UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23207
Brinker Capital Destinations Trust
(Exact name of registrant as specified in charter)
1055 Westlakes Drive, Suite 250
Berwyn, PA 19312
(Address of principal executive offices) (Zip code)
The Corporation Trust Company
1209 Orange Street
Wilmington, Delaware 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1 (610) 407-5500
Date of fiscal year end:
February 28
Date of reporting period:
August 31, 2018
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.
Class / Ticker : I / DLCFX, Z / DLCZX
Class / Ticker : I / DSMFX, Z / DSMZX
Class / Ticker : I / DIEFX, Z / DIEZX
Class / Ticker : I / DGEFX, Z / DGEZX
Class / Ticker : I / DRAFX, Z / DRAZX
Class / Ticker : I / DCFFX, Z / DCFZX
Class / Ticker : I / DLDFX, Z / DLDZX
Class / Ticker : I / DGFFX, Z / DGFZX
Class / Ticker : I / DMFFX, Z / DMFZX
Class / Ticker : I / DMSFX, Z / DMSZX
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President, Brinker Capital Destinations Trust
August 31, 2018
Fund | | | Total Return(3) | | | Beginning Account Value | | | Ending Account Value | | | Annualized Expense Ratios(4) | | | Expense Paid During the Period(5) | | |||||||||||||||
Destinations Large Cap Equity Fund – Class I | | | | | 6.49% | | | | | $ | 1,000.00 | | | | | $ | 1,064.90 | | | | | | 0.86% | | | | | $ | 4.48 | | |
Destinations Large Cap Equity Fund – Class Z(2) | | | | | 2.70% | | | | | | 1,000.00 | | | | | | 1,027.00 | | | | | | 0.71% | | | | | | 0.93 | | |
Destinations Small-Mid Cap Equity Fund – Class I | | | | | 16.21% | | | | | | 1,000.00 | | | | | | 1,162.11 | | | | | | 1.04% | | | | | | 5.67 | | |
Destinations Small-Mid Cap Equity Fund – Class Z(2) | | | | | 5.20% | | | | | | 1,000.00 | | | | | | 1,052.00 | | | | | | 0.89% | | | | | | 1.18 | | |
Destinations International Equity Fund – Class I | | | | | (2.22)% | | | | | | 1,000.00 | | | | | | 977.76 | | | | | | 1.19% | | | | | | 5.93 | | |
Destinations International Equity Fund – Class Z(2) | | | | | 0.00% | | | | | | 1,000.00 | | | | | | 1,000.00 | | | | | | 1.04% | | | | | | 1.34 | | |
Destinations Equity Income Fund – Class I | | | | | 4.79% | | | | | | 1,000.00 | | | | | | 1,047.89 | | | | | | 0.90% | | | | | | 4.65 | | |
Destinations Equity Income Fund – Class Z(2) | | | | | 1.90% | | | | | | 1,000.00 | | | | | | 1,019.00 | | | | | | 0.75% | | | | | | 0.97 | | |
Destinations Real Assets Fund – Class I | | | | | 3.02% | | | | | | 1,000.00 | | | | | | 1,030.20 | | | | | | 1.21% | | | | | | 6.19 | | |
Destinations Real Assets Fund – Class Z(2) | | | | | (6.80)% | | | | | | 1,000.00 | | | | | | 932.00 | | | | | | 1.06% | | | | | | 1.32 | | |
Destinations Core Fixed Income Fund – Class I | | | | | 0.90% | | | | | | 1,000.00 | | | | | | 1,008.95 | | | | | | 0.83% | | | | | | 4.20 | | |
Destinations Core Fixed Income Fund – Class Z(2) | | | | | 0.30% | | | | | | 1,000.00 | | | | | | 1,003.00 | | | | | | 0.68% | | | | | | 0.88 | | |
Destinations Low Duration Fixed Income Fund – Class I | | | | | 1.50% | | | | | | 1,000.00 | | | | | | 1,015.00 | | | | | | 0.96% | | | | | | 4.88 | | |
Destinations Low Duration Fixed Income Fund – Class Z(2) | | | | | 0.60% | | | | | | 1,000.00 | | | | | | 1,006.00 | | | | | | 0.81% | | | | | | 1.05 | | |
Destinations Global Fixed Income Opportunities Fund – Class I | | | | | 0.93% | | | | | | 1,000.00 | | | | | | 1,009.30 | | | | | | 1.00% | | | | | | 5.06 | | |
Destinations Global Fixed Income Opportunities Fund – Class Z(2) | | | | | 0.50% | | | | | | 1,000.00 | | | | | | 1,005.00 | | | | | | 0.85% | | | | | | 1.10 | | |
Destinations Municipal Fixed Income Fund – Class I | | | | | 1.03% | | | | | | 1,000.00 | | | | | | 1,010.30 | | | | | | 0.79% | | | | | | 4.00 | | |
Destinations Municipal Fixed Income Fund – Class Z(2) | | | | | 0.10% | | | | | | 1,000.00 | | | | | | 1,001.00 | | | | | | 0.64% | | | | | | 0.82 | | |
Destinations Multi Strategy Alternatives Fund – Class I | | | | | 1.89% | | | | | | 1,000.00 | | | | | | 1,018.88 | | | | | | 1.33% | | | | | | 6.77 | | |
Destinations Multi Strategy Alternatives Fund – Class Z(2) | | | | | 0.60% | | | | | | 1,000.00 | | | | | | 1,006.00 | | | | | | 1.18% | | | | | | 1.52 | | |
Fund | | | Hypothethical Annualized Total Return | | | Beginning Account Value | | | Ending Account Value | | | Annualized Expense Ratios(3) | | | Expense Paid During the Period(4) | | |||||||||||||||
Destinations Large Cap Equity Fund – Class I | | | | | 5.00% | | | | | $ | 1,000.00 | | | | | $ | 1,020.87 | | | | | | 0.86% | | | | | $ | 4.38 | | |
Destinations Large Cap Equity Fund – Class Z(2) | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,024.05 | | | | | | 0.71% | | | | | | 0.92 | | |
Destinations Small-Mid Cap Equity Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.96 | | | | | | 1.04% | | | | | | 5.30 | | |
Destinations Small-Mid Cap Equity Fund – Class Z(2) | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,022.89 | | | | | | 0.89% | | | | | | 1.16 | | |
Destinations International Equity Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.21 | | | | | | 1.19% | | | | | | 6.06 | | |
Destinations International Equity Fund – Class Z(2) | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,022.63 | | | | | | 1.04% | | | | | | 1.35 | | |
Destinations Equity Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.67 | | | | | | 0.90% | | | | | | 4.58 | | |
Destinations Equity Income Fund – Class Z(2) | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,024.05 | | | | | | 0.75% | | | | | | 0.98 | | |
Destinations Real Assets Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.11 | | | | | | 1.21% | | | | | | 6.16 | | |
Destinations Real Assets Fund – Class Z(2) | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,022.74 | | | | | | 1.06% | | | | | | 1.38 | | |
Destinations Core Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.02 | | | | | | 0.83% | | | | | | 4.23 | | |
Destinations Core Fixed Income Fund – Class Z(2) | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,024.05 | | | | | | 0.68% | | | | | | 0.89 | | |
Destinations Low Duration Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.37 | | | | | | 0.96% | | | | | | 4.89 | | |
Destinations Low Duration Fixed Income Fund – Class Z(2) | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,024.05 | | | | | | 0.81% | | | | | | 1.05 | | |
Destinations Global Fixed Income Opportunities Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.16 | | | | | | 1.00% | | | | | | 5.09 | | |
Destinations Global Fixed Income Opportunities Fund – Class Z(2) | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,022.89 | | | | | | 0.85% | | | | | | 1.11 | | |
Destinations Municipal Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.22 | | | | | | 0.79% | | | | | | 4.02 | | |
Destinations Municipal Fixed Income Fund – Class Z(2) | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,024.05 | | | | | | 0.64% | | | | | | 0.83 | | |
Destinations Multi Strategy Alternatives Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,018.50 | | | | | | 1.33% | | | | | | 6.77 | | |
Destinations Multi Strategy Alternatives Fund – Class Z(2) | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.58 | | | | | | 1.18% | | | | | | 1.53 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BOND & NOTE – 0.0% | | ||||||||||||
| Consumer Cyclical – 0.0% | | ||||||||||||
| | $ | 513,579 | | | | Caesars Entertainment Corp., Senior Unsecured Notes, 5.000% due 10/1/24 | | | | $ | 837,442 | | |
| | | | | | | TOTAL CORPORATE BOND & NOTE (Cost – $825,628) | | | | | 837,442 | | |
| Shares/Units | | | | | | | | ||||||
| COMMON STOCKS – 97.6% | | ||||||||||||
| BASIC MATERIALS – 1.7% | | ||||||||||||
| Chemicals – 1.4% | | ||||||||||||
| | | 7,233 | | | | Air Products & Chemicals Inc. | | | | | 1,202,776 | | |
| | | 3,579 | | | | Albemarle Corp. | | | | | 341,866 | | |
| | | 7,742 | | | | CF Industries Holdings Inc. | | | | | 402,197 | | |
| | | 502,826 | | | | DowDuPont Inc. | | | | | 35,263,187 | | |
| | | 16,966 | | | | Eastman Chemical Co. | | | | | 1,646,211 | | |
| | | 4,390 | | | | FMC Corp. | | | | | 375,125 | | |
| | | 2,751 | | | | International Flavors & Fragrances Inc. | | | | | 358,428 | | |
| | | 21,329 | | | | LyondellBasell Industries NV, Class A Shares | | | | | 2,405,485 | | |
| | | 11,342 | | | | Mosaic Co | | | | | 354,664 | | |
| | | 8,207 | | | | PPG Industries Inc. | | | | | 907,202 | | |
| | | 9,474 | | | | Praxair Inc. | | | | | 1,498,692 | | |
| | | 2,715 | | | | Sherwin-Williams Co. | | | | | 1,236,900 | | |
| | | | | | | Total Chemicals | | | | | 45,992,733 | | |
| Forest Products & Paper – 0.0% | | ||||||||||||
| | | 13,619 | | | | International Paper Co. | | | | | 696,476 | | |
| Iron/Steel – 0.1% | | ||||||||||||
| | | 29,593 | | | | Nucor Corp. | | | | | 1,849,562 | | |
| Mining – 0.2% | | ||||||||||||
| | | 311,653 | | | | Freeport-McMoRan Inc. | | | | | 4,378,725 | | |
| | | 17,481 | | | | Newmont Mining Corp. | | | | | 542,435 | | |
| | | | | | | Total Mining | | | | | 4,921,160 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 53,459,931 | | |
| COMMUNICATIONS – 16.9% | | ||||||||||||
| Advertising – 0.0% | | ||||||||||||
| | | 12,456 | | | | Interpublic Group of Cos., Inc. | | | | | 290,847 | | |
| | | 7,502 | | | | Omnicom Group Inc. | | | | | 520,039 | | |
| | | | | | | Total Advertising | | | | | 810,886 | | |
| Internet – 12.0% | | ||||||||||||
| | | 157,440 | | | | Alibaba Group Holding Ltd., ADR* | | | | | 27,553,574 | | |
| | | 25,672 | | | | Alphabet Inc., Class A Shares* | | | | | 31,622,770 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Internet – (continued) | | ||||||||||||
| | | 30,540 | | | | Alphabet Inc., Class C Shares* | | | | $ | 37,203,522 | | |
| | | 57,703 | | | | Amazon.com Inc.* | | | | | 116,139,405 | | |
| | | 12,487 | | | | Baidu Inc., ADR* | | | | | 2,828,056 | | |
| | | 18,156 | | | | Booking Holdings Inc.* | | | | | 35,432,342 | | |
| | | 196,498 | | | | Ctrip.com International Ltd., ADR* | | | | | 7,692,896 | | |
| | | 30,468 | | | | eBay Inc.* | | | | | 1,054,498 | | |
| | | 3,982 | | | | Expedia Group Inc. | | | | | 519,651 | | |
| | | 2,030 | | | | F5 Networks Inc.* | | | | | 383,914 | | |
| | | 348,798 | | | | Facebook Inc., Class A Shares* | | | | | 61,294,273 | | |
| | | 120,730 | | | | JD.com Inc., ADR* | | | | | 3,778,849 | | |
| | | 29,729 | | | | MercadoLibre Inc. | | | | | 10,179,507 | | |
| | | 35,363 | | | | Netflix Inc.* | | | | | 13,002,268 | | |
| | | 298,689 | | | | Symantec Corp. | | | | | 6,021,570 | | |
| | | 273,000 | | | | Tencent Holdings Ltd. | | | | | 11,826,012 | | |
| | | 25,771 | | | | TripAdvisor Inc.* | | | | | 1,399,623 | | |
| | | 21,608 | | | | Twitter Inc.* | | | | | 760,169 | | |
| | | 11,071 | | | | VeriSign Inc.* | | | | | 1,755,971 | | |
| | | | | | | Total Internet | | | | | 370,448,870 | | |
| Media – 1.7% | | ||||||||||||
| | | 34,353 | | | | CBS Corp., Class B Shares | | | | | 1,821,396 | | |
| | | 17,699 | | | | Charter Communications Inc., Class A Shares* | | | | | 5,493,770 | | |
| | | 598,433 | | | | Comcast Corp., Class A Shares | | | | | 22,136,037 | | |
| | | 5,611 | | | | Discovery Inc., Class A Shares* | | | | | 156,154 | | |
| | | 10,858 | | | | Discovery Inc., Class C Shares* | | | | | 278,399 | | |
| | | 7,933 | | | | DISH Network Corp., Class A Shares* | | | | | 280,431 | | |
| | | 13,633 | | | | News Corp., Class A Shares | | | | | 178,183 | | |
| | | 2,976 | | | | News Corp., Class B Shares | | | | | 40,474 | | |
| | | 185,662 | | | | Twenty-First Century Fox Inc., Class A Shares, ADR | | | | | 8,429,055 | | |
| | | 14,520 | | | | Twenty-First Century Fox Inc., Class B Shares | | | | | 651,948 | | |
| | | 50,705 | | | | Viacom Inc., Class B Shares | | | | | 1,484,642 | | |
| | | 106,426 | | | | Walt Disney Co. | | | | | 11,921,841 | | |
| | | | | | | Total Media | | | | | 52,872,330 | | |
| Telecommunications – 3.2% | | ||||||||||||
| | | 1,569 | | | | Arista Networks Inc.* | | | | | 469,100 | | |
| | | 1,016,409 | | | | AT&T Inc. | | | | | 32,464,103 | | |
| | | 32,416 | | | | CenturyLink Inc. | | | | | 692,406 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Telecommunications – (continued) | | ||||||||||||
| | | 923,318 | | | | Cisco Systems Inc. | | | | $ | 44,106,901 | | |
| | | 11,166 | | | | Juniper Networks Inc. | | | | | 317,449 | | |
| | | 15,361 | | | | Motorola Solutions Inc. | | | | | 1,971,738 | | |
| | | 387,927 | | | | Verizon Communications Inc. | | | | | 21,091,591 | | |
| | | | | | | Total Telecommunications | | | | | 101,113,288 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 525,245,374 | | |
| CONSUMER CYCLICAL – 7.2% | | ||||||||||||
| Airlines – 0.1% | | ||||||||||||
| | | 4,254 | | | | Alaska Air Group Inc. | | | | | 287,103 | | |
| | | 13,672 | | | | American Airlines Group Inc. | | | | | 553,443 | | |
| | | 21,178 | | | | Delta Air Lines Inc. | | | | | 1,238,489 | | |
| | | 17,560 | | | | Southwest Airlines Co. | | | | | 1,076,428 | | |
| | | 7,767 | | | | United Continental Holdings Inc.* | | | | | 678,991 | | |
| | | | | | | Total Airlines | | | | | 3,834,454 | | |
| Apparel – 0.8% | | ||||||||||||
| | | 12,503 | | | | Hanesbrands Inc. | | | | | 219,303 | | |
| | | 4,925 | | | | Michael Kors Holdings Ltd.* | | | | | 357,653 | | |
| | | 272,780 | | | | NIKE Inc., Class B Shares | | | | | 22,422,516 | | |
| | | 2,511 | | | | PVH Corp. | | | | | 359,475 | | |
| | | 1,952 | | | | Ralph Lauren Corp., Class A Shares | | | | | 259,245 | | |
| | | 6,619 | | | | Under Armour Inc., Class A Shares* | | | | | 135,359 | | |
| | | 5,640 | | | | Under Armour Inc., Class C Shares* | | | | | 106,991 | | |
| | | 10,785 | | | | VF Corp. | | | | | 993,622 | | |
| | | | | | | Total Apparel | | | | | 24,854,164 | | |
| Auto Manufacturers – 0.5% | | ||||||||||||
| | | 19,990 | | | | Ferrari NV | | | | | 2,620,489 | | |
| | | 129,049 | | | | Ford Motor Co. | | | | | 1,223,385 | | |
| | | 41,836 | | | | General Motors Co | | | | | 1,508,188 | | |
| | | 11,616 | | | | PACCAR Inc. | | | | | 794,767 | | |
| | | 33,358 | | | | Tesla Inc.*(a) | | | | | 10,062,774 | | |
| | | | | | | Total Auto Manufacturers | | | | | 16,209,603 | | |
| Auto Parts & Equipment – 0.2% | | ||||||||||||
| | | 59,187 | | | | Aptiv PLC | | | | | 5,209,048 | | |
| | | 6,330 | | | | BorgWarner Inc. | | | | | 277,064 | | |
| | | 58,998 | | | | Goodyear Tire & Rubber Co. | | | | | 1,338,665 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 6,824,777 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Distribution/Wholesale – 0.1% | | ||||||||||||
| | | 9,496 | | | | Fastenal Co. | | | | $ | 554,186 | | |
| | | 10,013 | | | | LKQ Corp.* | | | | | 345,649 | | |
| | | 1,687 | | | | WW Grainger Inc. | | | | | 597,316 | | |
| | | | | | | Total Distribution/Wholesale | | | | | 1,497,151 | | |
| Home Builders – 0.4% | | ||||||||||||
| | | 11,457 | | | | DR Horton Inc. | | | | | 509,951 | | |
| | | 187,533 | | | | Lennar Corp., Class A Shares | | | | | 9,689,830 | | |
| | | 2,689 | | | | Lennar Corp., Class B Shares | | | | | 113,422 | | |
| | | 745 | | | | NVR Inc.* | | | | | 1,987,995 | | |
| | | 8,565 | | | | PulteGroup Inc. | | | | | 239,392 | | |
| | | | | | | Total Home Builders | | | | | 12,540,590 | | |
| Home Furnishings – 0.0% | | ||||||||||||
| | | 4,197 | | | | Leggett & Platt Inc. | | | | | 190,712 | | |
| | | 2,103 | | | | Whirlpool Corp. | | | | | 262,833 | | |
| | | | | | | Total Home Furnishings | | | | | 453,545 | | |
| Housewares – 0.0% | | ||||||||||||
| | | 15,987 | | | | Newell Brands Inc. | | | | | 347,238 | | |
| Leisure Time – 0.2% | | ||||||||||||
| | | 101,067 | | | | Carnival Corp. | | | | | 6,214,610 | | |
| | | 5,256 | | | | Harley-Davidson Inc. | | | | | 224,011 | | |
| | | 6,653 | | | | Norwegian Cruise Line Holdings Ltd.* | | | | | 356,667 | | |
| | | 5,581 | | | | Royal Caribbean Cruises Ltd. | | | | | 684,119 | | |
| | | | | | | Total Leisure Time | | | | | 7,479,407 | | |
| Lodging – 0.5% | | ||||||||||||
| | | 38,732 | | | | Caesars Entertainment Corp.* | | | | | 395,066 | | |
| | | 24,877 | | | | Hilton Worldwide Holdings Inc. | | | | | 1,930,953 | | |
| | | 42,321 | | | | Las Vegas Sands Corp. | | | | | 2,768,640 | | |
| | | 9,811 | | | | Marriott International Inc., Class A Shares | | | | | 1,240,797 | | |
| | | 95,478 | | | | MGM Resorts International | | | | | 2,767,907 | | |
| | | 32,406 | | | | Wynn Resorts Ltd. | | | | | 4,807,106 | | |
| | | | | | | Total Lodging | | | | | 13,910,469 | | |
| Retail – 4.4% | | ||||||||||||
| | | 2,449 | | | | Advance Auto Parts Inc. | | | | | 401,709 | | |
| | | 882 | | | | AutoZone Inc.* | | | | | 676,388 | | |
| | | 8,103 | | | | Best Buy Co., Inc. | | | | | 644,675 | | |
| | | 5,884 | | | | CarMax Inc.* | | | | | 459,246 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Retail – (continued) | | ||||||||||||
| | | 808 | | | | Chipotle Mexican Grill Inc., Class A Shares* | | | | $ | 383,945 | | |
| | | 6,661 | | | | Copart Inc.* | | | | | 428,369 | | |
| | | 64,172 | | | | Costco Wholesale Corp. | | | | | 14,960,418 | | |
| | | 4,070 | | | | Darden Restaurants Inc. | | | | | 472,283 | | |
| | | 25,966 | | | | Dollar General Corp. | | | | | 2,797,317 | | |
| | | 194,580 | | | | Dollar Tree Inc.* | | | | | 15,665,636 | | |
| | | 59,739 | | | | Dollarama Inc. | | | | | 2,259,269 | | |
| | | 4,027 | | | | Foot Locker Inc. | | | | | 198,531 | | |
| | | 6,999 | | | | Gap Inc. | | | | | 212,419 | | |
| | | 4,835 | | | | Genuine Parts Co | | | | | 482,775 | | |
| | | 38,034 | | | | Home Depot Inc. | | | | | 7,636,086 | | |
| | | 5,537 | | | | Kohl’s Corp. | | | | | 438,032 | | |
| | | 7,915 | | | | L Brands Inc. | | | | | 209,193 | | |
| | | 158,599 | | | | Lowe’s Cos., Inc. | | | | | 17,247,641 | | |
| | | 9,956 | | | | Macy’s Inc. | | | | | 363,892 | | |
| | | 46,159 | | | | McDonald’s Corp. | | | | | 7,488,374 | | |
| | | 3,683 | | | | Nordstrom Inc. | | | | | 231,476 | | |
| | | 2,705 | | | | O’Reilly Automotive Inc.* | | | | | 907,311 | | |
| | | 12,560 | | | | Ross Stores Inc. | | | | | 1,202,997 | | |
| | | 128,758 | | | | Starbucks Corp. | | | | | 6,882,115 | | |
| | | 302,333 | | | | Tapestry Inc. | | | | | 15,325,260 | | |
| | | 83,693 | | | | Target Corp. | | | | | 7,323,137 | | |
| | | 3,366 | | | | Tiffany & Co. | | | | | 412,840 | | |
| | | 20,709 | | | | TJX Cos., Inc. | | | | | 2,277,369 | | |
| | | 4,047 | | | | Tractor Supply Co. | | | | | 357,269 | | |
| | | 56,015 | | | | Ulta Beauty Inc.* | | | | | 14,563,900 | | |
| | | 28,091 | | | | Walgreens Boots Alliance Inc. | | | | | 1,925,919 | | |
| | | 47,667 | | | | Walmart Inc. | | | | | 4,569,359 | | |
| | | 84,982 | | | | Yum China Holdings Inc. | | | | | 3,287,104 | | |
| | | 25,275 | | | | Yum! Brands Inc. | | | | | 2,196,145 | | |
| | | | | | | Total Retail | | | | | 134,888,399 | | |
| Textiles – 0.0% | | ||||||||||||
| | | 2,082 | | | | Mohawk Industries Inc.* | | | | | 398,890 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Toys/Games/Hobbies – 0.0% | | ||||||||||||
| | | 3,725 | | | | Hasbro Inc. | | | | $ | 369,930 | | |
| | | 10,958 | | | | Mattel Inc.* | | | | | 169,082 | | |
| | | | | | | Total Toys/Games/Hobbies | | | | | 539,012 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 223,777,699 | | |
| CONSUMER NON-CYCLICAL – 22.7% | | ||||||||||||
| Agriculture – 1.0% | | ||||||||||||
| | | 82,871 | | | | Altria Group Inc. | | | | | 4,849,611 | | |
| | | 304,360 | | | | Archer-Daniels-Midland Co. | | | | | 15,339,744 | | |
| | | 142,777 | | | | Philip Morris International Inc. | | | | | 11,120,900 | | |
| | | | | | | Total Agriculture | | | | | 31,310,255 | | |
| Beverages – 1.0% | | ||||||||||||
| | | 31,254 | | | | Brown-Forman Corp., Class B Shares | | | | | 1,632,084 | | |
| | | 126,074 | | | | Coca-Cola Co. | | | | | 5,619,118 | | |
| | | 5,570 | | | | Constellation Brands Inc., Class A Shares | | | | | 1,159,674 | | |
| | | 6,056 | | | | Molson Coors Brewing Co., Class B Shares | | | | | 404,177 | | |
| | | 82,041 | | | | Monster Beverage Corp.* | | | | | 4,995,477 | | |
| | | 157,907 | | | | PepsiCo Inc. | | | | | 17,687,163 | | |
| | | | | | | Total Beverages | | | | | 31,497,693 | | |
| Biotechnology – 3.9% | | ||||||||||||
| | | 151,216 | | | | Alexion Pharmaceuticals Inc.* | | | | | 18,484,644 | | |
| | | 28,153 | | | | Amgen Inc. | | | | | 5,625,251 | | |
| | | 29,180 | | | | Biogen Inc.* | | | | | 10,314,838 | | |
| | | 188,445 | | | | Celgene Corp.* | | | | | 17,798,630 | | |
| | | 67,000 | | | | Exact Sciences Corp.* | | | | | 5,017,630 | | |
| | | 252,544 | | | | Gilead Sciences Inc. | | | | | 19,125,157 | | |
| | | 53,686 | | | | Illumina Inc.* | | | | | 19,049,403 | | |
| | | 5,712 | | | | Incyte Corp.* | | | | | 422,174 | | |
| | | 2,554 | | | | Regeneron Pharmaceuticals Inc.* | | | | | 1,038,840 | | |
| | | 133,220 | | | | Vertex Pharmaceuticals Inc.* | | | | | 24,565,768 | | |
| | | | | | | Total Biotechnology | | | | | 121,442,335 | | |
| Commercial Services – 2.3% | | ||||||||||||
| | | 14,535 | | | | Automatic Data Processing Inc. | | | | | 2,133,011 | | |
| | | 2,944 | | | | Cintas Corp. | | | | | 628,161 | | |
| | | 8,539 | | | | Ecolab Inc. | | | | | 1,284,949 | | |
| | | 50,188 | | | | Equifax Inc. | | | | | 6,723,686 | | |
| | | 2,967 | | | | FleetCor Technologies Inc.* | | | | | 634,167 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Commercial Services – (continued) | | ||||||||||||
| | | 3,011 | | | | Gartner Inc.* | | | | $ | 450,928 | | |
| | | 5,285 | | | | Global Payments Inc. | | | | | 658,405 | | |
| | | 52,872 | | | | H&R Block Inc. | | | | | 1,430,716 | | |
| | | 12,105 | | | | IHS Markit Ltd.* | | | | | 665,775 | | |
| | | 5,535 | | | | Moody’s Corp. | | | | | 985,341 | | |
| | | 117,812 | | | | New Oriental Education & Technology Group Inc., ADR | | | | | 9,260,023 | | |
| | | 10,813 | | | | Nielsen Holdings PLC | | | | | 281,138 | | |
| | | 288,858 | | | | PayPal Holdings Inc.* | | | | | 26,670,259 | | |
| | | 5,030 | | | | Quanta Services Inc.* | | | | | 173,988 | | |
| | | 4,365 | | | | Robert Half International Inc. | | | | | 341,256 | | |
| | | 14,279 | | | | S&P Global Inc. | | | | | 2,956,467 | | |
| | | 18,295 | | | | Total System Services Inc. | | | | | 1,777,176 | | |
| | | 65,418 | | | | TransUnion | | | | | 4,925,976 | | |
| | | 2,768 | | | | United Rentals Inc.* | | | | | 431,448 | | |
| | | 5,315 | | | | Verisk Analytics Inc., Class A Shares* | | | | | 632,963 | | |
| | | 80,510 | | | | Western Union Co. | | | | | 1,523,249 | | |
| | | 76,746 | | | | Worldpay Inc., Class A Shares* | | | | | 7,474,293 | | |
| | | | | | | Total Commercial Services | | | | | 72,043,375 | | |
| Cosmetics/Personal Care – 0.8% | | ||||||||||||
| | | 28,746 | | | | Colgate-Palmolive Co. | | | | | 1,909,022 | | |
| | | 16,139 | | | | Coty Inc., Class A Shares | | | | | 199,478 | | |
| | | 7,402 | | | | Estee Lauder Cos., Inc., Class A Shares | | | | | 1,037,168 | | |
| | | 208,780 | | | | Procter & Gamble Co. | | | | | 17,318,301 | | |
| | | 72,330 | | | | Unilever NV, Class NY Registered Shares, ADR | | | | | 4,157,529 | | |
| | | | | | | Total Cosmetics/Personal Care | | | | | 24,621,498 | | |
| Food – 0.8% | | ||||||||||||
| | | 6,638 | | | | Campbell Soup Co | | | | | 261,869 | | |
| | | 12,997 | | | | Conagra Brands Inc. | | | | | 477,640 | | |
| | | 19,514 | | | | General Mills Inc. | | | | | 897,839 | | |
| | | 16,885 | | | | Hershey Co. | | | | | 1,697,280 | | |
| | | 8,712 | | | | Hormel Foods Corp. | | | | | 341,075 | | |
| | | 23,213 | | | | JM Smucker Co. | | | | | 2,399,760 | | |
| | | 8,213 | | | | Kellogg Co. | | | | | 589,611 | | |
| | | 19,641 | | | | Kraft Heinz Co. | | | | | 1,144,481 | | |
| | | 26,819 | | | | Kroger Co. | | | | | 844,799 | | |
| | | 4,014 | | | | McCormick & Co., Inc. | | | | | 501,269 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Food – (continued) | | ||||||||||||
| | | 395,406 | | | | Mondelez International Inc., Class A Shares | | | | $ | 16,891,744 | | |
| | | 15,825 | | | | Sysco Corp. | | | | | 1,184,027 | | |
| | | 9,831 | | | | Tyson Foods Inc., Class A Shares | | | | | 617,485 | | |
| | | | | | | Total Food | | | | | 27,848,879 | | |
| Healthcare-Products – 3.7% | | ||||||||||||
| | | 262,069 | | | | Abbott Laboratories | | | | | 17,516,692 | | |
| | | 4,672 | | | | ABIOMED Inc.* | | | | | 1,899,542 | | |
| | | 2,388 | | | | Align Technology Inc.* | | | | | 922,938 | | |
| | | 33,402 | | | | Baxter International Inc. | | | | | 2,484,107 | | |
| | | 53,648 | | | | Becton Dickinson & Co. | | | | | 14,048,802 | | |
| | | 45,515 | | | | Boston Scientific Corp.* | | | | | 1,618,513 | | |
| | | 1,594 | | | | Cooper Cos., Inc. | | | | | 407,713 | | |
| | | 20,259 | | | | Danaher Corp. | | | | | 2,097,617 | | |
| | | 7,421 | | | | DENTSPLY SIRONA Inc. | | | | | 296,246 | | |
| | | 74,128 | | | | Edwards Lifesciences Corp.* | | | | | 10,692,223 | | |
| | | 5,078 | | | | Henry Schein Inc.* | | | | | 394,459 | | |
| | | 8,961 | | | | Hologic Inc.* | | | | | 356,289 | | |
| | | 40,724 | | | | IDEXX Laboratories Inc.* | | | | | 10,345,525 | | |
| | | 19,461 | | | | Intuitive Surgical Inc.* | | | | | 10,898,160 | | |
| | | 288,124 | | | | Koninklijke Philips NV, Class NY Registered Shares, ADR | | | | | 12,858,974 | | |
| | | 119,025 | | | | Medtronic PLC | | | | | 11,475,200 | | |
| | | 4,743 | | | | ResMed Inc. | | | | | 528,418 | | |
| | | 63,915 | | | | Stryker Corp. | | | | | 10,829,118 | | |
| | | 13,256 | | | | Thermo Fisher Scientific Inc. | | | | | 3,169,509 | | |
| | | 13,920 | | | | Varian Medical Systems Inc.* | | | | | 1,559,318 | | |
| | | 6,696 | | | | Zimmer Biomet Holdings Inc. | | | | | 827,827 | | |
| | | | | | | Total Healthcare-Products | | | | | 115,227,190 | | |
| Healthcare-Services – 2.6% | | ||||||||||||
| | | 10,777 | | | | Aetna Inc. | | | | | 2,158,310 | | |
| | | 33,378 | | | | Anthem Inc. | | | | | 8,836,158 | | |
| | | 39,947 | | | | Centene Corp.* | | | | | 5,851,437 | | |
| | | 36,824 | | | | Cigna Corp. | | | | | 6,935,432 | | |
| | | 21,353 | | | | DaVita Inc.* | | | | | 1,479,549 | | |
| | | 3,732 | | | | Envision Healthcare Corp.* | | | | | 169,284 | | |
| | | 11,230 | | | | HCA Healthcare Inc. | | | | | 1,506,055 | | |
| | | 4,542 | | | | Humana Inc. | | | | | 1,513,667 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Healthcare-Services – (continued) | | ||||||||||||
| | | 5,359 | | | | IQVIA Holdings Inc.* | | | | $ | 681,075 | | |
| | | 3,407 | | | | Laboratory Corp. of America Holdings* | | | | | 588,968 | | |
| | | 121,410 | | | | Quest Diagnostics Inc. | | | | | 13,352,672 | | |
| | | 125,451 | | | | UnitedHealth Group Inc. | | | | | 33,678,575 | | |
| | | 2,829 | | | | Universal Health Services Inc., Class B Shares | | | | | 368,223 | | |
| | | 4,870 | | | | WellCare Health Plans Inc.* | | | | | 1,473,516 | | |
| | | | | | | Total Healthcare-Services | | | | | 78,592,921 | | |
| Household Products/Wares – 0.1% | | ||||||||||||
| | | 3,040 | | | | Avery Dennison Corp. | | | | | 319,747 | | |
| | | 8,128 | | | | Church & Dwight Co., Inc. | | | | | 459,882 | | |
| | | 4,274 | | | | Clorox Co. | | | | | 619,645 | | |
| | | 11,480 | | | | Kimberly-Clark Corp. | | | | | 1,326,399 | | |
| | | | | | | Total Household Products/Wares | | | | | 2,725,673 | | |
| Pharmaceuticals – 6.5% | | ||||||||||||
| | | 49,958 | | | | AbbVie Inc. | | | | | 4,794,969 | | |
| | | 11,180 | | | | Allergan PLC | | | | | 2,143,318 | | |
| | | 71,323 | | | | AmerisourceBergen Corp., Class A Shares | | | | | 6,416,930 | | |
| | | 386,647 | | | | Bristol-Myers Squibb Co. | | | | | 23,411,476 | | |
| | | 269,231 | | | | Cardinal Health Inc. | | | | | 14,051,166 | | |
| | | 228,888 | | | | CVS Health Corp. | | | | | 17,221,533 | | |
| | | 43,330 | | | | Eli Lilly & Co. | | | | | 4,577,814 | | |
| | | 189,068 | | | | Express Scripts Holding Co.* | | | | | 16,641,766 | | |
| | | 241,556 | | | | Johnson & Johnson | | | | | 32,535,178 | | |
| | | 6,654 | | | | McKesson Corp. | | | | | 856,703 | | |
| | | 531,122 | | | | Merck & Co., Inc. | | | | | 36,429,658 | | |
| | | 17,033 | | | | Mylan NV* | | | | | 666,501 | | |
| | | 25,151 | | | | Nektar Therapeutics, Class A Shares* | | | | | 1,672,290 | | |
| | | 175,975 | | | | Novartis AG, ADR | | | | | 14,607,685 | | |
| | | 4,216 | | | | Perrigo Co. PLC | | | | | 322,566 | | |
| | | 533,147 | | | | Pfizer Inc. | | | | | 22,136,263 | | |
| | | 16,009 | | | | Zoetis Inc., Class A Shares | | | | | 1,450,415 | | |
| | | | | | | Total Pharmaceuticals | | | | | 199,936,231 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 705,246,050 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| ENERGY – 5.8% | | ||||||||||||
| Oil & Gas – 4.0% | | ||||||||||||
| | | 17,019 | | | | Anadarko Petroleum Corp. | | | | $ | 1,096,024 | | |
| | | 4,590 | | | | Andeavor | | | | | 701,306 | | |
| | | 12,611 | | | | Apache Corp. | | | | | 552,740 | | |
| | | 14,908 | | | | Cabot Oil & Gas Corp. | | | | | 355,258 | | |
| | | 211,795 | | | | Chevron Corp. | | | | | 25,089,236 | | |
| | | 3,047 | | | | Cimarex Energy Co. | | | | | 257,410 | | |
| | | 6,267 | | | | Concho Resources Inc.* | | | | | 859,519 | | |
| | | 226,801 | | | | ConocoPhillips | | | | | 16,653,997 | | |
| | | 17,301 | | | | Devon Energy Corp. | | | | | 742,732 | | |
| | | 19,110 | | | | EOG Resources Inc. | | | | | 2,259,375 | | |
| | | 8,328 | | | | EQT Corp. | | | | | 424,895 | | |
| | | 189,605 | | | | Exxon Mobil Corp. | | | | | 15,200,633 | | |
| | | 3,488 | | | | Helmerich & Payne Inc. | | | | | 228,708 | | |
| | | 8,661 | | | | Hess Corp. | | | | | 583,232 | | |
| | | 5,850 | | | | HollyFrontier Corp. | | | | | 435,942 | | |
| | | 689,832 | | | | Marathon Oil Corp. | | | | | 14,838,286 | | |
| | | 15,250 | | | | Marathon Petroleum Corp. | | | | | 1,254,923 | | |
| | | 6,420 | | | | Newfield Exploration Co.* | | | | | 175,138 | | |
| | | 16,009 | | | | Noble Energy Inc. | | | | | 475,787 | | |
| | | 207,553 | | | | Occidental Petroleum Corp. | | | | | 16,577,258 | | |
| | | 13,847 | | | | Phillips 66 | | | | | 1,641,008 | | |
| | | 52,364 | | | | Pioneer Natural Resources Co. | | | | | 9,147,991 | | |
| | | 172,671 | | | | Royal Dutch Shell PLC, Class A Shares, ADR | | | | | 11,263,329 | | |
| | | 14,256 | | | | Valero Energy Corp. | | | | | 1,680,497 | | |
| | | | | | | Total Oil & Gas | | | | | 122,495,224 | | |
| Oil & Gas Services – 1.7% | | ||||||||||||
| | | 379,646 | | | | Baker Hughes a GE Co. | | | | | 12,516,928 | | |
| | | 432,071 | | | | Halliburton Co. | | | | | 17,235,312 | | |
| | | 12,678 | | | | National Oilwell Varco Inc. | | | | | 596,754 | | |
| | | 358,611 | | | | Schlumberger Ltd | | | | | 22,649,871 | | |
| | | 14,406 | | | | TechnipFMC PLC | | | | | 441,256 | | |
| | | | | | | Total Oil & Gas Services | | | | | 53,440,121 | | |
| Pipelines – 0.1% | | ||||||||||||
| | | 62,544 | | | | Kinder Morgan Inc. | | | | | 1,107,029 | | |
| | | 13,589 | | | | ONEOK Inc. | | | | | 895,651 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| ENERGY – (continued) | | ||||||||||||
| Pipelines – (continued) | | ||||||||||||
| | | 39,080 | | | | Williams Cos., Inc. | | | | $ | 1,156,377 | | |
| | | | | | | Total Pipelines | | | | | 3,159,057 | | |
| | | | | | | TOTAL ENERGY | | | | | 179,094,402 | | |
| FINANCIAL – 16.6% | | ||||||||||||
| Banks – 6.1% | | ||||||||||||
| | | 501,503 | | | | Bank of America Corp. | | | | | 15,511,488 | | |
| | | 280,582 | | | | Bank of New York Mellon Corp. | | | | | 14,632,351 | | |
| | | 270,744 | | | | BB&T Corp. | | | | | 13,986,635 | | |
| | | 16,033 | | | | Capital One Financial Corp. | | | | | 1,588,710 | | |
| | | 356,290 | | | | Citigroup Inc. | | | | | 25,382,100 | | |
| | | 16,093 | | | | Citizens Financial Group Inc. | | | | | 662,388 | | |
| | | 5,731 | | | | Comerica Inc. | | | | | 558,658 | | |
| | | 22,634 | | | | Fifth Third Bancorp | | | | | 666,119 | | |
| | | 118,246 | | | | First Republic Bank | | | | | 12,012,611 | | |
| | | 56,428 | | | | Goldman Sachs Group Inc. | | | | | 13,419,143 | | |
| | | 37,078 | | | | Huntington Bancshares Inc. | | | | | 601,034 | | |
| | | 326,062 | | | | JPMorgan Chase & Co. | | | | | 37,360,184 | | |
| | | 35,045 | | | | KeyCorp | | | | | 738,398 | | |
| | | 4,764 | | | | M&T Bank Corp. | | | | | 843,943 | | |
| | | 119,679 | | | | Morgan Stanley | | | | | 5,843,925 | | |
| | | 6,978 | | | | Northern Trust Corp. | | | | | 749,856 | | |
| | | 32,300 | | | | PacWest Bancorp | | | | | 1,630,827 | | |
| | | 15,442 | | | | PNC Financial Services Group Inc. | | | | | 2,216,545 | | |
| | | 37,545 | | | | Regions Financial Corp. | | | | | 730,626 | | |
| | | 34,080 | | | | Signature Bank | | | | | 3,944,419 | | |
| | | 147,222 | | | | State Street Corp. | | | | | 12,795,064 | | |
| | | 15,354 | | | | SunTrust Banks Inc. | | | | | 1,129,440 | | |
| | | 1,754 | | | | SVB Financial Group* | | | | | 566,103 | | |
| | | 51,126 | | | | US Bancorp | | | | | 2,766,428 | | |
| | | 144,421 | | | | Wells Fargo & Co. | | | | | 8,445,740 | | |
| | | 202,333 | | | | Zions Bancorporation | | | | | 10,782,326 | | |
| | | | | | | Total Banks | | | | | 189,565,061 | | |
| Diversified Financial Services – 4.7% | | ||||||||||||
| | | 1,766 | | | | Affiliated Managers Group Inc. | | | | | 257,995 | | |
| | | 1,562 | | | | Alliance Data Systems Corp. | | | | | 372,662 | | |
| | | 23,509 | | | | American Express Co. | | | | | 2,491,484 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Diversified Financial Services – (continued) | | ||||||||||||
| | | 4,765 | | | | Ameriprise Financial Inc. | | | | $ | 676,439 | | |
| | | 282,464 | | | | Ant International Co., Ltd., Class C Shares, Private Placement, (Restricted)*(b)(c) | | | | | 1,584,623 | | |
| | | 4,067 | | | | BlackRock Inc., Class A Shares | | | | | 1,948,337 | | |
| | | 16,671 | | | | Cboe Global Markets Inc. | | | | | 1,680,437 | | |
| | | 394,591 | | | | Charles Schwab Corp. | | | | | 20,041,277 | | |
| | | 11,245 | | | | CME Group Inc., Class A Shares | | | | | 1,964,839 | | |
| | | 11,484 | | | | Discover Financial Services | | | | | 897,130 | | |
| | | 8,844 | | | | E*TRADE Financial Corp.* | | | | | 520,558 | | |
| | | 10,429 | | | | Franklin Resources Inc. | | | | | 331,017 | | |
| | | 280,354 | | | | Intercontinental Exchange Inc. | | | | | 21,371,385 | | |
| | | 179,024 | | | | Invesco Ltd | | | | | 4,314,478 | | |
| | | 9,829 | | | | Jefferies Financial Group Inc. | | | | | 228,229 | | |
| | | 103,792 | | | | Mastercard Inc., Class A Shares | | | | | 22,373,403 | | |
| | | 3,885 | | | | Nasdaq Inc. | | | | | 370,784 | | |
| | | 4,300 | | | | Raymond James Financial Inc. | | | | | 400,072 | | |
| | | 300,093 | | | | Synchrony Financial | | | | | 9,503,945 | | |
| | | 8,035 | | | | T Rowe Price Group Inc. | | | | | 931,176 | | |
| | | 118,876 | | | | TD Ameritrade Holding Corp. | | | | | 6,962,567 | | |
| | | 297,368 | | | | Visa Inc., Class A Shares | | | | | 43,680,386 | | |
| | | | | | | Total Diversified Financial Services | | | | | 142,903,223 | | |
| Equity Real Estate Investment Trusts (REITs) – 1.6% | | ||||||||||||
| | | 3,414 | | | | Alexandria Real Estate Equities Inc. | | | | | 438,187 | | |
| | | 14,555 | | | | American Tower Corp. | | | | | 2,170,442 | | |
| | | 5,140 | | | | Apartment Investment & Management Co., Class A Shares | | | | | 225,132 | | |
| | | 4,526 | | | | AvalonBay Communities Inc. | | | | | 829,571 | | |
| | | 5,081 | | | | Boston Properties Inc. | | | | | 662,816 | | |
| | | 226,400 | | | | Cousins Properties Inc. | | | | | 2,116,840 | | |
| | | 72,372 | | | | Crown Castle International Corp. | | | | | 8,252,579 | | |
| | | 6,781 | | | | Digital Realty Trust Inc. | | | | | 842,743 | | |
| | | 11,988 | | | | Duke Realty Corp. | | | | | 341,538 | | |
| | | 2,619 | | | | Equinix Inc. | | | | | 1,142,224 | | |
| | | 211,423 | | | | Equity Residential | | | | | 14,323,908 | | |
| | | 2,169 | | | | Essex Property Trust Inc. | | | | | 534,182 | | |
| | | 4,126 | | | | Extra Space Storage Inc. | | | | | 380,458 | | |
| | | 2,520 | | | | Federal Realty Investment Trust | | | | | 329,137 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) – (continued) | | ||||||||||||
| | | 15,259 | | | | HCP Inc. | | | | $ | 412,451 | | |
| | | 24,499 | | | | Host Hotels & Resorts Inc. | | | | | 527,463 | | |
| | | 9,189 | | | | Iron Mountain Inc. | | | | | 331,723 | | |
| | | 14,795 | | | | Kimco Realty Corp. | | | | | 253,142 | | |
| | | 3,776 | | | | Macerich Co. | | | | | 221,802 | | |
| | | 3,736 | | | | Mid-America Apartment Communities Inc. | | | | | 386,900 | | |
| | | 20,748 | | | | Prologis Inc. | | | | | 1,393,851 | | |
| | | 4,938 | | | | Public Storage | | | | | 1,049,720 | | |
| | | 9,348 | | | | Realty Income Corp. | | | | | 547,512 | | |
| | | 4,724 | | | | Regency Centers Corp. | | | | | 311,926 | | |
| | | 3,811 | | | | SBA Communications Corp., Class A Shares* | | | | | 591,582 | | |
| | | 47,950 | | | | Simon Property Group Inc. | | | | | 8,776,289 | | |
| | | 2,917 | | | | SL Green Realty Corp. | | | | | 304,535 | | |
| | | 9,223 | | | | UDR Inc. | | | | | 368,643 | | |
| | | 11,711 | | | | Ventas Inc. | | | | | 701,138 | | |
| | | 5,648 | | | | Vornado Realty Trust | | | | | 434,896 | | |
| | | 12,213 | | | | Welltower Inc. | | | | | 814,729 | | |
| | | 24,955 | | | | Weyerhaeuser Co. | | | | | 866,188 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 50,884,247 | | |
| Insurance – 3.7% | | ||||||||||||
| | | 25,555 | | | | Aflac Inc. | | | | | 1,181,663 | | |
| | | 144,647 | | | | Allstate Corp. | | | | | 14,547,149 | | |
| | | 350,685 | | | | American International Group Inc. | | | | | 18,645,921 | | |
| | | 8,059 | | | | Aon PLC | | | | | 1,173,068 | | |
| | | 6,024 | | | | Arthur J Gallagher & Co. | | | | | 434,572 | | |
| | | 1,677 | | | | Assurant Inc. | | | | | 172,429 | | |
| | | 171,289 | | | | Berkshire Hathaway Inc., Class B Shares* | | | | | 35,751,440 | | |
| | | 3,296 | | | | Brighthouse Financial Inc.* | | | | | 136,817 | | |
| | | 55,947 | | | | Chubb Ltd. | | | | | 7,566,272 | | |
| | | 5,198 | | | | Cincinnati Financial Corp. | | | | | 398,531 | | |
| | | 1,320 | | | | Everest Re Group Ltd. | | | | | 294,387 | | |
| | | 11,870 | | | | Hartford Financial Services Group Inc. | | | | | 597,892 | | |
| | | 7,221 | | | | Lincoln National Corp. | | | | | 473,553 | | |
| | | 8,667 | | | | Loews Corp. | | | | | 436,037 | | |
| | | 173,108 | | | | Marsh & McLennan Cos., Inc. | | | | | 14,650,130 | | |
| | | 259,930 | | | | MetLife Inc. | | | | | 11,928,188 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Insurance – (continued) | | ||||||||||||
| | | 8,816 | | | | Principal Financial Group Inc. | | | | $ | 486,555 | | |
| | | 19,273 | | | | Progressive Corp. | | | | | 1,301,506 | | |
| | | 13,826 | | | | Prudential Financial Inc. | | | | | 1,358,405 | | |
| | | 3,685 | | | | Torchmark Corp. | | | | | 323,985 | | |
| | | 8,882 | | | | Travelers Cos., Inc. | | | | | 1,168,871 | | |
| | | 7,162 | | | | Unum Group | | | | | 264,135 | | |
| | | 4,352 | | | | Willis Towers Watson PLC | | | | | 640,919 | | |
| | | 8,522 | | | | XL Group Ltd. | | | | | 489,077 | | |
| | | | | | | Total Insurance | | | | | 114,421,502 | | |
| Private Equity – 0.2% | | ||||||||||||
| | | 113,859 | | | | Brookfield Asset Management Inc., Class A Shares | | | | | 4,869,750 | | |
| Real Estate – 0.3% | | ||||||||||||
| | | 7,833 | | | | Brookfield Property Partners LP | | | | | 156,503 | | |
| | | 9,975 | | | | CBRE Group Inc., Class A Shares* | | | | | 486,880 | | |
| | | 63,909 | | | | Jones Lang LaSalle Inc. | | | | | 9,747,400 | | |
| | | | | | | Total Real Estate | | | | | 10,390,783 | | |
| Savings & Loans – 0.0% | | ||||||||||||
| | | 12,138 | | | | People’s United Financial Inc. | | | | | 224,674 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 513,259,240 | | |
| INDUSTRIAL – 9.4% | | ||||||||||||
| Aerospace/Defense – 2.9% | | ||||||||||||
| | | 14,734 | | | | Arconic Inc. | | | | | 329,747 | | |
| | | 66,307 | | | | Boeing Co. | | | | | 22,729,376 | | |
| | | 15,346 | | | | General Dynamics Corp. | | | | | 2,967,916 | | |
| | | 11,268 | | | | Harris Corp. | | | | | 1,831,163 | | |
| | | 8,379 | | | | L3 Technologies Inc. | | | | | 1,790,760 | | |
| | | 11,978 | | | | Lockheed Martin Corp. | | | | | 3,837,871 | | |
| | | 101,044 | | | | Northrop Grumman Corp. | | | | | 30,160,624 | | |
| | | 75,777 | | | | Raytheon Co. | | | | | 15,112,965 | | |
| | | 5,420 | | | | Rockwell Collins Inc. | | | | | 736,849 | | |
| | | 1,613 | | | | TransDigm Group Inc.* | | | | | 564,550 | | |
| | | 75,910 | | | | United Technologies Corp. | | | | | 9,997,347 | | |
| | | | | | | Total Aerospace/Defense | | | | | 90,059,168 | | |
| Building Materials – 0.5% | | ||||||||||||
| | | 4,620 | | | | Fortune Brands Home & Security Inc. | | | | | 244,768 | | |
| | | 406,525 | | | | Johnson Controls International PLC | | | | | 15,354,449 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Building Materials – (continued) | | ||||||||||||
| | | 2,073 | | | | Martin Marietta Materials Inc. | | | | $ | 411,947 | | |
| | | 10,307 | | | | Masco Corp. | | | | | 391,357 | | |
| | | 4,363 | | | | Vulcan Materials Co. | | | | | 483,420 | | |
| | | | | | | Total Building Materials | | | | | 16,885,941 | | |
| Electrical Components & Equipment – 0.1% | | ||||||||||||
| | | 7,690 | | | | AMETEK Inc. | | | | | 591,822 | | |
| | | 20,764 | | | | Emerson Electric Co. | | | | | 1,593,222 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 2,185,044 | | |
| Electronics – 1.3% | | ||||||||||||
| | | 10,597 | | | | Agilent Technologies Inc. | | | | | 715,721 | | |
| | | 3,045 | | | | Allegion PLC | | | | | 265,585 | | |
| | | 9,963 | | | | Amphenol Corp., Class A Shares | | | | | 942,301 | | |
| | | 90,804 | | | | Avnet Inc. | | | | | 4,394,914 | | |
| | | 415,880 | | | | Corning Inc. | | | | | 13,936,139 | | |
| | | 24,528 | | | | FLIR Systems Inc. | | | | | 1,538,887 | | |
| | | 66,811 | | | | Fortive Corp. | | | | | 5,610,788 | | |
| | | 3,888 | | | | Garmin Ltd. | | | | | 264,928 | | |
| | | 50,773 | | | | Honeywell International Inc. | | | | | 8,075,954 | | |
| | | 844 | | | | Mettler-Toledo International Inc.* | | | | | 493,284 | | |
| | | 3,588 | | | | PerkinElmer Inc. | | | | | 331,639 | | |
| | | 11,549 | | | | TE Connectivity Ltd. | | | | | 1,058,812 | | |
| | | 2,584 | | | | Waters Corp.* | | | | | 489,616 | | |
| | | | | | | Total Electronics | | | | | 38,118,568 | | |
| Engineering & Construction – 0.2% | | ||||||||||||
| | | 26,027 | | | | Fluor Corp. | | | | | 1,494,210 | | |
| | | 3,971 | | | | Jacobs Engineering Group Inc. | | | | | 288,652 | | |
| | | 155,350 | | | | nVent Electric PLC | | | | | 4,363,781 | | |
| | | | | | | Total Engineering & Construction | | | | | 6,146,643 | | |
| Environmental Control – 0.8% | | ||||||||||||
| | | 140,817 | | | | Pentair PLC | | | | | 6,122,723 | | |
| | | 7,897 | | | | Republic Services Inc., Class A Shares | | | | | 579,324 | | |
| | | 62,512 | | | | Stericycle Inc.* | | | | | 3,856,365 | | |
| | | 161,491 | | | | Waste Management Inc. | | | | | 14,679,532 | | |
| | | | | | | Total Environmental Control | | | | | 25,237,944 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Hand/Machine Tools – 0.0% | | ||||||||||||
| | | 1,833 | | | | Snap-on Inc. | | | | $ | 324,038 | | |
| | | 5,093 | | | | Stanley Black & Decker Inc. | | | | | 715,719 | | |
| | | | | | | Total Hand/Machine Tools | | | | | 1,039,757 | | |
| Machinery-Construction & Mining – 0.1% | | ||||||||||||
| | | 19,725 | | | | Caterpillar Inc. | | | | | 2,738,816 | | |
| Machinery-Diversified – 0.8% | | ||||||||||||
| | | 208,913 | | | | Cognex Corp. | | | | | 11,239,520 | | |
| | | 13,818 | | | | Cummins Inc. | | | | | 1,959,392 | | |
| | | 10,693 | | | | Deere & Co. | | | | | 1,537,653 | | |
| | | 4,100 | | | | Flowserve Corp. | | | | | 213,692 | | |
| | | 4,144 | | | | Rockwell Automation Inc. | | | | | 749,898 | | |
| | | 20,844 | | | | Roper Technologies Inc. | | | | | 6,219,224 | | |
| | | 28,236 | | | | Wabtec Corp. | | | | | 3,058,524 | | |
| | | 6,268 | | | | Xylem Inc. | | | | | 475,804 | | |
| | | | | | | Total Machinery-Diversified | | | | | 25,453,707 | | |
| Miscellaneous Manufacturers – 1.5% | | ||||||||||||
| | | 19,563 | | | | 3M Co. | | | | | 4,126,228 | | |
| | | 26,108 | | | | AO Smith Corp. | | | | | 1,516,353 | | |
| | | 5,083 | | | | Dover Corp. | | | | | 436,477 | | |
| | | 14,383 | | | | Eaton Corp. PLC | | | | | 1,195,802 | | |
| | | 1,278,389 | | | | General Electric Co. | | | | | 16,542,354 | | |
| | | 10,052 | | | | Illinois Tool Works Inc. | | | | | 1,396,022 | | |
| | | 8,179 | | | | Ingersoll-Rand PLC | | | | | 828,451 | | |
| | | 4,390 | | | | Parker-Hannifin Corp. | | | ��� | | 770,884 | | |
| | | 265,830 | | | | Textron Inc. | | | | | 18,350,245 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 45,162,816 | | |
| Packaging & Containers – 0.0% | | ||||||||||||
| | | 11,440 | | | | Ball Corp. | | | | | 479,107 | | |
| | | 3,064 | | | | Packaging Corp. of America | | | | | 336,795 | | |
| | | 5,151 | | | | Sealed Air Corp. | | | | | 206,606 | | |
| | | 8,435 | | | | WestRock Co. | | | | | 464,600 | | |
| | | | | | | Total Packaging & Containers | | | | | 1,487,108 | | |
| Shipbuilding – 0.1% | | ||||||||||||
| | | 6,443 | | | | Huntington Ingalls Industries Inc. | | | | | 1,575,120 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Transportation – 1.1% | | ||||||||||||
| | | 4,553 | | | | CH Robinson Worldwide Inc. | | | | $ | 437,452 | | |
| | | 28,872 | | | | CSX Corp. | | | | | 2,141,148 | | |
| | | 5,800 | | | | Expeditors International of Washington Inc. | | | | | 425,024 | | |
| | | 42,262 | | | | FedEx Corp. | | | | | 10,309,815 | | |
| | | 2,872 | | | | JB Hunt Transport Services Inc. | | | | | 346,794 | | |
| | | 3,365 | | | | Kansas City Southern | | | | | 390,205 | | |
| | | 9,328 | | | | Norfolk Southern Corp. | | | | | 1,621,580 | | |
| | | 60,215 | | | | Union Pacific Corp. | | | | | 9,069,583 | | |
| | | 81,185 | | | | United Parcel Service Inc., Class B Shares | | | | | 9,976,013 | | |
| | | | | | | Total Transportation | | | | | 34,717,614 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 290,808,246 | | |
| TECHNOLOGY – 15.5% | | ||||||||||||
| Computers – 2.7% | | ||||||||||||
| | | 28,685 | | | | Accenture PLC, Class A Shares | | | | | 4,849,773 | | |
| | | 241,319 | | | | Apple Inc. | | | | | 54,931,444 | | |
| | | 19,324 | | | | Cognizant Technology Solutions Corp., Class A Shares | | | | | 1,515,581 | | |
| | | 9,409 | | | | DXC Technology Co. | | | | | 857,066 | | |
| | | 50,380 | | | | Hewlett Packard Enterprise Co. | | | | | 832,781 | | |
| | | 54,229 | | | | HP Inc. | | | | | 1,336,745 | | |
| | | 63,402 | | | | International Business Machines Corp. | | | | | 9,287,125 | | |
| | | 8,856 | | | | NetApp Inc. | | | | | 768,789 | | |
| | | 124,809 | | | | Seagate Technology PLC | | | | | 6,682,274 | | |
| | | 9,861 | | | | Western Digital Corp. | | | | | 623,610 | | |
| | | | | | | Total Computers | | | | | 81,685,188 | | |
| Office/Business Equipment – 0.0% | | ||||||||||||
| | | 7,288 | | | | Xerox Corp. | | | | | 203,044 | | |
| Semiconductors – 4.1% | | ||||||||||||
| | | 87,772 | | | | Advanced Micro Devices Inc.* | | | | | 2,209,221 | | |
| | | 12,226 | | | | Analog Devices Inc. | | | | | 1,208,540 | | |
| | | 288,638 | | | | Applied Materials Inc. | | | | | 12,417,207 | | |
| | | 17,900 | | | | ASML Holding NV, Class NY Registered Shares, ADR | | | | | 3,670,395 | | |
| | | 13,233 | | | | Broadcom Inc. | | | | | 2,898,424 | | |
| | | 935,986 | | | | Cypress Semiconductor Corp. | | | | | 16,108,319 | | |
| | | 538,941 | | | | Intel Corp. | | | | | 26,100,913 | | |
| | | 8,672 | | | | IPG Photonics Corp.* | | | | | 1,521,763 | | |
| | | 5,142 | | | | KLA-Tencor Corp. | | | | | 597,552 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Semiconductors – (continued) | | ||||||||||||
| | | 5,413 | | | | Lam Research Corp. | | | | $ | 936,936 | | |
| | | 226,512 | | | | Maxim Integrated Products Inc. | | | | | 13,697,181 | | |
| | | 7,753 | | | | Microchip Technology Inc. | | | | | 666,991 | | |
| | | 38,256 | | | | Micron Technology Inc.* | | | | | 2,009,205 | | |
| | | 110,488 | | | | NVIDIA Corp. | | | | | 31,011,772 | | |
| | | 4,114 | | | | Qorvo Inc.* | | | | | 329,490 | | |
| | | 48,852 | | | | QUALCOMM Inc. | | | | | 3,356,621 | | |
| | | 6,008 | | | | Skyworks Solutions Inc. | | | | | 548,530 | | |
| | | 57,058 | | | | Texas Instruments Inc. | | | | | 6,413,319 | | |
| | | 8,353 | | | | Xilinx Inc. | | | | | 650,114 | | |
| | | | | | | Total Semiconductors | | | | | 126,352,493 | | |
| Software – 8.7% | | ||||||||||||
| | | 256,636 | | | | Activision Blizzard Inc. | | | | | 18,503,455 | | |
| | | 72,673 | | | | Adobe Systems Inc.* | | | | | 19,150,062 | | |
| | | 249 | | | | Adyen NV*(d) | | | | | 174,587 | | |
| | | 5,653 | | | | Akamai Technologies Inc.* | | | | | 424,767 | | |
| | | 2,799 | | | | ANSYS Inc.* | | | | | 520,558 | | |
| | | 16,275 | | | | Autodesk Inc.* | | | | | 2,512,046 | | |
| | | 3,937 | | | | Broadridge Financial Solutions Inc. | | | | | 532,046 | | |
| | | 301,198 | | | | CA Inc. | | | | | 13,192,472 | | |
| | | 9,255 | | | | Cadence Design Systems Inc.* | | | | | 435,355 | | |
| | | 10,407 | | | | Cerner Corp.* | | | | | 677,600 | | |
| | | 4,268 | | | | Citrix Systems Inc.* | | | | | 486,637 | | |
| | | 44,951 | | | | Electronic Arts Inc.* | | | | | 5,097,893 | | |
| | | 47,205 | | | | Fidelity National Information Services Inc. | | | | | 5,106,165 | | |
| | | 63,407 | | | | Fiserv Inc.* | | | | | 5,076,998 | | |
| | | 47,894 | | | | Intuit Inc. | | | | | 10,511,296 | | |
| | | 611,580 | | | | Microsoft Corp. | | | | | 68,698,781 | | |
| | | 56,356 | | | | MSCI Inc., Class A Shares | | | | | 10,158,733 | | |
| | | 526,995 | | | | Oracle Corp. | | | | | 25,601,417 | | |
| | | 10,578 | | | | Paychex Inc. | | | | | 774,839 | | |
| | | 38,553 | | | | Red Hat Inc.* | | | | | 5,695,435 | | |
| | | 232,723 | | | | salesforce.com Inc.* | | | | | 35,532,148 | | |
| | | 97,432 | | | | ServiceNow Inc.* | | | | | 19,131,747 | | |
| | | 121,554 | | | | Splunk Inc.* | | | | | 15,577,145 | | |
| | | 4,933 | | | | Synopsys Inc.* | | | | | 503,857 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Software – (continued) | | ||||||||||||
| | | 3,791 | | | | Take-Two Interactive Software Inc.* | | | | $ | 506,326 | | |
| | | 21,746 | | | | VMware Inc., Class A Shares* | | | | | 3,332,792 | | |
| | | 29,336 | | | | Workday Inc., Class A Shares* | | | | | 4,533,586 | | |
| | | | | | | Total Software | | | | | 272,448,743 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 480,689,468 | | |
| UTILITIES – 1.8% | | ||||||||||||
| Electric – 1.7% | | ||||||||||||
| | | 965,371 | | | | AES Corp. | | | | | 12,993,894 | | |
| | | 7,953 | | | | Alliant Energy Corp. | | | | | 340,707 | | |
| | | 8,051 | | | | Ameren Corp. | | | | | 509,065 | | |
| | | 16,170 | | | | American Electric Power Co., Inc. | | | | | 1,159,874 | | |
| | | 14,115 | | | | CenterPoint Energy Inc. | | | | | 392,256 | | |
| | | 9,275 | | | | CMS Energy Corp. | | | | | 456,701 | | |
| | | 10,050 | | | | Consolidated Edison Inc. | | | | | 793,247 | | |
| | | 21,470 | | | | Dominion Energy Inc. | | | | | 1,519,432 | | |
| | | 5,939 | | | | DTE Energy Co. | | | | | 660,060 | | |
| | | 22,977 | | | | Duke Energy Corp. | | | | | 1,866,651 | | |
| | | 202,715 | | | | Edison International | | | | | 13,324,457 | | |
| | | 5,933 | | | | Entergy Corp. | | | | | 495,939 | | |
| | | 8,998 | | | | Evergy Inc. | | | | | 513,336 | | |
| | | 10,416 | | | | Eversource Energy | | | | | 650,271 | | |
| | | 31,866 | | | | Exelon Corp. | | | | | 1,392,863 | | |
| | | 14,823 | | | | FirstEnergy Corp. | | | | | 554,084 | | |
| | | 26,961 | | | | NextEra Energy Inc. | | | | | 4,586,066 | | |
| | | 9,657 | | | | NRG Energy Inc. | | | | | 341,761 | | |
| | | 17,018 | | | | PG&E Corp. | | | | | 785,891 | | |
| | | 3,879 | | | | Pinnacle West Capital Corp. | | | | | 304,695 | | |
| | | 22,974 | | | | PPL Corp. | | | | | 683,247 | | |
| | | 16,757 | | | | Public Service Enterprise Group Inc. | | | | | 877,229 | | |
| | | 4,811 | | | | SCANA Corp. | | | | | 184,454 | | |
| | | 44,316 | | | | Sempra Energy | | | | | 5,144,201 | | |
| | | 33,171 | | | | Southern Co. | | | | | 1,452,226 | | |
| | | 10,264 | | | | WEC Energy Group Inc. | | | | | 693,641 | | |
| | | 16,639 | | | | Xcel Energy Inc. | | | | | 799,504 | | |
| | | | | | | Total Electric | | | | | 53,475,752 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| UTILITIES – (continued) | | ||||||||||||
| Gas – 0.0% | | ||||||||||||
| | | 12,068 | | | | NiSource Inc. | | | | $ | 326,681 | | |
| Water – 0.1% | | ||||||||||||
| | | 26,269 | | | | American Water Works Co., Inc. | | | | | 2,299,326 | | |
| | | | | | | TOTAL UTILITIES | | | | | 56,101,759 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $2,504,114,481) | | | | | 3,027,682,169 | | |
| PREFERRED STOCK – 0.0% | | ||||||||||||
| TECHNOLOGY – 0.0% | | ||||||||||||
| Software – 0.0% | | ||||||||||||
| | | 15,057 | | | | Magic Leap Inc., Series D, Private Placement, (Restricted)*(b)(c) (Cost – $406,539) | | | | | 406,539 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $2,505,346,648) | | | | | 3,028,926,150 | | |
| Face Amount | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 2.3% | | ||||||||||||
| TIME DEPOSITS – 2.3% | | ||||||||||||
| | $ | 22,688,435 | | | | Barclays Bank PLC – London, 1.280% due 9/4/18 | | | | | 22,688,435 | | |
| | | 39,046 | | | | BNP Paribas – Paris, 1.280% due 9/4/18 | | | | | 39,046 | | |
| | | 8,746,543 | | | | Citibank – New York, 1.280% due 9/4/18 | | | | | 8,746,543 | | |
| | | 22,489,709 | | | | Deutsche Bank AG – Grand Cayman, 1.280% due 9/4/18 | | | | | 22,489,709 | | |
| | | 10,579,401 | | | | Industrial & Commercial Bank of China – New York, 1.280% due 9/4/18 | | | | | 10,579,401 | | |
| | | 6,435,962 | | | | JPMorgan Chase & Co. – New York, 1.280% due 9/4/18 | | | | | 6,435,962 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $70,979,096) | | | | | 70,979,096 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.3% | | ||||||||||||
| MONEY MARKET FUND – 0.3% | | ||||||||||||
| | | 10,135,978 | | | | Federated Government Obligations Fund, Premier Class, 1.845%(e) (Cost – $10,135,978) | | | | | 10,135,978 | | |
| | | | | | | TOTAL INVESTMENTS – 100.2% (Cost – $2,586,461,722#) | | | | | 3,110,041,224 | | |
| | | | | | | Liabilities in Excess of Other Assets – (0.2)% | | | | | (7,131,072) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 3,102,910,152 | | |
|
| Consumer Non-cyclical | | | | | 22.7% | | |
| Communications | | | | | 16.9 | | |
| Financial | | | | | 16.5 | | |
| Technology | | | | | 15.5 | | |
| Industrial | | | | | 9.3 | | |
| Consumer Cyclical | | | | | 7.2 | | |
| Energy | | | | | 5.8 | | |
| Utilities | | | | | 1.8 | | |
| Basic Materials | | | | | 1.7 | | |
| Short-Term Investments | | | | | 2.3 | | |
| Money Market Fund | | | | | 0.3 | | |
| | | | | | 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 | | | | | 75 | | | | | | 9/18 | | | | | $ | 10,456,969 | | | | | $ | 10,882,500 | | | | | $ | 425,531 | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – 76.8% | | | | ||||||||||||||||
| BASIC MATERIALS – 2.2% | | | | ||||||||||||||||
| Chemicals – 2.0% | | | | | | | | ||||||||||||
| | | 38,300 | | | | Air Products & Chemicals Inc. | | | | $ | 6,368,907 | | | | | ||||
| | | 107,392 | | | | Codexis Inc.* | | | | | 1,847,142 | | | | | ||||
| | | 23,077 | | | | HB Fuller Co. | | | | | 1,315,158 | | | | | ||||
| | | 13,668 | | | | Ingevity Corp.* | | | | | 1,380,605 | | | | | ||||
| | | 46,361 | | | | Olin Corp. | | | | | 1,424,674 | | | | | ||||
| | | 12,169 | | | | Sensient Technologies Corp. | | | | | 864,243 | | | | | ||||
| | | 93,737 | | | | Valvoline Inc. | | | | | 2,017,220 | | | | | ||||
| | | 24,071 | | | | WR Grace & Co. | | | | | 1,700,857 | | | | | ||||
| | | | | | | Total Chemicals | | | | | 16,918,806 | | | | | ||||
| Iron/Steel – 0.2% | | | | | | | | ||||||||||||
| | | 61,411 | | | | Allegheny Technologies Inc.* | | | | | 1,659,939 | | | | | ||||
| | | | | | | TOTAL BASIC MATERIALS | | | | | 18,578,745 | | | | | ||||
| COMMUNICATIONS – 3.8% | | | | | | | | ||||||||||||
| Advertising – 0.3% | | | | | | | | ||||||||||||
| | | 105,389 | | | | Interpublic Group of Cos., Inc. | | | | | 2,460,833 | | | | | ||||
| Internet – 1.4% | | | | | | | | ||||||||||||
| | | 56,894 | | | | Bandwidth Inc., Class A Shares* | | | | | 2,592,091 | | | | | ||||
| | | 32,464 | | | | Cardlytics Inc.* | | | | | 661,941 | | | | | ||||
| | | 19,618 | | | | Cogent Communications Holdings Inc. | | | | | 1,073,105 | | | | | ||||
| | | 37,874 | | | | Mimecast Ltd.* | | | | | 1,575,179 | | | | | ||||
| | | 15,536 | | | | Q2 Holdings Inc.* | | | | | 967,893 | | | | | ||||
| | | 195,386 | | | | QuinStreet Inc.* | | | | | 2,964,005 | | | | | ||||
| | | 45,873 | | | | Zscaler Inc.*(a) | | | | | 1,962,906 | | | | | ||||
| | | | | | | Total Internet | | | | | 11,797,120 | | | | | ||||
| Media – 0.5% | | | | | | | | ||||||||||||
| | | 30,017 | | | | Nexstar Media Group Inc., Class A Shares | | | | | 2,461,394 | | | | | ||||
| | | 32,771 | | | | Tribune Media Co., Class A Shares | | | | | 1,208,922 | | | | | ||||
| | | | | | | Total Media | | | | | 3,670,316 | | | | | ||||
| Telecommunications – 1.6% | | | | ||||||||||||||||
| | | 84,300 | | | | Motorola Solutions Inc. | | | | | 10,820,748 | | | | | ||||
| | | 7,911 | | | | RADCOM Ltd.*(a) | | | | | 144,771 | | | | | ||||
| | | 208,590 | | | | Viavi Solutions Inc.* | | | | | 2,336,208 | | | | | ||||
| | | | | | | Total Telecommunications | | | | | 13,301,727 | | | | | ||||
| | | | | | | TOTAL COMMUNICATIONS | | | | | 31,229,996 | | | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – (continued) | | | | ||||||||||||||||
| CONSUMER CYCLICAL – 7.7% | | | | | | | | ||||||||||||
| Airlines – 0.9% | | | | | | | | ||||||||||||
| | | 87,700 | | | | Alaska Air Group Inc. | | | | $ | 5,918,873 | | | | | ||||
| | | 109,095 | | | | Mesa Air Group Inc.* | | | | | 1,504,420 | | | | | ||||
| | | | | | | Total Airlines | | | | | 7,423,293 | | | | | ||||
| Apparel – 0.6% | | | | | | | | ||||||||||||
| | | 126,748 | | | | Crocs Inc.* | | | | | 2,618,614 | | | | | ||||
| | | 8,202 | | | | Oxford Industries Inc. | | | | | 763,524 | | | | | ||||
| | | 21,809 | | | | Steven Madden Ltd. | | | | | 1,268,193 | | | | | ||||
| | | | | | | Total Apparel | | | | | 4,650,331 | | | | | ||||
| Auto Parts & Equipment – 0.2% | | | | | | | | ||||||||||||
| | | 21,341 | | | | Altra Industrial Motion Corp.(a) | | | | | 833,366 | | | | | ||||
| | | 92,398 | | | | Horizon Global Corp.*(a) | | | | | 717,008 | | | | | ||||
| | | | | | | Total Auto Parts & Equipment | | | | | 1,550,374 | | | | | ||||
| Distribution/Wholesale – 0.3% | | | | | | | | ||||||||||||
| | | 29,434 | | | | G-III Apparel Group Ltd.* | | | | | 1,338,658 | | | | | ||||
| | | 14,413 | | | | SiteOne Landscape Supply Inc.* | | | | | 1,302,503 | | | | | ||||
| | | | | | | Total Distribution/Wholesale | | | | | 2,641,161 | | | | | ||||
| Entertainment – 1.0% | | | | | | | | ||||||||||||
| | | 157,300 | | | | Cinemark Holdings Inc. | | | | | 5,870,436 | | | | | ||||
| | | 23,743 | | | | Eldorado Resorts Inc.* | | | | | 1,140,851 | | | | | ||||
| | | 61,396 | | | | Golden Entertainment Inc.* | | | | | 1,781,098 | | | | | ||||
| | | | | | | Total Entertainment | | | | | 8,792,385 | | | | | ||||
| Home Builders – 0.3% | | | | | | | | ||||||||||||
| | | 77,456 | | | | Skyline Champion Corp. | | | | | 2,239,253 | | | | | ||||
| Home Furnishings – 0.3% | | | | ||||||||||||||||
| | | 21,400 | | | | Whirlpool Corp. | | | | | 2,674,572 | | | | | ||||
| Leisure Time – 1.0% | | | | ||||||||||||||||
| | | 127,631 | | | | Callaway Golf Co. | | | | | 2,911,263 | | | | | ||||
| | | 60,956 | | | | Malibu Boats Inc., Class A Shares* | | | | | 2,938,689 | | | | | ||||
| | | 50,666 | | | | MCBC Holdings Inc.* | | | | | 1,396,861 | | | | | ||||
| | | 45,849 | | | | Vista Outdoor Inc.* | | | | | 846,831 | | | | | ||||
| | | | | | | Total Leisure Time | | | | | 8,093,644 | | | | | ||||
| Lodging – 0.6% | | | | | | | | ||||||||||||
| | | 117,092 | | | | Century Casinos Inc.* | | | | | 936,736 | | | | | ||||
| | | 98,700 | | | | MGM Resorts International | | | | | 2,861,313 | | | | | ||||
| | | 20,042 | | | | Monarch Casino & Resort Inc.* | | | | | 942,976 | | | | | ||||
| | | | | | | Total Lodging | | | | | 4,741,025 | | | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – (continued) | | | | ||||||||||||||||
| CONSUMER CYCLICAL – (continued) | | | | ||||||||||||||||
| Retail – 2.4% | | | | | | | | ||||||||||||
| | | 25,135 | | | | BJ’s Restaurants Inc. | | | | $ | 1,902,720 | | | | | ||||
| | | 93,993 | | | | Boot Barn Holdings Inc.* | | | | | 2,813,210 | | | | | ||||
| | | 75,686 | | | | Carrols Restaurant Group Inc.* | | | | | 1,195,839 | | | | | ||||
| | | 15,941 | | | | Conn’s Inc.* | | | | | 653,581 | | | | | ||||
| | | 35,055 | | | | Container Store Group Inc.* | | | | | 396,122 | | | | | ||||
| | | 87,089 | | | | Del Frisco’s Restaurant Group Inc.* | | | | | 822,991 | | | | | ||||
| | | 25,194 | | | | Express Inc.* | | | | | 282,677 | | | | | ||||
| | | 131,840 | | | | Francesca’s Holdings Corp.* | | | | | 827,955 | | | | | ||||
| | | 55,476 | | | | Freshpet Inc.* | | | | | 2,060,934 | | | | | ||||
| | | 37,160 | | | | Lovesac Co.* | | | | | 766,982 | | | | | ||||
| | | 55,715 | | | | Michaels Cos., Inc.* | | | | | 946,598 | | | | | ||||
| | | 53,648 | | | | Movado Group Inc. | | | | | 2,285,405 | | | | | ||||
| | | 121,821 | | | | Noodles & Co., Class A Shares*(a) | | | | | 1,498,398 | | | | | ||||
| | | 44,807 | | | | PetIQ Inc., Class A Shares*(a) | | | | | 1,754,642 | | | | | ||||
| | | 26,053 | | | | Tailored Brands Inc. | | | | | 613,288 | | | | | ||||
| | | 21,355 | | | | Wingstop Inc. | | | | | 1,429,717 | | | | | ||||
| | | | | | | Total Retail | | | | | 20,251,059 | | | | | ||||
| Toys/Games/Hobbies – 0.1% | | | | ||||||||||||||||
| | | 36,156 | | | | Funko Inc., Class A Shares*(a) | | | | | 919,086 | | | | | ||||
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 63,976,183 | | | | | ||||
| CONSUMER NON-CYCLICAL – 19.5% | | | | | | | | ||||||||||||
| Agriculture – 0.2% | | | | ||||||||||||||||
| | | 60,462 | | | | Limoneira Co. | | | | | 1,865,253 | | | | | ||||
| Beverages – 0.3% | | | | | | | | ||||||||||||
| | | 9,515 | | | | MGP Ingredients Inc. | | | | | 733,702 | | | | | ||||
| | | 97,305 | | | | Primo Water Corp.* | | | | | 1,946,100 | | | | | ||||
| | | | | | | Total Beverages | | | | | 2,679,802 | | | | | ||||
| Biotechnology – 1.8% | | | | | | | | ||||||||||||
| | | 42,305 | | | | Acer Therapeutics Inc.* | | | | | 1,357,145 | | | | | ||||
| | | 176,832 | | | | Adverum Biotechnologies Inc.* | | | | | 1,343,923 | | | | | ||||
| | | 26,632 | | | | Allakos Inc.* | | | | | 1,034,387 | | | | | ||||
| | | 12,175 | | | | Argenx SE, ADR* | | | | | 1,142,380 | | | | | ||||
| | | 23,320 | | | | Atara Biotherapeutics Inc.* | | | | | 954,954 | | | | | ||||
| | | 130,113 | | | | Avid Bioservices Inc.* | | | | | 952,427 | | | | | ||||
| | | 32,244 | | | | Avrobio Inc.* | | | | | 1,107,581 | | | | | ||||
| | | 26,430 | | | | Deciphera Pharmaceuticals Inc.* | | | | | 977,646 | | | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – (continued) | | | | ||||||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | | | ||||||||||||||||
| Biotechnology – (continued) | | | | ||||||||||||||||
| | | 20,644 | | | | Loxo Oncology Inc.* | | | | $ | 3,488,423 | | | | | ||||
| | | 31,539 | | | | Ovid Therapeutics Inc.* | | | | | 210,365 | | | | | ||||
| | | 348,933 | | | | Sesen Bio Inc.* | | | | | 781,610 | | | | | ||||
| | | 90,187 | | | | Vericel Corp.* | | | | | 1,100,281 | | | | | ||||
| | | | | | | Total Biotechnology | | | | | 14,451,122 | | | | | ||||
| Commercial Services – 2.2% | | | | | | | | ||||||||||||
| | | 66,277 | | | | Bridgepoint Education Inc., Class A Shares* | | | | | 779,417 | | | | | ||||
| | | 76,243 | | | | Career Education Corp.* | | | | | 1,216,076 | | | | | ||||
| | | 154,754 | | | | Everi Holdings Inc.* | | | | | 1,341,717 | | | | | ||||
| | | 25,214 | | | | Heidrick & Struggles International Inc. | | | | | 1,114,459 | | | | | ||||
| | | 34,190 | | | | Huron Consulting Group Inc.* | | | | | 1,692,405 | | | | | ||||
| | | 82,346 | | | | I3 Verticals Inc., Class A Shares* | | | | | 1,533,283 | | | | | ||||
| | | 37,211 | | | | Kelly Services Inc., Class A Shares | | | | | 938,089 | | | | | ||||
| | | 24,743 | | | | Korn/Ferry International | | | | | 1,660,998 | | | | | ||||
| | | 24,334 | | | | Matthews International Corp., Class A Shares | | | | | 1,262,935 | | | | | ||||
| | | 13,444 | | | | Medifast Inc. | | | | | 3,075,315 | | | | | ||||
| | | 166,399 | | | | Team Inc.*(a) | | | | | 3,877,097 | | | | | ||||
| | | | | | | Total Commercial Services | | | | | 18,491,791 | | | | | ||||
| Food – 2.0% | | | | | | | | ||||||||||||
| | | 34,909 | | | | B&G Foods Inc.(a) | | | | | 1,115,342 | | | | | ||||
| | | 15,497 | | | | Calavo Growers Inc. | | | | | 1,640,358 | | | | | ||||
| | | 60,630 | | | | Chefs’ Warehouse Inc.* | | | | | 1,782,522 | | | | | ||||
| | | 117,205 | | | | Darling Ingredients Inc.* | | | | | 2,318,315 | | | | | ||||
| | | 45,491 | | | | Hain Celestial Group Inc.* | | | | | 1,299,223 | | | | | ||||
| | | 89,399 | | | | Hostess Brands Inc., Class A Shares* | | | | | 1,051,332 | | | | | ||||
| | | 53,700 | | | | Kellogg Co. | | | | | 3,855,123 | | | | | ||||
| | | 44,352 | | | | Performance Food Group Co.* | | | | | 1,468,051 | | | | | ||||
| | | 45,088 | | | | TreeHouse Foods Inc.* | | | | | 2,349,085 | | | | | ||||
| | | | | | | Total Food | | | | | 16,879,351 | | | | | ||||
| Healthcare-Products – 5.6% | | | | | | | | ||||||||||||
| | | 30,658 | | | | AxoGen Inc.* | | | | | 1,344,353 | | | | | ||||
| | | 58,498 | | | | BioLife Solutions Inc.* | | | | | 1,401,612 | | | | | ||||
| | | 79,853 | | | | CareDx Inc.* | | | | | 1,941,226 | | | | | ||||
| | | 202,997 | | | | Cerus Corp.* | | | | | 1,579,317 | | | | | ||||
| | | 10,700 | | | | Cooper Cos., Inc. | | | | | 2,736,846 | | | | | ||||
| | | 36,464 | | | | CryoLife Inc.* | | | | | 1,265,301 | | | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – (continued) | | | | ||||||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | | | ||||||||||||||||
| Healthcare-Products – (continued) | | | | ||||||||||||||||
| | | 40,446 | | | | Establishment Labs Holdings Inc.* | | | | $ | 1,122,377 | | | | | ||||
| | | 15,357 | | | | Inogen Inc.* | | | | | 4,068,223 | | | | | ||||
| | | 33,257 | | | | Inspire Medical Systems Inc.*(a) | | | | | 1,828,802 | | | | | ||||
| | | 33,301 | | | | iRhythm Technologies Inc.* | | | | | 3,099,990 | | | | | ||||
| | | 70,268 | | | | Nuvectra Corp.* | | | | | 1,640,055 | | | | | ||||
| | | 64,383 | | | | OrthoPediatrics Corp.* | | | | | 2,241,816 | | | | | ||||
| | | 42,575 | | | | Patterson Cos., Inc. | | | | | 960,066 | | | | | ||||
| | | 114,761 | | | | Sientra Inc.* | | | | | 2,882,796 | | | | | ||||
| | | 25,505 | | | | STAAR Surgical Co.* | | | | | 1,216,589 | | | | | ||||
| | | 66,094 | | | | Tactile Systems Technology Inc.* | | | | | 4,472,581 | | | | | ||||
| | | 31,257 | | | | Tandem Diabetes Care Inc.* | | | | | 1,428,132 | | | | | ||||
| | | 87,700 | | | | Zimmer Biomet Holdings Inc. | | | | | 10,842,351 | | | | | ||||
| | | | | | | Total Healthcare-Products | | | | | 46,072,433 | | | | | ||||
| Healthcare-Services – 2.7% | | | | | | | | ||||||||||||
| | | 16,358 | | | | Charles River Laboratories International Inc.* | | | | | 2,020,377 | | | | | ||||
| | | 20,311 | | | | Encompass Health Corp. | | | | | 1,657,174 | | | | | ||||
| | | 31,404 | | | | Envision Healthcare Corp.* | | | | | 1,424,485 | | | | | ||||
| | | 35,400 | | | | Humana Inc. | | | | | 11,797,404 | | | | | ||||
| | | 76,608 | | | | Natera Inc.* | | | | | 2,117,445 | | | | | ||||
| | | 32,033 | | | | Neuronetics Inc.* | | | | | 1,058,691 | | | | | ||||
| | | 30,835 | | | | Teladoc Health Inc.* | | | | | 2,391,254 | | | | | ||||
| | | | | | | Total Healthcare-Services | | | | | 22,466,830 | | | | | ||||
| Pharmaceuticals – 4.7% | | | | | | | | ||||||||||||
| | | 29,857 | | | | Aclaris Therapeutics Inc.* | | | | | 475,323 | | | | | ||||
| | | 126,800 | | | | AmerisourceBergen Corp., Class A Shares | | | | | 11,408,196 | | | | | ||||
| | | 182,567 | | | | Array BioPharma Inc.* | | | | | 2,842,568 | | | | | ||||
| | | 63,088 | | | | Clementia Pharmaceuticals Inc.*(a) | | | | | 610,692 | | | | | ||||
| | | 91,614 | | | | Foamix Pharmaceuticals Ltd.*(b) | | | | | 518,535 | | | | | ||||
| | | 22,853 | | | | Global Blood Therapeutics Inc.* | | | | | 1,118,654 | | | | | ||||
| | | 49,124 | | | | Mirati Therapeutics Inc.* | | | | | 2,777,962 | | | | | ||||
| | | 28,817 | | | | MyoKardia Inc.* | | | | | 1,776,568 | | | | | ||||
| | | 140,000 | | | | Perrigo Co. PLC | | | | | 10,711,400 | | | | | ||||
| | | 55,983 | | | | Prestige Consumer Healthcare Inc.* | | | | | 2,155,346 | | | | | ||||
| | | 22,174 | | | | Reata Pharmaceuticals Inc., Class A Shares*(a) | | | | | 1,914,947 | | | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – (continued) | | | | ||||||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | | | ||||||||||||||||
| Pharmaceuticals – (continued) | | | | ||||||||||||||||
| | | 21,289 | | | | Tilray Inc.*(a) | | | | $ | 1,388,043 | | | | | ||||
| | | 47,609 | | | | Tricida Inc.* | | | | | 1,467,786 | | | | | ||||
| | | | | | | Total Pharmaceuticals | | | | | 39,166,020 | | | | | ||||
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 162,072,602 | | | | | ||||
| DIVERSIFIED – 0.1% | | | | | | | | ||||||||||||
| SPACs – 0.1% | | | | | | | | ||||||||||||
| | | 14,300 | | | | Spectrum Brands Holdings Inc. | | | | | 1,241,955 | | | | | ||||
| ENERGY – 4.5% | | | | | | | | ||||||||||||
| Energy-Alternate Sources – 0.1% | | | | ||||||||||||||||
| | | 32,676 | | | | TPI Composites Inc.* | | | | | 915,908 | | | | | ||||
| Oil & Gas – 3.5% | | | | | | | | ||||||||||||
| | | 40,800 | | | | Andeavor | | | | | 6,233,832 | | | | | ||||
| | | 62,964 | | | | Berry Petroleum Corp.* | | | | | 1,031,980 | | | | | ||||
| | | 206,200 | | | | Cabot Oil & Gas Corp. | | | | | 4,913,746 | | | | | ||||
| | | 96,847 | | | | Callon Petroleum Co.* | | | | | 1,094,371 | | | | | ||||
| | | 63,818 | | | | Carrizo Oil & Gas Inc.* | | | | | 1,545,672 | | | | | ||||
| | | 64,300 | | | | Devon Energy Corp. | | | | | 2,760,399 | | | | | ||||
| | | 23,630 | | | | Murphy USA Inc.* | | | | | 1,960,818 | | | | | ||||
| | | 148,900 | | | | Noble Energy Inc. | | | | | 4,425,308 | | | | | ||||
| | | 211,300 | | | | Patterson-UTI Energy Inc. | | | | | 3,619,569 | | | | | ||||
| | | 7,753 | | | | Penn Virginia Corp.* | | | | | 689,552 | | | | | ||||
| | | 132,429 | | | | SRC Energy Inc.* | | | | | 1,232,914 | | | | | ||||
| | | | | | | Total Oil & Gas | | | | | 29,508,161 | | | | | ||||
| Oil & Gas Services – 0.1% | | | | | | | | ||||||||||||
| | | 55,362 | | | | Select Energy Services Inc., Class A Shares* | | | | | 755,691 | | | | | ||||
| Pipelines – 0.8% | | | | | | | | ||||||||||||
| | | 209,000 | | | | Williams Cos., Inc. | | | | | 6,184,310 | | | | | ||||
| | | | | | | TOTAL ENERGY | | | | | 37,364,070 | | | | | ||||
| FINANCIAL – 15.7% | | | | | | | | ||||||||||||
| Banks – 5.7% | | | | ||||||||||||||||
| | | 45,671 | | | | Bank of NT Butterfield & Son Ltd. | | | | | 2,413,256 | | | | | ||||
| | | 61,261 | | | | BankUnited Inc. | | | | | 2,376,314 | | | | | ||||
| | | 31,826 | | | | Chemical Financial Corp. | | | | | 1,817,901 | | | | | ||||
| | | 24,385 | | | | Eagle Bancorp Inc.* | | | | | 1,313,132 | | | | | ||||
| | | 105,733 | | | | First Horizon National Corp. | | | | | 1,947,602 | | | | | ||||
| | | 66,600 | | | | First Republic Bank | | | | | 6,765,894 | | | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – (continued) | | | | ||||||||||||||||
| FINANCIAL – (continued) | | | | ||||||||||||||||
| Banks – (continued) | | | | ||||||||||||||||
| | | 190,670 | | | | FNB Corp. | | | | $ | 2,564,511 | | | | | ||||
| | | 34,256 | | | | IBERIABANK Corp. | | | | | 2,968,282 | | | | | ||||
| | | 65,995 | | | | Live Oak Bancshares Inc. | | | | | 1,996,349 | | | | | ||||
| | | 42,481 | | | | MB Financial Inc. | | | | | 2,058,629 | | | | | ||||
| | | 134,900 | | | | Pinnacle Financial Partners Inc. | | | | | 8,707,795 | | | | | ||||
| | | 64,498 | | | | Sterling Bancorp Inc. | | | | | 790,100 | | | | | ||||
| | | 38,496 | | | | TCF Financial Corp. | | | | | 975,874 | | | | | ||||
| | | 43,847 | | | | TriState Capital Holdings Inc.* | | | | | 1,304,448 | | | | | ||||
| | | 43,168 | | | | Triumph Bancorp Inc.* | | | | | 1,832,482 | | | | | ||||
| | | 61,415 | | | | Univest Corp. of Pennsylvania | | | | | 1,750,328 | | | | | ||||
| | | 104,600 | | | | Zions Bancorporation | | | | | 5,574,134 | | | | | ||||
| | | | | | | Total Banks | | | | | 47,157,031 | | | | | ||||
| Diversified Financial Services – 1.0% | | | | | | | | ||||||||||||
| | | 53,800 | | | | Affiliated Managers Group Inc. | | | | | 7,859,642 | | | | | ||||
| | | 17,529 | | | | Federated Investors Inc., Class B Shares | | | | | 405,972 | | | | | ||||
| | | | | | | Total Diversified Financial Services | | | | | 8,265,614 | | | | | ||||
| Equity Real Estate Investment Trusts (REITs) – 4.5% | | | | | | | | ||||||||||||
| | | 139,900 | | | | American Campus Communities Inc. | | | | | 5,866,007 | | | | | ||||
| | | 304,000 | | | | American Homes 4 Rent, Class A Shares | | | | | 7,052,800 | | | | | ||||
| | | 74,814 | | | | Blackstone Mortgage Trust Inc., Class A Shares(a) | | | | | 2,548,165 | | | | | ||||
| | | 74,390 | | | | Columbia Property Trust Inc. | | | | | 1,791,311 | | | | | ||||
| | | 55,442 | | | | Corporate Office Properties Trust | | | | | 1,706,505 | | | | | ||||
| | | 49,800 | | | | Crown Castle International Corp. | | | | | 5,678,694 | | | | | ||||
| | | 37,688 | | | | Education Realty Trust Inc. | | | | | 1,559,529 | | | | | ||||
| | | 92,435 | | | | Lexington Realty Trust | | | | | 863,343 | | | | | ||||
| | | 371,500 | | | | Medical Properties Trust Inc. | | | | | 5,591,075 | | | | | ||||
| | | 235,800 | | | | Retail Opportunity Investments Corp. | | | | | 4,654,692 | | | | | ||||
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 37,312,121 | | | | | ||||
| Insurance – 3.8% | | | | | | | | ||||||||||||
| | | 18,500 | | | | Everest Re Group Ltd. | | | | | 4,125,870 | | | | | ||||
| | | 65,484 | | | | Goosehead Insurance Inc., Class A Shares*(a) | | | | | 2,031,314 | | | | | ||||
| | | 19,212 | | | | Hanover Insurance Group Inc. | | | | | 2,353,278 | | | | | ||||
| | | 142,800 | | | | Hartford Financial Services Group Inc. | | | | | 7,192,836 | | | | | ||||
| | | 17,946 | | | | Kinsale Capital Group Inc. | | | | | 1,090,578 | | | | | ||||
| | | 99,526 | | | | National General Holdings Corp. | | | | | 2,718,055 | | | | | ||||
| | | 54,648 | | | | NMI Holdings Inc., Class A Shares* | | | | | 1,180,397 | | | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – (continued) | | | | ||||||||||||||||
| FINANCIAL – (continued) | | | | ||||||||||||||||
| Insurance – (continued) | | | | ||||||||||||||||
| | | 77,100 | | | | Progressive Corp. | | | | $ | 5,206,563 | | | | | ||||
| | | 37,700 | | | | Willis Towers Watson PLC | | | | | 5,552,079 | | | | | ||||
| | | | | | | Total Insurance | | | | | 31,450,970 | | | | | ||||
| Private Equity – 0.2% | | | | | | | | ||||||||||||
| | | 136,692 | | | | Hercules Capital Inc. | | | | | 1,848,076 | | | | | ||||
| Savings & Loans – 0.5% | | | | | | | | ||||||||||||
| | | 53,065 | | | | Banc of California Inc. | | | | | 1,069,260 | | | | | ||||
| | | 11,056 | | | | Meta Financial Group Inc. | | | | | 957,449 | | | | | ||||
| | | 121,716 | | | | Sterling Bancorp | | | | | 2,781,211 | | | | | ||||
| | | | | | | Total Savings & Loans | | | | | 4,807,920 | | | | | ||||
| | | | | | | TOTAL FINANCIAL | | | | | 130,841,732 | | | | | ||||
| INDUSTRIAL – 11.9% | | | | | | | | ||||||||||||
| Aerospace/Defense – 0.9% | | | | | | | | ||||||||||||
| | | 30,700 | | | | L3 Technologies Inc. | | | | | 6,561,204 | | | | | ||||
| | | 27,282 | | | | Triumph Group Inc. | | | | | 567,466 | | | | | ||||
| | | | | | | Total Aerospace/Defense | | | | | 7,128,670 | | | | | ||||
| Building Materials – 1.3% | | | | | | | | ||||||||||||
| | | 14,281 | | | | Gibraltar Industries Inc.* | | | | | 648,357 | | | | | ||||
| | | 38,100 | | | | Martin Marietta Materials Inc. | | | | | 7,571,232 | | | | | ||||
| | | 14,294 | | | | Masonite International Corp.* | | | | | 956,984 | | | | | ||||
| | | 53,934 | | | | PGT Innovations Inc.* | | | | | 1,310,596 | | | | | ||||
| | | | | | | Total Building Materials | | | | | 10,487,169 | | | | | ||||
| Electrical Components & Equipment – 1.8% | | | | | | | | ||||||||||||
| | | 18,620 | | | | Belden Inc. | | | | | 1,354,046 | | | | | ||||
| | | 103,300 | | | | Energizer Holdings Inc. | | | | | 6,568,847 | | | | | ||||
| | | 28,903 | | | | Generac Holdings Inc.* | | | | | 1,603,827 | | | | | ||||
| | | 38,200 | | | | Hubbell Inc., Class B Shares | | | | | 4,826,952 | | | | | ||||
| | | | | | | Total Electrical Components & Equipment | | | | | 14,353,672 | | | | | ||||
| Electronics – 0.5% | | | | | | | | ||||||||||||
| | | 51,922 | | | | Control4 Corp.* | | | | | 1,682,792 | | | | | ||||
| | | 25,425 | | | | IntriCon Corp.* | | | | | 1,878,907 | | | | | ||||
| | | 18,888 | | | | ShotSpotter Inc.*(a) | | | | | 1,077,372 | | | | | ||||
| | | | | | | Total Electronics | | | | | 4,639,071 | | | | | ||||
| Engineering & Construction – 0.5% | | | | | | | | ||||||||||||
| | | 14,851 | | | | EMCOR Group Inc. | | | | | 1,189,565 | | | | | ||||
| | | 24,870 | | | | NV5 Global Inc.* | | | | | 2,199,752 | | | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – (continued) | | | | ||||||||||||||||
| INDUSTRIAL – (continued) | | | | ||||||||||||||||
| Engineering & Construction – (continued) | | | | ||||||||||||||||
| | | 57,608 | | | | Sterling Construction Co., Inc.* | | | | $ | 838,196 | | | | | ||||
| | | | | | | Total Engineering & Construction | | | | | 4,227,513 | | | | | ||||
| Environmental Control – 0.3% | | | | | | | | ||||||||||||
| | | 23,599 | | | | Clean Harbors Inc.* | | | | | 1,618,655 | | | | | ||||
| | | 14,626 | | | | Tetra Tech Inc. | | | | | 1,020,895 | | | | | ||||
| | | | | | | Total Environmental Control | | | | | 2,639,550 | | | | | ||||
| Hand/Machine Tools – 1.3% | | | | | | | | ||||||||||||
| | | 108,200 | | | | Milacron Holdings Corp.* | | | | | 2,293,840 | | | | | ||||
| | | 19,481 | | | | Regal Beloit Corp. | | | | | 1,630,560 | | | | | ||||
| | | 50,700 | | | | Stanley Black & Decker Inc. | | | | | 7,124,871 | | | | | ||||
| | | | | | | Total Hand/Machine Tools | | | | | 11,049,271 | | | | | ||||
| Machinery-Diversified – 1.6% | | | | | | | | ||||||||||||
| | | 43,785 | | | | Cactus Inc., Class A Shares* | | | | | 1,496,571 | | | | | ||||
| | | 56,048 | | | | Columbus McKinnon Corp. | | | | | 2,383,721 | | | | | ||||
| | | 8,660 | | | | Kadant Inc. | | | | | 875,093 | | | | | ||||
| | | 22,000 | | | | Rockwell Automation Inc. | | | | | 3,981,120 | | | | | ||||
| | | 15,384 | | | | SPX FLOW Inc.* | | | | | 737,509 | | | | | ||||
| | | 33,000 | | | | Wabtec Corp. | | | | | 3,574,560 | | | | | ||||
| | | | | | | Total Machinery-Diversified | | | | | 13,048,574 | | | | | ||||
| Metal Fabricate/Hardware – 0.3% | | | | | | | | ||||||||||||
| | | 35,257 | | | | Atkore International Group Inc.* | | | | | 965,337 | | | | | ||||
| | | 56,108 | | | | TriMas Corp.* | | | | | 1,722,516 | | | | | ||||
| | | | | | | Total Metal Fabricate/Hardware | | | | | 2,687,853 | | | | | ||||
| Miscellaneous Manufacturers – 2.3% | | | | | | | | ||||||||||||
| | | 39,935 | | | | Actuant Corp., Class A Shares | | | | | 1,176,086 | | | | | ||||
| | | 38,300 | | | | AO Smith Corp. | | | | | 2,224,464 | | | | | ||||
| | | 56,600 | | | | Dover Corp. | | | | | 4,860,242 | | | | | ||||
| | | 21,690 | | | | EnPro Industries Inc. | | | | | 1,628,268 | | | | | ||||
| | | 23,897 | | | | Hexcel Corp. | | | | | 1,580,070 | | | | | ||||
| | | 32,100 | | | | Ingersoll-Rand PLC | | | | | 3,251,409 | | | | | ||||
| | | 33,745 | | | | ITT Inc. | | | | | 1,994,667 | | | | | ||||
| | | 20,221 | | | | Standex International Corp. | | | | | 2,181,846 | | | | | ||||
| | | | | | | Total Miscellaneous Manufacturers | | | | | 18,897,052 | | | | | ||||
| Packaging & Containers – 0.3% | | | | | | | | ||||||||||||
| | | 50,668 | | | | Owens-Illinois Inc.* | | | | | 895,304 | | | | | ||||
| | | 35,657 | | | | Silgan Holdings Inc. | | | | | 971,653 | | | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – (continued) | | | | ||||||||||||||||
| INDUSTRIAL – (continued) | | | | ||||||||||||||||
| Packaging & Containers – (continued) | | | | ||||||||||||||||
| | | 18,827 | | | | Sonoco Products Co. | | | | $ | 1,055,065 | | | | | ||||
| | | | | | | Total Packaging & Containers | | | | | 2,922,022 | | | | | ||||
| Transportation – 0.8% | | | | | | | | ||||||||||||
| | | 36,482 | | | | Echo Global Logistics Inc.* | | | | | 1,211,202 | | | | | ||||
| | | 12,581 | | | | Saia Inc.* | | | | | 997,044 | | | | | ||||
| | | 177,400 | | | | Schneider National Inc., Class B Shares | | | | | 4,798,670 | | | | | ||||
| | | | | | | Total Transportation | | | | | 7,006,916 | | | | | ||||
| | | | | | | TOTAL INDUSTRIAL | | | | | 99,087,333 | | | | | ||||
| TECHNOLOGY – 7.2% | | | | | | | | ||||||||||||
| Computers – 2.2% | | | | | | | | ||||||||||||
| | | 8,727 | | | | CACI International Inc., Class A Shares* | | | | | 1,701,765 | | | | | ||||
| | | 67,304 | | | | Conduent Inc.* | | | | | 1,560,107 | | | | | ||||
| | | 62,383 | | | | Endava PLC, ADR* | | | | | 1,635,682 | | | | | ||||
| | | 297,800 | | | | Hewlett Packard Enterprise Co. | | | | | 4,922,634 | | | | | ||||
| | | 76,872 | | | | Kornit Digital Ltd.*(a) | | | | | 1,610,468 | | | | | ||||
| | | 17,391 | | | | Mercury Systems Inc.* | | | | | 947,983 | | | | | ||||
| | | 63,784 | | | | PlayAGS Inc.* | | | | | 2,043,639 | | | | | ||||
| | | 98,530 | | | | USA Technologies Inc.* | | | | | 1,601,113 | | | | | ||||
| | | 40,887 | | | | Virtusa Corp.* | | | | | 2,382,077 | | | | | ||||
| | | | | | | Total Computers | | | | | 18,405,468 | | | | | ||||
| Semiconductors – 2.9% | | | | | | | | ||||||||||||
| | | 42,600 | | | | Analog Devices Inc. | | | | | 4,211,010 | | | | | ||||
| | | 22,200 | | | | Cabot Microelectronics Corp. | | | | | 2,502,606 | | | | | ||||
| | | 317,500 | | | | Cypress Semiconductor Corp. | | | | | 5,464,175 | | | | | ||||
| | | 37,706 | | | | Inphi Corp.* | | | | | 1,397,761 | | | | | ||||
| | | 151,615 | | | | MACOM Technology Solutions Holdings Inc.*(a) | | | | | 3,494,726 | | | | | ||||
| | | 23,338 | | | | Semtech Corp.* | | | | | 1,394,446 | | | | | ||||
| | | 67,100 | | | | Xilinx Inc. | | | | | 5,222,393 | | | | | ||||
| | | | | | | Total Semiconductors | | | | | 23,687,117 | | | | | ||||
| Software – 2.1% | | | | | | | | ||||||||||||
| | | 88,856 | | | | Altair Engineering Inc., Class A Shares* | | | | | 3,711,515 | | | | | ||||
| | | 34,103 | | | | Alteryx Inc., Class A Shares* | | | | | 1,979,679 | | | | | ||||
| | | 53,617 | | | | Everbridge Inc.* | | | | | 3,228,280 | | | | | ||||
| | | 41,287 | | | | Five9 Inc.* | | | | | 1,983,840 | | | | | ||||
| | | 59,335 | | | | SendGrid Inc.* | | | | | 2,152,080 | | | | | ||||
| | | 40,975 | | | | Smartsheet Inc., Class A Shares* | | | | | 1,218,187 | | | | |
| Shares/Units | | | Security | | | Value | | | | ||||||||||
| COMMON STOCKS – (continued) | | | | ||||||||||||||||
| TECHNOLOGY – (continued) | | | | ||||||||||||||||
| Software – (continued) | | | | ||||||||||||||||
| | | 11,744 | | | | Tabula Rasa HealthCare Inc.* | | | | $ | 1,029,597 | | | | | ||||
| | | 66,473 | | | | Upland Software Inc.* | | | | | 2,474,125 | | | | | ||||
| | | | | | | Total Software | | | | | 17,777,303 | | | | | ||||
| | | | | | | TOTAL TECHNOLOGY | | | | | 59,869,888 | | | | | ||||
| UTILITIES – 4.2% | | | | | | | | ||||||||||||
| Electric – 4.2% | | | | | | | | ||||||||||||
| | | 78,500 | | | | American Electric Power Co., Inc. | | | | | 5,630,805 | | | | | ||||
| | | 16,524 | | | | Black Hills Corp. | | | | | 972,437 | | | | | ||||
| | | 27,400 | | | | Evergy Inc. | | | | | 1,563,170 | | | | | ||||
| | | 139,700 | | | | FirstEnergy Corp. | | | | | 5,221,986 | | | | | ||||
| | | 28,007 | | | | Hawaiian Electric Industries Inc. | | | | | 987,807 | | | | | ||||
| | | 13,676 | | | | IDACORP Inc. | | | | | 1,338,197 | | | | | ||||
| | | 46,116 | | | | Portland General Electric Co. | | | | | 2,139,782 | | | | | ||||
| | | 216,800 | | | | PPL Corp. | | | | | 6,447,632 | | | | | ||||
| | | 49,700 | | | | Sempra Energy | | | | | 5,769,176 | | | | | ||||
| | | 95,800 | | | | Xcel Energy Inc. | | | | | 4,603,190 | | | | | ||||
| | | | | | | Total Electric | | | | | 34,674,182 | | | | | ||||
| | | | | | | TOTAL UTILITIES | | | | | 34,674,182 | | | | | ||||
| | | | | | | TOTAL COMMON STOCKS (Cost – $541,348,569) | | | | | 638,936,686 | | | | | ||||
| EXCHANGE TRADED FUNDS (ETFs) – 19.9% | | | | | | | | ||||||||||||
| | | 410,225 | | | | iShares Core S&P Mid-Cap | | | | | 83,829,479 | | | | | ||||
| | | 882,978 | | | | iShares Core S&P Small-Cap | | | | | 79,741,743 | | | | | ||||
| | | 13,011 | | | | iShares Russell 2000 Value(a) | | | | | 1,780,816 | | | | | ||||
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $132,804,042) | | | | | 165,352,038 | | | | | ||||
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $674,152,611) | | | | | 804,288,724 | | | | |
| Face Amount | | | Security | | | Value | | | | ||||||||||
| SHORT-TERM INVESTMENTS – 3.2% | | | | | | ||||||||||||||
| TIME DEPOSITS – 3.2% | | | | | | ||||||||||||||
| | $ | 80 | | | | Brown Brothers Harriman – Grand Cayman, 1.280% due 9/4/18 | | | | $ | 80 | | | | | ||||
| | | 4,571,671 | | | | Citibank – New York, 1.280% due 9/4/18 | | | | | 4,571,671 | | | | | ||||
| | | 7,159,127 | | | | Industrial & Commercial Bank of China – New York, 1.280% due 9/4/18 | | | | | 7,159,127 | | | | | ||||
| | | 14,680,095 | | | | JPMorgan Chase & Co. – New York, 1.280% due 9/4/18 | | | | | 14,680,095 | | | | | ||||
| | | | | | | TOTAL TIME DEPOSITS (Cost – $26,410,973) | | | | | 26,410,973 | | | | | ||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 2.9% | | | | | | | | ||||||||||||
| MONEY MARKET FUND – 2.9% | | | | | | | | ||||||||||||
| | | 24,705,742 | | | | Federated Government Obligations Fund, Premier Class, 1.845%(c) (Cost – $24,705,742) | | | | | 24,705,742 | | | | | ||||
| | | | | | | TOTAL INVESTMENTS – 102.8% (Cost – $725,269,326#) | | | | | 855,405,439 | | | | | ||||
| | | | | | | Liabilities in Excess of Other Assets – (2.8)% | | | | | (23,005,647) | | | | | ||||
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 832,399,792 | | | | | ||||
|
| ADR — American Depositary Receipts | |
| PLC — Public Limited Company | |
| Consumer Non-cyclical | | | | | 18.9% | | |
| Financial | | | | | 15.3 | | |
| Industrial | | | | | 11.6 | | |
| Consumer Cyclical | | | | | 7.5 | | |
| Technology | | | | | 7.0 | | |
| Energy | | | | | 4.4 | | |
| Utilities | | | | | 4.1 | | |
| Communications | | | | | 3.6 | | |
| Basic Materials | | | | | 2.2 | | |
| Diversified | | | | | 0.1 | | |
| Exchange Traded Funds (ETFs) | | | | | 19.3 | | |
| Short-Term Investments | | | | | 3.1 | | |
| Money Market Fund | | | | | 2.9 | | |
| | | | | | 100.0% | | |
|
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 77.8% | | ||||||||||||
| Argentina – 0.4% | | ||||||||||||
| | | 16,934 | | | | Banco Macro SA, ADR | | | | $ | 739,000 | | |
| | | 18,144 | | | | Globant SA* | | | | | 1,177,183 | | |
| | | 111,994 | | | | Loma Negra Cia Industrial Argentina SA, ADR* | | | | | 845,554 | | |
| | | 177,884 | | | | YPF SA, ADR* | | | | | 2,691,385 | | |
| | | | | | | Total Argentina | | | | | 5,453,122 | | |
| Australia – 1.9% | | ||||||||||||
| | | 347,028 | | | | Amcor Ltd. | | | | | 3,565,877 | | |
| | | 334,592 | | | | Brambles Ltd. | | | | | 2,646,749 | | |
| | | 376,146 | | | | DuluxGroup Ltd. | | | | | 2,125,285 | | |
| | | 741,248 | | | | Nanosonics Ltd.* | | | | | 1,875,618 | | |
| | | 244,039 | | | | Nick Scali Ltd. | | | | | 1,184,340 | | |
| | | 2,402 | | | | Orica Ltd. | | | | | 30,442 | | |
| | | 865,917 | | | | Pro Medicus Ltd. | | | | | 6,342,912 | | |
| | | 985,892 | | | | South32 Ltd. | | | | | 2,480,092 | | |
| | | 541,100 | | | | Webjet Ltd. | | | | | 6,615,204 | | |
| | | | | | | Total Australia | | | | | 26,866,519 | | |
| Austria – 0.4% | | ||||||||||||
| | | 123,493 | | | | Erste Group Bank AG* | | | | | 4,919,398 | | |
| Belgium – 0.2% | | ||||||||||||
| | | 22,141 | | | | Anheuser-Busch InBev SA | | | | | 2,064,943 | | |
| Bermuda – 0.1% | | ||||||||||||
| | | 88,216 | | | | Hiscox Ltd. | | | | | 1,928,091 | | |
| Brazil – 1.5% | | ||||||||||||
| | | 404,896 | | | | B3 SA – Brasil Bolsa Balcao | | | | | 2,164,166 | | |
| | | 305,100 | | | | Banco Bradesco SA, ADR | | | | | 2,117,394 | | |
| | | 221,836 | | | | BB Seguridade Participacoes SA | | | | | 1,333,926 | | |
| | | 179,204 | | | | Itau Unibanco Holding SA, ADR | | | | | 1,867,306 | | |
| | | 452,725 | | | | Kroton Educacional SA | | | | | 1,136,511 | | |
| | | 130,071 | | | | Localiza Rent a Car SA | | | | | 687,880 | | |
| | | 111,503 | | | | Pagseguro Digital Ltd., Class A Shares* | | | | | 3,221,322 | | |
| | | 292,067 | | | | Petroleo Brasileiro SA, ADR | | | | | 3,174,768 | | |
| | | 812,865 | | | | Rumo SA* | | | | | 2,841,264 | | |
| | | 145,472 | | | | Smiles Fidelidade SA | | | | | 1,854,892 | | |
| | | | | | | Total Brazil | | | | | 20,399,429 | | |
| Canada – 2.1% | | ||||||||||||
| | | 29,641 | | | | Alimentation Couche-Tard Inc., Class B Shares | | | | | 1,419,243 | | |
| | | 100,800 | | | | Canadian Natural Resources Ltd. | | | | | 3,442,140 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Canada – (continued) | | ||||||||||||
| | | 12,200 | | | | Canadian Pacific Railway Ltd. | | | | $ | 2,566,310 | | |
| | | 324,706 | | | | Computer Modelling Group Ltd.(a) | | | | | 2,169,849 | | |
| | | 9,357 | | | | Descartes Systems Group Inc.* | | | | | 326,695 | | |
| | | 43,111 | | | | Equitable Group Inc.(a) | | | | | 2,146,465 | | |
| | | 4,874 | | | | Fairfax Financial Holdings Ltd. | | | | | 2,676,087 | | |
| | | 135,708 | | | | Jamieson Wellness Inc. | | | | | 2,694,608 | | |
| | | 59,531 | | | | Magna International Inc. | | | | | 3,221,818 | | |
| | | 36,700 | | | | Restaurant Brands International Inc. | | | | | 2,106,580 | | |
| | | 189,278 | | | | Seven Generations Energy Ltd., Class A Shares* | | | | | 2,227,994 | | |
| | | 46,393 | | | | Thomson Reuters Corp. | | | | | 2,063,491 | | |
| | | 40,500 | | | | TransCanada Corp. | | | | | 1,725,300 | | |
| | | | | | | Total Canada | | | | | 28,786,580 | | |
| China – 6.3% | | ||||||||||||
| | | 83,589 | | | | Alibaba Group Holding Ltd., ADR* | | | | | 14,628,911 | | |
| | | 13,144 | | | | Baidu Inc., ADR* | | | | | 2,976,853 | | |
| | | 294,500 | | | | BTG Hotels Group Co., Ltd., Class A Shares | | | | | 792,549 | | |
| | | 2,345,004 | | | | China Construction Bank Corp., Class H Shares(b) | | | | | 2,073,689 | | |
| | | 717,705 | | | | China Everbright Ltd. | | | | | 1,258,729 | | |
| | | 1,512,418 | | | | China Mengniu Dairy Co., Ltd. | | | | | 4,372,859 | | |
| | | 360,747 | | | | China Mobile Ltd. | | | | | 3,394,072 | | |
| | | 15,114,191 | | | | China Tower Corp., Ltd, Class H Shares*(b)(c) | | | | | 2,330,059 | | |
| | | 1,004,460 | | | | CSPC Pharmaceutical Group Ltd. | | | | | 2,539,786 | | |
| | | 45,828 | | | | Ctrip.com International Ltd., ADR* | | | | | 1,794,166 | | |
| | | 278,200 | | | | Gree Electric Appliances Inc. of Zhuhai, Class A Shares* | | | | | 1,581,435 | | |
| | | 1,013,537 | | | | Haitong Securities Co., Ltd., Class H Shares(b) | | | | | 897,126 | | |
| | | 375,135 | | | | Hangzhou Hikvision Digital Technology Co., Ltd., Class A Shares | | | | | 1,723,484 | | |
| | | 64,666 | | | | Han’s Laser Technology Industry Group Co., Ltd., Class A Shares | | | | | 412,701 | | |
| | | 787,271 | | | | Industrial & Commercial Bank of China Ltd., Class H Shares(b) | | | | | 579,017 | | |
| | | 995,751 | | | | Kangde Xin Composite Material Group Co., Ltd., Class A Shares*(d) | | | | | 2,000,800 | | |
| | | 1,369,761 | | | | Kingdee International Software Group Co., Ltd. | | | | | 1,564,104 | | |
| | | 16,753 | | | | Kweichow Moutai Co., Ltd., Class A Shares | | | | | 1,613,385 | | |
| | | 296,867 | | | | Midea Group Co., Ltd., Class A Shares | | | | | 1,802,067 | | |
| | | 68,026 | | | | Momo Inc., ADR* | | | | | 3,148,924 | | |
| | | 29,940 | | | | Pinduoduo Inc., ADR*(a) | | | | | 579,339 | | |
| | | 136,000 | | | | Ping An Insurance Group Co. of China Ltd., Class H Shares(b) | | | | | 1,311,772 | | |
| | | 234,811 | | | | Shenzhou International Group Holdings Ltd. | | | | | 3,084,583 | | |
| | | 1,933,634 | | | | Sino Biopharmaceutical Ltd. | | | | | 2,451,710 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| China – (continued) | | ||||||||||||
| | | 536,732 | | | | Sinopharm Group Co., Ltd., Class H Shares(b) | | | | $ | 2,668,733 | | |
| | | 71,112 | | | | Sunny Optical Technology Group Co., Ltd. | | | | | 905,114 | | |
| | | 15,273 | | | | TAL Education Group, ADR* | | | | | 452,081 | | |
| | | 327,012 | | | | Tencent Holdings Ltd. | | | | | 14,192,856 | | |
| | | 3,638,683 | | | | WH Group Ltd.(c) | | | | | 2,742,276 | | |
| | | 2,034,000 | | | | Yihai International Holding Ltd.(a)(b) | | | | | 5,214,212 | | |
| | | 160,473 | | | | Yunnan Baiyao Group Co., Ltd., Class A Shares | | | | | 1,862,961 | | |
| | | 37,550 | | | | Zai Lab Ltd., ADR*(a) | | | | | 853,511 | | |
| | | | | | | Total China | | | | | 87,803,864 | | |
| Denmark – 0.3% | | ||||||||||||
| | | 9,545 | | | | GN Store Nord AS | | | | | 495,245 | | |
| | | 14,969 | | | | Jyske Bank AS, Class Registered Shares | | | | | 759,621 | | |
| | | 31,974 | | | | Royal Unibrew AS | | | | | 2,754,442 | | |
| | | 19,851 | | | | Sydbank AS | | | | | 581,369 | | |
| | | | | | | Total Denmark | | | | | 4,590,677 | | |
| Egypt – 0.1% | | ||||||||||||
| | | 8,667,245 | | | | Cleopatra Hospital* | | | | | 1,798,546 | | |
| Finland – 0.3% | | ||||||||||||
| | | 72,769 | | | | Sampo OYJ, Class A Shares | | | | | 3,725,776 | | |
| | | 31,707 | | | | Wartsila OYJ Abp | | | | | 670,102 | | |
| | | | | | | Total Finland | | | | | 4,395,878 | | |
| France – 4.5% | | ||||||||||||
| | | 24,301 | | | | Air Liquide SA | | | | | 3,062,317 | | |
| | | 20,825 | | | | Airbus SE | | | | | 2,570,792 | | |
| | | 21,966 | | | | Akka Technologies | | | | | 1,744,542 | | |
| | | 25,786 | | | | Aubay | | | | | 1,239,418 | | |
| | | 34,600 | | | | BNP Paribas SA | | | | | 2,033,825 | | |
| | | 77,952 | | | | Danone SA | | | | | 6,143,767 | | |
| | | 1,630 | | | | Dassault Aviation SA | | | | | 3,034,138 | | |
| | | 30,995 | | | | Dassault Systemes SE | | | | | 5,025,024 | | |
| | | 40,518 | | | | Esker SA | | | | | 2,775,325 | | |
| | | 10,591 | | | | Infotel SA | | | | | 608,061 | | |
| | | 68,148 | | | | Legrand SA | | | | | 5,137,807 | | |
| | | 18,917 | | | | L’Oreal SA | | | | | 4,540,665 | | |
| | | 2,449 | | | | LVMH Moet Hennessy Louis Vuitton SE | | | | | 858,723 | | |
| | | 26,883 | | | | MGI Digital Graphic Technology* | | | | | 1,747,592 | | |
| | | 45,605 | | | | Pernod Ricard SA | | | | | 7,201,184 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| France – (continued) | | ||||||||||||
| | | 95,608 | | | | Schneider Electric SE | | | | $ | 7,807,310 | | |
| | | 43,257 | | | | Thales SA | | | | | 6,095,734 | | |
| | | 20,898 | | | | TOTAL SA | | | | | 1,308,383 | | |
| | | | | | | Total France | | | | | 62,934,607 | | |
| Germany – 6.2% | | ||||||||||||
| | | 16,563 | | | | Aumann AG | | | | | 1,232,850 | | |
| | | 86,956 | | | | Bayer AG, Class Registered Shares | | | | | 8,116,936 | | |
| | | 34,180 | | | | Brenntag AG | | | | | 2,062,176 | | |
| | | 50,330 | | | | CANCOM SE | | | | | 2,236,849 | | |
| | | 131,734 | | | | Deutsche Wohnen SE | | | | | 6,657,779 | | |
| | | 47,511 | | | | Fresenius SE & Co. KGaA | | | | | 3,628,279 | | |
| | | 68,837 | | | | GEA Group AG | | | | | 2,616,356 | | |
| | | 67,541 | | | | Henkel AG & Co. KGaA | | | | | 8,621,402 | | |
| | | 25,687 | | | | Hypoport AG* | | | | | 5,617,449 | | |
| | | 206,079 | | | | Infineon Technologies AG | | | | | 5,247,758 | | |
| | | 53,299 | | | | Isra Vision AG | | | | | 3,706,501 | | |
| | | 17,968 | | | | LEG Immobilien AG | | | | | 2,193,803 | | |
| | | 8,195 | | | | Linde AG | | | | | 1,866,664 | | |
| | | 24,654 | | | | Merck KGaA | | | | | 2,590,705 | | |
| | | 58,252 | | | | Nexus AG | | | | | 1,784,900 | | |
| | | 14,381 | | | | SAP SE | | | | | 1,729,822 | | |
| | | 58,395 | | | | Scout24 AG(c) | | | | | 3,022,034 | | |
| | | 35,489 | | | | Siemens Healthineers AG*(c) | | | | | 1,613,683 | | |
| | | 48,385 | | | | Symrise AG | | | | | 4,521,601 | | |
| | | 68,724 | | | | TAG Immobilien AG | | | | | 1,691,220 | | |
| | | 506,945 | | | | Telefonica Deutschland Holding AG | | | | | 2,106,881 | | |
| | | 109,551 | | | | Vonovia SE | | | | | 5,622,513 | | |
| | | 12,618 | | | | Wirecard AG | | | | | 2,802,205 | | |
| | | 8,973 | | | | XING SE | | | | | 3,346,042 | | |
| | | 25,859 | | | | Zalando SE*(c) | | | | | 1,361,058 | | |
| | | | | | | Total Germany | | | | | 85,997,466 | | |
| Greece – 0.2% | | ||||||||||||
| | | 286,556 | | | | Sarantis SA | | | | | 2,394,205 | | |
| Hong Kong – 1.9% | | ||||||||||||
| | | 775,000 | | | | AIA Group Ltd. | | | | | 6,694,546 | | |
| | | 590,000 | | | | China Overseas Land & Investment Ltd. | | | | | 1,870,228 | | |
| | | 498,000 | | | | CK Hutchison Holdings Ltd. | | | | | 5,742,652 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Hong Kong – (continued) | | ||||||||||||
| | | 777,600 | | | | Esprit Holdings Ltd.* | | | | $ | 184,554 | | |
| | | 72,400 | | | | Jardine Matheson Holdings Ltd. | | | | | 4,570,039 | | |
| | | 344,211 | | | | Techtronic Industries Co., Ltd. | | | | | 2,106,224 | | |
| | | 6,495,093 | | | | Tongda Group Holdings Ltd. | | | | | 976,272 | | |
| | | 142,783 | | | | Tongda Hong Tai Holdings Ltd.* | | | | | 24,908 | | |
| | | 1,124,000 | | | | Vitasoy International Holdings Ltd. | | | | | 3,610,232 | | |
| | | | | | | Total Hong Kong | | | | | 25,779,655 | | |
| India – 5.4% | | ||||||||||||
| | | 125,471 | | | | Amara Raja Batteries Ltd. | | | | | 1,496,260 | | |
| | | 369,298 | | | | Axis Bank Ltd.* | | | | | 3,378,356 | | |
| | | 23,500 | | | | Bajaj Finance Ltd. | | | | | 945,874 | | |
| | | 474,427 | | | | Berger Paints India Ltd. | | | | | 2,239,576 | | |
| | | 36,734 | | | | Britannia Industries Ltd. | | | | | 3,490,280 | | |
| | | 400,919 | | | | Byke Hospitality Ltd. | | | | | 539,833 | | |
| | | 308,411 | | | | Coal India Ltd. | | | | | 1,240,317 | | |
| | | 75,646 | | | | Divi’s Laboratories Ltd. | | | | | 1,395,162 | | |
| | | 310,013 | | | | Edelweiss Financial Services Ltd. | | | | | 1,225,346 | | |
| | | 658,914 | | | | Exide Industries Ltd. | | | | | 2,651,996 | | |
| | | 338,653 | | | | Gulf Oil Lubricants India Ltd. | | | | | 3,946,641 | | |
| | | 358,963 | | | | Housing Development Finance Corp., Ltd. | | | | | 9,816,434 | | |
| | | 938,740 | | | | JM Financial Ltd. | | | | | 1,588,382 | | |
| | | 215,178 | | | | JSW Steel Ltd. | | | | | 1,205,032 | | |
| | | 194,811 | | | | Kotak Mahindra Bank Ltd. | | | | | 3,532,901 | | |
| | | 179,063 | | | | Manpasand Beverages Ltd. | | | | | 326,886 | | |
| | | 17,788 | | | | Maruti Suzuki India Ltd. | | | | | 2,280,300 | | |
| | | 298,345 | | | | Max Financial Services Ltd.* | | | | | 1,883,284 | | |
| | | 1,039,600 | | | | Minda Corp., Ltd. | | | | | 2,231,698 | | |
| | | 133,882 | | | | Motherson Sumi Systems Ltd. | | | | | 573,557 | | |
| | | 1,785,011 | | | | NTPC Ltd. | | | | | 4,311,030 | | |
| | ��� | 43,310 | | | | Piramal Enterprises Ltd. | | | | | 1,958,343 | | |
| | | 532,186 | | | | Power Grid Corp. of India Ltd. | | | | | 1,508,213 | | |
| | | 243,980 | | | | SBI Life Insurance Co., Ltd.(c) | | | | | 2,321,413 | | |
| | | 200,648 | | | | Sun Pharmaceutical Industries Ltd. | | | | | 1,842,759 | | |
| | | 122,124 | | | | Sun TV Network Ltd. | | | | | 1,321,423 | | |
| | | 142,681 | | | | Supreme Industries Ltd. | | | | | 2,413,440 | | |
| | | 221,686 | | | | Tata Chemicals Ltd. | | | | | 2,372,158 | | |
| | | 135,632 | | | | Tata Communications Ltd. | | | | | 1,031,802 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| India – (continued) | | ||||||||||||
| | | 494,119 | | | | Tata Global Beverages Ltd. | | | | $ | 1,633,505 | | |
| | | 133,398 | | | | Titan Co., Ltd. | | | | | 1,678,464 | | |
| | | 112,116 | | | | V-Mart Retail Ltd. | | | | | 4,985,883 | | |
| | | 174,386 | | | | Zee Entertainment Enterprises Ltd. | | | | | 1,228,069 | | |
| | | | | | | Total India | | | | | 74,594,617 | | |
| Indonesia – 0.8% | | ||||||||||||
| | | 29,598,200 | | | | Ace Hardware Indonesia Tbk PT | | | | | 2,732,577 | | |
| | | 2,207,200 | | | | Bank Central Asia Tbk PT | | | | | 3,716,960 | | |
| | | 11,085,695 | | | | Kimia Farma Persero Tbk PT | | | | | 1,776,004 | | |
| | | 34,669,200 | | | | Sarana Menara Nusantara Tbk PT, (Restricted)(e) | | | | | 1,199,710 | | |
| | | 2,899,837 | | | | Tower Bersama Infrastructure Tbk PT | | | | | 1,092,817 | | |
| | | | | | | Total Indonesia | | | | | 10,518,068 | | |
| Ireland – 0.4% | | ||||||||||||
| | | 31,869 | | | | Kerry Group PLC, Class A Shares | | | | | 3,637,748 | | |
| | | 13,657 | | | | Ryanair Holdings PLC, ADR* | | | | | 1,391,239 | | |
| | | | | | | Total Ireland | | | | | 5,028,987 | | |
| Isle of Man – 0.0% | | ||||||||||||
| | | 35,449 | | | | Playtech PLC | | | | | 245,041 | | |
| Israel – 0.3% | | ||||||||||||
| | | 15,042 | | | | Check Point Software Technologies Ltd.* | | | | | 1,747,730 | | |
| | | 39,601 | | | | Rami Levy Chain Stores Hashikma Marketing 2006 Ltd. | | | | | 2,019,937 | | |
| | | | | | | Total Israel | | | | | 3,767,667 | | |
| Italy – 0.4% | | ||||||||||||
| | | 401,052 | | | | Banca Mediolanum SpA | | | | | 2,711,734 | | |
| | | 178,481 | | | | Gruppo MutuiOnline SpA | | | | | 2,960,577 | | |
| | | | | | | Total Italy | | | | | 5,672,311 | | |
| Japan – 12.4% | | ||||||||||||
| | | 105,700 | | | | Arcland Service Holdings Co., Ltd. | | | | | 1,902,252 | | |
| | | 126,600 | | | | Astellas Pharma Inc. | | | | | 2,144,855 | | |
| | | 43,700 | | | | Bridgestone Corp. | | | | | 1,606,312 | | |
| | | 110,745 | | | | Carenet Inc. | | | | | 844,732 | | |
| | | 119,500 | | | | Chiba Bank Ltd. | | | | | 783,456 | | |
| | | 46,300 | | | | Chugai Pharmaceutical Co., Ltd. | | | | | 2,681,376 | | |
| | | 110,000 | | | | Daiwa Securities Group Inc. | | | | | 659,328 | | |
| | | 48,100 | | | | Digital Arts Inc.(a) | | | | | 2,188,171 | | |
| | | 7,500 | | | | Disco Corp. | | | | | 1,340,391 | | |
| | | 33,812 | | | | en-japan Inc. | | | | | 1,588,861 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Japan – (continued) | | ||||||||||||
| | | 64,085 | | | | Evolable Asia Corp. | | | | $ | 1,621,867 | | |
| | | 133,300 | | | | Fujitsu General Ltd. | | | | | 2,196,819 | | |
| | | 118,000 | | | | Hachijuni Bank Ltd. | | | | | 526,179 | | |
| | | 20,810 | | | | Hirose Electric Co., Ltd. | | | | | 2,464,502 | | |
| | | 299,565 | | | | Infomart Corp. | | | | | 3,529,738 | | |
| | | 166,900 | | | | Inpex Corp. | | | | | 1,821,985 | | |
| | | 92,800 | | | | IR Japan Holdings Ltd. | | | | | 1,417,751 | | |
| | | 75,200 | | | | Ito En Ltd. | | | | | 3,296,990 | | |
| | | 36,100 | | | | Itokuro Inc.* | | | | | 1,933,609 | | |
| | | 71,500 | | | | Japan Elevator Service Holdings Co., Ltd.(a) | | | | | 1,885,255 | | |
| | | 186,800 | | | | Japan Material Co., Ltd. | | | | | 2,712,413 | | |
| | | 126,000 | | | | Japan Tobacco Inc. | | | | | 3,312,126 | | |
| | | 97,000 | | | | Kansai Paint Co., Ltd. | | | | | 1,914,161 | | |
| | | 86,400 | | | | Kao Corp. | | | | | 6,701,514 | | |
| | | 152,100 | | | | KDDI Corp. | | | | | 4,026,881 | | |
| | | 47,700 | | | | Kobayashi Pharmaceutical Co., Ltd. | | | | | 3,423,659 | | |
| | | 24,100 | | | | Koito Manufacturing Co., Ltd. | | | | | 1,488,164 | | |
| | | 4,100 | | | | Kose Corp. | | | | | 753,911 | | |
| | | 38,800 | | | | Kusuri no Aoki Holdings Co., Ltd. | | | | | 2,829,596 | | |
| | | 56,091 | | | | M&A Capital Partners Co., Ltd.* | | | | | 3,407,255 | | |
| | | 198,600 | | | | Mebuki Financial Group Inc. | | | | | 702,785 | | |
| | | 12,600 | | | | Mercari Inc.* | | | | | 419,679 | | |
| | | 48,300 | | | | MISUMI Group Inc. | | | | | 1,243,986 | | |
| | | 303,000 | | | | Mitsubishi Electric Corp. | | | | | 4,080,149 | | |
| | | 519,100 | | | | Morningstar Japan KK(a) | | | | | 1,993,600 | | |
| | | 15,800 | | | | Murata Manufacturing Co., Ltd. | | | | | 2,712,534 | | |
| | | 61,100 | | | | Nihon Kohden Corp. | | | | | 1,786,394 | | |
| | | 99,600 | | | | Nippon Telegraph & Telephone Corp. | | | | | 4,435,573 | | |
| | | 11,100 | | | | Nissin Foods Holdings Co., Ltd. | | | | | 707,120 | | |
| | | 71,600 | | | | Nomura Research Institute Ltd. | | | | | 3,564,370 | | |
| | | 176,900 | | | | North Pacific Bank Ltd. | | | | | 597,159 | | |
| | | 34,300 | | | | Obic Co., Ltd. | | | | | 3,223,586 | | |
| | | 49,300 | | | | Omron Corp. | | | | | 2,205,606 | | |
| | | 212,600 | | | | Open Door Inc.*(a) | | | | | 6,403,357 | | |
| | | 78,400 | | | | Persol Holdings Co., Ltd. | | | | | 1,753,481 | | |
| | | 288,910 | | | | Prestige International Inc. | | | | | 3,323,824 | | |
| | | 87,400 | | | | Qol Co., Ltd. | | | | | 1,739,766 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Japan – (continued) | | ||||||||||||
| | | 229,498 | | | | Rakus Co., Ltd. | | | | $ | 4,324,892 | | |
| | | 126,500 | | | | Renesas Electronics Corp.* | | | | | 956,108 | | |
| | | 59,500 | | | | Rohto Pharmaceutical Co., Ltd. | | | | | 1,903,139 | | |
| | | 205,800 | | | | Santen Pharmaceutical Co., Ltd. | | | | | 3,168,362 | | |
| | | 42,400 | | | | Secom Co., Ltd. | | | | | 3,488,091 | | |
| | | 46,600 | | | | Sega Sammy Holdings Inc. | | | | | 750,880 | | |
| | | 52,800 | | | | Seria Co., Ltd. | | | | | 2,162,311 | | |
| | | 121,700 | | | | Seven & i Holdings Co., Ltd. | | | | | 4,953,843 | | |
| | | 5,200 | | | | SMC Corp. | | | | | 1,727,796 | | |
| | | 186,738 | | | | SMS Co., Ltd. | | | | | 3,543,626 | | |
| | | 21,600 | | | | Sohgo Security Services Co., Ltd. | | | | | 950,124 | | |
| | | 45,300 | | | | Stanley Electric Co., Ltd. | | | | | 1,565,708 | | |
| | | 74,500 | | | | Strike Co., Ltd.(a) | | | | | 2,519,211 | | |
| | | 141,700 | | | | Sumitomo Corp. | | | | | 2,298,361 | | |
| | | 9,700 | | | | Sumitomo Mitsui Financial Group Inc. | | | | | 381,509 | | |
| | | 27,400 | | | | Suzuki Motor Corp. | | | | | 1,780,357 | | |
| | | 268,000 | | | | Systena Corp. | | | | | 3,469,271 | | |
| | | 38,000 | | | | Takeda Pharmaceutical Co., Ltd. | | | | | 1,591,070 | | |
| | | 75,300 | | | | Terumo Corp. | | | | | 4,149,689 | | |
| | | 79,100 | | | | Toyo Suisan Kaisha Ltd. | | | | | 2,914,962 | | |
| | | 46,000 | | | | Trust Tech Inc. | | | | | 2,017,566 | | |
| | | 32,700 | | | | USS Co., Ltd. | | | | | 615,096 | | |
| | | 120,700 | | | | Vector Inc. | | | | | 2,754,035 | | |
| | | 534,900 | | | | Yahoo Japan Corp. | | | | | 1,837,294 | | |
| | | 54,200 | | | | Yakuodo Co., Ltd. | | | | | 1,817,179 | | |
| | | 10,100 | | | | Yamato Holdings Co., Ltd. | | | | | 300,062 | | |
| | | 58,400 | | | | Yokogawa Electric Corp. | | | | | 1,196,342 | | |
| | | 175,259 | | | | Yume No Machi Souzou Iinkai Co., Ltd.(a) | | | | | 5,277,412 | | |
| | | | | | | Total Japan | | | | | 172,311,374 | | |
| Malaysia – 0.6% | | ||||||||||||
| | | 11,070,531 | | | | 7-Eleven Malaysia Holdings Bhd | | | | | 3,823,332 | | |
| | | 343,000 | | | | Carlsberg Brewery Malaysia Bhd | | | | | 1,696,232 | | |
| | | 128,000 | | | | Dutch Lady Milk Industries Bhd | | | | | 2,071,090 | | |
| | | 3,079,916 | | | | My EG Services Bhd | | | | | 1,116,692 | | |
| | | | | | | Total Malaysia | | | | | 8,707,346 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Mexico – 1.5% | | ||||||||||||
| | | 219,926 | | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, ADR | | | | $ | 1,726,419 | | |
| | | 34,999 | | | | Fomento Economico Mexicano SAB de CV, ADR | | | | | 3,355,704 | | |
| | | 147,367 | | | | Gruma SAB de CV, Class B Shares | | | | | 1,865,072 | | |
| | | 632,878 | | | | Grupo Lala SAB de CV, Class B Shares | | | | | 673,687 | | |
| | | 641,183 | | | | Infraestructura Energetica Nova SAB de CV | | | | | 2,992,310 | | |
| | | 1,431,500 | | | | Qualitas Controladora SAB de CV | | | | | 3,570,037 | | |
| | | 1,223,180 | | | | Unifin Financiera SAB de CV SOFOM ENR | | | | | 3,121,596 | | |
| | | 1,054,496 | | | | Wal-Mart de Mexico SAB de CV | | | | | 2,920,797 | | |
| | | | | | | Total Mexico | | | | | 20,225,622 | | |
| Netherlands – 1.1% | | ||||||||||||
| | | 326 | | | | Adyen NV*(c) | | | | | 228,645 | | |
| | | 15,639 | | | | ASML Holding NV | | | | | 3,189,112 | | |
| | | 13,763 | | | | Core Laboratories NV | | | | | 1,576,551 | | |
| | | 48,329 | | | | Heineken NV | | | | | 4,780,579 | | |
| | | 10,290 | | | | ING Groep NV | | | | | 139,812 | | |
| | | 50,062 | | | | Koninklijke Philips NV | | | | | 2,239,441 | | |
| | | 39,307 | | | | NXP Semiconductors NV* | | | | | 3,661,054 | | |
| | | | | | | Total Netherlands | | | | | 15,815,194 | | |
| New Zealand – 0.3% | | ||||||||||||
| | | 254,334 | | | | Freightways Ltd. | | | | | 1,280,539 | | |
| | | 454,347 | | | | Restaurant Brands New Zealand Ltd.(a) | | | | | 2,314,429 | | |
| | | | | | | Total New Zealand | | | | | 3,594,968 | | |
| Nigeria – 0.0% | | ||||||||||||
| | | 1,551,703 | | | | Lekoil Ltd., CDI* | | | | | 355,584 | | |
| Norway – 0.3% | | ||||||||||||
| | | 62,777 | | | | DNB ASA | | | | | 1,278,065 | | |
| | | 345,151 | | | | Spectrum ASA | | | | | 2,502,761 | | |
| | | | | | | Total Norway | | | | | 3,780,826 | | |
| Pakistan – 0.2% | | ||||||||||||
| | | 1,031,430 | | | | Hascol Petroleum Ltd. | | | | | 2,541,211 | | |
| Panama – 0.1% | | ||||||||||||
| | | 11,172 | | | | Copa Holdings SA, Class A Shares | | | | | 893,090 | | |
| Peru – 0.1% | | ||||||||||||
| | | 8,403 | | | | Credicorp Ltd. | | | | | 1,832,022 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Philippines – 0.8% | | ||||||||||||
| | | 2,962,835 | | | | Ayala Land Inc. | | | | $ | 2,465,471 | | |
| | | 912,238 | | | | BDO Unibank Inc. | | | | | 2,220,894 | | |
| | | 6,732,565 | | | | Metro Pacific Investments Corp. | | | | | 686,332 | | |
| | | 2,501,145 | | | | Philippine Seven Corp. | | | | | 5,122,648 | | |
| | | 54,820 | | | | SM Investments Corp., (Restricted)(e) | | | | | 989,794 | | |
| | | | | | | Total Philippines | | | | | 11,485,139 | | |
| Poland – 0.2% | | ||||||||||||
| | | 26,734 | | | | AmRest Holdings SE* | | | | | 2,928,460 | | |
| Portugal – 0.1% | | ||||||||||||
| | | 117,793 | | | | Jeronimo Martins SGPS SA | | | | | 1,764,617 | | |
| Russia – 0.5% | | ||||||||||||
| | | 335,643 | | | | Sberbank of Russia PJSC, ADR | | | | | 3,664,582 | | |
| | | 81,445 | | | | Yandex NV, Class A Shares* | | | | | 2,616,828 | | |
| | | | | | | Total Russia | | | | | 6,281,410 | | |
| Singapore – 0.3% | | ||||||||||||
| | | 2,072,500 | | | | Riverstone Holdings Ltd.(a) | | | | | 1,736,644 | | |
| | | 105,734 | | | | Sea Ltd., ADR* | | | | | 1,506,710 | | |
| | | 1,837,100 | | | | Sheng Siong Group Ltd. | | | | | 1,566,454 | | |
| | | | | | | Total Singapore | | | | | 4,809,808 | | |
| South Africa – 1.3% | | ||||||||||||
| | | 153,672 | | | | Bid Corp., Ltd. | | | | | 3,278,088 | | |
| | | 215,834 | | | | Bidvest Group Ltd. | | | | | 3,170,583 | | |
| | | 661,389 | | | | FirstRand Ltd. | | | | | 3,185,813 | | |
| | | 2,233,915 | | | | Italtile Ltd. | | | | | 2,098,033 | | |
| | | 9,668 | | | | Naspers Ltd., Class N Shares | | | | | 2,146,027 | | |
| | | 540,192 | | | | Pepkor Holdings Ltd.*(c) | | | | | 661,710 | | |
| | | 54,283 | | | | Sasol Ltd. | | | | | 2,123,951 | | |
| | | 29,325 | | | | Sasol Ltd., ADR | | | | | 1,151,299 | | |
| | | | | | | Total South Africa | | | | | 17,815,504 | | |
| South Korea – 2.8% | | ||||||||||||
| | | 10,998 | | | | Amorepacific Corp. | | | | | 2,591,989 | | |
| | | 158,158 | | | | BusinessOn Communication Co., Ltd.(a) | | | | | 3,458,087 | | |
| | | 66,631 | | | | DIO Corp.* | | | | | 1,999,094 | | |
| | | 66,813 | | | | KB Financial Group Inc. | | | | | 3,089,638 | | |
| | | 114,430 | | | | Kia Motors Corp. | | | | | 3,287,747 | | |
| | | 906 | | | | LEENO Industrial Inc. | | | | | 49,931 | | |
| | | 1,679 | | | | LG Household & Health Care Ltd. | | | | | 1,904,021 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| South Korea – (continued) | | ||||||||||||
| | | 104,487 | | | | Minwise Co., Ltd.(a) | | | | $ | 2,022,001 | | |
| | | 6,253 | | | | NAVER Corp. | | | | | 4,213,904 | | |
| | | 274,213 | | | | Samsung Electronics Co., Ltd. | | | | | 11,910,013 | | |
| | | 17,875 | | | | Samsung Life Insurance Co., Ltd. | | | | | 1,479,583 | | |
| | | 10,123 | | | | SK Telecom Co., Ltd. | | | | | 2,377,564 | | |
| | | 10,560 | | | | Tokai Carbon Korea Co., Ltd.(a) | | | | | 593,556 | | |
| | | | | | | Total South Korea | | | | | 38,977,128 | | |
| Spain – 1.3% | | ||||||||||||
| | | 145,778 | | | | Amadeus IT Group SA | | | | | 13,523,315 | | |
| | | 494,150 | | | | CaixaBank SA | | | | | 2,218,271 | | |
| | | 119,113 | | | | Grifols SA, ADR | | | | | 2,590,708 | | |
| | | | | | | Total Spain | | | | | 18,332,294 | | |
| Sweden – 1.3% | | ||||||||||||
| | | 223,412 | | | | Essity AB, Class B Shares | | | | | 5,795,565 | | |
| | | 103,597 | | | | eWork Group AB | | | | | 1,143,997 | | |
| | | 376,802 | | | | Fortnox AB | | | | | 3,325,201 | | |
| | | 46,287 | | | | Hexagon AB, Class B Shares | | | | | 2,751,580 | | |
| | | 124,806 | | | | HMS Networks AB | | | | | 2,029,122 | | |
| | | 238,998 | | | | Svenska Handelsbanken AB, Class A Shares | | | | | 2,901,314 | | |
| | | | | | | Total Sweden | | | | | 17,946,779 | | |
| Switzerland – 3.9% | | ||||||||||||
| | | 39 | | | | Chocoladefabriken Lindt & Spruengli AG | | | | | 290,252 | | |
| | | 24,905 | | | | Cie Financiere Richemont SA, Class Registered Shares | | | | | 2,199,783 | | |
| | | 2,223 | | | | dormakaba Holding AG, ADR* | | | | | 1,559,164 | | |
| | | 1,928 | | | | Geberit AG, Class Registered Shares | | | | | 877,645 | | |
| | | 3,652 | | | | Givaudan SA, Class Registered Shares | | | | | 8,878,129 | | |
| | | 73,011 | | | | Julius Baer Group Ltd.* | | | | | 3,876,236 | | |
| | | 218,149 | | | | Nestle SA, Class Registered Shares | | | | | 18,304,991 | | |
| | | 13,539 | | | | Roche Holding AG | | | | | 3,360,631 | | |
| | | 5,378 | | | | Schindler Holding AG | | | | | 1,284,531 | | |
| | | 1,592 | | | | SGS SA, Class Registered Shares | | | | | 4,190,438 | | |
| | | 7,386 | | | | Sika AG, Class Registered Shares | | | | | 1,097,010 | | |
| | | 553,764 | | | | UBS Group AG, Class Registered Shares* | | | | | 8,635,812 | | |
| | | | | | | Total Switzerland | | | | | 54,554,622 | | |
| Taiwan – 3.3% | | ||||||||||||
| | | 103,000 | | | | ASPEED Technology Inc. | | | | | 2,396,823 | | |
| | | 453,000 | | | | Delta Electronics Inc. | | | | | 1,816,496 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Taiwan – (continued) | | ||||||||||||
| | | 149,392 | | | | Eclat Textile Co., Ltd. | | | | $ | 1,816,691 | | |
| | | 1,109,000 | | | | Far EasTone Telecommunications Co., Ltd. | | | | | 2,645,814 | | |
| | | 143,642 | | | | Ginko International Co., Ltd. | | | | | 969,327 | | |
| | | 501,000 | | | | Hota Industrial Manufacturing Co., Ltd. | | | | | 2,041,520 | | |
| | | 15,000 | | | | Largan Precision Co., Ltd. | | | | | 2,300,169 | | |
| | | 274,285 | | | | Makalot Industrial Co., Ltd. | | | | | 1,422,317 | | |
| | | 91,820 | | | | Poya International Co., Ltd. | | | | | 942,961 | | |
| | | 813,000 | | | | Taiwan Mobile Co., Ltd. | | | | | 2,836,632 | | |
| | | 692,000 | | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | | | 5,811,414 | | |
| | | 280,072 | | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | | | 12,211,139 | | |
| | | 287,188 | | | | TCI Co., Ltd. | | | | | 5,242,200 | | |
| | | 177,000 | | | | Voltronic Power Technology Corp. | | | | | 3,052,701 | | |
| | | | | | | Total Taiwan | | | | | 45,506,204 | | |
| Thailand – 0.7% | | ||||||||||||
| | | 135,598 | | | | Bangkok Bank PCL, Class F Shares | | | | | 862,054 | | |
| | | 155,236 | | | | Bangkok Bank PCL, NVDR | | | | | 972,395 | | |
| | | 1,798,531 | | | | CP ALL PCL, Class F Shares | | | | | 3,705,764 | | |
| | | 8,264,300 | | | | Humanica PCL, Class F Shares | | | | | 2,699,268 | | |
| | | 7,358,600 | | | | Plan B Media PCL, Class F Shares(a) | | | | | 1,527,426 | | |
| | | | | | | Total Thailand | | | | | 9,766,907 | | |
| United Arab Emirates – 0.3% | | ||||||||||||
| | | 54,306 | | | | DP World Ltd. | | | | | 1,161,663 | | |
| | | 697,515 | | | | First Abu Dhabi Bank PJSC | | | | | 2,810,342 | | |
| | | | | | | Total United Arab Emirates | | | | | 3,972,005 | | |
| United Kingdom – 7.2% | | ||||||||||||
| | | 57,759 | | | | accesso Technology Group PLC* | | | | | 2,074,126 | | |
| | | 534,128 | | | | Advanced Medical Solutions Group PLC | | | | | 2,353,916 | | |
| | | 631,246 | | | | ASA International Group PLC*(c) | | | | | 4,026,113 | | |
| | | 33,100 | | | | AstraZeneca PLC, ADR | | | | | 1,269,054 | | |
| | | 91,070 | | | | Avon Rubber PLC | | | | | 1,629,528 | | |
| | | 154,733 | | | | British American Tobacco PLC | | | | | 7,470,067 | | |
| | | 32,613 | | | | Bunzl PLC | | | | | 1,014,281 | | |
| | | 69,908 | | | | Burberry Group PLC | | | | | 2,026,864 | | |
| | | 655,381 | | | | Clipper Logistics PLC | | | | | 2,719,532 | | |
| | | 270,091 | | | | Compass Group PLC | | | | | 5,807,888 | | |
| | | 810,956 | | | | ConvaTec Group PLC(c) | | | | | 2,244,989 | | |
| | | 10,686 | | | | Croda International PLC | | | | | 707,368 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United Kingdom – (continued) | | ||||||||||||
| | | 175,003 | | | | Diageo PLC | | | | $ | 6,117,246 | | |
| | | 90,652 | | | | Experian PLC | | | | | 2,258,959 | | |
| | | 416,458 | | | | GB Group PLC | | | | | 3,380,322 | | |
| | | 55,924 | | | | Gear4Music Holdings PLC* | | | | | 451,517 | | |
| | | 153,888 | | | | Halma PLC | | | | | 2,858,212 | | |
| | | 584,672 | | | | Horizon Discovery Group PLC*(a) | | | | | 1,638,271 | | |
| | | 77,179 | | | | IG Group Holdings PLC | | | | | 904,938 | | |
| | | 163,344 | | | | IMI PLC | | | | | 2,562,285 | | |
| | | 41,914 | | | | Intertek Group PLC | | | | | 2,791,291 | | |
| | | 73,339 | | | | Jardine Lloyd Thompson Group PLC | | | | | 1,374,233 | | |
| | | 20,334 | | | | LivaNova PLC* | | | | | 2,552,934 | | |
| | | 44,550 | | | | London Stock Exchange Group PLC | | | | | 2,672,431 | | |
| | | 210,871 | | | | On the Beach Group PLC(c) | | | | | 1,438,411 | | |
| | | 309,651 | | | | Patisserie Holdings PLC | | | | | 1,775,551 | | |
| | | 141,569 | | | | Prudential PLC | | | | | 3,188,610 | | |
| | | 102,629 | | | | Reckitt Benckiser Group PLC | | | | | 8,733,985 | | |
| | | 97,971 | | | | RELX NV | | | | | 2,171,057 | | |
| | | 140,744 | | | | Rentokil Initial PLC | | | | | 593,817 | | |
| | | 280,413 | | | | Sanne Group PLC | | | | | 2,237,546 | | |
| | | 364,047 | | | | Smart Metering Systems PLC | | | | | 2,842,456 | | |
| | | 182,961 | | | | Smith & Nephew PLC | | | | | 3,225,528 | | |
| | | 42,114 | | | | Spectris PLC | | | | | 1,285,226 | | |
| | | 35,960 | | | | Spirax-Sarco Engineering PLC | | | | | 3,325,286 | | |
| | | 921,344 | | | | Tullow Oil PLC* | | | | | 2,785,042 | | |
| | | 1,291,050 | | | | Vodafone Group PLC | | | | | 2,750,752 | | |
| | | | | | | Total United Kingdom | | | | | 99,259,632 | | |
| United States – 3.5% | | ||||||||||||
| | | 156,799 | | | | America Movil SAB de CV, Class L Shares, ADR | | | | | 2,629,519 | | |
| | | 43,162 | | | | Analog Devices Inc. | | | | | 4,266,564 | | |
| | | 20,340 | | | | ANSYS Inc.* | | | | | 3,782,833 | | |
| | | 2,075 | | | | Booking Holdings Inc.* | | | | | 4,049,466 | | |
| | | 137,481 | | | | Cadence Design Systems Inc.* | | | | | 6,467,106 | | |
| | | 83,892 | | | | Colgate-Palmolive Co. | | | | | 5,571,268 | | |
| | | 28,053 | | | | DENTSPLY SIRONA Inc. | | | | | 1,119,876 | | |
| | | 91,934 | | | | Liberty Latin America Ltd., Class C Shares* | | | | | 1,804,664 | | |
| | | 20,500 | | | | Mastercard Inc., Class A Shares | | | | | 4,418,980 | | |
| | | 18,654 | | | | Nordson Corp. | | | | | 2,593,279 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | | 1,278 | | | | NVIDIA Corp. | | | | $ | 358,709 | | |
| | | 22,526 | | | | Philip Morris International Inc. | | | | | 1,754,550 | | |
| | | 70,987 | | | | Shire PLC | | | | | 4,143,024 | | |
| | | 26,495 | | | | Texas Instruments Inc. | | | | | 2,978,038 | | |
| | | 24,700 | | | | Waste Connections Inc. | | | | | 1,960,933 | | |
| | | | | | | Total United States | | | | | 47,898,809 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $963,457,804) | | | | | 1,077,296,226 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 17.8% | | ||||||||||||
| United States – 17.8% | | ||||||||||||
| | | 2,665,052 | | | | iShares Core MSCI EAFE | | | | | 169,790,463 | | |
| | | 1,464,354 | | | | iShares Core MSCI Emerging Markets | | | | | 76,600,358 | | |
| | | | | | | Total United States | | | | | 246,390,821 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $224,485,768) | | | | | 246,390,821 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $1,187,943,572) | | | | | 1,323,687,047 | | |
| Face Amount† | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 4.3% | | ||||||||||||
| TIME DEPOSITS – 3.7% | | ||||||||||||
| | $ | 6,505,227 | | | | ANZ National Bank – London, 1.280% due 9/4/18 | | | | | 6,505,227 | | |
| | | 10,968,176 | | | | Banco Santander SA – Frankfurt, 1.280% due 9/4/18 | | | | | 10,968,176 | | |
| | | 215,053EUR | | | | BNP Paribas SA – Paris, (0.570)% due 9/3/18 | | | | | 249,645 | | |
| | | | | | | Brown Brothers Harriman – Grand Cayman: | | | |||||
| | | 31,026CHF | | | | (1.420)% due 9/3/18 | | | | | 32,016 | | |
| | | 1,283,487JPY | | | | (0.230)% due 9/3/18 | | | | | 11,554 | | |
| | | 7NOK | | | | 0.150% due 9/3/18 | | | | | 1 | | |
| | | 11,064GBP | | | | 0.370% due 9/3/18 | | | | | 14,342 | | |
| | | 750SGD | | | | 0.550% due 9/3/18 | | | | | 546 | | |
| | | 930,772HKD | | | | 0.570% due 9/3/18 | | | | | 118,588 | | |
| | | 63AUD | | | | 0.900% due 9/3/18 | | | | | 45 | | |
| | | 4,300ZAR | | | | 5.810% due 9/3/18 | | | | | 293 | | |
| | | 12CAD | | | | 0.590% due 9/4/18 | | | | | 9 | | |
| | | 593 | | | | 1.280% due 9/4/18 | | | | | 593 | | |
| | | 22,069,655 | | | | Deutsche Bank AG – Grand Cayman, 1.280% due 9/4/18 | | | | | 22,069,655 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – (continued) | | ||||||||||||
| TIME DEPOSITS – (continued) | | ||||||||||||
| | $ | 11,045,606 | | | | JPMorgan Chase & Co. – New York, 1.280% due 9/4/18 | | | | $ | 11,045,606 | | |
| | | 10,564,752JPY | | | | Sumitomo Mitsui Banking Corp. – Tokyo, (0.230)% due 9/3/18 | | | | | 95,105 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $51,111,401) | | | | | 51,111,401 | | |
| U.S. GOVERNMENT AGENCY – 0.6% | | ||||||||||||
| | | 8,931,000 | | | | Federal Home Loan Bank (FHLB) Discount Notes, 1.830% due 9/4/18(f) (Cost – $8,929,638) | | | | | 8,929,638 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $60,041,039) | | | | | 60,041,039 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.9% | | ||||||||||||
| MONEY MARKET FUND – 0.9% | | ||||||||||||
| | | 13,246,061 | | | | Federated Government Obligations Fund, Premier Class, 1.845%(g) (Cost – $13,246,061) | | | | | 13,246,061 | | |
| | | | | | | TOTAL INVESTMENTS – 100.8% (Cost – $1,261,230,672#) | | | | | 1,396,974,147 | | |
| | | | | | | Liabilities in Excess of Other Assets – (0.8)% | �� | | | | (11,160,792) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 1,385,813,355 | | |
|
| ADR — American Depositary Receipts | |
| CDI — Clearing House Electronics Systems (CHESS) Depositary Interest | |
| NVDR — Non Voting Depository Receipts | |
| PCL — Public Company Limited | |
| PLC — Public Limited Company | |
| Consumer Non-cyclical | | | | | 22.0% | | |
| Financial | | | | | 12.2 | | |
| Communications | | | | | 10.1 | | |
| Technology | | | | | 10.0 | | |
| Industrial | | | | | 8.8 | | |
| Consumer Cyclical | | | | | 8.2 | | |
| Basic Materials | | | | | 2.4 | | |
| Energy | | | | | 2.0 | | |
| Diversified | | | | | 0.7 | | |
| Utilities | | | | | 0.7 | | |
| Exchange Traded Funds (ETFs) | | | | | 17.6 | | |
| Short-Term Investments | | | | | 4.3 | | |
| Money Market Fund | | | | | 1.0 | | |
| | | | | | 100.0% | | |
|
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Net Unrealized Appreciation/ (Depreciation) | | |||||||||||||||
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
British Pound | | | | | 1,291,000 | | | | UBS | | | | $ | 1,674,160 | | | | 9/14/18 | | | | $ | — | | | | | $ | (24,764) | | | | | $ | (24,764) | | |
Japanese Yen | | | | | 276,603,000 | | | | SSB | | | | | 2,491,455 | | | | 9/14/18 | | | | | 6,732 | | | | | | — | | | | | | 6,732 | | |
Japanese Yen | | | | | 205,000,000 | | | | CITI | | | | | 1,869,976 | | | | 2/22/19 | | | | | 10,987 | | | | | | — | | | | | | 10,987 | | |
Japanese Yen | | | | | 955,995,000 | | | | SSB | | | | | 8,720,429 | | | | 2/22/19 | | | | | 59,228 | | | | | | — | | | | | | 59,228 | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | $ | 76,947 | | | | | $ | (24,764) | | | | | $ | 52,183 | | | ||||||||||||||||||
|
| Currency Abbreviations used in this schedule: | | | Counterparty Abbreviations used in this schedule: | |
| AUD — Australian Dollar | | | CITI — Citigroup Global Markets Inc. | |
| CAD — Canadian Dollar | | | SSB — State Street Bank and Trust Co. | |
| CHF — Swiss Franc | | | UBS — UBS AG | |
| EUR — Euro | | | ||
| GBP — British Pound | | | ||
| HKD — Hong Kong Dollar | | | ||
| JPY — Japanese Yen | | | ||
| NOK — Norwegian Krone | | | ||
| SGD — Singapore Dollar | | | ||
| ZAR — South African Rand | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 63.8% | | ||||||||||||
| COMMUNICATIONS – 9.6% | | ||||||||||||
| Telecommunications – 9.6% | | ||||||||||||
| | | 324,822 | | | | AT&T Inc. | | | | $ | 10,374,815 | | |
| | | 115,968 | | | | BCE Inc. | | | | | 4,730,000 | | |
| | | 194,076 | | | | Verizon Communications Inc. | | | | | 10,551,912 | | |
| | | 1,964,918 | | | | Vodafone Group PLC | | | | | 4,190,179 | | |
| | | 46,741 | | | | Vodafone Group PLC, ADR | | | | | 1,010,073 | | |
| | | | | | | Total Telecommunications | | | | | 30,856,979 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 30,856,979 | | |
| CONSUMER NON-CYCLICAL – 21.0% | | ||||||||||||
| Agriculture – 7.8% | | ||||||||||||
| | | 171,284 | | | | Altria Group Inc. | | | | | 10,023,540 | | |
| | | 60,100 | | | | British American Tobacco PLC | | | | | 2,899,444 | | |
| | | 87,829 | | | | Imperial Brands PLC | | | | | 3,124,239 | | |
| | | 112,541 | | | | Philip Morris International Inc. | | | | | 8,765,818 | | |
| | | | | | | Total Agriculture | | | | | 24,813,041 | | |
| Beverages – 3.5% | | ||||||||||||
| | | 185,761 | | | | Coca-Cola Co. | | | | | 8,279,368 | | |
| | | 26,825 | | | | PepsiCo Inc. | | | | | 3,004,668 | | |
| | | | | | | Total Beverages | | | | | 11,284,036 | | |
| Cosmetics/Personal Care – 1.2% | | ||||||||||||
| | | 47,825 | | | | Procter & Gamble Co. | | | | | 3,967,084 | | |
| Food – 1.6% | | ||||||||||||
| | | 66,975 | | | | General Mills Inc. | | | | | 3,081,520 | | |
| | | 34,400 | | | | Kraft Heinz Co. | | | | | 2,004,488 | | |
| | | | | | | Total Food | | | | | 5,086,008 | | |
| Household Products/Wares – 1.4% | | ||||||||||||
| | | 38,650 | | | | Kimberly-Clark Corp. | | | | | 4,465,621 | | |
| Pharmaceuticals – 5.5% | | ||||||||||||
| | | 28,026 | | | | AbbVie Inc. | | | | | 2,689,936 | | |
| | | 48,325 | | | | AstraZeneca PLC | | | | | 3,630,342 | | |
| | | 389,675 | | | | GlaxoSmithKline PLC | | | | | 7,882,441 | | |
| | | 81,850 | | | | Pfizer Inc. | | | | | 3,398,412 | | |
| | | | | | | Total Pharmaceuticals | | | | | 17,601,131 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 67,216,921 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| ENERGY – 11.2% | | ||||||||||||
| Oil & Gas – 11.2% | | ||||||||||||
| | | 1,039,825 | �� | | | BP PLC | | | | $ | 7,377,479 | | |
| | | 49,439 | | | | BP PLC, ADR | | | | | 2,119,944 | | |
| | | 65,427 | | | | Chevron Corp. | | | | | 7,750,482 | | |
| | | 117,575 | | | | Exxon Mobil Corp. | | | | | 9,425,988 | | |
| | | 65,825 | | | | Occidental Petroleum Corp. | | | | | 5,257,443 | | |
| | | 62,729 | | | | TOTAL SA | | | | | 3,922,757 | | |
| | | | | | | Total Oil & Gas | | | | | 35,854,093 | | |
| | | | | | | TOTAL ENERGY | | | | | 35,854,093 | | |
| FINANCIAL – 9.0% | | ||||||||||||
| Banks – 1.1% | | ||||||||||||
| | | 37,425 | | | | Canadian Imperial Bank of Commerce | | | | | 3,507,608 | | |
| Diversified Financial Services – 0.6% | | ||||||||||||
| | | 83,425 | | | | Invesco Ltd. | | | | | 2,010,543 | | |
| Equity Real Estate Investment Trusts (REITs) – 6.9% | | ||||||||||||
| | | 68,800 | | | | Crown Castle International Corp. | | | | | 7,845,264 | | |
| | | 19,025 | | | | Digital Realty Trust Inc. | | | | | 2,364,427 | | |
| | | 39,325 | | | | National Retail Properties Inc. | | | | | 1,812,489 | | |
| | | 73,025 | | | | Omega Healthcare Investors Inc. | | | | | 2,413,476 | | |
| | | 13,425 | | | | Public Storage | | | | | 2,853,887 | | |
| | | 81,400 | | | | Ventas Inc. | | | | | 4,873,418 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 22,162,961 | | |
| Insurance – 0.4% | | ||||||||||||
| | | 6,250 | | | | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class Registered Shares | | | | | 1,348,037 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 29,029,149 | | |
| INDUSTRIAL – 1.2% | | ||||||||||||
| Transportation – 1.2% | | ||||||||||||
| | | 30,950 | | | | United Parcel Service Inc., Class B Shares | | | | | 3,803,136 | | |
| TECHNOLOGY – 0.5% | | ||||||||||||
| Software – 0.5% | | ||||||||||||
| | | 21,200 | | | | Paychex Inc. | | | | | 1,552,900 | | |
| UTILITIES – 11.3% | | ||||||||||||
| Electric – 9.7% | | ||||||||||||
| | | 23,679 | | | | American Electric Power Co., Inc. | | | | | 1,698,495 | | |
| | | 116,425 | | | | Dominion Energy Inc. | | | | | 8,239,397 | | |
| | | 115,000 | | | | Duke Energy Corp. | | | | | 9,342,600 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| UTILITIES – (continued) | | ||||||||||||
| Electric – (continued) | | ||||||||||||
| | | 183,150 | | | | PPL Corp. | | | | $ | 5,446,881 | | |
| | | 39,975 | | | | Public Service Enterprise Group Inc. | | | | | 2,092,691 | | |
| | | 101,440 | | | | Southern Co. | | | | | 4,441,043 | | |
| | | | | | | Total Electric | | | | | 31,261,107 | | |
| Gas – 1.6% | | ||||||||||||
| | | 475,958 | | | | National Grid PLC | | | | | 4,997,766 | | |
| | | | | | | TOTAL UTILITIES | | | | | 36,258,873 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $206,258,696) | | | | | 204,572,051 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 34.9% | | ||||||||||||
| | | 1,871,627 | | | | iShares Core Dividend Growth(a) | | | | | 69,343,780 | | |
| | | 475,349 | | | | iShares Core High Dividend | | | | | 42,505,708 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $103,234,179) | | | | | 111,849,488 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $309,492,875) | | | | | 316,421,539 | | |
| Face Amount | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 1.1% | | ||||||||||||
| TIME DEPOSITS – 1.1% | | ||||||||||||
| | $ | 1,306,588 | | | | BNP Paribas – Paris, 1.280% due 9/4/18 | | | | | 1,306,588 | | |
| | | 539 | | | | Brown Brothers Harriman – Grand Cayman, 1.280% due 9/4/18 | | | | | 539 | | |
| | | 2,312,802 | | | | Citibank – New York, 1.280% due 9/4/18 | | | | | 2,312,802 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $3,619,929) | | | | | 3,619,929 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.2% | | ||||||||||||
| MONEY MARKET FUND – 0.2% | | ||||||||||||
| | | 569,260 | | | | Federated Government Obligations Fund, Premier Class, 1.845%(b) (Cost – $569,260) | | | | | 569,260 | | |
| | | | | | | TOTAL INVESTMENTS – 100.0% (Cost – $313,682,064#) | | | | | 320,610,728 | | |
| | | | | | | Liabilities in Excess of Other Assets – 0.0% | | | | | (30,365) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 320,580,363 | | |
|
| Consumer Non-cyclical | | | | | 21.0% | | |
| Utilities | | | | | 11.3 | | |
| Energy | | | | | 11.2 | | |
| Communications | | | | | 9.6 | | |
| Financial | | | | | 9.0 | | |
| Industrial | | | | | 1.2 | | |
| Technology | | | | | 0.5 | | |
| Exchange Traded Funds (ETFs) | | | | | 34.9 | | |
| Short-Term Investments | | | | | 1.1 | | |
| Money Market Fund | | | | | 0.2 | | |
| | | | | | 100.0% | | |
|
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 85.3% | | ||||||||||||
| Canada – 31.5% | | ||||||||||||
| | | 2,043,018 | | | | First Quantum Minerals Ltd. | | | | $ | 25,629,707 | | |
| | | 549,598 | | | | Hudbay Minerals Inc. | | | | | 2,569,199 | | |
| | | 1,268,320 | | | | Peyto Exploration & Development Corp.(a) | | | | | 10,516,685 | | |
| | | 681,031 | | | | Tourmaline Oil Corp. | | | | | 11,095,654 | | |
| | | 16,189,959 | | | | Turquoise Hill Resources Ltd.* | | | | | 37,722,605 | | |
| | | 2,090,472 | | | | Whitecap Resources Inc.(a) | | | | | 12,928,277 | | |
| | | | | | | Total Canada | | | | | 100,462,127 | | |
| United Kingdom – 0.1% | | ||||||||||||
| | | 543,207 | | | | Ophir Energy PLC* | | | | | 288,716 | | |
| United States – 53.7% | | ||||||||||||
| | | 1,283,260 | | | | Antero Resources Corp.* | | | | | 23,753,143 | | |
| | | 625,261 | | | | Centennial Resource Development Inc., Class A Shares* | | | | | 12,048,779 | | |
| | | 593,800 | | | | Covia Holdings Corp.* | | | | | 6,727,754 | | |
| | | 2,401,730 | | | | Denbury Resources Inc.* | | | | | 13,377,636 | | |
| | | 23,000 | | | | EOG Resources Inc. | | | | | 2,719,290 | | |
| | | 267,280 | | | | EQT Corp. | | | | | 13,636,626 | | |
| | | 1,455,172 | | | | Kosmos Energy Ltd.* | | | | | 13,154,755 | | |
| | | 2,173,876 | | | | Laredo Petroleum Inc.* | | | | | 18,021,432 | | |
| | | 429,870 | | | | Noble Energy Inc. | | | | | 12,775,736 | | |
| | | 170,170 | | | | Occidental Petroleum Corp. | | | | | 13,591,478 | | |
| | | 1,737,860 | | | | Range Resources Corp. | | | | | 28,535,661 | | |
| | | 1,347,721 | | | | SRC Energy Inc.* | | | | | 12,547,283 | | |
| | | | | | | Total United States | | | | | 170,889,573 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $298,427,417) | | | | | 271,640,416 | | |
| EXCHANGE TRADED FUND (ETF) – 12.6% | | ||||||||||||
| United States – 12.6% | | ||||||||||||
| | | 787,207 | | | | iShares Core US REIT(a) (Cost – $38,174,726) | | | | | 40,147,557 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $336,602,143) | | | | | 311,787,973 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 2.0% | | ||||||||||||
| TIME DEPOSITS – 2.0% | | ||||||||||||
| | | | | | | Brown Brothers Harriman – Grand Cayman: | | | |||||
| | | 12AUD | | | | 0.900% due 9/3/18 | | | | $ | 9 | | |
| | | 43CAD | | | | 0.590% due 9/4/18 | | | | | 33 | | |
| | $ | 348 | | | | 1.280% due 9/4/18 | | | | | 348 | | |
| | | 2,474,909 | | | | Deutsche Bank AG – Grand Cayman, 1.280% due 9/4/18 | | | | | 2,474,909 | | |
| | | 3,932,274 | | | | JPMorgan Chase & Co. – New York, 1.280% due 9/4/18 | | | | | 3,932,274 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $6,407,573) | | | | | 6,407,573 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 4.9% | | ||||||||||||
| MONEY MARKET FUND – 4.9% | | ||||||||||||
| | | 15,622,956 | | | | Federated Government Obligations Fund, Premier Class, 1.845%(b) (Cost – $15,622,956) | | | | | 15,622,956 | | |
| | | | | | | TOTAL INVESTMENTS – 104.8% (Cost – $358,632,672#) | | | | | 333,818,502 | | |
| | | | | | | Liabilities in Excess of Other Assets – (4.8)% | | | | | (15,355,780) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 318,462,722 | | |
|
| PLC — Public Limited Company | |
| REIT — Real Estate Investment Trust | |
| AUD — Australian Dollar | |
| CAD — Canadian Dollar | |
| Energy | | | | | 59.6% | | |
| Basic Materials | | | | | 21.8 | | |
| Exchange Traded Fund (ETF) | | | | | 12.0 | | ��� |
| Short-Term Investments | | | | | 1.9 | | |
| Money Market Fund | | | | | 4.7 | | |
| | | | | | 100.0% | | |
|
| Face Amount/Units | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS – 24.5% | | ||||||||||||
| U.S. GOVERNMENT OBLIGATIONS – 24.0% | | ||||||||||||
| | | | | | | U.S. Treasury Bonds: | | ||||||
| | $ | 1,000,000 | | | | 6.125% due 11/15/27 | | | | $ | 1,262,578 | | |
| | | 1,500,000 | | | | 5.250% due 11/15/28 | | | | | 1,813,008 | | |
| | | 3,500,000 | | | | 6.250% due 5/15/30 | | | | | 4,662,246 | | |
| | | 1,800,000 | | | | 5.375% due 2/15/31 | | | | | 2,264,484 | | |
| | | 2,800,000 | | | | 4.500% due 5/15/38 | | | | | 3,449,578 | | |
| | | 1,500,000 | | | | 4.375% due 11/15/39 | | | | | 1,829,590 | | |
| | | 3,500,000 | | | | 3.875% due 8/15/40 | | | | | 3,997,656 | | |
| | | 3,000,000 | | | | 4.375% due 5/15/41 | | | | | 3,678,047 | | |
| | | 2,500,000 | | | | 3.125% due 11/15/41 | | | | | 2,549,707 | | |
| | | 3,500,000 | | | | 2.750% due 8/15/42 | | | | | 3,340,859 | | |
| | | 1,000,000 | | | | 2.750% due 11/15/42 | | | | | 953,984 | | |
| | | 8,200,000 | | | | 3.125% due 2/15/43 | | | | | 8,348,625 | | |
| | | 300,000 | | | | 3.750% due 11/15/43 | | | | | 338,473 | | |
| | | 3,500,000 | | | | 3.125% due 8/15/44 | | | | | 3,564,531 | | |
| | | 3,000,000 | | | | 2.875% due 8/15/45 | | | | | 2,917,031 | | |
| | | 5,950,000 | | | | 3.000% due 11/15/45 | | | | | 5,924,666 | | |
| | | 1,000,000 | | | | 2.500% due 2/15/46 | | | | | 901,641 | | |
| | | 2,500,000 | | | | 2.500% due 5/15/46 | | | | | 2,252,930 | | |
| | | 700,000 | | | | 2.875% due 11/15/46 | | | | | 680,121 | | |
| | | 3,500,000 | | | | 3.000% due 2/15/47 | | | | | 3,485,098 | | |
| | | 1,000,000 | | | | 3.000% due 5/15/47 | | | | | 995,117 | | |
| | | 9,000,000 | | | | 2.750% due 8/15/47 | | | | | 8,519,414 | | |
| | | 1,000,000 | | | | 2.750% due 11/15/47 | | | | | 946,406 | | |
| | | | | | | U.S. Treasury Inflation Indexed Notes: | | ||||||
| | | 2,175,936 | | | | 0.125% due 4/15/22 | | | | | 2,123,181 | | |
| | | 2,163,273 | | | | 0.375% due 7/15/27 | | | | | 2,093,615 | | |
| | | | | | | U.S. Treasury Notes: | | ||||||
| | | 8,300,000 | | | | 0.750% due 9/30/18 | | | | | 8,292,661 | | |
| | | 6,000,000 | | | | 1.375% due 12/15/19 | | | | | 5,911,641 | | |
| | | 7,000,000 | | | | 1.375% due 1/31/20 | | | | | 6,886,250 | | |
| | | 4,000,000 | | | | 1.625% due 3/15/20 | | | | | 3,942,344 | | |
| | | 3,000,000 | | | | 1.125% due 4/30/20 | | | | | 2,928,398 | | |
| | | 3,000,000 | | | | 1.500% due 5/15/20 | | | | | 2,944,570 | | |
| | | 7,000,000 | | | | 3.500% due 5/15/20 | | | | | 7,100,898 | | |
| | | 3,500,000 | | | | 1.375% due 5/31/20 | | | | | 3,426,172 | | |
| | | 35,300,000 | | | | 1.500% due 5/31/20 | | | | | 34,629,851 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS – (continued) | | ||||||||||||
| U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 2,500,000 | | | | 1.500% due 6/15/20 | | | | $ | 2,451,465 | | |
| | | 4,000,000 | | | | 1.625% due 6/30/20 | | | | | 3,928,750 | | |
| | | 17,800,000 | | | | 2.500% due 6/30/20 | | | | | 17,758,281 | | |
| | | 3,000,000 | | | | 1.500% due 7/15/20 | | | | | 2,938,594 | | |
| | | 3,000,000 | | | | 2.625% due 8/15/20 | | | | | 2,999,531 | | |
| | | 6,000,000 | | | | 1.375% due 9/30/20 | | | | | 5,846,953 | | |
| | | 8,000,000 | | | | 1.625% due 10/15/20 | | | | | 7,831,563 | | |
| | | 4,000,000 | | | | 1.875% due 12/15/20 | | | | | 3,930,312 | | |
| | | 2,000,000 | | | | 1.750% due 12/31/20 | | | | | 1,958,984 | | |
| | | 5,000,000 | | | | 2.000% due 1/15/21 | | | | | 4,923,242 | | |
| | | 9,000,000 | | | | 2.125% due 1/31/21 | | | | | 8,885,039 | | |
| | | 2,000,000 | | | | 2.250% due 3/31/21 | | | | | 1,978,516 | | |
| | | 3,500,000 | | | | 1.125% due 6/30/21 | | | | | 3,351,523 | | |
| | | 4,000,000 | | | | 2.125% due 6/30/21 | | | | | 3,938,281 | | |
| | | 4,000,000 | | | | 1.875% due 1/31/22 | | | | | 3,889,688 | | |
| | | 6,000,000 | | | | 1.750% due 2/28/22 | | | | | 5,806,406 | | |
| | | 6,000,000 | | | | 1.875% due 3/31/22 | | | | | 5,825,625 | | |
| | | 1,500,000 | | | | 1.625% due 8/15/22 | | | | | 1,437,891 | | |
| | | 10,000,000 | | | | 1.875% due 9/30/22 | | | | | 9,667,188 | | |
| | | 4,000,000 | | | | 1.875% due 10/31/22 | | | | | 3,863,906 | | |
| | | 6,000,000 | | | | 1.750% due 1/31/23 | | | | | 5,753,672 | | |
| | | 5,000,000 | | | | 1.500% due 3/31/23 | | | | | 4,733,203 | | |
| | | 3,000,000 | | | | 1.625% due 5/31/23 | | | | | 2,850,938 | | |
| | | 6,000,000 | | | | 1.375% due 8/31/23 | | | | | 5,615,391 | | |
| | | 5,000,000 | | | | 1.625% due 10/31/23 | | | | | 4,727,734 | | |
| | | 6,000,000 | | | | 2.250% due 12/31/23 | | | | | 5,846,250 | | |
| | | 5,000,000 | | | | 2.750% due 2/15/24 | | | | | 4,994,141 | | |
| | | 14,700,000 | | | | 2.125% due 2/29/24 | | | | | 14,214,785 | | |
| | | 9,500,000 | | | | 2.125% due 3/31/24 | | | | | 9,179,746 | | |
| | | 2,000,000 | | | | 2.500% due 5/15/24 | | | | | 1,970,234 | | |
| | | 900,000 | | | | 2.000% due 5/31/24 | | | | | 862,629 | | |
| | | 4,000,000 | | | | 2.000% due 6/30/24 | | | | | 3,831,719 | | |
| | | 1,000,000 | | | | 1.875% due 8/31/24 | | | | | 949,648 | | |
| | | 400,000 | | | | 2.125% due 9/30/24 | | | | | 385,063 | | |
| | | 4,000,000 | | | | 2.250% due 11/15/24 | | | | | 3,874,688 | | |
| | | 4,000,000 | | | | 2.125% due 11/30/24 | | | | | 3,846,406 | | |
| | | 2,400,000 | | | | 2.250% due 12/31/24 | | | | | 2,323,688 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS – (continued) | | ||||||||||||
| U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 2,000,000 | | | | 2.750% due 8/31/25 | | | | $ | 1,991,328 | | |
| | | 14,400,000 | | | | 2.250% due 11/15/25 | | | | | 13,861,688 | | |
| | | 2,000,000 | | | | 1.625% due 2/15/26 | | | | | 1,838,672 | | |
| | | 15,550,000 | | | | 1.625% due 5/15/26 | | | | | 14,256,191 | | |
| | | 12,000,000 | | | | 2.250% due 2/15/27 | | | | | 11,461,406 | | |
| | | 400,000 | | | | 2.375% due 5/15/27 | | | | | 385,453 | | |
| | | 3,500,000 | | | | 2.250% due 8/15/27 | | | | | 3,331,563 | | |
| | | 19,900,000 | | | | 2.250% due 11/15/27 | | | | | 18,915,883 | | |
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS | | | | | 394,169,228 | | |
| U.S. GOVERNMENT AGENCIES – 0.5% | | ||||||||||||
| | | | | | | Federal Home Loan Banks (FHLB): | | ||||||
| | | 1,000,000 | | | | 1.375% due 2/18/21 | | | | | 967,986 | | |
| | | 2,000,000 | | | | 3.625% due 6/11/21 | | | | | 2,047,118 | | |
| | | 555,000 | | | | 3.125% due 6/13/25 | | | | | 557,683 | | |
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | ||||||
| | | 2,000,000 | | | | 2.375% due 1/13/22 | | | | | 1,974,826 | | |
| | | 1,300,000 | | | | 6.250% due 7/15/32 | | | | | 1,732,853 | | |
| | | 1,000,000 | | | | Federal National Mortgage Association (FNMA), 1.875% due 4/5/22 | | | | | 968,369 | | |
| | | | | | | TOTAL U.S. GOVERNMENT AGENCIES | | | | | 8,248,835 | | |
| | | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS (Cost – $407,880,162) | | | | | 402,418,063 | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS – 21.3% | | ||||||||||||
| | | | | | | 20 Times Square Trust: | | ||||||
| | | 491,000 | | | | Series 2018-20TS, Class F, 3.203% due 5/15/35(a)(b) | | | | | 459,399 | | |
| | | 491,000 | | | | Series 2018-20TS, Class G, 3.203% due 5/15/35(a)(b) | | | | | 449,700 | | |
| | | | | | | Angel Oak Mortgage Trust I LLC: | | ||||||
| | | 2,076,000 | | | | Series 2018-3, Class A1, 3.649% due 9/25/48(a)(b) | | | | | 2,082,641 | | |
| | | 2,263,000 | | | | Series 2018-3, Class A2, 3.751% due 9/25/48(a)(b) | | | | | 2,270,229 | | |
| | | 2,161,000 | | | | Series 2018-3, Class A3, 3.853% due 9/25/48(a)(b) | | | | | 2,167,894 | | |
| | | 913,619 | | | | Ashford Hospitality Trust, Series 2018-ASHF, Class A, 2.963% (1-Month USD-LIBOR + 0.900%) due 4/15/35(a)(b) | | | | | 918,462 | | |
| | | | | | | Atrium Hotel Portfolio Trust: | | ||||||
| | | 991,000 | | | | Series 2018-ATRM, Class A, 3.013% (1-Month USD-LIBOR + 0.950%) due 6/15/35(a)(b) | | | | | 991,925 | | |
| | | 991,000 | | | | Series 2018-ATRM, Class D, 4.363% (1-Month USD-LIBOR + 2.300%) due 6/15/35(a)(b) | | | | | 993,166 | | |
| | | 11,421,872 | | | | Banc of America Funding Trust, Series 2007-1, Class TA2, 2.195% (1-Month USD-LIBOR + 0.130%) due 1/25/37(a) | | | | | 9,764,254 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | BANK: | | ||||||
| | $ | 12,510,734 | | | | Series 2017-BNK4, Class XA, 1.608% due 5/15/50(a)(c) | | | | $ | 1,103,563 | | |
| | | 16,388,807 | | | | Series 2018-BN10, Class XA, 0.895% due 2/15/61(a)(c) | | | | | 917,873 | | |
| | | | | | | BBCMS Mortgage Trust: | | ||||||
| | | 178,000 | | | | Series 2017-DELC, Class C, 3.263% (1-Month USD-LIBOR + 1.200%) due 8/15/36(a)(b) | | | | | 178,111 | | |
| | | 203,000 | | | | Series 2017-DELC, Class D, 3.763% (1-Month USD-LIBOR + 1.700%) due 8/15/36(a)(b) | | | | | 202,999 | | |
| | | 424,000 | | | | Series 2017-DELC, Class E, 4.563% (1-Month USD-LIBOR + 2.500%) due 8/15/36(a)(b) | | | | | 425,323 | | |
| | | 407,000 | | | | Series 2017-DELC, Class F, 5.563% (1-Month USD-LIBOR + 3.500%) due 8/15/36(a)(b) | | | | | 409,037 | | |
| | | 1,083,000 | | | | BBCMS Trust, Series 2018-CBM, Class A, 3.100% (1-Month USD-LIBOR + 1.000%) due 7/15/37(a)(b) | | | | | 1,083,000 | | |
| | | 5,116,252 | | | | Bear Stearns ALT-A Trust, Series 2006-1, Class 21A2, 3.896% due 2/25/36(a) | | | | | 4,501,700 | | |
| | | 200,000 | | | | Benchmark, Series 2018-B4, Class A2, 3.976% due 7/15/51 | | | | | 206,037 | | |
| | | 600,000 | | | | Benchmark Mortgage Trust, Series 2018-B5, Class A4, 4.208% due 7/15/51 | | | | | 625,012 | | |
| | | 997,000 | | | | BHMS, Series 2018-ATLS, Class A, 3.313% (1-Month USD-LIBOR + 1.250%) due 7/15/35(a)(b) | | | | | 997,000 | | |
| | | 984,000 | | | | BX Commercial Mortgage Trust, Series 2018-BIOA, Class D, 3.384% (1-Month USD-LIBOR + 1.321%) due 3/15/37(a)(b) | | | | | 985,845 | | |
| | | | | | | BX Trust: | | ||||||
| | | 333,925 | | | | Series 2017-SLCT, Class D, 4.113% (1-Month USD-LIBOR + 2.050%) due 7/15/34(a)(b) | | | | | 334,447 | | |
| | | 549,647 | | | | Series 2017-SLCT, Class E, 5.213% (1-Month USD-LIBOR + 3.150%) due 7/15/34(a)(b) | | | | | 552,053 | | |
| | | 903,000 | | | | Series 2018-GW, Class A, 2.863% (1-Month USD-LIBOR + 0.800%) due 5/15/35(a)(b) | | | | | 902,991 | | |
| | | 100,000 | | | | Series 2018-GW, Class D, 3.833% (1-Month USD-LIBOR + 1.770%) due 5/15/35(a)(b) | | | | | 100,501 | | |
| | | 982,000 | | | | Series 2018-MCSF, Class F, 4.709% (1-Month USD-LIBOR + 2.647%) due 4/15/35(a)(b) | | | | | 972,266 | | |
| | | | | | | CD Mortgage Trust: | | ||||||
| | | 400,000 | | | | Series 2017-CD3, Class A4, 3.631% due 2/10/50 | | | | | 400,186 | | |
| | | 20,278,807 | | | | Series 2017-CD4, Class XA, 1.477% due 5/10/50(a)(c) | | | | | 1,660,680 | | |
| | | | | | | CFCRE Commercial Mortgage Trust: | | ||||||
| | | 2,034,120 | | | | Series 2016-C3, Class XA, 1.218% due 1/10/48(a)(c) | | | | | 125,882 | | |
| | | 16,664,272 | | | | Series 2017-C8, Class XA, 1.832% due 6/15/50(a)(c) | | | | | 1,685,053 | | |
| | | | | | | Citigroup Commercial Mortgage Trust: | | ||||||
| | | 37,900,273 | | | | Series 2015-GC35, Class XA, 1.028% due 11/10/48(a)(c) | | | | | 1,616,625 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,250,000 | | | | Series 2016-GC37, Class A4, 3.314% due 4/10/49 | | | | $ | 1,226,609 | | |
| | | | | | | CLNS Trust: | | ||||||
| | | 565,000 | | | | Series 2017-IKPR, Class D, 4.117% (1-Month USD-LIBOR + 2.050%) due 6/11/32(a)(b) | | | | | 567,830 | | |
| | | 565,000 | | | | Series 2017-IKPR, Class E, 5.567% (1-Month USD-LIBOR + 3.500%) due 6/11/32(a)(b) | | | | | 568,539 | | |
| | | 565,000 | | | | Series 2017-IKPR, Class F, 6.567% (1-Month USD-LIBOR + 4.500%) due 6/11/32(a)(b) | | | | | 569,956 | | |
| | | | | | | Cold Storage Trust: | | ||||||
| | | 887,000 | | | | Series 2017-ICE3, Class A, 3.063% (1-Month USD-LIBOR + 1.000%) due 4/15/36(a)(b) | | | | | 889,765 | | |
| | | 1,082,000 | | | | Series 2017-ICE3, Class C, 3.413% (1-Month USD-LIBOR + 1.350%) due 4/15/36(a)(b) | | | | | 1,086,727 | | |
| | | 261,371,102 | | | | Commercial Mortgage Trust, Series 2013-CR9, Class XA, 0.179% due 7/10/45(a)(c) | | | | | 1,201,052 | | |
| | | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | ||||||
| | | 713,000 | | | | Series 2017-LSTK, Class C, 3.229% due 4/5/33(b) | | | | | 704,010 | | |
| | | 848,000 | | | | Series 2017-LSTK, Class D, 3.442% due 4/5/33(a)(b) | | | | | 832,214 | | |
| | | 1,246,000 | | | | Series 2017-LSTK, Class E, 3.442% due 4/5/33(a)(b) | | | | | 1,216,559 | | |
| | | 69,653,000 | | | | Series 2017-LSTK, Class XACP, 0.681% due 4/5/33(a)(b)(c) | | | | | 689,370 | | |
| | | 25,355,000 | | | | Series 2017-LSTK, Class XBCP, 0.316% due 4/5/33(a)(b)(c) | | | | | 101,891 | | |
| | | 3,188,099 | | | | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-9, Class 5A6, 5.500% due 10/25/35 | | | | | 2,816,707 | | |
| | | 1,090,000 | | | | CSWF, Series 2018-TOP, Class A, 3.063% (1-Month USD-LIBOR + 1.000%) due 8/15/35(a)(b) | | | | | 1,090,400 | | |
| | | 939,077 | | | | DBGS Mortgage Trust, Series 2018-BIOD, Class A, 2.866% (1-Month USD-LIBOR + 0.803%) due 5/15/35(a)(b) | | | | | 939,074 | | |
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | ||||||
| | | 6,502,347 | | | | Series 2015-55, Class PD, 2.500% due 3/25/43 | | | | | 6,185,290 | | |
| | | 10,612,727 | | | | Series 4223, Class SB, 2.919% (1-Month USD-LIBOR + 5.431%) due 7/15/43(a) | | | | | 8,701,861 | | |
| | | 6,881,490 | | | | Series 4610, Class LA, 2.500% due 1/15/41 | | | | | 6,628,979 | | |
| | | 4,430,503 | | | | Series 4627, Class Z, 3.000% due 10/15/46 | | | | | 3,872,927 | | |
| | | 12,263,464 | | | | Series 4640, Class VB, 3.000% due 3/15/37 | | | | | 11,589,610 | | |
| | | 7,606,706 | | | | Series 4653, Class Z, 3.000% due 2/15/47 | | | | | 6,743,301 | | |
| | | 8,067,560 | | | | Series 4655, Class CZ, 3.000% due 2/15/47 | | | | | 7,049,840 | | |
| | | 25,451,679 | | | | Series 4664, Class TC, 3.000% due 6/15/41 | | | | | 25,062,036 | | |
| | | 8,000,000 | | | | Series 4749, Class LV, 3.500% due 4/15/38 | | | | | 7,976,810 | | |
| | | 19,364,023 | | | | Series 4750, Class PA, 3.000% due 7/15/46 | | | | | 18,723,105 | | |
| | | 15,887,485 | | | | Series 4766, Class A, 4.000% due 9/15/45 | | | | | 16,245,686 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | Federal National Mortgage Association (FNMA), REMICS: | | ||||||
| | $ | 13,355,550 | | | | Series 2016-61, Class MZ, 3.000% due 9/25/46 | | | | $ | 11,495,492 | | |
| | | 33,498,931 | | | | Series 2017-12, Class TA, 3.000% due 4/25/42 | | | | | 33,146,023 | | |
| | | 7,731,019 | | | | Series 2017-24, Class LG, 3.000% due 4/25/37 | | | | | 7,175,790 | | |
| | | 21,620,530 | | | | Series 2017-32, Class CA, 3.000% due 10/25/42 | | | | | 21,247,894 | | |
| | | 22,081,712 | | | | Series 2018-33, Class C, 3.000% due 5/25/48 | | | | | 21,261,712 | | |
| | | | | | | Freddie Mac Multifamily Structured Pass-Through Certificates: | | ||||||
| | | 1,750,000 | | | | Series K020, Class A2, 2.373% due 5/25/22 | | | | | 1,713,620 | | |
| | | 1,540,000 | | | | Series K062, Class A2, 3.413% due 12/25/26 | | | | | 1,548,405 | | |
| | | | | | | Great Wolf Trust: | | ||||||
| | | 272,000 | | | | Series 2017-WOLF, Class D, 4.313% (1-Month USD-LIBOR + 2.100%) due 9/15/34(a)(b) | | | | | 272,850 | | |
| | | 422,000 | | | | Series 2017-WOLF, Class E, 5.313% (1-Month USD-LIBOR + 3.100%) due 9/15/34(a)(b) | | | | | 424,113 | | |
| | | 225,000 | | | | Series 2017-WOLF, Class F, 6.283% (1-Month USD-LIBOR + 4.070%) due 9/15/34(a)(b) | | | | | 226,126 | | |
| | | | | | | GS Mortgage Securities Corp. Trust: | | ||||||
| | | 400,000 | | | | Series 2018-TWR, Class A, 2.963% (1-Month USD-LIBOR + 0.900%) due 7/15/31(a)(b) | | | | | 400,013 | | |
| | | 400,000 | | | | Series 2018-TWR, Class D, 3.663% (1-Month USD-LIBOR + 1.600%) due 7/15/31(a)(b) | | | | | 396,176 | | |
| | | 400,000 | | | | Series 2018-TWR, Class E, 4.163% (1-Month USD-LIBOR + 2.100%) due 7/15/31(a)(b) | | | | | 395,556 | | |
| | | 400,000 | | | | Series 2018-TWR, Class F, 4.863% (1-Month USD-LIBOR + 2.800%) due 7/15/31(a)(b) | | | | | 395,600 | | |
| | | 400,000 | | | | Series 2018-TWR, Class G, 5.987% (1-Month USD-LIBOR + 3.925%) due 7/15/31(a)(b) | | | | | 395,612 | | |
| | | | | | | GS Mortgage Securities Trust: | | ||||||
| | | 896,614 | | | | Series 2012-GC6, Class A3, 3.482% due 1/10/45 | | | | | 903,622 | | |
| | | 1,740,000 | | | | Series 2015-GC28, Class D, 4.470% due 2/10/48(a)(b) | | | | | 1,405,616 | | |
| | | 10,548,098 | | | | Series 2017-GS7, Class XA, 1.285% due 8/10/50(a)(c) | | | | | 809,844 | | |
| | | 9,847,853 | | | | HarborView Mortgage Loan Trust, Series 2006-14, Class 2A1A, 2.227% (1-Month USD-LIBOR + 0.150%) due 1/25/47(a) | | | | | 9,364,411 | | |
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Corp.: | | ||||||
| | | 214,000 | | | | Series 2017-FL10, Class B, 3.063% (1-Month USD-LIBOR + 1.000%) due 6/15/32(a)(b) | | | | | 214,218 | | |
| | | 161,000 | | | | Series 2017-FL10, Class C, 3.313% (1-Month USD-LIBOR + 1.250%) due 6/15/32(a)(b) | | | | | 161,849 | | |
| | | 523,000 | | | | Series 2017-FL10, Class D, 3.963% (1-Month USD-LIBOR + 1.900%) due 6/15/32(a)(b) | | | | | 525,482 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | ||||||
| | $ | 924,481 | | | | Series 2012-C8, Class A3, 2.829% due 10/15/45 | | | | $ | 909,433 | | |
| | | 996,000 | | | | Series 2018-LAQ, Class A, 3.063% (1-Month USD-LIBOR + 1.000%) due 6/15/32(a)(b) | | | | | 997,532 | | |
| | | 4,565,614 | | | | JP Morgan Mortgage Trust, Series 2018-7FRB, Class A2, 2.814% (1-Month USD-LIBOR + 0.750%) due 4/25/46(a)(b) | | | | | 4,584,102 | | |
| | | | | | | JPMBB Commercial Mortgage Securities Trust: | | ||||||
| | | 1,667,000 | | | | Series 2015-C27, Class C, 4.483% due 2/15/48(a) | | | | | 1,643,303 | | |
| | | 1,906,000 | | | | Series 2015-C28, Class C, 4.377% due 10/15/48(a) | | | | | 1,853,504 | | |
| | | 1,817,000 | | | | Merrill Lynch Mortgage Trust, Series 2005-MKB2, Class F, 6.527% due 9/12/42(a)(b) | | | | | 1,874,253 | | |
| | | 1,082,000 | | | | Monarch Beach Resort Trust, Series 2018-MBR, Class A, 3.030% (1-Month USD-LIBOR + 0.920%) due 7/15/35(a)(b) | | | | | 1,083,670 | | |
| | | | | | | Morgan Stanley Bank of America Merrill Lynch Trust: | | ||||||
| | | 500,000 | | | | Series 2014-C15, Class A3, 3.773% due 4/15/47 | | | | | 507,747 | | |
| | | 2,000,000 | | | | Series 2014-C17, Class C, 4.614% due 8/15/47(a) | | | | | 1,985,460 | | |
| | | 26,550,296 | | | | Series 2014-C19, Class XA, 1.257% due 12/15/47(a)(c) | | | | | 1,076,317 | | |
| | | 852,000 | | | | Series 2016-C31, Class C, 4.462% due 11/15/49(a) | | | | | 847,009 | | |
| | | 35,123,034 | | | | Series 2016-C32, Class XA, 0.901% due 12/15/49(a)(c) | | | | | 1,655,970 | | |
| | | | | | | Morgan Stanley Capital I Trust: | | ||||||
| | | 1,964,000 | | | | Series 2011-C1, Class D, 5.599% due 9/15/47(a)(b) | | | | | 2,022,499 | | |
| | | 25,422,375 | | | | Series 2016-BNK2, Class XA, 1.232% due 11/15/49(a)(c) | | | | | 1,576,019 | | |
| | | 18,207,371 | | | | Series 2016-UB11, Class XA, 1.790% due 8/15/49(a)(c) | | | | | 1,612,476 | | |
| | | 14,634,461 | | | | Series 2016-UB12, Class XA, 0.948% due 12/15/49(a)(c) | | | | | 671,808 | | |
| | | 1,083,000 | | | | Series 2018-SUN, Class A, 2.963% (1-Month USD-LIBOR + 0.900%) due 7/15/35(a)(b) | | | | | 1,083,000 | | |
| | | 954,061 | | | | Motel 6 Trust, Series 2017-MTL6, Class A, 2.983% (1-Month USD-LIBOR + 0.920%) due 8/15/34(a)(b) | | | | | 954,352 | | |
| | | 997,000 | | | | Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, 3.022% (1-Month USD-LIBOR + 0.950%) due 6/15/35(a)(b) | | | | | 995,222 | | |
| | | 1,667,000 | | | | PFP Ltd., Series 2017-3, Class C, 4.563% (1-Month USD-LIBOR + 2.500%) due 1/14/35(a)(b) | | | | | 1,667,854 | | |
| | | | | | | RALI Series Trust: | | ||||||
| | | 2,860,965 | | | | Series 2005-QS13, Class 1A3, 5.500% due 9/25/35 | | | | | 2,661,811 | | |
| | | 25,738,274 | | | | Series 2007-QH5, Class AII, 2.295% (1-Month USD-LIBOR + 0.230%) due 6/25/37(a) | | | | | 14,123,029 | | |
| | | | | | | Rosslyn Portfolio Trust: | | ||||||
| | | 429,000 | | | | Series 2017-ROSS, Class A, 3.013% (1-Month USD-LIBOR + 0.950%) due 6/15/33(a)(b) | | | | | 429,671 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 429,000 | | | | Series 2017-ROSS, Class B, 3.313% (1-Month USD-LIBOR + 1.250%) due 6/15/33(a)(b) | | | | $ | 430,076 | | |
| | | 500,000 | | | | Sound Point CLO Ltd., Series 2018-B5, Class A1A, zero coupon, due 10/15/31(a)(b)(d) | | | | | 500,000 | | |
| | | | | | | UBS Commercial Mortgage Trust: | | ||||||
| | | 7,091,742 | | | | Series 2017-C1, Class XA, 1.763% due 6/15/50(a)(c) | | | | | 721,022 | | |
| | | 979,000 | | | | Series 2018-C8, Class C, 4.862% due 2/15/51(a) | | | | | 986,346 | | |
| | | 5,013,585 | | | | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class XA, 1.106% due 3/10/46(a)(b)(c) | | | | | 175,704 | | |
| | | 1,686,000 | | | | UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1, Class D, 6.252% due 1/10/45(a)(b) | | | | | 1,765,975 | | |
| | | | | | | Wells Fargo Commercial Mortgage Trust: | | ||||||
| | | 295,000 | | | | Series 2010-C1, Class C, 5.783% due 11/15/43(a)(b) | | | | | 303,271 | | |
| | | 1,356,000 | | | | Series 2015-C27, Class C, 3.894% due 2/15/48 | | | | | 1,269,094 | | |
| | | 1,000,000 | | | | Series 2015-LC20, Class A3, 3.086% due 4/15/50 | | | | | 991,253 | | |
| | | 2,581,000 | | | | Series 2015-NXS4, Class E, 3.753% due 12/15/48(a)(b) | | | | | 1,940,579 | | |
| | | 17,571,815 | | | | Series 2016-C33, Class XA, 1.946% due 3/15/59(a)(c) | | | | | 1,622,341 | | |
| | | 11,056,588 | | | | Series 2016-NXS6, Class XA, 1.790% due 11/15/49(a)(c) | | | | | 976,393 | | |
| | | 10,442,406 | | | | Series 2017-C38, Class XA, 1.226% due 7/15/50(a)(c) | | | | | 731,753 | | |
| | | 1,200,000 | | | | Series 2017-C42, Class A4, 3.589% due 12/15/50 | | | | | 1,190,353 | | |
| | | 1,505,000 | | | | WFRBS Commercial Mortgage Trust, Series 2012-C6, Class A4, 3.440% due 4/15/45 | | | | | 1,513,695 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $359,086,116) | | | | | 349,177,922 | | |
| CORPORATE BONDS & NOTES – 18.9% | | ||||||||||||
| Basic Materials – 0.5% | | ||||||||||||
| | | 350,000 | | | | Air Products & Chemicals Inc., Senior Unsecured Notes, 3.000% due 11/3/21 | | | | | 349,261 | | |
| | | 245,000 | | | | AK Steel Corp., Company Guaranteed Notes, 6.375% due 10/15/25 | | | | | 227,850 | | |
| | | 25,000 | | | | ArcelorMittal, Senior Unsecured Notes, 7.000% due 10/15/39 | | | | | 29,152 | | |
| | | 100,000 | | | | Barrick North America Finance LLC, Company Guaranteed Notes, 5.750% due 5/1/43 | | | | | 109,921 | | |
| | | 400,000 | | | | BHP Billiton Finance USA Ltd., Company Guaranteed Notes, 4.125% due 2/24/42 | | | | | 401,364 | | |
| | | 300,000 | | | | Celulosa Arauco y Constitucion SA, Senior Unsecured Notes, 4.750% due 1/11/22 | | | | | 306,000 | | |
| | | | | | | Dow Chemical Co., Senior Unsecured Notes: | | ||||||
| | | 100,000 | | | | 4.250% due 11/15/20 | | | | | 102,145 | | |
| | | 250,000 | | | | 4.625% due 10/1/44 | | | | | 248,136 | | |
| | | 150,000 | | | | Eastman Chemical Co., Senior Unsecured Notes, 3.800% due 3/15/25 | | | | | 149,254 | | |
| | | 400,000 | | | | Fresnillo PLC, Senior Unsecured Notes, 5.500% due 11/13/23 | | | | | 413,000 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Basic Materials – (continued) | | ||||||||||||
| | $ | 460,000 | | | | Georgia-Pacific LLC, Senior Unsecured Notes, 3.600% due 3/1/25(b) | | | | $ | 458,710 | | |
| | | | | | | Hexion Inc., Senior Secured Notes: | | ||||||
| | | 70,000 | | | | 6.625% due 4/15/20 | | | | | 66,238 | | |
| | | 180,000 | | | | 10.375% due 2/1/22(b) | | | | | 177,125 | | |
| | | 30,000 | | | | Hi-Crush Partners LP, Senior Unsecured Notes, 9.500% due 8/1/26(b) | | | | | 28,800 | | |
| | | | | | | International Paper Co., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 3.000% due 2/15/27 | | | | | 462,679 | | |
| | | 100,000 | | | | 4.400% due 8/15/47 | | | | | 92,006 | | |
| | | 500,000 | | | | LYB International Finance II BV, Company Guaranteed Notes, 3.500% due 3/2/27 | | | | | 475,167 | | |
| | | 715,000 | | | | Mosaic Co., Senior Unsecured Notes, 4.050% due 11/15/27 | | | | | 694,445 | | |
| | | 250,000 | | | | Nutrien Ltd., Senior Unsecured Notes, 6.125% due 1/15/41 | | | | | 284,431 | | |
| | | 200,000 | | | | Rio Tinto Finance USA Ltd., Company Guaranteed Notes, 5.200% due 11/2/40 | | | | | 225,783 | | |
| | | | | | | Sherwin-Williams Co., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 2.250% due 5/15/20 | | | | | 246,590 | | |
| | | 100,000 | | | | 4.500% due 6/1/47 | | | | | 96,060 | | |
| | | | | | | Southern Copper Corp., Senior Unsecured Notes: | | ||||||
| | | 125,000 | | | | 3.875% due 4/23/25 | | | | | 121,547 | | |
| | | 125,000 | | | | 6.750% due 4/16/40 | | | | | 147,733 | | |
| | | 1,100,000 | | | | UPL Corp., Ltd., Senior Unsecured Notes, 3.250% due 10/13/21 | | | | | 1,067,437 | | |
| | | 500,000 | | | | Vale Overseas Ltd., Company Guaranteed Notes, 6.250% due 8/10/26 | | | | | 549,440 | | |
| | | | | | | Vedanta Resources PLC, Senior Unsecured Notes: | | ||||||
| | | 200,000 | | | | 7.125% due 5/31/23 | | | | | 194,600 | | |
| | | 1,000,000 | | | | 6.125% due 8/9/24 | | | | | 904,602 | | |
| | | 250,000 | | | | Westlake Chemical Corp., Company Guaranteed Notes, 5.000% due 8/15/46 | | | | | 252,448 | | |
| | | | | | | Total Basic Materials | | | | | 8,881,924 | | |
| Communications – 1.8% | | ||||||||||||
| | | | | | | 21st Century Fox America Inc., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 3.375% due 11/15/26 | | | | | 243,166 | | |
| | | 250,000 | | | | 4.750% due 11/15/46 | | | | | 267,575 | | |
| | | 200,000 | | | | Alibaba Group Holding Ltd., Senior Unsecured Notes, 4.000% due 12/6/37 | | | | | 187,156 | | |
| | | 215,000 | | | | Altice US Finance I Corp., Senior Secured Notes, 5.375% due 7/15/23(b) | | | | | 216,344 | | |
| | | | | | | Amazon.com Inc., Senior Unsecured Notes: | | ||||||
| | | 770,000 | | | | 2.800% due 8/22/24 | | | | | 746,586 | | |
| | | 635,000 | | | | 3.800% due 12/5/24 | | | | | 651,281 | | |
| | | 250,000 | | | | 3.150% due 8/22/27 | | | | | 241,258 | | |
| | | 250,000 | | | | 4.050% due 8/22/47 | | | | | 246,613 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 250,000 | | | | America Movil SAB de CV, Senior Unsecured Notes, 4.375% due 7/16/42 | | | | $ | 245,324 | | |
| | | | | | | AT&T Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.450% due 6/30/20 | | | | | 493,373 | | |
| | | 500,000 | | | | 3.200% due 3/1/22 | | | | | 494,279 | | |
| | | 250,000 | | | | 3.800% due 3/1/24 | | | | | 248,364 | | |
| | | 715,000 | | | | 3.400% due 5/15/25 | | | | | 679,322 | | |
| | | 250,000 | | | | 4.250% due 3/1/27 | | | | | 246,642 | | |
| | | 100,000 | | | | 4.300% due 2/15/30(b) | | | | | 95,796 | | |
| | | 250,000 | | | | 5.250% due 3/1/37 | | | | | 247,885 | | |
| | | 250,000 | | | | 5.350% due 9/1/40 | | | | | 245,970 | | |
| | | 200,000 | | | | 4.500% due 3/9/48 | | | | | 172,659 | | |
| | | 500,000 | | | | 5.700% due 3/1/57 | | | | | 500,988 | | |
| | | 1,500,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 3.466% due 11/19/20 | | | | | 1,495,131 | | |
| | | 600,000 | | | | Bharti Airtel International Netherlands BV, Company Guaranteed Notes, 5.125% due 3/11/23 | | | | | 599,039 | | |
| | | 1,000,000 | | | | Bharti Airtel Ltd., Senior Unsecured Notes, 4.375% due 6/10/25 | | | | | 942,589 | | |
| | | 1,300,000 | | | | C&W Senior Financing DAC, Senior Unsecured Notes, 6.875% due 9/15/27 | | | | | 1,290,250 | | |
| | | | | | | CBS Corp., Company Guaranteed Notes: | | ||||||
| | | 100,000 | | | | 3.375% due 3/1/22 | | | | | 98,980 | | |
| | | 100,000 | | | | 5.900% due 10/15/40 | | | | | 110,781 | | |
| | | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | ||||||
| | | 115,000 | | | | 5.750% due 2/15/26(b) | | | | | 115,000 | | |
| | | 125,000 | | | | 5.000% due 2/1/28(b) | | | | | 117,066 | | |
| | | 170,000 | | | | Cengage Learning Inc., Senior Unsecured Notes, 9.500% due 6/15/24(b) | | | | | 146,302 | | |
| | | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | ||||||
| | | 490,000 | | | | 4.464% due 7/23/22 | | | | | 499,783 | | |
| | | 250,000 | | | | 4.908% due 7/23/25 | | | | | 254,918 | | |
| | | 250,000 | | | | 6.484% due 10/23/45 | | | | | 266,525 | | |
| | | 220,000 | | | | Cincinnati Bell Inc., Company Guaranteed Notes, 7.000% due 7/15/24(b) | | | | | 193,600 | | |
| | | | | | | Cisco Systems Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.200% due 9/20/23 | | | | | 478,212 | | |
| | | 100,000 | | | | 3.625% due 3/4/24 | | | | | 102,148 | | |
| | | 200,000 | | | | Colombia Telecomunicaciones SA ESP, Junior Subordinated Notes, 8.500% (5-Year USD Swap Rate + 6.958%)(a)(e) | | | | | 206,060 | | |
| | | | | | | Comcast Corp., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 3.000% due 2/1/24 | | | | | 243,227 | | |
| | | 250,000 | | | | 3.300% due 2/1/27 | | | | | 239,936 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 150,000 | | | | 4.400% due 8/15/35 | | | | $ | 149,278 | | |
| | | 500,000 | | | | 3.400% due 7/15/46 | | | | | 413,893 | | |
| | | 100,000 | | | | 3.999% due 11/1/49 | | | | | 90,055 | | |
| | | 230,000 | | | | CommScope Technologies LLC, Company Guaranteed Notes, 6.000% due 6/15/25(b) | | | | | 238,050 | | |
| | | 500,000 | | | | Comunicaciones Celulares SA Via Comcel Trust, Senior Unsecured Notes, 6.875% due 2/6/24 | | | | | 515,200 | | |
| | | 125,000 | | | | CSC Holdings LLC, Senior Unsecured Notes, 5.250% due 6/1/24 | | | | | 121,250 | | |
| | | 500,000 | | | | Digicel Group Ltd., Senior Unsecured Notes, 7.125% due 4/1/22 | | | | | 295,000 | | |
| | | | | | | Discovery Communications LLC, Company Guaranteed Notes: | | ||||||
| | | 200,000 | | | | 2.950% due 3/20/23 | | | | | 192,273 | | |
| | | 400,000 | | | | 3.800% due 3/13/24 | | | | | 395,098 | | |
| | | 100,000 | | | | eBay Inc., Senior Unsecured Notes, 4.000% due 7/15/42 | | | | | 83,690 | | |
| | | 130,000 | | | | Embarq Corp., Senior Unsecured Notes, 7.995% due 6/1/36 | | | | | 126,750 | | |
| | | 1,135,000 | | | | Expedia Group Inc., Company Guaranteed Notes, 3.800% due 2/15/28 | | | | | 1,064,233 | | |
| | | 65,000 | | | | Frontier Communications Corp., Secured Notes, 8.500% due 4/1/26(b) | | | | | 61,152 | | |
| | | 250,000 | | | | Grupo Televisa SAB, Senior Unsecured Notes, 4.625% due 1/30/26 | | | | | 254,583 | | |
| | | 200,000 | | | | GTT Communications Inc., Company Guaranteed Notes, 7.875% due 12/31/24(b) | | | | | 189,000 | | |
| | | 130,000 | | | | Intelsat Jackson Holdings SA, Company Guaranteed Notes, 5.500% due 8/1/23 | | | | | 118,586 | | |
| | | 110,000 | | | | Iridium Communications Inc., Senior Unsecured Notes, 10.250% due 4/15/23(b) | | | | | 118,800 | | |
| | | 465,000 | | | | Level 3 Financing Inc., Company Guaranteed Notes, 5.375% due 8/15/22 | | | | | 469,650 | | |
| | | 250,000 | | | | Match Group Inc., Senior Unsecured Notes, 5.000% due 12/15/27(b) | | | | | 245,625 | | |
| | | | | | | Millicom International Cellular SA, Senior Unsecured Notes: | | ||||||
| | | 400,000 | | | | 6.000% due 3/15/25 | | | | | 404,500 | | |
| | | 200,000 | | | | 5.125% due 1/15/28 | | | | | 186,600 | | |
| | | 100,000 | | | | Omnicom Group Inc./Omnicom Capital Inc., Senior Unsecured Notes, 3.600% due 4/15/26 | | | | | 96,468 | | |
| | | 130,000 | | | | Radiate Holdco LLC/Radiate Finance Inc., Senior Unsecured Notes, 6.875% due 2/15/23(b) | | | | | 125,450 | | |
| | | 100,000 | | | | Rogers Communications Inc., Company Guaranteed Notes, 5.000% due 3/15/44 | | | | | 104,080 | | |
| | | 600,000 | | | | SingTel Group Treasury Pte Ltd., Company Guaranteed Notes, 4.500% due 9/8/21 | | | | | 617,353 | | |
| | | 150,000 | | | | Sirius XM Radio Inc., Company Guaranteed Notes, 5.375% due 7/15/26(b) | | | | | 149,625 | | |
| | | 350,000 | | | | Sprint Corp., Company Guaranteed Notes, 7.125% due 6/15/24 | | | | | 363,125 | | |
| | | 600,000 | | | | Telefonica Chile SA, Senior Unsecured Notes, 3.875% due 10/12/22 | | | | | 593,695 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | | | | | | Telefonica Emisiones SAU, Company Guaranteed Notes: | | ||||||
| | $ | 250,000 | | | | 4.103% due 3/8/27 | | | | $ | 243,095 | | |
| | | 200,000 | | | | 5.213% due 3/8/47 | | | | | 196,774 | | |
| | | 180,000 | | | | Telesat Canada/Telesat LLC, Company Guaranteed Notes, 8.875% due 11/15/24(b) | | | | | 192,825 | | |
| | | 300,000 | | | | TELUS Corp., Senior Unsecured Notes, 3.700% due 9/15/27 | | | | | 294,286 | | |
| | | | | | | Time Warner Cable LLC, Senior Secured Notes: | | ||||||
| | | 500,000 | | | | 4.000% due 9/1/21 | | | | | 503,880 | | |
| | | 150,000 | | | | 7.300% due 7/1/38 | | | | | 174,282 | | |
| | | 250,000 | | | | 4.500% due 9/15/42 | | | | | 210,652 | | |
| | | 125,000 | | | | T-Mobile USA Inc., Company Guaranteed Notes, 4.500% due 2/1/26 | | | | | 119,219 | | |
| | | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | ||||||
| | | 520,000 | | | | 3.500% due 11/1/24 | | | | | 513,950 | | |
| | | 250,000 | | | | 4.125% due 3/16/27 | | | | | 251,176 | | |
| | | 493,000 | | | | 4.329% due 9/21/28(b) | | | | | 496,675 | | |
| | | 500,000 | | | | 5.250% due 3/16/37 | | | | | 528,530 | | |
| | | 750,000 | | | | 5.012% due 4/15/49 | | | | | 752,262 | | |
| | | 75,000 | | | | 4.672% due 3/15/55 | | | | | 69,256 | | |
| | | 200,000 | | | | Viacom Inc., Senior Unsecured Notes, 5.850% due 9/1/43 | | | | | 207,660 | | |
| | | | | | | Vodafone Group PLC, Senior Unsecured Notes: | | ||||||
| | | 350,000 | | | | 4.375% due 5/30/28 | | | | | 347,031 | | |
| | | 250,000 | | | | 4.375% due 2/19/43 | | | | | 225,727 | | |
| | | | | | | VTR Finance BV, Senior Secured Notes: | | ||||||
| | | 600,000 | | | | 6.875% due 1/15/24 | | | | | 612,600 | | |
| | | 300,000 | | | | 6.875% due 1/15/24(b) | | | | | 306,300 | | |
| | | | | | | Walt Disney Co., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 1.950% due 3/4/20 | | | | | 493,562 | | |
| | | 500,000 | | | | 2.450% due 3/4/22 | | | | | 487,897 | | |
| | | 125,000 | | | | 3.150% due 9/17/25 | | | | | 122,735 | | |
| | | | | | | Warner Media LLC, Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 3.800% due 2/15/27 | | | | | 479,571 | | |
| | | 250,000 | | | | 4.850% due 7/15/45 | | | | | 233,530 | | |
| | | | | | | Total Communications | | | | | 29,716,665 | | |
| Consumer Cyclical – 1.1% | | ||||||||||||
| | | 240,000 | | | | 1011778 BC ULC/New Red Finance Inc., Secured Notes, 5.000% due 10/15/25(b) | | | | | 231,600 | | |
| | | 205,000 | | | | American Axle & Manufacturing Inc., Company Guaranteed Notes, 6.250% due 3/15/26 | | | | | 202,181 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | | | | | | American Honda Finance Corp., Senior Unsecured Notes: | | ||||||
| | $ | 500,000 | | | | 2.000% due 2/14/20 | | | | $ | 493,970 | | |
| | | 500,000 | | | | 2.900% due 2/16/24 | | | | | 486,778 | | |
| | | 245,000 | | | | Beacon Roofing Supply Inc., Company Guaranteed Notes, 4.875% due 11/1/25(b) | | | | | 226,012 | | |
| | | 225,000 | | | | Boyne USA Inc., Secured Notes, 7.250% due 5/1/25(b) | | | | | 238,500 | | |
| | | 265,000 | | | | Caesars Resort Collection LLC/CRC Finco Inc., Company Guaranteed Notes, 5.250% due 10/15/25(b) | | | | | 253,406 | | |
| | | 300,000 | | | | Cintas Corp. No 2, Company Guaranteed Notes, 2.900% due 4/1/22 | | | | | 294,896 | | |
| | | 120,000 | | | | Constellation Merger Sub Inc., Senior Unsecured Notes, 8.500% due 9/15/25(b) | | | | | 113,400 | | |
| | | 120,000 | | | | Dana Financing Luxembourg SARL, Company Guaranteed Notes, 5.750% due 4/15/25(b) | | | | | 120,000 | | |
| | | | | | | Delta Air Lines Inc., Senior Unsecured Notes: | | ||||||
| | | 300,000 | | | | 2.875% due 3/13/20 | | | | | 297,738 | | |
| | | 630,000 | | | | 3.625% due 3/15/22 | | | | | 624,324 | | |
| | | 505,000 | | | | Dollar Tree Inc., Senior Unsecured Notes, 4.000% due 5/15/25 | | | | | 498,942 | | |
| | | 255,000 | | | | Eldorado Resorts Inc., Company Guaranteed Notes, 6.000% due 4/1/25 | | | | | 259,144 | | |
| | | 250,000 | | | | Ford Motor Co., Senior Unsecured Notes, 5.291% due 12/8/46 | | | | | 221,897 | | |
| | | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.681% due 1/9/20 | | | | | 494,222 | | |
| | | 500,000 | | | | 3.810% due 1/9/24 | | | | | 479,755 | | |
| | | | | | | General Motors Co., Senior Unsecured Notes: | | ||||||
| | | 205,000 | | | | 3.143% (3-Month USD-LIBOR + 0.800%) due 8/7/20(a) | | | | | 205,934 | | |
| | | 100,000 | | | | 6.750% due 4/1/46 | | | | | 109,771 | | |
| | | | | | | General Motors Financial Co., Inc., Company Guaranteed Notes: | | ||||||
| | | 100,000 | | | | 3.150% due 1/15/20 | | | | | 100,048 | | |
| | | 500,000 | | | | 3.450% due 1/14/22 | | | | | 494,199 | | |
| | | 505,000 | | | | 3.327% (3-Month USD-LIBOR + 0.990%) due 1/5/23(a) | | | | | 506,101 | | |
| | | 415,000 | | | | 3.950% due 4/13/24 | | | | | 406,007 | | |
| | | 500,000 | | | | 4.350% due 1/17/27 | | | | | 487,575 | | |
| | | 265,000 | | | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes, 5.750% due 6/1/28 | | | | | 280,847 | | |
| | | 1,500,000 | | | | Gohl Capital Ltd., Company Guaranteed Notes, 4.250% due 1/24/27 | | | | | 1,439,457 | | |
| | | 175,000 | | | | Golden Nugget Inc., Senior Unsecured Notes, 6.750% due 10/15/24(b) | | | | | 177,844 | | |
| | | 495,000 | | | | Hasbro Inc., Senior Unsecured Notes, 3.500% due 9/15/27 | | | | | 463,258 | | |
| | | 125,000 | | | | Hilton Domestic Operating Co., Inc., Company Guaranteed Notes, 4.250% due 9/1/24 | | | | | 121,562 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | | | | | | Home Depot Inc., Senior Unsecured Notes: | | ||||||
| | $ | 250,000 | | | | 2.625% due 6/1/22 | | | | $ | 245,698 | | |
| | | 250,000 | | | | 2.125% due 9/15/26 | | | | | 225,607 | | |
| | | 250,000 | | | | 3.500% due 9/15/56 | | | | | 220,298 | | |
| | | 270,000 | | | | IRB Holding Corp., Company Guaranteed Notes, 6.750% due 2/15/26(b) | | | | | 257,850 | | |
| | | 120,000 | | | | KAR Auction Services Inc., Company Guaranteed Notes, 5.125% due 6/1/25(b) | | | | | 117,600 | | |
| | | 400,000 | | | | Latam Finance Ltd., Company Guaranteed Notes, 6.875% due 4/11/24 | | | | | 390,204 | | |
| | | 120,000 | | | | Live Nation Entertainment Inc., Company Guaranteed Notes, 5.625% due 3/15/26(b) | | | | | 120,600 | | |
| | | 250,000 | | | | Lowe’s Cos., Inc., Senior Unsecured Notes, 3.700% due 4/15/46 | | | | | 229,125 | | |
| | | 440,000 | | | | LTF Merger Sub Inc., Company Guaranteed Notes, 8.500% due 6/15/23(b) | | | | | 458,700 | | |
| | | 150,000 | | | | Macy’s Retail Holdings Inc., Company Guaranteed Notes, 4.500% due 12/15/34 | | | | | 125,813 | | |
| | | 30,000 | | | | Marriott Ownership Resorts Inc., Company Guaranteed Notes, 6.500% due 9/15/26(b) | | | | | 30,600 | | |
| | | | | | | McDonald’s Corp., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.500% due 3/1/27 | | | | | 244,118 | | |
| | | 75,000 | | | | 4.875% due 12/9/45 | | | | | 78,211 | | |
| | | 250,000 | | | | 4.450% due 3/1/47 | | | | | 249,963 | | |
| | | 351,000 | | | | NCL Corp., Ltd, Senior Unsecured Notes, 4.750% due 12/15/21(b) | | | | | 353,194 | | |
| | | | | | | Newell Brands Inc., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.150% due 4/1/21 | | | | | 246,273 | | |
| | | 125,000 | | | | 5.375% due 4/1/36 | | | | | 120,365 | | |
| | | 300,000 | | | | Nordstrom Inc., Senior Unsecured Notes, 4.000% due 3/15/27(f) | | | | | 293,319 | | |
| | | 300,000 | | | | PACCAR Financial Corp., Senior Unsecured Notes, 1.950% due 2/27/20 | | | | | 295,577 | | |
| | | 180,000 | | | | PetSmart Inc., Company Guaranteed Notes, 7.125% due 3/15/23(b) | | | | | 121,050 | | |
| | | 400,000 | | | | SACI Falabella, Senior Unsecured Notes, 3.750% due 4/30/23 | | | | | 394,272 | | |
| | | 115,000 | | | | Six Flags Entertainment Corp., Company Guaranteed Notes, 4.875% due 7/31/24(b) | | | | | 112,988 | | |
| | | 125,000 | | | | Stars Group Holdings BV/Stars Group US Co. – Borrower LLC, Company Guaranteed Notes, 7.000% due 7/15/26(b) | | | | | 130,000 | | |
| | | | | | | Target Corp., Senior Unsecured Notes: | | ||||||
| | | 100,000 | | | | 2.900% due 1/15/22 | | | | | 99,694 | | |
| | | 125,000 | | | | 3.500% due 7/1/24 | | | | | 126,901 | | |
| | | 100,000 | | | | 3.900% due 11/15/47 | | | | | 94,953 | | |
| | | 245,000 | | | | Tempur Sealy International Inc., Company Guaranteed Notes, 5.500% due 6/15/26 | | | | | 238,875 | | |
| | | 500,000 | | | | Toyota Motor Credit Corp., Senior Unsecured Notes, 1.550% due 10/18/19 | | | | | 493,670 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 240,000 | | | | Viking Cruises Ltd., Company Guaranteed Notes, 5.875% due 9/15/27(b) | | | | $ | 235,800 | | |
| | | 500,000 | | | | Walgreens Boots Alliance Inc., Senior Unsecured Notes, 3.450% due 6/1/26 | | | | | 476,391 | | |
| | | | | | | Walmart Inc., Senior Unsecured Notes: | | ||||||
| | | 150,000 | | | | 3.125% due 6/23/21 | | | | | 150,687 | | |
| | | 250,000 | | | | 2.550% due 4/11/23 | | | | | 243,880 | | |
| | | 250,000 | | | | 3.300% due 4/22/24 | | | | | 250,486 | | |
| | | 250,000 | | | | 4.300% due 4/22/44 | | | | | 263,037 | | |
| | | 250,000 | | | | 4.050% due 6/29/48 | | | | | 251,295 | | |
| | | 100,000 | | | | WW Grainger Inc., Senior Unsecured Notes, 4.200% due 5/15/47 | | | | | 100,012 | | |
| | | | | | | Total Consumer Cyclical | | | | | 18,416,474 | | |
| Consumer Non-cyclical – 3.1% | | ||||||||||||
| | | | | | | Abbott Laboratories, Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.750% due 11/30/26 | | | | | 247,865 | | |
| | | 250,000 | | | | 4.900% due 11/30/46 | | | | | 271,651 | | |
| | | | | | | AbbVie Inc., Senior Unsecured Notes: | | ||||||
| | | 520,000 | | | | 3.200% due 11/6/22 | | | | | 513,362 | | |
| | | 500,000 | | | | 2.850% due 5/14/23 | | | | | 483,573 | | |
| | | 475,000 | | | | 4.450% due 5/14/46 | | | | | 448,568 | | |
| | | | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes: | | ||||||
| | | 200,000 | | | | 3.500% due 7/29/20 | | | | | 197,605 | | |
| | | 400,000 | | | | 3.950% due 1/19/22 | | | | | 391,845 | | |
| | | 100,000 | | | | Aetna Inc., Senior Unsecured Notes, 3.875% due 8/15/47 | | | | | 88,900 | | |
| | | 130,000 | | | | Albertsons Cos LLC/Safeway Inc./New Albertsons LP/Albertson’s LLC, Company Guaranteed Notes, 5.750% due 3/15/25 | | | | | 117,650 | | |
| | | 100,000 | | | | Allergan Finance LLC, Company Guaranteed Notes, 3.250% due 10/1/22 | | | | | 98,036 | | |
| | | | | | | Allergan Funding SCS, Company Guaranteed Notes: | | ||||||
| | | 140,000 | | | | 3.850% due 6/15/24 | | | | | 139,584 | | |
| | | 925,000 | | | | 3.800% due 3/15/25 | | | | | 916,141 | | |
| | | 100,000 | | | | 4.550% due 3/15/35 | | | | | 98,045 | | |
| | | 84,000 | | | | 4.750% due 3/15/45 | | | | | 83,459 | | |
| | | 250,000 | | | | Altria Group Inc., Company Guaranteed Notes, 3.875% due 9/16/46 | | | | | 222,038 | | |
| | | | | | | Amgen Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.600% due 8/19/26 | | | | | 457,081 | | |
| | | 150,000 | | | | 4.950% due 10/1/41 | | | | | 153,526 | | |
| | | 50,000 | | | | 4.663% due 6/15/51 | | | | | 49,855 | | |
| | | | | | | Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes: | | ||||||
| | | 975,000 | | | | 2.650% due 2/1/21 | | | | | 963,661 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 300,000 | | | | 3.300% due 2/1/23 | | | | $ | 297,639 | | |
| | | 125,000 | | | | 3.650% due 2/1/26 | | | | | 122,281 | | |
| | | 450,000 | | | | 4.700% due 2/1/36 | | | | | 456,170 | | |
| | | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | ||||||
| | | 200,000 | | | | 4.000% due 4/13/28 | | | | | 199,203 | | |
| | | 350,000 | | | | 4.950% due 1/15/42 | | | | | 363,934 | | |
| | | 200,000 | | | | 3.750% due 7/15/42 | | | | | 177,896 | | |
| | | 150,000 | | | | 4.600% due 4/15/48 | | | | | 147,329 | | |
| | | | | | | Anthem Inc., Senior Unsecured Notes: | | ||||||
| | | 1,055,000 | | | | 3.300% due 1/15/23 | | | | | 1,045,129 | | |
| | | 100,000 | | | | 4.650% due 1/15/43 | | | | | 97,939 | | |
| | | 200,000 | | | | 4.375% due 12/1/47 | | | | | 186,659 | | |
| | | | | | | AstraZeneca PLC, Senior Unsecured Notes: | | ||||||
| | | 515,000 | | | | 2.375% due 6/12/22 | | | | | 496,665 | | |
| | | 500,000 | | | | 3.375% due 11/16/25 | | | | | 486,059 | | |
| | | 100,000 | | | | 4.375% due 11/16/45 | | | | | 99,597 | | |
| | | | | | | Avantor Inc.: | | ||||||
| | | 80,000 | | | | Senior Secured Notes, 6.000% due 10/1/24(b) | | | | | 81,200 | | |
| | | 190,000 | | | | Senior Unsecured Notes, 9.000% due 10/1/25(b) | | | | | 195,937 | | |
| | | 295,000 | | | | B&G Foods Inc., Company Guaranteed Notes, 5.250% due 4/1/25(f) | | | | | 286,519 | | |
| | | 100,000 | | | | BAT Capital Corp., Company Guaranteed Notes, 3.222% due 8/15/24(b) | | | | | 95,604 | | |
| | | | | | | Bausch Health Cos., Inc.: | | ||||||
| | | 160,000 | | | | Company Guaranteed Notes, 8.500% due 1/31/27(b) | | | | | 164,400 | | |
| | | 65,000 | | | | Senior Secured Notes, 7.000% due 3/15/24(b) | | | | | 68,575 | | |
| | | | | | | Becton Dickinson & Co., Senior Unsecured Notes: | | ||||||
| | | 1,060,000 | | | | 2.894% due 6/6/22 | | | | | 1,031,954 | | |
| | | 200,000 | | | | 3.363% due 6/6/24 | | | | | 193,548 | | |
| | | 250,000 | | | | 3.700% due 6/6/27 | | | | | 239,389 | | |
| | | 100,000 | | | | Biogen Inc., Senior Unsecured Notes, 5.200% due 9/15/45 | | | | | 107,330 | | |
| | | 500,000 | | | | Boston Scientific Corp., Senior Unsecured Notes, 4.000% due 3/1/28 | | | | | 497,537 | | |
| | | 250,000 | | | | Bristol-Myers Squibb Co., Senior Unsecured Notes, 3.250% due 2/27/27 | | | | | 244,372 | | |
| | | 250,000 | | | | Campbell Soup Co., Senior Unsecured Notes, 3.950% due 3/15/25 | | | | | 243,040 | | |
| | | | | | | Cardinal Health Inc., Senior Unsecured Notes: | | ||||||
| | | 1,140,000 | | | | 3.410% due 6/15/27 | | | | | 1,049,874 | | |
| | | 250,000 | | | | 4.368% due 6/15/47 | | | | | 218,341 | | |
| | | | | | | Celgene Corp., Senior Unsecured Notes: | | ||||||
| | | 100,000 | | | | 2.750% due 2/15/23 | | | | | 96,198 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 500,000 | | | | 3.875% due 8/15/25 | | | | $ | 492,734 | | |
| | | 100,000 | | | | 5.000% due 8/15/45 | | | | | 99,137 | | |
| | | 1,030,000 | | | | 4.350% due 11/15/47 | | | | | 940,545 | | |
| | | | | | | Centene Corp., Senior Unsecured Notes: | | ||||||
| | | 235,000 | | | | 4.750% due 1/15/25 | | | | | 236,175 | | |
| | | 25,000 | | | | 5.375% due 6/1/26(b) | | | | | 25,808 | | |
| | | 200,000 | | | | Children’s Hospital Corp., Company Guaranteed Notes, 4.115% due 1/1/47 | | | | | 203,084 | | |
| | | 250,000 | | | | Coca-Cola Co., Senior Unsecured Notes, 2.200% due 5/25/22 | | | | | 242,872 | | |
| | | 150,000 | | | | Coca-Cola Femsa SAB de CV, Company Guaranteed Notes, 3.875% due 11/26/23 | | | | | 151,400 | | |
| | | 350,000 | | | | Constellation Brands Inc., Company Guaranteed Notes, 2.700% due 5/9/22 | | | | | 339,270 | | |
| | | 500,000 | | | | Coventry Health Care Inc., Senior Unsecured Notes, 5.450% due 6/15/21 | | | | | 524,626 | | |
| | | | | | | CVS Health Corp., Senior Unsecured Notes: | | ||||||
| | | 125,000 | | | | 2.125% due 6/1/21 | | | | | 121,053 | | |
| | | 100,000 | | | | 3.500% due 7/20/22 | | | | | 99,471 | | |
| | | 1,070,000 | | | | 3.700% due 3/9/23 | | | | | 1,067,090 | | |
| | | 150,000 | | | | 4.100% due 3/25/25 | | | | | 150,171 | | |
| | | 500,000 | | | | 2.875% due 6/1/26 | | | | | 458,987 | | |
| | | 250,000 | | | | 4.300% due 3/25/28 | | | | | 248,115 | | |
| | | 250,000 | | | | 4.780% due 3/25/38 | | | | | 248,698 | | |
| | | 250,000 | | | | 5.050% due 3/25/48 | | | | | 253,361 | | |
| | | 115,000 | | | | DJO Finance LLC/DJO Finance Corp., Secured Notes, 8.125% due 6/15/21(b) | | | | | 118,772 | | |
| | | 138,000 | | | | Duke University Health System Inc., Senior Unsecured Notes, 3.920% due 6/1/47 | | | | | 136,027 | | |
| | | 1,200,000 | | | | Embotelladora Andina SA, Senior Unsecured Notes, 5.000% due 10/1/23 | | | | | 1,251,599 | | |
| | | 513,355 | | | | ENA Norte Trust, Pass-Thru Certificates, 4.950% due 4/25/23 | | | | | 517,462 | | |
| | | 800,000 | | | | ESAL GmbH, Company Guaranteed Notes, 6.250% due 2/5/23 | | | | | 773,000 | | |
| | | | | | | Estee Lauder Cos., Inc., Senior Unsecured Notes: | | ||||||
| | | 300,000 | | | | 1.800% due 2/7/20 | | | | | 295,821 | | |
| | | 200,000 | | | | 4.150% due 3/15/47 | | | | | 203,992 | | |
| | | 250,000 | | | | Express Scripts Holding Co., Company Guaranteed Notes, 4.800% due 7/15/46 | | | | | 240,581 | | |
| | | 200,000 | | | | Fomento Economico Mexicano SAB de CV, Senior Unsecured Notes, 2.875% due 5/10/23 | | | | | 191,966 | | |
| | | 200,000 | | | | Garda World Security Corp., Senior Unsecured Notes, 8.750% due 5/15/25(b) | | | | | 197,000 | | |
| | | 200,000 | | | | General Mills Inc., Senior Unsecured Notes, 4.700% due 4/17/48(f) | | | | | 195,245 | | |
| | | | | | | Gilead Sciences Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.950% due 3/1/27 | | | | | 468,806 | | |
| | | 250,000 | | | | 4.150% due 3/1/47 | | | | | 238,154 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 500,000 | | | | GlaxoSmithKline Capital Inc., Company Guaranteed Notes, 3.625% due 5/15/25 | | | | $ | 502,191 | | |
| | | 190,000 | | | | HCA Inc., Company Guaranteed Notes, 5.375% due 9/1/26 | | | | | 190,950 | | |
| | | 250,000 | | | | Humana Inc., Senior Unsecured Notes, 4.800% due 3/15/47 | | | | | 257,778 | | |
| | | 400,000 | | | | JBS Investments GmbH, Company Guaranteed Notes, 7.250% due 4/3/24 | | | | | 396,904 | | |
| | | 205,000 | | | | JBS USA LUX SA/JBS USA Finance Inc., Company Guaranteed Notes, 6.750% due 2/15/28(b) | | | | | 196,800 | | |
| | | | | | | Johnson & Johnson, Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 2.250% due 3/3/22 | | | | | 244,580 | | |
| | | 150,000 | | | | 2.950% due 3/3/27 | | | | | 145,820 | | |
| | | 250,000 | | | | 3.625% due 3/3/37 | | | | | 244,900 | | |
| | | | | | | Keurig Dr Pepper Inc., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 4.597% due 5/25/28(b) | | | | | 253,515 | | |
| | | 100,000 | | | | 5.085% due 5/25/48(b) | | | | | 101,567 | | |
| | | | | | | Kraft Heinz Foods Co., Company Guaranteed Notes: | | ||||||
| | | 930,000 | | | | 2.800% due 7/2/20 | | | | | 922,166 | | |
| | | 500,000 | | | | 3.000% due 6/1/26 | | | | | 455,926 | | |
| | | 250,000 | | | | 5.200% due 7/15/45 | | | | | 243,002 | | |
| | | 200,000 | | | | Kroger Co., Senior Unsecured Notes, 4.450% due 2/1/47 | | | | | 186,007 | | |
| | | 110,000 | | | | Kronos Acquisition Holdings Inc., Company Guaranteed Notes, 9.000% due 8/15/23(b) | | | | | 100,650 | | |
| | | 1,325,000 | | | | Laboratory Corp. of America Holdings, Senior Unsecured Notes, 3.600% due 2/1/25 | | | | | 1,297,966 | | |
| | | | | | | MARB BondCo PLC, Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 7.000% due 3/15/24(b) | | | | | 470,630 | | |
| | | 200,000 | | | | 7.000% due 3/15/24 | | | | | 188,252 | | |
| | | 500,000 | | | | 6.875% due 1/19/25 | | | | | 462,505 | | |
| | | 55,000 | | | | Matterhorn Merger Sub LLC/Matterhorn Finance Sub Inc., Senior Unsecured Notes, 8.500% due 6/1/26(b) | | | | | 52,937 | | |
| | | 250,000 | | | | Medtronic Global Holdings SCA, Company Guaranteed Notes, 3.350% due 4/1/27 | | | | | 245,692 | | |
| | | | | | | Medtronic Inc., Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 3.150% due 3/15/22 | | | | | 498,699 | | |
| | | 250,000 | | | | 4.625% due 3/15/45 | | | | | 267,456 | | |
| | | 250,000 | | | | Merck & Co., Inc., Senior Unsecured Notes, 3.700% due 2/10/45 | | | | | 241,463 | | |
| | | | | | | Minerva Luxembourg SA, Company Guaranteed Notes: | | ||||||
| | | 800,000 | | | | 6.500% due 9/20/26 | | | | | 713,008 | | |
| | | 600,000 | | | | 5.875% due 1/19/28 | | | | | 510,756 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | | | | | | Molson Coors Brewing Co., Company Guaranteed Notes: | | ||||||
| | $ | 500,000 | | | | 2.250% due 3/15/20 | | | | $ | 493,408 | | |
| | | 150,000 | | | | 4.200% due 7/15/46 | | | | | 133,339 | | |
| | | 300,000 | | | | Moody’s Corp., Senior Unsecured Notes, 2.750% due 12/15/21 | | | | | 294,312 | | |
| | | 250,000 | | | | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 7.125% due 6/1/24(b) | | | | | 258,750 | | |
| | | | | | | Mylan NV, Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 3.150% due 6/15/21 | | | | | 246,291 | | |
| | | 250,000 | | | | 5.250% due 6/15/46 | | | | | 233,852 | | |
| | | 10,000 | | | | Northwell Healthcare Inc., Secured Notes, 4.260% due 11/1/47 | | | | | 9,617 | | |
| | | | | | | Novartis Capital Corp., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 1.800% due 2/14/20 | | | | | 246,382 | | |
| | | 250,000 | | | | 2.400% due 5/17/22 | | | | | 243,429 | | |
| | | 150,000 | | | | 3.100% due 5/17/27 | | | | | 144,717 | | |
| | | | | | | PepsiCo Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.750% due 3/5/22 | | | | | 496,186 | | |
| | | 150,000 | | | | 2.375% due 10/6/26 | | | | | 137,839 | | |
| | | 250,000 | | | | 3.450% due 10/6/46 | | | | | 226,589 | | |
| | | | | | | Pfizer Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 1.700% due 12/15/19 | | | | | 494,603 | | |
| | | 250,000 | | | | 4.000% due 12/15/36 | | | | | 254,247 | | |
| | | 250,000 | | | | 4.125% due 12/15/46 | | | | | 253,061 | | |
| | | | | | | Philip Morris International Inc., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 2.000% due 2/21/20 | | | | | 246,715 | | |
| | | 500,000 | | | | 2.625% due 2/18/22 | | | | | 489,058 | | |
| | | 100,000 | | | | 4.125% due 3/4/43 | | | | | 94,172 | | |
| | | 235,000 | | | | Pilgrim’s Pride Corp., Company Guaranteed Notes, 5.750% due 3/15/25(b) | | | | | 227,362 | | |
| | | 120,000 | | | | Polaris Intermediate Corp., Senior Unsecured Notes, 8.500% due 12/1/22(b)(g) | | | | | 123,900 | | |
| | | 420,000 | | | | Post Holdings Inc., Company Guaranteed Notes, 5.500% due 3/1/25(b) | | | | | 418,950 | | |
| | | 247,000 | | | | Prime Security Services Borrower LLC/Prime Finance Inc., Secured Notes, 9.250% due 5/15/23(b) | | | | | 264,611 | | |
| | | | | | | Procter & Gamble Co., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 1.750% due 10/25/19 | | | | | 247,454 | | |
| | | 250,000 | | | | 1.900% due 11/1/19 | | | | | 247,892 | | |
| | | 250,000 | | | | 3.500% due 10/25/47 | | | | | 233,912 | | |
| | | 8,000 | | | | Providence St Joseph Health Obligated Group, Unsecured Notes, 3.930% due 10/1/48 | | | | | 7,676 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | | | | | | Reynolds American Inc., Company Guaranteed Notes: | | ||||||
| | $ | 500,000 | | | | 6.875% due 5/1/20 | | | | $ | 527,846 | | |
| | | 1,045,000 | | | | 4.000% due 6/12/22 | | | | | 1,057,665 | | |
| | | 250,000 | | | | 5.850% due 8/15/45 | | | | | 272,511 | | |
| | | 315,000 | | | | Select Medical Corp., Company Guaranteed Notes, 6.375% due 6/1/21 | | | | | 318,150 | | |
| | | 50,000 | | | | ServiceMaster Co. LLC, Company Guaranteed Notes, 5.125% due 11/15/24(b) | | | | | 49,125 | | |
| | | | | | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 1.900% due 9/23/19 | | | | | 494,178 | | |
| | | 125,000 | | | | 2.875% due 9/23/23 | | | | | 119,301 | | |
| | | 480,000 | | | | Smithfield Foods Inc., Company Guaranteed Notes, 4.250% due 2/1/27(b) | | | | | 453,453 | | |
| | | 7,000 | | | | Stanford Health Care, Unsecured Notes, 3.795% due 11/15/48 | | | | | 6,796 | | |
| | | 350,000 | | | | Stryker Corp., Senior Unsecured Notes, 3.375% due 11/1/25 | | | | | 341,758 | | |
| | | | | | | Sysco Corp., Company Guaranteed Notes: | | ||||||
| | | 350,000 | | | | 3.550% due 3/15/25 | | | | | 343,937 | | |
| | | 485,000 | | | | 3.250% due 7/15/27 | | | | | 460,003 | | |
| | | 150,000 | | | | Team Health Holdings Inc., Company Guaranteed Notes, 6.375% due 2/1/25(b) | | | | | 130,125 | | |
| | | 235,000 | | | | Tenet Healthcare Corp., Senior Unsecured Notes, 7.000% due 8/1/25(f) | | | | | 234,119 | | |
| | | | | | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | | ||||||
| | | 975,000 | | | | 2.800% due 7/21/23 | | | | | 862,743 | | |
| | | 330,000 | | | | 6.000% due 4/15/24 | | | | | 335,103 | | |
| | | 250,000 | | | | Thermo Fisher Scientific Inc., Senior Unsecured Notes, 4.100% due 8/15/47 | | | | | 239,705 | | |
| | | 125,000 | | | | Total System Services Inc., Senior Unsecured Notes, 4.800% due 4/1/26 | | | | | 129,229 | | |
| | | 150,000 | | | | Tyson Foods Inc., Senior Unsecured Notes, 4.550% due 6/2/47 | | | | | 140,958 | | |
| | | | | | | UnitedHealth Group Inc., Senior Unsecured Notes: | | ||||||
| | | 750,000 | | | | 2.125% due 3/15/21 | | | | | 732,711 | | |
| | | 250,000 | | | | 4.250% due 4/15/47 | | | | | 250,257 | | |
| | | 125,000 | | | | Verisk Analytics Inc., Senior Unsecured Notes, 4.125% due 9/12/22 | | | | | 126,878 | | |
| | | 120,000 | | | | Verscend Escrow Corp., Senior Unsecured Notes, 9.750% due 8/15/26(b) | | | | | 122,964 | | |
| | | 210,000 | | | | Vizient Inc., Senior Unsecured Notes, 10.375% due 3/1/24(b) | | | | | 229,425 | | |
| | | | | | | WellCare Health Plans Inc., Senior Unsecured Notes: | | ||||||
| | | 160,000 | | | | 5.250% due 4/1/25 | | | | | 163,600 | | |
| | | 60,000 | | | | 5.375% due 8/15/26(b) | | | | | 61,800 | | |
| | | 300,000 | | | | Western Union Co., Senior Unsecured Notes, 3.600% due 3/15/22 | | | | | 297,630 | | |
| | | | | | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes: | | ||||||
| | | 200,000 | | | | 2.700% due 4/1/20 | | | | | 198,352 | | |
| | | 555,000 | | | | 3.700% due 3/19/23 | | | | | 555,842 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 51,080,393 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Diversified – 0.0% | | ||||||||||||
| | $ | 200,000 | | | | CK Hutchison International 17 II Ltd., Company Guaranteed Notes, 2.250% due 9/29/20 | | | | $ | 195,533 | | |
| | | | | | | CK Hutchison International 17 Ltd., Company Guaranteed Notes: | | ||||||
| | | 200,000 | | | | 2.875% due 4/5/22(b) | | | | | 194,738 | | |
| | | 300,000 | | | | 3.500% due 4/5/27(b) | | | | | 288,067 | | |
| | | | | | | Total Diversified | | | | | 678,338 | | |
| Energy – 2.5% | | ||||||||||||
| | | | | | | Anadarko Petroleum Corp., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 5.550% due 3/15/26 | | | | | 268,649 | | |
| | | 225,000 | | | | 6.600% due 3/15/46 | | | | | 270,788 | | |
| | | | | | | Apache Corp., Senior Unsecured Notes: | | ||||||
| | | 505,000 | | | | 4.375% due 10/15/28 | | | | | 498,509 | | |
| | | 250,000 | | | | 4.250% due 1/15/44 | | | | | 223,142 | | |
| | | 145,000 | | | | Baker Hughes a GE Co. LLC/Baker Hughes Co.-Obligor Inc., Senior Unsecured Notes, 3.337% due 12/15/27 | | | | | 137,137 | | |
| | | | | | | BP Capital Markets PLC, Company Guaranteed Notes: | | ||||||
| | | 100,000 | | | | 2.520% due 9/19/22 | | | | | 97,116 | | |
| | | 500,000 | | | | 3.224% due 4/14/24 | | | | | 491,551 | | |
| | | 1,500,000 | | | | BPRL International Singapore Pte Ltd., Company Guaranteed Notes, 4.375% due 1/18/27 | | | | | 1,429,716 | | |
| | | 70,000 | | | | Calfrac Holdings LP, Senior Unsecured Notes, 8.500% due 6/15/26(b) | | | | | 66,675 | | |
| | | | | | | Canacol Energy Ltd., Company Guaranteed Notes: | | ||||||
| | | 1,200,000 | | | | 7.250% due 5/3/25 | | | | | 1,158,000 | | |
| | | 200,000 | | | | 7.250% due 5/3/25(b) | | | | | 193,252 | | |
| | | | | | | Canadian Natural Resources Ltd., Senior Unsecured Notes: | | ||||||
| | | 970,000 | | | | 2.950% due 1/15/23 | | | | | 938,499 | | |
| | | 125,000 | | | | 5.850% due 2/1/35 | | | | | 140,660 | | |
| | | 500,000 | | | | Cenovus Energy Inc., Senior Unsecured Notes, 4.250% due 4/15/27 | | | | | 482,957 | | |
| | | 240,000 | | | | Cheniere Energy Partners LP, Senior Secured Notes, 5.250% due 10/1/25 | | | | | 240,000 | | |
| | | | | | | Chevron Corp., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 1.991% due 3/3/20 | | | | | 247,240 | | |
| | | 250,000 | | | | 2.498% due 3/3/22 | | | | | 245,360 | | |
| | | 750,000 | | | | CNOOC Finance 2015 USA LLC, Company Guaranteed Notes, 3.500% due 5/5/25 | | | | | 725,557 | | |
| | | 240,000 | | | | CNX Midstream Partners LP/CNX Midstream Finance Corp., Senior Unsecured Notes, 6.500% due 3/15/26(b) | | | | | 238,200 | | |
| | | | | | | ConocoPhillips Co., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 4.950% due 3/15/26 | | | | | 270,295 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 250,000 | | | | 5.950% due 3/15/46 | | | | $ | 319,228 | | |
| | | 200,000 | | | | Cosan Luxembourg SA, Company Guaranteed Notes, 7.000% due 1/20/27 | | | | | 196,500 | | |
| | | 115,000 | | | | CSI Compressco LP/CSI Compressco Finance Inc., Senior Secured Notes, 7.500% due 4/1/25(b) | | | | | 115,862 | | |
| | | | | | | Delek & Avner Tamar Bond Ltd., Senior Secured Notes: | | ||||||
| | | 200,000 | | | | 5.082% due 12/30/23(b) | | | | | 200,645 | | |
| | | 300,000 | | | | 5.412% due 12/30/25(b) | | | | | 301,067 | | |
| | | | | | | Devon Energy Corp., Senior Unsecured Notes: | | ||||||
| | | 75,000 | | | | 5.600% due 7/15/41 | | | | | 80,672 | | |
| | | 100,000 | | | | 5.000% due 6/15/45 | | | | | 100,850 | | |
| | | | | | | Ecopetrol SA, Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 7.625% due 7/23/19 | | | | | 519,600 | | |
| | | 200,000 | | | | 5.875% due 9/18/23 | | | | | 212,600 | | |
| | | 500,000 | | | | 5.375% due 6/26/26 | | | | | 516,250 | | |
| | | 150,000 | | | | Enbridge Energy Partners LP, Senior Unsecured Notes, 5.500% due 9/15/40 | | | | | 159,484 | | |
| | | | | | | Enbridge Inc., Senior Unsecured Notes: | | ||||||
| | | 100,000 | | | | 4.000% due 10/1/23 | | | | | 101,202 | | |
| | | 250,000 | | | | 3.700% due 7/15/27 | | | | | 242,046 | | |
| | | | | | | Energy Transfer Partners LP, Company Guaranteed Notes: | | ||||||
| | | 695,000 | | | | 4.750% due 1/15/26 | | | | | 703,469 | | |
| | | 250,000 | | | | 4.200% due 4/15/27 | | | | | 242,355 | | |
| | | 250,000 | | | | 5.300% due 4/15/47 | | | | | 242,190 | | |
| | | 150,000 | | | | 6.000% due 6/15/48 | | | | | 159,195 | | |
| | | | | | | Enterprise Products Operating LLC, Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 2.850% due 4/15/21 | | | | | 494,745 | | |
| | | 720,000 | | | | 3.750% due 2/15/25 | | | | | 722,356 | | |
| | | 250,000 | | | | 3.950% due 2/15/27 | | | | | 250,094 | | |
| | | 250,000 | | | | 4.900% due 5/15/46 | | | | | 257,920 | | |
| | | | | | | EP Energy LLC/Everest Acquisition Finance Inc.: | | ||||||
| | | 80,000 | | | | Secured Notes, 9.375% due 5/1/24(b) | | | | | 63,000 | | |
| | | 75,000 | | | | Senior Secured Notes, 7.750% due 5/15/26(b) | | | | | 76,687 | | |
| | | 1,065,000 | | | | EQT Corp., Senior Unsecured Notes, 3.900% due 10/1/27 | | | | | 1,001,542 | | |
| | | 625,000 | | | | EQT Midstream Partners LP, Senior Unsecured Notes, 4.750% due 7/15/23 | | | | | 633,781 | | |
| | | | | | | Equinor ASA, Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 2.450% due 1/17/23 | | | | | 243,301 | | |
| | | 100,000 | | | | 3.700% due 3/1/24 | | | | | 101,487 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 105,000 | | | | Exterran Energy Solutions LP/EES Finance Corp., Company Guaranteed Notes, 8.125% due 5/1/25 | | | | $ | 110,250 | | |
| | | 120,000 | | | | Extraction Oil & Gas Inc., Company Guaranteed Notes, 5.625% due 2/1/26(b) | | | | | 112,350 | | |
| | | | | | | Exxon Mobil Corp., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 3.043% due 3/1/26 | | | | | 487,818 | | |
| | | 100,000 | | | | 3.567% due 3/6/45 | | | | | 93,403 | | |
| | | 140,000 | | | | Foresight Energy LLC/Foresight Energy Finance Corp., Secured Notes, 11.500% due 4/1/23(b) | | | | | 124,250 | | |
| | | 195,000 | | | | FTS International Inc., Senior Secured Notes, 6.250% due 5/1/22 | | | | | 191,344 | | |
| | | 600,000 | | | | Geopark Ltd., Senior Secured Notes, 6.500% due 9/21/24 | | | | | 598,500 | | |
| | | 900,000 | | | | Gran Tierra Energy International Holdings Ltd., Company Guaranteed Notes, 6.250% due 2/15/25 | | | | | 866,250 | | |
| | | 290,000 | | | | Gulfport Energy Corp., Company Guaranteed Notes, 6.375% due 5/15/25 | | | | | 287,462 | | |
| | | 250,000 | | | | Halliburton Co., Senior Unsecured Notes, 5.000% due 11/15/45 | | | | | 265,735 | | |
| | | 250,000 | | | | Hess Corp., Senior Unsecured Notes, 5.800% due 4/1/47 | | | | | 260,624 | | |
| | | 320,000 | | | | Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., Senior Unsecured Notes, 5.625% due 2/15/26(b) | | | | | 322,400 | | |
| | | | | | | Indian Oil Corp., Ltd., Senior Unsecured Notes: | | ||||||
| | | 600,000 | | | | 5.625% due 8/2/21 | | | | | 624,984 | | |
| | | 1,000,000 | | | | 5.750% due 8/1/23 | | | | | 1,056,014 | | |
| | | 125,000 | | | | Indigo Natural Resources LLC, Senior Unsecured Notes, 6.875% due 2/15/26(b) | | | | | 120,625 | | |
| | | | | | | Kinder Morgan Energy Partners LP, Company Guaranteed Notes: | | ||||||
| | | 125,000 | | | | 3.500% due 3/1/21 | | | | | 125,234 | | |
| | | 100,000 | | | | 4.250% due 9/1/24 | | | | | 100,568 | | |
| | | 150,000 | | | | 6.950% due 1/15/38 | | | | | 176,451 | | |
| | | 75,000 | | | | 5.000% due 8/15/42 | | | | | 72,829 | | |
| | | | | | | Kinder Morgan Inc., Company Guaranteed Notes: | | ||||||
| | | 550,000 | | | | 4.300% due 3/1/28 | | | | | 545,083 | | |
| | | 250,000 | | | | 5.050% due 2/15/46 | | | | | 245,355 | | |
| | | 250,000 | | | | Marathon Petroleum Corp., Senior Unsecured Notes, 5.125% due 3/1/21 | | | | | 259,890 | | |
| | | 130,000 | | | | MEG Energy Corp., Company Guaranteed Notes, 7.000% due 3/31/24(b) | | | | | 118,137 | | |
| | | 160,000 | | | | Moss Creek Resources Holdings Inc., Company Guaranteed Notes, 7.500% due 1/15/26(b) | | | | | 156,000 | | |
| | | 250,000 | | | | MPLX LP, Senior Unsecured Notes, 5.200% due 3/1/47 | | | | | 249,392 | | |
| | | 120,000 | | | | Nabors Industries Inc., Company Guaranteed Notes, 5.750% due 2/1/25(b) | | | | | 115,423 | | |
| | | | | | | Noble Energy Inc., Senior Unsecured Notes: | | ||||||
| | | 150,000 | | | | 3.850% due 1/15/28 | | | | | 143,050 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 150,000 | | | | 4.950% due 8/15/47 | | | | $ | 146,281 | | |
| | | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | ||||||
| | | 125,000 | | | | 4.100% due 2/1/21 | | | | | 127,778 | | |
| | | 100,000 | | | | 4.400% due 4/15/46 | | | | | 102,688 | | |
| | | 250,000 | | | | ONEOK Inc., Company Guaranteed Notes, 4.000% due 7/13/27 | | | | | 244,074 | | |
| | | 1,500,000 | | | | ONGC Videsh Vankorneft Pte Ltd., Company Guaranteed Notes, 3.750% due 7/27/26 | | | | | 1,406,753 | | |
| | | 115,000 | | | | Par Petroleum LLC/Petroleum Finance Corp., Senior Secured Notes, 7.750% due 12/15/25(b) | | | | | 115,811 | | |
| | | 225,000 | | | | Peabody Energy Corp., Senior Secured Notes, 6.000% due 3/31/22(b) | | | | | 225,844 | | |
| | | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | ||||||
| | | 1,100,000 | | | | 5.750% due 2/1/29 | | | | | 957,000 | | |
| | | 200,000 | | | | 7.250% due 3/17/44 | | | | | 183,200 | | |
| | | | | | | Petroleos Mexicanos, Company Guaranteed Notes: | | ||||||
| | | 750,000 | | | | 4.250% due 1/15/25 | | | | | 702,375 | | |
| | | 150,000 | | | | 6.500% due 3/13/27 | | | | | 151,860 | | |
| | | 500,000 | | | | 5.625% due 1/23/46 | | | | | 411,950 | | |
| | | 100,000 | | | | 6.750% due 9/21/47 | | | | | 92,568 | | |
| | | 1,000,000 | | | | Petronas Capital Ltd., Company Guaranteed Notes, 3.500% due 3/18/25 | | | | | 981,694 | | |
| | | | | | | Phillips 66, Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 4.300% due 4/1/22 | | | | | 257,291 | | |
| | | 250,000 | | | | 4.875% due 11/15/44 | | | | | 258,428 | | |
| | | 250,000 | | | | Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes, 4.500% due 12/15/26 | | | | | 249,222 | | |
| | | 355,000 | | | | QEP Resources Inc., Senior Unsecured Notes, 5.250% due 5/1/23 | | | | | 346,125 | | |
| | | 200,000 | | | | Raizen Fuels Finance SA, Company Guaranteed Notes, 5.300% due 1/20/27 | | | | | 187,900 | | |
| | | 1,000,000 | | | | Reliance Holding USA Inc., Company Guaranteed Notes, 5.400% due 2/14/22 | | | | | 1,040,410 | | |
| | | | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes: | | ||||||
| | | 100,000 | | | | 5.750% due 5/15/24 | | | | | 107,470 | | |
| | | 645,000 | | | | 5.000% due 3/15/27 | | | | | 663,281 | | |
| | | 400,000 | | | | 4.200% due 3/15/28 | | | | | 388,848 | | |
| | | | | | | Shell International Finance BV, Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 1.750% due 9/12/21 | | | | | 240,924 | | |
| | | 250,000 | | | | 2.500% due 9/12/26 | | | | | 232,796 | | |
| | | 100,000 | | | | 4.000% due 5/10/46 | | | | | 98,148 | | |
| | | 250,000 | | | | 3.750% due 9/12/46 | | | | | 233,845 | | |
| | | 1,000,000 | | | | Sinopec Group Overseas Development 2016 Ltd., Company Guaranteed Notes, 2.750% due 9/29/26 | | | | | 908,884 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 230,000 | | | | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., Company Guaranteed Notes, 7.500% due 6/15/25(b) | | | | $ | 239,775 | | |
| | | | | | | Suncor Energy Inc., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.600% due 12/1/24 | | | | | 248,468 | | |
| | | 100,000 | | | | 6.500% due 6/15/38 | | | | | 124,162 | | |
| | | 100,000 | | | | Sunoco Logistics Partners Operations LP, Company Guaranteed Notes, 4.250% due 4/1/24 | | | | | 100,200 | | |
| | | 125,000 | | | | Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes, 5.500% due 2/15/26(b) | | | | | 119,688 | | |
| | | 90,000 | | | | Tapstone Energy LLC/Tapstone Energy Finance Corp., Senior Unsecured Notes, 9.750% due 6/1/22(b) | | | | | 78,750 | | |
| | | 160,000 | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes, 5.875% due 4/15/26(b) | | | | | 164,000 | | |
| | | 125,000 | | | | TerraForm Power Operating LLC, Company Guaranteed Notes, 4.250% due 1/31/23(b) | | | | | 121,875 | | |
| | | 500,000 | | | | Total Capital International SA, Company Guaranteed Notes, 3.700% due 1/15/24 | | | | | 507,943 | | |
| | | | | | | TransCanada PipeLines Ltd., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 4.875% due 1/15/26 | | | | | 262,615 | | |
| | | 75,000 | | | | 7.625% due 1/15/39 | | | | | 100,171 | | |
| | | 200,000 | | | | 4.875% due 5/15/48 | | | | | 205,382 | | |
| | | 250,000 | | | | Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes, 7.850% due 2/1/26 | | | | | 307,357 | | |
| | | 60,000 | | | | Transocean Guardian Ltd., Senior Secured Notes, 5.875% due 1/15/24(b) | | | | | 60,300 | | |
| | | 55,000 | | | | Transocean Pontus Ltd., Senior Secured Notes, 6.125% due 8/1/25(b) | | | | | 56,100 | | |
| | | 178,500 | | | | Transocean Proteus Ltd., Senior Secured Notes, 6.250% due 12/1/24(b) | | | | | 182,868 | | |
| | | 600,000 | | | | Transportadora de Gas Internacional SA ESP, Senior Unsecured Notes, 5.700% due 3/20/22 | | | | | 608,256 | | |
| | | 180,000 | | | | USA Compression Partners LP/USA Compression Finance Corp., Senior Unsecured Notes, 6.875% due 4/1/26(b) | | | | | 185,400 | | |
| | | 75,000 | | | | Valero Energy Corp., Senior Unsecured Notes, 4.900% due 3/15/45 | | | | | 77,358 | | |
| | | 65,000 | | | | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., Company Guaranteed Notes, 8.750% due 4/15/23(b) | | | | | 62,806 | | |
| | | 70,000 | | | | Weatherford International Ltd., Company Guaranteed Notes, 9.875% due 2/15/24 | | | | | 66,150 | | |
| | | 150,000 | | | | Western Gas Partners LP, Senior Unsecured Notes, 5.450% due 4/1/44 | | | | | 145,794 | | |
| | | 185,000 | | | | Whiting Petroleum Corp., Senior Unsecured Notes, 6.625% due 1/15/26 | | | | | 192,400 | | |
| | | | | | | Williams Cos., Inc., Senior Unsecured Notes: | | ||||||
| | | 525,000 | | | | 3.750% due 6/15/27 | | | | | 503,512 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 250,000 | | | | 5.100% due 9/15/45 | | | | $ | 250,358 | | |
| | | | | | | YPF SA, Senior Unsecured Notes: | | ||||||
| | | 1,050,000 | | | | 8.500% due 7/28/25 | | | | | 934,500 | | |
| | | 500,000 | | | | 6.950% due 7/21/27 | | | | | 408,830 | | |
| | | | | | | Total Energy | | | | | 41,829,318 | | |
| Financial – 5.9% | | ||||||||||||
| | | 500,000 | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 3.500% due 5/26/22 | | | | | 492,238 | | |
| | | | | | | Air Lease Corp., Senior Unsecured Notes: | | ||||||
| | | 1,075,000 | | | | 3.250% due 3/1/25 | | | | | 1,013,857 | | |
| | | 250,000 | | | | 3.625% due 4/1/27 | | | | | 234,297 | | |
| | | 250,000 | | | | Alexandria Real Estate Equities Inc., Company Guaranteed Notes, 3.950% due 1/15/28 | | | | | 242,504 | | |
| | | 225,000 | | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer, Senior Unsecured Notes, 8.250% due 8/1/23(b) | | | | | 233,437 | | |
| | | 250,000 | | | | Allstate Corp., Senior Unsecured Notes, 4.500% due 6/15/43 | | | | | 259,647 | | |
| | | | | | | American Express Co.: | | ||||||
| | | 465,000 | | | | Senior Unsecured Notes, 2.500% due 8/1/22 | | | | | 447,685 | | |
| | | 500,000 | | | | Subordinated Notes, 3.625% due 12/5/24 | | | | | 495,160 | | |
| | | 250,000 | | | | American Express Credit Corp., Senior Unsecured Notes, 2.250% due 5/5/21 | | | | | 244,048 | | |
| | | | | | | American International Group Inc., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 4.200% due 4/1/28 | | | | | 248,273 | | |
| | | 250,000 | | | | 4.500% due 7/16/44 | | | | | 238,230 | | |
| | | | | | | American Tower Corp., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 2.800% due 6/1/20 | | | | | 247,954 | | |
| | | 100,000 | | | | 3.500% due 1/31/23 | | | | | 98,598 | | |
| | | 100,000 | | | | 4.000% due 6/1/25 | | | | | 99,161 | | |
| | | 200,000 | | | | Aon PLC, Company Guaranteed Notes, 4.750% due 5/15/45 | | | | | 202,814 | | |
| | | 195,000 | | | | ASP AMC Merger Sub Inc., Senior Unsecured Notes, 8.000% due 5/15/25(b) | | | | | 149,175 | | |
| | | 260,000 | | | | AssuredPartners Inc., Senior Unsecured Notes, 7.000% due 8/15/25(b) | | | | | 254,800 | | |
| | | 250,000 | | | | AXA Equitable Holdings Inc., Senior Unsecured Notes, 3.900% due 4/20/23(b) | | | | | 249,187 | | |
| | | 300,000 | | | | Banco Bilbao Vizcaya Argentaria Colombia SA, Subordinated Notes, 4.875% due 4/21/25 | | | | | 300,378 | | |
| | | | | | | Banco BTG Pactual SA: | | ||||||
| | | 200,000 | | | | Junior Subordinated Notes, 8.750% (5-Year CMT Index + 6.978%)(a)(e) | | | | | 201,002 | | |
| | | 200,000 | | | | Senior Unsecured Notes, 5.500% due 1/31/23 | | | | | 186,000 | | |
| | | 400,000 | | | | Banco de Credito del Peru, Senior Unsecured Notes, 5.375% due 9/16/20 | | | | | 415,800 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 1,000,000 | | | | Banco de Credito e Inversiones SA, Senior Unsecured Notes, 4.000% due 2/11/23 | | | | $ | 1,001,890 | | |
| | | 800,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 808,000 | | |
| | | 1,400,000 | | | | Banco do Brasil SA, Junior Subordinated Notes, 6.250% (5-Year CMT Index + 4.398%)(a)(e) | | | | | 1,051,680 | | |
| | | 1,350,000 | | | | Banco Internacional del Peru SAA, Senior Unsecured Notes, 5.750% due 10/7/20 | | | | | 1,398,951 | | |
| | | 800,000 | | | | Banco Macro SA, Subordinated Notes, 6.750% (5-Year USD Swap Rate + 5.463%) due 11/4/26(a) | | | | | 640,008 | | |
| | | | | | | Banco Mercantil del Norte SA: | | ||||||
| | | | | | | Junior Subordinated Notes: | | ||||||
| | | 500,000 | | | | 6.875% (5-Year CMT Index + 5.035%)(a)(e) | | | | | 501,250 | | |
| | | 200,000 | | | | 7.625% (5-Year CMT Index + 5.353%)(a)(e) | | | | | 202,900 | | |
| | | 200,000 | | | | Subordinated Notes, 5.750% (5-Year CMT Index + 4.447%) due 10/4/31(a) | | | | | 189,752 | | |
| | | 200,000 | | | | Banco Nacional de Costa Rica, Senior Unsecured Notes, 4.875% due 11/1/18 | | | | | 200,000 | | |
| | | 150,000 | | | | Banco Santander Chile, Senior Unsecured Notes, 3.875% due 9/20/22 | | | | | 149,939 | | |
| | | 1,000,000 | | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, Subordinated Notes, 5.950% (5-Year CMT Index + 4.580%) due 1/30/24(a) | | | | | 1,007,500 | | |
| | | 200,000 | | | | Banco Santander SA, Senior Unsecured Notes, 4.379% due 4/12/28 | | | | | 193,358 | | |
| | | 600,000 | | | | Bancolombia SA, Subordinated Notes, 4.875% (5-Year CMT Index + 2.929%) due 10/18/27(a) | | | | | 579,150 | | |
| | | 200,000 | | | | Banistmo SA, Senior Unsecured Notes, 3.650% due 9/19/22(b) | | | | | 191,750 | | |
| | | | | | | Bank of America Corp.: | | ||||||
| | | | | | | Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.625% due 4/19/21 | | | | | 492,082 | | |
| | | 980,000 | | | | 2.369% (3-Month USD-LIBOR + 0.660%) due 7/21/21(a) | | | | | 962,857 | | |
| | | 430,000 | | | | 3.004% (3-Month USD-LIBOR + 0.790%) due 12/20/23(a) | | | | | 418,607 | | |
| | | 750,000 | | | | 3.875% due 8/1/25 | | | | | 749,455 | | |
| | | 500,000 | | | | 3.366% (3-Month USD-LIBOR + 0.810%) due 1/23/26(a) | | | | | 482,763 | | |
| | | 250,000 | | | | 3.419% due 12/20/28(a) | | | | | 235,360 | | |
| | | 250,000 | | | | 4.443% (3-Month USD-LIBOR + 1.990%) due 1/20/48(a) | | | | | 249,592 | | |
| | | 250,000 | | | | Subordinated Notes, 7.750% due 5/14/38 | | | | | 340,198 | | |
| | | 500,000 | | | | Bank of Montreal, Senior Unsecured Notes, 1.900% due 8/27/21 | | | | | 481,710 | | |
| | | | | | | Bank of New York Mellon Corp., Senior Unsecured Notes: | | ||||||
| | | 750,000 | | | | 2.150% due 2/24/20 | | | | | 742,115 | | |
| | | 250,000 | | | | 3.400% due 1/29/28 | | | | | 246,029 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 500,000 | | | | Bank of Nova Scotia, Senior Unsecured Notes, 2.700% due 3/7/22 | | | | $ | 489,547 | | |
| | | | | | | Barclays PLC, Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.875% due 6/8/20 | | | | | 494,496 | | |
| | | 250,000 | | | | 4.950% due 1/10/47 | | | | | 235,647 | | |
| | | 500,000 | | | | BB&T Corp., Senior Unsecured Notes, 2.750% due 4/1/22 | | | | | 491,090 | | |
| | | 300,000 | | | | BBVA Banco Continental SA, Senior Unsecured Notes, 5.000% due 8/26/22 | | | | | 309,750 | | |
| | | | | | | BBVA Bancomer SA, Subordinated Notes: | | ||||||
| | | 200,000 | | | | 5.350% (5-Year CMT Index + 3.000%) due 11/12/29(a) | | | | | 191,000 | | |
| | | 1,300,000 | | | | 5.125% (5-Year CMT Index + 2.650%) due 1/18/33(a) | | | | | 1,187,888 | | |
| | | | | | | BDO Unibank Inc., Senior Unsecured Notes: | | ||||||
| | | 350,000 | | | | 2.625% due 10/24/21 | | | | | 334,485 | | |
| | | 1,400,000 | | | | 2.950% due 3/6/23 | | | | | 1,329,773 | | |
| | | 150,000 | | | | Berkshire Hathaway Energy Co., Company Guaranteed Notes, 4.200% due 8/15/48 | | | | | 151,883 | | |
| | | | | | | Berkshire Hathaway Inc., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 2.750% due 3/15/23 | | | | | 245,736 | | |
| | | 250,000 | | | | 3.125% due 3/15/26 | | | | | 243,087 | | |
| | | | | | | Boston Properties LP, Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 3.200% due 1/15/25 | | | | | 481,642 | | |
| | | 960,000 | | | | 3.650% due 2/1/26 | | | | | 938,353 | | |
| | | 100,000 | | | | Brighthouse Financial Inc., Senior Unsecured Notes, 3.700% due 6/22/27 | | | | | 89,274 | | |
| | | 250,000 | | | | Brixmor Operating Partnership LP, Senior Unsecured Notes, 3.900% due 3/15/27 | | | | | 239,464 | | |
| | | 500,000 | | | | Brookfield Finance LLC, Company Guaranteed Notes, 4.000% due 4/1/24 | | | | | 498,389 | | |
| | | | | | | Capital One Financial Corp., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.050% due 3/9/22 | | | | | 245,226 | | |
| | | 250,000 | | | | 3.750% due 3/9/27 | | | | | 238,463 | | |
| | | 125,000 | | | | CBRE Services Inc., Company Guaranteed Notes, 5.250% due 3/15/25 | | | | | 131,746 | | |
| | | 250,000 | | | | Charles Schwab Corp., Senior Unsecured Notes, 3.200% due 3/2/27 | | | | | 241,328 | | |
| | | 500,000 | | | | Chubb INA Holdings Inc., Company Guaranteed Notes, 3.350% due 5/3/26 | | | | | 490,943 | | |
| | | | | | | Citigroup Inc.: | | ||||||
| | | | | | | Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 2.700% due 3/30/21 | | | | | 246,312 | | |
| | | 100,000 | | | | 2.350% due 8/2/21 | | | | | 97,286 | | |
| | | 500,000 | | | | 2.750% due 4/25/22 | | | | | 487,265 | | |
| | | 500,000 | | | | 4.044% (3-Month USD-LIBOR + 1.023%) due 6/1/24(a) | | | | | 504,328 | | |
| | | 500,000 | | | | 3.887% (3-Month USD-LIBOR + 1.563%) due 1/10/28(a) | | | | | 486,933 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 1,215,000 | | | | 3.668% (3-Month USD-LIBOR + 1.390%) due 7/24/28(a) | | | | $ | 1,162,407 | | |
| | | | | | | Subordinated Notes: | | ||||||
| | | 250,000 | | | | 4.450% due 9/29/27 | | | | | 247,649 | | |
| | | 100,000 | | | | 5.300% due 5/6/44 | | | | | 106,374 | | |
| | | 250,000 | | | | 4.750% due 5/18/46 | | | | | 246,489 | | |
| | | 500,000 | | | | Citizens Bank NA, Senior Unsecured Notes, 2.250% due 3/2/20 | | | | | 492,775 | | |
| | | 760,000 | | | | Commonwealth Bank of Australia, Senior Unsecured Notes, 2.750% due 3/10/22(b) | | | | | 741,366 | | |
| | | | | | | Cooperatieve Rabobank UA: | | ||||||
| | | | | | | Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 3.875% due 2/8/22 | | | | | 506,842 | | |
| | | 250,000 | | | | 3.750% due 7/21/26 | | | | | 238,423 | | |
| | | 250,000 | | | | Senior Unsecured Notes, 2.750% due 1/10/23 | | | | | 242,266 | | |
| | | | | | | Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 3.125% due 12/10/20 | | | | | 496,420 | | |
| | | 250,000 | | | | 3.750% due 3/26/25 | | | | | 242,718 | | |
| | | 250,000 | | | | 4.550% due 4/17/26 | | | | | 253,049 | | |
| | | 403,000 | | | | Credito Real SAB de CV SOFOM ER, Junior Subordinated Notes, 9.125% (5-Year CMT Index + 7.026%)(a)(e) | | | | | 399,978 | | |
| | | 300,000 | | | | Crown Castle International Corp., Senior Unsecured Notes, 4.000% due 3/1/27 | | | | | 291,069 | | |
| | | 1,350,000 | | | | DBS Group Holdings Ltd., Junior Subordinated Notes, 3.600% (5-Year USD Swap Rate + 2.390%)(a)(e) | | | | | 1,301,063 | | |
| | | 500,000 | | | | Deutsche Bank AG, Senior Unsecured Notes, 3.950% due 2/27/23 | | | | | 486,398 | | |
| | | 810,000 | | | | Discover Financial Services, Senior Unsecured Notes, 4.100% due 2/9/27 | | | | | 784,784 | | |
| | | 200,000 | | | | Enstar Group Ltd., Senior Unsecured Notes, 4.500% due 3/10/22 | | | | | 201,714 | | |
| | | 245,000 | | | | ESH Hospitality Inc., Company Guaranteed Notes, 5.250% due 5/1/25(b) | | | | | 237,344 | | |
| | | 250,000 | | | | Fifth Third Bancorp, Senior Unsecured Notes, 3.950% due 3/14/28 | | | | | 247,857 | | |
| | | | | | | GE Capital International Funding Co. Unlimited Co., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 3.373% due 11/15/25 | | | | | 241,885 | | |
| | | 250,000 | | | | 4.418% due 11/15/35 | | | | | 240,532 | | |
| | | | | | | Global Bank Corp., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 5.125% due 10/30/19 | | | | | 503,750 | | |
| | | 1,200,000 | | | | 4.500% due 10/20/21 | | | | | 1,188,360 | | |
| | | | | | | Goldman Sachs Group Inc.: | | ||||||
| | | | | | | Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.350% due 11/15/21 | | | | | 484,637 | | |
| | | 200,000 | | | | 5.750% due 1/24/22 | | | | | 213,816 | | |
| | | 500,000 | ��� | | | 3.000% due 4/26/22 | | | | | 491,195 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 465,000 | | | | 3.122% (3-Month USD-LIBOR + 0.780%) due 10/31/22(a) | | | | $ | 466,472 | | |
| | | 465,000 | | | | 3.484% (3-Month USD-LIBOR + 1.170%) due 5/15/26(a) | | | | | 462,679 | | |
| | | 250,000 | | | | 6.125% due 2/15/33 | | | | | 289,353 | | |
| | | | | | | Subordinated Notes: | | ||||||
| | | 500,000 | | | | 4.250% due 10/21/25 | | | | | 497,264 | | |
| | | 250,000 | | | | 6.750% due 10/1/37 | | | | | 301,693 | | |
| | | 250,000 | | | | 5.150% due 5/22/45 | | | | | 255,564 | | |
| | | 500,000 | | | | Host Hotels & Resorts LP, Senior Unsecured Notes, 3.875% due 4/1/24 | | | | | 492,417 | | |
| | | | | | | HSBC Holdings PLC: | | ||||||
| | | | | | | Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 3.262% (3-Month USD-LIBOR + 1.055%) due 3/13/23(a) | | | | | 492,830 | | |
| | | 250,000 | | | | 4.041% (3-Month USD-LIBOR + 1.546%) due 3/13/28(a) | | | | | 244,438 | | |
| | | | | | | Subordinated Notes: | | ||||||
| | | 250,000 | | | | 6.500% due 5/2/36 | | | | | 296,685 | | |
| | | 250,000 | | | | 5.250% due 3/14/44 | | | | | 261,799 | | |
| | | 1,000,000 | | | | HSBC USA Inc., Senior Unsecured Notes, 2.375% due 11/13/19 | | | | | 993,666 | | |
| | | 500,000 | | | | Huntington National Bank, Senior Unsecured Notes, 2.375% due 3/10/20 | | | | | 494,562 | | |
| | | 230,000 | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes, 6.250% due 2/1/22 | | | | | 236,302 | | |
| | | 300,000 | | | | Industrial Senior Trust, Company Guaranteed Notes, 5.500% due 11/1/22 | | | | | 294,000 | | |
| | | 500,000 | | | | ING Groep NV, Senior Unsecured Notes, 3.150% due 3/29/22 | | | | | 492,707 | | |
| | | 200,000 | | | | Itau CorpBanca, Senior Unsecured Notes, 3.875% due 9/22/19 | | | | | 200,644 | | |
| | | 800,000 | | | | Itau Unibanco Holding SA, Junior Subordinated Notes, 6.500% (5-Year CMT Index + 3.863%)(a)(e) | | | | | 729,200 | | |
| | | 250,000 | | | | Jefferies Group LLC/Jefferies Group Capital Finance Inc., Senior Unsecured Notes, 4.850% due 1/15/27 | | | | | 247,878 | | |
| | | | | | | JPMorgan Chase & Co.: | | ||||||
| | | | | | | Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 4.250% due 10/15/20 | | | | | 255,505 | | |
| | | 250,000 | | | | 2.972% due 1/15/23 | | | | | 244,789 | | |
| | | 250,000 | | | | 3.782% (3-Month USD-LIBOR + 1.337%) due 2/1/28(a) | | | | | 244,334 | | |
| | | 250,000 | | | | 3.509% (3-Month USD-LIBOR + 0.945%) due 1/23/29(a) | | | | | 238,252 | | |
| | | 250,000 | | | | 4.005% (3-Month USD-LIBOR + 1.120%) due 4/23/29(a) | | | | | 247,412 | | |
| | | 250,000 | | | | 3.882% (3-Month USD-LIBOR + 1.360%) due 7/24/38(a) | | | | | 233,068 | | |
| | | 150,000 | | | | 5.400% due 1/6/42 | | | | | 169,702 | | |
| | | 250,000 | | | | 4.260% (3-Month USD-LIBOR + 1.580%) due 2/22/48(a) | | | | | 240,261 | | |
| | | | | | | Subordinated Notes: | | ||||||
| | | 200,000 | | | | 3.875% due 9/10/24 | | | | | 198,698 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 250,000 | | | | 3.625% due 12/1/27 | | | | $ | 238,134 | | |
| | | 1,000,000 | | | | JPMorgan Chase Bank NA, Senior Unsecured Notes, 1.650% due 9/23/19 | | | | | 988,966 | | |
| | | 250,000 | | | | KeyBank NA, Senior Unsecured Notes, 3.375% due 3/7/23 | | | | | 249,517 | | |
| | | | | | | Kreditanstalt fuer Wiederaufbau, Government Guaranteed Notes: | | ||||||
| | | 2,000,000 | | | | 1.625% due 3/15/21 | | | | | 1,941,848 | | |
| | | 500,000 | | | | 2.125% due 3/7/22 | | | | | 487,253 | | |
| | | 500,000 | | | | 2.375% due 12/29/22 | | | | | 488,810 | | |
| | | 100,000 | | | | 2.500% due 11/20/24 | | | | | 97,400 | | |
| | | | | | | Landwirtschaftliche Rentenbank, Government Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 2.375% due 6/10/25 | | | | | 240,676 | | |
| | | 75,000 | | | | 1.750% due 7/27/26 | | | | | 68,417 | | |
| | | 250,000 | | | | Lincoln National Corp., Senior Unsecured Notes, 3.800% due 3/1/28 | | | | | 242,758 | | |
| | | | | | | Lloyds Banking Group PLC: | | ||||||
| | | 1,000,000 | | | | Senior Unsecured Notes, 3.100% due 7/6/21 | | | | | 988,925 | | |
| | | 200,000 | | | | Subordinated Notes, 4.344% due 1/9/48 | | | | | 175,942 | | |
| | | | | | | Macquarie Group Ltd., Senior Unsecured Notes: | | ||||||
| | | 520,000 | | | | 3.189% (3-Month USD-LIBOR + 1.023%) due 11/28/23(a)(b) | | | | | 498,093 | | |
| | | 435,000 | | | | 4.150% (3-Month USD-LIBOR + 1.330%) due 3/27/24(a)(b) | | | | | 434,980 | | |
| | | 1,700,000 | | | | Malayan Banking Bhd, Subordinated Notes, 3.905% (5-Year USD Swap Rate + 2.542%) due 10/29/26(a) | | | | | 1,682,269 | | |
| | | 250,000 | | | | Manulife Financial Corp., Subordinated Notes, 4.061% (5-Year USD 1100 Run ICE Swap Rate + 1.647%) due 2/24/32(a) | | | | | 238,607 | | |
| | | 250,000 | | | | Mastercard Inc., Senior Unsecured Notes, 3.950% due 2/26/48 | | | | | 251,197 | | |
| | | 250,000 | | | | MetLife Inc., Senior Unsecured Notes, 4.600% due 5/13/46 | | | | | 256,387 | | |
| | | 350,000 | | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes, 4.500% due 1/15/28 | | | | | 322,665 | | |
| | | 250,000 | | | | Mid-America Apartments LP, Senior Unsecured Notes, 3.750% due 6/15/24 | | | | | 247,421 | | |
| | | | | | | Mitsubishi UFJ Financial Group Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.998% due 2/22/22 | | | | | 491,580 | | |
| | | 460,000 | | | | 3.061% (3-Month USD-LIBOR + 0.740%) due 3/2/23(a) | | | | | 461,135 | | |
| | | | | | | Mizuho Financial Group Inc., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 2.953% due 2/28/22 | | | | | 245,144 | | |
| | | 250,000 | | | | 3.663% due 2/28/27 | | | | | 244,790 | | |
| | | | | | | Morgan Stanley: | | ||||||
| | | | | | | Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.625% due 11/17/21 | | | | | 488,267 | | |
| | | 500,000 | | | | 3.125% due 1/23/23 | | | | | 491,371 | | |
| | | 955,000 | | | | 3.737% (3-Month USD-LIBOR + 0.847%) due 4/24/24(a) | | | | | 951,253 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 250,000 | | | | 3.591% (3-Month USD-LIBOR + 1.340%) due 7/22/28(a) | | | | $ | 238,011 | | |
| | | 250,000 | | | | 3.772% (3-Month USD-LIBOR + 1.140%) due 1/24/29(a) | | | | | 241,053 | | |
| | | 250,000 | | | | 6.375% due 7/24/42 | | | | | 311,284 | | |
| | | 250,000 | | | | Subordinated Notes, 4.350% due 9/8/26 | | | | | 248,817 | | |
| | | | | | | MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 5.250% due 8/1/26 | | | | | 250,000 | | |
| | | 260,000 | | | | 5.000% due 10/15/27 | | | | | 254,800 | | |
| | | 250,000 | | | | National Australia Bank Ltd., Senior Unsecured Notes, 3.375% due 1/14/26 | | | | | 243,066 | | |
| | | 250,000 | | | | National Rural Utilities Cooperative Finance Corp., Collateral Trust, 3.050% due 2/15/22 | | | | | 249,190 | | |
| | | 105,000 | | | | Nationstar Mortgage Holdings Inc., Company Guaranteed Notes, 8.125% due 7/15/23(b) | | | | | 108,938 | | |
| | | 275,000 | | | | Navient Corp., Senior Unsecured Notes, 6.500% due 6/15/22 | | | | | 284,364 | | |
| | | 405,000 | | | | New York Life Global Funding, Secured Notes, 2.300% due 6/10/22(b) | | | | | 389,367 | | |
| | | 265,000 | | | | NFP Corp., Senior Unsecured Notes, 6.875% due 7/15/25(b) | | | | | 259,700 | | |
| | | 1,050,000 | | | | Nuveen Finance LLC, Senior Unsecured Notes, 4.125% due 11/1/24(b) | | | | | 1,045,770 | | |
| | | 1,000,000 | | | | Oesterreichische Kontrollbank AG, Government Guaranteed Notes, 1.500% due 10/21/20 | | | | | 972,835 | | |
| | | 500,000 | | | | PNC Bank NA, Senior Unsecured Notes, 2.625% due 2/17/22 | | | | | 489,223 | | |
| | | 150,000 | | | | PNC Financial Services Group Inc., Subordinated Notes, 3.900% due 4/29/24 | | | | | 150,377 | | |
| | | 150,000 | | | | Progressive Corp., Senior Unsecured Notes, 4.125% due 4/15/47 | | | | | 147,888 | | |
| | | | | | | Prudential Financial Inc.: | | ||||||
| | | | | | | Senior Unsecured Notes: | | ||||||
| | | 775,000 | | | | 3.500% due 5/15/24 | | | | | 779,461 | | |
| | | 343,000 | | | | 3.935% due 12/7/49 | | | | | 315,380 | | |
| | | 250,000 | | | | Junior Subordinated Notes, 5.625% (3-Month USD-LIBOR + 3.920%) due 6/15/43(a) | | | | | 261,433 | | |
| | | 250,000 | | | | Regency Centers LP, Company Guaranteed Notes, 4.400% due 2/1/47 | | | | | 241,256 | | |
| | | | | | | Royal Bank of Canada: | | ||||||
| | | 250,000 | | | | Senior Unsecured Notes, 2.125% due 3/2/20 | | | | | 247,271 | | |
| | | 250,000 | | | | Subordinated Notes, 4.650% due 1/27/26 | | | | | 256,991 | | |
| | | | | | | Royal Bank of Scotland Group PLC, Senior Unsecured Notes: | | ||||||
| | | 1,040,000 | | | | 3.498% (3-Month USD-LIBOR + 1.480%) due 5/15/23(a) | | | | | 1,010,877 | | |
| | | 250,000 | | | | 4.892% (3-Month USD-LIBOR + 1.754%) due 5/18/29(a) | | | | | 249,977 | | |
| | | 250,000 | | | | Sabra Health Care LP, Company Guaranteed Notes, 5.125% due 8/15/26 | | | | | 242,411 | | |
| | | | | | | Santander Holdings USA Inc., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.700% due 3/28/22 | | | | | 248,191 | | |
| | | 480,000 | | | | 3.400% due 1/18/23 | | | | | 466,417 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 250,000 | | | | Santander UK Group Holdings PLC, Senior Unsecured Notes, 3.373% (3-Month USD-LIBOR + 1.080%) due 1/5/24(a) | | | | $ | 241,703 | | |
| | | 500,000 | | | | Santander UK PLC, Senior Unsecured Notes, 2.350% due 9/10/19 | | | | | 497,428 | | |
| | | 1,500,000 | | | | SBA Tower Trust, Mortgage, 3.168% due 4/11/22(b) | | | | | 1,473,596 | | |
| | | | | | | Simon Property Group LP, Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.350% due 1/30/22 | | | | | 485,259 | | |
| | | 100,000 | | | | 3.375% due 10/1/24 | | | | | 98,709 | | |
| | | | | | | SPARC EM SPC Panama Metro Line 2 SP, Senior Secured Notes: | | ||||||
| | | 1,100,000 | | | | zero coupon, due 12/5/22(b) | | | | | 998,250 | | |
| | | 800,000 | | | | zero coupon, due 12/5/22 | | | | | 726,000 | | |
| | | 125,000 | | | | Springleaf Finance Corp., Company Guaranteed Notes, 7.125% due 3/15/26 | | | | | 124,384 | | |
| | | | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.934% due 3/9/21 | | | | | 494,863 | | |
| | | 250,000 | | | | 2.778% due 10/18/22 | | | | | 242,027 | | |
| | | 590,000 | | | | 3.076% (3-Month USD-LIBOR + 0.740%) due 1/17/23(a) | | | | | 591,481 | | |
| | | 250,000 | | | | 3.102% due 1/17/23 | | | | | 245,136 | | |
| | | 100,000 | | | | 2.632% due 7/14/26 | | | | | 91,389 | | |
| | | 500,000 | | | | SunTrust Bank, Senior Unsecured Notes, 2.250% due 1/31/20 | | | | | 494,878 | | |
| | | | | | | Synchrony Bank, Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.650% due 5/24/21 | | | | | 248,404 | | |
| | | 350,000 | | | | 3.000% due 6/15/22 | | | | | 336,895 | | |
| | | 1,950,000 | | | | Temasek Financial I Ltd., Company Guaranteed Notes, 2.375% due 1/23/23 | | | | | 1,878,645 | | |
| | | 245,000 | | | | Tempo Acquisition LLC/Tempo Acquisition Finance Corp., Senior Unsecured Notes, 6.750% due 6/1/25(b) | | | | | 238,263 | | |
| | | 125,000 | | | | Travelers Cos., Inc., Senior Unsecured Notes, 5.350% due 11/1/40 | | | | | 144,859 | | |
| | | | | | | Unifin Financiera SAB de CV SOFOM ENR: | | ||||||
| | | 200,000 | | | | Senior Unsecured Notes, 7.375% due 2/12/26 | | | | | 192,502 | | |
| | | 1,300,000 | | | | Subordinated Notes, 8.875% (5-Year CMT Index + 6.308%)(a)(e) | | | | | 1,222,013 | | |
| | | 400,000 | | | | Union Bank of the Philippines, Senior Unsecured Notes, 3.369% due 11/29/22 | | | | | 383,874 | | |
| | | | | | | United Overseas Bank Ltd.: | | ||||||
| | | 300,000 | | | | Junior Subordinated Notes, 3.875% (5-Year USD Swap Rate + 1.794%)(a)(e) | | | | | 281,048 | | |
| | | 1,200,000 | | | | Subordinated Notes, 3.500% (5-Year USD Swap Rate + 2.236%) due 9/16/26(a) | | | | | 1,180,980 | | |
| | | 750,000 | | | | US Bancorp, Senior Unsecured Notes, 2.625% due 1/24/22 | | | | | 735,524 | | |
| | | 100,000 | | | | Ventas Realty LP, Company Guaranteed Notes, 4.375% due 2/1/45 | | | | | 93,090 | | |
| | | | | | | Visa Inc., Senior Unsecured Notes: | | ||||||
| | | 750,000 | | | | 2.800% due 12/14/22 | | | | | 739,321 | | |
| | | 100,000 | | | | 4.150% due 12/14/35 | | | | | 104,534 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | Wells Fargo & Co.: | | ||||||
| | | | | | | Senior Unsecured Notes: | | ||||||
| | $ | 725,000 | | | | 3.069% due 1/24/23 | | | | $ | 709,256 | | |
| | | 250,000 | | | | 3.000% due 4/22/26 | | | | | 234,439 | | |
| | | 500,000 | | | | 3.000% due 10/23/26 | | | | | 467,070 | | |
| | | 835,000 | | | | 3.584% (3-Month USD-LIBOR + 1.310%) due 5/22/28(a) | | | | | 804,582 | | |
| | | | | | | Subordinated Notes: | | ||||||
| | | 250,000 | | | | 4.400% due 6/14/46 | | | | | 235,016 | | |
| | | 250,000 | | | | 4.750% due 12/7/46 | | | | | 247,596 | | |
| | | 1,000,000 | | | | Wells Fargo Bank NA, Senior Unsecured Notes, 2.150% due 12/6/19 | | | | | 991,586 | | |
| | | | | | | Westpac Banking Corp., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 3.650% due 5/15/23 | | | | | 503,212 | | |
| | | 250,000 | | | | 3.350% due 3/8/27 | | | | | 240,547 | | |
| | | 250,000 | | | | Weyerhaeuser Co., Senior Unsecured Notes, 4.625% due 9/15/23 | | | | | 258,771 | | |
| | | | | | | Total Financial | | | | | 96,301,092 | | |
| Government – 0.7% | | ||||||||||||
| | | 500,000 | | | | African Development Bank, Senior Unsecured Notes, 1.875% due 3/16/20 | | | | | 493,668 | | |
| | | 1,500,000 | | | | Asian Development Bank, Senior Unsecured Notes, 2.000% due 2/16/22 | | | | | 1,456,033 | | |
| | | 750,000 | | | | Council Of Europe Development Bank, Senior Unsecured Notes, 1.875% due 1/27/20 | | | | | 741,307 | | |
| | | 500,000 | | | | European Bank for Reconstruction & Development, Senior Unsecured Notes, 1.750% due 11/26/19 | | | | | 494,572 | | |
| | | | | | | European Investment Bank, Senior Unsecured Notes: | | ||||||
| | | 2,000,000 | | | | 1.750% due 5/15/20 | | | | | 1,967,444 | | |
| | | 750,000 | | | | 1.375% due 6/15/20 | | | | | 732,168 | | |
| | | 1,000,000 | | | | FMS Wertmanagement, Government Guaranteed Notes, 1.750% due 1/24/20 | | | | | 987,147 | | |
| | | | | | | Inter-American Development Bank: | | ||||||
| | | 500,000 | | | | Senior Unsecured Notes, 2.375% due 7/7/27 | | | | | 475,552 | | |
| | | 1,000,000 | | | | Unsecured Notes, 1.250% due 10/15/19 | | | | | 985,014 | | |
| | | 500,000 | | | | International Finance Corp., Unsecured Notes, 1.750% due 3/30/20 | | | | | 492,590 | | |
| | | 1,200,000 | | | | Malaysia Sovereign Sukuk Bhd, Unsecured Notes, 3.043% due 4/22/25 | | | | | 1,150,320 | | |
| | | 500,000 | | | | Malaysia Sukuk Global Bhd, Senior Unsecured Notes, 3.179% due 4/27/26 | | | | | 480,625 | | |
| | | 500,000 | | | | Svensk Exportkredit AB, Senior Unsecured Notes, 2.375% due 3/9/22 | | | | | 489,853 | | |
| | | | | | | Total Government | | | | | 10,946,293 | | |
| Industrial – 1.1% | | ||||||||||||
| | | 200,000 | | | | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Company Guaranteed Notes, 7.250% due 5/15/24(b) | | | | | 210,250 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 540,000 | | | | Arrow Electronics Inc., Senior Unsecured Notes, 3.875% due 1/12/28 | | | | $ | 509,921 | | |
| | | 270,000 | | | | BlueLine Rental Finance Corp./BlueLine Rental LLC, Secured Notes, 9.250% due 3/15/24(b) | | | | | 283,500 | | |
| | | | | | | Boeing Co., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.125% due 3/1/22 | | | | | 485,452 | | |
| | | 300,000 | | | | 3.650% due 3/1/47 | | | | | 285,083 | | |
| | | 240,000 | | | | Builders FirstSource Inc., Senior Secured Notes, 5.625% due 9/1/24(b) | | | | | 233,100 | | |
| | | | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.250% due 6/15/27 | | | | | 245,036 | | |
| | | 250,000 | | | | 4.125% due 6/15/47 | | | | | 249,099 | | |
| | | | | | | Canadian Pacific Railway Co.: | | ||||||
| | | 250,000 | | | | Company Guaranteed Notes, 4.000% due 6/1/28 | | | | | 254,007 | | |
| | | 100,000 | | | | Senior Unsecured Notes, 2.900% due 2/1/25 | | | | | 95,869 | | |
| | | 500,000 | | | | Caterpillar Financial Services Corp., Senior Unsecured Notes, 1.700% due 8/9/21 | | | | | 482,630 | | |
| | | | | | | Caterpillar Inc., Senior Unsecured Notes: | | ||||||
| | | 1,045,000 | | | | 3.400% due 5/15/24 | | | | | 1,050,421 | | |
| | | 100,000 | | | | 3.803% due 8/15/42 | | | | | 96,351 | | |
| | | | | | | CSX Corp., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 2.600% due 11/1/26 | | | | | 228,555 | | |
| | | 250,000 | | | | 4.500% due 8/1/54 | | | | | 243,808 | | |
| | | 200,000 | | | | Embraer Netherlands Finance BV, Company Guaranteed Notes, 5.400% due 2/1/27 | | | | | 203,580 | | |
| | | | | | | FedEx Corp., Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 3.300% due 3/15/27 | | | | | 479,375 | | |
| | | 990,000 | | | | 4.750% due 11/15/45 | | | | | 986,791 | | |
| | | 250,000 | | | | 4.400% due 1/15/47 | | | | | 236,750 | | |
| | | | | | | Flex Acquisition Co., Inc., Senior Unsecured Notes: | | ||||||
| | | 125,000 | | | | 6.875% due 1/15/25(b) | | | | | 120,312 | | |
| | | 40,000 | | | | 7.875% due 7/15/26(b) | | | | | 40,050 | | |
| | | 90,000 | | | | frontdoor Inc., Senior Unsecured Notes, 6.750% due 8/15/26(b) | | | | | 92,137 | | |
| | | 400,000 | | | | GATX Corp., Senior Unsecured Notes, 3.850% due 3/30/27 | | | | | 386,164 | | |
| | | 500,000 | | | | General Dynamics Corp., Company Guaranteed Notes, 2.875% due 5/11/20 | | | | | 499,680 | | |
| | | | | | | General Electric Co., Senior Unsecured Notes: | | ||||||
| | | 1,000,000 | | | | 2.200% due 1/9/20 | | | | | 990,041 | | |
| | | 500,000 | | | | 4.500% due 3/11/44 | | | | | 483,850 | | |
| | | 500,000 | | | | Honeywell International Inc., Senior Unsecured Notes, 1.850% due 11/1/21 | | | | | 480,993 | | |
| | | 125,000 | | | | Jeld-Wen Inc., Company Guaranteed Notes, 4.625% due 12/15/25(b) | | | | | 116,562 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | | | | | | John Deere Capital Corp., Senior Unsecured Notes: | | ||||||
| | $ | 750,000 | | | | 2.200% due 3/13/20 | | | | $ | 742,457 | | |
| | | 250,000 | | | | 2.800% due 9/8/27 | | | | | 234,636 | | |
| | | 200,000 | | | | Johnson Controls International PLC, Senior Unsecured Notes, 4.500% due 2/15/47 | | | | | 195,536 | | |
| | | | | | | Lockheed Martin Corp., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.550% due 1/15/26 | | | | | 248,337 | | |
| | | 250,000 | | | | 4.700% due 5/15/46 | | | | | 266,383 | | |
| | | 155,000 | | | | Masonite International Corp., Senior Unsecured Notes, 5.750% due 9/15/26(b) | | | | | 156,550 | | |
| | | | | | | Norfolk Southern Corp., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 2.900% due 6/15/26 | | | | | 236,698 | | |
| | | 350,000 | | | | 3.800% due 8/1/28 | | | | | 349,903 | | |
| | | | | | | Northrop Grumman Corp., Senior Unsecured Notes: | | ||||||
| | | 200,000 | | | | 2.550% due 10/15/22 | | | | | 193,766 | | |
| | | 100,000 | | | | 4.030% due 10/15/47 | | | | | 93,455 | | |
| | | 250,000 | | | | Owens Corning, Senior Unsecured Notes, 3.400% due 8/15/26 | | | | | 231,954 | | |
| | | | | | | Parker-Hannifin Corp., Senior Unsecured Notes: | | ||||||
| | | 400,000 | | | | 3.250% due 3/1/27 | | | | | 388,562 | | |
| | | 200,000 | | | | 4.100% due 3/1/47 | | | | | 199,310 | | |
| | | 225,000 | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes, 4.200% due 4/1/27(b) | | | | | 222,515 | | |
| | | 100,000 | | | | Rockwell Collins Inc., Senior Unsecured Notes, 3.200% due 3/15/24 | | | | | 97,035 | | |
| | | 495,000 | | | | Roper Technologies Inc., Senior Unsecured Notes, 4.200% due 9/15/28 | | | | | 494,439 | | |
| | | 300,000 | | | | Ryder System Inc., Senior Unsecured Notes, 2.800% due 3/1/22 | | | | | 293,478 | | |
| | | 300,000 | | | | Tech Data Corp., Senior Unsecured Notes, 3.700% due 2/15/22 | | | | | 295,906 | | |
| | | 225,000 | | | | Tervita Escrow Corp., Secured Notes, 7.625% due 12/1/21(b) | | | | | 233,156 | | |
| | | 285,000 | | | | TransDigm UK Holdings PLC, Company Guaranteed Notes, 6.875% due 5/15/26(b) | | | | | 292,430 | | |
| | | 230,000 | | | | Triumph Group Inc., Company Guaranteed Notes, 7.750% due 8/15/25 | | | | | 223,388 | | |
| | | | | | | Union Pacific Corp., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.350% due 8/15/46 | | | | | 212,671 | | |
| | | 125,000 | | | | 3.875% due 2/1/55 | | | | | 110,046 | | |
| | | | | | | United Technologies Corp., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.300% due 5/4/22 | | | | | 481,466 | | |
| | | 250,000 | | | | 3.750% due 11/1/46 | | | | | 220,779 | | |
| | | 200,000 | | | | Votorantim Cimentos SA, Company Guaranteed Notes, 7.250% due 4/5/41 | | | | | 196,250 | | |
| | | 100,000 | | | | Vulcan Materials Co., Senior Unsecured Notes, 4.500% due 6/15/47 | | | | | 90,785 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 120,000 | | | | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(b) | | | | $ | 115,800 | | |
| | | 450,000 | | | | WestRock Co., Company Guaranteed Notes, 3.750% due 3/15/25(b) | | | | | 443,185 | | |
| | | | | | | Total Industrial | | | | | 17,630,243 | | |
| Technology – 0.9% | | ||||||||||||
| | | | | | | Apple Inc., Senior Unsecured Notes: | | ||||||
| | | 1,000,000 | | | | 1.900% due 2/7/20 | | | | | 989,102 | | |
| | | 75,000 | | | | 2.850% due 5/6/21 | | | | | 74,853 | | |
| | | 300,000 | | | | 2.400% due 5/3/23 | | | | | 290,150 | | |
| | | 250,000 | | | | 3.000% due 2/9/24 | | | | | 247,111 | | |
| | | 250,000 | | | | 3.350% due 2/9/27 | | | | | 246,411 | | |
| | | 250,000 | | | | 3.000% due 6/20/27 | | | | | 239,761 | | |
| | | 250,000 | | | | 4.250% due 2/9/47 | | | | | 258,307 | | |
| | | 250,000 | | | | 3.750% due 11/13/47 | | | | | 236,825 | | |
| | | 100,000 | | | | Applied Materials Inc., Senior Unsecured Notes, 4.350% due 4/1/47 | | | | | 101,599 | | |
| | | 235,000 | | | | Ascend Learning LLC, Senior Unsecured Notes, 6.875% due 8/1/25(b) | | | | | 237,350 | | |
| | | | | | | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 3.000% due 1/15/22 | | | | | 487,512 | | |
| | | 100,000 | | | | 3.625% due 1/15/24 | | | | | 96,809 | | |
| | | 300,000 | | | | CA Inc., Senior Unsecured Notes, 3.600% due 8/15/22 | | | | | 297,407 | | |
| | | 130,000 | | | | Camelot Finance SA, Senior Unsecured Notes, 7.875% due 10/15/24(b) | | | | | 129,512 | | |
| | | 125,000 | | | | CDK Global Inc., Senior Unsecured Notes, 5.875% due 6/15/26 | | | | | 128,330 | | |
| | | | | | | Dell International LLC/EMC Corp., Senior Secured Notes: | | ||||||
| | | 100,000 | | | | 5.450% due 6/15/23(b) | | | | | 104,954 | | |
| | | 750,000 | | | | 6.020% due 6/15/26(b) | | | | | 794,529 | | |
| | | | | | | DXC Technology Co., Senior Unsecured Notes: | | ||||||
| | | 300,000 | | | | 2.875% due 3/27/20 | | | | | 297,376 | | |
| | | 400,000 | | | | 4.750% due 4/15/27 | | | | | 407,898 | | |
| | | 150,000 | | | | Fidelity National Information Services Inc., Senior Unsecured Notes, 4.750% due 5/15/48 | | | | | 150,982 | | |
| | | 235,000 | | | | First Data Corp., Secured Notes, 5.750% due 1/15/24(b) | | | | | 239,700 | | |
| | | 210,000 | | | | Genesys Telecommunications Laboratories Inc./Greeneden Lux 3 SARL/Greeneden US Ho, Company Guaranteed Notes, 10.000% due 11/30/24(b) | | | | | 234,150 | | |
| | | | | | | Hewlett Packard Enterprise Co., Senior Unsecured Notes: | | ||||||
| | | 100,000 | | | | 3.600% due 10/15/20 | | | | | 100,677 | | |
| | | 150,000 | | | | 6.200% due 10/15/35 | | | | | 154,998 | | |
| | | 230,000 | | | | Informatica LLC, Senior Unsecured Notes, 7.125% due 7/15/23(b) | | | | | 234,025 | | |
| | | 250,000 | | | | Intel Corp., Senior Unsecured Notes, 4.100% due 5/19/46 | | | | | 249,899 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – (continued) | | ||||||||||||
| | | | | | | International Business Machines Corp., Senior Unsecured Notes: | | ||||||
| | $ | 250,000 | | | | 2.500% due 1/27/22 | | | | $ | 244,351 | | |
| | | 250,000 | | | | 3.300% due 1/27/27 | | | | | 245,964 | | |
| | | 100,000 | | | | 4.000% due 6/20/42 | | | | | 96,936 | | |
| | | 125,000 | | | | KLA-Tencor Corp., Senior Unsecured Notes, 4.650% due 11/1/24 | | | | | 129,374 | | |
| | | 925,000 | | | | Microchip Technology Inc., Senior Secured Notes, 4.333% due 6/1/23(b) | | | | | 921,353 | | |
| | | | | | | Microsoft Corp., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 1.850% due 2/6/20 | | | | | 494,543 | | |
| | | 250,000 | | | | 2.400% due 2/6/22 | | | | | 245,567 | | |
| | | 250,000 | | | | 2.875% due 2/6/24 | | | | | 245,899 | | |
| | | 250,000 | | | | 3.300% due 2/6/27 | | | | | 247,625 | | |
| | | 250,000 | | | | 3.450% due 8/8/36 | | | | | 238,372 | | |
| | | 750,000 | | | | 4.250% due 2/6/47 | | | | | 790,439 | | |
| | | | | | | Oracle Corp., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 1.900% due 9/15/21 | | | | | 483,876 | | |
| | | 100,000 | | | | 2.950% due 11/15/24 | | | | | 97,230 | | |
| | | 500,000 | | | | 2.650% due 7/15/26 | | | | | 466,592 | | |
| | | 250,000 | | | | 3.850% due 7/15/36 | | | | | 242,705 | | |
| | | 250,000 | | | | 4.000% due 7/15/46 | | | | | 240,317 | | |
| | | 200,000 | | | | 4.000% due 11/15/47 | | | | | 192,238 | | |
| | | | | | | QUALCOMM Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 3.000% due 5/20/22 | | | | | 493,799 | | |
| | | 100,000 | | | | 4.650% due 5/20/35 | | | | | 101,225 | | |
| | | 165,000 | | | | Riverbed Technology Inc., Company Guaranteed Notes, 8.875% due 3/1/23(b) | | | | | 152,625 | | |
| | | 400,000 | | | | Seagate HDD Cayman, Company Guaranteed Notes, 4.250% due 3/1/22 | | | | | 397,958 | | |
| | | 225,000 | | | | Sophia LP/Sophia Finance Inc., Senior Unsecured Notes, 9.000% due 9/30/23(b) | | | | | 234,562 | | |
| | | 400,000 | | | | Xerox Corp., Senior Unsecured Notes, 4.070% due 3/17/22 | | | | | 394,722 | | |
| | | | | | | Total Technology | | | | | 14,428,499 | | |
| Utilities – 1.3% | | ||||||||||||
| | | 200,000 | | | | AES Andres BV/Dominican Power Partners/Empresa Generadora de Electricidad It, Company Guaranteed Notes, 7.950% due 5/11/26 | | | | | 206,750 | | |
| | | 100,000 | | | | Ameren Illinois Co., 1st Mortgage Notes, 3.700% due 12/1/47 | | | | | 94,063 | | |
| | | | | | | Berkshire Hathaway Energy Co., Senior Unsecured Notes: | | ||||||
| | | 200,000 | | | | 6.125% due 4/1/36 | | | | | 242,473 | | |
| | | 250,000 | | | | 5.150% due 11/15/43 | | | | | 275,348 | | |
| | | 130,000 | | | | Calpine Corp., Senior Unsecured Notes, 5.750% due 1/15/25 | | | | | 117,975 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 1,200,000 | | | | Cometa Energia SA de CV, Senior Secured Notes, 6.375% due 4/24/35 | | | | $ | 1,173,000 | | |
| | | | | | | Commonwealth Edison Co., 1st Mortgage Notes: | | ||||||
| | | 150,000 | | | | 3.750% due 8/15/47 | | | | | 141,805 | | |
| | | 150,000 | | | | 4.000% due 3/1/48 | | | | | 147,321 | | |
| | | 250,000 | | | | Consolidated Edison Co. of New York Inc., Senior Unsecured Notes, 3.950% due 3/1/43 | | | | | 241,389 | | |
| | | 500,000 | | | | Consolidated Edison Inc., Senior Unsecured Notes, 2.000% due 3/15/20 | | | | | 492,066 | | |
| | | 150,000 | | | | DTE Electric Co., GENL REF MORT, 3.750% due 8/15/47 | | | | | 142,227 | | |
| | | | | | | Duke Energy Corp., Senior Unsecured Notes: | | ||||||
| | | 1,655,000 | | | | 2.650% due 9/1/26 | | | | | 1,505,148 | | |
| | | 350,000 | | | | 3.750% due 9/1/46 | | | | | 313,101 | | |
| | | 250,000 | | | | Duke Energy Progress LLC, 1st Mortgage Notes, 6.300% due 4/1/38 | | | | | 314,688 | | |
| | | 450,000 | | | | Edison International, Senior Unsecured Notes, 4.125% due 3/15/28 | | | | | 450,942 | | |
| | | 286,950 | | | | Empresa Electrica Angamos SA, Senior Secured Notes, 4.875% due 5/25/29 | | | | | 280,843 | | |
| | | 700,000 | | | | Empresa Electrica Guacolda SA, Senior Unsecured Notes, 4.560% due 4/30/25 | | | | | 650,406 | | |
| | | | | | | Energuate Trust, Company Guaranteed Notes: | | ||||||
| | | 200,000 | | | | 5.875% due 5/3/27(b) | | | | | 191,000 | | |
| | | 200,000 | | | | 5.875% due 5/3/27 | | | | | 191,000 | | |
| | | 600,000 | | | | Engie Energia Chile SA, Senior Unsecured Notes, 5.625% due 1/15/21 | | | | | 623,288 | | |
| | | 200,000 | | | | Entergy Louisiana LLC, Collateral Trust, 4.000% due 3/15/33 | | | | | 203,313 | | |
| | | 100,000 | | | | Eversource Energy, Senior Unsecured Notes, 2.900% due 10/1/24 | | | | | 95,480 | | |
| | | 500,000 | | | | Exelon Generation Co. LLC, Senior Unsecured Notes, 3.400% due 3/15/22 | | | | | 497,570 | | |
| | | 500,000 | | | | FirstEnergy Corp., Senior Unsecured Notes, 3.900% due 7/15/27 | | | | | 491,025 | | |
| | | | | | | Florida Power & Light Co., 1st Mortgage Notes: | | ||||||
| | | 250,000 | | | | 3.125% due 12/1/25 | | | | | 245,091 | | |
| | | 150,000 | | | | 3.950% due 3/1/48 | | | | | 149,738 | | |
| | | 550,000 | | | | Fortis Inc., Senior Unsecured Notes, 2.100% due 10/4/21 | | | | | 526,349 | | |
| | | | | | | Georgia Power Co., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 2.000% due 3/30/20 | | | | | 245,493 | | |
| | | 250,000 | | | | 3.250% due 3/30/27 | | | | | 235,838 | | |
| | | 800,000 | | | | Inkia Energy Ltd., Senior Unsecured Notes, 5.875% due 11/9/27 | | | | | 772,000 | | |
| | | 200,000 | | | | Israel Electric Corp., Ltd, Senior Secured Notes, 5.000% due 11/12/24(b) | | | | | 204,500 | | |
| | | 791,738 | | | | Mexico Generadora de Energia S de rl, Senior Secured Notes, 5.500% due 12/6/32 | | | | | 781,842 | | |
| | | 500,000 | | | | MidAmerican Energy Co., 1st Mortgage Notes, 3.100% due 5/1/27 | | | | | 482,551 | | |
| | | 250,000 | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 3.550% due 5/1/27 | | | | | 243,046 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 255,000 | | | | NextEra Energy Operating Partners LP, Company Guaranteed Notes, 4.250% due 9/15/24(b) | | | | $ | 248,625 | | |
| | | 55,000 | | | | NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes, 7.500% due 11/1/23 | | | | | 56,237 | | |
| | | | | | | NiSource Inc., Senior Unsecured Notes: | | ||||||
| | | 150,000 | | | | 3.490% due 5/15/27 | | | | | 144,872 | | |
| | | 100,000 | | | | 4.375% due 5/15/47 | | | | | 98,715 | | |
| | | 250,000 | | | | Northern States Power Co., 1st Mortgage Notes, 3.600% due 5/15/46 | | | | | 233,117 | | |
| | | 100,000 | | | | NRG Energy Inc., Company Guaranteed Notes, 6.250% due 7/15/22 | | | | | 103,250 | | |
| | | 100,000 | | | | Oncor Electric Delivery Co. LLC, Senior Secured Notes, 5.300% due 6/1/42 | | | | | 116,973 | | |
| | | | | | | Pacific Gas & Electric Co., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.300% due 3/15/27 | | | | | 230,300 | | |
| | | 250,000 | | | | 6.050% due 3/1/34 | | | | | 280,923 | | |
| | | 1,300,000 | | | | Pampa Energia SA, Senior Unsecured Notes, 7.500% due 1/24/27 | | | | | 1,033,500 | | |
| | | 250,000 | | | | PECO Energy Co., 1st Mortgage Notes, 4.150% due 10/1/44 | | | | | 252,670 | | |
| | | | | | | PPL Capital Funding Inc., Company Guaranteed Notes: | | ||||||
| | | 100,000 | | | | 3.400% due 6/1/23 | | | | | 98,146 | | |
| | | 250,000 | | | | 3.100% due 5/15/26 | | | | | 234,146 | | |
| | | 125,000 | | | | PSEG Power LLC, Company Guaranteed Notes, 3.000% due 6/15/21 | | | | | 124,024 | | |
| | | 200,000 | | | | Public Service Electric & Gas Co., 1st Mortgage Notes, 4.050% due 5/1/48 | | | | | 201,630 | | |
| | | 100,000 | | | | Public Service Enterprise Group Inc., Senior Unsecured Notes, 2.650% due 11/15/22 | | | | | 96,437 | | |
| | | 150,000 | | | | Puget Sound Energy Inc., 1st Mortgage Notes, 4.223% due 6/15/48 | | | | | 153,828 | | |
| | | 100,000 | | | | San Diego Gas & Electric Co., 1st Mortgage Notes, 6.000% due 6/1/39 | | | | | 123,136 | | |
| | | 125,000 | | | | Sempra Energy, Senior Unsecured Notes, 4.050% due 12/1/23 | | | | | 126,676 | | |
| | | 75,000 | | | | South Carolina Electric & Gas Co., 1st Mortgage Notes, 4.500% due 6/1/64 | | | | | 69,518 | | |
| | | | | | | Southern California Edison Co., 1st Mortgage Notes: | | ||||||
| | | 125,000 | | | | 4.050% due 3/15/42 | | | | | 120,037 | | |
| | | 250,000 | | | | 4.000% due 4/1/47 | | | | | 239,029 | | |
| | | 150,000 | | | | Southern California Gas Co., 1st Mortgage Notes, 3.150% due 9/15/24 | | | | | 147,805 | | |
| | | | | | | Southern Co., Senior Unsecured Notes: | | ||||||
| | | 645,000 | | | | 1.850% due 7/1/19 | | | | | 640,397 | | |
| | | 250,000 | | | | 4.400% due 7/1/46 | | | | | 239,943 | | |
| | | 150,000 | | | | Southern Co. Gas Capital Corp, Company Guaranteed Notes, 4.400% due 5/30/47 | | | | | 145,075 | | |
| | | 250,000 | | | | Southwestern Electric Power Co., Senior Unsecured Notes, 3.900% due 4/1/45 | | | | | 232,917 | | |
| | | 100,000 | | | | Southwestern Public Service Co., 1st Mortgage Notes, 4.500% due 8/15/41 | | | | | 105,164 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 175,000 | | | | Superior Plus LP/Superior General Partner Inc., Senior Unsecured Notes, 7.000% due 7/15/26(b) | | | | $ | 175,438 | | |
| | | 200,000 | | | | Transelec SA, Senior Unsecured Notes, 4.625% due 7/26/23 | | | | | 202,928 | | |
| | | 600,000 | | | | Transportadora de Gas del Peru SA, Senior Unsecured Notes, 4.250% due 4/30/28 | | | | | 591,750 | | |
| | | | | | | Virginia Electric & Power Co., Senior Unsecured Notes: | | ||||||
| | | 100,000 | | | | 2.950% due 1/15/22 | | | | | 99,224 | | |
| | | 250,000 | | | | 3.500% due 3/15/27 | | | | | 247,464 | | |
| | | 250,000 | | | | 4.000% due 1/15/43 | | | | | 241,470 | | |
| | | 195,000 | | | | Vistra Operations Co. LLC, Senior Unsecured Notes, 5.500% due 9/1/26(b) | | | | | 198,471 | | |
| | | | | | | Total Utilities | | | | | 20,622,504 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $318,011,722) | | | | | 310,531,743 | | |
| MORTGAGE-BACKED SECURITIES – 18.6% | | ||||||||||||
| FHLMC – 4.5% | | ||||||||||||
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Gold: | | ||||||
| | | 3,722,540 | | | | 2.500% due 2/1/32 | | | | | 3,617,794 | | |
| | | 150,000 | | | | 2.500% due 9/1/48(h) | | | | | 140,268 | | |
| | | 20,502,097 | | | | 3.000% due 3/1/32 – 1/1/46 | | | | | 20,051,620 | | |
| | | 40,120,053 | | | | 3.500% due 6/1/33 – 2/1/48 | | | | | 40,012,276 | | |
| | | 646,000 | | | | 3.500% due 9/1/33(h) | | | | | 652,934 | | |
| | | 6,978,408 | | | | 4.000% due 5/1/46 – 9/1/48 | | | | | 7,127,264 | | |
| | | 1,574,000 | | | | 4.000% due 9/1/48(h) | | | | | 1,602,657 | | |
| | | 2,945,066 | | | | 4.500% due 9/1/46 – 8/1/48 | | | | | 3,065,871 | | |
| | | | | | | TOTAL FHLMC | | | | | 76,270,684 | | |
| FNMA – 11.5% | | ||||||||||||
| | | | | | | Federal National Mortgage Association (FNMA): | | ||||||
| | | 1,700,000 | | | | 2.490% due 9/1/28 | | | | | 1,570,352 | | |
| | | 24,177,569 | | | | 2.500% due 1/1/32 – 2/1/47 | | | | | 22,827,935 | | |
| | | 300,000 | | | | 2.500% due 9/1/48(h) | | | | | 280,658 | | |
| | | 68,155,738 | | | | 3.000% due 2/1/32 – 3/1/47 | | | | | 66,407,134 | | |
| | | 46,688,885 | | | | 3.500% due 7/1/26 – 3/1/48 | | | | | 46,580,772 | | |
| | | 30,858,422 | | | | 4.000% due 5/1/33 – 4/1/48 | | | | | 31,497,741 | | |
| | | 235,000 | | | | 4.000% due 9/1/33(h) | | | | | 240,427 | | |
| | | 8,429,648 | | | | 4.500% due 5/1/48 – 6/1/48 | | | | | 8,753,694 | | |
| | | 7,190,640 | | | | 5.000% due 4/1/40 – 3/1/47 | | | | | 7,694,713 | | |
| | | | | | | TOTAL FNMA | | | | | 185,853,426 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – (continued) | | ||||||||||||
| GNMA – 2.6% | | ||||||||||||
| | | | | | | Government National Mortgage Association II (GNMA): | | ||||||
| | $ | 500,000 | | | | 2.500% due 9/1/48(h) | | | | $ | 473,516 | | |
| | | 12,019,250 | | | | 3.000% due 6/20/46 – 7/20/46 | | | | | 11,771,487 | | |
| | | 18,118,019 | | | | 3.500% due 5/20/43 – 12/20/47 | | | | | 18,185,306 | | |
| | | 8,106,481 | | | | 4.000% due 9/20/45 – 7/20/48 | | | | | 8,333,053 | | |
| | | 3,322,642 | | | | 4.500% due 4/20/48 – 7/20/48 | | | | | 3,455,571 | | |
| | | 467,447 | | | | 5.000% due 3/20/48 | | | | | 491,362 | | |
| | | | | | | TOTAL GNMA | | | | | 42,710,295 | | |
| | | | | | | TOTAL MORTGAGE-BACKED SECURITIES (Cost – $310,194,053) | | | | | 304,834,405 | | |
| ASSET-BACKED SECURITIES – 8.5% | | ||||||||||||
| | | 3,305,626 | | | | AASET US Ltd., Series 2018-1A, Class A, 3.844% due 1/16/38(b) | | | | | 3,291,115 | | |
| | | 500,000 | | | | Assurant CLO III Ltd., Series 2018-2A, Class A, 3.389% (3-Month USD-LIBOR + 1.230%) due 10/20/31(a)(b) | | | | | 499,997 | | |
| | | 8,890,178 | | | | Bayview Opportunity Master Fund IVa Trust, Series 2018-RN6, Class A1, step bond to yield, 4.090% due 7/25/33(b) | | | | | 8,888,085 | | |
| | | 1,976,200 | | | | Castlelake Aircraft Securitization Trust, Series 2018-1, Class A, 4.125% due 6/15/43(b) | | | | | 1,984,731 | | |
| | | 500,000 | | | | CBAM Ltd., Series 2018-6A, Class A, 3.330% (3-Month USD-LIBOR + 0.940%) due 7/15/31(a)(b) | | | | | 499,410 | | |
| | | 1,000,000 | | | | CFIP CLO Ltd., Series 2014-1A, Class AR, 3.657% (3-Month USD-LIBOR + 1.320%) due 7/13/29(a)(b) | | | | | 1,002,479 | | |
| | | 200,000 | | | | Citibank Credit Card Issuance Trust, Series 2017-A3, Class A3, 1.920% due 4/7/22 | | | | | 196,977 | | |
| | | 1,000,000 | | | | CVP CLO Ltd., Series 2017-1A, Class A, 3.688% (3-Month USD-LIBOR + 1.340%) due 7/20/30(a)(b) | | | | | 1,006,764 | | |
| | | 1,000,000 | | | | Elevation CLO Ltd., Series 2014-2A, Class A1R, 3.569% (3-Month USD-LIBOR + 1.230%) due 10/15/29(a)(b) | | | | | 998,870 | | |
| | | | | | | GCAT LLC: | | ||||||
| | | 6,106,350 | | | | Series 2017-2, Class A1, step bond to yield, 3.500% due 4/25/47(b) | | | | | 6,059,068 | | |
| | | 2,629,748 | | | | Series 2017-5, Class A1, step bond to yield, 3.228% due 7/25/47(b) | | | | | 2,620,519 | | |
| | | 4,753,962 | | | | Helios Issuer LLC Series, Series 2017-1A, Class A, 4.940% due 9/20/49(b) | | | | | 4,824,524 | | |
| | | 529,000 | | | | Hunt CRE Ltd., Series 2018-FL2, Class A, 3.170% (1-Month USD-LIBOR + 1.080%) due 8/15/28(a)(b) | | | | | 529,826 | | |
| | | | | | | Invitation Homes Trust: | | ||||||
| | | 2,240,000 | | | | Series 2018-SFR1, Class C, 3.310% (1-Month USD-LIBOR + 1.250%) due 3/17/37(a)(b) | | | | | 2,250,428 | | |
| | | 1,425,000 | | | | Series 2018-SFR1, Class D, 3.510% (1-Month USD-LIBOR + 1.450%) due 3/17/37(a)(b) | | | | | 1,427,449 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 990,000 | | | | Jimmy Johns Funding LLC, Series 2017-1A, Class A2II, 4.846% due 7/30/47(b) | | | | $ | 993,811 | | |
| | | 1,000,000 | | | | LCM XV LP, Series 15A, Class DR, 6.059% (3-Month USD-LIBOR + 3.700%) due 7/20/30(a)(b) | | | | | 1,009,723 | | |
| | | 1,000,000 | | | | LCM XVI LP, Series 16A, Class AR, 3.369% (3-Month USD-LIBOR + 1.030%) due 7/15/26(a)(b) | | | | | 1,000,012 | | |
| | | 1,000,000 | | | | Madison Park Funding XI Ltd., Series 2013-11A, Class AR, 3.507% (3-Month USD-LIBOR + 1.160%) due 7/23/29(a)(b) | | | | | 999,995 | | |
| | | 1,000,000 | | | | Marathon CLO V Ltd., Series 2013-5A, Class A1R, 3.182% (3-Month USD-LIBOR + 0.870%) due 11/21/27(a)(b) | | | | | 994,532 | | |
| | | 2,000,000 | | | | Marathon CLO VII Ltd., Series 2014-7A, Class A1R, 3.659% (3-Month USD-LIBOR + 1.320%) due 10/28/25(a)(b) | | | | | 2,000,996 | | |
| | | | | | | Marlette Funding Trust: | | ||||||
| | | 281,710 | | | | Series 2017-2A, Class A, 2.390% due 7/15/24(b) | | | | | 281,230 | | |
| | | 670,511 | | | | Series 2018-1A, Class A, 2.610% due 3/15/28(b) | | | | | 668,883 | | |
| | | 1,500,000 | | | | Midocean Credit CLO VII, Series 2017-7A, Class A1, 3.659% (3-Month USD-LIBOR + 1.320%) due 7/15/29(a)(b) | | | | | 1,501,661 | | |
| | | 1,000,000 | | | | MP CLO III Ltd., Series 2013-1A, Class AR, 3.598% (3-Month USD-LIBOR + 1.250%) due 10/20/30(a)(b) | | | | | 1,001,137 | | |
| | | 1,000,000 | | | | MP CLO IV Ltd., Series 2013-2A, Class ARR, 3.615% (3-Month USD-LIBOR + 1.280%) due 7/25/29(a)(b) | | | | | 1,001,065 | | |
| | | 500,000 | | | | Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A, 3.189% (3-Month USD-LIBOR + 0.850%) due 1/15/28(a)(b) | | | | | 498,052 | | |
| | | 2,000,000 | | | | Nissan Auto Receivables Owner Trust, Series 2017-A, Class A3, 1.740% due 8/16/21 | | | | | 1,979,167 | | |
| | | 500,000 | | | | Northwoods Capital XI-B, Series 2018-11BA, Class A1, 3.462% (3-Month USD-LIBOR + 1.100%) due 4/19/31(a)(b) | | | | | 498,245 | | |
| | | 1,000,000 | | | | Northwoods Capital XVI Ltd., Series 2017-16A, Class A, 3.584% (3-Month USD-LIBOR + 1.270%) due 11/15/30(a)(b) | | | | | 998,778 | | |
| | | 13,502,904 | | | | Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2, Class A1, step bond to yield, 3.000% due 7/25/57(b) | | | | | 13,293,232 | | |
| | | 1,000,000 | | | | Octagon Loan Funding Ltd., Series 2014-1A, Class A1R, 3.462% (3-Month USD-LIBOR + 1.140%) due 11/18/26(a)(b) | | | | | 999,885 | | |
| | | 15,623,284 | | | | Option One Mortgage Loan Trust, Series 2007-6, Class 1A1, 2.255% (1-Month USD-LIBOR + 0.190%) due 7/25/37(a) | | | | | 13,380,944 | | |
| | | 707,740 | | | | Palmer Square Loan Funding Ltd., Series 2017-1A, Class A1, 3.079% (3-Month USD-LIBOR + 0.740%) due 10/15/25(a)(b) | | | | | 706,350 | | |
| | | 10,386,025 | | | | PRPM LLC, Series 2017-2A, Class A1, step bond to yield, 3.470% due 9/25/22(b) | | | | | 10,320,398 | | |
| | | 1,000,000 | | | | Rockford Tower CLO Ltd., Series 2017-3A, Class A, 3.538% (3-Month USD-LIBOR + 1.190%) due 10/20/30(a)(b) | | | | | 998,281 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 1,000,000 | | | | Sofi Professional Loan Program Trust, Series 2018-B, Class BFX, 3.830% due 8/25/47(b) | | | | $ | 997,795 | | |
| | | 1,000,000 | | | | Steele Creek CLO Ltd., Series 2015-1A, Class AR, 3.572% (3-Month USD-LIBOR + 1.260%) due 5/21/29(a)(b) | | | | | 1,004,335 | | |
| | | 1,320,179 | | | | Textainer Marine Containers V Ltd., Series 2017-1A, Class A, 3.720% due 5/20/42(b) | | | | | 1,310,465 | | |
| | | 1,000,000 | | | | THL Credit Wind River CLO Ltd., Series 2014-2A, Class AR, 3.479% (3-Month USD-LIBOR + 1.140%) due 1/15/31(a)(b) | | | | | 998,878 | | |
| | | 3,006,723 | | | | VOLT LIX LLC, Series 2017-NPL6, Class A1, step bond to yield, 3.250% due 5/25/47(b) | | | | | 2,992,466 | | |
| | | 8,205,164 | | | | VOLT LVI LLC, Series 2017-NPL3, Class A1, step bond to yield, 3.500% due 3/25/47(b) | | | | | 8,175,929 | | |
| | | 5,034,949 | | | | VOLT LXI LLC, Series 2017-NPL8, Class A1, step bond to yield, 3.125% due 6/25/47(b) | | | | | 4,996,437 | | |
| | | 10,983,170 | | | | WaMu Asset-Backed Certificates WaMu Series Trust, Series 2007-HE4, Class 1A, 2.235% (1-Month USD-LIBOR + 0.170%) due 7/25/47(a) | | | | | 8,694,669 | | |
| | | 16,272,765 | | | | Washington Mutural Asset-Backed Certificates WMABS Trust, Series 2006-HE3, Class 1A, 2.220% (1-Month USD-LIBOR + 0.155%) due 8/25/36(a) | | | | | 15,118,559 | | |
| | | | | | | Wellfleet CLO Ltd.: | | ||||||
| | | 1,000,000 | | | | Series 2017-2A, Class A1, 3.598% (3-Month USD-LIBOR + 1.250%) due 10/20/29(a)(b) | | | | | 1,001,207 | | |
| | | 1,000,000 | | | | Series 2017-3A, Class A1, 3.486% (3-Month USD-LIBOR + 1.150%) due 1/17/31(a)(b) | | | | | 997,708 | | |
| | | 500,000 | | | | Series 2018-2A, Class A1, zero coupon (3-Month USD-LIBOR + 1.200%) due 10/20/31(a)(b)(d) | | | | | 499,350 | | |
| | | 1,000,000 | | | | Zais CLO 5 Ltd., Series 2016-2A, Class A1, 3.869% (3-Month USD-LIBOR + 1.530%) due 10/15/28(a)(b) | | | | | 1,000,373 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $137,706,036) | | | | | 138,994,790 | | |
| SENIOR LOANS(a) – 3.3% | | ||||||||||||
| | | | | | | Access CIG LLC: | | ||||||
| | | 38,863 | | | | 3.750% (3-Month USD-LIBOR + 3.750%) due 2/27/25 | | | | | 38,985 | | |
| | | 519,578 | | | | 5.826% (1-Month USD-LIBOR + 3.750%) due 2/27/25 | | | | | 521,204 | | |
| | | | | | | Acrisure LLC: | | ||||||
| | | 80,000 | | | | 6.086% (3-Month USD-LIBOR + 3.750%) due 11/22/23 | | | | | 79,950 | | |
| | | 380,749 | | | | 6.592% (3-Month USD-LIBOR + 4.250%) due 11/22/23 | | | | | 381,606 | | |
| | | 254,361 | | | | Air Medical Group Holdings Inc., 5.321% (1-Month USD-LIBOR + 3.250%) due 4/28/22 | | | | | 249,645 | | |
| | | 255,000 | | | | Air Methods Corp., 5.834% (3-Month USD-LIBOR + 3.500%) due 4/22/24 | | | | | 232,899 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 55,000 | | | | Alera Group Intermediate Holdings Inc., 6.576% (1-Month USD-LIBOR + 4.500%) due 8/1/25 | | | | $ | 55,344 | | |
| | | 195,000 | | | | Aleris International Inc., 6.826% (1-Month USD-LIBOR + 4.750%) due 2/27/23 | | | | | 197,621 | | |
| | | 246,659 | | | | American Tire Distributors Inc., 6.326% (1-Month USD-LIBOR + 4.250%) due 9/1/21 | | | | | 187,846 | | |
| | | 499,884 | | | | Amneal Pharmaceuticals LLC, 5.625% (1-Month USD-LIBOR + 3.500%) due 5/4/25 | | | | | 503,009 | | |
| | | 119,100 | | | | Applied Systems Inc., 5.334% (3-Month USD-LIBOR + 3.000%) due 9/19/24 | | | | | 119,497 | | |
| | | 513,488 | | | | AssuredPartners Inc., 5.326% (1-Month USD-LIBOR + 3.250%) due 10/22/24 | | | | | 512,975 | | |
| | | | | | | Asurion LLC: | | ||||||
| | | 448,972 | | | | 5.076% (1-Month USD-LIBOR + 3.000%) due 11/3/23 | | | | | 450,256 | | |
| | | 115,000 | | | | 8.576% (1-Month USD-LIBOR + 6.500%) due 8/4/25 | | | | | 118,258 | | |
| | | 195,000 | | | | Auris LuxCo, due 7/24/25(i) | | | | | 196,301 | | |
| | | 337,284 | | | | Avantor Inc., 6.076% (1-Month USD-LIBOR + 4.000%) due 11/21/24 | | | | | 341,018 | | |
| | | 507,163 | | | | Avaya Inc., 6.313% (1-Month USD-LIBOR + 4.250%) due 12/15/24 | | | | | 510,272 | | |
| | | 59,250 | | | | Bausch Health Cos., Inc., 5.081% (1-Month USD-LIBOR + 3.000%) due 6/2/25 | | | | | 59,437 | | |
| | | 255,000 | | | | BCP Renaissance Parent LLC, 5.842% (3-Month USD-LIBOR + 3.500%) due 10/31/24 | | | | | 255,745 | | |
| | | 416,869 | | | | BJ’s Wholesale Club Inc., 5.067% (1-Month USD-LIBOR + 3.000%) due 2/3/24 | | | | | 417,390 | | |
| | | 190,000 | | | | Blackhawk Network Holdings Inc., 5.183% (2-Month USD-LIBOR + 3.000%) due 6/15/25 | | | | | 190,555 | | |
| | | 455,000 | | | | BMC Software Finance Inc., due 9/1/25(i) | | | | | 455,136 | | |
| | | 130,000 | | | | Boyd Corp., due 8/14/25(i) | | | | | 130,325 | | |
| | | 145,400 | | | | Brand Energy & Infrastructure Services Inc., 6.596% (3-Month USD-LIBOR + 4.250%) due 6/21/24 | | | | | 146,066 | | |
| | | 395,000 | | | | Brazos Delaware II LLC, 6.077% (1-Month USD-LIBOR + 4.000%) due 5/21/25 | | | | | 391,172 | | |
| | | 495,209 | | | | Bright Bidco BV, 5.751% (1-Month USD-LIBOR + 3.500%) due 6/30/24 | | | | | 490,361 | | |
| | | 245,000 | | | | Brookfield WEC Holdings Inc., 5.832% (1-Month USD-LIBOR + 3.750%) due 8/1/25 | | | | | 246,286 | | |
| | | 286,012 | | | | BWay Holding Co., 5.581% (3-Month USD-LIBOR + 3.250%) due 4/3/24 | | | | | 284,785 | | |
| | | 472,743 | | | | Canyon Valor Cos., Inc., 5.584% (3-Month USD-LIBOR + 3.250%) due 6/16/23 | | | | | 474,043 | | |
| | | 701,475 | | | | Capri Acquisitions BidCo Ltd., 5.592% (3-Month USD-LIBOR + 3.250%) due 11/1/24 | | | | | 697,968 | | |
| | | 337,450 | | | | CBS Radio Inc., 4.816% (1-Month USD-LIBOR + 2.750%) due 11/18/24 | | | | | 334,075 | | |
| | | 525,000 | | | | Cengage Learning Inc., 6.327% (1-Month USD-LIBOR + 4.250%) due 6/7/23 | | | | | 485,887 | | |
| | | 298,737 | | | | CenturyLink Inc., 4.826% (1-Month USD-LIBOR + 2.750%) due 1/31/25 | | | | | 295,152 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 380,139 | | | | Change Healthcare Holdings Inc., 4.826% (1-Month USD-LIBOR + 2.750%) due 3/1/24 | | | | $ | 380,245 | | |
| | | 450,000 | | | | Cincinnati Bell Inc., 5.326% (1-Month USD-LIBOR + 3.250%) due 10/2/24 | | | | | 448,632 | | |
| | | 308,677 | | | | ClubCorp Holdings Inc., 5.084% (3-Month USD-LIBOR + 2.750%) due 9/18/24 | | | | | 305,050 | | |
| | | 572,850 | | | | Compass Power Generation LLC, 5.576% (1-Month USD-LIBOR + 3.500%) due 12/20/24 | | | | | 574,643 | | |
| | | 247,555 | | | | Constellis Holdings LLC, 7.334% (3-Month USD-LIBOR + 5.000%) due 4/21/24 | | | | | 249,102 | | |
| | | 385,000 | | | | Covia Holdings Corp., 6.050% (3-Month USD-LIBOR + 3.750%) due 6/1/25 | | | | | 380,026 | | |
| | | 294,583 | | | | CSM Bakery Solutions Ltd., 6.340% (3-Month USD-LIBOR + 4.000%) due 7/3/20 | | | | | 283,830 | | |
| | | 463,838 | | | | Cvent Inc., 5.826% (1-Month USD-LIBOR + 3.750%) due 11/29/24 | | | | | 462,678 | | |
| | | 273,315 | | | | CVS Holdings I LP, 5.080% (1-Month USD-LIBOR + 3.000%) due 2/6/25 | | | | | 272,462 | | |
| | | | | | | Cyxtera DC Holdings Inc.: | | ||||||
| | | 1,027,406 | | | | 5.090% (1-Month USD-LIBOR + 3.000%) due 5/1/24 | | | | | 1,032,543 | | |
| | | 50,000 | | | | 9.340% (1-Month USD-LIBOR + 7.250%) due 5/1/25 | | | | | 49,958 | | |
| | | 573,813 | | | | Deerfield Dakota Holding LLC, 5.584% (3-Month USD-LIBOR + 3.250%) due 2/13/25 | | | | | 574,650 | | |
| | | | | | | Dentalcorp of Canada ULC: | | ||||||
| | | 8,570 | | | | 2.526% (3-Month USD-LIBOR + 1.875%) due 6/6/25 | | | | | 8,598 | | |
| | | 208,000 | | | | 5.826% (1-Month USD-LIBOR + 3.750%) due 6/6/25 | | | | | 208,693 | | |
| | | 274,171 | | | | Digicel International Finance Ltd., 5.570% (3-Month USD-LIBOR + 3.250%) due 5/27/24 | | | | | 255,892 | | |
| | | 40,000 | | | | Dynatrace LLC, 5.316% (1-Month USD-LIBOR + 3.250%) due 8/25/25 | | | | | 40,117 | | |
| | | 513,713 | | | | EAB Global Inc., 6.252% (2-Month USD-LIBOR + 3.750%) due 11/15/24 | | | | | 509,860 | | |
| | | 65,000 | | | | EagleView Technology Corp., 5.567% (1-Month USD-LIBOR + 3.500%) due 8/14/25 | | | | | 64,878 | | |
| | | | | | | Edelman Financial Center LLC: | | ||||||
| | | 285,000 | | | | 5.592% (3-Month USD-LIBOR + 3.250%) due 7/21/25 | | | | | 286,337 | | |
| | | 25,000 | | | | 9.092% (3-Month USD-LIBOR + 6.750%) due 7/20/26 | | | | | 25,562 | | |
| | | | | | | EG Group Ltd.: | | ||||||
| | | 129,675 | | | | 6.267% (3-Month USD-LIBOR + 4.000%) due 2/7/25 | | | | | 129,621 | | |
| | | 448,875 | | | | 6.334% (3-Month USD-LIBOR + 4.000%) due 2/7/25 | | | | | 448,686 | | |
| | | 337,183 | | | | Equian Buyer Corp., 5.316% (1-Month USD-LIBOR + 3.250%) due 5/20/24 | | | | | 336,974 | | |
| | | 636,962 | | | | Equinox Holdings Inc., 5.076% (1-Month USD-LIBOR + 3.000%) due 3/8/24 | | | | | 639,509 | | |
| | | 210,850 | | | | Exgen Renewables IV LLC, 5.320% (3-Month USD-LIBOR + 3.000%) due 11/28/24 | | | | | 211,377 | | |
| | | 563,944 | | | | Explorer Holdings Inc., 6.084% (3-Month USD-LIBOR + 3.750%) due 5/2/23 | | | | | 566,764 | | |
| | | 511,751 | | | | Federal-Mogul Corp., 5.815% (1-Month USD-LIBOR + 3.750%) due 4/15/21 | | | | | 512,938 | | |
| | | 209,475 | | | | Filtration Group Corp., 5.076% (1-Month USD-LIBOR + 3.000%) due 3/29/25 | | | | | 210,131 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 314,213 | | | | Flexera Software LLC, 5.330% (1-Month USD-LIBOR + 3.250%) due 2/26/25 | | | | $ | 314,291 | | |
| | | 181,252 | | | | Foresight Energy LLC, 7.826% (1-Month USD-LIBOR + 5.750%) due 3/28/22 | | | | | 180,701 | | |
| | | 137,428 | | | | Forterra Finance LLC, 5.076% (1-Month USD-LIBOR + 3.000%) due 10/25/23 | | | | | 128,572 | | |
| | | 145,000 | | | | frontdoor Inc., 4.625% (3-Month USD-LIBOR + 2.500%) due 8/16/25 | | | | | 145,181 | | |
| | | 420,000 | | | | Frontera Generation Holdings LLC, 6.331% (1-Month USD-LIBOR + 4.250%) due 5/2/25 | | | | | 421,050 | | |
| | | 205,466 | | | | FTS International Inc., 6.826% (1-Month USD-LIBOR + 4.750%) due 4/16/21 | | | | | 205,595 | | |
| | | 320,950 | | | | Gates Global LLC, 5.084% (3-Month USD-LIBOR + 2.750%) due 4/1/24 | | | | | 322,404 | | |
| | | | | | | Gentiva Health Services Inc.: | | ||||||
| | | 425,158 | | | | 6.125% (3-Month USD-LIBOR + 3.750%) due 7/2/25 | | | | | 427,816 | | |
| | | 105,000 | | | | 9.375% (3-Month USD-LIBOR + 7.000%) due 7/2/26 | | | | | 106,575 | | |
| | | 299,250 | | | | Gopher Resource LLC, 5.326% (1-Month USD-LIBOR + 3.250%) due 3/6/25 | | | | | 300,746 | | |
| | | 455,000 | | | | Graftech International Ltd., 5.576% (1-Month USD-LIBOR + 3.500%) due 2/12/25 | | | | | 457,275 | | |
| | | 628,633 | | | | Greeneden US Holdings I LLC, 5.576% (1-Month USD-LIBOR + 3.500%) due 12/1/23 | | | | | 629,683 | | |
| | | 975,000 | | | | GTT Communications Inc., 4.830% (1-Month USD-LIBOR + 2.750%) due 5/31/25 | | | | | 955,276 | | |
| | | 164,715 | | | | Gulf Finance LLC, 7.590% (3-Month USD-LIBOR + 5.250%) due 8/25/23 | | | | | 136,611 | | |
| | | 113,229 | | | | GW Honos Security Corp., 5.800% (3-Month USD-LIBOR + 3.500%) due 5/24/24 | | | | | 113,654 | | |
| | | 190,865 | | | | Harbor Freight Tools USA Inc., 4.576% (1-Month USD-LIBOR + 2.500%) due 8/18/23 | | | | | 190,573 | | |
| | | 669,938 | | | | Hayward Industries Inc., 5.576% (1-Month USD-LIBOR + 3.500%) due 8/5/24 | | | | | 671,612 | | |
| | | 700,000 | | | | Intelsat Jackson Holdings SA, 5.815% (1-Month USD-LIBOR + 3.750%) due 11/27/23 | | | | | 703,017 | | |
| | | 506,687 | | | | Intralinks Inc., 6.080% (1-Month USD-LIBOR + 4.000%) due 11/14/24(j) | | | | | 508,587 | | |
| | | 507,388 | | | | Intrawest Resorts Holdings Inc., 5.076% (1-Month USD-LIBOR + 3.000%) due 7/31/24 | | | | | 507,601 | | |
| | | 410,000 | | | | ION Trading Technologies SARL, due 11/21/24(i) | | | | | 407,823 | | |
| | | 566,410 | | | | IRB Holding Corp., 5.321% (1-Month USD-LIBOR + 3.250%) due 2/5/25 | | | | | 568,840 | | |
| | | 374,036 | | | | Jaguar Holding Co. I LLC, 4.576% (1-Month USD-LIBOR + 2.500%) due 8/18/22 | | | | | 373,654 | | |
| | | 335,000 | | | | KBR Inc., 5.815% (1-Month USD-LIBOR + 3.750%) due 4/25/25 | | | | | 337,305 | | |
| | | 410,538 | | | | Kenan Advantage Group Holdings Corp., 5.076% (1-Month USD-LIBOR + 3.000%) due 7/29/22 | | | | | 408,231 | | |
| | | 175,000 | | | | Kindred Healthcare LLC, 7.375% (3-Month USD-LIBOR + 5.000%) due 7/2/25 | | | | | 174,454 | | |
| | | 530,152 | | | | Klockner Pentaplast of America Inc., 6.326% (1-Month USD-LIBOR + 4.250%) due 6/30/22 | | | | | 512,922 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 540,000 | | | | Kronos Acquisition Intermediate Inc., 6.065% (1-Month USD-LIBOR + 4.000%) due 5/15/23 | | | | $ | 534,940 | | |
| | | 428,925 | | | | Kronos Inc., 5.343% (2-Month USD-LIBOR + 3.000%) due 11/1/23 | | | | | 429,783 | | |
| | | 194,513 | | | | Lions Gate Capital Holdings LLC, 4.315% (1-Month USD-LIBOR + 2.250%) due 3/24/25 | | | | | 194,269 | | |
| | | 259,350 | | | | Lucid Energy Group II Borrower LLC, 5.077% (1-Month USD-LIBOR + 3.000%) due 2/17/25 | | | | | 255,136 | | |
| | | 105,000 | | | | Marriott Ownership Resorts Inc., due 8/29/25(i) | | | | | 105,131 | | |
| | | | | | | Mavis Tire Express Services Corp.: | | ||||||
| | | 4,743 | | | | 1.238% (3-Month USD-LIBOR + 1.000%) due 3/20/25 | | | | | 4,695 | | |
| | | 537,405 | | | | 5.327% (1-Month USD-LIBOR + 3.250%) due 3/20/25 | | | | | 532,031 | | |
| | | 143,713 | | | | McDermott International Inc., 7.076% (1-Month USD-LIBOR + 5.000%) due 5/12/25 | | | | | 145,127 | | |
| | | 254,325 | | | | Meredith Corp., 5.076% (1-Month USD-LIBOR + 3.000%) due 1/31/25 | | | | | 254,890 | | |
| | | 44,271 | | | | Mission Broadcasting Inc., 4.582% (1-Month USD-LIBOR + 2.500%) due 1/17/24 | | | | | 44,419 | | |
| | | | | | | Misys Ltd.: | | ||||||
| | | 250,630 | | | | 5.576% (1-Month USD-LIBOR + 3.500%) due 6/13/24 | | | | | 249,310 | | |
| | | 260,000 | | | | 9.326% (1-Month USD-LIBOR + 7.250%) due 6/13/25 | | | | | 254,800 | | |
| | | 508,725 | | | | Mitchell International Inc., 5.326% (1-Month USD-LIBOR + 3.250%) due 11/29/24 | | | | | 507,346 | | |
| | | | | | | MLN US HoldCo LLC: | | ||||||
| | | 330,000 | | | | due 7/11/25(i) | | | | | 331,237 | | |
| | | 75,000 | | | | due 7/13/26(i) | | | | | 74,250 | | |
| | | 388,669 | | | | MPH Acquisition Holdings LLC, 5.084% (3-Month USD-LIBOR + 2.750%) due 6/7/23 | | | | | 388,292 | | |
| | | 325,327 | | | | Nexstar Broadcasting Inc., 4.582% (1-Month USD-LIBOR + 2.500%) due 1/17/24 | | | | | 326,410 | | |
| | | 116,406 | | | | Optiv Inc., 5.313% (1-Month USD-LIBOR + 3.250%) due 2/1/24 | | | | | 112,623 | | |
| | | 503,738 | | | | Oryx Southern Delaware Holdings LLC, 5.326% (1-Month USD-LIBOR + 3.250%) due 2/28/25 | | | | | 492,821 | | |
| | | 384,033 | | | | Parexel International Corp., 4.826% (1-Month USD-LIBOR + 2.750%) due 9/27/24 | | | | | 383,745 | | |
| | | 674,900 | | | | Peak 10 Holding Corp., 5.834% (3-Month USD-LIBOR + 3.500%) due 8/1/24 | | | | | 661,064 | | |
| | | 105,000 | | | | Penn National Gaming Inc., due 8/14/25(i) | | | | | 105,131 | | |
| | | 376,674 | | | | Pike Corp., 5.580% (1-Month USD-LIBOR + 3.500%) due 3/23/25 | | | | | 379,122 | | |
| | | 425,000 | | | | Pisces Midco Inc., 6.087% (3-Month USD-LIBOR + 3.750%) due 4/12/25 | | | | | 426,241 | | |
| | | 245,000 | | | | Plantronics Inc., 4.576% (1-Month USD-LIBOR + 2.500%) due 7/2/25 | | | | | 244,285 | | |
| | | 625,267 | | | | Playa Resorts Holding BV, 4.830% (1-Month USD-LIBOR + 2.750%) due 4/29/24 | | | | | 619,796 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 733,163 | | | | PowerTeam Services LLC, 5.584% (3-Month USD-LIBOR + 3.250%) due 3/6/25 | | | | $ | 726,747 | | |
| | | 408,967 | | | | Prime Security Services Borrower LLC, 4.826% (1-Month USD-LIBOR + 2.750%) due 5/2/22 | | | | | 409,806 | | |
| | | 638,550 | | | | Project Alpha Intermediate Holding Inc., 5.990% (3-Month USD-LIBOR + 3.500%) due 4/26/24 | | | | | 638,282 | | |
| | | 408,411 | | | | Radiate Holdco LLC, 5.076% (1-Month USD-LIBOR + 3.000%) due 2/1/24 | | | | | 405,859 | | |
| | | 430,000 | | | | Radiology Partners Inc., 6.589% (3-Month USD-LIBOR + 4.250%) due 7/9/25 | | | | | 427,850 | | |
| | | 575,000 | | | | Renaissance Holding Corp., 5.584% (3-Month USD-LIBOR + 3.250%) due 5/30/25 | | | | | 572,844 | | |
| | | 367,088 | | | | RentPath LLC, 6.830% (1-Month USD-LIBOR + 4.750%) due 12/17/21(j) | | | | | 301,012 | | |
| | | 154,608 | | | | Reynolds Group Holdings Inc., 4.826% (1-Month USD-LIBOR + 2.750%) due 2/5/23 | | | | | 155,050 | | |
| | | 239,400 | | | | Robertshaw US Holding Corp., 5.625% (1-Month USD-LIBOR + 3.500%) due 2/28/25 | | | | | 237,157 | | |
| | | 70,000 | | | | Schenectady International Group Inc., due 8/17/25(i) | | | | | 68,600 | | |
| | | 413,963 | | | | Scientific Games International Inc., 4.826% (1-Month USD-LIBOR + 2.750%) due 8/14/24 | | | | | 412,704 | | |
| | | | | | | Securus Technologies Holdings Inc.: | | ||||||
| | | 104,000 | | | | due 11/1/24(i) | | | | | 103,870 | | |
| | | 716,875 | | | | 6.576% (1-Month USD-LIBOR + 4.500%) due 11/1/24 | | | | | 715,979 | | |
| | | 632,000 | | | | Select Medical Corp., 4.821% (1-Month USD-LIBOR + 2.750%) due 3/1/21 | | | | | 634,895 | | |
| | | 335,000 | | | | Severin Acquisition LLC, 5.332% (3-Month USD-LIBOR + 3.250%) due 8/1/25 | | | | | 333,744 | | |
| | | 625,000 | | | | SIWF Holdings Inc., 6.314% (1-Month USD-LIBOR + 4.250%) due 6/15/25 | | | | | 625,781 | | |
| | | 332,700 | | | | SolarWinds Holdings Inc., 5.076% (1-Month USD-LIBOR + 3.000%) due 2/5/24 | | | | | 333,688 | | |
| | | | | | | Solenis Holdings LLC: | | ||||||
| | | 265,000 | | | | 6.311% (3-Month USD-LIBOR + 4.000%) due 12/26/23 | | | | | 266,155 | | |
| | | 55,000 | | | | 10.811% (3-Month USD-LIBOR + 8.500%) due 6/26/24 | | | | | 54,175 | | |
| | | 498,717 | | | | Sophia LP, 5.584% (3-Month USD-LIBOR + 3.250%) due 9/30/22 | | | | | 499,839 | | |
| | | 90,000 | | | | Sound Inpatient Physicians Inc., 5.076% (1-Month USD-LIBOR + 3.000%) due 6/27/25 | | | | | 90,150 | | |
| | | 507,436 | | | | Southern Graphics Inc., 5.326% (1-Month USD-LIBOR + 3.250%) due 12/31/22 | | | | ��� | 506,487 | | |
| | | 55,000 | | | | SRS Distribution Inc., 5.441% (2-Month USD-LIBOR + 3.250%) due 5/23/25 | | | | | 53,704 | | |
| | | 70,000 | | | | SS&C Technologies Holdings Inc., due 4/16/25(i) | | | | | 70,015 | | |
| | | 233,238 | | | | Staples Inc., 6.343% (3-Month USD-LIBOR + 4.000%) due 9/12/24 | | | | | 232,447 | | |
| | | 95,000 | | | | Stars Group Holdings BV, 5.831% (3-Month USD-LIBOR + 3.500%) due 7/10/25 | | | | | 95,706 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 174,089 | | | | Syncreon Global Finance (US) Inc., 6.326% (1-Month USD-LIBOR + 4.250%) due 10/28/20 | | | | $ | 163,753 | | |
| | | 556,813 | | | | Team Health Holdings Inc., 4.826% (1-Month USD-LIBOR + 2.750%) due 2/6/24 | | | | | 531,294 | | |
| | | 325,000 | | | | Tenneco Inc., due 6/18/25(i) | | | | | 325,000 | | |
| | | 413,850 | | | | Titan Acquisition Ltd., 5.076% (1-Month USD-LIBOR + 3.000%) due 3/28/25 | | | | | 391,680 | | |
| | | 636,938 | | | | TKC Holdings Inc., 5.830% (1-Month USD-LIBOR + 3.750%) due 2/1/23 | | | | | 636,441 | | |
| | | | | | | Transdigm Inc.: | | ||||||
| | | 408,975 | | | | 4.576% (1-Month USD-LIBOR + 2.500%) due 6/9/23 | | | | | 408,018 | | |
| | | 166,004 | | | | 4.576% (1-Month USD-LIBOR + 2.500%) due 5/30/25 | | | | | 165,562 | | |
| | | 150,000 | | | | Travel Leaders Group LLC, 6.060% (1-Month USD-LIBOR + 4.000%) due 1/25/24 | | | | | 151,219 | | |
| | | 255,000 | | | | Traverse Midstream Partners LLC, 6.340% (3-Month USD-LIBOR + 4.000%) due 9/27/24 | | | | | 255,956 | | |
| | | 636,897 | | | | UFC Holdings LLC, 5.330% (1-Month USD-LIBOR + 3.250%) due 8/18/23 | | | | | 639,171 | | |
| | | 140,000 | | | | Ultra Resources Inc., 5.077% (1-Month USD-LIBOR + 3.000%) due 4/12/24 | | | | | 125,271 | | |
| | | 334,143 | | | | US Renal Care Inc., 6.584% (3-Month USD-LIBOR + 4.250%) due 12/30/22 | | | | | 324,954 | | |
| | | 733,163 | | | | US Silica Co., 6.125% (1-Month USD-LIBOR + 4.000%) due 5/1/25 | | | | | 731,535 | | |
| | | 290,000 | | | | VeriFone Systems Inc., 6.322% (3-Month USD-LIBOR + 4.000%) due 8/20/25 | | | | | 290,362 | | |
| | | 320,000 | | | | Verscend Holding Corp., due 8/27/25(i) | | | | | 321,802 | | |
| | | 315,000 | | | | Vertafore Inc., 5.326% (1-Month USD-LIBOR + 3.250%) due 7/2/25 | | | | | 314,187 | | |
| | | 557,200 | | | | West Corp., 6.076% (1-Month USD-LIBOR + 4.000%) due 10/10/24 | | | | | 554,587 | | |
| | | 290,000 | | | | WP CPP Holdings LLC, 6.214% (3-Month USD-LIBOR + 3.750%) due 4/30/25 | | | | | 290,908 | | |
| | | 290,000 | | | | Yak Access LLC, 7.067% (1-Month USD-LIBOR + 5.000%) due 7/11/25 | | | | | 279,850 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $54,000,908) | | | | | 53,661,864 | | |
| SOVEREIGN BONDS – 1.2% | | ||||||||||||
| Argentina – 0.1% | | ||||||||||||
| | | | | | | Argentine Republic Government International Bond: | | ||||||
| | | 1,100,000 | | | | 6.875% due 1/26/27 | | | | | 860,750 | | |
| | | 250,000 | | | | 5.875% due 1/11/28 | | | | | 181,625 | | |
| | | 350,000 | | | | 6.625% due 7/6/28 | | | | | 262,500 | | |
| | | 1,350,000 | | | | Provincia de Buenos Aires, 7.875% due 6/15/27 | | | | | 972,013 | | |
| | | | | | | Total Argentina | | | | | 2,276,888 | | |
| Canada – 0.1% | | ||||||||||||
| | | 1,000,000 | | | | Province of Ontario Canada, 2.400% due 2/8/22 | | | | | 976,506 | | |
| | | 750,000 | | | | Province of Quebec Canada, 2.375% due 1/31/22 | | | | | 733,726 | | |
| | | | | | | Total Canada | | | | | 1,710,232 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Chile – 0.1% | | ||||||||||||
| | | | | | | Chile Government International Bond: | | ||||||
| | $ | 400,000 | | | | 3.125% due 3/27/25 | | | | $ | 388,740 | | |
| | | 1,600,000 | | | | 3.125% due 1/21/26 | | | | | 1,544,320 | | |
| | | | | | | Total Chile | | | | | 1,933,060 | | |
| Colombia – 0.1% | | ||||||||||||
| | | | | | | Colombia Government International Bond: | | ||||||
| | | 750,000 | | | | 3.875% due 4/25/27 | | | | | 730,125 | | |
| | | 250,000 | | | | 5.625% due 2/26/44 | | | | | 271,875 | | |
| | | | | | | Total Colombia | | | | | 1,002,000 | | |
| Hungary – 0.0% | | ||||||||||||
| | | 500,000 | | | | Hungary Government International Bond, 6.375% due 3/29/21 | | | | | 535,385 | | |
| India – 0.0% | | ||||||||||||
| | | 200,000 | | | | Export-Import Bank of India, 4.000% due 1/14/23 | | | | | 199,006 | | |
| Indonesia – 0.1% | | ||||||||||||
| | | 1,300,000 | | | | Perusahaan Penerbit SBSN Indonesia III, 4.150% due 3/29/27(b) | | | | | 1,263,275 | | |
| Israel – 0.0% | | ||||||||||||
| | | 700,000 | | | | Israel Government International Bond, 2.875% due 3/16/26 | | | | | 667,271 | | |
| Japan – 0.1% | | ||||||||||||
| | | | | | | Japan Bank for International Cooperation: | | ||||||
| | | 500,000 | | | | 1.750% due 5/28/20 | | | | | 490,389 | | |
| | | 250,000 | | | | 2.750% due 11/16/27 | | | | | 239,088 | | |
| | | | | | | Total Japan | | | | | 729,477 | | |
| Mexico – 0.1% | | ||||||||||||
| | | | | | | Mexico Government International Bond: | | ||||||
| | | 500,000 | | | | 3.500% due 1/21/21 | | | | | 500,125 | | |
| | | 600,000 | | | | 4.150% due 3/28/27 | | | | | 591,900 | | |
| | | 350,000 | | | | 3.750% due 1/11/28 | | | | | 332,850 | | |
| | | 750,000 | | | | 4.600% due 1/23/46 | | | | | 697,125 | | |
| | | | | | | Total Mexico | | | | | 2,122,000 | | |
| Panama – 0.0% | | ||||||||||||
| | | | | | | Panama Government International Bond: | | ||||||
| | | 400,000 | | | | 4.000% due 9/22/24 | | | | | 408,000 | | |
| | | 250,000 | | | | 4.500% due 5/15/47 | | | | | 251,875 | | |
| | | | | | | Total Panama | | | | | 659,875 | | |
| Face Amount/Units | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Peru – 0.1% | | ||||||||||||
| | $ | 700,000 | | | | Fondo MIVIVIENDA SA, 3.500% due 1/31/23 | | | | $ | 680,400 | | |
| | | 100,000 | | | | Peruvian Government International Bond, 5.625% due 11/18/50 | | | | | 119,600 | | |
| | | | | | | Total Peru | | | | | 800,000 | | |
| Philippines – 0.2% | | ||||||||||||
| | | | | | | Philippine Government International Bond: | | ||||||
| | | 2,100,000 | | | | 4.200% due 1/21/24 | | | | | 2,161,883 | | |
| | | 750,000 | | | | 3.950% due 1/20/40 | | | | | 736,538 | | |
| | | | | | | Total Philippines | | | | | 2,898,421 | | |
| Poland – 0.0% | | ||||||||||||
| | | 500,000 | | | | Republic of Poland Government International Bond, 4.000% due 1/22/24 | | | | | 510,300 | | |
| South Korea – 0.1% | | ||||||||||||
| | | 750,000 | | | | Export-Import Bank of Korea, 2.125% due 1/25/20 | | | | | 738,779 | | |
| Supranational – 0.1% | | ||||||||||||
| | | | | | | International Bank for Reconstruction & Development: | | ||||||
| | | 1,000,000 | | | | 1.875% due 4/21/20 | | | | | 986,846 | | |
| | | 1,000,000 | | | | 1.375% due 9/20/21 | | | | | 957,912 | | |
| | | 250,000 | | | | 1.875% due 10/27/26 | | | | | 230,382 | | |
| | | | | | | Total Supranational | | | | | 2,175,140 | | |
| Uruguay – 0.0% | | ||||||||||||
| | | 250,000 | | | | Uruguay Government International Bond, 4.125% due 11/20/45 | | | | | 232,375 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $21,605,888) | | | | | 20,453,484 | | |
| Face Amount/Units | | | Rating†† | | | | | | | | | | | ||||||||||||
| MUNICIPAL BONDS – 0.2% | | | | | | | | | | | |||||||||||||||
| California – 0.1% | | | | | | | | | | | |||||||||||||||
| | $ | 125,000 | | | | AA | | | Bay Area Toll Authority, Revenue Bonds, Series F2, 6.263% due 4/1/49 | | | | | 173,371 | | | | | | ||||||
| | | 100,000 | | | | AA+ | | | Los Angeles Community College District, GO, Series E, 6.750% due 8/1/49 | | | | | 146,249 | | | | | | ||||||
| | | 150,000 | | | | AA+ | | | Los Angeles Department of Water & Power, Power System Revenue, Revenue Bonds, Series B, 6.603% due 7/1/50 | | | | | 215,786 | | | | | | ||||||
| | | 150,000 | | | | AA- | | | Los Angeles Unified School District, GO, Series RY, 6.758% due 7/1/34 | | | | | 198,252 | | | | | | ||||||
| | | | | | | | | | State of California, GO: | | | | | ||||||||||||
| | | 25,000 | | | | AA- | | | 3.500% due 4/1/28 | | | | | 24,877 | | | | | | ||||||
| | | 40,000 | | | | AA- | | | 4.600% due 4/1/38 | | | | | 42,103 | | | | | | ||||||
| | | 100,000 | | | | AA- | | | 7.500% due 4/1/34 | | | | | 140,519 | | | | | | ||||||
| | | 200,000 | | | | AA- | | | 7.550% due 4/1/39 | | | | | 296,606 | | | | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | | | | ||||||||||||
| MUNICIPAL BONDS – (continued) | | | | | |||||||||||||||||||||
| California – (continued) | | | | | |||||||||||||||||||||
| | $ | 125,000 | | | | AA- | | | 7.600% due 11/1/40 | | | | $ | 188,876 | | | | | | ||||||
| | | | | | | | | | University of California, Revenue Bonds: | | | | | | | ||||||||||
| | | 100,000 | | | | AA | | | Series AJ, 4.601% due 5/15/31 | | | | | 106,771 | | | | | | ||||||
| | | 25,000 | | | | AA | | | Series AX, 3.063% due 7/1/25 | | | | | 24,529 | | | | | | ||||||
| | | 75,000 | | | | AA | | | Series R, 5.770% due 5/15/43 | | | | | 92,177 | | | | | | ||||||
| | | | | | | | | | Total California | | | | | 1,650,116 | | | | | | ||||||
| Florida – 0.0% | | | | | | | | | | | |||||||||||||||
| | | 20,000 | | | | A | | | County of Miami-Dade FL Aviation Revenue, Revenue Bonds, Series C, 4.280% due 10/1/41 | | | | | 20,061 | | | | | | ||||||
| Illinois – 0.0% | | | | | | | | | | | |||||||||||||||
| | | | | | | | | | State of Illinois, GO: | | | | | | | ||||||||||
| | | 250,000 | | | | BBB- | | | 5.100% due 6/1/33 | | | | | 241,275 | | | | | | ||||||
| | | 100,000 | | | | BBB- | | | 6.725% due 4/1/35 | | | | | 107,302 | | | | | | ||||||
| | | | | | | | | | Total Illinois | | | | | 348,577 | | | | | | ||||||
| Massachusetts – 0.0% | | | | | | | | | | | |||||||||||||||
| | | 100,000 | | | | AA | | | Commonwealth of Massachusetts, GO, Series E, 5.456% due 12/1/39 | | | | | 120,208 | | | | | | ||||||
| Nevada – 0.0% | | | | | | | | | | | |||||||||||||||
| | | 100,000 | | | | AA- | | | County of Clark Department of Aviation, Revenue Bonds, Series C, 6.820% due 7/1/45 | | | | | 144,457 | | | | | | ||||||
| New Jersey – 0.0% | | | | | | | | | | | |||||||||||||||
| | | 100,000 | | | | A+ | | | New Jersey Turnpike Authority, Revenue Bonds, Series F, 7.414% due 1/1/40 | | | | | 144,820 | | | | | | ||||||
| New York – 0.1% | | | | | | | | | | | |||||||||||||||
| | | 150,000 | | | | AA | | | Metropolitan Transportation Authority, Revenue Bonds, Series C, 7.336% due 11/15/39 | | | | | 219,460 | | | | | | ||||||
| | | 125,000 | | | | AA+ | | | New York City Water & Sewer System, Revenue Bonds, Series AA, 5.440% due 6/15/43 | | | | | 153,008 | | | | | | ||||||
| | | 205,000 | | | | AAA | | | New York State Urban Development Corp., Revenue Bonds, Series B, 2.100% due 3/15/22 | | | | | 201,423 | | | | | | ||||||
| | | 200,000 | | | | AA- | | | Port Authority of New York & New Jersey, Revenue Bonds, 4.458% due 10/1/62 | | | | | 212,640 | | | | | | ||||||
| | | | | | | | | | Total New York | | | | | 786,531 | | | | | | ||||||
| Ohio – 0.0% | | | | | | | | | | | |||||||||||||||
| | | 100,000 | | | | A | | | American Municipal Power Inc., Revenue Bonds, Combined Hydroelectric Projects B, 8.084% due 2/15/50 | | | | | 160,700 | | | | | | ||||||
| Texas – 0.0% | | | | | | | | | | | |||||||||||||||
| | | 75,000 | | | | AAA | | | State of Texas, GO, Series A, 5.517% due 4/1/39 | | | | | 93,416 | | | | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | | | | ||||||||||||
| MUNICIPAL BONDS – (continued) | | | | | |||||||||||||||||||||
| Wisconsin – 0.0% | | | | | | | | | | | |||||||||||||||
| | $ | 10,000 | | | | AA- | | | State of Wisconsin, Revenue Bonds, Series C, 3.154% due 5/1/27 | | | | $ | 9,728 | | | | | | ||||||
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $3,470,756) | | | | | 3,478,614 | | | | | | ||||||
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $1,611,955,641) | | | | | 1,583,550,885 | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 3.3% | | | | | | | | | | | |||||||||||||||
| TIME DEPOSITS – 3.3% | | | | | | | | | | | |||||||||||||||
| | | 45,343,044 | | | | | | | Deutsche Bank AG – Grand Cayman, 1.280% due 9/4/18 | | | | | 45,343,044 | | | | | | ||||||
| | | 8,508,827 | | | | | | | JPMorgan Chase & Co. – New York, 1.280% due 9/4/18 | | | | | 8,508,827 | | | | | | ||||||
| | | | | | | | | | TOTAL TIME DEPOSITS (Cost – $53,851,871) | | | | | 53,851,871 | | | | | | ||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.0% | | | | | |||||||||||||||||||||
| MONEY MARKET FUND – 0.0% | | | | | |||||||||||||||||||||
| | | 906,892 | | | | | | | Federated Government Obligations Fund, Premier Class, 1.845%(k) (Cost – $906,892) | | | | | 906,892 | | | | | | ||||||
| | | | | | | | | | TOTAL INVESTMENTS – 99.8% (Cost – $1,666,714,404#) | | | | | 1,638,309,648 | | | | | | ||||||
| | | | | | | | | | Other Assets in Excess of Liabilities – 0.2% | | | | | 2,630,777 | | | | | | ||||||
| | | | | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 1,640,940,425 | | | | | | ||||||
|
| U.S. Government Agencies & Obligations | | | | | 24.6% | | |
| Collateralized Mortgage Obligations | | | | | 21.3 | | |
| Corporate Bonds & Notes | | | | | 19.0 | | |
| Mortgage-Backed Securities | | | | | 18.6 | | |
| Asset-Backed Securities | | | | | 8.5 | | |
| Senior Loans | | | | | 3.3 | | |
| Sovereign Bonds | | | | | 1.1 | | |
| Municipal Bonds | | | | | 0.2 | | |
| Short-Term Investments | | | | | 3.3 | | |
| Money Market Fund | | | | | 0.1 | | |
| | | | | | 100.0% | | |
|
| Face Amount | | | Security | | | Value | | ||||||
| | $ | 2,000,000 | | | | Federal National Mortgage Association (FNMA), 4.500% due 9/1/48(a) (Proceeds – $2,071,875) | | | | $ | 2,076,377 | | |
| Face Amount/Units† | | | Security | | | Value | | | | ||||||||||
| CORPORATE BONDS & NOTES – 56.9% | | | | | | | | ||||||||||||
| Basic Materials – 5.3% | | | | | | | | ||||||||||||
| | $ | 2,882,000 | | | | A Schulman Inc., Company Guaranteed Notes, 6.875% due 6/1/23 | | | | $ | 3,034,458 | | | | | ||||
| | | 735,000 | | | | B2Gold Corp., Senior Subordinated Notes, 3.250% due 10/1/18 | | | | | 732,244 | | | | | ||||
| | | 200,000 | | | | Braskem Netherlands Finance BV, Company Guaranteed Notes, 3.500% due 1/10/23 | | | | | 185,752 | | | | | ||||
| | | 100,000 | | | | Celulosa Arauco y Constitucion SA, Senior Unsecured Notes, 4.750% due 1/11/22 | | | | | 102,000 | | | | | ||||
| | | 200,000 | | | | Fresnillo PLC, Senior Unsecured Notes, 5.500% due 11/13/23 | | | | | 206,500 | | | | | ||||
| | | 1,500,000 | | | | Hexion Inc., Senior Secured Notes, 6.625% due 4/15/20 | | | | | 1,419,375 | | | | | ||||
| | | 200,000 | | | | Inversiones CMPC SA, Company Guaranteed Notes, 4.500% due 4/25/22 | | | | | 202,252 | | | | | ||||
| | | 1,271,000 | | | | INVISTA Finance LLC, Senior Secured Notes, 4.250% due 10/15/19(a) | | | | | 1,274,177 | | | | | ||||
| | | 691,000 | | | | Largo Resources Ltd., Senior Secured Notes, 9.250% due 6/1/21(a) | | | | | 723,822 | | | | | ||||
| | | 2,995,000 | | | | Lundin Mining Corp., Senior Secured Notes, 7.875% due 11/1/22(a) | | | | | 3,129,775 | | | | | ||||
| | | 95,000 | | | | Sherwin-Williams Co., Senior Unsecured Notes, 2.250% due 5/15/20 | | | | | 93,704 | | | | | ||||
| | | 200,000 | | | | UPL Corp., Ltd., Senior Unsecured Notes, 3.250% due 10/13/21 | | | | | 194,079 | | | | | ||||
| | | | | | | Total Basic Materials | | | | | 11,298,138 | | | | | ||||
| Communications – 14.4% | | | | | | | | ||||||||||||
| | | 2,067,000 | | | | Anixter Inc., Company Guaranteed Notes, 5.625% due 5/1/19 | | | | | 2,098,005 | | | | | ||||
| | | 140,000 | | | | AT&T Inc., Senior Unsecured Notes, 2.800% due 2/17/21 | | | | | 138,398 | | | | | ||||
| | | 200,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 3.466% due 11/19/20 | | | | | 199,351 | | | | | ||||
| | | 200,000 | | | | Bharti Airtel International Netherlands BV, Company Guaranteed Notes, 5.125% due 3/11/23 | | | | | 199,680 | | | | | ||||
| | | 2,226,000 | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes, 5.250% due 3/15/21 | | | | | 2,242,695 | | | | | ||||
| | | 50,000 | | | | eBay Inc., Senior Unsecured Notes, 2.750% due 1/30/23 | | | | | 48,272 | | | | | ||||
| | | 200,000 | | | | Globo Comunicacao e Participacoes SA, Senior Unsecured Notes, 4.875% due 4/11/22 | | | | | 198,002 | | | | | ||||
| | | 3,610,000 | | | | HC2 Holdings Inc., Senior Secured Notes, 11.000% due 12/1/19(a) | | | | | 3,646,100 | | | | | ||||
| | | 2,084,000 | | | | Inmarsat Finance PLC, Company Guaranteed Notes, 4.875% due 5/15/22(a) | | | | | 2,089,210 | | | | | ||||
| | | 3,580,000 | | | | Lee Enterprises Inc., Senior Secured Notes, 9.500% due 3/15/22(a) | | | | | 3,720,658 | | | | | ||||
| | | 2,685,000 | | | | Level 3 Financing Inc., Company Guaranteed Notes, 6.125% due 1/15/21 | | | | | 2,700,949 | | | | | ||||
| | | 3,009,000 | | | | Mediacom Broadband LLC/Mediacom Broadband Corp., Senior Unsecured Notes, 5.500% due 4/15/21 | | | | | 3,031,567 | | | | | ||||
| | | 25,000 | | | | Omnicom Group Inc./Omnicom Capital Inc., Senior Unsecured Notes, 3.625% due 5/1/22 | | | | | 24,890 | | | | | ||||
| | | 2,871,000 | | | | Qwest Capital Funding Inc., Company Guaranteed Notes, 6.500% due 11/15/18 | | | | | 2,888,944 | | | | | ||||
| | | 3,647,000 | | | | Sprint Communications Inc., Company Guaranteed Notes, 9.000% due 11/15/18(a) | | | | | 3,688,029 | | | | | ||||
| | | 989,000 | | | | TEGNA Inc., Company Guaranteed Notes, 5.125% due 10/15/19 | | | | | 989,000 | | | | |
| Face Amount/Units† | | | Security | | | Value | | | | ||||||||||
| CORPORATE BONDS & NOTES – (continued) | | | | ||||||||||||||||
| Communications – (continued) | | | | ||||||||||||||||
| | $ | 90,000 | | | | Verizon Communications Inc., Senior Unsecured Notes, 3.414% (3-Month USD-LIBOR + 1.100%) due 5/15/25(b) | | | | $ | 90,969 | | | | | ||||
| | | 2,206,000 | | | | Yandex NV, Senior Unsecured Notes, 1.125% due 12/15/18 | | | | | 2,181,902 | | | | | ||||
| | | | | | | Total Communications | | | | | 30,176,621 | | | | | ||||
| Consumer Cyclical – 7.5% | | | | | | | | ||||||||||||
| | | 140,000 | | | | Cintas Corp. No 2, Company Guaranteed Notes, 2.900% due 4/1/22 | | | | | 137,618 | | | | | ||||
| | | 175,000 | | | | Daimler Finance North America LLC, Company Guaranteed Notes, 2.300% due 2/12/21(a) | | | | | 170,651 | | | | | ||||
| | | 90,000 | | | | Delta Air Lines Inc., Senior Unsecured Notes, 3.400% due 4/19/21 | | | | | 89,434 | | | | | ||||
| | | 1,700,000EUR | | | | European Lingerie Group AB, Senior Secured Notes, 7.750% (3-Month EURIBOR + 7.750%) due 2/22/21(b) | | | | | 2,007,487 | | | | | ||||
| | | 1,685,000 | | | | GameStop Corp., Company Guaranteed Notes, 5.500% due 10/1/19(a) | | | | | 1,678,681 | | | | | ||||
| | | | | | | General Motors Financial Co., Inc., Company Guaranteed Notes: | | | | | 39,617 | | | | | ||||
| | | 40,000 | | | | 2.650% due 4/13/20 | | | | | | | | | | ||||
| | | 100,000 | | | | 3.200% due 7/6/21 | | | | | 98,660 | | | | | ||||
| | | 1,520,000 | | | | Lennar Corp., Company Guaranteed Notes, 4.125% due 12/1/18 | | | | | 1,520,000 | | | | | ||||
| | | 3,280,000 | | | | MGM Resorts International, Company Guaranteed Notes, 8.625% due 2/1/19 | | | | | 3,344,288 | | | | | ||||
| | | 2,900,000 | | | | Michaels Stores Inc., Company Guaranteed Notes, 5.875% due 12/15/20(a) | | | | | 2,910,875 | | | | | ||||
| | | 1,268,000 | | | | Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp., Senior Secured Notes, 6.125% due 8/15/21(a) | | | | | 1,268,000 | | | | | ||||
| | | 2,446,000 | | | | William Carter Co., Company Guaranteed Notes, 5.250% due 8/15/21 | | | | | 2,479,633 | | | | | ||||
| | | | | | | Total Consumer Cyclical | | | | | 15,744,944 | | | | | ||||
| Consumer Non-cyclical – 6.2% | | | | | | | | ||||||||||||
| | | 200,000 | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes, 3.500% due 7/29/20 | | | | | 197,605 | | | | | ||||
| | | 209,000 | | | | AMAG Pharmaceuticals Inc., Company Guaranteed Notes, 7.875% due 9/1/23(a) | | | | | 221,344 | | | | | ||||
| | | 140,000 | | | | Anthem Inc., Senior Unsecured Notes, 2.500% due 11/21/20 | | | | | 137,901 | | | | | ||||
| | | 1,599,000 | | | | APX Group Inc., Senior Secured Notes, 6.375% due 12/1/19 | | | | | 1,624,488 | | | | | ||||
| | | 140,000 | | | | AstraZeneca PLC, Senior Unsecured Notes, 2.375% due 11/16/20 | | | | | 137,774 | | | | | ||||
| | | 90,000 | | | | BAT Capital Corp., Company Guaranteed Notes, 2.297% due 8/14/20(a) | | | | | 88,363 | | | | | ||||
| | | 140,000 | | | | Cardinal Health Inc., Senior Unsecured Notes, 1.948% due 6/14/19 | | | | | 139,135 | | | | | ||||
| | | 140,000 | | | | Celgene Corp., Senior Unsecured Notes, 2.875% due 8/15/20 | | | | | 139,311 | | | | | ||||
| | | 140,000 | | | | CVS Health Corp., Senior Unsecured Notes, 2.800% due 7/20/20 | | | | | 139,039 | | | | | ||||
| | | 328,000 | | | | Edgewell Personal Care Co., Company Guaranteed Notes, 4.700% due 5/19/21 | | | | | 330,460 | | | | | ||||
| | | 136,895 | | | | ENA Norte Trust, Pass-Thru Certificates, 4.950% due 4/25/23 | | | | | 137,990 | | | | | ||||
| | | 170,000 | | | | General Mills Inc., Senior Unsecured Notes, 3.200% due 4/16/21 | | | | | 169,668 | | | | | ||||
| | | 200,000 | | | | IOI Investment L Bhd, Company Guaranteed Notes, 4.375% due 6/27/22 | | | | | 200,860 | | | | |
| Face Amount/Units† | | | Security | | | Value | | | | ||||||||||
| CORPORATE BONDS & NOTES – (continued) | | | | ||||||||||||||||
| Consumer Non-cyclical – (continued) | | | | ||||||||||||||||
| | $ | 200,000 | | | | JBS Investments GmbH, Company Guaranteed Notes, 7.750% due 10/28/20 | | | | $ | 203,202 | | | | | ||||
| | | 115,000 | | | | Kroger Co., Company Guaranteed Notes, 6.150% due 1/15/20 | | | | | 119,838 | | | | | ||||
| | | 1,138,000 | | | | Macquarie Infrastructure Corp., Senior Unsecured Notes, 2.875% due 7/15/19 | | | | | 1,130,704 | | | | | ||||
| | | 200,000 | | | | Marfrig Holdings Europe BV, Company Guaranteed Notes, 8.000% due 6/8/23 | | | | | 201,500 | | | | | ||||
| | | 95,000 | | | | Mondelez International Inc., Senior Unsecured Notes, 3.000% due 5/7/20 | | | | | 94,891 | | | | | ||||
| | | 3,144,000 | | | | Nielsen Finance LLC/Nielsen Finance Co., Company Guaranteed Notes, 4.500% due 10/1/20 | | | | | 3,136,140 | | | | | ||||
| | | 45,000 | | | | Reynolds American Inc., Company Guaranteed Notes, 3.250% due 6/12/20 | | | | | 44,943 | | | | | ||||
| | | 2,161,000 | | | | SUPERVALU Inc., Senior Unsecured Notes, 6.750% due 6/1/21 | | | | | 2,198,818 | | | | | ||||
| | | 2,010,000 | | | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes, 1.700% due 7/19/19 | | | | | 1,975,963 | | | | | ||||
| | | 170,000 | | | | Thermo Fisher Scientific Inc., Senior Unsecured Notes, 3.600% due 8/15/21 | | | | | 170,844 | | | | | ||||
| | | | | | | Total Consumer Non-cyclical | | | | | 12,940,781 | | | | | ||||
| Diversified – 0.1% | | | | | | | | ||||||||||||
| | | 200,000 | | | | CK Hutchison International 17 Ltd., Company Guaranteed Notes, 2.875% due 4/5/22(a) | | | | | 194,738 | | | | | ||||
| Energy – 1.3% | | | | | | | | ||||||||||||
| | | 200,000 | | | | Bharat Petroleum Corp., Ltd., Senior Unsecured Notes, 4.625% due 10/25/22 | | | | | 202,440 | | | | | ||||
| | | 200,000 | | | | CNPC General Capital Ltd., Company Guaranteed Notes, 3.950% due 4/19/22 | | | | | 201,514 | | | | | ||||
| | | 160,000 | | | | Delek & Avner Tamar Bond Ltd., Senior Secured Notes, 4.435% due 12/30/20(a) | | | | | 160,104 | | | | | ||||
| | | | | | | Ecopetrol SA, Senior Unsecured Notes: | | | | | | | | | | ||||
| | | 50,000 | | | | 7.625% due 7/23/19 | | | | | 51,960 | | | | | ||||
| | | 200,000 | | | | 5.875% due 9/18/23 | | | | | 212,600 | | | | | ||||
| | | 200,000 | | | | Indian Oil Corp., Ltd, Senior Unsecured Notes, 5.625% due 8/2/21 | | | | | 208,328 | | | | | ||||
| | | 429,000 | | | | Matador Resources Co., Company Guaranteed Notes, 6.875% due 4/15/23 | | | | | 450,450 | | | | | ||||
| | | 191,000 | | | | McDermott Technology Americas Inc./McDermott Technology US Inc., Company Guaranteed Notes, 10.625% due 5/1/24(a) | | | | | 203,234 | | | | | ||||
| | | 200,000 | | | | Oleoducto Central SA, Senior Unsecured Notes, 4.000% due 5/7/21 | | | | | 198,752 | | | | | ||||
| | | 100,000 | | | | Petrobras Global Finance BV, Company Guaranteed Notes, 4.375% due 5/20/23 | | | | | 93,900 | | | | | ||||
| | | 200,000 | | | | Petronas Global Sukuk Ltd., Senior Unsecured Notes, 2.707% due 3/18/20 | | | | | 197,817 | | | | | ||||
| | | 250,000 | | | | Reliance Holding USA Inc., Company Guaranteed Notes, 5.400% due 2/14/22 | | | | | 260,102 | | | | | ||||
| | | 200,000 | | | | YPF SA, Senior Unsecured Notes, 8.500% due 3/23/21 | | | | | 192,600 | | | | | ||||
| | | | | | | Total Energy | | | | | 2,633,801 | | | | | ||||
| Financial – 7.1% | | | | | | | | ||||||||||||
| | | 200,000 | | | | Agromercantil Senior Trust, Company Guaranteed Notes, 6.250% due 4/10/19 | | | | | 202,098 | | | | | ||||
| | | 145,000 | | | | Air Lease Corp., Senior Unsecured Notes, 2.500% due 3/1/21 | | | | | 141,724 | | | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 713,000 | | | | Ally Financial Inc., Senior Unsecured Notes, 3.250% due 11/5/18 | | | | $ | 713,000 | | |
| | | 980,000 | | | | Avison Young Canada Inc., Senior Secured Notes, 9.500% due 12/15/21(a) | | | | | 1,038,800 | | |
| | | 200,000 | | | | Banco del Estado de Chile, Senior Unsecured Notes, 4.125% due 10/7/20 | | | | | 202,301 | | |
| | | 200,000 | | | | Banco Mercantil del Norte SA, Junior Subordinated Notes, 6.875% (5-Year CMT Index + 5.035%)(b)(c) | | | | | 200,500 | | |
| | | 150,000 | | | | Banco Santander Chile, Senior Unsecured Notes, 3.875% due 9/20/22 | | | | | 149,939 | | |
| | | 200,000 | | | | Banistmo SA, Senior Unsecured Notes, 3.650% due 9/19/22 | | | | | 191,750 | | |
| | | 90,000 | | | | Bank of America Corp., Senior Unsecured Notes, 3.111% (3-Month USD-LIBOR + 0.790%) due 3/5/24(b) | | | | | 89,679 | | |
| | | 100,000 | | | | BBVA Bancomer SA, Junior Subordinated Notes, 7.250% due 4/22/20 | | | | | 104,250 | | |
| | | 3,000,000NOK | | | | Bulk Industrier AS, Senior Secured Notes, 7.520% (3-Month NOK-NIBOR + 6.500%) due 5/26/21(b) | | | | | 358,949 | | |
| | | 145,000 | | | | Capital One Financial Corp., Senior Unsecured Notes, 2.400% due 10/30/20 | | | | | 142,305 | | |
| | | 140,000 | | | | Citigroup Inc., Senior Unsecured Notes, 3.344% (3-Month USD-LIBOR + 1.023%) due 6/1/24(b) | | | | | 140,665 | | |
| | | 200,000 | | | | Credito Real SAB de CV SOFOM ER, Senior Unsecured Notes, 7.250% due 7/20/23 | | | | | 203,056 | | |
| | | 200,000 | | | | DBS Group Holdings Ltd., Junior Subordinated Notes, 3.600% (5-Year USD Swap Rate + 2.390%)(b)(c) | | | | | 192,750 | | |
| | | 200,000 | | | | Global Bank Corp., Senior Unsecured Notes, 5.125% due 10/30/19 | | | | | 201,500 | | |
| | | 140,000 | | | | Goldman Sachs Group Inc., Senior Unsecured Notes, 2.300% due 12/13/19 | | | | | 138,938 | | |
| | | 4,016,000 | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes, 6.000% due 8/1/20 | | | | | 4,085,075 | | |
| | | 677,000 | | | | Intrepid Aviation Group Holdings LLC/Intrepid Finance Co., Senior Unsecured Notes, 8.500% due 8/15/21(a) | | | | | 678,212 | | |
| | | 640,000 | | | | Iron Mountain Inc., Company Guaranteed Notes, 4.375% due 6/1/21(a) | | | | | 641,600 | | |
| | | 12,000,000SEK | | | | MaxFastigheter i Sverige AB, Senior Unsecured Notes, 6.500% (3-Month SEK-STIBOR + 6.500%) due 9/15/20(b) | | | | | 1,329,455 | | |
| | | 140,000 | | | | Morgan Stanley, Senior Unsecured Notes, 3.277% (3-Month USD-LIBOR + 0.930%) due 7/22/22(b) | | | | | 141,207 | | |
| | | 200,000 | | | | Multibank Inc., Senior Unsecured Notes, 4.375% due 11/9/22 | | | | | 197,000 | | |
| | | 135,000 | | | | PNC Financial Services Group Inc., Senior Unsecured Notes, 4.375% due 8/11/20 | | | | | 138,342 | | |
| | | | | | | Prudential Financial Inc., Senior Unsecured Notes: | | | | | | | |
| | | 75,000 | | | | 7.375% due 6/15/19 | | | | | 77,696 | | |
| | | 60,000 | | | | 4.500% due 11/15/20 | | | | | 61,737 | | |
| | | | | | | Realogy Group LLC/Realogy Co.-Issuer Corp., Company Guaranteed Notes: | | | | | | | |
| | | 58,000 | | | | 4.500% due 4/15/19(a) | | | | | 58,290 | | |
| | | 1,849,000 | | | | 5.250% due 12/1/21(a) | | | | | 1,849,000 | | |
| Face Amount/Units† | | | Security | | | Value | | | | ||||||||||
| CORPORATE BONDS & NOTES – (continued) | | | | ||||||||||||||||
| Financial – (continued) | | | | ||||||||||||||||
| | $ | 115,000 | | | | Royal Bank of Canada, Senior Unsecured Notes, 3.200% due 4/30/21 | | | | $ | 115,058 | | | | | ||||
��� | | | 85,000 | | | | Simon Property Group LP, Senior Unsecured Notes, 2.200% due 2/1/19 | | | | | 84,908 | | | | | ||||
| | | 200,000 | | | | SPARC EM SPC Panama Metro Line 2 SP, Senior Secured Notes, zero coupon, due 12/5/22 | | | | | 181,500 | | | | | ||||
| | | 145,000 | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes, 2.058% due 7/14/21 | | | | | 139,621 | | | | | ||||
| | | 140,000 | | | | Toronto-Dominion Bank, Senior Unsecured Notes, 3.250% due 6/11/21 | | | | | 140,276 | | | | | ||||
| | | 200,000 | | | | Unifin Financiera SAB de CV SOFOM ENR, Company Guaranteed Notes, 7.250% due 9/27/23 | | | | | 198,250 | | | | | ||||
| | | 200,000 | | | | Union Bank of the Philippines, Senior Unsecured Notes, 3.369% due 11/29/22 | | | | | 191,937 | | | | | ||||
| | | 200,000 | | | | United Overseas Bank Ltd., Subordinated Notes, 3.750% (5-Year USD Swap Rate + 1.995%) due 9/19/24(b) | | | | | 200,078 | | | | | ||||
| | | | | | | Westpac Banking Corp., Senior Unsecured Notes: | | | | | | | | | | ||||
| | | 115,000 | | | | 1.600% due 8/19/19 | | | | | 113,803 | | | | | ||||
| | | 25,000 | | | | 2.650% due 1/25/21 | | | | | 24,634 | | | | | ||||
| | | | | | | Total Financial | | | | | 15,059,883 | | | | | ||||
| Industrial – 9.0% | | | | | | | | ||||||||||||
| | | 450,000 | | | | Borealis Finance LLC, Senior Secured Notes, 7.500% due 11/16/22(a) | | | | | 445,781 | | | | | ||||
| | | 81,000 | | | | Briggs & Stratton Corp., Company Guaranteed Notes, 6.875% due 12/15/20 | | | | | 86,095 | | | | | ||||
| | | 866,000 | | | | Clean Harbors Inc., Company Guaranteed Notes, 5.125% due 6/1/21 | | | | | 868,165 | | | | | ||||
| | | 1,095,040EUR | | | | Containerships OYJ, Senior Secured Notes, 6.250% (3-Month ERIBOR + 6.250%) due 11/22/21(b) | | | | | 1,296,775 | | | | | ||||
| | | 1,675,000 | | | | Dynagas LNG Partners LP/Dynagas Finance Inc., Senior Unsecured Notes, 6.250% due 10/30/19 | | | | | 1,675,000 | | | | | ||||
| | | 95,000 | | | | General Dynamics Corp., Company Guaranteed Notes, 3.000% due 5/11/21 | | | | | 94,806 | | | | | ||||
| | | 2,932,000 | | | | Gibraltar Industries Inc., Company Guaranteed Notes, 6.250% due 2/1/21 | | | | | 2,946,660 | | | | | ||||
| | | 1,000,000 | | | | Golar LNG Partners LP, Senior Unsecured Notes, 6.710% (3-Month USD-LIBOR + 4.400%) due 5/22/20(b) | | | | | 982,500 | | | | | ||||
| | | 400,000 | | | | Golden Ocean Group Ltd., Senior Unsecured Notes, 3.070% due 1/30/19 | | | | | 395,000 | | | | | ||||
| | | 2,281,000 | | | | Greif Inc., Senior Unsecured Notes, 7.750% due 8/1/19 | | | | | 2,360,835 | | | | | ||||
| | | 1,162,000 | | | | Layne Christensen Co., Senior Unsecured Notes, 4.250% due 11/15/18 | | | | | 1,159,444 | | | | | ||||
| | | 95,000 | | | | Northrop Grumman Corp., Senior Unsecured Notes, 2.080% due 10/15/20 | | | | | 93,046 | | | | | ||||
| | | 140,000 | | | | Packaging Corp. of America, Senior Unsecured Notes, 2.450% due 12/15/20 | | | | | 137,605 | | | | | ||||
| | | 2,425,677 | | | | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Senior Secured Notes, 5.750% due 10/15/20 | | | | | 2,428,709 | | | | | ||||
| | | 124,000 | | | | Scorpio Tankers Inc., Senior Unsecured Notes, 2.375% due 7/1/19(a) | | | | | 119,260 | | | | | ||||
| | | 1,178,000 | | | | Ship Finance International Ltd., Senior Unsecured Notes, 5.750% due 10/15/21 | | | | | 1,171,774 | | | | | ||||
| | | 992,000 | | | | Teekay Corp., Senior Unsecured Notes, 8.500% due 1/15/20 | | | | | 1,023,000 | | | | | ||||
| | | 90,000 | | | | Union Pacific Corp., Senior Unsecured Notes, 3.200% due 6/8/21 | | | | | 90,209 | | | | |
| Face Amount/Units† | | | Security | | | Value | | | | ||||||||||
| CORPORATE BONDS & NOTES – (continued) | | | | ||||||||||||||||
| Industrial – (continued) | | | | ||||||||||||||||
| | $ | 1,425,000 | | | | Xerium Technologies Inc., Senior Secured Notes, 9.500% due 8/15/21 | | | | $ | 1,498,031 | | | | | ||||
| | | | | | | Total Industrial | | | | | 18,872,695 | | | | | ||||
| Technology – 3.7% | | | | | | | | ||||||||||||
| | | 1,750,000 | | | | ACI Worldwide Inc., Company Guaranteed Notes, 6.375% due 8/15/20(a) | | | | | 1,750,000 | | | | | ||||
| | | 95,000 | | | | Analog Devices Inc., Senior Unsecured Notes, 2.950% due 1/12/21 | | | | | 94,471 | | | | | ||||
| | | 2,579,000 | | | | Dell International LLC/EMC Corp., Company Guaranteed Notes, 5.875% due 6/15/21(a) | | | | | 2,653,404 | | | | | ||||
| | | 2,183,000 | | | | Infor US Inc., Senior Secured Notes, 5.750% due 8/15/20(a) | | | | | 2,215,745 | | | | | ||||
| | | 90,000 | | | | Microchip Technology Inc., Senior Secured Notes, 3.922% due 6/1/21(a) | | | | | 89,921 | | | | | ||||
| | | 1,037,000 | | | | NCR Corp., Company Guaranteed Notes, 4.625% due 2/15/21 | | | | | 1,018,853 | | | | | ||||
| | | | | | | Total Technology | | | | | 7,822,394 | | | | | ||||
| Utilities – 2.3% | | | | | | | | ||||||||||||
| | | | | | | Consolidated Edison Inc., Senior Unsecured Notes: | | | | | | | | | | ||||
| | | 95,000 | | | | 2.000% due 3/15/20 | | | | | 93,493 | | | | | ||||
| | | 45,000 | | | | 2.000% due 5/15/21 | | | | | 43,681 | | | | | ||||
| | | 200,000 | | | | Israel Electric Corp., Ltd., Senior Secured Notes, 6.875% due 6/21/23 | | | | | 220,222 | | | | | ||||
| | | 2,249,000 | | | | NRG Yield Inc., Company Guaranteed Notes, 3.500% due 2/1/19(a) | | | | | 2,246,189 | | | | | ||||
| | | 100,000 | | | | Pampa Energia SA, Senior Unsecured Notes, 7.375% due 7/21/23 | | | | | 87,050 | | | | | ||||
| | | 95,000 | | | | PSEG Power LLC, Company Guaranteed Notes, 3.850% due 6/1/23 | | | | | 94,993 | | | | | ||||
| | | 200,000 | | | | SP PowerAssets Ltd., Senior Unsecured Notes, 2.700% due 9/14/22 | | | | | 194,909 | | | | | ||||
| | | 1,711,000 | | | | Vistra Energy Corp., Company Guaranteed Notes, 7.375% due 11/1/22 | | | | | 1,781,579 | | | | | ||||
| | | | | | | Total Utilities | | | | | 4,762,116 | | | | | ||||
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $120,318,518) | | | | | 119,506,111 | | | | | ||||
| ASSET-BACKED SECURITIES – 10.3% | | | | | | | | ||||||||||||
| | | 500,000 | | | | AIMCO CLO, Series 2015-AA, Class AR, 3.189% (3-Month USD-LIBOR + 0.850%) due 1/15/28(a)(b) | | | | | 497,886 | | | | | ||||
| | | 540,320 | | | | Apidos CLO XVI, Series 2013-16A, Class A1R, 3.322% (3-Month USD-LIBOR + 0.980%) due 1/19/25(a)(b) | | | | | 540,155 | | | | | ||||
| | | 79,064 | | | | Avant Loans Funding Trust, Series 2017-B, Class A, 2.290% due 6/15/20(a) | | | | | 79,015 | | | | | ||||
| | | 500,000 | | | | Avery Point VII CLO Ltd., Series 2015-7A, Class A1, 3.839% (3-Month USD-LIBOR + 1.500%) due 1/15/28(a)(b) | | | | | 500,807 | | | | | ||||
| | | 987,798 | | | | Bayview Opportunity Master Fund IVa Trust, Series 2018-RN6, Class A1, step bond to yield, 4.090% due 7/25/33(a) | | | | | 987,565 | | | | | ||||
| | | 779,800 | | | | Bayview Opportunity Master Fund IVb Trust, Series 2018-SBR2, Class A1, step bond to yield, 3.844% due 4/28/33(a) | | | | | 780,241 | | | | | ||||
| | | 132,528 | | | | CLUB Credit Trust, Series 2018-NP1, Class A, 2.990% due 5/15/24(a) | | | | | 132,593 | | | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 348,932 | | | | Credit Suisse Commercial Mortgage Capital Trust, Series 2017-1, Class A, 4.500% due 3/25/21(a) | | | | $ | 350,556 | | |
| | | 29,001 | | | | Crown Point CLO II Ltd., Series 2013-2A, Class A1LR, 2.929% (3-Month USD-LIBOR + 0.590%) due 12/31/23(a)(b) | | | | | 29,000 | | |
| | | 321,812 | | | | Earnest Student Loan Program LLC, Series 2017-A, Class A2, 2.650% due 1/25/41(a) | | | | | 315,811 | | |
| | | 670,648 | | | | GCAT LLC, Series 2017-2, Class A1, step bond to yield, 3.500% due 4/25/47(a) | | | | | 665,455 | | |
| | | 1,000,000 | | | | GREYWOLF CLO VII Ltd., Series 2018-2A, Class A1, 0.000% (3-Month USD-LIBOR + 1.180%) due 10/20/31(a)(b)(d) | | | | | 1,000,000 | | |
| | | 425,000 | | | | Halcyon Loan Advisors Funding Ltd., Series 2015-2A, Class A, 3.725% (3-Month USD-LIBOR + 1.390%) due 7/25/27(a)(b) | | | | | 426,405 | | |
| | | 228,000 | | | | Hunt CRE Ltd., Series 2018-FL2, Class A, 3.170% (1-Month USD-LIBOR + 1.080%) due 8/15/28(a)(b) | | | | | 228,356 | | |
| | | | | | | Invitation Homes Trust: | | | | | | | |
| | | 198,992 | | | | Series 2017-SFR2, Class A, 2.910% (1-Month USD-LIBOR + 0.850%) due 12/17/36(a)(b) | | | | | 199,108 | | |
| | | 198,917 | | | | Series 2018-SFR1, Class A, 2.760% (1-Month USD-LIBOR + 0.700%) due 3/17/37(a)(b) | | | | | 198,326 | | |
| | | | | | | Jamestown CLO IX Ltd.: | | | | | | | |
| | | 500,000 | | | | Series 2016-9A, Class A1A, 3.918% (3-Month USD-LIBOR + 1.570%) due 10/20/28(a)(b) | | | | | 500,266 | | |
| | | 500,000 | | | | Series 2016-9A, Class A1B, 3.848% (3-Month USD-LIBOR + 1.500%) due 10/20/28(a)(b) | | | | | 500,252 | | |
| | | 500,000 | | | | Kingsland VIII Ltd., Series 2018-8A, Class A, 3.468% (3-Month USD-LIBOR + 1.120%) due 4/20/31(a)(b) | | | | | 497,424 | | |
| | | 1,000,000 | | | | Marathon CLO VII Ltd., Series 2014-7A, Class A1R, 3.659% (3-Month USD-LIBOR + 1.320%) due 10/28/25(a)(b) | | | | | 1,000,498 | | |
| | | | | | | Marlette Funding Trust: | | | | | | | |
| | | 140,855 | | | | Series 2017-2A, Class A, 2.390% due 7/15/24(a) | | | | | 140,615 | | |
| | | 383,694 | | | | Series 2017-3A, Class A, 2.360% due 12/15/24(a) | | | | | 382,331 | | |
| | | 500,000 | | | | Series 2018-3A, Class A, 3.200% due 9/15/28(a) | | | | | 499,427 | | |
| | | 250,000 | | | | OCP CLO Ltd., Series 2014-5A, Class A1R, 3.415% (3-Month USD-LIBOR + 1.080%) due 4/26/31(a)(b) | | | | | 248,515 | | |
| | | 760,000 | | | | Octagon Investment Partners 24 Ltd., Series 2015-1A, Class A1R, 3.212% (3-Month USD-LIBOR + 0.900%) due 5/21/27(a)(b) | | | | | 759,294 | | |
| | | 177,886 | | | | Prosper Marketplace Issuance Trust, Series 2018-1A, Class A, 3.110% due 6/17/24(a) | | | | | 177,961 | | |
| | | 1,000,000 | | | | Race Point IX CLO Ltd., Series 2015-9A, Class A1AR, 3.549% (3-Month USD-LIBOR + 1.210%) due 10/15/30(a)(b) | | | | | 1,002,207 | | |
| | | | | | | Sofi Consumer Loan Program LLC: | | | | | | | |
| | | 543,266 | | | | Series 2017-3, Class A, 2.770% due 5/25/26(a) | | | | | 539,198 | | |
| Face Amount/Units† | | | Security | | | Value | | | | ||||||||||
| ASSET-BACKED SECURITIES – (continued) | | | | ||||||||||||||||
| | $ | 423,545 | | | | Series 2017-5, Class A1, 2.140% due 9/25/26(a) | | | | $ | 421,523 | | | | | ||||
| | | | | | | Sofi Consumer Loan Program Trust: | | | | | | | | | | ||||
| | | 188,066 | | | | Series 2018-2, Class A1, 2.930% due 4/26/27(a) | | | | | 187,790 | | | | | ||||
| | | 500,000 | | | | Series 2018-3, Class A1, 3.200% due 8/25/27(a) | | | | | 499,873 | | | | | ||||
| | | 224,447 | | | | Sofi Professional Loan Program LLC, Series 2017-C, Class A2A, 1.750% due 7/25/40(a) | | | | | 222,629 | | | | | ||||
| | | 500,000 | | | | Sound Point CLO XI Ltd., Series 2016-1A, Class A, 3.998% (3-Month USD-LIBOR + 1.650%) due 7/20/28(a)(b) | | | | | 500,538 | | | | | ||||
| | | 638,076 | | | | SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050% due 4/25/29(a) | | | | | 635,478 | | | | | ||||
| | | 1,000,000 | | | | Steele Creek Clo Ltd., Series 2018-2A, Class A, 3.473% (3-Month USD-LIBOR + 1.200%) due 8/18/31(a)(b)(d) | | | | | 999,750 | | | | | ||||
| | | 386,417 | | | | U.S. Residential Opportunity Fund IV Trust, Series 2017-1III, Class A, step bond to yield, 3.352% due 11/27/37(a) | | | | | 383,316 | | | | | ||||
| | | 161,856 | | | | Upstart Securitization Trust, Series 2018-1, Class A, 3.015% due 8/20/25(a) | | | | | 161,847 | | | | | ||||
| | | 80,098 | | | | Venture VII CDO Ltd., Series 2006-7A, Class A1A, 2.578% (3-Month USD-LIBOR + 0.230%) due 1/20/22(a)(b) | | | | | 80,048 | | | | | ||||
| | | 1,503,362 | | | | VOLT LIX LLC, Series 2017-NPL6, Class A1, step bond to yield, 3.250% due 5/25/47(a) | | | | | 1,496,233 | | | | | ||||
| | | 586,083 | | | | VOLT LVI LLC, Series 2017-NPL3, Class A1, step bond to yield, 3.500% due 3/25/47(a) | | | | | 583,995 | | | | | ||||
| | | 335,059 | | | | VOLT LVII LLC, Series 2017-NPL4, Class A1, step bond to yield, 3.375% due 4/25/47(a) | | | | | 334,023 | | | | | ||||
| | | 466,235 | | | | Wachovia Student Loan Trust, Series 2006-1, Class A5, 2.455% (3-Month USD-LIBOR + 0.120%) due 7/26/27(a)(b) | | | | | 466,147 | | | | | ||||
| | | 500,000 | | | | Westlake Automobile Receivables Trust, Series 2018-2A, Class B, 3.200% due 1/16/24(a) | | | | | 500,143 | | | | | ||||
| | | 1,000,000 | | | | Zais CLO 2 Ltd., Series 2014-2A, Class A1AR, 3.535% (3-Month USD-LIBOR + 1.200%) due 7/25/26(a)(b) | | | | | 1,000,289 | | | | | ||||
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $21,702,413) | | | | | 21,652,889 | | | | | ||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – 7.1% | | | | | | | | ||||||||||||
| | | 118,000 | | | | Atrium Hotel Portfolio Trust, Series 2017-ATRM, Class E, 5.113% (1-Month USD-LIBOR + 3.050%) due 12/15/36(a)(b) | | | | | 118,149 | | | | | ||||
| | | | | | | BANK: | | | | | | | | | | ||||
| | | 1,568,294 | | | | Series 2017-BNK4, Class XA, 1.608% due 5/15/50(b)(e) | | | | | 138,338 | | | | | ||||
| | | 1,894,547 | | | | Series 2017-BNK6, Class XA, 1.012% due 7/15/60(b)(e) | | | | | 105,857 | | | | | ||||
| | | 1,814,380 | | | | Series 2017-BNK9, Class XA, 0.963% due 11/15/54(b)(e) | | | | | 106,680 | | | | | ||||
| | | | | | | BBCMS Mortgage Trust: | | | | | | | | | | ||||
| | | 275,000 | | | | Series 2017-GLKS, Class E, 4.913% (1-Month USD-LIBOR + 2.850%) due 11/15/34(a)(b) | | | | | 275,676 | | | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 79,000 | | | | Series 2018-TALL, Class A, 2.785% (1-Month USD-LIBOR + 0.722%) due 3/15/37(a)(b) | | | | $ | 78,901 | | |
| | | 118,629 | | | | Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PW10, Class AJ, 5.776% due 12/11/40(b) | | | | | 125,747 | | |
| | | 75,000 | | | | BHMS, Series 2018-ATLS, Class A, 3.313% (1-Month USD-LIBOR + 1.250%) due 7/15/35(a)(b) | | | | | 75,000 | | |
| | | | | | | BSPRT Issuer Ltd.: | | | | | | | |
| | | 150,431 | | | | Series 2017-FL2, Class A, 2.883% (1-Month USD-LIBOR + 0.820%) due 10/15/34(a)(b) | | | | | 150,342 | | |
| | | 81,000 | | | | Series 2017-FL2, Class AS, 3.163% (1-Month USD-LIBOR + 1.100%) due 10/15/34(a)(b) | | | | | 80,976 | | |
| | | 81,000 | | | | Series 2017-FL2, Class B, 3.463% (1-Month USD-LIBOR + 1.400%) due 10/15/34(a)(b) | | | | | 81,201 | | |
| | | 118,000 | | | | BX Commercial Mortgage Trust, Series 2018-BIOA, Class E, 4.014% (1-Month USD-LIBOR + 1.951%) due 3/15/37(a)(b) | | | | | 118,295 | | |
| | | | | | | BX Trust: | | | | | | | |
| | | 27,000 | | | | Series 2017-IMC, Class D, 4.313% (1-Month USD-LIBOR + 2.250%) due 10/15/32(a)(b) | | | | | 27,101 | | |
| | | 44,000 | | | | Series 2017-IMC, Class E, 5.313% (1-Month USD-LIBOR + 3.250%) due 10/15/32(a)(b) | | | | | 44,248 | | |
| | | 118,000 | | | | Series 2018-MCSF, Class F, 4.709% (1-Month USD-LIBOR + 2.647%) due 4/15/35(a)(b) | | | | | 116,830 | | |
| | | 117,000 | | | | BXMT Ltd., Series 2017-FL1, Class C, 4.010% (1-Month USD-LIBOR + 1.950%) due 6/15/35(a)(b) | | | | | 118,095 | | |
| | | 1,696,194 | | | | CD Mortgage Trust, Series 2017-CD4, Class XA, 1.477% due 5/10/50(b)(e) | | | | | 138,905 | | |
| | | | | | | CFCRE Commercial Mortgage Trust: | | | | | | | |
| | | 1,383,901 | | | | Series 2017-C8, Class XA, 1.832% due 6/15/50(b)(e) | | | | | 139,937 | | |
| | | 287,000 | | | | Series 2017-C8, Class XB, 1.122% due 6/15/50(b)(e) | | | | | 20,531 | | |
| | | 405,000 | | | | Series 2018-TAN, Class B, 4.690% due 2/15/33(a) | | | | | 412,388 | | |
| | | 118,000 | | | | CGGS Commercial Mortgage Trust, Series 2018-WSS, Class D, 4.363% (1-Month USD-LIBOR + 2.300%) due 2/15/37(a)(b) | | | | | 118,923 | | |
| | | | | | | CHT Mortgage Trust: | | | | | | | |
| | | 117,000 | | | | Series 2017-CSMO, Class A, 2.993% (1-Month USD-LIBOR + 0.930%) due 11/15/36(a)(b) | | | | | 117,153 | | |
| | | 77,000 | | | | Series 2017-CSMO, Class E, 5.063% (1-Month USD-LIBOR + 3.000%) due 11/15/36(a)(b) | | | | | 77,498 | | |
| | | 41,000 | | | | Series 2017-CSMO, Class F, 5.804% (1-Month USD-LIBOR + 3.741%) due 11/15/36(a)(b) | | | | | 41,279 | | |
| | | 178,000 | | | | Citigroup Commercial Mortgage Trust, Series 2018-TBR, Class B, 3.213% (1-Month USD-LIBOR + 1.150%) due 12/15/36(a)(b) | | | | | 178,111 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | CLNS Trust: | | ||||||
| | $ | 47,000 | | | | Series 2017-IKPR, Class D, 4.117% (1-Month USD-LIBOR + 2.050%) due 6/11/32(a)(b) | | | | $ | 47,236 | | |
| | | 47,000 | | | | Series 2017-IKPR, Class E, 5.567% (1-Month USD-LIBOR + 3.500%) due 6/11/32(a)(b) | | | | | 47,294 | | |
| | | | | | | Cold Storage Trust: | | | | | | | |
| | | 74,000 | | | | Series 2017-ICE3, Class A, 3.063% (1-Month USD-LIBOR + 1.000%) due 4/15/36(a)(b) | | | | | 74,231 | | |
| | | 90,000 | | | | Series 2017-ICE3, Class C, 3.413% (1-Month USD-LIBOR + 1.350%) due 4/15/36(a)(b) | | | | | 90,393 | | |
| | | 400,144 | | | | COLT Mortgage Loan Trust, Series 2017-1, Class A2, 2.819% due 5/27/47(a)(b) | | | | | 397,342 | | |
| | | | | | | Commercial Mortgage Trust: | | | | | | | |
| | | 22,440,266 | | | | Series 2013-CR9, Class XA, 0.179% due 7/10/45(b)(e) | | | | | 103,117 | | |
| | | 2,222,505 | | | | Series 2013-LC6, Class XA, 1.507% due 1/10/46(b)(e) | | | | | 106,991 | | |
| | | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | | | | |
| | | 70,000 | | | | Series 2017-CHOP, Class D, 3.963% (1-Month USD-LIBOR + 1.900%) due 7/15/32(a)(b) | | | | | 70,223 | | |
| | | 107,000 | | | | Series 2017-LSTK, Class C, 3.229% due 4/5/33(a) | | | | | 105,651 | | |
| | | 128,000 | | | | Series 2017-LSTK, Class D, 3.442% due 4/5/33(a)(b) | | | | | 125,617 | | |
| | | 47,000 | | | | Series 2017-LSTK, Class E, 3.442% due 4/5/33(a)(b) | | | | | 45,890 | | |
| | | 8,157,000 | | | | Series 2017-LSTK, Class XACP, 0.681% due 4/5/33(a)(b)(e) | | | | | 80,731 | | |
| | | 2,969,000 | | | | Series 2017-LSTK, Class XBCP, 0.316% due 4/5/33(a)(b)(e) | | | | | 11,931 | | |
| | | | | | | CSAIL Commercial Mortgage Trust: | | | | | | | |
| | | 823,233 | | | | Series 2017-C8, Class XA, 1.402% due 6/15/50(b)(e) | | | | | 59,314 | | |
| | | 4,822,816 | | | | Series 2017-CX10, Class XA, 0.866% due 11/15/50(b)(e) | | | | | 247,416 | | |
| | | 3,548,000 | | | | Series 2018-CX12, Class XA, 0.785% due 8/15/51(b)(e) | | | | | 171,333 | | |
| | | 230,000 | | | | CSWF, Series 2018-TOP, Class A, 3.063% (1-Month USD-LIBOR + 1.000%) due 8/15/35(a)(b) | | | | | 230,084 | | |
| | | | | | | Deephaven Residential Mortgage Trust: | | | | | | | |
| | | 298,142 | | | | Series 2017-1A, Class A1, 2.725% due 12/26/46(a)(b) | | | | | 297,528 | | |
| | | 298,142 | | | | Series 2017-1A, Class A2, 2.928% due 12/26/46(a)(b) | | | | | 295,982 | | |
| | | 640,617 | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS, Series 4703, Class FA, 2.413% (1-Month USD-LIBOR + 0.350%) due 7/15/47(b) | | | | | 640,342 | | |
| | | 773,173 | | | | Federal National Mortgage Association (FNMA), REMICS, Series 2014-84, Class BF, 2.442% (1-Month USD-LIBOR + 0.350%) due 12/25/44(b) | | | | | 773,088 | | |
| | | 118,000 | | | | GPMT Ltd., Series 2018-FL1, Class A, 2.969% (1-Month USD-LIBOR + 0.900%) due 11/21/35(a)(b) | | | | | 117,999 | | |
| | | | | | | GS Mortgage Securities Corp. Trust: | | | | | | | |
| | | 77,000 | | | | Series 2017-500K, Class E, 3.563% (1-Month USD-LIBOR + 1.500%) due 7/15/32(a)(b) | | | | | 77,145 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 53,000 | | | | Series 2017-500K, Class F, 3.863% (1-Month USD-LIBOR + 1.800%) due 7/15/32(a)(b) | | | | $ | 53,150 | | |
| | | 200,000 | | | | Series 2018-TWR, Class A, 2.963% (1-Month USD-LIBOR + 0.900%) due 7/15/31(a)(b) | | | | | 200,006 | | |
| | | 200,000 | | | | Series 2018-TWR, Class D, 3.663% (1-Month USD-LIBOR + 1.600%) due 7/15/31(a)(b) | | | | | 198,088 | | |
| | | | | | | GS Mortgage Securities Trust: | | | | | | | |
| | | 3,092 | | | | Series 2013-GC14, Class A2, 2.995% due 8/10/46 | | | | | 3,090 | | |
| | | 5,305,866 | | | | Series 2016-GS4, Class XA, 0.713% due 11/10/49(b)(e) | | | | | 175,983 | | |
| | | 2,323,070 | | | | Series 2017-GS6, Class XA, 1.195% due 5/10/50(b)(e) | | | | | 173,256 | | |
| | | 3,623,966 | | | | Series 2017-GS8, Class XA, 1.127% due 11/10/50(b)(e) | | | | | 249,841 | | |
| | | 78,000 | | | | Hilton Orlando Trust, Series 2018-ORL, Class B, 3.113% (1-Month USD-LIBOR + 1.050%) due 12/15/34(a)(b) | | | | | 77,999 | | |
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | | | | | |
| | | 27,455 | | | | Series 2007-LD11, Class AM, 6.184% due 6/15/49(b) | | | | | 27,898 | | |
| | | 15,515 | | | | Series 2007-LDPX, Class AM, 5.464% due 1/15/49(b) | | | | | 15,545 | | |
| | | 3,588,427 | | | | Series 2014-C20, Class XA, 1.233% due 7/15/47(b)(e) | | | | | 114,804 | | |
| | | 117,000 | | | | Series 2018-LAQ, Class A, 3.063% (1-Month USD-LIBOR + 1.000%) due 6/15/32(a)(b) | | | | | 117,180 | | |
| | | 684,842 | | | | JP Morgan Mortgage Trust, Series 2018-7FRB, Class A2, 2.814% (1-Month USD-LIBOR + 0.750%) due 4/25/46(a)(b) | | | | | 687,615 | | |
| | | 1,424,252 | | | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class XA, 1.602% due 11/15/48(b)(e) | | | | | 73,754 | | |
| | | 227,000 | | | | Monarch Beach Resort Trust, Series 2018-MBR, Class A, 3.030% (1-Month USD-LIBOR + 0.920%) due 7/15/35(a)(b) | | | | | 227,350 | | |
| | | 2,938,757 | | | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class XA, 0.901% due 12/15/49(b)(e) | | | | | 138,556 | | |
| | | | | | | Morgan Stanley Capital I Trust: | | | | | | | |
| | | 289,585 | | | | Series 2007-T27, Class AJ, 6.145% due 6/11/42(b) | | | | | 305,976 | | |
| | | 164,000 | | | | Series 2011-C1, Class D, 5.599% due 9/15/47(a)(b) | | | | | 168,885 | | |
| | | 2,194,018 | | | | Series 2016-BNK2, Class XA, 1.232% due 11/15/49(b)(e) | | | | | 136,015 | | |
| | | 1,523,893 | | | | Series 2016-UB11, Class XA, 1.790% due 8/15/49(b)(e) | | | | | 134,958 | | |
| | | 4,229,585 | | | | Series 2016-UB12, Class XA, 0.948% due 12/15/49(b)(e) | | | | | 194,163 | | |
| | | 76,000 | | | | Series 2017-ASHF, Class D, 4.263% (1-Month USD-LIBOR + 2.200%) due 11/15/34(a)(b) | | | | | 76,181 | | |
| | | 162,000 | | | | Series 2017-ASHF, Class E, 5.213% (1-Month USD-LIBOR + 3.150%) due 11/15/34(a)(b) | | | | | 162,290 | | |
| | | 123,000 | | | | Series 2017-ASHF, Class F, 6.413% (1-Month USD-LIBOR + 4.350%) due 11/15/34(a)(b) | | | | | 123,220 | | |
| Face Amount/Units† | | | Security | | | Value | | | | ||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | | | ||||||||||||||||
| | $ | 186,000 | | | | Series 2017-CLS, Class E, 4.013% (1-Month USD-LIBOR + 1.950%) due 11/15/34(a)(b) | | | | $ | 186,294 | | | | | ||||
| | | 206,000 | | | | Series 2017-CLS, Class F, 4.663% (1-Month USD-LIBOR + 2.600%) due 11/15/34(a)(b) | | | | | 206,586 | | | | | ||||
| | | 991,844 | | | | Series 2017-H1, Class XA, 1.611% due 6/15/50(b)(e) | | | | | 85,601 | | | | | ||||
| | | 285,000 | | | | Series 2017-JWDR, Class A, 2.913% (1-Month USD-LIBOR + 0.850%) due 11/15/34(a)(b) | | | | | 284,910 | | | | | ||||
| | | 142,000 | | | | Series 2018-SUN, Class A, 2.963% (1-Month USD-LIBOR + 0.900%) due 7/15/35(a)(b) | | | | | 142,000 | | | | | ||||
| | | 117,000 | | | | Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, 3.022% (1-Month USD-LIBOR + 0.950%) due 6/15/35(a)(b) | | | | | 116,791 | | | | | ||||
| | | | | | | RAIT Trust: | | | | | | | | | | ||||
| | | 94,060 | | | | Series 2017-FL7, Class A, 3.013% (1-Month USD-LIBOR + 0.950%) due 6/15/37(a)(b) | | | | | 94,106 | | | | | ||||
| | | 36,000 | | | | Series 2017-FL7, Class AS, 3.363% (1-Month USD-LIBOR + 1.300%) due 6/15/37(a)(b) | | | | | 36,000 | | | | | ||||
| | | 791,598 | | | | RCO Trust, Series 2017-INV1, Class A, 3.197% due 11/25/52(a)(b) | | | | | 798,383 | | | | | ||||
| | | | | | | Rosslyn Portfolio Trust: | | | | | | | | | | ||||
| | | 198,000 | | | | Series 2017-ROSS, Class A, 3.013% (1-Month USD-LIBOR + 0.950%) due 6/15/33(a)(b) | | | | | 198,310 | | | | | ||||
| | | 35,000 | | | | Series 2017-ROSS, Class B, 3.313% (1-Month USD-LIBOR + 1.250%) due 6/15/33(a)(b) | | | | | 35,088 | | | | | ||||
| | | 339,153 | | | | SG Residential Mortgage Trust, Series 2017-1, Class A1, 3.709% due 4/25/47(a)(b) | | | | | 339,522 | | | | | ||||
| | | | | | | UBS Commercial Mortgage Trust: | | | | | | | | | | ||||
| | | 1,883,520 | | | | Series 2012-C1, Class XA, 2.256% due 5/10/45(a)(b)(e) | | | | | 113,453 | | | | | ||||
| | | 1,374,062 | | | | Series 2017-C1, Class XA, 1.763% due 6/15/50(b)(e) | | | | | 139,702 | | | | | ||||
| | | 515,974 | | | | Verus Securitization Trust, Series 2018-1, Class A1, 2.929% due 2/25/48(a)(b) | | | | | 510,302 | | | | | ||||
| | | | | | | Wells Fargo Commercial Mortgage Trust: | | | | | | | | | | ||||
| | | 2,889,676 | | | | Series 2015-LC22, Class XA, 1.026% due 9/15/58(b)(e) | | | | | 132,341 | | | | | ||||
| | | 6,175,651 | | | | Series 2015-NXS2, Class XA, 0.900% due 7/15/58(b)(e) | | | | | 210,234 | | | | | ||||
| | | 3,496,000 | | | | Series 2018-C46, Class XA, 1.117% due 8/15/51(b)(e) | | | | | 227,355 | | | | | ||||
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $15,565,434) | | | | | 14,915,820 | | | | | ||||
| SENIOR LOANS(b) – 3.3% | | | | | | | | ||||||||||||
| | | 1,981,367 | | | | Crestwood Holdings LLC, 9.570% (1-Month USD-LIBOR + 7.500%) due 3/6/23 | | | | | 1,978,058 | | | | | ||||
| | | 1,567,000 | | | | Eastman Kodak Co., 8.592% (3-Month USD-LIBOR + 6.250%) due 9/3/19 | | | | | 1,528,483 | | | | | ||||
| | | 1,619,687 | | | | Internap Corp., 7.820% (1-Month USD-LIBOR + 5.750%) due 4/6/22 | | | | | 1,625,761 | | | | | ||||
| | | 927,705 | | | | LSC Communications Inc., 7.576% (1-Month USD-LIBOR + 5.500%) due 9/30/22 | | | | | 927,705 | | | | |
| Face Amount/Units† | | | Security | | | Value | | | | ||||||||||
| SENIOR LOANS(b) – (continued) | | | | ||||||||||||||||
| | $ | 824,230 | | | | NCI Building Systems Inc., 4.076% (1-Month USD-LIBOR + 2.000%) due 2/7/25 | | | | $ | 823,546 | | | | | ||||
| | | | | | | TOTAL SENIOR LOANS (Cost – $6,885,481) | | | | | 6,883,553 | | | | | ||||
| U.S. GOVERNMENT OBLIGATIONS – 1.9% | | | | | | | | ||||||||||||
| | | | | | | U.S. Treasury Inflation Indexed Notes: | | | | | | | | | | ||||
| | | 551,629 | | | | 2.125% due 1/15/19 | | | | | 552,764 | | | | | ||||
| | | 548,459 | | | | 0.125% due 4/15/19 | | | | | 544,146 | | | | | ||||
| | | | | | | U.S. Treasury Notes: | | | | | | | | | | ||||
| | | 330,000 | | | | 2.250% due 3/31/20 | | | | | 328,221 | | | | | ||||
| | | 670,000 | | | | 1.500% due 8/15/20 | | | | | 655,658 | | | | | ||||
| | | 780,000 | | | | 2.000% due 8/31/21 | | | | | 764,309 | | | | | ||||
| | | 780,000 | | | | 2.125% due 9/30/21 | | | | | 766,624 | | | | | ||||
| | | 220,000 | | | | 1.875% due 1/31/22 | | | | | 213,933 | | | | | ||||
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $3,854,882) | | | | | 3,825,655 | | | | | ||||
| SOVEREIGN BONDS – 0.3% | | | | | | | | ||||||||||||
| Chile – 0.0% | | | | | | | | ||||||||||||
| | | 100,000 | | | | Chile Government International Bond, 3.250% due 9/14/21 | | | | | 99,945 | | | | | ||||
| Dominican Republic – 0.1% | | | | | | | | ||||||||||||
| | | 200,000 | | | | Dominican Republic International Bond, 7.500% due 5/6/21 | | | | | 210,500 | | | | | ||||
| Indonesia – 0.1% | | | | | | | | ||||||||||||
| | | 200,000 | | | | Indonesia Government International Bond, 4.875% due 5/5/21 | | | | | 206,663 | | | | | ||||
| Israel – 0.1% | | | | | | | | ||||||||||||
| | | 200,000 | | | | Israel Government International Bond, 4.000% due 6/30/22 | | | | | 204,630 | | | | | ||||
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $739,307) | | | | | 721,738 | | | | |
| Shares/Units | | | | | | | | | | ||||||||||
| EXCHANGE TRADED FUND (ETF) – 12.1% | | | | | | | | ||||||||||||
| | | 517,952 | | | | iShares Core 1-5 Year USD Bond(f) (Cost – $25,972,868) | | | | | 25,446,982 | | | | | ||||
| | | | | | | | | | |||||||||||
| COMMON STOCK – 0.2% | | | | | | | | ||||||||||||
| BASIC MATERIALS – 0.2% | | | | | | | | ||||||||||||
| Forest Products & Paper – 0.2% | | | | | | | | ||||||||||||
| | | 20,309 | | | | Appvion Inc.*(d)(g) (Cost – $395,660) | | | | | 395,619 | | | | | ||||
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $195,434,563) | | | | | 193,348,367 | | | | |
| Face Amount† | | | Security | | | Value | | | | ||||||||||
| SHORT-TERM INVESTMENTS – 8.5% | | | | | | | | ||||||||||||
| COMMERCIAL PAPERS – 4.7% | | | | | | | | ||||||||||||
| | $ | 3,430,000 | | | | Campbell Soup Co., 2.327% due 9/6/18(h) | | | | $ | 3,428,757 | | | | | ||||
| | | 2,462,000 | | | | Kraft Heinz Co., 2.471% due 10/23/18(h) | | | | | 2,453,439 | | | | | ||||
| | | 2,152,000 | | | | McKesson Corp., 2.244% due 9/21/18(h) | | | | | 2,149,175 | | | | | ||||
| | | 1,845,000 | | | | Walgreens Boots Alliance Inc., 2.410% due 10/22/18(h) | | | | | 1,838,716 | | | | | ||||
| | | | | | | TOTAL COMMERCIAL PAPERS (Cost – $9,870,196) | | | | | 9,870,087 | | | | | ||||
| TIME DEPOSITS – 3.0% | | | | | | | | ||||||||||||
| | | 364,922EUR | | | | Citibank – London, (0.570)% due 9/3/18 | | | | | 423,620 | | | | | ||||
| | | 3,179,374 | | | | Citibank – New York, 1.280% due 9/4/18 | | | | | 3,179,374 | | | | | ||||
| | | 1,141,512 | | | | Deutsche Bank AG – Grand Cayman, 1.280% due 9/4/18 | | | | | 1,141,512 | | | | | ||||
| | | 1,640,297 | | | | Industrial & Commercial Bank of China – New York, 1.280% due 9/4/18 | | | | | 1,640,297 | | | | | ||||
| | | | | | | TOTAL TIME DEPOSITS (Cost – $6,384,803) | | | | | 6,384,803 | | | | | ||||
| U.S. GOVERNMENT OBLIGATIONS – 0.8% | | | | | | | | ||||||||||||
| | | | | | | U.S. Treasury Bills: | | | | | | | | | | ||||
| | | 550,000 | | | | 1.910% due 9/20/18(h) | | | | | 549,449 | | | | | ||||
| | | 450,000 | | | | 2.267% due 4/25/19(h) | | | | | 443,411 | | | | | ||||
| | | 620,000 | | | | 2.421% due 8/15/19(h) | | | | | 605,859 | | | | | ||||
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $1,598,706) | | | | | 1,598,719 | | | | | ||||
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $17,853,705) | | | | | 17,853,609 | | | | | ||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.2% | | | | | | | | ||||||||||||
| MONEY MARKET FUND – 0.2% | | | | | | | | ||||||||||||
| | | 370,740 | | | | Federated Government Obligations Fund, Premier Class, 1.845%(i) (Cost – $370,740) | | | | | 370,740 | | | | | ||||
| | | | | | | TOTAL INVESTMENTS – 100.8% (Cost – $213,659,008#) | | | | | 211,572,716 | | | | | ||||
| | | | | | | Liabilities in Excess of Other Assets – (0.8)% | | | | | (1,635,723) | | | | | ||||
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 209,936,993 | | | | | ||||
|
| Corporate Bonds & Notes | | | | | 56.5% | | |
| Exchange Traded Fund (ETF) | | | | | 12.0 | | |
| Asset-Backed Securities | | | | | 10.2 | | |
| Collateralized Mortgage Obligations | | | | | 7.1 | | |
| Senior Loans | | | | | 3.3 | | |
| U.S. Government Obligations | | | | | 1.8 | | |
| Sovereign Bonds | | | | | 0.3 | | |
| Common Stock | | | | | 0.2 | | |
| Short-Term Investments | | | | | 8.4 | | |
| Money Market Fund | | | | | 0.2 | | |
| | | | | | 100.0% | | |
|
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Net Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swedish Krona | | | | | 1,011,950 | | | | | | BBH | | | | | $ | 110,726 | | | | | | 9/13/18 | | | | | $ | 378 | | | | | $ | — | | | | | $ | 378 | | |
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | | | 365,000 | | | | | | BBH | | | | | $ | 423,948 | | | | | | 9/13/18 | | | | | $ | 4,087 | | | | | $ | — | | | | | $ | 4,087 | | |
Euro | | | | | 2,500,000 | | | | | | BBH | | | | | | 2,903,756 | | | | | | 9/13/18 | | | | | | 5,119 | | | | | | — | | | | | | 5,119 | | |
Norwegian Krone | | | | | 3,042,500 | | | | | | BBH | | | | | | 362,957 | | | | | | 9/13/18 | | | | | | 7,651 | | | | | | — | | | | | | 7,651 | | |
Swedish Krona | | | | | 13,015,600 | | | | | | BBH | | | | | | 1,424,150 | | | | | | 9/13/18 | | | | | | 32,874 | | | | | | — | | | | | | 32,874 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 49,731 | | | | | $ | — | | | | | $ | 49,731 | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | $ | 50,109 | | | | | $ | — | | | | | $ | 50,109 | | | ||||||||||||||||||||||||
|
| Currency Abbreviations used in this schedule: | | | Counterparty Abbreviations used in this schedule: | | | | ||||
| EUR — Euro | | | BBH — Brown Brothers Harriman & Co. | | | | ||||
| NOK — Norwegian Krone | | | | | ||||||
| SEK — Swedish Krone | | | | | | | | | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 66.9% | | ||||||||||||
| Argentina – 0.5% | | ||||||||||||
| | $ | 1,600,000 | | | | Pampa Energia SA, Senior Unsecured Notes, 7.375% due 7/21/23 | | | | $ | 1,392,800 | | |
| | | 2,400,000 | | | | YPF SA, Senior Unsecured Notes, 8.500% due 3/23/21 | | | | | 2,311,200 | | |
| | | | | | | Total Argentina | | | | | 3,704,000 | | |
| Australia – 0.6% | | ||||||||||||
| | | 550,000 | | | | BHP Billiton Finance USA Ltd., Company Guaranteed Notes, 6.750% (5-Year USD Swap Rate + 5.093%) due 10/19/75(a)(b) | | | | | 603,625 | | |
| | | 3,915,000 | | | | CNOOC Finance 2015 Australia Pty Ltd., Company Guaranteed Notes, 2.625% due 5/5/20 | | | | | 3,862,782 | | |
| | | | | | | Total Australia | | | | | 4,466,407 | | |
| Austria – 0.4% | | ||||||||||||
| | | 1,500,000 | | | | ESAL GmbH, Company Guaranteed Notes, 6.250% due 2/5/23 | | | | | 1,449,375 | | |
| | | 1,200,000 | | | | JBS Investments GmbH, Company Guaranteed Notes, 7.750% due 10/28/20 | | | | | 1,219,212 | | |
| | | 400,000 | | | | OAS Investments GmbH, Company Guaranteed Notes, 8.250% due 10/19/19(c) | | | | | 22,000 | | |
| | | | | | | Total Austria | | | | | 2,690,587 | | |
| Bermuda – 1.1% | | ||||||||||||
| | | 1,000,000 | | | | Catlin Insurance Co., Ltd., Junior Subordinated Notes, 5.317% (3-Month USD-LIBOR + 2.975%)(a)(b)(d) | | | | | 987,500 | | |
| | | 800,000 | | | | Digicel Group Ltd., Senior Unsecured Notes, 8.250% due 9/30/20 | | | | | 601,768 | | |
| | | 1,743,000 | | | | Ship Finance International Ltd., Senior Unsecured Notes, 5.750% due 10/15/21 | | | | | 1,733,788 | | |
| | | 5,100,000 | | | | Stolt-Nielsen Ltd., Senior Unsecured Notes, 6.375% due 9/21/22 | | | | | 4,921,500 | | |
| | | 1,000,000SEK | | | | Vostok New Ventures Ltd., Senior Unsecured Notes, 6.150% due 6/14/22 | | | | | 112,365 | | |
| | �� | | | | | Total Bermuda | | | | | 8,356,921 | | |
| Brazil – 0.4% | | ||||||||||||
| | | 2,730,000 | | | | Globo Comunicacao e Participacoes SA, Senior Unsecured Notes, 4.875% due 4/11/22 | | | | | 2,702,727 | | |
| | | 400,000 | | | | Itau Unibanco Holding SA, Subordinated Notes, 6.200% due 12/21/21 | | | | | 410,504 | | |
| | | | | | | Total Brazil | | | | | 3,113,231 | | |
| British Virgin Islands – 1.8% | | ||||||||||||
| | | 2,120,000 | | | | CNOOC Finance 2012 Ltd., Company Guaranteed Notes, 3.875% due 5/2/22 | | | | | 2,130,982 | | |
| | | | | | | CNPC General Capital Ltd., Company Guaranteed Notes: | | | | | | | |
| | | 3,495,000 | | | | 2.750% due 5/14/19 | | | | | 3,481,941 | | |
| | | 2,365,000 | | | | 3.950% due 4/19/22 | | | | | 2,382,902 | | |
| | | 2,000,000 | | | | Sinopec Group Overseas Development 2015 Ltd., Company Guaranteed Notes, 2.500% due 4/28/20 | | | | | 1,972,653 | | |
| | | | | | | Sinopec Group Overseas Development 2016 Ltd., Company Guaranteed Notes: | | | | | | | |
| | | 880,000 | | | | 2.125% due 5/3/19 | | | | | 873,542 | | |
| | | 800,000 | | | | 2.000% due 9/29/21(b) | | | | | 762,908 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| British Virgin Islands – (continued) | | ||||||||||||
| | $ | 200,000 | | | | 2.000% due 9/29/21 | | | | $ | 190,727 | | |
| | | | | | | Sinopec Group Overseas Development 2017 Ltd., Company Guaranteed Notes: | | | |||||
| | | 1,000,000 | | | | 3.000% due 4/12/22 | | | | | 975,567 | | |
| | | 200,000 | | | | 3.000% due 4/12/22(b) | | | | | 195,113 | | |
| | | | | | | Total British Virgin Islands | | | | | 12,966,335 | | |
| Canada – 0.8% | | ||||||||||||
| | | 1,708,000 | | | | Avison Young Canada Inc., Senior Secured Notes, 9.500% due 12/15/21(b) | | | | | 1,810,480 | | |
| | | 1,950,000 | | | | Emera Inc., Subordinated Notes, 6.750% (3-Month USD-LIBOR + 5.440%) due 6/15/76(a) | | | | | 2,067,235 | | |
| | | 1,650,000 | | | | NOVA Chemicals Corp., Senior Unsecured Notes, 5.250% due 6/1/27(b) | | | | | 1,567,500 | | |
| | | 955,000CAD | | | | Postmedia Network Inc., Senior Secured Notes, 8.250% due 7/15/21(b) | | | | | 709,828 | | |
| | | | | | | Total Canada | | | | | 6,155,043 | | |
| Cayman Islands – 2.3% | | ||||||||||||
| | | 1,250,000 | | | | Agromercantil Senior Trust, Company Guaranteed Notes, 6.250% due 4/10/19 | | | | | 1,263,112 | | |
| | | | | | | CK Hutchison International 17 Ltd., Company Guaranteed Notes: | | | |||||
| | | 2,630,000 | | | | 2.875% due 4/5/22(b) | | | | | 2,560,801 | | |
| | | 3,080,000 | | | | 2.875% due 4/5/22 | | | | | 3,000,173 | | |
| | | 1,248,257 | | | | Guanay Finance Ltd., Senior Secured Notes, 6.000% due 12/15/20 | | | | | 1,251,378 | | |
| | | 92,053 | | | | Interoceanica IV Finance Ltd., Senior Secured Notes, zero coupon, due 11/30/18 | | | | | 90,895 | | |
| | | 2,295,000 | | | | Nexteer Automotive Group Ltd., Company Guaranteed Notes, 5.875% due 11/15/21(b) | | | | | 2,352,375 | | |
| | | 280,000 | | | | Peru Enhanced Pass-Through Finance Ltd., Pass-Thru Certificates, zero coupon, due 6/2/25 | | | | | 243,600 | | |
| | | | | | | SPARC EM SPC Panama Metro Line 2 SP, Senior Secured Notes: | | | | | | | |
| | | 3,565,000 | | | | zero coupon, due 12/5/22 | | | | | 3,235,238 | | |
| | | 3,065,000 | | | | zero coupon, due 12/5/22(b) | | | | | 2,781,488 | | |
| | | | | | | Total Cayman Islands | | | | | 16,779,059 | | |
| Chile – 2.8% | | ||||||||||||
| | | 5,295,000 | | | | Banco del Estado de Chile, Senior Unsecured Notes, 3.875% due 2/8/22 | | | | | 5,294,567 | | |
| | | | | | | Banco Santander Chile, Senior Unsecured Notes: | | | | | | | |
| | | 300,000 | | | | 2.500% due 12/15/20(b) | | | | | 292,875 | | |
| | | 1,850,000 | | | | 3.875% due 9/20/22 | | | | | 1,849,244 | | |
| | | 500,000 | | | | Celulosa Arauco y Constitucion SA, Senior Unsecured Notes, 4.750% due 1/11/22 | | | | | 510,000 | | |
| | | 1,400,000 | | | | Engie Energia Chile SA, Senior Unsecured Notes, 5.625% due 1/15/21 | | | | | 1,454,339 | | |
| | | 5,135,000 | | | | Inversiones CMPC SA, Company Guaranteed Notes, 4.500% due 4/25/22 | | | | | 5,192,820 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Chile – (continued) | | ||||||||||||
| | $ | 500,000 | | | | Itau CorpBanca, Senior Unsecured Notes, 3.875% due 9/22/19 | | | | $ | 501,611 | | |
| | | 1,440,000 | | | | SACI Falabella, Senior Unsecured Notes, 3.750% due 4/30/23 | | | | | 1,419,378 | | |
| | | 4,350,000 | | | | Telefonica Chile SA, Senior Unsecured Notes, 3.875% due 10/12/22 | | | | | 4,304,285 | | |
| | | | | | | Total Chile | | | | | 20,819,119 | | |
| Colombia – 1.9% | | ||||||||||||
| | | | | | | Ecopetrol SA, Senior Unsecured Notes: | | | | | | | |
| | | 50,000 | | | | 7.625% due 7/23/19 | | | | | 51,960 | | |
| | | 4,000,000 | | | | 5.875% due 9/18/23 | | | | | 4,252,000 | | |
| | | 2,000,000 | | | | Empresas Publicas de Medellin ESP, Senior Unsecured Notes, 7.625% due 7/29/19 | | | | | 2,052,500 | | |
| | | 2,600,000 | | | | Oleoducto Central SA, Senior Unsecured Notes, 4.000% due 5/7/21 | | | | | 2,583,776 | | |
| | | 5,295,000 | | | | Transportadora de Gas Internacional SA ESP, Senior Unsecured Notes, 5.700% due 3/20/22 | | | | | 5,367,859 | | |
| | | | | | | Total Colombia | | | | | 14,308,095 | | |
| Costa Rica – 0.1% | | ||||||||||||
| | | | | | | Banco Nacional de Costa Rica, Senior Unsecured Notes: | | | | | | | |
| | | 680,000 | | | | 4.875% due 11/1/18 | | | | | 680,000 | | |
| | | 400,000 | | | | 5.875% due 4/25/21(b) | | | | | 403,000 | | |
| | | | | | | Total Costa Rica | | | | | 1,083,000 | | |
| Denmark – 0.1% | | ||||||||||||
| | | 800,000EUR | | | | Georg Jensen AS, Senior Secured Notes, 6.000% (3-Month EURIBOR + 6.000%) due 5/15/23(a) | | | | | 909,521 | | |
| France – 0.9% | | ||||||||||||
| | | 1,600,000 | | | | BNP Paribas SA, Junior Subordinated Notes, 7.375% (5-Year USD Swap Rate + 5.150%)(a)(b)(d) | | | | | 1,684,800 | | |
| | | 2,300,000 | | | | Credit Agricole SA, Junior Subordinated Notes, 8.125% (5-Year USD Swap Rate + 6.185%)(a)(b)(d) | | | | | 2,530,285 | | |
| | | 2,000,000 | | | | Societe Generale SA, Junior Subordinated Notes, 7.875% (5-Year USD Swap Rate + 4.979%)(a)(b)(d) | | | | | 2,100,000 | | |
| | | | | | | Total France | | | | | 6,315,085 | | |
| India – 2.3% | | ||||||||||||
| | | 3,495,000 | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes, 3.500% due 7/29/20 | | | | | 3,453,151 | | |
| | | 4,220,000 | | | | Bharat Petroleum Corp., Ltd., Senior Unsecured Notes, 4.625% due 10/25/22 | | | | | 4,271,484 | | |
| | | | | | | Indian Oil Corp., Ltd, Senior Unsecured Notes: | | | | | | | |
| | | 2,995,000 | | | | 5.625% due 8/2/21 | | | | | 3,119,712 | | |
| | | 600,000 | | | | 5.750% due 8/1/23 | | | | | 633,608 | | |
| | | 2,290,000 | | | | Oil India Ltd., Senior Unsecured Notes, 3.875% due 4/17/19 | | | | | 2,293,875 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| India – (continued) | | ||||||||||||
| | $ | 2,995,000 | | | | ONGC Videsh Ltd., Company Guaranteed Notes, 3.250% due 7/15/19 | | | | $ | 2,990,058 | | |
| | | | | | | Total India | | | | | 16,761,888 | | |
| Israel – 0.4% | | ||||||||||||
| | | 2,479,000 | | | | Delek & Avner Tamar Bond Ltd., Senior Secured Notes, 4.435% due 12/30/20(b) | | | | | 2,480,609 | | |
| | | 500,000 | | | | Israel Electric Corp., Ltd., Senior Secured Notes, 6.875% due 6/21/23 | | | | | 550,555 | | |
| | | | | | | Total Israel | | | | | 3,031,164 | | |
| Italy – 0.4% | | ||||||||||||
| | | 1,625,000 | | | | Intesa Sanpaolo SpA, Company Guaranteed Notes, 7.700% (5-Year USD Swap Rate + 5.462%)(a)(b)(d) | | | | | 1,503,320 | | |
| | | 1,250,000 | | | | UniCredit SpA, Junior Subordinated Notes, 8.000% (5-Year USD Swap Rate + 5.180%), (Restricted)(a)(d) | | | | | 1,145,100 | | |
| | | | | | | Total Italy | | | | | 2,648,420 | | |
| Luxembourg – 0.2% | | ||||||||||||
| | | 1,400,000 | | | | Euronav Luxembourg SA, Company Guaranteed Notes, 7.500% due 5/31/22(b) | | | | | 1,372,000 | | |
| Malaysia – 2.4% | | ||||||||||||
| | | 5,315,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 3.466% due 11/19/20 | | | | | 5,297,747 | | |
| | | 800,000 | | | | IOI Investment L Bhd, Company Guaranteed Notes, 4.375% due 6/27/22 | | | | | 803,439 | | |
| | | 615,000 | | | | Malayan Banking Bhd, Subordinated Notes, 3.905% (5-Year USD Swap Rate + 2.542%) due 10/29/26(a) | | | | | 608,586 | | |
| | | 1,600,000 | | | | Petronas Capital Ltd., Company Guaranteed Notes, 3.125% due 3/18/22 | | | | | 1,575,413 | | |
| | | 4,260,000 | | | | Petronas Global Sukuk Ltd., Senior Unsecured Notes, 2.707% due 3/18/20 | | | | | 4,213,502 | | |
| | | 5,185,000 | | | | Wakala Global Sukuk Bhd, Senior Unsecured Notes, 4.646% due 7/6/21 | | | | | 5,366,475 | | |
| | | | | | | Total Malaysia | | | | | 17,865,162 | | |
| Marshall Islands – 1.7% | | ||||||||||||
| | | 5,067,000 | | | | Borealis Finance LLC, Senior Secured Notes, 7.500% due 11/16/22(b) | | | | | 5,019,497 | | |
| | | 3,900,000 | | | | Chembulk Holding LLC, Senior Secured Notes, 8.000% due 2/2/23(b) | | | | | 3,909,750 | | |
| | | 3,400,000 | | | | Golar LNG Partners LP, Senior Unsecured Notes, 6.710% (3-Month USD-LIBOR + 4.400%) due 5/22/20(a) | | | | | 3,340,500 | | |
| | | 403,000 | | | | Scorpio Tankers Inc., Senior Unsecured Notes, 2.375% due 7/1/19(b) | | | | | 387,594 | | |
| | | | | | | Total Marshall Islands | | | | | 12,657,341 | | |
| Mauritius – 0.4% | | ||||||||||||
| | | 3,000,000 | | | | UPL Corp., Ltd., Senior Unsecured Notes, 3.250% due 10/13/21 | | | | | 2,911,191 | | |
| Mexico – 2.8% | | ||||||||||||
| | | 3,245,000 | | | | America Movil SAB de CV, Senior Unsecured Notes, 3.125% due 7/16/22 | | | | | 3,180,640 | | |
| | | 800,000 | | | | Banco Mercantil del Norte SA, Junior Subordinated Notes, 6.875% (5-Year CMT Index + 5.035%)(a)(d) | | | | | 802,000 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Mexico – (continued) | | ||||||||||||
��� | | $ | 700,000 | | | | Banco Nacional de Comercio Exterior SNC, Subordinated Notes, 3.800% (5-Year CMT Index + 3.000%) due 8/11/26(a) | | | | $ | 680,757 | | |
| | | 5,160,000 | | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, Subordinated Notes, 5.950% (5-Year CMT Index + 4.580%) due 1/30/24(a) | | | | | 5,198,700 | | |
| | | | | | | BBVA Bancomer SA: | | | | | | | |
| | | 100,000 | | | | Junior Subordinated Notes, 7.250% due 4/22/20 | | | | | 104,250 | | |
| | | 700,000 | | | | Subordinated Notes, 6.750% due 9/30/22 | | | | | 750,400 | | |
| | | 1,700,000 | | | | Coca-Cola Femsa SAB de CV, Company Guaranteed Notes, 4.625% due 2/15/20 | | | | | 1,733,167 | | |
| | | 3,450,000 | | | | Comision Federal de Electricidad, Senior Unsecured Notes, 4.875% due 5/26/21 | | | | | 3,519,000 | | |
| | | 1,900,000 | | | | Credito Real SAB de CV SOFOM ER, Senior Unsecured Notes, 7.250% due 7/20/23 | | | | | 1,929,028 | | |
| | | 1,500,000 | | | | Grupo Bimbo SAB de CV, Company Guaranteed Notes, 4.875% due 6/30/20 | | | | | 1,536,229 | | |
| | | 400,000 | | | | Grupo Idesa SA de CV, Company Guaranteed Notes, 7.875% due 12/18/20 | | | | | 359,004 | | |
| | | 1,100,000 | | | | Unifin Financiera SAB de CV SOFOM ENR, Company Guaranteed Notes, 7.250% due 9/27/23 | | | | | 1,090,375 | | |
| | | | | | | Total Mexico | | | | | 20,883,550 | | |
| Netherlands – 2.4% | | ||||||||||||
| | | 4,185,000 | | | | Bharti Airtel International Netherlands BV, Company Guaranteed Notes, 5.125% due 3/11/23 | | | | | 4,178,300 | | |
| | | 3,000,000 | | | | Braskem Netherlands Finance BV, Company Guaranteed Notes, 3.500% due 1/10/23 | | | | | 2,786,280 | | |
| | | 1,500,000 | | | | Cooperatieve Rabobank UA, Junior Subordinated Notes, 11.000% (3-Month USD-LIBOR + 10.868%)(a)(b)(d) | | | | | 1,588,125 | | |
| | | 4,000,000 | | | | Marfrig Holdings Europe BV, Company Guaranteed Notes, 8.000% due 6/8/23 | | | | | 4,030,000 | | |
| | | 3,800,000 | | | | MPC Container Ships Invest BV, Senior Secured Notes, 7.082% (3-Month USD-LIBOR + 4.750%) due 9/22/22(a) | | | | | 3,870,327 | | |
| | | 1,250,000 | | | | Petrobras Global Finance BV, Company Guaranteed Notes, 4.375% due 5/20/23 | | | | | 1,173,750 | | |
| | | | | | | Total Netherlands | | | | | 17,626,782 | | |
| Norway – 0.2% | | ||||||||||||
| | | 11,000,000NOK | | | | Bulk Industrier AS, Senior Secured Notes, 7.520% (3-Month USD-NIBOR + 6.500%) due 5/26/21(a) | | | | | 1,316,147 | | |
| Panama – 1.9% | | ||||||||||||
| | | 3,655,000 | | | | Banco Latinoamericano de Comercio Exterior SA, Senior Unsecured Notes, 3.250% due 5/7/20 | | | | | 3,609,313 | | |
| | | | | | | Banistmo SA, Senior Unsecured Notes: | | | | | | | |
| | | 300,000 | | | | 3.650% due 9/19/22(b) | | | | | 287,625 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Panama – (continued) | | ||||||||||||
| | $ | 950,000 | | | | 3.650% due 9/19/22 | | | | $ | 910,813 | | |
| | | 3,966,522 | | | | ENA Norte Trust, Pass-Thru Certificates, 4.950% due 4/25/23 | | | | | 3,998,254 | | |
| | | | | | | Global Bank Corp., Senior Unsecured Notes: | | | | | | | |
| | | 3,000,000 | | | | 5.125% due 10/30/19 | | | | | 3,022,500 | | |
| | | 1,000,000 | | | | 4.500% due 10/20/21 | | | | | 990,300 | | |
| | | 800,000 | | | | Multibank Inc., Senior Unsecured Notes, 4.375% due 11/9/22 | | | | | 788,000 | | |
| | | | | | | Total Panama | | | | | 13,606,804 | | |
| Paraguay – 0.0% | | ||||||||||||
| | | 200,000 | | | | Telefonica Celular del Paraguay SA, Senior Unsecured Notes, 6.750% due 12/13/22 | | | | | 204,038 | | |
| Peru – 1.0% | | ||||||||||||
| | | 2,950,000 | | | | Banco de Credito del Peru, Senior Unsecured Notes, 5.375% due 9/16/20 | | | | | 3,066,525 | | |
| | | 4,095,000 | | | | Banco Internacional del Peru SAA, Senior Unsecured Notes, 5.750% due 10/7/20 | | | | | 4,243,485 | | |
| | | 165,000 | | | | BBVA Banco Continental SA, Senior Unsecured Notes, 5.000% due 8/26/22 | | | | | 170,362 | | |
| | | | | | | Total Peru | | | | | 7,480,372 | | |
| Philippines – 0.5% | | ||||||||||||
| | | | | | | BDO Unibank Inc., Senior Unsecured Notes: | | | | | | | |
| | | 960,000 | | | | 2.625% due 10/24/21 | | | | | 917,445 | | |
| | | 175,000 | | | | 2.950% due 3/6/23 | | | | | 166,222 | | |
| | | 2,700,000 | | | | Union Bank of the Philippines, Senior Unsecured Notes, 3.369% due 11/29/22 | | | | | 2,591,147 | | |
| | | | | | | Total Philippines | | | | | 3,674,814 | | |
| Singapore – 3.3% | | ||||||||||||
| | | 3,865,000 | | | | DBS Group Holdings Ltd., Junior Subordinated Notes, 3.600% (5-Year USD Swap Rate + 2.390%)(a)(d) | | | | | 3,724,894 | | |
| | | 2,915,000 | | | | ONGC Videsh Vankorneft Pte Ltd., Company Guaranteed Notes, 2.875% due 1/27/22 | | | | | 2,785,492 | | |
| | | 4,300,000 | | | | Oversea-Chinese Banking Corp., Ltd., Subordinated Notes, 4.000% (5-Year USD Swap Rate + 2.203%) due 10/15/24(a) | | | | | 4,309,210 | | |
| | | 4,950,000 | | | | SP PowerAssets Ltd., Senior Unsecured Notes, 2.700% due 9/14/22 | | | | | 4,824,013 | | |
| | | 3,450,000 | | | | Temasek Financial I Ltd., Company Guaranteed Notes, 2.375% due 1/23/23 | | | | | 3,323,756 | | |
| | | | | | | United Overseas Bank Ltd., Subordinated Notes: | | | | | | | |
| | | 2,000,000 | | | | 3.750% (5-Year USD Swap Rate + 1.995%) due 9/19/24(a) | | | | | 2,000,780 | | |
| | | 3,500,000 | | | | 3.500% (5-Year USD Swap Rate + 2.236%) due 9/16/26(a) | | | | | 3,444,525 | | |
| | | 200,000 | | | | 2.880% (5-Year USD Swap Rate + 1.654%) due 3/8/27(a) | | | | | 192,024 | | |
| | | | | | | Total Singapore | | | | | 24,604,694 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Switzerland – 0.4% | | ||||||||||||
| | $ | 1,255,000 | | | | Credit Suisse Group AG, Junior Subordinated Notes, 7.500% (5-Year USD Swap Rate + 4.598%)(a)(b)(d) | | | | $ | 1,326,170 | | |
| | | 1,400,000 | | | | UBS Group Funding Switzerland AG, Company Guaranteed Notes, 7.000% (5-Year USD Swap Rate + 4.866%), (Restricted)(a)(d) | | | | | 1,485,733 | | |
| | | | | | | Total Switzerland | | | | | 2,811,903 | | |
| United Kingdom – 2.2% | | ||||||||||||
| | | 2,700,000 | | | | Barclays PLC, Junior Subordinated Notes, 7.875% (5-Year USD Swap Rate + 6.772%)(a)(d) | | | | | 2,801,682 | | |
| | | 2,563,000 | | | | Ferroglobe PLC/Globe Specialty Metals Inc., Company Guaranteed Notes, 9.375% due 3/1/22(b) | | | | | 2,678,335 | | |
| | | 2,200,000 | | | | Fresnillo PLC, Senior Unsecured Notes, 5.500% due 11/13/23 | | | | | 2,271,500 | | |
| | | 1,824,000 | | | | Inmarsat Finance PLC, Company Guaranteed Notes, 6.500% due 10/1/24(b) | | | | | 1,874,160 | | |
| | | 2,150,000 | | | | Lloyds Banking Group PLC, Junior Subordinated Notes, 7.500% (5-Year USD Swap Rate + 4.760%)(a)(d) | | | | | 2,233,381 | | |
| | | 1,945,000 | | | | Royal Bank of Scotland Group PLC, Junior Subordinated Notes, 8.625% (5-Year USD Swap Rate + 7.598%)(a)(d) | | | | | 2,081,928 | | |
| | | 1,600,000EUR | | | | SB Holdco PLC, Company Guaranteed Notes, 8.000% (3-Month EURIBOR + 8.000%) due 7/13/22(a) | | | | | 1,853,250 | | |
| | | | | | | Total United Kingdom | | | | | 15,794,236 | | |
| United States – 30.7% | | ||||||||||||
| | | 8,904,000 | | | | A Schulman Inc., Company Guaranteed Notes, 6.875% due 6/1/23 | | | | | 9,375,022 | | |
| | | 593,000 | | | | Abbott Laboratories, Senior Unsecured Notes, 2.350% due 11/22/19 | | | | | 589,006 | | |
| | | 1,585,000 | | | | AerCap Global Aviation Trust, Company Guaranteed Notes, 6.500% (3-Month USD-LIBOR + 4.300%) due 6/15/45(a)(b) | | | | | 1,632,550 | | |
| | | 618,000 | | | | AMAG Pharmaceuticals Inc., Company Guaranteed Notes, 7.875% due 9/1/23(b) | | | | | 654,499 | | |
| | | 194,847 | | | | America West Airlines Pass-Through Trust, Series 2000-1, Pass-Thru Certificates, 8.057% due 7/2/20 | | | | | 209,207 | | |
| | | 714,000 | | | | American Axle & Manufacturing Inc., Company Guaranteed Notes, 6.500% due 4/1/27(b) | | | | | 706,860 | | |
| | | 1,291,000 | | | | American Express Co., Junior Subordinated Notes, 5.200% (3-Month USD-LIBOR + 3.428%)(a)(d) | | | | | 1,310,365 | | |
| | | | | | | American International Group Inc., Junior Subordinated Notes: | | | | | | | |
| | | 2,350,000 | | | | 5.750% (3-Month USD-LIBOR + 2.868%) due 4/1/48(a) | | | | | 2,308,875 | | |
| | | 1,500,000 | | | | 8.175% (3-Month USD-LIBOR + 4.195%) due 5/15/58(a) | | | | | 1,890,000 | | |
| | | 471,000 | | | | Apple Inc., Senior Unsecured Notes, 2.841% (3-Month USD-LIBOR + 0.500%) due 2/9/22(a) | | | | | 477,556 | | |
| | | 4,727,000 | | | | APX Group Inc., Senior Secured Notes, 6.375% due 12/1/19 | | | | | 4,802,348 | | |
| | | 2,000,000 | | | | Assurant Inc., Subordinated Notes, 7.000% (3-Month USD-LIBOR + 4.135%) due 3/27/48(a) | | | | | 2,040,000 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 2,369,000 | | | | Assured Guaranty Municipal Holdings Inc., Company Guaranteed Notes, 6.400% (1-Month USD-LIBOR + 2.215%) due 12/15/66(a)(b) | | | | $ | 2,357,155 | | |
| | | | | | | Bank of America Corp., Junior Subordinated Notes: | | | | | | | |
| | | 260,000 | | | | 5.875% (3-Month USD-LIBOR + 2.931%)(a)(d) | | | | | 260,000 | | |
| | | 2,440,000 | | | | 6.300% (3-Month USD-LIBOR + 4.553%)(a)(d) | | | | | 2,610,800 | | |
| | | 945,000 | | | | 6.500% (3-Month USD-LIBOR + 4.174%)(a)(d) | | | | | 1,019,419 | | |
| | | 1,315,000 | | | | Bank of New York Mellon Corp., Junior Subordinated Notes, 4.950% (3-Month USD-LIBOR + 3.420%)(a)(d) | | | | | 1,342,878 | | |
| | | 245,000 | | | | Bayer US Finance II LLC, Company Guaranteed Notes, 2.965% (3-Month USD-LIBOR + 0.630%) due 6/25/21(a)(b) | | | | | 246,059 | | |
| | | 5,241,000 | | | | Brunswick Corp., Senior Unsecured Notes, 4.625% due 5/15/21(b) | | | | | 5,223,690 | | |
| | | 1,800,000 | | | | Capital One Financial Corp., Junior Subordinated Notes, 5.550% (3-Month USD-LIBOR + 3.800%)(a)(d) | | | | | 1,849,500 | | |
| | | 4,215,000 | | | | Carrols Restaurant Group Inc., Secured Notes, 8.000% due 5/1/22 | | | | | 4,394,137 | | |
| | | 995,000 | | | | CenterPoint Energy Inc., Junior Subordinated Notes, 6.125% (3-Month USD-LIBOR + 3.270%)(a)(d) | | | | | 1,012,412 | | |
| | | 3,565,000 | | | | Citigroup Inc., Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 4.059%)(a)(d) | | | | | 3,655,551 | | |
| | | 1,000,000 | | | | Citizens Financial Group Inc., Junior Subordinated Notes, 5.500% (3-Month USD-LIBOR + 3.960%)(a)(d) | | | | | 1,021,000 | | |
| | | 245,000 | | | | CNH Industrial Capital LLC, Company Guaranteed Notes, 4.200% due 1/15/24 | | | | | 245,633 | | |
| | | | | | | Comcast Corp., Company Guaranteed Notes: | | | | | | | |
| | | 117,000 | | | | 3.000% due 2/1/24 | | | | | 113,830 | | |
| | | 235,000 | | | | 3.300% due 2/1/27 | | | | | 225,540 | | |
| | | 508,482 | | | | Continental Airlines Class A Pass-Through Trust, Series 2007-1, Pass-Thru Certificates, 5.983% due 4/19/22 | | | | | 537,882 | | |
| | | 477,873 | | | | Continental Airlines Class A-1 Pass-Through Trust, Series 2000-2, Pass-Thru Certificates, 7.707% due 4/2/21 | | | | | 507,453 | | |
| | | 119,336 | | | | Continental Airlines Class C-2 Pass-Through Trust, Series 1999-2, Pass-Thru Certificates, 6.236% due 3/15/20 | | | | | 121,723 | | |
| | | 3,990,000 | | | | Cott Holdings Inc., Company Guaranteed Notes, 5.500% due 4/1/25(b) | | | | | 3,907,606 | | |
| | | 35,000 | | | | Dairy Farmers of America Inc., Junior Subordinated Notes, 7.125%(b)(d) | | | | | 38,587 | | |
| | | 1,060,000 | | | | Discover Financial Services, Junior Subordinated Notes, 5.500% (3-Month USD-LIBOR + 3.076%)(a)(d) | | | | | 1,046,750 | | |
| | | 6,678,000 | | | | Dollar Tree Inc., Senior Unsecured Notes, 3.036% (3-Month USD-LIBOR + 0.700%) due 4/17/20(a) | | | | | 6,691,877 | | |
| | | 2,514,000 | | | | DXC Technology Co., Senior Unsecured Notes, 3.271% (3-Month USD-LIBOR + 0.950%) due 3/1/21(a) | | | | | 2,514,215 | | |
| | | 135,000 | | | | Farm Credit Bank of Texas, 6.200% (3-Month USD-LIBOR + 3.223%)(a)(b)(d) | | | | | 137,025 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 10,288,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 3.116% (3-Month USD-LIBOR + 0.790%) due 6/12/20(a) | | | | $ | 10,322,823 | | |
| | | 2,126,000 | | | | Fresh Market Inc., Senior Secured Notes, 9.750% due 5/1/23(b) | | | | | 1,456,310 | | |
| | | 3,477,000 | | | | FXI Holdings Inc., Senior Secured Notes, 7.875% due 11/1/24(b) | | | | | 3,350,959 | | |
| | | 3,480,000 | | | | General Electric Co., Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.330%)(a)(d) | | | | | 3,425,625 | | |
| | | 2,935,000 | | | | General Motors Financial Co., Inc., Junior Subordinated Notes, 5.750% (3-Month USD-LIBOR + 3.598%)(a)(d)(e) | | | | | 2,856,122 | | |
| | | | | | | Goldman Sachs Group Inc., Junior Subordinated Notes: | | | | | | | |
| | | 655,000 | | | | 5.300% (3-Month USD-LIBOR + 3.834%)(a)(d) | | | | | 655,327 | | |
| | | 2,601,000 | | | | 5.375% (3-Month USD-LIBOR + 3.922%)(a)(d) | | | | | 2,662,774 | | |
| | | 1,410,000 | | | | Hadrian Merger Sub Inc., Senior Unsecured Notes, 8.500% due 5/1/26(b) | | | | | 1,335,975 | | |
| | | 12,859,000 | | | | HC2 Holdings Inc., Senior Secured Notes, 11.000% due 12/1/19(b) | | | | | 12,987,590 | | |
| | | | | | | Hexion Inc., Senior Secured Notes: | | | | | | | |
| | | 1,409,000 | | | | 10.000% due 4/15/20 | | | | | 1,393,149 | | |
| | | 3,160,000 | | | | 10.375% due 2/1/22(b) | | | | | 3,109,535 | | |
| | | 3,756,000 | | | | INVISTA Finance LLC, Senior Secured Notes, 4.250% due 10/15/19(b) | | | | | 3,765,390 | | |
| | | 458,000 | | | | j2 Cloud Services LLC/j2 Global Co.-Obligor Inc., Company Guaranteed Notes, 6.000% due 7/15/25(b) | | | | | 471,167 | | |
| | | 1,137,000 | | | | Jones Energy Holdings LLC/Jones Energy Finance Corp., Company Guaranteed Notes, 9.250% due 3/15/23 | | | | | 710,625 | | |
| | | | | | | JPMorgan Chase & Co., Junior Subordinated Notes: | | | | | | | |
| | | 1,000,000 | | | | 5.300% (3-Month USD-LIBOR + 3.800%)(a)(d) | | | | | 1,021,250 | | |
| | | 500,000 | | | | 5.809% (3-Month USD-LIBOR + 3.470%)(a)(d) | | | | | 503,500 | | |
| | | 2,870,000 | | | | 6.750% (3-Month USD-LIBOR + 3.780%)(a)(d) | | | | | 3,159,009 | | |
| | | 1,485,000 | | | | KeyCorp, Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.606%)(a)(d) | | | | | 1,464,581 | | |
| | | 1,950,000 | | | | Land O’ Lakes Inc., Junior Subordinated Notes, 7.250%(b)(d) | | | | | 2,106,000 | | |
| | | 8,502,000 | | | | Lee Enterprises Inc., Senior Secured Notes, 9.500% due 3/15/22(b) | | | | | 8,836,044 | | |
| | | 1,125,000 | | | | M&T Bank Corp., Junior Subordinated Notes, 5.125% (3-Month USD-LIBOR + 3.520%)(a)(d) | | | | | 1,119,375 | | |
| | | 2,950,000 | | | | Macquarie Infrastructure Corp., Senior Unsecured Notes, 2.000% due 10/1/23 | | | | | 2,640,474 | | |
| | | 1,637,000 | | | | MAI Holdings Inc., Senior Secured Notes, 9.500% due 6/1/23 | | | | | 1,692,249 | | |
| | | 1,267,000 | | | | Matador Resources Co., Company Guaranteed Notes, 6.875% due 4/15/23 | | | | | 1,330,350 | | |
| | | 985,000 | | | | McClatchy Co., Senior Secured Notes, 9.000% due 7/15/26(b) | | | | | 1,009,625 | | |
| | | 679,000 | | | | McDermott Technology Americas Inc./McDermott Technology US Inc., Company Guaranteed Notes, 10.625% due 5/1/24(b) | | | | | 722,490 | | |
| | | | | | | MetLife Inc., Junior Subordinated Notes: | | | | | | | |
| | | 300,000 | | | | 5.250% (3-Month USD-LIBOR + 3.575%)(a)(d) | | | | | 306,000 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 1,800,000 | | | | 5.875% (3-Month USD-LIBOR + 2.959%)(a)(d) | | | | $ | 1,863,000 | | |
| | | 7,223,000 | | | | Michaels Stores Inc., Company Guaranteed Notes, 5.875% due 12/15/20(b) | | | | | 7,250,086 | | |
| | | 245,000 | | | | Moody’s Corp., Senior Unsecured Notes, 3.250% due 6/7/21 | | | | | 244,373 | | |
| | | 775,000 | | | | Morgan Stanley, Junior Subordinated Notes, 5.550% (3-Month USD-LIBOR + 3.810%)(a)(d) | | | | | 799,219 | | |
| | | 13,692,000 | | | | Mueller Industries Inc., Subordinated Notes, 6.000% due 3/1/27 | | | | | 13,418,160 | | |
| | | 404,000 | | | | Netflix Inc., Senior Unsecured Notes, 4.875% due 4/15/28(b) | | | | | 382,790 | | |
| | | 1,260,000 | | | | NiSource Inc., Junior Subordinated Notes, 5.650% (5-Year CMT Index + 2.843%)(a)(b)(d) | | | | | 1,275,750 | | |
| | | 1,630,000 | | | | PNC Financial Services Group Inc., Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.300%)(a)(d) | | | | | 1,630,000 | | |
| | | 1,000,000 | | | | Provident Financing Trust I, Limited Guaranteed Notes, 7.405% due 3/15/38 | | | | | 1,095,500 | | |
| | | | | | | Reliance Holding USA Inc., Company Guaranteed Notes: | | | | | | | |
| | | 3,495,000 | | | | 4.500% due 10/19/20 | | | | | 3,541,801 | | |
| | | 2,400,000 | | | | 5.400% due 2/14/22 | | | | | 2,496,983 | | |
| | | 2,369,000 | | | | Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp., Senior Secured Notes, 6.125% due 8/15/21(b) | | | | | 2,369,000 | | |
| | | 610,000 | | | | Salem Media Group Inc., Senior Secured Notes, 6.750% due 6/1/24(b) | | | | | 542,900 | | |
| | | 1,846,000 | | | | Sirius XM Radio Inc., Company Guaranteed Notes, 5.000% due 8/1/27(b) | | | | | 1,783,679 | | |
| | | 1,402,000 | | | | SiTV LLC/SiTV Finance Inc., Senior Secured Notes, 10.375% due 7/1/19(b) | | | | | 813,160 | | |
| | | 5,369,000 | | | | Sprint Corp., Company Guaranteed Notes, 7.250% due 9/15/21 | | | | | 5,629,074 | | |
| | | 1,500,000 | | | | State Street Corp., Junior Subordinated Notes, 5.250% (3-Month USD-LIBOR + 3.597%)(a)(d) | | | | | 1,546,500 | | |
| | | 1,360,000 | | | | SunTrust Banks Inc., Junior Subordinated Notes, 5.050% (3-Month USD-LIBOR + 3.102%)(a)(d) | | | | | 1,343,000 | | |
| | | | | | | Tapestry Inc., Senior Unsecured Notes: | | | | | | | |
| | | 462,000 | | | | 3.000% due 7/15/22 | | | | | 447,559 | | |
| | | 4,224,000 | | | | 4.250% due 4/1/25 | | | | | 4,185,790 | | |
| | | 462,000 | | | | 4.125% due 7/15/27 | | | | | 442,396 | | |
| | | 1,699,000 | | | | TEGNA Inc., Company Guaranteed Notes, 5.125% due 10/15/19 | | | | | 1,699,000 | | |
| | | 1,566,364 | | | | Toll Road Investors Partnership II LP, Senior Secured Notes, zero coupon, due 2/15/45(b) | | | | | 385,338 | | |
| | | | | | | Trimble Inc., Senior Unsecured Notes: | | | | | | | |
| | | 2,930,000 | | | | 4.150% due 6/15/23 | | | | | 2,940,884 | | |
| | | 1,465,000 | | | | 4.750% due 12/1/24 | | | | | 1,495,458 | | |
| | | 945,000 | | | | Triumph Group Inc., Company Guaranteed Notes, 7.750% due 8/15/25(b) | | | | | 917,831 | | |
| | | 1,045,000 | | | | US Bancorp, Junior Subordinated Notes, 5.125% (3-Month USD-LIBOR + 3.486%)(a)(d) | | | | | 1,075,044 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 977,000 | | | | Verizon Communications Inc., Senior Unsecured Notes, 3.414% (3-Month USD-LIBOR + 1.100%) due 5/15/25(a) | | | | $ | 987,522 | | |
| | | 607,000 | | | | Viacom Inc., Senior Unsecured Notes, 4.375% due 3/15/43 | | | | | 522,604 | | |
| | | 6,055,000 | | | | Vistra Energy Corp., Company Guaranteed Notes, 7.375% due 11/1/22 | | | | | 6,304,769 | | |
| | | 1,240,000 | | | | Voya Financial Inc., Company Guaranteed Notes, 5.650% (3-Month USD-LIBOR + 3.580%) due 5/15/53(a) | | | | | 1,240,000 | | |
| | | 635,000 | | | | Wachovia Capital Trust III, Limited Guaranteed Notes, 5.570% (3-Month USD-LIBOR + 0.930%)(a)(d) | | | | | 632,619 | | |
| | | 231,000 | | | | Walt Disney Co., Senior Unsecured Notes, 2.950% due 6/15/27(e) | | | | | 220,902 | | |
| | | 3,801,000 | | | | Welbilt Inc., Company Guaranteed Notes, 9.500% due 2/15/24 | | | | | 4,162,095 | | |
| | | | | | | Wells Fargo & Co., Junior Subordinated Notes: | | | | | | | |
| | | 2,560,000 | | | | 5.875% (3-Month USD-LIBOR + 3.990%)(a)(d) | | | | | 2,697,600 | | |
| | | 1,250,000 | | | | 6.111% (3-Month USD-LIBOR + 3.770%)(a)(d) | | | | | 1,266,125 | | |
| | | 4,208,000 | | | | Xerium Technologies Inc., Senior Secured Notes, 9.500% due 8/15/21(b) | | | | | 4,423,660 | | |
| | | | | | | Total United States | | | | | 225,563,499 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $500,086,539) | | | | | 492,480,408 | | |
| SENIOR LOANS(a) – 7.8% | | ||||||||||||
| | | 1,425,000 | | | | Appvion Operations Inc., 8.070% (3-Month USD-LIBOR + 6.000%) due 6/12/26 | | | | | 1,410,750 | | |
| | | 2,360,298 | | | | Autoparts Holdings (No. 1) Ltd., 8.826% (1-Month USD-LIBOR + 6.750%) due 12/23/21 | | | | | 2,378,000 | | |
| | | 4,662,000 | | | | BI-LO LLC, 10.326% (3-Month USD-LIBOR + 8.000%) due 5/31/24 | | | | | 4,551,277 | | |
| | | 6,914,863 | | | | Crestwood Holdings LLC, 9.570% (1-Month USD-LIBOR + 7.500%) due 3/6/23 | | | | | 6,903,315 | | |
| | | | | | | Dell International LLC: | | | | | | | |
| | | 4,593,843 | | | | 3.830% (1-Month USD-LIBOR + 1.750%) due 9/7/21 | | | | | 4,590,031 | | |
| | | 4,802,104 | | | | 4.080% (1-Month USD-LIBOR + 2.000%) due 9/7/23 | | | | | 4,800,087 | | |
| | | 4,627,907 | | | | Eastman Kodak Co., 8.592% (3-Month USD-LIBOR + 6.250%) due 9/3/19 | | | | | 4,514,153 | | |
| | | 2,803,047 | | | | Envigo Laboratories Inc., 10.840% (3-Month USD-LIBOR + 8.500%) due 11/3/21 | | | | | 2,806,551 | | |
| | | 5,425,648 | | | | Internap Corp., 7.820% (1-Month USD-LIBOR + 5.750%) due 4/6/22 | | | | | 5,445,994 | | |
| | | | | | | Lee Enterprises Inc.: | | | | | | | |
| | | 39,666 | | | | 8.326% (1-Month USD-LIBOR + 6.250%) due 3/31/19 | | | | | 39,617 | | |
| | | 1,964,192 | | | | 12.000% (FIXED) due 12/15/22 | | | | | 2,003,476 | | |
| | | 3,058,617 | | | | LSC Communications Inc., 7.576% (1-Month USD-LIBOR + 5.500%) due 9/30/22 | | | | | 3,058,617 | | |
| | | 3,716,445 | | | | McDermott International Inc., 7.076% (1-Month USD-LIBOR + 5.000%) due 5/12/25 | | | | | 3,753,015 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 1,374,822 | | | | Monitronics International Inc., due 9/30/22(f) | | | | $ | 1,308,226 | | |
| | | 1,079,000 | | | | PMHC II Inc., 10.513% (3-Month USD-LIBOR + 7.750%) due 3/30/26 | | | | | 1,014,260 | | |
| | | 2,450,000 | | | | Production Resource Group LLC, 9.320% (3-Month USD-LIBOR + 7.000%) due 8/21/24(g) | | | | | 2,401,000 | | |
| | | 1,176,821 | | | | Real Alloy Holding Inc., 2.307% due 5/31/23(g) | | | | | 1,176,821 | | |
| | | 760,438 | | | | Tacala Investment Corp., 5.326% (1-Month USD-LIBOR + 3.250%) due 1/31/25 | | | | | 762,179 | | |
| | | | | | | YI LLC: | | | | | | | |
| | | 519,278 | | | | 3.566% (3-Month USD-LIBOR + 4.000%) due 11/7/24 | | | | | 517,980 | | |
| | | 4,300,541 | | | | 6.334% (3-Month USD-LIBOR + 4.000%) due 11/7/24 | | | | | 4,289,790 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $57,626,181) | | | | | 57,725,139 | | |
| SOVEREIGN BONDS – 6.2% | | ||||||||||||
| Chile – 1.2% | | ||||||||||||
| | | | | | | Chile Government International Bond: | | | | | | | |
| | | 500,000 | | | | 3.250% due 9/14/21 | | | | | 499,725 | | |
| | | 8,825,000 | | | | 2.250% due 10/30/22 | | | | | 8,433,170 | | |
| | | | | | | Total Chile | | | | | 8,932,895 | | |
| Costa Rica – 0.2% | | ||||||||||||
| | | 1,150,000 | | | | Costa Rica Government International Bond, 9.995% due 8/1/20 | | | | | 1,262,125 | | |
| Dominican Republic – 0.7% | | ||||||||||||
| | | 4,830,000 | | | | Dominican Republic International Bond, 7.500% due 5/6/21 | | | | | 5,083,575 | | |
| India – 0.4% | | ||||||||||||
| | | | | | | Export-Import Bank of India: | | | | | | | |
| | | 200,000 | | | | 2.750% due 4/1/20 | | | | | 197,065 | | |
| | | 3,200,000 | | | | 3.125% due 7/20/21 | | | | | 3,129,306 | | |
| | | | | | | Total India | | | | | 3,326,371 | | |
| Indonesia – 1.0% | | ||||||||||||
| | | | | | | Indonesia Government International Bond: | | | | | | | |
| | | 4,495,000 | | | | 4.875% due 5/5/21 | | | | | 4,644,751 | | |
| | | 2,795,000 | | | | 3.700% due 1/8/22 | | | | | 2,786,528 | | |
| | | | | | | Total Indonesia | | | | | 7,431,279 | | |
| Israel – 0.7% | | ||||||||||||
| | | 4,800,000 | | | | Israel Government International Bond, 4.000% due 6/30/22 | | | | | 4,911,120 | | |
| Mexico – 0.3% | | ||||||||||||
| | | 2,530,000 | | | | Mexico Government International Bond, 3.625% due 3/15/22 | | | | | 2,533,542 | | |
| Peru – 0.3% | | ||||||||||||
| | | 2,150,000 | | | | Fondo MIVIVIENDA SA, 3.500% due 1/31/23 | | | | | 2,089,800 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Philippines – 1.1% | | ||||||||||||
| | $ | 7,860,000 | | | | Philippine Government International Bond, 4.000% due 1/15/21 | | | | $ | 7,975,597 | | |
| Poland – 0.3% | | ||||||||||||
| | | 2,000,000 | | | | Republic of Poland Government International Bond, 5.125% due 4/21/21 | | | | | 2,095,800 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $46,736,547) | | | | | 45,642,104 | | |
| Shares/Units | | | | | | | | ||||||
| PREFERRED STOCKS – 1.9% | | ||||||||||||
| Bermuda – 0.4% | | ||||||||||||
| | | 30,926 | | | | Aspen Insurance Holdings Ltd., 5.625%(d)(e) | | | | | 775,006 | | |
| | | 31,722 | | | | Axis Capital Holdings Ltd., 5.500%(d) | | | | | 792,733 | | |
| | | 42,868 | | | | Enstar Group Ltd., 7.000% (3-Month USD-LIBOR + 4.015%)(a)(d) | | | | | 1,119,283 | | |
| | | | | | | Total Bermuda | | | | | 2,687,022 | | |
| United States – 1.5% | | ||||||||||||
| | | 1,000 | | | | Dairy Farmers of America Inc., 7.875%(b)(d) | | | | | 114,036 | | |
| | | 50,000 | | | | Delphi Financial Group Inc., 5.504% (3-Month USD-LIBOR + 3.190%)(a) | | | | | 1,125,000 | | |
| | | 19,210 | | | | Farm Credit Bank of Texas, 6.750% (3-Month USD-LIBOR + 4.010%)(a)(b)(d) | | | | | 2,055,470 | | |
| | | 25,550 | | | | GMAC Capital Trust I, 8.099% (3-Month USD-LIBOR + 5.785%)(a) | | | | | 684,740 | | |
| | | 54,847 | | | | Huntington Bancshares Inc., 6.250%(d) | | | | | 1,446,315 | | |
| | | 4,240 | | | | KeyCorp, 6.125% (3-Month USD-LIBOR + 3.892%)(a)(d) | | | | | 117,363 | | |
| | | | | | | Morgan Stanley: | | | | | | | |
| | | 95,960 | | | | 5.850% (3-Month USD-LIBOR + 3.491%)(a)(d) | | | | | 2,495,920 | | |
| | | 10,600 | | | | 6.375% (3-Month USD-LIBOR + 3.708%)(a)(d) | | | | | 288,320 | | |
| | | 4,400 | | | | 6.875%(3-Month USD-LIBOR + 3.940%)(a)(d) | | | | | 123,376 | | |
| | | 20,000 | | | | New York Community Bancorp Inc., 6.375% (3-Month USD-LIBOR + 3.821%)(a)(d) | | | | | 557,800 | | |
| | | 45,000 | | | | NuStar Energy LP, 7.625% (3-Month USD-LIBOR + 5.643%)(a)(d) | | | | | 1,047,600 | | |
| | | 35,972 | | | | Regions Financial Corp., 6.375% (3-Month USD-LIBOR + 3.536%)(a)(d) | | | | | 977,719 | | |
| | | | | | | Total United States | | | | | 11,033,659 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $13,859,474) | | | | | 13,720,681 | | |
| COMMON STOCKS – 0.9% | | ||||||||||||
| Colombia – 0.0% | | ||||||||||||
| | | 21,182 | | | | Frontera Energy Corp.* | | | | | 301,208 | | |
| United States – 0.9% | | ||||||||||||
| | | 101,912 | | | | Appvion Inc.*(g)(h) | | | | | 1,985,246 | | |
| | | 219,500 | | | | Forum Merger II Corp.* | | | | | 2,188,415 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | | 52 | | | | Real Alloy Holding Inc.*(g)(h) | | | | $ | 2,063,089 | | |
| | | | | | | Total United States | | | | | 6,236,750 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $7,251,179) | | | | | 6,537,958 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $625,559,920) | | | | | 616,106,290 | | |
| Face Amount† | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 15.6% | | ||||||||||||
| COMMERCIAL PAPERS – 13.2% | | ||||||||||||
| | $ | 4,767,000 | | | | Arrow Electronics Inc., 2.605% due 9/26/18(i) | | | | | 4,758,231 | | |
| | | 5,953,000 | | | | AT&T Inc., 3.091% due 5/28/19(i) | | | | | 5,827,094 | | |
| | | 10,129,000 | | | | Campbell Soup Co., 2.327% due 9/6/18(i) | | | | | 10,125,328 | | |
| | | 8,631,000 | | | | Constellation Brands Inc., 2.303% due 9/13/18(i) | | | | | 8,623,199 | | |
| | | 6,988,000 | | | | EI du Pont de Nemours & Co., 2.359% due 9/10/18(i) | | | | | 6,983,740 | | |
| | | 7,137,000 | | | | Keurig Dr Pepper Inc., 2.388% due 9/18/18(i) | | | | | 7,129,049 | | |
| | | 7,274,000 | | | | Kraft Heinz Co., 2.471% due 10/23/18(i) | | | | | 7,248,706 | | |
| | | 11,407,000 | | | | Marriott International Inc., 2.337% due 9/17/18(i) | | | | | 11,394,918 | | |
| | | 6,358,000 | | | | McKesson Corp., 2.244% due 9/21/18(i) | | | | | 6,349,655 | | |
| | | 9,084,000 | | | | Nutrien Ltd., 2.410% due 10/24/18(i) | | | | | 9,048,327 | | |
| | | 4,557,000 | | | | Telus Corp., 2.359% due 9/25/18(i) | | | | | 4,549,839 | | |
| | | 9,535,000 | | | | Thomson Reuters Corp., 2.355% due 10/2/18(i) | | | | | 9,515,786 | | |
| | | 5,450,000 | | | | Walgreens Boots Alliance Inc., 2.410% due 10/22/18(i) | | | | | 5,431,437 | | |
| | | | | | | TOTAL COMMERCIAL PAPERS (Cost – $96,983,306) | | | | | 96,985,309 | | |
| TIME DEPOSITS – 2.4% | | ||||||||||||
| | | 3,132,575 | | | | Barclays Bank PLC – London, 1.280% due 9/4/18 | | | | | 3,132,575 | | |
| | | 49,313CAD | | | | Brown Brothers Harriman – Grand Cayman, 0.590% due 9/4/18 | | | | | 37,790 | | |
| | | 14,448,744 | | | | Deutsche Bank AG – Grand Cayman, 1.280% due 9/4/18 | | | | | 14,448,744 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $17,619,109) | | | | | 17,619,109 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $114,602,415) | | | | | 114,604,418 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.4% | | ||||||||||||
| MONEY MARKET FUND – 0.4% | | ||||||||||||
| | $ | 3,333,215 | | | | Federated Government Obligations Fund, Premier Class, 1.845%(j) (Cost – $3,333,215) | | | | $ | 3,333,215 | | |
| | | | | | | TOTAL INVESTMENTS – 99.7% (Cost – $743,495,550#) | | | | | 734,043,923 | | |
| | | | | | | Other Assets in Excess of Liabilities – 0.3% | | | | | 2,021,726 | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 736,065,648 | | |
|
| Corporate Bonds & Notes | | | | | 67.1% | | |
| Senior Loans | | | | | 7.9 | | |
| Sovereign Bonds | | | | | 6.2 | | |
| Preferred Stocks | | | | | 1.9 | | |
| Common Stocks | | | | | 0.9 | | |
| Short-Term Investments | | | | | 15.6 | | |
| Money Market Fund | | | | | 0.4 | | |
| | | | | | 100.0% | | |
|
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Net Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swedish Krona | | | | | 3,035,850 | | | | | | BBH | | | | | $ | 332,179 | | | | | | 9/13/18 | | | | | $ | 1,134 | | | | | $ | — | | | | | $ | 1,134 | | |
Swedish Krona | | | | | 1,010,000 | | | | | | BBH | | | | | | 110,513 | | | | | | 9/13/18 | | | | | | — | | | | | | (678) | | | | | | (678) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,134 | | | | | $ | (678) | | | | | $ | 456 | | |
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | | | 2,415,000 | | | | | | BBH | | | | | $ | 2,805,028 | | | | | | 9/13/18 | | | | | $ | 4,945 | | | | | $ | — | | | | | $ | 4,945 | | |
Norwegian Krone | | | | | 11,160,000 | | | | | | BBH | | | | | | 1,331,338 | | | | | | 9/13/18 | | | | | | 28,063 | | | | | | — | | | | | | 28,063 | | |
Swedish Krona | | | | | 5,065,000 | | | | | | BBH | | | | | | 554,206 | | | | | | 9/13/18 | | | | | | 12,793 | | | | | | — | | | | | | 12,793 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 45,801 | | | | | $ | — | | | | | $ | 45,801 | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | $ | 46,935 | | | | | $ | (678) | | | | | $ | 46,257 | | | ||||||||||||||||||||||||
|
| Currency Abbreviations used in this schedule: | | | Counterparty Abbreviations used in this schedule: | |
| CAD — Canadian Dollar | | | BBH — Brown Brothers Harriman & Co. | |
| EUR — Euro | | | ||
| NOK — Norwegian Krone | | | ||
| SEK — Swedish Krona | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 78.0% | | |||||||||||||||
| Alabama – 1.4% | | |||||||||||||||
| | $ | 2,750,000 | | | | AA | | | Alabama Public School & College Authority, Revenue Bonds, Refunding Capital Improvement, Series B, 5.000% due 1/1/25 | | | | $ | 3,150,730 | | |
| | | 2,000,000 | | | | AA- | | | Auburn University, Revenue Bonds, General Fee Revenue, Series A, 5.000% due 6/1/35 | | | | | 2,337,400 | | |
| | | 355,000 | | | | AA- | | | County of Jefferson AL, GO, Refunding Wts, Series B, 5.000% due 4/1/21 | | | | | 380,230 | | |
| | | 220,000 | | | | A- | | | Industrial Development Board of the City of Mobile Alabama, Revenue Bonds, Alabama Power Company Barry Rmkt, 1.850% due 6/1/34(a) | | | | | 217,503 | | |
| | | | | | | | | | Mobile County Board of School Commissioners, Refunding Wts 4 and 12 Mill Taxes B: | | | | | | | |
| | | 175,000 | | | | A- | | | 5.000% due 3/1/29 | | | | | 195,704 | | |
| | | 180,000 | | | | A- | | | 5.000% due 3/1/30 | | | | | 200,536 | | |
| | | 185,000 | | | | A- | | | 5.000% due 3/1/31 | | | | | 204,682 | | |
| | | 145,000 | | | | A- | | | 5.000% due 3/1/32 | | | | | 159,620 | | |
| | | 215,000 | | | | A- | | | 5.000% due 3/1/33 | | | | | 235,935 | | |
| | | | | | | | | | Montgomery Medical Clinic Board, Revenue Bonds, Jackson Hospital and Clinic: | | | | | | | |
| | | 60,000 | | | | BBB | | | 5.000% due 3/1/26 | | | | | 66,887 | | |
| | | 115,000 | | | | BBB | | | 5.000% due 3/1/27 | | | | | 126,516 | | |
| | | 125,000 | | | | BBB | | | 5.000% due 3/1/28 | | | | | 136,999 | | |
| | | 105,000 | | | | BBB | | | 5.000% due 3/1/29 | | | | | 114,574 | | |
| | | 125,000 | | | | BBB | | | 5.000% due 3/1/30 | | | | | 135,629 | | |
| | | 3,500,000 | | | | A3(b) | | | Southeast Alabama Gas Supply District, Revenue Bonds, Project Number 2, Series A, 4.000% due 6/1/49(a) | | | | | 3,717,210 | | |
| | | | | | | | | | Total Alabama | | | | | 11,380,155 | | |
| Alaska – 0.2% | | |||||||||||||||
| | | 1,000,000 | | | | AA+ | | | Alaska Housing Finance Corp., Revenue Bonds, Refunding, Series A, 5.000% due 6/1/30 | | | | | 1,154,360 | | |
| | | | | | | | | | Borough of North Slope AK, GO: | | | | | | | |
| | | 15,000 | | | | AA | | | Series A, 5.000% due 6/30/19 | | | | | 15,403 | | |
| | | 50,000 | | | | AA | | | Series A, Prerefunded 6/30/20 @ 100, 5.000% due 6/30/21(c) | | | | | 52,850 | | |
| | | 215,000 | | | | AA | | | State of Alaska, GO, Series A, 5.000% due 8/1/33 | | | | | 243,928 | | |
| | | 225,000 | | | | A1(b) | | | State of Alaska International Airports System, Revenue Bonds, Refunding, Series B, 5.000% due 10/1/33 | | | | | 254,552 | | |
| | | | | | | | | | Total Alaska | | | | | 1,721,093 | | |
| Arizona – 1.8% | | |||||||||||||||
| | | 5,000,000 | | | | AAA | | | Arizona Department of Transportation State Highway Fund Revenue, Revenue Bonds, Refunding, 5.000% due 7/1/27 | | | | | 5,902,400 | | |
| | | 435,000 | | | | AA- | | | Arizona School Facilities Board, COP, Prerefunded 9/1/18 @ 100, 5.750% due 9/1/22(c) | | | | | 435,000 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Arizona – (continued) | | |||||||||||||||
| | $ | 65,000 | | | | AA | | | City of Glendale AZ, GO, Refunding, AGM, 4.000% due 7/1/21 | | | | $ | 68,622 | | |
| | | | | | | | | | City of Glendale AZ, Revenue Bonds: | | | |||||
| | | 230,000 | | | | AA+ | | | Refunding, Series A, 5.000% due 7/1/27 | | | | | 264,141 | | |
| | | 215,000 | | | | AA+ | | | Refunding, Series A, 5.000% due 7/1/28 | | | | | 246,192 | | |
| | | 235,000 | | | | AA+ | | | Refunding, Series A, 5.000% due 7/1/29 | | | | | 268,149 | | |
| | | 105,000 | | | | AA | | | Refunding Subordinated Obligs, 5.000% due 7/1/23 | | | | | 118,173 | | |
| | | 95,000 | | | | AA | | | Refunding Subordinated Obligs, 5.000% due 7/1/25 | | | | | 110,132 | | |
| | | 45,000 | | | | AA | | | Refunding Subordinated Obligs, 5.000% due 7/1/28 | | | | | 52,921 | | |
| | | 85,000 | | | | AA | | | Refunding Subordinated Obligs, 5.000% due 7/1/32 | | | | | 98,230 | | |
| | | | | | | | | | City of Glendale AZ Transportation Excise Tax Revenue, Revenue Bonds, Refunding, AGM: | | | | | | | |
| | | 55,000 | | | | AA | | | 5.000% due 7/1/24 | | | | | 63,468 | | |
| | | 60,000 | | | | AA | | | 5.000% due 7/1/25 | | | | | 69,884 | | |
| | | 105,000 | | | | AA | | | 5.000% due 7/1/26 | | | | | 121,012 | | |
| | | | | | | | | | City of Phoenix Civic Improvement Corp., Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AAA | | | Refunding Senior Lien, Series C, 5.000% due 7/1/21 | | | | | 32,595 | | |
| | | 65,000 | | | | AA- | | | Senior, Series A, 5.000% due 7/1/27(d) | | | | | 75,446 | | |
| | | 90,000 | | | | AA- | | | Senior, Series A, 5.000% due 7/1/28(d) | | | | | 104,463 | | |
| | | 30,000 | | | | AAA | | | Senior Lien, Series A, 5.000% due 7/1/20 | | | | | 31,763 | | |
| | | 1,000,000 | | | | AAA | | | City of Scottsdale AZ, GO, 2004 Preserve Acquisition, 5.000% due 7/1/23 | | | | | 1,139,200 | | |
| | | | | | | | | | County of Pima AZ Sewer System Revenue, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | AA | | | System, Series A, 5.000% due 7/1/22 | | | | | 16,636 | | |
| | | 30,000 | | | | AA | | | System, Series A, 5.000% due 7/1/23 | | | | | 33,213 | | |
| | | 60,000 | | | | AA | | | Series B, 5.000% due 7/1/20 | | | | | 63,503 | | |
| | | 60,000 | | | | AA | | | Series B, Prerefunded 7/1/21 @ 100, 5.000% due 7/1/25(c) | | | | | 65,120 | | |
| | | 2,100,000 | | | | BBB+ | | | Industrial Development Authority of the City of Phoenix, Revenue Bonds, Various Refunding Republic Services Inc. Project, 1.850% due 12/1/35(a)(d) | | | | | 2,099,475 | | |
| | | 820,000 | | | | AAA | | | Maricopa County Community College District, GO, Project 2004, Series D, 4.250% due 7/1/25(c) | | | | | 873,152 | | |
| | | | | | | | | | Maricopa County Industrial Development Authority, Revenue Bonds: | | | | | | | |
| | | 190,000 | | | | AA- | | | Banner Health, Series A, 4.000% due 1/1/24 | | | | | 206,486 | | |
| | | 70,000 | | | | AA- | | | Banner Health, Series A, 5.000% due 1/1/22 | | | | | 76,598 | | |
| | | 145,000 | | | | AA- | | | Banner Health, Series A, 5.000% due 1/1/23 | | | | | 162,029 | | |
| | | 60,000 | | | | AA- | | | Banner Health, Series A, 5.000% due 1/1/24 | | | | | 68,198 | | |
| | | 225,000 | | | | AA- | | | Banner Health, Series A, 5.000% due 1/1/25 | | | | | 259,119 | | |
| | | 430,000 | | | | AA- | | | Banner Health, Series B, 5.000% due 1/1/48(a) | | | | | 476,982 | | |
| | | 290,000 | | | | AA- | | | Banner Health, Series C, 5.000% due 1/1/48(a) | | | | | 331,250 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Arizona – (continued) | | |||||||||||||||
| | $ | 145,000 | | | | NR | | | Christian Care Surprise Incorporate, 6.000% due 1/1/48(e)(f) | | | | $ | 147,838 | | |
| | | 50,000 | | | | AA- | | | McAllister Academic Village LLC, Revenue Bonds, Arizona Refunding Arizota St University Hassayampa, 5.000% due 7/1/21 | | | | | 54,166 | | |
| | | 145,000 | | | | AA | | | Salt River Project Agricultural Improvement & Power District, Revenue Bonds, Salt River Project, Series A, 5.000% due 1/1/33 | | | | | 171,139 | | |
| | | | | | | | | | State of Arizona, COP, Department Administration, AGM: | | | | | | | |
| | | 70,000 | | | | AA | | | Series A, 5.000% due 10/1/18 | | | | | 70,172 | | |
| | | 195,000 | | | | AA | | | Series A, 5.250% due 10/1/20 | | | | | 202,088 | | |
| | | | | | | | | | Tempe Industrial Development Authority, Revenue Bonds, Mirabella At ASU Project: | | | | | | | |
| | | 5,000 | | | | NR | | | Series A, 6.000% due 10/1/37(e)(f) | | | | | 5,499 | | |
| | | 15,000 | | | | NR | | | Series A, 6.125% due 10/1/47(e)(f) | | | | | 16,575 | | |
| | | 15,000 | | | | NR | | | Series A, 6.125% due 10/1/52(e)(f) | | | | | 16,505 | | |
| | | 225,000 | | | | NR | | | Series B, 4.000% due 10/1/23(e)(f) | | | | | 226,375 | | |
| | | | | | | | | | Total Arizona | | | | | 14,843,909 | | |
| Arkansas – 0.0% | | |||||||||||||||
| | | 90,000 | | | | Aa2(b) | | | Little Rock School District, GO, Construction, 3.000% due 2/1/22 | | | | | 92,259 | | |
| California – 1.8% | | |||||||||||||||
| | | 50,000 | | | | AA | | | Abag Finance Authority for Nonprofit Corps, Revenue Bonds, Sharp Healthcare, Prerefunded 8/1/19 @ 100, 6.250% due 8/1/39(c) | | | | | 52,173 | | |
| | | 60,000 | | | | A- | | | Alameda Corridor Transportation Authority, Revenue Bonds, Refunding Senior Lien, Series A, 5.000% due 10/1/23 | | | | | 68,859 | | |
| | | | | | | | | | Bay Area Toll Authority, Revenue Bonds, Sanitary Francisco Bay Area: | | | | | | | |
| | | 255,000 | | | | AA | | | Series A, 2.950% due 4/1/47(a) | | | | | 264,407 | | |
| | | 210,000 | | | | AA | | | Series B, 2.850% due 4/1/47(a) | | | | | 217,113 | | |
| | | 195,000 | | | | AA | | | Series C, 2.100% due 4/1/45(a) | | | | | 195,809 | | |
| | | | | | | | | | California Health Facilities Financing Authority, Revenue Bonds: | | | | | | | |
| | | 3,500,000 | | | | AA- | | | Sutter Health, Series C, 1.000% due 8/15/53(a) | | | | | 3,471,930 | | |
| | | 85,000 | | | | AA- | | | Sutter Health, Series D, 5.000% due 8/15/35 | | | | | 91,648 | | |
| | | 115,000 | | | | AA- | | | St Joseph Health System, Series A, 5.000% due 7/1/25 | | | | | 130,725 | | |
| | | | | | | | | | California Municipal Finance Authority, Revenue Bonds, Senior Lien Linxs Apm Project: | | | | | | | |
| | | 55,000 | | | | BBB+(g) | | | 5.000% due 6/30/28(d) | | | | | 63,989 | | |
| | | 45,000 | | | | BBB+(g) | | | 5.000% due 12/31/28(d) | | | | | 52,230 | | |
| | | 60,000 | | | | BBB+(g) | | | 5.000% due 6/30/29(d) | | | | | 69,365 | | |
| | | 30,000 | | | | BBB+(g) | | | 5.000% due 12/31/29(d) | | | | | 34,600 | | |
| | | 90,000 | | | | BBB+(g) | | | 5.000% due 6/30/31(d) | | | | | 103,146 | | |
| | | 85,000 | | | | BBB+(g) | | | 5.000% due 12/31/31(d) | | | | | 97,262 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | |||||||||||||||
| | $ | 1,300,000 | | | | BBB+ | | | California Pollution Control Financing Authority, Revenue Bonds, Various Refunding AMT Republic Services A, 1.850% due 8/1/23(a)(d)(f) | | | | $ | 1,299,675 | | |
| | | | | | | | | | California State Public Works Board, Revenue Bonds: | | | | | | | |
| | | 125,000 | | | | A+ | | | California St University Projects, Series B, Prerefunded 10/1/21 @ 100, 5.250% due 10/1/24(c) | | | | | 138,544 | | |
| | | 95,000 | | | | A+ | | | Judicial Council Pjs, Series D, 5.000% due 12/1/20 | | | | | 102,139 | | |
| | | 70,000 | | | | A+ | | | Judicial Council Pjs, Series D, 5.000% due 12/1/21 | | | | | 77,271 | | |
| | | 200,000 | | | | A+ | | | Various Capital Projects, Series A, 5.000% due 4/1/21 | | | | | 216,908 | | |
| | | 60,000 | | | | A+ | | | Various Capital Projects, Series A, 5.000% due 4/1/22 | | | | | 66,745 | | |
| | | 145,000 | | | | A+ | | | Various Capital Projects, Series A, 5.000% due 4/1/23 | | | | | 160,982 | | |
| | | 115,000 | | | | A+ | | | Various Capital Projects Series A, 5.250% due 10/1/24 | | | | | 127,242 | | |
| | | 115,000 | | | | A+ | | | Various Capital Projects Series A, 5.250% due 10/1/25 | | | | | 127,096 | | |
| | | 30,000 | | | | A+ | | | Various Capital Projects, Series G, 5.000% due 11/1/23 | | | | | 33,826 | | |
| | | 30,000 | | | | A+ | | | Various Capital Projects, Series G, 5.000% due 11/1/24 | | | | | 33,801 | | |
| | | 120,000 | | | | A+ | | | Various Capital Projects Subordinated, Series A1, Prerefunded 3/1/20 @ 100, 5.750% due 3/1/30(c) | | | | | 127,609 | | |
| | | 15,000 | | | | AA | | | Central Valley Financing Authority, Revenue Bonds, Refunding Carson Ice General Project, 5.250% due 7/1/20 | | | | | 16,027 | | |
| | | 50,000 | | | | AA+ | | | City of Los Angeles CA Wastewater System Revenue, Revenue Bonds, Unrefunded Balance Refunding, Series A, Prerefunded 6/1/19 @ 100, 5.750% due 6/1/34(c) | | | | | 51,611 | | |
| | | 45,000 | | | | Aa2(b) | | | City of Oakland CA, GO, Series B, Prerefunded 1/15/19 @ 100, 6.000% due 1/15/34(c) | | | | | 45,752 | | |
| | | | | | | | | | County of San Bernardino CA, COP, Refunding Arrowhead Project: | | | | | | | |
| | | 245,000 | | | | AA- | | | Series A, 5.000% due 8/1/19 | | | | | 252,524 | | |
| | | 65,000 | | | | AA- | | | Series A, 5.250% due 8/1/26 | | | | | 67,028 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.500% due 8/1/20 | | | | | 62,061 | | |
| | | | | | | | | | Golden State Tobacco Securitization Corp., Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | A+ | | | Capital Appreciation Asset Bkd, Series A, AMBAC, zero coupon, due 6/1/24 | | | | | 152,089 | | |
| | | 145,000 | | | | A+ | | | Enhanced Asset Bkd, Series A, 5.000% due 6/1/29 | | | | | 161,167 | | |
| | | 115,000 | | | | BBB+ | | | Securitization Asset Bkd, Series A1, 5.000% due 6/1/25 | | | | | 130,812 | | |
| | | 30,000 | | | | BBB+ | | | Securitization Asset Bkd, Series A1, 5.000% due 6/1/26 | | | | | 34,383 | | |
| | | | | | | | | | Los Angeles Community College District, GO, 2008 Election: | | | | | | | |
| | | 115,000 | | | | AA+ | | | Series A, Prerefunded 8/1/19 @ 100, 6.000% due 8/1/33(c) | | | | | 119,741 | | |
| | | 105,000 | | | | AA+ | | | Series C, Prerefunded 8/1/20 @ 100, 5.250% due 8/1/39(c) | | | | | 112,368 | | |
| | | 290,000 | | | | AA | | | Los Angeles Department of Water & Power, Power System Revenue, Revenue Bonds, Refunding, Series A, 5.000% due 7/1/29 | | | | | 336,745 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | |||||||||||||||
| | $ | 1,500,000 | | | | Aa2(b) | | | Los Angeles Unified School District, GO, Refunding, Series A, 5.000% due 7/1/27 | | | | $ | 1,841,835 | | |
| | | | | | | | | | Modesto Irrigation District, Revenue Bonds, Refunding: | | | | | | | |
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 7/1/22 | | | | | 32,646 | | |
| | | 110,000 | | | | A+ | | | Series A, 5.000% due 7/1/23 | | | | | 119,578 | | |
| | | | | | | | | | Northern California Power Agency, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A+ | | | Series A, 5.000% due 7/1/19 | | | | | 36,026 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 7/1/20 | | | | | 61,743 | | |
| | | 45,000 | | | | A+ | | | Series A, 5.000% due 7/1/21 | | | | | 46,244 | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 7/1/22 | | | | | 66,775 | | |
| | | 170,000 | | | | Aa3(b) | | | Oakland Alameda County Coliseum Authority, Revenue Bonds, Refunding, Series A, 5.000% due 2/1/23 | | | | | 187,534 | | |
| | | | | | | | | | Oakland Unified School District, GO: | | | | | | | |
| | | 55,000 | | | | AA- | | | Election of 2012, Prerefunded 8/1/21 @ 100, 6.250% due 8/1/28(c) | | | | | 62,215 | | |
| | | 100,000 | | | | AA | | | Refunding, AGM, 5.000% due 8/1/26 | | | | | 118,197 | | |
| | | 30,000 | | | | AA- | | | Series A, 5.000% due 8/1/28 | | | | | 35,165 | | |
| | | 145,000 | | | | A+ | | | Port of Oakland, Revenue Bonds, Refunding AMT Senior Lien, Series P, 5.000% due 5/1/22(d) | | | | | 159,664 | | |
| | | | | | | | | | Poway Unified School District Public Financing Authority, Refunding: | | | | | | | |
| | | 35,000 | | | | NR | | | Series A, 5.000% due 9/1/25 | | | | | 40,024 | | |
| | | 45,000 | | | | NR | | | Series A, 5.000% due 9/1/28 | | | | | 50,156 | | |
| | | 50,000 | | | | NR | | | Series A, 5.000% due 9/1/32 | | | | | 54,711 | | |
| | | 90,000 | | | | A- | | | Sacramento City Financing Authority, Capital Appreciation Tax Allocation, Series A, NPFG, zero coupon, due 12/1/26 | | | | | 69,062 | | |
| | | | | | | | | | Sacramento Cogeneration Authority, Revenue Bonds, Refunding Procter and Gamble Project: | | | | | | | |
| | | 20,000 | | | | AA | | | 5.250% due 7/1/20 | | | | | 21,369 | | |
| | | 20,000 | | | | AA | | | 5.250% due 7/1/21 | | | | | 21,896 | | |
| | | 255,000 | | | | AA- | | | San Diego Convention Center Expansion Financing Authority, Revenue Bonds, Refunding, Series A, 5.000% due 4/15/23 | | | | | 282,928 | | |
| | | 60,000 | | | | AA+ | | | San Diego Public Facilities Financing Authority Sewer Revenue, Revenue Bonds, Senior, Series A, Prerefunded 5/15/19 @ 100, 5.000% due 5/15/22(c) | | | | | 61,511 | | |
| | | 75,000 | | | | AA- | | | San Diego Unified School District, GO, Capital Appreciation Election 2008, Series C, zero coupon, due 7/1/34 | | | | | 42,448 | | |
| | | | | | | | | | San Marcos Unified School District, GO, Capital Appreciation 2010 Election: | | | | | | | |
| | | 105,000 | | | | AA- | | | Series B, zero coupon, due 8/1/35 | | | | | 56,778 | | |
| | | 60,000 | | | | AA- | | | Series B, zero coupon, due 8/1/37 | | | | | 29,669 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | |||||||||||||||
| | $ | 55,000 | | | | AA+ | | | Santa Monica-Malibu Unified School District, GO, Capital Appreciation, NPFG, zero coupon, due 8/1/20 | | | | $ | 53,304 | | |
| | | | | | | | | | State of California, GO: | | | | | | | |
| | | 290,000 | | | | AA- | | | 5.500% due 8/1/30 | | | | | 290,847 | | |
| | | 60,000 | | | | AA+ | | | Prerefunded Various Purpose, Prerefunded 4/1/19 @ 100, 6.000% due 4/1/38(c) | | | | | 61,595 | | |
| | | 80,000 | | | | AA- | | | Refunding, 5.000% due 9/1/29 | | | | | 94,466 | | |
| | | 435,000 | | | | AA- | | | Refunding Various Purpose, Series B, 5.000% due 8/1/26 | | | | | 522,231 | | |
| | | 205,000 | | | | AA- | | | Refunding Various Purpose, Series C, 5.000% due 8/1/29 | | | | | 241,875 | | |
| | | 115,000 | | | | AA- | | | Unrefunded Balance Various Purpose, 6.000% due 4/1/38 | | | | | 117,836 | | |
| | | | | | | | | | State of California Department of Water Resources, Revenue Bonds, Water Resources Water System: | | | | | | | |
| | | 65,000 | | | | AAA | | | Series AI, 5.000% due 12/1/25 | | | | | 71,774 | | |
| | | 140,000 | | | | AAA | | | Series AI, Prerefunded 12/1/21 @ 100, 5.000% due 12/1/29(c) | | | | | 154,869 | | |
| | | 40,000 | | | | AA+ | | | Union Elementary School District, GO, Capital Appreciation, Series A, NPFG, zero coupon, due 9/1/20 | | | | | 38,592 | | |
| | | 30,000 | | | | AA | | | University of California, Revenue Bonds, Unrefunded Balance 2016 General, Series O, Prerefunded 5/15/19 @ 100, 5.250% due 5/15/39(c) | | | | | 30,808 | | |
| | | 100,000 | | | | Aa3(b) | | | Washington Township Health Care District, GO, 2012 Election, Series A, 5.500% due 8/1/40 | | | | | 115,660 | | |
| | | 230,000 | | | | AA- | | | West Contra Costa Unified School District, GO, Refunding, 5.000% due 8/1/26 | | | | | 255,703 | | |
| | | | | | | | | | Total California | | | | | 14,515,136 | | |
| Colorado – 0.6% | | |||||||||||||||
| | | | | | | | | | City & County of Denver CO Airport System Revenue, Revenue Bonds, Refunding AMT: | | | | | | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 11/15/24(d) | | | | | 74,390 | | |
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 11/15/27(d) | | | | | 34,893 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 11/15/28(d) | | | | | 167,893 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 11/15/29(d) | | | | | 166,888 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 11/15/30(d) | | | | | 132,359 | | |
| | | 2,345,000 | | | | AA | | | City of Colorado Springs CO Utilities System Revenue, Revenue Bonds, Series A4, 5.000% due 11/15/48 | | | | | 2,705,192 | | |
| | | | | | | | | | Colorado Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 220,000 | | | | BBB+ | | | Catholic Health Initiatives, Series D3, 5.000% due 10/1/38(a) | | | | | 237,156 | | |
| | | 370,000 | | | | Aaa(b) | | | Liberty Height Rmk 12/1/91, zero coupon, due 7/15/22 | | | | | 338,990 | | |
| | | 190,000 | | | | A3(b) | | | Parkview Medical Center Incorporate Project, 5.000% due 9/1/46 | | | | | 206,948 | | |
| | | | | | | | | | E-470 Public Highway Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A | | | Capital Appreciation, zero coupon, due 9/1/35 | | | | | 31,442 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Colorado – (continued) | | |||||||||||||||
| | $ | 85,000 | | | | A | | | Capital Appreciation, zero coupon, due 9/1/37 | | | | $ | 40,974 | | |
| | | 110,000 | | | | A | | | Capital Appreciation, zero coupon, due 9/1/38 | | | | | 50,727 | | |
| | | 75,000 | | | | A | | | Capital Appreciation Senior, Series B, NPFG, zero coupon, due 9/1/18 | | | | | 75,000 | | |
| | | 140,000 | | | | A | | | Capital Appreciation Senior, Series B, NPFG, zero coupon, due 9/1/20 | | | | | 134,408 | | |
| | | 210,000 | | | | AA- | | | University of Colorado Hospital Authority, Revenue Bonds, Series C, 5.000% due 11/15/38(a) | | | | | 226,920 | | |
| | | | | | | | | | Total Colorado | | | | | 4,624,180 | | |
| Connecticut – 1.1% | | |||||||||||||||
| | | | | | | | | | Connecticut State Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A- | | | Fairfield University, Series S, 5.000% due 7/1/26 | | | | | 74,882 | | |
| | | 30,000 | | | | A- | | | Fairfield University, Series S, 5.000% due 7/1/29 | | | | | 34,959 | | |
| | | 1,030,000 | | | | AAA | | | Revenue Yale University Rmkt 7/11/18, Series A, 2.050% due 7/1/35(a) | | | | | 1,032,266 | | |
| | | 4,465,000 | | | | AAA | | | Yale University, Series V1, 1.400% due 7/1/36(a) | | | | | 4,465,000 | | |
| | | | | | | | | | State of Connecticut, GO: | | | | | | | |
| | | 90,000 | | | | A | | | Series A, 5.000% due 3/15/26 | | | | | 102,048 | | |
| | | 85,000 | | | | A | | | Series E, 5.000% due 9/15/23 | | | | | 92,549 | | |
| | | 100,000 | | | | A | | | Series E, 5.000% due 10/15/26 | | | | | 113,993 | | |
| | | 150,000 | | | | A | | | Series E, 5.000% due 10/15/29 | | | | | 168,126 | | |
| | | 1,600,000 | | | | A | | | Refunding, Series F, 5.000% due 9/15/26 | | | | | 1,815,280 | | |
| | | 1,000,000 | | | | AAA | | | State of Connecticut Clean Water Fund – State Revolving Fund, Revenue Bonds, Refunding, Series B, 5.000% due 6/1/22 | | | | | 1,111,730 | | |
| | | | | | | | | | Total Connecticut | | | | | 9,010,833 | | |
| Delaware – 0.5% | | |||||||||||||||
| | | | | | | | | | Delaware River & Bay Authority, Revenue Bonds, Refunding: | | | | | | | |
| | | 85,000 | | | | A | | | Series C, 5.000% due 1/1/22 | | | | | 93,097 | | |
| | | 35,000 | | | | A | | | Series C, 5.000% due 1/1/24 | | | | | 39,820 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/25 | | | | | 91,061 | | |
| | | 3,160,000 | | | | NR | | | State of Delaware, GO, Series B, Prerefunded 7/1/24 @ 100, 5.000% due 7/1/27(c) | | | | | 3,650,306 | | |
| | | | | | | | | | Total Delaware | | | | | 3,874,284 | | |
| District of Columbia – 0.5% | | |||||||||||||||
| | | | | | | | | | District of Columbia, Revenue Bonds: | | | | | | | |
| | | 195,000 | | | | A1(b) | | | Deed Tax, Series A, 5.000% due 6/1/40 | | | | | 203,510 | | |
| | | 120,000 | | | | AAA | | | Income Tax Revenue, Series A, 5.000% due 12/1/36 | | | | | 130,052 | | |
| | | | | | | | | | Metropolitan Washington Airports Authority, Revenue Bonds, Refunding AMT: | | | | | | | |
| | | 2,500,000 | | | | AA- | | | Series A, 5.000% due 10/1/24(d) | | | | | 2,845,500 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| District of Columbia – (continued) | | |||||||||||||||
| | $ | 115,000 | | | | AA- | | | Series A, 5.000% due 10/1/28(d) | | | | $ | 135,961 | | |
| | | 280,000 | | | | AA- | | | Series A, 5.000% due 10/1/29(d) | | | | | 326,730 | | |
| | | 95,000 | | | | AA- | | | Series A, 5.000% due 10/1/30(d) | | | | | 111,139 | | |
| | | 205,000 | | | | AA- | | | Series A, 5.000% due 10/1/31(d) | | | | | 237,675 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 10/1/34(d) | | | | | 68,343 | | |
| | | 55,000 | | | | AA- | | | Series A, 5.000% due 10/1/36(d) | | | | | 62,278 | | |
| | | 240,000 | | | | AA- | | | Washington Metropolitan Area Transit Authority, Revenue Bonds, Series B, 5.000% due 7/1/34 | | | | | 278,568 | | |
| | | | | | | | | | Total District of Columbia | | | | | 4,399,756 | | |
| Florida – 4.6% | | |||||||||||||||
| | | | | | | | | | Brevard County School District, COP: | | | | | | | |
| | | 95,000 | | | | Aa3(b) | | | Refunding, 5.000% due 7/1/27 | | | | | 108,122 | | |
| | | 215,000 | | | | Aa3(b) | | | Refunding, 5.000% due 7/1/30 | | | | | 242,705 | | |
| | | 85,000 | | | | Aa3(b) | | | School Board Certificates, Series C, 5.000% due 7/1/24 | | | | | 97,237 | | |
| | | | | | | | | | Citizens Property Insurance Corp., Revenue Bonds, Senior Secured: | | | | | | | |
| | | 80,000 | | | | A+ | | | Series A1, 5.000% due 6/1/21 | | | | | 86,386 | | |
| | | 60,000 | | | | A+ | | | Series A1, 5.000% due 6/1/22 | | | | | 66,223 | | |
| | | | | | | | | | City of Clearwater FL Water & Sewer Revenue, Revenue Bonds, Refunding: | | | | | | | |
| | | 40,000 | | | | AA | | | 5.000% due 12/1/21 | | | | | 43,836 | | |
| | | 65,000 | | | | AA | | | Prerefunded 12/1/21 @ 100, 5.000% due 12/1/23(c) | | | | | 71,385 | | |
| | | 70,000 | | | | AA | | | Prerefunded 12/1/21 @ 100, 5.000% due 12/1/24(c) | | | | | 76,876 | | |
| | | | | | | | | | City of Jacksonville FL, Revenue Bonds, Refunding Better Jacksonville: | | | | | | | |
| | | 115,000 | | | | A+ | | | 5.000% due 10/1/22 | | | | | 127,759 | | |
| | | 155,000 | | | | A+ | | | 5.000% due 10/1/23 | | | | | 172,326 | | |
| | | | | | | | | | City of Tallahassee FL, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | Baa1(b) | | | Refunding Tallahassee Memorial Healthcare, 5.000% due 12/1/40 | | | | | 53,689 | | |
| | | 15,000 | | | | Baa1(b) | | | Tallahassee Memorial Healthcare Incorporate, 5.000% due 12/1/19 | | | | | 15,516 | | |
| | | 35,000 | | | | Baa1(b) | | | Tallahassee Memorial Healthcare Incorporate, 5.000% due 12/1/21 | | | | | 37,818 | | |
| | | | | | | | | | City of Tampa FL, Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | Aa2(b) | | | Baycare Health System, 5.000% due 11/15/19 | | | | | 46,775 | | |
| | | 55,000 | | | | A+ | | | Cigarette H Lee, 5.000% due 9/1/28 | | | | | 60,343 | | |
| | | | | | | | | | City of Tampa FL Solid Waste System Revenue, Revenue Bonds, Refunding, AGM: | | | | | | | |
| | | 305,000 | | | | AA | | | 5.000% due 10/1/18(d) | | | | | 305,696 | | |
| | | 170,000 | | | | AA | | | 5.000% due 10/1/19(d) | | | | | 175,528 | | |
| | | | | | | | | | County of Broward FL Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | Airport System Revenue AMT, 5.000% due 10/1/28(d) | | | | | 34,863 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 60,000 | | | | A+ | | | Airport System Revenue AMT, 5.000% due 10/1/30(d) | | | | $ | 69,159 | | |
| | | 90,000 | | | | A+ | | | Airport System Revenue AMT, 5.000% due 10/1/31(d) | | | | | 103,201 | | |
| | | 120,000 | | | | A+ | | | Senior, Series A, 5.000% due 10/1/29(d) | | | | | 135,270 | | |
| | | 85,000 | | | | A+ | | | Senior, Series A, 5.000% due 10/1/31(d) | | | | | 95,184 | | |
| | | 115,000 | | | | A+ | | | Senior, Series A, 5.000% due 10/1/32(d) | | | | | 128,469 | | |
| | | 90,000 | | | | A+ | | | Series Q1, 5.000% due 10/1/23 | | | | | 99,652 | | |
| | | | | | | | | | County of Hillsborough FL Solid Waste & Resource Recovery Revenue, Revenue Bonds, Refunding AMT: | | | | | | | |
| | | 40,000 | | | | AA+ | | | Series A, 5.000% due 9/1/20(d) | | | | | 42,312 | | |
| | | 40,000 | | | | AA+ | | | Series A, 5.000% due 9/1/21(d) | | | | | 43,210 | | |
| | | 50,000 | | | | AA+ | | | Series A, 5.000% due 9/1/22(d) | | | | | 55,077 | | |
| | | 60,000 | | | | AA+ | | | Series A, 5.000% due 9/1/23(d) | | | | | 67,204 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/24(d) | | | | | 73,523 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/25(d) | | | | | 74,241 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/26(d) | | | | | 74,922 | | |
| | | | | | | | | | County of Indian River FL Water & Sewer Revenue, Revenue Bonds, Refunding: | | | | | | | |
| | | 55,000 | | | | AA | | | 5.000% due 9/1/21 | | | | | 56,756 | | |
| | | 65,000 | | | | AA | | | 5.000% due 9/1/22 | | | | | 67,068 | | |
| | | 120,000 | | | | AA | | | County of Miami-Dade FL, GO, Refunding, Series A, 5.000% due 11/1/23 | | | | | 136,728 | | |
| | | | | | | | | | County of Miami-Dade FL, Revenue Bonds: | | | | | | | |
| | | 160,000 | | | | A+ | | | Refunding Subordinated, 5.000% due 10/1/28 | | | | | 184,646 | | |
| | | 120,000 | | | | A+ | | | Refunding Subordinated, 5.000% due 10/1/29 | | | | | 137,460 | | |
| | | 215,000 | | | | A+ | | | Refunding Subordinated, 5.000% due 10/1/30 | | | | | 244,958 | | |
| | | 65,000 | | | | A+ | | | Refunding Subordinated, Series A, 5.000% due 10/1/25 | | | | | 71,864 | | |
| | | 210,000 | | | | A+ | | | Refunding Jackson Health System, Series B, NPFG, 5.000% due 6/1/20 | | | | | 220,893 | | |
| | | | | | | | | | County of Miami-Dade FL Aviation Revenue, Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | A | | | Miami international Airport, Series A1, 5.000% due 10/1/22 | | | | | 95,471 | | |
| | | 135,000 | | | | A | | | Miami international Airport, Series A1, Prerefunded 10/1/20 @ 100, 5.375% due 10/1/41(c) | | | | | 144,801 | | |
| | | 70,000 | | | | A | | | Refunding, Series A, 5.000% due 10/1/30 | | | | | 80,783 | | |
| | | 30,000 | | | | A | | | Refunding, Series A, 5.000% due 10/1/31 | | | | | 34,481 | | |
| | | 65,000 | | | | A | | | Refunding, Series B, 5.000% due 10/1/24 | | | | | 71,971 | | |
| | | 215,000 | | | | A | | | Refunding, Series B, 5.000% due 10/1/37 | | | | | 239,587 | | |
| | | 85,000 | | | | A | | | Refunding AMT, Series A, 5.000% due 10/1/22(d) | | | | | 94,256 | | |
| | | 290,000 | | | | A | | | Refunding AMT, Series A, 5.000% due 10/1/24(d) | | | | | 318,725 | | |
| | | 55,000 | | | | A | | | Refunding AMT, Series A, 5.000% due 10/1/27(d) | | | | | 62,105 | | |
| | | 80,000 | | | | A | | | Refunding AMT, Series A, 5.000% due 10/1/29(d) | | | | | 90,002 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 160,000 | | | | A | | | Refunding AMT, Series A, 5.000% due 10/1/33(d) | | | | $ | 178,110 | | |
| | | 70,000 | | | | A | | | Refunding AMT, Series A, 5.000% due 10/1/35(d) | | | | | 77,676 | | |
| | | 105,000 | | | | A | | | Refunding AMT, Series B, 5.000% due 10/1/20(d) | | | | | 111,383 | | |
| | | 295,000 | | | | AA | | | Series B, AGM, 5.000% due 10/1/35 | | | | | 311,886 | | |
| | | | | | | | | | County of Miami-Dade FL Transit System, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AA | | | 5.000% due 7/1/21 | | | | | 37,846 | | |
| | | 50,000 | | | | AA | | | 5.000% due 7/1/42 | | | | | 53,846 | | |
| | | 230,000 | | | | AA | | | County of Miami-Dade FL Water & Sewer System Revenue, Revenue Bonds, Refunding System, Series B, AGM, 5.250% due 10/1/18 | | | | | 230,619 | | |
| | | | | | | | | | Duval County School Board, COP, School Board Certificates: | | | | | | | |
| | | 125,000 | | | | AA- | | | Series B, 5.000% due 7/1/27 | | | | | 142,967 | | |
| | | 30,000 | | | | AA- | | | Series B, 5.000% due 7/1/28 | | | | | 34,212 | | |
| | | 190,000 | | | | AA- | | | Series B, 5.000% due 7/1/30 | | | | | 215,536 | | |
| | | | | | | | | | Florida Municipal Power Agency, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A2(b) | | | All Requirements Power Supply, 5.000% due 10/1/24 | | | | | 34,529 | | |
| | | 45,000 | | | | A2(b) | | | All Requirements Power Supply, 5.000% due 10/1/27 | | | | | 51,809 | | |
| | | 55,000 | | | | A2(b) | | | Refunding, Series A, 5.000% due 10/1/30 | | | | | 63,601 | | |
| | | 60,000 | | | | A2(b) | | | Refunding, Series A, 5.000% due 10/1/31 | | | | | 69,056 | | |
| | | 80,000 | | | | A1(b) | | | Series A, 5.000% due 10/1/22 | | | | | 88,909 | | |
| | | 355,000 | | | | A2(b) | | | St Lucie Project, Series A, 5.000% due 10/1/26 | | | | | 389,297 | | |
| | | 2,500,000 | | | | AA | | | Florida’s Turnpike Enterprise, Revenue Bonds, Department Transportation, Series C, 4.375% due 7/1/37 | | | | | 2,621,075 | | |
| | | | | | | | | | Greater Orlando Aviation Authority, Revenue Bonds, AMT Priority Subordinated: | | | | | | | |
| | | 100,000 | | | | A+ | | | Series A, 5.000% due 10/1/28(d) | | | | | 115,866 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 10/1/30(d) | | | | | 68,699 | | |
| | | | | | | | | | Halifax Hospital Medical Center, Revenue Bonds, Refunding: | | | | | | | |
| | | 35,000 | | | | A- | | | 5.000% due 6/1/28 | | | | | 39,173 | | |
| | | 70,000 | | | | A- | | | 5.000% due 6/1/35 | | | | | 76,779 | | |
| | | | | | | | | | Highlands County Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 345,000 | | | | AA | | | 6.000% due 11/15/37 | | | | | 363,809 | | |
| | | 60,000 | | | | AA | | | Hospital Adventist Health, 5.000% due 11/15/18 | | | | | 60,385 | | |
| | | 105,000 | | | | WR(b) | | | Hillsborough County Industrial Development Authority, Revenue Bonds, Various Health Facilities B Rmkt 8/6/9, Prerefunded 8/15/19 @ 101, 8.000% due 8/15/32(c) | | | | | 112,203 | | |
| | | | | | | | | | Indian River County School Board, COP, Refunding: | | | | | | | |
| | | 75,000 | | | | AA- | | | Series A, 5.000% due 7/1/24 | | | | | 85,578 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 7/1/25 | | | | | 69,394 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 200,000 | | | | A+ | | | JEA Electric System Revenue, Revenue Bonds, Subordinated, Series B, 5.000% due 10/1/26 | | | | $ | 235,062 | | |
| | | | | | | | | | JEA Water & Sewer System Revenue, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | AAA | | | Unrefunded Balance, Series C, 5.000% due 10/1/20(c) | | | | | 15,286 | | |
| | | 35,000 | | | | NR | | | Prerefunded, Series C, Prerefunded 4/1/19 @ 100, 5.000% due 10/1/20(c) | | | | | 35,663 | | |
| | | | | | | | | | Lake County School Board, COP, Master Lease Program: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, AGM, 5.000% due 6/1/25 | | | | | 33,798 | | |
| | | 50,000 | | | | AA | | | Series A, AGM, 5.000% due 6/1/26 | | | | | 56,102 | | |
| | | 15,000 | | | | AA | | | Series A, AGM, 5.000% due 6/1/28 | | | | | 16,712 | | |
| | | 60,000 | | | | AA | | | Manatee County School District, Revenue Bonds AGM, 5.000% due 10/1/25 | | | | | 69,836 | | |
| | | | | | | | | | Miami-Dade County Expressway Authority, Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | A+ | | | Refunding, Series A, 5.000% due 7/1/31 | | | | | 51,400 | | |
| | | 115,000 | | | | A+ | | | Refunding, Series A, 5.000% due 7/1/32 | | | | | 131,011 | | |
| | | 95,000 | | | | A+ | | | Refunding, Series A, 5.000% due 7/1/33 | | | | | 107,873 | | |
| | | 30,000 | | | | A+ | | | Refunding, Series A, 5.000% due 7/1/34 | | | | | 33,976 | | |
| | | 235,000 | | | | A+ | | | Series A, 5.000% due 7/1/40 | | | | | 246,381 | | |
| | | 85,000 | | | | A+ | | | Series A, 5.000% due 7/1/44 | | | | | 93,396 | | |
| | | | | | | | | | Mid-Bay Bridge Authority, Revenue Bonds, Refunding: | | | | | | | |
| | | 105,000 | | | | BBB+ | | | Series A, 5.000% due 10/1/27 | | | | | 118,647 | | |
| | | 145,000 | | | | BBB+ | | | Series A, 5.000% due 10/1/28 | | | | | 162,863 | | |
| | | 80,000 | | | | BBB+ | | | Series A, 5.000% due 10/1/29 | | | | | 89,423 | | |
| | | 70,000 | | | | BBB+ | | | Series A, 5.000% due 10/1/30 | | | | | 77,963 | | |
| | | | | | | | | | North Brevard County Hospital District Physician Services Inc., Revenue Bonds, Prerefunded Refunding Parrish Medical: | | | | | | | |
| | | 65,000 | | | | WD(g) | | | Florida Hospital Unrefunded, Prerefunded 10/1/18 @ 100, 5.750% due 10/1/38(c) | | | | | 65,196 | | |
| | | 15,000 | | | | WD(g) | | | Florida Hospital Unrefunded, Prerefunded 10/1/18 @ 100, 5.750% due 10/1/43(c) | | | | | 15,046 | | |
| | | 155,000 | | | | WD(g) | | | Prerefunded Refunding Parrish Medical, Prerefunded 10/1/18 @ 100, 5.750% due 10/1/38(c) | | | | | 155,473 | | |
| | | 40,000 | | | | WD(g) | | | Prerefunded Refunding Parrish Medical, Prerefunded 10/1/18 @ 100, 5.750% due 10/1/43(c) | | | | | 40,122 | | |
| | | | | | | | | | Orange County Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 365,000 | | | | A | | | Health Facilities, Series A, 5.000% due 10/1/42 | | | | | 393,788 | | |
| | | 130,000 | | | | A | | | Hospital Orlando Health Incorporate, 5.250% due 10/1/20 | | | | | 134,853 | | |
| | | 150,000 | | | | A | | | Hospital Orlando Health Incorporate, Series B, 5.000% due 10/1/42 | | | | | 161,830 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 75,000 | | | | A | | | Hospital Orlando Regional Healthcare, Series A, NPFG, 6.250% due 10/1/18 | | | | $ | 75,253 | | |
| | | | | | | | | | Orange County School Board, COP: | | | | | | | |
| | | 115,000 | | | | Aa2(b) | | | Certificates, Series B, Prerefunded 8/1/22 @ 100, 5.000% due 8/1/26(c) | | | | | 128,035 | | |
| | | 200,000 | | | | Aa2(b) | | | Refunding, Series C, 5.000% due 8/1/29 | | | | | 229,612 | | |
| | | | | | | | | | Orlando Utilities Commission, Revenue Bonds, Refunding: | | | | | | | |
| | | 50,000 | | | | AA | | | Series A, 5.000% due 10/1/23 | | | | | 56,941 | | |
| | | 25,000 | | | | AA | | | Series A, 5.000% due 10/1/25 | | | | | 29,293 | | |
| | | 45,000 | | | | AA | | | Series B, 5.000% due 10/1/19 | | | | | 46,600 | | |
| | | 100,000 | | | | AA | | | Series B, 5.000% due 10/1/20 | | | | | 106,563 | | |
| | | 60,000 | | | | A+ | | | Orlando-Orange County Expressway Authority, Revenue Bonds, Refunding, 5.000% due 7/1/20 | | | | | 63,514 | | |
| | | | | | | | | | Palm Beach County Health Facilities Authority, Revenue Bonds, Refunding BRRH Corp. Obligation Group: | | | | | | | |
| | | 10,000 | | | | BBB+ | | | 5.000% due 12/1/23 | | | | | 11,095 | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 12/1/24 | | | | | 22,417 | | |
| | | | | | | | | | Palm Beach County School District, COP: | | | | | | | |
| | | 90,000 | | | | Aa3(b) | | | County Florida School Board, Series B, 5.000% due 8/1/25 | | | | | 104,249 | | |
| | | 650,000 | | | | Aa3(b) | | | Florida School Board Certificates, Series A, 5.000% due 8/1/26 | | | | | 760,305 | | |
| | | 55,000 | | | | Aa3(b) | | | Refunding, Series A, 5.000% due 8/1/22 | | | | | 60,906 | | |
| | | 35,000 | | | | Aa3(b) | | | Refunding, Series A, 5.000% due 8/1/23 | | | | | 39,567 | | |
| | | 40,000 | | | | Aa3(b) | | | Refunding, Series A, 5.000% due 8/1/24 | | | | | 45,788 | | |
| | | 135,000 | | | | Aa3(b) | | | Refunding, Series A, 5.000% due 8/1/25 | | | | | 156,373 | | |
| | | 55,000 | | | | Aa3(b) | | | Refunding, Series A, 5.000% due 8/1/26 | | | | | 64,334 | | |
| | | 45,000 | | | | Aa3(b) | | | School Board Certificates, Series B, 5.000% due 8/1/25 | | | | | 52,125 | | |
| | | 300,000 | | | | Aa3(b) | | | School Board Certificates, Series B, 5.000% due 8/1/26 | | | | | 346,467 | | |
| | | 240,000 | | | | Aa3(b) | | | School Board Certificates, Series B, 5.000% due 8/1/27 | | | | | 275,863 | | |
| | | 160,000 | | | | Aa3(b) | | | School Board Certificates, Series B, 5.000% due 8/1/28 | | | | | 183,256 | | |
| | | 695,000 | | | | Aa3(b) | | | School Board Certificates, Series D, 5.000% due 8/1/26 | | | | | 802,649 | | |
| | | 315,000 | | | | Aa3(b) | | | School Board Certificates, Series D, 5.000% due 8/1/27 | | | | | 362,070 | | |
| | | 110,000 | | | | Aa3(b) | | | School Board Certificates, Series D, 5.000% due 8/1/28 | | | | | 125,989 | | |
| | | | | | | | | | Palm Beach County Solid Waste Authority, Revenue Bonds: | | ||||||
| | | 85,000 | | | | AA+ | | | Prerefunded Improvement, BHAC, 5.250% due 10/1/18 | | | | | 85,232 | | |
| | | 250,000 | | | | AA+ | | | Refunding, 5.000% due 10/1/24 | | | | | 272,705 | | |
| | | 350,000 | | | | AA+ | | | Unrefunded Balance Improvement, BHAC, 5.250% due 10/1/18 | | | | | 350,935 | | |
| | | | | | | | | | School Board of Miami-Dade County, COP: | | | | | | | |
| | | 120,000 | | | | AA | | | County Florida School Board, Series A, AGM, 5.000% due 5/1/27 | | | | | 136,315 | | |
| | | 570,000 | | | | A+ | | | County Florida School Board, Series A, 5.000% due 5/1/31 | | | | | 643,279 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 220,000 | | | | A+ | | | County Florida School Board, Series B, 5.000% due 8/1/27 | | | | $ | 253,768 | | |
| | | 340,000 | | | | A+ | | | Florida School Board, Series D, 5.000% due 11/1/24 | | | | | 389,460 | | |
| | | 355,000 | | | | A+ | | | Florida School Board, Series D, 5.000% due 11/1/25 | | | | | 407,295 | | |
| | | 230,000 | | | | A+ | | | Florida School Board, Series D, 5.000% due 11/1/26 | | | | | 262,609 | | |
| | | 115,000 | | | | A+ | | | Florida School Board Certificates, Series D, 5.000% due 2/1/29 | | | | | 130,495 | | |
| | | 190,000 | | | | A+ | | | Florida School Board Certificates, Series D, 5.000% due 2/1/30 | | | | | 214,791 | | |
| | | 395,000 | | | | A+ | | | Refunding, Series B, 5.000% due 5/1/28 | | | | | 445,631 | | |
| | | | | | | | | | School District of Broward County, COP: | | | | | | | |
| | | 70,000 | | | | A+ | | | Florida School Board Certificates, Series A, 5.000% due 7/1/32 | | | | | 79,746 | | |
| | | 120,000 | | | | NR | | | Prerefunded, Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/25(c) | | | | | 132,947 | | |
| | | 580,000 | | | | NR | | | Prerefunded, Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/26(c) | | | | | 642,576 | | |
| | | 155,000 | | | | A+ | | | Refunding, Series A, 5.000% due 7/1/21 | | | | | 167,828 | | |
| | | 145,000 | | | | A+ | | | Refunding, Series A, 5.000% due 7/1/22 | | | | | 160,306 | | |
| | | 60,000 | | | | A+ | | | Refunding, Series B, 5.000% due 7/1/25 | | | | | 69,557 | | |
| | | 335,000 | | | | A+ | | | Refunding, Series B, 5.000% due 7/1/26 | | | | | 386,084 | | |
| | | 230,000 | | | | A+ | | | Refunding, Series B, 5.000% due 7/1/27 | | | | | 264,141 | | |
| | | 390,000 | | | | A+ | | | Refunding, Series B, 5.000% due 7/1/28 | | | | | 446,320 | | |
| | | 330,000 | | | | A+ | | | School Board Certificates, Series A, 5.000% due 7/1/26 | | | | | 380,322 | | |
| | | 265,000 | | | | A+ | | | School Board Certificates, Series A, 5.000% due 7/1/27 | | | | | 304,336 | | |
| | | 115,000 | | | | A+ | | | School Board Certificates, Series A, 5.000% due 7/1/28 | | | | | 131,607 | | |
| | | 45,000 | | | | A+ | | | Unrefunded Balance, Series A, 5.000% due 7/1/25 | | | | | 49,282 | | |
| | | 130,000 | | | | A+ | | | Unrefunded Balance, Series A, 5.000% due 7/1/26 | | | | | 141,971 | | |
| | | | | | | | | | Seminole County School Board, COP, County Florida School Board: | | | | | | | |
| | | 60,000 | | | | Aa3(b) | | | Series C, 5.000% due 7/1/23 | | | | | 67,324 | | |
| | | 50,000 | | | | Aa3(b) | | | Series C, 5.000% due 7/1/24 | | | | | 56,877 | | |
| | | 115,000 | | | | AA | | | South Florida Water Management District, COP, Refunding, 5.000% due 10/1/30 | | | | | 131,815 | | |
| | | 80,000 | | | | Baa1(b) | | | South Lake County Hospital District, Revenue Bonds, South Lake Hospital, Series A, 6.250% due 4/1/39 | | | | | 81,605 | | |
| | | | | | | | | | South Miami Health Facilities Authority, Revenue Bonds, Baptist Health South Florida: | | | |||||
| | | 75,000 | | | | AA- | | | 5.000% due 8/15/24 | | | | | 85,742 | | |
| | | 120,000 | | | | AA- | | | 5.000% due 8/15/25 | | | | | 138,932 | | |
| | | | | | | | | | St Lucie County School Board, COP, Refunding Master Lease Program: | | | | | | | |
| | | 60,000 | | | | A | | | Series A, 5.000% due 7/1/25 | | | | | 66,686 | | |
| | | 125,000 | | | | A | | | Series A, 5.000% due 7/1/27 | | | | | 138,091 | | |
| | | | | | | | | | State of Florida, GO: | | | | | | | |
| | | 1,745,000 | | | | AAA | | | Department Transportation Right Of Way, 4.000% due 7/1/39 | | | | | 1,834,728 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 5,995,000 | | | | AAA | | | Department Transportation Right Of Way, 5.000% due 7/1/32 | | | | $ | 7,148,917 | | |
| | | 80,000 | | | | AAA | | | Refunding Capital Outlay, Series D, 5.000% due 6/1/21 | | | | | 82,833 | | |
| | | 145,000 | | | | AAA | | | Refunding Capital Outlay, Series E, 5.000% due 6/1/24 | | | | | 156,816 | | |
| | | 358,000 | | | | AAA | | | Refunding Capital Outlay 2011, Series C, 5.000% due 6/1/20 | | | | | 377,644 | | |
| | | 289,000 | | | | AAA | | | Refunding Capital Outlay 2011, Series C, 5.000% due 6/1/22 | | | | | 313,033 | | |
| | | 2,000,000 | | | | NR | | | State of Florida Department of Transportation, Revenue Bonds, 5.000% due 7/1/27 | | | | | 2,397,160 | | |
| | | | | | | | | | Tampa Bay Water, Revenue Bonds, Refunding and Improvement: | | | | | | | |
| | | 70,000 | | | | AA+ | | | 5.500%, NPFG, due 10/1/22 | | | | | 79,711 | | |
| | | 70,000 | | | | AA+ | | | Series A, NPFG, 6.000% due 10/1/29 | | | | | 91,217 | | |
| | | 145,000 | | | | AA | | | Volusia County School Board, COP, Florida School Board Certificates, Series A, 5.000% due 8/1/32 | | | | | 162,999 | | |
| | | | | | | | | | Total Florida | | | | | 37,993,937 | | |
| Georgia – 2.1% | | |||||||||||||||
| | | | | | | | | | City of Atlanta GA Water & Wastewater Revenue, Revenue Bonds, Refunding: | | | | | | | |
| | | 30,000 | | | | AA- | | | 5.000% due 11/1/27 | | | | | 34,611 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 11/1/29 | | | | | 80,343 | | |
| | | 205,000 | | | | Aaa(b) | | | Colquitt County Development Authority, Revenue Bonds, Subordinated C Rmkt 3/23/92, zero coupon, due 12/1/21 | | | | | 190,914 | | |
| | | 45,000 | | | | A+ | | | County of DeKalb GA Water & Sewerage Revenue, Revenue Bonds, Series A, 5.250% due 10/1/25 | | | | | 49,407 | | |
| | | | | | | | | | DeKalb County Hospital Authority, Revenue Bonds, Dekalb Medical Center Inc. Project: | | | | | | | |
| | | 170,000 | | | | BB(g) | | | 6.000% due 9/1/30 | | | | | 180,792 | | |
| | | 310,000 | | | | BB(g) | | | 6.125% due 9/1/40 | | | | | 328,014 | | |
| | | 840,000 | | | | Aa2(b) | | | Main Street Natural Gas Inc., Revenue Bonds, Subordinated, Series C, 4.000% due 8/1/48(a) | | | | | 893,953 | | |
| | | 335,000 | | | | AA+ | | | Metropolitan Atlanta Rapid Transit Authority, Revenue Bonds, Third Series, Prerefunded 7/1/19 @ 100, 5.250% due 7/1/36(c) | | | | | 344,886 | | |
| | | 195,000 | | | | A3(b) | | | Monroe County Development Authority, Revenue Bonds, Various Georgia Power Co. Plant, 2.350% due 10/1/48(a) | | | | | 195,468 | | |
| | | | | | | | | | Municipal Electric Authority of Georgia, Revenue Bonds: | | | | | | | |
| | | 145,000 | | | | A+ | | | 5.000% due 1/1/26 | | | | | 160,260 | | |
| | | 45,000 | | | | A | | | Project One Subordinated, Series A, 5.250% due 1/1/20 | | | | | 46,934 | | |
| | | 265,000 | | | | A | | | Project One Subordinated, Series A, 5.000% due 1/1/21 | | | | | 282,198 | | |
| | | 105,000 | | | | A+ | | | Series Gg, 5.000% due 1/1/24 | | | | | 116,597 | | |
| | | 35,000 | | | | A+ | | | Series Gg, 5.000% due 1/1/25 | | | | | 38,820 | | |
| | | 85,000 | | | | A | | | Unrefunded Balance Project, Series D, 5.750% due 1/1/19 | | | | | 85,196 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Georgia – (continued) | | |||||||||||||||
| | | | | | | | | | Municipal Gas Authority of Georgia, Revenue Bonds: | | | |||||
| | $ | 40,000 | | | | AA- | | | Gas Portfolio III Project, 5.000% due 10/1/24 | | | | $ | 45,625 | | |
| | | 60,000 | | | | AA- | | | Gas Portfolio III Project, Series Q, 5.000% due 10/1/22 | | | | | 66,533 | | |
| | | 35,000 | | | | AA- | | | Refunding Gas Portfolio III, Series S, 5.000% due 10/1/22 | | | | | 38,811 | | |
| | | 70,000 | | | | AA- | | | Refunding Gas Portfolio III, Series S, 5.000% due 10/1/24 | | | | | 77,306 | | |
| | | 320,000 | | | | A+ | | | Richmond County Hospital Authority, Revenue Bonds, University Health Services Inc. Project, Prerefunded 1/1/19 @ 100, 5.500% due 1/1/36(c) | | | | | 324,006 | | |
| | | | | | | | | | State of Georgia, GO: | | | | | | | |
| | | 3,835,000 | | | | AAA | | | Refunding, Series C, 5.000% due 7/1/29 | | | | | 4,583,017 | | |
| | | 2,500,000 | | | | AAA | | | Series A, 4.000% due 7/1/36 | | | | | 2,676,050 | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 7/1/29 | | | | | 6,067,950 | | |
| | | | | | | | | | Total Georgia | | | | | 16,907,691 | | |
| Hawaii – 0.1% | | |||||||||||||||
| | | | | | | | | | City & County of Honolulu HI, GO, Refunding Senior: | | | | | | | |
| | | 115,000 | | | | Aa1(b) | | | Series D, 5.000% due 9/1/22 | | | | | 128,164 | | |
| | | 90,000 | | | | Aa1(b) | | | Series D, 5.000% due 9/1/26 | | | | | 106,274 | | |
| | | 500,000 | | | | AA+ | | | State of Hawaii, GO, Refunding, Series FH, 5.000% due 10/1/28 | | | | | 588,850 | | |
| | | 115,000 | | | | AA- | | | State of Hawaii Airports System Revenue, Revenue Bonds, Senior, Series A, 5.000% due 7/1/45(d) | | | | | 126,555 | | |
| | | | | | | | | | Total Hawaii | | | | | 949,843 | | |
| Idaho – 0.4% | | |||||||||||||||
| | | | | | | | | | Idaho Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | AA- | | | Prerefunded 12/1/18 @ 100, 6.250% due 12/1/33(c) | | | | | 45,505 | | |
| | | 80,000 | | | | A- | | | St Lukes Health System Project, Series A, 6.500% due 11/1/28 | | | | | 80,613 | | |
| | | 75,000 | | | | A- | | | St Lukes Health System Project, Series A, 6.750% due 11/1/37 | | | | | 75,604 | | |
| | | | | | | | | | Idaho Housing & Finance Association, Revenue Bonds, Refunding Granote and Revenue Anticipation Feducation Highway: | | | | | | | |
| | | 60,000 | | | | A2(b) | | | 5.000% due 7/15/20 | | | | | 63,407 | | |
| | | 90,000 | | | | A2(b) | | | 5.000% due 7/15/21 | | | | | 97,444 | | |
| | | 100,000 | | | | A2(b) | | | 5.000% due 7/15/22 | | | | | 110,425 | | |
| | | 45,000 | | | | A2(b) | | | 5.000% due 7/15/23 | | | | | 50,556 | | |
| | | 35,000 | | | | A2(b) | | | 5.000% due 7/15/24 | | | | | 39,803 | | |
| | | 35,000 | | | | A2(b) | | | 5.000% due 7/15/25 | | | | | 40,413 | | |
| | | 95,000 | | | | A2(b) | | | 5.000% due 7/15/27 | | | | | 111,705 | | |
| | | 2,380,000 | | | | Aa1(b) | | | Kootenai County School District No 271 Coeur d’Alene, GO, 4.000% due 9/15/28 | | | | | 2,639,134 | | |
| | | | | | | | | | Total Idaho | | | | | 3,354,609 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – 5.4% | | |||||||||||||||
| | | | | | | | | | Chicago Board of Education, GO: | | | |||||
| | $ | 45,000 | | | | B+ | | | Acquisition Project, Series C, 5.250% due 12/1/39 | | | | $ | 46,420 | | |
| | | 45,000 | | | | B+ | | | Chicago School Reform Board, Series A, NPFG, 5.250% due 12/1/21 | | | | | 48,101 | | |
| | | 185,000 | | | | B+ | | | Refunding, Series C, 5.000% due 12/1/27 | | | | | 195,208 | | |
| | | 30,000 | | | | B+ | | | Refunding Dedicated, Series F, 5.000% due 12/1/20 | | | | | 30,913 | | |
| | | 170,000 | | | | AA | | | Refunding Dedicated Revenue, AGC, Series D, 5.000% due 12/1/20 | | | | | 171,436 | | |
| | | 150,000 | | | | AA | | | Refunding Dedicated Revenue, AGC, Series D, 5.000% due 12/1/21 | | | | | 151,262 | | |
| | | 75,000 | | | | AA | | | Refunding Dedicated Revenue, AGC, Series D, Prerefunded 12/1/18 @ 100, 5.000% due 12/1/19(c) | | | | | 75,610 | | |
| | | 60,000 | | | | B+ | | | Series A, 5.000% due 12/1/41 | | | | | 60,675 | | |
| | | 55,000 | | | | B+ | | | Series A, 5.000% due 12/1/42 | | | | | 55,392 | | |
| | | 170,000 | | | | B+ | | | Series C, 5.500% due 12/1/39 | | | | | 174,542 | | |
| | | | | | | | | | Chicago Midway International Airport, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A | | | Refunding AMT, Series A, 5.000% due 1/1/29(d) | | | | | 72,446 | | |
| | | 100,000 | | | | A | | | Refunding AMT, Series A, 5.000% due 1/1/30(d) | | | | | 111,042 | | |
| | | 70,000 | | | | A | | | Refunding AMT, Series A, 5.000% due 1/1/31(d) | | | | | 77,489 | | |
| | | 190,000 | | | | A | | | Refunding Second Lien, Series A, 5.000% due 1/1/32(d) | | | | | 206,315 | | |
| | | 10,000 | | | | A | | | Refunding Second Lien, Series B, 5.000% due 1/1/19 | | | | | 10,108 | | |
| | | 30,000 | | | | A | | | Refunding Second Lien, Series B, 5.000% due 1/1/22 | | | | | 32,626 | | |
| | | 95,000 | | | | A | | | Refunding Second Lien, Series B, 5.000% due 1/1/24 | | | | | 107,472 | | |
| | | | | | | | | | Chicago O’Hare International Airport, Revenue Bonds: | | | | | | | |
| | | 130,000 | | | | A | | | General Third Lien, Series B, 5.000% due 1/1/20 | | | | | 135,408 | | |
| | | 420,000 | | | | A | | | General Third Lien, Series C, Prerefunded 1/1/21 @ 100, 6.500% due 1/1/41(c) | | | | | 464,079 | | |
| | | 200,000 | | | | A | | | Refunding AMT Passenger Facility, 5.000% due 1/1/22(d) | | | | | 217,504 | | |
| | | 65,000 | | | | A | | | Refunding General Senior Lien, Series C, 5.000% due 1/1/22 | | | | | 71,257 | | |
| | | 40,000 | | | | A | | | Refunding General Senior Lien, Series C, 5.000% due 1/1/23 | | | | | 44,698 | | |
| | | 45,000 | | | | A | | | Refunding General Senior Lien, Series C, 5.000% due 1/1/24 | | | | | 51,197 | | |
| | | 65,000 | | | | A | | | Refunding General Senior Lien, Series C, 5.000% due 1/1/25 | | | | | 74,857 | | |
| | | 60,000 | | | | A | | | Refunding General Senior Lien, Series C, 5.000% due 1/1/26 | | | | | 69,673 | | |
| | | 70,000 | | | | A | | | Refunding General Senior Lien, Series C, 5.000% due 1/1/33 | | | | | 78,309 | | |
| | | 80,000 | | | | A | | | Refunding General Senior Lien, Series C, 5.000% due 1/1/34 | | | | | 89,274 | | |
| | | 50,000 | | | | A | | | Refunding Passenger Facility Charge, Series A, 5.000% due 1/1/22 | | | | | 54,813 | | |
| | | 75,000 | | | | BBB | | | Senior Trips Obligation Group, 5.000% due 7/1/38(d) | | | | | 82,510 | | |
| | | 60,000 | | | | A | | | Series D, 5.000% due 1/1/27(d) | | | | | 69,159 | | |
| | | 15,000 | | | | A | | | Series D, 5.000% due 1/1/28(d) | | | | | 17,218 | | |
| | | 85,000 | | | | A | | | Series D, 5.000% due 1/1/31(d) | | | | | 95,832 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 45,000 | | | | A | | | Series D, 5.000% due 1/1/33(d) | | | | $ | 50,283 | | |
| | | 150,000 | | | | A | | | Refunding AMT General 3rd Lien, Series D, 5.250% due 1/1/19(d) | | | | | 151,689 | | |
| | | | | | | | | | Chicago Transit Authority, Revenue Bonds, Refunding Federal Transit Administration Section 5338: | | | | | | | |
| | | 50,000 | | | | A+ | | | 5.000% due 6/1/22 | | | | | 54,621 | | |
| | | 45,000 | | | | A+ | | | 5.000% due 6/1/23 | | | | | 50,018 | | |
| | | 500,000 | | | | BBB+ | | | City of Chicago IL, GO, Capital Appreciation City Colleges, NPFG, zero coupon, due 1/1/20 | | | | | 482,960 | | |
| | | 40,000 | | | | A | | | City of Chicago IL Wastewater Transmission Revenue, Revenue Bonds, Second Lien, 5.000% due 1/1/23 | | | | | 43,101 | | |
| | | | | | | | | | City of Chicago IL Waterworks Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | AGM, 5.250% due 11/1/33 | | | | | 30,136 | | |
| | | 100,000 | | | | AA | | | Prerefunded 2017 Refunding Second, Prerefunded 11/1/18 @ 100, AGM, 5.250% due 11/1/33(c) | | | | | 100,573 | | |
| | | 20,000 | | | | AA | | | Prerefunded Education Refunding Senior Lien, Prerefunded 11/1/18 @ 100, AGM, 5.250% due 11/1/33(c) | | | | | 20,115 | | |
| | | | | | | | | | Cook County Forest Preserve District, GO: | | | | | | | |
| | | 30,000 | | | | AA- | | | Limited Tax Project Series B, 5.000% due 12/15/23 | | | | | 32,349 | | |
| | | 40,000 | | | | AA- | | | Limited Tax Project Series B, 5.000% due 12/15/24 | | | | | 42,954 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/15/25 | | | | | 64,142 | | |
| | | 50,000 | | | | AA | | | Cook County High School District No 205 Thornton Township, GO, AGC, Prerefunded 12/1/18 @ 100, 5.500% due 12/1/19(c) | | | | | 50,466 | | |
| | | 155,000 | | | | Aaa(b) | | | Cook Kane Lake & McHenry Counties Community College District No 512, GO, Refunding, Series B, 5.000% due 12/1/24 | | | | | 178,022 | | |
| | | | | | | | | | County of Cook IL, GO: | | | | | | | |
| | | 15,000 | | | | AA | | | Refunding AGM Credit, AGM, 5.000% due 11/15/25 | | | | | 16,378 | | |
| | | 565,000 | | | | AA- | | | Refunding, Series A, 5.250% due 11/15/24 | | | | | 599,635 | | |
| | | 60,000 | | | | AA- | | | Refunding, Series C, 5.000% due 11/15/22 | | | | | 66,567 | | |
| | | 145,000 | | | | AA- | | | Refunding, Series C, 5.000% due 11/15/23 | | | | | 160,258 | | |
| | | 540,000 | | | | AA- | | | Refunding, Series C, 5.000% due 11/15/24 | | | | | 592,742 | | |
| | | 85,000 | | | | AA- | | | Refunding, Series G, 5.000% due 11/15/25 | | | | | 89,395 | | |
| | | 35,000 | | | | Aa3(b) | | | Grundy & Will Counties Community Unit School District No 1 Coal City, GO, Refunding, 5.000% due 2/1/29 | | | | | 39,748 | | |
| | | 835,000 | | | | AA+ | | | Illinois Development Finance Authority, Revenue Bonds, Zero Regency Park A Rmk 4/15/92, zero coupon, due 7/15/23 | | | | | 742,849 | | |
| | | | | | | | | | Illinois Finance Authority, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | BB+ | | | Centegra Health System, Series A, 5.000% due 9/1/34 | | | | | 16,031 | | |
| | | 235,000 | | | | BB+ | | | Centegra Health System, 5.000% due 9/1/32 | | | | | 247,300 | | |
| | | 315,000 | | | | BB+ | | | Centegra Health System, 5.000% due 9/1/38 | | | | | 328,866 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 150,000 | | | | AAA | | | Illinois St Clean Water Initiative, 5.000% due 7/1/29 | | | | $ | 174,583 | | |
| | | 145,000 | | | | AAA | | | Illinois St Clean Water Initiative, 5.000% due 1/1/30 | | | | | 168,296 | | |
| | | 255,000 | | | | AAA | | | Illinois St Clean Water Initiative, 5.000% due 7/1/31 | | | | | 293,926 | | |
| | | 230,000 | | | | Baa2(b) | | | Ingalls Health System, 5.000% due 5/15/43 | | | | | 240,224 | | |
| | | 110,000 | | | | A3(b) | | | Mercy Health Corporation, 5.000% due 12/1/29 | | | | | 123,233 | | |
| | | 100,000 | | | | A3(b) | | | Mercy Health Corporation, 5.000% due 12/1/46 | | | | | 108,324 | | |
| | | 40,000 | | | | AA+ | | | Northwestern Memorial Healthcare, 5.000% due 7/15/25 | | | | | 46,322 | | |
| | | 60,000 | | | | AA+ | | | Northwestern Memorial Healthcare, 5.000% due 7/15/26 | | | | | 70,130 | | |
| | | 60,000 | | | | AA+ | | | Northwestern Memorial Healthcare, 5.000% due 7/15/28 | | | | | 71,073 | | |
| | | 4,260,000 | | | | AA+ | | | Northwestern Memorial Healthcare, 5.000% due 7/15/57(a) | | | | | 4,744,320 | | |
| | | 70,000 | | | | A | | | OSF Healthcare System, 5.000% due 5/15/28 | | | | | 79,553 | | |
| | | 40,000 | | | | A | | | OSF Healthcare System, 5.000% due 5/15/29 | | | | | 45,253 | | |
| | | 45,000 | | | | A | | | OSF Healthcare System, Series A, 5.000% due 5/15/23 | | | | | 49,094 | | |
| | | 30,000 | | | | A | | | OSF Healthcare System, Series A, 5.000% due 11/15/27 | | | | | 33,670 | | |
| | | 35,000 | | | | A | | | OSF Healthcare System, Series A, 5.000% due 11/15/28 | | | | | 39,138 | | |
| | | 55,000 | | | | A | | | OSF Healthcare System, Series A, 5.000% due 11/15/29 | | | | | 61,128 | | |
| | | 100,000 | | | | A | | | OSF Healthcare System, Series A, 5.000% due 11/15/32 | | | | | 110,063 | | |
| | | 70,000 | | | | A | | | OSF Healthcare System, Series A, 5.000% due 11/15/45 | | | | | 75,606 | | |
| | | 115,000 | | | | AA-(g) | | | Palos Community Hospital. Series C, 5.000% due 5/15/19 | | | | | 117,316 | | |
| | | 35,000 | | | | AA+ | | | Presence Health Network, 3.750% due 2/15/34 | | | | | 34,999 | | |
| | | 35,000 | | | | AA+ | | | Presence Health Network, 5.000% due 2/15/22 | | | | | 38,404 | | |
| | | 15,000 | | | | AA+ | | | Presence Health Network, 5.000% due 2/15/24 | | | | | 17,061 | | |
| | | 50,000 | | | | AA+ | | | Presence Health Network, 5.000% due 2/15/31 | | | | | 57,571 | | |
| | | 65,000 | | | | AA+ | | | Presence Health Network, 5.000% due 2/15/36 | | | | | 73,649 | | |
| | | 160,000 | | | | AA+ | | | Presence Health Network, Series C, 4.000% due 2/15/36 | | | | | 165,211 | | |
| | | 485,000 | | | | AA+ | | | Presence Health Network, Series C, 4.000% due 2/15/41 | | | | | 497,232 | | |
| | | 75,000 | | | | AA+ | | | Presence Health Network, Series C, 5.000% due 2/15/26 | | | | | 87,386 | | |
| | | 200,000 | | | | AA+ | | | Presence Health Network, Series C, 5.000% due 2/15/28 | | | | | 233,210 | | |
| | | 135,000 | | | | AA+ | | | Presence Health Network, Series C, 5.000% due 2/15/29 | | | | | 156,755 | | |
| | | 365,000 | | | | AA+ | | | Presence Health Network, Series C, 5.000% due 2/15/32 | | | | | 418,505 | | |
| | | 145,000 | | | | AA+ | | | Presence Health Network, Series C, 5.000% due 2/15/33 | | | | | 165,676 | | |
| | | 315,000 | | | | AA+ | | | Presence Health Network, Series C, 5.000% due 2/15/41 | | | | | 355,169 | | |
| | | 45,000 | | | | NR | | | Prerefunded University Chicago Medical, Series C, Prerefunded 8/15/20 @ 100, 5.000% due 8/15/23(c) | | | | | 47,659 | | |
| | | 60,000 | | | | AA+ | | | Provena Health, Series A, 6.000% due 5/1/20 | | | | | 64,152 | | |
| | | 185,000 | | | | AA+ | | | Provena Health, Series A, Prerefunded 5/1/20 @ 100, 6.250% due 5/1/21(c) | | | | | 198,553 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 40,000 | | | | A- | | | Refunding Bradley University Project, Series C, 5.000% due 8/1/22 | | | | $ | 43,589 | | |
| | | 45,000 | | | | A- | | | Refunding Bradley University Project, Series C, 5.000% due 8/1/24 | | | | | 50,172 | | |
| | | 50,000 | | | | A | | | Refunding Northwest Community Hospital, 5.000% due 7/1/34 | | | | | 55,127 | | |
| | | 75,000 | | | | A | | | Refunding Northwest Community Hospital, 5.000% due 7/1/30 | | | | | 83,834 | | |
| | | 255,000 | | | | A | | | Refunding Northwest Community Hospital, Series A, 5.000% due 7/1/36 | | | | | 279,684 | | |
| | | 25,000 | | | | Baa1(b) | | | Refunding Silver Cross Hospital and Medical, 5.000% due 8/15/27 | | | | | 27,765 | | |
| | | 175,000 | | | | Baa1(b) | | | Refunding Silver Cross Hospital and Medical, 5.000% due 8/15/35 | | | | | 189,709 | | |
| | | 840,000 | | | | Baa1(b) | | | Refunding Silver Cross Hospital and Medical, 5.000% due 8/15/44 | | | | | 898,884 | | |
| | | 60,000 | | | | BBB | | | Refunding Swedish Covenant, Series A, Prerefunded 2/15/20 @ 100, 5.500% due 8/15/24(c) | | | | | 63,045 | | |
| | | 40,000 | | | | BBB | | | Refunding Swedish Covenant, Series A, Prerefunded 2/15/20 @ 100, 5.750% due 8/15/29(c) | | | | | 42,172 | | |
| | | 90,000 | | | | AA | | | Revenue Advocate Health Care Network D, Prerefunded 11/1/18 @ 100, 6.250% due 11/1/28(c) | | | | | 90,647 | | |
| | | 75,000 | | | | AA | | | Revenue Advocate Health Care Network D, Prerefunded 11/1/18 @ 100, 6.500% due 11/1/38(c) | | | | | 75,569 | | |
| | | 45,000 | | | | AA- | | | Revenue Carle Foundation, Series A, 5.000% due 2/15/24 | | | | | 50,668 | | |
| | | 30,000 | | | | AA- | | | Revenue Carle Foundation, Series A, 5.000% due 2/15/25 | | | | | 34,113 | | |
| | | 45,000 | | | | AA- | | | Revenue Carle Foundation, Series A, 5.000% due 2/15/26 | | | | | 51,513 | | |
| | | 75,000 | | | | A+ | | | Riverside Health System, 5.000% due 11/15/26 | | | | | 82,200 | | |
| | | 25,000 | | | | A+ | | | Riverside Health System, 5.000% due 11/15/29 | | | | | 27,255 | | |
| | | 20,000 | | | | BBB+ | | | Rosalind Franklin University, Series A, 5.000% due 8/1/47 | | | | | 21,547 | | |
| | | 25,000 | | | | BBB+ | | | Rosalind Franklin University Research, 5.000% due 8/1/49 | | | | | 26,876 | | |
| | | 170,000 | | | | Aaa(b) | | | Rush University Medical Center, Prerefunded 11/01/18 @ 100, 7.250% due 11/1/38(c) | | | | | 171,499 | | |
| | | 10,000 | | | | A+ | | | Rush University Medical Center, Series A, 5.000% due 11/15/21 | | | | | 10,888 | | |
| | | 60,000 | | | | A+ | | | Rush University Medical Center, Series A, 5.000% due 11/15/34 | | | | | 66,307 | | |
| | | 85,000 | | | | A+ | | | Rush University Medical Center, Series B, 5.000% due 11/15/26 | | | | | 96,729 | | |
| | | 375,000 | | | | WD(g) | | | Silver Cross and Medical Ctrs, Prerefunded 8/15/19 @ 100, 7.000% due 8/15/44(c) | | | | | 393,394 | | |
| | | 95,000 | | | | A+ | | | Swedish Americn hospital, 5.000% due 11/15/43 | | | | | 99,677 | | |
| | | 95,000 | | | | BBB | | | Swedish Covenant Hospital, Series A, 5.000% due 8/15/33 | | | | | 103,295 | | |
| | | 60,000 | | | | AA- | | | Trinity Health Credit, Series L, Prerefunded 12/1/21 @ 100, 5.000% due 12/1/22(c) | | | | | 65,596 | | |
| | | 90,000 | | | | AA- | | | Unrefunded Balance University, 5.000% due 8/15/23 | | | | | 95,088 | | |
| | | 1,055,000 | | | | AA+ | | | Various Ascension Health, Series E, 1.750% due 11/15/42(a) | | | | | 1,046,054 | | |
| | | | | | | | | | Illinois Municipal Electric Agency, Revenue Bonds, Refunding: | | | | | | | |
| | | 290,000 | | | | A | | | Series A, 5.000% due 2/1/28 | | | | | 329,217 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 105,000 | | | | A | | | Series A, 5.000% due 2/1/31 | | | | $ | 117,938 | | |
| | | | | | | | | | Illinois State Toll Highway Authority, Revenue Bonds: | | | | | | | |
| | | 365,000 | | | | AA- | | | Series A, 5.000% due 1/1/40 | | | | | 403,080 | | |
| | | 175,000 | | | | AA- | | | Refunding Senior, Series D, 5.000% due 1/1/24 | | | | | 198,256 | | |
| | | 50,000 | | | | AA- | | | Refunding Senior, Series A, 5.000% due 12/1/31 | | | | | 56,634 | | |
| | | 580,000 | | | | AA- | | | Senior, Series B, 5.000% due 1/1/41 | | | | | 646,195 | | |
| | | 255,000 | | | | Aa3(b) | | | Kane Cook & DuPage Counties School District No U-46 Elgin, GO, Prerefunded Capital Appreciation, Series B, AMBAC, zero coupon, due 1/1/22 | | | | | 237,278 | | |
| | | | | | | | | | Kane McHenry Cook & De Kalb Counties Unit School District No 300, GO: | | | | | | | |
| | | 15,000 | | | | Aa3(b) | | | Prerefunded Capital Appreciation, AMBAC, zero coupon, due 12/1/18 | | | | | 14,942 | | |
| | | 115,000 | | | | Aa3(b) | | | Unrefunded Balance Capital Appreciation, AMBAC, zero coupon, due 12/1/18 | | | | | 114,466 | | |
| | | 260,000 | | | | AA | | | Refunding, 5.000% due 1/1/26 | | | | | 295,342 | | |
| | | 55,000 | | | | AA | | | Refunding, 5.000% due 1/1/29 | | | | | 63,376 | | |
| | | 155,000 | | | | Baa2(b) | | | Lake County Community High School District No 117 Antioch, GO, Capital Appreciation, Series B, NPFG, zero coupon, due 12/1/20 | | | | | 146,064 | | |
| | | 230,000 | | | | AA | | | McHenry & Kane Counties Community Consolidated School District No 158 Huntley, GO, Capital Appre School Building FGIC FSA Credit, AGM, zero coupon, due 1/1/24 | | | | | 195,571 | | |
| | | | | | | | | | McHenry County Community Unit School District No 200 Woodstock, GO, Capital Appreciation School Building: | | | | | | | |
| | | 215,000 | | | | Aa2(b) | | | Series B, NPFG, zero coupon, due 1/15/24 | | | | | 184,541 | | |
| | | 225,000 | | | | Aa2(b) | | | Series B, NPFG, zero coupon, due 1/15/25 | | | | | 185,477 | | |
| | | 170,000 | | | | Aa2(b) | | | Series B, NPFG, zero coupon, due 1/15/26 | | | | | 134,281 | | |
| | | | | | | | | | McHenry County Conservation District, GO, Refunding: | | ||||||
| | | 65,000 | | | | AA+ | | | 5.000% due 2/1/24 | | | | | 73,978 | | |
| | | 175,000 | | | | AA+ | | | 5.000% due 2/1/27 | | | | | 198,417 | | |
| | | | | | | | | | Metropolitan Pier & Exposition Authority, Revenue Bonds: | | | | | | | |
| | | 75,000 | | | | Baa2(b) | | | Capital Appreciation Mccormick Place, Series A, NPFG, zero coupon, due 6/15/20 | | | | | 71,183 | | |
| | | 1,400,000 | | | | BB+ | | | Capital Appreciation Refunding Mccormick Place, zero coupon, due 12/15/51 | | | | | 270,214 | | |
| | | 105,000 | | | | Baa2(b) | | | Capital Appreciation Refunding Mccormick, Series A, NPFG, zero coupon, due 6/15/23 | | | | | 88,876 | | |
| | | 4,680,000 | | | | BB+ | | | Capital Appreciation Refunding Mccormick Project, Series A, NPFG, zero coupon, due 6/15/28 | | | | | 3,137,987 | | |
| | | 455,000 | | | | AA | | | Capital Appreciation Refunding Mccormick, AGM, Series B, zero coupon, due 6/15/43 | | | | | 152,530 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 1,080,000 | | | | AA | | | Capital Appreciation Refunding Mccormick, AGM, Series B, zero coupon, due 6/15/44 | | | | $ | 345,546 | | |
| | | 115,000 | | | | AA | | | Capital Appreciation Refunding Mccormick, AGM, Series B, zero coupon, due 6/15/47 | | | | | 31,864 | | |
| | | 195,000 | | | | BB+ | | | Unrefunded Balance Capital, Series A, NPFG, zero coupon, due 12/15/23(c) | | | | | 161,782 | | |
| | | | | | | | | | Railsplitter Tobacco Settlement Authority, Revenue Bonds: | | | | | | | |
| | | 310,000 | | | | A | | | 5.000% due 6/1/23 | | | | | 344,419 | | |
| | | 405,000 | | | | A | | | 5.000% due 6/1/24 | | | | | 455,346 | | |
| | | 405,000 | | | | WD(g) | | | Prerefunded 6/1/21 @ 100, 5.500% due 6/1/23(c) | | | | | 444,062 | | |
| | | | | | | | | | Regional Transportation Authority, Revenue Bonds, Refunding: | | | | | | | |
| | | 70,000 | | | | AA | | | Series A, 5.000% due 7/1/20 | | | | | 73,815 | | |
| | | 70,000 | | | | AA | | | Series A, 5.000% due 7/1/21 | | | | | 75,613 | | |
| | | | | | | | | | State of Illinois, GO: | | | | | | | |
| | | 95,000 | | | | BBB- | | | 5.000% due 3/1/20 | | | | | 98,238 | | |
| | | 120,000 | | | | BBB- | | | 5.000% due 11/1/20 | | | | | 125,557 | | |
| | | 80,000 | | | | BBB- | | | 5.000% due 3/1/21 | | | | | 83,497 | | |
| | | 225,000 | | | | BBB- | | | 5.000% due 1/1/22 | | | | | 235,775 | | |
| | | 145,000 | | | | BBB- | | | 5.000% due 3/1/22 | | | | | 152,182 | | |
| | | 220,000 | | | | BBB- | | | 5.000% due 4/1/23 | | | | | 232,778 | | |
| | | 100,000 | | | | BBB- | | | 5.000% due 8/1/23 | | | | | 106,010 | | |
| | | 65,000 | | | | BBB- | | | 5.000% due 2/1/26 | | | | | 68,193 | | |
| | | 3,005,000 | | | | BBB- | | | 5.000% due 6/1/26 | | | | | 3,201,076 | | |
| | | 295,000 | | | | BBB- | | | 5.000% due 2/1/27 | | | | | 312,823 | | |
| | | 60,000 | | | | BBB- | | | 5.000% due 4/1/28 | | | | | 62,573 | | |
| | | 25,000 | | | | BBB- | | | 5.000% due 5/1/28 | | | | | 26,086 | | |
| | | 70,000 | | | | BBB- | | | 5.000% due 5/1/32 | | | | | 72,575 | | |
| | | 190,000 | | | | BBB- | | | 5.000% due 5/1/33 | | | | | 196,699 | | |
| | | 305,000 | | | | BBB- | | | 5.250% due 2/1/31 | | | | | 323,510 | | |
| | | 115,000 | | | | BBB- | | | 5.500% due 7/1/38 | | | | | 122,180 | | |
| | | 50,000 | | | | BB+ | | | Capital Appreciation Civic Center, Series B, AMBAC, zero coupon, due 12/15/18 | | | | | 49,573 | | |
| | | 90,000 | | | | BBB- | | | Refunding, 5.000% due 1/1/19 | | | | | 90,766 | | |
| | | 130,000 | | | | BBB- | | | Refunding, 5.000% due 8/1/19 | | | | | 133,007 | | |
| | | 45,000 | | | | BBB- | | | Refunding, 5.000% due 8/1/21 | | | | | 47,204 | | |
| | | 190,000 | | | | BBB- | | | Refunding, 5.000% due 8/1/22 | | | | | 200,171 | | |
| | | 45,000 | | | | BBB- | | | Refunding, 5.000% due 2/1/23 | | | | | 47,544 | | |
| | | 225,000 | | | | BBB- | | | Refunding, 5.000% due 6/1/25 | | | | | 239,393 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 180,000 | | | | BBB- | | | Refunding, 5.000% due 2/1/28 | | | | $ | 191,019 | | |
| | | 165,000 | | | | BBB- | | | Refunding, 5.000% due 2/1/29 | | | | | 174,380 | | |
| | | 345,000 | | | | AA | | | Refunding, AGM, 5.000% due 1/1/21 | | | | | 356,181 | | |
| | | 1,500,000 | | | | BBB- | | | Refunding, Series B, 5.000% due 10/1/26 | | | | | 1,599,375 | | |
| | | 65,000 | | | | BBB- | | | Series A, 4.000% due 1/1/23 | | | | | 65,723 | | |
| | | 105,000 | | | | BBB- | | | Series A, 5.000% due 1/1/33 | | | | | 108,066 | | |
| | | 925,000 | | | | BBB- | | | Series D, 5.000% due 11/1/26 | | | | | 986,133 | | |
| | | 735,000 | | | | A2(b) | | | Tender Option Bond Trust Receipts/Certificates, Floaters, Series 2017 XG0108, 1.740% due 4/1/46(a)(f) | | | | | 735,000 | | |
| | | | | | | | | | University of Illinois, Revenue Bonds, Auxiliary Facilities System: | | | | | | | |
| | | 115,000 | | | | A- | | | 6.000% due 10/1/42 | | | | | 129,104 | | |
| | | 115,000 | | | | A- | | | 6.250% due 10/1/38 | | | | | 130,779 | | |
| | | 75,000 | | | | A- | | | Series A, Prerefunded 4/1/19 @ 100, 5.750% due 4/1/38(c) | | | | | 76,717 | | |
| | | | | | | | | | Will County Community Unit School District No 365 Valley View, GO: | | | | | | | |
| | | 165,000 | | | | AA | | | Capital Appreciation, AGM, Series B, zero coupon, due 11/1/26 | | | | | 126,954 | | |
| | | 2,420,000 | | | | Aa2(b) | | | Series A, 5.000% due 11/1/25 | | | | | 2,779,878 | | |
| | | 200,000 | | | | AA | | | Will County School District No 86 Joliet, GO, Capital Appreciation AGM, zero coupon, due 11/1/21 | | | | | 185,380 | | |
| | | | | | | | | | Total Illinois | | | | | 44,219,772 | | |
| Indiana – 0.6% | | |||||||||||||||
| | | | | | | | | | City of Indianapolis IN Thermal Energy System Revenue, Revenue Bonds: | | | | | | | |
| | | 240,000 | | | | AA | | | Refunding, AGM, Series B, 5.000% due 10/1/20 | | | | | 254,640 | | |
| | | 160,000 | | | | AA | | | Refunding, AGM, Series B, 5.000% due 10/1/21 | | | | | 173,634 | | |
| | | 315,000 | | | | A | | | Refunding First Lien, Series A, 5.000% due 10/1/24 | | | | | 357,774 | | |
| | | 340,000 | | | | A | | | Refunding First Lien, Series A, 5.000% due 10/1/25 | | | | | 389,327 | | |
| | | | | | | | | | City of Whiting IN, Revenue Bonds, Bp Prods North America Inc. Project: | | | | | | | |
| | | 920,000 | | | | A- | | | 5.000% due 11/1/45(a)(d) | | | | | 1,015,570 | | |
| | | 215,000 | | | | A- | | | 5.250% due 1/1/21 | | | | | 230,265 | | |
| | | 330,000 | | | | AA+ | | | Hobart Building Corp., Revenue Bonds, Prerefunded 1/15/20 @ 100, NPFG, 6.500% due 1/15/29(c) | | | | | 351,123 | | |
| | | | | | | | | | Indiana Finance Authority, Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | AA- | | | Beacon Health System Obligation Group, 5.000% due 8/15/25 | | | | | 100,447 | | |
| | | 30,000 | | | | A+ | | | Community Foundation Northwest Industry, 5.000% due 3/1/22 | | | | | 32,680 | | |
| | | 45,000 | | | | A+ | | | Community Foundation Northwest Industry, 5.000% due 3/1/23 | | | | | 49,051 | | |
| | | 30,000 | | | | A+ | | | Community Foundation Northwest Industry, 5.000% due 9/1/25 | | | | | 34,450 | | |
| | | 30,000 | | | | A+ | | | Community Foundation Northwest Industry, 5.000% due 9/1/26 | | | | | 34,742 | | |
| | | 15,000 | | | | A+ | | | Community Foundation Northwest Industry, 5.000% due 9/1/29 | | | | | 17,128 | | |
| | | 30,000 | | | | A+ | | | Community Foundation Northwest Industry, 5.000% due 3/1/30 | | | | | 32,408 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Indiana – (continued) | | |||||||||||||||
| | $ | 240,000 | | | | A+ | | | Community Foundation Northwest Industry, 5.000% due 3/1/36 | | | | $ | 264,540 | | |
| | | 60,000 | | | | A+ | | | Community Foundation Northwest Industry, 5.000% due 9/1/36 | | | | | 66,800 | | |
| | | 155,000 | | | | A+ | | | Community Foundation Northwest Industry, 5.000% due 3/1/41 | | | | | 165,301 | | |
| | | 65,000 | | | | AA | | | Cwa Authority Project, Series A, 5.000% due 10/1/25 | | | | | 72,615 | | |
| | | 70,000 | | | | AA | | | First Lien Cwa Authority, Series A, 5.000% due 10/1/26 | | | | | 80,183 | | |
| | | 35,000 | | | | AA | | | First Lien Cwa Authority, Series A, 5.000% due 10/1/28 | | | | | 39,922 | | |
| | | 115,000 | | | | AA | | | First Lien Cwa Authority, Series A, 5.250% due 10/1/24 | | | | | 126,370 | | |
| | | 120,000 | | | | Aa3(b) | | | Refunding Sisters St Francis Health, 5.375% due 11/1/32 | | | | | 120,701 | | |
| | | | | | | | | | Indiana Municipal Power Agency, Revenue Bonds: | | | | | | | |
| | | 10,000 | | | | NR | | | Prerefunded Refunding, Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/24(c) | | | | | 11,118 | | |
| | | 10,000 | | | | NR | | | Prerefunded Refunding, Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/25(c) | | | | | 11,118 | | |
| | | 25,000 | | | | NR | | | Prerefunded Refunding, Series A, Prerefunded 7/1/22 @ 100, 5.000% due 1/1/26(c) | | | | | 27,794 | | |
| | | 20,000 | | | | A+ | | | Unrefunded Balance Refunding, Series A, 5.000% due 1/1/24 | | | | | 22,057 | | |
| | | 20,000 | | | | A+ | | | Unrefunded Balance Refunding, Series A, 5.000% due 1/1/25 | | | | | 21,972 | | |
| | | 55,000 | | | | A+ | | | Unrefunded Balance Refunding, Series A, 5.000% due 1/1/26 | | | | | 60,191 | | |
| | | | | | | | | | Lake Central Multi-District School Building Corp., Revenue Bonds, Multi First Mortgage: | | | | | | | |
| | | 40,000 | | | | AA+ | | | Series B, 4.000% due 1/15/22 | | | | | 42,359 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 7/15/22 | | | | | 33,093 | | |
| | | 80,000 | | | | AA+ | | | Series B, 5.000% due 7/15/23 | | | | | 88,912 | | |
| | | 120,000 | | | | AA+ | | | Series B, 5.000% due 7/15/24 | | | | | 133,579 | | |
| | | 125,000 | | | | AA+ | | | Series B, 5.000% due 7/15/25 | | | | | 138,925 | | |
| | | | | | | | | | Total Indiana | | | | | 4,600,789 | | |
| Iowa – 0.2% | | |||||||||||||||
| | | 1,155,000 | | | | Aa1(b) | | | City of Cedar Rapids IA, GO, Refunding, Series A, 5.000% due 6/1/25 | | | | | 1,328,423 | | |
| | | | | | | | | | Iowa Finance Authority, Revenue Bonds, Lifespace Cmntys Inc.: | | | | | | | |
| | | 90,000 | | | | BBB(g) | | | Series A, 5.000% due 5/15/43 | | | | | 96,277 | | |
| | | 155,000 | | | | BBB(g) | | | Series A, 5.000% due 5/15/48 | | | | | 165,224 | | |
| | | | | | | | | | Total Iowa | | | | | 1,589,924 | | |
| Kansas – 0.2% | | |||||||||||||||
| | | 1,000,000 | | | | Aa2(b) | | | Geary County Unified School District No 475, GO, Refunding, Series B, 5.000% due 9/1/20 | | | | | 1,059,420 | | |
| | | | | | | | | | Kansas Development Finance Authority, Revenue Bonds: | | | | | | | |
| | | 10,000 | | | | AA | | | Unrefunded Balance, 5.000% due 11/15/19 | | | | | 10,378 | | |
| | | 30,000 | | | | AA- | | | KU Health System, Series H, 5.000% due 3/1/25 | | | | | 31,345 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Kansas – (continued) | | |||||||||||||||
| | $ | 30,000 | | | | NR | | | Hays Medical Center Incorporate, Series Q, Prerefunded 5/15/19 @ 100, 5.000% due 5/15/20(c) | | | | $ | 30,684 | | |
| | | | | | | | | | Wyandotte County-Kansas City Unified Government Utility System Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | Improvement, Series A, 5.000% due 9/1/30 | | | | | 33,940 | | |
| | | 35,000 | | | | A+ | | | Improvement, Series A, 5.000% due 9/1/32 | | | | | 39,360 | | |
| | | 30,000 | | | | A+ | | | Improvement, Series B, 5.000% due 9/1/23 | | | | | 33,119 | | |
| | | 45,000 | | | | A+ | | | Improvement, Series B, 5.000% due 9/1/24 | | | | | 49,605 | | |
| | | 130,000 | | | | A+ | | | Refunding Board Public Utils, Series A, 5.000% due 9/1/24 | | | | | 143,304 | | |
| | | | | | | | | | Total Kansas | | | | | 1,431,155 | | |
| Kentucky – 0.7% | | |||||||||||||||
| | | 780,000 | | | | Baa2(b) | | | City of Pikeville KY, Revenue Bonds, Refunding and Improvement Pikeville Medical, 6.000% due 3/1/22 | | | | | 842,338 | | |
| | | | | | | | | | Kenton County Airport Board, Revenue Bonds, Refunding: | | | | | | | |
| | | 25,000 | | | | A2(b) | | | 5.000% due 1/1/25 | | | | | 28,320 | | |
| | | 15,000 | | | | A2(b) | | | 5.000% due 1/1/26 | | | | | 17,149 | | |
| | | 45,000 | | | | A2(b) | | | 5.000% due 1/1/29 | | | | | 50,561 | | |
| | | 50,000 | | | | A2(b) | | | 5.000% due 1/1/30 | | | | | 56,039 | | |
| | | | | | | | | | Kentucky Economic Development Finance Authority, Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | AA | | | Louisville Arena Authority Incorporate, AGM, 5.000% due 12/1/47 | | | | | 48,779 | | |
| | | 50,000 | | | | Baa3(b) | | | Refunding Owensboro Health, Series B, 5.000% due 6/1/25 | | | | | 55,001 | | |
| | | 55,000 | | | | Baa3(b) | | | Refunding Owensboro Health, Series B, 5.000% due 6/1/26 | | | | | 60,850 | | |
| | | 55,000 | | | | Baa3(b) | | | Refunding Owensboro Health, Series B, 5.000% due 6/1/27 | | | | | 60,570 | | |
| | | 60,000 | | | | Baa3(b) | | | Refunding Owensboro Health, Series B, 5.000% due 6/1/28 | | | | | 65,849 | | |
| | | 65,000 | | | | Baa3(b) | | | Refunding Owensboro Health, Series B, 5.000% due 6/1/29 | | | | | 71,050 | | |
| | | 65,000 | | | | Baa3(b) | | | Refunding Owensboro Health, Series B, 5.000% due 6/1/30 | | | | | 70,723 | | |
| | | | | | | | | | Kentucky State Property & Building Commission, Revenue Bonds: | | | | | | | |
| | | 145,000 | | | | A- | | | Project Number 119, 5.000% due 5/1/28 | | | | | 166,916 | | |
| | | 15,000 | | | | A- | | | Project Number 119, 5.000% due 5/1/29 | | | | | 17,120 | | |
| | | 40,000 | | | | AA | | | Project Number 119, 5.000% due 5/1/31 | | | | | 45,653 | | |
| | | 110,000 | | | | A- | | | Project Number 106, Series A, 5.000% due 10/1/27 | | | | | 122,136 | | |
| | | 165,000 | | | | A- | | | Project Number 112, Series A, 5.000% due 2/1/29 | | | | | 185,018 | | |
| | | 170,000 | | | | A- | | | Project Number 112, Series A, 5.000% due 2/1/30 | | | | | 189,791 | | |
| | | 65,000 | | | | A- | | | Project Number 112, Series A, 5.000% due 2/1/32 | | | | | 71,936 | | |
| | | 80,000 | | | | A- | | | Project Number 112, Series A, 5.000% due 2/1/33 | | | | | 88,205 | | |
| | | 345,000 | | | | NR | | | Prerefunded 11/1/18 @ 100, 5.750% due 11/1/23(c) | | | | | 347,270 | | |
| | | 1,285,000 | | | | A- | | | Refunding Project Number 112, Series B, 5.000% due 11/1/27 | | | | | 1,466,661 | | |
| | | 55,000 | | | | A1(b) | | | Refunding Project Number 117, Series D, 5.000% due 5/1/21 | | | | | 58,979 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Kentucky – (continued) | | |||||||||||||||
| | $ | 35,000 | | | | A1(b) | | | Refunding Project Number 117, Series D, 5.000% due 5/1/26 | | | | $ | 39,832 | | |
| | | 30,000 | | | | A1(b) | | | Refunding Project Number 117, Series D, 5.000% due 5/1/27 | | | | | 34,273 | | |
| | | 30,000 | | | | A1(b) | | | Refunding Project Number 117, Series D, 5.000% due 5/1/28 | | | | | 34,053 | | |
| | | | | | | | | | Louisville/Jefferson County Metropolitan Government, Revenue Bonds: | | | | | | | |
| | | 20,000 | | | | BBB+ | | | Catholic Health Initiatives, 5.000% due 12/1/28 | | | | | 21,338 | | |
| | | 20,000 | | | | BBB+ | | | Catholic Health Initiatives, 5.000% due 12/1/30 | | | | | 21,229 | | |
| | | 365,000 | | | | A | | | Louisville Gas and Electric Company Project, Series P, 1.500% due 10/1/33(a) | | | | | 364,088 | | |
| | | 70,000 | | | | A- | | | Norton Healthcare, Series A, 5.500% due 10/1/33 | | | | | 78,210 | | |
| | | 185,000 | | | | A- | | | Norton Healthcare, Series A, 5.750% due 10/1/38 | | | | | 208,212 | | |
| | | 525,000 | | | | A- | | | Norton Healthcare Inc., Series A, 5.000% due 10/1/29 | | | | | 598,558 | | |
| | | 95,000 | | | | A- | | | Norton Healthcare Inc., Series A, 5.000% due 10/1/32 | | | | | 107,078 | | |
| | | | | | | | | | Total Kentucky | | | | | 5,693,785 | | |
| Louisiana – 0.3% | | |||||||||||||||
| | | 90,000 | | | | AA- | | | City of New Orleans LA, GO, Refunding, 5.000% due 12/1/20 | | | | | 95,942 | | |
| | | 1,500,000 | | | | AA | | | Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bonds, Refunding Lctcs Acourt 391 Project, 5.000% due 10/1/26 | | | | | 1,749,885 | | |
| | | | | | | | | | Louisiana Public Facilities Authority, Revenue Bonds: | | ||||||
| | | 50,000 | | | | A | | | Prerefunded 7/1/19 @ 100, 6.750% due 7/1/39(c) | | | | | 52,043 | | |
| | | 40,000 | | | | A | | | Refunding Tulane University Project, Series A, 5.000% due 12/15/22 | | | | | 44,565 | | |
| | | 85,000 | | | | A | | | Refunding Tulane University Project, Series A, 5.000% due 12/15/23 | | | | | 96,341 | | |
| | | 60,000 | | | | A2(b) | | | Louisiana Stadium & Exposition District, Revenue Bonds, Refunding Senior, Series A, 5.000% due 7/1/24 | | | | | 67,324 | | |
| | | | | | | | | | New Orleans Aviation Board, Revenue Bonds: | | | | | | | |
| | | 20,000 | | | | A- | | | AMT General Airport, Series D2, 5.000% due 1/1/26(d) | | | | | 22,808 | | |
| | | 15,000 | | | | A- | | | AMT General Airport, Series D2, 5.000% due 1/1/29(d) | | | | | 17,017 | | |
| | | 20,000 | | | | A- | | | AMT General Airport, Series D2, 5.000% due 1/1/30(d) | | | | | 22,595 | | |
| | | 45,000 | | | | A- | | | AMT General Airport, Series D2, 5.000% due 1/1/32(d) | | | | | 50,456 | | |
| | | 35,000 | | | | A- | | | AMT General Airport, Series D2, 5.000% due 1/1/35(d) | | | | | 38,894 | | |
| | | 15,000 | | | | A- | | | AMT General Airport, Series D2, 5.000% due 1/1/38(d) | | | | | 16,555 | | |
| | | 10,000 | | | | A- | | | AMT General Airport North Terminal, Series B, 5.000% due 1/1/29(d) | | | | | 11,345 | | |
| | | 20,000 | | | | A- | | | AMT General Airport North Terminal, Series B, 5.000% due 1/1/31(d) | | | | | 22,502 | | |
| | | 20,000 | | | | A- | | | AMT General Airport North Terminal, Series B, 5.000% due 1/1/36(d) | | | | | 22,164 | | |
| | | 15,000 | | | | A- | | | AMT General Airport North Terminal, Series B, 5.000% due 1/1/37(d) | | | | | 16,589 | | |
| | | 70,000 | | | | A- | | | Senior, Series B, 5.000% due 1/1/24(d) | | | | | 78,371 | | |
| | | 85,000 | | | | A- | | | Senior, Series B, 5.000% due 1/1/25(d) | | | | | 96,184 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Louisiana – (continued) | | |||||||||||||||
| | $ | 65,000 | | | | A- | | | Senior, Series B, 5.000% due 1/1/27(d) | | | | $ | 73,271 | | |
| | | | | | | | | | Total Louisiana | | | | | 2,594,851 | | |
| Maine – 0.1% | | |||||||||||||||
| | | | | | | | | | Maine Health & Higher Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | BBB | | | Eastern Maine Healthcare, Series A, 4.000% due 7/1/41 | | | | | 56,480 | | |
| | | 80,000 | | | | BBB | | | Eastern Maine Healthcare, Series A, 4.000% due 7/1/46 | | | | | 74,163 | | |
| | | 25,000 | | | | BBB | | | Eastern Maine Healthcare, Series A, 5.000% due 7/1/41 | | | | | 26,219 | | |
| | | 15,000 | | | | BBB | | | Eastern Maine Healthcare, Series A, 5.000% due 7/1/46 | | | | | 15,680 | | |
| | | 100,000 | | | | BBB | | | Eastern Maine Medical Center Obligation, 5.000% due 7/1/43 | | | | | 103,542 | | |
| | | 20,000 | | | | A1(b) | | | Unrefunded Balance 2017, Series D, 5.750% due 7/1/38 | | | | | 20,058 | | |
| | | | | | | | | | Maine Turnpike Authority, Revenue Bonds, Refunding: | | | | | | | |
| | | 65,000 | | | | AA- | | | 5.000% due 7/1/25 | | | | | 75,931 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 7/1/27 | | | | | 68,906 | | |
| | | | | | | | | | Total Maine | | | | | 440,979 | | |
| Maryland – 4.0% | | |||||||||||||||
| | | | | | | | | | City of Baltimore MD, Revenue Bonds: | | | | | | | |
| | | 105,000 | | | | AA | | | Refunding Wastewater Projects, Series C, 5.000% due 7/1/28 | | | | | 123,230 | | |
| | | 195,000 | | | | AA | | | Refunding Wastewater Projects, Series C, 5.000% due 7/1/31 | | | | | 226,801 | | |
| | | 200,000 | | | | AA | | | Refunding Wastewater Projects, Series C, 5.000% due 7/1/33 | | | | | 231,170 | | |
| | | 170,000 | | | | AA | | | Refunding Water Projects, Series D, 5.000% due 7/1/33 | | | | | 195,138 | | |
| | | 4,230,000 | | | | AAA | | | County of Baltimore MD, GO, Refunding Consolidated Public Improvement, Series B, 4.500% due 9/1/24 | | | | | 4,780,704 | | |
| | | 2,500,000 | | | | AAA | | | County of Howard MD, GO, Refunding Consolidated Public Improvement, Series D, 5.000% due 2/15/30 | | | | | 2,999,550 | | |
| | | | | | | | | | County of Prince George’s MD, GO, Consolidated Public Improvement: | | | | | | | |
| | | 3,595,000 | | | | AAA | | | Series A, 5.000% due 7/15/22 | | | | | 4,002,241 | | |
| | | 5,805,000 | | | | NR | | | Series A, 5.000% due 7/15/29 | | | | | 7,015,459 | | |
| | | 2,065,000 | | | | AAA | | | Series C, 4.000% due 8/1/26 | | | | | 2,221,961 | | |
| | | | | | | | | | Maryland Economic Development Corp., Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | BBB+ | | | Purple Line Light Rail Project, Series D, 5.000% due 3/31/30(d) | | | | | 39,079 | | |
| | | 65,000 | | | | BBB+ | | | Purple Line Light Rail Project, Series D, 5.000% due 3/31/51(d) | | | | | 70,281 | | |
| | | 115,000 | | | | A | | | Refunding Potomac Convertible 3/17/9, 6.200% due 9/1/22 | | | | | 117,446 | | |
| | | 45,000 | | | | Baa3(b) | | | Refunding Transportation Facilities Project, Series A, 5.000% due 6/1/23 | | | | | 49,657 | | |
| | | 45,000 | | | | Baa3(b) | | | Refunding Transportation Facilities Project, Series A, 5.000% due 6/1/24 | | | | | 50,289 | | |
| | | 45,000 | | | | Baa3(b) | | | Refunding Transportation Facilities Project, Series A, 5.000% due 6/1/25 | | | | | 50,627 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Maryland – (continued) | | |||||||||||||||
| | $ | 60,000 | | | | Baa3(b) | | | Refunding Transportation Facilities Project, Series A, 5.000% due 6/1/26 | | | | $ | 67,920 | | |
| | | 40,000 | | | | Baa3(b) | | | Refunding Transportation Facilities Project, Series A, 5.000% due 6/1/27 | | | | | 45,613 | | |
| | | 30,000 | | | | Baa3(b) | | | Refunding Transportation Facilities Project, Series A, 5.000% due 6/1/31 | | | | | 33,950 | | |
| | | 30,000 | | | | Baa3(b) | | | Refunding Transportation Facilities Project, Series A, 5.000% due 6/1/32 | | | | | 33,738 | | |
| | | | | | | | | | Maryland Health & Higher Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | WD(g) | | | Doctors Community Hospital, Prerefunded 7/1/20 @ 100, 5.625% due 7/1/30(c) | | | | | 74,751 | | |
| | | 225,000 | | | | WD(g) | | | Doctors Community Hospital, Prerefunded 7/1/20 @ 100, 5.750% due 7/1/38(c) | | | | | 240,772 | | |
| | | 40,000 | | | | BBB | | | Mercy Medical Center, Series A, 4.000% due 7/1/42 | | | | | 39,393 | | |
| | | 65,000 | | | | BBB | | | Mercy Medical Center, Series A, 5.000% due 7/1/33 | | | | | 71,572 | | |
| | | 50,000 | | | | BBB | | | Mercy Medical Center, Series A, 5.000% due 7/1/34 | | | | | 54,840 | | |
| | | 20,000 | | | | BBB | | | Mercy Medical Center, Series A, 5.000% due 7/1/35 | | | | | 21,850 | | |
| | | 50,000 | | | | BBB | | | Mercy Medical Center, Series A, 5.000% due 7/1/36 | | | | | 54,413 | | |
| | | 30,000 | | | | BBB | | | Meritus Medical Center, 5.000% due 7/1/27 | | | | | 33,558 | | |
| | | 40,000 | | | | BBB | | | Meritus Medical Center, 5.000% due 7/1/28 | | | | | 44,535 | | |
| | | 65,000 | | | | BBB | | | Meritus Medical Center, 5.000% due 7/1/29 | | | | | 72,033 | | |
| | | 30,000 | | | | BBB | | | Meritus Medical Center, 5.000% due 7/1/31 | | | | | 32,995 | | |
| | | 35,000 | | | | A | | | University Maryland Medical System, Series A, 5.000% due 7/1/24 | | | | | 38,492 | | |
| | | 30,000 | | | | A | | | University Maryland Medical System, Series A, 5.000% due 7/1/25 | | | | | 32,958 | | |
| | | 105,000 | | | | A | | | University Maryland Medical System, Prerefunded 7/1/19 @ 100, 5.125% due 7/1/39(c) | | | | | 107,913 | | |
| | | | | | | | | | State of Maryland, GO: | | | | | | | |
| | | 5,000,000 | | | | AAA | | | Local Facilities Loan Second, Series A, 5.000% due 8/1/27 | | | | | 6,010,050 | | |
| | | 2,965,000 | | | | AAA | | | St and Local Facilities Loan Second, Series B, 5.000% due 8/1/27 | | | | | 3,563,960 | | |
| | | | | | | | | | Total Maryland | | | | | 32,848,939 | | |
| Massachusetts – 0.4% | | |||||||||||||||
| | | | | | | | | | Commonwealth of Massachusetts, GO: | | | | | | | |
| | | 290,000 | | | | AA | | | Series A, Prerefunded 4/1/21 @ 100, 5.000% due 4/1/23(c) | | | | | 313,296 | | |
| | | 90,000 | | | | AA | | | Refunding, Series B, 5.000% due 7/1/22 | | | | | 100,096 | | |
| | | 400,000 | | | | AA | | | Refunding, Series B, 5.250% due 8/1/20 | | | | | 426,352 | | |
| | | 520,000 | | | | AA | | | Refunding, Series C, 5.000% due 4/1/23 | | | | | 587,101 | | |
| | | 45,000 | | | | AA | | | Massachusetts Bay Transportation Authority, Revenue Bonds, Senior, Series A, 5.000% due 7/1/45 | | | | | 50,572 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Massachusetts – (continued) | | |||||||||||||||
| | | | | | | | | | Massachusetts Development Finance Agency, Revenue Bonds: | | | |||||
| | $ | 55,000 | | | | AA- | | | Boston Collage, Series Q-1, 5.000% due 7/1/21 | | | | $ | 56,483 | | |
| | | 140,000 | | | | BBB | | | Boston Medical Center, Series D, 5.000% due 7/1/44 | | | | | 150,528 | | |
| | | 65,000 | | | | AAA | | | Harvard University, Series A, 5.000% due 7/15/22 | | | | | 72,517 | | |
| | | 145,000 | | | | NR | | | North hill Cmntys, Series A, Prerefunded 11/15/23 @ 100, 6.250% due 11/15/28(c)(e)(f) | | | | | 167,432 | | |
| | | 45,000 | | | | AA- | | | Partners Healthcare System, 5.000% due 7/1/23 | | | | | 50,844 | | |
| | | 335,000 | | | | AA- | | | Partners Healthcare, Series S4, 5.000% due 7/1/38(a) | | | | | 380,044 | | |
| | | 115,000 | | | | AA- | | | Partners Healthcare System, 5.000% due 7/1/24 | | | | | 131,961 | | |
| | | 105,000 | | | | AA- | | | Partners Healthcare System, Series S, 5.000% due 7/1/30 | | | | | 123,363 | | |
| | | 500,000 | | | | AA+ | | | Williams Collage, Series N, 1.450% due 7/1/41(a) | | | | | 492,350 | | |
| | | | | | | | | | Massachusetts Health & Educational Facilities Authority, Revenue Bonds, Partners Healthcare: | | | | | | | |
| | | 215,000 | | | | AA- | | | Series I4, 5.000% due 7/1/20 | | | | | 220,943 | | |
| | | 135,000 | | | | AA- | | | Prerefunded 7/1/19 @ 100, 5.000% due 7/1/21(c) | | | | | 138,708 | | |
| | | 75,000 | | | | AA+ | | | Town of Braintree MA, GO, Municipal Purpose Loan, Prerefunded 5/15/19 @ 100, 5.000% due 5/15/20(c) | | | | | 76,763 | | |
| | | | | | | | | | Total Massachusetts | | | | | 3,539,353 | | |
| Michigan – 1.2% | | |||||||||||||||
| | | 160,000 | | | | AA | | | City of Detroit MI Sewage Disposal System Revenue, Revenue Bonds, Fltg Rate Notes Refunding System Libor, Series G, AGM, 2.166% (3-Month USD-LIBOR) due 7/1/32(a) | | | | | 153,143 | | |
| | | 85,000 | | | | Aa1(b) | | | Clarkston Community Schools, GO, Refunding, 5.000% due 5/1/22 | | | | | 93,660 | | |
| | | | | | | | | | Grand Rapids Public Schools, GO: | | | | | | | |
| | | 40,000 | | | | AA | | | Refunding, AGM, 5.000% due 5/1/27 | | | | | 46,788 | | |
| | | 55,000 | | | | AA | | | Refunding, AGM, 5.000% due 5/1/29 | | | | | 63,692 | | |
| | | 100,000 | | | | AA | | | Refunding School Building and Site, AGM, 5.000% due 5/1/30 | | | | | 114,542 | | |
| | | 145,000 | | | | AA | | | Refunding School Building and Site, AGM, 5.000% due 5/1/31 | | | | | 165,445 | | |
| | | 20,000 | | | | AA | | | Refunding School Building and Site, AGM, 5.000% due 5/1/32 | | | | | 22,761 | | |
| | | 90,000 | | | | AA | | | Refunding School Building and Site, AGM, 5.000% due 5/1/33 | | | | | 102,095 | | |
| | | | | | | | | | Kalamazoo Hospital Finance Authority, Revenue Bonds, Refunding Bronson Healthcare Group: | | | | | | | |
| | | 100,000 | | | | A2(b) | | | 5.000% due 5/15/27 | | | | | 113,868 | | |
| | | 75,000 | | | | A2(b) | | | 5.000% due 5/15/28 | | | | | 85,070 | | |
| | | 100,000 | | | | AAA | | | Kent County Building Authority, Revenue Bonds, Refunding, 5.500% due 6/1/22 | | | | | 112,008 | | |
| | | | | | | | | | Kent Hospital Finance Authority, Revenue Bonds, Refunding Spectrum Health: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 11/15/20 | | | | | 31,969 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | $ | 20,000 | | | | AA | | | Series A, 5.000% due 11/15/21 | | | | $ | 21,737 | | |
| | | | | | | | | | Michigan Finance Authority, Revenue Bond: | | | | | | | |
| | | 750,000 | | | | Aa3(b) | | | 5.000% due 11/1/24 | | | | | 860,483 | | |
| | | 1,250,000 | | | | Aa3(b) | | | 5.000% due 11/1/23 | | | | | 1,415,762 | | |
| | | 10,000 | | | | A- | | | Local Government Loan Program Detroit, 5.000% due 7/1/27 | | | | | 11,258 | | |
| | | 30,000 | | | | A- | | | Local Government Loan Program Detroit, 5.000% due 7/1/29 | | | | | 33,519 | | |
| | | 35,000 | | | | A- | | | Local Government Loan Program Detroit, 5.000% due 7/1/31 | | | | | 38,832 | | |
| | | 30,000 | | | | A- | | | Local Government Loan Program Detroit, 5.000% due 7/1/32 | | | | | 33,207 | | |
| | | 25,000 | | | | A- | | | Local Government Loan Program Detroit, 5.000% due 7/1/33 | | | | | 27,592 | | |
| | | 160,000 | | | | A+ | | | Refunding Hospital Oakwood Obligation Group, 5.000% due 8/15/28 | | | | | 177,864 | | |
| | | 60,000 | | | | A+ | | | Refunding Hospital Oakwood Obligation Group, 5.000% due 8/15/29 | | | | | 66,464 | | |
| | | 45,000 | | | | AA- | | | Refunding Hospital Trinity Health Credit, 5.000% due 12/1/23 | | | | | 51,106 | | |
| | | 50,000 | | | | AA- | | | Refunding Hospital Trinity Health Credit, 5.000% due 12/1/24 | | | | | 57,395 | | |
| | | 85,000 | | | | AA- | | | Refunding Hospital Trinity Health Credit, 5.000% due 12/1/25 | | | | | 98,866 | | |
| | | 40,000 | | | | AA- | | | Refunding Hospital Trinity Health Credit, 5.000% due 12/1/26 | | | | | 47,012 | | |
| | | 35,000 | | | | AA- | | | Refunding Hospital Trinity Health Credit, 5.000% due 12/1/27 | | | | | 41,416 | | |
| | | 60,000 | | | | AA- | | | Refunding Hospital Trinity Health Credit, 5.000% due 12/1/28 | | | | | 70,731 | | |
| | | 45,000 | | | | WR(b) | | | Series A, 5.000% due 6/1/21 | | | | | 48,554 | | |
| | | 65,000 | | | | WR(b) | | | Series A, Prerefunded 6/1/22 @ 100, 5.000% due 6/1/27(c) | | | | | 71,915 | | |
| | | 140,000 | | | | WR(b) | | | Series A, Prerefunded 6/1/22 @ 100, 5.000% due 6/1/39(c) | | | | | 154,893 | | |
| | | 205,000 | | | | A+ | | | Sparrow Obligation Group, 5.000% due 11/15/36 | | | | | 221,626 | | |
| | | 45,000 | | | | A+ | | | Sparrow Obligation Group, 5.000% due 11/15/42 | | | | | 48,465 | | |
| | | | | | | | | | Michigan State Building Authority, Revenue Bonds, Refunding Facilities Program: | | | | | | | |
| | | 495,000 | | | | AA- | | | Series I, 5.000% due 10/15/34 | | | | | 563,879 | | |
| | | 80,000 | | | | AA- | | | Series I, 5.000% due 4/15/35 | | | | | 90,887 | | |
| | | | | | | | | | Michigan State Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 125,000 | | | | NR | | | Prerefunded Refunding Trinity Health, Series C, Prerefunded 12/1/18 @ 100, 6.500% due 12/1/33(c) | | | | | 126,461 | | |
| | | 180,000 | | | | AA+ | | | Refunding Ascension Health Senior Group, Series C, 2.400% due 11/15/47(a) | | | | | 180,230 | | |
| | | 750,000 | | | | AA- | | | Refunding Trinity Health Credit Group, Series C, 5.000% due 12/1/19 | | | | | 779,445 | | |
| | | 700,000 | | | | AA- | | | Refunding Trinity Health Credit Group, Series C, 5.000% due 12/1/20 | | | | | 747,964 | | |
| | | 45,000 | | | | AA- | | | Refunding Trinity Health Credit Group, Series C, 5.000% due 12/1/24 | | | | | 51,656 | | |
| | | 40,000 | | | | AA- | | | Refunding Trinity Health Credit Group, Series C, 5.000% due 12/1/25 | | | | | 46,525 | | |
| | | 60,000 | | | | AA- | | | Refunding Trinity Health Credit Group, Series C, 5.000% due 12/1/26 | | | | | 70,518 | | |
| | | 40,000 | | | | AA- | | | Refunding Trinity Health Credit Group, Series C, 5.000% due 12/1/27 | | | | | 47,333 | | |
| | | 60,000 | | | | AA- | | | Refunding Trinity Health Credit Group, Series C, 5.000% due 12/1/28 | | | | | 70,731 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | $ | 710,000 | | | | AA+ | | | Refunding and Project Ascension Health Senior, Series F5, 4.000% due 11/15/47(a) | | | | $ | 768,951 | | |
| | | 5,000 | | | | AA- | | | Unrefunded Balance 2016 Refunding, 6.500% due 12/1/33 | | | | | 5,060 | | |
| | | | | | | | | | Michigan Strategic Fund, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A | | | Limited Adjusted Refunding Detroit Education Pollution, 1.450% due 9/1/30(a) | | | | | 33,742 | | |
| | | 290,000 | | | | A | | | Various Refunding Detroit Edison Exempt, 1.450% due 8/1/29(a) | | | | | 279,577 | | |
| | | | | | | | | | Portage Public Schools, GO, Refunding School Building and Site: | | | | | | | |
| | | 35,000 | | | | AA- | | | 5.000% due 11/1/27 | | | | | 40,664 | | |
| | | 90,000 | | | | AA- | | | 5.000% due 11/1/29 | | | | | 103,757 | | |
| | | | | | | | | | Royal Oak Hospital Finance Authority, Revenue Bonds, Refunding William Beaumont Hospital Series: | | | | | | | |
| | | 30,000 | | | | A+ | | | 5.000% due 9/1/22 | | | | | 33,240 | | |
| | | 60,000 | | | | A+ | | | 5.000% due 9/1/24 | | | | | 68,242 | | |
| | | 95,000 | | | | AA | | | State of Michigan, Revenue Bonds, Refunding Grant Anticipation, 5.000% due 3/15/27 | | | | | 112,099 | | |
| | | 280,000 | | | | AA+ | | | State of Michigan Trunk Line Revenue, Revenue Bonds, Refunding, AGM, 5.500% due 11/1/20 | | | | | 302,047 | | |
| | | | | | | | | | Warren Consolidated Schools, GO, School Building and Site: | | | | | | | |
| | | 130,000 | | | | AA | | | 5.000% due 5/1/30 | | | | | 148,521 | | |
| | | 140,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 158,917 | | |
| | | 145,000 | | | | AA | | | 5.000% due 5/1/32 | | | | | 163,641 | | |
| | | | | | | | | | Wayne County Airport Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A | | | Refunding, Series C, 5.000% due 12/1/22 | | | | | 66,479 | | |
| | | 65,000 | | | | A | | | Refunding, Series C, 5.000% due 12/1/23 | | | | | 73,544 | | |
| | | 70,000 | | | | A | | | Refunding, Series C, 5.000% due 12/1/24 | | | | | 80,529 | | |
| | | 60,000 | | | | A | | | Refunding, Series C, 5.000% due 12/1/25 | | | | | 69,831 | | |
| | | 45,000 | | | | A | | | Refunding, Series C, 5.000% due 12/1/26 | | | | | 52,889 | | |
| | | 45,000 | | | | A | | | Refunding, Series C, 5.000% due 12/1/27 | | | | | 52,968 | | |
| | | 15,000 | | | | A | | | Senior, Series A, 5.000% due 12/1/36 | | | | | 17,028 | | |
| | | 20,000 | | | | A | | | Senior, Series B, 5.000% due 12/1/29(d) | | | | | 22,910 | | |
| | | 15,000 | | | | A | | | Senior, Series B, 5.000% due 12/1/31(d) | | | | | 17,029 | | |
| | | 10,000 | | | | A | | | Senior, Series B, 5.000% due 12/1/33(d) | | | | | 11,284 | | |
| | | 25,000 | | | | A | | | Senior, Series B, 5.000% due 12/1/36(d) | | | | | 27,937 | | |
| | | 5,000 | | | | A | | | Series A, 5.000% due 12/1/29 | | | | | 5,819 | | |
| | | 10,000 | | | | A | | | Series A, 5.000% due 12/1/30 | | | | | 11,585 | | |
| | | 10,000 | | | | A | | | Series A, 5.000% due 12/1/31 | | | | | 11,525 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | $ | 15,000 | | | | A | | | Series B, 5.000% due 12/1/30(d) | | | | $ | 17,093 | | |
| | | | | | | | | | Total Michigan | | | | | 10,236,275 | | |
| Minnesota – 1.7% | | |||||||||||||||
| | | 60,000 | | | | Baa1(b) | | | City of Maple Grove MN, Revenue Bonds, Refunding North Memorial Health Care, 5.000% due 9/1/26 | | | | | 67,395 | | |
| | | 40,000 | | | | A+ | | | Housing & Redevelopment Authority of The City of St Paul Minnesota, Revenue Bonds, Facility Healthfirst Care System Project, Prerefunded 11/15/25 @ 100, 5.000% due 11/15/40(c) | | | | | 46,862 | | |
| | | | | | | | | | Minnesota Agricultural & Economic Development Board, Revenue Bonds, Health Care Essential, AGC: | | | | | | | |
| | | 120,000 | | | | AA | | | Series C1, 5.000% due 2/15/21 | | | | | 125,485 | | |
| | | 165,000 | | | | AA | | | Series C1, 5.000% due 2/15/22 | | | | | 172,372 | | |
| | | | | | | | | | Northern Municipal Power Agency, Revenue Bonds: | | | | | | | |
| | | 120,000 | | | | A- | | | Series A1, 5.000% due 1/1/19 | | | | | 121,252 | | |
| | | 130,000 | | | | A- | | | Series A1, 5.000% due 1/1/20 | | | | | 135,426 | | |
| | | | | | | | | | State of Minnesota, GO: | | | |||||
| | | 3,000,000 | | | | AAA | | | Refunding, Series D, 5.000% due 8/1/25 | | | | | 3,516,480 | | |
| | | 4,835,000 | | | | AAA | | | Series B, 5.000% due 8/1/27 | | | | | 5,811,718 | | |
| | | 3,685,000 | | | | AAA | | | Various Purpose, Series A, 5.000% due 8/1/26 | | | | | 4,231,412 | | |
| | | | | | | | | | Total Minnesota | | | | | 14,228,402 | | |
| Mississippi – 0.6% | | |||||||||||||||
| | | | | | | | | | State of Mississippi, GO, Refunding: | | | | | | | |
| | | 2,500,000 | | | | AA | | | Series A, 5.000% due 10/1/29 | | | | | 2,955,475 | | |
| | | 160,000 | | | | AA | | | Series A, 5.000% due 10/1/30 | | | | | 188,306 | | |
| | | 1,250,000 | | | | AA | | | Series A, 5.000% due 10/1/34 | | | | | 1,451,562 | | |
| | | | | | | | | | Total Mississippi | | | | | 4,595,343 | | |
| Missouri – 0.4% | | |||||||||||||||
| | | | | | | | | | Cape Girardeau County Industrial Development Authority, Revenue Bonds, Southeast Health: | | | | | | | |
| | | 30,000 | | | | BBB- | | | Series A, 5.000% due 3/1/27 | | | | | 33,490 | | |
| | | 35,000 | | | | BBB- | | | Series A, 5.000% due 3/1/36 | | | | | 37,681 | | |
| | | | | | | | | | Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | Children’s Mercy Hospital, 5.000% due 5/15/29 | | | | | 34,028 | | |
| | | 30,000 | | | | A+ | | | Children’s Mercy Hospital, 5.000% due 5/15/30 | | | | | 33,874 | | |
| | | 30,000 | | | | A+ | | | Children’s Mercy Hospital, 5.000% due 5/15/31 | | | | | 33,743 | | |
| | | 85,000 | | | | A+ | | | Children’s Mercy Hospital, 5.000% due 5/15/36 | | | | | 94,318 | | |
| | | 20,000 | | | | AA- | | | St Anthony’s Medical Center, Series B, 4.000% due 2/1/40 | | | | | 20,301 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Missouri – (continued) | | |||||||||||||||
| | $ | 70,000 | | | | AA- | | | St Anthony’s Medical Center, Series B, 5.000% due 2/1/30 | | | | $ | 78,858 | | |
| | | 80,000 | | | | AA- | | | St Anthony’s Medical Center, Series B, 5.000% due 2/1/32 | | | | | 89,487 | | |
| | | 65,000 | | | | AA- | | | St Anthony’s Medical Center, Series B, 5.000% due 2/1/36 | | | | | 72,026 | | |
| | | 105,000 | | | | AA- | | | St Anthony’s Medical Center, Series B, 5.000% due 2/1/45 | | | | | 114,652 | | |
| | | 2,500,000 | | | | AAA | | | Metropolitan St Louis Sewer District, Revenue Bonds, Refunding and Improvement, Series A, 5.000% due 5/1/37 | | | | | 2,890,950 | | |
| | | 10,000 | | | | A | | | Missouri Development Finance Board, Revenue Bonds, Branson Landing Project, Series A, 6.000% due 6/1/20 | | | | | 10,380 | | |
| | | 10,000 | | | | Aaa(b) | | | Missouri State Environmental Improvement & Energy Resources Authority, Revenue Bonds, Unrefunded Balance St Revolving Fund, 5.125% due 1/1/20 | | | | | 10,026 | | |
| | | | | | | | | | Total Missouri | | | | | 3,553,814 | | |
| Montana – 0.0% | | |||||||||||||||
| | | | | | | | | | Montana Facility Finance Authority, Revenue Bonds, Refunding: | | ||||||
| | | 35,000 | | | | A(g) | | | 5.000% due 2/15/21 | | | | | 37,518 | | |
| | | 40,000 | | | | A(g) | | | 5.000% due 2/15/22 | | | | | 43,723 | | |
| | | 60,000 | | | | A(g) | | | 5.000% due 2/15/23 | | | | | 66,753 | | |
| | | 60,000 | | | | A(g) | | | 5.000% due 2/15/24 | | | | | 67,655 | | |
| | | 60,000 | | | | A(g) | | | 5.000% due 2/15/25 | | | | | 68,416 | | |
| | | 90,000 | | | | A(g) | | | 5.000% due 2/15/26 | | | | | 103,547 | | |
| | | | | | | | | | Total Montana | | | | | 387,612 | | |
| Nebraska – 0.1% | | |||||||||||||||
| | | | | | | | | | Nebraska Public Power District, Revenue Bonds, General: | | | | | | | |
| | | 115,000 | | | | A+ | | | Series B, 5.000% due 1/1/31 | | | | | 131,069 | | |
| | | 125,000 | | | | A+ | | | Series B, 5.000% due 1/1/34 | | | | | 141,233 | | |
| | | 155,000 | | | | A+ | | | Series B, 5.000% due 1/1/36 | | | | | 174,260 | | |
| | | | | | | | | | Total Nebraska | | | | | 446,562 | | |
| Nevada – 1.8% | | |||||||||||||||
| | | | | | | | | | City of Carson City NV, Revenue Bonds, Refunding Carson Tahoe Regional Medical Center: | | | | | | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 9/1/24 | | | | | 22,516 | | |
| | | 15,000 | | | | BBB+ | | | 5.000% due 9/1/28 | | | | | 17,019 | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 9/1/30 | | | | | 22,493 | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 9/1/32 | | | | | 22,346 | | |
| | | 20,000 | | | | BBB+ | | | 5.000% due 9/1/34 | | | | | 22,199 | | |
| | | | | | | | | | Clark Country School District, GO: | | | | | | | |
| | | 75,000 | | | | A+ | | | Refunding, Series A, 5.000% due 6/15/21 | | | | | 81,048 | | |
| | | 65,000 | | | | A+ | | | Refunding, Series A, 5.000% due 6/15/23 | | | | | 72,896 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Nevada – (continued) | | |||||||||||||||
| | $ | 1,500,000 | | | | A+ | | | Refunding Limited Tax, Series A, 5.000% due 6/15/24 | | | | $ | 1,703,985 | | |
| | | 2,670,000 | | | | A+ | | | Refunding Building, Series A, 5.000% due 6/15/25 | | | | | 3,055,041 | | |
| | | 3,620,000 | | | | A+ | | | Limited Tax Building, Series A, 5.000% due 6/15/28 | | | | | 4,242,857 | | |
| | | 1,000,000 | | | | NR | | | Series C, 5.000% due 6/15/23 | | | | | 1,121,470 | | |
| | | 280,000 | | | | A+ | | | Country of Clark Department of Aviation, Revenue Bonds, Junior Subordinated Lien Notes, Series C, 5.000% due 7/1/21(d) | | | | | 301,731 | | |
| | | 345,000 | | | | A | | | Country of Clark NV, Revenue Bonds, Refunding Southern California Edison Co., Series A, 1.875% due 6/1/31(a) | | | | | 342,851 | | |
| | | 2,250,000 | | | | AA+ | | | Country of Clark NV, GO, Stadium Improvements, Series A, 5.000% due 6/1/35 | | | | | 2,625,435 | | |
| | | | | | | | | | Las Vegas Valley Water District, GO: | | | | | | | |
| | | 85,000 | | | | AA+ | | | Tax Water Improvement, Series A, 5.000% due 6/1/32 | | | | �� | 97,544 | | |
| | | 145,000 | | | | AA+ | | | Tax Water Improvement, Series A, 5.000% due 6/1/33 | | | | | 165,858 | | |
| | | 155,000 | | | | AA+ | | | Tax Water Improvement, Series A, 5.000% due 6/1/34 | | | | | 176,835 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 6/1/22 | | | | | 33,237 | | |
| | | 60,000 | | | | AA+ | | | Series B, 5.000% due 6/1/23 | | | | | 66,314 | | |
| | | 60,000 | | | | AA+ | | | Series B, 5.000% due 6/1/24 | | | | | 66,269 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 6/1/25 | | | | | 33,055 | | |
| | | | | | | | | | State of Nevada, GO, Refunding Capital Improvement and Cultural: | | | | | | | |
| | | 40,000 | | | | AA | | | 5.000% due 8/1/21 | | | | | 43,501 | | |
| | | 80,000 | | | | AA | | | 5.000% due 3/1/25 | | | | | 89,779 | | |
| | | | | | | | | | Total Nevada | | | | | 14,426,279 | | |
| New Hampshire – 0.3% | | |||||||||||||||
| | | 1,535,000 | | | | BBB+ | | | City of Manchester NH General Airport Revenue, Revenue Bonds, General, Series A, 5.000% due 1/1/21 | | | | | 1,634,975 | | |
| | | | | | | | | | New Hampshire Health & Education Facilities Authority Act, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | A2(b) | | | Concord Hospital, Series A, 5.000% due 10/1/43 | | | | | 75,188 | | |
| | | 40,000 | | | | A- | | | Refunding Catholic Medical Center, 4.000% due 7/1/22 | | | | | 42,338 | | |
| | | 35,000 | | | | A- | | | Refunding Catholic Medical Center, 5.000% due 7/1/26 | | | | | 37,837 | | |
| | | 135,000 | | | | BBB | | | Refunding Elliot Hospital, 5.000% due 10/1/26(e) | | | | | 151,959 | | |
| | | 145,000 | | | | BBB | | | Refunding Elliot Hospital, 5.000% due 10/1/27(e) | | | | | 162,996 | | |
| | | 60,000 | | | | BBB | | | Refunding Elliot Hospital, 5.000% due 10/1/28(e) | | | | | 67,130 | | |
| | | 210,000 | | | | BBB | | | Refunding Elliot Hospital, 5.000% due 10/1/30(e) | | | | | 232,915 | | |
| | | 25,000 | | | | BBB | | | Refunding Elliot Hospital, 4.000% due 10/1/38(e) | | | | | 24,693 | | |
| | | 40,000 | | | | AA- | | | Refunding Partners Healthcare System, 5.000% due 7/1/24 | | | | | 45,900 | | |
| | | 70,000 | | | | AA- | | | Refunding Partners Healthcare System, 5.000% due 7/1/30 | | | | | 82,054 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Hampshire – (continued) | | |||||||||||||||
| | | | | | | | | | New Hampshire State Turnpike System, Revenue Bonds, Refunding: | | | |||||
| | $ | 65,000 | | | | A+ | | | Series B, 5.000% due 2/1/22 | | | | $ | 71,275 | | |
| | | 65,000 | | | | A+ | | | Series B, 5.000% due 2/1/23 | | | | | 71,051 | | |
| | | 50,000 | | | | A+ | | | Series B, 5.000% due 2/1/24 | | | | | 54,637 | | |
| | | | | | | | | | Total New Hampshire | | | | | 2,754,948 | | |
| New Jersey – 1.4% | | |||||||||||||||
| | | | | | | | | | Camden County Improvement Authority, Revenue Bonds, Refunding Project Cooper Health System: | | | | | | | |
| | | 60,000 | | | | BBB+ | | | 5.000% due 2/15/24 | | | | | 67,136 | | |
| | | 30,000 | | | | BBB+ | | | 5.000% due 2/15/25 | | | | | 33,199 | | |
| | | | | | | | | | City of Bayonne NJ, GO, Refunding Qualified General Improvement: | | | | | | | |
| | | 45,000 | | | | AA | | | 5.000% due 7/1/31 | | | | | 50,333 | | |
| | | 30,000 | | | | AA | | | 5.000% due 7/1/32 | | | | | 33,467 | | |
| | | 30,000 | | | | AA | | | 5.000% due 7/1/33 | | | | | 33,315 | | |
| | | | | | | | | | New Jersey Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 185,000 | | | | Ba1(b) | | | Refunding Port Newark Container, 5.000% due 10/1/37(d) | | | | | 199,393 | | |
| | | 30,000 | | | | AA | | | Refunding Provident Group Montclair, AGM, 5.000% due 6/1/25 | | | | | 34,027 | | |
| | | 40,000 | | | | AA | | | Refunding Provident Group Montclair, AGM, 5.000% due 6/1/27 | | | | | 46,108 | | |
| | | 60,000 | | | | AA | | | Refunding Provident Group Montclair, AGM, 5.000% due 6/1/28 | | | | | 68,814 | | |
| | | 45,000 | | | | AA | | | Refunding Provident Group Montclair, AGM, 5.000% due 6/1/29 | | | | | 51,351 | | |
| | | 40,000 | | | | BBB+ | | | Refunding School Facilities Construction, 5.000% due 3/1/25 | | | | | 43,284 | | |
| | | 220,000 | | | | BBB+ | | | Refunding School Facilities Construction, Series Li, 5.000% due 3/1/21 | | | | | 233,464 | | |
| | | 270,000 | | | | BBB+ | | | Refunding School Facilities Construction, Series Nn, 5.000% due 3/1/23 | | | | | 294,060 | | |
| | | 370,000 | | | | BBB+ | | | Refunding School Facilities Construction, Series Nn, 5.000% due 3/1/24 | | | | | 401,024 | | |
| | | 580,000 | | | | BBB+ | | | Refunding, Series Xx, 5.000% due 6/15/26 | | | | | 642,014 | | |
| | | 125,000 | | | | BBB+ | | | School Facilities Construction, Series L, 5.500% due 9/1/19 | | | | | 129,587 | | |
| | | | | | | | | | New Jersey Educational Facilities Authority, Revenue Bonds, Refunding Stockton University: | | | | | | | |
| | | 55,000 | | | | Baa1(b) | | | Series A, 5.000% due 7/1/29 | | | | | 61,397 | | |
| | | 30,000 | | | | Baa1(b) | | | Series A, 5.000% due 7/1/33 | | | | | 32,926 | | |
| | | | | | | | | | New Jersey Health Care Facilities Financing Authority, Revenue Bonds: | | | | | | | |
| | | 10,000 | | | | BBB | | | Refunding Trinitas Regional Medical Center Series, 5.000% due 7/1/21 | | | | | 10,716 | | |
| | | 25,000 | | | | BBB | | | Refunding Trinitas Regional Medical Center Series, 5.000% due 7/1/22 | | | | | 27,312 | | |
| | | 90,000 | | | | BBB | | | Refunding Trinitas Regional Medical Center Series, 5.000% due 7/1/23 | | | | | 99,727 | | |
| | | 25,000 | | | | BBB | | | Refunding Trinitas Regional Medical Center Series, 5.000% due 7/1/24 | | | | | 27,964 | | |
| | | 25,000 | | | | BBB | | | Refunding Trinitas Regional Medical Center Series, 5.000% due 7/1/25 | | | | | 28,178 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Jersey – (continued) | | |||||||||||||||
| | $ | 10,000 | | | | BBB | | | Refunding Trinitas Regional Medical Center Series, 5.000% due 7/1/26 | | | | $ | 11,318 | | |
| | | 15,000 | | | | BBB | | | Refunding Trinitas Regional Medical Center Series, 5.000% due 7/1/27 | | | | | 16,910 | | |
| | | 75,000 | | | | BBB | | | Refunding Trinitas Regional Medical Center Series, 5.000% due 7/1/28 | | | | | 84,108 | | |
| | | 15,000 | | | | AA | | | Refunding Princeton Health Care, Series A, 5.000% due 7/1/28 | | | | | 17,533 | | |
| | | 45,000 | | | | AA | | | Refunding Princeton Health Care, Series A, 5.000% due 7/1/33 | | | | | 51,671 | | |
| | | | | | | | | | New Jersey Higher Education Student Assistance Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | AA | | | Refunding Senior, Series 1B, 5.000% due 12/1/21(d) | | | | | 43,247 | | |
| | | 145,000 | | | | Aaa(b) | | | Series 1, 5.000% due 12/1/18(d) | | | | | 146,089 | | |
| | | 40,000 | | | | AA | | | Series 1A, 5.000% due 12/1/22(d) | | | | | 43,878 | | |
| | | 100,000 | | | | AA | | | Series 1A, 5.000% due 12/1/24(d) | | | | | 111,902 | | |
| | | | | | | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds: | | ||||||
| | | 5,000,000 | | | | A+ | | | Refunding Federal Highway Reimbursement Notes, 5.000% due 6/15/24 | | | | | 5,560,300 | | |
| | | 435,000 | | | | A+ | | | Refunding Federal Highway Reimbursement Notes, 5.000% due 6/15/27 | | | | | 489,153 | | |
| | | 215,000 | | | | BBB+ | | | Transportation Program, Series Aa, 5.000% due 6/15/23 | | | | | 231,516 | | |
| | | 345,000 | | | | BBB+ | | | Transportation Program, Series Aa, 5.000% due 6/15/24 | | | | | 369,709 | | |
| | | 360,000 | | | | BBB+ | | | Transportation Program, Series Aa, 5.000% due 6/15/25 | | | | | 395,313 | | |
| | | 215,000 | | | | BBB+ | | | Transportation Program, Series Aa, 5.000% due 6/15/26 | | | | | 234,782 | | |
| | | 90,000 | | | | BBB+ | | | Transportation System B 4 Rmkt 9/03/08, Series B4, 5.250% due 12/15/19 | | | | | 93,634 | | |
| | | | | | | | | | New Jersey Turnpike Authority, Revenue Bonds, SIFMA Libor Index: | | | | | | | |
| | | 60,000 | | | | A+ | | | Series C1, 1.797% (1-Month USD-LIBOR) due 1/1/21(a) | | | | | 60,055 | | |
| | | 555,000 | | | | A+ | | | Series C5, 1.917% (1-Month USD-LIBOR) due 1/1/28(a) | | | | | 557,176 | | |
| | | | | | | | | | State of New Jersey, COP, Equipment Lease Purchase: | | | | | | | |
| | | 110,000 | | | | BBB+ | | | Series A, Prerefunded 6/15/19 @ 100, 5.250% due 6/15/20(c) | | | | | 113,053 | | |
| | | 130,000 | | | | BBB+ | | | Series A, Prerefunded 6/15/19 @ 100, 5.250% due 6/15/21(c) | | | | | 133,609 | | |
| | | 305,000 | | | | BBB+ | | | Series A, Prerefunded 6/15/19 @ 100, 5.250% due 6/15/22(c) | | | | | 313,467 | | |
| | | 110,000 | | | | A- | | | State of New Jersey, GO, Refunding, Series Q, 5.000% due 8/15/19 | | | | | 113,259 | | |
| | | | | | | | | | Total New Jersey | | | | | 11,840,478 | | |
| New Mexico – 0.0% | | |||||||||||||||
| | | 340,000 | | | | A | | | City of Farmington NM, Revenue Bonds, Refunding Southern California Edison Co., Series A, 1.875% due 4/1/29(a) | | | | | 337,882 | | |
| New York – 11.1% | | |||||||||||||||
| | | | | | | | | | City of New York NY, GO: | | | | | | | |
| | | 2,825,000 | | | | AA+ | | | Adjusted Fiscal 2015 Subordinated, Series F4, 1.550% due 6/1/44(a) | | | | | 2,825,000 | | |
| | | 60,000 | | | | AA | | | Refunding Fiscal 2015, Series A, 5.000% due 8/1/22 | | | | | 66,634 | | |
| | | 130,000 | | | | AA | | | Refunding, Series A, 5.000% due 8/1/22 | | | | | 144,373 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | $ | 90,000 | | | | AA | | | Refunding, Series C, 5.000% due 8/1/27 | | | | $ | 103,527 | | |
| | | 2,035,000 | | | | AA | | | Subordinated, Series B1, 5.000% due 12/1/38 | | | | | 2,309,379 | | |
| | | 1,325,000 | | | | AA | | | Subordinated, Series E1, 5.250% due 3/1/34 | | | | | 1,575,624 | | |
| | | 1,000,000 | | | | AA | | | Subordinated, Series F1, 5.000% due 4/1/43 | | | | | 1,142,950 | | |
| | | 90,000 | | | | AA | | | Series J, 5.000% due 8/1/22 | | | | | 99,950 | | |
| | | 1,925,000 | | | | AA | | | County of Nassau NY, GO, Series A AGM, 5.000% due 4/1/32 | | | | | 2,236,273 | | |
| | | | | | | | | | Dutchess County Local Development Corp., Revenue Bonds, Health Quest System Inc.: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, AGM, 5.000% due 7/1/20 | | | | | 31,668 | | |
| | | 30,000 | | | | A- | | | Series A, 5.750% due 7/1/40 | | | | | 32,254 | | |
| | | | | | | | | | Hudson Yards Infrastructure Corp., Revenue Bonds, Refunding: | | | | | | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 2/15/32 | | | | | 132,599 | | |
| | | 215,000 | | | | A+ | | | Series A, 5.000% due 2/15/35 | | | | | 246,001 | | |
| | | | | | | | | | Long Island Power Authority, Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | A- | | | General, Series A, Prerefunded 5/1/19 @ 100, 6.000% due 5/1/33(c) | | | | | 180,068 | | |
| | | 60,000 | | | | A- | | | Refunding, Series B, 5.000% due 9/1/22 | | | | | 66,697 | | |
| | | 45,000 | | | | A- | | | Refunding, Series B, 5.000% due 9/1/23 | | | | | 50,899 | | |
| | | 40,000 | | | | A- | | | Refunding, Series B, 5.000% due 9/1/24 | | | | | 45,914 | | |
| | | | | | | | | | Metropolitan Transportation Authority, Revenue Bonds: | | | | | | | |
| | | 3,765,000 | | | | SP-1 | | | Bond Anticipation Notes, Series B1A, 5.000% due 5/15/20 | | | | | 3,963,453 | | |
| | | 2,000,000 | | | | SP-1 | | | Bond Anticipation Notes, Series B1D, 5.000% due 5/15/20 | | | | | 2,105,420 | | |
| | | 2,735,000 | | | | SP-1 | | | Bond Anticipation Notes, Series B2D, 5.000% due 5/15/21 | | | | | 2,956,070 | | |
| | | 2,500,000 | | | | SP-1 | | | Bond Anticipation Notes Transportation, Series B2A, 5.000% due 5/15/21 | | | | | 2,702,075 | | |
| | | 695,000 | | | | SP-1 | | | Bond Anticipation Notes Transportation Subordinated, Series C1B, 4.000% due 2/15/19 | | | | | 702,867 | | |
| | | 290,000 | | | | A | | | Refunding Transportation Climate, Series C2, zero coupon, due 11/15/33 | | | | | 166,388 | | |
| | | 230,000 | | | | A | | | Series B, NPFG, 5.250% due 11/15/19 | | | | | 239,580 | | |
| | | 770,000 | | | | A | | | Subordinated, Series A1, 5.000% due 11/15/45(a) | | | | | 818,133 | | |
| | | 245,000 | | | | NR | | | Transportation, Series C, Prerefunded 11/15/18 @ 100, 6.500% due 11/15/28(c) | | | | | 247,411 | | |
| | | | | | | | | | Monroe County Industrial Development Agency, Revenue Bonds, Revenue Rochester Schs Modernization: | | | | | | | |
| | | 7,000,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 8,255,800 | | |
| | | 3,000,000 | | | | AA | | | 5.000% due 5/1/33 | | | | | 3,505,110 | | |
| | | 370,000 | | | | A2(b) | | | MTA Hudson Rail Yards Trust Obligations, Revenue Bonds, Series A, 5.000% due 11/15/51 | | | | | 394,461 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | | | | | | | | | New York City Transitional Finance Authority Building Aid Revenue, Revenue Bonds: | | | |||||
| | $ | 3,000,000 | | | | AA | | | Fiscal 2018, Series S1, 5.000% due 7/15/29 | | | | $ | 3,545,640 | | |
| | | 380,000 | | | | AA | | | Transitional Series, Series S3, 5.250% due 1/15/34 | | | | | 384,811 | | |
| | | | | | | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds: | | | | | | | |
| | | 2,000,000 | | | | AAA | | | Future Tax Secured Fiscal, Series A3, 4.000% due 8/1/42 | | | | | 2,082,120 | | |
| | | 305,000 | | | | NR | | | Prerefunded 11/1/19 @ 100, 5.000% due 11/1/20(c) | | | | | 316,749 | | |
| | | 275,000 | | | | AAA | | | Subordinated, Series C2, 5.000% due 5/1/32 | | | | | 323,067 | | |
| | | 145,000 | | | | AAA | | | Subordinated Future Tax Secured, Series B, 4.000% due 2/1/21 | | | | | 152,370 | | |
| | | 100,000 | | | | AAA | | | Subordinated Future Tax Secured, Series B, 5.000% due 2/1/21 | | | | | 107,425 | | |
| | | 4,000,000 | | | | AAA | | | Subordinated Future Tax Secured Fiscal, 5.000% due 8/1/33 | | | | | 4,696,040 | | |
| | | 430,000 | | | | AAA | | | Subordinated Future Tax Secured Fiscal, 5.000% due 2/1/40 | | | | | 487,654 | | |
| | | 160,000 | | | | AAA | | | Subordinated Future Tax Secured Fiscal, Series A, 5.000% due 11/1/21 | | | | | 175,014 | | |
| | | 240,000 | | | | AAA | | | Tax Secured Fiscal, Series A3, 5.000% due 8/1/40 | | | | | 273,838 | | |
| | | 770,000 | | | | AAA | | | Unrefunded Balance Future Tax, 5.000% due 11/1/20 | | | | | 800,022 | | |
| | | | | | | | | | New York City Water & Sewer System, Revenue Bonds, 2nd General Resolution Fiscal: | | | | | | | |
| | | 4,285,000 | | | | AA+ | | | 1.470% due 6/15/50(a) | | | | | 4,285,000 | | |
| | | 10,000,000 | | | | AA+ | | | 2019, 5.000% due 6/15/23 | | | | | 11,330,900 | | |
| | | | | | | | | | New York State Dormitory Authority, Revenue Bonds: | | | | | | | |
| | | 75,000 | | | | AAA | | | Education, Series B, Prerefunded 3/15/19 @ 100, 5.750% due 3/15/36(c) | | | | | 76,665 | | |
| | | 30,000 | | | | A- | | | Non The New School, Series A, 5.000% due 7/1/23 | | | | | 33,705 | | |
| | | 70,000 | | | | A- | | | Non The New School, Series A, 5.000% due 7/1/25 | | | | | 80,722 | | |
| | | 145,000 | | | | AA | | | Refunding Consolidated Service Contract, Series A, 5.000% due 7/1/20 | | | | | 149,178 | | |
| | | 355,000 | | | | AA | | | Refunding Consolidated Service Contract, Series A, 5.000% due 7/1/21 | | | | | 364,961 | | |
| | | 10,000,000 | | | | AAA | | | Sales Tax Revenue St Support Debt, Series C, 5.000% due 3/15/33 | | | | | 11,746,300 | | |
| | | 385,000 | | | | AA | | | Third General Resolution St University, 5.000% due 5/15/23 | | | | | 426,214 | | |
| | | 30,000 | | | | AAA | | | Unrefunded Balance 2018, Series A, 5.000% due 2/15/19 | | | | | 30,460 | | |
| | | 85,000 | | | | AAA | | | Unrefunded Balance 2018, Series A, 5.000% due 2/15/20 | | | | | 89,022 | | |
| | | 2,150,000 | | | | AAA | | | New York State Environmental Facilities Corp., Revenue Bonds, Series A, 5.000% due 6/15/33 | | | | | 2,541,945 | | |
| | | | | | | | | | New York State Thruway Authority Highway & Bridge Trust Fund, Revenue Bonds: | | | | | | | |
| | | 235,000 | | | | AA | | | Series A, Prerefunded 4/1/20 @ 100, 5.000% due 4/1/23(c) | | | | | 247,204 | | |
| | | 60,000 | | | | AA | | | Series A1, 5.000% due 4/1/19 | | | | | 61,184 | | |
| | | 65,000 | | | | AA | | | Series A1, 5.000% due 4/1/20 | | | | | 68,355 | | |
| | | 60,000 | | | | AA | | | Series A1, 5.000% due 4/1/21 | | | | | 64,804 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | | | | | | | | | New York State Urban Development Corp., Revenue Bonds, St Personal Income Tax: | | | |||||
| | $ | 285,000 | | | | AAA | | | Series A, 5.000% due 3/15/22 | | | | $ | 308,957 | | |
| | | 80,000 | | | | AAA | | | Series A, 5.000% due 3/15/32 | | | | | 92,415 | | |
| | | | | | | | | | New York Transportation Development Corp., Revenue Bonds, AMT Laguardia Airport Terminal B: | | | | | | | |
| | | 245,000 | | | | Baa3(b) | | | 5.000% due 7/1/41(d) | | | | | 261,797 | | |
| | | 395,000 | | | | Baa3(b) | | | 5.250% due 1/1/50(d) | | | | | 425,711 | | |
| | | | | | | | | | Port Authority of New York & New Jersey, Revenue Bonds: | | ||||||
| | | 1,400,000 | | | | AA- | | | Consolidated Two Hundred Ninth, 5.000% due 7/15/36 | | | | | 1,636,138 | | |
| | | 5,000,000 | | | | AA- | | | Series 207, 5.000% due 9/15/24(d) | | | | | 5,719,450 | | |
| | | | | | | | | | Triborough Bridge & Tunnel Authority, Revenue Bonds, General: | | | |||||
| | | 85,000 | | | | AA- | | | Series B, 5.000% due 11/15/23 | | | | | 97,474 | | |
| | | 115,000 | | | | AA- | | | Series B, 5.000% due 11/15/24 | | | | | 131,206 | | |
| | | | | | | | | | Total New York | | | | | 90,961,095 | | |
| North Carolina – 2.2% | | |||||||||||||||
| | | 2,500,000 | | | | AAA | | | County of Wake NC, GO, Refunding, Series A, 5.000% due 3/1/25 | | | | | 2,921,125 | | |
| | | 100,000 | | | | BBB+ | | | Nash Health Care Systems, Revenue Bonds, 5.000% due 11/1/41 | | | | | 105,382 | | |
| | | 110,000 | | | | BBB+ | | | North Carolina Capital Facilities Finance Agency, Revenue Bonds, Various Republic Services Inc. Project, 1.850% due 6/1/38(a)(d) | | | | | 109,997 | | |
| | | 60,000 | | | | AAApre(g) | | | North Carolina Eastern Municipal Power Agency, Revenue Bonds, Series B, Prerefunded 1/1/19 @ 100, 5.000% due 1/1/20(c) | | | | | 60,669 | | |
| | | | | | | | | | North Carolina Medical Care Commission, Revenue Bonds, Refunding: | | | | | | | |
| | | 175,000 | | | | A | | | North Carolina Baptist Hospital, 5.000% due 6/1/21 | | | | | 184,263 | | |
| | | 115,000 | | | | A | | | North Carolina Baptist Hospital, 5.000% due 6/1/22 | | | | | 121,106 | | |
| | | 15,000 | | | | AA- | | | Refunding Mission Health Combined, 5.000% due 10/1/35 | | | | | 15,576 | | |
| | | 10,000 | | | | AA- | | | Refunding Mission Health Combined, 5.000% due 10/1/36 | | | | | 10,376 | | |
| | | | | | | | | | North Carolina Municipal Power Agency No 1, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AAApre(g) | | | Series A, Prerefunded 1/1/19 @ 100, 5.000% due 1/1/30(c) | | | | | 35,390 | | |
| | | 15,000 | | | | A | | | Unrefunded Balance Refunding, Series A, 5.000% due 1/1/30 | | | | | 15,151 | | |
| | | 11,500,000 | | | | AAA | | | State of North Carolina, GO, Refunding Series A, 5.000% due 6/1/26 | | | | | 13,680,400 | | |
| | | | | | | | | | State of North Carolina, Revenue Bonds, Anticipation Refunding Vehicle: | | | | | | | |
| | | 330,000 | | | | AA | | | 5.000% due 3/1/22 | | | | | 363,436 | | |
| | | 290,000 | | | | AA | | | 5.000% due 3/1/23 | | | | | 325,980 | | |
| | | | | | | | | | Total North Carolina | | | | | 17,948,851 | | |
| Ohio – 1.2% | | |||||||||||||||
| | | | | | | | | | American Municipal Power Inc., Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | A | | | Amp Fremont Energy Center, 5.000% due 2/15/21 | | | | | 48,171 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Ohio – (continued) | | |||||||||||||||
| | $ | 60,000 | | | | A | | | Amp Fremont Energy Center, 5.000% due 2/15/22 | | | | $ | 65,626 | | |
| | | 65,000 | | | | A | | | Amp Fremont Energy Center, Prerefunded 2/15/22 @ 100, 5.000% due 2/15/23(c) | | | | | 71,436 | | |
| | | 60,000 | | | | A | | | Amp Fremont Energy Center, Prerefunded 2/15/22 @ 100, 5.000% due 2/15/24(c) | | | | | 65,940 | | |
| | | 10,000 | | | | NR | | | Prerefunded Amp Fremont, Prerefunded 2/15/22 @ 100, 5.000% due 2/15/42(c) | | | | | 10,990 | | |
| | | 40,000 | | | | A | | | Unrefunded Balance Amp, 5.000% due 2/15/42 | | | | | 42,883 | | |
| | | | | | | | | | City of Cleveland OH Airport System Revenue, Revenue Bonds, Refunding, AGM: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 1/1/26 | | | | | 33,799 | | |
| | | 45,000 | | | | AA | | | Series A, 5.000% due 1/1/28 | | | | | 50,228 | | |
| | | 65,000 | | | | AA | | | Series A, 5.000% due 1/1/29 | | | | | 72,235 | | |
| | | 60,000 | | | | AA | | | Series A, 5.000% due 1/1/30 | | | | | 66,461 | | |
| | | 4,000,000 | | | | AAA | | | City of Columbus OH, GO, Refunding Various Purpose, Series 2017-1, 5.000% due 4/1/24 | | | | | 4,602,400 | | |
| | | | | | | | | | Cleveland Department of Public Utilities Division of Water, Revenue Bonds, Second Lien: | | | | | | | |
| | | 35,000 | | | | AA | | | Series A, Prerefunded 1/1/22 @ 100, 5.000% due 1/1/26(c) | | | | | 38,476 | | |
| | | 45,000 | | | | AA | | | Series A, Prerefunded 1/1/22 @ 100, 5.000% due 1/1/27(c) | | | | | 49,469 | | |
| | | 55,000 | | | | AA | | | Columbus City School District, GO, Refunding School Facilities Construction and Improvement, 5.000% due 12/1/32 | | | | | 63,158 | | |
| | | 80,000 | | | | A+ | | | County of Allen OH Hospital Facilities Revenue, Revenue Bonds, Mercy Health, Series B, 5.000% due 8/1/47(a) | | | | | 88,085 | | |
| | | | | | | | | | County of Fairfield OH, Revenue Bonds, Refunding and Improvement Fairfield Medical Center: | | | | | | | |
| | | 70,000 | | | | Baa2(b) | | | 5.000% due 6/15/25 | | | | | 75,474 | | |
| | | 75,000 | | | | Baa2(b) | | | 5.000% due 6/15/26 | | | | | 80,486 | | |
| | | 80,000 | | | | Baa2(b) | | | 5.000% due 6/15/27 | | | | | 85,560 | | |
| | | 85,000 | | | | Baa2(b) | | | 5.000% due 6/15/28 | | | | | 90,676 | | |
| | | | | | | | | | County of Franklin OH, Revenue Bonds, Refunding Facilities Nationwide Childrens: | | | | | | | |
| | | 60,000 | | | | Aa2(b) | | | 5.000% due 11/1/25 | | | | | 69,813 | | |
| | | 60,000 | | | | Aa2(b) | | | 5.000% due 11/1/26 | | | | | 70,423 | | |
| | | 65,000 | | | | Baa1(b) | | | County of Lake OH, Revenue Bonds, Refunding Lake Hospital System Inc., 5.000% due 8/15/27 | | | | | 73,094 | | |
| | | 135,000 | | | | BBB | | | County of Lucas OH, Revenue Bonds, Promedica, Series A, Prerefunded 11/15/21 @ 100, 6.500% due 11/15/37(c) | | | | | 153,884 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Ohio – (continued) | | |||||||||||||||
| | | | | | | | | | County of Muskingum OH, Revenue Bonds, Genesis Healthcare System Project: | | | |||||
| | $ | 35,000 | | | | BB+ | | | 5.000% due 2/15/20 | | | | $ | 36,077 | | |
| | | 170,000 | | | | BB+ | | | 5.000% due 2/15/27 | | | | | 180,480 | | |
| | | 150,000 | | | | A- | | | County of Ross OH, Revenue Bonds, Refunding Facilities Adena Health System, Prerefunded 12/1/18 @ 100, 5.750% due 12/1/35(c) | | | | | 151,488 | | |
| | | 65,000 | | | | A2(b) | | | County of Scioto OH, Revenue Bonds, Refunding Southern Ohio Medical Center, 5.000% due 2/15/29 | | | | | 73,245 | | |
| | | | | | | | | | County of Wood OH, Revenue Bonds, Refunding and Improvement Wood County Hospital Project: | | | |||||
| | | 20,000 | | | | Ba1(b) | | | 5.000% due 12/1/32 | | | | | 20,827 | | |
| | | 25,000 | | | | Ba1(b) | | | 5.000% due 12/1/42 | | | | | 25,738 | | |
| | | 140,000 | | | | A | | | Ohio Higher Educational Facility Commission, Revenue Bonds, University Hosps Health System, Series A, 5.250% due 1/15/21 | | | | | 146,404 | | |
| | | | | | | | | | Ohio State Building Authority, Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | AA | | | Facilities Administration Building Fund Project, Series B, 5.000% due 10/1/21 | | | | | 93,161 | | |
| | | 145,000 | | | | AA | | | Refunding St Facilities Adult Corrtl, Series B, 5.000% due 10/1/21 | | | | | 150,092 | | |
| | | 60,000 | | | | AA | | | Refunding St Facilities Adult Corrtl, Series B, 5.000% due 10/1/22 | | | | | 62,101 | | |
| | | 85,000 | | | | AA | | | Refunding St Facilities Adult Corrtl, Series B, 5.000% due 10/1/23 | | | | | 87,957 | | |
| | | 335,000 | | | | A+ | | | Ohio Turnpike & Infrastructure Commission, Revenue Bonds, Capital Appreciation Junior Lien, Series A2, zero coupon, due 2/15/42 | | | | | 131,461 | | |
| | | 2,000,000 | | | | AAA | | | Ohio Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, Various Loan Fund, Series A, 1.610% due 12/1/36(a) | | | | | 2,000,000 | | |
| | | | | | | | | | State of Ohio, Revenue Bonds, Refunding Cleveland Clinic Health: | | | | | | | |
| | | 75,000 | | | | AA | | | 5.000% due 1/1/27 | | | | | 88,821 | | |
| | | 145,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 171,663 | | |
| | | | | | | | | | Total Ohio | | | | | 9,488,282 | | |
| Oklahoma – 0.3% | | |||||||||||||||
| | | 560,000 | | | | AA- | | | Canadian County Educational Facilities Authority, Revenue Bonds, Mustang Public Schs Project, 5.000% due 9/1/26 | | | | | 653,749 | | |
| | | | | | | | | | Grand River Dam Authority, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AA- | | | Series A, 5.000% due 6/1/27 | | | | | 39,790 | | |
| | | 45,000 | | | | AA- | | | Series A, 5.000% due 6/1/28 | | | | | 51,107 | | |
| | | | | | | | | | Oklahoma City Public Property Authority, Revenue Bonds, Refunding and Improvement Fairgrounds: | | | | | | | |
| | | 30,000 | | | | A+ | | | 5.000% due 10/1/25 | | | | | 34,749 | | |
| | | 45,000 | | | | A+ | | | 5.000% due 10/1/26 | | | | | 51,809 | | |
| | | 35,000 | | | | A+ | | | 5.000% due 10/1/27 | | | | | 40,248 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Oklahoma – (continued) | | |||||||||||||||
| | | | | | | | | | Oklahoma Development Finance Authority, Revenue Bonds: | | | |||||
| | $ | 90,000 | | | | WR(b) | | | Ou Medicine Project, Prerefunded 2/15/22 @ 100, 5.000% due 2/15/23(c) | | | | $ | 98,911 | | |
| | | 210,000 | | | | WR(b) | | | Ou Medicine Project, Prerefunded 2/15/22 @ 100, 5.000% due 2/15/42(c) | | | | | 230,792 | | |
| | | 30,000 | | | | BB+ | | | Refunding St John Health System, Series B, 5.000% due 8/15/27 | | | | | 34,221 | | |
| | | 30,000 | | | | BB+ | | | Refunding St John Health System, Series B, 5.000% due 8/15/28 | | | | | 34,403 | | |
| | | 10,000 | | | | BB+ | | | Refunding St John Health System, Series B, 5.000% due 8/15/29 | | | | | 11,395 | | |
| | | 30,000 | | | | BB+ | | | Refunding St John Health System, Series B, 5.000% due 8/15/33 | | | | | 33,617 | | |
| | | | | | | | | | Oklahoma Municipal Power Authority, Revenue Bonds, Refunding: | | ||||||
| | | 115,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/21 | | | | | 119,877 | | |
| | | 360,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/22 | | | | | 374,638 | | |
| | | 50,000 | | | | A | | | Series A, 5.000% due 1/1/26 | | | | | 57,140 | | |
| | | 175,000 | | | | A | | | Series A, 5.000% due 1/1/27 | | | | | 199,553 | | |
| | | 60,000 | | | | A | | | Series A, 5.000% due 1/1/28 | | | | | 68,268 | | |
| | | 45,000 | | | | A | | | Series A, 5.000% due 1/1/29 | | | | | 51,089 | | |
| | | 60,000 | | | | A | | | Series B, 5.000% due 1/1/27 | | | | | 68,418 | | |
| | | | | | | | | | Total Oklahoma | | | | | 2,253,774 | | |
| Oregon – 1.0% | | |||||||||||||||
| | | | | | | | | | Clackamas County Hospital Facility Authority, Revenue Bonds, Senior Living Willamette View Project: | | | | | | | |
| | | 20,000 | | | | NR | | | 3.000% due 11/15/22 | | | | | 20,053 | | |
| | | 15,000 | | | | NR | | | 5.000% due 11/15/47(e)(f) | | | | | 16,108 | | |
| | | 3,800,000 | | | | A+ | | | Oregon State Business Development Commission, Revenue Bonds, Intelephone Corp., Series 232, 2.400% due 12/1/40(a) | | | | | 3,819,380 | | |
| | | 3,500,000 | | | | AA+ | | | Salem-Keizer School District No 24J, GO, 5.000% due 6/15/32 | | | | | 4,147,920 | | |
| | | 85,000 | | | | Aa1(b) | | | Washington County School District No 1 West Union, GO, Multnomah and Yamhill, 5.000% due 6/15/30 | | | | | 99,967 | | |
| | | | | | | | | | Total Oregon | | | | | 8,103,428 | | |
| Pennsylvania – 2.0% | | |||||||||||||||
| | | | | | | | | | City of Philadelphia PA, GO: | | | | | | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 8/1/27 | | | | | 95,869 | | |
| | | 300,000 | | | | A | | | Series B, 5.000% due 8/1/29 | | | | | 336,966 | | |
| | | 320,000 | | | | A | | | Series B, 5.000% due 8/1/30 | | | | | 358,160 | | |
| | | 335,000 | | | | A | | | Series B, 5.000% due 8/1/31 | | | | | 373,404 | | |
| | | | | | | | | | City of Philadelphia PA Airport Revenue, Revenue Bonds, Refunding AMT: | | | | | | | |
| | | 50,000 | | | | A | | | Series B, 5.000% due 7/1/30(d) | | | | | 57,074 | | |
| | | 70,000 | | | | A | | | Series B, 5.000% due 7/1/31(d) | | | | | 79,558 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Pennsylvania – (continued) | | |||||||||||||||
| | | | | | | | | | Commonwealth of Pennsylvania, GO: | | | |||||
| | $ | 60,000 | | | | A+ | | | First Series, 5.000% due 7/1/21 | | | | $ | 64,863 | | |
| | | 110,000 | | | | A+ | | | First Series, 5.000% due 3/15/31 | | | | | 123,092 | | |
| | | 3,070,000 | | | | A+ | | | Refunding Second Series, 5.000% due 1/15/24 | | | | | 3,464,249 | | |
| | | 290,000 | | | | A+ | | | Second Series, 5.000% due 10/15/27 | | | | | 321,929 | | |
| | | 810,000 | | | | A+ | | | Second Series, 5.000% due 9/15/29 | | | | | 924,186 | | |
| | | 3,880,000 | | | | AA- | | | County of Allegheny PA, GO, Series C 77, 4.000% due 11/1/38 | | | | | 4,004,199 | | |
| | | 220,000 | | | | NR | | | Erie County Hospital Authority, Revenue Bonds, Hospital St Vincents Health, Series A, Prerefunded 7/1/20 @ 100, 7.000% due 7/1/27(c) | | | | | 240,326 | | |
| | | | | | | | | | Lehigh County Industrial Development Authority, Revenue Bonds, Refunding Ppl Electric Utils Corp.: | | | | | | | |
| | | 165,000 | | | | A | | | 1.800% due 2/15/27(a) | | | | | 162,028 | | |
| | | 1,125,000 | | | | A | | | Series A, 1.800% due 9/1/29(a) | | | | | 1,100,306 | | |
| | | 95,000 | | | | A+ | | | Monroeville Finance Authority, Revenue Bonds, 5.000% due 2/15/26 | | | | | 110,270 | | |
| | | | | | | | | | Montgomery County Higher Education & Health Authority, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A+ | | | Series A, AMBAC, 6.000% due 6/1/22 | | | | | 127,519 | | |
| | | 10,000 | | | | BBB | | | Holy Redeemer Health System, Series A, 5.000% due 10/1/23(e) | | | | | 11,033 | | |
| | | 40,000 | | | | BBB | | | Holy Redeemer Health System, Series A, 5.000% due 10/1/28(e) | | | | | 44,874 | | |
| | | 45,000 | | | | BBB | | | Holy Redeemer Health System, Series A, 5.000% due 10/1/29(e) | | | | | 50,246 | | |
| | | 140,000 | | | | BBB | | | Holy Redeemer Health System, Series A, 5.000% due 10/1/32(e) | | | | | 154,136 | | |
| | | 225,000 | | | | BBB | | | Holy Redeemer Health System, Series A, 5.000% due 10/1/36(e) | | | | | 244,100 | | |
| | | 105,000 | | | | BBB | | | Holy Redeemer Health System, Series A, 5.000% due 10/1/40(e) | | | | | 112,780 | | |
| | | | | | | | | | Northampton County General Purpose Authority, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | A+ | | | Refunding Lafayette College, 5.000% due 11/1/27 | | | | | 1,198,890 | | |
| | | 75,000 | | | | A- | | | St Luces University Health Network, 4.000% due 8/15/48 | | | | | 75,121 | | |
| | | | | | | | | | Pennsylvania Economic Development Financing Authority, Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | A | | | Forum Place Project, 5.000% due 3/1/21 | | | | | 95,823 | | |
| | | 60,000 | | | | A | | | Forum Place Project, 5.000% due 3/1/22 | | | | | 65,003 | | |
| | | 40,000 | | | | AA+ | | | Series B, 5.000% due 7/1/21 | | | | | 40,317 | | |
| | | 900,000 | | | | A- | | | Various Waste Management Inc. Project, 1.800% due 8/1/45(a)(d) | | | | | 899,775 | | |
| | | 100,000 | | | | BBB+ | | | Various Waste Management Inc. Project, Series A, 1.850% due 4/1/19(a)(d) | | | | | 99,993 | | |
| | | 165,000 | | | | A- | | | Waste Management Inc. Project, Series A, 1.700% due 8/1/37(a)(d) | | | | | 162,792 | | |
| | | | | | | | | | Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, University Pennsylvania Health System: | | | | | | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 8/15/27 | | | | | 41,480 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 8/15/28 | | | | | 41,237 | | |
| | | 60,000 | | | | AA | | | Series A, 5.000% due 8/15/30 | | | | | 69,915 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Pennsylvania – (continued) | | |||||||||||||||
| | $ | 60,000 | | | | AA | | | Series A, Prerefunded 8/15/19 @ 100, 5.250% due 8/15/21(c) | | | | $ | 62,021 | | |
| | | | | | | | | | Pennsylvania Turnpike Commission, Revenue Bond: | | | | | | | |
| | | 35,000 | | | | A | | | Convertible Capital Appreciation Subordinated, Series A2, zero coupon, due 12/1/28 | | | | | 38,847 | | |
| | | 35,000 | | | | A | | | Convertible Capital Appreciation Subordinated, Series A2, zero coupon, due 12/1/33 | | | | | 38,688 | | |
| | | 15,000 | | | | A1(b) | | | Series A1, 5.000% due 12/1/22 | | | | | 16,768 | | |
| | | 15,000 | | | | A1(b) | | | Series A1, 5.000% due 12/1/23 | | | | | 17,067 | | |
| | | 45,000 | | | | A1(b) | | | Series A1, 5.000% due 12/1/29 | | | | | 51,900 | | |
| | | 30,000 | | | | A1(b) | | | Series A1, 5.000% due 12/1/34 | | | | | 33,980 | | |
| | | | | | | | | | Philadelphia Gas Works Co., Revenue Bonds, Revenue 1998 General Ordinance Fifteenth: | | | | | | | |
| | | 30,000 | | | | A | | | 5.000% due 8/1/23 | | | | | 33,574 | | |
| | | 20,000 | | | | A | | | 5.000% due 8/1/24 | | | | | 22,658 | | |
| | | 25,000 | | | | A | | | 5.000% due 8/1/25 | | | | | 28,600 | | |
| | | | | | | | | | Pittsburgh School District, GO, AGM: | | | | | | | |
| | | 45,000 | | | | AA | | | Series A, 5.000% due 9/1/19 | | | | | 46,401 | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 9/1/20 | | | | | 31,849 | | |
| | | | | | | | | | School District of Philadelphia, GO, Refunding: | | | | | | | |
| | | 405,000 | | | | A2(b) | | | Series C, 5.000% due 9/1/20 | | | | | 428,413 | | |
| | | 175,000 | | | | A2(b) | | | Series C, 5.000% due 9/1/21 | | | | | 183,995 | | |
| | | | | | | | | | State Public School Building Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A2(b) | | | Refunding School Philadelphia School District, 5.000% due 6/1/26 | | | | | 44,872 | | |
| | | 180,000 | | | | AA | | | Sch District City Of Harrisburg, AGM, 5.000% due 12/1/28 | | | | | 206,381 | | |
| | | 130,000 | | | | AA | | | Sch District City Of Harrisburg, AGM, 5.000% due 12/1/33 | | | | | 146,321 | | |
| | | | | | | | | | Total Pennsylvania | | | | | 16,783,848 | | |
| Rhode Island – 0.4% | | |||||||||||||||
| | | | | | | | | | Rhode Island Health & Educational Building Corp., Revenue Bond: | | | | | | | |
| | | 2,000,000 | | | | AA+ | | | Educational Brown University, Series A, 5.000% due 9/1/29 | | | | | 2,391,400 | | |
| | | 240,000 | | | | AA | | | Refunding Bond Financing Program Providence, AGM, 5.000% due 5/15/25 | | | | | 275,172 | | |
| | | 195,000 | | | | BB- | | | Refunding Hospital Financing Care New England, 5.000% due 9/1/31 | | | | | 207,946 | | |
| | | 165,000 | | | | BBB+ | | | Refunding Hospital Financing Lifespan Obligation, 5.000% due 5/15/39 | | | | | 178,208 | | |
| | | 110,000 | | | | AA | | | Rhode Island Student Loan Authority, Revenue Bonds, AMT Senior, Series A, 3.500% due 12/1/34(d) | | | | | 109,996 | | |
| | | | | | | | | | Tobacco Settlement Financing Corp., Revenue Bonds, Refunding: | | | | | | | |
| | | 55,000 | | | | BBB+ | | | Series A, 5.000% due 6/1/27 | | | | | 61,521 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Rhode Island – (continued) | | |||||||||||||||
| | $ | 70,000 | | | | BBB | | | Series A, 5.000% due 6/1/28 | | | | $ | 77,715 | | |
| | | | | | | | | | Total Rhode Island | | | | | 3,301,958 | | |
| South Carolina – 3.3% | | |||||||||||||||
| | | | | | | | | | Beaufort-Jasper Water & Sewer Authority, Revenue Bonds, Refunding: | | | | | | | |
| | | 30,000 | | | | AA | | | Series B, 5.000% due 3/1/22 | | | | | 33,072 | | |
| | | 30,000 | | | | AA | | | Series B, 5.000% due 3/1/24 | | | | | 34,387 | | |
| | | 30,000 | | | | AA | | | Series B, 5.000% due 3/1/25 | | | | | 34,876 | | |
| | | | | | | | | | County of Charleston SC, GO: | | | | | | | |
| | | 4,385,000 | | | | AAA | | | 5.000% due 11/1/22 | | | | | 4,921,856 | | |
| | | 2,500,000 | | | | AAA | | | Refunding Transportation Sales Tax, Series C, 5.000% due 11/1/27 | | | | | 3,026,775 | | |
| | | 13,000,000 | | | | Aa2(b) | | | Patriots Energy Group Financing Agency, Revenue Bonds, Series A, 4.000% due 10/1/48(a) | | | | | 13,809,380 | | |
| | | | | | | | | | Scago Educational Facilities Corp. for Colleton School District, Revenue Bonds, Refunding: | | | |||||
| | | 115,000 | | | | A- | | | 5.000% due 12/1/27 | | | | | 129,908 | | |
| | | 95,000 | | | | A- | | | 5.000% due 12/1/29 | | | | | 106,510 | | |
| | | | | | | | | | South Carolina Jobs-Economic Development Authority, Revenue Bonds, Refunding Anmed Health Project: | | | | | | | |
| | | 65,000 | | | | A+ | | | 5.000% due 2/1/22 | | | | | 71,028 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 2/1/24 | | | | | 33,899 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 2/1/25 | | | | | 57,165 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 2/1/26 | | | | | 57,671 | | |
| | | | | | | | | | South Carolina Ports Authority, Revenue Bonds, Airport System Revenue AMT: | | | | | | | |
| | | 65,000 | | | | A+ | | | 5.000% due 7/1/28(d) | | | | | 76,531 | | |
| | | 140,000 | | | | A+ | | | 5.000% due 7/1/30(d) | | | | | 162,628 | | |
| | | | | | | | | | South Carolina Public Service Authority, Revenue Bonds: | | | | | | | |
| | | 355,000 | | | | A+ | | | Refunding, Series A, 5.000% due 12/1/50 | | | | | 377,060 | | |
| | | 2,080,000 | | | | A+ | | | Series A, 5.000% due 12/1/49 | | | | | 2,193,235 | | |
| | | 515,000 | | | | A+ | | | Series A, 5.500% due 12/1/54 | | | | | 560,562 | | |
| | | 185,000 | | | | A+ | | | Series B, 5.000% due 12/1/35 | | | | | 202,347 | | |
| | | 275,000 | | | | A+ | | | Series B, 5.000% due 12/1/36 | | | | | 300,377 | | |
| | | 115,000 | | | | A+ | | | Series C, 5.000% due 12/1/25 | | | | | 128,339 | | |
| | | 115,000 | | | | A+ | | | Series C, 5.000% due 12/1/26 | | | | | 127,855 | | |
| | | 90,000 | | | | A+ | | | Series C, 5.000% due 12/1/27 | | | | | 99,467 | | |
| | | 105,000 | | | | A+ | | | Series C, 5.000% due 12/1/46 | | | | | 111,574 | | |
| | | 190,000 | | | | A+ | | | Series E, 5.500% due 12/1/53 | | | | | 205,483 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| South Carolina – (continued) | | |||||||||||||||
| | $ | 50,000 | | | | A1(b) | | | South Carolina Transportation Infrastructure Bank, Revenue Bonds, Refunding, Series A, 5.000% due 10/1/25 | | | | $ | 58,197 | | |
| | | 250,000 | | | | AA+ | | | Town of Mount Pleasent SC Water & Sewer Revenue, Revenue Bonds, Series A, 5.000% due 6/1/31 | | | | | 294,272 | | |
| | | | | | | | | | Total South Carolina | | | | | 27,214,454 | | |
| South Dakota – 0.0% | | |||||||||||||||
| | | | | | | | | | South Dakota Health & Educational Facilities Authority, Revenue Bonds, Refunding Avera Health: | | | |||||
| | | 30,000 | | | | AA- | | | Refunding Avera Health, 5.000% due 7/1/23 | | | | | 33,778 | | |
| | | 15,000 | | | | AA- | | | Refunding Avera Health, 5.000% due 7/1/24 | | | | | 17,142 | | |
| | | 10,000 | | | | AA- | | | Refunding Avera Health, 5.000% due 7/1/27 | | | | | 11,726 | | |
| | | 50,000 | | | | AA- | | | Refunding Avera Health, 5.000% due 7/1/33 | | | | | 56,827 | | |
| | | 40,000 | | | | AA- | | | Refunding Avera Health, 5.000% due 7/1/35 | | | | | 44,971 | | |
| | | 30,000 | | | | A+ | | | Sanford Health, 5.250% due 11/1/18 | | | | | 30,165 | | |
| | | 35,000 | | | | A+ | | | South Dakota St Health and Educational, Series B, 5.000% due 11/1/24 | | | | | 40,092 | | |
| | | 35,000 | | | | A+ | | | South Dakota St Health and Educational, Series B, 5.000% due 11/1/25 | | | | | 39,941 | | |
| | | 5,000 | | | | A+ | | | South Dakota St Health and Educational, Series B, 5.000% due 11/1/26 | | | | | 5,666 | | |
| | | | | | | | | | Total South Dakota | | | | | 280,308 | | |
| Tennessee – 1.1% | | |||||||||||||||
| | | 25,000 | | | | A+ | | | City of Jackson Tennessee, Revenue Bonds, Unrefunded Balance Refunding and, 5.750% due 4/1/41 | | | | | 25,075 | | |
| | | 1,000,000 | | | | AA+ | | | County of Sumner TN, GO, Refunding, 5.000% due 6/1/22 | | | | | 1,082,050 | | |
| | | | | | | | | | Greeneville Health & Educational Facilities Board, Revenue Bonds, Ballad Health: | | | | | | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 7/1/29 | | | | | 34,629 | | |
| | | 35,000 | | | | A- | | | Series A, 5.000% due 7/1/30 | | | | | 40,145 | | |
| | | 240,000 | | | | A- | | | Johnson City Health & Educational Facilities Board, Revenue Bonds, Refunding Mountain Sts Health, Prerefunded 7/1/20 @ 100, 6.500% due 7/1/38(c) | | | | | 260,033 | | |
| | | | | | | | | | Knox County Health Educational & Housing Facility Board, Revenue Bonds, University Health System Inc.: | | | | | | | |
| | | 30,000 | | | | BBB | | | Tennessee Health Educational and University Health System Incorporate, 5.000% due 4/1/24 | | | | | 33,383 | | |
| | | 40,000 | | | | BBB | | | Tennessee Health Educational and University Health System Incorporate, 5.000% due 4/1/25 | | | | | 44,967 | | |
| | | 35,000 | | | | BBB | | | University Health System Incorporate, 5.000% due 9/1/22 | | | | | 38,094 | | |
| | | 30,000 | | | | BBB | | | University Health System Incorporate, 5.000% due 9/1/24 | | | | | 33,528 | | |
| | | 145,000 | | | | A | | | Memphis-Shelby County Airport Authority, Revenue Bonds, Refunding AMT, Series B, 5.625% due 7/1/20(d) | | | | | 154,355 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Tennessee – (continued) | | |||||||||||||||
| | $ | 5,000,000 | | | | AAA | | | State of Tennessee, GO, Series A, 5.000% due 2/1/25 | | | | $ | 5,841,850 | | |
| | | | | | | | | | Tennessee Energy Acquisition Corp., Revenue Bonds: | | | | | | | |
| | | 675,000 | | | | A3(b) | | | 4.000% due 11/1/49(a) | | | | | 715,034 | | |
| | | 350,000 | | | | A3(b) | | | Acquisition Project, Series A, 4.000% due 5/1/48(a) | | | | | 370,555 | | |
| | | | | | | | | | Total Tennessee | | | | | 8,673,698 | | |
| Texas – 14.7% | | |||||||||||||||
| | | 1,895,000 | | | | AAA | | | Alamo Community College District, GO, Refunding, 5.000% due 8/15/34 | | | | | 2,190,355 | | |
| | | 40,000 | | | | AA- | | | Austin Community College District, Revenue Bonds, Capital Appreciation Refunding Comb Fee AMBAC, zero coupon, due 2/1/22 | | | | | 37,090 | | |
| | | 2,525,000 | | | | Aa3(b) | | | Brownsville Independent School District, GO, Maintenance Tax Notes, 4.000% due 8/15/22 | | | | | 2,696,776 | | |
| | | | | | | | | | Central Texas Regional Mobility Authority, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | BBB+ | | | Refunding, 5.000% due 1/1/31 | | | | | 78,358 | | |
| | | 145,000 | | | | BBB+ | | | Refunding, 5.000% due 1/1/32 | | | | | 161,610 | | |
| | | 95,000 | | | | BBB+ | | | Refunding, 5.000% due 1/1/35 | | | | | 105,034 | | |
| | | 45,000 | | | | BBB+ | | | Refunding, 5.000% due 1/1/36 | | | | | 49,599 | | |
| | | 35,000 | | | | BBB+ | | | Senior Lien, Series A, 5.000% due 1/1/31 | | | | | 38,991 | | |
| | | 30,000 | | | | BBB+ | | | Senior Lien, Series A, 5.000% due 1/1/32 | | | | | 33,285 | | |
| | | 60,000 | | | | BBB+ | | | Senior Lien, Series A, 5.000% due 1/1/34 | | | | | 66,222 | | |
| | | 160,000 | | | | BBB+ | | | Senior Lien, Series A, 5.000% due 1/1/40 | | | | | 174,750 | | |
| | | 510,000 | | | | A- | | | Central Texas Turnpike System, Revenue Bonds, Refunding First Tier, Series A, 5.000% due 8/15/42(a) | | | | | 533,557 | | |
| | | 90,000 | | | | AA | | | City of Arlington TX, Subordinated Lien, Series C, 5.000% due 2/15/45 | | | | | 94,798 | | |
| | | 80,000 | | | | A | | | City of Austin TX Airport System Revenue, Revenue Bonds, Airport System Revenue AMT, 5.000% due 11/15/29(d) | | | | | 88,932 | | |
| | | 45,000 | | | | AA | | | City of Austin TX Electric Utility Revenue, Revenue Bonds, Series A, 5.000% due 11/15/23 | | | | | 50,155 | | |
| | | | | | | | | | City of Dallas TX, GO: | | | | | | | |
| | | 170,000 | | | | AA- | | | Refunding, 5.000% due 2/15/24 | | | | | 193,360 | | |
| | | 130,000 | | | | AA- | | | Unrefunded Balance Refunding, 5.000% due 2/15/23 | | | | | 142,236 | | |
| | | 2,060,000 | | | | AA- | | | 5.000% due 2/15/25 | | | | | 2,372,687 | | |
| | | | | | | | | | City of Houston TX, GO, Refunding: | | | | | | | |
| | | 60,000 | | | | Aa3(b) | | | Series A, 5.000% due 3/1/23 | | | | | 67,253 | | |
| | | 2,290,000 | | | | Aa3(b) | | | Series A, 5.000% due 3/1/24 | | | | | 2,607,119 | | |
| | | 120,000 | | | | Aa3(b) | | | Series A, 5.000% due 3/1/25 | | | | | 138,332 | | |
| | | | | | | | | | City of Houston TX Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A1(b) | | | AMT Subordinated, Series A, 5.000% due 7/1/26(d) | | | | | 57,905 | | |
| | | 60,000 | | | | A1(b) | | | AMT Subordinated, Series A, 5.000% due 7/1/27(d) | | | | | 70,049 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 30,000 | | | | A1(b) | | | AMT Subordinated, Series A, 5.000% due 7/1/28(d) | | | | $ | 35,294 | | |
| | | 230,000 | | | | A+ | | | Refunding AMT Subordinated Lien, Series A, 5.000% due 7/1/20(d) | | | | | 242,661 | | |
| | | 70,000 | | | | A+ | | | Refunding AMT Subordinated, Series A, 5.000% due 7/1/23(d) | | | | | 76,687 | | |
| | | 90,000 | | | | A1(b) | | | Refunding Subordinated, Series B, 5.000% due 7/1/28 | | | | | 107,923 | | |
| | | 360,000 | | | | A1(b) | | | Refunding Subordinated, Series B, 5.000% due 7/1/29 | | | | | 429,635 | | |
| | | 190,000 | | | | A1(b) | | | Refunding Subordinated, Series B, 5.000% due 7/1/30 | | | | | 223,706 | | |
| | | 2,000,000 | | | | A1(b) | | | Refunding Subordinated, Series D, 5.000% due 7/1/24 | | | | | 2,299,680 | | |
| | | 1,500,000 | | | | A1(b) | | | Refunding Subordinated, Series D, 5.000% due 7/1/25 | | | | | 1,748,130 | | |
| | | 1,500,000 | | | | A1(b) | | | Refunding Subordinated, Series D, 5.000% due 7/1/26 | | | | | 1,764,885 | | |
| | | | | | | | | | City of Houston TX Combined Utility System Revenue, Revenue Bonds: | | | | | | | |
| | | 250,000 | | | | Aa2(b) | | | Refunding Combined First Lien, Series B, 4.000% due 11/15/21 | | | | | 265,793 | | |
| | | 70,000 | | | | Aa2(b) | | | Refunding Combined First Lien, Series B, 5.000% due 11/15/33 | | | | | 80,760 | | |
| | | 75,000 | | | | AA | | | Refunding Combined First Lien, Series C, 5.000% due 5/15/28 | | | | | 84,976 | | |
| | | 15,000 | | | | AA | | | Unrefunded Balance Refunding, NPFG, 5.000% due 11/15/18 | | | | | 15,040 | | |
| | | 1,040,000 | | | | AAA | | | City of Irving TX, GO, Refunding, 5.500% due 8/15/23 | | | | | 1,203,114 | | |
| | | | | | | | | | City of San Antonio TX Electric & Gas Systems Revenue, Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | AA | | | 5.000% due 2/1/29 | | | | | 53,143 | | |
| | | 30,000 | | | | AA | | | 5.000% due 2/1/30 | | | | | 35,325 | | |
| | | 45,000 | | | | AA | | | 5.000% due 2/1/31 | | | | | 52,716 | | |
| | | 35,000 | | | | AA | | | 5.000% due 2/1/33 | | | | | 40,642 | | |
| | | 90,000 | | | | AA | | | Refunding, 5.250% due 2/1/25 | | | | | 105,844 | | |
| | | 205,000 | | | | AA- | | | Various Refunding Junior Lien, Series B, 2.000% due 2/1/33(a) | | | | | 203,469 | | |
| | | | | | | | | | County of Harris TX, Revenue Bonds, Refunding Senior Lien Toll Road: | | | | | | | |
| | | 30,000 | | | | AA- | | | Series C, 5.000% due 8/15/24 | | | | | 33,193 | | |
| | | 110,000 | | | | AA- | | | Series C, 5.000% due 8/15/25 | | | | | 121,618 | | |
| | | 85,000 | | | | AAA | | | County of Travis TX, GO, Refunding, Series A, 5.000% due 3/1/24 | | | | | 97,053 | | |
| | | 2,215,000 | | | | AAA | | | County of Williamson TX, GO, Refunding Limited Tax, 5.000% due 2/15/30 | | | | | 2,588,250 | | |
| | | | | | | | | | Cypress-Fairbanks Independent School District, GO, Refunding: | | | | | | | |
| | | 140,000 | | | | AAA | | | Refunding, Series C, PSF-GTD, 5.000% due 2/15/44 | | | | | 154,855 | | |
| | | 20,000,000 | | | | NR | | | Refunding School Building, 2.125% due 2/15/40 | | | | | 20,025,400 | | |
| | | 145,000 | | | | AAA | | | Refunding School Building, PSF-GTD, 5.000% due 2/15/22 | | | | | 159,561 | | |
| | | 145,000 | | | | AAA | | | Refunding School Building, PSF-GTD, 5.000% due 2/15/23 | | | | | 162,950 | | |
| | | 725,000 | | | | AAA | | | Refunding School Building, PSF-GTD, 5.000% due 2/15/24 | | | | | 829,414 | | |
| | | 620,000 | | | | AAA | | | Refunding School Building, PSF-GTD, 5.000% due 2/15/25 | | | | | 719,727 | | |
| | | 105,000 | | | | AAA | | | Refunding School Building, PSF-GTD, 5.000% due 2/15/27 | | | | | 122,341 | | |
| | | 165,000 | | | | AAA | | | School Building, Series B2, PSF-GTD, 1.400% due 2/15/40(a) | | | | | 163,147 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 180,000 | | | | AAA | | | School Building, Series B3, PSF-GTD, 1.400% due 2/15/44(a) | | | | $ | 177,979 | | |
| | | | | | | | | | Dallas Area Rapid Transit, Revenue Bonds: | | | | | | | |
| | | 195,000 | | | | NR | | | Prerefunded 12/1/18 @ 100, 5.250% due 12/1/38(c) | | | | | 196,725 | | |
| | | 210,000 | | | | AA+ | | | Refunding Senior Lien, AMBAC, 5.250% due 12/1/29 | | | | | 259,993 | | |
| | | 185,000 | | | | A2(b) | | | Dallas County Utility & Reclamation District, GO, Refunding, 5.000% due 2/15/24 | | | | | 209,309 | | |
| | | 105,000 | | | | AAA | | | Dallas Independent School District, GO, Unrefunded PSF-GTD, 5.000% due 2/15/36(a) | | | | | 115,030 | | |
| | | | | | | | | | Dallas Love Field, Revenue Bonds, Airport System Revenue AMT: | | | | | | | |
| | | 40,000 | | | | A | | | 5.000% due 11/1/30(d) | | | | | 44,788 | | |
| | | 90,000 | | | | A | | | 5.000% due 11/1/31(d) | | | | | 100,588 | | |
| | | | | | | | | | Dallas/Fort Worth International Airport, Revenue Bonds: | | | | | | | |
| | | 85,000 | | | | A+ | | | AMT Joint Improvement, Series B, 5.000% due 11/1/26(d) | | | | | 93,335 | | |
| | | 35,000 | | | | A+ | | | AMT Joint Improvement, Series B, 5.000% due 11/1/27(d) | | | | | 38,374 | | |
| | | 80,000 | | | | A+ | | | AMT Joint Improvement, Series B, 5.000% due 11/1/28(d) | | | | | 87,547 | | |
| | | 155,000 | | | | A+ | | | AMT Joint Improvement, Series B, 5.000% due 11/1/30(d) | | | | | 168,983 | | |
| | | 330,000 | | | | A+ | | | AMT Joint Improvement, Series B, 5.000% due 11/1/31(d) | | | | | 359,363 | | |
| | | 420,000 | | | | A+ | | | AMT Joint Improvement, Series B, 5.000% due 11/1/32(d) | | | | | 457,027 | | |
| | | 290,000 | | | | A+ | | | AMT Joint Improvement, Series B, 5.000% due 11/1/33(d) | | | | | 315,091 | | |
| | | 70,000 | | | | A+ | | | AMT Joint Improvement, Series B, 5.000% due 11/1/34(d) | | | | | 75,999 | | |
| | | 1,500,000 | | | | A+ | | | AMT Joint Improvement, Series E, 5.000% due 11/1/22(d) | | | | | 1,657,710 | | |
| | | 30,000 | | | | A+ | | | Refunding Joint, Series A, 5.000% due 11/1/19 | | | | | 31,113 | | |
| | | 85,000 | | | | AAA | | | Denton Independent School District, GO, Capital Appreciation Refunding PSF-GTD, zero coupon, due 8/15/25 | | | | | 71,973 | | |
| | | | | | | | | | Fort Bend Independent School District, GO: | | | | | | | |
| | | 90,000 | | | | AAA | | | Refunding Various Green Bonds, Series C, PSF-GTD 1.350% due 8/1/42(a) | | | | | 88,928 | | |
| | | 165,000 | | | | AAA | | | Refunding Various, Series D, PSF-GTD, 1.500% due 8/1/42(a) | | | | | 161,947 | | |
| | | | | | | | | | Fort Worth Independent School District, GO: | | | | | | | |
| | | 80,000 | | | | AAA | | | Refunding, PSF-GTD, 5.000% due 2/15/22 | | | | | 88,062 | | |
| | | 105,000 | | | | AAA | | | Refunding School Building, PSF-GTD, 5.000% due 2/15/26 | | | | | 123,040 | | |
| | | 75,000 | | | | Aa1(b) | | | Frisco Independent School District, GO, School Building AGM, 5.375% due 8/15/39 | | | | | 77,491 | | |
| | | | | | | | | | Grand Parkway Transportation Corp., Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | BBB | | | First Tier, Series A, 5.125% due 10/1/43 | | | | | 76,363 | | |
| | | 170,000 | | | | BBB | | | First Tier, Series A, 5.500% due 4/1/53 | | | | | 189,263 | | |
| | | 150,000 | | | | AA+ | | | Subordinated Tier Tela Supported, Series A, 5.000% due 10/1/31 | | | | | 175,888 | | |
| | | 125,000 | | | | AA+ | | | Subordinated Tier Tela Supported, Series A, 5.000% due 10/1/32 | | | | | 146,119 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 190,000 | | | | AA+ | | | Subordinated Tier Tela Supported, Series A, 5.000% due 10/1/33 | | | | $ | 221,238 | | |
| | | 145,000 | | | | AA+ | | | Subordinated Tier Tela Supported, Series A, 5.000% due 10/1/34 | | | | | 168,316 | | |
| | | 1,210,000 | | | | AA+ | | | Subordinated Tier Tela Supported, Series B, 5.000% due 10/1/52(a) | | | | | 1,361,226 | | |
| | | 35,000 | | | | AA+ | | | Subordinated Tier Tela Supported, Series B, 5.000% due 4/1/53 | | | | | 38,201 | | |
| | | 70,000 | | | | AA+ | | | Subordinated Tier Tela Supported, Series B, 5.250% due 10/1/51 | | | | | 78,091 | | |
| | | 1,000,000 | | | | AAA | | | Harris County Flood Control District, Revenue Bonds, Refunding Contract Tax, Series A, Prerefunded 10/1/20 @ 100, 5.000% due 10/1/34(c) | | | | | 1,065,000 | | |
| | | 70,000 | | | | WR(b) | | | Harris County Health Facilities Development Corp., Revenue Bonds, Memorial Hermann Hlthcare System, Series B, Prerefunded 12/1/18 @ 100, 7.250% due 12/1/35(c) | | | | | 70,951 | | |
| | | | | | | | | | Houston Independent School District, GO, Limited Tax Schoolhouse: | | | | | | | |
| | | 2,000,000 | | | | AAA | | | PSF-GTD, 5.000% due 2/15/36 | | | | | 2,316,120 | | |
| | | 1,000,000 | | | | AAA | | | Series A2, PSF-GTD, 3.000% due 6/1/39(a) | | | | | 1,008,680 | | |
| | | | | | | | | | Irving Hospital Authority, Revenue Bonds, Baylor Scott White Medical Center: | | | | | | | |
| | | 15,000 | | | | A+ | | | 5.000% due 10/15/24 | | | | | 16,904 | | |
| | | 20,000 | | | | A+ | | | 5.000% due 10/15/26 | | | | | 22,829 | | |
| | | 15,000 | | | | A+ | | | 5.000% due 10/15/27 | | | | | 17,021 | | |
| | | 20,000 | | | | A+ | | | 5.000% due 10/15/29 | | | | | 22,428 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 10/15/31 | | | | | 33,248 | | |
| | | 40,000 | | | | A+ | | | 5.000% due 10/15/35 | | | | | 43,614 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 10/15/36 | | | | | 32,626 | | |
| | | 35,000 | | | | A+ | | | 5.000% due 10/15/39 | | | | | 37,865 | | |
| | | 45,000 | | | | A+ | | | 5.000% due 10/15/44 | | | | | 48,590 | | |
| | | | | | | | | | Lamar Consolidated Independent School District, GO, PSF-GTD: | | | | | | | |
| | | 7,280,000 | | | | AAA | | | 5.000% due 2/15/31 | | | | | 8,459,069 | | |
| | | 7,050,000 | | | | AAA | | | 5.000% due 2/15/34 | | | | | 8,106,160 | | |
| | | 1,225,000 | | | | AA+ | | | Lewisville Independent School District, GO, Refunding, Series B, 5.000% due 8/15/28 | | | | | 1,418,268 | | |
| | | | | | | | | | Lower Colorado River Authority, Revenue Bonds, Refunding: | | | | | | | |
| | | 1,135,000 | | | | A | | | LCRA Transmission Services Corp., 5.000% due 5/15/22 | | | | | 1,223,848 | | |
| | | 135,000 | | | | A | | | LCRA Transmission Services Corp., 5.000% due 5/15/32 | | | | | 156,576 | | |
| | | 70,000 | | | | A | | | LCRA Transmission Services Corp., 5.000% due 5/15/34 | | | | | 80,806 | | |
| | | 70,000 | | | | A | | | LCRA Transmission Services Corp., 5.000% due 5/15/36 | | | | | 80,239 | | |
| | | 400,000 | | | | A | | | Refunding, Series B, 5.000% due 5/15/21 | | | | | 421,052 | | |
| | | 195,000 | | | | A | | | Refunding, Series B, 5.000% due 5/15/25 | | | | | 226,044 | | |
| | | 85,000 | | | | A | | | Refunding, Series B, 5.000% due 5/15/27 | | | | | 97,064 | | |
| | | 85,000 | | | | A | | | Refunding, Series B, 5.000% due 5/15/28 | | | | | 96,673 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 245,000 | | | | A | | | Refunding, Series B, 5.000% due 5/15/29 | | | | $ | 277,526 | | |
| | | 25,000 | | | | A | | | Refunding, Series D, 5.000% due 5/15/22 | | | | | 27,629 | | |
| | | 20,000 | | | | A | | | Refunding Senior, Series D, 5.000% due 5/15/23 | | | | | 22,541 | | |
| | | 35,000 | | | | A | | | Refunding Senior, Series D, 5.000% due 5/15/24 | | | | | 40,056 | | |
| | | 40,000 | | | | A | | | Refunding Senior, Series D, 5.000% due 5/15/26 | | | | | 45,730 | | |
| | | 2,720,000 | | | | AAA | | | Midlothian Independent School District, GO, School Building Rmkt, Series B PSF-GTD, 2.500% due 8/1/52(a) | | | | | 2,745,786 | | |
| | | 40,000 | | | | Aaa(b) | | | Midway Independent School District, GO, Capital Appreciation Refunding PSF-GTD, zero coupon, due 8/15/19 | | | | | 39,358 | | |
| | | 800,000 | | | | BBB+ | | | Mission Economic Development Corp., Revenue Bonds, Various Refunding Republic Services Inc. Project, 1.850% due 1/1/26(a)(d) | | | | | 799,800 | | |
| | | | | | | | | | New Hope Cultural Education Facilities Finance Corp., Revenue Bonds, Childrens Health System Texas: | | | | | | | |
| | | 60,000 | | | | Aa2(b) | | | Series A, 5.000% due 8/15/24 | | | | | 68,880 | | |
| | | 70,000 | | | | Aa2(b) | | | Series A, 5.000% due 8/15/25 | | | | | 81,480 | | |
| | | 45,000 | | | | Aa2(b) | | | Series A, 5.000% due 8/15/26 | | | | | 52,953 | | |
| | | 45,000 | | | | Aa2(b) | | | Series A, 5.000% due 8/15/27 | | | | | 53,490 | | |
| | | 70,000 | | | | Aa2(b) | | | Series A, 5.000% due 8/15/30 | | | | | 81,388 | | |
| | | | | | | | | | Newark Higher Education Finance Corp., Revenue Bonds, Refunding and Improvement Abilene Christian: | | | | | | | |
| | | 65,000 | | | | A3(b) | | | 5.000% due 4/1/27 | | | | | 73,371 | | |
| | | 40,000 | | | | A3(b) | | | 5.000% due 4/1/28 | | | | | 44,921 | | |
| | | 125,000 | | | | AAA | | | North East Independent School District, GO, School Building Rmkt, Series B, PSF-GTD, 1.420% due 8/1/40(a) | | | | | 122,407 | | |
| | | | | | | | | | North Harris County Regional Water Authority, Revenue Bonds, Refunding Senior Lien: | | | | | | | |
| | | 30,000 | | | | AA- | | | 4.000% due 12/15/23 | | | | | 32,053 | | |
| | | 55,000 | | | | AA- | | | 4.000% due 12/15/24 | | | | | 58,441 | | |
| | | | | | | | | | North Texas Tollway Authority, Revenue Bonds: | | | | | | | |
| | | 200,000 | | | | A | | | Refunding, Series A, 5.000% due 1/1/39 | | | | | 222,772 | | |
| | | 290,000 | | | | A | | | Refunding, Series B, 5.000% due 1/1/29 | | | | | 329,240 | | |
| | | 145,000 | | | | A | | | Refunding, Series B, 5.000% due 1/1/30 | | | | | 164,259 | | |
| | | 35,000 | | | | A | | | Refunding First Tier, Series A, 5.000% due 1/1/30 | | | | | 40,114 | | |
| | | 40,000 | | | | A | | | Refunding First Tier, Series A, 5.000% due 1/1/33 | | | | | 45,662 | | |
| | | 15,000 | | | | A | | | Refunding Second Tier, Series B, 5.000% due 1/1/30 | | | | | 17,054 | | |
| | | 20,000 | | | | A- | | | Refunding Second Tier, Series B, 5.000% due 1/1/31 | | | | | 22,639 | | |
| | | 85,000 | | | | A- | | | Refunding Second Tier, Series B, 5.000% due 1/1/32 | | | | | 96,830 | | |
| | | 50,000 | | | | A | | | Refunding System First Tier, Series A, 5.000% due 1/1/23 | | | | | 55,894 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 145,000 | | | | A | | | Refunding System First Tie, Series A, 5.000% due 1/1/24 | | | | $ | 164,891 | | |
| | | 370,000 | | | | WD(g) | | | Special Projects System, Series A, Prerefunded 9/1/21 @ 100, 5.500% due 9/1/41(c) | | | | | 407,954 | | |
| | | 30,000 | | | | WD(g) | | | Special Projects System, Series A, Prerefunded 9/1/21 @ 100, 6.000% due 9/1/41(c) | | | | | 33,511 | | |
| | | 685,000 | | | | Aaa(b) | | | Northside Independent School District, GO, Various School Building PSF-GTD, 2.750% due 8/1/48(a) | | | | | 697,933 | | |
| | | | | | | | | | Permanent University Fund – University of Texas System, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | Aaa(b) | | | Series B, 5.000% due 7/1/22 | | | | | 55,609 | | |
| | | 50,000 | | | | Aaa(b) | | | Series B, 5.000% due 7/1/29 | | | | | 58,327 | | |
| | | 170,000 | | | | AAA | | | Plano Independent School District, GO, Refunding, Series B PSF-GTD, 5.000% due 2/15/19 | | | | | 172,562 | | |
| | | 50,000 | | | | AAA | | | Rockwall Independent School District, GO, Capital Appreciation Refunding PSF-GTD, zero coupon, due 2/15/25 | | | | | 42,413 | | |
| | | 35,000 | | | | BBB+ | | | Sam Rayburn Municipal Power Agency, Revenue Bonds, Refunding, 5.000% due 10/1/18 | | | | | 35,073 | | |
| | | 1,195,000 | | | | Aaa(b) | | | San Antonio Independent School District, GO, Refunding Convertible 08/01/17, Series A PSF-GTD, 5.000% due 8/1/28 | | | | | 1,398,724 | | |
| | | | | | | | | | San Antonio Public Facilities Corp., Revenue Bonds, Refunding and Improvement Convention Center: | | | | | | | |
| | | 140,000 | | | | AA+ | | | 5.000% due 9/15/23 | | | | | 154,973 | | |
| | | 215,000 | | | | AA+ | | | 5.000% due 9/15/24 | | | | | 237,556 | | |
| | | 270,000 | | | | AA+ | | | 5.000% due 9/15/25 | | | | | 297,669 | | |
| | | | | | | | | | San Antonio Water System, Revenue Bonds: | | | | | | | |
| | | 390,000 | | | | AA | | | Junior Lien Number Reserve Fund, Series B, 2.000% due 5/1/44(a) | | | | | 385,382 | | |
| | | 175,000 | | | | AA+ | | | Refunding, 5.000% due 5/15/22 | | | | | 193,734 | | |
| | | 2,000,000 | | | | AA | | | Refunding Junior Lien, Series A, 5.000% due 5/15/36 | | | | | 2,319,640 | | |
| | | | | | | | | | Southwest Higher Education Authority Inc., Revenue Bonds, Southern Methodist University Project: | | | | | | | |
| | | 90,000 | | | | AA- | | | 5.000% due 10/1/19 | | | | | 93,171 | | |
| | | 65,000 | | | | AA- | | | Prerefunded 10/1/19 @ 100, 5.000% due 10/1/20(c) | | | | | 67,304 | | |
| | | | | | | | | | State of Texas, GO, College Student Loan: | | | | | | | |
| | | 150,000 | | | | AAA | | | Airport System Revenue AMT, 5.000% due 8/1/26(d) | | | | | 170,997 | | |
| | | 45,000 | | | | AAA | | | College Student Loan, Series A, 5.000% due 8/1/19(d) | | | | | 46,312 | | |
| | | 45,000 | | | | AAA | | | College Student Loan, Series A, 5.000% due 8/1/21(d) | | | | | 48,791 | | |
| | | 350,000 | | | | AAA | | | College Student Loan, Series B, 5.000% due 8/1/25(d) | | | | | 393,593 | | |
| | | 3,500,000 | | | | AAA | | | Refunding Water Financial Assistance Subordinated, 5.000% due 8/1/21 | | | | | 3,806,285 | | |
| | | 2,500,000 | | | | AAA | | | Refunding Transportation Commission Mobility Fund, 5.000% due 10/1/24 | | | | | 2,872,250 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 45,000 | | | | AAA | | | Refunding College Student Loan, Series C, 5.000% due 8/1/20(d) | | | | $ | 47,632 | | |
| | | 40,000 | | | | AAA | | | Refunding College Student Loan, Series C, 5.000% due 8/1/21(d) | | | | | 43,370 | | |
| | | 2,655,000 | | | | AAA | | | Transportation Commission Highway Improvement, 5.000% due 4/1/26 | | | | | 3,128,307 | | |
| | | | | | | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | | 155,000 | | | | A | | | Hendrick Medical Center, 5.500% due 9/1/43 | | | | | 168,559 | | |
| | | 200,000 | | | | AA | | | Refunding Christus Health, AGC, Series A, 6.250% due 7/1/28 | | | | | 203,030 | | |
| | | 165,000 | | | | NR | | | Refunding Baylor Health, Prerefunded 11/15/18 @ 100, 5.750% due 11/15/24(c) | | | | | 166,358 | | |
| | | 75,000 | | | | AA- | | | Refunding Baylor Health, Prerefunded 11/15/18 @ 100, 5.750% due 11/15/24(c) | | | | | 75,617 | | |
| | | 30,000 | | | | AA- | | | Scott and White Healthcare Project, 5.000% due 8/15/25 | | | | | 33,675 | | |
| | | 45,000 | | | | AA- | | | Scott and White Healthcare Project, 5.000% due 8/15/26 | | | | | 50,246 | | |
| | | 45,000 | | | | AA- | | | Scott and White Healthcare Project, 5.000% due 8/15/28 | | | | | 49,980 | | |
| | | 110,000 | | | | AA- | | | Scott and White Healthcare Project, 5.000% due 8/15/33 | | | | | 120,780 | | |
| | | 165,000 | | | | AA | | | Texas Health Resources System, 5.000% due 2/15/25 | | | | | 189,727 | | |
| | | 60,000 | | | | AA | | | Texas Health Resources System, 5.000% due 2/15/34 | | | | | 68,108 | | |
| | | | | | | | | | Texas A&M University, Revenue Bonds: | | | | | | | |
| | | 2,500,000 | | | | AAA | | | Financing System, Series E, 5.000% due 5/15/26 | | | | | 2,956,025 | | |
| | | 165,000 | | | | AAA | | | Refunding, Series C, 5.000% due 5/15/23 | | | | | 186,516 | | |
| | | 460,000 | | | | Baa3(b) | | | Texas Private Activity Bond Surface Transportation Corp., Revenue Bonds, Senior Lien Nte Mobility Partners, 7.000% due 12/31/38(d) | | | | | 541,636 | | |
| | | 135,000 | | | | Aa2(b) | | | Texas State University System, Revenue Bonds, Refunding, Series A, 5.000% due 3/15/29 | | | | | 158,061 | | |
| | | | | | | | | | Texas Water Development Board, Revenue Bonds, St Wtrust Implementation Fund: | | | | | | | |
| | | 125,000 | | | | AAA | | | Series A, 5.000% due 4/15/22 | | | | | 138,182 | | |
| | | 180,000 | | | | AAA | | | Series A, 5.000% due 4/15/25 | | | | | 209,405 | | |
| | | 75,000 | | | | AAA | | | Series A, 5.000% due 10/15/25 | | | | | 87,837 | | |
| | | 125,000 | | | | AAA | | | Series A, 5.000% due 4/15/26 | | | | | 147,103 | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 10/15/26 | | | | | 5,924,550 | | |
| | | 190,000 | | | | AAA | | | Series A, 5.000% due 4/15/29 | | | | | 225,927 | | |
| | | 505,000 | | | | AAA | | | Series A, 5.000% due 4/15/30 | | | | | 597,799 | | |
| | | | | | | | | | Travis County Health Facilities Development Corp., Revenue Bonds, Refunding First Mortgage Longhorn Village: | | | | | | | |
| | | 2,305,000 | | | | NR | | | Prerefunded 1/1/21 @ 100, 7.000% due 1/1/32(c) | | | | | 2,570,167 | | |
| | | 1,040,000 | | | | NR | | | Prerefunded 1/1/21 @ 100, 7.125% due 1/1/46(c) | | | | | 1,162,585 | | |
| | | 400,000 | | | | AA+ | | | Trinity River Authority LLC Denton Creek Wastewater Treatment System Revenue, Revenue Bonds, Refunding Regional Treatment System, 5.000% due 2/1/22 | | | | | 439,588 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | | | | | | | | | University of Houston, Revenue Bonds: | | | |||||
| | $ | 10,000 | | | | AA | | | Unrefundeducation Balance Refunding Consolidated, AGM, 5.250% due 2/15/25 | | | | $ | 10,025 | | |
| | | 190,000 | | | | AA | | | Refunding, Series A, 5.000% due 2/15/30 | | | | | 218,599 | | |
| | | | | | | | | | University of Texas System, Revenue Bond: | | | | | | | |
| | | 1,785,000 | | | | NR | | | Prerefunded Refunding Financing System, Series A, Prerefunded 2/15/22 @ 100, 5.000% due 8/15/27(c) | | | | | 1,961,733 | | |
| | | 90,000 | | | | AAA | | | Refunding Financing System, Series B, 5.000% due 8/15/22 | | | | | 100,264 | | |
| | | 60,000 | | | | AAA | | | Series D, 5.000% due 8/15/20 | | | | | 63,723 | | |
| | | 65,000 | | | | AAA | | | Series D, 5.000% due 8/15/21 | | | | | 70,821 | | |
| | | 70,000 | | | | AAA | | | Series D, 5.000% due 8/15/22 | | | | | 77,983 | | |
| | | 80,000 | | | | AAA | | | Series E, 5.000% due 8/15/22 | | | | | 89,123 | | |
| | | 90,000 | | | | AAA | | | Series J, 5.000% due 8/15/22 | | | | | 100,264 | | |
| | | | | | | | | | Total Texas | | | | | 121,052,393 | | |
| Utah – 0.0% | | |||||||||||||||
| | | | | | | | | | Salt Lake City Corp. Airport Revenue, Revenue Bonds, Senior: | | | | | | | |
| | | 35,000 | | | | A+ | | | Series A, 5.000% due 7/1/26(d) | | | | | 40,427 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 7/1/28(d) | | | | | 133,191 | | |
| | | 85,000 | | | | A | | | Utah Associated Municipal Power Systems, Revenue Bonds, Horse Butte Wind Pj, Series A, Prerefunded 9/1/22 @ 100, 5.000% due 9/1/24(c) | | | | | 94,488 | | |
| | | | | | | | | | Total Utah | | | | | 268,106 | | |
| Virginia – 1.6% | | |||||||||||||||
| | | 30,000 | | | | BBB | | | City of Chesapeake VA Chesapeake Expressway Toll Road Revenue, Revenue Bonds, Transportation System Senior, Series A, 5.000% due 7/15/22 | | | | | 32,789 | | |
| | | 2,635,000 | | | | AAA | | | City of Suffolk VA, GO, Refunding, Series A, 5.000% due 2/1/27 | | | | | 3,155,861 | | |
| | | | | | | | | | County of Fairfax VA, GO, Public Improvement: | | | | | | | |
| | | 3,000,000 | | | | AAA | | | Public Improvement, Series A, 5.000% due 10/1/27 | | | | | 3,598,470 | | |
| | | 250,000 | | | | AAA | | | Refunding Public Improvement, Series A, 4.000% due 10/1/27 | | | | | 274,995 | | |
| | | | | | | | | | Fredericksburg Economic Development Authority, Revenue Bonds, Refunding Mary Washington Healthcare: | | | | | | | |
| | | 40,000 | | | | Baa1(b) | | | 5.000% due 6/15/27 | | | | | 44,325 | | |
| | | 40,000 | | | | Baa1(b) | | | 5.000% due 6/15/29 | | | | | 44,146 | | |
| | | 45,000 | | | | Baa1(b) | | | 5.000% due 6/15/33 | | | | | 49,265 | | |
| | | 3,180,000 | | | | AA | | | Hampton Roads Transportation Accountability Commission, Revenue Bonds, Transn Fund Senior Lien, Series A, 5.000% due 7/1/35 | | | | | 3,713,445 | | |
| | | 45,000 | | | | AA | | | Norfolk Economic Development Authority, Revenue Bonds, Refunding Sentara Healthcare, Series B, 5.000% due 11/1/48(a) | | | | | 53,653 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Virginia – (continued) | | |||||||||||||||
| | | | | | | | | | Stafford County Economic Development Authority, Revenue Bonds, Refunding Mary Washington Healthcare: | | | |||||
| | $ | 20,000 | | | | Baa1(b) | | | 4.000% due 6/15/37 | | | | $ | 19,999 | | |
| | | 50,000 | | | | Baa1(b) | | | 5.000% due 6/15/32 | | | | | 55,605 | | |
| | | 65,000 | | | | Baa1(b) | | | 5.000% due 6/15/34 | | | | | 71,865 | | |
| | | | | | | | | | Virginia College Building Authority, Revenue Bonds, Virginia Refunding: | | | | | | | |
| | | 265,000 | | | | AA+ | | | Virginia Refunding, Series E, 5.000% due 2/1/30 | | | | | 315,808 | | |
| | | 305,000 | | | | AA+ | | | Virginia Refunding, Series E, 5.000% due 2/1/31 | | | | | 361,526 | | |
| | | 165,000 | | | | AA+ | | | Virginia Taxable, Series D, 5.000% due 2/1/26 | | | | | 194,312 | | |
| | | | | | | | | | Virginia Commonwealth Transportation Board, Revenue Bonds, Refunding: | | | | | | | |
| | | 185,000 | | | | AA+ | | | Series A, 5.000% due 5/15/29 | | | | | 220,762 | | |
| | | 360,000 | | | | AA+ | | | Series A, 5.000% due 5/15/30 | | | | | 427,648 | | |
| | | 220,000 | | | | BBB | | | Virginia Small Business Financing Authority, Revenue Bonds, Senior Lien 95 Express Lanes, 5.000% due 1/1/40(d) | | | | | 231,880 | | |
| | | | | | | | | | Winchester Economic Development Authority, Revenue Bonds, Refunding Valley Health System Obligation: | | | | | | | |
| | | 60,000 | | | | A+ | | | 5.000% due 1/1/32 | | | | | 67,330 | | |
| | | 75,000 | | | | A+ | | | 5.000% due 1/1/33 | | | | | 83,748 | | |
| | | | | | | | | | Total Virginia | | | | | 13,017,432 | | |
| Washington – 0.6% | | |||||||||||||||
| | | 60,000 | | | | AA | | | Chelan County Public Utility District No 1, Revenue Bonds, Capital Appreciation Refunding, Series A, NPFG, zero coupon, due 6/1/24 | | | | | 51,470 | | |
| | | | | | | | | | City of Tacoma WA Electric System Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 35,184 | | |
| | | 35,000 | | | | AA | | | 5.000% due 1/1/36 | | | | | 39,982 | | |
| | | 85,000 | | | | Aa1(b) | | | Clark County School District No 37 Vancouver, GO, Series C, NPFG, zero coupon, due 12/1/19 | | | | | 83,042 | | |
| | | 55,000 | | | | AA+ | | | County of King WA Sewer Revenue, Revenue Bonds, Prerefunded 1/1/19 @ 100, 5.250% due 1/1/42(c) | | | | | 55,645 | | |
| | | | | | | | | | County of Spokane WA Wastewater System Revenue, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 12/1/18 | | | | | 35,287 | | |
| | | 40,000 | | | | AA | | | Series A, 5.000% due 12/1/19 | | | | | 40,964 | | |
| | | | | | | | | | Grant County Public Utility District No 2, Revenue Bonds, Public Utility District Refunding: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 1/1/22 | | | | | 32,858 | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 1/1/23 | | | | | 33,155 | | |
| | | 65,000 | | | | AA | | | Series A, 5.000% due 1/1/24 | | | | | 71,711 | | |
| | | 250,000 | | | | AA+ | | | King County School District No 401 Highline, GO, Refunding, 5.000% due 12/1/18 | | | | | 252,035 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Washington – (continued) | | |||||||||||||||
| | $ | 500,000 | | | | AA+ | | | Pierce County School District No 3 Puyallup, GO, 5.000% due 12/1/34 | | | | $ | 577,595 | | |
| | | | | | | | | | Port of Seattle WA, Revenue Bonds: | | | | | | | |
| | | 135,000 | | | | AA- | | | Refunding AMT First Lien, Series B, 5.000% due 10/1/29(d) | | | | | 152,871 | | |
| | | 35,000 | | | | A+ | | | Refunding Intermediate Lien, 5.000% due 2/1/27 | | | | | 40,573 | | |
| | | 70,000 | | | | A+ | | | Refunding Intermediate Lien, 5.000% due 2/1/29 | | | | | 80,689 | | |
| | | 25,000 | | | | A | | | Refunding Seatac Fuel Facilities LLC, 5.000% due 6/1/23(d) | | | | | 27,776 | | |
| | | | | | | | | | State of Washington, GO: | | | | | | | |
| | | 50,000 | | | | AA+ | | | Refunding, Series R2017A, 5.000% due 8/1/28 | | | | | 58,680 | | |
| | | 50,000 | | | | AA+ | | | Refunding, Series R2017A, 5.000% due 8/1/30 | | | | | 58,214 | | |
| | | 725,000 | | | | AA+ | | | Refunding, Series R2018D, 5.000% due 8/1/32 | | | | | 846,198 | | |
| | | 640,000 | | | | AA+ | | | Refunding, Series R2018D, 5.000% due 8/1/33 | | | | | 743,168 | | |
| | | 100,000 | | | | AA+ | | | Refunding, Series R97, NPFG, zero coupon, due 7/1/19 | | | | | 98,578 | | |
| | | 50,000 | | | | AA+ | | | Series 2017A, 5.000% due 8/1/27 | | | | | 58,915 | | |
| | | 430,000 | | | | AA+ | | | Various Purpose, Series A, 5.000% due 8/1/32 | | | | | 501,883 | | |
| | | | | | | | | | Tobacco Settlement Authority, Revenue Bonds, Refunding: | | | | | | | |
| | | 70,000 | | | | A | | | 5.000% due 6/1/23 | | | | | 78,337 | | |
| | | 100,000 | | | | A | | | 5.000% due 6/1/24 | | | | | 111,292 | | |
| | | | | | | | | | Washington Health Care Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A+ | | | Fred Hutchinson Center Research Center, 5.000% due 1/1/29 | | | | | 44,874 | | |
| | | 65,000 | | | | A | | | Overlake Hospital Medical Center, Prerefunded 7/1/20 @ 100, 5.500% due 7/1/30(c) | | | | | 69,327 | | |
| | | 5,000 | | | | A | | | Refunding Overlake Hospital Medical Center, 5.000% due 7/1/25 | | | | | 5,678 | | |
| | | 60,000 | | | | A | | | Refunding Overlake Hospital Medical Center, 5.000% due 7/1/26 | | | | | 68,624 | | |
| | | 90,000 | | | | A | | | Refunding Overlake Hospital Medical Center, 5.000% due 7/1/29 | | | | | 104,064 | | |
| | | 20,000 | | | | A | | | Refunding Overlake Hospital Medical Center, 5.000% due 7/1/34 | | | | | 22,606 | | |
| | | 70,000 | | | | AA- | | | Refunding Providence St Joseph, 5.000% due 10/1/27 | | | | | 83,000 | | |
| | | 60,000 | | | | AA- | | | Refunding Providence St Joseph, 5.000% due 10/1/28 | | | | | 71,864 | | |
| | | 110,000 | | | | BBB | | | Virginia Mason Medical Center, 5.000% due 8/15/28 | | | | | 124,744 | | |
| | | 65,000 | | | | BBB | | | Virginia Mason Medical Center, 5.000% due 8/15/31 | | | | | 72,537 | | |
| | | | | | | | | | Washington Higher Education Facilities Authority, Revenue Bonds, Refunding Whitworth University Project: | | | | | | | |
| | | 15,000 | | | | Baa1(b) | | | Series A, 5.000% due 10/1/29 | | | | | 16,614 | | |
| | | 35,000 | | | | Baa1(b) | | | Series A, 5.000% due 10/1/30 | | | | | 38,612 | | |
| | | 40,000 | | | | Baa1(b) | | | Series A, 5.000% due 10/1/31 | | | | | 43,921 | | |
| | | | | | | | | | Total Washington | | | | | 4,932,567 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| West Virginia – 2.7% | | |||||||||||||||
| | | | | | | | | | State of West Virginia, GO: | | | |||||
| | $ | 16,860,000 | | | | AA- | | | Series B, 5.000% due 12/1/34 | | | | $ | 19,688,771 | | |
| | | 2,000,000 | | | | AA- | | | Series B, 5.000% due 6/1/35 | | | | | 2,328,200 | | |
| | | | | | | | | | West Virginia Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 190,000 | | | | BBB+ | | | Refunding and Improvement Cabell Huntington, 5.000% due 1/1/33 | | | | | 213,415 | | |
| | | 40,000 | | | | AA | | | Auction Rate Certificates Improvement, Series D, Prerefunded 12/1/18 @ 100, AGM, 5.500% due 6/1/33(c) | | | | | 40,373 | | |
| | | | | | | | | | Total West Virginia | | | | | 22,270,759 | | |
| Wisconsin – 1.3% | | |||||||||||||||
| | | | | | | | | | Public Finance Authority, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | BB(g) | | | First Mortgage Southminster, 5.000% due 10/1/43(e)(f) | | | | | 26,481 | | |
| | | 30,000 | | | | BB(g) | | | First Mortgage Southminster, 5.000% due 10/1/48(e)(f) | | | | | 31,751 | | |
| | | 55,000 | | | | BB(g) | | | First Mortgage Southminster, 5.000% due 10/1/53(e)(f) | | | | | 57,935 | | |
| | | 20,000 | | | | BB(g) | | | Refunding Marys Woods Marylhurst, 3.000% due 11/15/22(e)(f) | | | | | 20,022 | | |
| | | 35,000 | | | | BB(g) | | | Refunding Marys Woods Marylhurst, 5.000% due 5/15/23(e)(f) | | | | | 38,058 | | |
| | | 35,000 | | | | BB(g) | | | Refunding Marys Woods Marylhurst, 5.000% due 5/15/30(e)(f) | | | | | 38,113 | | |
| | | 10,000 | | | | BB(g) | | | Refunding Marys Woods Marylhurst, 5.250% due 5/15/37(e)(f) | | | | | 10,911 | | |
| | | 15,000 | | | | BB(g) | | | Refunding Marys Woods Marylhurst, 5.250% due 5/15/42(e)(f) | | | | | 16,312 | | |
| | | 15,000 | | | | BB(g) | | | Refunding Marys Woods Marylhurst, 5.250% due 5/15/47(e)(f) | | | | | 16,266 | | |
| | | 25,000 | | | | BB(g) | | | Refunding Marys Woods Marylhurst, 5.250% due 5/15/52(e)(f) | | | | | 27,032 | | |
| | | 15,000 | | | | BB(g) | | | Refunding Marys Woods Temps 70, Series B2, 3.500% due 11/15/23(e)(f) | | | | | 15,070 | | |
| | | 10,000 | | | | BB(g) | | | Refunding Marys Woods Temps 85, 3.950% due 11/15/24(e)(f) | | | | | 10,118 | | |
| | | 1,300,000 | | | | NR | | | Various Refunding AMT Waste Management Incorporate, 1.800% due 10/1/25 | | | | | 1,299,675 | | |
| | | | | | | | | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 6,940,000 | | | | AA | | | Advocate Aurora Health, 5.000% due 8/15/54(a) | | | | | 7,750,587 | | |
| | | 30,000 | | | | WR(b) | | | Agnesian Healthcare Incorporate, Series B, Prerefunded 7/1/23 @ 100, 5.000% due 7/1/25(c) | | | | | 33,881 | | |
| | | 200,000 | | | | WR(b) | | | Agnesian Healthcare Incorporate, Series B, Prerefunded 7/1/23 @ 100, 5.000% due 7/1/36(c) | | | | | 225,874 | | |
| | | 50,000 | | | | WR(b) | | | Agnesian Healthcare Incorporate, Prerefunded 7/1/20 @ 100, 5.500% due 7/1/40(c) | | | | | 53,282 | | |
| | | 25,000 | | | | BBB+ | | | Fort Healthcare Incorporate, 5.000% due 5/1/26 | | | | | 27,351 | | |
| | | 50,000 | | | | BBB+ | | | Franciscan Sisters Christian, 5.000% due 9/1/34 | | | | | 54,493 | | |
| | | 65,000 | | | | BBB+ | | | Franciscan Sisters Christian, 5.000% due 9/1/36 | | | | | 70,480 | | |
| | | 50,000 | | | | A3(b) | | | Mercy Alliance Incorporate, 5.000% due 6/1/27 | | | | | 53,821 | | |
| | | 30,000 | | | | A3(b) | | | Mercy Alliance Incorporate, 5.000% due 6/1/32 | | | | | 32,073 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Wisconsin – (continued) | | |||||||||||||||
| | $ | 70,000 | | | | A3(b) | | | Mercy Alliance Incorporate, 5.000% due 6/1/39 | | | | $ | 74,024 | | |
| | | 20,000 | | | | NR | | | Prerefunded Agnesian, 7/1/20 @ 100, 5.750% due 7/1/30(c) | | | | | 21,402 | | |
| | | 255,000 | | | | AA- | | | Refunding Hospital Sisters Services Incorporate, 5.000% due 11/15/24 | | | | | 292,467 | | |
| | | 195,000 | | | | AA- | | | Refunding Hospital Sisters Services Incorporate, 5.000% due 11/15/27 | | | | | 218,999 | | |
| | | 50,000 | | | | BBB+ | | | Refunding Hospital Sisters Services Incorporate, 5.000% due 5/1/28 | | | | | 54,323 | | |
| | | 25,000 | | | | BBB+ | | | Refunding Hospital Sisters Services Incorporate, 5.000% due 5/1/29 | | | | | 27,068 | | |
| | | 50,000 | | | | NR | | | Refunding Ministry Health Care, Series C, Prerefunded 8/15/22 @ 100, 5.000% due 8/15/32(c) | | | | | 55,321 | | |
| | | 35,000 | | | | WD(g) | | | Refunding Monroe Clinic Incorporate, Prerefunded 8/15/25 @ 100, 4.000% due 2/15/38(c) | | | | | 38,398 | | |
| | | 35,000 | | | | NR | | | Unrefunded Balance Agnesian, Prerefunded 7/1/20 @ 100, 5.750% due 7/1/30(c) | | | | | 37,454 | | |
| | | | | | | | | | Total Wisconsin | | | | | 10,729,042 | | |
| Wyoming – 0.0% | | |||||||||||||||
| | | 185,000 | | | | A | | | County of Campbell WY, Revenue Bonds, Basin Electric Power Cooperative, Series A, 5.750% due 7/15/39 | | | | | 190,855 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $643,774,493) | | | | | 640,905,677 | | |
| SHORT-TERM INVESTMENTS – 24.9% | | |||||||||||||||
| MUNICIPAL BONDS – 8.0% | | |||||||||||||||
| | | 152,000 | | | | NR | | | Borough of Carteret NJ, GO, 2.500% due 10/25/18 | | | | | 152,236 | | |
| | | 124,000 | | | | NR | | | Borough of Roselle NJ, GO, 2.250% due 9/14/18 | | | | | 124,031 | | |
| | | 5,000,000 | | | | MIG1(b) | | | City of Portland OR, GO, 4.000% due 6/26/19 | | | | | 5,087,250 | | |
| | | | | | | | | | Commonwealth of Massachusetts, GO, Anticipation Notes: | | | | | | | |
| | | 2,000,000 | | | | NR | | | Series A, 4.000% due 4/25/19 | | | | | 2,028,560 | | |
| | | 10,000,000 | | | | SP-1+ | | | Series B, 4.000% due 5/23/19 | | | | | 10,162,100 | | |
| | | 225,000 | | | | SP-1+ | | | County of Nassau NY, GO, Series B, 3.000% due 9/18/18 | | | | | 225,186 | | |
| | | 320,000 | | | | NR | | | County of Schoharie NY, GO, 2.500% due 11/8/18 | | | | | 320,435 | | |
| | | 1,615,000 | | | | SP-1 | | | County of Suffolk NY, GO, Series I, 2.250% due 9/27/18 | | | | | 1,616,086 | | |
| | | 1,000,000 | | | | NR | | | Genesee Valley Central School District NY, GO, 4.000% due 8/28/19 | | | | | 1,018,980 | | |
| | | 195,000 | | | | NR | | | Gloversville Enlarged School District NY, GO, 2.250% due 10/19/18 | | | | | 195,216 | | |
| | | 5,000,000 | | | | A-1+ | | | Michigan Finance Authority, Revenue Notes, St Aid Note, Series A1, 4.000% due 8/20/19 | | | | | 5,095,150 | | |
| | | 1,000,000 | | | | NR | | | Ravena Coeymans Selkirk Central School District NY, GO, 4.000% due 8/16/19 | | | | | 1,019,380 | | |
| | | 5,000,000 | | | | AAA | | | State of Georgia, GO, Series A, 5.000% due 7/1/19 | | | | | 5,137,800 | | |
| | | 5,000,000 | | | | SP-1+ | | | State of Idaho, GO, Tax Anticipation Notes, 4.000% due 6/28/19 | | | | | 5,086,650 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – (continued) | | |||||||||||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| | $ | 7,500,000 | | | | SP-1+ | | | State of Oregon, GO, Tax Anticipation Notes, Series A, 5.000% due 9/28/18 | | | | $ | 7,522,140 | | |
| | | 20,000,000 | | | | SP-1+ | | | State of Texas, Revenue Notes, 4.000% due 8/29/19 | | | | | 20,421,000 | | |
| | | 121,000 | | | | MIG1(b) | | | Town of Webster MA, GO, Series B, 2.250% due 10/12/18 | | | | | 121,109 | | |
| | | 110,000 | | | | NR | | | Township of Holmdel NJ, GO, 2.500% due 10/26/18 | | | | | 110,183 | | |
| | | 380,000 | | | | SP-1+ | | | Township of Howell NJ, GO, Series A, 3.000% due 10/17/18 | | | | | 380,771 | | |
| | | 100,000 | | | | NR | | | Township of Maple Shade NJ, GO, 2.250% due 9/7/18 | | | | | 100,010 | | |
| | | 115,000 | | | | NR | | | Township of Millstone NJ, GO, 2.250% due 9/12/18 | | | | | 115,032 | | |
| | | 130,000 | | | | NR | | | Township of South Brunswick NJ, GO, 2.250% due 10/2/18 | | | | | 130,092 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $66,214,394) | | | | | 66,169,397 | | |
| TIME DEPOSITS – 16.9% | | |||||||||||||||
| | | 93,497,347 | | | | | | | Banco Santander SA – Frankfurt, 1.280% due 9/4/18 | | | | | 93,497,347 | | |
| | | 1,167,455 | | | | | | | BNP Paribas – Paris, 1.280% due 9/4/18 | | | | | 1,167,455 | | |
| | | 6,043,468 | | | | | | | Deutsche Bank AG – Grand Cayman, 1.280% due 9/4/18 | | | | | 6,043,468 | | |
| | | 37,801,865 | | | | | | | JPMorgan Chase & Co. – New York, 1.280% due 9/4/18 | | | | | 37,801,865 | | |
| | | | | | | | | | TOTAL TIME DEPOSITS (Cost – $138,510,135) | | | | | 138,510,135 | | |
| | | | | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $204,724,529) | | | | | 204,679,532 | | |
| | | | | | | | | | TOTAL INVESTMENTS – 102.9% (Cost – $848,499,022#) | | | | | 845,585,209 | | |
| | | | | | | | | | Liabilities in Excess of Other Assets – (2.9)% | | | | | (23,828,826) | | |
| | | | | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 821,756,383 | | |
|
| General Obligation | | | | | 34.3% | | |
| Education | | | | | 16.0 | | |
| Health Care Providers & Services | | | | | 7.1 | | |
| Transportation | | | | | 6.1 | | |
| Water and Sewer | | | | | 4.6 | | |
| Airport | | | | | 2.9 | | |
| Power | | | | | 1.3 | | |
| Development | | | | | 1.0 | | |
| Pollution | | | | | 0.8 | | |
| Utilities | | | | | 0.7 | | |
| Facilities | | | | | 0.4 | | |
| Housing | | | | | 0.3 | | |
| Tobacco | | | | | 0.3 | | |
| Community Facilities Districts | | | | | 0.0* | | |
| Short-Term Investments | | | | | 24.2 | | |
| | | | | | 100.0% | | |
|
| Face Amount/Units/Shares† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 20.3% | | ||||||||||||
| Basic Materials – 0.6% | | ||||||||||||
| | | | | | | Hexion Inc., Senior Secured Notes: | | ||||||
| | $ | 1,960,000 | | | | 6.625% due 4/15/20 | | | | $ | 1,854,650 | | |
| | | 2,334,000 | | | | 10.000% due 4/15/20 | | | | | 2,307,742 | | |
| | | 2,775,000 | | | | Venator Finance Sarl/Venator Materials LLC, Company Guaranteed Notes, 5.750% due 7/15/25(a)(b) | | | | | 2,587,688 | | |
| | | | | | | Total Basic Materials | | | | | 6,750,080 | | |
| Communications – 5.5% | | ||||||||||||
| | | 3,180,000 | | | | Altice France SA, Senior Secured Notes, 7.375% due 5/1/26(a)(b) | | | | | 3,124,350 | | |
| | | 2,795,000 | | | | Altice Luxembourg SA, Company Guaranteed Notes, 7.750% due 5/15/22(a)(b) | | | | | 2,693,681 | | |
| | | 5,546,000 | | | | Avaya Inc., Senior Secured Notes, 7.000% due 4/1/19(b)(c)(d) | | | | | — | | |
| | | 1,750,000 | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes, 5.125% due 5/1/27(b) | | | | | 1,669,063 | | |
| | | 2,500,000 | | | | Clear Channel Worldwide Holdings Inc., Company Guaranteed Notes, 7.625% due 3/15/20 | | | | | 2,509,375 | | |
| | | 10,659,000 | | | | Consolidated Communications Inc., Company Guaranteed Notes, 6.500% due 10/1/22(a)(e) | | | | | 10,059,431 | | |
| | | | | | | Digicel Ltd., Company Guaranteed Notes: | | | |||||
| | | 1,480,000 | | | | 6.750% due 3/1/23(a)(b) | | | | | 1,246,900 | | |
| | | 1,750,000 | | | | 6.750% due 3/1/23 | | | | | 1,474,375 | | |
| | | | | | | DISH DBS Corp., Company Guaranteed Notes: | | | |||||
| | | 2,000,000 | | | | 5.125% due 5/1/20 | | | | | 2,010,000 | | |
| | | 2,000,000 | | | | 6.750% due 6/1/21 | | | | | 2,030,000 | | |
| | | 3,440,000 | | | | EIG Investors Corp., Company Guaranteed Notes, 10.875% due 2/1/24(a) | | | | | 3,741,000 | | |
| | | 7,500,000 | | | | Frontier Communications Corp., Senior Unsecured Notes, 10.500% due 9/15/22 | | | | | 6,600,000 | | |
| | | 13,133,000 | | | | HC2 Holdings Inc., Senior Secured Notes, 11.000% due 12/1/19(a)(b) | | | | | 13,264,330 | | |
| | | | | | | Intelsat Jackson Holdings SA: | | | |||||
| | | 3,980,000 | | | | Company Guaranteed Notes, 9.750% due 7/15/25(b) | | | | | 4,213,825 | | |
| | | 2,617,000 | | | | Senior Secured Notes, 8.000% due 2/15/24(b) | | | | | 2,754,393 | | |
| | | 1,415,000 | | | | Lee Enterprises Inc., Senior Secured Notes, 9.500% due 3/15/22(b) | | | | | 1,470,595 | | |
| | | 2,880,000 | | | | Sinclair Television Group Inc., Company Guaranteed Notes, 5.625% due 8/1/24(a)(b) | | | | | 2,836,800 | | |
| | | | | | | VTR Finance BV, Senior Secured Notes: | | | |||||
| | | 150,000 | | | | 6.875% due 1/15/24(b) | | | | | 153,150 | | |
| | | 300,000 | | | | 6.875% due 1/15/24 | | | | | 306,300 | | |
| | | | | | | Total Communications | | | | | 62,157,568 | | |
| Face Amount/Units/Shares† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – 1.4% | | ||||||||||||
| | $ | 525,000 | | | | American Axle & Manufacturing Inc., Company Guaranteed Notes, 6.250% due 4/1/25(e) | | | | $ | 522,375 | | |
| | | | | | | Codere Finance 2 Luxembourg SA, Senior Secured Notes: | | | |||||
| | | 2,000,000EUR | | | | 6.750% due 11/1/21 | | | | | 2,182,398 | | |
| | | 3,475,000 | | | | 7.625% due 11/1/21 | | | | | 3,188,312 | | |
| | | 7,593,000 | | | | JC Penney Corp. Inc., Senior Secured Notes, 5.875% due 7/1/23(b) | | | | | 6,814,718 | | |
| | | 2,395,000 | | | | Neiman Marcus Group Ltd. LLC, Company Guaranteed Notes, 8.000% due 10/15/21(a)(b) | | | | | 1,622,613 | | |
| | | 1,231,000 | | | | Rite Aid Corp., Company Guaranteed Notes, 6.125% due 4/1/23(b) | | | | | 1,104,453 | | |
| | | | | | | Total Consumer Cyclical | | | | | 15,434,869 | | |
| Consumer Non-cyclical – 3.5% | | ||||||||||||
| | | 1,200,000 | | | | Adecoagro SA, Senior Unsecured Notes, 6.000% due 9/21/27(a)(b) | | | | | 984,900 | | |
| | | 5,000,000 | | | | Bausch Health Cos., Inc., Company Guaranteed Notes, 9.000% due 12/15/25(b) | | | | | 5,287,500 | | |
| | | | | | | CHS/Community Health Systems Inc.: | | | |||||
| | | | | | | Senior Secured Notes: | | | |||||
| | | 4,950,000 | | | | 5.125% due 8/1/21(e) | | | | | 4,776,750 | | |
| | | 994,000 | | | | 6.250% due 3/31/23 | | | | | 944,300 | | |
| | | 1,500,000 | | | | Secured Notes, step bond to yield, 11.000% due 6/30/23(b) | | | | | 1,346,250 | | |
| | | 8,878,000 | | | | Endo Dac/Endo Finance LLC/Endo Finco Inc., Company Guaranteed Notes, 6.000% due 2/1/25(b) | | | | | 7,346,545 | | |
| | | 1,500,000 | | | | Endo Finance LLC, Company Guaranteed Notes, 5.750% due 1/15/22(b) | | | | | 1,387,500 | | |
| | | 4,000,000 | | | | Hertz Corp., Company Guaranteed Notes, 5.875% due 10/15/20 | | | | | 3,978,760 | | |
| | | 100,000 | | | | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Company Guaranteed Notes, 4.875% due 4/15/20(b) | | | | | 99,625 | | |
| | | 5,879,000 | | | | Revlon Consumer Products Corp., Company Guaranteed Notes, 5.750% due 2/15/21(e) | | | | | 4,820,780 | | |
| | | 4,435,000 | | | | Sotera Health Holdings LLC, Senior Unsecured Notes, 6.500% due 5/15/23(a)(b) | | | | | 4,565,389 | | |
| | | 5,006,000 | | | | Vector Group Ltd., Senior Secured Notes, 6.125% due 2/1/25(a)(b) | | | | | 4,793,245 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 40,331,544 | | |
| Diversified – 0.4% | | ||||||||||||
| | | 4,421,000 | | | | Spectrum Brands Holdings Inc., Senior Unsecured Notes, 7.750% due 1/15/22(a) | | | | | 4,542,577 | | |
| Energy – 3.2% | | ||||||||||||
| | | 7,236,000 | | | | California Resources Corp., Secured Notes, 8.000% due 12/15/22(b) | | | | | 6,485,265 | | |
| | | | | | | EP Energy LLC/Everest Acquisition Finance Inc.: | | | |||||
| | | | | | | Company Guaranteed Notes: | | | |||||
| | | 742,000 | | | | 7.750% due 9/1/22 | | | | | 549,080 | | |
| Face Amount/Units/Shares† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 4,310,000 | | | | 6.375% due 6/15/23 | | | | $ | 2,715,300 | | |
| | | 5,458,000 | | | | Secured Notes, 9.375% due 5/1/24(b) | | | | | 4,298,175 | | |
| | | | | | | Sable Permian Resources Land LLC/AEPB Finance Corp., Company Guaranteed Notes: | | | |||||
| | | 6,336,000 | | | | 7.125% due 11/1/20(b) | | | | | 4,055,040 | | |
| | | 3,242,000 | | | | 7.375% due 11/1/21(b) | | | | | 2,026,250 | | |
| | | 11,422,000 | | | | Sanchez Energy Corp., Company Guaranteed Notes, 7.750% due 6/15/21 | | | | | 7,938,290 | | |
| | | 2,000,000 | | | | Transocean Guardian Ltd., Senior Secured Notes, 5.875% due 1/15/24(b) | | | | | 2,010,000 | | |
| | | 13,614,000 | | | | Ultra Resources Inc., Company Guaranteed Notes, 6.875% due 4/15/22(b) | | | | | 6,636,825 | | |
| | | | | | | Total Energy | | | | | 36,714,225 | | |
| Financial – 3.3% | | ||||||||||||
| | | 3,626,000 | | | | Abe Investment Holdings Inc./Getty Images Inc., Senior Unsecured Notes, 7.000% due 10/15/20(a)(b) | | | | | 3,435,635 | | |
| | | 960,000 | | | | Acrisure LLC/Acrisure Finance Inc., Senior Unsecured Notes, 7.000% due 11/15/25(a)(b) | | | | | 921,600 | | |
| | | 36,032 | | | | Capital Southwest Corp., 5.950% due 12/15/22(e) | | | | | 915,933 | | |
| | | 3,000,000 | | | | Curo Group Holdings Corp., Senior Secured Notes, 8.250% due 9/1/25(b) | | | | | 2,970,000 | | |
| | | 3,513,000 | | | | Genworth Holdings Inc., Company Guaranteed Notes, 7.625% due 9/24/21 | | | | | 3,635,955 | | |
| | | 6,207,000 | | | | ILFC E-Capital Trust I, Limited Guaranteed Notes, 4.570% due 12/21/65(a)(b)(f) | | | | | 5,659,232 | | |
| | | 3,650,000 | | | | JPMorgan Chase & Co., Junior Subordinated Notes, 5.809% (3-Month USD-LIBOR + 3.470%)(a)(f)(g) | | | | | 3,675,550 | | |
| | | 28,343 | | | | KCAP Financial Inc., 6.125% due 9/30/22 | | | | | 721,046 | | |
| | | 4,590,000 | | | | Royal Bank of Scotland Group PLC, Junior Subordinated Notes, 4.654% (3-Month USD-LIBOR + 2.320%)(a)(f)(g) | | | | | 4,300,830 | | |
| | | 4,213,000 | | | | State Street Corp., Junior Subordinated Notes, 3.341% (3-Month USD-LIBOR + 1.000%) due 6/15/47(a)(f) | | | | | 3,781,168 | | |
| | | 29,980 | | | | TriplePoint Venture Growth BDC Corp., 5.750% due 7/15/22 | | | | | 764,790 | | |
| | | 7,590,000 | | | | USB Realty Corp., Junior Subordinated Notes, 3.486% (3-Month USD-LIBOR + 1.147%)(a)(b)(f)(g) | | | | | 6,831,000 | | |
| | | | | | | Total Financial | | | | | 37,612,739 | | |
| Industrial – 0.8% | | ||||||||||||
| | | 985,000 | | | | Aeropuertos Argentina 2000 SA, Senior Secured Notes, 6.875% due 2/1/27(a)(b) | | | | | 881,014 | | |
| | | 2,355,000 | | | | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Company Guaranteed Notes, 6.000% due 2/15/25(a)(b) | | | | | 2,302,012 | | |
| | | 3,040,000 | | | | Builders FirstSource Inc., Senior Secured Notes, 5.625% due 9/1/24(a)(b) | | | | | 2,952,600 | | |
| | | 3,438,000 | | | | XPO CNW Inc., Senior Unsecured Notes, 6.700% due 5/1/34(a) | | | | | 3,438,000 | | |
| | | | | | | Total Industrial | | | | | 9,573,626 | | |
| Face Amount/Units/Shares† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – 0.9% | | ||||||||||||
| | $ | 1,125,000 | | | | Avaya Holdings Corp., Senior Unsecured Notes, 2.250% due 1/23/18(b) | | | | $ | 1,180,054 | | |
| | | 3,000,000 | | | | BMC Software Finance Inc., Senior Unsecured Notes, 8.125% due 7/15/21(b) | | | | | 3,066,630 | | |
| | | 6,023,242 | | | | DynCorp International Inc., Secured Notes, 11.875% (10.375% cash and 1.500% PIK) due 11/30/20(a)(h) | | | | | 6,271,701 | | |
| | | | | | | Total Technology | | | | | 10,518,385 | | |
| Utilities – 0.7% | | ||||||||||||
| | | | | | | FirstEnergy Solutions Corp., Company Guaranteed Notes: | | | |||||
| | | 393,000 | | | | 6.050% due 8/15/21(d) | | | | | 243,660 | | |
| | | 104,000 | | | | 6.800% due 8/15/39(d) | | | | | 64,480 | | |
| | | | | | | Talen Energy Supply LLC, Company Guaranteed Notes: | | | |||||
| | | 6,000,000 | | | | 9.500% due 7/15/22(b) | | | | | 5,790,000 | | |
| | | 1,579,000 | | | | 10.500% due 1/15/26(b) | | | | | 1,383,599 | | |
| | | | | | | Total Utilities | | | | | 7,481,739 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $239,929,070) | | | | | 231,117,352 | | |
| SENIOR LOANS(f) – 5.1% | | ||||||||||||
| | | 2,740,838 | | | | Acrisure LLC, 6.592% (3-Month USD-LIBOR + 4.250%) due 11/22/23 | | | | | 2,747,005 | | |
| | | 1,193,955 | | | | Consolidated Communications Inc., 5.080% (1-Month USD-LIBOR + 3.000%) due 10/5/23 | | | | | 1,173,562 | | |
| | | 1,525,146 | | | | DynCorp International Inc., 8.077% (1-Month USD-LIBOR + 6.000%) due 7/7/20 | | | | | 1,525,146 | | |
| | | 1,200,000 | | | | Equinox Holdings Inc., 9.076% (1-Month USD-LIBOR + 7.000%) due 9/6/24 | | | | | 1,226,256 | | |
| | | 4,094,978 | | | | Evergreen Skills Lux SARL, 6.826% (1-Month USD-LIBOR + 4.750%) due 4/28/21 | | | | | 3,958,984 | | |
| | | 12,502,061 | | | | Fossil Group Inc., 8.960% (1-Week USD-LIBOR + 7.000%) due 12/31/20 | | | | | 12,486,433 | | |
| | | 5,588,610 | | | | Genworth Holdings Inc., 6.567% (1-Month USD-LIBOR + 4.500%) due 3/7/23 | | | | | 5,710,889 | | |
| | | 8,290,987 | | | | Getty Images Inc., 5.576% (1-Month USD-LIBOR + 3.500%) due 10/18/19 | | | | | 8,072,353 | | |
| | | 4,910,280 | | | | Golden Entertainment Inc., 9.070% (1-Month USD-LIBOR + 7.000%) due 10/20/25 | | | | | 4,965,521 | | |
| | | 2,913,053 | | | | Hoya Midco LLC, 5.576% (1-Month USD-LIBOR + 3.500%) due 6/30/24 | | | | | 2,888,788 | | |
| | | 7,595,000 | | | | La Paloma Generating Co. LLC, 9.250% due 2/20/20(c)(d)(j) | | | | | 151,900 | | |
| | | 2,873,250 | | | | McDermott International Inc., 7.076% (1-Month USD-LIBOR + 5.000%) due 5/12/25 | | | | | 2,901,523 | | |
| | | 1,278,036 | | | | ProQuest LLC, 5.919% (2-Month USD-LIBOR + 3.750%) due 10/24/21 | | | | | 1,281,628 | | |
| | | 406,808 | | | | Quorum Health Corp., 8.826% (1-Month USD-LIBOR + 6.750%) due 4/29/22 | | | | | 410,624 | | |
Face Amount/ Units/Shares† | | | Rating†† | | | Security | | | Value | | ||||||
SENIOR LOANS(f) – (continued) | | | ||||||||||||||
| $ | 2,992,462 | | | | | | | Staples Inc., 6.343% (3-Month USD-LIBOR + 4.000%) due 9/12/24 | | | | $ | 2,982,318 | | |
| | 5,500,000 | | | | | | | Vistra Operations Company LLC, due 8/4/23(i) | | | | | 5,489,110 | | |
| | | | | | | | | TOTAL SENIOR LOANS (Cost – $58,619,971) | | | | | 57,972,040 | | |
MUNICIPAL BONDS – 1.5% | | | ||||||||||||||
Ohio – 0.1% | | | ||||||||||||||
| | 2,539,000 | | | | NR | | | Ohio Air Quality Development Authority, Revenue Bonds, First Energy Generation Corp., Series A, 3.750% due 12/1/23(f)(d) | | | | | 1,523,400 | | |
Puerto Rico – 1.4% | | | ||||||||||||||
| | 19,175,000 | | | | NR | | | Commonwealth of Puerto Rico, GO, Series A, 8.000% due 7/1/35(d) | | | | | 10,402,437 | | |
| | | | | | | | | Government Development Bank for Puerto Rico, Revenue Bonds: | | | |||||
| | 6,380,000 | | | | NR | | | Series A, 3.875% due 2/1/17(d) | | | | | 2,631,750 | | |
| | 1,515,000 | | | | NR | | | Series B, 4.704% due 5/1/16(d) | | | | | 640,088 | | |
| | 3,220,000 | | | | NR | | | Series H, 4.900% due 8/1/21(d) | | | | | 1,360,450 | | |
| | 2,615,000 | | | | NR | | | Series I, 4.350% due 8/1/18(d) | | | | | 1,098,300 | | |
| | | | | | | | | Total Puerto Rico | | | | | 16,133,025 | | |
| | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $10,579,973) | | | | | 17,656,425 | | |
U.S. GOVERNMENT OBLIGATIONS – 0.8% | | |||||||||||||||
| | | | | | | | | U.S. Treasury Notes: | | | |||||
| | 438,800 | | | | | | | 0.750% due 10/31/18 | | | | | 437,922 | | |
| | 8,372,600 | | | | | | | 1.125% due 1/31/19 | | | | | 8,334,008 | | |
| | | | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $8,784,326) | | | | | 8,771,930 | | |
| Shares/Units | | | | | | | | ||||||
| OPEN-END FUNDS – 19.2% | | ||||||||||||
| | | 5,841,491 | | | | BrandywineGLOBAL – Global Unconstrained Bond Fund, Class I Shares | | | | | 67,118,732 | | |
| | | 13,065,101 | | | | JPMorgan Strategic Income Opportunities Fund, Class R6 Shares | | | | | 151,685,821 | | |
| | | 12,103 | | | | MSIFT – Corporate Bond Portfolio, Class I Shares | | | | | 143,300 | | |
| | | | | | | TOTAL OPEN-END FUNDS (Cost – $222,487,492) | | | | | 218,947,853 | | |
| COMMON STOCKS – 13.9% | | ||||||||||||
| BASIC MATERIALS – 0.6% | | ||||||||||||
| Chemicals – 0.6% | | ||||||||||||
| | | 230,009 | | | | Huntsman Corp. | | | | | 7,012,974 | | |
| COMMUNICATIONS – 0.6% | | ||||||||||||
| Media – 0.5% | | ||||||||||||
| | | 276,161 | | | | Altice USA Inc., Class A Shares* | | | | | 4,962,602 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Telecommunications – 0.1% | | ||||||||||||
| | | 228,249 | | | | HC2 Holdings Inc.* | | | | $ | 1,431,121 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 6,393,723 | | |
| CONSUMER NON-CYCLICAL – 5.3% | | ||||||||||||
| Biotechnology – 2.4% | | ||||||||||||
| | | 107,154 | | | | Acer Therapeutics Inc.* | | | | | 3,437,500 | | |
| | | 524,654 | | | | Adverum Biotechnologies Inc.* | | | | | 3,987,370 | | |
| | | 23,802 | | | | Allakos Inc.* | | | | | 924,470 | | |
| | | 14,671 | | | | Atara Biotherapeutics Inc.* | | | | | 600,778 | | |
| | | 53,969 | | | | Avrobio Inc.*(e) | | | | | 1,853,835 | | |
| | | 13,551 | | | | Blueprint Medicines Corp.* | | | | | 1,038,955 | | |
| | | 19,640 | | | | Deciphera Pharmaceuticals Inc.* | | | | | 726,484 | | |
| | | 70,581 | | | | Loxo Oncology Inc.*(a) | | | | | 11,926,777 | | |
| | | 946,759 | | | | Sesen Bio Inc.* | | | | | 2,120,740 | | |
| | | 414,566 | | | | Sierra Oncology Inc.* | | | | | 729,636 | | |
| | | | | | | Total Biotechnology | | | | | 27,346,545 | | |
| Commercial Services – 0.3% | | ||||||||||||
| | | 113,547 | | | | Quanta Services Inc.* | | | | | 3,927,591 | | |
| Healthcare-Products – 0.6% | | ||||||||||||
| | | 56,269 | | | | Inspire Medical Systems Inc.*(e) | | | | | 3,094,232 | | |
| | | 139,286 | | | | Sientra Inc.* | | | | | 3,498,865 | | |
| | | | | | | Total Healthcare-Products | | | | | 6,593,097 | | |
| Healthcare-Services – 0.2% | | ||||||||||||
| | | 75,556 | | | | Natera Inc.*(a) | | | | | 2,088,368 | | |
| Pharmaceuticals – 1.8% | | ||||||||||||
| | | 224,651 | | | | Aclaris Therapeutics Inc.*(a) | | | | | 3,576,444 | | |
| | | 589,583 | | | | Array BioPharma Inc.*(b) | | | | | 9,179,807 | | |
| | | 291,678 | | | | Clementia Pharmaceuticals Inc.*(a)(e) | | | | | 2,823,443 | | |
| | | 44,016 | | | | Concert Pharmaceuticals Inc.* | | | | | 694,133 | | |
| | | 90,908 | | | | Histogenics Corp.* | | | | | 265,451 | | |
| | | 76,115 | | | | Mirati Therapeutics Inc.* | | | | | 4,304,303 | | |
| | | | | | | Total Pharmaceuticals | | | | | 20,843,581 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 60,799,182 | | |
| DIVERSIFIED – 0.6% | | ||||||||||||
| SPACs – 0.6% | | ||||||||||||
| | | 50,725 | | | | Big Rock Partners Acquisition Corp.* | | | | | 502,178 | | |
| | | 41,527 | | | | Black Ridge Acquisition Corp.* | | | | | 410,287 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 62,444 | | | | CM Seven Star Acquisition Corp.* | | | | $ | 615,073 | | |
| | | 22,935 | | | | Constellation Alpha Capital Corp.*(e) | | | | | 230,497 | | |
| | | 25,052 | | | | Draper Oakwood Technology Acquisition Inc., Class A Shares* | | | | | 249,768 | | |
| | | 2 | | | | Far Point Acquisition Corp.* | | | | | 20 | | |
| | | 16,206 | | | | Far Point Acquisition Corp., Class A Shares* | | | | | 157,198 | | |
| | | 16,736 | | | | Gordon Pointe Acquisition Corp.* | | | | | 164,515 | | |
| | | 1 | | | | Haymaker Acquisition Corp.* | | | | | 10 | | |
| | | 59,163 | | | | Haymaker Acquisition Corp., Class A Shares*(e) | | | | | 576,839 | | |
| | | 42,864 | | | | Hennessy Capital Acquisition Corp. III* | | | | | 439,785 | | |
| | | 31,131 | | | | Industrea Acquisition Corp., Class A Shares* | | | | | 310,065 | | |
| | | 42,092 | | | | Legacy Acquisition Corp., Class A Shares* | | | | | 408,292 | | |
| | | 61,710 | | | | Leisure Acquisition Corp.* | | | | | 597,970 | | |
| | | 2,813 | | | | LF Capital Acquisition Corp., Class A Shares* | | | | | 26,892 | | |
| | | 13,815 | | | | MTech Acquisition Corp.* | | | | | 137,183 | | |
| | | 12,051 | | | | One Madison Corp., Class A Shares* | | | | | 117,136 | | |
| | | 18,239 | | | | Opes Acquisition Corp.*(e) | | | | | 176,918 | | |
| | | 72,639 | | | | Pensare Acquisition Corp.* | | | | | 716,947 | | |
| | | 30,657 | | | | Pure Acquisition Corp.* | | | | | 297,527 | | |
| | | 4,234 | | | | Thunder Bridge Acquisition Ltd., Class A Shares* | | | | | 41,282 | | |
| | | 8,304 | | | | Tiberius Acquisition Corp.* | | | | | 80,964 | | |
| | | 4,232 | | | | Trident Acquisitions Corp.* | | | | | 41,516 | | |
| | | 3,426 | | | | Trinity Merger Corp., Class A Shares* | | | | | 33,506 | | |
| | | 18,561 | | | | Twelve Seas Investment Co.* | | | | | 177,629 | | |
| | | 6,522 | | | | Union Acquisition Corp.* | | | | | 63,003 | | |
| | | 17,313 | | | | VectoIQ Acquisition Corp.* | | | | | 165,859 | | |
| | | | | | | Total SPACs | | | | | 6,738,859 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 6,738,859 | | |
| FINANCIAL – 3.6% | | ||||||||||||
| Banks – 0.5% | | ||||||||||||
| | | 11,949 | | | | BB&T Corp.(a) | | | | | 617,285 | | |
| | | 50,713 | | | | Huntington Bancshares Inc.(a) | | | | | 822,058 | | |
| | | 165,883 | | | | Kearny Financial Corp.(a)(b) | | | | | 2,272,597 | | |
| | | 30,122 | | | | KeyCorp(a) | | | | | 634,670 | | |
| | | 3,264 | | | | M&T Bank Corp.(a) | | | | | 578,218 | | |
| | | | | | | Total Banks | | | | | 4,924,828 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Insurance – 1.2% | | ||||||||||||
| | | 1,611,806 | | | | FGL Holdings*(a) | | | | $ | 14,038,830 | | |
| Investment Companies – 0.5% | | ||||||||||||
| | | 221,840 | | | | American Capital Senior Floating Ltd. | | | | | 776,440 | | |
| | | 292,170 | | | | Barings BDC Inc.(e) | | | | | 3,102,846 | | |
| | | 245,295 | | | | Garrison Capital Inc. | | | | | 2,146,331 | | |
| | | | | | | Total Investment Companies | | | | | 6,025,617 | | |
| Savings & Loans – 1.4% | | ||||||||||||
| | | 43,385 | | | | Investors Bancorp Inc.(a) | | | | | 555,328 | | |
| | | 233,499 | | | | OceanFirst Financial Corp.(a) | | | | | 6,818,170 | | |
| | | 266,684 | | | | Oritani Financial Corp.(a) | | | | | 4,320,281 | | |
| | | 229,754 | | | | Waterstone Financial Inc.(a) | | | | | 3,882,843 | | |
| | | | | | | Total Savings & Loans | | | | | 15,576,622 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 40,565,897 | | |
| INDUSTRIAL – 2.1% | | ||||||||||||
| Aerospace/Defense – 0.8% | | ||||||||||||
| | | 67,236 | | | | Rockwell Collins Inc.(a) | | | | | 9,140,734 | | |
| Building Materials – 0.2% | | ||||||||||||
| | | 187,809 | | | | Builders FirstSource Inc.*(a) | | | | | 2,933,577 | | |
| Electronics – 0.1% | | ||||||||||||
| | | 13,050 | | | | IntriCon Corp.*(e) | | | | | 964,395 | | |
| Transportation – 1.0% | | ||||||||||||
| | | 103,140 | | | | XPO Logistics Inc.*(a) | | | | | 10,984,410 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 24,023,116 | | |
| TECHNOLOGY – 1.1% | | ||||||||||||
| Computers – 0.5% | | ||||||||||||
| | | 271,511 | | | | Perspecta Inc. | | | | | 6,315,346 | | |
| Semiconductors – 0.4% | | ||||||||||||
| | | 214,849 | | | | Marvell Technology Group Ltd. | | | | | 4,443,077 | | |
| Software – 0.2% | | ||||||||||||
| | | 78,805 | | | | Avaya Holdings Corp.*(a) | | | | | 1,840,885 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 12,599,308 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $141,204,304) | | | | | 158,133,059 | | |
| CLOSED-END FUNDS – 11.2% | | ||||||||||||
| | | 126,070 | | | | Aberdeen Emerging Markets Equity Income Fund Inc., Class Common Shares | | | | | 871,144 | | |
| | | 709,799 | | | | Aberdeen Total Dynamic Dividend Fund, Class Common Shares | | | | | 6,310,113 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| CLOSED-END FUNDS – (continued) | | ||||||||||||
| | | 77,402 | | | | Advent Claymore Convertible Securities and Income Fund, Class Common Shares(e) | | | | $ | 1,224,500 | | |
| | | 281,499 | | | | AllianzGI Convertible & Income 2024 Target, Class Common Shares | | | | | 2,620,756 | | |
| | | 272,998 | | | | AllianzGI NFJ Dividend Interest & Premium Strategy Fund, Class Common Shares | | | | | 3,598,114 | | |
| | | 240,448 | | | | BlackRock Credit Allocation Income Trust, Class Common Shares | | | | | 2,979,151 | | |
| | | 89,674 | | | | BlackRock Resources & Commodities Strategy Trust, Class Common Shares | | | | | 806,169 | | |
| | | 264,552 | | | | BrandywineGLOBAL Global Income Opportunities Fund Inc., Class Common Shares | | | | | 2,989,438 | | |
| | | 22,158 | | | | China Fund Inc., Class Common Shares | | | | | 440,058 | | |
| | | 489,993 | | | | Clough Global Opportunities Fund, Class Common Shares | | | | | 5,556,521 | | |
| | | 290,856 | | | | Cornerstone Strategic Value Fund Inc., Class Common Shares | | | | | 4,150,515 | | |
| | | 99,792 | | | | Cornerstone Total Return Fund Inc., Class Common Shares | | | | | 1,423,034 | | |
| | | 470,886 | | | | Delaware Enhanced Global Dividend & Income Fund, Class Common Shares | | | | | 5,316,303 | | |
| | | 61 | | | | Delaware Investments Dividend & Income Fund Inc., Class Common Shares | | | | | 792 | | |
| | | 187,530 | | | | Eagle Growth & Income Opportunities Fund, Class Common Shares(e) | | | | | 2,961,099 | | |
| | | 31,376 | | | | Eaton Vance Ltd. Duration Income Fund, Class Common Shares | | | | | 399,103 | | |
| | | 3 | | | | Gabelli Convertible and Income Securities Fund Inc., Class Common Shares | | | | | 20 | | |
| | | 24,494 | | | | General American Investors Co., Inc., Class Preferred Shares(g) | | | | | 643,457 | | |
| | | 391,352 | | | | Highland Floating Rate Opportunities Fund, Class Common Shares | | | | | 6,191,189 | | |
| | | 51,599 | | | | India Fund Inc., Class Common Shares | | | | | 1,314,226 | | |
| | | 243,103 | | | | Invesco High Income Trust II, Class Common Shares | | | | | 3,320,787 | | |
| | | 540,802 | | | | Invesco Senior Income Trust, Class Common Shares(e) | | | | | 2,341,673 | | |
| | | 201,491 | | | | Kayne Anderson MLP/Midstream Investment Co., Class Common Shares* | | | | | 3,735,442 | | |
| | | 172,117 | | | | Lazard World Dividend & Income Fund Inc., Class Common Shares | | | | | 1,767,641 | | |
| | | 85,633 | | | | Liberty All-Star Equity Fund, Class Common Shares | | | | | 572,028 | | |
| | | 269,334 | | | | Madison Covered Call & Equity Strategy Fund, Class Common Shares | | | | | 2,114,272 | | |
| | | 204,004 | | | | Managed Duration Investment Grade Municipal Fund, Class Common Shares(c) | | | | | 2,947,858 | | |
| | | 289,285 | | | | Morgan Stanley Emerging Markets Debt Fund Inc., Class Common Shares | | | | | 2,539,922 | | |
| | | 10,036 | | | | Morgan Stanley Emerging Markets Domestic Debt Fund Inc., Class Common Shares | | | | | 67,843 | | |
| | | 212,552 | | | | Morgan Stanley Emerging Markets Fund Inc., Class Common Shares | | | | | 3,390,204 | | |
| | | 20,275 | | | | Neuberger Berman High Yield Strategies Fund Inc., Class Common Shares | | | | | 222,822 | | |
| | | 190,711 | | | | NexPoint Strategic Opportunities Fund, Class Common Shares | | | | | 4,361,560 | | |
| | | 174,441 | | | | Nuveen AMT-Free Quality Municipal Income Fund, Class Common Shares | | | | | 2,259,011 | | |
| | | 203,381 | | | | Nuveen Credit Strategies Income Fund, Class Common Shares | | | | | 1,616,879 | | |
| | | 53,840 | | | | Nuveen Emerging Markets Debt 2022 Target Term Fund, Class Common Shares | | | | | 443,641 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| CLOSED-END FUNDS – (continued) | | ||||||||||||
| | | 140,821 | | | | Nuveen Intermediate Duration Quality Municipal Term Fund, Class Common Shares | | | | $ | 1,768,712 | | |
| | | 101,799 | | | | Nuveen Mortgage Opportunity Term Fund 2, Class Common Shares | | | | | 2,354,611 | | |
| | | 128,325 | | | | Nuveen Mortgage Opportunity Term Fund, Class Common Shares | | | | | 3,052,852 | | |
| | | 159,149 | | | | Nuveen Quality Municipal Income Fund, Class Common Shares | | | | | 2,100,767 | | |
| | | 561,512 | | | | PGIM Global Short Duration High Yield Fund Inc., Class Common Shares | | | | | 7,748,865 | | |
| | | 34,810 | | | | PGIM Short Duration High Yield Fund Inc., Class Common Shares | | | | | 495,346 | | |
| | | 435,118 | | | | Sprott Focus Trust Inc., Class Common Shares | | | | | 3,354,760 | | |
| | | 409,861 | | | | Templeton Emerging Markets Income Fund, Class Common Shares | | | | | 4,094,511 | | |
| | | 584,733 | | | | Templeton Global Income Fund, Class Common Shares | | | | | 3,502,551 | | |
| | | 319,273 | | | | Tortoise MLP Fund Inc., Class Common Shares | | | | | 5,194,572 | | |
| | | 181,417 | | | | Virtus Total Return Fund Inc., Class Common Shares | | | | | 1,933,905 | | |
| | | 276,834 | | | | Voya Prime Rate Trust, Class Common Shares(e) | | | | | 1,378,633 | | |
| | | 360,326 | | | | Western Asset Emerging Markets Debt Fund Inc., Class Common Shares | | | | | 4,889,624 | | |
| | | 731,229 | | | | Western Asset High Income Opportunity Fund Inc., Class Common Shares | | | | | 3,517,211 | | |
| | | 7,387 | | | | Western Asset Inflation-Linked Opportunities & Income Fund, Class Common Shares | | | | | 81,774 | | |
| | | | | | | TOTAL CLOSED-END FUNDS (Cost – $128,519,441) | | | | | 126,965,979 | | |
| PREFERRED STOCK – 0.5% | | ||||||||||||
| FINANCIAL – 0.5% | | ||||||||||||
| Banks – 0.5% | | ||||||||||||
| | | 192,884 | | | | GMAC Capital Trust I, 8.099% (3-Month USD-LIBOR + 5.785%)(a)(f) (Cost – $5,082,782) | | | | | 5,169,291 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 0.2% | | ||||||||||||
| | | 33,412 | | | | Invesco FTSE RAFI Emerging Markets(e) | | | | | 705,661 | | |
| | | 13,553 | | | | Invesco FTSE RAFI US 1000 | | | | | 1,612,400 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $2,265,514) | | | | | 2,318,061 | | |
| WARRANTS – 0.0% | | ||||||||||||
| DIVERSIFIED – 0.0% | | ||||||||||||
| SPACs – 0.0% | | ||||||||||||
| | | 25,362 | | | | Big Rock Partners Acquisition Corp.* | | | | | 9,163 | | |
| | | 62,291 | | | | Black Ridge Acquisition Corp.* | | | | | 28,031 | | |
| | | 31,222 | | | | CM Seven Star Acquisition Corp.* | | | | | 15,611 | | |
| | | 22,935 | | | | Constellation Alpha Capital Corp.* | | | | | 6,880 | | |
| | | 12,526 | | | | Draper Oakwood Technology Acquisition Inc.* | | | | | 9,395 | | |
| | | 18,121 | | | | Falcon Minerals Corp.* | | | | | 33,524 | | |
| | | 5,402 | | | | Far Point Acquisition Corp.* | | | | | 8,103 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| WARRANTS – (continued) | | ||||||||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 16,736 | | | | Gordon Pointe Acquisition Corp.* | | | | $ | 8,535 | | |
| | | 29,581 | | | | Haymaker Acquisition Corp.* | | | | | 35,497 | | |
| | | 32,148 | | | | Hennessy Capital Acquisition Corp. III* | | | | | 51,437 | | |
| | | 31,439 | | | | I-AM Capital Acquisition Co.* | | | | | 11,632 | | |
| | | 31,131 | | | | Industrea Acquisition Corp.* | | | | | 18,679 | | |
| | | 42,092 | | | | Legacy Acquisition Corp.* | | | | | 18,100 | | |
| | | 30,854 | | | | Leisure Acquisition Corp.* | | | | | 30,854 | | |
| | | 2,813 | | | | LF Capital Acquisition Corp.* | | | | | 1,407 | | |
| | | 13,815 | | | | MTech Acquisition Corp.* | | | | | 11,881 | | |
| | | 6,025 | | | | One Madison Corp.* | | | | | 6,688 | | |
| | | 18,239 | | | | Opes Acquisition Corp.* | | | | | 6,748 | | |
| | | 36,319 | | | | Pensare Acquisition Corp.* | | | | | 21,486 | | |
| | | 15,328 | | | | Pure Acquisition Corp.* | | | | | 19,926 | | |
| | | 4,234 | | | | Thunder Bridge Acquisition Ltd.* | | | | | 1,905 | | |
| | | 8,304 | | | | Tiberius Acquisition Corp.* | | | | | 4,242 | | |
| | | 4,232 | | | | Trident Acquisitions Corp.* | | | | | 1,312 | | |
| | | 3,426 | | | | Trinity Merger Corp.* | | | | | 1,405 | | |
| | | 18,561 | | | | Twelve Seas Investment Co.* | | | | | 6,032 | | |
| | | 6,522 | | | | Union Acquisition Corp.* | | | | | 2,218 | | |
| | | 17,313 | | | | VectoIQ Acquisition Corp.* | | | | | 8,338 | | |
| | | | | | | Total SPACs | | | | | 379,029 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 379,029 | | |
| | | | | | | TOTAL WARRANTS (Cost – $291,861) | | | | | 379,029 | | |
| RIGHTS – 0.0% | | ||||||||||||
| | | 50,724 | | | | Big Rock Partners Acquisition Corp.* | | | | | 21,811 | | |
| | | 20,764 | | | | Black Ridge Acquisition Corp.* | | | | | 6,779 | | |
| | | 62,444 | | | | CM Seven Star Acquisition Corp.* | | | | | 36,836 | | |
| | | 22,935 | | | | Constellation Alpha Capital Corp.* | | | | | 12,156 | | |
| | | 25,052 | | | | Draper Oakwood Technology Acquisition Inc.* | | | | | 11,774 | | |
| | | 72,639 | | | | Pensare Acquisition Corp.* | | | | | 29,782 | | |
| | | 18,561 | | | | Twelve Seas Investment Co.* | | | | | 6,545 | | |
| | | 6,522 | | | | Union Acquisition Corp.* | | | | | 2,283 | | |
| | | | | | | TOTAL RIGHTS (Cost – $98,305) | | | | | 127,966 | | |
| Number of Contracts | | | Notional Amounts | | | Security | | | Value | | ||||||
| PURCHASED OPTIONS – 0.0% | | | ||||||||||||||
| Equity Option – 0.0% | | | ||||||||||||||
| | | 331 | | | | $4,359,270 | | | United Technologies Corp., Call @ $135.00, expires 1/18/19, GSC | | | | $ | 163,845 | | |
| Option on Indexes – 0.0% | | | ||||||||||||||
| | | 7,382 | | | | 21,419,021 | | | S&P 500, Put @ $2,743.25, expires 9/28/18, BOA | | | | | 39,854 | | |
| | | | | | | | | | TOTAL PURCHASED OPTIONS (Cost – $867,466) | | | | | 203,699 | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $818,730,505) | | | | | 827,762,684 | | |
| Face Amount† | | | | | | | | | ||||||||
| SHORT-TERM INVESTMENTS – 20.7% | | | ||||||||||||||
| TIME DEPOSITS – 20.7% | | | ||||||||||||||
| | $ | 112,939,468 | | | | | | | ANZ National Bank – London, 1.280% due 9/4/18 | | | | $ | 112,939,468 | | |
| | | | | | | | | | BNP Paribas – Paris: | | | |||||
| | | 67,400EUR | | | | | | | (0.570)% due 9/3/18 | | | | | 78,241 | | |
| | | 66,762,384 | | | | | | | 1.280% due 9/4/18 | | | | | 66,762,384 | | |
| | | | | | | | | | Brown Brothers Harriman – Grand Cayman: | | | |||||
| | | 5EUR | | | | | | | (0.570)% due 9/3/18 | | | | | 6 | | |
| | | 1,236 | | | | | | | 1.280% due 9/4/18 | | | | | 1,236 | | |
| | | 32,279,891 | | | | | | | Citibank – New York, 1.280% due 9/4/18 | | | | | 32,279,891 | | |
| | | 23,856,516 | | | | | | | JPMorgan Chase & Co. – New York, 1.280% due 9/4/18 | | | | | 23,856,516 | | |
| | | | | | | | | | TOTAL TIME DEPOSITS (Cost – $235,917,742) | | | | | 235,917,742 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 1.6% | | | ||||||||||||||
| MONEY MARKET FUND – 1.6% | | | ||||||||||||||
| | | 18,686,651 | | | | | | | Federated Government Obligations Fund, Premier Class, 1.845%(k) (Cost – $18,686,651) | | | | | 18,686,651 | | |
| | | | | | | | | | TOTAL INVESTMENTS – 95.0% (Cost – $1,073,334,898#) | | | | | 1,082,367,077 | | |
| | | | | | | | | | Other Assets in Excess of Liabilities – 5.0% | | | | | 57,382,828 | | |
| | | | | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 1,139,749,905 | | |
|
| Corporate Bonds & Notes | | | | | 21.4% | | |
| Open-End Funds | | | | | 20.2 | | |
| Common Stocks | | | | | 14.6 | | |
| Closed-End Funds | | | | | 11.8 | | |
| Senior Loans | | | | | 5.4 | | |
| Municipal Bonds | | | | | 1.6 | | |
| U.S. Government Obligations | | | | | 0.8 | | |
| Preferred Stock | | | | | 0.5 | | |
| Exchange Traded Funds (ETFs) | | | | | 0.2 | | |
| Warrants | | | | | 0.0* | | |
| Purchased Options | | | | | 0.0* | | |
| Rights | | | | | 0.0* | | |
| Short-Term Investments | | | | | 21.8 | | |
| Money Market Fund | | | | | 1.7 | | |
| | | | | | 100.0% | | |
|
Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Strike Price | | | Value | | |||||||||
7,382 | | | $21,419,021 | | | S&P 500, Put | | | BOA | | | | | 9/28/18 | | | | | $ | 2,468.93 | | | | | $ | 8,472 | | |
| | | TOTAL OPTION CONTRACTS WRITTEN (Premiums received – $149,855) | | | | $ | 8,472 | | | ||||||||||||||||||
|
Open Futures Contracts | | | Number of Contracts | | | Expiration Date (Month/Year) | | | Notional Amounts | | | Market Value | | | Unrealized (Depreciation) | | |||||||||||||||
Contracts to Sell: | | | | | | | |||||||||||||||||||||||||
U.S. Long Bond December Futures | | | | | 41 | | | | | | 12/18 | | | | | $ | 5,897,273 | | | | | $ | 5,912,968 | | | | | $ | (15,695) | | |
U.S. Treasury 5-Year Note December Futures | | | | | 342 | | | | | | 12/18 | | | | | | 38,704,781 | | | | | | 38,782,266 | | | | | | (77,485) | | |
U.S. Treasury 10-Year Note December Futures | | | | | 102 | | | | | | 12/18 | | | | | | 12,237,610 | | | | | | 12,267,094 | | | | | | (29,484) | | |
Net Unrealized Depreciation on Open Exchange Traded Futures Contracts | | | | $ | (122,664) | | | ||||||||||||||||||||||||
|
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Net Unrealized Appreciation/ (Depreciation) | | ||||||||||||||||||
Contracts to Sell: | | | | | | | | | ||||||||||||||||||||||||||||||||
Euro | | | | | 2,000,000 | | | | GSC | | | | $ | 2,332,846 | | | | | | 11/5/18 | | | | | $ | 21,204 | | | | | $ | — | | | | | $ | 21,204 | | |
|
| Face Amount | | | Security | | | Value | | ||||||
| SECURITIES SOLD SHORT – 4.5% | | ||||||||||||
| CORPORATE BONDS & NOTES – 0.5% | | ||||||||||||
| Communications – 0.1% | | ||||||||||||
| | | | | | | Digicel Group Ltd., Senior Unsecured Notes: | | | |||||
| | $ | 675,000 | | | | 7.125% due 4/1/22(a) | | | | $ | 398,250 | | |
| | | 450,000 | | | | 7.125% due 4/1/22 | | | | | 265,500 | | |
| | | | | | | Total Communications | | | | | 663,750 | | |
| Consumer Cyclical – 0.2% | | ||||||||||||
| | | 3,000,000 | | | | Staples Inc., Company Guaranteed Notes, 8.500% due 9/15/25(a) | | | | | 2,834,700 | | |
| Consumer Non-cyclical – 0.2% | | ||||||||||||
| | | 300,000 | | | | Hadrian Merger Sub Inc., Senior Unsecured Notes, 8.500% due 5/1/26(a) | | | | | 284,250 | | |
| | | 2,750,000 | | | | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Company Guaranteed Notes, 5.500% due 4/15/25(a) | | | | | 2,347,812 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 2,632,062 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Proceeds – $6,217,812) | | | | | 6,130,512 | | |
| Shares/Units | | | | | | | | ||||||
| EXCHANGE TRADED FUNDS (ETFs) – 3.5% | | ||||||||||||
| | | 181,030 | | | | Alerian MLP | | | | | 1,964,175 | | |
| | | 87,693 | | | | iShares Nasdaq Biotechnology | | | | | 10,715,208 | | |
| | | 16,500 | | | | iShares Russell 2000 | | | | | 2,854,830 | | |
| | | 193,629 | | | | SPDR S&P Biotech | | | | | 19,390,008 | | |
| | | 85,212 | | | | SPDR S&P Regional Banking | | | | | 5,381,138 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Proceeds – $34,421,310) | | | | | 40,305,359 | | |
| COMMON STOCKS – 0.5% | | ||||||||||||
| COMMUNICATIONS – 0.3% | | ||||||||||||
| Media – 0.3% | | ||||||||||||
| | | 166,800 | | | | Altice USA Inc., Class A Shares | | | | | 2,989,056 | | |
| CONSUMER NON-CYCLICAL – 0.2% | | ||||||||||||
| Commercial Services – 0.2% | | ||||||||||||
| | | 155,840 | | | | Rent-A-Center Inc.* | | | | | 2,297,082 | | |
| | | | | | | TOTAL COMMON STOCKS (Proceeds – $5,689,200) | | | | | 5,286,138 | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT – 4.5% (Proceeds – $46,328,322) | | | | $ | 51,722,009 | | |
|
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Real Assets Fund | | |||||||||||||||
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value(1)(2) | | | | $ | 3,110,041,224 | | | | | $ | 855,405,439 | | | | | $ | 1,396,974,147 | | | | | $ | 320,610,728 | | | | | $ | 333,818,502 | | |
Foreign currency, at value(3) | | | | | 11 | | | | | | — | | | | | | 485,611 | | | | | | — | | | | | | 3 | | |
Cash | | | | | 77,285 | | | | | | 31,116 | | | | | | 59,600 | | | | | | 4,632 | | | | | | 10,815 | | |
Receivable for securities sold | | | | | 1,614,109 | | | | | | 3,029,645 | | | | | | 3,908,808 | | | | | | — | | | | | | 888,481 | | |
Dividends and interest receivable | | | | | 4,579,195 | | | | | | 687,844 | | | | | | 1,481,457 | | | | | | 890,913 | | | | | | 105,596 | | |
Receivable for Fund shares sold | | | | | 2,355,004 | | | | | | 626,350 | | | | | | 993,518 | | | | | | 99,858 | | | | | | 169,695 | | |
Unrealized appreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | — | | | | | | 76,947 | | | | | | — | | | | | | — | | |
Variation margin on open future contracts (Note 4) | | | | | 440,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Deposits with counterparty(4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Cash held at Broker | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Prepaid expenses | | | | | 39,355 | | | | | | 9,804 | | | | | | 18,212 | | | | | | 4,597 | | | | | | 2,957 | | |
Prepaid offering fees | | | | | 213 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Assets | | | | | 3,119,146,396 | | | | | | 859,790,198 | | | | | | 1,403,998,300 | | | | | | 321,610,728 | | | | | | 334,996,049 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for collateral received from securities on loan | | | | | 10,135,978 | | | | | | 24,705,742 | | | | | | 13,246,061 | | | | | | 569,260 | | | | | | 15,622,956 | | |
Payable for Fund shares repurchased | | | | | 1,332,903 | | | | | | 358,811 | | | | | | 594,473 | | | | | | 163,807 | | | | | | 122,459 | | |
Payable for securities purchased | | | | | 2,316,472 | | | | | | 1,556,800 | | | | | | 2,761,348 | | | | | | — | | | | | | 420,042 | | |
Investment management fee payable | | | | | 1,629,152 | | | | | | 551,166 | | | | | | 1,049,213 | | | | | | 168,528 | | | | | | 259,811 | | |
Transfer agent fees payable | | | | | 378,624 | | | | | | 99,516 | | | | | | 170,604 | | | | | | 39,967 | | | | | | 39,471 | | |
Custody fee payable | | | | | 123,424 | | | | | | 29,277 | | | | | | 184,771 | | | | | | 20,926 | | | | | | 19,243 | | |
Trustees’ fees payable | | | | | 30,332 | | | | | | 7,527 | | | | | | 14,687 | | | | | | 3,567 | | | | | | 2,392 | | |
Registration fees payable | | | | | 186,016 | | | | | | 60,099 | | | | | | 106,009 | | | | | | 49,909 | | | | | | 38,970 | | |
Shareholder services | | | | | 348 | | | | | | 79 | | | | | | 171 | | | | | | 32 | | | | | | 20 | | |
Unrealized depreciation on unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward sale commitments(5) (Note 5) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short(5) (Note 5) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Due to custodian(3) | | | | | — | | | | | | — | | | | | | — | | | | | | 48 | | | | | | — | | |
Options contracts written, at value(6) (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized depreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | — | | | | | | 24,764 | | | | | | — | | | | | | — | | |
Investment interest payable on securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Dividends payable for securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Accrued Chief Compliance Officer expense | | | | | 10,457 | | | | | | 2,612 | | | | | | 6,045 | | | | | | 1,438 | | | | | | 359 | | |
Accrued expenses | | | | | 92,538 | | | | | | 18,777 | | | | | | 26,799 | | | | | | 12,883 | | | | | | 7,604 | | |
Accrued offering fees | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Liabilities | | | | | 16,236,244 | | | | | | 27,390,406 | | | | | | 18,184,945 | | | | | | 1,030,365 | | | | | | 16,533,327 | | |
Total Net Assets | | | | $ | 3,102,910,152 | | | | | $ | 832,399,792 | | | | | $ | 1,385,813,355 | | | | | $ | 320,580,363 | | | | | $ | 318,462,722 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 248,856 | | | | | $ | 65,257 | | | | | $ | 121,206 | | | | | $ | 30,579 | | | | | $ | 34,595 | | |
Paid-in capital in excess of par value | | | | | 2,514,274,639 | | | | | | 671,527,744 | | | | | | 1,237,633,400 | | | | | | 302,414,666 | | | | | | 344,980,694 | | |
Undistributed net investment income | | | | | 16,178,575 | | | | | | 1,843,750 | | | | | | 10,089,349 | | | | | | 1,847,215 | | | | | | (20,327) | | |
Accumulated net realized gain (loss) on investments, futures contracts, options contracts written, forward sale commitments, securities sold short, swap contracts, forward foreign currency contracts and foreign currency transactions | | | | | 48,203,049 | | | | | | 28,826,928 | | | | | | 2,175,728 | | | | | | 9,356,144 | | | | | | (1,717,729) | | |
Net unrealized appreciation (depreciation) on investments, futures contracts, options contracts written, forward sale commitments, securities sold short, forward foreign currency contracts and foreign currency transactions | | | | | 524,005,033 | | | | | | 130,136,113 | | | | | | 135,793,672 | | | | | | 6,931,759 | | | | | | (24,814,511) | | |
Total Net Assets | | | | $ | 3,102,910,152 | | | | | $ | 832,399,792 | | | | | $ | 1,385,813,355 | | | | | $ | 320,580,363 | | | | | $ | 318,462,722 | | |
Total Net Assets Class I | | | | $ | 3,102,909,947 | | | | | $ | 832,399,582 | | | | | $ | 1,385,813,155 | | | | | $ | 320,580,159 | | | | | $ | 318,462,535 | | |
Total Net Assets Class Z | | | | $ | 205 | | | | | $ | 210 | | | | | $ | 200 | | | | | $ | 204 | | | | | $ | 187 | | |
Shares Outstanding Class I | | | | | 248,856,037 | | | | | | 65,256,675 | | | | | | 121,206,340 | | | | | | 30,578,548 | | | | | | 34,595,255 | | |
Shares Outstanding Class Z | | | | | 20 | | | | | | 20 | | | | | | 20 | | | | | | 20 | | | | | | 20 | | |
Net Asset Value Class I | | | | $ | 12.47 | | | | | $ | 12.76 | | | | | $ | 11.43 | | | | | $ | 10.48 | | | | | $ | 9.21 | | |
Net Asset Value Class Z | | | | $ | 10.27 | | | | | $ | 10.52 | | | | | $ | 10.00 | | | | | $ | 10.19 | | | | | $ | 9.32 | | |
(1) Investments, at cost | | | | $ | 2,586,461,722 | | | | | $ | 725,269,326 | | | | | $ | 1,261,230,672 | | | | | $ | 313,682,064 | | | | | $ | 358,632,672 | | |
(2) Includes securities on loan | | | | $ | 9,936,044 | | | | | $ | 24,153,258 | | | | | $ | 12,626,972 | | | | | $ | 555,150 | | | | | $ | 14,859,304 | | |
(3) Foreign currency, at cost | | | | $ | 11 | | | | | $ | — | | | | | $ | 485,867 | | | | | $ | (47) | | | | | $ | 4 | | |
(4) Related to futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(5) Proceeds received | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(6) Premiums received | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
|
| | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | |||||||||||||||
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value(1)(2) | | | | $ | 1,638,309,648 | | | | | $ | 211,572,716 | | | | | $ | 734,043,923 | | | | | $ | 845,585,209 | | | | | $ | 1,082,367,077 | | |
Foreign currency, at value(3) | | | | | — | | | | | | — | | | | | | 1 | | | | | | — | | | | | | — | | |
Cash | | | | | 66,057 | | | | | | 14,594 | | | | | | 37,413 | | | | | | 222,240 | | | | | | 230,738 | | |
Receivable for securities sold | | | | | 14,288,436 | | | | | | 3,555 | | | | | | — | | | | | | 7,708,505 | | | | | | 52,352,320 | | |
Dividends and interest receivable | | | | | 7,977,895 | | | | | | 1,908,240 | | | | | | 8,724,969 | | | | | | 5,653,357 | | | | | | 5,493,637 | | |
Receivable for Fund shares sold | | | | | 929,196 | | | | | | 114,131 | | | | | | 341,748 | | | | | | 461,103 | | | | | | 581,313 | | |
Unrealized appreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | 50,109 | | | | | | 46,935 | | | | | | — | | | | | | 21,204 | | |
Variation margin on open future contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 904,109 | | |
Deposits with counterparty(4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 433,960 | | |
Cash held at Broker | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 85,195,519 | | |
Prepaid expenses | | | | | 21,381 | | | | | | 2,378 | | | | | | 7,839 | | | | | | 1,709 | | | | | | 13,599 | | |
Prepaid offering fees | | | | | 60 | | | | | | — | | | | | | — | | | | | | — | | | | | | 39 | | |
Total Assets | | | | | 1,661,592,673 | | | | | | 213,665,723 | | | | | | 743,202,828 | | | | | | 859,632,123 | | | | | | 1,227,593,515 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for collateral received from securities on loan | | | | | 906,892 | | | | | | 370,740 | | | | | | 3,333,215 | | | | | | — | | | | | | 18,686,651 | | |
Payable for Fund shares repurchased | | | | | 767,372 | | | | | | 96,006 | | | | | | 328,066 | | | | | | 248,486 | | | | | | 500,440 | | |
Payable for securities purchased | | | | | 15,607,311 | | | | | | 2,622,494 | | | | | | 2,807,115 | | | | | | 37,085,521 | | | | | | 15,442,887 | | |
Investment management fee payable | | | | | 791,086 | | | | | | 117,820 | | | | | | 463,033 | | | | | | 383,109 | | | | | | 848,760 | | |
Transfer agent fees payable | | | | | 205,579 | | | | | | 26,260 | | | | | | 90,943 | | | | | | 99,106 | | | | | | 142,916 | | |
Custody fee payable | | | | | 108,173 | | | | | | 17,799 | | | | | | 36,200 | | | | | | 11,221 | | | | | | 82,197 | | |
Trustees’ fees payable | | | | | 15,350 | | | | | | 1,886 | | | | | | 5,920 | | | | | | 2,186 | | | | | | 10,131 | | |
Registration fees payable | | | | | 118,883 | | | | | | 39,723 | | | | | | 60,185 | | | | | | 40,004 | | | | | | 90,202 | | |
Shareholder services | | | | | 187 | | | | | | 15 | | | | | | 64 | | | | | | 26 | | | | | | 109 | | |
Unrealized depreciation on unfunded loan commitments | | | | | 856 | | | | | | — | | | | | | 299 | | | | | | — | | | | | | — | | |
Forward sale commitments(5) (Note 5) | | | | | 2,076,377 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short(5) (Note 5) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 51,722,009 | | |
Due to custodian(3) | | | | | — | | | | | | 423,645 | | | | | | — | | | | | | — | | | | | | 38 | | |
Options contracts written, at value(6) (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 8,472 | | |
Unrealized depreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | — | | | | | | 678 | | | | | | — | | | | | | — | | |
Investment interest payable on securities sold short | | | | | 3,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 216,098 | | |
Dividends payable for securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 37,400 | | |
Accrued Chief Compliance Officer expense | | | | | 7,694 | | | | | | 730 | | | | | | 1,898 | | | | | | 16 | | | | | | 3,491 | | |
Accrued expenses | | | | | 43,488 | | | | | | 11,606 | | | | | | 9,564 | | | | | | 6,064 | | | | | | 51,809 | | |
Accrued offering fees | | | | | — | | | | | | 6 | | | | | | — | | | | | | 1 | | | | | | — | | |
Total Liabilities | | | | | 20,652,248 | | | | | | 3,728,730 | | | | | | 7,137,180 | | | | | | 37,875,740 | | | | | | 87,843,610 | | |
Total Net Assets | | | | $ | 1,640,940,425 | | | | | $ | 209,936,993 | | | | | $ | 736,065,648 | | | | | $ | 821,756,383 | | | | | $ | 1,139,749,905 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 167,579 | | | | | $ | 21,260 | | | | | $ | 74,384 | | | | | $ | 82,300 | | | | | $ | 110,899 | | |
Paid-in capital in excess of par value | | | | | 1,674,355,927 | | | | | | 212,110,567 | | | | | | 748,848,645 | | | | | | 825,009,090 | | | | | | 1,112,379,750 | | |
Undistributed net investment income | | | | | 2,108,241 | | | | | | 45,191 | | | | | | 196,675 | | | | | | 285,232 | | | | | | 7,895,173 | | |
Accumulated net realized gain (loss) on investments, futures contracts, options contracts written, forward sale commitments, securities sold short, swap contracts, forward foreign currency contracts and foreign currency transactions | | | | | (7,281,208) | | | | | | (203,278) | | | | | | (3,647,722) | | | | | | (706,426) | | | | | | 15,686,362 | | |
Net unrealized appreciation (depreciation) on investments, futures contracts, options contracts written, forward sale commitments, securities sold short, forward foreign currency contracts and foreign currency transactions | | | | | (28,410,114) | | | | | | (2,036,747) | | | | | | (9,406,334) | | | | | | (2,913,813) | | | | | | 3,677,721 | | |
Total Net Assets | | | | $ | 1,640,940,425 | | | | | $ | 209,936,993 | | | | | $ | 736,065,648 | | | | | $ | 821,756,383 | | | | | $ | 1,139,749,905 | | |
Total Net Assets Class I | | | | $ | 1,640,940,225 | | | | | $ | 209,936,792 | | | | | $ | 736,065,447 | | | | | $ | 821,756,183 | | | | | $ | 1,139,749,704 | | |
Total Net Assets Class Z | | | | $ | 200 | | | | | $ | 201 | | | | | $ | 201 | | | | | $ | 200 | | | | | $ | 201 | | |
Shares Outstanding Class I | | | | | 167,578,722 | | | | | | 21,259,767 | | | | | | 74,383,644 | | | | | | 82,300,020 | | | | | | 110,898,480 | | |
Shares Outstanding Class Z | | | | | 20 | | | | | | 20 | | | | | | 20 | | | | | | 20 | | | | | | 20 | | |
Net Asset Value Class I | | | | $ | 9.79 | | | | | $ | 9.87 | | | | | $ | 9.90 | | | | | $ | 9.98 | | | | | $ | 10.28 | | |
Net Asset Value Class Z | | | | $ | 10.03 | | | | | $ | 10.06 | | | | | $ | 10.05 | | | | | $ | 10.01 | | | | | $ | 10.06 | | |
(1) Investments, at cost | | | | $ | 1,666,714,404 | | | | | $ | 213,659,008 | | | | | $ | 743,495,550 | | | | | $ | 848,499,022 | | | | | $ | 1,073,334,898 | | |
(2) Includes securities on loan | | | | $ | 888,349 | | | | | $ | 363,266 | | | | | $ | 3,189,640 | | | | | $ | — | | | | | $ | 18,273,304 | | |
(3) Foreign currency, at cost | | | | $ | — | | | | | $ | (423,645) | | | | | $ | 278 | | | | | $ | — | | | | | $ | 323 | | |
(4) Related to futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 433,960 | | |
(5) Proceeds received | | | | $ | 2,071,875 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 46,328,322 | | |
(6) Premiums received | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 149,855 | | |
|
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Real Assets Fund | | |||||||||||||||
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends | | | | $ | 24,619,699 | | | | | $ | 5,523,795 | | | | | $ | 18,953,144 | | | | | $ | 6,437,762 | | | | | $ | 1,560,458 | | |
Interest | | | | | 368,490 | | | | | | 138,110 | | | | | | 317,475 | | | | | | 127,081 | | | | | | 59,438 | | |
Income from securities lending | | | | | 77,243 | | | | | | 160,964 | | | | | | 501,564 | | | | | | 22,915 | | | | | | 78,422 | | |
Less: Foreign taxes withheld (Note 5) | | | | | (178,742) | | | | | | — | | | | | | (1,364,676) | | | | | | (122,144) | | | | | | (87,875) | | |
Total Investment Income | | | | | 24,886,690 | | | | | | 5,822,869 | | | | | | 18,407,507 | | | | | | 6,465,614 | | | | | | 1,610,443 | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee (Note 7) | | | | | 10,957,353 | | | | | | 3,438,751 | | | | | | 7,047,766 | | | | | | 1,280,586 | | | | | | 1,344,518 | | |
Transfer agent fees | | | | | 2,211,051 | | | | | | 578,620 | | | | | | 1,066,784 | | | | | | 241,666 | | | | | | 204,007 | | |
Custody fees | | | | | 422,788 | | | | | | 121,286 | | | | | | 587,681 | | | | | | 58,358 | | | | | | 45,547 | | |
Trustees’ fees | | | | | 88,431 | | | | | | 23,429 | | | | | | 43,737 | | | | | | 9,274 | | | | | | 7,724 | | |
Insurance | | | | | 34,658 | | | | | | 8,836 | | | | | | 17,359 | | | | | | 3,946 | | | | | | 2,796 | | |
Audit and tax | | | | | 23,509 | | | | | | 7,655 | | | | | | 35,532 | | | | | | 4,970 | | | | | | 3,969 | | |
Legal expense | | | | | 63,574 | | | | | | 14,857 | | | | | | 32,640 | | | | | | 8,775 | | | | | | 4,780 | | |
Chief Compliance Officer expense | | | | | 34,038 | | | | | | 8,617 | | | | | | 17,011 | | | | | | 3,919 | | | | | | 2,730 | | |
Offering fees | | | | | 26,707 | | | | | | 6,416 | | | | | | 11,506 | | | | | | 3,200 | | | | | | 1,939 | | |
Shareholder services | | | | | 57,297 | | | | | | 19,896 | | | | | | 29,345 | | | | | | 8,184 | | | | | | 7,938 | | |
Registration fees | | | | | 92,107 | | | | | | 33,578 | | | | | | 53,577 | | | | | | 26,967 | | | | | | 22,255 | | |
Miscellaneous expense | | | | | 334,531 | | | | | | 92,196 | | | | | | 189,215 | | | | | | 45,973 | | | | | | 37,961 | | |
Interest and dividend expense | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Expenses | | | | | 14,346,044 | | | | | | 4,354,137 | | | | | | 9,132,153 | | | | | | 1,695,818 | | | | | | 1,686,164 | | |
Less: Fee waivers and/or expense reimbursement (Note 7) | | | | | (1,752,934) | | | | | | (375,018) | | | | | | (749,040) | | | | | | (261,756) | | | | | | (55,394) | | |
Net Expenses | | | | | 12,593,110 | | | | | | 3,979,119 | | | | | | 8,383,113 | | | | | | 1,434,062 | | | | | | 1,630,770 | | |
Net Investment Income (Loss) | | | | $ | 12,293,580 | | | | | $ | 1,843,750 | | | | | $ | 10,024,394 | | | | | $ | 5,031,552 | | | | | $ | (20,327) | | |
REALIZED AND UNREALIZED 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 (NOTES 3 AND 4): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | $ | 23,220,330 | | | | | $ | 26,280,986 | | | | | $ | (98,704) | | | | | $ | 6,470,175 | | | | | $ | 513,931 | | |
Futures contracts | | | | | 437,121 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Option written | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward foreign currency contracts | | | | | — | | | | | | — | | | | | | 714,307 | | | | | | — | | | | | | (27,748) | | |
Foreign currency transactions | | | | | (1,436) | | | | | | — | | | | | | (337,651) | | | | | | 14,100 | | | | | | 56,157 | | |
Realized Gain (Loss) | | | | | 23,656,015 | | | | | | 26,280,986 | | | | | | 277,952 | | | | | | 6,484,275 | | | | | | 542,340 | | |
Change in Net Unrealized Appreciation (Depreciation) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 150,326,539 | | | | | | 86,316,758 | | | | | | (41,742,341)* | | | | | | 3,352,769 | | | | | | (711,049) | | |
Futures contracts | | | | | 287,852 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Options contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward foreign currency contracts | | | | | — | | | | | | — | | | | | | 117,138 | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | 386 | | | | | | — | | | | | | (28,465) | | | | | | 1,554 | | | | | | (41) | | |
Change in Net Unrealized Appreciation (Depreciation): | | | | | 150,614,777 | | | | | | 86,316,758 | | | | | | (41,653,668) | | | | | | 3,354,323 | | | | | | (711,090) | | |
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 | | | | | 174,270,792 | | | | | | 112,597,744 | | | | | | (41,375,716) | | | | | | 9,838,598 | | | | | | (168,750) | | |
Total Increase (Decrease) in Net Assets from Operations | | | | $ | 186,564,372 | | | | | $ | 114,441,494 | | | | | $ | (31,351,322) | | | | | $ | 14,870,150 | | | | | $ | (189,077) | | |
|
| | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | |||||||||||||||
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends | | | | $ | — | | | | | $ | 337,987 | | | | | $ | 389,113 | | | | | $ | 13,393 | | | | | $ | 9,030,208 | | |
Interest | | | | | 27,215,549 | | | | | | 3,871,878 | | | | | | 14,784,030 | | | | | | 4,022,245 | | | | | | 14,032,118 | | |
Income from securities lending | | | | | 3,582 | | | | | | 122,602 | | | | | | 35,902 | | | | | | — | | | | | | 129,855 | | |
Less: Foreign taxes withheld (Note 5) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Investment Income | | | | | 27,219,131 | | | | | | 4,332,467 | | | | | | 15,209,045 | | | | | | 4,035,638 | | | | | | 23,192,181 | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee (Note 7) | | | | | 5,032,499 | | | | | | 657,689 | | | | | | 2,725,611 | | | | | | 1,341,573 | | | | | | 6,625,502 | | |
Transfer agent fees | | | | | 1,173,526 | | | | | | 142,254 | | | | | | 485,551 | | | | | | 289,167 | | | | | | 742,846 | | |
Custody fees | | | | | 383,879 | | | | | | 67,442 | | | | | | 136,011 | | | | | | 45,179 | | | | | | 206,106 | | |
Trustees’ fees | | | | | 46,590 | | | | | | 5,477 | | | | | | 18,952 | | | | | | 7,275 | | | | | | 27,809 | | |
Insurance | | | | | 18,297 | | | | | | 2,171 | | | | | | 7,317 | | | | | | 2,776 | | | | | | 11,159 | | |
Audit and tax | | | | | 17,026 | | | | | | 6,216 | | | | | | 8,840 | | | | | | 4,965 | | | | | | 12,821 | | |
Legal expense | | | | | 40,537 | | | | | | 4,221 | | | | | | 21,908 | | | | | | 5,532 | | | | | | 59,758 | | |
Chief Compliance Officer expense | | | | | 18,175 | | | | | | 2,157 | | | | | | 7,202 | | | | | | 7,662 | | | | | | 11,197 | | |
Offering fees | | | | | 15,017 | | | | | | 1,596 | | | | | | 4,951 | | | | | | 154 | | | | | | 10,342 | | |
Shareholder services | | | | �� | 32,511 | | | | | | 5,545 | | | | | | 15,998 | | | | | | 9,893 | | | | | | 21,891 | | |
Registration fees | | | | | 59,104 | | | | | | 21,969 | | | | | | 32,437 | | | | | | 22,419 | | | | | | 45,199 | | |
Miscellaneous expense | | | | | 209,890 | | | | | | 29,058 | | | | | | 85,028 | | | | | | 36,025 | | | | | | 124,755 | | |
Interest and dividend expense | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 918,933 | | |
Total Expenses | | | | | 7,047,051 | | | | | | 945,795 | | | | | | 3,549,806 | | | | | | 1,772,620 | | | | | | 8,818,318 | | |
Less: Fee waivers and/or expense reimbursement (Note 7) | | | | | (631,868) | | | | | | (42,772) | | | | | | (355,845) | | | | | | (266,944) | | | | | | (2,315,925) | | |
Net Expenses | | | | | 6,415,183 | | | | | | 903,023 | | | | | | 3,193,961 | | | | | | 1,505,676 | | | | | | 6,502,393 | | |
Net Investment Income (Loss) | | | | $ | 20,803,948 | | | | | $ | 3,429,444 | | | | | $ | 12,015,084 | | | | | $ | 2,529,962 | | | | | $ | 16,689,788 | | |
REALIZED AND UNREALIZED 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 (NOTES 3 AND 4): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | $ | (4,392,866) | | | | | $ | (298,544) | | | | | $ | (2,822,753) | | | | | $ | (637,202) | | | | | $ | 10,198,337 | | |
Futures contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 148,201 | | |
Forward sale commitments | | | | | (31,776) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Option written | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 75,406 | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (1,437,008) | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 285,755 | | |
Forward foreign currency contracts | | | | | — | | | | | | 344,500 | | | | | | 144,655 | | | | | | — | | | | | | 532,754 | | |
Foreign currency transactions | | | | | — | | | | | | 28,379 | | | | | | 35,121 | | | | | | — | | | | | | (17,904) | | |
Realized Gain (Loss) | | | | | (4,424,642) | | | | | | 74,335 | | | | | | (2,642,977) | | | | | | (637,202) | | | | | | 9,785,541 | | |
Change in Net Unrealized Appreciation (Depreciation) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | (2,654,808) | | | | | | (534,255) | | | | | | (3,289,840) | | | | | | 261,991 | | | | | | (4,391,140) | | |
Futures contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (239,968) | | |
Unfunded loan commitments | | | | | (1,283) | | | | | | (139) | | | | | | (5,880) | | | | | | — | | | | | | — | | |
Options contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,687,218 | | |
Forward sale commitments | | | | | (4,502) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short | | | | | | | | | | | — | | | | | | — | | | | | | — | | | | | | (4,841,620) | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (161,279) | | |
Forward foreign currency contracts | | | | | — | | | | | | 50,109 | | | | | | 46,257 | | | | | | — | | | | | | (127,596) | | |
Foreign currency transactions | | | | | — | | | | | | (85,292) | | | | | | (53,048) | | | | | | — | | | | | | (2,303) | | |
Change in Net Unrealized Appreciation (Depreciation): | | | | | (2,660,593) | | | | | | (569,577) | | | | | | (3,302,511) | | | | | | 261,991 | | | | | | (8,076,688) | | |
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 | | | | | (7,085,235) | | | | | | (495,242) | | | | | | (5,945,488) | | | | | | (375,211) | | | | | | 1,708,853 | | |
Total Increase (Decrease) in Net Assets from Operations | | | | $ | 13,718,713 | | | | | $ | 2,934,202 | | | | | $ | 6,069,596 | | | | | $ | 2,154,751 | | | | | $ | 18,398,641 | | |
|
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | |||||||||||||||||||||||||||
| | | August 31, 2018 | | | February 28, 2018 | | | August 31, 2018 | | | February 28, 2018 | | | August 31, 2018 | | | February 28, 2018 | | ||||||||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 12,293,580 | | | | | $ | 22,946,641 | | | | | $ | 1,843,750 | | | | | $ | 2,237,025 | | | | | $ | 10,024,394 | | | | | $ | 7,724,395 | | |
Net realized gain (loss) | | | | | 23,656,015 | | | | | | 24,206,823 | | | | | | 26,280,986 | | | | | | 5,990,710 | | | | | | 277,952 | | | | | | 3,457,601 | | |
Change in unrealized appreciation (depreciation) | | | | | 150,614,777 | | | | | | 373,390,256 | | | | | | 86,316,758 | | | | | | 43,819,355 | | | | | | (41,653,668) | | | | | | 177,447,340 | | |
Increase (Decrease) in Net Assets From Operations | | | | | 186,564,372 | | | | | | 420,543,720 | | | | | | 114,441,494 | | | | | | 52,047,090 | | | | | | (31,351,322) | | | | | | 188,629,336 | | |
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 5): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income: | | | | | | | | ||||||||||||||||||||||||||||||
Class I | | | | | — | | | | | | (18,721,435) | | | | | | — | | | | | | (2,375,380) | | | | | | — | | | | | | (8,662,171) | | |
Net realized gains: | | | | | | | | ||||||||||||||||||||||||||||||
Class I | | | | | — | | | | | | — | | | | | | — | | | | | | (3,306,413) | | | | | | — | | | | | | (557,094) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | — | | | | | | (18,721,435) | | | | | | — | | | | | | (5,681,793) | | | | | | — | | | | | | (9,219,265) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares | | | | | 3,270,924,725 | | | | | | 2,934,660,735 | | | | | | 855,174,690 | | | | | | 780,805,732 | | | | | | 1,540,057,964 | | | | | | 1,376,881,445 | | |
Reinvestment of distributions | | | | | — | | | | | | 18,718,734 | | | | | | — | | | | | | 5,680,960 | | | | | | — | | | | | | 9,217,957 | | |
Cost of shares repurchased | | | | | (3,158,309,104) | | | | | | (551,471,595) | | | | | | (838,061,397) | | | | | | (132,006,984) | | | | | | (1,535,458,462) | | | | | | (152,944,298) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 112,615,621 | | | | | | 2,401,907,874 | | | | | | 17,113,293 | | | | | | 654,479,708 | | | | | | 4,599,502 | | | | | | 1,233,155,104 | | |
Increase (Decrease) in Net Assets | | | | | 299,179,993 | | | | | | 2,803,730,159 | | | | | | 131,554,787 | | | | | | 700,845,005 | | | | | | (26,751,820) | | | | | | 1,412,565,175 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 2,803,730,159 | | | | | | — | | | | | | 700,845,005 | | | | | | — | | | | | | 1,412,565,175 | | | | | | — | | |
End of period*† | | | | $ | 3,102,910,152 | | | | | $ | 2,803,730,159 | | | | | $ | 832,399,792 | | | | | $ | 700,845,005 | | | | | $ | 1,385,813,355 | | | | | $ | 1,412,565,175 | | |
* Includes undistributed net investment income of: | | | | $ | 16,178,575 | | | | | $ | 3,884,995 | | | | | $ | 1,843,750 | | | | | $ | — | | | | | $ | 10,089,349 | | | | | $ | 64,955 | | |
† Includes accumulated net investment loss of: | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
|
| | | Destinations Equity Income Fund | | | Destinations Real Assets Fund | | ||||||||||||||||||
| | | August 31, 2018 | | | February 28, 2018 | | | August 31, 2018 | | | February 28, 2018 | | ||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 5,031,552 | | | | | $ | 9,527,803 | | | | | $ | (20,327) | | | | | $ | 46,114 | | |
Net realized gain (loss) | | | | | 6,484,275 | | | | | | 4,093,582 | | | | | | 542,340 | | | | | | 3,238,164 | | |
Change in unrealized appreciation (depreciation) | | | | | 3,354,323 | | | | | | 3,577,436 | | | | | | (711,090) | | | | | | (24,103,421) | | |
Increase (Decrease) in Net Assets From Operations | | | | | 14,870,150 | | | | | | 17,198,821 | | | | | | (189,077) | | | | | | (20,819,143) | | |
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 5): | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income: | | | | | | ||||||||||||||||||||
Class I | | | | | (4,273,423) | | | | | | (8,407,094) | | | | | | — | | | | | | (744,187) | | |
Net realized gains: | | | | | | ||||||||||||||||||||
Class I | | | | | — | | | | | | (1,253,336) | | | | | | — | | | | | | (4,800,160) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (4,273,423) | | | | | | (9,660,430) | | | | | | — | | | | | | (5,544,347) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares | | | | | 344,145,733 | | | | | | 404,877,952 | | | | | | 377,964,978 | | | | | | 266,757,729 | | |
Reinvestment of distributions | | | | | 4,272,429 | | | | | | 8,979,970 | | | | | | — | | | | | | 5,543,554 | | |
Cost of shares repurchased | | | | | (358,417,093) | | | | | | (101,413,746) | | | | | | (281,863,841) | | | | | | (23,387,131) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | (9,998,931) | | | | | | 312,444,176 | | | | | | 96,101,137 | | | | | | 248,914,152 | | |
Increase (Decrease) in Net Assets | | | | | 597,796 | | | | | | 319,982,567 | | | | | | 95,912,060 | | | | | | 222,550,662 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 319,982,567 | | | | | | — | | | | | | 222,550,662 | | | | | | — | | |
End of period*† | | | | $ | 320,580,363 | | | | | $ | 319,982,567 | | | | | $ | 318,462,722 | | | | | $ | 222,550,662 | | |
* Includes undistributed net investment income of: | | | | $ | 1,847,215 | | | | | $ | 1,089,086 | | | | | $ | — | | | | | $ | — | | |
† Includes accumulated net investment loss of: | | | | $ | — | | | | | $ | — | | | | | $ | (20,327) | | | | | $ | — | | |
|
| | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | |||||||||||||||||||||||||||
| | | August 31, 2018 | | | February 28, 2018 | | | August 31, 2018 | | | February 28, 2018 | | | August 31, 2018 | | | February 28, 2018 | | ||||||||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 20,803,948 | | | | | $ | 28,426,085 | | | | | $ | 3,429,444 | | | | | $ | 4,247,920 | | | | | $ | 12,015,084 | | | | | $ | 17,973,190 | | |
Net realized gain (loss) | | | | | (4,424,642) | | | | | | (594,401) | | | | | | 74,335 | | | | | | (284,260) | | | | | | (2,642,977) | | | | | | (938,211) | | |
Change in unrealized appreciation (depreciation) | | | | | (2,660,593) | | | | | | (25,749,521) | | | | | | (569,577) | | | | | | (1,467,170) | | | | | | (3,302,511) | | | | | | (6,103,823) | | |
Increase (Decrease) in Net Assets From Operations | | | | | 13,718,713 | | | | | | 2,082,163 | | | | | | 2,934,202 | | | | | | 2,496,490 | | | | | | 6,069,596 | | | | | | 10,931,156 | | |
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 5): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income: | | | | | | | | ||||||||||||||||||||||||||||||
Class I | | | | | (20,121,132) | | | | | | (27,010,187) | | | | | | (3,382,955) | | | | | | (4,250,705) | | | | | | (11,818,409) | | | | | | (17,704,050) | | |
Net realized gains: | | | | | | | | ||||||||||||||||||||||||||||||
Class I | | | | | — | | | | | | (2,252,638) | | | | | | — | | | | | | — | | | | | | — | | | | | | (335,674) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (20,121,132) | | | | | | (29,262,825) | | | | | | (3,382,955) | | | | | | (4,250,705) | | | | | | (11,818,409) | | | | | | (18,039,724) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares | | | | | 1,747,487,174 | | | | | | 1,704,394,993 | | | | | | 225,921,603 | | | | | | 206,141,510 | | | | | | 785,254,080 | | | | | | 664,465,917 | | |
Reinvestment of distributions | | | | | 20,113,020 | | | | | | 28,915,598 | | | | | | 3,381,777 | | | | | | 4,051,762 | | | | | | 11,813,347 | | | | | | 17,731,813 | | |
Cost of shares repurchased | | | | | (1,620,002,360) | | | | | | (206,384,919) | | | | | | (197,386,547) | | | | | | (29,970,144) | | | | | | (656,618,273) | | | | | | (73,723,855) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 147,597,834 | | | | | | 1,526,925,672 | | | | | | 31,916,833 | | | | | | 180,223,128 | | | | | | 140,449,154 | | | | | | 608,473,875 | | |
Increase (Decrease) in Net Assets | | | | | 141,195,415 | | | | | | 1,499,745,010 | | | | | | 31,468,080 | | | | | | 178,468,913 | | | | | | 134,700,341 | | | | | | 601,365,307 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period. | | | | | 1,499,745,010 | | | | | | — | | | | | | 178,468,913 | | | | | | — | | | | | | 601,365,307 | | | | | | — | | |
End of period*† | | | | $ | 1,640,940,425 | | | | | $ | 1,499,745,010 | | | | | $ | 209,936,993 | | | | | $ | 178,468,913 | | | | | $ | 736,065,648 | | | | | $ | 601,365,307 | | |
* Includes undistributed net investment income of: | | | | $ | 2,108,241 | | | | | $ | 1,425,425 | | | | | $ | 45,191 | | | | | $ | — | | | | | $ | 196,675 | | | | | $ | — | | |
† Includes accumulated net investment loss of: | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (1,298) | | | | | $ | — | | | | | $ | — | | |
|
| | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||
| | | August 31, 2018 | | | February 28, 2018 | | | August 31, 2018 | | | February 28, 2018 | | ||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 2,529,962 | | | | | $ | 1,044,539 | | | | | $ | 16,689,788 | | | | | $ | 24,363,473 | | |
Net realized gain (loss) | | | | | (637,202) | | | | | | 116,426 | | | | | | 9,785,541 | | | | | | 2,261,898 | | |
Change in unrealized appreciation (depreciation) | | | | | 261,991 | | | | | | (3,175,804) | | | | | | (8,076,688) | | | | | | 11,754,409 | | |
Increase (Decrease) in Net Assets From Operations | | | | | 2,154,751 | | | | | | (2,014,839) | | | | | | 18,398,641 | | | | | | 38,379,780 | | |
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 5): | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income: | | | | | | ||||||||||||||||||||
Class I | | | | | (2,295,499) | | | | | | (993,759) | | | | | | (9,984,179) | | | | | | (19,534,986) | | |
Net realized gains: | | | | | | ||||||||||||||||||||
Class I | | | | | — | | | | | | (185,661) | | | | | | — | | | | | | — | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (2,295,499) | | | | | | (1,179,420) | | | | | | (9,984,179) | | | | | | (19,534,986) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares | | | | | 872,619,131 | | | | | | 260,212,529 | | | | | | 1,217,104,419 | | | | | | 1,127,456,126 | | |
Reinvestment of distributions | | | | | 2,294,549 | | | | | | 1,179,382 | | | | | | 9,980,784 | | | | | | 19,295,487 | | |
Cost of shares repurchased | | | | | (282,753,644) | | | | | | (28,460,557) | | | | | | (1,005,126,908) | | | | | | (256,219,259) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 592,160,036 | | | | | | 232,931,354 | | | | | | 221,958,295 | | | | | | 890,532,354 | | |
Increase (Decrease) in Net Assets | | | | | 592,019,288 | | | | | | 229,737,095 | | | | | | 230,372,757 | | | | | | 909,377,148 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period. | | | | | 229,737,095 | | | | | | — | | | | | | 909,377,148 | | | | | | — | | |
End of period*† | | | | $ | 821,756,383 | | | | | $ | 229,737,095 | | | | | $ | 1,139,749,905 | | | | | $ | 909,377,148 | | |
* Includes undistributed net investment income of: | | | | $ | 285,232 | | | | | $ | 50,769 | | | | | $ | 7,895,173 | | | | | $ | 1,189,564 | | |
† Includes accumulated net investment loss of: | | | | $ | — | | | | | $ | | | | | | $ | — | | | | | $ | — | | |
| | | Class I | | |||||||||
| | | 2018(1) | | | 2018(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 11.71 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.05 | | | | | | 0.10 | | |
Net realized and unrealized gain | | | | | 0.71 | | | | | | 1.69 | | |
Total Income from Operations | | | | | 0.76 | | | | | | 1.79 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.08) | | |
Total Distributions | | | | | — | | | | | | (0.08) | | |
Net Asset Value, End of Period | | | | $ | 12.47 | | | | | $ | 11.71 | | |
Total Return(4)(5) | | | | | 6.49% | | | | | | 17.89% | | |
Net Assets, End of Period (millions) | | | | $ | 3,103 | | | | | $ | 2,804 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.98% | | | | | | 0.98% | | |
Net expenses(6)(7) | | | | | 0.86 | | | | | | 0.85 | | |
Net investment income(6)(7) | | | | | 0.84 | | | | | | 0.97 | | |
Portfolio Turnover Rate(5) | | | | | 11% | | | | | | 52% | | |
| | | Class Z | | |||
| | | 2018(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.02 | | |
Net realized and unrealized gain | | | | | 0.25 | | |
Total Income from Operations | | | | | 0.27 | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | — | | |
Total Distributions | | | | | — | | |
Net Asset Value, End of Period | | | | $ | 10.27 | | |
Total Return(3)(4) | | | | | 2.70% | | |
Net Assets, End of Period (millions) | | | | $ | 0(5) | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(6) | | | | | 0.83% | | |
Net expenses(6)(7) | | | | | 0.71 | | |
Net investment income(6)(7) | | | | | 0.99 | | |
Portfolio Turnover Rate(4) | | | | | 11% | | |
| | | Class I | | |||||||||
| | | 2018(1) | | | 2018(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 10.98 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.03 | | | | | | 0.04 | | |
Net realized and unrealized gain | | | | | 1.75 | | | | | | 1.04 | | |
Total Income from Operations | | | | | 1.78 | | | | | | 1.08 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.04) | | |
Net realized gain | | | | | — | | | | | | (0.06) | | |
Total Distributions | | | | | — | | | | | | (0.10) | | |
Net Asset Value, End of Period | | | | $ | 12.76 | | | | | $ | 10.98 | | |
Total Return(4)(5) | | | | | 16.21% | | | | | | 10.83% | | |
Net Assets, End of Period (millions) | | | | $ | 832 | | | | | $ | 701 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.14% | | | | | | 1.14% | | |
Net expenses(6)(7) | | | | | 1.04 | | | | | | 1.03 | | |
Net investment income(6)(7) | | | | | 0.48 | | | | | | 0.41 | | |
Portfolio Turnover Rate(5) | | | | | 39% | | | | | | 112% | | |
| | | Class Z | | |||
| | | 2018(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.01 | | |
Net realized and unrealized gain | | | | | 0.51 | | |
Total Income from Operations | | | | | 0.52 | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | — | | |
Net realized gain | | | | | — | | |
Total Distributions | | | | | — | | |
Net Asset Value, End of Period | | | | $ | 10.52 | | |
Total Return(3)(4) | | | | | 5.20% | | |
Net Assets, End of Period (millions) | | | | $ | 0(5) | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(6) | | | | | 0.99% | | |
Net expenses(6)(7) | | | | | 0.89 | | |
Net investment income(6)(7) | | | | | 0.63 | | |
Portfolio Turnover Rate(4) | | | | | 39% | | |
| | | Class I | | |||||||||
| | | 2018(1) | | | 2018(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 11.69 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.08 | | | | | | 0.07 | | |
Net realized and unrealized gain (loss) | | | | | (0.34) | | | | | | 1.70 | | |
Total Income (Loss) from Operations | | | | | (0.26) | | | | | | 1.77 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.07) | | |
Net realized gain | | | | | — | | | | | | (0.01) | | |
Total Distributions | | | | | — | | | | | | (0.08) | | |
Net Asset Value, End of Period | | | | $ | 11.43 | | | | | $ | 11.69 | | |
Total Return(4)(5) | | | | | (2.22)% | | | | | | 17.70% | | |
Net Assets, End of Period (millions) | | | | $ | 1,386 | | | | | $ | 1,413 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.30% | | | | | | 1.30% | | |
Net expenses(6)(7) | | | | | 1.19 | | | | | | 1.15 | | |
Net investment income(6)(7) | | | | | 1.42 | | | | | | 0.69 | | |
Portfolio Turnover Rate(5) | | | | | 17% | | | | | | 50% | | |
| | | Class Z | | |||
| | | 2018(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.00(3) | | |
Net realized and unrealized gain | | | | | 0.00(3) | | |
Total Income from Operations | | | | | 0.00(3) | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | — | | |
Net realized gain | | | | | — | | |
Total Distributions | | | | | — | | |
Net Asset Value, End of Period | | | | $ | 10.00 | | |
Total Return(4)(5) | | | | | 0.00%(6) | | |
Net Assets, End of Period (millions) | | | | $ | 0(7) | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(8) | | | | | 1.15% | | |
Net expenses(8)(9) | | | | | 1.04 | | |
Net investment income(8)(9) | | | | | 1.57 | | |
Portfolio Turnover Rate(5) | | | | | 17% | | |
| | | Class I | | |||||||||
| | | 2018(1) | | | 2018(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 10.14 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.16 | | | | | | 0.31 | | |
Net realized and unrealized gain | | | | | 0.32 | | | | | | 0.12 | | |
Total Income from Operations | | | | | 0.48 | | | | | | 0.43 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.14) | | | | | | (0.26) | | |
Net realized gain | | | | | — | | | | | | (0.03) | | |
Total Distributions | | | | | (0.14) | | | | | | (0.29) | | |
Net Asset Value, End of Period | | | | $ | 10.48 | | | | | $ | 10.14 | | |
Total Return(4)(5) | | | | | 4.79% | | | | | | 4.34% | | |
Net Assets, End of Period (millions) | | | | $ | 321 | | | | | $ | 320 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.06% | | | | | | 1.05% | | |
Net expenses(6)(7) | | | | | 0.90 | | | | | | 0.93 | | |
Net investment income(6)(7) | | | | | 3.14 | | | | | | 3.18 | | |
Portfolio Turnover Rate(5) | | | | | 54% | | | | | | 57% | | |
| | | Class Z | | |||
| | | 2018(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.03 | | |
Net realized and unrealized gain | | | | | 0.16 | | |
Total Income from Operations | | | | | 0.19 | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | — | | |
Net realized gain | | | | | — | | |
Total Distributions | | | | | — | | |
Net Asset Value, End of Period | | | | $ | 10.19 | | |
Total Return(3)(4) | | | | | 1.90% | | |
Net Assets, End of Period (millions) | | | | $ | 0(5) | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(6) | | | | | 0.91% | | |
Net expenses(6)(7) | | | | | 0.75 | | |
Net investment income(6)(7) | | | | | 3.29 | | |
Portfolio Turnover Rate(4) | | | | | 54% | | |
| | | Class I | | |||||||||
| | | 2018(1) | | | 2018(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 8.94 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income (loss)(3)(4) | | | | | (0.00) | | | | | | 0.00 | | |
Net realized and unrealized gain (loss) | | | | | 0.27 | | | | | | (0.78) | | |
Total Income (Loss) from Operations | | | | | 0.27 | | | | | | (0.78) | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.04) | | |
Net realized gain | | | | | — | | | | | | (0.24) | | |
Total Distributions | | | | | — | | | | | | (0.28) | | |
Net Asset Value, End of Period | | | | $ | 9.21 | | | | | $ | 8.94 | | |
Total Return(5)(6) | | | | | 3.02% | | | | | | (7.95)% | | |
Net Assets, End of Period (millions) | | | | $ | 318 | | | | | $ | 223 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(7) | | | | | 1.25% | | | | | | 1.29% | | |
Net expenses(7)(8) | | | | | 1.21 | | | | | | 1.19 | | |
Net investment income (loss)(7)(8) | | | | | (0.02) | | | | | | 0.02 | | |
Portfolio Turnover Rate(6) | | | | | 43% | | | | | | 58% | | |
| | | Class Z | | |||
| | | 2018(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.00(3) | | |
Net realized and unrealized (loss) | | | | | (0.68) | | |
Total (Loss) from Operations | | | | | (0.68) | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | — | | |
Net realized gain | | | | | — | | |
Total Distributions | | | | | — | | |
Net Asset Value, End of Period | | | | $ | 9.32 | | |
Total Return(4)(5) | | | | | (6.80)% | | |
Net Assets, End of Period (millions) | | | | $ | 0(6) | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(7) | | | | | 1.10% | | |
Net expenses(7)(8) | | | | | 1.06 | | |
Net investment income(7)(8) | | | | | 0.13 | | |
Portfolio Turnover Rate(5) | | | | | 43% | | |
| | | Class I | | |||||||||
| | | 2018(1) | | | 2018(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 9.83 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.13 | | | | | | 0.21 | | |
Net realized and unrealized (loss) | | | | | (0.04) | | | | | | (0.17) | | |
Total Income from Operations | | | | | 0.09 | | | | | | 0.04 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.13) | | | | | | (0.19) | | |
Net realized gain | | | | | — | | | | | | (0.02) | | |
Total Distributions | | | | | (0.13) | | | | | | (0.21) | | |
Net Asset Value, End of Period | | | | $ | 9.79 | | | | | $ | 9.83 | | |
Total Return(4)(5) | | | | | 0.90% | | | | | | 0.34% | | |
Net Assets, End of Period (millions) | | | | $ | 1,641 | | | | | $ | 1,500 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.91% | | | | | | 0.90% | | |
Net expenses(6)(7) | | | | | 0.83 | | | | | | 0.82 | | |
Net investment income(6)(7) | | | | | 2.69 | | | | | | 2.22 | | |
Portfolio Turnover Rate(5) | | | | | 46% | | | | | | 170% | | |
| | | Class Z | | |||
| | | 2018(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.04 | | |
Net realized and unrealized (loss) | | | | | (0.01) | | |
Total Income from Operations | | | | | 0.03 | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | — | | |
Net realized gain | | | | | — | | |
Total Distributions | | | | | — | | |
Net Asset Value, End of Period | | | | $ | 10.03 | | |
Total Return(3)(4) | | | | | 0.30% | | |
Net Assets, End of Period (millions) | | | | $ | 0(5) | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(6) | | | | | 0.76% | | |
Net expenses(6)(7) | | | | | 0.68 | | |
Net investment income(6)(7) | | | | | 2.84 | | |
Portfolio Turnover Rate(4) | | | | | 46% | | |
| | | Class I | | |||||||||
| | | 2018(1) | | | 2018(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 9.90 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.18 | | | | | | 0.27 | | |
Net realized and unrealized (loss) | | | | | (0.03) | | | | | | (0.12) | | |
Total Income from Operations | | | | | 0.15 | | | | | | 0.15 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.18) | | | | | | (0.25) | | |
Total Distributions | | | | | (0.18) | | | | | | (0.25) | | |
Net Asset Value, End of Period | | | | $ | 9.87 | | | | | $ | 9.90 | | |
Total Return(4)(5) | | | | | 1.50% | | | | | | 1.52% | | |
Net Assets, End of Period (millions) | | | | $ | 210 | | | | | $ | 178 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.01% | | | | | | 1.00% | | |
Net expenses(6)(7) | | | | | 0.96 | | | | | | 0.94 | | |
Net investment income(6)(7) | | | | | 3.65 | | | | | | 2.84 | | |
Portfolio Turnover Rate(5) | | | | | 20% | | | | | | 32% | | |
| | | Class Z | | |||
| | | 2018(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.06 | | |
Net realized and unrealized (loss) | | | | | (0.00)(3) | | |
Total Income from Operations | | | | | 0.06 | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | — | | |
Total Distributions | | | | | — | | |
Net Asset Value, End of Period | | | | $ | 10.06 | | |
Total Return(4)(5) | | | | | 0.60% | | |
Net Assets, End of Period (millions) | | | | $ | 0(6) | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(7) | | | | | 0.86% | | |
Net expenses(7)(8) | | | | | 0.81 | | |
Net investment income(7)(8) | | | | | 3.80 | | |
Portfolio Turnover Rate(5) | | | | | 20% | | |
| | | Class I | | |||||||||
| | | 2018(1) | | | 2018(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 9.99 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.19 | | | | | | 0.37 | | |
Net realized and unrealized (loss) | | | | | (0.10) | | | | | | (0.02) | | |
Total Income from Operations | | | | | 0.09 | | | | | | 0.35 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.18) | | | | | | (0.35) | | |
Net realized gain | | | | | — | | | | | | (0.01) | | |
Total Distributions | | | | | (0.18) | | | | | | (0.36) | | |
Net Asset Value, End of Period | | | | $ | 9.90 | | | | | $ | 9.99 | | |
Total Return(4)(5) | | | | | 0.93% | | | | | | 3.34% | | |
Net Assets, End of Period (millions) | | | | $ | 736 | | | | | $ | 601 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.11% | | | | | | 1.10% | | |
Net expenses(6)(7) | | | | | 1.00 | | | | | | 0.99 | | |
Net investment income(6)(7) | | | | | 3.75 | | | | | | 3.88 | | |
Portfolio Turnover Rate(5) | | | | | 25% | | | | | | 64% | | |
| | | Class Z | | |||
| | | 2018(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.05 | | |
Net realized and unrealized gain | | | | | 0.00(3) | | |
Total Income from Operations | | | | | 0.05 | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | — | | |
Net realized gain | | | | | — | | |
Total Distributions | | | | | — | | |
Net Asset Value, End of Period | | | | $ | 10.05 | | |
Total Return(4)(5) | | | | | 0.50% | | |
Net Assets, End of Period (millions) | | | | $ | 0(6) | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(7) | | | | | 0.96% | | |
Net expenses(7)(8) | | | | | 0.85 | | |
Net investment income(7)(8) | | | | | 3.90 | | |
Portfolio Turnover Rate(5) | | | | | 25% | | |
| | | Class I | | |||||||||
| | | 2018(1) | | | 2018(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 9.93 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.07 | | | | | | 0.08 | | |
Net realized and unrealized gain (loss) | | | | | 0.03 | | | | | | (0.09) | | |
Total Income (Loss) from Operations | | | | | 0.10 | | | | | | (0.01) | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.05) | | | | | | (0.05) | | |
Net realized gain | | | | | — | | | | | | (0.01) | | |
Total Distributions | | | | | (0.05) | | | | | | (0.06) | | |
Net Asset Value, End of Period | | | | $ | 9.98 | | | | | $ | 9.93 | | |
Total Return(4)(5) | | | | | 1.03% | | | | | | (0.14)% | | |
Net Assets, End of Period (millions) | | | | $ | 822 | | | | | $ | 230 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.93% | | | | | | 0.97% | | |
Net expenses(6)(7) | | | | | 0.79 | | | | | | 0.80 | | |
Net investment income(6)(7) | | | | | 1.33 | | | | | | 0.79 | | |
Portfolio Turnover Rate(5) | | | | | 96% | | | | | | 69% | | |
| | | Class Z | | |||
| | | 2018(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.04 | | |
Net realized and unrealized (loss) | | | | | (0.03) | | |
Total Income from Operations | | | | | 0.01 | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | — | | |
Net realized gain | | | | | — | | |
Total Distributions | | | | | — | | |
Net Asset Value, End of Period | | | | $ | 10.01 | | |
Total Return(3)(4) | | | | | 0.10% | | |
Net Assets, End of Period (millions) | | | | $ | 0(5) | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(6) | | | | | 0.78% | | |
Net expenses(6)(7) | | | | | 0.64 | | |
Net investment income(6)(7) | | | | | 1.48 | | |
Portfolio Turnover Rate(4) | | | | | 96% | | |
| | | Class I | | |||||||||
| | | 2018(1) | | | 2018(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 10.20 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.18 | | | | | | 0.27 | | |
Net realized and unrealized gain | | | | | 0.01 | | | | | | 0.13 | | |
Total Income from Operations | | | | | 0.19 | | | | | | 0.40 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.11) | | | | | | (0.20) | | |
Total Distributions | | | | | (0.11) | | | | | | (0.20) | | |
Net Asset Value, End of Period | | | | $ | 10.28 | | | | | $ | 10.20 | | |
Total Return(4)(5) | | | | | 1.89% | | | | | | 3.94% | | |
Net Assets, End of Period (millions) | | | | $ | 1,140 | | | | | $ | 909 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.80%(7) | | | | | | 1.73%(8) | | |
Net expenses(6)(9) | | | | | 1.33(7) | | | | | | 1.25(8) | | |
Net investment income(6)(9) | | | | | 3.41 | | | | | | 2.82 | | |
Portfolio Turnover Rate(5) | | | | | 61% | | | | | | 111% | | |
| | | Class Z | | |||
| | | 2018(1) | | |||
Net asset value, Beginning of Period | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | |
Net investment income(2) | | | | | 0.03 | | |
Net realized and unrealized gain | | | | | 0.03 | | |
Total Income from Operations | | | | | 0.06 | | |
Less Distributions From: | | | | | | | |
Net investment income | | | | | — | | |
Total Distributions | | | | | — | | |
Net Asset Value, End of Period | | | | $ | 10.06 | | |
Total Return(3)(4) | | | | | 0.60% | | |
Net Assets, End of Period (millions) | | | | $ | 0(5) | | |
Ratios to Average Net Assets: | | | | | | | |
Gross expenses(6) | | | | | 1.65%(7) | | |
Net expenses(6)(8) | | | | | 1.18(7) | | |
Net investment income(6)(8) | | | | | 3.56 | | |
Portfolio Turnover Rate(4) | | | | | 61% | | |
| | | Total Fair Value at August 31, 2018 | | | 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 | |||||||||||||||||||||||
Corporate Bond & Note | | | | $ | 837,442 | | | | | $ | — | | | | | $ | 837,442 | | | | | $ | — |
Common Stocks: | |||||||||||||||||||||||
Basic Materials | | | | | 53,459,931 | | | | | | 53,459,931 | | | | | | — | | | | | | — |
Communications | | | | | 525,245,374 | | | | | | 525,245,374 | | | | | | — | | | | | | — |
Consumer Cyclical | | | | | 223,777,699 | | | | | | 223,777,699 | | | | | | — | | | | | | — |
Consumer Non-cyclical | | | | | 705,246,050 | | | | | | 705,246,050 | | | | | | — | | | | | | — |
Energy | | | | | 179,094,402 | | | | | | 179,094,402 | | | | | | — | | | | | | — |
Financial | | | | | 513,259,240 | | | | | | 511,674,617 | | | | | | — | | | | | | 1,584,623 |
Industrial | | | | | 290,808,246 | | | | | | 290,808,246 | | | | | | — | | | | | | — |
Technology | | | | | 480,689,468 | | | | | | 480,689,468 | | | | | | — | | | | | | — |
Utilities | | | | | 56,101,759 | | | | | | 56,101,759 | | | | | | — | | | | | | — |
Preferred Stock | | | | | 406,539 | | | | | | — | | | | | | — | | | | | | 406,539 |
Short-Term Investments: | |||||||||||||||||||||||
Time Deposits | | | | | 70,979,096 | | | | | | — | | | | | | 70,979,096 | | | | | | — |
| | | Total Fair Value at August 31, 2018 | | | 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) | ||||||||||||||||||||||||
Common Stocks: (continued) | ||||||||||||||||||||||||
Money Market Fund | | | | | 10,135,978 | | | | | | 10,135,978 | | | | | | — | | | | | | — | |
Total Investments, at value | | | | $ | 3,110,041,224 | | | | | $ | 3,036,233,524 | | | | | $ | 71,816,538 | | | | | $ | 1,991,162 | |
Other Financial Instruments – Assets | | | | | | |||||||||||||||||||
Futures Contract | | | | $ | 425,531 | | | | | $ | 425,531 | | | | | $ | — | | | | | $ | — | |
Total Other Financial Instruments – Assets | | | | $ | 425,531 | | | | | $ | 425,531 | | | | | $ | — | | | | | $ | — | |
Destinations Small-Mid Cap Equity Fund | ||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||
Common Stocks | | | | $ | 638,936,686 | | | | | $ | 638,936,686 | | | | | $ | — | | | | | $ | — | |
Exchange Traded Funds (ETFs) | | | | | 165,352,038 | | | | | | 165,352,038 | | | | | | — | | | | | | — | |
Short-Term Investments: | | | ||||||||||||||||||||||
Time Deposits | | | | | 26,410,973 | | | | | | — | | | | | | 26,410,973 | | | | | | — | |
Money Market Fund | | | | | 24,705,742 | | | | | | 24,705,742 | | | | | | — | | | | | | — | |
Total Investments, at value | | | | $ | 855,405,439 | | | | | $ | 828,994,466 | | | | | $ | 26,410,973 | | | | | $ | — | |
Destinations International Equity Fund | ||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||
Common Stocks: | | | ||||||||||||||||||||||
Argentina | | | | $ | 5,453,122 | | | | | $ | 5,453,122 | | | | | $ | — | | | | | $ | — | |
Australia | | | | | 26,866,519 | | | | | | — | | | | | | 26,866,519 | | | | | | — | |
Austria | | | | | 4,919,398 | | | | | | — | | | | | | 4,919,398 | | | | | | — | |
Belgium | | | | | 2,064,943 | | | | | | — | | | | | | 2,064,943 | | | | | | — | |
Bermuda | | | | | 1,928,091 | | | | | | — | | | | | | 1,928,091 | | | | | | — | |
Brazil | | | | | 20,399,429 | | | | | | 10,380,790 | | | | | | 10,018,639 | | | | | | — | |
Canada | | | | | 28,786,580 | | | | | | 28,786,580 | | | | | | — | | | | | | — | |
China | | | | | 87,803,864 | | | | | | 24,433,785 | | | | | | 63,370,079 | | | | | | — | |
Denmark | | | | | 4,590,677 | | | | | | — | | | | | | 4,590,677 | | | | | | — | |
Egypt | | | | | 1,798,546 | | | | | | — | | | | | | 1,798,546 | | | | | | — | |
Finland | | | | | 4,395,878 | | | | | | — | | | | | | 4,395,878 | | | | | | — | |
France | | | | | 62,934,607 | | | | | | — | | | | | | 62,934,607 | | | | | | — | |
Germany | | | | | 85,997,466 | | | | | | — | | | | | | 85,997,466 | | | | | | — | |
Greece | | | | | 2,394,205 | | | | | | — | | | | | | 2,394,205 | | | | | | — | |
Hong Kong | | | | | 25,779,655 | | | | | | — | | | | | | 25,779,655 | | | | | | — | |
India | | | | | 74,594,617 | | | | | | — | | | | | | 74,594,617 | | | | | | — | |
Indonesia | | | | | 10,518,068 | | | | | | — | | | | | | 10,518,068 | | | | | | — | |
Ireland | | | | | 5,028,987 | | | | | | 1,391,239 | | | | | | 3,637,748 | | | | | | — | |
Isle of Man | | | | | 245,041 | | | | | | — | | | | | | 245,041 | | | | | | — | |
Israel | | | | | 3,767,667 | | | | | | 1,747,730 | | | | | | 2,019,937 | | | | | | — | |
Italy | | | | | 5,672,311 | | | | | | — | | | | | | 5,672,311 | | | | | | — | |
Japan | | | | | 172,311,374 | | | | | | — | | | | | | 172,311,374 | | | | | | — | |
Malaysia | | | | | 8,707,346 | | | | | | — | | | | | | 8,707,346 | | | | | | — | |
Mexico | | | | | 20,225,622 | | | | | | 5,082,123 | | | | | | 15,143,499 | | | | | | — | |
Netherlands | | | | | 15,815,194 | | | | | | 5,237,605 | | | | | | 10,577,589 | | | | | | — |
| | | Total Fair Value at August 31, 2018 | | | 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) | | | ||||||||||||||||||||||
New Zealand | | | | $ | 3,594,968 | | | | | $ | — | | | | | $ | 3,594,968 | | | | | $ | — | |
Nigeria | | | | | 355,584 | | | | | | — | | | | | | 355,584 | | | | | | — | |
Norway | | | | | 3,780,826 | | | | | | — | | | | | | 3,780,826 | | | | | | — | |
Pakistan | | | | | 2,541,211 | | | | | | — | | | | | | 2,541,211 | | | | | | — | |
Panama | | | | | 893,090 | | | | | | 893,090 | | | | | | — | | | | | | — | |
Peru | | | | | 1,832,022 | | | | | | 1,832,022 | | | | | | — | | | | | | — | |
Philippines | | | | | 11,485,139 | | | | | | — | | | | | | 11,485,139 | | | | | | — | |
Poland | | | | | 2,928,460 | | | | | | — | | | | | | 2,928,460 | | | | | | — | |
Portugal | | | | | 1,764,617 | | | | | | — | | | | | | 1,764,617 | | | | | | — | |
Russia | | | | | 6,281,410 | | | | | | 6,149,175 | | | | | | 132,235 | | | | | | — | |
Singapore | | | | | 4,809,808 | | | | | | 1,506,710 | | | | | | 3,303,098 | | | | | | — | |
South Africa | | | | | 17,815,504 | | | | | | 1,151,299 | | | | | | 16,664,205 | | | | | | — | |
South Korea | | | | | 38,977,128 | | | | | | — | | | | | | 38,977,128 | | | | | | — | |
Spain | | | | | 18,332,294 | | | | | | 2,590,708 | | | | | | 15,741,586 | | | | | | — | |
Sweden | | | | | 17,946,779 | | | | | | — | | | | | | 17,946,779 | | | | | | — | |
Switzerland | | | | | 54,554,622 | | | | | | — | | | | | | 54,554,622 | | | | | | — | |
Taiwan | | | | | 45,506,204 | | | | | | 12,211,139 | | | | | | 33,295,065 | | | | | | — | |
Thailand | | | | | 9,766,907 | | | | | | — | | | | | | 9,766,907 | | | | | | — | |
United Arab Emirates | | | | | 3,972,005 | | | | | | — | | | | | | 3,972,005 | | | | | | — | |
United Kingdom | | | | | 99,259,632 | | | | | | 3,821,988 | | | | | | 95,437,644 | | | | | | — | |
United States | | | | | 47,898,809 | | | | | | 43,755,785 | | | | | | 4,143,024 | | | | | | — | |
Exchange Traded Funds (ETFs) | | | | | 246,390,821 | | | | | | 246,390,821 | | | | | | — | | | | | | — | |
Short-Term Investments: | | | | | | |||||||||||||||||||
Time Deposits | | | | | 51,111,401 | | | | | | — | | | | | | 51,111,401 | | | | | | — | |
U.S. Government Agency | | | | | 8,929,638 | | | | | | — | | | | | | 8,929,638 | | | | | | — | |
Money Market Fund | | | | | 13,246,061 | | | | | | 13,246,061 | | | | | | — | | | | | | — | |
Total Investments, at value | | | | $ | 1,396,974,147 | | | | | $ | 416,061,772 | | | | | $ | 980,912,375 | | | | | $ | — | |
Other Financial Instruments – Assets | | | | | | |||||||||||||||||||
Forward Foreign Currency Contracts | | | | $ | 76,947 | | | | | $ | — | | | | | $ | 76,947 | | | | | $ | — | |
Total Other Financial Instruments – Assets | | | | $ | 76,947 | | | | | $ | — | | | | | $ | 76,947 | | | | | $ | — | |
Other Financial Instruments – Liabilities | | | | | | |||||||||||||||||||
Forward Foreign Currency Contract | | | | $ | (24,764) | | | | | $ | — | | | | | $ | (24,764) | | | | | $ | — | |
Total Other Financial Instruments – Liabilities | | | | $ | (24,764) | | | | | $ | — | | | | | $ | (24,764) | | | | | $ | — | |
Destinations Equity Income Fund | ||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||
Common Stocks | | | | $ | 204,572,051 | | | | | $ | 204,572,051 | | | | | $ | — | | | | | $ | — | |
Exchange Traded Funds (ETFs) | | | | | 111,849,488 | | | | | | 111,849,488 | | | | | | — | | | | | | — | |
Short-Term Investments: | | | ||||||||||||||||||||||
Time Deposits | | | | | 3,619,929 | | | | | | — | | | | | | 3,619,929 | | | | | | — | |
Money Market Fund | | | | | 569,260 | | | | | | 569,260 | | | | | | — | | | | | | — | |
Total Investments, at value | | | | $ | 320,610,728 | | | | | $ | 316,990,799 | | | | | $ | 3,619,929 | | | | | $ | — | |
|
| | | Total Fair Value at August 31, 2018 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | ||||||||||||
Destinations Real Assets Fund | ||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||
Common Stocks | | | | $ | 271,640,416 | | | | | $ | 271,640,416 | | | | | $ | — | | | | | $ | — | |
Exchange Traded Fund (ETF) | | | | | 40,147,557 | | | | | | 40,147,557 | | | | | | — | | | | | | — | |
Short-Term Investments: | | | ||||||||||||||||||||||
Time Deposits | | | | | 6,407,573 | | | | | | — | | | | | | 6,407,573 | | | | | | — | |
Money Market Fund | | | | | 15,622,956 | | | | | | 15,622,956 | | | | | | — | | | | | | — | |
Total Investments, at value | | | | $ | 333,818,502 | | | | | $ | 327,410,929 | | | | | $ | 6,407,573 | | | | | $ | — | |
Destinations Core Fixed Income Fund | ||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||
U.S. Government Agencies & Obligations | | | | $ | 402,418,063 | | | | | $ | — | | | | | $ | 402,418,063 | | | | | $ | — | |
Collateralized Mortgage Obligations | | | | | 349,177,922 | | | | | | — | | | | | | 349,177,922 | | | | | | — | |
Corporate Bonds & Notes | | | | | 310,531,743 | | | | | | — | | | | | | 310,531,743 | | | | | | — | |
Mortgage-Backed Securities | | | | | 304,834,405 | | | | | | — | | | | | | 304,834,405 | | | | | | — | |
Asset-Backed Securities | | | | | 138,994,790 | | | | | | — | | | | | | 138,994,790 | | | | | | — | |
Senior Loans | | | | | 53,661,864 | | | | | | — | | | | | | 53,661,864 | | | | | | — | |
Sovereign Bonds | | | | | 20,453,484 | | | | | | — | | | | | | 20,453,484 | | | | | | — | |
Municipal Bonds | | | | | 3,478,614 | | | | | | — | | | | | | 3,478,614 | | | | | | — | |
Short-Term Investments: | | | | | | |||||||||||||||||||
Time Deposits | | | | | 53,851,871 | | | | | | — | | | | | | 53,851,871 | | | | | | — | |
Money Market Fund | | | | | 906,892 | | | | | | 906,892 | | | | | | — | | | | | | — | |
Total Investments, at value | | | | $ | 1,638,309,648 | | | | | $ | 906,892 | | | | | $ | 1,637,402,756 | | | | | $ | — | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Sale Commitment | | | | $ | (2,076,377) | | | | | $ | — | | | | | $ | (2,076,377) | | | | | $ | — | |
Total Other Financial Instruments – Liabilities | | | | $ | (2,076,377) | | | | | $ | — | | | | | $ | (2,076,377) | | | | | $ | — | |
Destinations Low Duration Fixed Income Fund | ||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||
Corporate Bonds & Notes | | | | $ | 119,506,111 | | | | | $ | — | | | | | $ | 119,506,111 | | | | | $ | — | |
Asset-Backed Securities | | | | | 21,652,889 | | | | | | — | | | | | | 21,652,889 | | | | | | — | |
Collateralized Mortgage Obligations | | | | | 14,915,820 | | | | | | — | | | | | | 14,915,820 | | | | | | — | |
Senior Loans | | | | | 6,883,553 | | | | | | — | | | | | | 6,883,553 | | | | | | — | |
U.S. Government Obligations | | | | | 3,825,655 | | | | | | — | | | | | | 3,825,655 | | | | | | — | |
Sovereign Bonds | | | | | 721,738 | | | | | | — | | | | | | 721,738 | | | | | | — | |
Exchange Traded Fund (ETF) | | | | | 25,446,982 | | | | | | 25,446,982 | | | | | | — | | | | | | — | |
Common Stock | | | | | 395,619 | | | | | | — | | | | | | — | | | | | | 395,619 | |
Short-Term Investments: | | | | | | |||||||||||||||||||
Commercial Papers | | | | | 9,870,087 | | | | | | — | | | | | | 9,870,087 | | | | | | — | |
Time Deposits | | | | | 6,384,803 | | | | | | — | | | | | | 6,384,803 | | | | | | — | |
U.S. Government Obligations | | | | | 1,598,719 | | | | | | — | | | | | | 1,598,719 | | | | | | — | |
Money Market Fund | | | | | 370,740 | | | | | | 370,740 | | | | | | — | | | | | | — | |
Total Investments, at value | | | | $ | 211,572,716 | | | | | $ | 25,817,722 | | | | | $ | 185,359,375 | | | | | $ | 395,619 | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 50,109 | | | | | $ | — | | | | | $ | 50,109 | | | | | $ | — | |
Total Other Financial Instruments – Assets | | | | $ | 50,109 | | | | | $ | — | | | | | $ | 50,109 | | | | | $ | — | |
|
| | | Total Fair Value at August 31, 2018 | | | 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 | ||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||
Corporate Bonds & Notes | | | | $ | 492,480,408 | | | | | $ | — | | | | | $ | 492,480,408 | | | | | $ | — | |
Senior Loans | | | | | 57,725,139 | | | | | | — | | | | | | 56,548,318 | | | | | | 1,176,821 | |
Sovereign Bonds | | | | | 45,642,104 | | | | | | — | | | | | | 45,642,104 | | | | | | — | |
Preferred Stocks: | | | | | | |||||||||||||||||||
Bermuda | | | | | 2,687,022 | | | | | | 2,687,022 | | | | | | — | | | | | | — | |
United States | | | | | 11,033,659 | | | | | | 9,794,623 | | | | | | 1,239,036 | | | | | | — | |
Common Stocks: | ||||||||||||||||||||||||
Colombia | | | | | 301,208 | | | | | | 301,208 | | | | | | — | | | | | | — | |
United States | | | | | 6,236,750 | | | | | | 2,188,415 | | | | | | — | | | | | | 4,048,335 | |
Short-Term Investments: | | | | | | |||||||||||||||||||
Commercial Papers | | | | | 96,985,309 | | | | | | — | | | | | | 96,985,309 | | | | | | — | |
Time Deposits | | | | | 17,619,109 | | | | | | — | | | | | | 17,619,109 | | | | | | — | |
Money Market Fund | | | | | 3,333,215 | | | | | | 3,333,215 | | | | | | — | | | | | | — | |
Total Investments, at value | | | | $ | 734,043,923 | | | | | $ | 18,304,483 | | | | | $ | 710,514,284 | | | | | $ | 5,225,156 | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 46,935 | | | | | $ | — | | | | | $ | 46,935 | | | | | $ | — | |
Total Other Financial Instruments – Assets | | | | $ | 46,935 | | | | | $ | — | | | | | $ | 46,935 | | | | | $ | — | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contract | | | | $ | (678) | | | | | $ | — | | | | | $ | (678) | | | | | $ | — | |
Total Other Financial Instruments – Liabilities | | | | $ | (678) | | | | | $ | — | | | | | $ | (678) | | | | | $ | — | |
Destinations Municipal Fixed Income Fund | ||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||
Municipal Bonds | | | | $ | 640,905,677 | | | | | $ | — | | | | | $ | 640,905,677 | | | | | $ | — | |
Short-Term Investments: | | | ||||||||||||||||||||||
Time Deposits | | | | | 138,510,135 | | | | | | — | | | | | | 138,510,135 | | | | | | — | |
Municipal Bonds | | | | | 66,169,397 | | | | | | — | | | | | | 66,169,397 | | | | | | — | |
Total Investments, at value | | | | $ | 845,585,209 | | | | | $ | — | | | | | $ | 845,585,209 | | | | | $ | — | |
Destinations Multi Strategy Alternatives Fund | ||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||
Corporate Bonds & Notes: | | | ||||||||||||||||||||||
Basic Materials | | | | $ | 6,750,080 | | | | | $ | — | | | | | $ | 6,750,080 | | | | | $ | — | |
Communications | | | | | 62,157,568* | | | | | | — | | | | | | 62,157,568 | | | | | | —* | |
Consumer Cyclical | | | | | 15,434,869 | | | | | | — | | | | | | 15,434,869 | | | | | | — | |
Consumer Non-cyclical | | | | | 40,331,544 | | | | | | — | | | | | | 40,331,544 | | | | | | — | |
Diversified | | | | | 4,542,577 | | | | | | — | | | | | | 4,542,577 | | | | | | — | |
Energy | | | | | 36,714,225 | | | | | | — | | | | | | 36,714,225 | | | | | | — | |
Financial | | | | | 37,612,739 | | | | | | 2,401,769 | | | | | | 35,210,970 | | | | | | — | |
Industrial | | | | | 9,573,626 | | | | | | — | | | | | | 9,573,626 | | | | | | — | |
Technology | | | | | 10,518,385 | | | | | | — | | | | | | 10,518,385 | | | | | | — | |
Utilities | | | | | 7,481,739 | | | | | | — | | | | | | 7,481,739 | | | | | | — | |
Senior Loans | | | | | 57,972,040 | | | | | | — | | | | | | 57,820,140 | | | | | | 151,900 | |
Municipal Bonds | | | | | 17,656,425 | | | | | | — | | | | | | 17,656,425 | | | | | | — |
| | | Total Fair Value at August 31, 2018 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | ||||||||||||
Destinations Multi Strategy Alternatives Fund (continued) | ||||||||||||||||||||||||
Investments, at value (continued) | ||||||||||||||||||||||||
U.S. Government Obligations | | | | $ | 8,771,930 | | | | | $ | — | | | | | $ | 8,771,930 | | | | | $ | — | |
Open-End Funds | | | | | 218,947,853 | | | | | | — | | | | | | 218,947,853 | | | | | | — | |
Common Stocks: | ||||||||||||||||||||||||
Basic Materials | | | | | 7,012,974 | | | | | | 7,012,974 | | | | | | — | | | | | | — | |
Communications | | | | | 6,393,723 | | | | | | 1,431,121 | | | | | | 4,962,602 | | | | | | — | |
Consumer Non-cyclical | | | | | 60,799,182 | | | | | | 60,799,182 | | | | | | — | | | | | | — | |
Diversified | | | | | 6,738,859 | | | | | | 6,738,859 | | | | | | — | | | | | | — | |
Financial | | | | | 40,565,897 | | | | | | 40,565,897 | | | | | | — | | | | | | — | |
Industrial | | | | | 24,023,116 | | | | | | 24,023,116 | | | | | | — | | | | | | — | |
Technology | | | | | 12,599,308 | | | | | | 12,599,308 | | | | | | — | | | | | | — | |
Closed-End Funds | | | | | 126,965,979 | | | | | | 124,018,121 | | | | | | — | | | | | | 2,947,858 | |
Preferred Stock | | | | | 5,169,291 | | | | | | 5,169,291 | | | | | | — | | | | | | — | |
Exchange Traded Funds (ETFs) | | | | | 2,318,061 | | | | | | 2,318,061 | | | | | | — | | | | | | — | |
Warrants | | | | | 379,029 | | | | | | 379,029 | | | | | | — | | | | | | — | |
Rights | | | | | 127,966 | | | | | | 121,421 | | | | | | 6,545 | | | | | | — | |
Purchased Options | | | | | 203,699 | | | | | | 163,845 | | | | | | 39,854 | | | | | | — | |
Short-Term Investments: | | | | | | |||||||||||||||||||
Time Deposits | | | | | 235,917,742 | | | | | | — | | | | | | 235,917,742 | | | | | | — | |
Money Market Fund | | | | | 18,686,651 | | | | | | 18,686,651 | | | | | | — | | | | | | — | |
Total Investments, at value | | | | $ | 1,082,367,077* | | | | | $ | 306,428,645 | | | | | $ | 772,838,674 | | | | | $ | 3,099,758* | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contract | | | | $ | 21,204 | | | | | $ | — | | | | | $ | 21,204 | | | | | $ | — | |
Total Other Financial Instruments – Assets | | | | $ | 21,204 | | | | | $ | — | | | | | $ | 21,204 | | | | | $ | — | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | |
Option Contracts Written | | | | $ | (8,472) | | | | | $ | — | | | | | $ | (8,472) | | | | | $ | — | |
Futures Contracts | | | | | (122,664) | | | | | | (122,664) | | | | | | — | | | | | | — | |
Securities Sold Short: | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | (6,130,512) | | | | | | — | | | | | | (6,130,512) | | | | | | — | |
Exchange Traded Funds (ETFs) | | | | | (40,305,359) | | | | | | (40,305,359) | | | | | | — | | | | | | — | |
Common Stocks | | | | | (5,286,138) | | | | | | (5,286,138) | | | | | | — | | | | | | — | |
Total Other Financial Instruments – Liabilities | | | | $ | (51,853,145) | | | | | $ | (45,714,161) | | | | | $ | (6,138,984) | | | | | $ | — | |
|
| | | Total | | | Closed-End Funds | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | ||||||||||||||||||
Destinations Large Cap Equity Fund | | | |||||||||||||||||||||||||||||||||||
Balance as of February 28, 2018 | | | | $ | 406,539 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 406,539 | | | | | $ | — | | |
Purchases | | | | | 1,584,623 | | | | | | — | | | | | | 1,584,623 | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2018 | | | | $ | 1,991,162 | | | | | $ | — | | | | | $ | 1,584,623 | | | | | $ | — | | | | | $ | 406,539 | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2018 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations International Equity Fund | | | | | | | | ||||||||||||||||||||||||||||||
Balance as of February 28, 2018 | | | | $ | —* | | | | | $ | — | | | | | $ | —* | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | —* | | | | | | — | | | | | | —* | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2018 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2018 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Real Assets Fund | | | | | | | | ||||||||||||||||||||||||||||||
Balance as of February 28, 2018 | | | | $ | 168,232 | | | | | $ | — | | | | | $ | 168,232 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | (201,123) | | | | | | — | | | | | | (201,123) | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | 32,891 | | | | | | — | | | | | | 32,891 | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2018 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2018 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
| | | Total | | | Closed-End Funds | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | ||||||||||||||||||
Destinations Low Duration Fixed Income Fund | | | | | | | | ||||||||||||||||||||||||||||||
Balance as of February 28, 2018 | | | | $ | 2,766,482 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,766,482 | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 395,660 | | | | | | — | | | | | | 395,660 | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | (347,981) | | | | | | — | | | | | | — | | | | | | (347,981) | | | | | | — | | | | | | — | | |
Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | (25,362) | | | | | | — | | | | | | — | | | | | | (25,362) | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | 11,711 | | | | | | — | | | | | | (41) | | | | | | 11,752 | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | (2,404,891) | | | | | | — | | | | | | — | | | | | | (2,404,891) | | | | | | — | | | | | | — | | |
Balance as of August 31, 2018 | | | | $ | 395,619 | | | | | $ | — | | | | | $ | 395,619 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2018 | | | | $ | (41) | | | | | $ | — | | | | | $ | (41) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Global Fixed Income Opportunities Fund | | | | | | | | ||||||||||||||||||||||||||||||
Balance as of February 28, 2018 | | | | $ | 5,058,416 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,293,023 | | | | | $ | — | | | | | $ | 1,765,393 | | |
Purchases | | | | | 5,895,187 | | | | | | — | | | | | | 4,728,209 | | | | | | — | | | | | | — | | | | | | 1,166,978 | | |
(Sales/Paydowns) | | | | | (2,691,807) | | | | | | — | | | | | | — | | | | | | (1,048,483) | | | | | | — | | | | | | (1,643,324) | | |
Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | (71,456) | | | | | | — | | | | | | — | | | | | | (71,547) | | | | | | — | | | | | | 91 | | |
Change in unrealized appreciation (depreciation) | | | | | (756,934) | | | | | | — | | | | | | (679,874) | | | | | | 35,257 | | | | | | — | | | | | | (112,317) | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | (2,208,250) | | | | | | — | | | | | | — | | | | | | (2,208,250) | | | | | | — | | | | | | — | | |
Balance as of August 31, 2018 | | | | $ | 5,225,156 | | | | | $ | — | | | | | $ | 4,048,335 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,176,821 | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2018 | | | | $ | (679,874) | | | | | $ | — | | | | | $ | (679,874) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | | | | ||||||||||||||||||||||||||||||
Balance as of February 28, 2018 | | | | $ | 197,907* | | | | | $ | — | | | | | $ | —* | | | | | $ | 8,032 | | | | | $ | — | | | | | $ | 189,875* | | |
Purchases | | | | | 2,032,599* | | | | | | 2,032,203 | | | | | | — | | | | | | — | | | | | | — | | | | | | 396 | | |
(Sales/Paydowns) | | | | | (1,703)* | | | | | | — | | | | | | —* | | | | | | (80) | | | | | | — | | | | | | (1,623)* | | |
Total realized gain (loss) | | | | | (160,567) | | | | | | — | | | | | | — | | | | | | (160,567) | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | 304,250 | | | | | | 188,383 | | | | | | — | | | | | | 152,615 | | | | | | — | | | | | | (36,748) | | |
Transfers In | | | | | 727,272* | | | | | | 727,272 | | | | | | — | | | | | | —* | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2018 | | | | $ | 3,099,758* | | | | | $ | 2,947,858 | | | | | $ | — | | | | | $ | —* | | | | | $ | — | | | | | $ | 151,900* | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2018 | | | | $ | 150,408 | | | | | $ | 188,383 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (37,975) | | |
Location | | | Interest Rate Risk | | | Foreign Exchange Risk | | | Credit Risk | | | Equity Risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts(a) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 425,531 | | | | | $ | 425,531 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 425,531 | | | | | $ | 425,531 | | |
|
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 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 437,121 | | | | | $ | 437,121 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 437,121 | | | | | $ | 437,121 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 287,852 | | | | | $ | 287,852 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 287,852 | | | | | $ | 287,852 | | |
|
Location | | | Interest Rate Risk | | | Foreign Exchange Risk | | | Credit Risk | | | Equity Risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency contracts(d) | | | | $ | — | | | | | $ | 76,947 | | | | | $ | — | | | | | $ | — | | | | | $ | 76,947 | | |
| | | | $ | — | | | | | $ | 76,947 | | | | | $ | — | | | | | $ | — | | | | | $ | 76,947 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency contracts(e) | | | | $ | — | | | | | $ | 24,764 | | | | | $ | — | | | | | $ | — | | | | | $ | 24,764 | | |
| | | | $ | — | | | | | $ | 24,764 | | | | | $ | — | | | | | $ | — | | | | | $ | 24,764 | | |
|
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 | | | | $ | — | | | | | $ | 714,307 | | | | | $ | — | | | | | $ | — | | | | | $ | 714,307 | | |
| | | | $ | — | | | | | $ | 714,307 | | | | | $ | — | | | | | $ | — | | | | | $ | 714,307 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | $ | — | | | | | $ | 117,138 | | | | | $ | — | | | | | $ | — | | | | | $ | 117,138 | | |
| | | | $ | — | | | | | $ | 117,138 | | | | | $ | — | | | | | $ | — | | | | | $ | 117,138 | | |
|
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 | | | | $ | — | | | | | $ | (27,748) | | | | | $ | — | | | | | $ | — | | | | | $ | (27,748) | | |
| | | | $ | — | | | | | $ | (27,748) | | | | | $ | — | | | | | $ | — | | | | | $ | (27,748) | | |
|
Location | | | Interest Rate Risk | | | Foreign Exchange Risk | | | Credit Risk | | | Equity Risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency contracts(d) | | | | $ | — | | | | | $ | 50,109 | | | | | $ | — | | | | | $ | — | | | | | $ | 50,109 | | |
| | | | $ | — | | | | | $ | 50,109 | | | | | $ | — | | | | | $ | — | | | | | $ | 50,109 | | |
|
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 | | | | $ | — | | | | | $ | 344,500 | | | | | $ | — | | | | | $ | — | | | | | $ | 344,500 | | |
| | | | $ | — | | | | | $ | 344,500 | | | | | $ | — | | | | | $ | — | | | | | $ | 344,500 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | ||||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | $ | — | | | | | $ | 50,109 | | | | | $ | — | | | | | $ | — | | | | | $ | 50,109 | | |
| | | | $ | — | | | | | $ | 50,109 | | | | | $ | — | | | | | $ | — | | | | | $ | 50,109 | | |
|
Location | | | Interest Rate Risk | | | Foreign Exchange Risk | | | Credit Risk | | | Equity Risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency contracts(d) | | | | $ | — | | | | | $ | 46,935 | | | | | $ | — | | | | | $ | — | | | | | $ | 46,935 | | |
| | | | $ | — | | | | | $ | 46,935 | | | | | $ | — | | | | | $ | — | | | | | $ | 46,935 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency contracts(e) | | | | $ | — | | | | | $ | 678 | | | | | $ | — | | | | | $ | — | | | | | $ | 678 | | |
| | | | $ | — | | | | | $ | 678 | | | | | $ | — | | | | | $ | — | | | | | $ | 678 | | |
|
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 | | | | $ | — | | | | | $ | 144,655 | | | | | $ | — | | | | | $ | — | | | | | $ | 144,655 | | |
| | | | $ | — | | | | | $ | 144,655 | | | | | $ | — | | | | | $ | — | | | | | $ | 144,655 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | $ | — | | | | | $ | 46,257 | | | | | $ | — | | | | | $ | — | | | | | $ | 46,257 | | |
| | | | $ | — | | | | | $ | 46,257 | | | | | $ | — | | | | | $ | — | | | | | $ | 46,257 | | |
|
Location | | | Interest Rate Risk | | | Foreign Exchange Risk | | | Credit Risk | | | Equity Risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchased options(d) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 203,699 | | | | | $ | 203,699 | | |
Unrealized appreciation on forward foreign currency contracts(d) | | | | | — | | | | | | 21,204 | | | | | | — | | | | | | — | | | | | | 21,204 | | |
| | | | $ | — | | | | | $ | 21,204 | | | | | $ | — | | | | | $ | 203,699 | | | | | $ | 224,903 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding(e) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 8,472 | | | | | $ | 8,472 | | |
Unrealized depreciation on open futures contracts(a) | | | | | 122,664 | | | | | | — | | | | | | — | | | | | | — | | | | | | 122,664 | | |
| | | | $ | 122,664 | | | | | $ | — | | | | | $ | — | | | | | $ | 8,472 | | | | | $ | 131,136 | | |
|
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 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 136,654 | | | | | $ | 136,654 | | |
Net realized gain (loss) on options contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | 75,406 | | | | | | 75,406 | | |
Net realized gain (loss) on futures contracts | | | | | 148,201 | | | | | | — | | | | | | — | | | | | | — | | | | | | 148,201 | | |
Net realized gain (loss) on forward foreign currency contracts | | | | | — | | | | | | 532,754 | | | | | | — | | | | | | — | | | | | | 532,754 | | |
Net realized gain (loss) on swap contracts | | | | | — | | | | | | 288,581 | | | | | | (583,729) | | | | | | 580,903 | | | | | | 285,755 | | |
| | | | $ | 148,201 | | | | | $ | 821,335 | | | | | $ | (583,729) | | | | | $ | 792,963 | | | | | $ | 1,178,770 | | |
|
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 options | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (807,177) | | | | | $ | (807,177) | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | 1,687,218 | | | | | | 1,687,218 | | |
Net change in unrealized appreciation (depreciation) on futures contracts | | | | | (239,968) | | | | | | — | | | | | | — | | | | | | — | | | | | | (239,968) | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | | — | | | | | | (127,596) | | | | | | — | | | | | | — | | | | | | (127,596) | | |
Net change in unrealized appreciation (depreciation) on swap contracts | | | | | — | | | | | | (124,537) | | | | | | 27,872 | | | | | | (64,614) | | | | | | (161,279) | | |
| | | | $ | (239,968) | | | | | $ | (252,133) | | | | | $ | 27,872 | | | | | $ | 815,427 | | | | | $ | 351,198 | | |
|
| | | Interest Rate Risk | | | Foreign Exchange Risk | | | Credit Risk | | | Equity Risk | | | Total | ||||||||||||||
Futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 11,317,296 | | | | | $ | 11,317,296 |
| | | Interest Rate Risk | | | Foreign Exchange Risk | | | Credit Risk | | | Equity Risk | | | Total | ||||||||||||||
Forward foreign currency contracts | | | | $ | — | | | | | $ | 15,030,070 | | | | | $ | — | | | | | $ | — | | | | | $ | 15,030,070 |
| | | Interest Rate Risk | | | Foreign Exchange Risk | | | Credit Risk | | | Equity Risk | | | Total | | |||||||||||||||
Forward foreign currency contracts | | | | $ | — | | | | | $ | 4,205,844 | | | | | $ | — | | | | | $ | — | | | | | $ | 4,205,844 | | |
| | | Interest Rate Risk | | | Foreign Exchange Risk | | | Credit Risk | | | Equity Risk | | | Total | | |||||||||||||||
Forward foreign currency contracts | | | | $ | — | | | | | $ | 2,543,560 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,543,560 | | |
| | | Interest Rate Risk | | | Foreign Exchange Risk | | | Credit Risk | | | Equity Risk | | | Total | | |||||||||||||||
Purchased options | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 368,058 | | | | | $ | 368,058 | | |
Option contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | 1,644,520 | | | | | | 1,644,520 | | |
Futures contracts | | | | | 79,841,545 | | | | | | — | | | | | | — | | | | | | — | | | | | | 79,841,545 | | |
Forward foreign currency contracts | | | | | — | | | | | | 11,323,747 | | | | | | — | | | | | | — | | | | | | 11,323,747 | | |
Swap contracts | | | | | 5,535,192 | | | | | | — | | | | | | 2,546,000 | | | | | | 35,986,310 | | | | | | 44,067,502 | | |
Gross Amounts Not Offset in the Statements of Assets and Liabilities | | ||||||||||||||||||||||||
| | | Gross Asset Amount Presented in Statements of Assets and Liabilities(a) | | | Financial Instrument | | | Collateral Received(b)(c) | | | Net Amount (Not Less than $0) | | ||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 9,936,044 | | | | | | — | | | | | $ | (9,936,044) | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | | 24,153,258 | | | | | | — | | | | | | (24,153,258) | | | | | | — | | |
Destinations International Equity Fund | | | | | 12,626,972 | | | | | | — | | | | | | (12,626,972) | | | | | | — | | |
Destinations Equity Income Fund | | | | | 555,150 | | | | | | — | | | | | | (555,150) | | | | | | — | | |
Destinations Real Assets Fund | | | | | 14,859,304 | | | | | | — | | | | | | (14,859,304) | | | | | | — | | |
Destinations Core Fixed Income Fund | | | | | 888,349 | | | | | | — | | | | | | (888,349) | | | | | | — | | |
Destinations Low Duration Fixed Income Fund | | | | | 363,266 | | | | | | — | | | | | | (363,266) | | | | | | — | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 3,189,640 | | | | | | — | | | | | | (3,189,640) | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 18,273,304 | | | | | | — | | | | | | (18,273,304) | | | | | | — | | |
| | | Remaining Contractual Maturity of the Agreements As of August 31, 2018 | | |||||||||||||||||||||||||||
| | | Overnight and Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | | |||||||||||||||
Destinations Large Cap Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | ||||||||||||||||||||||||||||||
Common Stocks | | | | $ | 10,135,978 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 10,135,978 | | |
Total Borrowings | | | | $ | 10,135,978 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 10,135,978 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 10,135,978 | | |
Destinations Small-Mid Cap Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | |||||||||||||||||||||||||
Common Stocks | | | | $ | 24,666,710 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 24,666,710 | | |
Exchange Traded Funds (ETFs) | | | | | 39,032 | | | | | | — | | | | | | — | | | | | | — | | | | | | 39,032 | | |
Total Borrowings | | | | $ | 24,705,742 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 24,705,742 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 24,705,742 | | |
Destinations International Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | ||||||||||||||||||||||||||||||
Common Stocks | | | | $ | 13,246,061 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 13,246,061 | | |
Total Borrowings | | | | $ | 13,246,061 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 13,246,061 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 13,246,061 | | |
Destinations Equity Income Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | |||||||||||||||||||||||||
Exchange Traded Funds (ETFs) | | | | $ | 569,260 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 569,260 | | |
Total Borrowings | | | | $ | 569,260 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 569,260 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 569,260 | | |
Destinations Real Assets Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | |||||||||||||||||||||||||
Common Stocks | | | | $ | 15,617,756 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 15,617,756 | | |
Exchange Traded Funds (ETFs) | | | | | 5,200 | | | | | | — | | | | | | — | | | | | | — | | | | | | 5,200 | | |
Total Borrowings | | | | $ | 15,622,956 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 15,622,956 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 15,622,956 | | |
Destinations Core Fixed Income Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | |||||||||||||||||||||||||
Corporate Securities | | | | $ | 906,892 | | | | | | — | | | | | | — | | | | | | — | | | | | $ | 906,892 | | |
Total Borrowings | | | | $ | 906,892 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 906,892 | | |
|
| | | Remaining Contractual Maturity of the Agreements As of August 31, 2018 | | |||||||||||||||||||||||||||
| | | Overnight and Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | | |||||||||||||||
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 906,892 | | |
Destinations Low Duration Fixed Income Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | |||||||||||||||||||||||||
Exchange Traded Funds (ETFs) | | | | $ | 370,740 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 370,740 | | |
Total Borrowings | | | | $ | 370,740 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 370,740 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 370,740 | | |
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | |||||||||||||||||||||||||
Corporate Securities | | | | $ | 3,134,315 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 3,134,315 | | |
Preferred Stocks | | | | | 198,900 | | | | | | — | | | | | | — | | | | | | — | | | | | | 198,900 | | |
Total Borrowings | | | | $ | 3,333,215 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 3,333,215 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 3,333,215 | | |
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | |||||||||||||||||||||||||
Corporate Securities | | | | $ | 11,228,406 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 11,228,406 | | |
Common Stocks | | | | | 7,800 | | | | | | — | | | | | | — | | | | | | — | | | | | | 7,800 | | |
Preferred Stocks | | | | | 7,450,445 | | | | | | — | | | | | | — | | | | | | — | | | | | | 7,450,445 | | |
Total Borrowings | | | | $ | 18,686,651 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 18,686,651 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | $ | — | | | | | $ | — | | | | | $ | 18,686,651 | | |
|
| | | Principal | | | Unfunded Bank Loan Interest (Cost) | | | Value of Underlying Bank Loan Interest (Value) | | | Unrealized Appreciation/ (Depreciation) | | ||||||||||||
Destinations Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Access CIG LLC | | | | $ | 26,036 | | | | | $ | 26,153 | | | | | $ | 26,118 | | | | | $ | (35) | | |
Dentalcorp of Canada ULC | | | | | 43,430 | | | | | | 43,581 | | | | | | 43,575 | | | | | | (6) | | |
Mavis Tire Express Services Corp. | | | | | 81,494 | | | | | | 81,494 | | | | | | 80,679 | | | | | | (815) | | |
| | | | $ | 150,960 | | | | | $ | 151,228 | | | | | $ | 150,372 | | | | | $ | (856) | | |
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
YI LLC | | | | $ | 560,279 | | | | | $ | 559,177 | | | | | $ | 558,878 | | | | | $ | (299) | | |
|
| | | 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: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | 76,947 | | | | | $ | 24,764 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 76,947 | | | | | $ | 24,764 | | |
Destinations Low Duration Fixed Income Fund: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | 50,109 | | | | | $ | — | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 50,109 | | | | | $ | — | | |
Destinations Global Fixed Income Opportunities Fund: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | 46,935 | | | | | $ | 678 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 46,935 | | | | | $ | 678 | | |
|
| | | 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 Multi Strategy Alternatives Fund: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | 21,204 | | | | | $ | — | | |
Options contracts | | | | | 39,854 | | | | | | 8,472 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 61,058 | | | | | $ | 8,472 | | |
|
Counterparty | | | Gross amounts of Recognized Assets 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 | | | | | | | | | | | | | | | | | | | | | | | | | |
Citigroup Global Markets Inc. | | | | $ | 10,987 | | | | | $ | — | | | | | $ | — | | | | | $ | 10,987 | | |
State Street Bank and Trust Co. | | | | | 65,960 | | | | | | — | | | | | | — | | | | | | 65,960 | | |
Total Over-the-counter derivative instruments | | | | $ | 76,947 | | | | | $ | — | | | | | $ | — | | | | | $ | 76,947 | | |
|
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 International Equity Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
UBS AG. | | | | $ | 24,764 | | | | | $ | — | | | | | $ | — | | | | | $ | 24,764 | | |
Total Over-the-counter derivative instruments | | | | $ | 24,764 | | | | | $ | — | | | | | $ | — | | | | | $ | 24,764 | | |
|
Counterparty | | | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(a) | | | Other Cash Collateral(e) | | | Net Amount(b) | | ||||||||||||
Destinations Low Duration Fixed Income Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 50,109 | | | | | $ | — | | | | | $ | — | | | | | $ | 50,109 | | |
Total Over-the-counter derivative instruments | | | | $ | 50,109 | | | | | $ | — | | | | | $ | — | | | | | $ | 50,109 | | |
|
Counterparty | | | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(a) | | | Other Cash Collateral(e) | | | Net Amount(b) | | ||||||||||||
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 46,935 | | | | | $ | (678) | | | | | $ | — | | | | | $ | 46,257 | | |
Total Over-the-counter derivative instruments | | | | $ | 46,935 | | | | | $ | (678) | | | | | $ | — | | | | | $ | 46,257 | | |
|
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. | | | | $ | 678 | | | | | $ | (678) | | | | | $ | — | | | | | $ | — | | |
Total Over-the-counter derivative instruments | | | | $ | 678 | | | | | $ | (678) | | | | | $ | — | | | | | $ | — | | |
|
Counterparty | | | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(a) | | | Other Cash Collateral(e) | | | Net Amount(b) | | ||||||||||||
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America | | | | $ | 39,854 | | | | | $ | (8,472) | | | | | $ | — | | | | | $ | 31,382 | | |
Goldman Sachs & Co. | | | | | 21,204 | | | | | | — | | | | | | — | | | | | | 21,204 | | |
Total Over-the-counter derivative instruments | | | | $ | 61,058 | | | | | $ | (8,472) | | | | | $ | — | | | | | $ | 52,586 | | |
|
Counterparty | | | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(c) | | | Collateral Received(e) | | | Net Amount(d) | | ||||||||||||
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America | | | | $ | 8,472 | | | | | $ | (8,472) | | | | | $ | — | | | | | $ | — | | |
Total Over-the-counter derivative instruments | | | | $ | 8,472 | | | | | $ | (8,472) | | | | | $ | — | | | | | $ | — | | |
|
Fund | | | Subadvisory Fee | | | Brinker Capital Inc. Fee | | | Maximum Allowable Annual Management Fee | | |||||||||
Destinations Large Cap Equity Fund | | | | | 0.24% | | | | | | 0.39% | | | | | | 0.75% | | |
Destinations Small-Mid Cap Equity Fund | | | | | 0.41% | | | | | | 0.39% | | | | | | 0.90% | | |
Destinations International Equity Fund | | | | | 0.50% | | | | | | 0.39% | | | | | | 1.00% | | |
Destinations Equity Income Fund | | | | | 0.25% | | | | | | 0.39% | | | | | | 0.80% | | |
Destinations Real Assets Fund | | | | | 0.57% | | | | | | 0.39% | | | | | | 1.00% | | |
Destinations Core Fixed Income Fund | | | | | 0.18% | | | | | | 0.39% | | | | | | 0.65% | | |
Destinations Low Duration Fixed Income Fund | | | | | 0.26% | | | | | | 0.39% | | | | | | 0.70% | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 0.35% | | | | | | 0.39% | | | | | | 0.85% | | |
Destinations Municipal Fixed Income Fund | | | | | 0.17% | | | | | | 0.39% | | | | | | 0.70% | | |
Destinations Multi Strategy Alternatives Fund | | | | | 0.49% | | | | | | 0.39% | | | | | | 1.35% | | |
Fund | | | |||||
Destinations Large Cap Equity Fund | | | | $ | 1,752,934 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 375,018 | | |
Destinations International Equity Fund | | | | | 749,040 | | |
Destinations Equity Income Fund | | | | | 261,756 | | |
Destinations Real Assets Fund | | | | | 55,394 | | |
Destinations Core Fixed Income Fund | | | | | 631,868 | | |
Destinations Low Duration Fixed Income Fund | | | | | 42,772 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 355,845 | | |
Destinations Municipal Fixed Income Fund | | | | | 266,944 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 2,315,925 | | |
| | | Sub-Transfer Agent Fees | | |||||||||
| | | Class I | | | Class Z | | ||||||
Destinations Large Cap Equity Fund | | | | $ | 2,168,103 | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | $ | 567,366 | | | | | $ | — | | |
Destinations International Equity Fund | | | | $ | 1,045,026 | | | | | $ | — | | |
Destinations Equity Income Fund | | | | $ | 236,848 | | | | | $ | — | | |
Destinations Real Assets Fund | | | | $ | 200,244 | | | | | $ | — | | |
Destinations Core Fixed Income Fund | | | | $ | 1,150,443 | | | | | $ | — | | |
Destinations Low Duration Fixed Income Fund | | | | $ | 139,522 | | | | | $ | — | | |
Destinations Global Fixed Income Opportunities Fund | | | | $ | 476,218 | | | | | $ | — | | |
Destinations Municipal Fixed Income Fund | | | | $ | 285,178 | | | | | $ | — | | |
Destinations Multi Strategy Alternatives Fund | | | | $ | 728,906 | | | | | $ | — | | |
Fund | | | Investments | | | U.S. Government & Agency Obligations | | ||||||||||||||||||
| Purchases | | | Sales | | | Purchases | | | Sales | | ||||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 424,428,956 | | | | | $ | 298,793,553 | | | | | $ | — | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | | 294,421,876 | | | | | | 282,098,804 | | | | | | — | | | | | | — | | |
Destinations International Equity Fund | | | | | 223,796,789 | | | | | | 225,397,442 | | | | | | — | | | | | | — | | |
Destinations Equity Income Fund | | | | | 166,486,317 | | | | | | 172,887,566 | | | | | | — | | | | | | — | | |
Destinations Real Assets Fund | | | | | 148,302,782 | | | | | | 107,855,283 | | | | | | — | | | | | | — | | |
Destinations Core Fixed Income Fund | | | | | 242,373,748 | | | | | | 158,762,186 | | | | | | 576,310,849 | | | | | | 519,063,005 | | |
Destinations Low Duration Fixed Income Fund | | | | | 100,895,259 | | | | | | 29,811,795 | | | | | | 1,855,336 | | | | | | 713,971 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 243,027,598 | | | | | | 130,880,821 | | | | | | 135,000 | | | | | | — | | |
Destinations Municipal Fixed Income Fund | | | | | 618,409,065 | | | | | | 266,121,864 | | | | | | — | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 500,854,340 | | | | | | 501,324,472 | | | | | | — | | | | | | — | | |
Fund | | | Aggregate Cost For Federal Income Tax Purposes | | | Gross Unrealized Appreciation | | | Gross Unrealized (Depreciation) | | | Net Unrealized Appreciation (Depreciation) | | ||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 2,586,461,722 | | | | | $ | 607,600,134 | | | | | $ | (83,595,101) | | | | | $ | 524,005,033 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 725,269,326 | | | | | | 140,457,794 | | | | | | (10,321,681) | | | | | | 130,136,113 | | |
Destinations International Equity Fund | | | | | 1,261,230,672 | | | | | | 199,439,588 | | | | | | (63,643,930) | | | | | | 135,795,658 | | |
Destinations Equity Income Fund | | | | | 313,682,064 | | | | | | 19,263,607 | | | | | | (12,334,943) | | | | | | 6,928,664 | | |
Destinations Real Assets Fund | | | | | 358,632,672 | | | | | | 15,794,706 | | | | | | (40,608,876) | | | | | | (24,814,170) | | |
Destinations Core Fixed Income Fund | | | | | 1,666,714,404 | | | | | | 4,718,698 | | | | | | (33,123,454) | | | | | | (28,404,756) | | |
Destinations Low Duration Fixed Income Fund | | | | | 213,659,008 | | | | | | 369,664 | | | | | | (2,405,847) | | | | | | (2,036,183) | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 743,495,550 | | | | | | 1,584,969 | | | | | | (10,990,339) | | | | | | (9,405,370) | | |
Destinations Municipal Fixed Income Fund | | | | | 848,499,022 | | | | | | 410,341 | | | | | | (3,324,154) | | | | | | (2,913,813) | | |
Destinations Multi Strategy Alternatives Fund | | | | | 1,073,334,898 | | | | | | 38,537,926 | | | | | | (29,465,824) | | | | | | 9,072,102 | | |
| | | Period ended August 31, 2018 | | | Period ended August 31, 2018* | | | Period ended February 28, 2018** | | |||||||||
| | | Class I | | | Class Z | | | Class I | | |||||||||
Destinations Large Cap Equity Fund | | | | | |||||||||||||||
Shares sold | | | | | 270,845,134 | | | | | | 20 | | | | | | 287,473,592 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | 1,649,228 | | |
Shares repurchased | | | | | (261,389,295) | | | | | | — | | | | | | (49,722,622) | | |
Net Increase | | | | | 9,455,839 | | | | | | 20 | | | | | | 239,400,198 | | |
Destinations Small-Mid Cap Equity Fund | | | | | |||||||||||||||
Shares sold | | | | | 70,655,057 | | | | | | 20 | | | | | | 75,742,390 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | 515,514 | | |
Shares repurchased | | | | | (69,206,081) | | | | | | — | | | | | | (12,450,205) | | |
Net Increase | | | | | 1,448,976 | | | | | | 20 | | | | | | 63,807,699 | | |
Destinations International Equity Fund | | | | | |||||||||||||||
Shares sold | | | | | 131,408,371 | | | | | | 20 | | | | | | 133,664,043 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | 808,593 | | |
Shares repurchased | | | | | (130,992,693) | | | | | | — | | | | | | (13,681,974) | | |
Net Increase | | | | | 415,678 | | | | | | 20 | | | | | | 120,790,662 | | |
Destinations Equity Income Fund | | | | | |||||||||||||||
Shares sold | | | | | 33,538,725 | | | | | | 20 | | | | | | 40,405,705 | | |
Shares issued on reinvestment | | | | | 424,054 | | | | | | — | | | | | | 871,531 | | |
Shares repurchased | | | | | (34,945,709) | | | | | | — | | | | | | (9,715,757) | | |
Net Increase (Decrease) | | | | | (982,930) | | | | | | 20 | | | | | | 31,561,479 | | |
|
| | | Period ended August 31, 2018 | | | Period ended August 31, 2018* | | | Period ended February 28, 2018** | | |||||||||
| | | Class I | | | Class Z | | | Class I | | |||||||||
Destinations Real Assets Fund | | | | | |||||||||||||||
Shares sold | | | | | 38,300,218 | | | | | | 20 | | | | | | 26,710,372 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | 587,864 | | |
Shares repurchased | | | | | (28,598,228) | | | | | | — | | | | | | (2,404,971) | | |
Net Increase | | | | | 9,701,990 | | | | | | 20 | | | | | | 24,893,265 | | |
Destinations Core Fixed Income Fund | | | | | |||||||||||||||
Shares sold | | | | | 178,823,172 | | | | | | 20 | | | | | | 170,214,773 | | |
Shares issued on reinvestment | | | | | 2,053,363 | | | | | | — | | | | | | 2,882,755 | | |
Shares repurchased | | | | | (165,832,421) | | | | | | — | | | | | | (20,562,920) | | |
Net Increase | | | | | 15,044,114 | | | | | | 20 | | | | | | 152,534,608 | | |
Destinations Low Duration Fixed Income Fund | | | | | |||||||||||||||
Shares sold | | | | | 22,847,517 | | | | | | 20 | | | | | | 20,631,298 | | |
Shares issued on reinvestment | | | | | 342,537 | | | | | | — | | | | | | 407,204 | | |
Shares repurchased | | | | | (19,962,336) | | | | | | — | | | | | | (3,006,453) | | |
Net Increase | | | | | 3,227,718 | | | | | | 20 | | | | | | 18,032,049 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | |||||||||||||||
Shares sold | | | | | 79,322,342 | | | | | | 20 | | | | | | 65,732,883 | | |
Shares issued on reinvestment | | | | | 1,193,204 | | | | | | — | | | | | | 1,756,026 | | |
Shares repurchased | | | | | (66,331,364) | | | | | | — | | | | | | (7,289,447) | | |
Net Increase | | | | | 14,184,182 | | | | | | 20 | | | | | | 60,199,462 | | |
Destinations Municipal Fixed Income Fund | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 87,315,691 | | | | | | 20 | | | | | | 25,843,707 | | |
Shares issued on reinvestment | | | | | 230,080 | | | | | | — | | | | | | 117,490 | | |
Shares repurchased | | | | | (28,378,754) | | | | | | — | | | | | | (2,828,194) | | |
Net Increase | | | | | 59,167,017 | | | | | | 20 | | | | | | 23,133,003 | | |
Destinations Multi Strategy Alternatives Fund | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 118,075,918 | | | | | | 20 | | | | | | 112,492,168 | | |
Shares issued on reinvestment | | | | | 983,218 | | | | | | — | | | | | | 1,912,479 | | |
Shares repurchased | | | | | (97,333,403) | | | | | | — | | | | | | (25,231,900) | | |
Net Increase | | | | | 21,725,733 | | | | | | 20 | | | | | | 89,172,747 | | |
|
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* | | |||||||||||||||
Ellyn L. Brown Brown Associates 11055 Greenspring Ave, Annex A Lutherville, MD 21093 Birth Year: 1950 | | | Chairman of the Board of Trustees** | | | Chair as of April 1, 2018; Trustee Since 2017 | | | Retired Attorney since 2006. Former Principal of Brown and Associates from 1996 to 2006. | | | 10 | | | CNO Financial, Inc. since 2012, Walter Investment Management Corp. from 2013 to 2017, NYSE Regulation, Inc. from 2010 to 2014. NYSE Euronext and predecessor entities from 2006 to 2013, Financial Industry Regulatory Authority, Inc. (FINRA) from 2007 to 2012, Financial Accounting Foundation, Inc. from 2007 to 2012 | |
J. Scott Coleman, CFA 7 Forest Road Wayne, PA 19087 Birth Year: 1960 | | | Trustee | | | Since 2017 | | | Retired since 2015. President and CEO of Optimum Fund Trust from 2011 to 2015. President of Delaware Distributors from 2008 to 2015. Executive Vice President, Head of Distribution and Marketing, Delaware Investments 2008 to 2015. In addition, Head of Macquarie Investment Management EMEA Distribution from 2012 to 2015. Managing Director at Goldman Sachs & Co. from 2001 to 2008. | | | 10 | | | Optimum Fund Trust from 2011 to 2015. | |
Nicholas Marsini, Jr. 120 St. Moritz Drive Wilmington, DE 19807 Birth Year: 1955 | | | Trustee, Chair of Audit Committee | | | Since 2017 | | | Retired since 2016. Regional President of PNC Bank, Delaware from 2011to 2016. Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from 1997 to 2010. | | | 10 | | | FundVantage Trust. | |
Name, Address and Date of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served* | | | Principal Occupation(s) During Past Five Years | | | Number of Funds in Fund Complex Overseen by Trustee | | | Other Board Memberships Held During Past Five Years by Trustee | |
Gregory E. McGowan Franklin Templeton 300 SE 2nd Street Fort Lauderdale, FL 33301 Birth Year: 1949 | | | Trustee | | | Since 2017 | | | Senior Strategic Advisor, Franklin Templeton Investments since 2016. Executive Vice President, Director and General Counsel of Templeton International, Inc. from 1992 to 2016. Executive Vice President, Secretary and General Counsel of Templeton Global Advisors Limited (a Bahamian corporation) from 1992 to 2016. | | | 10 | | | Global Capital PLC (Malta Public Company), Palladium PLC (Malta Public Company), Franklin Templeton Sealand Fund Management Co. Ltd., China Life Franklin Asset Management Company Limited, Templeton Investment Counsel LLC, Franklin Templeton Trustee Services Private Limited (India), Franklin Templeton International Services S.A. (Luxembourg), Franklin Templeton Investments (Asia) Limited, Franklin Templeton Investments Japan Ltd., Templeton Asset Management Ltd. (Singapore), Franklin Templeton Holding Limited (Mauritius), Franklin Templeton Investment Services Mexico, S. de R. L. | |
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 | |
INTERESTED TRUSTEES* | | | | | ||||||||||||
Joseph V. Del Raso** Pepper Hamilton LLP 3000 Two Logan Square, 18th & Arch Streets Philadelphia, PA 19103-2799 Birth Year: 1952 | | | Trustee | | | Since 2017 (Chair of the Board until April 1, 2018). | | | Partner at Pepper Hamilton LLP (law firm) since 1998. | | | 10 | | | Global Capital PLC (Malta Public Company), Palladium PLC (Malta Public Company) | |
Noreen D. Beaman*** Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1964 | | | Trustee and Chief Executive Officer | | | Since 2018 | | | Chief Executive Officer of Brinker Capital, Inc. since 2012. | | | 10 | | | PIMCO RIA Advisory Board, MMI Board of Governors, MMI Leadership Pathway, Envestnet Institute Women In Wealth; St. Peter’s University Board of Trustees (2014 to 2017) | |
Name, Address and Date of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past Five Years | |
OFFICERS* | | | | | ||||||
Philip Green, Jr. Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1970 | | | Chief Financial Officer & Treasurer | | | Since January 2017 | | | Chief Financial Officer, Brinker Capital Holdings Inc., Brinker Capital Inc. and Brinker Capital Securities since 2000. | |
Brian Ferko Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1971 | | | Chief Compliance Officer & Anti-Money Laundering Officer | | | Since January 2017 | | | Chief Compliance Officer of Brinker Capital, Inc. since 2015; Chief Compliance Officer of Brinker Capital, Inc. contracted through Cipperman Compliance Services from 2010 to 2015; Chief Operating Officer of CCS from 2012 to 2015. | |
Jason B. Moore Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1972 | | | President | | | Since January 2017 | | | Chief Administrative Officer, Brinker Capital, Inc. since 2016; Managing Director, Morgan Stanley from 2012 to 2016. | |
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 | |
Donna Marley Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1955 | | | Chief Operating Officer | | | Since April 2017 | | | Senior Vice President of Funds, Brinker Capital, Inc. since 2017; Executive Director, Morgan Stanley (2009 – 2017) | |
Peter Townsend Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1977 | | | Secretary & Deputy Chief Compliance Officer | | | Since January 2017 | | | Deputy Funds Chief Compliance Officer at Brinker Capital, Inc. since 2017; Director of Compliance at Penn Capital Management Company, Inc. from 2015 to 2017; Director of Compliance at Cipperman Compliance Services from 2013 to 2015; Associate at J.P. Morgan Chase & Co. from 2008 to 2013. | |
Charles Widger Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1945 | | | Investment Officer | | | Since January 2017 | | | Executive Chairman of Brinker Capital, Inc. since 2012. | |
Jeffrey Raupp, CFA Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1969 | | | Chief Investment Officer | | | Since January 2017 | | | Chief Investment Officer of Brinker Capital, Inc. Since 2018; Director of Investments of Brinker Capital, Inc. since 2017; Senior Vice President of Brinker Capital, Inc. in 2016; Senior Investment Manager of Brinker Capital, Inc. from 2008 to 2016. | |
Amy Magnotta, CFA Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1978 | | | Investment Officer | | | Since January 2017 | | | Senior Vice President and Head of Discretionary Portfolios of Brinker Capital Inc. since 2017; Senior Investment Manager of Brinker Capital, Inc. from 2008 to 2017. | |
Leigh Lowman, CFA Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1982 | | | Investment Officer | | | Since January 2017 | | | Investment Manager, Brinker Capital, Inc. since 2017; Senior Investment Analyst, Brinker Capital, Inc. from 2015 to 2017; Outreach Analyst, The Investment Fund for Foundations from 2014 to 2015; Senior Associate, Mondrian Investment Partners from 2011 to 2014. | |
Christopher Hart Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1971 | | | Investment Officer | | | Since January 2017 | | | Senior Vice President and Head of Platform Manager Research at Brinker Capital, Inc. since 2017; Senior Vice President in 2016; Core Investment Manager at Brinker Capital, Inc. from 2014 to 2016; Investment Director at RS Investments 2013; Vice President/Investment Officer at Morgan Stanley Smith Barney from 2006 to 2013. | |
Timothy Holland, CFA Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1969 | | | Investment Officer | | | Since June 2017 | | | Senior Vice President and Global Investment Strategist of Brinker Capital, Inc. since 2017; Co-Head US Sub Advisory of Pictet Asset Management in 2016; Portfolio Manager and Partner of TAMRO Capital Partners from 2005 to 2016. | |
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
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. This item is only required in an annual report of Form N-CSR.
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 evaluation 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.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)) are attached hereto.
(a)(3) Not Applicable.
(a)(4) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Brinker Capital Destinations Trust | |
By: | /s/ Jason B. Moore |
Jason B. Moore | |
President | |
Date: | November 5, 2018 |
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/ Jason B. Moore |
Jason B. Moore | |
President | |
Date: | November 5, 2018 |
By: | /s/ Philip Green, Jr. |
Philip Green, Jr. | |
Chief Financial Officer and Treasurer | |
Date: | November 5, 2018 |