081 | | | | | | 48,619,797 | | | | | | 13,269,284 | | | | | | — | | |
Exchange Traded Funds (ETFs) | | | | | 20,887,776 | | | | | | 20,887,776 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Equity Linked Note | | | | | 1,918,600 | | | | | | — | | | | | | 1,918,600 | | | | | | — | | |
Time Deposits | | | | | 5,655,200 | | | | | | — | | | | | | 5,655,200 | | | | | | — | | |
Money Market Fund | | | | | 10,518,183 | | | | | | 10,518,183 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 629,811,005 | | | | | $ | 439,426,016 | | | | | $ | 190,384,989 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Options Contracts Written | | | | $ | (9,630) | | | | | $ | (9,630) | | | | | $ | — | | | | | $ | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (9,630) | | | | | $ | (9,630) | | | | | $ | — | | | | | $ | — | | |
Destinations Core Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Mortgage-Backed Securities | | | | $ | 512,354,561 | | | | | $ | — | | | | | $ | 512,354,561 | | | | | $ | — | | |
Corporate Bonds & Notes: | | | | | | | | | | | | | | | | | | | | | | | | | |
Basic Materials | | | | | 13,589,862 | | | | | | — | | | | | | 13,589,862 | | | | | | — | | |
Communications | | | | | 49,277,415 | | | | | | — | | | | | | 49,277,415 | | | | | | — | | |
Consumer Cyclical | | | | | 40,389,431 | | | | | | — | | | | | | 40,389,431 | | | | | | — | | |
Consumer Non-cyclical | | | | | 50,213,321 | | | | | | — | | | | | | 50,213,321 | | | | | | — | | |
Energy | | | | | 57,298,151 | | | | | | — | | | | | | 57,298,151 | | | | | | — | | |
Financial | | | | | 201,378,453 | | | | | | — | | | | | | 201,378,453 | | | | | | — | | |
Industrial | | | | | 18,736,979 | | | | | | — | | | | | | 18,736,979 | | | | | | — | | |
Technology | | | | | 12,512,520 | | | | | | — | | | | | | 12,512,520 | | | | | | — | | |
Utilities | | | | | 60,848,081 | | | | | | — | | | | | | 60,848,081 | | | | | | — | | |
Collateralized Mortgage Obligations | | | | | 448,940,945 | | | | | | — | | | | | | 448,940,945 | | | | | | — | | |
U.S. Government Obligations | | | | | 439,627,624 | | | | | | — | | | | | | 439,627,624 | | | | | | — | | |
Asset-Backed Securities | | | | | 196,190,743 | | | | | | — | | | | | | 196,190,743 | | | | | | — | | |
Senior Loans | | | | | 15,490,395 | | | | | | — | | | | | | 15,490,395 | | | | | | — | | |
Municipal Bonds | | | | | 3,187,994 | | | | | | — | | | | | | 3,187,994 | | | | | | — | | |
Sovereign Bonds | | | | | 5,159,889 | | | | | | — | | | | | | 5,159,889 | | | | | | — | | |
Open-End Fund | | | | | 57,327,041 | | | | | | 57,327,041 | | | | | | — | | | | | | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Telecommunications | | | | | 22,660 | | | | | | 22,660 | | | | | | — | | | | | | — | | |
Industrial | | | | | 11,976 | | | | | | — | | | | | | — | | | | | | 11,976 | | |
| | | Total Fair Value at August 31, 2023 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Core Fixed Income Fund (continued) | | ||||||||||||||||||||||||
Investments, at value (continued) | | ||||||||||||||||||||||||
Rights | | | | $ | 1,204 | | | | | $ | — | | | | | $ | 1,204 | | | | | $ | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 27,833,427 | | | | | | — | | | | | | 27,833,427 | | | | | | — | | |
U.S. Government Obligation | | | | | 884,402 | | | | | | — | | | | | | 884,402 | | | | | | — | | |
Total Investments, at value | | | | $ | 2,211,277,074 | | | | | $ | 57,349,701 | | | | | $ | 2,153,915,397 | | | | | $ | 11,976 | | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | $ | 766,921 | | | | | $ | 766,921 | | | | | $ | — | | | | | $ | — | | |
Centrally Cleared Interest Rate Swap | | | | | 516,596 | | | | | | — | | | | | | 516,596 | | | | | | — | | |
Centrally Cleared Credit Default Swaps | | | | | 45,627 | | | | | | — | | | | | | 45,627 | | | | | | — | | |
Total Other Financial Instruments – Assets | | | | $ | 1,329,144 | | | | | $ | 766,921 | | | | | $ | 562,223 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | | $ | (988,360) | | | | | $ | (988,360) | | | | | $ | — | | | | | $ | — | | |
Centrally Cleared Interest Rate Swap | | | | | (42,984) | | | | | | — | | | | | | (42,984) | | | | | | — | | |
Forward Sale Commitments | | | | | (25,149,680) | | | | | | — | | | | | | (25,149,680) | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (26,181,024) | | | | | $ | (988,360) | | | | | $ | (25,192,664) | | | | | $ | — | | |
Destinations Low Duration Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes: | | | | | | | | | | | | | | | | | | | | | | | | | |
Basic Materials | | | | $ | 11,671,047 | | | | | $ | — | | | | | $ | 11,671,047 | | | | | $ | — | | |
Communications | | | | | 44,195,270 | | | | | | — | | | | | | 44,195,270 | | | | | | — | | |
Consumer Cyclical | | | | | 16,943,012 | | | | | | — | | | | | | 16,943,012 | | | | | | — | | |
Consumer Non-cyclical | | | | | 26,621,411 | | | | | | — | | | | | | 19,398,961 | | | | | | 7,222,450 | | |
Diversified | | | | | 2,621,105 | | | | | | — | | | | | | 2,621,105 | | | | | | — | | |
Energy | | | | | 13,012,317 | | | | | | — | | | | | | 13,012,317 | | | | | | — | | |
Financial | | | | | 21,372,267 | | | | | | — | | | | | | 21,372,267 | | | | | | — | | |
Healthcare | | | | | 5,466,400 | | | | | | — | | | | | | — | | | | | | 5,466,400 | | |
Industrial | | | | | 40,726,568 | | | | | | — | | | | | | 40,726,568 | | | | | | — | | |
Technology | | | | | 7,865,647 | | | | | | — | | | | | | 7,865,647 | | | | | | — | | |
Utilities | | | | | 2,034,911 | | | | | | — | | | | | | 2,034,911 | | | | | | — | | |
Asset-Backed Securities | | | | | 42,558,604 | | | | | | — | | | | | | 42,558,604 | | | | | | — | | |
Senior Loans | | | | | 38,359,364 | | | | | | — | | | | | | 35,376,337 | | | | | | 2,983,027 | | |
Collateralized Mortgage Obligations | | | | | 29,015,803 | | | | | | — | | | | | | 29,015,803 | | | | | | — | | |
U.S. Government Agencies & Obligations | | | | | 22,423,768 | | | | | | — | | | | | | 22,423,768 | | | | | | — | | |
Mortgage-Backed Securities | | | | | 1,911,834 | | | | | | — | | | | | | 1,911,834 | | | | | | — | | |
Sovereign Bonds | | | | | 678,250 | | | | | | — | | | | | | 678,250 | | | | | | — | | |
Exchange Traded Fund (ETF) | | | | | 42,638,051 | | | | | | 42,638,051 | | | | | | — | | | | | | — | | |
Common Stocks | | | | | 412,171 | | | | | | — | | | | | | — | | | | | | 412,171 | | |
Warrants: | | | | | | | | | | | | | | | | | | | | | | | | | |
Basic Materials | | | | | —* | | | | | | — | | | | | | — | | | | | | —* | | |
Diversified | | | | | 18,852 | | | | | | 18,852 | | | | | | — | | | | | | —* | | |
Healthcare | | | | | 1,928 | | | | | | 1,928 | | | | | | — | | | | | | — | | |
| | | Total Fair Value at August 31, 2023 | | | 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) | | ||||||||||||||||||||||||
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Papers | | | | $ | 16,554,752 | | | | | $ | — | | | | | $ | 16,554,752 | | | | | $ | — | | |
Corporate Note | | | | | 996,806 | | | | | | — | | | | | | — | | | | | | 996,806 | | |
Time Deposits | | | | | 11,612,724 | | | | | | — | | | | | | 11,612,724 | | | | | | — | | |
U.S. Government Obligations | | | | | 9,124,486 | | | | | | — | | | | | | 9,124,486 | | | | | | — | | |
Total Investments, at value | | | | $ | 408,837,348 | | | | | $ | 42,658,831 | | | | | $ | 349,097,663 | | | | | $ | 17,080,854 | | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 379,890 | | | | | $ | — | | | | | $ | 379,890 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 379,890 | | | | | $ | — | | | | | $ | 379,890 | | | | | $ | — | | |
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | | | | | | | | |
Australia | | | | $ | 15,222,785 | | | | | $ | — | | | | | $ | 13,472,785 | | | | | $ | 1,750,000 | | |
Austria | | | | | 845,856 | | | | | | — | | | | | | 845,856 | | | | | | — | | |
Bermuda | | | | | 4,425,569 | | | | | | — | | | | | | 4,425,569 | | | | | | — | | |
Brazil | | | | | 8,863,183 | | | | | | — | | | | | | 8,863,183 | | | | | | — | | |
British Virgin Islands | | | | | 198,404 | | | | | | — | | | | | | 198,404 | | | | | | — | | |
Canada | | | | | 27,186,645 | | | | | | — | | | | | | 27,186,645 | | | | | | — | | |
Cayman Islands | | | | | 5,631,379 | | | | | | — | | | | | | 5,631,379 | | | | | | — | | |
Chile | | | | | 19,672,444 | | | | | | — | | | | | | 19,672,444 | | | | | | — | | |
Colombia | | | | | 18,119,533 | | | | | | — | | | | | | 18,119,533 | | | | | | — | | |
Denmark | | | | | 4,296,201 | | | | | | — | | | | | | 4,296,201 | | | | | | — | | |
France | | | | | 4,805,384 | | | | | | — | | | | | | 4,805,384 | | | | | | — | | |
Germany | | | | | 13,334,445 | | | | | | — | | | | | | 13,334,445 | | | | | | — | | |
Guatemala | | | | | 4,604,150 | | | | | | — | | | | | | 4,604,150 | | | | | | — | | |
India | | | | | 16,757,436 | | | | | | — | | | | | | 16,757,436 | | | | | | — | | |
Indonesia | | | | | 11,896,576 | | | | | | — | | | | | | 11,896,576 | | | | | | — | | |
Israel | | | | | 8,323,248 | | | | | | — | | | | | | 8,323,248 | | | | | | — | | |
Italy | | | | | 9,085,833 | | | | | | — | | | | | | 9,085,833 | | | | | | — | | |
Jersey, Channel Islands | | | | | 4,979,110 | | | | | | — | | | | | | 4,979,110 | | | | | | — | | |
Luxembourg | | | | | 25,908,492 | | | | | | — | | | | | | 25,908,492 | | | | | | — | | |
Malaysia | | | | | 7,479,531 | | | | | | — | | | | | | 7,479,531 | | | | | | — | | |
Mauritius | | | | | 4,355,267 | | | | | | — | | | | | | 4,355,267 | | | | | | — | | |
Mexico | | | | | 25,119,069 | | | | | | — | | | | | | 25,119,069 | | | | | | — | | |
Multinational | | | | | 5,273,794 | | | | | | — | | | | | | 5,273,794 | | | | | | — | | |
Netherlands | | | | | 30,344,422 | | | | | | — | | | | | | 30,344,422 | | | | | | — | | |
Norway | | | | | 6,132,374 | | | | | | — | | | | | | 6,132,374 | | | | | | — | | |
Panama | | | | | 2,993,610 | | | | | | — | | | | | | 2,993,610 | | | | | | — | | |
Paraguay | | | | | 1,425,339 | | | | | | — | | | | | | 1,425,339 | | | | | | — | | |
Peru | | | | | 30,154,489 | | | | | | — | | | | | | 30,154,489 | | | | | | — | | |
Portugal | | | | | —* | | | | | | — | | | | | | — | | | | | | —* | | |
Singapore | | | | | 30,331,267 | | | | | | — | | | | | | 30,331,267 | | | | | | — | | |
South Korea | | | | | 19,265,899 | | | | | | — | | | | | | 19,265,899 | | | | | | — | | |
| | | Total Fair Value at August 31, 2023 | | | 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) | | ||||||||||||||||||||||||
Spain | | | | $ | 6,198,853 | | | | | $ | — | | | | | $ | 6,198,853 | | | | | $ | — | | |
Sweden | | | | | 2,552,110 | | | | | | — | | | | | | 2,552,110 | | | | | | — | | |
Switzerland | | | | | 1,434,357 | | | | | | — | | | | | | 1,434,357 | | | | | | — | | |
United Kingdom | | | | | 22,000,181 | | | | | | — | | | | | | 22,000,181 | | | | | | — | | |
United States | | | | | 183,364,939 | | | | | | — | | | | | | 172,690,303 | | | | | | 10,674,636 | | |
Senior Loans | | | | | 59,773,007 | | | | | | — | | | | | | 59,134,606 | | | | | | 638,401 | | |
Collateralized Mortgage Obligations | | | | | 19,036,587 | | | | | | — | | | | | | 19,036,587 | | | | | | — | | |
Exchange Traded Fund (ETF) | | | | | 51,421,517 | | | | | | 51,421,517 | | | | | | — | | | | | | — | | |
Sovereign Bonds | | | | | 16,994,778 | | | | | | — | | | | | | 16,994,778 | | | | | | — | | |
Preferred Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Bermuda | | | | | 3,128,195 | | | | | | 3,128,195 | | | | | | — | | | | | | — | | |
United Kingdom | | | | | 27,311 | | | | | | 27,311 | | | | | | — | | | | | | — | | |
United States | | | | | 22,534,433 | | | | | | 21,334,992 | | | | | | 1,199,441 | | | | | | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
United States | | | | | 10,046,145 | | | | | | 5,981,495 | | | | | | — | | | | | | 4,064,650 | | |
Equity Linked Notes | | | | | 145,580 | | | | | | — | | | | | | — | | | | | | 145,580 | | |
Warrants: | | | | | | | | | | | | | | | | | | | | | | | | | |
Bermuda | | | | | —* | | | | | | — | | | | | | — | | | | | | —* | | |
Brazil | | | | | —* | | | | | | — | | | | | | — | | | | | | —* | | |
Canada | | | | | —* | | | | | | — | | | | | | — | | | | | | —* | | |
Israel | | | | | —* | | | | | | — | | | | | | — | | | | | | —* | | |
United Kingdom | | | | | 2,185 | | | | | | 2,185 | | | | | | — | | | | | | — | | |
United States | | | | | 11,143 | | | | | | 11,143 | | | | | | — | | | | | | — | | |
Purchased Option | | | | | 2,845 | | | | | | 2,845 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Papers | | | | | 46,617,879 | | | | | | — | | | | | | 46,617,879 | | | | | | — | | |
Corporate Note | | | | | 1,551,869 | | | | | | — | | | | | | — | | | | | | 1,551,869 | | |
Time Deposits | | | | | 23,654,315 | | | | | | — | | | | | | 23,654,315 | | | | | | — | | |
Money Market Fund | | | | | 843,675 | | | | | | 843,675 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 838,373,638 | | | | | $ | 82,753,358 | | | | | $ | 736,795,144 | | | | | $ | 18,825,136 | | |
Other Financial Instruments – Asset | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 529,232 | | | | | $ | — | | | | | $ | 529,232 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 529,232 | | | | | $ | — | | | | | $ | 529,232 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Options Contracts Written | | | | $ | (185,781) | | | | | $ | (185,781) | | | | | $ | — | | | | | $ | — | | |
Forward Foreign Currency Contract | | | | | (2,824) | | | | | | — | | | | | | (2,824) | | | | | | — | | |
Short Sales: | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | (2,297,208) | | | | | | — | | | | | | (2,297,208) | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (2,485,813) | | | | | $ | (185,781) | | | | | $ | (2,300,032) | | | | | $ | — | | |
Destinations Municipal Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Municipal Bonds | | | | $ | 817,915,274 | | | | | $ | — | | | | | $ | 817,915,274 | | | | | $ | — | | |
| | | Total Fair Value at August 31, 2023 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Municipal Fixed Income Fund (continued) | | ||||||||||||||||||||||||
Investments, at value (continued) | | ||||||||||||||||||||||||
Exchange Traded Fund (ETF) | | | | $ | 30,594,672 | | | | | $ | 30,594,672 | | | | | $ | — | | | | | $ | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Municipal Bond | | | | | 1,760,928 | | | | | | — | | | | | | 1,760,928 | | | | | | — | | |
Time Deposits | | | | | 40,320,682 | | | | | | — | | | | | | 40,320,682 | | | | | | — | | |
Total Investments, at value | | | | $ | 890,591,556 | | | | | $ | 30,594,672 | | | | | $ | 859,996,884 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contract | | | | $ | (19,078) | | | | | $ | (19,078) | | | | | $ | — | | | | | $ | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (19,078) | | | | | $ | (19,078) | | | | | $ | — | | | | | $ | — | | |
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Collateralized Mortgage Obligations | | | | $ | 173,965,383 | | | | | $ | — | | | | | $ | 173,965,383 | | | | | $ | — | | |
Asset-Backed Securities | | | | | 126,215,191 | | | | | | — | | | | | | 126,215,191 | | | | | | — | | |
Corporate Bonds & Notes | | | | | 101,637,187 | | | | | | — | | | | | | 101,637,187 | | | | | | — | | |
Senior Loan | | | | | 9,387,975 | | | | | | — | | | | | | 9,387,975 | | | | | | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Consumer Cyclical | | | | | 18,596,165 | | | | | | 18,596,165 | | | | | | — | | | | | | — | | |
Consumer Non-cyclical | | | | | 50,228,119 | | | | | | 50,228,119 | | | | | | — | | | | | | — | | |
Diversified | | | | | 2,990,669 | | | | | | 2,990,669 | | | | | | — | | | | | | —* | | |
Financial | | | | | 17,094,743 | | | | | | 17,094,743 | | | | | | — | | | | | | — | | |
Industrial | | | | | 10,431,875 | | | | | | 10,431,875 | | | | | | — | | | | | | — | | |
Technology | | | | | 18,595,630 | | | | | | 18,595,630 | | | | | | — | | | | | | — | | |
Open-End Funds | | | | | 161,513,104 | | | | | | 161,513,104 | | | | | | — | | | | | | — | | |
Equity Linked Note | | | | | 3,065,153 | | | | | | 3,065,153 | | | | | | — | | | | | | — | | |
Preferred Stock | | | | | 7,206,834 | | | | | | 7,206,834 | | | | | | — | | | | | | — | | |
Warrants | | | | | 541,757 | | | | | | 541,757 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 90,351,800 | | | | | | — | | | | | | 90,351,800 | | | | | | — | | |
Money Market Fund | | | | | 100 | | | | | | 100 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 791,821,685 | | | | | $ | 290,264,149 | | | | | $ | 501,557,536 | | | | | $ | — | | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Total Return Swaps | | | | $ | 208,043 | | | | | $ | — | | | | | $ | 208,043 | | | | | $ | — | | |
OTC Credit Default Swaps | | | | | 9,649,464 | | | | | | — | | | | | | 9,649,464 | | | | | | — | | |
Total Other Financial Instruments – Assets | | | | $ | 9,857,507 | | | | | $ | — | | | | | $ | 9,857,507 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Total Return Swaps | | | | $ | (207,257) | | | | | $ | — | | | | | $ | (207,257) | | | | | $ | — | | |
Short Sales: | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange Traded Funds (ETFs) | | | | | (34,582,640) | | | | | | (34,582,640) | | | | | | — | | | | | | — | | |
Common Stock | | | | | (6,340,254) | | | | | | (6,340,254) | | | | | | — | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (41,130,151) | | | | | $ | (40,922,894) | | | | | $ | (207,257) | | | | | $ | — | | |
|
| | | Total Fair Value at August 31, 2023 | | | 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 | | | | $ | 99,891,705 | | | | | $ | 99,891,705 | | | | | $ | — | | | | | $ | — | | |
Purchased Option | | | | | 654,810 | | | | | | 654,810 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 838,308 | | | | | | — | | | | | | 838,308 | | | | | | — | | |
Total Investments, at value | | | | $ | 101,384,823 | | | | | $ | 100,546,515 | | | | | $ | 838,308 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Options Contracts Written | | | | $ | (288,413) | | | | | $ | (288,413) | | | | | $ | — | | | | | $ | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (288,413) | | | | | $ | (288,413) | | | | | $ | — | | | | | $ | — | | |
|
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | | Warrants | | | Short Terms | | | Equity Linked Notes | | ||||||||||||||||||||||||
Destinations Large Cap Equity Fund | | ||||||||||||||||||||||||||||||||||||||||||||||||
Balance as of February 28, 2023 | | | | $ | 14,872,011 | | | | | $ | 4,999,974 | | | | | $ | — | | | | | $ | 9,872,037 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 573,140 | | | | | | 573,140 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | (884,051) | | | | | | (884,051) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | (790,842) | | | | | | (790,842) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | (1,891,023) | | | | | | 889,778 | | | | | | — | | | | | | (2,780,801) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2023 | | | | $ | 11,879,235 | | | | | $ | 4,787,999 | | | | | $ | — | | | | | $ | 7,091,236 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2023 | | | | $ | (2,631,651) | | | | | $ | 149,150 | | | | | $ | — | | | | | $ | (2,780,801) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations International Equity Fund | | ||||||||||||||||||||||||||||||||||||||||||||||||
Balance as of February 28, 2023 | | | | $ | 727,361 | | | | | $ | 709,703 | | | | | $ | — | | | | | $ | 17,658 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 3,069,629 | | | | | | 3,069,629 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | (4,874,278) | | | | | | (4,874,278) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | (4,118,190) | | | | | | (4,118,190) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | 6,638,968 | | | | | | 6,622,493 | | | | | | — | | | | | | 16,475 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | (922,789) | | | | | | (888,656) | | | | | | — | | | | | | (34,133) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2023 | | | | $ | 520,701 | | | | | $ | 520,701 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2023 | | | | $ | 1,472,918 | | | | | $ | 1,456,442 | | | | | $ | — | | | | | $ | 16,475 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Core Fixed Income Fund | | ||||||||||||||||||||||||||||||||||||||||||||||||
Balance as of February 28, 2023 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 3,913 | | | | | | 3,913 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | 8,063 | | | | | | 8,063 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | | Warrants | | | Short Terms | | | Equity Linked Notes | | ||||||||||||||||||||||||
Destinations Core Fixed Income Fund (continued) | | ||||||||||||||||||||||||||||||||||||||||||||||||
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2023 | | | | $ | 11,976 | | | | | $ | 11,976 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2023 | | | | $ | 8,063 | | | | | $ | 8,063 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Low Duration Fixed Income Fund | | ||||||||||||||||||||||||||||||||||||||||||||||||
Balance as of February 28, 2023 | | | | $ | 15,412,115 | | | | | $ | 341,066 | | | | | $ | 15,064,325 | | | | | $ | — | | | | | $ | — | | | | | $ | 6,724 | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 841,806 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 841,806 | | | | | | — | | |
(Sales/Paydowns) | | | | | (1,729,792) | | | | | | — | | | | | | (1,729,792) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | (426,302) | | | | | | 71,105 | | | | | | (645,683) | | | | | | — | | | | | | — | | | | | | (6,724) | | | | | | 155,000 | | | | | | — | | |
Transfers In | | | | | 2,983,027 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,983,027 | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2023 | | | | $ | 17,080,854 | | | | | $ | 412,171 | | | | | $ | 12,688,850 | | | | | $ | — | | | | | $ | 2,983,027 | | | | | $ | —* | | | | | $ | 996,806 | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2023 | | | | $ | (541,717) | | | | | $ | 134,754 | | | | | $ | (682,066) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 5,595 | | | | | $ | — | | |
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||||||||||||||||||||||||||
Balance as of February 28, 2023 | | | | $ | 15,902,865 | | | | | $ | 3,762,920 | | | | | $ | 9,271,370 | | | | | $ | — | | | | | $ | 2,682,508 | | | | | $ | 33,674 | | | | | $ | — | | | | | $ | 152,393 | | |
Purchases | | | | | 5,807,897 | | | | | | 964,028 | | | | | | 3,460,000 | | | | | | — | | | | | | | | | | | | — | | | | | | 1,383,869 | | | | | | — | | |
(Sales/Paydowns) | | | | | (2,209,549) | | | | | | (147,444) | | | | | | — | | | | | | — | | | | | | (2,044,106) | | | | | | — | | | | | | — | | | | | | (17,999) | | |
Total realized gain (loss) | | | | | 67,905 | | | | | | 47,813 | | | | | | — | | | | | | — | | | | | | 2,093 | | | | | | — | | | | | | — | | | | | | 17,999 | | |
Change in unrealized appreciation (depreciation) | | | | | (743,982) | | | | | | (562,667) | | | | | | (306,734) | | | | | | — | | | | | | (2,094) | | | | | | (33,674) | | | | | | 168,000 | | | | | | (6,813) | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2023 | | | | $ | 18,825,136 | | | | | $ | 4,064,650 | | | | | $ | 12,424,636* | | | | | $ | — | | | | | $ | 638,401 | | | | | $ | —* | | | | | $ | 1,551,869 | | | | | $ | 145,580 | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2023 | | | | $ | (712,746) | | | | | $ | (399,136) | | | | | $ | (311,024) | | | | | $ | — | | | | | $ | (3,123) | | | | | $ | — | | | | | $ | 7,350 | | | | | $ | (6,813) | | |
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||||||||||||||||||||||||||
Balance as of February 28, 2023 | | | | $ | —* | | | | | $ | —* | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2023 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2023 | | | | $ | —* | | | | | $ | —* | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts(a) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 124,546 | | | | | $ | 124,546 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 124,546 | | | | | $ | 124,546 | | |
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 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 245,676 | | | | | $ | 245,676 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 245,676 | | | | | $ | 245,676 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 102,351 | | | | | $ | 102,351 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 102,351 | | | | | $ | 102,351 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding(d) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 6,236 | | | | | $ | 6,236 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 6,236 | | | | | $ | 6,236 | | |
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 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 33,481 | | | | | $ | 33,481 | | |
Net realized gain (loss) on swap contracts | | | | | — | | | | | | — | | | | | | 122,002 | | | | | | — | | | | | | 122,002 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | 122,002 | | | | | $ | 33,481 | | | | | $ | 155,483 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 20,045 | | | | | $ | 20,045 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 20,045 | | | | | $ | 20,045 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding(d) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 9,630 | | | | | $ | 9,630 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 9,630 | | | | | $ | 9,630 | | |
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 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 141,183 | | | | | $ | 141,183 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 141,183 | | | | | $ | 141,183 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (1,559) | | | | | $ | (1,559) | | |
| | | | $ | — | | | | | $ | | | | | $ | — | | | | | $ | (1,559) | | | | | $ | (1,559) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts(a) | | | | $ | 766,921 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 766,921 | | |
Unrealized appreciation on swap contracts(e) | | | | | 516,596 | | | | | | — | | | | | | 45,627 | | | | | | — | | | | | | 562,223 | | |
| | | | $ | 1,283,517 | | | | | $ | — | | | | | $ | 45,627 | | | | | $ | — | | | | | $ | 1,329,144 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts(a) | | | | $ | 988,360 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 988,360 | | |
Unrealized depreciation on swap contracts(e) | | | | | 42,984 | | | | | | — | | | | | | — | | | | | | — | | | | | | 42,984 | | |
| | | | $ | 1,031,344 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,031,344 | | |
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 | | | | $ | (43,028) | | | | | $ | — | | | | | $ | 14,727 | | | | | $ | — | | | | | $ | (28,301) | | |
Net realized gain (loss) on futures contracts | | | | | 959,276 | | | | | | — | | | | | | — | | | | | | — | | | | | | 959,276 | | |
| | | | $ | 916,248 | | | | | $ | — | | | | | $ | 14,727 | | | | | $ | — | | | | | $ | 930,975 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts | | | | $ | (329,096) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (329,096) | | |
Net change in unrealized appreciation (depreciation) on swap contracts | | | | | 110,838 | | | | | | — | | | | | | 47,643 | | | | | | — | | | | | | 158,481 | | |
| | | | $ | (218,258) | | | | | $ | — | | | | | $ | 47,643 | | | | | $ | — | | | | | $ | (170,615) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency contracts(f) | | | | $ | — | | | | | $ | 379,890 | | | | | $ | — | | | | | $ | — | | | | | $ | 379,890 | | |
| | | | $ | — | | | | | $ | 379,890 | | | | | $ | — | | | | | $ | — | | | | | $ | 379,890 | | |
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 | | | | $ | — | | | | | $ | (1,432,785) | | | | | $ | — | | | | | $ | — | | | | | $ | (1,432,785) | | |
| | | | $ | — | | | | | $ | (1,432,785) | | | | | $ | — | | | | | $ | — | | | | | $ | (1,432,785) | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | $ | — | | | | | $ | (193,318) | | | | | $ | — | | | | | $ | — | | | | | $ | (193,318) | | |
| | | | $ | — | | | | | $ | (193,318) | | | | | $ | — | | | | | $ | — | | | | | $ | (193,318) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchased option contracts(h) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 2,845 | | | | | $ | 2,845 | | |
Unrealized appreciation on forward foreign currency contracts(f) | | | | | — | | | | | | 529,232 | | | | | | — | | | | | | — | | | | | | 529,232 | | |
| | | | $ | — | | | | | $ | 529,232 | | | | | $ | — | | | | | $ | 2,845 | | | | | $ | 532,077 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding(d) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 185,781 | | | | | $ | 185,781 | | |
Unrealized depreciation on forward foreign currency contracts(g) | | | | | — | | | | | | 2,824 | | | | | | — | | | | | | — | | | | | | 2,824 | | |
| | | | $ | — | | | | | $ | 2,824 | | | | | $ | — | | | | | $ | 185,781 | | | | | $ | 188,605 | | |
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 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 454,235 | | | | | $ | 454,235 | | |
Net realized gain (loss) on forward foreign currency contracts | | | | | — | | | | | | (1,454,266) | | | | | | — | | | | | | — | | | | | | (1,454,266) | | |
| | | | $ | — | | | | | $ | (1,454,266) | | | | | $ | — | | | | | $ | 454,235 | | | | | $ | (1,000,031) | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (172,843) | | | | | $ | (172,843) | | |
Net change in unrealized appreciation (depreciation) on purchased option contracts | | | | | — | | | | | | — | | | | | | — | | | | | | (25,058) | | | | | | (25,058) | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | | — | | | | | | 106,838 | | | | | | — | | | | | | — | | | | | | 106,838 | | |
| | | | $ | — | | | | | $ | 106,838 | | | | | $ | — | | | | | $ | (197,901) | | | | | $ | (91,063) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts(a) | | | | $ | 19,078 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 19,078 | | |
| | | | $ | 19,078 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 19,078 | | |
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 | | | | $ | 72,699 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 72,699 | | |
| | | | $ | 72,699 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 72,699 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts | | | | $ | (19,078) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (19,078) | | |
| | | | $ | (19,078) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (19,078) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on swap contracts(i) | | | | $ | — | | | | | $ | — | | | | | $ | 9,649,464 | | | | | $ | 208,043 | | | | | $ | 9,857,507 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | 9,649,464 | | | | | $ | 208,043 | | | | | $ | 9,857,507 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on swap contracts(j) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 207,257 | | | | | $ | 207,257 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 207,257 | | | | | $ | 207,257 | | |
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 swap contracts | | | | $ | — | | | | | $ | — | | | | | $ | 2,044,729 | | | | | $ | 296,222 | | | | | $ | 2,340,951 | | |
Net realized gain (loss) on option contracts purchased | | | | | — | | | | | | — | | | | | | — | | | | | | (123,005) | | | | | | (123,005) | | |
| | | | $ | — | | | | | $ | — | | | | | $ | 2,044,729 | | | | | $ | 173,217 | | | | | $ | 2,217,946 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on swap contracts | | | | $ | — | | | | | $ | — | | | | | $ | 5,001,392 | | | | | $ | (282,591) | | | | | $ | 4,718,801 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | 5,001,392 | | | | | $ | (282,591) | | | | | $ | 4,718,801 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchased option contracts(h) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 654,810 | | | | | $ | 654,810 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 654,810 | | | | | $ | 654,810 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding(d) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 288,413 | | | | | $ | 288,413 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 288,413 | | | | | $ | 288,413 | | |
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 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (3,416,040) | | | | | $ | (3,416,040) | | |
Net realized gain (loss) on options contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | (298,724) | | | | | | (298,724) | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (3,714,764) | | | | | $ | (3,714,764) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on purchased option contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 240,369 | | | | | $ | 240,369 | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | (135,290) | | | | | | (135,290) | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 105,079 | | | | | $ | 105,079 | | |
|
| | | Average notional amounts | | |||
Futures contracts | | | | $ | 3,218,789 | | |
| | | Average notional amounts | | |||
Option contracts written | | | | $ | 13,485(a) | | |
Swap contracts | | | | | 37,369(b) | | |
| | | Average notional amounts | | |||
Option contracts written | | | | $ | 26,490 | | |
| | | Average notional amounts | | |||
Futures contracts | | | | $ | 207,828,184 | | |
Swap contracts | | | | | 15,142,380 | | |
| | | Average notional amounts | | |||
Forward foreign currency contracts | | | | $ | 38,690,598 | | |
| | | Average notional amounts | | |||
Option contracts purchased | | | | $ | 2,845(c) | | |
Option contracts written | | | | | 175,449 | | |
Forward foreign currency contracts | | | | | 37,777,773 | | |
| | | Average notional amounts | | |||
Futures contracts | | | | $ | 748,466(d) | | |
| | | Average notional amounts | | |||
Swap contracts | | | | $ | 159,268,688 | | |
| | | Average notional amounts | | |||
Option contracts purchased | | | | $ | 552,644 | | |
Option contracts written | | | | | 929,494 | | |
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 Small-Mid Cap Equity Fund | | | | $ | 21,308,567 | | | | | $ | — | | | | | $ | (21,308,567) | | | | | $ | — | | |
Destinations International Equity Fund | | | | | 19,398,663 | | | | | | — | | | | | | (19,398,663) | | | | | | — | | |
Destinations Equity Income Fund | | | | | 9,937,135 | | | | | | — | | | | | | (9,937,135) | | | | | | — | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 826,573 | | | | | | — | | | | | | (826,573) | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 22 | | | | | | — | | | | | | (22) | | | | | | — | | |
| | | Remaining Contractual Maturity of the Agreements As of August 31, 2023 | | | | | | | |||||||||||||||||||||||||||||||||||||
| | | Overnight and Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | | | | | | | |||||||||||||||||||||||||
Destinations Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||||
Common Stocks | | | | $ | 22,079,194 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 22,079,194 | | | | | | | | ||||||||||
Total Borrowings | | | | $ | 22,079,194 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 22,079,194 | | | | | | | | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 22,079,194 | | | | | | | | ||||||||||
Destinations International Equity Fund | | | | | | | ||||||||||||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||||
Common Stocks | | | | $ | 20,632,983 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 20,632,983 | | | | | | | | ||||||||||
Total Borrowings | | | | $ | 20,632,983 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 20,632,983 | | | | | | | | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 20,632,983 | | | | | | | | ||||||||||
Destinations Equity Income Fund | | | | | | | ||||||||||||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||||
Common Stocks | | | | $ | 10,518,183 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 10,518,183 | | | | | | | | ||||||||||
Total Borrowings | | | | $ | 10,518,183 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 10,518,183 | | | | | | | | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 10,518,183 | | | | | | | | ||||||||||
Destinations Global Fixed Income Opportunities Fund | | | | | | | ||||||||||||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||||
Common Stocks | | | | $ | 843,675 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 843,675 | | | | | | | | ||||||||||
Total Borrowings | | | | $ | 843,675 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 843,675 | | | | | | | | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 843,675 | | | | | | | | ||||||||||
Destinations Multi Strategy Alternatives Fund | | | | | | | ||||||||||||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||||
Warrants | | | | $ | 100 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 100 | | | | | | | | ||||||||||
Total Borrowings | | | | $ | 100 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 100 | | | | | | | | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 100 | | | | | | | |
| | | 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 | | | | $ | — | | | | | $ | 6,236 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | — | | | | | $ | 6,236 | | |
Destinations Equity Income Fund: | | | | | | | | | | | | | |
Options contracts | | | | $ | — | | | | | $ | 9,630 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | — | | | | | $ | 9,630 | | |
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | 379,890 | | | | | $ | — | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 379,890 | | | | | $ | — | | |
| | | 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 Global Fixed Income Opportunities Fund: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | 529,232 | | | | | $ | 2,824 | | |
Options contracts | | | | $ | 2,845 | | | | | $ | 185,781 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 532,077 | | | | | $ | 188,605 | | |
Destinations Multi Strategy Alternatives Fund: | | | | | | | | | | | | | |
Swap contracts | | | | $ | 9,857,507 | | | | | $ | 207,257 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 9,857,507 | | | | | $ | 207,257 | | |
|
Counterparty | | | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(a) | | | Other Cash Collateral(e) | | | Net Amount(b) | | ||||||||||||
Destinations International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 6,044 | | | | | $ | — | | | | | $ | — | | | | | $ | 6,044 | | |
Goldman Sachs & Co. | | | | | 192 | | | | | | | | | | | | | | | | | | 192 | | |
Total Over-the-counter derivative instruments | | | | $ | 6,236 | | | | | $ | — | | | | | $ | — | | | | | $ | 6,236 | | |
Counterparty | | | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(a) | | | Other Cash Collateral(e) | | | Net Amount(b) | | ||||||||||||
Destinations Equity Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Citigroup Global Markets Inc. | | | | $ | 9,630 | | | | | $ | — | | | | | $ | — | | | | | $ | 9,630 | | |
Total Over-the-counter derivative instruments | | | | $ | 9,630 | | | | | $ | — | | | | | $ | — | | | | | $ | 9,630 | | |
Counterparty | | | Gross amounts of Recognized Assets and presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(c) | | | Other Cash Collateral(e) | | | Net Amount(d) | | ||||||||||||
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 379,890 | | | | | $ | — | | | | | $ | — | | | | | $ | 379,890 | | |
Total Over-the-counter derivative instruments | | | | $ | 379,890 | | | | | $ | — | | | | | $ | — | | | | | $ | 379,890 | | |
Counterparty | | | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(c) | | | Other Cash Collateral(e) | | | Net Amount(d) | | ||||||||||||
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 529,232 | | | | | $ | (2,824) | | | | | $ | — | | | | | $ | 526,408 | | |
Raymond James & Associates | | | | $ | 2,845 | | | | | $ | (2,845) | | | | | $ | — | | | | | $ | — | | |
Total Over-the-counter derivative instruments | | | | $ | 532,077 | | | | | $ | (5,669) | | | | | $ | — | | | | | $ | 526,408 | | |
Counterparty | | | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(c) | | | Other Cash Collateral(e) | | | Net Amount(d) | | ||||||||||||
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 2,824 | | | | | $ | (2,824) | | | | | $ | — | | | | | $ | — | | |
Bank of America Corp. | | | | $ | 2,516 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,516 | | |
Raymond James & Associates | | | | $ | 183,265 | | | | | $ | (2,845) | | | | | $ | — | | | | | $ | 180,420 | | |
Total Over-the-counter derivative instruments | | | | $ | 188,605 | | | | | $ | (5,669) | | | | | $ | — | | | | | $ | 182,936 | | |
Counterparty | | | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(c) | | | Other Cash Collateral(e) | | | Net Amount(d) | | ||||||||||||
Destinations Multi Strategy Alternatives Fund: | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Goldman Sachs & Co | | | | $ | 5,165,866 | | | | | $ | (207,257) | | | | | $ | — | | | | | $ | 4,958,609 | | |
Morgan Stanley Capital Services LLC | | | | $ | 4,691,641 | | | | | $ | — | | | | | $ | — | | | | | $ | 4,691,641 | | |
Total Over-the-counter derivative instruments | | | | $ | 9,857,507 | | | | | $ | (207,257) | | | | | $ | — | | | | | $ | 9,650,250 | | |
Counterparty | | | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(c) | | | Other Cash Collateral(e) | | | Net Amount(d) | | ||||||||||||
Destinations Multi Strategy Alternatives Fund: | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Goldman Sachs & Co | | | | $ | 207,257 | | | | | $ | (207,257) | | | | | $ | — | | | | | $ | — | | |
Total Over-the-counter derivative instruments | | | | $ | 207,257 | | | | | $ | (207,257) | | | | | $ | — | | | | | $ | — | | |
Fund | | | Sub-advisory Fee | | | Brinker Capital Fee | | | Maximum Allowable Annual Management Fee | | |||||||||
Destinations Large Cap Equity Fund | | | | | 0.22% | | | | | | 0.39% | | | | | | 0.75% | | |
Destinations Small-Mid Cap Equity Fund | | | | | 0.51% | | | | | | 0.39% | | | | | | 0.90% | | |
Destinations International Equity Fund | | | | | 0.38% | | | | | | 0.39% | | | | | | 1.00% | | |
Destinations Equity Income Fund | | | | | 0.31% | | | | | | 0.39% | | | | | | 0.80% | | |
Destinations Core Fixed Income Fund | | | | | 0.18% | | | | | | 0.39% | | | | | | 0.65% | | |
Destinations Low Duration Fixed Income Fund | | | | | 0.27% | | | | | | 0.39% | | | | | | 0.70% | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 0.33% | | | | | | 0.39% | | | | | | 0.85% | | |
Destinations Municipal Fixed Income Fund | | | | | 0.15% | | | | | | 0.39% | | | | | | 0.70% | | |
Destinations Multi Strategy Alternatives Fund | | | | | 0.53% | | | | | | 0.39% | | | | | | 1.35% | | |
Destinations Shelter Fund | | | | | 0.35% | | | | | | 0.39% | | | | | | 0.85% | | |
Fund | | | | | | | |
Destinations Large Cap Equity Fund | | | | $ | 2,971,866 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 7,647 | | |
Destinations International Equity Fund | | | | | 2,780,571 | | |
Destinations Equity Income Fund | | | | | 344,559 | | |
Fund | | | | | | | |
Destinations Core Fixed Income Fund | | | | | 850,615 | | |
Destinations Low Duration Fixed Income Fund | | | | | 74,481 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 500,073 | | |
Destinations Municipal Fixed Income Fund | | | | | 702,224 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 1,738,191 | | |
Destinations Shelter Fund | | | | | 55,900 | | |
Fund | | | Purchases | | | Sales | | | Realized Gain/(Loss) | | |||||||||
Destinations Large Cap Equity Fund | | | | $ | 7,439,265 | | | | | $ | 1,424,183 | | | | | $ | (10,930) | | |
Destinations International Equity Fund | | | | | — | | | | | | 227,078 | | | | | | 153,916 | | |
| | | Sub-Transfer Agent Fees | | |||
Fund | | | Class I | | |||
Destinations Large Cap Equity Fund | | | | $ | 2,843,282 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 630,480 | | |
Destinations International Equity Fund | | | | | 1,656,490 | | |
Destinations Equity Income Fund | | | | | 468,121 | | |
Destinations Core Fixed Income Fund | | | | | 1,430,251 | | |
Destinations Low Duration Fixed Income Fund | | | | | 292,010 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 543,957 | | |
Destinations Municipal Fixed Income Fund | | | | | 636,185 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 553,736 | | |
Destinations Shelter Fund | | | | | 74,443 | | |
| | | Investments | | | U.S. Government & Agency Obligations | | ||||||||||||||||||
Fund | | | Purchases | | | Sales | | | Purchases | | | Sales | | ||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 1,772,719,820 | | | | | $ | 2,629,566,168 | | | | | $ | — | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | | 481,781,322 | | | | | | 790,275,299 | | | | | | — | | | | | | — | | |
Destinations International Equity Fund | | | | | 986,893,024 | | | | | | 605,924,538 | | | | | | — | | | | | | — | | |
Destinations Equity Income Fund | | | | | 177,822,122 | | | | | | 257,731,125 | | | | | | — | | | | | | — | | |
Destinations Core Fixed Income Fund | | | | | 1,949,252,921 | | | | | | 1,767,522,118 | | | | | | 1,672,835,172 | | | | | | 1,553,690,253 | | |
Destinations Low Duration Fixed Income Fund | | | | | 141,494,900 | | | | | | 213,017,626 | | | | | | 26,928,009 | | | | | | 28,009,073 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 372,245,461 | | | | | | 240,743,477 | | | | | | — | | | | | | — | | |
Destinations Municipal Fixed Income Fund | | | | | 369,215,854 | | | | | | 279,479,187 | | | | | | — | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 223,510,695 | | | | | | 345,493,042 | | | | | | — | | | | | | — | | |
Destinations Shelter Fund | | | | | 2,819,315 | | | | | | 16,233,492 | | | | | | — | | | | | | — | | |
| | | 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 | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Destinations Core Fixed Income Fund | | | | | 235,054,674 | | | | | | 249,683,289 | | | | | | 235,054,674 | | | | | | 249,683,289 | | |
Destinations Low Duration Fixed Income Fund | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 8,330,763 | | | | | | 8,859,571 | | | | | | — | | | | | | — | | |
Destinations Municipal Fixed Income Fund | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 44,347,078 | | | | | | 44,038,050 | | | | | | — | | | | | | — | | |
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 | | | | $ | 2,926,224,889 | | | | | $ | 1,130,267,846 | | | | | $ | (43,585,659) | | | | | $ | 1,086,682,187 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 733,114,854 | | | | | | 159,941,480 | | | | | | (26,573,702) | | | | | | 133,367,778 | | |
Destinations International Equity Fund | | | | | 2,244,173,963 | | | | | | 447,567,475 | | | | | | (153,448,870) | | | | | | 294,118,605 | | |
Destinations Equity Income Fund | | | | | 593,281,982 | | | | | | 64,341,574 | | | | | | (27,822,181) | | | | | | 36,519,393 | | |
Destinations Core Fixed Income Fund | | | | | 2,430,302,754 | | | | | | 8,086,301 | | | | | | (251,963,861) | | | | | | (243,877,560) | | |
Destinations Low Duration Fixed Income Fund | | | | | 434,603,830 | | | | | | 2,771,612 | | | | | | (28,158,204) | | | | | | (25,386,592) | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 880,522,178 | | | | | | 6,436,468 | | | | | | (50,541,589) | | | | | | (44,105,121) | | |
Destinations Municipal Fixed Income Fund | | | | | 920,864,095 | | | | | | 1,443,696 | | | | | | (31,735,313) | | | | | | (30,291,617) | | |
Destinations Multi Strategy Alternatives Fund | | | | | 725,066,374 | | | | | | 54,184,847 | | | | | | (18,702,180) | | | | | | 35,482,667 | | |
Destinations Shelter Fund | | | | | 96,394,587 | | | | | | 11,163,489 | | | | | | (6,461,665) | | | | | | 4,701,824 | | |
| | | Period ended August 31, 2023 | | | Period ended August 31, 2023 | | | Year ended February 28, 2023 | | | Year ended February 28, 2023 | | ||||||||||||||||||||||||||||||||||||
| | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||||||||||||
| | | Class I | | | Class Z | | | Class I | | | Class Z | | ||||||||||||||||||||||||||||||||||||
Destinations Large Cap Equity Fund | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||
Shares sold | | | | | 11,825,593 | | | | | $ | 158,043,698 | | | | | | 2,957,511 | | | | | $ | 29,872,990 | | | | | | 39,077,559 | | | | | $ | 504,336,142 | | | | | | 7,716,086 | | | | | $ | 78,471,942 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 16,834,864 | | | | | | 206,900,479 | | | | | | 2,880,929 | | | | | | 26,936,686 | | |
Shares repurchased | | | | | (70,954,638) | | | | | | (958,389,101) | | | | | | (9,189,911) | | | | | | (94,658,024) | | | | | | (72,439,471) | | | | | | (938,155,299) | | | | | | (14,821,321) | | | | | | (150,588,094) | | |
Net Increase | | | | | (59,129,045) | | | | | $ | (800,345,403) | | | | | | (6,232,400) | | | | | $ | (64,785,034) | | | | | | (16,527,048) | | | | | $ | (226,918,678) | | | | | | (4,224,306) | | | | | $ | (45,179,466) | | |
Destinations Small-Mid Cap Equity Fund | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||
Shares sold | | | | | 3,354,265 | | | | | $ | 38,784,738 | | | | | | 778,316 | | | | | $ | 6,615,668 | | | | | | 11,237,281 | | | | | $ | 133,573,872 | | | | | | 2,313,614 | | | | | $ | 20,629,275 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 3,059,392 | | | | | | 34,693,512 | | | | | | 530,903 | | | | | | 4,443,660 | | |
Shares repurchased | | | | | (27,569,756) | | | | | | (327,279,114) | | | | | | (3,464,056) | | | | | | (30,429,023) | | | | | | (18,811,618) | | | | | | (222,745,216) | | | | | | (4,214,855) | | | | | | (37,594,065) | | |
Net Increase | | | | | (24,215,491) | | | | | $ | (288,494,376) | | | | | | (2,685,740) | | | | | $ | (23,813,355) | | | | | | (4,514,945) | | | | | $ | (54,477,832) | | | | | | (1,370,338) | | | | | $ | (12,521,130) | | |
Destinations International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 46,294,850 | | | | | $ | 562,951,898 | | | | | | 6,304,652 | | | | | $ | 66,186,743 | | | | | | 19,551,445 | | | | | $ | 228,834,565 | | | | | | 3,692,644 | | | | | $ | 37,882,738 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 4,209,879 | | | | | | 47,529,535 | | | | | | 584,941 | | | | | | 5,691,480 | | |
Shares repurchased | | | | | (18,279,345) | | | | | | (222,444,714) | | | | | | (2,051,281) | | | | | | (21,599,535) | | | | | | (49,354,347) | | | | | | (574,480,158) | | | | | | (8,133,075) | | | | | | (82,840,187) | | |
Net Increase | | | | | 28,015,505 | | | | | $ | 340,507,184 | | | | | | 4,253,371 | | | | | $ | 44,587,208 | | | | | | (25,593,023) | | | | | $ | (298,116,058) | | | | | | (3,855,490) | | | | | $ | (39,265,969) | | |
Destinations Equity Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 2,663,013 | | | | | $ | 29,660,289 | | | | | | 497,515 | | | | | $ | 5,343,140 | | | | | | 25,737,793 | | | | | $ | 297,686,879 | | | | | | 2,937,026 | | | | | $ | 32,837,879 | | |
Shares issued on reinvestment | | | | | 1,142,072 | | | | | | 12,600,477 | | | | | | 115,186 | | | | | | 1,226,958 | | | | | | 2,409,636 | | | | | | 27,030,415 | | | | | | 231,029 | | | | | | 2,504,455 | | |
Shares repurchased | | | | | (10,403,483) | | | | | | (117,134,041) | | | | | | (936,212) | | | | | | (10,171,214) | | | | | | (9,757,706) | | | | | | (111,671,803) | | | | | | (1,498,948) | | | | | | (16,748,275) | | |
Net Increase | | | | | (6,598,398) | | | | | $ | (74,873,275) | | | | | | (323,511) | | | | | $ | (3,601,116) | | | | | | 18,389,723 | | | | | $ | 213,045,491 | | | | | | 1,669,107 | | | | | $ | 18,594,059 | | |
Destinations Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 38,311,720 | | | | | $ | 318,874,271 | | | | | | 4,762,728 | | | | | $ | 40,796,623 | | | | | | 47,660,349 | | | | | $ | 403,068,744 | | | | | | 5,953,052 | | | | | $ | 52,229,510 | | |
Shares issued on reinvestment | | | | | 4,188,480 | | | | | | 34,824,258 | | | | | | 398,933 | | | | | | 3,412,040 | | | | | | 5,998,067 | | | | | | 51,103,461 | | | | | | 551,597 | | | | | | 4,834,646 | | |
Shares repurchased | | | | | (24,794,566) | | | | | | (207,110,438) | | | | | | (2,135,479) | | | | | | (18,354,614) | | | | | | (48,080,051) | | | | | | (411,011,008) | | | | | | (7,233,767) | | | | | | (64,928,010) | | |
Net Increase | | | | | 17,705,634 | | | | | $ | 146,588,091 | | | | | | 3,026,182 | | | | | $ | 25,854,049 | | | | | | 5,578,365 | | | | | $ | 43,161,197 | | | | | | (729,118) | | | | | $ | (7,863,854) | | |
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 2,976,448 | | | | | $ | 27,284,971 | | | | | | 589,563 | | | | | $ | 5,532,674 | | | | | | 9,653,848 | | | | | $ | 90,253,320 | | | | | | 1,014,252 | | | | | $ | 9,730,784 | | |
Shares issued on reinvestment | | | | | 1,274,774 | | | | | | 11,643,430 | | | | | | 107,855 | | | | | | 1,008,142 | | | | | | 2,897,153 | | | | | | 26,746,026 | | | | | | 232,593 | | | | | | 2,197,436 | | |
Shares repurchased | | | | | (12,223,005) | | | | | | (112,104,696) | | | | | | (1,047,282) | | | | | | (9,829,517) | | | | | | (19,080,767) | | | | | | (177,476,575) | | | | | | (2,290,856) | | | | | | (21,925,643) | | |
Net Increase | | | | | (7,971,783) | | | | | $ | (73,176,295) | | | | | | (349,864) | | | | | $ | (3,288,701) | | | | | | (6,529,766) | | | | | $ | (60,477,229) | | | | | | (1,044,011) | | | | | $ | (9,997,423) | | |
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 18,634,792 | | | | | $ | 169,636,019 | | | | | | 1,886,448 | | | | | $ | 17,487,197 | | | | | | 12,916,626 | | | | | $ | 119,399,527 | | | | | | 1,439,540 | | | | | $ | 13,620,653 | | |
Shares issued on reinvestment | | | | | 2,371,681 | | | | | | 21,418,234 | | | | | | 200,627 | | | | | | 1,847,061 | | | | | | 3,334,045 | | | | | | 30,612,580 | | | | | | 282,149 | | | | | | 2,640,802 | | |
Shares repurchased | | | | | (9,076,489) | | | | | | (82,233,296) | | | | | | (733,480) | | | | | | (6,777,337) | | | | | | (15,329,028) | | | | | | (142,145,739) | | | | | | (2,256,124) | | | | | | (21,479,728) | | |
Net Increase | | | | | 11,929,984 | | | | | $ | 108,820,957 | | | | | | 1,353,595 | | | | | $ | 12,556,921 | | | | | | 921,643 | | | | | $ | 7,866,368 | | | | | | (534,435) | | | | | $ | (5,218,273) | | |
| | | Period ended August 31, 2023 | | | Period ended August 31, 2023 | | | Year ended February 28, 2023 | | | Year ended February 28, 2023 | | ||||||||||||||||||||||||||||||||||||
| | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||||||||||||
| | | Class I | | | Class Z | | | Class I | | | Class Z | | ||||||||||||||||||||||||||||||||||||
Destinations Municipal Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 12,015,755 | | | | | $ | 115,418,014 | | | | | | 1,118,403 | | | | | $ | 10,785,287 | | | | | | 16,852,037 | | | | | $ | 160,539,965 | | | | | | 1,823,148 | | | | | $ | 17,583,000 | | |
Shares issued on reinvestment | | | | | 1,188,844 | | | | | | 11,386,509 | | | | | | 67,353 | | | | | | 647,089 | | | | | | 1,666,203 | | | | | | 15,945,827 | | | | | | 91,194 | | | | | | 875,610 | | |
Shares repurchased | | | | | (9,741,141) | | | | | | (93,672,282) | | | | | | (709,719) | | | | | | (6,846,860) | | | | | | (20,798,727) | | | | | | (200,082,715) | | | | | | (1,829,160) | | | | | | (17,658,567) | | |
Net Increase | | | | | 3,463,458 | | | | | $ | 33,132,241 | | | | | | 476,037 | | | | | $ | 4,585,516 | | | | | | (2,280,487) | | | | | $ | (23,596,923) | | | | | | 85,182 | | | | | $ | 800,043 | | |
Destinations Multi Strategy Alternatives Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 7,686,449 | | | | | $ | 78,353,556 | | | | | | 819,103 | | | | | $ | 8,112,870 | | | | | | 11,205,219 | | | | | $ | 111,935,599 | | | | | | 1,869,949 | | | | | $ | 18,229,720 | | |
Shares issued on reinvestment | | | | | 1,210,598 | | | | | | 12,221,483 | | | | | | 111,899 | | | | | | 1,100,634 | | | | | | 2,936,084 | | | | | | 28,697,347 | | | | | | 273,115 | | | | | | 2,601,205 | | |
Shares repurchased | | | | | (19,541,042) | | | | | | (198,061,128) | | | | | | (1,748,064) | | | | | | (17,261,546) | | | | | | (43,921,727) | | | | | | (435,422,534) | | | | | | (5,690,357) | | | | | | (55,202,524) | | |
Net Increase | | | | | (10,643,995) | | | | | $ | (107,486,089) | | | | | | (817,062) | | | | | $ | (8,048,042) | | | | | | (29,780,424) | | | | | $ | (294,789,588) | | | | | | (3,547,293) | | | | | $ | (34,371,599) | | |
Destinations Shelter Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 179,798 | | | | | $ | 1,655,126 | | | | | | 14,849 | | | | | $ | 132,695 | | | | | | 885,864 | | | | | $ | 8,031,819 | | | | | | 32,883 | | | | | $ | 289,310 | | |
Shares issued on reinvestment | | | | | 16,517 | | | | | | 153,311 | | | | | | 438 | | | | | | 4,020 | | | | | | 56,071 | | | | | | 484,189 | | | | | | 1,335 | | | | | | 11,403 | | |
Shares repurchased | | | | | (1,349,897) | | | | | | (12,326,645) | | | | | | (11,137) | | | | | | (104,620) | | | | | | (2,411,278) | | | | | | (21,510,482) | | | | | | (51,981) | | | | | | (461,290) | | |
Net Increase | | | | | (1,153,582) | | | | | $ | (10,518,208) | | | | | | 4,150 | | | | | $ | 32,095 | | | | | | (1,469,343) | | | | | $ | (12,994,474) | | | | | | (17,763) | | | | | $ | (160,577) | | |
|
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 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 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 | | | Osterweis Capital Management since May 2022, Optimum Fund Trust from 2011 to 2015. | |
Nicholas Marsini, Jr. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 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. | |
Gregory E. McGowan 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 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 | | | 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, | |
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 | |
| | | | | | | | | 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. | | | | | | 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), The Dar Group (sub-advisory board), Hammerspace Inc. (sub-advisory board). | |
INTERESTED TRUSTEES* | | |||||||||||||||
Joseph V. Del Raso** 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 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 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1964 | | | Chair of the Board of Trustees | | | 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 2014 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. | |
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*** | | | | | | | | | | |
Kylee Beach Brinker Capital Investments 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1984 | | | President | | | Since August 2022 | | | General Counsel and Secretary, Orion Advisor Solutions, Inc., since 2019; Orion Advisor Technology, LLC, since 2014; Brinker Capital Investments, since 2020 and also General Counsel for CLS Investments, LLC, now part of Brinker Capital Investments, LLC, since 2014; GT Polaris Holdings Inc., since 2020; GT Polaris Midco, Inc., since 2020; Brinker Capital Securities, LLC, since 2020; Advizr, Inc., since 2019; Orion Portfolio Solutions, LLC, since 2018; BasisCode Compliance, LLC, since 2021; Redtail Technology Inc., since 2022; TownSquare Capital, LLC, since 2022; Associate General Counsel, NorthStar Financial Services Group, LLC from 2012 to 2018. | |
Kevin Fustos Brinker Capital Investments 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 Destinations Trust 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1971 | | | Chief Operating Officer, Chief Compliance Officer & Anti- Money Laundering Officer | | | Since September 2023 and January 2017 respectively | | | Chief Compliance Officer of Brinker Capital Investments from 2015 to 2023; 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. | |
Peter Townsend Brinker Capital Destinations Trust 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 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. | |
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 | |
Timothy Holland, CFA Brinker Capital Destinations Trust 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1969 | | | Investment Officer | | | Since June 2017 | | | Chief Investment Officer of TownSquare Capital, LLC, an Orion Company, since 2023; Chief Investment Officer of Brinker Capital Investments from 2020 to 2023; 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. | |
Rusty Vanneman, CFA, CMT, BFA Brinker Capital Investments 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1965 | | | Investment Officer | | | Since June 2023 | | | Chief Investment Officer and Senior Portfolio Manager at Brinker Capital Investments since 2023; Chief Investment Strategist at Brinker Capital Investments from 2020 to 2023; Chief Investment Officer at Brinker Capital Investments from 2019 – 2020; President at CLS Investments LLC from 2018 – 2019; Chief Investment Officer at CLS Investments LLC from 2012 – 2019. | |
Brian Storey, CFA Brinker Capital Investments 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1974 | | | Investment Officer | | | Since June 2022 | | | Deputy Chief Investment Officer — Destinations Portfolios at Brinker Capital Investments since 2023; Senior Portfolio Manager at Brinker Capital Investments since 2022; Senior Vice President and Senior Portfolio Manager at First Citizens Bank & Trust from 2016 to 2021; Portfolio Manager and Senior Research Analyst at First Citizens Bank & Trust from 2010 to 2016. | |
Patrick Amerson Brinker Capital Investments 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1994 | | | Investment Officer | | | Since December 2021 | | | Investment Analyst at Brinker Capital Investments since 2021; Client Service Representative at Brinker Capital Investments, LLC from 2019 to 2021; Operations Associate at Brinker Capital Investments, LLC from 2017 – 2019. | |
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 | |
Andrew Goins, CFA Brinker Capital Investments 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1984 | | | Investment Officer | | | Since June 2023 | | | Senior Portfolio Manager at Brinker Capital Investments since 2023; Director of SMA and Mutual Fund Due Diligence at Brinker Capital Investments from 2021 to 2023; Investment Manager at Brinker Capital Investments from 2015 to 2021. | |
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
1601 Market Street
Philadelphia, PA 19103
www.kpmg.us
(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.
Not Applicable. This item is only required in an annual report on Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not Applicable. This item is only required in an annual report on Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not Applicable. This item is only required in an annual report on Form N-CSR.
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.
(a)(1) Not Applicable.
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/ Kylee Beach | |
Kylee Beach | ||
President | ||
Date: | October 30, 2023 |
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/ Kylee Beach | |
Kylee Beach | ||
President | ||
Date: | October 30, 2023 | |
Brinker Capital Destinations Trust | ||
By: | /s/ Kevin Fustos | |
Kevin Fustos | ||
Chief Financial Officer and Treasurer | ||
Date: | October 30, 2023 |