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 811-23235
Morningstar Funds Trust
(Exact name of registrant as specified in charter)
Morningstar Funds Trust
22 W. Washington Street
Chicago, IL 60602
(Address of principal executive offices) (Zip code)
D. Scott Schilling
Morningstar Funds Trust
22 W. Washington Street
Chicago, IL 60602
With a copy to:
Eric S. Purple
Stradley Ronon Stevens & Young, LLP
2000 K Street N.W., Suite 700
Washington, District of Columbia, 20006
(Name and address of agent for service)
Registrant’s telephone number, including area code: (312) 696-6000
Date of fiscal year end: April 30
Date of reporting period: April 30, 2021
Item 1. Reports to Stockholders.
| (a) | Report pursuant to Rule 30e-1 |
April 30, 2021
A N N U A L R E P O R T
| | | | | | |
| | Morningstar Funds Trust | | Morningstar U.S. Equity Fund Morningstar International Equity Fund Morningstar Global Income Fund Morningstar Total Return Bond Fund Morningstar Municipal Bond Fund Morningstar Defensive Bond Fund Morningstar Multisector Bond Fund Morningstar Unconstrained Allocation Fund Morningstar Alternatives Fund | | |
Morningstar Funds Trust April 30, 2021
Introduction
Morningstar Investment Management LLC launched an open-end management investment company consisting of nine separate portfolios (each a fund) that span the investment opportunity set1. Most of these Funds were designed to provide exposure to a broad asset class, such as U.S. equities, while our active management of each Fund’s asset allocation and active managers (known as “subadvisers”) will adjust exposures to subasset classes (such as small-cap value) based on our valuation views and those of the subadvisers.
Concept and Structure
We created the Morningstar Funds Trust using an open architecture, multimanager approach, hiring as active subadvisers both institutional managers and other managers whose mutual funds were previously used in Morningstar® Managed PortfoliosSM. Our analysts and portfolio managers continually use research, data, and analysis from Morningstar, Inc. and its affiliates to study the subadvisers and their investments closely and determine which fit best with our investment philosophy and the investment objectives of each Morningstar Fund2. We have selected managers we believed were independent, skilled investors in their respective asset classes.
Consistent with our investment approach, our asset allocation process for the Morningstar Funds is based on fundamentals and driven by valuations. We look for asset classes and sub-asset classes around the globe that, in our view, offer fundamental value relative to price. Allocations within each Fund are in line with what we believe to reflect the best risk-adjusted opportunities.
How to Read This Report
This report outlines the structure and performance of the assets comprised by the Morningstar Funds Trust from May 1, 2020 through April 30, 2021. Included are fund holdings, positioning and performance summaries, including relevant commentary and examples that may aid understanding of returns for the year.
The commentary, views, and opinions in this report were current as of April 30, 2021. Our views reflect performance results net of fees and expenses as of the end of the reporting year.
Statements made within this report are not guarantees of future performance or investment results and should not be taken as investment advice. Investment decisions reflect a variety of factors, and we reserve the right to change views about individual holdings, sectors, and markets at any time. As a result, the views expressed should not be relied upon as a forecast of the Morningstar Funds’ future investment intent.
1 All references to “we” or “our” in this report, including the funds’ performance summaries, refer to Morningstar Investment Management LLC.
2 Morningstar Funds Trust is an open-end management investment company registered under the Investment Company Act of 1940 (as amended). Use of the term “Morningstar Funds” hereafter refers to Morningstar Funds Trust, or its individual series, as applicable.
Morningstar Funds Trust April 30, 2021
Table of Contents
Morningstar Funds Trust April 30, 2021
Statement of Shareholder Rights
It is important to note that as a shareholder, you have certain rights and protections, chief among them an independent Board of Trustees (the “Trustees”), whose main role is to represent your interests.
The Trustees are responsible for the overall management of the Trust, including general supervision and review of the investment activities of each Fund. The Trustees, in turn, elect the officers of the Trust, who are responsible for administering the day-to-day operations of the Trust and each Fund. The “Independent Trustees” are Trustees who are not “interested persons” of the Trust, as that term is defined in the Investment Company Act of 1940 (e.g. not a Morningstar employee).
For more information about the Independent Trustees, please see the Fund Governance Matters section of this shareholder report.
You may contact the Trustees with comments or concerns about your investment in the Morningstar Funds:
By mail: Morningstar Funds Trust
c/o D. Scott Schilling, Chief Compliance Officer
22 West Washington Street
Chicago, IL 60602
By email: BoardofTrustees.MorningstarFundsTrust@morningstar.com
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Morningstar Funds Trust April 30, 2021
Fund Governance Matters
Who is representing you as a shareholder of a Morningstar Fund?
The Morningstar Funds’ Board of Trustees represents shareholder interests. The Morningstar Funds’ Board of Trustees is comprised of 5 trustees – 4 are “independent” trustees and 1 is an “interested” trustee as a result of being an employee of Morningstar. Additional information about the Board can be found in Morningstar Fund Trust’s Statement of Additional Information (SAI), available at https://connect.rightprospectus.com/ Morningstar. Information about the Trustees and the Board’s policies are available at https://www.morningstar.com/company/morningstar-funds-governance.
What is the diversity of the Board of Trustees?
The 4 Independent Trustees self-identify as follows:
| | · | | 2 as women, and 2 as men; and |
| | · | | 1 as Hispanic, and 4 as white |
The 1 Interested Trustee self-identifies as a white man.
In terms of leadership positions of the Board:
| | · | | Chair of the Board is a woman; |
| | · | | Chair of the Governance Committee is a Hispanic man; and |
| | · | | Chair of the Audit Committee is a white man. |
How are Independent Trustees compensated?
Beginning in June 2020, Independent Trustees’ compensation is in the form of an annual retainer with the Chair of the Board (an Independent Trustee) and the Chair of the Audit Committee (an Independent Trustee) receiving an additional annual amount as a result of holding those positions. The Independent Trustees do not receive a separate meeting fee. Prior to June 2020, however, the Independent Trustees received both an annual retainer plus a per meeting fee.
Effective January 1, 2021, the compensation adopted by the Board provides for an annual retainer for Independent Trustees of $141,000 per year. The Chair of the Board (an Independent Trustee) is paid an additional retainer of $43,000, while the Chair of the Audit Committee (an Independent Trustee) is paid an additional $15,000.
All Independent Trustees are reimbursed for expenses connected with attending a Board meeting, most notably airfare and lodging expenses. Independent Trustees’ annual retainer and costs in connection with attending a Board meeting are allocated among each of the nine Morningstar Funds. The Trust has no pension or retirement plan for the Independent Trustees.
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Morningstar Funds Trust April 30, 2021
Fund Governance Matters (continued)
Are Independent Trustees required to invest in the Morningstar Funds?
Yes, the Independent Trustees were required to make investments in the Morningstar Funds of at least $132,000 in the aggregate at December 31, 2020. Each independent trustee has met this investment requirement. For more information on the Independent Trustees investments in Morningstar Funds, please see the Trustee Ownership of Portfolio Shares table within the Trustees and Executive Officers section of the Statement of Additional Information available at https://connect.rightprospectus.com/Morningstar.
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Morningstar Funds Trust April 30, 2021
Letter to Shareholders
To Our Shareholders:
Thank you for your continued confidence in Morningstar Funds.
The year 2020 was one of the most astonishing years in market history. As investors began to understand the reach of the Coronavirus and the resulting lockdowns around the world, nearly all asset classes fell at record-breaking paces, wiping out $16 trillion in value from investor portfolios between February 19 and March 20.
Credit markets were the first to recover once the Fed intervened with a series of accommodating policies. Equities soon followed. After falling 33% between February 17 and March 20, the Morningstar Global Markets Index finished the calendar year up 21%.
As noted in last year’s shareholder letter, our valuation-driven asset allocation is intended to shelter our funds in market downturns. The 2020 lockdowns, however, were a boon to high-priced IT and stay-at-home companies; those stocks proved defensive during the sell-off and rallied faster than their cyclical counterparts—which dominated our equity funds—during the initial recovery. In fact, the 12-month return spread between “growth” stocks and “value” stocks—typically defined by traditional valuation metrics such as price-to-book and price-to-earnings—peaked at 51% in September, as measured by the Morningstar U.S. Value Index and the Morningstar U.S. Growth Index. That marked the second widest spread in history after the dot-com bubble.
We wrote last year’s shareholder letter when the value-growth dispersion pushed our relative performance close to its most painful point. We nevertheless promised to maintain our focus on valuations and fundamentals instead of blindly chasing high-flying tech stocks. As teeth-grinding as it felt, this proved to be the right approach as the months passed. When vaccine news took hold, market winds suddenly shifted—as they are prone to do—and we saw cheaper, economically-sensitive stocks claim market leadership. That value rally continued through the first calendar-year quarter of 2021, bolstering the absolute and relative results of Morningstar U.S. Equity Fund, Morningstar International Equity Fund, and Morningstar Unconstrained Allocation Fund.
We saw less dramatic performance swings elsewhere in our fund lineup. Due in part to a significant allocation to Treasuries as an offset to credit and equity risks, Morningstar Global Income Fund suffered a less severe loss in the first calendar-year quarter but rallied less than other strategies during the recovery. With the exception of Morningstar Multisector Bond Fund, which proved defensive relative to its benchmark, our fixed-income funds generally suffered selloffs alongside broad bond markets in the first calendar-year quarter; they recovered in relative and absolute terms as spread sectors tightened. Morningstar Alternatives Fund, meanwhile, generated strong risk-adjusted results relative to other alternative strategies by minimizing losses and recovering quickly, due in part to the underlying convertible arbitrage subadviser, a typically moderate-returns strategy that generated outsized gains in the back half of 2020.
Today, we believe that cyclical value stocks remain more attractive than growth companies, though the gap has narrowed. While we are monitoring excesses in today’s market—visible in IPOs, for example, or in the level of mergers and acquisitions—we believe post mass vaccination re-openings and accommodative fiscal and
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Morningstar Funds Trust April 30, 2021
Letter to Shareholders (continued)
monetary policies offer a measure of support to asset prices. So although we’ve begun to moderate position sizes favoring energy and financials, our portfolios still tilt toward these and other value-oriented stocks. This remains true despite our recent revisiting and revising of growth assumptions for sectors home to the e-commerce giants.
Of course, alongside our own valuation-driven asset allocation is the active security selection of the subadvisers; we see some of the same themes within their sleeves—few of our U.S. equity subadvisers have meaningful exposure to the FAANMG stocks*, for example. But there are also positions they own that our capital markets research has not identified. For example, all six subadvisers within Morningstar U.S. Equity Fund are overweight specialty chemical companies, and in Morningstar International Equity Fund, subadviser Harris Associates is currently finding value in European auto-related industries.
November 2021 will mark three years since the inception of the Morningstar Funds. Looking backward, the bulk of what we’ve learned over that 3-year period occurred in 2020. The unique 2020 challenges—and the lessons taken from them—will shape investor psychology and behavior for years to come. Of course, it will take time to process the full scale of experience, which includes the sudden shift to remote work, the economic and public health uncertainty, and the behavioral tests of a steep market sell-off followed by a wild rally and rotation in market leadership. But perhaps the most critical takeaway for us is already apparent: Our investment philosophy, which emphasizes fundamentals and takes a long-term perspective, proved invaluable in positioning the funds to begin their recovery. It has also acted as a touchstone as we continued to develop new research capabilities and enhance our investment process (e.g., integrating Environmental Social Governance (ESG) factors into the evaluation of fundamental risks for various asset classes). Market environments will come and go, our industry and even our investment team will continue to evolve, but this past year has further convinced us that our philosophy—the lens through which we see the markets—is as relevant and critical today as it was when we first launched our managed portfolios in 2001.
We remain grateful for the trust you’ve placed in us, and for your partnership in the Morningstar Funds, which we look forward to managing for decades to come.
*Facebook (FB), Amazon.com (AMZN), Apple (AAPL), Netflix (NFLX), Microsoft (MSFT) and Alphabet (GOOGL).
Marta Norton
Chief Investment Officer, Americas
Morningstar Investment Management LLC
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Morningstar Funds Trust April 30, 2021
Fund Information (unaudited)
|
|
Morningstar U.S. Equity Fund |
| | | | |
General Information | | | | |
Net Asset Value Per Share | | | $13.74 | |
Total Net Assets (millions) | | | $1,703 | |
Net Expense Ratio(a) | | | 0.81% | |
Gross Expense Ratio(a) | | | 0.87% | |
Portfolio Turnover Rate | | | 68% | |
Number of Companies | | | 307 | |
Fund Inception | | | November 2, 2018 | |
No sales charges or distribution fees | | | | |
| |
| | | | |
Portfolio Characteristics | | | | |
Weighted Average Market Capitalization (billions) | | | $47.81 | |
Price-to-Earnings Ratio(b) | | | 23.65 | |
| | | | |
Ten Largest Equities (%)(c)(d)(e) | | | | |
Amazon.com, Inc. | | | 2.0 | |
Facebook, Inc., Class A | | | 1.4 | |
Microsoft Corp. | | | 1.1 | |
Visa, Inc., Class A | | | 1.0 | |
JPMorgan Chase & Co. | | | 1.0 | |
Citigroup, Inc. | | | 0.9 | |
Johnson & Johnson | | | 0.9 | |
DuPont de Nemours, Inc. | | | 0.9 | |
Thermo Fisher Scientific, Inc. | | | 0.9 | |
Apple, Inc. | | | 0.9 | |
| | | | |
Sector Diversification (%)(c)(d) | | | | |
Financial | | | 18.0 | |
Consumer, Noncyclical | | | 14.9 | |
Technology | | | 11.8 | |
Industrial | | | 9.4 | |
Consumer, Cyclical | | | 9.0 | |
Communications | | | 8.6 | |
Basic Materials | | | 3.4 | |
Utilities | | | 2.7 | |
Energy | | | 1.3 | |
Diversified | | | 0.1 | |
* Includes, if any, cash, short-term investments, receivables, payables and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas
the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 0.85% (the Base Expense Limitation Agreement). In addition to the Base Expense Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 0.85% (the Supplemental Expense Limitation Agreement).
(b) Price-to-earnings (P/E) ratio is calculated using 12-month forward earnings estimates from third-party sources deemed reliable.
(c) Percentages shown are based on Net Assets.
(d) Excludes Investment Companies and Other.
(e) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any
particular security and is not indicative of current or future trading activity.
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Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited)
|
|
Morningstar U.S. Equity Fund |
Investment Objective
Morningstar U.S. Equity Fund seeks long-term capital appreciation.
Investment Strategies
In seeking long-term capital appreciation, the Fund will normally invest at least 80% of its assets in equity securities of U.S.-based companies, and may invest up to 100% of its assets in such securities. The Fund seeks to provide broad U.S. equity exposure across market capitalizations and investment styles and has the flexibility to invest in large-cap, mid-cap, and small-cap common stocks across the growth and value style spectrum. The Fund may also invest in real estate investment trusts (REITs) and non-U.S. companies. The Fund may invest in derivatives, including futures and forward foreign currency contracts, for risk management purposes or as part of its investment strategies. The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs), which could represent a significant percentage of assets. The Fund employs a multimanager, subadvised structure.
Investment Commentary
The Morningstar U.S. Equity Fund returned 51.43% after expenses for the one-year period ending April 30, 2021. That compared to a 50.06% return for its benchmark, the Morningstar U.S. Market Index.
Following the pandemic-related selloff last February and March, global stocks rebounded strongly over the ensuing year thanks largely to low interest rates, fiscal stimulus, and the arrival of vaccines in late 2020. Our reporting period of May 1, 2020 to April 30, 2021 could really be divided into two periods with differing characteristics. After the U.S. stock market bottomed in late March 2020, it began its long rebound in April. But investors remained quite concerned about the dire economic conditions caused by state lockdowns and stay-at-home orders across the nation. As a result, the types of stocks that led the first phase of the rebound were those of less economically sensitive business, and businesses that could benefit from the work-from-home environment. Those tended to be technology, e-commerce, streaming, and other Internet-related stocks—what are traditionally considered “growth” stocks. In fact, growth stocks outperformed value stocks for five consecutive months through August (as measured by the Russell 3000 Growth and Russell 3000 Value indexes). Then as the vaccine news turned positive in the fall, investors started looking ahead to the economy’s re-opening. And economically sensitive sectors such as financials, energy, and industrials swung into favor—sectors that figure heavily in the value index.
Translating that to our May 2020 – April 2021 reporting period, growth stocks outperformed value stocks rather dramatically during the May-September 2020 leg, and then value stocks outperformed just as dramatically from October 2020 through April 2021.
We are value investors at heart, and throughout the past year the Fund definitely favored what we considered less-pricy areas of the market. Growth stocks had been on a tear in 2019, and we were leaning away from them, with underweights in technology and communication services (where the streaming and social-media stocks are found). We instead had overweights to value-oriented and cyclical areas like financial services, energy, and industrials, and the Fund was tilted toward our value-style subadvisers in general. That gave the portfolio an overall cyclical flavor, even though we had partially countered that with defensive positions in consumer staples and healthcare (and growth-stock exposure, albeit underweight).
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Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar U.S. Equity Fund
The portfolio’s value leaning worked against it in the initial phase of the market recovery when technology and Internet-related names were leading. In fact, the Fund lagged its benchmark by more than five percentage points from May 1, 2020 to September 30, 2020. But we stuck to our positioning based on what our research was telling us, and because of the almost unprecedented gap that had opened up between the 12-month returns of the Russell growth and value indexes. When our positions swung into favor in the second phase of the recovery, the Fund enjoyed strong returns. From October 1, 2020 through April 30, 2021, the Fund outperformed its benchmark by more than seven percentage points (and ended up moderately outperforming for the period as a whole).
One other factor that helped was the portfolio’s overweight to smaller-cap stocks. The Fund is intended to be an all-cap vehicle, and it generally has more small-cap exposure than the large-cap dominated benchmark. Small caps meaningfully outperformed large caps over the period, thanks to a powerful performance in the latter months. While our overweight to the financials sector was also a strong contributor, our energy overweight (much of which is energy infrastructure, such as pipelines and storage facilities) was a more nuanced story. It was a negative contributor as measured from May 1, 2020. But we had added to energy in the last week of March 2020, right around the bottom. Energy stocks rebounded much more than the overall market in April 2020, but April isn’t captured in this reporting period. The sector’s subsequent returns were tempered following that April spike. Positions that clearly worked against the Fund included defensive stakes in consumer staples and healthcare, which by their nature didn’t fully participate in the market rally. But we hold those positions for portfolio balance.
The Fund’s subadvisers contributed both positively and negatively. The sleeve run by small-cap growth manager Wasatch Advisors notched the most impressive gains among the six subadvisers—benefiting from the small-cap rally and also beating its style benchmark by a wide margin. The large-cap Easterly Investment Partners LLC sleeve also outgained its S&P 500 benchmark by double digits, and Diamond Hill Capital Management’s mid-value portfolio outperformed meaningfully. On the other hand, two of our value subadvisers, MFS Investment Management (large value) and Westwood Management (small value) were unable to match their benchmarks. Both managers target high-quality companies, which didn’t benefit as much from the value rally that started in October. Meanwhile, the large-growth sleeve run by ClearBridge Investments LLC lagged its Russell 1000 Growth benchmark. Its carefully diversified portfolio was less heavily weighted than the index in the highest-flying technology and Internet names.
As cyclical sectors have rallied back in recent months, we have gradually trimmed back those positions, inching the portfolio toward a more balanced stance in small steps. We haven’t wanted to shift too fast, though. The fact is, growth stocks had outperformed for several years before recently, and we believe there is room for the performance gap between value and growth returns to narrow further. Sometimes these reversions play out over years rather than months. More generally, we try to look through the present toward the future. Taking advantage of our team’s research and valuation analysis, we focus on positioning the portfolio in the best opportunities with a three- to five-year mindset.
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Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar U.S. Equity Fund
Investment Subadvisers:
ClearBridge Investments, LLC
Diversified large-cap growth equity across stable, cyclical and select growth companies.
Diamond Hill Capital Management, Inc.
Targeted exposure to U.S. mid-cap value companies.
Easterly Investment Partners LLC (formerly Levin Easterly Partners LLC)
Provides large-cap blend U.S equity exposure.
Massachusetts Financial Services Company, d/b/a MFS Investment Management
Provides large-cap value exposure, favoring higher-quality, value companies with stronger balance sheets and more consistent profitability.
Wasatch Advisors, Inc.
Small-/mid-cap growth companies with the potential to deliver more stable profits while avoiding earlier-stage companies that may lack a proven track record of revenues and earnings.
Westwood Management Corp.
Provides small-cap equity with an emphasis on value.
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Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar U.S. Equity Fund
Performance at a glance
| | | | | | | | |
Average Total Returns as of 04/30/21 | | | 1 year2 | | | | Since Inception3 | |
Morningstar U.S. Equity Fund | | | 51.43 | % | | | 15.60 | % |
Morningstar U.S. Market Index1 | | | 50.06 | % | | | 21.68 | % |
Illustration of an assumed investment of $10,000
The following graph depicts the performance of Morningstar U.S. Equity Fund shares versus the Morningstar U.S. Market Index (“the Index”) from its inception (November 2, 2018) to April 30, 2021 (the Fund’s fiscal year end). Shares held through advisory programs may be subject to a program fee, which, if included, would have reduced performance. The performance provided does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results. Share price and returns will vary with market conditions; investors may realize a gain or loss upon redemption. It is important to note that Morningstar U.S. Equity Fund is a professionally managed portfolio while the Index is not available for direct investment, is unmanaged and does not include fees, expenses or taxes. The comparison is shown for illustration purposes only.
Morningstar U.S. Equity Fund
This chart does not imply future performance.
1The Morningstar U.S. Market Index is a diversified, broad-market index that targets 97% market capitalization coverage of the U.S. stock market. Investors should note that indices do not reflect the deduction of fees, expenses or taxes.
2Represents performance from May 1, 2020 to April 30, 2021.
3Inception Date is November 2, 2018. Returns are annualized for periods greater than 1 year.
Past performance does not predict future performance, and the performance information provided, does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Shares held through advisory programs are subject to a program fee, which, if included, would have reduced performance. The return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance results assume reinvestment of all dividends and capital gain distributions at net asset value on the ex-dividend dates. Current performance may be higher or lower than the performance data quoted. For performance current to the most recent month-end, please go to https://connect.rightprospectus.com/Morningstar.
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Morningstar Funds Trust April 30, 2021
Fund Information (unaudited)
|
|
Morningstar International Equity Fund |
| | | | |
General Information | | | | |
Net Asset Value Per Share | | | $12.72 | |
Total Net Assets (millions) | | | $1,074 | |
Net Expense Ratio(a) | | | 0.89% | |
Gross Expense Ratio(a) | | | 1.08% | |
Portfolio Turnover Rate | | | 41% | |
Number of Companies | | | 247 | |
Fund Inception | | | November 2, 2018 | |
No sales charges or distribution fees | | | | |
| |
| | | | |
Portfolio Characteristics | | | | |
Weighted Average Market Capitalization (billions) | | | $45.06 | |
Price-to-Earnings Ratio(b) | | | 19.80 | |
Countries Represented | | | 42 | |
Emerging Markets(c)(d) | | | 25.2% | |
| | | | |
Ten Largest Equities (%)(c)(d)(e) | | | | |
Allianz S.E. | | | 1.6 | |
Lloyds Banking Group PLC | | | 1.3 | |
Intesa Sanpaolo S.p.A. | | | 1.2 | |
Bayer A.G. | | | 1.1 | |
Tencent Holdings Ltd. | | | 1.1 | |
Daimler A.G. | | | 1.1 | |
BNP Paribas S.A. | | | 1.1 | |
Bayerische Motoren Werke A.G. | | | 1.1 | |
Glencore PLC | | | 1.1 | |
AIA Group Ltd. | | | 1.0 | |
| | | | |
Sector Diversification (%)(c)(d) | | | | |
Financial | | | 17.3 | |
Consumer, Noncyclical | | | 13.4 | |
Consumer, Cyclical | | | 8.5 | |
Technology | | | 8.2 | |
Industrial | | | 7.0 | |
Communications | | | 6.9 | |
Basic Materials | | | 5.0 | |
Energy | | | 2.1 | |
Utilities | | | 0.5 | |
Diversified | | | 0.2 | |
| | | | |
Region Diversification (%)(c)(d) | | | | |
Europe (excluding United Kingdom) | | | 29.7 | |
Pacific (excluding Japan) | | | 22.0 | |
United Kingdom | | | 6.5 | |
Japan | | | 3.6 | |
Latin America | | | 3.5 | |
Africa | | | 1.8 | |
Canada | | | 1.5 | |
Middle East | | | 0.5 | |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas
the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 1.00% (the Base Expense Limitation Agreement). In addition to the Base Expense Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 1.00% (the Supplemental Expense Limitation Agreement).
(b) Price-to-earnings (P/E) ratio is calculated using 12-month forward earnings estimates from third-party sources deemed reliable.
(c) Percentages shown are based on Net Assets.
(d) Excludes Investment Companies, Convertible Bonds and Other.
(e) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any
particular security and is not indicative of current or future trading activity.
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Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited)
|
|
Morningstar International Equity Fund |
Investment Objective
Morningstar International Equity Fund seeks long-term capital appreciation.
Investment Strategies
In seeking long-term capital appreciation, the Fund will normally invest at least 80% of its assets in equity securities. Under normal circumstances, the Fund will invest approximately 80-100% of its assets in securities of issuers domiciled outside of the United States. The Fund may invest in developed and emerging markets and will typically invest in a minimum of 10 countries. The Fund seeks to provide broad international equity exposure across market capitalizations and investment styles and has the flexibility to invest in large-cap, mid-cap, and small-cap common stocks across the growth and value style spectrum. The Fund may also invest in derivatives, including futures and forward foreign currency contracts, for risk management purposes or as part of its investment strategies. The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs), which could represent a significant percentage of assets. The Fund employs a multimanager, subadvised structure.
Investment Commentary
The Morningstar International Equity Fund had a total return of 49.22% for the one-year period ended April 30, 2021, compared to 44.64% for the Morningstar Global Markets ex U.S. Index.
Following the pandemic-related sell off, global stocks rebounded strongly on the heels of monetary and fiscal stimulus, bolstered further by the arrival of vaccines in late 2020. Both developed and developing markets rallied, with economically sensitive sectors such as financials, materials and consumer discretionary leading the charge and regaining all of the ground lost during the steep correction in March of 2020. Defensive sectors such as consumer staples and health care lagged over the period, as did Japanese stocks.
Owing to the portfolio’s strong tilt toward cyclical sectors, the International Equity Fund benefited favorably over the period. Positions in European financials and consumer discretionary performed well, with automobile-related holdings posting particularly strong gains amid strong demand from Asia and the U.S. An overweight to semiconductor stocks also contributed to the Fund’s outperformance, boosted in part by healthy demand from mobile devices and from automakers. The Fund’s overall bias toward value stocks was a positive, as the MSCI EAFE Value Index outpaced the MSCI EAFE Growth Index by 2.6% over the one-year period.
The Fund’s positioning from a country perspective was more mixed. The portfolio’s emphasis on the U.K. continued to weigh on returns as it lagged most other developed-market countries. Overweights to Germany and Korea were positive contributors, as was the portfolio’s underweight to China and Japan, which lagged the broad market during the rebound.
A notable bright spot was our allocation to Harris Associates’ investment mandate, which steadfastly held on to its beleaguered holdings in financials, autos, and industrials through 2020’s most volatile days only to see them rebound sharply over the one-year period. Harding Loevner, which runs a growth mandate for the Fund, also outperformed the benchmark, while emerging-market subadvisers Lazard Asset Management and T. Rowe Price both lagged.
12
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar International Equity Fund
Given the market’s strong absolute returns and accompanying higher valuations over the past year, we have grown less sanguine about outlook for stocks overall. That said, pockets of value do exist; the Fund retains its overweight to the U.K., for example, where we see attractive valuations and generous yields. Moreover, we’re cognizant that despite the recent run up in value stocks, the longer-term performance and valuation deficit with growth stocks endures and remains wide by historical standards. Because this wide spread persists, we believe our valuation-oriented approach bodes well for the Fund’s prospects on a relative basis.
Investment Subadvisers:
Harding Loevner L.P.
Provides growth-leaning exposure to non-U.S. developed equity markets.
Harris Associates L.P.
Provides exposure to value-leaning, non-U.S. developed equity markets.
Lazard Asset Management LLC
Provides active equity exposure to emerging-markets value companies.
T. Rowe Price Associates, Inc.
Provides active exposure to emerging-markets growth companies.
13
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar International Equity Fund
Performance at a glance
| | | | | | | | |
Average Total Returns as of 04/30/21 | | | 1 year2 | | | | Since Inception3 | |
Morningstar International Equity Fund | | | 49.22 | % | | | 12.66 | % |
Morningstar Global Markets ex U.S. Index (net)1 | | | 44.64 | % | | | 13.30 | % |
Illustration of an assumed investment of $10,000
The following graph depicts the performance of Morningstar International Equity Fund shares versus the Morningstar Global Markets ex U.S. Index (net) (“the Index”) from its inception (November 2, 2018) to April 30, 2021 (the Fund’s fiscal year end). Shares held through advisory programs may be subject to a program fee, which, if included, would have reduced performance. The performance provided does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results. Share price and returns will vary with market conditions; investors may realize a gain or loss upon redemption. It is important to note that Morningstar International Equity Fund is a professionally managed portfolio while the Index is not available for direct investment, is unmanaged and does not include fees, expenses or certain taxes. The comparison is shown for illustration purposes only.
Morningstar International Equity Fund
This chart does not imply future performance.
1 The Morningstar Global Markets ex U.S. Index (net) captures the performance of the stocks located in the developed and emerging countries across the world, excluding the United States. Stocks in the index are weighted by their float capital, which removes corporate cross-ownership, government holdings and other locked-in shares. Net total return indices reinvest dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident individuals who do not benefit from double taxation treaties. Investors should note that such indices do not reflect the deduction of fees,
expenses or other taxes.
2 Represents performance from May 1, 2020 to April 30, 2021.
3 Inception Date is November 2, 2018. Returns are annualized for periods greater than 1 year.
Past performance does not predict future performance, and the performance information provided, does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Shares held through advisory programs are subject to a program fee, which, if included, would have reduced performance. The return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance results assume reinvestment of all dividends and capital gain distributions at net asset value on the ex-dividend dates. Current performance may be higher or lower than the performance data quoted. For performance current to the most recent month-end, please go to https://connect.rightprospectus.com/Morningstar.
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Morningstar Funds Trust April 30, 2021
Fund Information (unaudited)
|
|
Morningstar Global Income Fund |
| | | | |
General Information | |
Net Asset Value Per Share | | | $11.62 | |
Total Net Assets (millions) | | | $272 | |
Net Expense Ratio(a) | | | 0.61% | |
Gross Expense Ratio(a) | | | 0.62% | |
Portfolio Turnover Rate | | | 59% | |
Fund Inception | | | November 2, 2018 | |
No sales charges or distribution fees | | | | |
| | | | |
Number of Common Stocks | | | 36 | |
| | | | |
Five Largest Sectors (%)(b)(c) | | | | |
Financial | | | 11.5 | |
Basic Materials | | | 7.5 | |
Industrial | | | 7.5 | |
Consumer, Cyclical | | | 4.5 | |
Communications | | | 4.3 | |
Ten Largest Equities (%)(b)(c)(d) | | | | |
JPMorgan Chase & Co. | | | 2.2 | |
BNP Paribas S.A. | | | 2.2 | |
Raytheon Technologies Corp. | | | 2.0 | |
Cie de Saint-Gobain | | | 2.0 | |
Toyota Motor Corp. ADR | | | 1.9 | |
Vale S.A. | | | 1.9 | |
TOTAL S.E. ADR | | | 1.8 | |
Zurich Insurance Group A.G. | | | 1.7 | |
Smurfit Kappa Group PLC | | | 1.7 | |
Softbank Corp. | | | 1.6 | |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas
the gross expense ratio does not.The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 0.89% (the Base Expense Limitation Agreement). In addition to the Base Expense Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 0.75% (the Supplemental Expense Limitation Agreement).
(b) Percentages shown are based on Net Assets.
(c) Excludes Investment Companies and Other.
(d) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any
particular security and is not indicative of current or future trading activity.
15
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited)
|
|
Morningstar Global Income Fund |
Investment Objective
Morningstar Global Income Fund seeks current income and long-term capital appreciation.
Investment Strategies
In seeking current income and long-term capital appreciation, the Fund has significant flexibility and invests across asset classes and geographies, according to the adviser’s assessment of their valuations, fundamental characteristics, and income levels. The Fund invests in investment companies such as open-, closed-end or ETFs which could represent a significant percentage of the Fund’s assets. The Fund may invest at least 20% (or, if market conditions are unfavorable, at least 10%) of assets in securities of issuers domiciled outside of the United States and may invest up to 100% assets in such securities.
The Fund mainly invests in income-generating equity securities, which may include common stocks, convertible securities, preferred stocks, real estate investment trusts (REITs), and master limited partnerships (MLPs). The Fund may invest in companies of any size from any country, including emerging markets.
The Fund also invests in fixed-income securities of varying maturity, duration, and quality. These may include U.S. and non-U.S. corporate debt securities, U.S. and non-U.S. government debt securities, emerging-market debt securities, mortgage-backed and asset-backed securities, and floating-rate notes. The Fund may invest without limit in fixed-income securities that are rated below investment grade (commonly known as junk bonds) or, if unrated, are determined by the Fund’s subadviser(s) to be of comparable quality.
The Fund may also invest in derivatives, including options, futures, swaps, and forward foreign currency contracts, for risk management purposes or as part of its investment strategies. The Fund employs a multimanager, subadvised structure.
Investment Commentary
The Morningstar Global Income Fund gained 26.01% for the 12 months through April 30, 2021, underperforming the Fund’s blended benchmark (75% Morningstar Global Markets NR Index, 25% Bloomberg Barclays Multiverse Total Return Index), which returned 35.51% for the same period.
Global equity markets rebounded strongly after the selloffs in the first quarter of 2020, though the recovery has been uneven. Value sectors, which this Fund has the most exposure to, lagged their growth counterparts in the two quarters following the selloffs in March, as the market favored growth companies that benefit from stay-at-home orders. It wasn’t until the fourth quarter when promising news on the vaccine front set off a rotation into stocks that had been hit the hardest during the lockdown. We started to see money moving into recovery-themed stocks, including energy, industrials, materials and financials, and benefiting value leaning strategies including our global high dividend subadviser sleeve managed by Shafer Cullen. The sleeve continued to benefit from this trend in the first quarter of 2021, fueled by expectations of a period of strong growth after vaccines are widely distributed and the economy fully reopens. However, despite the market rotation, some of the higher-yielding equity sectors, including energy, REITs and utilities still lagged the broad market for the trailing 12-month period ending April 30, 2021, which contributed to the underperformance of the Fund relative to its benchmark.
16
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Global Income Fund
On the fixed income side, credit exposures were hit hard during the sell-off in the first quarter of 2020 but recovered strongly thanks to the Fed’s unprecedent supports to boost liquidity and investor confidence across major fixed income markets. Our decision to add to credit following the selloffs further aided return. Across fixed income holdings, high yield corporate bonds and convertible bonds contributed the most to relative performance in the past 12 months. While Treasury bonds served as safe heaven assets and helped performance during the March selloffs, it suffered the most from the yield curve steepening that happened in the first quarter of 2021 and detracted the most value on the fixed income side.
Investment Subadviser:
Schafer Cullen Capital Management, Inc.
Global income that seeks exposure to attractively priced, high-quality, dividend-paying companies in the U.S. and international markets, including emerging markets.
17
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Global Income Fund
Performance at a glance
| | | | | | | | |
| Average Total Returns as of 04/30/21 | | 1 year2 | | | Since Inception3 | |
Morningstar Global Income Fund | | | 26.01 | % | | | 10.05 | % |
Morningstar Global Income Blended Index1 | | | 35.51 | % | | | 14.82 | % |
Illustration of an assumed investment of $10,000
The following graph depicts the performance of Morningstar Global Income Fund shares versus the Morningstar Global Income Blended Index (“the Index”) from its inception (November 2, 2018) to April 30, 2021 (the Fund’s fiscal year end). Shares held through advisory programs may be subject to a program fee, which, if included, would have reduced performance. The performance provided does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results. Share price and returns will vary with market conditions; investors may realize a gain or loss upon redemption. It is important to note that Morningstar Global Income Fund is a professionally managed portfolio while the Index is not available for direct investment, is unmanaged and does not include fees, expenses or certain taxes. The comparison is shown for illustration purposes only.
Morningstar Global Income Fund
This chart does not imply future performance.
1 The Morningstar Global Income Blended Index is composed of 75% Morningstar Global Markets NR Index and 25% Bloomberg Barclays Multiverse Total Return Index. The Morningstar Global Markets NR Index captures the performance of the stocks located in the developed and emerging countries across the world. The Bloomberg Barclays Multiverse Total Return Index provides a broad-based measure of the global fixed-income bond market. Net total return indices reinvest dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident individuals who do not benefit from double taxation treaties. Investors should note that such indices do not reflect the deduction of fees, expenses or other taxes.
2 Represents performance from May 1, 2020 to April 30, 2021.
3 Inception Date is November 2, 2018. Returns are annualized for periods greater than 1 year.
Past performance does not predict future performance, and the performance information provided, does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Shares held through advisory programs are subject to a program fee, which, if included, would have reduced performance. The return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance results assume reinvestment of all dividends and capital gain distributions at net asset value on the ex-dividend dates. Current performance may be higher or lower than the performance data quoted. For performance current to the most recent month-end, please go to https://connect.rightprospectus.com/Morningstar.
18
Morningstar Funds Trust April 30, 2021
Fund Information (unaudited)
|
|
Morningstar Total Return Bond Fund |
| | | | |
General Information | | | | |
Net Asset Value Per Share | | | $10.69 | |
Total Net Assets (millions) | | | $833 | |
Net Expense Ratio(a) | | | 0.53% | |
Gross Expense Ratio(a) | | | 0.74% | |
Portfolio Turnover Rate | | | 438% | |
Number of Issuers | | | 650 | |
Fund Inception | | | November 2, 2018 | |
No sales charges or distribution fees | | | | |
| | | | |
Portfolio Characteristics | | | | |
Effective Duration (years)(b) | | | 6.4 | |
Non-USD Exposure(c)(d)(e) | | | 2.4% | |
| | | | |
Five Largest Issuers (%)(c)(d)(f) | | | | |
U.S. Treasury | | | 14.7 | |
Federal National Mortgage Association | | | 8.1 | |
Government National Mortgage Association | | | 6.9 | |
Federal Housing Finance Agency | | | 6.3 | |
Federal Home Loan Mortgage Corporation | | | 4.5 | |
| | | | |
Credit Quality (%)(c)(d)(g) | | | | |
U.S. Treasury | | | 14.7 | |
U.S. Agency | | | 25.9 | |
AAA | | | 4.2 | |
AA | | | 2.7 | |
A | | | 12.7 | |
BBB | | | 17.8 | |
BB | | | 2.0 | |
B | | | 0.7 | |
CCC | | | 0.3 | |
CC | | | 0.1 | |
Not Rated | | | 1.2 | |
Asset Allocation(c)
| | | | |
Sector Diversification (%)(c)(d) | | | | |
Mortgage Securities | | | 29.7 | |
Government | | | 18.1 | |
Financial | | | 9.7 | |
Consumer, Noncyclical | | | 4.4 | |
Asset Backed Securities | | �� | 3.7 | |
Communications | | | 3.7 | |
Energy | | | 3.7 | |
Industrial | | | 2.6 | |
Technology | | | 2.0 | |
Utilities | | | 1.8 | |
Consumer, Cyclical | | | 1.7 | |
Basic Materials | | | 1.2 | |
| | | | |
Region Diversification (%)(c)(d) | | | | |
United States | | | 70.3 | |
Latin America | | | 5.1 | |
Europe (excluding United Kingdom) | | | 3.0 | |
United Kingdom | | | 1.1 | |
Pacific (excluding Japan) | | | 1.1 | |
Middle East | | | 0.9 | |
Japan | | | 0.4 | |
Canada | | | 0.2 | |
Africa | | | 0.2 | |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas
the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 0.53% (the Base Expense Limitation Agreement). In addition to the Base Expense Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 0.54% (the Supplemental Expense Limitation Agreement).
19
Morningstar Funds Trust April 30, 2021
Fund Information (unaudited) (continued)
Morningstar Total Return Bond Fund
(b) Effective duration is a measure of a Fund’s interest-rate sensitivity—the longer a Fund’s duration, the more sensitive the Fund is to shifts in interest rates. Duration is determined by a formula that includes coupon rates and bond maturities. Small coupons tend to increase duration, while shorter maturities and higher coupons shorten duration.
(c) Percentages shown are based on Net Assets.
(d) Excludes Investment Companies and Other.
(e) Non-USD currency exposure for the Fund reflects the value of the portfolio’s non-U.S. dollar denominated investments, as well as the impact of currency derivatives.
(f) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of current or future trading activity.
(g) Credit quality ratings are based on the conservative average of Moody’s, S&P Global and Fitch ratings. If ratings from all three rating agencies disagree, the model assigns the middle rating to the security. If two of the three agree, the model assigns the rating from those two to the security. If none of these three rating agencies has assigned a rating, the Fund will assign a rating of not rated. The ratings, expressed in S&P Global’s nomenclature, range from AAA (extremely strong capacity to meet its financial commitment) to D (in default). Short-term ratings, expressed in S&P Global’s nomenclature, range from A1 to D (in default). The ratings represent the rating agencies’ opinions of the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality.
20
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited)
|
|
Morningstar Total Return Bond Fund |
Investment Objective
Morningstar Total Return Bond Fund seeks to maximize total return while also generating income and preserving capital.
Investment Strategies
In seeking to maximize total return while also generating income and preserving capital, the Fund will normally invest at least 80% of its assets in debt securities (commonly referred to as “bonds”) of varying maturity, duration, and quality.
The Fund invests primarily in investment-grade fixed-income securities. These may include U.S. and non-U.S. investment-grade corporate debt securities, U.S. government debt securities including Treasury Inflation Protected Bond Securities and zero-coupon securities, non-U.S. government debt securities, emerging-market debt securities, and mortgage-backed and asset-backed securities. The Fund may also invest up to 20% of its assets in fixed-income securities that are rated below investment grade (commonly known as junk bonds), or if unrated, are determined by the Fund’s subadviser(s) to be of comparable quality.
In addition, the Fund may invest up to 15% of its assets in collateralized debt obligations (CDOs), of which 10% (as a percentage of the Fund’s assets) may be in collateralized loan obligations (CLOs). CDOs are types of asset-backed securities. CLOs are ordinarily issued by a trust or other special purpose entity and are typically collateralized by a pool of loans, which may include, among others, domestic and non-U.S. senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans, held by such issuer.
The Fund may invest up to 20% of its assets in securities denominated in foreign currencies. The Fund may also invest in securities acquired in a private placement, such as Rule 144A securities, as well as derivatives, including options, futures, swaps, and forward foreign currency contracts, for risk management purposes or as part of its investment strategies. The Fund may also enter into reverse repurchase agreements and dollar rolls. The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs). The Fund employs a multimanager, subadvised structure.
Investment Commentary
The Morningstar Total Return Bond Fund returned 2.95% for the fiscal year ending April 30, 2021, outperforming the Fund’s benchmark, Bloomberg Barclays U.S. Aggregate Bond Index, which returned -0.27% for the same period.
On an absolute basis, the Fund benefited from holding U.S. investment-grade bonds, as they recovered from a sharp selloff in early 2020. That said, rising Treasury yields proved to be a headwind, especially during the first three months of 2021. Strengthening economic projections, continued fiscal support, and positive vaccination results supported the sharp climb in U.S Treasury yields. Other areas of the U.S. bond market, including high-yield corporate bonds and emerging market debt produced double-digit gains for the fiscal year, while agency mortgages lagged.
21
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Total Return Bond Fund
A key contributor to the Fund’s outperformance versus its benchmark was a meaningful overweight to credit sectors, particularly investment-grade and emerging market debt. An out-of-benchmark allocation to U.S. TIPS also boosted relative outperformance as inflation expectations rose sharply on the back of a reopening economy following vaccination efficacy. A small allocation to a long-term U.S. Treasuries ETF during the period offset those gains as U.S. Treasuries declined following a sharp rise in interest rates. In lieu of U.S. Treasuries, the Fund has long held an overweight to agency mortgage-backed securities, which underperformed relative to other segments of the investment-grade bond market.
During the period, the Fund primarily used U.S. Treasury futures and options, Eurodollar futures, and interest rate swaps to manage its duration and yield curve exposure. These derivatives did not have a significant impact on performance but helped the portfolio managers more efficiently implement their views and manage risk in the portfolio. The Fund also used credit default swaps on investment grade credit indices (IG CDX) as an efficient, low-cost way of adjusting exposures to this sector. The Fund’s investment grade credit positioning was a positive contributor to performance and the use of IG CDX helped contribute to that performance.
Investment Subadvisers:
BlackRock Financial Management, Inc.
Core-plus total return objective; aims to primarily invest in investment-grade, domestic fixed-income securities with opportunistic, out-of-benchmark allocations and derivatives.
Western Asset Management Company
Provides core-bond exposure seeking exposure to investment-grade, domestic fixed-income securities.
22
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Total Return Bond Fund
Performance at a glance
| | | | | | | | |
| Average Total Returns as of 04/30/21 | | 1 year2 | | | Since Inception3 | |
Morningstar Total Return Bond Fund | | | 2.95 | % | | | 7.28 | % |
Bloomberg Barclays U.S. Aggregate Bond Index1 | | | -0.27 | % | | | 6.49 | % |
Illustration of an assumed investment of $10,000
The following graph depicts the performance of Morningstar Total Return Bond Fund shares versus the Bloomberg Barclays U.S. Aggregate Bond Index (“the Index”) from its inception (November 2, 2018) to April 30, 2021 (the Fund’s fiscal year end). Shares held through advisory programs may be subject to a program fee, which, if included, would have reduced performance. The performance provided does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results. Share price and returns will vary with market conditions; investors may realize a gain or loss upon redemption. It is important to note that Morningstar Total Return Bond Fund is a professionally managed portfolio while the Index is not available for direct investment, is unmanaged and does not include fees, expenses or taxes. The comparison is shown for illustration purposes only.
Morningstar Total Return Bond Fund
This chart does not imply future performance.
1 The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based, flagship benchmark that measures the investment grade, U.S.-dollar-denominated, fixed-rate, taxable bond market. Investors should note that indices do not reflect the deduction of fees, expenses or taxes.
2 Represents performance from May 1, 2020 to April 30, 2021.
3 Inception Date is November 2, 2018. Returns are annualized for periods greater than 1 year.
Past performance does not predict future performance, and the performance information provided, does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Shares held through advisory programs are subject to a program fee, which, if included, would have reduced performance. The return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance results assume reinvestment of all dividends and capital gain distributions at net asset value on the ex-dividend dates. Current performance may be higher or lower than the performance data quoted. For performance current to the most recent month-end, please go to https://connect.rightprospectus.com/Morningstar.
23
Morningstar Funds Trust April 30, 2021
Fund Information (unaudited)
|
|
Morningstar Municipal Bond Fund |
| | | | |
General Information | | | | |
Net Asset Value Per Share | | | $10.75 | |
Total Net Assets (millions) | | | $417 | |
Net Expense Ratio(a) | | | 0.58% | |
Gross Expense Ratio(a) | | | 0.66% | |
Portfolio Turnover Rate | | | 53% | |
Fund Inception | | | November 2, 2018 | |
No sales charges or distribution fees | | | | |
| | | | |
Portfolio Characteristics | | | | |
Effective Duration (years)(b) | | | 3.9 | |
| | | | |
Five Largest Issuers (%)(c)(d)(e) | | | | |
State of Illinois | | | 1.5 | |
New York State Dormitory Authority | | | 1.4 | |
Maryland Health & Higher Educational Facilities Authority | | | 1.2 | |
Illinois Finance Authority | | | 1.2 | |
Metropolitan Transportation Authority | | | 1.2 | |
| | | | |
Credit Quality (%)(c)(d)(f) | | | | |
AAA | | | 4.6 | |
AA | | | 27.7 | |
A | | | 31.2 | |
BBB | | | 13.4 | |
BB | | | 1.7 | |
B | | | 0.4 | |
CCC | | | 0.1 | |
CC | | | 0.2 | |
C | | | 0.1 | |
A2 (Short Term) | | | 0.5 | |
Not Rated | | | 2.9 | |
| | | | |
Sector Diversification (%)(c)(d) | | | | |
Medical | | | 12.9 | |
General | | | 12.0 | |
Transportation | | | 10.9 | |
General Obligation | | | 7.9 | |
Higher Education | | | 6.7 | |
Airport | | | 6.3 | |
Development | | | 4.6 | |
Education | | | 4.4 | |
Water | | | 3.6 | |
Power | | | 2.8 | |
School District | | | 2.8 | |
Multifamily Housing | | | 2.1 | |
Nursing Home | | | 2.0 | |
Utilities | | | 1.5 | |
Housing | | | 0.8 | |
Bond Banks | | | 0.4 | |
Tobacco Settlement | | | 0.4 | |
Single Family Housing | | | 0.3 | |
Pollution | | | 0.2 | |
Student Loan | | | 0.1 | |
Facilities | | | 0.1 | |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas
the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 0.59% (the Base Expense Limitation Agreement). In addition to the Base Expense Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 0.59% (the Supplemental Expense Limitation Agreement).
(b) Effective duration is a measure of a Fund’s interest-rate sensitivity—the longer a Fund’s duration, the more sensitive the Fund is to shifts in interest
rates. Duration is determined by a formula that includes coupon rates and bond maturities. Small coupons tend to increase duration, while shorter
maturities and higher coupons shorten duration.
(c) Percentages shown are based on Net Assets.
(d) Excludes Investment Companies and Other.
(e) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any
particular security and is not indicative of current or future trading activity.
24
Morningstar Funds Trust April 30, 2021
Fund Information (unaudited) (continued)
Morningstar Municipal Bond Fund
(f) Credit quality ratings are based on the conservative average of Moody’s, S&P Global and Fitch ratings. If ratings from all three rating agencies disagree, the model assigns the middle rating to the security. If two of the three agree, the model assigns the rating from those two to the security. If none of these three rating agencies has assigned a rating, the Fund will assign a rating of not rated. The ratings, expressed in S&P Global’s nomenclature, range from AAA (extremely strong capacity to meet its financial commitment) to D (in default). Short-term ratings, expressed in S&P Global’s nomenclature, range from A1 to D (in default). The ratings represent the rating agencies’ opinions of the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality.
25
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited)
|
|
Morningstar Municipal Bond Fund |
Investment Objective
Morningstar Municipal Bond Fund seeks to generate income exempt from federal income taxes as well as capital preservation.
Investment Strategies
In seeking income exempt from federal income taxes as well as capital preservation, the Fund will normally invest at least 80% of its assets in debt securities (commonly referred to as “bonds”) from municipal issuers within the United States or its territories.
The Fund’s dividends are generally exempt from federal income tax, although a portion may be an item of tax preference for purposes of the federal alternative minimum tax (“Tax Preference Item”). A portion of the dividends may also be exempt from state and local income taxes, depending on where you live. Under normal market conditions, the Fund is not considered an optimal investment for tax-advantaged retirement accounts, such as 401(k) plan accounts or individual retirement accounts, or for investors in low tax brackets, because such investors may not take advantage of the tax benefits of the Fund.
The Fund intends to invest primarily in investment-grade municipal securities, but may invest up to 35% of assets in high-yield fixed-income securities that are rated below investment grade (commonly known as junk bonds) or, if unrated, are determined by the Fund’s subadviser(s) to be of comparable quality. The Fund may also invest in derivatives, including options, futures, swaps, and inverse floating-rate debt instruments (inverse floaters), for risk management purposes or as part of its investment strategies. The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs). The Fund employs a multimanager, subadvised structure.
Investment Commentary
The Morningstar Municipal Bond Fund returned 8.14% for the fiscal year ending April 30, 2021, outperforming the Fund’s blended benchmark, (60% Bloomberg Barclays Municipal Bond Index, 40% Bloomberg Barclays Municipal 1-3 Year Bond Index), which returned 5.56% for the same period.
The fiscal year ending April 30, 2021 saw modest gains for the municipal bond asset class despite COVID-related impacts to state and local municipalities. Munis remained resilient for much of the year despite volatile headlines regarding COVID-19, the U.S. election, and impacted state budgets. That said, demand for munis remained strong as the asset class benefitted from large inflows even as supply tapered off through the end of 2020. Further support was created as the Biden administration signed the $1.9 trillion American Rescue Plan which benefitted most municipal sectors. This broad technical tailwind continued into 2021 keeping muni yields in-line despite a swift sell-off in U.S. Treasuries. In addition, lower-rated munis saw strong performance for much of the year on the back of improving fundamentals and investor demand for yield in a low-rate environment.
The Morningstar Municipal Bond Fund performed well in this environment. Out-of-benchmark exposure to below investment-grade municipal bonds, an overweight to BBB-rated municipal bonds, and a preference for revenue bonds bolstered relative performance. The Fund’s largest sector overweight, transportation and health care, were among the best performing segments of the muni market during the fiscal year. In addition, general
26
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Municipal Bond Fund
obligation (GO) bonds fared well as State revenues exceeded expectations during the pandemic and were further supported through fiscal stimulus measures. Finally, the Fund’s longer duration, relative to the benchmark, benefited performance. Municipal yield curves, supported by strong demand, flattened for much of the period and outperformed U.S. Treasuries.
Investment Subadvisers:
T. Rowe Price Associates, Inc.
Core-plus exposure to intermediate and long-term municipal bonds and derivatives, including both investment-grade and below-investment-grade securities.
Wells Capital Management, Inc.
Exposure to intermediate and short-term municipal bonds and derivatives, including investment-grade and below-investment-grade securities.
27
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Municipal Bond Fund
Performance at a glance
| | | | | | | | |
Average Total Returns as of 04/30/21 | | | 1 year | 2 | | | Since Inception | 3 |
Morningstar Municipal Bond Fund | | | 8.14 | % | | | 5.20 | % |
Morningstar Municipal Bond Blended Index1 | | | 5.56 | % | | | 4.82 | % |
Illustration of an assumed investment of $10,000
The following graph depicts the performance of Morningstar Municipal Bond Fund shares versus the Morningstar Municipal Bond Blended Index (“the Index”) from its inception (November 2, 2018) to April 30, 2021 (the Fund’s fiscal year end). Shares held through advisory programs may be subject to a program fee, which, if included, would have reduced performance. The performance provided does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results. Share price and returns will vary with market conditions; investors may realize a gain or loss upon redemption. It is important to note that Morningstar Municipal Bond Fund is a professionally managed portfolio while the Index is not available for direct investment, is unmanaged and does not include fees, expenses or taxes. The comparison is shown for illustration purposes only.
Morningstar Municipal Bond Fund
This chart does not imply future performance.
1 The Morningstar Municipal Bond Blended Index is composed of 60% Bloomberg Barclays Municipal Bond Index and 40% Bloomberg Barclays Municipal 1-3 Year Bond Index. The Bloomberg Barclays Municipal Bond Index is an unmanaged index that is considered representative of the broad market for investment grade, tax-exempt bonds with a maturity of at least one year. Bloomberg Barclays Municipal 1-3 Year Bond Index consists of a broad selection of investment grade general obligation and revenue bonds of maturities ranging from one year to three years. Investors should note that indices do not reflect the deduction of fees, expenses or taxes.
2 Represents performance from May 1, 2020 to April 30, 2021.
3 Inception Date is November 2, 2018. Returns are annualized for periods greater than 1 year.
Past performance does not predict future performance, and the performance information provided, does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Shares held through advisory programs are subject to a program fee, which, if included, would have reduced performance. The return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance results assume reinvestment of all dividends and capital gain distributions at net asset value on the ex-dividend dates. Current performance may be higher or lower than the performance data quoted. For performance current to the most recent month-end, please go to https://connect.rightprospectus.com/Morningstar.
28
Morningstar Funds Trust April 30, 2021
Fund Information (unaudited)
|
|
Morningstar Defensive Bond Fund |
| | | | |
General Information | | | | |
Net Asset Value Per Share | | | $10.24 | |
Total Net Assets (millions) | | | $201 | |
Net Expense Ratio(a) | | | 0.48% | |
Gross Expense Ratio(a) | | | 0.64% | |
Portfolio Turnover Rate | | | 53% | |
Number of Issuers | | | 134 | |
Fund Inception | | | November 2, 2018 | |
No sales charges or distribution fees | | | | |
| |
| | | | |
Portfolio Characteristics | | | | |
Effective Duration (years)(b) | | | 2.1 | |
Non-USD Exposure(c)(d)(e) | | | 0.0% | |
| | | | |
Five Largest Issuers (%)(c)(d)(f) | | | | |
Cerberus | | | 2.0 | |
Fortress Credit Opportunities | | | 1.8 | |
PFS Financing Corp. | | | 1.2 | |
Vericrest Opportunity Loan Trading | | | 1.1 | |
Federal Home Loan Mortgage Corporation | | | 1.0 | |
| | | | |
Credit Quality (%)(c)(d)(g) | | | | |
U.S. Agency | | | 1.9 | |
AAA | | | 15.8 | |
AA | | | 4.9 | |
A | | | 4.7 | |
BBB | | | 1.7 | |
BB | | | 4.0 | |
B | | | 2.7 | |
CCC | | | 0.6 | |
Not Rated | | | 9.7 | |
| | | | |
Sector Diversification (%)(c)(d) | | | | |
Asset Backed Securities | | | 32.6 | |
Mortgage Securities | | | 8.3 | |
Financial | | | 1.4 | |
Communications | | | 1.4 | |
Consumer, Noncyclical | | | 0.6 | |
Consumer, Cyclical | | | 0.6 | |
Industrial | | | 0.6 | |
Technology | | | 0.3 | |
Energy | | | 0.2 | |
| | | | |
Region Diversification (%)(c)(d) | | | | |
United States | | | 32.1 | |
Latin America | | | 13.2 | |
Canada | | | 0.3 | |
Europe (excluding United Kingdom) | | | 0.2 | |
Pacific (excluding Japan) | | | 0.2 | |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas
the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 0.48% (the Base Expense Limitation Agreement). In addition to the Base Expense Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 0.55% (the Supplemental Expense Limitation Agreement).
(b) Effective duration is a measure of a Fund’s interest-rate sensitivity—the longer a Fund’s duration, the more sensitive the Fund is to shifts in interest
rates. Duration is determined by a formula that includes coupon rates and bond maturities. Small coupons tend to increase duration, while shorter
maturities and higher coupons shorten duration.
29
Morningstar Funds Trust April 30, 2021
Fund Information (unaudited) (continued)
Morningstar Defensive Bond Fund
(c) Percentages shown are based on Net Assets.
(d) Excludes Investment Companies, Warrants, Common Stocks and Other.
(e) Non-USD currency exposure for the Fund reflects the value of the portfolio’s non-U.S. dollar denominated investments, as well as the impact of currency derivatives.
(f) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of current or future trading activity.
(g) Credit quality ratings are based on the conservative average of Moody’s, S&P Global and Fitch ratings. If ratings from all three rating agencies disagree, the model assigns the middle rating to the security. If two of the three agree, the model assigns the rating from those two to the security. If none of these three rating agencies has assigned a rating, the Fund will assign a rating of not rated. The ratings, expressed in S&P Global’s nomenclature, range from AAA (extremely strong capacity to meet its financial commitment) to D (in default). Short-term ratings, expressed in S&P Global’s nomenclature, range from A1 to D (in default). The ratings represent the rating agencies’ opinions of the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality.
30
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited)
|
|
Morningstar Defensive Bond Fund |
Investment Objective
Morningstar Defensive Bond Fund seeks capital preservation.
Investment Strategies
In seeking capital preservation, the Fund will normally invest at least 80% of its assets in a diversified portfolio of debt securities (commonly referred to as “bonds”) of varying maturity, duration, and quality. Under normal conditions, the Fund intends to pursue a defensive strategy of limiting its interest-rate sensitivity by maintaining a portfolio duration of three years or less.
The Fund invests primarily in short- and intermediate-term investment-grade fixed-income securities. These may include U.S. and non-U.S. investment-grade corporate debt securities, U.S. and non-U.S. government debt securities, and mortgage-backed and asset-backed securities. In most market environments, the Fund will not invest more than 20% of assets in fixed-income securities that are rated below investment grade (commonly known as junk bonds), or if unrated, are determined by the Fund’s subadviser(s) to be of comparable quality.
In addition, the Fund may invest a significant portion of its assets in collateralized debt obligations (CDOs), including collateralized loan obligations (CLOs). CDOs are types of asset-backed securities. CLOs are ordinarily issued by a trust or other special purpose entity and are typically collateralized by a pool of loans, which may include, among others, domestic and non-U.S. senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans, held by such issuer.
The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs), which could represent a significant percentage of assets. The Fund employs a multimanager, subadvised structure.
Investment Commentary
The Morningstar Defensive Bond Fund returned 3.56% for the 12 months through April 30, 2021, outperforming the Fund’s benchmark (Bloomberg Barclays U.S. Aggregate 1-3 Year Index), which returned 0.72% for the same period.
In March 2020, markets were thrown into disarray by the rapid spread of COVID-19. Central banks acted quickly and aggressively to quell the panic and support the market. The fiscal year started with the Fed having pinned the short and intermediate parts of yield curve at extremely low levels and establishing liquidity backstops in major fixed income markets. Under this backdrop, credit markets rebounded strongly, especially during the summer months of 2020. Interest rates at the front end of the curve remained stable, but the intermediate part of the yield curve started moving up in the first quarter of 2021 as the market began expecting economic expansion and higher inflation.
31
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Defensive Bond Fund
Coming into the selloff in the first quarter of 2020, the Fund’s subadviser, First Pacific Advisors (FPA), was positioned defensively with lower duration and credit exposure. This helped them to quickly deploy capital after March 2020 and take advantage of the market dislocations by adding risk exposures at lower valuation levels. The sleeve beat the Fund’s benchmark every single month in the past 12 months and has been the biggest performance contributor for fiscal year 2021.
The Fund’s credit exposures also added value to relative performance. Our moves in April 2020 to add to credit and other spread sectors further aided performance. Our allocation to short-term TIPS was another bright spot as breakevens continue to recover and reached historical high levels.
On the flip side, while the Fund benefited from the intermediate term Treasury exposures during the selloffs, it certainly hurt performance in the last 12 months as yield curve steepened. Money market and short-term Treasuries allocations detracted from relative performance as well. With the short-end rate cut towards zero, the yield on offer fell meaningfully.
Investment Subadviser:
First Pacific Advisors, LP
Diversified portfolio of short-duration, fixed-income securities designed to anchor a portfolio of defensive assets.
32
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Defensive Bond Fund
Performance at a glance
| | | | | | | | |
Average Total Returns as of 04/30/21 | | | 1 year | 3 | | | Since Inception | 4 |
Morningstar Defensive Bond Fund | | | 3.56 | % | | | 3.53 | % |
Bloomberg Barclays U.S. Aggregate Bond Index1 | | | -0.27 | % | | | 6.49 | % |
Bloomberg Barclays U.S. Aggregate 1-3 Year Index2 | | | 0.72 | % | | | 3.31 | % |
Illustration of an assumed investment of $10,000
The following graph depicts the performance of Morningstar Defensive Bond Fund shares versus the Bloomberg Barclays U.S. Aggregate Bond Index and the Bloomberg Barclays U.S. Aggregate 1-3 Year Index (“the Indicies”) from its inception (November 2, 2018) to April 30, 2021 (the Fund’s fiscal year end). Shares held through advisory programs may be subject to a program fee, which, if included, would have reduced performance. The performance provided does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results. Share price and returns will vary with market conditions; investors may realize a gain or loss upon redemption. It is important to note that Morningstar Defensive Bond Fund is a professionally managed portfolio while the Indices are not available for direct investment, are unmanaged and do not include fees, expenses or taxes. The comparison is shown for illustration purposes only.
Morningstar Defensive Bond Fund
This chart does not imply future performance.
1The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based, flagship benchmark that measures the investment grade, U.S.-dollar-denominated, fixed-rate, taxable bond market. Investors should note that indices do not reflect the deduction of fees, expenses or taxes. The Bloomberg Barclays U.S. Aggregate Bond Index has been added in order to provide shareholders with a broader market comparison.
2The Bloomberg Barclays U.S. Aggregate 1-3 Year Index consists of publicly issued, investment-grade corporate, U.S. Treasury and government agency securities with remaining maturities of one to three years, and is the index against which the Fund is primarily managed. Investors should note that indices do not reflect the deduction of fees, expenses or taxes.
3Represents performance from May 1, 2020 to April 30, 2021.
4Inception Date is November 2, 2018. Returns are annualized for periods greater than 1 year.
Past performance does not predict future performance, and the performance information provided, does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Shares held through advisory programs are subject to a program fee, which, if included, would have reduced performance. The return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance results assume reinvestment of all dividends and capital gain distributions at net asset value on the ex-dividend dates. Current performance may be higher or lower than the performance data quoted. For performance current to the most recent month-end, please go to https://connect.rightprospectus.com/Morningstar.
33
Morningstar Funds Trust April 30, 2021
Fund Information (unaudited)
|
|
Morningstar Multisector Bond Fund |
| | | | |
General Information | | | | |
Net Asset Value Per Share | | | $10.52 | |
Total Net Assets (millions) | | | $237 | |
Net Expense Ratio(a) | | | 0.79% | |
Gross Expense Ratio(a) | | | 0.91% | |
Portfolio Turnover Rate | | | 127% | |
Number of Issuers | | | 460 | |
Fund Inception | | | November 2, 2018 | |
No sales charges or distribution fees | | | | |
| | | | |
Portfolio Characteristics | | | | |
Effective Duration (years)(b) | | | 4.8 | |
Non-USD Exposure(c)(d)(e) | | | 36.9% | |
| | | | |
Five Largest Issuers (%)(c)(d)(f) | | | | |
Mexican Bonos Desarollo | | | 4.4 | |
Government of Indonesia | | | 4.1 | |
Republic of South Africa | | | 2.8 | |
Nota Do Tesouro Nacional | | | 2.1 | |
Poland Government Bond | | | 1.9 | |
| | | | |
Credit Quality (%)(c)(d)(g) | | | | |
U.S. Treasury | | | 0.3 | |
AAA | | | 0.7 | |
AA | | | 2.3 | |
A | | | 5.8 | |
BBB | | | 16.2 | |
BB | | | 25.7 | |
B | | | 17.2 | |
CCC | | | 5.6 | |
C | | | 0.1 | |
Not Rated | | | 12.8 | |
| | | | |
Sector Diversification (%)(c)(d) | | | | |
Government | | | 46.1 | |
Energy | | | 7.6 | |
Financial | | | 7.2 | |
Consumer, Cyclical | | | 6.3 | |
Communications | | | 6.1 | |
Consumer, Noncyclical | | | 4.9 | |
Industrial | | | 2.8 | |
Basic Materials | | | 2.6 | |
Utilities | | | 1.3 | |
Asset Backed Securities | | | 0.7 | |
Technology | | | 0.6 | |
Mortgage Securities | | | 0.5 | |
| | | | |
Region Diversification (%)(c)(d) | | | | |
United States | | | 24.6 | |
Latin America | | | 18.1 | |
Pacific (excluding Japan) | | | 17.5 | |
Europe (excluding United Kingdom) | | | 9.2 | |
Africa | | | 8.9 | |
Middle East | | | 7.1 | |
Canada | | | 0.9 | |
United Kingdom | | | 0.4 | |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 0.80% (the Base Expense Limitation Agreement). In
34
Morningstar Funds Trust April 30, 2021
Fund Information (unaudited) (continued)
Morningstar Multisector Bond Fund
addition to the Base Expense Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 0.80% (the Supplemental Expense Limitation Agreement).
(b) Effective duration is a measure of a Fund’s interest-rate sensitivity—the longer a Fund’s duration, the more sensitive the Fund is to shifts in interest rates. Duration is determined by a formula that includes coupon rates and bond maturities. Small coupons tend to increase duration, while shorter maturities and higher coupons shorten duration.
(c) Percentages shown are based on Net Assets.
(d) Excludes Common Stocks, Convertible Preferred Stocks, and Other.
(e) Non-USD currency exposure for the Fund reflects the value of the portfolio’s non-U.S. dollar denominated investments, as well as the impact of currency derivatives.
(f) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of current or future trading activity.
(g) Credit quality ratings are based on the conservative average of Moody’s, S&P Global and Fitch ratings. If ratings from all three rating agencies disagree, the model assigns the middle rating to the security. If two of the three agree, the model assigns the rating from those two to the security. If none of these three rating agencies has assigned a rating, the Fund will assign a rating of not rated. The ratings, expressed in S&P Global’s nomenclature, range from AAA (extremely strong capacity to meet its financial commitment) to D (in default). Short-term ratings, expressed in S&P Global’s nomenclature, range from A1 to D (in default). The ratings represent the rating agencies’ opinions of the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality.
35
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited)
|
|
Morningstar Multisector Bond Fund |
Investment Objective
Morningstar Multisector Bond Fund seeks total return through a combination of current income and capital appreciation.
Investment Strategies
In seeking total return through a combination of current income and capital appreciation, the Fund will normally invest at least 80% of its assets in debt securities (commonly referred to as “bonds”) of varying maturity, duration, and quality across various sectors of the fixed-income market. These may include U.S. and non-U.S. corporate debt securities, U.S. and non-U.S. government debt securities, emerging-market debt securities, mortgage-backed and asset-backed securities, municipal securities, and floating-rate notes.
The Fund may invest without limit in fixed-income securities that are rated below investment grade (commonly known as “junk bonds”), or if unrated, are determined by the Fund’s subadviser(s) to be of comparable quality. The Fund may invest without limit in securities denominated in foreign currencies and in U.S. dollar-denominated securities of foreign issuers.
The Fund may invest in securities acquired in a private placement, such as Rule 144A securities, as well as derivatives, including options, futures, swaps, and forward foreign currency contracts, for risk management purposes or as part of its investment strategies. Due to the opportunistic nature of its strategy, the Fund may also invest up to 20% of its assets in equity securities, including common stocks and convertible securities. The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs). The Fund employs a multimanager, subadvised structure.
Investment Commentary
The Morningstar Multisector Bond Fund returned 14.79% for the fiscal year ending April 30, 2021, underperforming the Fund’s blended benchmark (50% Bloomberg Barclays U.S. Corporate High Yield Index, 25% J.P. Morgan EMBI Global TR Index, 25% JPM GBI-EM Global Diversified), which returned 16.12% for the same period.
The fiscal year was a period of robust gains for areas of the fixed-income market that this Fund invests, including U.S. high yield bonds and emerging-market debt. Following the COVID-19 related sell-off in early 2020 these asset classes were attractively priced due to the dramatic increase in credit spreads and depressed emerging market currencies. As the global markets recovered following the quick action taken by the Federal Reserve and other global institutions the assets in this Fund recovered and as positive news came out regarding vaccine developments in the latter parts of 2020, market sentiment turned even more positive providing additional tailwinds to the asset classes in the Fund.
Our decision to meaningfully shift to U.S. high yield bonds from a global bond strategy managed by Franklin Advisers after the market sell-off in 2020 was a meaningful tailwind for the fiscal year as the global bond strategy lagged emerging market debt and U.S high yield bonds considerably. As such, the allocation that remained to Franklin was a lag on benchmark relative performance. The performance of Loomis Sayles and TCW Investment Management Company were contributors as they beat their benchmarks of corporate high yield and blended emerging market debt, respectively.
36
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Multisector Bond Fund
The Fund’s overweight positioning to emerging market debt relative to U.S. high-yield was a detractor to performance for the trailing 12 months. However, the Fund’s overweight to non-US dollar currencies was a boost to performance for the fiscal year as the US dollar depreciated versus most currencies over that stretch.
While the Fund’s use of derivatives during the fiscal year ended April 30, 2021 was not insignificant, derivatives did not materially impact the Fund’s overall performance for the period.
Investment Subadvisers:
Franklin Advisers, Inc.
Benchmark-agnostic investment strategy with opportunistic exposure to interest rates, credit and currencies across both developed and emerging bond markets.
Loomis, Sayles & Company, L.P.
High-yield bond exposure with opportunistic bond allocations to bank loans, convertible bonds, investment-grade credit, agency and non-agency mortgage-backed securities.
TCW Investment Management Company LLC
Diversified, emerging-markets bond exposure across hard-currency, local-currency, and corporate emerging-markets debt.
37
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Multisector Bond Fund
Performance at a glance
| | | | | | | | |
| Average Total Returns as of 04/30/21 | | 1 year2 | | | Since Inception3 | |
Morningstar Multisector Bond Fund | | | 14.79 | % | | | 5.99 | % |
Morningstar Multisector Bond Blended Index1 | | | 16.12 | % | | | 7.12 | % |
Illustration of an assumed investment of $10,000
The following graph depicts the performance of Morningstar Multisector Bond Fund shares versus the Morningstar Multisector Bond Blended Index (“the Index”) from its inception (November 2, 2018) to April 30, 2021 (the Fund’s fiscal year end). Shares held through advisory programs may be subject to a program fee, which, if included, would have reduced performance. The performance provided does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results. Share price and returns will vary with market conditions; investors may realize a gain or loss upon redemption. It is important to note that Morningstar Multisector Bond Fund is a professionally managed portfolio while the Index is not available for direct investment, is unmanaged and does not include fees, expenses or taxes. The comparison is shown for illustration purposes only.
Morningstar Multisector Bond Fund
This chart does not imply future performance.
1The Morningstar Multisector Bond Blended Index is composed of 50% Bloomberg Barclays U.S. Corporate High Yield Index, 25% J.P. Morgan EMBI Global TR Index, and 25% J.P. Morgan Government Bond Index-Emerging Markets Global Diversified. The Bloomberg Barclays U.S. Corporate High Yield Index represents the universe of fixed rate, non-investment grade securities in which the Fund invests. JPMorgan Emerging Markets Bond Index Global: The EMBI Global tracks total returns for US dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds. JPMorgan Government Bond Index-Emerging Markets Global Diversified Index: The GBI-EM Global Diversified is a global local Emerging Markets index, and consists of regularly traded, liquid fixed-rate, domestic currency government bonds to which international investors can gain exposure. Investors should note that indices do not reflect the deduction of fees, expenses or taxes.
2Represents performance from May 1, 2020 to April 30, 2021.
3Inception Date is November 2, 2018. Returns are annualized for periods greater than 1 year.
Past performance does not predict future performance, and the performance information provided, does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Shares held through advisory programs are subject to a program fee, which, if included, would have reduced performance. The return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance results assume reinvestment of all dividends and capital gain distributions at net asset value on the ex-dividend dates. Current performance may be higher or lower than the performance data quoted. For performance current to the most recent month-end, please go to https://connect.rightprospectus.com/Morningstar.
38
Morningstar Funds Trust April 30, 2021
Fund Information (unaudited)
|
|
Morningstar Unconstrained Allocation Fund |
| | | | |
General Information | | | | |
Net Asset Value Per Share | | | $12.08 | |
Total Net Assets (millions) | | | $211 | |
Net Expense Ratio(a) | | | 0.74% | |
Gross Expense Ratio(a) | | | 0.78% | |
Portfolio Turnover Rate | | | 52% | |
Fund Inception | | | November 2, 2018 | |
No sales charges or distribution fees | | | | |
| | | | |
| | | | |
| |
Equity Portfolio (15.5%) | | | | |
| | | | | |
Number of Common Stocks | | | 29 | |
| | | | |
| | | | |
Five Largest Sectors (%)(b)(c) | | | | |
Consumer, Noncyclical | | | 8.4 | |
Utilities | | | 2.3 | |
Communications | | | 1.9 | |
Industrial | | | 1.5 | |
Consumer, Cyclical | | | 0.8 | |
| | | | |
Ten Largest Equities (%)(b)(c)(d) | | | | |
CVS Health Corp. | | | 1.0 | |
H&R Block, Inc. | | | 1.0 | |
Nielsen Holdings PLC | | | 1.0 | |
Fresenius Medical Care A.G. & Co. KGaA | | | 0.9 | |
Omnicom Group, Inc. | | | 0.8 | |
McKesson Corp. | | | 0.8 | |
Ferrovial S.A. | | | 0.7 | |
National Grid PLC | | | 0.7 | |
SES S.A. | | | 0.6 | |
MEDNAX, Inc. | | | 0.5 | |
| | | | |
| |
Fixed Income Portfolio (13.8%) | | | | |
| | | | | |
Number of Issuers | | | 32 | |
| | | | |
Sector Diversification (%)(b)(e) | | | | |
Government | | | 11.0 | |
Energy | | | 1.0 | |
Financial | | | 0.8 | |
Consumer, Cyclical | | | 0.6 | |
Industrial | | | 0.4 | |
| | | | |
Five Largest Issuers (%)(b)(d)(e) | | | | |
U.S. Treasury | | | 6.0 | |
Mexican Bonos Desarollo | | | 1.3 | |
Republic of South Africa | | | 0.7 | |
Malaysia Government | | | 0.6 | |
Titulos De Tesoreria | | | 0.5 | |
| | | | |
Credit Quality (%)(b)(d)(f) | | | | |
U.S. Treasury | | | 6.0 | |
AAA | | | 0.3 | |
AA | | | 0.6 | |
A | | | 1.5 | |
BBB | | | 3.5 | |
BB | | | 1.9 | |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 1.00% (the Base Expense Limitation Agreement). In addition to the Base Expense Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 0.93% (the Supplemental Expense Limitation Agreement).
(b) Percentages shown are based on Net Assets.
(c) Excludes Investment Companies and Other.
(d) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of current or future trading activity.
(e) Excludes Investment Companies, Common Stocks and Other.
39
Morningstar Funds Trust April 30, 2021
Fund Information (unaudited) (continued)
Morningstar Unconstrained Allocation Fund
(f) Credit quality ratings are based on the conservative average of Moody’s, S&P Global and Fitch ratings. If ratings from all three rating agencies disagree, the model assigns the middle rating to the security. If two of the three agree, the model assigns the rating from those two to the security. If none of these three rating agencies has assigned a rating, the Fund will assign a rating of not rated. The ratings, expressed in S&P Global’s nomenclature, range from AAA (extremely strong capacity to meet its financial commitment) to D (in default). Short-term ratings, expressed in S&P Global’s nomenclature, range from A1 to D (in default). The ratings represent the rating agencies’ opinions of the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality.
40
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited)
|
|
Morningstar Unconstrained Allocation Fund |
Investment Objective
Morningstar Unconstrained Allocation Fund seeks long-term capital appreciation over a full market cycle.
Investment Strategies
In seeking long-term capital appreciation over a full market cycle, the Fund has significant flexibility and invests across asset classes and geographies according to the portfolio management team’s assessment of their valuations and fundamental characteristics.
The Fund invests in equity securities, which may include common stocks and real estate investment trusts (REITs). The Fund may invest in companies of any size from any country, including emerging markets.
To meet its objective, the Fund may also invest in fixed-income securities of varying maturity, duration, and quality. These may include U.S. and non-U.S. corporate debt securities, U.S. government debt securities including Treasury Inflation Protected Bond Securities and zero-coupon securities, non-U.S. government debt securities, emerging-market debt securities, and mortgage-backed and asset-backed securities. The Fund may invest without limit in fixed-income securities that are rated below investment grade (commonly known as junk bonds) or, if unrated, are determined by the Fund’s subadviser(s) to be of comparable quality.
The Fund may also invest in derivatives, including options, futures, swaps, and forward foreign currency contracts, for risk management purposes or as part of its investment strategies. The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs), which could represent a significant percentage of assets. The Fund employs a multimanager, subadvised structure.
Investment Commentary
The Morningstar Unconstrained Allocation Fund gained 34.01% for the 12 months through April 30, 2021, outperforming the Fund’s blended benchmark (50% Bloomberg Barclays Multiverse Total Return Index, 50% Morningstar Global Markets NR Index), which returned 24.52% for the same period.
Following the steep decline to risk assets during the early 2020 sell-off, the Fund increased exposures to more cyclical assets including moving from bonds to equities broadly, as well as increasing positions in specific economically sensitive sectors such as energy and financials. This paid off during the record market recovery.
Gains by subadviser Lazard Asset Management were a further tailwind on the Fund’s 12-month absolute and relative returns, as were strong returns by Brandywine Asset Management, which runs an unconstrained bond mandate. Heavy positioning in foreign currencies were also a boost to relative returns as the dollar weakened for the period versus most currencies.
Mitigating some of the gains in the Fund were positions in long-term Treasuries which are in the Fund to act as a hedge against the portfolio’s cyclical exposures but lost value as the economic recovery led to an increase in bond yields. Positions in European Telecoms and US Consumer Staples were also drags on relative performance despite posting strong positive returns on an absolute basis.
41
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Unconstrained Allocation Fund
While the Fund’s use of derivatives during the fiscal year ended April 30, 2021 was not insignificant, derivatives did not materially impact the Fund’s overall performance for the period.
Investment Subadvisers:
Lazard Asset Management LLC
Anchor global equity exposure focused on quality, attractively valued stocks, which have appeal throughout a market cycle.
Brandywine Global Investment Management, LLC
Global fixed income strategy designed to serve as an anchor position.
42
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Unconstrained Allocation Fund
Performance at a glance
| | | | | | | | |
| Average Total Returns as of 04/30/21 | | 1 year2 | | | Since Inception3 | |
Morningstar Unconstrained Allocation Fund | | | 34.01 | % | | | 11.36 | % |
Morningstar Unconstrained Allocation Blended Index1 | | | 24.52 | % | | | 12.02 | % |
Illustration of an assumed investment of $10,000
The following graph depicts the performance of Morningstar Unconstrained Allocation Fund shares versus the Morningstar Unconstrained Allocation Blended Index (“the Index”) from its inception (November 2, 2018) to April 30, 2021 (the Fund’s fiscal year end). Shares held through advisory programs may be subject to a program fee, which, if included, would have reduced performance. The performance provided does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results. Share price and returns will vary with market conditions; investors may realize a gain or loss upon redemption. It is important to note that Morningstar Unconstrained Allocation Fund is a professionally managed portfolio while the Index is not available for direct investment, is unmanaged and does not include fees, expenses or certain taxes. The comparison is shown for illustration purposes only.
Morningstar Unconstrained Allocation Fund
This chart does not imply future performance.
1The Morningstar Unconstrained Allocation Blended Index is composed of 50% Morningstar Global Markets NR Index and 50% Bloomberg Barclays Multiverse Total Return Index. The Morningstar Global Markets NR Index captures the performance of the stocks located in the developed and emerging countries across the world, excluding the United States. The Bloomberg Barclays Multiverse Total Return Index provides a broad-based measure of the global fixed-income bond market. Net total return indices reinvest dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident individuals who do not benefit from double taxation treaties. Investors should note that such indices do not reflect the deduction of fees, expenses or other taxes.
2Represents performance from May 1, 2020 to April 30, 2021.
3Inception Date is November 2, 2018. Returns are annualized for periods greater than 1 year.
Past performance does not predict future performance, and the performance information provided, does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Shares held through advisory programs are subject to a program fee, which, if included, would have reduced performance. The return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance results assume reinvestment of all dividends and capital gain distributions at net asset value on the ex-dividend dates. Current performance may be higher or lower than the performance data quoted. For performance current to the most recent month-end, please go to https://connect.rightprospectus.com/Morningstar.
43
Morningstar Funds Trust April 30, 2021
Fund Information (unaudited)
|
|
Morningstar Alternatives Fund |
| | | | |
General Information | | | | |
Net Asset Value Per Share | | | $10.71 | |
Total Net Assets (millions) | | | $328 | |
Net Expense Ratio(a) | | | 1.26% | |
Gross Expense Ratio(a) | | | 1.68% | |
Portfolio Turnover Rate | | | 372% | |
Fund Inception | | | November 2, 2018 | |
No sales charges or distribution fees | | | | |
| | | | |
Allocation Strategy Type (%)(b) | | | | |
Global Macro | | | 59.3 | |
Convertible Arbitrage | | | 36.0 | |
Merger Arbitrage | | | 4.6 | |
Short-term investments and ETFs | | | 0.1 | |
| | | | |
Region Diversification (%)(b)(c) | | | | |
United States | | | 63.9 | |
Europe (excluding United Kingdom) | | | 2.1 | |
United Kingdom | | | 1.2 | |
Pacific (excluding Japan) | | | 1.0 | |
Canada | | | 0.5 | |
Japan | | | 0.4 | |
Latin America | | | 0.4 | |
Africa | | | 0.2 | |
* Includes, if any, cash, short-term investments, receivables, payables, derivatives and investments rounding to less than 0.05%.
(a) Net expense ratio reflects fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses whereas the gross expense ratio does not. The Adviser has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses (AFFE), short sale dividend and interest expenses, litigation expenses, and extraordinary expenses) do not exceed 1.29% (the Base Expense Limitation Agreement). In addition to the Base Expense Limitation Agreement, Morningstar has contractually agreed, through at least August 31, 2021, to waive all or a portion of its advisory fees and, if necessary, to assume certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended) to ensure that the Fund’s Total Annual Fund Operating Expenses (excluding the above listed expenses other than AFFE) do not exceed 1.20% (the Supplemental Expense Limitation Agreement).
(b) Percentages shown are based on Net Assets.
(c) Excludes Investment Companies and Other.
44
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited)
|
|
Morningstar Alternatives Fund |
Investment Objective
Morningstar Alternatives Fund seeks long-term capital appreciation and low sensitivity to traditional U.S. asset classes.
Investment Strategies
In seeking long-term capital appreciation and low sensitivity to traditional U.S. asset classes, the Fund allocates assets to strategies that provide alternative sources of return including (i) long/short macro strategies; (ii) long/short alpha strategies; (iii) merger arbitrage strategy; and (iv) convertible arbitrage strategy. The Fund will normally invest in both U.S. and non-U.S. securities, including securities of companies located in emerging markets. The Fund may invest in non-U.S. dollar denominated investments, including investments denominated in European and Asian currencies and in other non-U.S. and emerging market currencies. The Fund may also seek returns through core allocation across fixed income and equity markets.
In particular, the Fund has the latitude to invest in the following alternative strategies:
Long-Short Equity—Combines long equity positions with short equity positions (selling borrowed securities). Since the strategy is both long and short, total net exposure is typically less than 100%.
Convertible Arbitrage—Includes the purchase of convertible securities and the sale of the underlying common stock. These securities tend to be convertible bonds or convertible preferred stocks that may be converted into the stock of the same company.
Merger Arbitrage—Seeks to profit from the successful completion of corporate re-organizations. The process typically involves purchasing shares of an announced acquisition target company at a discount to their expected value upon completion of the acquisition. Hedging strategies may be used to reduce market exposure and volatility.
Credit Arbitrage—Seeks to exploit the mispricing of different classes of securities that are usually of the same company, and may include investments in investment-grade and/or non-investment-grade corporate debt (otherwise known as junk bonds), credit derivatives, loans, equities, credit index securities, and private debt.
Global Macro—Establishes long (number of contracts bought exceeds number sold) with a short (number of contracts sold exceeds number bought) exposures around the globe to take advantage of what the subadvisers believe to be attractive opportunities. This strategy may include investments in fixed-income and equity securities and a wide variety of derivative instruments. Such investments will likely have significant exposure to foreign investments and may be concentrated in a geographic region or country.
Hedged Equity—Seeks to limit investment loss by creating a transaction that offsets an existing position in a contract that provides the right to buy or sell shares of a security at a specific price for a certain time. Specifically, this strategy attempts to reduce the systematic risk created by factors such as exposures to sectors, market-cap ranges, investment styles, currencies, and/or countries; the strategy strives to achieve this by matching short positions within each area against long positions. This strategy may be managed as beta neutral, dollar-neutral, or sector-neutral in order to achieve low beta exposures to certain market indexes.
45
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Alternatives Fund
Market Neutral—Attempts to significantly reduce the systematic risk created by factors such as exposures to sectors, market-cap ranges, investment styles, currencies, and/or countries. This strategy seeks to achieve this by matching short positions within each area against long positions, and the strategy may be managed as beta-neutral, dollar-neutral, or sector-neutral. In attempting to significantly reduce systematic risk, issue selection may be emphasized, with profits dependent on the ability to sell short and buy long the chosen securities.
Nontraditional Bond—Pursues strategies that diverge in one or more ways from conventional practice in the broader bond-fund universe. In pursuing this strategy, the Fund may seek to avoid losses and produce returns uncorrelated with the overall bond market and may employ a variety of methods to achieve those aims, including investing tactically across a wide swath of individual sectors, including high-yield and foreign debt.
Debt Securities—Investment in debt securities may include U.S. Government and agency securities, foreign government and supranational debt securities, corporate bonds, mortgage-related securities and asset-backed securities, mortgage to-be-announced (“TBA”) securities, emerging market debt securities, preferred securities, structured products, credit-linked notes, mezzanine securities, senior secured floating rate and fixed rate loans or debt, second lien or other subordinated or unsecured floating rate and fixed rate loans or debt, convertible debt securities, and derivatives with similar economic characteristics. These debt securities may be of any credit quality, which may include investment grade securities and high yield securities, including unrated securities (commonly called “junk bonds”). The Fund may invest in fixed, variable and floating rate instruments, including participation and assignments, of any duration or maturity.
Equity Securities—Investment in equity securities may include common stock, preferred stock, securities convertible into common stock, including contingent convertible bonds which are securities convertible into equity if a pre-specified trigger event occurs, and non-convertible preferred stock.
Derivatives—Exposure to equity securities may be done through derivatives which at times may be significant. Types of derivatives include, but are not limited to, swaps, (including total return some of which may be referred to as contracts for difference), credit default, index and interest rate swaps; options; forward contracts; futures; options on futures and swaps; and foreign exchange transactions, for hedging purposes, as well as to enhance returns. Use of derivatives may be to maintain a portion of its portfolio long and short positions. Investments in indexed and inverse securities may also be made to provide a potential return based on a particular index of value or interest rates. This strategy may also include investments in repurchase agreements, reverse repurchase agreements and dollar rolls.
Short Sales—Short sales may be used for hedging purposes or to enhance total return. Short sales “against the box” may also be used. In this type of short sale, at the time of the sale, the Fund owns or has the immediate and unconditional right to acquire the identical security at no additional cost.
Currency—The Fund may invest in non-U.S. dollar denominated investments, including investments denominated in European and Asian currencies and in other non-U.S. and emerging market currencies. As a result, the Fund may have significant exposure to foreign currencies and investments in non-U.S. dollar-based assets may be made on a currency hedged or unhedged basis.
46
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Alternatives Fund
The Fund may invest in derivatives, which at times may be significant, including swaps (including total return which may be referred to as contracts for difference), credit default, index and interest rate swaps; options, forward contracts, futures, options of futures and swaps, and foreign exchange transactions, for hedging purposes, as well as to enhance returns. The Fund may also invest in investment companies such as mutual funds and exchange traded funds (ETFs), which could represent a significant percentage of assets. The Fund employs a multi-manager, subadvised structure.
Investment Commentary
The Morningstar Alternatives Fund returned 8.92% for the 12 months through April 30, 2021, outperforming the Fund’s benchmark (the Morningstar U.S. Cash T-Bill TR USD Index), which returned 0.09% for the same period.
The Fund rallied in mid-to-late 2020 along with traditional equity and fixed income asset classes. This period was characterized by improving economic fundamentals, a sharp compression in credit spreads, and a general risk-on attitude among investors. The Fund’s benchmark eked out a small return over this time frame as short-term interest rates remained near zero. Intermediate- and long-term interest rates rose in the early months of 2021, putting downward pressure on bond prices. The Fund experienced a modest intra-month decline during February 2021 but ended the month roughly flat. Finally, the Fund recorded gains in March and April 2021 as interest rates stabilized somewhat.
All three of the Fund’s subadvisers contributed positively to performance over the 12 months ended April 30, 2021. SSI Investment Management, which manages a convertible-arbitrage sleeve, contributed most meaningfully to performance, buoyed by strong convertible bond returns and above-average volatility. Subadviser Water Island Capital, which manages a merger-arbitrage sleeve for the Fund, also turned in a strong performance after taking advantage of opportunities that arose during the COVID-19 crisis. Lastly, BlackRock Financial Management, which manages a systematic multi-strategy sleeve within the Fund, generated small but positive returns.
Derivatives had a modest effect on Fund performance. Within the Fund’s merger-arbitrage sleeve, derivatives used to implement portfolio-level and deal-level hedges detracted slightly from performance. Within the Fund’s convertible-arbitrage sleeve, option premiums generated through call writing contributed positively to performance.
Investment Subadvisers:
BlackRock Financial Management, Inc.
Seeks to deliver equity upside participation, balanced returns through defensive alpha and diversified fixed income exposure. The systematic, credit-oriented approach can offer downside protection.
SSI Investment Management, LLC
Short-term cash exposure that pursues minimal correlation to broad markets and bond-like volatility through an unlevered convertible arbitrage strategy.
47
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Alternatives Fund
Water Island Capital, LLC
Seeks to provide cash-plus returns while remaining broadly uncorrelated to equity markets.
48
Morningstar Funds Trust April 30, 2021
Performance Summary (unaudited) (continued)
Morningstar Alternatives Fund
Performance at a glance
| | | | | | | | |
| Average Total Returns as of 04/30/21 | | 1 year3 | | | Since Inception4 | |
Morningstar Alternatives Fund | | | 8.92 | % | | | 4.82 | % |
Bloomberg Barclays U.S. Aggregate Bond Index1 | | | -0.27 | % | | | 6.49 | % |
Morningstar U.S. Cash T-Bill TR USD2 | | | 0.09 | % | | | 1.25 | % |
Illustration of an assumed investment of $10,000
The following graph depicts the performance of Morningstar Alternatives Fund shares versus the Bloomberg Barclays U.S. Aggregate Bond Index and the Morningstar U.S. Cash T-Bill TR USD (“the Indicies”) from its inception (November 2, 2018) to April 30, 2021 (the Fund’s fiscal year end). Shares held through advisory programs may be subject to a program fee, which, if included, would have reduced performance. The performance provided does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results. Share price and returns will vary with market conditions; investors may realize a gain or loss upon redemption. It is important to note that Morningstar Alternatives Fund is a professionally managed portfolio while the Indices are not available for direct investment, are unmanaged and do not include fees, expenses or taxes. The comparison is shown for illustration purposes only.
Morningstar Alternatives Fund
This chart does not imply future performance.
1The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based, flagship benchmark that measures the investment grade, U.S.-dollar-denominated, fixed-rate, taxable bond market. Investors should note that indices do not reflect the deduction of fees, expenses or taxes. The Bloomberg Barclays U.S. Aggregate Bond Index has been added in order to provide shareholders with a broader market comparison.
2The Morningstar U.S. Cash T-Bill TR USD index measures the performance of a 13-week U.S. Treasury Bill, and is the index against which the Fund is primarily managed. Investors should note that indices do not reflect the deduction of fees, expenses or taxes. In 2020, the Fund replaced FTSE, its prior U.S. Treasury bill index provider, with Morningstar in order to reduce licensing fees borne by the Fund.
3Represents performance from May 1, 2020 to April 30, 2021.
4Inception Date is November 2, 2018. Returns are annualized for periods greater than 1 year.
Past performance does not predict future performance, and the performance information provided, does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Shares held through advisory programs are subject to a program fee, which, if included, would have reduced performance. The return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance results assume reinvestment of all dividends and capital gain distributions at net asset value on the ex-dividend dates. Current performance may be higher or lower than the performance data quoted. For performance current to the most recent month-end, please go to https://connect.rightprospectus.com/Morningstar.
49
Morningstar Funds Trust April 30, 2021
Schedule of Investments
|
|
Morningstar U.S. Equity Fund |
| | | | | | |
| | | Number of Shares | | | Value |
|
Common Stocks – 79.2% |
Aerospace/Defense – 1.5% | | | | | | |
Barnes Group, Inc. | | | 23,479 | | | $ 1,172,072 |
Boeing (The) Co.* | | | 10,309 | | | 2,415,502 |
Kaman Corp. | | | 36,853 | | | 1,966,108 |
Lockheed Martin Corp. | | | 7,704 | | | 2,931,834 |
Moog, Inc., Class A | | | 25,270 | | | 2,187,118 |
Northrop Grumman Corp. | | | 18,169 | | | 6,439,820 |
Raytheon Technologies Corp. | | | 95,726 | | | 7,968,232 |
| | | | | | | 25,080,686 |
| | |
Agriculture – 0.5% | | | | | | |
Archer-Daniels-Midland Co. | | | 114,424 | | | 7,223,587 |
Philip Morris International, Inc. | | | 15,919 | | | 1,512,305 |
| | | | | | | 8,735,892 |
| | |
Airlines – 0.3% | | | | | | |
Alaska Air Group, Inc.* | | | 54,792 | | | 3,788,319 |
Allegiant Travel Co.* | | | 7,693 | | | 1,813,471 |
| | | | | | | 5,601,790 |
| | |
Apparel – 0.6% | | | | | | |
Carter’s, Inc.* | | | 15,355 | | | 1,670,470 |
Hanesbrands, Inc. | | | 209,383 | | | 4,409,606 |
Oxford Industries, Inc. | | | 12,639 | | | 1,153,056 |
VF Corp. | | | 29,469 | | | 2,583,253 |
| | | | | | | 9,816,385 |
| | |
Auto Manufacturers – 0.7% | | | | | | |
General Motors Co.* | | | 213,034 | | | 12,189,806 |
| | |
Auto Parts & Equipment – 0.6% | | | | | | |
Aptiv PLC* | | | 41,391 | | | 5,955,751 |
BorgWarner, Inc. | | | 92,105 | | | 4,474,461 |
| | | | | | | 10,430,212 |
| | |
Banks – 6.8% | | | | | | |
Bank OZK | | | 174,964 | | | 7,171,774 |
BankUnited, Inc. | | | 84,811 | | | 3,953,041 |
BOK Financial Corp. | | | 33,409 | | | 2,937,987 |
Citigroup, Inc. | | | 226,609 | | | 16,143,625 |
Columbia Banking System, Inc. | | | 49,344 | | | 2,147,944 |
Eagle Bancorp, Inc. | | | 21,273 | | | 1,136,191 |
First Republic Bank | | | 36,988 | | | 6,777,681 |
Goldman Sachs Group (The), Inc. | | | 36,555 | | | 12,737,590 |
Great Western Bancorp, Inc. | | | 68,620 | | | 2,267,891 |
Hilltop Holdings, Inc. | | | 33,557 | | | 1,181,206 |
International Bancshares Corp. | | | 22,645 | | | 1,073,147 |
| | | | | | |
| | | Number of Shares | | | Value |
| | |
Banks (Continued) | | | | | | |
JPMorgan Chase & Co. | | | 114,397 | | | $ 17,595,403 |
Morgan Stanley | | | 136,646 | | | 11,280,127 |
PNC Financial Services Group (The), Inc. | | | 22,258 | | | 4,161,133 |
Renasant Corp. | | | 52,195 | | | 2,198,975 |
Sandy Spring Bancorp, Inc. | | | 50,875 | | | 2,307,690 |
Simmons First National Corp., Class A | | | 73,449 | | | 2,093,297 |
SVB Financial Group* | | | 11,563 | | | 6,612,070 |
Truist Financial Corp. | | | 45,467 | | | 2,696,648 |
Trustmark Corp. | | | 32,454 | | | 1,051,834 |
U.S. Bancorp | | | 77,368 | | | 4,591,791 |
Veritex Holdings, Inc. | | | 60,831 | | | 2,054,871 |
Webster Financial Corp. | | | 40,772 | | | 2,157,247 |
| | | | | | | 116,329,163 |
| | |
Beverages – 1.4% | | | | | | |
Anheuser-Busch InBev S.A./N.V. ADR (Belgium) | | | 49,257 | | | 3,495,277 |
Diageo PLC (United Kingdom) | | | 101,766 | | | 4,568,420 |
Duckhorn Portfolio (The), Inc.* | | | 54,201 | | | 1,014,101 |
Molson Coors Beverage Co., Class B* | | | 47,747 | | | 2,623,698 |
Monster Beverage Corp.* | | | 59,392 | | | 5,763,993 |
PepsiCo, Inc. | | | 16,514 | | | 2,380,658 |
Primo Water Corp. | | | 238,519 | | | 3,992,808 |
| | | | | | | 23,838,955 |
| | |
Biotechnology – 0.6% | | | | | | |
Amgen, Inc. | | | 32,541 | | | 7,798,125 |
BioMarin Pharmaceutical, Inc.* | | | 36,598 | | | 2,851,716 |
| | | | | | | 10,649,841 |
| | |
Building Materials – 1.4% | | | | | | |
Griffon Corp. | | | 40,242 | | | 1,091,363 |
Johnson Controls International PLC | | | 66,780 | | | 4,163,065 |
Masco Corp. | | | 47,699 | | | 3,047,012 |
Masonite International Corp.* | | | 16,982 | | | 2,144,657 |
Owens Corning | | | 73,600 | | | 7,125,216 |
Trex Co., Inc.* | | | 30,340 | | | 3,276,417 |
UFP Industries, Inc. | | | 27,001 | | | 2,269,164 |
| | | | | | | 23,116,894 |
| | |
Chemicals – 2.8% | | | | | | |
Ashland Global Holdings, Inc. | | | 49,172 | | | 4,239,118 |
Balchem Corp. | | | 18,647 | | | 2,371,712 |
DuPont de Nemours, Inc. | | | 198,235 | | | 15,285,901 |
See accompanying Notes to Financial Statements
50
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar U.S. Equity Fund
| | | | | | |
| | | Number of Shares | | | Value |
| | |
Chemicals (Continued) | | | | | | |
Ecolab, Inc. | | | 22,651 | | | $ 5,076,542 |
Innospec, Inc. | | | 10,603 | | | 1,032,838 |
International Flavors & Fragrances, Inc. | | | 5,172 | | | 735,304 |
PPG Industries, Inc. | | | 35,437 | | | 6,068,232 |
PQ Group Holdings, Inc. | | | 76,930 | | | 1,077,020 |
Sherwin-Williams (The) Co. | | | 14,074 | | | 3,854,446 |
Stepan Co. | | | 17,182 | | | 2,245,000 |
Valvoline, Inc. | | | 95,274 | | | 2,991,604 |
W.R. Grace & Co. | | | 44,345 | | | 3,047,832 |
| | | | | | | 48,025,549 |
| | |
Commercial Services – 2.0% | | | | | | |
Avalara, Inc.* | | | 6,029 | | | 854,370 |
Cimpress PLC (Ireland)* | | | 10,270 | | | 978,320 |
Equifax, Inc. | | | 16,693 | | | 3,826,536 |
Euronet Worldwide, Inc.* | | | 12,251 | | | 1,757,161 |
Grand Canyon Education, Inc.* | | | 10,121 | | | 1,096,003 |
HealthEquity, Inc.* | | | 34,662 | | | 2,633,272 |
IHS Markit Ltd. | | | 66,750 | | | 7,180,965 |
Monro, Inc. | | | 60,273 | | | 4,254,671 |
Moody’s Corp. | | | 5,492 | | | 1,794,291 |
Paylocity Holding Corp.* | | | 4,946 | | | 955,765 |
Repay Holdings Corp.* | | | 96,176 | | | 2,197,622 |
Terminix Global Holdings, Inc.* | | | 44,156 | | | 2,247,099 |
WEX, Inc.* | | | 9,924 | | | 2,036,504 |
WW International, Inc.* | | | 74,365 | | | 2,062,885 |
| | | | | | | 33,875,464 |
| | |
Computers – 2.6% | | | | | | |
Accenture PLC, Class A | | | 27,653 | | | 8,018,540 |
Apple, Inc. | | | 112,108 | | | 14,737,718 |
Check Point Software Technologies Ltd. (Israel)* | | | 56,946 | | | 6,651,862 |
Cognizant Technology Solutions Corp., Class A | | | 41,057 | | | 3,300,983 |
CyberArk Software Ltd.* | | | 16,696 | | | 2,345,788 |
EPAM Systems, Inc.* | | | 3,220 | | | 1,473,955 |
International Business Machines Corp. | | | 56,427 | | | 8,005,863 |
| | | | | | | 44,534,709 |
| |
Cosmetics/Personal Care – 0.4% | | | |
Colgate-Palmolive Co. | | | 29,512 | | | 2,381,619 |
Unilever PLC ADR (United Kingdom) | | | 74,842 | | | 4,394,722 |
| | | | | | | 6,776,341 |
| | |
Distribution/Wholesale – 1.1% | | | | | | |
Avient Corp. | | | 43,454 | | | 2,206,160 |
| | | | | | |
| | | Number
of Shares | | | Value |
|
Distribution/Wholesale (Continued) |
Pool Corp. | | | 7,221 | | | $ 3,051,017 |
SiteOne Landscape Supply, Inc.* | | | 6,095 | | | 1,093,321 |
W.W. Grainger, Inc. | | | 15,359 | | | 6,658,741 |
WESCO International, Inc.* | | | 59,106 | | | 5,421,202 |
| | | | | | | 18,430,441 |
|
Diversified Financial Services – 3.1% |
American Express Co. | | | 32,693 | | | 5,013,472 |
BlackRock, Inc. | | | 5,732 | | | 4,696,228 |
Cohen & Steers, Inc. | | | 24,948 | | | 1,696,963 |
Discover Financial Services | | | 22,786 | | | 2,597,604 |
Franklin Resources, Inc. | | | 36,316 | | | 1,089,480 |
Hamilton Lane, Inc., Class A | | | 43,048 | | | 3,893,692 |
Moelis & Co., Class A | | | 39,957 | | | 2,168,866 |
Mr. Cooper Group, Inc.* | | | 75,930 | | | 2,618,066 |
Nasdaq, Inc. | | | 32,106 | | | 5,186,403 |
Piper Sandler Cos. | | | 19,067 | | | 2,211,581 |
PROG Holdings, Inc. | | | 58,643 | | | 2,987,274 |
T. Rowe Price Group, Inc. | | | 6,088 | | | 1,090,970 |
Visa, Inc., Class A | | | 76,058 | | | 17,764,106 |
| | | | | | | 53,014,705 |
| | |
Electric – 2.1% | | | | | | |
American Electric Power Co., Inc. | | | 27,371 | | | 2,428,081 |
Avista Corp. | | | 45,126 | | | 2,076,699 |
CenterPoint Energy, Inc. | | | 409,633 | | | 10,031,912 |
Dominion Energy, Inc. | | | 56,145 | | | 4,485,985 |
Duke Energy Corp. | | | 68,095 | | | 6,856,486 |
NorthWestern Corp. | | | 32,502 | | | 2,211,111 |
Southern (The) Co. | | | 84,281 | | | 5,576,874 |
Xcel Energy, Inc. | | | 23,710 | | | 1,690,523 |
| | | | | | | 35,357,671 |
|
Electrical Component & Equipment – 0.8% |
Emerson Electric Co. | | | 111,788 | | | 10,115,696 |
Encore Wire Corp. | | | 15,548 | | | 1,161,125 |
Novanta, Inc.* | | | 15,092 | | | 1,987,767 |
| | | | | | | 13,264,588 |
| | |
Electronics – 1.1% | | | | | | |
Avnet, Inc. | | | 25,557 | | | 1,122,464 |
Honeywell International, Inc. | | | 37,676 | | | 8,403,255 |
nVent Electric PLC | | | 144,423 | | | 4,397,680 |
Sensata Technologies Holding PLC* | | | 90,573 | | | 5,229,685 |
| | | | | | | 19,153,084 |
|
Engineering & Construction – 0.1% |
Comfort Systems USA, Inc. | | | 27,704 | | | 2,281,701 |
See accompanying Notes to Financial Statements
51
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar U.S. Equity Fund
| | | | | | |
| | | Number of Shares | | | Value |
| | |
Entertainment – 0.7% | | | | | | |
Red Rock Resorts, Inc., Class A* | | | 206,734 | | | $ 7,572,666 |
Vail Resorts, Inc.* | | | 13,244 | | | 4,306,419 |
| | | | | | | 11,879,085 |
| | |
Environmental Control – 0.2% | | | | | | |
Stericycle, Inc.* | | | 48,037 | | | 3,664,262 |
| | |
Food –1.3% | | | | | | |
Flowers Foods, Inc. | | | 90,221 | | | 2,161,695 |
Hostess Brands, Inc.* | | | 148,049 | | | 2,263,669 |
J&J Snack Foods Corp. | | | 14,093 | | | 2,319,849 |
JM Smucker (The) Co. | | | 6,569 | | | 860,473 |
Nestle S.A. (Switzerland)(a) | | | 42,860 | | | 5,114,514 |
Post Holdings, Inc.* | | | 72,970 | | | 8,302,527 |
TreeHouse Foods, Inc.* | | | 23,973 | | | 1,141,115 |
| | | | | | | 22,163,842 |
| | |
Food Service – 0.1% | | | | | | |
Healthcare Services Group, Inc. | | | 71,917 | | | 2,153,914 |
| |
Forest Products & Paper – 0.6% | | | |
International Paper Co. | | | 173,363 | | | 10,055,054 |
| | |
Gas – 0.6% | | | | | | |
South Jersey Industries, Inc. | | | 204,988 | | | 5,073,453 |
UGI Corp. | | | 128,001 | | | 5,594,924 |
| | | | | | | 10,668,377 |
| | |
Hand/Machine Tools – 0.2% | | | | | | |
Stanley Black & Decker, Inc. | | | 19,003 | | | 3,929,250 |
| | |
Healthcare - Products – 3.2% | | | | | | |
Abbott Laboratories | | | 40,182 | | | 4,825,055 |
Alcon, Inc. (Switzerland)* | | | 66,174 | | | 4,991,505 |
Boston Scientific Corp.* | | | 165,687 | | | 7,223,953 |
CONMED Corp. | | | 16,130 | | | 2,273,523 |
Danaher Corp. | | | 20,823 | | | 5,287,793 |
Intuitive Surgical, Inc.* | | | 1,366 | | | 1,181,590 |
Medtronic PLC | | | 65,143 | | | 8,528,521 |
Merit Medical | | | | | | |
Systems, Inc.* | | | 35,358 | | | 2,248,769 |
Neogen Corp.* | | | 25,818 | | | 2,478,786 |
Patterson Cos., Inc. | | | 34,441 | | | 1,106,934 |
Thermo Fisher Scientific, Inc. | | | 31,371 | | | 14,751,585 |
| | | | | | | 54,898,014 |
| | |
Healthcare - Services – 1.4% | | | | | | |
Ensign Group (The), Inc. | | | 34,756 | | | 2,983,803 |
ICON PLC (Ireland)* | | | 16,419 | | | 3,562,102 |
| | | | | | |
| | | Number of Shares | | | Value |
| |
Healthcare - Services (Continued) | | | |
Medpace Holdings, Inc.* | | | 17,166 | | | $ 2,912,727 |
Pennant Group (The), Inc.* | | | 23,753 | | | 960,096 |
UnitedHealth Group, Inc. | | | 33,638 | | | 13,414,834 |
| | | | | | | 23,833,562 |
| |
Holding Companies - Diversified – 0.1% | | | |
Empower Ltd., Class A* | | | 107,390 | | | 1,072,826 |
Juniper Industrial Holdings, Inc., Class A* | | | 49,681 | | | 657,777 |
| | | | | | | 1,730,603 |
| | |
Home Builders – 0.6% | | | | | | |
Century Communities, Inc.* | | | 33,039 | | | 2,442,904 |
Installed Building Products, Inc. | | | 14,941 | | | 2,011,806 |
NVR, Inc.* | | | 1,095 | | | 5,494,819 |
| | | | | | | 9,949,529 |
| |
Household Products/Wares – 0.4% | | | |
Central Garden & Pet Co., Class A* | | | 41,419 | | | 2,040,714 |
Kimberly-Clark Corp. | | | 17,319 | | | 2,308,969 |
Reckitt Benckiser Group PLC (United Kingdom) | | | 20,984 | | | 1,868,367 |
| | | | | | | 6,218,050 |
| | |
Insurance – 4.9% | | | | | | |
American International Group, Inc. | | | 277,775 | | | 13,458,199 |
Aon PLC, Class A | | | 30,976 | | | 7,788,606 |
Argo Group International Holdings Ltd. | | | 40,480 | | | 2,112,246 |
Berkshire Hathaway, Inc., Class B* | | | 37,494 | | | 10,308,975 |
Brighthouse Financial, Inc.* | | | 53,105 | | | 2,484,783 |
Chubb Ltd. | | | 39,416 | | | 6,763,391 |
Enstar Group Ltd.* | | | 6,849 | | | 1,720,332 |
Hartford Financial Services Group (The), Inc. | | | 58,127 | | | 3,834,057 |
James River Group Holdings Ltd. | | | 46,726 | | | 2,201,262 |
Loews Corp. | | | 166,385 | | | 9,275,964 |
Marsh & McLennan Cos., Inc. | | | 45,347 | | | 6,153,588 |
Progressive (The) Corp. | | | 33,302 | | | 3,354,844 |
Reinsurance Group of America, Inc. | | | 12,206 | | | 1,593,249 |
RenaissanceRe Holdings Ltd. | | | 12,572 | | | 2,122,279 |
Travelers (The) Cos., Inc. | | | 26,752 | | | 4,137,464 |
Voya Financial, Inc. | | | 94,843 | | | 6,432,252 |
| | | | | | | 83,741,491 |
See accompanying Notes to Financial Statements
52
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar U.S. Equity Fund
| | | | | | |
| | | Number of Shares | | | Value |
| | |
Internet – 5.9% | | | | | | |
1-800-Flowers.com, Inc., Class A* | | | 44,977 | | | $ 1,438,140 |
Alibaba Group Holding Ltd. ADR (China)* | | | 20,534 | | | 4,742,327 |
Amazon.com, Inc.* | | | 9,988 | | | 34,632,591 |
Booking Holdings, Inc.* | | | 2,158 | | | 5,321,801 |
eBay, Inc. | | | 102,292 | | | 5,706,871 |
Facebook, Inc., Class A* | | | 72,707 | | | 23,635,592 |
Open Lending Corp., Class A* | | | 56,342 | | | 2,200,155 |
Palo Alto Networks, Inc.* | | | 22,139 | | | 7,823,701 |
Proofpoint, Inc.* | | | 15,586 | | | 2,682,506 |
Q2 Holdings, Inc.* | | | 11,209 | | | 1,165,960 |
Sea Ltd. ADR (Taiwan)* | | | 14,870 | | | 3,755,270 |
Uber Technologies, Inc.* | | | 142,189 | | | 7,787,691 |
| | | | | | | 100,892,605 |
| | |
Leisure Time – 0.3% | | | | | | |
Camping World Holdings, Inc., Class A | | | 24,426 | | | 1,063,508 |
Polaris, Inc. | | | 12,791 | | | 1,791,124 |
YETI Holdings, Inc.* | | | 30,222 | | | 2,581,563 |
| | | | | | | 5,436,195 |
| | |
Lodging – 0.1% | | | | | | |
Marriott International, Inc., Class A* | | | 7,836 | | | 1,163,803 |
| | |
Machinery - Diversified – 1.0% | | | | | | |
Alamo Group, Inc. | | | 6,641 | | | 1,044,297 |
Altra Industrial Motion Corp. | | | 85,981 | | | 5,073,739 |
Colfax Corp.* | | | 142,058 | | | 6,419,601 |
Columbus McKinnon Corp. | | | 23,901 | | | 1,183,339 |
Kadant, Inc. | | | 14,038 | | | 2,499,185 |
Otis Worldwide Corp. | | | 13,153 | | | 1,024,224 |
| | | | | | | 17,244,385 |
| | |
Media – 1.4% | | | | | | |
Comcast Corp., Class A | | | 260,696 | | | 14,638,081 |
Liberty Media Corp.-Liberty Formula One, Class C* | | | 51,104 | | | 2,398,822 |
Walt Disney (The) Co.* | | | 38,470 | | | 7,156,189 |
| | | | | | | 24,193,092 |
| |
Metal Fabricate/Hardware – 0.3% | | | |
AZZ, Inc. | | | 16,759 | | | 882,194 |
Helios Technologies, Inc. | | | 29,569 | | | 2,137,247 |
RBC Bearings, Inc.* | | | 10,637 | | | 2,121,337 |
| | | | | | | 5,140,778 |
| |
Miscellaneous Manufacturing – 1.5% | | | |
Eaton Corp. PLC | | | 35,083 | | | 5,014,413 |
Fabrinet (Thailand)* | | | 31,652 | | | 2,710,044 |
| | | | | | |
| | | Number of Shares | | | Value |
| |
Miscellaneous Manufacturing (Continued) | | | |
Federal Signal Corp. | | | 54,910 | | | $ 2,274,921 |
Illinois Tool Works, Inc. | | | 24,373 | | | 5,617,002 |
Parker-Hannifin Corp. | | | 18,208 | | | 5,713,853 |
Trane Technologies PLC | | | 21,518 | | | 3,740,474 |
| | | | | | | 25,070,707 |
| | |
Oil & Gas – 1.3% | | | | | | |
Chevron Corp. | | | 57,946 | | | 5,972,494 |
Cimarex Energy Co. | | | 57,751 | | | 3,823,116 |
ConocoPhillips | | | 45,028 | | | 2,302,732 |
EOG Resources, Inc. | | | 23,647 | | | 1,741,365 |
Hess Corp. | | | 59,427 | | | 4,427,906 |
PDC Energy, Inc.* | | | 58,774 | | | 2,145,839 |
Pioneer Natural Resources Co. | | | 9,983 | | | 1,535,685 |
| | | | | | | 21,949,137 |
| | |
Packing & Containers – 0.1% | | | | | | |
TriMas Corp.* | | | 38,914 | | | 1,239,022 |
| | |
Pharmaceuticals – 3.7% | | | | | | |
AbbVie, Inc. | | | 67,245 | | | 7,497,817 |
Cigna Corp. | | | 29,867 | | | 7,437,182 |
Johnson & Johnson | | | 96,576 | | | 15,715,812 |
McKesson Corp. | | | 15,119 | | | 2,835,720 |
Merck & Co., Inc. | | | 85,919 | | | 6,400,966 |
Pfizer, Inc. | | | 311,971 | | | 12,057,679 |
Roche Holding A.G. (Genusschein) (Switzerland) | | | 3,852 | | | 1,256,352 |
Zoetis, Inc. | | | 53,320 | | | 9,225,960 |
| | | | | | | 62,427,488 |
| | |
Private Equity – 0.5% | | | | | | |
Brookfield Asset | | | | | | |
Management, Inc., Class A (Canada) | | | 172,161 | | | 7,847,098 |
| | |
Real Estate – 0.1% | | | | | | |
Jones Lang LaSalle, Inc.* | | | 6,695 | | | 1,258,057 |
Radius Global Infrastructure, Inc. Class A* | | | 67,550 | | | 1,000,416 |
| | | | | | | 2,258,473 |
| |
Real Estate Investment Trusts – 2.1% | | | |
Community Healthcare Trust, Inc. | | | 23,682 | | | 1,205,887 |
CubeSmart | | | 162,414 | | | 6,876,609 |
Douglas Emmett, Inc. | | | 72,023 | | | 2,415,651 |
Easterly Government Properties, Inc. | | | 52,819 | | | 1,131,911 |
Equinix, Inc. | | | 7,969 | | | 5,743,736 |
See accompanying Notes to Financial Statements
53
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar U.S. Equity Fund
| | | | | | |
| | | Number of Shares | | | Value |
| |
Real Estate Investment Trusts (Continued) | | | |
Mid-America Apartment Communities, Inc. | | | 13,574 | | | $ 2,135,597 |
Monmouth Real Estate Investment Corp. | | | 99,162 | | | 1,832,514 |
National Storage Affiliates Trust | | | 93,358 | | | 4,242,188 |
Plymouth Industrial REIT, Inc. | | | 64,715 | | | 1,206,288 |
PotlatchDeltic Corp. | | | 34,992 | | | 2,077,125 |
Public Storage | | | 4,348 | | | 1,222,484 |
Rayonier, Inc. | | | 35,366 | | | 1,283,078 |
Summit Hotel Properties, Inc.* | | | 112,422 | | | 1,143,332 |
UDR, Inc. | | | 22,277 | | | 1,034,767 |
Weyerhaeuser Co. | | | 59,612 | | | 2,311,157 |
| | | | | | | 35,862,324 |
| | |
Retail – 3.9% | | | | | | |
Academy Sports & Outdoors, Inc.* | | | 34,478 | | | 1,062,267 |
Advance Auto Parts, Inc. | | | 38,949 | | | 7,796,032 |
Bloomin’ Brands, Inc.* | | | 40,811 | | | 1,289,628 |
Chuy’s Holdings, Inc.* | | | 24,899 | | | 1,216,565 |
Five Below, Inc.* | | | 9,910 | | | 1,994,586 |
Floor & Decor Holdings, Inc., Class A* | | | 19,990 | | | 2,217,291 |
Home Depot (The), Inc. | | | 28,792 | | | 9,319,107 |
Jack in the Box, Inc. | | | 19,235 | | | 2,320,703 |
Lowe’s Cos., Inc. | | | 47,420 | | | 9,306,175 |
National Vision Holdings, Inc.* | | | 20,605 | | | 1,038,698 |
Ollie’s Bargain Outlet Holdings, Inc.* | | | 17,557 | | | 1,619,984 |
Papa John’s International, Inc. | | | 11,435 | | | 1,105,993 |
Sonic Automotive, Inc. Class A | | | 43,386 | | | 2,140,665 |
TJX (The) Cos., Inc. | | | 71,223 | | | 5,056,833 |
Tractor Suppy Co. | | | 26,670 | | | 5,029,962 |
Ulta Beauty, Inc.* | | | 21,538 | | | 7,093,540 |
Walmart, Inc. | | | 47,900 | | | 6,701,689 |
| | | | | | | 66,309,718 |
| | |
Savings & Loans – 0.4% | | | | | | |
Provident Financial Services, Inc. | | | 47,148 | | | 1,111,278 |
Sterling Bancorp | | | 249,942 | | | 6,281,043 |
| | | | | | | 7,392,321 |
| | |
Semiconductors – 3.8% | | | | | | |
Amkor Technology, Inc. | | | 103,750 | | | 2,097,825 |
Analog Devices, Inc. | | | 14,885 | | | 2,279,787 |
ASML Holding N.V. (Netherlands)(a) | | | 7,530 | | | 4,880,193 |
| | | | | | |
| | | Number of Shares | | | Value |
| | |
Semiconductors (Continued) | | | | | | |
Intel Corp. | | | 125,956 | | | $ 7,246,249 |
Micron Technology, Inc.* | | | 56,073 | | | 4,826,203 |
Monolithic Power Systems, Inc. | | | 5,359 | | | 1,936,635 |
NVIDIA Corp. | | | 17,367 | | | 10,426,799 |
NXP Semiconductors N.V. (Netherlands) | | | 51,319 | | | 9,879,421 |
QUALCOMM, Inc. | | | 65,847 | | | 9,139,564 |
Texas Instruments, Inc. | | | 60,718 | | | 10,960,206 |
| | | | | | | 63,672,882 |
| | |
Software – 5.4% | | | | | | |
Adobe, Inc.* | | | 23,136 | | | 11,760,954 |
Akamai Technologies, Inc.* | | | 46,778 | | | 5,084,769 |
Atlassian Corp. PLC, Class A* | | | 23,310 | | | 5,537,524 |
Fidelity National | | | | | | |
Information Services, Inc. | | | 67,073 | | | 10,255,462 |
Fiserv, Inc.* | | | 37,645 | | | 4,521,917 |
Five9, Inc.* | | | 13,502 | | | 2,537,971 |
Guidewire Software, Inc.* | | | 11,576 | | | 1,221,384 |
HubSpot, Inc.* | | | 2,547 | | | 1,340,868 |
Medallia, Inc.* | | | 42,780 | | | 1,261,582 |
Microsoft Corp. | | | 76,327 | | | 19,248,143 |
Nutanix, Inc., Class A* | | | 79,769 | | | 2,156,954 |
salesforce.com, Inc.* | | | 49,748 | | | 11,457,959 |
Splunk, Inc.* | | | 39,277 | | | 4,965,398 |
UiPath, Inc. Class A* | | | 18,014 | | | 1,297,008 |
VMware, Inc., Class A* | | | 31,538 | | | 5,072,256 |
Workday, Inc., Class A* | | | 17,420 | | | 4,302,740 |
| | | | | | | 92,022,889 |
| | |
Telecommunications – 1.3% | | | | | | |
Cisco Systems, Inc. | | | 213,800 | | | 10,884,558 |
Verizon Communications, Inc. | | | 15,869 | | | 917,069 |
Viavi Solutions, Inc.* | | | 134,021 | | | 2,192,584 |
Vodafone Group PLC ADR (United Kingdom) | | | 401,979 | | | 7,617,502 |
| | | | | | | 21,611,713 |
| | |
Transportation – 1.3% | | | | | | |
Canadian National Railway Co. (Canada) | | | 16,956 | | | 1,825,313 |
Hub Group, Inc., Class A* | | | 4,572 | | | 300,472 |
Kirby Corp.* | | | 80,083 | | | 5,101,287 |
Union Pacific Corp. | | | 21,193 | | | 4,706,753 |
United Parcel Service, Inc., Class B | | | 47,525 | | | 9,688,447 |
| | | | | | | 21,622,272 |
| | |
Total Common Stocks
(Cost $979,772,080) | | | | | | 1,348,745,812 |
See accompanying Notes to Financial Statements
54
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar U.S. Equity Fund
| | | | | | |
| | | Number of Shares | | | Value |
|
Investment Companies – 18.6% |
Energy Select Sector SPDR Fund | | | 638,532 | | | $ 31,537,095 |
Global X MLP & Energy Infrastructure ETF | | | 3,178,142 | | | 105,673,221 |
Vanguard Consumer Staples ETF | | | 378,881 | | | 68,766,902 |
Vanguard Financials ETF | | | 479,495 | | | 43,058,651 |
Vanguard Health Care ETF | | | 282,750 | | | 67,359,533 |
| | |
Total Investment Companies
(Cost $263,835,869) | | | | | | 316,395,402 |
|
Short-Term Investments – 2.1% |
Money Market Fund – 2.1% | | | | | | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(b) | | | 35,335,494 | | | 35,335,494 |
| | |
Total Short-Term Investments
(Cost $35,335,494) | | | | | | 35,335,494 |
| | |
Total Investments – 99.9%
(Cost $1,278,943,443) | | | | | | 1,700,476,708 |
| |
Other Assets less Liabilities – 0.1% | | | 2,254,828 |
| | |
NET ASSETS – 100.0% | | | | | | $1,702,731,536 |
Percentages shown are based on Net Assets.
All securities are United States companies, unless noted otherwise in parentheses.
| (a) | Security sold outside United States without registration under the Securities Act of 1933. |
| (b) | 7-day current yield as of April 30, 2021 is disclosed. |
| * | Non-Income Producing Security |
| | |
| Abbreviations: |
| ADR | | American Depositary Receipt |
| ETF | | Exchange-Traded Fund |
| MLP | | Master Limited Partnership |
| PLC | | Public Limited Company |
| REIT | | Real Estate Investment Trust |
| SPDR | | Standard & Poor’s Depositary Receipt |
See accompanying Notes to Financial Statements
55
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar U.S. Equity Fund
Valuation Hierarchy
The following is a summary of the inputs used, as of April 30, 2021, in valuing the Fund’s investments carried at fair value:
| | | | | | | | | | | | | | |
| Morningstar U.S. Equity Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals |
| | | | |
Investments | | | | | | | | | | | | | | |
Common Stocks | | | 1,335,938,159 | | | | $12,807,653 | | | | $— | | | 1,348,745,812 |
Investment Companies | | | 316,395,402 | | | | — | | | | — | | | 316,395,402 |
Short-Term Investments | | | 35,335,494 | | | | — | | | | — | | | 35,335,494 |
| | | | | |
Total Investments | | | $1,687,669,055 | | | | $12,807,653 | | | | $— | | | $1,700,476,708 |
See accompanying Notes to Financial Statements
56
Morningstar Funds Trust April 30, 2021
Schedule of Investments
|
|
Morningstar International Equity Fund |
| | | | | | |
| | | Number of Shares | | | Value |
| | |
Common Stocks – 67.9% | | | | | | |
Advertising – 0.8% | | | | | | |
Publicis Groupe S.A. (France) | | | 68,036 | | | $ 4,403,285 |
WPP PLC (United Kingdom) | | | 327,500 | | | 4,415,395 |
| | | | | | | 8,818,680 |
| | |
Aerospace/Defense – 0.2% | | | | | | |
Rolls-Royce Holdings PLC (United Kingdom)* | | | 1,240,636 | | | 1,795,459 |
| | |
Agriculture – 0.1% | | | | | | |
KT&G Corp. (South Korea) | | | 20,214 | | | 1,495,835 |
| | |
Airlines – 0.4% | | | | | | |
Ryanair Holdings PLC ADR (Ireland)* | | | 33,491 | | | 3,913,423 |
| | |
Auto Manufacturers – 2.9% | | | | | | |
Bayerische Motoren Werke A.G. (Germany) | | | 114,120 | | | 11,435,993 |
Daimler A.G. (Germany)(a) | | | 132,590 | | | 11,800,345 |
Maruti Suzuki India Ltd. (India) | | | 3,113 | | | 270,846 |
Toyota Motor Corp. (Japan) | | | 56,900 | | | 4,257,496 |
Volvo AB, Class B (Sweden) | | | 134,100 | | | 3,274,800 |
| | | | | | | 31,039,480 |
| | |
Auto Parts & Equipment – 1.4% | | | | | | |
Continental A.G. (Germany) | | | 65,775 | | | 8,888,798 |
Hyundai Mobis Co. Ltd. (South Korea) | | | 7,038 | | | 1,703,392 |
Valeo S.A. (France) | | | 110,694 | | | 3,587,147 |
Weichai Power Co. Ltd., Class H (China) | | | 362,000 | | | 837,917 |
| | | | | | | 15,017,254 |
| | |
Banks – 10.9% | | | | | | |
Al Rajhi Bank (Saudi Arabia) | | | 16,959 | | | 446,518 |
Axis Bank Ltd. (India)* | | | 614,461 | | | 5,906,764 |
Banco Bilbao Vizcaya Argentaria S.A.
(Spain)* | | | 580,327 | | | 3,249,590 |
Banco do Brasil S.A. (Brazil)* | | | 406,700 | | | 2,208,678 |
Banco Santander Chile ADR (Chile) | | | 28,845 | | | 641,513 |
Bank Central Asia Tbk PT (Indonesia) | | | 173,900 | | | 384,973 |
Bank Mandiri Persero Tbk PT (Indonesia) | | | 7,389,100 | | | 3,145,991 |
BNP Paribas S.A. (France)* | | | 183,305 | | | 11,753,104 |
China Construction Bank Corp., Class H (China) | | | 5,250,000 | | | 4,144,044 |
| | | | | | |
| | | Number
of Shares | | | Value |
| | |
Banks (Continued) | | | | | | |
China Merchants Bank Co. Ltd., Class H (China) | | | 376,113 | | | $ 3,021,094 |
Commercial International Bank Egypt S.A.E. GDR (Egypt)(a) | | | 363,855 | | | 1,329,890 |
Credicorp Ltd. (Peru) | | | 5,296 | | | 632,342 |
Credit Suisse Group A.G. (Switzerland)(a) | | | 985,800 | | | 10,331,165 |
DBS Group Holdings Ltd. (Singapore) | | | 267,952 | | | 6,005,090 |
First Abu Dhabi Bank PJSC (United Arab Emirates) | | | 220,348 | | | 852,786 |
FirstRand Ltd. (South Africa) | | | 159,595 | | | 561,391 |
Grupo Financiero Banorte S.A.B. de C.V., Class O (Mexico) | | | 263,520 | | | 1,496,276 |
HDFC Bank Ltd. (India)* | | | 77,963 | | | 1,481,295 |
HDFC Bank Ltd. ADR (India)* | | | 44,131 | | | 3,101,527 |
ICICI Bank Ltd. ADR (India)* | | | 222,723 | | | 3,630,385 |
Intesa Sanpaolo S.p.A. (Italy)* | | | 4,561,900 | | | 12,718,189 |
Kasikornbank PCL (Thailand)(a) | | | 288,200 | | | 1,219,941 |
Komercni banka A.S. (Czech Republic)* | | | 8,951 | | | 270,953 |
Kotak Mahindra Bank Ltd. (India)* | | | 19,367 | | | 455,996 |
Lloyds Banking Group PLC (United Kingdom) | | | 22,824,700 | | | 14,312,913 |
Natwest Group PLC (United Kingdom) | | | 1,893,153 | | | 5,137,666 |
Nedbank Group Ltd. (South Africa)* | | | 169,003 | | | 1,721,926 |
OTP Bank Nyrt. (Hungary)* | | | 73,780 | | | 3,316,768 |
Saudi National Bank (Saudi Arabia)* | | | 38,396 | | | 581,540 |
Sberbank of Russia PJSC (Russia) | | | 758,991 | | | 3,009,831 |
Sberbank of Russia PJSC ADR (Russia) | | | 178,982 | | | 2,817,755 |
Shinhan Financial Group Co. Ltd. (South Korea) | | | 57,582 | | | 2,069,239 |
Skandinaviska Enskilda Banken AB Class A (Sweden) | | | 179,219 | | | 2,296,360 |
Standard Bank Group Ltd. (South Africa) | | | 113,160 | | | 920,298 |
Standard Chartered PLC (United Kingdom) | | | 263,658 | | | 1,891,468 |
| | | | | | | 117,065,259 |
See accompanying Notes to Financial Statements
57
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar International Equity Fund
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| | |
Beverages – 1.3% | | | | | | | | |
Ambev S.A. ADR (Brazil) | | | 926,746 | | | $ | 2,576,354 | |
Anheuser-Busch InBev S.A./N.V. (Belgium) | | | 65,761 | | | | 4,658,017 | |
China Resources Beer Holdings Co. Ltd. (China) | | | 86,000 | | | | 692,791 | |
Diageo PLC (United Kingdom) | | | 60,489 | | | | 2,715,437 | |
Fomento Economico Mexicano S.A.B. de C.V. ADR (Mexico) | | | 33,852 | | | | 2,623,530 | |
Kweichow Moutai Co. Ltd., Class A (China) | | | 3,600 | | | | 1,111,829 | |
| | | | | | | 14,377,958 | |
| | | |
Building Materials – 0.7% | | | | | | | | |
Anhui Conch Cement Co. Ltd., Class H (China) | | | 457,000 | | | | 2,727,676 | |
Hongfa Technology Co. Ltd., Class A (China) | | | 40,700 | | | | 350,071 | |
LafargeHolcim Ltd. (Switzerland)(a)* | | | 67,405 | | | | 4,159,407 | |
| | | | | | | 7,237,154 | |
| | | |
Chemicals – 1.2% | | | | | | | | |
Air Liquide S.A. (France) | | | 14,060 | | | | 2,367,738 | |
Linde PLC (United Kingdom) | | | 9,118 | | | | 2,606,265 | |
Novozymes A/S, Class B (Denmark) | | | 34,536 | | | | 2,449,382 | |
Symrise A.G. (Germany) | | | 27,568 | | | | 3,559,995 | |
UPL Ltd. (India) | | | 213,052 | | | | 1,741,969 | |
| | | | | | | 12,725,349 | |
| | | |
Coal – 0.3% | | | | | | | | |
China Shenhua Energy Co. Ltd., Class H (China) | | | 966,000 | | | | 2,012,075 | |
Coal India Ltd. (India) | | | 457,079 | | | | 819,272 | |
| | | | | | | 2,831,347 | |
| |
Commercial Services – 2.1% | |
Adyen N.V. (Netherlands)(b)* | | | 3,179 | | | | 7,823,818 | |
Amadeus IT Group S.A. (Spain)* | | | 62,000 | | | | 4,222,082 | |
Ashtead Group PLC (United Kingdom) | | | 19,450 | | | | 1,249,681 | |
Bidvest Group (The) Ltd. (South Africa) | | | 103,476 | | | | 1,194,893 | |
Brambles Ltd. (Australia) | | | 289,500 | | | | 2,319,162 | |
Bureau Veritas S.A. (France)* | | | 11,259 | | | | 336,725 | |
CCR S.A. (Brazil) | | | 750,360 | | | | 1,670,060 | |
New Oriental Education & Technology Group, Inc. ADR (China)* | | | 19,710 | | | | 300,775 | |
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| |
Commercial Services (Continued) | | | | | |
SGS S.A. (Switzerland)(a) | | | 733 | | | $ | 2,168,877 | |
StoneCo Ltd., Class A (Brazil)* | | | 8,657 | | | | 559,588 | |
TAL Education Group ADR (China)* | | | 10,084 | | | | 574,284 | |
| | | | | | | 22,419,945 | |
| | | |
Computers – 1.1% | | | | | | | | |
Capgemini S.E. (France) | | | 18,800 | | | | 3,445,044 | |
Check Point Software Technologies Ltd. (Israel)* | | | 26,052 | | | | 3,043,134 | |
Infosys Ltd. (India) | | | 96,299 | | | | 1,750,110 | |
Infosys Ltd. ADR (India) | | | 30,757 | | | | 556,086 | |
Quanta Computer, Inc. (Taiwan) | | | 284,000 | | | | 994,001 | |
Tata Consultancy Services Ltd. (India) | | | 26,001 | | | | 1,064,054 | |
Wiwynn Corp. (Taiwan) | | | 35,000 | | | | 1,138,330 | |
| | | | | | | 11,990,759 | |
| | |
Cosmetics/Personal Care – 1.9% | | | | | |
LG Household & Health Care Ltd. (South Korea) | | | 2,115 | | | | 2,921,088 | |
L’Oreal S.A. (France) | | | 19,875 | | | | 8,138,225 | |
Unicharm Corp. (Japan) | | | 116,300 | | | | 4,520,622 | |
Unilever PLC (United Kingdom) | | | 37,369 | | | | 2,182,548 | |
Unilever PLC (London Exchange) (United Kingdom) | | | 52,919 | | | | 3,099,843 | |
| | | | | | | 20,862,326 | |
| |
Distribution/Wholesale – 0.1% | |
Bunzl PLC (United Kingdom) | | | 32,600 | | | | 1,048,182 | |
| | |
Diversified Financial Services – 1.3% | | | | | |
AMP Ltd. (Australia) | | | 2,585,500 | | | | 2,220,294 | |
B3 S.A. - Brasil Bolsa Balcao (Brazil) | | | 67,700 | | | | 642,471 | |
Capitec Bank Holdings Ltd. (South Africa)* | | | 5,385 | | | | 551,923 | |
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | | | 6,000 | | | | 361,866 | |
Housing Development Finance Corp. Ltd. (India) | | | 55,843 | | | | 1,818,544 | |
KB Financial Group, Inc. (South Korea) | | | 46,898 | | | | 2,308,723 | |
Network International Holdings PLC (United Arab Emirates)(b)* | | | 71,018 | | | | 412,109 | |
Pagseguro Digital Ltd., Class A (Brazil)* | | | 10,233 | | | | 468,057 | |
Sanlam Ltd. (South Africa) | | | 221,426 | | | | 854,870 | |
See accompanying Notes to Financial Statements
58
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar International Equity Fund
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| | |
Diversified Financial Services (Continued) | | | | | |
Schroders PLC (United Kingdom) | | | 81,200 | | | $ | 4,045,668 | |
XP, Inc., Class A (Brazil)* | | | 8,188 | | | | 324,245 | |
| | | | | | | 14,008,770 | |
| | | |
Electric – 0.2% | | | | | | | | |
Engie Brasil Energia S.A. (Brazil) | | | 117,900 | | | | 886,629 | |
Power Grid Corp. of India Ltd. (India) | | | 315,639 | | | | 936,500 | |
| | | | | | | 1,823,129 | |
| | |
Electrical Component & Equipment – 0.6% | | | | | |
Schneider Electric S.E. (France) | | | 40,729 | | | | 6,498,553 | |
| | | |
Electronics – 0.3% | | | | | | | | |
AAC Technologies Holdings, Inc. (China) | | | 138,153 | | | | 766,913 | |
Hon Hai Precision Industry Co. Ltd. (Taiwan) | | | 513,000 | | | | 2,108,967 | |
| | | | | | | 2,875,880 | |
| | |
Engineering & Construction – 0.1% | | | | | |
Airports of Thailand PCL (Thailand)(a) | | | 141,500 | | | | 281,750 | |
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR (Mexico)* | | | 3,496 | | | | 594,670 | |
| | | | | | | 876,420 | |
| | | |
Entertainment – 0.1% | | | | | | | | |
OPAP S.A. (Greece) | | | 47,689 | | | | 731,366 | |
Songcheng Performance Development Co. Ltd., Class A (China) | | | 180,000 | | | | 602,928 | |
| | | | | | | 1,334,294 | |
| | | |
Food – 1.2% | | | | | | | | |
BIM Birlesik Magazalar A.S. (Turkey) | | | 26,518 | | | | 208,204 | |
China Mengniu Dairy Co. Ltd. (China)* | | | 403,000 | | | | 2,156,896 | |
Danone S.A. (France) | | | 27,600 | | | | 1,948,271 | |
Magnit PJSC GDR (Russia)(a) | | | 54,972 | | | | 774,281 | |
Nestle S.A. ADR (Switzerland) | | | 40,087 | | | | 4,791,599 | |
Shoprite Holdings Ltd. (South Africa) | | | 70,230 | | | | 700,194 | |
Tingyi Cayman Islands Holding Corp. (China) | | | 458,000 | | | | 822,931 | |
| | | | | | |
| | | Number
of Shares | | Value | |
| | |
Food (Continued) | | | | | | |
Universal Robina Corp. (Philippines) | | 147,950 | | $ | 420,574 | |
X5 Retail Group N.V. GDR (Russia)(a) | | 44,093 | | | 1,353,574 | |
| | | | | 13,176,524 | |
| | | |
Food Service – 0.2% | | | | | | |
Compass Group PLC (United Kingdom)* | | 125,100 | | | 2,721,461 | |
| | |
Forest Products & Paper – 0.3% | | | | |
Mondi PLC (United Kingdom) | | 35,686 | | | 968,652 | |
UPM-Kymmene OYJ (Finland) | | 59,400 | | | 2,322,965 | |
| | | | | 3,291,617 | |
| | | |
Gas – 0.3% | | | | | | |
ENN Energy Holdings Ltd. (China) | | 171,300 | | | 2,923,163 | |
| | | |
Healthcare - Products – 1.3% | | | | | | |
Alcon, Inc. (Switzerland)* | | 48,480 | | | 3,656,846 | |
EssilorLuxottica S.A. (France) | | 9,485 | | | 1,578,682 | |
Hengan International Group Co. Ltd. (China) | | 290,000 | | | 1,874,092 | |
Sonova Holding A.G. (Switzerland)(a)* | | 11,811 | | | 3,497,239 | |
Sysmex Corp. (Japan) | | 35,100 | | | 3,505,912 | |
| | | | | 14,112,771 | |
| | | |
Healthcare - Services – 1.3% | | | | | | |
Fresenius Medical Care A.G. & Co. KGaA (Germany) | | 92,100 | | | 7,333,584 | |
Fresenius S.E. & Co. KGaA (Germany) | | 2,928 | | | 143,909 | |
Life Healthcare Group Holdings Ltd. (South Africa)* | | 755,945 | | | 992,463 | |
Lonza Group A.G. (Switzerland)(a) | | 7,775 | | | 4,942,679 | |
Rede D’Or Sao Luiz S.A. (Brazil)(b)* | | 19,640 | | | 254,754 | |
| | | | | 13,667,389 | |
| | |
Holding Companies - Diversified – 0.2% | | | | |
Siam Cement (The) PCL (Thailand)(a) | | 138,800 | | | 2,053,943 | |
| | | |
Home Furnishings – 0.2% | | | | | | |
Coway Co. Ltd. (South Korea) | | 24,947 | | | 1,494,912 | |
See accompanying Notes to Financial Statements
59
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar International Equity Fund
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| | |
Home Furnishings (Continued) | | | | | | | | |
Gree Electric Appliances, Inc. of Zhuhai, Class A (China) | | | 66,400 | | | $ | 612,641 | |
Midea Group Co. Ltd., Class A (China) | | | 36,800 | | | | 454,360 | |
| | | | | | | 2,561,913 | |
| | |
Household Products/Wares – 0.3% | | | | | |
Henkel A.G. & Co. KGaA (Germany) | | | 24,300 | | | | 2,414,267 | |
Kimberly-Clark de Mexico S.A.B. de C.V., Series A (Mexico) | | | 489,800 | | | | 848,935 | |
| | | | | | | 3,263,202 | |
| | | |
Insurance – 3.9% | | | | | | | | |
AIA Group Ltd. (Hong Kong) | | | 857,800 | | | | 10,887,692 | |
Allianz S.E. (Germany)(a) | | | 66,407 | | | | 17,240,383 | |
BB Seguridade Participacoes S.A. (Brazil) | | | 322,800 | | | | 1,325,179 | |
Ping An Insurance Group Co. of China Ltd., Class H (China) | | | 684,500 | | | | 7,462,606 | |
Prudential PLC (United Kingdom) | | | 218,100 | | | | 4,618,112 | |
| | | | | | | 41,533,972 | |
| | | |
Internet – 4.1% | | | | | | | | |
Alibaba Group Holding Ltd. (China)* | | | 128,356 | | | | 3,710,479 | |
Alibaba Group Holding Ltd. ADR (China) | | | 39,161 | | | | 9,044,233 | |
Coupang, Inc. (South Korea)* | | | 4,483 | | | | 187,838 | |
Mail.Ru Group Ltd. GDR (Russia)(a)* | | | 15,340 | | | | 342,626 | |
Meituan, Class B (China)(b)* | | | 15,200 | | | | 581,770 | |
MercadoLibre, Inc. (Argentina)* | | | 696 | | | | 1,093,402 | |
Naspers Ltd., Class N (South Africa) | | | 34,206 | | | | 7,784,602 | |
NAVER Corp. (South Korea) | | | 14,304 | | | | 4,606,203 | |
Ozon Holdings PLC ADR (Russia)* | | | 5,683 | | | | 353,426 | |
Prosus N.V. (China)* | | | 3,224 | | | | 349,906 | |
Sea Ltd. ADR (Taiwan)* | | | 342 | | | | 86,369 | |
Tencent Holdings Ltd. (China) | | | 151,000 | | | | 12,045,578 | |
Tencent Music Entertainment Group ADR (China)* | | | 10,546 | | | | 183,711 | |
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| | |
Internet (Continued) | | | | | | | | |
Trip.com Group Ltd. ADR (China)* | | | 16,637 | | | $ | 650,174 | |
Yandex N.V., Class A (Russia)* | | | 38,986 | | | | 2,555,532 | |
| | | | | | | 43,575,849 | |
| |
Investment Management Companies – 0.5% | |
EXOR N.V. (Netherlands) | | | 67,600 | | | | 5,548,113 | |
| | | |
Iron/Steel – 0.7% | | | | | | | | |
Ternium S.A. ADR (Mexico)* | | | 12,677 | | | | 495,544 | |
thyssenkrupp A.G. (Germany)* | | | 498,000 | | | | 6,657,715 | |
| | | | | | | 7,153,259 | |
| | | |
Leisure Time – 0.1% | | | | | | | | |
Bajaj Auto Ltd. (India)* | | | 14,867 | | | | 768,411 | |
Hero MotoCorp Ltd. (India) | | | 18,026 | | | | 685,459 | |
| | | | | | | 1,453,870 | |
| | | |
Lodging – 0.7% | | | | | | | | |
Accor S.A. (France)* | | | 180,535 | | | | 7,269,462 | |
| |
Machinery - Construction & Mining – 0.8% | |
Epiroc AB, Class A (Sweden) | | | 170,570 | | | | 3,690,710 | |
Komatsu Ltd. (Japan) | | | 185,100 | | | | 5,442,796 | |
| | | | | | | 9,133,506 | |
| | | |
Machinery - Diversified – 2.8% | | | | | | | | |
Atlas Copco AB, Class A (Sweden) | | | 146,931 | | | | 8,909,905 | |
CNH Industrial N.V. (United Kingdom) | | | 604,273 | | | | 8,970,181 | |
FANUC Corp. (Japan) | | | 10,000 | | | | 2,302,829 | |
Keyence Corp. (Japan) | | | 10,400 | | | | 4,992,552 | |
Kubota Corp. (Japan) | | | 191,600 | | | | 4,507,539 | |
| | | | | | | 29,683,006 | |
| | | |
Media – 1.1% | | | | | | | | |
Grupo Televisa S.A.B. ADR (Mexico)* | | | 393,900 | | | | 4,876,482 | |
Liberty Global PLC, Class A (United Kingdom)* | | | 207,600 | | | | 5,584,440 | |
Liberty Global PLC, Class C (United Kingdom)* | | | 40,673 | | | | 1,100,611 | |
| | | | | | | 11,561,533 | |
| | |
Metal Fabricate/Hardware – 0.4% | | | | | |
Catcher Technology Co. Ltd. (Taiwan) | | | 111,000 | | | | 783,298 | |
SKF AB, Class B (Sweden) | | | 119,900 | | | | 3,097,708 | |
| | | | | | | | 3,881,006 | |
See accompanying Notes to Financial Statements
60
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar International Equity Fund
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| | |
Mining – 2.7% | | | | | | | | |
Alrosa PJSC (Russia) | | | 869,291 | | | $ | 1,258,497 | |
Anglo American PLC (South Africa) | | | 37,482 | | | | 1,589,254 | |
BHP Group Ltd. ADR (Australia) | | | 102,058 | | | | 7,425,740 | |
Glencore PLC (Australia)* | | | 2,805,889 | | | | 11,429,575 | |
Grupo Mexico S.A.B. de C.V., Series B (Mexico) | | | 336,216 | | | | 1,524,980 | |
Rio Tinto PLC (Australia) | | | 67,860 | | | | 5,683,769 | |
Southern Copper Corp. (Peru) | | | 6,653 | | | | 461,785 | |
| | | | | | | 29,373,600 | |
| | |
Miscellaneous Manufacturing – 1.0% | | | | | |
Alfa Laval AB (Sweden) | | | 111,028 | | | | 3,749,712 | |
Largan Precision Co. Ltd. (Taiwan) | | | 10,000 | | | | 1,106,282 | |
Orica Ltd. (Australia) | | | 394,872 | | | | 4,111,076 | |
Smiths Group PLC (United Kingdom) | | | 74,000 | | | | 1,661,917 | |
| | | | | | | 10,628,987 | |
| | | |
Oil & Gas – 1.8% | | | | | | | | |
Bharat Petroleum Corp. Ltd. (India) | | | 142,416 | | | | 808,456 | |
Cenovus Energy, Inc. (Canada) | | | 615,400 | | | | 4,791,423 | |
Galp Energia SGPS S.A. (Portugal) | | | 114,799 | | | | 1,321,888 | |
Gazprom PJSC ADR (Russia) | | | 202,979 | | | | 1,230,813 | |
LUKOIL PJSC ADR (Russia) | | | 37,949 | | | | 2,904,514 | |
LUKOIL PJSC ADR (Russia) | | | 51,528 | | | | 3,980,023 | |
Oil & Natural Gas Corp. Ltd. (India) | | | 620,935 | | | | 902,159 | |
Petrobras Distribuidora S.A. (Brazil) | | | 273,100 | | | | 1,126,175 | |
Royal Dutch Shell PLC, Class B (Netherlands) | | | 156,609 | | | | 2,802,310 | |
| | | | | | | 19,867,761 | |
| | | |
Pharmaceuticals – 3.7% | | | | | | | | |
Bayer A.G. (Germany)(a) | | | 187,160 | | | | 12,110,818 | |
Chugai Pharmaceutical Co. Ltd. (Japan) | | | 99,000 | | | | 3,715,956 | |
CSPC Pharmaceutical Group Ltd. (China) | | | 2,216,160 | | | | 2,735,493 | |
Jiangsu Hengrui Medicine Co. Ltd., Class A (China) | | | 29,700 | | | | 384,591 | |
Novartis A.G. (Switzerland)(a) | | | 59,900 | | | | 5,111,650 | |
Roche Holding A.G. (Genusschein) (Switzerland) | | | 30,925 | | | | 10,086,370 | |
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| | |
Pharmaceuticals (Continued) | | | | | | | | |
Shionogi & Co. Ltd. (Japan) | | | 57,600 | | | $ | 3,036,627 | |
Sino Biopharmaceutical Ltd. (Hong Kong) | | | 525,500 | | | | 563,924 | |
Sinopharm Group Co. Ltd., Class H (China) | | | 761,523 | | | | 2,348,803 | |
| | | | | | | 40,094,232 | |
| | | |
Real Estate – 0.2% | | | | | | | | |
A-Living Smart City Services Co. Ltd. (China)(b) | | | 22,750 | | | | 104,569 | |
China Overseas Land & Investment Ltd. (China) | | | 141,500 | | | | 358,116 | |
China Vanke Co. Ltd., Class H (China) | | | 395,500 | | | | 1,383,027 | |
Greentown Service Group Co. Ltd. (China) | | | 188,000 | | | | 298,864 | |
| | | | | | | 2,144,576 | |
| | | |
Retail – 2.3% | | | | | | | | |
Alimentation Couche-Tard, Inc., Class B (Canada) | | | 69,273 | | | | 2,347,330 | |
Astra International Tbk PT (Indonesia) | | | 3,473,100 | | | | 1,319,900 | |
Cie Financiere Richemont S.A., Class A (Switzerland)(a) | | | 21,680 | | | | 2,224,949 | |
Clicks Group Ltd. (South Africa) | | | 25,792 | | | | 430,741 | |
CP ALL PCL (Thailand)(a)* | | | 615,900 | | | | 1,223,539 | |
Hennes & Mauritz AB, Class B (Sweden)* | | | 197,700 | | | | 4,864,882 | |
Lojas Renner S.A. (Brazil) | | | 53,493 | | | | 394,990 | |
Nitori Holdings Co. Ltd. (Japan) | | | 12,400 | | | | 2,220,907 | |
President Chain Store Corp. (Taiwan) | | | 70,000 | | | | 676,558 | |
Raia Drogasil S.A. (Brazil)* | | | 189,740 | | | | 921,446 | |
Restaurant Brands International, Inc. (Canada) | | | 32,600 | | | | 2,236,686 | |
SM Investments Corp. (Philippines) | | | 43,580 | | | | 869,659 | |
Swatch Group (The) A.G. (Bearer) (Switzerland) | | | 7,350 | | | | 2,252,823 | |
Wal-Mart de Mexico S.A.B. de C.V. (Mexico) | | | 219,401 | | | | 719,495 | |
Yifeng Pharmacy Chain Co. Ltd., Class A (China) | | | 36,548 | | | | 506,523 | |
See accompanying Notes to Financial Statements
61
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar International Equity Fund
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| | |
Retail (Continued) | | | | | | | | |
Yum China Holdings, Inc. (China) | | | 16,800 | | | $ | 1,057,056 | |
Zhongsheng Group Holdings Ltd. (China) | | | 55,500 | | | | 419,799 | |
| | | | | | | 24,687,283 | |
| | | |
Semiconductors – 5.1% | | | | | | | | |
ASE Technology Holding Co. Ltd. (Taiwan) | | | 300,000 | | | | 1,253,622 | |
ASM Pacific Technology Ltd. (Hong Kong) | | | 85,600 | | | | 1,292,854 | |
ASML Holding N.V. (Netherlands) | | | 519 | | | | 336,905 | |
Globalwafers Co. Ltd. (Taiwan) | | | 46,000 | | | | 1,409,855 | |
Infineon Technologies A.G. (Germany) | | | 254,384 | | | | 10,200,942 | |
MediaTek, Inc. (Taiwan) | | | 15,000 | | | | 628,839 | |
Novatek Microelectronics Corp. (Taiwan) | | | 131,000 | | | | 2,890,219 | |
Samsung Electronics Co. Ltd. (South Korea) | | | 132,321 | | | | 9,644,280 | |
Samsung Electronics Co. Ltd. GDR (South Korea)(a) | | | 2,553 | | | | 4,651,744 | |
SK Hynix, Inc. (South Korea) | | | 41,244 | | | | 4,705,171 | |
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | | | 359,945 | | | | 7,580,306 | |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Taiwan) | | | 79,441 | | | | 9,273,942 | |
Vanguard International Semiconductor Corp. (Taiwan) | | | 101,000 | | | | 427,288 | |
| | | | | | | 54,295,967 | |
| | | |
Software – 1.5% | | | | | | | | |
Dassault Systemes S.E. (France) | | | 14,224 | | | | 3,299,580 | |
Open Text Corp. (Canada) | | | 86,100 | | | | 4,054,402 | |
SAP S.E. (Germany) | | | 36,000 | | | | 5,040,746 | |
SAP S.E. ADR (Germany) | | | 26,678 | | | | 3,733,319 | |
| | | | | | | 16,128,047 | |
| | | |
Telecommunications – 1.0% | | | | | | | | |
America Movil S.A.B. de C.V., Series L ADR (Mexico) | | | 170,974 | | | | 2,383,378 | |
Indus Towers Ltd. (India) | | | 326,682 | | | | 1,110,738 | |
Mobile TeleSystems PJSC ADR (Russia) | | | 222,673 | | | | 1,886,040 | |
Telkom Indonesia Persero Tbk PT (Indonesia) | | | 10,866,400 | | | | 2,400,874 | |
| | | | | | | | | | | | |
| | | | | | Number
of Shares | | | Value | |
| |
Telecommunications (Continued) | | | | | |
Telkom Indonesia Persero Tbk PT ADR (Indonesia) | | | | | | | 80,299 | | | $ | 1,771,396 | |
Vodacom Group Ltd. (South Africa) | | | | | | | 91,935 | | | | 797,027 | |
| | | | | | | | | | | 10,349,453 | |
| | | | |
Transportation – 0.2% | | | | | | | | | | | | |
Canadian National Railway Co. (Canada) | | | | | | | 22,247 | | | | 2,394,890 | |
InPost S.A. (Poland)* | | | | | | | 12,308 | | | | 234,537 | |
| | | | | | | | | | | 2,629,427 | |
Total Common Stocks
(Cost $551,197,660) | | | | | | | | 728,820,348 | |
| | | | |
| | | | | | Par(c) | | | | |
| |
Convertible Bonds – 0.1% | | | | | |
| | | |
Banks – 0.1% | | | | | | | | | | | | |
Credit Suisse Group Guernsey VII Ltd., 11/12/21(b)(d) | | | CHF | | | | $400,000 | | | | 437,996 | |
Total Convertible Bonds
(Cost $437,996) | | | | | | | | 437,996 | |
| | | | |
| | | | | | Number
of Shares | | | | |
| |
Preferred Stocks – 1.2% | | | | | |
| | | |
Banks – 0.5% | | | | | | | | | | | | |
Itau Unibanco Holding S.A., 0.63% (Brazil)(e) | | | | | | | 490,856 | | | | 2,478,655 | |
Itau Unibanco Holding S.A. ADR, 0.63% (Brazil)(e) | | | | | | | 642,751 | | | | 3,213,755 | |
| | | | | | | | | | | 5,692,410 | |
| | | | |
Chemicals – 0.1% | | | | | | | | | | | | |
FUCHS PETROLUB S.E., 2.27% (Germany)(e) | | | | | | | 23,227 | | | | 1,236,825 | |
| | |
Household Products/Wares – 0.0%(f) | | | | | |
Henkel A.G. & Co. KGaA, 1.95% (Germany)(e) | | | | | | | 2,500 | | | | 287,174 | |
| | | | |
Semiconductors – 0.6% | | | | | | | | | | | | |
Samsung Electronics Co. Ltd., 1.89% (South Korea)(e) | | | | | | | 12,061 | | | | 791,858 | |
Samsung Electronics Co. Ltd. GDR, 1.90%
(South Korea)(a)(e) | | | | | | | 3,188 | | | | 5,271,335 | |
| | | | | | | | | | | 6,063,193 | |
| | | |
Total Preferred Stocks
(Cost $10,102,332) | | | | | | | | 13,279,602 | |
See accompanying Notes to Financial Statements
62
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar International Equity Fund
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| | |
Rights – 0.0%(f) | | | | | | | | |
| | |
Banks – 0.0%(f) | | | | | | | | |
Credit Suisse Group A.G. (Switzerland)(g)* | | | 985,800 | | | $ | 41,214 | |
| | | |
Total Rights
(Cost $0) | | | | | | | 41,214 | |
| |
Investment Companies – 28.7% | | | | | |
iShares Global Energy ETF | | | 1,115,497 | | | | 27,575,086 | |
iShares MSCI Mexico ETF | | | 495,158 | | | | 22,509,883 | |
iShares MSCI South Korea ETF | | | 112,576 | | | | 10,194,883 | |
iShares MSCI United Kingdom ETF | | | 2,496,818 | | | | 81,221,489 | |
JPMorgan BetaBuilders Japan ETF | | | 2,402,883 | | | | 134,561,448 | |
Xtrackers MSCI Europe Hedged Equity ETF | | | 982,579 | | | | 32,660,926 | |
| | | |
Total Investment Companies
(Cost $258,613,560) | | | | | | | 308,723,715 | |
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| |
Short-Term Investments – 2.1% | | | | | |
Money Market Fund – 2.1% | | | | | | | | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(h) | | | 22,884,867 | | | $ | 22,884,867 | |
| | | |
Total Short-Term Investments
(Cost $22,884,867) | | | | | | | 22,884,867 | |
| | |
Total Investments – 100.0%
(Cost $843,236,415) | | | | | | | 1,074,187,742 | |
| | |
Liabilities less Other Assets – (0.0)%(f)(i) | | | | (5,366 | ) |
| | |
NET ASSETS – 100.0% | | | | | | $ | 1,074,182,376 | |
Percentages shown are based on Net Assets.
All securities are United States companies, unless noted otherwise in parentheses.
| (a) | Security sold outside United States without registration under the Securities Act of 1933. |
| (b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
| (c) | Par value is in USD unless otherwise indicated. |
| (d) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2021. |
| (e) | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. |
| (f) | Amount rounds to less than 0.05%. |
| (g) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statements). The fair value price of CHF0.038 is based on the calculated intrinsic value using the daily underlying equity close price and applicable conversion/subscription ratios. During the fiscal period, the Fund acquired $41,214 of this security. |
| (h) | 7-day current yield as of April 30, 2021 is disclosed. |
| (i) | Includes appreciation/ (depreciation) on forward foreign currency exchange contracts. |
| * | Non-Income Producing Security |
| | |
| Abbreviations: |
| ADR | | American Depositary Receipt |
| ETF | | Exchange-Traded Fund |
| GDR | | Global Depositary Receipt |
| MSCI | | Morgan Stanley Capital International |
| PCL | | Public Company Limited |
| PJSC | | Public Joint Stock Company |
| PLC | | Public Limited Company |
See accompanying Notes to Financial Statements
63
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar International Equity Fund
| | | | |
Concentration by Currency (%)(a) | | | | |
U.S. Dollar | | | 40.2 | |
Euro | | | 19.6 | |
British Pound | | | 6.7 | |
Hong Kong Dollar | | | 6.2 | |
All other currencies less than 5% | | | 27.3 | |
| | |
Total | | | 100.0 | |
(a) Percentages shown are based on Net Assets.
| | | | |
Country Diversification (%)(a) | | | | |
United States | | | 28.7 | |
Germany | | | 9.5 | |
United Kingdom | | | 6.5 | |
China | | | 6.5 | |
France | | | 5.1 | |
Switzerland | | | 5.0 | |
All other countries less than 5% | | | 38.7 | |
| | |
Total | | | 100.0 | |
(a) Percentages shown are based on Net Assets.
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
Settlement Date | | Currency
Purchased | | | Amount of Currency
Purchased | | | Currency
Sold | | | Amount
of Currency
Sold | | | Counterparty | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | |
06/16/21 | | | U.S. Dollars | | | | 3,666,856 | | | | Swiss Francs | | | | 3,236,000 | | | | Northern Trust | | | | $118,885 | |
| | | | | | |
Net Unrealized Appreciation | | | | | | | | | | | | | | | | | | | | $118,885 | |
Valuation Hierarchy
The following is a summary of the inputs used, as of April 30, 2021, in valuing the Fund’s investments carried at fair value:
| | | | | | | | | | | | | | | | |
| Morningstar International Equity Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| | | | |
Investments | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 124,285,926 | | | $ | 604,534,422 | | | $ | — | | | $ | 728,820,348 | |
Convertible Bonds | | | — | | | | 437,996 | | | | — | | | | 437,996 | |
Preferred Stocks | | | 5,692,410 | | | | 7,587,192 | | | | — | | | | 13,279,602 | |
Rights | | | — | | | | — | | | | 41,214 | | | | 41,214 | |
Investment Companies | | | 308,723,715 | | | | — | | | | — | | | | 308,723,715 | |
Short-Term Investments | | | 22,884,867 | | | | — | | | | — | | | | 22,884,867 | |
| | | | | |
Total Investments | | $ | 461,586,918 | | | $ | 612,559,610 | | | $ | 41,214 | | | $ | 1,074,187,742 | |
| | | | |
| | | | | | | | | | | | | | | | |
| Morningstar International Equity Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| | | | |
Derivative Financial Instruments | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | $— | | | | $118,885 | | | | $— | | | | $118,885 | |
| | | | | |
Total Derivative Financial Instruments | | | $— | | | | $118,885 | | | �� | $— | | | | $118,885 | |
See accompanying Notes to Financial Statements
64
Morningstar Funds Trust April 30, 2021
Schedule of Investments
|
|
Morningstar Global Income Fund |
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| | |
Common Stocks – 45.7% | | | | | | | | |
Aerospace/Defense – 2.0% | | | | | | | | |
Raytheon Technologies Corp. | | | 65,460 | | | $ | 5,448,890 | |
| | | |
Agriculture – 0.5% | | | | | | | | |
British American Tobacco PLC ADR (United Kingdom) | | | 39,651 | | | | 1,487,309 | |
| | | |
Auto Manufacturers – 1.9% | | | | | | | | |
Toyota Motor Corp. ADR (Japan) | | | 34,974 | | | | 5,273,030 | |
| | | |
Auto Parts & Equipment – 1.0% | | | | | | | | |
Cie Generale des Etablissements Michelin S.C.A. (France) | | | 19,658 | | | | 2,844,526 | |
| | | |
Banks – 5.7% | | | | | | | | |
BNP Paribas S.A. (France)* | | | 91,294 | | | | 5,853,566 | |
JPMorgan Chase & Co. | | | 39,460 | | | | 6,069,343 | |
Svenska Handelsbanken AB, Class A (Sweden) | | | 317,055 | | | | 3,671,581 | |
| | | | | | | 15,594,490 | |
| | | |
Building Materials – 4.8% | | | | | | | | |
Cie de Saint-Gobain (France)* | | | 85,987 | | | | 5,425,364 | |
Johnson Controls International PLC | | | 68,324 | | | | 4,259,318 | |
Xinyi Glass Holdings Ltd. (Hong Kong) | | | 974,765 | | | | 3,453,597 | |
| | | | | | | 13,138,279 | |
| | | |
Chemicals – 1.5% | | | | | | | | |
Denka Co. Ltd. (Japan) | | | 103,100 | | | | 4,037,652 | |
| | | |
Computers – 1.3% | | | | | | | | |
Quanta Computer, Inc. (Taiwan) | | | 989,000 | | | | 3,461,503 | |
| | |
Cosmetics/Personal Care – 0.8% | | | | | |
Unilever PLC ADR (United Kingdom) | | | 37,790 | | | | 2,219,029 | |
| | | |
Electric – 3.6% | | | | | | | | |
Duke Energy Corp. | | | 27,112 | | | | 2,729,908 | |
Enel S.p.A. (Italy) | | | 368,932 | | | | 3,663,248 | |
Iberdrola S.A. (Spain) | | | 261,670 | | | | 3,536,198 | |
| | | | | | | | 9,929,354 | |
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| |
Forest Products & Paper – 2.8% | | | | | |
Smurfit Kappa Group PLC (Ireland) | | | 90,630 | | | $ | 4,633,034 | |
UPM-Kymmene OYJ (Finland) | | | 73,225 | | | | 2,863,622 | |
| | | | | | | 7,496,656 | |
| | | |
Healthcare - Services – 0.7% | | | | | | | | |
Sonic Healthcare Ltd. (Australia) | | | 71,064 | | | | 1,964,205 | |
| | | |
Home Builders – 1.6% | | | | | | | | |
Persimmon PLC (United Kingdom) | | | 98,580 | | | | 4,264,625 | |
| | | |
Insurance – 2.4% | | | | | | | | |
Ping An Insurance Group Co. of China Ltd., Class H (China) | | | 169,300 | | | | 1,845,755 | |
Zurich Insurance Group A.G. (Switzerland) | | | 11,295 | | | | 4,633,871 | |
| | | | | | | 6,479,626 | |
| | | |
Iron/Steel – 1.9% | | | | | | | | |
Vale S.A. (Brazil) | | | 258,194 | | | | 5,214,691 | |
| | | |
Mining – 1.3% | | | | | | | | |
MMC Norilsk Nickel PJSC ADR (Russia) | | | 107,385 | | | | 3,668,272 | |
| | | |
Oil&Gas – 1.9% | | | | | | | | |
TOTAL S.E. ADR (France) | | | 113,674 | | | | 5,033,485 | |
| | | |
Pharmaceuticals – 1.6% | | | | | | | | |
Novartis A.G. ADR (Switzerland) | | | 26,790 | | | | 2,283,579 | |
Sanofi ADR (France) | | | 39,386 | | | | 2,062,645 | |
| | | | | | | 4,346,224 | |
| | | |
Real Estate – 1.2% | | | | | | | | |
Times China Holdings Ltd. (China) | | | 2,269,600 | | | | 3,230,310 | |
| | |
Real Estate Investment Trusts – 2.2% | | | | | |
Ascendas Real Estate Investment Trust (Singapore) | | | 820,100 | | | | 1,911,095 | |
Embassy Office Parks REIT (India) | | | 142,200 | | | | 599,682 | |
PLA Administradora Industrial S. de R.L. de C.V. (Mexico) | | | 2,311,920 | | | | 3,526,600 | |
| | | | | | | 6,037,377 | |
| | | |
Telecommunications – 4.3% | | | | | | | | |
AT&T, Inc. | | | 93,480 | | | | 2,936,207 | |
BCE, Inc. (Canada) | | | 42,385 | | | | 2,002,691 | |
See accompanying Notes to Financial Statements
65
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Global Income Fund
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| |
Telecommunications (Continued) | | | | | |
Cisco Systems, Inc. | | | 46,100 | | | $ | 2,346,951 | |
Softbank Corp. (Japan) | | | 333,885 | | | | 4,303,904 | |
| | | | | | | 11,589,753 | |
| | | |
Transportation – 0.7% | | | | | | | | |
Globaltrans Investment PLC GDR (Russia)(a) | | | 291,670 | | | | 1,814,187 | |
| | |
Total Common Stocks
(Cost $103,350,105) | | | | 124,573,473 | |
| | |
Investment Companies – 51.5% | | | | | |
Global X MLP & Energy Infrastructure ETF | | | 410,013 | | | | 13,632,932 | |
Global X U.S. Preferred ETF | | | 306,521 | | | | 7,889,851 | |
iShares Broad USD High Yield Corporate Bond ETF | | | 718,714 | | | | 29,747,572 | |
iShares MSCI Europe Financials ETF | | | 422,259 | | | | 8,466,293 | |
iShares MSCI United Kingdom ETF | | | 420,803 | | | | 13,688,722 | |
iShares STOXX Europe 600 Telecommunications UCITS ETF DE (Germany) | | | 440,133 | | | | 11,117,440 | |
SPDR Bloomberg Barclays Convertible Securities ETF | | | 89,810 | | | | 7,663,487 | |
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| | |
Vanguard Intermediate-Term Corporate Bond ETF | | | 113,520 | | | $ | 10,650,446 | |
Vanguard Long-Term Corporate Bond ETF | | | 181,920 | | | | 18,670,450 | |
Vanguard Long-Term Treasury ETF | | | 221,975 | | | | 18,770,206 | |
| | | |
Total Investment Companies
(Cost $128,205,901) | | | | | | | 140,297,399 | |
| |
Short-Term Investments – 2.7% | | | | | |
| | |
Money Market Fund – 2.7% | | | | | | | | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(b) | | | 7,167,260 | | | | 7,167,260 | |
| | |
Total Short-Term Investments
(Cost $7,167,260) | | | | 7,167,260 | |
| |
Total Investments – 99.9%
(Cost $238,723,266) | | | | 272,038,132 | |
| | | |
Other Assets less Liabilities – 0.1% | | | | | | | 393,909 | |
| | | |
NET ASSETS – 100.0% | | | | | | $ | 272,432,041 | |
Percentages shown are based on Net Assets.
All securities are United States companies, unless noted otherwise in parentheses.
| (a) | Security sold outside United States without registration under the Securities Act of 1933. |
| (b) | 7-day current yield as of April 30, 2021 is disclosed. |
| * | Non-Income Producing Security |
| | |
| Abbreviations: |
| ADR | | American Depositary Receipt |
| ETF | | Exchange-Traded Fund |
| GDR | | Global Depositary Receipt |
| MLP | | Master Limited Partnership |
| MSCI | | Morgan Stanley Capital International |
| PJSC | | Public Joint Stock Company |
| PLC | | Public Limited Company |
| REIT | | Real Estate Investment Trust |
| SPDR | | Standard & Poor’s Depositary Receipt |
| UCITS | | Undertakings for Collective Investment in Transferable Securities |
| USD | | United States Dollar |
See accompanying Notes to Financial Statements
66
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Global Income Fund
| | | | |
Concentration by Currency (%)(a) | | | | |
U.S. Dollar | | | 65.6 | |
Euro | | | 14.7 | |
All other currencies less than 5% | | | 19.7 | |
| | |
Total | | | 100.0 | |
(a) Percentages shown are based on Net Assets.
| | | | |
Country Diversification (%)(a) | | | | |
United States | | | 56.2 | |
France | | | 7.8 | |
Japan | | | 5.0 | |
All other countries less than 5% | | | 31.0 | |
| | |
Total | | | 100.0 | |
(a) Percentages shown are based on Net Assets.
Valuation Hierarchy
The following is a summary of the inputs used, as of April 30, 2021, in valuing the Fund’s investments carried at fair value:
| | | | | | | | | | | | | | | | |
| Morningstar Global Income Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| | | | |
Investments | | | | | | | | | | | | | | | | |
Common Stocks | | | $ 56,561,948 | | | | $68,011,525 | | | | $— | | | | $124,573,473 | |
Investment Companies | | | 140,297,399 | | | | — | | | | — | | | | 140,297,399 | |
Short-Term Investments | | | 7,167,260 | | | | — | | | | — | | | | 7,167,260 | |
| | | | | |
Total Investments | | | $204,026,607 | | | | $68,011,525 | | | | $— | | | | $272,038,132 | |
See accompanying Notes to Financial Statements
67
Morningstar Funds Trust April 30, 2021
Schedule of Investments
|
|
Morningstar Total Return Bond Fund |
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Long Positions – 112.0% | | | | | |
|
Asset-Backed Securities – 7.6% | |
| | |
Automobile – 0.2% | | | | | | | | |
Avis Budget Rental Car Funding AESOP LLC, | | | | | | | | |
Series 2019-2A, Class A, 3.35%, 9/22/25(b) | | $ | 740,000 | | | $ | 795,426 | |
Series 2020-2A, Class A, 2.02%, 2/20/27(b) | | | 730,000 | | | | 748,009 | |
| | | | | | | 1,543,435 | |
| |
Commercial Mortgage-Backed Securities – 2.3% | |
245 Park Avenue Trust, Series 2017-245P, Class E, 3.78%, 6/05/37(b)(c) | | | 740,000 | | | | 717,564 | |
AOA Mortgage Trust, Series 2015-1177, Class C, 3.11%, 12/13/29(b)(c) | | | 113,000 | | | | 112,971 | |
BANK, | | | | | | | | |
Series 2017-BNK7, Class A5,
3.44%, 9/15/60 | | | 100,000 | | | | 110,013 | |
Series 2018-BN13, Class A5,
4.22%, 8/15/61 | | | 480,000 | | | | 548,455 | |
Series 2019-BN19, Class C,
4.17%, 8/15/61(c) | | | 280,000 | | | | 302,817 | |
Bayview Commercial Asset Trust, Series 2006-1A, Class A1, (1M USD LIBOR + 0.41%), 0.51%, 4/25/36(b)(d) | | | 365,431 | | | | 344,297 | |
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class AM, 5.51%, 1/12/45(c) | | | 91,683 | | | | 91,266 | |
Benchmark Mortgage Trust, | | | | | | | | |
Series 2020-IG1, Class AS, 2.91%, 9/15/43 | | | 720,000 | | | | 743,391 | |
Series 2018-B2, Class A5, 3.88%, 2/15/51 | | | 390,000 | | | | 438,181 | |
Series 2019-B9, Class XA, 1.21%, 3/15/52(c) | | | 1,756,950 | | | | 119,118 | |
Series 2021-B25, Class XA, 1.11%, 4/15/54(c) | | | 6,770,000 | | | | 593,825 | |
Series 2019-B10, Class A4, 3.72%, 3/15/62 | | | 500,000 | | | | 558,120 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Commercial Mortgage-Backed Securities (Continued) | |
BHMS, Series 2018-ATLS, Class A, (1M USD LIBOR + 1.25%, 1.25% Floor), 1.36%, 7/15/35(b)(d) | | $ | 1,190,000 | | | $ | 1,189,628 | |
BX Commercial Mortgage Trust, Series 2020-FOX, Class A, (1M USD LIBOR + 1.00%, 1.00% Floor), 1.12%,
11/15/32(b)(d) | | | 1,002,060 | | | | 1,003,967 | |
BXP Trust, Series 2017-GM, Class D, 3.54%, 6/13/39(b)(c) | | | 370,000 | | | | 381,628 | |
CAMB Commercial Mortgage Trust, | | | | | | | | |
Series 2019-LIFE, Class A, (1M USD LIBOR + 1.07%, 1.07% Floor), 1.19%, 12/15/37(b)(d) | | | 590,000 | | | | 590,732 | |
Series 2019-LIFE, Class D, (1M USD LIBOR + 1.75%, 1.75% Floor), 1.87%, 12/15/37(b)(d) | | | 100,000 | | | | 100,059 | |
CFK Trust, Series 2019-FAX, Class D, 4.79%, 1/15/39(b)(c) | | | 100,000 | | | | 109,618 | |
Citigroup Commercial Mortgage Trust, | | | | | | | | |
Series 2019-SMRT, Class D, 4.90%, 1/10/36(b)(c) | | | 500,000 | | | | 534,623 | |
Series 2019-SMRT, Class E, 4.90%, 1/10/36(b)(c) | | | 500,000 | | | | 516,457 | |
Series 2014-GC23, Class B, 4.18%, 7/10/47 | | | 240,000 | | | | 258,227 | |
Series 2016-P3, Class D, 2.80%, 4/15/49(b) | | | 62,515 | | | | 43,873 | |
Series 2016-C1, Class D, 5.11%, 5/10/49(b)(c) | | | 250,000 | | | | 232,623 | |
Series 2017-C4, Class A4, 3.47%, 10/12/50 | | | 420,000 | | | | 460,791 | |
Commercial Mortgage Trust, Series 2020-CX, Class A, 2.17%, 11/10/46(b) | | | 290,000 | | | | 287,530 | |
CSMC OA LLC, Series 2014-USA, Class B, 4.18%, 9/15/37(b) | | | 530,000 | | | | 545,005 | |
DBGS Mortgage Trust, Series 2019-1735, Class X, 0.43%, 4/10/37(b)(c) | | | 13,945,000 | | | | 318,893 | |
Exantas Capital Corp. Ltd., Series 2019-RSO7, Class AS, (1M USD LIBOR + 1.50%, 1.50% Floor), 1.62%,
4/15/36(b)(d)(e) | | | 500,000 | | | | 499,247 | |
See accompanying Notes to Financial Statements
68
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Commercial Mortgage-Backed Securities (Continued) | |
GS Mortgage Securities Corp. Trust, | | | | | | | | |
Series 2020-DUNE, Class A, (1M USD LIBOR + 1.10%, 1.10% Floor), 1.22%, 12/15/36(b)(d) | | $ | 960,000 | | | $ | 960,356 | |
Series 2019-BOCA, Class A, (1M USD LIBOR + 1.20%, 1.20% Floor), 1.32%, 6/15/38(b)(d) | | | 100,000 | | | | 100,124 | |
Series 2019-BOCA, Class B, (1M USD LIBOR + 1.50%, 1.50% Floor), 1.62%, 6/15/38(b)(d) | | | 620,000 | | | | 619,992 | |
Series 2019-BOCA, Class C, (1M USD LIBOR + 1.73%, 1.73% Floor), 1.85%, 6/15/38(b)(d) | | | 530,000 | | | | 529,674 | |
GS Mortgage Securities Trust, | | | | | | | | |
Series 2017-GS7, Class E, 3.00%, 8/10/50(b) | | | 70,000 | | | | 61,762 | |
Series 2017-GS8, Class A4, 3.47%, 11/10/50 | | | 240,000 | | | | 263,092 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | | | | |
Series 2020-MKST, Class D, (1M USD LIBOR + 1.50%, 1.50% Floor), 1.62%, 12/15/36(b)(d) | | | 710,000 | | | | 687,055 | |
Series 2017-JP6, Class A5, 3.49%, 7/15/50 | | | 235,000 | | | | 258,477 | |
Life Mortgage Trust, Series 2021-BMR, Class A, (1M USD LIBOR + 0.70%, 0.70% Floor), 0.82%, 3/15/38(b)(d) | | | 770,000 | | | | 770,464 | |
LSTAR Commercial Mortgage Trust, Series 2015-3, Class AS, 3.32%, 4/20/48(b)(c) | | | 233,600 | | | | 237,469 | |
Morgan Stanley Capital I Trust, | | | | | | | | |
Series 2019-BPR, Class A, (1M USD LIBOR + 1.40%, 1.40% Floor), 1.52%, 5/15/36(b)(d) | | | 410,000 | | | | 398,868 | |
Series 2019-L2, Class XA, 1.19%, 3/15/52(c) | | | 2,556,891 | | | | 174,069 | |
PFP Ltd., Series 2019-5, Class A, (1M USD LIBOR + 0.97%, 0.97% Floor), 1.09%, 4/14/36(b)(d)(e) | | | 154,699 | | | | 154,603 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Commercial Mortgage-Backed Securities (Continued) | |
Rosslyn Portfolio Trust, Series 2017-ROSS, Class A, (1M USD LIBOR + 0.95%, 1.94% Floor), 1.94%,
6/15/33(b)(d) | | $ | 1,273,774 | | | $ | 1,273,676 | |
SFO Commercial Mortgage Trust, Series 2021-555, Class A, (1M USD LIBOR + 1.15%, 1.15% Floor), 5/15/38(b)(d)(f) | | | 200,000 | | | | 200,000 | |
VASA Trust, Series 2021-VASA, Class A, (1M USD LIBOR + 0.90%, 0.90% Floor), 1.01%, 7/15/39(b)(d) | | | 410,000 | | | | 410,127 | |
Wells Fargo Commercial Mortgage Trust, | | | | | | | | |
Series 2015-P2, Class D, 3.24%, 12/15/48(b) | | | 147,000 | | | | 123,375 | |
Series 2016-BNK1, Class B, 2.97%, 8/15/49 | | | 300,000 | | | | 303,089 | |
Series 2017-C38, Class A5, 3.45%, 7/15/50 | | | 315,000 | | | | 345,787 | |
| | | | | | | 19,624,978 | |
| | | |
Home Equity – 0.1% | | | | | | | | |
GSAA Home Equity Trust, Series 2006-4, Class 1A1, 3.02%, 3/25/36(c) | | | 59,671 | | | | 48,112 | |
Option One Mortgage Loan Trust, Series 2004-3, Class M1, (1M USD LIBOR + 0.78%, 0.78% Floor), 0.89%,
11/25/34(d) | | | 239,079 | | | | 238,861 | |
Renaissance Home Equity Loan Trust, Series 2005-2, Class AV3, (1M USD LIBOR + 0.37%, 0.37% Floor, 14.00% Cap), 0.48%, 8/25/35(d) | | | 355,742 | | | | 343,035 | |
| | | | | | | 630,008 | |
| | | |
Other – 3.2% | | | | | | | | |
ABPCI Direct Lending Fund CLO X L.P., Series 2020-10A, Class A1A, (3M USD LIBOR + 1.95%, 1.95% Floor), 2.14%, 1/20/32(b)(d) | | | 400,000 | | | | 399,923 | |
AGL CLO 6 Ltd., Series 2020-6A, Class A1, (3M USD LIBOR + 1.95%, 1.95% Floor), 2.14%, 7/20/31(b)(d) | | | 290,000 | | | | 290,498 | |
See accompanying Notes to Financial Statements
69
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Other (Continued) | | | | | | | | |
AGL Core CLO 8 Ltd., Series 2020-8A, Class A1, (3M USD LIBOR + 1.50%, 1.50% Floor), 1.69%, 10/20/31(b)(d) | | $ | 180,000 | | | $ | 180,267 | |
Ajax Mortgage Loan Trust, | | | | | | | | |
Series 2018-G, Class A, 4.38%, 6/25/57(b)(c) | | | 57,898 | | | | 58,027 | |
Series 2019-A, Class A, 3.75%, 8/25/57(b)(c) | | | 281,672 | | | | 285,835 | |
Series 2018-F, Class A, 4.38%, 11/25/58(b)(c) | | | 149,942 | | | | 156,223 | |
Series 2019-B, Class A, 3.75%, 1/25/59(b)(c) | | | 356,870 | | | | 362,113 | |
Allegro CLO IV Ltd., Series 2016-1A, Class AR, (3M USD LIBOR + 1.15%),
1.33%, 1/15/30(b)(d) | | | 240,090 | | | | 240,090 | |
Allegro CLO XI Ltd., Series 2019-2A, Class A1A, (3M USD LIBOR + 1.39%, 1.39% Floor), 1.58%, 1/19/33(b)(d) | | | 250,000 | | | | 250,655 | |
ALM VII Ltd., Series 2012-7A, Class A1A2, (3M USD LIBOR + 1.17%, 1.17% Floor), 1.35%, 7/15/29(b)(d) | | | 250,000 | | | | 249,885 | |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R7, Class M2, (1M USD LIBOR + 0.75%, 0.75% Floor), 0.86%, 9/25/35(d) | | | 192,188 | | | | 192,128 | |
AMMC CLO Ltd., Series 2017-21A, Class A, (3M USD LIBOR + 1.25%),
1.43%, 11/02/30(b)(d) | | | 250,000 | | | | 250,025 | |
Anchorage Capital CLO Ltd., Series 2013-1A, Class A1R, (3M USD LIBOR + 1.25%),
1.44%, 10/13/30(b)(d) | | | 500,000 | | | | 500,349 | |
Apidos CLO XXXV, Series 2021-35A, Class A, (3M USD LIBOR + 1.05%, 1.05% Floor), 1.25%, 4/20/34(b)(d) | | | 250,000 | | | | 249,846 | |
Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I,
4.19%, 6/07/49(b) | | | 378,100 | | | | 388,437 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Other (Continued) | | | | | | | | |
ARES XLIV CLO Ltd., Series 2017-44A, Class A1R, (3M USD LIBOR + 1.08%, 1.08% Floor), 1.25%, 4/15/34(b)(d) | | $ | 460,000 | | | $ | 459,885 | |
Atrium IX, Series 9A, Class AR2, (3M USD LIBOR + 0.99%, 0.99% Floor),
1.18%, 5/28/30(b)(d) | | | 530,000 | | | | 528,180 | |
Babson CLO Ltd., Series 2015-IA, Class AR, (3M USD LIBOR + 0.99%, 0.99% Floor),
1.18%, 1/20/31(b)(d) | | | 250,000 | | | | 248,564 | |
Ballyrock CLO Ltd., Series 2019-2A, Class A1BR, (3M USD LIBOR + 1.20%, 1.20% Floor), 1.38%, 11/20/30(b)(d) | | | 250,000 | | | | 248,952 | |
Basswood Park CLO Ltd, Series 2021-1A, Class A, (3M USD LIBOR + 1.00%, 1.00% Floor), 1.18%, 4/20/34(b)(d) | | | 800,000 | | | | 799,800 | |
Bayview Commercial Asset Trust, Series 2007-4A, Class A1, (1M USD LIBOR + 0.45%, 0.45% Floor), 0.56%, 9/25/37(b)(d) | | | 405,460 | | | | 383,868 | |
BCC Funding Corp. XVI LLC, Series 2019-1A, Class A2, 2.46%, 8/20/24(b) | | | 289,751 | | | | 293,840 | |
BlueMountain CLO Ltd., | | | | | | | | |
Series 2013-1A, Class A1R2, (3M USD LIBOR + 1.23%, 1.23% Floor), 1.42%, 1/20/29(b)(d) | | | 348,947 | | | | 348,948 | |
Series 2013-2A, Class A1R, (3M USD LIBOR + 1.18%), 1.36%, 10/22/30(b)(d) | | | 245,096 | | | | 245,124 | |
Series 2015-3A, Class A1R, (3M USD LIBOR + 1.00%), 1.19%, 4/20/31(b)(d) | | | 250,000 | | | | 249,312 | |
Carlyle Global Market Strategies CLO Ltd., | | | | | | | | |
Series 2015-3A, Class A1R, (3M USD LIBOR + 1.00%), 1.18%, 7/28/28(b)(d) | | | 237,273 | | | | 236,657 | |
Series 2014-2RA, Class A1, (3M USD LIBOR + 1.05%), 1.24%, 5/15/31(b)(d) | | | 729,370 | | | | 727,861 | |
See accompanying Notes to Financial Statements
70
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Other (Continued) | | | | | | | | |
Carlyle Global Market Strategies CLO Ltd., | | | | | | | | |
Series 2014-3RA, Class A1A, (3M USD LIBOR + 1.05%), 1.23%, 7/27/31(b)(d) | | $ | 247,958 | | | $ | 247,162 | |
Cerberus Loan Funding XXVIII L.P., Series 2020-1A, Class A, (3M USD LIBOR + 1.85%, 1.85% Floor), 2.09%, 10/15/31(b)(d) | | | 125,000 | | | | 124,822 | |
CIFC Funding Ltd., Series 2020-2A, Class A1, (3M USD LIBOR + 1.65%, 1.65% Floor), 1.84%, 8/24/32(b)(d) | | | 250,000 | | | | 250,342 | |
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class M3A, (1M USD LIBOR + 2.50%, 2.50% Floor), 2.61%, 7/25/37(d) | | | 500,000 | | | | 518,364 | |
Columbia Cent CLO 29 Ltd., Series 2020-29A, Class A1N, (3M USD LIBOR + 1.70%, 1.70% Floor), 1.89%, 7/20/31(b)(d) | | | 260,000 | | | | 261,371 | |
Cumberland Park CLO Ltd., Series 2015-2A, Class BR, (3M USD LIBOR + 1.40%), 1.59%, 7/20/28(b)(d) | | | 350,000 | | | | 347,577 | |
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR, (3M USD LIBOR + 0.90%), 1.08%, 10/15/27(b)(d) | | | 367,571 | | | | 366,800 | |
First Franklin Mortgage Loan Trust, | | | | | | | | |
Series 2003-FF4, Class M1, (1M USD LIBOR + 1.80%, 1.80% Floor), 1.92%, 10/25/33(d) | | | 367,258 | | | | 373,089 | |
Series 2006-FF13, Class A1, (1M USD LIBOR + 0.24%, 0.24% Floor), 0.35%, 10/25/36(d) | | | 32,646 | | | | 25,952 | |
Series 2006-FF13, Class A2C, (1M USD LIBOR + 0.32%, 0.32% Floor), 0.43%, 10/25/36(d) | | | 21,430 | | | | 17,415 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Other (Continued) | | | | | | | | |
Hildene Community Funding CDO Ltd., Series 2015-1A, Class AR, 3.25%, 11/01/35(b) | | $ | 150,000 | | | $ | 148,494 | |
Home Equity Asset Trust, Series 2006-4, Class 2A4, (1M USD LIBOR + 0.56%, 0.56% Floor), 0.67%, 8/25/36(d) | | | 631,145 | | | | 624,768 | |
ICG U.S. CLO Ltd., Series 2015-2RA, Class A1, (3M USD LIBOR + 1.37%, 1.37% Floor), 1.55%, 1/16/33(b)(d) | | | 500,000 | | | | 500,429 | |
KKR CLO 16 Ltd., | | | | | | | | |
Series 16, Class A2R, (3M USD LIBOR + 1.80%, 1.80% Floor), 1.99%, 1/20/29(b)(d) | | | 250,000 | | | | 249,329 | |
Series 16, Class A1R, (3M USD LIBOR + 1.25%, 1.25% Floor), 1.44%, 1/20/29(b)(d) | | | 233,179 | | | | 233,306 | |
KKR CLO 32 Ltd., Series 32A, Class A1, (3M USD LIBOR + 1.32%, 1.32% Floor), 1.50%, 1/15/32(b)(d) | | | 150,000 | | | | 150,325 | |
LCM Loan Income Fund I Income Note Issuer Ltd., Series 27A, Class A1, (3M USD LIBOR + 1.08%), 1.26%, 7/16/31(b)(d) | | | 250,000 | | | | 249,744 | |
Legacy Mortgage Asset Trust, Series 2019-GS5, Class A1, (Step to 6.20% on 8/25/22), 3.20%, 5/25/59(b)(g) | | | 796,512 | | | | 803,646 | |
Long Beach Mortgage Loan Trust, Series 2006-6, Class 2A3, (1M USD LIBOR + 0.15%, 0.15% Floor), 0.26%, 7/25/36(d) | | | 827,002 | | | | 428,704 | |
Madison Park Funding X Ltd., Series 2012-10A, Class AR3, (3M USD LIBOR + 1.01%), 1.20%, 1/20/29(b)(d) | | | 612,345 | | | | 612,492 | |
Madison Park Funding XIII Ltd., Series 2014-13A, Class AR2, (3M USD LIBOR + 0.95%, 0.95% Floor), 1.14%, 4/19/30(b)(d) | | | 500,000 | | | | 498,628 | |
Madison Park Funding XVI Ltd., Series 2015-16A, Class A1R, (3M USD LIBOR + 1.33%), 1.52%, 4/20/26(b)(d) | | | 112,162 | | | | 112,163 | |
See accompanying Notes to Financial Statements
71
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Other (Continued) | | | | | | | | |
Merrill Lynch Mortgage Investors Trust, Series 2004-WMC5, Class M1, (1M USD LIBOR + 0.93%, 0.93% Floor), 1.04%, 7/25/35(d) | | $ | 206,294 | | | $ | 206,172 | |
Myers Park CLO Ltd., Series 2018-1A, Class B1, (3M USD LIBOR + 1.60%, 1.60% Floor), 1.79%, 10/20/30(b)(d) | | | 250,000 | | | | 249,309 | |
NP SPE X L.P., Series 2021-1A, Class A1, 2.23%, 3/19/51(b) | | | 780,000 | | | | 775,246 | |
Oaktree CLO Ltd., Series 2015-1A, Class A1R, (3M USD LIBOR + 0.87%), 1.06%, 10/20/27(b)(d) | | | 239,841 | | | | 239,768 | |
Ocean Trails CLO IX, Series 2020-9A, Class A1, (3M USD LIBOR + 1.87%, 1.87% Floor), 2.05%, 10/15/29(b)(d) | | | 490,000 | | | | 491,961 | |
Octagon Investment Partners XXI Ltd., | | | | | | | | |
Series 2012-1A, Class AARR, (3M USD LIBOR + 0.95%, 0.95% Floor), 1.13%, 7/15/29(b)(d) | | | 1,450,000 | | | | 1,442,049 | |
Series 2012-1A, Class AAR3, (3M USD LIBOR + 1.00%, 1.00% Floor), 1.19%, 2/14/31(b)(d) | | | 260,000 | | | | 258,433 | |
OHA Credit Funding 7 Ltd., Series 2020-7A, Class A, (3M USD LIBOR + 1.25%, 1.25% Floor), 1.44%, 10/19/32(b)(d) | | | 150,000 | | | | 150,077 | |
Owl Rock CLO III Ltd., Series 2020-3A, Class A1L, (3M USD LIBOR + 1.80%), 1.99%, 4/20/32(b)(d) | | | 270,000 | | | | 268,874 | |
Palmer Square CLO Ltd., Series 2018-2A, Class A1A, (3M USD LIBOR + 1.10%), 1.28%, 7/16/31(b)(d) | | | 500,000 | | | | 499,121 | |
RR 3 Ltd., Series 2018-3A, Class A1R2, (3M USD LIBOR + 1.09%, 1.09% Floor), 1.27%, 1/15/30(b)(d) | | | 250,000 | | | | 250,005 | |
SBA Small Business Investment Cos., Series 2019-10A, Class 1, 3.11%, 3/10/29 | | | 82,587 | | | | 88,418 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Other (Continued) | | | | | | | | |
SBA Small Business Investment Cos., | | | | | | | | |
Series 2021-10A, Class 1, 1.67%, 3/10/31 | | $ | 240,000 | | | $ | 243,238 | |
Signal Peak CLO 4 Ltd., Series 2017-4A, Class A, (3M USD LIBOR + 1.21%), 1.39%, 10/26/29(b)(d) | | | 250,000 | | | | 250,004 | |
Silver Rock CLO I Ltd., Series 2020-1A, Class A, (3M USD LIBOR + 1.65%, 1.65% Floor), 1.84%, 10/20/31(b)(d) | | | 440,000 | | | | 443,578 | |
Sound Point CLO XXIII, Series 2019-2A, Class A1, (3M USD LIBOR + 1.40%, 1.40% Floor), 1.58%, 4/15/32(b)(d) | | | 250,000 | | | | 250,004 | |
Sunrun Vulcan Issuer LLC, Series 2021-1A, Class A, 2.46%, 1/30/52(b) | | | 640,000 | | | | 640,526 | |
Towd Point Mortgage Trust, | | | | | | | | |
Series 2017-4, Class B2, 3.50%, 6/25/57(b)(c) | | | 330,000 | | | | 342,091 | |
Series 2019-SJ2, Class M1,
4.50%, 11/25/58(b) | | | 500,000 | | | | 509,556 | |
United States Small Business Administration, | | | | | | | | |
Series 2019-20D, Class 1, 2.98%, 4/01/39 | | | 44,523 | | | | 47,008 | |
Series 2019-25G, Class 1, 2.69%, 7/01/44 | | | 74,552 | | | | 78,359 | |
Venture 31 CLO Ltd., Series 2018-31A, Class A1, (3M USD LIBOR + 1.03%, 1.03% Floor), 1.22%, 4/20/31(b)(d) | | | 410,000 | | | | 408,708 | |
Voya CLO Ltd., | | | | | | | | |
Series 2018-2A, Class A1, (3M USD LIBOR + 1.00%, 1.00% Floor), 1.18%, 7/15/31(b)(d) | | | 570,000 | | | | 570,393 | |
Series 2017-3A, Class A1R, (3M USD LIBOR + 1.04%), 1.23%, 4/20/34(b)(d) | | | 230,000 | | | | 229,943 | |
Wellfleet CLO Ltd., Series 2020-2A, Class A, (3M USD LIBOR + 1.85%, 1.85% Floor), 2.03%, 7/15/31(b)(d) | | | 260,000 | | | | 261,073 | |
See accompanying Notes to Financial Statements
72
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Other (Continued) | |
Westcott Park CLO Ltd., Series 2016-1A, Class AR, (3M USD LIBOR + 1.21%), 1.40%, 7/20/28(b)(d) | | $ | 500,000 | | | $ | 500,101 | |
Whitebox CLO II Ltd., Series 2020-2A, Class A1, (3M USD LIBOR + 1.75%, 1.75% Floor), 1.93%, 10/24/31(b)(d) | | | 280,000 | | | | 281,066 | |
York CLO-3 Ltd., Series 2016-1A, Class BR, (3M USD LIBOR + 1.75%), 1.94%, 10/20/29(b)(d) | | | 500,000 | | | | 500,613 | |
| | | | | | | 26,445,908 | |
| | | |
Student Loan – 0.3% | | | | | | | | |
Navient Student Loan Trust, | | | | | | | | |
Series 2017-1A, Class A3, (1M USD LIBOR + 1.15%), 1.26%, 7/26/66(b)(d) | | | 260,000 | | | | 264,226 | |
Series 2017-2A, Class A, (1M USD LIBOR + 1.05%),
1.16%, 12/27/66(b)(d) | | | 115,300 | | | | 116,927 | |
Series 2014-5, Class A, (1M USD LIBOR + 0.62%), 0.73%, 3/25/83(d) | | | 810,105 | | | | 811,102 | |
SMB Private Education Loan Trust 2021-A, Series 2021-A, Class A2B, 1.59%, 1/15/53(b) | | | 670,000 | | | | 665,105 | |
Sofi Professional Loan Program Trust, | | | | | | | | |
Series 2018-B, Class A2FX, 3.34%, 8/25/47(b) | | | 172,643 | | | | 177,093 | |
Series 2018-D, Class A2FX, 3.60%, 2/25/48(b) | | | 151,491 | | | | 155,976 | |
| | | | | | | 2,190,429 | |
| | | |
Whole Loan – 1.5% | | | | | | | | |
Adjustable Rate Mortgage Trust, Series 2005-9, Class 5A1, (1M USD LIBOR + 0.54%, 0.54% Floor, 11.00% Cap), 0.65%, 11/25/35(d) | | | 236,782 | | | | 238,480 | |
Cascade MH Asset Trust, Series 2021-MH1, Class A1, 1.75%, 2/25/46(b) | | | 166,859 | | | | 167,849 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Whole Loan (Continued) | | | | | | | | |
CSMC, | | | | | | | | |
Series 2021-2R, Class 1A1, (1M USD LIBOR + 1.75%, 1.75% Floor), 1.86%, 7/25/47(b)(d) | | $ | 460,863 | | | $ | 460,841 | |
Series 2019-NQM1, Class A2, (Step to 3.86% on 12/25/23), 2.86%, 10/25/59(b)(g) | | | 568,391 | | | | 578,240 | |
Series 2021-NQM2, Class A3,
1.54%, 2/25/66(b) | | | 187,569 | | | | 188,049 | |
CSMC Trust, | | | | | | | | |
Series 2019-RPL8, Class A1, 3.32%, 10/25/58(b)(c) | | | 935,232 | | | | 941,932 | |
Series 2021-RPL2, Class A1,
2.00%, 1/25/60(b) | | | 170,622 | | | | 174,162 | |
Series 2021-RPL3, Class A1,
2.00%, 1/25/60(b) | | | 195,395 | | | | 198,684 | |
FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-DN3, Class M3, (1M USD LIBOR + 4.00%), 4.11%, 8/25/24(d) | | | 79,424 | | | | 81,090 | |
FNMA Connecticut Avenue Securities, | | | | | | | | |
Series 2014-C04, Class 1M2, (1M USD LIBOR + 4.90%), 5.01%, 11/25/24(d) | | | 140,247 | | | | 145,012 | |
Series 2016-C02, Class 1M2, (1M USD LIBOR + 6.00%), 6.11%, 9/25/28(d) | | | 352,448 | | | | 371,959 | |
Series 2016-C03, Class 1M2, (1M USD LIBOR + 5.30%), 5.41%, 10/25/28(d) | | | 315,247 | | | | 331,081 | |
Series 2016-C04, Class 1M2, (1M USD LIBOR + 4.25%), 4.36%, 1/25/29(d) | | | 174,833 | | | | 183,273 | |
Freddie Mac STACR REMIC Trust, Series 2020-DNA6, Class M1, (30D Average SOFR + 0.90%), 0.91%, 12/25/50(b)(d) | | | 217,637 | | | | 217,717 | |
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class M2, (30D Average SOFR + 2.30%), 2.31%, 8/25/33(b)(d) | | | 190,000 | | | | 194,379 | |
See accompanying Notes to Financial Statements
73
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Whole Loan (Continued) | | | | | | | | |
GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4, 5.50%, 1/25/37 | | $ | 289,128 | | | $ | 335,553 | |
HarborView Mortgage Loan Trust, | | | | | | | | |
Series 2005-9, Cllass 2A1B, (1M USD LIBOR + 0.74%, 0.74% Floor, 11.00% Cap), 0.86%, 6/20/35(d) | | | 188,016 | | | | 187,331 | |
Series 2005-9, Cllass 2A1C, (1M USD LIBOR + 0.90%, 0.90% Floor, 11.00% Cap), 1.02%, 6/20/35(d) | | | 693,077 | | | | 686,018 | |
Impac CMB Trust, Series 2007-A, Class A, (1M USD LIBOR + 0.50%, 0.50% Floor, 11.50% Cap), 0.61%, 5/25/37(b)(d) | | | 273,834 | | | | 273,026 | |
Legacy Mortgage Asset Trust, Series 2021-GS2, Class A1, (Step to 4.75% on 5/25/24), 1.75%, 4/25/61(b)(g) | | | 370,000 | | | | 370,242 | |
MASTR Asset Securitization Trust, | | | | | | | | |
Series 2007-1, Class 1A4, 6.50%, 11/25/37 | | | 642,137 | | | | 298,269 | |
Series 2007-2, Class A2, 6.25%, 1/25/38 | | | 406,664 | | | | 303,448 | |
MCM Trust, Series 2018-NPL2, Class B, 7.12%, 10/25/28(b)(h) | | | 422,204 | | | | 213,213 | |
Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A2, 2.31%, 2/25/34(c) | | | 338,101 | | | | 347,785 | |
Morgan Stanley Resecuritization Trust, Series 2015-R2, Class 2A1, (12MTA + 1.09%, 1.09% Floor),
2.33%, 12/26/46(b)(d) | | | 164,111 | | | | 165,768 | |
New Residential Mortgage Loan Trust, | | | | | | | | |
Series 2015-2A, Class A1, 3.75%, 8/25/55(b) | | | 345,273 | | | | 367,151 | |
Series 2017-2A, Class B2, 4.75%, 3/25/57(b) | | | 292,082 | | | | 318,950 | |
Series 2018-RPL1, Class M2, 3.50%, 12/25/57(b) | | | 280,000 | | | | 289,303 | |
Series 2018-3A, Class A1, 4.50%, 5/25/58(b)(c) | | | 974,628 | | | | 1,061,157 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Whole Loan (Continued) | | | | | | | | |
New Residential Mortgage Loan Trust, | | | | | | | | |
Series 2019-NQM4, Class A1, 2.49%, 9/25/59(b) | | $ | 311,791 | | | $ | 317,109 | |
Series 2019-6A, Class A1B, 3.50%, 9/25/59(b)(c) | | | 486,246 | | | | 513,735 | |
Series 2019-6A, Class B3C, 3.75%, 9/25/59(b)(c) | | | 604,335 | | | | 640,938 | |
Residential Mortgage Loan Trust, | | | | | | | | |
Series 2019-2, Class A1, 2.91%, 5/25/59(b) | | | 282,712 | | | | 287,687 | |
Series 2020-2, Class A1, 1.65%, 5/25/60(b) | | | 455,276 | | | | 459,454 | |
Thornburg Mortgage Securities Trust, Series 2004-2, Class A4, (1M USD LIBOR + 0.68%, 0.34% Floor, 11.50% Cap), 0.79%, 6/25/44(d) | | | 443,038 | | | | 444,033 | |
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7,
11.70%, 2/25/38(b)(c) | | | 189,074 | | | | 56,631 | |
WaMu Mortgage Pass-Through Certificates, Series 2006-AR13, Class 1A, (12MTA + 0.88%, 0.88% Floor), 1.02%, 10/25/46(d) | | | 349,736 | | | | 328,487 | |
| | | | | | | 12,738,036 | |
| | | |
Total Asset-Backed Securities
(Cost $62,716,290) | | | | | | | 63,172,794 | |
|
Corporate Bonds – 24.2% | |
|
Advertising – 0.0%(i) | |
Interpublic (The) Group of Cos., Inc, 4.75%, 3/30/30 | | | 97,000 | | | | 112,811 | |
Lamar Media Corp., 3.75%, 2/15/28 | | | 8,000 | | | | 8,071 | |
Outfront Media Capital LLC/Outfront Media Capital Corp., | | | | | | | | |
5.00%, 8/15/27(b) | | | 82,000 | | | | 84,563 | |
4.63%, 3/15/30(b) | | | 7,000 | | | | 6,930 | |
| | | | | | | 212,375 | |
| | | |
Aerospace/Defense – 1.2% | | | | | | | | |
Boeing (The) Co., | | | | | | | | |
1.43%, 2/04/24 | | | 110,000 | | | | 110,342 | |
2.85%, 10/30/24 | | | 115,000 | | | | 120,298 | |
4.88%, 5/01/25 | | | 635,000 | | | | 712,134 | |
2.20%, 2/04/26 | | | 390,000 | | | | 390,700 | |
See accompanying Notes to Financial Statements
74
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| |
Aerospace/Defense (Continued) | | | | | |
Boeing (The) Co., | | | | | | | | | | | | |
3.10%, 5/01/26 | | | | | | $ | 40,000 | | | $ | 42,052 | |
2.70%, 2/01/27 | | | | | | | 30,000 | | | | 30,863 | |
2.80%, 3/01/27 | | | | | | | 40,000 | | | | 41,352 | |
3.20%, 3/01/29 | | | | | | | 130,000 | | | | 133,596 | |
5.15%, 5/01/30 | | | | | | | 470,000 | | | | 546,640 | |
3.25%, 2/01/35 | | | | | | | 290,000 | | | | 285,847 | |
5.71%, 5/01/40 | | | | | | | 140,000 | | | | 173,618 | |
3.75%, 2/01/50 | | | | | | | 50,000 | | | | 48,667 | |
5.81%, 5/01/50 | | | | | | | 524,000 | | | | 672,741 | |
5.93%, 5/01/60 | | | | | | | 200,000 | | | | 261,000 | |
General Dynamics Corp., | | | | | | | | | | | | |
3.63%, 4/01/30 | | | | | | | 317,000 | | | | 354,342 | |
4.25%, 4/01/40 | | | | | | | 10,000 | | | | 11,944 | |
4.25%, 4/01/50 | | | | | | | 40,000 | | | | 48,989 | |
L3Harris Technologies, Inc., | | | | | | | | | | | | |
3.95%, 5/28/24 | | | | | | | 115,000 | | | | 124,953 | |
3.85%, 12/15/26 | | | | | | | 145,000 | | | | 161,976 | |
4.40%, 6/15/28 | | | | | | | 399,000 | | | | 457,090 | |
1.80%, 1/15/31 | | | | | | | 328,000 | | | | 311,873 | |
5.05%, 4/27/45 | | | | | | | 20,000 | | | | 25,286 | |
Lockheed Martin Corp., | | | | | | | | | | | | |
3.55%, 1/15/26 | | | | | | | 120,000 | | | | 133,157 | |
3.60%, 3/01/35 | | | | | | | 222,000 | | | | 249,904 | |
4.07%, 12/15/42 | | | | | | | 41,000 | | | | 47,864 | |
3.80%, 3/01/45 | | | | | | | 82,000 | | | | 91,787 | |
2.80%, 6/15/50 | | | | | | | 49,000 | | | | 46,659 | |
Northrop Grumman Corp., | | | | | | | | | | | | |
2.93%, 1/15/25 | | | | | | | 40,000 | | | | 42,818 | |
3.25%, 1/15/28 | | | | | | | 887,000 | | | | 959,826 | |
4.03%, 10/15/47 | | | | | | | 273,000 | | | | 307,417 | |
5.25%, 5/01/50 | | | | | | | 615,000 | | | | 822,443 | |
Raytheon Technologies Corp., | | | | | | | | | | | | |
3.15%, 12/15/24 | | | | | | | 105,000 | | | | 112,963 | |
7.20%, 8/15/27 | | | | | | | 26,000 | | | | 34,204 | |
7.00%, 11/01/28 | | | | | | | 90,000 | | | | 116,893 | |
4.13%, 11/16/28 | | | | | | | 385,000 | | | | 437,063 | |
7.50%, 9/15/29 | | | | | | | 15,000 | | | | 20,689 | |
2.15%, 5/18/30 | | | EUR | | | | 130,000 | | | | 174,761 | |
2.25%, 7/01/30 | | | | | | | 208,000 | | | | 206,664 | |
4.50%, 6/01/42 | | | | | | | 100,000 | | | | 119,922 | |
4.15%, 5/15/45 | | | | | | | 150,000 | | | | 168,582 | |
3.75%, 11/01/46 | | | | | | | 50,000 | | | | 53,787 | |
4.63%, 11/16/48 | | | | | | | 40,000 | | | | 48,803 | |
3.13%, 7/01/50 | | | | | | | 190,000 | | | | 184,777 | |
TransDigm, Inc., | | | | | | | | | | | | |
8.00%, 12/15/25(b) | | | | | | | 198,000 | | | | 215,077 | |
6.25%, 3/15/26(b) | | | | | | | 483,000 | | | | 511,376 | |
| | | | | | | | | | | | 10,173,739 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
|
Agriculture – 0.4% | |
Altria Group, Inc., | | | | | | | | | | | | |
2.35%, 5/06/25 | | | | | | $ | 30,000 | | | $ | 31,385 | |
4.40%, 2/14/26 | | | | | | | 278,000 | | | | 313,954 | |
2.20%, 6/15/27 | | | EUR | | | | 100,000 | | | | 128,949 | |
4.80%, 2/14/29 | | | | | | | 103,000 | | | | 117,164 | |
3.13%, 6/15/31 | | | EUR | | | | 205,000 | | | | 279,514 | |
2.45%, 2/04/32 | | | | | | | 421,000 | | | | 396,044 | |
5.80%, 2/14/39 | | | | | | | 315,000 | | | | 381,127 | |
3.40%, 2/04/41 | | | | | | | 100,000 | | | | 91,663 | |
5.95%, 2/14/49 | | | | | | | 305,000 | | | | 374,975 | |
6.20%, 2/14/59 | | | | | | | 37,000 | | | | 46,106 | |
Cargill, Inc., 1.38%, 7/23/23(b) | | | | | | | 110,000 | | | | 112,331 | |
Darling Ingredients, Inc., 5.25%, 4/15/27(b) | | | | | | | 18,000 | | | | 18,922 | |
Philip Morris International, Inc., | | | | | | | | | | | | |
2.50%, 8/22/22 | | | | | | | 330,000 | | | | 340,217 | |
1.13%, 5/01/23 | | | | | | | 70,000 | | | | 71,037 | |
2.10%, 5/01/30 | | | | | | | 70,000 | | | | 68,182 | |
1.45%, 8/01/39 | | | EUR | | | | 200,000 | | | | 229,811 | |
4.50%, 3/20/42 | | | | | | | 60,000 | | | | 68,924 | |
| | | | | | | | | | | 3,070,305 | |
| |
Airlines – 0.2% | |
American Airlines Pass Through Trust, | | | | | | | | | | | | |
Series 2013-2, Class A, 4.95%, 1/15/23 | | | | | | | 60,802 | | | | 61,423 | |
Series 2015-2, Class B, 4.40%, 9/22/23 | | | | | | | 17,214 | | | | 16,551 | |
Series 2016-1, Class B, 5.25%, 1/15/24 | | | | | | | 100,101 | | | | 97,606 | |
Series 2017-1, Class B, 4.95%, 2/15/25 | | | | | | | 14,328 | | | | 13,796 | |
Series 2015-2, Class AA, 3.60%, 9/22/27 | | | | | | | 13,737 | | | | 13,989 | |
Series 2016-1, Class AA, 3.58%, 1/15/28 | | | | | | | 78,562 | | | | 79,945 | |
Series 2019-1, Class B, 3.85%, 2/15/28 | | | | | | | 72,511 | | | | 67,455 | |
Series 2016-2, Class AA, 3.20%, 6/15/28 | | | | | | | 24,285 | | | | 24,415 | |
Series 2016-3, Class AA, 3.00%, 10/15/28 | | | | | | | 117,901 | | | | 119,480 | |
Series 2017-1, Class AA, 3.65%, 2/15/29 | | | | | | | 20,930 | | | | 21,326 | |
Series 2019-1, Class AA, 3.15%, 2/15/32 | | | | | | | 70,939 | | | | 70,898 | |
Delta Air Lines Pass Through Trust, | | | | | | | | | | | | |
Series 2019-1, Class AA, 3.20%, 4/25/24 | | | | | | | 164,000 | | | | 171,916 | |
See accompanying Notes to Financial Statements
75
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Airlines (Continued) | |
Delta Air Lines Pass Through Trust, | | | | | | | | |
Series 2015-1, Class AA, 3.63%, 7/30/27 | | $ | 57,078 | | | $ | 61,410 | |
Delta Air Lines, Inc./SkyMiles IP Ltd., | | | | | | | | |
4.50%, 10/20/25(b) | | | 220,000 | | | | 235,983 | |
4.75%, 10/20/28(b) | | | 210,000 | | | | 230,606 | |
United Airlines Pass Through Trust, | | | | | | | | |
Series 2014-2, Class B, 4.63%, 9/03/22 | | | 4,409 | | | | 4,532 | |
Series 2016-2, Class B, 3.65%, 10/07/25 | | | 2,801 | | | | 2,749 | |
Series 2020-1, Class B, 4.88%, 1/15/26 | | | 63,083 | | | | 65,821 | |
Series 2014-1, Class A, 4.00%, 4/11/26 | | | 93,736 | | | | 98,246 | |
Series 2020-1, Class A, 5.88%, 10/15/27 | | | 185,572 | | | | 205,280 | |
Series 2015-1, Class AA, 3.45%, 12/01/27 | | | 782 | | | | 822 | |
Series 2019-2, Class B, 3.50%, 5/01/28 | | | 54,643 | | | | 53,444 | |
Series 2016-1, Class AA, 3.10%, 7/07/28 | | | 2,446 | | | | 2,530 | |
Series 2016-2, Class AA, 2.88%, 10/07/28 | | | 17,930 | | | | 18,350 | |
Series 2018-1, Class AA, 3.50%, 3/01/30 | | | 15,902 | | | | 16,392 | |
Series 2019-2, Class AA, 2.70%, 5/01/32 | | | 57,666 | | | | 56,419 | |
| | | | | | | 1,811,384 | |
| |
Apparel – 0.1% | |
Hanesbrands, Inc., | | | | | | | | |
4.63%, 5/15/24(b) | | | 58,000 | | | | 61,061 | |
4.88%, 5/15/26(b) | | | 12,000 | | | | 12,850 | |
NIKE, Inc., | | | | | | | | |
2.40%, 3/27/25 | | | 60,000 | | | | 63,545 | |
2.75%, 3/27/27 | | | 100,000 | | | | 107,857 | |
2.85%, 3/27/30 | | | 100,000 | | | | 106,471 | |
3.25%, 3/27/40 | | | 50,000 | | | | 53,092 | |
3.38%, 3/27/50 | | | 20,000 | | | | 21,372 | |
Under Armour, Inc., 3.25%, 6/15/26 | | | 7,000 | | | | 7,101 | |
William Carter (The) Co., 5.63%, 3/15/27(b) | | | 33,000 | | | | 34,691 | |
| | | | | | | 468,040 | |
| |
Auto Manufacturers – 0.4% | |
General Motors Co., | | | | | | | | |
4.88%, 10/02/23 | | | 560,000 | | | | 613,135 | |
5.40%, 10/02/23 | | | 114,000 | | | | 126,092 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Auto Manufacturers (Continued) | |
General Motors Co., | | | | | | | | |
6.13%, 10/01/25 | | $ | 139,000 | | | $ | 164,966 | |
5.95%, 4/01/49 | | | 70,000 | | | | 90,502 | |
General Motors Financial Co., Inc., | | | | | | | | |
3.55%, 7/08/22 | | | 329,000 | | | | 340,202 | |
5.20%, 3/20/23 | | | 349,000 | | | | 377,995 | |
3.70%, 5/09/23 | | | 68,000 | | | | 71,590 | |
1.70%, 8/18/23 | | | 203,000 | | | | 207,195 | |
5.10%, 1/17/24 | | | 70,000 | | | | 77,423 | |
2.75%, 6/20/25 | | | 359,000 | | | | 377,809 | |
Hyundai Capital America, 2.38%, 2/10/23(b) | | | 245,000 | | | | 251,562 | |
Nissan Motor Acceptance Corp., 2.75%, 3/09/28(b) | | | 128,000 | | | | 128,399 | |
Toyota Motor Credit Corp., | | | | | | | | |
2.15%, 2/13/30 | | | 175,000 | | | | 175,904 | |
1.65%, 1/10/31 | | | 42,000 | | | | 39,827 | |
| | | | | | | 3,042,601 | |
| |
Auto Parts & Equipment – 0.0%(i) | |
American Axle & Manufacturing, Inc., 6.25%, 4/01/25 | | | 25,000 | | | | 25,888 | |
| | | |
Banks – 5.7% | | | | | | | | |
Bank of America Corp., | | | | | | | | |
(3M USD LIBOR + 0.63%), 3.50%, 5/17/22(j) | | | 50,000 | | | | 50,057 | |
3.30%, 1/11/23 | | | 270,000 | | | | 283,648 | |
(3M USD LIBOR + 0.79%), 3.00%, 12/20/23(j) | | | 93,000 | | | | 96,678 | |
(3M USD LIBOR + 0.78%), 3.55%, 3/05/24(j) | | | 93,000 | | | | 97,960 | |
4.20%, 8/26/24 | | | 60,000 | | | | 66,144 | |
(SOFR + 0.74%), 0.81%, 10/24/24(j) | | | 264,000 | | | | 264,494 | |
3.95%, 4/21/25 | | | 361,000 | | | | 397,071 | |
(3M USD LIBOR + 0.87%), 2.46%, 10/22/25(j) | | | 1,061,000 | | | | 1,113,920 | |
(3M USD LIBOR + 0.81%), 3.37%, 1/23/26(j) | | | 62,000 | | | | 66,968 | |
4.45%, 3/03/26 | | | 130,000 | | | | 147,242 | |
(SOFR + 1.15%), 1.32%, 6/19/26(j) | | | 70,000 | | | | 70,148 | |
4.25%, 10/22/26 | | | 680,000 | | | | 768,658 | |
(SOFR + 1.01%), 1.20%, 10/24/26(j) | | | 85,000 | | | | 84,421 | |
(3M USD LIBOR + 1.06%), 3.56%, 4/23/27(j) | | | 346,000 | | | | 379,467 | |
(SOFR + 0.96%), 1.73%, 7/22/27(j) | | | 790,000 | | | | 797,336 | |
(3M USD LIBOR + 1.58%), 3.82%, 1/20/28(j) | | | 543,000 | | | | 601,862 | |
See accompanying Notes to Financial Statements
76
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Banks (Continued) | |
Bank of America Corp., | | | | | | | | |
(3M USD LIBOR + 2.93%), 5.88%, 3/15/28(j)(k) | | $ | 171,000 | | | $ | 192,837 | |
(3M USD LIBOR + 1.51%), 3.71%, 4/24/28(j) | | | 252,000 | | | | 277,868 | |
(3M USD LIBOR + 1.37%), 3.59%, 7/21/28(j) | | | 239,000 | | | | 261,376 | |
(3M USD LIBOR + 1.04%), 3.42%, 12/20/28(j) | | | 911,000 | | | | 986,678 | |
(3M USD LIBOR + 1.07%), 3.97%, 3/05/29(j) | | | 138,000 | | | | 153,895 | |
(3M USD LIBOR + 1.21%), 3.97%, 2/07/30(j) | | | 1,127,000 | | | | 1,256,850 | |
(3M USD LIBOR + 1.18%), 3.19%, 7/23/30(j) | | | 166,000 | | | | 176,004 | |
(3M USD LIBOR + 1.19%), 2.88%, 10/22/30(j) | | | 393,000 | | | | 407,623 | |
(SOFR + 2.15%), 2.59%, 4/29/31(j) | | | 1,176,000 | | | | 1,183,283 | |
(SOFR + 1.53%), 1.90%, 7/23/31(j) | | | 200,000 | | | | 189,716 | |
(3M USD LIBOR + 1.32%), 4.08%, 4/23/40(j) | | | 179,000 | | | | 201,918 | |
(SOFR + 1.93%), 2.68%, 6/19/41(j) | | | 81,000 | | | | 76,099 | |
(SOFR + 1.58%), 3.31%, 4/22/42(j) | | | 162,000 | | | | 165,287 | |
5.00%, 1/21/44 | | | 170,000 | | | | 216,170 | |
(3M USD LIBOR + 1.52%), 4.33%, 3/15/50(j) | | | 30,000 | | | | 34,777 | |
(3M USD LIBOR + 3.15%), 4.08%, 3/20/51(j) | | | 450,000 | | | | 505,225 | |
Bank of New York Mellon (The) Corp., | | | | | | | | |
1.60%, 4/24/25 | | | 60,000 | | | | 61,711 | |
(5Y US Treasury CMT + 3.35%), 3.70%, 3/20/26(j)(k) | | | 90,000 | | | | 93,829 | |
(3M USD LIBOR + 3.13%), 4.63%, 9/20/26(j)(k) | | | 136,000 | | | | 144,568 | |
(3M USD LIBOR + 1.07%), 3.44%, 2/07/28(j) | | | 89,000 | | | | 98,371 | |
Citigroup, Inc., | | | | | | | | |
(SOFR + 1.67%), 1.68%, 5/15/24(j) | | | 120,000 | | | | 122,710 | |
4.40%, 6/10/25 | | | 243,000 | | | | 271,396 | |
5.50%, 9/13/25 | | | 120,000 | | | | 140,539 | |
(5Y US Treasury CMT + 3.60%), 4.00%, 12/10/25(j)(k) | | | 418,000 | | | | 423,350 | |
(5Y US Treasury CMT + 3.42%), 3.88%, 2/18/26(j)(k) | | | 82,000 | | | | 82,102 | |
(SOFR + 2.84%), 3.11%, 4/08/26(j) | | | 80,000 | | | | 85,812 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Banks (Continued) | |
Citigroup, Inc., | | | | | | | | |
(3M USD LIBOR + 1.39%), 3.67%, 7/24/28(j) | | $ | 617,000 | | | $ | 680,029 | |
(3M USD LIBOR + 1.15%), 3.52%, 10/27/28(j) | | | 313,000 | | | | 340,398 | |
(3M USD LIBOR + 1.19%), 4.08%, 4/23/29(j) | | | 275,000 | | | | 308,929 | |
(3M USD LIBOR + 1.34%), 3.98%, 3/20/30(j) | | | 746,000 | | | | 832,017 | |
(SOFR + 1.42%), 2.98%, 11/05/30(j) | | | 821,000 | | | | 855,462 | |
(SOFR + 3.91%), 4.41%, 3/31/31(j) | | | 290,000 | | | | 331,848 | |
(SOFR + 2.11%), 2.57%, 6/03/31(j) | | | 899,000 | | | | 902,210 | |
(SOFR + 1.17%), 2.56%, 5/01/32(j) | | | 119,000 | | | | 118,870 | |
8.13%, 7/15/39 | | | 580,000 | | | | 970,615 | |
4.65%, 7/23/48 | | | 30,000 | | | | 37,217 | |
Citizens Financial Group, Inc., 3.25%, 4/30/30 | | | 58,000 | | | | 61,913 | |
Goldman Sachs Group (The), Inc., | | | | | | | | |
(3M USD LIBOR + 0.82%), 2.88%, 10/31/22(j) | | | 230,000 | | | | 232,673 | |
3.20%, 2/23/23 | | | 40,000 | | | | 41,950 | |
3.63%, 2/20/24 | | | 120,000 | | | | 129,447 | |
3.85%, 7/08/24 | | | 30,000 | | | | 32,666 | |
3.50%, 1/23/25 | | | 432,000 | | | | 468,896 | |
3.50%, 4/01/25 | | | 1,288,000 | | | | 1,400,783 | |
(3M USD LIBOR + 1.20%), 3.27%, 9/29/25(j) | | | 69,000 | | | | 74,113 | |
(SOFR + 0.61%), 0.86%, 2/12/26(j) | | | 77,000 | | | | 76,339 | |
3.50%, 11/16/26 | | | 142,000 | | | | 154,977 | |
3.85%, 1/26/27 | | | 547,000 | | | | 605,486 | |
(SOFR + 0.80%), 1.43%, 3/09/27(j) | | | 277,000 | | | | 275,918 | |
(3M USD LIBOR + 1.51%), 3.69%, 6/05/28(j) | | | 437,000 | | | | 481,511 | |
(3M USD LIBOR + 1.16%), 3.81%, 4/23/29(j) | | | 400,000 | | | | 441,943 | |
(3M USD LIBOR + 1.30%), 4.22%, 5/01/29(j) | | | 1,530,000 | | | | 1,729,569 | |
5.15%, 5/22/45 | | | 110,000 | | | | 141,404 | |
4.75%, 10/21/45 | | | 460,000 | | | | 575,921 | |
JPMorgan Chase & Co., | | | | | | | | |
(SOFR + 1.46%), 1.51%, 6/01/24(j) | | | 310,000 | | | | 315,945 | |
(SOFR + 0.60%), 0.65%, 9/16/24(j) | | | 195,000 | | | | 195,310 | |
(3M USD LIBOR + 1.00%), 4.02%, 12/05/24(j) | | | 1,156,000 | | | | 1,251,722 | |
3.90%, 7/15/25 | | | 112,000 | | | | 124,067 | |
See accompanying Notes to Financial Statements
77
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Banks (Continued) | | | | | | | | |
JPMorgan Chase & Co., | | | | | | | | |
(SOFR + 1.16%), 2.30%, 10/15/25(j) | | $ | 160,000 | | | $ | 166,890 | |
(SOFR + 1.59%), 2.01%, 3/13/26(j) | | | 732,000 | | | | 755,127 | |
(SOFR + 1.85%), 2.08%, 4/22/26(j) | | | 216,000 | | | | 223,332 | |
2.95%, 10/01/26 | | | 95,000 | | | | 102,421 | |
(3M USD LIBOR + 1.25%), 3.96%, 1/29/27(j) | | | 764,000 | | | | 849,231 | |
(3M USD LIBOR + 1.34%), 3.78%, 2/01/28(j) | | | 751,000 | | | | 833,754 | |
(3M USD LIBOR + 1.38%), 3.54%, 5/01/28(j) | | | 428,000 | | | | 468,386 | |
(3M USD LIBOR + 1.12%), 4.01%, 4/23/29(j) | | | 125,000 | | | | 140,555 | |
(3M USD LIBOR + 1.33%), 4.45%, 12/05/29(j) | | | 1,011,000 | | | | 1,166,368 | |
(SOFR + 2.04%), 2.52%, 4/22/31(j) | | | 510,000 | | | | 515,262 | |
(SOFR + 1.25%), 2.58%, 4/22/32(j) | | | 320,000 | | | | 321,296 | |
(SOFR + 1.46%), 3.16%, 4/22/42(j) | | | 320,000 | | | | 320,519 | |
4.95%, 6/01/45 | | | 220,000 | | | | 276,996 | |
(3M USD LIBOR + 1.58%), 4.26%, 2/22/48(j) | | | 257,000 | | | | 297,394 | |
(3M USD LIBOR + 1.46%), 4.03%, 7/24/48(j) | | | 66,000 | | | | 73,783 | |
(3M USD LIBOR + 1.22%), 3.90%, 1/23/49(j) | | | 44,000 | | | | 48,399 | |
(SOFR + 2.44%), 3.11%, 4/22/51(j) | | | 50,000 | | | | 48,597 | |
Morgan Stanley, | | | | | | | | |
3.88%, 1/27/26 | | | 429,000 | | | | 478,232 | |
(SOFR + 1.99%), 2.19%, 4/28/26(j) | | | 460,000 | | | | 478,307 | |
3.63%, 1/20/27 | | | 543,000 | | | | 602,099 | |
(SOFR + 0.88%), 1.59%, 5/04/27(j) | | | 455,000 | | | | 457,177 | |
(3M USD LIBOR + 1.34%), 3.59%,
7/22/28(j) | | | 98,000 | | | | 107,864 | |
(3M USD LIBOR + 1.14%), 3.77%, 1/24/29(j) | | | 370,000 | | | | 408,440 | |
(3M USD LIBOR + 1.63%), 4.43%, 1/23/30(j) | | | 838,000 | | | | 966,294 | |
(SOFR + 1.14%), 2.70%, 1/22/31(j) | | | 1,111,000 | | | | 1,135,454 | |
(SOFR + 3.12%), 3.62%, 4/01/31(j) | | | 457,000 | | | | 500,452 | |
(SOFR + 1.49%), 3.22%, 4/22/42(j) | | | 33,000 | | | | 33,439 | |
National Securities Clearing Corp., 1.20%, 4/23/23(b) | | | 250,000 | | | | 254,410 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| | | |
Banks (Continued) | | | | | | | | | | | | |
State Street Corp., | | | | | | | | | | | | |
(3M USD LIBOR + 2.54%), 5.63%, 12/15/23(j)(k) | | | | | | $ | 292,000 | | | $ | 309,491 | |
(3M USD LIBOR + 1.03%), 4.14%, 12/03/29(j) | | | | | | | 22,000 | | | | 25,232 | |
2.40%, 1/24/30 | | | | | | | 44,000 | | | | 45,070 | |
U.S. Bancorp, | | | | | | | | | | | | |
1.45%, 5/12/25 | | | | | | | 250,000 | | | | 255,358 | |
3.00%, 7/30/29 | | | | | | | 73,000 | | | | 77,505 | |
Wells Fargo & Co., | | | | | | | | | | | | |
3.75%, 1/24/24 | | | | | | | 160,000 | | | | 173,157 | |
(SOFR + 2.00%), 2.19%, 4/30/26(j) | | | | | | | 570,000 | | | | 590,581 | |
3.00%, 10/23/26 | | | | | | | 229,000 | | | | 246,922 | |
4.30%, 7/22/27 | | | | | | | 270,000 | | | | 306,205 | |
(3M USD LIBOR + 1.31%), 3.58%, 5/22/28(j) | | | | | | | 746,000 | | | | 818,200 | |
(SOFR + 2.10%), 2.39%, 6/02/28(j) | | | | | | | 130,000 | | | | 133,844 | |
4.15%, 1/24/29 | | | | | | | 820,000 | | | | 932,230 | |
(SOFR + 1.43%), 2.88%, 10/30/30(j) | | | | | | | 332,000 | | | | 344,559 | |
(SOFR + 4.03%), 4.48%, 4/04/31(j) | | | | | | | 333,000 | | | | 385,342 | |
(SOFR + 2.53%), 3.07%, 4/30/41(j) | | | | | | | 489,000 | | | | 482,852 | |
4.40%, 6/14/46 | | | | | | | 40,000 | | | | 45,434 | |
4.75%, 12/07/46 | | | | | | | 370,000 | | | | 441,792 | |
(SOFR + 4.50%), 5.01%, 4/04/51(j) | | | | | | | 1,600,000 | | | | 2,077,478 | |
| | | | | | | | | | | | 47,007,946 | |
| | | | |
Beverages – 0.1% | | | | | | | | | | | | |
Coca-Cola (The) Co., | | | | | | | | | | | | |
2.95%, 3/25/25 | | | | | | | 40,000 | | | | 43,356 | |
3.38%, 3/25/27 | | | | | | | 280,000 | | | | 312,805 | |
1.45%, 6/01/27 | | | | | | | 90,000 | | | | 90,394 | |
2.50%, 6/01/40 | | | | | | | 97,000 | | | | 92,069 | |
1.00%, 3/09/41 | | | EUR | | | | 100,000 | | | | 115,816 | |
Keurig Dr. Pepper, Inc., 3.20%, 5/01/30 | | | | | | | 187,000 | | | | 199,354 | |
PepsiCo, Inc., | | | | | | | | | | | | |
0.75%, 5/01/23 | | | | | | | 120,000 | | | | 121,201 | |
2.25%, 3/19/25 | | | | | | | 10,000 | | | | 10,561 | |
2.63%, 3/19/27 | | | | | | | 10,000 | | | | 10,726 | |
1.63%, 5/01/30 | | | | | | | 40,000 | | | | 38,618 | |
2.88%, 10/15/49 | | | | | | | 40,000 | | | | 39,004 | |
3.63%, 3/19/50 | | | | | | | 20,000 | | | | 22,091 | |
3.88%, 3/19/60 | | | | | | | 30,000 | | | | 34,640 | |
| | | | | | | | | | | | 1,130,635 | |
See accompanying Notes to Financial Statements
78
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| |
Biotechnology – 0.2% | | | | | |
Amgen, Inc., | | | | | | | | | | | | |
2.45%, 2/21/30 | | | | | | $ | 198,000 | | | $ | 200,505 | |
4.40%, 5/01/45 | | | | | | | 234,000 | | | | 271,345 | |
Biogen, Inc., | | | | | | | | | | | | |
2.25%, 5/01/30 | | | | | | | 258,000 | | | | 250,913 | |
3.15%, 5/01/50 | | | | | | | 75,000 | | | | 68,416 | |
Gilead Sciences, Inc., | | | | | | | | | | | | |
4.75%, 3/01/46 | | | | | | | 361,000 | | | | 433,887 | |
4.15%, 3/01/47 | | | | | | | 54,000 | | | | 60,112 | |
| | | | | | | | | | | | 1,285,178 | |
|
Building Materials – 0.1% | |
Carrier Global Corp., | | | | | | | | | | | | |
2.24%, 2/15/25 | | | | | | | 501,000 | | | | 522,573 | |
3.38%, 4/05/40 | | | | | | | 70,000 | | | | 70,630 | |
3.58%, 4/05/50 | | | | | | | 20,000 | | | | 20,114 | |
Masonite International Corp., 5.38%, 2/01/28(b) | | | | | | | 33,000 | | | | 34,815 | |
Owens Corning, 3.95%, 8/15/29 | | | | | | | 16,000 | | | | 17,773 | |
Standard Industries, Inc., | | | | | | | | | | | | |
5.00%, 2/15/27(b) | | | | | | | 33,000 | | | | 34,031 | |
4.75%, 1/15/28(b) | | | | | | | 10,000 | | | | 10,313 | |
U.S. Concrete, Inc., 6.38%, 6/01/24 | | | | | | | 4,000 | | | | 4,080 | |
| | | | | | | | | | | | 714,329 | |
| |
Chemicals – 0.2% | | | | | |
Dow Chemical (The) Co., | | | | | | | | | | | | |
4.55%, 11/30/25 | | | | | | | 128,000 | | | | 145,601 | |
1.13%, 3/15/32 | | | EUR | | | | 170,000 | | | | 208,123 | |
3.60%, 11/15/50 | | | | | | | 135,000 | | | | 137,743 | |
DuPont de Nemours, Inc., 4.49%, 11/15/25 | | | | | | | 278,000 | | | | 315,799 | |
Ecolab, Inc., 4.80%, 3/24/30 | | | | | | | 136,000 | | | | 162,938 | |
LYB International Finance III LLC, 4.20%, 5/01/50 | | | | | | | 108,000 | | | | 118,039 | |
RPM International, Inc., 4.25%, 1/15/48 | | | | | | | 3,000 | | | | 3,120 | |
Sherwin-Williams (The) Co., 2.30%, 5/15/30 | | | | | | | 155,000 | | | | 154,317 | |
| | | | | | | | | | | | 1,245,680 | |
|
Commercial Services – 0.2% | |
Cintas Corp. No. 2, 3.70%, 4/01/27 | | | | | | | 20,000 | | | | 22,354 | |
Global Payments, Inc., | | | | | | | | | | | | |
1.20%, 3/01/26 | | | | | | | 141,000 | | | | 139,479 | |
4.80%, 4/01/26 | | | | | | | 237,000 | | | | 272,171 | |
4.45%, 6/01/28 | | | | | | | 45,000 | | | | 51,400 | |
3.20%, 8/15/29 | | | | | | | 124,000 | | | | 130,740 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Commercial Services (Continued) | |
Herc Holdings, Inc., 5.50%, 7/15/27(b) | | $ | 72,000 | | | $ | 76,140 | |
Moody’s Corp., 3.25%, 1/15/28 | | | 50,000 | | | | 54,065 | |
Nielsen (The) Co. Luxembourg S.a.r.l., 5.00%, 2/01/25(b) | | | 14,000 | | | | 14,368 | |
PayPal Holdings, Inc., | | | | | | | | |
1.35%, 6/01/23 | | | 90,000 | | | | 91,656 | |
2.40%, 10/01/24 | | | 35,000 | | | | 36,902 | |
1.65%, 6/01/25 | | | 119,000 | | | | 122,301 | |
2.65%, 10/01/26 | | | 33,000 | | | | 35,178 | |
2.30%, 6/01/30 | | | 150,000 | | | | 151,307 | |
United Rentals North America, Inc., | | | | | | | | |
5.88%, 9/15/26 | | | 53,000 | | | | 55,319 | |
5.50%, 5/15/27 | | | 64,000 | | | | 68,240 | |
3.88%, 11/15/27 | | | 11,000 | | | | 11,523 | |
4.88%, 1/15/28 | | | 102,000 | | | | 107,992 | |
5.25%, 1/15/30 | | | 11,000 | | | | 12,031 | |
| | | | | | | | 1,453,166 | |
| | |
Computers – 0.4% | | | | | | | | |
Apple, Inc., | | | | | | | | |
1.13%, 5/11/25 | | | 260,000 | | | | 263,116 | |
2.45%, 8/04/26 | | | 100,000 | | | | 106,483 | |
2.90%, 9/12/27 | | | 250,000 | | | | 271,503 | |
3.85%, 5/04/43 | | | 200,000 | | | | 229,779 | |
4.25%, 2/09/47 | | | 53,000 | | | | 64,246 | |
2.55%, 8/20/60 | | | 134,000 | | | | 117,869 | |
2.80%, 2/08/61 | | | 108,000 | | | | 99,068 | |
Dell International LLC/EMC Corp., | | | | | | | | |
5.85%, 7/15/25(b) | | | 159,000 | | | | 186,430 | |
4.90%, 10/01/26(b) | | | 68,000 | | | | 78,116 | |
8.35%, 7/15/46(b) | | | 38,000 | | | | 59,553 | |
Hewlett Packard Enterprise Co., 4.65%, 10/01/24 | | | 384,000 | | | | 429,552 | |
HP, Inc., 6.00%, 9/15/41 | | | 20,000 | | | | 26,195 | |
International Business Machines Corp., | | | | | | | | |
3.00%, 5/15/24 | | | 270,000 | | | | 290,175 | |
3.30%, 5/15/26 | | | 160,000 | | | | 175,649 | |
1.95%, 5/15/30 | | | 377,000 | | | | 368,717 | |
2.85%, 5/15/40 | | | 200,000 | | | | 194,797 | |
Leidos, Inc., 4.38%, 5/15/30(b) | | | 289,000 | | | | 322,411 | |
Seagate HDD Cayman, 4.09%, 6/01/29(b) | | | 70,000 | | | | 71,700 | |
| | | | | | | | 3,355,359 | |
See accompanying Notes to Financial Statements
79
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Cosmetics/Personal Care – 0.0%(i) | |
Procter & Gamble (The) Co., | | | | | | | | |
2.80%, 3/25/27 | | $ | 20,000 | | | $ | 21,769 | |
3.00%, 3/25/30 | | | 60,000 | | | | 65,133 | |
| | | | | | | | 86,902 | |
|
Distribution/Wholesale – 0.0%(i) | |
American Builders & Contractors Supply Co., Inc., | | | | | | | | |
5.88%, 5/15/26(b) | | | 18,000 | | | | 18,572 | |
4.00%, 1/15/28(b) | | | 48,000 | | | | 48,720 | |
KAR Auction Services, Inc., 5.13%, 6/01/25(b) | | | 59,000 | | | | 59,823 | |
Performance Food Group, Inc., 5.50%, 10/15/27(b) | | | 64,000 | | | | 67,446 | |
| | | | | | | | 194,561 | |
|
Diversified Financial Services – 0.4% | |
Air Lease Corp., 3.38%, 7/01/25 | | | 70,000 | | | | 74,981 | |
American Express Co., | | | | | | | | |
2.50%, 7/30/24 | | | 410,000 | | | | 435,207 | |
4.20%, 11/06/25 | | | 70,000 | | | | 79,425 | |
Capital One Financial Corp., 3.90%, 1/29/24 | | | 311,000 | | | | 337,650 | |
Charles Schwab (The) Corp., | | | | | | | | |
(5Y US Treasury CMT + 3.17%), 4.00%, 6/01/26(j)(k) | | | 75,000 | | | | 77,067 | |
3.20%, 3/02/27 | | | 4,000 | | | | 4,362 | |
(10Y US Treasury CMT + 3.08%), 4.00%, 12/01/30(j)(k) | | | 205,000 | | | | 207,655 | |
Discover Financial Services, 4.50%, 1/30/26 | | | 7,000 | | | | 7,934 | |
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35 | | | 200,000 | | | | 230,099 | |
Intercontinental Exchange, Inc., | | | | | | | | |
3.75%, 9/21/28 | | | 51,000 | | | | 56,607 | |
2.10%, 6/15/30 | | | 157,000 | | | | 153,168 | |
International Lease Finance Corp., 5.88%, 8/15/22 | | | 230,000 | | | | 245,578 | |
Mastercard, Inc., | | | | | | | | |
2.95%, 6/01/29 | | | 47,000 | | | | 50,718 | |
3.85%, 3/26/50 | | | 300,000 | | | | 343,304 | |
Navient Corp., 6.50%, 6/15/22 | | | 52,000 | | | | 54,470 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
|
Diversified Financial Services (Continued) | |
Navient Corp., | | | | | | | | | | | | |
7.25%, 9/25/23 | | | | | | $ | 31,000 | | | $ | 33,712 | |
5.88%, 10/25/24 | | | | | | | 28,000 | | | | 29,447 | |
6.75%, 6/25/25 | | | | | | | 30,000 | | | | 32,647 | |
6.75%, 6/15/26 | | | | | | | 28,000 | | | | 30,240 | |
Nuveen LLC, 4.00%, 11/01/28(b) | | | | | | | 100,000 | | | | 113,682 | |
Quicken Loans LLC, 5.25%, 1/15/28(b) | | | | | | | 64,000 | | | | 67,520 | |
Synchrony Financial, | | | | | | | | | | | | |
4.50%, 7/23/25 | | | | | | | 2,000 | | | | 2,232 | |
3.70%, 8/04/26 | | | | | | | 44,000 | | | | 47,810 | |
USAA Capital Corp., 2.13%, 5/01/30(b) | | | | | | | 150,000 | | | | 148,432 | |
Vanguard Group (The), Inc., 3.05%, 8/22/50(l) | | | EUR | | | | 170,000 | | | | 151,633 | |
Visa, Inc., | | | | | | | | | | | | |
3.15%, 12/14/25 | | | | | | | 230,000 | | | | 251,570 | |
2.70%, 4/15/40 | | | | | | | 215,000 | | | | 213,438 | |
4.30%, 12/14/45 | | | | | | | 170,000 | | | | 209,211 | |
| | | | | | | | | | | | 3,689,799 | |
| |
Electric – 1.5% | | | | | |
AEP Texas, Inc., | | | | | | | | | | | | |
3.95%, 6/01/28 | | | | | | | 212,000 | | | | 236,577 | |
3.45%, 1/15/50 | | | | | | | 28,000 | | | | 27,915 | |
AEP Transmission Co. LLC, | | | | | | | | | | | | |
3.80%, 6/15/49 | | | | | | | 65,000 | | | | 72,183 | |
3.15%, 9/15/49 | | | | | | | 101,000 | | | | 101,628 | |
3.65%, 4/01/50 | | | | | | | 144,000 | | | | 156,817 | |
Alabama Power Co., | | | | | | | | | | | | |
3.75%, 3/01/45 | | | | | | | 101,000 | | | | 111,435 | |
3.70%, 12/01/47 | | | | | | | 53,000 | | | | 57,649 | |
3.45%, 10/01/49 | | | | | | | 47,000 | | | | 49,644 | |
Ameren Illinois Co., | | | | | | | | | | | | |
3.80%, 5/15/28 | | | | | | | 46,000 | | | | 51,492 | |
3.25%, 3/15/50 | | | | | | | 116,000 | | | | 119,531 | |
Baltimore Gas and Electric Co., | | | | | | | | | | | | |
3.75%, 8/15/47 | | | | | | | 62,000 | | | | 67,646 | |
3.20%, 9/15/49 | | | | | | | 40,000 | | | | 40,039 | |
2.90%, 6/15/50 | | | | | | | 164,000 | | | | 156,598 | |
CenterPoint Energy Houston Electric LLC, | | | | | | | | | | | | |
2.35%, 4/01/31 | | | | | | | 75,000 | | | | 75,783 | |
3.55%, 8/01/42 | | | | | | | 23,000 | | | | 24,943 | |
4.25%, 2/01/49 | | | | | | | 2,000 | | | | 2,377 | |
3.35%, 4/01/51 | | | | | | | 125,000 | | | | 129,633 | |
Cleveland Electric Illuminating (The) Co., 3.50%, 4/01/28(b) | | | | | | | 100,000 | | | | 103,523 | |
See accompanying Notes to Financial Statements
80
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Electric (Continued) | | | | | |
Commonwealth Edison Co., | | | | | | | | |
4.00%, 3/01/49 | | $ | 67,000 | | | $ | 76,620 | |
3.00%, 3/01/50 | | | 52,000 | | | | 50,850 | |
3.13%, 3/15/51 | | | 123,000 | | | | 122,883 | |
Consolidated Edison Co. of New York, Inc., | | | | | | | | |
3.35%, 4/01/30 | | | 50,000 | | | | 54,043 | |
3.95%, 4/01/50 | | | 20,000 | | | | 22,094 | |
Consumers Energy Co., | | | | | | | | |
4.05%, 5/15/48 | | | 107,000 | | | | 125,245 | |
3.75%, 2/15/50 | | | 151,000 | | | | 171,564 | |
3.10%, 8/15/50 | | | 107,000 | | | | 108,384 | |
3.50%, 8/01/51 | | | 75,000 | | | | 81,503 | |
DTE Electric Co., | | | | | | | | |
4.05%, 5/15/48 | | | 10,000 | | | | 11,609 | |
3.95%, 3/01/49 | | | 160,000 | | | | 184,840 | |
Duke Energy Carolinas LLC, | | | | | | | | |
3.95%, 11/15/28 | | | 28,000 | | | | 31,810 | |
2.45%, 2/01/30 | | | 160,000 | | | | 163,025 | |
3.88%, 3/15/46 | | | 59,000 | | | | 65,225 | |
3.95%, 3/15/48 | | | 122,000 | | | | 138,867 | |
Duke Energy Florida LLC, | | | | | | | | |
3.80%, 7/15/28 | | | 40,000 | | | | 44,774 | |
2.50%, 12/01/29 | | | 325,000 | | | | 334,974 | |
1.75%, 6/15/30 | | | 196,000 | | | | 188,265 | |
Duke Energy Ohio, Inc., 3.65%, 2/01/29 | | | 31,000 | | | | 34,097 | |
Duke Energy Progress LLC, 3.45%, 3/15/29 | | | 233,000 | | | | 255,639 | |
Edison International, | | | | | | | | |
3.13%, 11/15/22 | | | 15,000 | | | | 15,508 | |
4.95%, 4/15/25 | | | 721,000 | | | | 807,383 | |
Entergy Arkansas LLC, 3.35%, 6/15/52 | | | 59,000 | | | | 60,798 | |
Entergy Louisiana LLC, 4.20%, 9/01/48 | | | 148,000 | | | | 173,684 | |
Exelon Corp., | | | | | | | | |
5.10%, 6/15/45 | | | 16,000 | | | | 20,164 | |
4.70%, 4/15/50 | | | 52,000 | | | | 63,087 | |
FirstEnergy Corp., | | | | | | | | |
4.75%, 3/15/23 | | | 110,000 | | | | 116,661 | |
2.05%, 3/01/25 | | | 22,000 | | | | 22,165 | |
1.60%, 1/15/26 | | | 40,000 | | | | 38,900 | |
4.40%, 7/15/27 | | | 499,000 | | | | 546,405 | |
2.65%, 3/01/30 | | | 142,000 | | | | 138,805 | |
2.25%, 9/01/30 | | | 56,000 | | | | 52,780 | |
7.38%, 11/15/31 | | | 410,000 | | | | 554,747 | |
5.35%, 7/15/47 | | | 90,000 | | | | 104,400 | |
FirstEnergy Transmission LLC, 4.35%, 1/15/25(b) | | | 285,000 | | | | 310,808 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Electric (Continued) | |
FirstEnergy Transmission LLC,
4.55%, 4/01/49(b) | | $ | 246,000 | | | $ | 274,286 | |
Florida Power & Light Co., | | | | | | | | |
5.25%, 2/01/41 | | | 5,000 | | | | 6,678 | |
4.05%, 10/01/44 | | | 33,000 | | | | 38,716 | |
3.70%, 12/01/47 | | | 125,000 | | | | 140,210 | |
3.95%, 3/01/48 | | | 105,000 | | | | 122,429 | |
3.99%, 3/01/49 | | | 58,000 | | | | 67,674 | |
3.15%, 10/01/49 | | | 110,000 | | | | 113,060 | |
MidAmerican Energy Co., | | | | | | | | |
3.10%, 5/01/27 | | | 35,000 | | | | 38,207 | |
3.65%, 4/15/29 | | | 389,000 | | | | 435,742 | |
4.25%, 7/15/49 | | | 85,000 | | | | 102,378 | |
3.15%, 4/15/50 | | | 40,000 | | | | 40,990 | |
Northern States Power Co., | | | | | | | | |
2.25%, 4/01/31 | | | 5,000 | | | | 5,063 | |
3.40%, 8/15/42 | | | 40,000 | | | | 43,082 | |
2.90%, 3/01/50 | | | 50,000 | | | | 48,688 | |
2.60%, 6/01/51 | | | 104,000 | | | | 95,705 | |
NRG Energy, Inc., | | | | | | | | |
7.25%, 5/15/26 | | | 38,000 | | | | 39,348 | |
6.63%, 1/15/27 | | | 51,000 | | | | 53,152 | |
2.45%, 12/02/27(b) | | | 223,000 | | | | 223,729 | |
5.75%, 1/15/28 | | | 33,000 | | | | 35,063 | |
5.25%, 6/15/29(b) | | | 47,000 | | | | 50,349 | |
NSTAR Electric Co., 3.95%, 4/01/30 | | | 28,000 | | | | 31,740 | |
Ohio Power Co., | | | | | | | | |
1.63%, 1/15/31 | | | 107,000 | | | | 100,891 | |
4.15%, 4/01/48 | | | 14,000 | | | | 16,168 | |
4.00%, 6/01/49 | | | 45,000 | | | | 51,426 | |
Oncor Electric Delivery Co. LLC, | | | | | | | | |
3.70%, 11/15/28 | | | 75,000 | | | | 84,270 | |
5.75%, 3/15/29 | | | 4,000 | | | | 4,969 | |
4.10%, 11/15/48 | | | 51,000 | | | | 59,585 | |
3.80%, 6/01/49 | | | 69,000 | | | | 77,782 | |
5.35%, 10/01/52(b) | | | 24,000 | | | | 33,242 | |
Pacific Gas and Electric Co., | | | | | | | | |
1.75%, 6/16/22 | | | 160,000 | | | | 160,140 | |
2.10%, 8/01/27 | | | 50,000 | | | | 48,743 | |
2.50%, 2/01/31 | | | 60,000 | | | | 56,488 | |
3.30%, 8/01/40 | | | 20,000 | | | | 17,777 | |
3.50%, 8/01/50 | | | 20,000 | | | | 17,319 | |
PECO Energy Co., | | | | | | | | |
3.00%, 9/15/49 | | | 65,000 | | | | 64,582 | |
3.05%, 3/15/51 | | | 99,000 | | | | 99,075 | |
Progress Energy, Inc., 7.75%, 3/01/31 | | | 180,000 | | | | 254,086 | |
See accompanying Notes to Financial Statements
81
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Electric (Continued) | |
Public Service Electric and Gas Co., | | | | | | | | |
3.65%, 9/01/28 | | $ | 3,000 | | | $ | 3,343 | |
3.20%, 5/15/29 | | | 50,000 | | | | 54,101 | |
2.05%, 8/01/50 | | | 80,000 | | | | 65,287 | |
3.00%, 3/01/51 | | | 42,000 | | | | 41,473 | |
Southern California Edison Co., | | | | | | | | |
3.70%, 8/01/25 | | | 178,000 | | | | 195,286 | |
1.20%, 2/01/26 | | | 43,000 | | | | 42,644 | |
2.25%, 6/01/30 | | | 262,000 | | | | 255,611 | |
Southwestern Public Service Co., 3.15%, 5/01/50 | | | 145,000 | | | | 145,770 | |
Tampa Electric Co., | | | | | | | | |
4.45%, 6/15/49 | | | 17,000 | | | | 20,765 | |
3.45%, 3/15/51 | | | 92,000 | | | | 95,510 | |
Trans-Allegheny Interstate Line Co., 3.85%, 6/01/25(b) | | | 299,000 | | | | 322,498 | |
Virginia Electric and Power Co., | | | | | | | | |
3.45%, 9/01/22 | | | 62,000 | | | | 64,001 | |
3.80%, 4/01/28 | | | 76,000 | | | | 84,897 | |
6.00%, 1/15/36 | | | 25,000 | | | | 34,166 | |
6.00%, 5/15/37 | | | 42,000 | | | | 57,355 | |
6.35%, 11/30/37 | | | 50,000 | | | | 71,194 | |
4.00%, 1/15/43 | | | 30,000 | | | | 34,176 | |
4.45%, 2/15/44 | | | 17,000 | | | | 20,460 | |
Vistra Operations Co. LLC, | | | | | | | | |
5.50%, 9/01/26(b) | | | 64,000 | | | | 66,120 | |
5.63%, 2/15/27(b) | | | 54,000 | | | | 56,160 | |
5.00%, 7/31/27(b) | | | 53,000 | | | | 54,910 | |
4.30%, 7/15/29(b) | | | 310,000 | | | | 326,103 | |
| | | | | | | | 12,142,681 | |
|
Electronics – 0.0%(i) | |
Agilent Technologies, Inc., | | | | | | | | |
3.05%, 9/22/26 | | | 81,000 | | | | 87,281 | |
2.75%, 9/15/29 | | | 43,000 | | | | 44,560 | |
2.10%, 6/04/30 | | | 152,000 | | | | 148,053 | |
Honeywell International, Inc., 1.35%, 6/01/25 | | | 70,000 | | | | 71,491 | |
| | | | | | | | 351,385 | |
|
Entertainment – 0.1% | |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.25%, 10/15/25(b) | | | 98,000 | | | | 98,797 | |
Cedar Fair L.P., 5.25%, 7/15/29 | | | 43,000 | | | | 44,217 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Entertainment (Continued) | |
Cedar Fair L.P./Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC, | | | | | | | | |
5.50%, 5/01/25(b) | | $ | 39,000 | | | $ | 40,857 | |
5.38%, 4/15/27 | | | 51,000 | | | | 52,492 | |
Churchill Downs, Inc., | | | | | | | | |
5.50%, 4/01/27(b) | | | 72,000 | | | | 74,741 | |
4.75%, 1/15/28(b) | | | 38,000 | | | | 39,045 | |
Scientific Games International, Inc., 5.00%, 10/15/25(b) | | | 62,000 | | | | 64,015 | |
Six Flags Entertainment Corp., | | | | | | | | |
4.88%, 7/31/24(b) | | | 64,000 | | | | 64,400 | |
5.50%, 4/15/27(b) | | | 38,000 | | | | 39,235 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(b) | | | 53,000 | | | | 54,785 | |
| | | | | | | | 572,584 | |
|
Environmental Control – 0.1% | |
Clean Harbors, Inc., 4.88%, 7/15/27(b) | | | 28,000 | | | | 29,155 | |
Republic Services, Inc., | | | | | | | | |
2.50%, 8/15/24 | | | 70,000 | | | | 73,903 | |
3.95%, 5/15/28 | | | 88,000 | | | | 98,839 | |
2.30%, 3/01/30 | | | 82,000 | | | | 81,867 | |
Waste Management, Inc., | | | | | | | | |
3.50%, 5/15/24 | | | 70,000 | | | | 75,603 | |
1.15%, 3/15/28 | | | 208,000 | | | | 198,881 | |
6/01/29(f) | | | 49,000 | | | | 49,027 | |
6/01/41(f) | | | 58,000 | | | | 57,639 | |
4.15%, 7/15/49 | | | 60,000 | | | | 71,539 | |
Waste Pro USA, Inc., 5.50%, 2/15/26(b) | | | 28,000 | | | | 28,560 | |
| | | | | | | | 765,013 | |
|
Food – 0.2% | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC, | | | | | | | | |
3.50%, 2/15/23(b) | | | 40,000 | | | | 41,100 | |
5.75%, 3/15/25 | | | 11,000 | | | | 11,344 | |
7.50%, 3/15/26(b) | | | 80,000 | | | | 88,000 | |
4.63%, 1/15/27(b) | | | 12,000 | | | | 12,480 | |
5.88%, 2/15/28(b) | | | 58,000 | | | | 61,770 | |
4.88%, 2/15/30(b) | | | 13,000 | | | | 13,535 | |
Hershey (The) Co., 0.90%, 6/01/25 | | | 30,000 | | | | 30,010 | |
See accompanying Notes to Financial Statements
82
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
|
Food (Continued) | |
JBS USA LUX S.A./JBS USA Finance, Inc., 6.75%, 2/15/28(b) | | | | | | $ | 63,000 | | | $ | 69,609 | |
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., | | | | | | | | | | | | |
6.50%, 4/15/29(b) | | | | | | | 94,000 | | | | 105,516 | |
5.50%, 1/15/30(b) | | | | | | | 17,000 | | | | 18,700 | |
Kraft Heinz Foods Co., 3.00%, 6/01/26 | | | | | | | 102,000 | | | | 107,839 | |
Lamb Weston Holdings, Inc., | | | | | | | | | | | | |
4.63%, 11/01/24(b) | | | | | | | 44,000 | | | | 45,650 | |
4.88%, 11/01/26(b) | | | | | | | 44,000 | | | | 45,650 | |
Mars, Inc., | | | | | | | | | | | | |
2.70%, 4/01/25(b) | | | | | | | 90,000 | | | | 95,742 | |
3.20%, 4/01/30(b) | | | | | | | 180,000 | | | | 194,512 | |
2.38%, 7/16/40(b) | | | | | | | 200,000 | | | | 185,146 | |
Mondelez International, Inc., | | | | | | | | | | | | |
1.50%, 5/04/25 | | | | | | | 250,000 | | | | 255,188 | |
2.75%, 4/13/30 | | | | | | | 127,000 | | | | 131,148 | |
Pilgrim’s Pride Corp., 5.88%, 9/30/27(b) | | | | | | | 105,000 | | | | 111,431 | |
Post Holdings, Inc., | | | | | | | | | | | | |
5.75%, 3/01/27(b) | | | | | | | 80,000 | | | | 83,800 | |
5.63%, 1/15/28(b) | | | | | | | 59,000 | | | | 62,171 | |
5.50%, 12/15/29(b) | | | | | | | 47,000 | | | | 50,598 | |
| | | | | | | | | | | | 1,820,939 | |
|
Food Service – 0.0%(i) | |
Aramark Services, Inc., | | | | | | | | | | | | |
4.75%, 6/01/26 | | | | | | | 31,000 | | | | 31,736 | |
5.00%, 2/01/28(b) | | | | | | | 74,000 | | | | 77,423 | |
| | | | | | | | | | | | 109,159 | |
|
Forest Products & Paper – 0.0%(i) | |
Georgia-Pacific LLC, | | | | | | | | | | | | |
3.60%, 3/01/25(b) | | | | | | | 14,000 | | | | 15,219 | |
0.95%, 5/15/26(b) | | | | | | | 70,000 | | | | 68,392 | |
2.10%, 4/30/27(b) | | | | | | | 82,000 | | | | 84,095 | |
7.75%, 11/15/29 | | | | | | | 8,000 | | | | 11,331 | |
2.30%, 4/30/30(b) | | | | | | | 69,000 | | | | 69,251 | |
8.88%, 5/15/31 | | | | | | | 13,000 | | | | 20,187 | |
International Paper Co., | | | | | | | | | | | | |
6.00%, 11/15/41 | | | | | | | 50,000 | | | | 68,335 | |
4.40%, 8/15/47 | | | | | | | 22,000 | | | | 25,871 | |
| | | | | | | | | | | | 362,681 | |
| | | |
Gas – 0.1% | | | | | | | | | | | | |
Atmos Energy Corp., | | | | | | | | | | | | |
4.13%, 3/15/49 | | | | | | | 40,000 | | | | 45,801 | |
3.38%, 9/15/49 | | | | | | | 8,000 | | | | 8,210 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| | | |
Gas (Continued) | | | | | | | | | | | | |
CenterPoint Energy Resources Corp., 1.75%, 10/01/30 | | | | | | $ | 330,000 | | | $ | 308,509 | |
Eastern Energy Gas Holdings LLC, 4.80%, 11/01/43 | | | | | | | 39,000 | | | | 45,969 | |
ONE Gas, Inc., 2.00%, 5/15/30 | | | | | | | 35,000 | | | | 33,802 | |
Piedmont Natural Gas Co., Inc., 2.50%, 3/15/31 | | | | | | | 90,000 | | | | 89,411 | |
| | | | | | | | | | | | 531,702 | |
| |
Healthcare - Products – 0.2% | | | | | |
Abbott Laboratories, | | | | | | | | | | | | |
3.75%, 11/30/26 | | | | | | | 390,000 | | | | 441,054 | |
4.90%, 11/30/46 | | | | | | | 10,000 | | | | 13,120 | |
Boston Scientific Corp., 2.65%, 6/01/30 | | | | | | | 180,000 | | | | 182,408 | |
DH Europe Finance II S.a.r.l., 1.80%, 9/18/49 | | | EUR | | | | 100,000 | | | | 125,558 | |
Medtronic Global Holdings SCA, | | | | | | | | | | | | |
1.50%, 7/02/39 | | | EUR | | | | 100,000 | | | | 123,778 | |
1.75%, 7/02/49 | | | EUR | | | | 100,000 | | | | 124,950 | |
Teleflex, Inc., 4.63%, 11/15/27 | | | | | | | 33,000 | | | | 35,095 | |
Thermo Fisher Scientific, Inc., | | | | | | | | | | | | |
2.60%, 10/01/29 | | | | | | | 60,000 | | | | 62,038 | |
4.50%, 3/25/30 | | | | | | | 81,000 | | | | 94,927 | |
1.88%, 10/01/49 | | | EUR | | | | 100,000 | | | | 124,605 | |
| | | | | | | | | | | | 1,327,533 | |
|
Healthcare - Services – 0.6% | |
Aetna, Inc., | | | | | | | | | | | | |
2.80%, 6/15/23 | | | | | | | 90,000 | | | | 94,000 | |
6.63%, 6/15/36 | | | | | | | 61,000 | | | | 86,678 | |
4.75%, 3/15/44 | | | | | | | 2,000 | | | | 2,387 | |
3.88%, 8/15/47 | | | | | | | 27,000 | | | | 28,776 | |
Anthem, Inc., | | | | | | | | | | | | |
2.95%, 12/01/22 | | | | | | | 30,000 | | | | 31,145 | |
3.65%, 12/01/27 | | | | | | | 100,000 | | | | 111,069 | |
4.10%, 3/01/28 | | | | | | | 127,000 | | | | 143,359 | |
4.38%, 12/01/47 | | | | | | | 53,000 | | | | 62,068 | |
4.55%, 3/01/48 | | | | | | | 57,000 | | | | 68,456 | |
Centene Corp., | | | | | | | | | | | | |
5.38%, 6/01/26(b) | | | | | | | 78,000 | | | | 81,260 | |
5.38%, 8/15/26(b) | | | | | | | 50,000 | | | | 52,450 | |
4.25%, 12/15/27 | | | | | | | 153,000 | | | | 160,361 | |
4.63%, 12/15/29 | | | | | | | 47,000 | | | | 50,878 | |
Charles River Laboratories International, Inc., 4.25%,
5/01/28(b) | | | | | | | 7,000 | | | | 7,289 | |
See accompanying Notes to Financial Statements
83
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
|
Healthcare - Services (Continued) | |
Encompass Health Corp., | | | | | | | | | | | | |
4.50%, 2/01/28 | | | | | | $ | 28,000 | | | $ | 29,015 | |
4.75%, 2/01/30 | | | | | | | 28,000 | | | | 29,400 | |
HCA, Inc., | | | | | | | | | | | | |
4.75%, 5/01/23 | | | | | | | 141,000 | | | | 151,914 | |
5.00%, 3/15/24 | | | | | | | 306,000 | | | | 340,880 | |
5.38%, 2/01/25 | | | | | | | 35,000 | | | | 39,005 | |
5.25%, 4/15/25 | | | | | | | 641,000 | | | | 736,825 | |
5.88%, 2/15/26 | | | | | | | 21,000 | | | | 24,124 | |
5.38%, 9/01/26 | | | | | | | 13,000 | | | | 14,760 | |
5.63%, 9/01/28 | | | | | | | 21,000 | | | | 24,491 | |
5.88%, 2/01/29 | | | | | | | 10,000 | | | | 11,800 | |
Humana, Inc., | | | | | | | | | | | | |
4.50%, 4/01/25 | | | | | | | 43,000 | | | | 48,411 | |
3.95%, 3/15/27 | | | | | | | 140,000 | | | | 156,721 | |
3.13%, 8/15/29 | | | | | | | 220,000 | | | | 232,178 | |
4.88%, 4/01/30 | | | | | | | 95,000 | | | | 112,499 | |
Molina Healthcare, Inc., 5.38%, 11/15/22 | | | | | | | 32,000 | | | | 33,560 | |
Select Medical Corp., 6.25%, 8/15/26(b) | | | | | | | 22,000 | | | | 23,391 | |
Tenet Healthcare Corp., | | | | | | | | | | | | |
4.63%, 7/15/24 | | | | | | | 49,000 | | | | 49,740 | |
4.63%, 9/01/24(b) | | | | | | | 38,000 | | | | 39,140 | |
5.13%, 5/01/25 | | | | | | | 110,000 | | | | 111,320 | |
4.88%, 1/01/26(b) | | | | | | | 128,000 | | | | 132,992 | |
6.25%, 2/01/27(b) | | | | | | | 183,000 | | | | 191,921 | |
5.13%, 11/01/27(b) | | | | | | | 20,000 | | | | 20,976 | |
UnitedHealth Group, Inc., | | | | | | | | | | | | |
2.38%, 10/15/22 | | | | | | | 20,000 | | | | 20,613 | |
3.50%, 6/15/23 | | | | | | | 30,000 | | | | 31,992 | |
3.75%, 7/15/25 | | | | | | | 50,000 | | | | 55,683 | |
1.25%, 1/15/26 | | | | | | | 40,000 | | | | 40,353 | |
3.85%, 6/15/28 | | | | | | | 130,000 | | | | 147,040 | |
3.88%, 12/15/28 | | | | | | | 110,000 | | | | 125,035 | |
2.00%, 5/15/30 | | | | | | | 40,000 | | | | 39,564 | |
4.63%, 7/15/35 | | | | | | | 197,000 | | | | 240,456 | |
2.75%, 5/15/40 | | | | | | | 198,000 | | | | 193,167 | |
4.25%, 6/15/48 | | | | | | | 40,000 | | | | 47,363 | |
4.45%, 12/15/48 | | | | | | | 77,000 | | | | 94,216 | |
3.70%, 8/15/49 | | | | | | | 130,000 | | | | 142,396 | |
2.90%, 5/15/50 | | | | | | | 100,000 | | | | 95,798 | |
3.88%, 8/15/59 | | | | | | | 70,000 | | | | 78,103 | |
3.13%, 5/15/60 | | | | | | | 20,000 | | | | 19,580 | |
| | | | | | | | | | | | 4,906,598 | |
|
Home Builders – 0.0%(i) | |
Century Communities, Inc., 6.75%, 6/01/27 | | | | | | | 21,000 | | | | 22,597 | |
Lennar Corp., | | | | | | | | | | | | |
4.50%, 4/30/24 | | | | | | | 28,000 | | | | 30,618 | |
4.75%, 5/30/25 | | | | | | | 7,000 | | | | 7,873 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| |
Home Builders (Continued) | | | | | |
Lennar Corp., | | | | | | | | | | | | |
5.25%, 6/01/26 | | | | | | $ | 195,000 | | | $ | 224,981 | |
4.75%, 11/29/27 | | | | | | | 10,000 | | | | 11,571 | |
PulteGroup, Inc., | | | | | | | | | | | | |
5.50%, 3/01/26 | | | | | | | 3,000 | | | | 3,523 | |
5.00%, 1/15/27 | | | | | | | 3,000 | | | | 3,494 | |
Taylor Morrison Communities, Inc., 5.88%, 6/15/27(b) | | | | | | | 8,000 | | | | 9,080 | |
| | | | | | | | | | | | 313,737 | |
|
Home Furnishings – 0.0%(i) | |
Tempur Sealy International, Inc., 5.50%, 6/15/26 | | | | | | | 35,000 | | | | 36,065 | |
| |
Household Products/Wares – 0.0%(i) | |
Kimberly-Clark Corp., 3.10%, 3/26/30 | | | | | | | 30,000 | | | | 32,586 | |
Spectrum Brands, Inc., 5.75%, 7/15/25 | | | | | | | 28,000 | | | | 28,823 | |
| | | | | | | | | | | | 61,409 | |
| | | |
Housewares – 0.0%(i) | | | | | | | | | | | | |
Newell Brands, Inc., | | | | | | | | | | | | |
4.35%, 4/01/23 | | | | | | | 77,000 | | | | 81,159 | |
4.70%, 4/01/26 | | | | | | | 27,000 | | | | 30,105 | |
| | | | | | | | | | | | 111,264 | |
| | | |
Insurance – 0.3% | | | | | | | | | | | | |
American International Group, Inc., | | | | | | | | | | | | |
2.50%, 6/30/25 | | | | | | | 60,000 | | | | 63,244 | |
4.20%, 4/01/28 | | | | | | | 40,000 | | | | 45,213 | |
3.40%, 6/30/30 | | | | | | | 227,000 | | | | 242,602 | |
4.50%, 7/16/44 | | | | | | | 154,000 | | | | 177,079 | |
4.38%, 1/15/55 | | | | | | | 33,000 | | | | 37,707 | |
Aon Corp., | | | | | | | | | | | | |
4.50%, 12/15/28 | | | | | | | 144,000 | | | | 165,990 | |
3.75%, 5/02/29 | | | | | | | 162,000 | | | | 180,188 | |
2.80%, 5/15/30 | | | | | | | 312,000 | | | | 321,964 | |
Berkshire Hathaway Finance Corp., 4.25%, 1/15/49 | | | | | | | 150,000 | | | | 178,367 | |
Guardian Life Global Funding, 1.10%, 6/23/25(b) | | | | | | | 50,000 | | | | 50,039 | |
Hartford Financial Services Group (The), Inc., 3.60%, 8/19/49 | | | | | | | 32,000 | | | | 33,739 | |
Marsh & McLennan Cos., Inc., | | | | | | | | | | | | |
4.38%, 3/15/29 | | | | | | | 68,000 | | | | 78,730 | |
1.98%, 3/21/30 | | | EUR | | | | 120,000 | | | | 161,161 | |
2.25%, 11/15/30 | | | | | | | 176,000 | | | | 175,028 | |
See accompanying Notes to Financial Statements
84
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Insurance (Continued) | | | | | | | | |
MassMutual Global Funding II, 0.85%, 6/09/23(b) | | $ | 330,000 | | | $ | 333,049 | |
MetLife, Inc., 6.40%, 12/15/36 | | | 100,000 | | | | 126,706 | |
Metropolitan Life Global Funding I, 0.90%, 6/08/23(b) | | | 250,000 | | | | 252,570 | |
New York Life Global Funding, 0.95%, 6/24/25(b) | | | 80,000 | | | | 79,787 | |
Principal Life Global Funding II, 1.25%, 6/23/25(b) | | | 40,000 | | | | 40,229 | |
Willis North America, Inc., | | | | | | | | |
3.60%, 5/15/24 | | | 42,000 | | | | 45,271 | |
5.05%, 9/15/48 | | | 19,000 | | | | 24,113 | |
| | | | | | | | 2,812,776 | |
| | |
Internet – 0.3% | | | | | | | | |
Alphabet, Inc., | | | | | | | | |
0.45%, 8/15/25 | | | 30,000 | | | | 29,757 | |
0.80%, 8/15/27 | | | 50,000 | | | | 48,449 | |
1.10%, 8/15/30 | | | 60,000 | | | | 55,734 | |
2.05%, 8/15/50 | | | 110,000 | | | | 92,269 | |
Amazon.com, Inc., | | | | | | | | |
0.80%, 6/03/25 | | | 130,000 | | | | 130,269 | |
1.20%, 6/03/27 | | | 160,000 | | | | 158,911 | |
3.15%, 8/22/27 | | | 140,000 | | | | 154,146 | |
1.50%, 6/03/30 | | | 150,000 | | | | 144,408 | |
3.88%, 8/22/37 | | | 43,000 | | | | 49,589 | |
4.05%, 8/22/47 | | | 140,000 | | | | 165,487 | |
2.50%, 6/03/50 | | | 648,000 | | | | 582,414 | |
4.25%, 8/22/57 | | | 240,000 | | | | 291,622 | |
E*TRADE Financial Corp., 3.80%, 8/24/27 | | | 79,000 | | | | 87,532 | |
Expedia Group, Inc., | | | | | | | | |
6.25%, 5/01/25(b) | | | 98,000 | | | | 114,002 | |
3.25%, 2/15/30 | | | 269,000 | | | | 273,071 | |
Netflix, Inc., | | | | | | | | |
4.88%, 4/15/28 | | | 20,000 | | | | 23,025 | |
6.38%, 5/15/29 | | | 11,000 | | | | 13,805 | |
5.38%, 11/15/29(b) | | | 12,000 | | | | 14,250 | |
4.88%, 6/15/30(b) | | | 13,000 | | | | 15,080 | |
| | | | | | | | 2,443,820 | |
| | |
Iron/Steel – 0.0%(i) | | | | | | | | |
Nucor Corp., 3.95%, 5/01/28 | | | 24,000 | | | | 26,917 | |
Steel Dynamics, Inc., 2.80%, 12/15/24 | | | 50,000 | | | | 52,909 | |
| | | | | | | | 79,826 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Lodging – 0.1% | | | | | | | | |
Boyd Gaming Corp., | | | | | | | | |
6.38%, 4/01/26 | | $ | 27,000 | | | $ | 27,877 | |
6.00%, 8/15/26 | | | 48,000 | | | | 49,800 | |
Hilton Domestic Operating Co., Inc., 4.88%, 1/15/30 | | | 13,000 | | | | 13,862 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 4/01/27 | | | 38,000 | | | | 39,472 | |
Hyatt Hotels Corp., 5.38%, 4/23/25 | | | 33,000 | | | | 37,255 | |
Las Vegas Sands Corp., | | | | | | | | |
3.20%, 8/08/24 | | | 100,000 | | | | 104,882 | |
2.90%, 6/25/25 | | | 380,000 | | | | 394,441 | |
Marriott International, Inc., 4.63%, 6/15/30 | | | 138,000 | | | | 154,941 | |
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 9/15/26 | | | 49,000 | | | | 51,205 | |
MGM Resorts International, | | | | | | | | |
5.75%, 6/15/25 | | | 10,000 | | | | 11,013 | |
4.63%, 9/01/26 | | | 8,000 | | | | 8,420 | |
5.50%, 4/15/27 | | | 10,000 | | | | 10,913 | |
Station Casinos LLC, 5.00%, 10/01/25(b) | | | 31,000 | | | | 31,426 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | | | | | | | | |
5.50%, 3/01/25(b) | | | 131,000 | | | | 139,842 | |
5.25%, 5/15/27(b) | | | 65,000 | | | | 68,656 | |
| | | | | | | | 1,144,005 | |
| | |
Machinery - Diversified – 0.1% | | | | | | | | |
CNH Industrial Capital LLC, 4.20%, 1/15/24 | | | 440,000 | | | | 478,816 | |
Deere & Co., | | | | | | | | |
3.10%, 4/15/30 | | | 30,000 | | | | 32,461 | |
3.75%, 4/15/50 | | | 200,000 | | | | 228,029 | |
Otis Worldwide Corp., | | | | | | | | |
2.06%, 4/05/25 | | | 50,000 | | | | 51,979 | |
2.57%, 2/15/30 | | | 119,000 | | | | 121,095 | |
| | | | | | | | 912,380 | |
| | |
Media – 1.3% | | | | | | | | |
AMC Networks, Inc., | | | | | | | | |
5.00%, 4/01/24 | | | 11,000 | | | | 11,149 | |
4.75%, 8/01/25 | | | 49,000 | | | | 50,470 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | | | | | | | | |
5.75%, 2/15/26(b) | | | 41,000 | | | | 42,435 | |
5.50%, 5/01/26(b) | | | 34,000 | | | | 35,088 | |
5.88%, 5/01/27(b) | | | 19,000 | | | | 19,612 | |
See accompanying Notes to Financial Statements
85
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| | | |
Media (Continued) | | | | | | | | | | | | |
CCO Holdings LLC/CCO Holdings Capital Corp., | | | | | | | | | | | | |
5.13%, 5/01/27(b) | | | | | | $ | 153,000 | | | $ | 160,124 | |
5.00%, 2/01/28(b) | | | | | | | 119,000 | | | | 124,355 | |
5.38%, 6/01/29(b) | | | | | | | 74,000 | | | | 80,325 | |
4.75%, 3/01/30(b) | | | | | | | 58,000 | | | | 60,537 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, | | | | | | | | | | | | |
4.91%, 7/23/25 | | | | | | | 290,000 | | | | 329,795 | |
4.20%, 3/15/28 | | | | | | | 90,000 | | | | 99,800 | |
5.05%, 3/30/29 | | | | | | | 480,000 | | | | 556,132 | |
5.38%, 4/01/38 | | | | | | | 120,000 | | | | 142,920 | |
3.50%, 6/01/41 | | | | | | | 300,000 | | | | 288,587 | |
6.48%, 10/23/45 | | | | | | | 521,000 | | | | 689,196 | |
5.38%, 5/01/47 | | | | | | | 161,000 | | | | 188,917 | |
5.75%, 4/01/48 | | | | | | | 309,000 | | | | 379,219 | |
4.80%, 3/01/50 | | | | | | | 30,000 | | | | 33,039 | |
3.85%, 4/01/61 | | | | | | | 42,000 | | | | 38,545 | |
Clear Channel Worldwide Holdings, Inc., 5.13%, 8/15/27(b) | | | | | | | 74,000 | | | | 75,110 | |
Comcast Corp., | | | | | | | | | | | | |
3.10%, 4/01/25 | | | | | | | 10,000 | | | | 10,842 | |
3.95%, 10/15/25 | | | | | | | 160,000 | | | | 179,657 | |
3.15%, 3/01/26 | | | | | | | 50,000 | | | | 54,576 | |
3.30%, 2/01/27 | | | | | | | 76,000 | | | | 83,456 | |
3.30%, 4/01/27 | | | | | | | 348,000 | | | | 381,931 | |
4.15%, 10/15/28 | | | | | | | 330,000 | | | | 379,616 | |
2.65%, 2/01/30 | | | | | | | 139,000 | | | | 143,281 | |
3.40%, 4/01/30 | | | | | | | 560,000 | | | | 610,013 | |
4.25%, 10/15/30 | | | | | | | 560,000 | | | | 649,859 | |
1.95%, 1/15/31 | | | | | | | 361,000 | | | | 349,168 | |
4.60%, 10/15/38 | | | | | | | 68,000 | | | | 82,689 | |
3.25%, 11/01/39 | | | | | | | 20,000 | | | | 20,706 | |
3.75%, 4/01/40 | | | | | | | 120,000 | | | | 132,388 | |
3.40%, 7/15/46 | | | | | | | 20,000 | | | | 20,739 | |
4.00%, 8/15/47 | | | | | | | 22,000 | | | | 24,884 | |
3.97%, 11/01/47 | | | | | | | 330,000 | | | | 371,338 | |
4.00%, 3/01/48 | | | | | | | 20,000 | | | | 22,623 | |
4.70%, 10/15/48 | | | | | | | 241,000 | | | | 301,784 | |
4.00%, 11/01/49 | | | | | | | 238,000 | | | | 270,287 | |
3.45%, 2/01/50 | | | | | | | 90,000 | | | | 93,577 | |
2.45%, 8/15/52 | | | | | | | 15,000 | | | | 12,908 | |
Cox Communications, Inc., | | | | | | | | | | | | |
3.25%, 12/15/22(b) | | | | | | | 40,000 | | | | 41,786 | |
3.15%, 8/15/24(b) | | | | | | | 206,000 | | | | 220,579 | |
3.85%, 2/01/25(b) | | | | | | | 90,000 | | | | 98,245 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| |
Media (Continued) | | | | | |
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 8/15/26(b) | | | | | | $ | 38,000 | | | $ | 27,740 | |
Discovery Communications LLC,
1.90%, 3/19/27 | | | EUR | | | | 240,000 | | | | 310,127 | |
Fox Corp., 5.48%, 1/25/39 | | | | | | | 450,000 | | | | 564,266 | |
Gray Television, Inc., | | | | | | | | | | | | |
5.88%, 7/15/26(b) | | | | | | | 25,000 | | | | 25,937 | |
7.00%, 5/15/27(b) | | | | | | | 48,000 | | | | 52,380 | |
iHeartCommunications, Inc., | | | | | | | | | | | | |
6.38%, 5/01/26 | | | | | | | 49,783 | | | | 53,035 | |
5.25%, 8/15/27(b) | | | | | | | 48,000 | | | | 49,680 | |
4.75%, 1/15/28(b) | | | | | | | 7,000 | | | | 7,210 | |
Meredith Corp., 6.88%, 2/01/26 | | | | | | | 91,000 | | | | 93,389 | |
NBCUniversal Media LLC, | | | | | | | | | | | | |
5.95%, 4/01/41 | | | | | | | 44,000 | | | | 61,752 | |
4.45%, 1/15/43 | | | | | | | 113,000 | | | | 135,541 | |
Nexstar Broadcasting, Inc., 5.63%, 7/15/27(b) | | | | | | | 69,000 | | | | 72,881 | |
Sirius XM Radio, Inc., | | | | | | | | | | | | |
3.88%, 8/01/22(b) | | | | | | | 38,000 | | | | 38,188 | |
4.63%, 7/15/24(b) | | | | | | | 45,000 | | | | 46,181 | |
5.38%, 7/15/26(b) | | | | | | | 28,000 | | | | 28,916 | |
5.00%, 8/01/27(b) | | | | | | | 95,000 | | | | 99,484 | |
5.50%, 7/01/29(b) | | | | | | | 51,000 | | | | 55,112 | |
TEGNA, Inc., | | | | | | | | | | | | |
4.63%, 3/15/28 | | | | | | | 13,000 | | | | 13,276 | |
5.00%, 9/15/29 | | | | | | | 10,000 | | | | 10,375 | |
Time Warner Cable LLC, 5.88%, 11/15/40 | | | | | | | 130,000 | | | | 162,613 | |
Time Warner Entertainment Co. L.P., 8.38%, 7/15/33 | | | | | | | 170,000 | | | | 251,173 | |
ViacomCBS, Inc., | | | | | | | | | | | | |
4.38%, 3/15/43 | | | | | | | 62,000 | | | | 67,123 | |
5.85%, 9/01/43 | | | | | | | 132,000 | | | | 168,895 | |
Walt Disney (The) Co., 4.70%, 3/23/50 | | | | | | | 233,000 | | | | 294,703 | |
| | | | | | | | | | | | 10,652,264 | |
| | | |
Mining – 0.0%(i) | | | | | | | | | | | | |
Freeport-McMoRan, Inc., | | | | | | | | | | | | |
5.00%, 9/01/27 | | | | | | | 8,000 | | | | 8,489 | |
5.25%, 9/01/29 | | | | | | | 7,000 | | | | 7,752 | |
Newmont Corp., 2.25%, 10/01/30 | | | | | | | 156,000 | | | | 152,941 | |
| | | | | | | | | | | | 169,182 | |
See accompanying Notes to Financial Statements
86
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
|
Miscellaneous Manufacturing – 0.3% | |
3M Co., | | | | | | | | | | | | |
2.38%, 8/26/29 | | | | | | $ | 310,000 | | | $ | 318,017 | |
3.70%, 4/15/50 | | | | | | | 60,000 | | | | 67,121 | |
Eaton Corp., | | | | | | | | | | | | |
2.75%, 11/02/22 | | | | | | | 40,000 | | | | 41,407 | |
4.15%, 11/02/42 | | | | | | | 30,000 | | | | 34,514 | |
General Electric Co., | | | | | | | | | | | | |
3.45%, 5/01/27 | | | | | | | 20,000 | | | | 21,852 | |
3.63%, 5/01/30 | | | | | | | 40,000 | | | | 43,458 | |
6.75%, 3/15/32 | | | | | | | 20,000 | | | | 27,018 | |
6.88%, 1/10/39 | | | | | | | 1,080,000 | | | | 1,553,085 | |
4.25%, 5/01/40 | | | | | | | 60,000 | | | | 67,052 | |
4.13%, 10/09/42 | | | | | | | 71,000 | | | | 77,947 | |
4.35%, 5/01/50 | | | | | | | 60,000 | | | | 66,805 | |
Textron, Inc., | | | | | | | | | | | | |
3.65%, 3/15/27 | | | | | | | 113,000 | | | | 123,980 | |
3.90%, 9/17/29 | | | | | | | 122,000 | | | | 134,778 | |
2.45%, 3/15/31 | | | | | | | 47,000 | | | | 46,426 | |
| | | | | | | | | | | | 2,623,460 | |
| | | |
Oil & Gas – 1.4% | | | | | | | | | | | | |
Apache Corp., | | | | | | | | | | | | |
4.38%, 10/15/28 | | | | | | | 540,000 | | | | 550,784 | |
4.75%, 4/15/43 | | | | | | | 100,000 | | | | 99,300 | |
4.25%, 1/15/44 | | | | | | | 380,000 | | | | 353,400 | |
BP Capital Markets America, Inc., | | | | | | | | | | | | |
2.94%, 4/06/23 | | | | | | | 10,000 | | | | 10,482 | |
3.22%, 11/28/23 | | | | | | | 70,000 | | | | 74,656 | |
3.79%, 2/06/24 | | | | | | | 228,000 | | | | 247,137 | |
3.19%, 4/06/25 | | | | | | | 199,000 | | | | 215,036 | |
3.41%, 2/11/26 | | | | | | | 20,000 | | | | 21,967 | |
3.12%, 5/04/26 | | | | | | | 220,000 | | | | 237,491 | |
3.94%, 9/21/28 | | | | | | | 240,000 | | | | 269,719 | |
3.63%, 4/06/30 | | | | | | | 80,000 | | | | 88,134 | |
1.75%, 8/10/30 | | | | | | | 200,000 | | | | 190,030 | |
3.00%, 2/24/50 | | | | | | | 230,000 | | | | 212,416 | |
Chevron Corp., | | | | | | | | | | | | |
1.55%, 5/11/25 | | | | | | | 130,000 | | | | 133,131 | |
2.00%, 5/11/27 | | | | | | | 40,000 | | | | 41,364 | |
2.98%, 5/11/40 | | | | | | | 250,000 | | | | 251,703 | |
3.08%, 5/11/50 | | | | | | | 490,000 | | | | 477,654 | |
Chevron U.S.A, Inc.,
5.25%, 11/15/43 | | | | | | | 64,000 | | | | 83,656 | |
Chevron USA, Inc., | | | | | | | | | | | | |
3.85%, 1/15/28 | | | | | | | 240,000 | | | | 270,842 | |
6.00%, 3/01/41 | | | | | | | 70,000 | | | | 98,645 | |
4.95%, 8/15/47 | | | | | | | 64,000 | | | | 81,434 | |
2.34%, 8/12/50 | | | | | | | 55,000 | | | | 46,657 | |
Cimarex Energy Co., | | | | | | | | | | | | |
3.90%, 5/15/27 | | | | | | | 280,000 | | | | 306,176 | |
4.38%, 3/15/29 | | | | | | | 290,000 | | | | 325,495 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| | | |
Oil & Gas (Continued) | | | | | | | | | | | | |
Citgo Holding, Inc., 9.25%, 8/01/24(b) | | | | | | $ | 41,000 | | | $ | 42,230 | |
ConocoPhillips, | | | | | | | | | | | | |
3.75%, 10/01/27(b) | | | | | | | 110,000 | | | | 122,455 | |
4.30%, 8/15/28(b) | | | | | | | 310,000 | | | | 354,071 | |
Continental Resources, Inc., | | | | | | | | | | | | |
4.50%, 4/15/23 | | | | | | | 90,000 | | | | 94,457 | |
3.80%, 6/01/24 | | | | | | | 130,000 | | | | 136,175 | |
4.38%, 1/15/28 | | | | | | | 160,000 | | | | 174,000 | |
CrownRock L.P./CrownRock Finance, Inc., 5.63%, 10/15/25(b) | | | | | | | 33,000 | | | | 34,155 | |
Devon Energy Corp., | | | | | | | | | | | | |
5.85%, 12/15/25 | | | | | | | 120,000 | | | | 140,982 | |
5.60%, 7/15/41 | | | | | | | 180,000 | | | | 212,854 | |
4.75%, 5/15/42 | | | | | | | 70,000 | | | | 75,540 | |
5.00%, 6/15/45 | | | | | | | 360,000 | | | | 402,411 | |
Diamondback Energy, Inc., | | | | | | | | | | | | |
2.88%, 12/01/24 | | | | | | | 50,000 | | | | 53,005 | |
3.50%, 12/01/29 | | | | | | | 384,000 | | | | 402,069 | |
3.13%, 3/24/31 | | | | | | | 229,000 | | | | 231,293 | |
EOG Resources, Inc., | | | | | | | | | | | | |
4.15%, 1/15/26 | | | | | | | 118,000 | | | | 133,376 | |
4.38%, 4/15/30 | | | | | | | 270,000 | | | | 311,768 | |
3.90%, 4/01/35 | | | | | | | 180,000 | | | | 196,439 | |
4.95%, 4/15/50 | | | | | | | 270,000 | | | | 334,755 | |
Exxon Mobil Corp., | | | | | | | | | | | | |
1.57%, 4/15/23 | | | | | | | 10,000 | | | | 10,251 | |
2.99%, 3/19/25 | | | | | | | 300,000 | | | | 322,989 | |
3.04%, 3/01/26 | | | | | | | 70,000 | | | | 76,017 | |
2.44%, 8/16/29 | | | | | | | 240,000 | | | | 246,133 | |
3.48%, 3/19/30 | | | | | | | 120,000 | | | | 131,319 | |
1.41%, 6/26/39 | | | EUR | | | | 130,000 | | | | 153,278 | |
4.11%, 3/01/46 | | | | | | | 20,000 | | | | 22,476 | |
4.33%, 3/19/50 | | | | | | | 10,000 | | | | 11,671 | |
3.45%, 4/15/51 | | | | | | | 300,000 | | | | 306,187 | |
Marathon Petroleum Corp., | | | | | | | | | | | | |
4.50%, 5/01/23 | | | | | | | 31,000 | | | | 33,211 | |
4.50%, 4/01/48 | | | | | | | 78,000 | | | | 83,799 | |
Matador Resources Co., | | | | | | | | | | | | |
5.88%, 9/15/26 | | | | | | | 15,000 | | | | 14,963 | |
Occidental Petroleum Corp., | | | | | | | | | | | | |
6.95%, 7/01/24 | | | | | | | 200,000 | | | | 221,250 | |
2.90%, 8/15/24 | | | | | | | 180,000 | | | | 179,550 | |
5.55%, 3/15/26 | | | | | | | 160,000 | | | | 171,800 | |
3.00%, 2/15/27 | | | | | | | 220,000 | | | | 209,961 | |
7.88%, 9/15/31 | | | | | | | 210,000 | | | | 255,150 | |
4.50%, 7/15/44 | | | | | | | 80,000 | | | | 71,400 | |
6.60%, 3/15/46 | | | | | | | 150,000 | | | | 165,375 | |
4.10%, 2/15/47 | | | | | | | 50,000 | | | | 41,625 | |
See accompanying Notes to Financial Statements
87
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Oil & Gas (Continued) | | | | | |
Occidental Petroleum Corp.,
4.20%, 3/15/48 | | $ | 230,000 | | | $ | 193,823 | |
Pioneer Natural Resources Co., | | | | | | | | |
1.13%, 1/15/26 | | | 30,000 | | | | 29,583 | |
2.15%, 1/15/31 | | | 182,000 | | | | 172,091 | |
SM Energy Co., 10.00%, 1/15/25(b) | | | 8,000 | | | | 9,100 | |
Sunoco L.P./Sunoco Finance Corp., | | | | | | | | |
5.50%, 2/15/26 | | | 11,000 | | | | 11,347 | |
6.00%, 4/15/27 | | | 17,000 | | | | 17,876 | |
WPX Energy, Inc., | | | | | | | | |
5.25%, 10/15/27 | | | 12,000 | | | | 12,807 | |
4.50%, 1/15/30 | | | 92,000 | | | | 99,107 | |
| | | | | | | 11,413,483 | |
| |
Oil & Gas Services – 0.0%(i) | |
Halliburton Co., 3.80%, 11/15/25 | | | 5,000 | | | | 5,522 | |
| |
Packaging & Containers – 0.0%(i) | |
Ball Corp., | | | | | | | | |
5.25%, 7/01/25 | | | 13,000 | | | | 14,706 | |
4.88%, 3/15/26 | | | 11,000 | | | | 12,320 | |
Owens-Brockway Glass Container, Inc., 5.88%, 8/15/23(b) | | | 42,000 | | | | 45,465 | |
| | | | | | | 72,491 | |
| |
Pharmaceuticals – 1.6% | |
AbbVie, Inc., | | | | | | | | |
2.30%, 11/21/22 | | | 555,000 | | | | 571,206 | |
3.75%, 11/14/23 | | | 20,000 | | | | 21,593 | |
2.60%, 11/21/24 | | | 1,007,000 | | | | 1,066,390 | |
3.80%, 3/15/25 | | | 495,000 | | | | 542,221 | |
3.60%, 5/14/25 | | | 88,000 | | | | 96,197 | |
3.20%, 5/14/26 | | | 743,000 | | | | 805,325 | |
2.95%, 11/21/26 | | | 100,000 | | | | 107,094 | |
3.20%, 11/21/29 | | | 600,000 | | | | 641,378 | |
4.55%, 3/15/35 | | | 123,000 | | | | 145,433 | |
4.50%, 5/14/35 | | | 242,000 | | | | 283,775 | |
4.63%, 10/01/42 | | | 2,000 | | | | 2,350 | |
4.70%, 5/14/45 | | | 154,000 | | | | 183,327 | |
4.45%, 5/14/46 | | | 35,000 | | | | 40,554 | |
4.25%, 11/21/49 | | | 304,000 | | | | 344,453 | |
Bausch Health Americas, Inc., | | | | | | | | |
9.25%, 4/01/26(b) | | | 53,000 | | | | 58,708 | |
8.50%, 1/31/27(b) | | | 96,000 | | | | 106,920 | |
Bausch Health Cos., Inc.,
5.50%, 11/01/25(b) | | | 49,000 | | | | 50,531 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Pharmaceuticals (Continued) | | | | | |
Bausch Health Cos., Inc., | | | | | | | | |
9.00%, 12/15/25(b) | | $ | 53,000 | | | $ | 57,516 | |
5.75%, 8/15/27(b) | | | 15,000 | | | | 16,088 | |
7.00%, 1/15/28(b) | | | 41,000 | | | | 44,587 | |
7.25%, 5/30/29(b) | | | 41,000 | | | | 45,432 | |
Becton Dickinson and Co., | | | | | | | | |
3.36%, 6/06/24 | | | 190,000 | | | | 204,639 | |
4.69%, 12/15/44 | | | 16,000 | | | | 19,213 | |
Bristol-Myers Squibb Co., | | | | | | | | |
2.60%, 5/16/22 | | | 110,000 | | | | 112,750 | |
2.90%, 7/26/24 | | | 192,000 | | | | 205,749 | |
3.88%, 8/15/25 | | | 81,000 | | | | 90,440 | |
3.20%, 6/15/26 | | | 160,000 | | | | 175,310 | |
3.40%, 7/26/29 | | | 210,000 | | | | 231,662 | |
5.00%, 8/15/45 | | | 69,000 | | | | 89,453 | |
Cigna Corp., | | | | | | | | |
3.75%, 7/15/23 | | | 101,000 | | | | 107,845 | |
4.13%, 11/15/25 | | | 20,000 | | | | 22,483 | |
3.40%, 3/01/27 | | | 79,000 | | | | 86,315 | |
4.38%, 10/15/28 | | | 935,000 | | | | 1,070,842 | |
4.80%, 8/15/38 | | | 100,000 | | | | 120,763 | |
4.90%, 12/15/48 | | | 100,000 | | | | 123,419 | |
CVS Health Corp., | | | | | | | | |
3.63%, 4/01/27 | | | 40,000 | | | | 44,229 | |
4.30%, 3/25/28 | | | 559,000 | | | | 636,019 | |
3.25%, 8/15/29 | | | 500,000 | | | | 533,060 | |
3.75%, 4/01/30 | | | 774,000 | | | | 851,386 | |
4.78%, 3/25/38 | | | 400,000 | | | | 478,198 | |
4.13%, 4/01/40 | | | 40,000 | | | | 44,209 | |
5.13%, 7/20/45 | | | 217,000 | | | | 270,028 | |
5.05%, 3/25/48 | | | 420,000 | | | | 516,471 | |
Elanco Animal Health, Inc., | | | | | | | | |
5.27%, 8/28/23 | | | 39,000 | | | | 41,828 | |
5.90%, 8/28/28 | | | 11,000 | | | | 12,508 | |
Johnson & Johnson, | | | | | | | | |
0.55%, 9/01/25 | | | 80,000 | | | | 79,368 | |
0.95%, 9/01/27 | | | 150,000 | | | | 146,511 | |
3.63%, 3/03/37 | | | 70,000 | | | | 79,034 | |
2.10%, 9/01/40 | | | 250,000 | | | | 228,117 | |
3.70%, 3/01/46 | | | 26,000 | | | | 29,602 | |
3.75%, 3/03/47 | | | 36,000 | | | | 41,343 | |
Merck & Co., Inc., | | | | | | | | |
0.75%, 2/24/26 | | | 120,000 | | | | 119,123 | |
1.45%, 6/24/30 | | | 70,000 | | | | 66,587 | |
2.45%, 6/24/50 | | | 50,000 | | | | 44,140 | |
Pfizer, Inc., | | | | | | | | |
0.80%, 5/28/25 | | | 160,000 | | | | 160,093 | |
3.45%, 3/15/29 | | | 43,000 | | | | 47,557 | |
2.63%, 4/01/30 | | | 261,000 | | | | 273,560 | |
See accompanying Notes to Financial Statements
88
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
Pharmaceuticals (Continued) | | | | | |
Pfizer, Inc., | | | | | | | | |
1.70%, 5/28/30 | | $ | 225,000 | | | $ | 218,904 | |
2.70%, 5/28/50 | | | 310,000 | | | | 289,468 | |
| | | | | | | 13,143,304 | |
| | | |
Pipelines – 1.6% | | | | | | | | |
Boardwalk Pipelines L.P., 4.80%, 5/03/29 | | | 20,000 | | | | 22,659 | |
Buckeye Partners L.P., 3.95%, 12/01/26 | | | 8,000 | | | | 8,000 | |
Cameron LNG LLC, | | | | | | | | |
2.90%, 7/15/31(b) | | | 30,000 | | | | 30,726 | |
3.30%, 1/15/35(b) | | | 672,000 | | | | 702,356 | |
3.40%, 1/15/38(b) | | | 129,000 | | | | 133,479 | |
Cheniere Corpus Christi Holdings LLC, | | | | | | | | |
5.88%, 3/31/25 | | | 88,000 | | | | 100,721 | |
5.13%, 6/30/27 | | | 407,000 | | | | 469,219 | |
Cheniere Energy Partners L.P., | | | | | | | | |
5.63%, 10/01/26 | | | 31,000 | | | | 32,318 | |
4.50%, 10/01/29 | | | 20,000 | | | | 20,875 | |
DCP Midstream Operating L.P., | | | | | | | | |
5.38%, 7/15/25 | | | 11,000 | | | | 12,073 | |
5.13%, 5/15/29 | | | 8,000 | | | | 8,540 | |
Energy Transfer L.P., | | | | | | | | |
3.60%, 2/01/23 | | | 164,000 | | | | 170,638 | |
4.25%, 3/15/23 | | | 300,000 | | | | 315,523 | |
5.88%, 1/15/24 | | | 48,000 | | | | 53,408 | |
7.60%, 2/01/24 | | | 154,000 | | | | 175,319 | |
4.50%, 4/15/24 | | | 366,000 | | | | 401,978 | |
4.05%, 3/15/25 | | | 120,000 | | | | 129,938 | |
2.90%, 5/15/25 | | | 412,000 | | | | 432,440 | |
5.95%, 12/01/25 | | | 160,000 | | | | 188,763 | |
4.75%, 1/15/26 | | | 111,000 | | | | 124,092 | |
4.95%, 6/15/28 | | | 20,000 | | | | 22,503 | |
5.25%, 4/15/29 | | | 60,000 | | | | 68,817 | |
3.75%, 5/15/30 | | | 370,000 | | | | 385,032 | |
6.50%, 2/01/42 | | | 130,000 | | | | 157,594 | |
5.30%, 4/01/44 | | | 160,000 | | | | 169,249 | |
6.25%, 4/15/49 | | | 20,000 | | | | 24,002 | |
Enterprise Products Operating LLC, | | | | | | | | |
4.15%, 10/16/28 | | | 270,000 | | | | 305,210 | |
3.13%, 7/31/29 | | | 434,000 | | | | 459,575 | |
2.80%, 1/31/30 | | | 550,000 | | | | 566,846 | |
7.55%, 4/15/38 | | | 10,000 | | | | 14,873 | |
4.85%, 3/15/44 | | | 80,000 | | | | 93,397 | |
5.10%, 2/15/45 | | | 100,000 | | | | 119,752 | |
4.80%, 2/01/49 | | | 10,000 | | | | 11,657 | |
4.20%, 1/31/50 | | | 30,000 | | | | 32,176 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
Pipelines (Continued) | | | | | |
Enterprise Products Operating LLC, | | | | | | | | |
3.70%, 1/31/51 | | $ | 70,000 | | | $ | 69,900 | |
3.95%, 1/31/60 | | | 60,000 | | | | 60,173 | |
Kinder Morgan Energy Partners L.P., | | | | | | | | |
4.25%, 9/01/24 | | | 100,000 | | | | 110,043 | |
6.95%, 1/15/38 | | | 27,000 | | | | 36,776 | |
4.70%, 11/01/42 | | | 48,000 | | | | 53,279 | |
5.50%, 3/01/44 | | | 10,000 | | | | 12,095 | |
Kinder Morgan, Inc., | | | | | | | | |
4.30%, 6/01/25 | | | 90,000 | | | | 100,442 | |
4.30%, 3/01/28 | | | 60,000 | | | | 67,554 | |
5.30%, 12/01/34 | | | 7,000 | | | | 8,400 | |
5.55%, 6/01/45 | | | 80,000 | | | | 97,650 | |
5.05%, 2/15/46 | | | 40,000 | | | | 46,082 | |
5.20%, 3/01/48 | | | 60,000 | | | | 71,209 | |
MPLX L.P., | | | | | | | | |
4.88%, 12/01/24 | | | 74,000 | | | | 82,961 | |
1.75%, 3/01/26 | | | 252,000 | | | | 253,536 | |
4.00%, 3/15/28 | | | 200,000 | | | | 220,823 | |
4.80%, 2/15/29 | | | 30,000 | | | | 34,578 | |
2.65%, 8/15/30 | | | 103,000 | | | | 101,705 | |
4.50%, 4/15/38 | | | 90,000 | | | | 98,845 | |
4.70%, 4/15/48 | | | 90,000 | | | | 98,431 | |
5.50%, 2/15/49 | | | 90,000 | | | | 109,401 | |
NGPL PipeCo LLC, | | | | | | | | |
4.38%, 8/15/22(b) | | | 64,000 | | | | 66,274 | |
4.88%, 8/15/27(b) | | | 168,000 | | | | 189,007 | |
7.77%, 12/15/37(b) | | | 20,000 | | | | 26,872 | |
Northwest Pipeline LLC, 4.00%, 4/01/27 | | | 253,000 | | | | 282,824 | |
Sabine Pass Liquefaction LLC, | | | | | | | | |
5.63%, 4/15/23 | | | 100,000 | | | | 108,182 | |
5.75%, 5/15/24 | | | 500,000 | | | | 564,452 | |
5.63%, 3/01/25 | | | 1,122,000 | | | | 1,287,455 | |
5.00%, 3/15/27 | | | 95,000 | | | | 109,212 | |
Southern Natural Gas Co. LLC,
8.00%, 3/01/32 | | | 80,000 | | | | 112,343 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., | | | | | | | | |
5.88%, 4/15/26 | | | 38,000 | | | | 39,805 | |
5.38%, 2/01/27 | | | 33,000 | | | | 34,260 | |
6.50%, 7/15/27 | | | 33,000 | | | | 35,887 | |
5.00%, 1/15/28 | | | 11,000 | | | | 11,581 | |
6.88%, 1/15/29 | | | 52,000 | | | | 58,370 | |
5.50%, 3/01/30 | | | 13,000 | | | | 14,061 | |
Tennessee Gas Pipeline Co. LLC, 2.90%, 3/01/30(b) | | | 380,000 | | | | 385,700 | |
See accompanying Notes to Financial Statements
89
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | | | |
| | | | | Par(a) | | | Value | |
| | |
Pipelines (Continued) | | | | | | | | |
Texas Eastern Transmission L.P., 3.50%, 1/15/28(b) | | | | $ | 138,000 | | | $ | 147,922 | |
Transcontinental Gas Pipe Line Co. LLC, | | | | | | | | | | |
7.85%, 2/01/26 | | | | | 1,103,000 | | | | 1,403,484 | |
4.00%, 3/15/28 | | | | | 258,000 | | | | 287,409 | |
3.95%, 5/15/50 | | | | | 68,000 | | | | 71,120 | |
Western Midstream Operating L.P., | | | | | | | | | | |
(3M USD LIBOR + 2.10%),
2.29%, 1/13/23(d) | | | | | 40,000 | | | | 39,603 | |
4.35%, 2/01/25 | | | | | 50,000 | | | | 52,858 | |
4.65%, 7/01/26 | | | | | 90,000 | | | | 96,356 | |
Williams (The) Cos., Inc., | | | | | | | | | | |
7.50%, 1/15/31 | | | | | 48,000 | | | | 64,522 | |
4.85%, 3/01/48 | | | | | 110,000 | | | | 124,869 | |
| | | | | | | | | 13,312,059 | |
| | |
Real Estate Investment Trusts – 0.5% | | | | | |
American Tower Corp., | | | | | | | | | | |
5.00%, 2/15/24 | | | | | 54,000 | | | | 60,057 | |
2.40%, 3/15/25 | | | | | 250,000 | | | | 261,134 | |
1.30%, 9/15/25 | | | | | 72,000 | | | | 72,145 | |
1.60%, 4/15/26 | | | | | 85,000 | | | | 85,486 | |
3.38%, 10/15/26 | | | | | 40,000 | | | | 43,498 | |
3.95%, 3/15/29 | | | | | 53,000 | | | | 58,794 | |
3.80%, 8/15/29 | | | | | 189,000 | | | | 208,017 | |
Crown Castle International Corp., | | | | | | | | | | |
1.05%, 7/15/26 | | | | | 195,000 | | | | 190,140 | |
3.10%, 11/15/29 | | | | | 245,000 | | | | 256,352 | |
3.30%, 7/01/30 | | | | | 226,000 | | | | 239,574 | |
5.20%, 2/15/49 | | | | | 41,000 | | | | 50,822 | |
Digital Dutch Finco B.V., | | | | | | | | | | |
1.50%, 3/15/30 | | EUR | | | 130,000 | | | | 165,514 | |
1.00%, 1/15/32 | | EUR | | | 100,000 | | | | 119,530 | |
Duke Realty L.P., | | | | | | | | | | |
1.75%, 7/01/30 | | | | | 39,000 | | | | 36,816 | |
1.75%, 2/01/31 | | | | | 198,000 | | | | 186,840 | |
Equinix, Inc., 1.00%, 9/15/25 | | | | | 297,000 | | | | 292,929 | |
ESH Hospitality, Inc., | | | | | | | | | | |
5.25%, 5/01/25(b) | | | | | 47,000 | | | | 47,954 | |
4.63%, 10/01/27(b) | | | | | 11,000 | | | | 11,660 | |
GLP Capital L.P./GLP Financing II, Inc., | | | | | | | | | | |
3.35%, 9/01/24 | | | | | 65,000 | | | | 68,859 | |
5.38%, 4/15/26 | | | | | 60,000 | | | | 67,874 | |
4.00%, 1/15/30 | | | | | 53,000 | | | | 56,100 | |
4.00%, 1/15/31 | | | | | 200,000 | | | | 210,912 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| |
Real Estate Investment Trusts (Continued) | | | | | |
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc., | | | | | | | | | | | | |
5.63%, 5/01/24 | | | | | | $ | 132,000 | | | $ | 142,325 | |
4.50%, 9/01/26 | | | | | | | 38,000 | | | | 40,137 | |
5.75%, 2/01/27 | | | | | | | 59,000 | | | | 65,804 | |
MPT Operating Partnership L.P./MPT Finance Corp., | | | | | | | | | | | | |
5.25%, 8/01/26 | | | | | | | 8,000 | | | | 8,250 | |
5.00%, 10/15/27 | | | | | | | 90,000 | | | | 94,725 | |
4.63%, 8/01/29 | | | | | | | 12,000 | | | | 12,705 | |
National Retail Properties, Inc., | | | | | | | | | | | | |
3.10%, 4/15/50 | | | | | | | 42,000 | | | | 39,160 | |
3.50%, 4/15/51 | | | | | | | 107,000 | | | | 106,834 | |
Prologis Euro Finance LLC,
1.50%, 9/10/49 | | | EUR | | | | 105,000 | | | | 124,231 | |
Realty Income Corp., | | | | | | | | | | | | |
3.00%, 1/15/27 | | | | | | | 15,000 | | | | 16,025 | |
3.25%, 1/15/31 | | | | | | | 74,000 | | | | 79,166 | |
RHP Hotel Properties L.P./RHP Finance Corp., 4.75%, 10/15/27 | | | | | | | 49,000 | | | | 50,427 | |
Service Properties Trust,
4.35%, 10/01/24 | | | | | | | 28,000 | | | | 27,860 | |
VICI Properties L.P./VICI Note Co., Inc., | | | | | | | | | | | | |
3.50%, 2/15/25(b) | | | | | | | 47,000 | | | | 47,999 | |
4.25%, 12/01/26(b) | | | | | | | 17,000 | | | | 17,531 | |
3.75%, 2/15/27(b) | | | | | | | 11,000 | | | | 11,088 | |
4.63%, 12/01/29(b) | | | | | | | 13,000 | | | | 13,499 | |
4.13%, 8/15/30(b) | | | | | | | 10,000 | | | | 10,156 | |
| | | | | | | | | | | 3,698,929 | |
| | | | |
Retail – 0.6% | | | | | | | | | | | | |
Beacon Roofing Supply, Inc.,
4.88%, 11/01/25(b) | | | | | | | 43,000 | | | | 43,986 | |
Costco Wholesale Corp., | | | | | | | | | | | | |
1.38%, 6/20/27 | | | | | | | 190,000 | | | | 190,761 | |
1.75%, 4/20/32 | | | | | | | 90,000 | | | | 86,769 | |
Dollar General Corp., 3.25%, 4/15/23 | | | | | | | 10,000 | | | | 10,477 | |
Home Depot (The), Inc., | | | | | | | | | | | | |
2.50%, 4/15/27 | | | | | | | 60,000 | | | | 63,706 | |
3.90%, 12/06/28 | | | | | | | 10,000 | | | | 11,474 | |
2.95%, 6/15/29 | | | | | | | 360,000 | | | | 385,345 | |
2.70%, 4/15/30 | | | | | | | 80,000 | | | | 84,027 | |
3.30%, 4/15/40 | | | | | | | 160,000 | | | | 169,935 | |
3.90%, 6/15/47 | | | | | | | 20,000 | | | | 22,723 | |
3.35%, 4/15/50 | | | | | | | 160,000 | | | | 168,868 | |
See accompanying Notes to Financial Statements
90
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Retail (Continued) | | | | | | | | |
Lowe’s Cos., Inc., | | | | | | | | |
4.00%, 4/15/25 | | $ | 413,000 | | | $ | 458,193 | |
1.30%, 4/15/28 | | | 154,000 | | | | 147,663 | |
3.65%, 4/05/29 | | | 78,000 | | | | 86,220 | |
4.50%, 4/15/30 | | | 50,000 | | | | 58,284 | |
2.63%, 4/01/31 | | | 30,000 | | | | 30,422 | |
McDonald’s Corp., | | | | | | | | |
3.30%, 7/01/25 | | | 70,000 | | | | 76,261 | |
1.45%, 9/01/25 | | | 140,000 | | | | 142,348 | |
3.70%, 1/30/26 | | | 60,000 | | | | 66,728 | |
3.50%, 3/01/27 | | | 30,000 | | | | 33,043 | |
3.50%, 7/01/27 | | | 60,000 | | | | 66,376 | |
3.80%, 4/01/28 | | | 270,000 | | | | 301,308 | |
2.13%, 3/01/30 | | | 307,000 | | | | 304,067 | |
3.60%, 7/01/30 | | | 171,000 | | | | 188,590 | |
4.60%, 5/26/45 | | | 29,000 | | | | 34,358 | |
4.88%, 12/09/45 | | | 128,000 | | | | 158,079 | |
4.20%, 4/01/50 | | | 354,000 | | | | 407,802 | |
Starbucks Corp., | | | | | | | | |
2.25%, 3/12/30 | | | 79,000 | | | | 78,314 | |
2.55%, 11/15/30 | | | 224,000 | | | | 226,520 | |
Target Corp., 2.25%, 4/15/25 | | | 110,000 | | | | 115,797 | |
TJX (The) Cos., Inc., | | | | | | | | |
3.50%, 4/15/25 | | | 70,000 | | | | 76,612 | |
3.75%, 4/15/27 | | | 20,000 | | | | 22,406 | |
Walmart, Inc., | | | | | | | | |
3.40%, 6/26/23 | | | 40,000 | | | | 42,605 | |
3.55%, 6/26/25 | | | 30,000 | | | | 33,259 | |
3.70%, 6/26/28 | | | 380,000 | | | | 430,143 | |
| | | | | | | 4,823,469 | |
| | | |
Semiconductors – 0.7% | | | | | | | | |
Applied Materials, Inc., | | | | | | | | |
1.75%, 6/01/30 | | | 140,000 | | | | 135,914 | |
4.35%, 4/01/47 | | | 70,000 | | | | 85,553 | |
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 1/15/27 | | | 132,000 | | | | 144,618 | |
Broadcom, Inc., | | | | | | | | |
4.70%, 4/15/25 | | | 270,000 | | | | 304,562 | |
3.15%, 11/15/25 | | | 370,000 | | | | 396,292 | |
4.75%, 4/15/29 | | | 320,000 | | | | 364,075 | |
5.00%, 4/15/30 | | | 373,000 | | | | 429,005 | |
4.15%, 11/15/30 | | | 361,000 | | | | 394,617 | |
2.45%, 2/15/31(b) | | | 41,000 | | | | 39,106 | |
3.47%, 4/15/34(b) | | | 505,000 | | | | 510,571 | |
3.50%, 2/15/41(b) | | | 161,000 | | | | 155,391 | |
Intel Corp., | | | | | | | | |
3.70%, 7/29/25 | | | 20,000 | | | | 22,183 | |
4.60%, 3/25/40 | | | 50,000 | | | | 60,795 | |
3.73%, 12/08/47 | | | 183,000 | | | | 199,243 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| | |
Semiconductors (Continued) | | | | | | | | | |
Intel Corp., 4.75%, 3/25/50 | | | | | | $ | 130,000 | | | $ | 164,759 | |
KLA Corp., | | | | | | | | | | | | |
4.10%, 3/15/29 | | | | | | | 265,000 | | | | 300,641 | |
3.30%, 3/01/50 | | | | | | | 216,000 | | | | 215,124 | |
Lam Research Corp., | | | | | | | | | | | | |
3.75%, 3/15/26 | | | | | | | 161,000 | | | | 179,621 | |
4.88%, 3/15/49 | | | | | | | 112,000 | | | | 146,215 | |
2.88%, 6/15/50 | | | | | | | 100,000 | | | | 96,181 | |
Micron Technology, Inc.,
2.50%, 4/24/23 | | | | | | | 100,000 | | | | 103,608 | |
NVIDIA Corp., | | | | | | | | | | | | |
3.20%, 9/16/26 | | | | | | | 48,000 | | | | 52,871 | |
2.85%, 4/01/30 | | | | | | | 58,000 | | | | 61,518 | |
3.50%, 4/01/40 | | | | | | | 150,000 | | | | 164,175 | |
3.50%, 4/01/50 | | | | | | | 512,000 | | | | 551,502 | |
3.70%, 4/01/60 | | | | | | | 100,000 | | | | 110,401 | |
QUALCOMM, Inc., | | | | | | | | | | | | |
4.80%, 5/20/45 | | | | | | | 50,000 | | | | 63,567 | |
4.30%, 5/20/47 | | | | | | | 124,000 | | | | 147,714 | |
Texas Instruments, Inc., | | | | | | | | | | | | |
2.90%, 11/03/27 | | | | | | | 390,000 | | | | 422,352 | |
1.75%, 5/04/30 | | | | | | | 70,000 | | | | 67,933 | |
| | | | | | | | | | | 6,090,107 | |
| | | | |
Shipbuilding – 0.0%(i) | | | | | | | | | | | | |
Huntington Ingalls Industries, Inc., | | | | | | | | | | | | |
3.84%, 5/01/25 | | | | | | | 75,000 | | | | 81,791 | |
4.20%, 5/01/30 | | | | | | | 143,000 | | | | 160,785 | |
| | | | | | | | | | | 242,576 | |
| | | | |
Software – 0.8% | | | | | | | | | | | | |
Activision Blizzard, Inc., | | | | | | | | | | | | |
1.35%, 9/15/30 | | | | | | | 136,000 | | | | 124,475 | |
2.50%, 9/15/50 | | | | | | | 134,000 | | | | 114,774 | |
Adobe, Inc., 2.30%, 2/01/30 | | | | | | | 200,000 | | | | 203,272 | |
Autodesk, Inc., 3.50%, 6/15/27 | | | | | | | 259,000 | | | | 285,309 | |
Citrix Systems, Inc., | | | | | | | | | | | | |
4.50%, 12/01/27 | | | | | | | 203,000 | | | | 232,807 | |
3.30%, 3/01/30 | | | | | | | 71,000 | | | | 74,209 | |
Fidelity National Information Services, Inc., | | | | | | | | | | | | |
1.00%, 12/03/28 | | | EUR | | | | 105,000 | | | | 129,917 | |
2.95%, 5/21/39 | | | EUR | | | | 100,000 | | | | 147,198 | |
Fiserv, Inc., | | | | | | | | | | | | |
4.20%, 10/01/28 | | | | | | | 57,000 | | | | 64,712 | |
3.50%, 7/01/29 | | | | | | | 604,000 | | | | 654,608 | |
2.65%, 6/01/30 | | | | | | | 52,000 | | | | 52,936 | |
See accompanying Notes to Financial Statements
91
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| | |
Software (Continued) | | | | | | | | | |
Microsoft Corp., | | | | | | | | | | | | |
2.40%, 8/08/26 | | | | | | $ | 60,000 | | | $ | 63,886 | |
3.30%, 2/06/27 | | | | | | | 900,000 | | | | 998,292 | |
2.53%, 6/01/50 | | | | | | | 364,000 | | | | 338,979 | |
2.92%, 3/17/52 | | | | | | | 333,000 | | | | 332,762 | |
Oracle Corp., | | | | | | | | | | | | |
1.65%, 3/25/26 | | | | | | | 390,000 | | | | 393,911 | |
2.88%, 3/25/31 | | | | | | | 430,000 | | | | 437,151 | |
4.30%, 7/08/34 | | | | | | | 132,000 | | | | 149,591 | |
3.90%, 5/15/35 | | | | | | | 109,000 | | | | 118,304 | |
3.85%, 7/15/36 | | | | | | | 170,000 | | | | 182,407 | |
6.13%, 7/08/39 | | | | | | | 182,000 | | | | 244,856 | |
3.60%, 4/01/40 | | | | | | | 25,000 | | | | 25,593 | |
3.65%, 3/25/41 | | | | | | | 373,000 | | | | 381,144 | |
4.13%, 5/15/45 | | | | | | | 70,000 | | | | 74,439 | |
4.00%, 7/15/46 | | | | | | | 260,000 | | | | 271,529 | |
4.00%, 11/15/47 | | | | | | | 174,000 | | | | 181,978 | |
3.60%, 4/01/50 | | | | | | | 40,000 | | | | 39,447 | |
4.10%, 3/25/61 | | | | | | | 38,000 | | | | 39,725 | |
Roper Technologies, Inc., | | | | | | | | | | | | |
2.95%, 9/15/29 | | | | | | | 76,000 | | | | 79,827 | |
2.00%, 6/30/30 | | | | | | | 64,000 | | | | 61,649 | |
salesforce.com, Inc.,
3.70%, 4/11/28 | | | | | | | 250,000 | | | | 280,760 | |
| | | | | | | | | | | 6,780,447 | |
| |
Telecommunications – 1.7% | |
AT&T, Inc., | | | | | | | | | | | | |
1.70%, 3/25/26 | | | | | | | 126,000 | | | | 126,589 | |
3.80%, 2/15/27 | | | | | | | 170,000 | | | | 189,087 | |
2.30%, 6/01/27 | | | | | | | 435,000 | | | | 446,208 | |
1.65%, 2/01/28 | | | | | | | 798,000 | | | | 777,342 | |
4.35%, 3/01/29 | | | | | | | 144,000 | | | | 163,446 | |
4.30%, 2/15/30(b) | | | | | | | 105,000 | | | | 118,457 | |
4.30%, 2/15/30 | | | | | | | 278,000 | | | | 313,628 | |
2.75%, 6/01/31 | | | | | | | 145,000 | | | | 144,790 | |
2.25%, 2/01/32 | | | | | | | 30,000 | | | | 28,442 | |
2.55%, 12/01/33(b) | | | | | | | 442,000 | | | | 421,292 | |
3.15%, 9/04/36 | | | EUR | | | | 100,000 | | | | 143,944 | |
3.10%, 2/01/43 | | | | | | | 450,000 | | | | 416,285 | |
4.80%, 6/15/44 | | | | | | | 22,000 | | | | 25,372 | |
3.50%, 9/15/53(b) | | | | | | | 178,000 | | | | 163,736 | |
3.55%, 9/15/55(b) | | | | | | | 357,000 | | | | 328,842 | |
3.80%, 12/01/57(b) | | | | | | | 164,000 | | | | 156,410 | |
3.65%, 9/15/59(b) | | | | | | | 212,000 | | | | 195,491 | |
3.50%, 2/01/61 | | | | | | | 127,000 | | | | 115,613 | |
Corning, Inc., 4.38%, 11/15/57 | | | | | | | 66,000 | | | | 72,988 | |
Juniper Networks, Inc.,
2.00%, 12/10/30 | | | | | | | 70,000 | | | | 65,287 | |
Level 3 Financing, Inc.,
5.25%, 3/15/26 | | | | | | | 23,000 | | | | 23,697 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Telecommunications (Continued) | |
Level 3 Financing, Inc.,
4.63%, 9/15/27(b) | | $ | 12,000 | | | $ | 12,375 | |
Motorola Solutions, Inc., | | | | | | | | |
4.60%, 5/23/29 | | | 235,000 | | | | 270,060 | |
5.50%, 9/01/44 | | | 105,000 | | | | 130,209 | |
Sprint Corp., | | | | | | | | |
7.63%, 2/15/25 | | | 62,000 | | | | 73,625 | |
7.63%, 3/01/26 | | | 94,000 | | | | 115,267 | |
T-Mobile USA, Inc., | | | | | | | | |
3.50%, 4/15/25(b) | | | 230,000 | | | | 249,407 | |
3.75%, 4/15/27(b) | | | 311,000 | | | | 342,573 | |
2.05%, 2/15/28(b) | | | 30,000 | | | | 29,778 | |
3.88%, 4/15/30(b) | | | 1,201,000 | | | | 1,308,249 | |
2.55%, 2/15/31(b) | | | 70,000 | | | | 68,861 | |
2.25%, 11/15/31(b) | | | 230,000 | | | | 220,333 | |
3.00%, 2/15/41(b) | | | 90,000 | | | | 84,167 | |
3.30%, 2/15/51(b) | | | 70,000 | | | | 65,281 | |
Verizon Communications, Inc., | | | | | | | | |
3.38%, 2/15/25 | | | 190,000 | | | | 207,260 | |
0.85%, 11/20/25 | | | 30,000 | | | | 29,603 | |
1.45%, 3/20/26 | | | 90,000 | | | | 90,563 | |
2.63%, 8/15/26 | | | 10,000 | | | | 10,634 | |
4.13%, 3/16/27 | | | 202,000 | | | | 230,368 | |
3.00%, 3/22/27 | | | 30,000 | | | | 32,242 | |
2.10%, 3/22/28 | | | 273,000 | | | | 275,478 | |
4.33%, 9/21/28 | | | 424,000 | | | | 488,817 | |
3.88%, 2/08/29 | | | 102,000 | | | | 114,829 | |
3.15%, 3/22/30 | | | 403,000 | | | | 426,202 | |
1.50%, 9/18/30 | | | 436,000 | | | | 405,491 | |
1.68%, 10/30/30(b) | | | 126,000 | | | | 118,095 | |
1.75%, 1/20/31 | | | 329,000 | | | | 309,014 | |
2.55%, 3/21/31 | | | 465,000 | | | | 466,104 | |
4.50%, 8/10/33 | | | 1,010,000 | | | | 1,190,583 | |
4.40%, 11/01/34 | | | 34,000 | | | | 39,601 | |
4.27%, 1/15/36 | | | 665,000 | | | | 766,185 | |
2.65%, 11/20/40 | | | 512,000 | | | | 474,349 | |
3.85%, 11/01/42 | | | 60,000 | | | | 65,422 | |
4.13%, 8/15/46 | | | 70,000 | | | | 78,321 | |
4.86%, 8/21/46 | | | 110,000 | | | | 136,070 | |
4.52%, 9/15/48 | | | 194,000 | | | | 229,374 | |
4.00%, 3/22/50 | | | 190,000 | | | | 207,422 | |
2.88%, 11/20/50 | | | 400,000 | | | | 363,924 | |
3.70%, 3/22/61 | | | 207,000 | | | | 209,386 | |
| | | | | | | | 14,372,468 | |
| |
Toys/Games/Hobbies – 0.0%(i) | |
Hasbro, Inc., 2.60%, 11/19/22 | | | 175,000 | | | | 180,432 | |
See accompanying Notes to Financial Statements
92
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Transportation – 0.4% | |
Burlington Northern Santa Fe LLC, | | | | | | | | |
5.40%, 6/01/41 | | $ | 106,000 | | | $ | 139,445 | |
4.40%, 3/15/42 | | | 43,000 | | | | 50,866 | |
3.30%, 9/15/51 | | | 185,000 | | | | 188,206 | |
CSX Corp., | | | | | | | | |
2.40%, 2/15/30 | | | 133,000 | | | | 134,517 | |
4.10%, 3/15/44 | | | 107,000 | | | | 120,189 | |
4.75%, 11/15/48 | | | 74,000 | | | | 90,817 | |
4.65%, 3/01/68 | | | 38,000 | | | | 47,059 | |
FedEx Corp., | | | | | | | | |
2.40%, 5/15/31 | | | 297,000 | | | | 294,310 | |
3.88%, 8/01/42 | | | 14,000 | | | | 14,918 | |
4.55%, 4/01/46 | | | 54,000 | | | | 62,846 | |
Norfolk Southern Corp., | | | | | | | | |
2.90%, 6/15/26 | | | 155,000 | | | | 167,363 | |
3.05%, 5/15/50 | | | 179,000 | | | | 171,583 | |
Ryder System, Inc., | | | | | | | | |
2.50%, 9/01/24 | | | 75,000 | | | | 78,869 | |
4.63%, 6/01/25 | | | 287,000 | | | | 324,715 | |
Union Pacific Corp., | | | | | | | | |
3.25%, 8/15/25 | | | 27,000 | | | | 29,306 | |
2.75%, 3/01/26 | | | 53,000 | | | | 56,736 | |
2.15%, 2/05/27 | | | 120,000 | | | | 124,636 | |
2.40%, 2/05/30 | | | 220,000 | | | | 223,547 | |
3.38%, 2/01/35 | | | 40,000 | | | | 43,078 | |
3.95%, 8/15/59 | | | 104,000 | | | | 112,333 | |
3.84%, 3/20/60 | | | 199,000 | | | | 212,295 | |
2.97%, 9/16/62(b) | | | 43,000 | | | | 39,018 | |
3.75%, 2/05/70 | | | 160,000 | | | | 166,081 | |
United Parcel Service, Inc., | | | | | | | | |
3.40%, 3/15/29 | | | 109,000 | | | | 120,076 | |
4.45%, 4/01/30 | | | 310,000 | | | | 366,672 | |
6.20%, 1/15/38 | | | 61,000 | | | | 87,644 | |
5.20%, 4/01/40 | | | 60,000 | | | | 78,543 | |
3.63%, 10/01/42 | | | 33,000 | | | | 35,900 | |
XPO Logistics, Inc., | | | | | | | | |
6.13%, 9/01/23(b) | | | 13,000 | | | | 13,172 | |
6.75%, 8/15/24(b) | | | 49,000 | | | | 51,205 | |
| | | | | | | | 3,645,945 | |
|
Trucking & Leasing – 0.1% | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., | | | | | | | | |
4.25%, 1/17/23(b) | | | 4,000 | | | | 4,245 | |
2.70%, 3/14/23(b) | | | 51,000 | | | | 52,851 | |
2.70%, 11/01/24(b) | | | 25,000 | | | | 26,393 | |
3.95%, 3/10/25(b) | | | 30,000 | | | | 32,835 | |
4.00%, 7/15/25(b) | | | 94,000 | | | | 103,798 | |
1.20%, 11/15/25(b) | | | 82,000 | | | | 81,179 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Trucking & Leasing (Continued) | | | | | |
Penske Truck Leasing Co. | | | | | | | | |
L.P./PTL Finance Corp., | | | | | | | | |
4.45%, 1/29/26(b) | | $ | 10,000 | | | $ | 11,284 | |
1.70%, 6/15/26(b) | | | 241,000 | | | | 242,353 | |
| | | | | | | | 554,938 | |
| | | |
Total Corporate Bonds
(Cost $198,536,920) | | | | | | | 201,554,520 | |
|
Foreign Issuer Bonds – 9.7% | |
| |
Argentina – 0.0%(i) | | | | | |
Argentine Republic Government International Bond, (Step to 1.13% on 7/09/21), 0.13%, 7/09/35(g) | | | 309,000 | | | | 97,338 | |
Capex S.A., 6.88%, 5/15/24(b) | | | 22,000 | | | | 19,833 | |
YPF S.A., 7.00%, 12/15/47(b) | | | 45,000 | | | | 25,426 | |
| | | | | | | | 142,597 | |
| |
Australia – 0.2% | | | | | |
BHP Billiton Finance USA Ltd., 5.00%, 9/30/43 | | | 20,000 | | | | 26,428 | |
FMG Resources (August 2006) Pty. Ltd., 4.50%, 9/15/27(b) | | | 8,000 | | | | 8,689 | |
Glencore Funding LLC, | | | | | | | | |
4.13%, 3/12/24(b) | | | 390,000 | | | | 422,111 | |
1.63%, 4/27/26(b) | | | 238,000 | | | | 236,563 | |
4.00%, 3/27/27(b) | | | 320,000 | | | | 353,651 | |
3.88%, 10/27/27(b) | | | 70,000 | | | | 76,827 | |
2.50%, 9/01/30(b) | | | 195,000 | | | | 188,883 | |
2.85%, 4/27/31(b) | | | 151,000 | | | | 149,550 | |
| | | | | | | | 1,462,702 | |
| | |
Belgium – 0.5% | | | | | | | | |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., | | | | | | | | |
3.65%, 2/01/26 | | | 80,000 | | | | 88,549 | |
4.70%, 2/01/36 | | | 617,000 | | | | 730,382 | |
4.90%, 2/01/46 | | | 200,000 | | | | 238,939 | |
Anheuser-Busch InBev Finance, Inc., 4.00%, 1/17/43 | | | 62,000 | | | | 66,954 | |
Anheuser-Busch InBev Worldwide, Inc., | | | | | | | | |
4.00%, 4/13/28 | | | 909,000 | | | | 1,020,689 | |
4.75%, 1/23/29 | | | 310,000 | | | | 363,803 | |
3.50%, 6/01/30 | | | 845,000 | | | | 922,548 | |
4.35%, 6/01/40 | | | 130,000 | | | | 147,116 | |
4.95%, 1/15/42 | | | 34,000 | | | | 41,089 | |
See accompanying Notes to Financial Statements
93
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Belgium (Continued) | |
Anheuser-Busch InBev Worldwide, Inc., | | | | | | | | |
5.55%, 1/23/49 | | $ | 220,000 | | | $ | 284,443 | |
4.50%, 6/01/50 | | | 230,000 | | | | 263,685 | |
| | | | | | | | 4,168,197 | |
| | |
Brazil – 0.4% | | | | | | | | |
Banco Votorantim S.A., 4.00%, 9/24/22(b) | | | 200,000 | | | | 206,402 | |
Brazilian Government International Bond, 3.88%, 6/12/30 | | | 550,500 | | | | 546,459 | |
Embraer Netherlands Finance B.V., 5.40%, 2/01/27 | | | 13,000 | | | | 13,669 | |
Embraer Overseas Ltd., 5.70%, 9/16/23 | | | 19,000 | | | | 20,144 | |
Gol Finance S.A., 7.00%, 1/31/25(b) | | | 102,000 | | | | 93,646 | |
Klabin Austria GmbH, 3.20%, 1/12/31(b) | | | 200,000 | | | | 190,502 | |
Petrobras Global Finance B.V., | | | | | | | | |
6.25%, 3/17/24 | | | 16,000 | | | | 17,940 | |
5.30%, 1/27/25 | | | 58,000 | | | | 64,308 | |
Rumo Luxembourg S.a.r.l.,
5.88%, 1/18/25(b) | | | 200,000 | | | | 210,900 | |
Suzano Austria GmbH, 6.00%, 1/15/29 | | | 920,000 | | | | 1,075,940 | |
Vale Overseas Ltd., | | | | | | | | |
6.25%, 8/10/26 | | | 850,000 | | | | 1,015,750 | |
3.75%, 7/08/30 | | | 40,000 | | | | 42,080 | |
| | | | | | | | 3,497,740 | |
| | |
Canada – 0.2% | | | | | | | | |
1011778 B.C. ULC/New Red Finance, Inc., 3.88%, 1/15/28(b) | | | 11,000 | | | | 11,138 | |
Air Canada Pass Through Trust, Series 2017-1, Class AA, 3.30%, 1/15/30(b) | | | 15,696 | | | | 15,796 | |
Alimentation Couche-Tard, Inc., 3.55%, 7/26/27(b) | | | 246,000 | | | | 269,024 | |
Bank of Montreal,
1.85%, 5/01/25 | | | 210,000 | | | | 216,728 | |
(5Y USD Swap Rate + 1.43%), 3.80%, 12/15/32(j) | | | 40,000 | | | | 44,094 | |
Bank of Nova Scotia (The), 1.30%, 6/11/25 | | | 120,000 | | | | 121,227 | |
Barrick North America Finance LLC, 5.75%, 5/01/43 | | | 190,000 | | | | 254,216 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Canada (Continued) | | | | | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp., 6.25%, 9/15/27(b) | | $ | 74,000 | | | $ | 78,440 | |
Canadian Imperial Bank of Commerce, 0.95%, 6/23/23 | | | 100,000 | | | | 100,993 | |
Enbridge, Inc., 2.90%, 7/15/22 | | | 36,000 | | | | 36,976 | |
Magna International, Inc., 2.45%, 6/15/30 | | | 60,000 | | | | 60,797 | |
Mattamy Group Corp., 5.25%, 12/15/27(b) | | | 8,000 | | | | 8,380 | |
Royal Bank of Canada, | | | | | | | | |
1.60%, 4/17/23 | | | 190,000 | | | | 194,821 | |
1.15%, 6/10/25 | | | 100,000 | | | | 100,638 | |
Suncor Energy, Inc., 6.50%, 6/15/38 | | | 81,000 | | | | 110,287 | |
Toronto-Dominion Bank (The), | | | | | | | | |
0.75%, 6/12/23 | | | 210,000 | | | | 211,783 | |
1.15%, 6/12/25 | | | 110,000 | | | | 110,543 | |
TransCanada PipeLines Ltd., 4.63%, 3/01/34 | | | 61,000 | | | | 69,917 | |
| | | | | | | | 2,015,798 | |
| | |
Chile – 0.2% | | | | | | | | |
Chile Government International Bond, 3.10%, 1/22/61 | | | 310,000 | | | | 292,380 | |
Corp. Nacional del Cobre de Chile, | | | | | | | | |
3.63%, 8/01/27(b) | | | 330,000 | | | | 360,396 | |
3.70%, 1/30/50(b) | | | 260,000 | | | | 262,657 | |
Empresa Nacional de Telecomunicaciones S.A., 4.75%, 8/01/26(b) | | | 200,000 | | | | 222,565 | |
Kenbourne Invest S.A., 6.88%, 11/26/24(b) | | | 200,000 | | | | 212,660 | |
| | | | | | | | 1,350,658 | |
| | |
China – 0.2% | | | | | | | | |
Alibaba Group Holding Ltd., 3.40%, 12/06/27 | | | 300,000 | | | | 326,243 | |
Prosus N.V., 3.68%, 1/21/30(b) | | | 600,000 | | | | 627,226 | |
Sinopec Group Overseas Development 2014 Ltd., 4.38%, 4/10/24(b) | | | 290,000 | | | | 317,106 | |
Tencent Holdings Ltd., 3.60%, 1/19/28(b) | | | 220,000 | | | | 236,133 | |
| | | | | | | | 1,506,708 | |
See accompanying Notes to Financial Statements
94
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Colombia – 0.6% | | | | | |
Colombia Government International Bond, | | | | | | | | |
3.88%, 4/25/27 | | $ | 615,000 | | | $ | 656,845 | |
4.50%, 3/15/29 | | | 300,000 | | | | 326,625 | |
3.13%, 4/15/31 | | | 578,000 | | | | 566,088 | |
3.25%, 4/22/32 | | | 420,000 | | | | 411,986 | |
5.00%, 6/15/45 | | | 810,000 | | | | 862,593 | |
5.20%, 5/15/49 | | | 668,000 | | | | 730,558 | |
Ecopetrol S.A., | | | | | | | | |
5.38%, 6/26/26 | | | 151,000 | | | | 169,452 | |
6.88%, 4/29/30 | | | 15,000 | | | | 18,188 | |
5.88%, 5/28/45 | | | 710,000 | | | | 755,518 | |
Grupo Aval Ltd., 4.38%, 2/04/30(b) | | | 200,000 | | | | 200,500 | |
Promigas S.A. ESP/Gases del Pacifico SAC, 3.75%, 10/16/29 | | | 200,000 | | | | 202,752 | |
| | | | | | | | 4,901,105 | |
| | |
Denmark – 0.2% | | | | | | | | |
Danske Bank A/S, 3.88%, 9/12/23(b) | | | 400,000 | | | | 427,587 | |
(1Y US Treasury CMT + 1.03%), 1.17%, 12/08/23(b)(j) | | | 200,000 | | | | 201,002 | |
5.38%, 1/12/24(b) | | | 600,000 | | | | 668,373 | |
5.38%, 1/12/24 | | | 200,000 | | | | 222,791 | |
1.23%, 6/22/24(b) | | | 200,000 | | | | 201,903 | |
| | | | | | | | 1,721,656 | |
|
Dominican Republic – 0.1% | |
Dominican Republic International Bond, | | | | | | | | |
4.50%, 1/30/30 | | | 412,000 | | | | 427,450 | |
4.88%, 9/23/32(b) | | | 401,500 | | | | 420,170 | |
| | | | | | | | 847,620 | |
| | |
Ecuador – 0.0%(i) | | | | | | | | |
Ecuador Government International Bond, (Step to 1.00% on 7/31/21), 0.50%, 7/31/35(g) | | | 203,000 | | | | 138,040 | |
| |
Finland – 0.0%(i) | | | | | |
Nordea Bank Abp, 1.00%, 6/09/23(b) | | | 210,000 | | | | 212,541 | |
| | |
France – 0.4% | | | | | | | | |
Altice France S.A., 8.13%, 2/01/27(b) | | | 200,000 | | | | 219,250 | |
BNP Paribas S.A., | | | | | | | | |
(3M USD LIBOR + 2.24%), 4.71%, 1/10/25(b)(j) | | | 200,000 | | | | 219,287 | |
(3M USD LIBOR + 1.11%), 2.82%, 11/19/25(b)(j) | | | 433,000 | | | | 456,239 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| |
France (Continued) | | | | | |
BNP Paribas S.A., | | | | | | | | | | | | |
(SOFR + 2.07%), 2.22%, 6/09/26(b)(j) | | | | | | $ | 600,000 | | | $ | 618,359 | |
(3M USD LIBOR + 2.57%), 5.20%,
1/10/30(b)(j) | | | | | | | 300,000 | | | | 355,745 | |
(SOFR + 1.51%), 3.05%, 1/13/31(b)(j) | | | | | | | 400,000 | | | | 414,536 | |
BPCE S.A., 2.70%, 10/01/29(b) | | | | | | | 250,000 | | | | 256,464 | |
Credit Agricole S.A., (SOFR + 1.68%), 1.91%,
6/16/26(b)(j) | | | | | | | 250,000 | | | | 254,789 | |
Danone S.A., 2.95%, 11/02/26(b) | | | | | | | 200,000 | | | | 214,951 | |
| | | | | | | | | | | | 3,009,620 | |
| | | |
Germany – 0.2% | | | | | | | | | | | | |
BMW U.S. Capital LLC, 2.55%, 4/01/31(b) | | | | | | | 222,000 | | | | 228,861 | |
Deutsche Bank A.G., | | | | | | | | | | | | |
(SOFR + 1.13%), 1.45%, 4/01/25(j) | | | | | | | 212,000 | | | | 212,798 | |
1.69%, 3/19/26 | | | | | | | 500,000 | | | | 501,901 | |
(SOFR + 3.04%), 3.55%, 9/18/31(j) | | | | | | | 197,000 | | | | 206,232 | |
Deutsche Telekom International Finance B.V., 3.60%, 1/19/27(b) | | | | | | | 150,000 | | | | 165,362 | |
| | | | | | | | | | | | 1,315,154 | |
| |
Ghana – 0.0%(i) | | | | | |
Ghana Government International Bond, 8.63%, 4/07/34(b) | | | | | | | 200,000 | | | | 206,252 | |
| |
Hungary – 0.0%(i) | | | | | |
Hungary Government International Bond, 5.38%, 3/25/24 | | | | | | | 122,000 | | | | 138,316 | |
| |
India – 0.0%(i) | | | | | |
Export-Import Bank of India, 3.38%, 8/05/26(b) | | | | | | | 200,000 | | | | 211,606 | |
| |
Indonesia – 0.4% | | | | | |
Indonesia Government International Bond, | | | | | | | | | | | | |
4.10%, 4/24/28 | | | | | | | 200,000 | | | | 223,202 | |
2.85%, 2/14/30 | | | | | | | 200,000 | | | | 205,966 | |
4.35%, 1/11/48 | | | | | | | 1,350,000 | | | | 1,487,677 | |
3.70%, 10/30/49 | | | | | | | 330,000 | | | | 335,810 | |
Indonesia Treasury Bond, | | | | | | | | | | | | |
6.50%, 2/15/31 | | | IDR | | | | 1,485,000,000 | | | | 103,047 | |
7.50%, 6/15/35 | | | IDR | | | | 1,088,000,000 | | | | 77,913 | |
See accompanying Notes to Financial Statements
95
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| |
Indonesia (Continued) | | | | | |
Pertamina Persero PT, 6.00%, 5/03/42(b) | | | | | | $ | 280,000 | | | $ | 334,581 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 5.45%, 5/21/28(b) | | | | | | | 780,000 | | | | 900,900 | |
| | | | | | | | | | | | 3,669,096 | |
| | | |
Ireland – 0.0%(i) | | | | | | | | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 4/03/26 | | | | | | | 150,000 | | | | 164,570 | |
| | | |
Israel – 0.1% | | | | | | | | | | | | |
Israel Government International Bond, | | | | | | | | | | | | |
2.75%, 7/03/30 | | | | | | | 500,000 | | | | 526,350 | |
4.50%, 4/03/20(m) | | | | | | | 220,000 | | | | 270,632 | |
Leviathan Bond Ltd., 5.75%, 6/30/23(b) | | | | | | | 35,269 | | | | 37,159 | |
| | | | | | | | | | | | 834,141 | |
| | | |
Italy – 0.1% | | | | | | | | | | | | |
Intesa Sanpaolo S.p.A., 3.13%, 7/14/22(b) | | | | | | | 840,000 | | | | 862,425 | |
| | | |
Japan – 0.4% | | | | | | | | | | | | |
Mitsubishi UFJ Financial Group, Inc., | | | | | | | | | | | | |
(1Y US Treasury CMT + 0.68%), 0.85%, 9/15/24(j) | | | | | | | 366,000 | | | | 366,994 | |
2.19%, 2/25/25 | | | | | | | 407,000 | | | | 422,700 | |
Mizuho Financial Group, Inc., (SOFR + 1.24%), 2.84%,
7/16/25(j) | | | | | | | 200,000 | | | | 212,056 | |
(1Y US Treasury CMT + 0.67%), 1.23%, 5/22/27(j) | | | | | | | 200,000 | | | | 196,398 | |
(SOFR + 1.53%), 1.98%,
9/08/31(j) | | | | | | | 200,000 | | | | 191,304 | |
Nissan Motor Co. Ltd., 4.81%, 9/17/30(b) | | | | | | | 600,000 | | | | 666,204 | |
Sumitomo Mitsui Financial Group, Inc., | | | | | | | | | | | | |
2.70%, 7/16/24 | | | | | | | 202,000 | | | | 213,233 | |
2.35%, 1/15/25 | | | | | | | 400,000 | | | | 417,651 | |
3.78%, 3/09/26 | | | | | | | 49,000 | | | | 54,284 | |
Takeda Pharmaceutical Co. Ltd., | | | | | | | | | | | | |
5.00%, 11/26/28 | | | | | | | 200,000 | | | | 237,794 | |
2.05%, 3/31/30 | | | | | | | 400,000 | | | | 387,008 | |
2.00%, 7/09/40 | | | EUR | | | | 110,000 | | | | 139,783 | |
| | | | | | | | | | | | 3,505,409 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| |
Kazakhstan – 0.1% | | | | | |
Kazakhstan Government International Bond, 4.88%, 10/14/44 | | | | | | $ | 400,000 | | | $ | 490,824 | |
KazMunayGas National Co. JSC, 6.38%, 10/24/48(b) | | | | | | | 420,000 | | | | 539,564 | |
| | | | | | | | | | | | 1,030,388 | |
| |
Kuwait – 0.2% | | | | | |
Equate Petrochemical B.V., | | | | | | | | | | | | |
4.25%, 11/03/26(b) | | | | | | | 210,000 | | | | 231,698 | |
2.63%, 4/28/28(b) | | | | | | | 450,000 | | | | 451,125 | |
Kuwait International Government Bond, 3.50%, 3/20/27(b) | | | | | | | 600,000 | | | | 664,146 | |
MEGlobal Canada ULC, | | | | | | | | | | | | |
5.00%, 5/18/25(b) | | | | | | | 200,000 | | | | 223,750 | |
| | | | | | | | | | | | 1,570,719 | |
| | | |
Luxembourg – 0.1% | | | | | | | | | | | | |
ArcelorMittal S.A., | | | | | | | | | | | | |
3.60%, 7/16/24 | | | | | | | 110,000 | | | | 117,181 | |
4.55%, 3/11/26 | | | | | | | 360,000 | | | | 399,700 | |
| | | | | | | | | | | | 516,881 | |
| | | |
Macau – 0.0%(i) | | | | | | | | | | | | |
Sands China Ltd., 5.13%, 8/08/25 | | | | | | | 300,000 | | | | 333,975 | |
| | | |
Mexico – 0.7% | | | | | | | | | | | | |
America Movil S.A.B. de C.V., 3.13%, 7/16/22 | | | | | | | 200,000 | | | | 205,930 | |
Cemex S.A.B. de C.V., 5.20%, 9/17/30(b) | | | | | | | 200,000 | | | | 217,640 | |
Comision Federal de Electricidad, | | | | | | | | | | | | |
4.75%, 2/23/27(b) | | | | | | | 200,000 | | | | 219,750 | |
3.35%, 2/09/31(b) | | | | | | | 500,000 | | | | 480,880 | |
Mexico City Airport Trust, 5.50%, 7/31/47 | | | | | | | 200,000 | | | | 203,000 | |
Mexico Government International Bond, | | | | | | | | | | | | |
2.66%, 5/24/31 | | | | | | | 1,195,000 | | | | 1,149,219 | |
4.75%, 3/08/44 | | | | | | | 1,660,000 | | | | 1,767,402 | |
4.50%, 1/31/50 | | | | | | | 420,000 | | | | 428,177 | |
Petroleos Mexicanos, | | | | | | | | | | | | |
7.19%, 9/12/24 | | | MXN | | | | 112,900 | | | | 5,265 | |
6.88%, 10/16/25 | | | | | | | 25,000 | | | | 27,293 | |
6.50%, 1/23/29 | | | | | | | 157,000 | | | | 159,787 | |
6.84%, 1/23/30 | | | | | | | 238,000 | | | | 244,545 | |
5.63%, 1/23/46 | | | | | | | 620,000 | | | | 503,031 | |
7.69%, 1/23/50 | | | | | | | 60,000 | | | | 57,750 | |
| | | | | | | | | | | | 5,669,669 | |
See accompanying Notes to Financial Statements
96
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Morocco – 0.0%(i) | | | | | |
OCP S.A., 4.50%, 10/22/25(b) | | $ | 200,000 | | | $ | 213,264 | |
| |
Netherlands – 0.5% | | | | | |
Cooperatieve Rabobank U.A., | | | | | | | | |
4.63%, 12/01/23 | | | 250,000 | | | | 274,223 | |
4.38%, 8/04/25 | | | 440,000 | | | | 490,519 | |
ING Groep N.V., | | | | | | | | |
4.10%, 10/02/23 | | | 200,000 | | | | 216,575 | |
4.63%, 1/06/26(b) | | | 400,000 | | | | 457,113 | |
NXP B.V./NXP Funding LLC/NXP USA, Inc., | | | | | | | | |
2.70%, 5/01/25(b) | | | 80,000 | | | | 84,548 | |
3.88%, 6/18/26(b) | | | 50,000 | | | | 55,323 | |
4.30%, 6/18/29(b) | | | 332,000 | | | | 376,191 | |
3.40%, 5/01/30(b) | | | 205,000 | | | | 219,223 | |
Shell International Finance B.V., | | | | | | | | |
3.50%, 11/13/23 | | | 170,000 | | | | 183,060 | |
2.88%, 5/10/26 | | | 140,000 | | | | 151,271 | |
3.88%, 11/13/28 | | | 49,000 | | | | 55,302 | |
2.38%, 11/07/29 | | | 623,000 | | | | 635,658 | |
2.75%, 4/06/30 | | | 161,000 | | | | 167,488 | |
4.38%, 5/11/45 | | | 121,000 | | | | 143,002 | |
4.00%, 5/10/46 | | | 80,000 | | | | 89,856 | |
3.25%, 4/06/50 | | | 300,000 | | | | 300,950 | |
| | | | | | | | 3,900,302 | |
| | |
Panama – 0.3% | | | | | | | | |
Banco Latinoamericano de Comercio Exterior S.A., 2.38%, 9/14/25(b) | | | 200,000 | | | | 204,880 | |
Panama Government International Bond, | | | | | | | | |
3.88%, 3/17/28 | | | 400,000 | | | | 440,000 | |
6.70%, 1/26/36 | | | 780,000 | | | | 1,045,988 | |
4.30%, 4/29/53 | | | 600,000 | | | | 643,482 | |
| | | | | | | | 2,334,350 | |
| | |
Peru – 0.4% | | | | | | | | |
Peruvian Government International Bond, | | | | | | | | |
4.13%, 8/25/27 | | | 152,000 | | | | 168,114 | |
6.55%, 3/14/37 | | | 530,000 | | | | 710,735 | |
5.63%, 11/18/50 | | | 350,000 | | | | 465,423 | |
Petroleos del Peru S.A., | | | | | | | | |
4.75%, 6/19/32(b) | | | 500,000 | | | | 508,285 | |
5.63%, 6/19/47(b) | | | 200,000 | | | | 206,000 | |
Southern Copper Corp., 5.25%, 11/08/42 | | | 700,000 | | | | 853,332 | |
| | | | | | | | 2,911,889 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Philippines – 0.1% | | | | | |
Philippine Government International Bond, | | | | | | | | |
4.20%, 1/21/24 | | $ | 400,000 | | | $ | 438,552 | |
3.00%, 2/01/28 | | | 200,000 | | | | 213,936 | |
| | | | | | | | 652,488 | |
| | |
Poland – 0.1% | | | | | | | | |
Republic of Poland Government International Bond, 4.00%, 1/22/24 | | | 790,000 | | | | 864,102 | |
| | |
Qatar – 0.2% | | | | | | | | |
Qatar Government International Bond, | | | | | | | | |
3.88%, 4/23/23(b) | | | 200,000 | | | | 213,000 | |
4.82%, 3/14/49(b) | | | 1,170,000 | | | | 1,436,362 | |
| | | | | | | | 1,649,362 | |
| |
Romania – 0.0%(i) | | | | | |
Romanian Government International Bond, 3.00%, 2/14/31(b) | | | 61,000 | | | | 62,011 | |
| | |
Russia – 0.2% | | | | | | | | |
Russian Foreign Bond - Eurobond, 5.63%, 4/04/42(b) | | | 1,000,000 | | | | 1,259,800 | |
| | |
South Africa – 0.1% | | | | | | | | |
Anglo American Capital PLC, | | | | | | | | |
4.00%, 9/11/27(b) | | | 400,000 | | | | 444,113 | |
5.63%, 4/01/30(b) | | | 200,000 | | | | 240,353 | |
Liquid Telecommunications Financing PLC, 5.50%, 9/04/26(b) | | | 200,000 | | | | 210,540 | |
Sasol Financing USA LLC, 5.50%, 3/18/31 | | | 200,000 | | | | 203,210 | |
| | | | | | | | 1,098,216 | |
| | |
Spain – 0.2% | | | | | | | | |
Banco Santander S.A., | | | | | | | | |
2.75%, 5/28/25 | | | 800,000 | | | | 843,675 | |
1.85%, 3/25/26 | | | 200,000 | | | | 201,677 | |
3.31%, 6/27/29 | | | 200,000 | | | | 213,495 | |
Telefonica Emisiones S.A., 4.10%, 3/08/27 | | | 150,000 | | | | 168,555 | |
| | | | | | | | 1,427,402 | |
| | |
Sweden – 0.0%(i) | | | | | | | | |
Swedbank AB, 1.30%, 6/02/23(b) | | | 200,000 | | | | 203,136 | |
| |
Switzerland – 0.6% | | | | | |
Credit Suisse A.G., 1.00%, 5/05/23 | | | 670,000 | | | | 676,126 | |
See accompanying Notes to Financial Statements
97
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Switzerland (Continued) | |
Credit Suisse A.G., | | | | | | | | |
3.63%, 9/09/24 | | $ | 377,000 | | | $ | 409,847 | |
2.95%, 4/09/25 | | | 250,000 | | | | 266,683 | |
Credit Suisse Group A.G., | | | | | | | | |
(SOFR + 1.56%), 2.59%, 9/11/25(b)(j) | | | 250,000 | | | | 260,072 | |
(SOFR + 3.73%), 4.19%, 4/01/31(b)(j) | | | 250,000 | | | | 276,438 | |
Credit Suisse Group Funding Guernsey Ltd., 3.80%, 9/15/22 | | | 435,000 | | | | 453,411 | |
UBS Group A.G., | | | | | | | | |
(3M USD LIBOR + 0.95%), 2.86%, 8/15/23(b)(j) | | | 400,000 | | | | 411,660 | |
(5Y USD Swap Rate + 4.34%), 7.00%, 1/31/24(b)(j)(k) | | | 400,000 | | | | 441,248 | |
4.13%, 4/15/26(b) | | | 400,000 | | | | 447,653 | |
4.25%, 3/23/28(b) | | | 970,000 | | | | 1,097,482 | |
| | | | | | | | 4,740,620 | |
| | |
Ukraine – 0.1% | | | | | | | | |
Ukraine Government International Bond, | | | | | | | | |
9.75%, 11/01/28 | | | 200,000 | | | | 232,085 | |
7.38%, 9/25/32 | | | 200,000 | | | | 202,686 | |
7.25%, 3/15/33 | | | 200,000 | | | | 200,876 | |
| | | | | | | | 635,647 | |
|
United Arab Emirates – 0.4% | |
Abu Dhabi Government International Bond, | | | | | | | | |
2.50%, 10/11/22(b) | | | 610,000 | | | | 628,422 | |
3.13%, 9/30/49(b) | | | 1,110,000 | | | | 1,079,875 | |
Abu Dhabi National Energy Co. PJSC, | | | | | | | | |
2.00%, 4/29/28(b) | | | 560,000 | | | | 558,499 | |
3.40%, 4/29/51(b) | | | 370,000 | | | | 373,393 | |
DP World PLC, 5.63%, 9/25/48(b) | | | 700,000 | | | | 848,540 | |
MDGH - GMTN B.V.,
2.88%, 11/07/29(b) | | | 200,000 | | | | 207,000 | |
| | | | | | | | 3,695,729 | |
|
United Kingdom – 1.1% | |
AstraZeneca PLC, 1.38%, 8/06/30 | | | 282,000 | | | | 259,602 | |
BAE Systems Holdings, Inc., 3.85%, 12/15/25(b) | | | 253,000 | | | | 279,102 | |
BAE Systems PLC, 3.40%, 4/15/30(b) | | | 268,000 | | | | 286,259 | |
Barclays Bank PLC, 1.70%, 5/12/22 | | | 200,000 | | | | 202,716 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
United Kingdom (Continued) | |
Barclays PLC, | | | | | | | | |
(3M USD LIBOR + 1.90%), 4.97%, 5/16/29(j) | | $ | 800,000 | | | $ | 927,232 | |
(3M USD LIBOR + 3.05%), 5.09%, 6/20/30(j) | | | 200,000 | | | | 229,743 | |
(1Y US Treasury CMT + 1.70%), 3.81%, 3/10/42(j) | | | 200,000 | | | | 200,075 | |
BAT Capital Corp., | | | | | | | | |
3.22%, 8/15/24 | | | 54,000 | | | | 57,538 | |
3.56%, 8/15/27 | | | 300,000 | | | | 319,606 | |
2.26%, 3/25/28 | | | 100,000 | | | | 98,065 | |
4.91%, 4/02/30 | | | 240,000 | | | | 270,657 | |
2.73%, 3/25/31 | | | 243,000 | | | | 232,978 | |
4.54%, 8/15/47 | | | 210,000 | | | | 206,836 | |
BAT International Finance PLC, | | | | | | | | |
3.95%, 6/15/25(b) | | | 62,000 | | | | 67,932 | |
1.67%, 3/25/26 | | | 339,000 | | | | 337,328 | |
HSBC Holdings PLC, | | | | | | | | |
(SOFR + 1.93%), 2.10%, 6/04/26(j) | | | 200,000 | | | | 204,597 | |
(3M USD LIBOR + 1.53%), 4.58%, 6/19/29(j) | | | 636,000 | | | | 722,420 | |
(3M USD LIBOR + 1.61%), 3.97%, 5/22/30(j) | | | 550,000 | | | | 602,250 | |
(5Y US Treasury CMT + 3.25%), 4.70%, 3/09/31(j)(k) | | | 200,000 | | | | 200,616 | |
Lloyds Banking Group PLC, | | | | | | | | |
(3M USD LIBOR + 0.81%), 2.91%, 11/07/23(j) | | | 270,000 | | | | 279,627 | |
3.75%, 1/11/27 | | | 200,000 | | | | 220,526 | |
4.38%, 3/22/28 | | | 549,000 | | | | 622,468 | |
Natwest Group PLC, | | | | | | | | |
(3M USD LIBOR + 1.76%), 4.27%, 3/22/25(j) | | | 400,000 | | | | 436,179 | |
(3M USD LIBOR + 1.91%), 5.08%, 1/27/30(j) | | | 200,000 | | | | 233,272 | |
RELX Capital, Inc., | | | | | | | | |
3.50%, 3/16/23 | | | 197,000 | | | | 207,213 | |
4.00%, 3/18/29 | | | 272,000 | | | | 304,052 | |
3.00%, 5/22/30 | | | 209,000 | | | | 218,574 | |
Reynolds American, Inc., 5.85%, 8/15/45 | | | 108,000 | | | | 124,485 | |
Santander UK Group Holdings PLC, | | | | | | | | |
(SOFR + 0.79%), 1.09%, 3/15/25(j) | | | 200,000 | | | | 200,462 | |
(1Y US Treasury CMT + 1.25%), 1.53%, 8/21/26(j) | | | 305,000 | | | | 304,633 | |
Vodafone Group PLC,
4.38%, 5/30/28 | | | 130,000 | | | | 149,589 | |
See accompanying Notes to Financial Statements
98
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
United Kingdom (Continued) | | | | | | | | |
Vodafone Group PLC, | | | | | | | | |
5.25%, 5/30/48 | | $ | 86,000 | | | $ | 108,631 | |
4.88%, 6/19/49 | | | 194,000 | | | | 235,412 | |
| | | | | | | | 9,350,675 | |
| | |
Uruguay – 0.1% | | | | | | | | |
Uruguay Government International Bond, | | | | | | | | |
4.38%, 10/27/27 | | | 70,000 | | | | 79,975 | |
4.38%, 1/23/31 | | | 230,000 | | | | 267,409 | |
5.10%, 6/18/50 | | | 560,000 | | | | 702,061 | |
| | | | | | | | 1,049,445 | |
| | |
Total Foreign Issuer Bonds
(Cost $79,342,942) | | | | 81,052,021 | |
| | |
| | | Par | | | Value | |
|
Mortgage-Backed Securities – 27.9% | |
|
Federal Home Loan Mortgage Corporation – 3.6% | |
Freddie Mac Strips, Series 334, Class S7, (6.10% - 1M USD LIBOR, 6.10% Cap), 5.99%, 8/15/44(d) | | | 36,843 | | | | 7,642 | |
Multiclass Certificates, Series 2020-RR07, Class BX, 2.61%, 10/27/28 | | | 4,160,000 | | | | 676,700 | |
Multifamily Structured Pass Through Certificates, | | | | | | | | |
Series K736, Class X1, 1.44%, 7/25/26(c) | | | 1,039,448 | | | | 59,899 | |
Series K095, Class XAM, 1.37%, 6/25/29(c) | | | 500,000 | | | | 46,324 | |
Series K-1517, Class X1, 1.45%, 7/25/35(c) | | | 239,863 | | | | 34,930 | |
Pool, | | | | | | | | |
#ZT1408, 2.00%, 10/01/32 | | | 3,533 | | | | 3,651 | |
#ZS8673, 3.00%, 10/01/32 | | | 40,807 | | | | 43,033 | |
#ZT1970, 3.50%, 4/01/33 | | | 63,926 | | | | 69,185 | |
#ZS9068, 3.50%, 1/01/34 | | | 78,827 | | | | 85,850 | |
#SC0063, 3.50%, 5/01/35 | | | 304,357 | | | | 331,182 | |
#ZA2471, 3.00%, 9/01/37 | | | 11,896 | | | | 12,473 | |
#ZS9316, 3.50%, 1/01/38 | | | 159,027 | | | | 173,009 | |
#SC0111, 3.00%, 6/01/38 | | | 218,589 | | | | 230,336 | |
#SD0478, 4.00%, 1/01/45 | | | 1,182,969 | | | | 1,309,663 | |
#ZM1677, 3.00%, 9/01/46 | | | 914,676 | | | | 975,835 | |
#ZS9826, 3.00%, 10/01/46 | | | 50,442 | | | | 53,601 | |
#ZS4697, 3.00%, 1/01/47 | | | 42,522 | | | | 45,181 | |
| | | | | | | | |
| | | Par | | | Value | |
|
Federal Home Loan Mortgage Corporation (Continued) | |
Pool, | | | | | | | | |
#SD0496, 3.00%, 2/01/47 | | $ | 1,150,195 | | | $ | 1,230,582 | |
#ZM2846, 3.50%, 3/01/47 | | | 996 | | | | 1,067 | |
#ZS4720, 4.50%, 5/01/47 | | | 205,542 | | | | 225,897 | |
#ZS4747, 3.50%, 12/01/47 | | | 576,417 | | | | 616,193 | |
#ZM5146, 4.00%, 12/01/47 | | | 196,653 | | | | 211,921 | |
#ZS4751, 1/01/48(f) | | | 132,877 | | | | 142,042 | |
#ZT1353, 2/01/48(f) | | | 127,906 | | | | 136,668 | |
#ZA5318, 3.50%, 3/01/48 | | | 44,569 | | | | 48,080 | |
#ZA5297, 4.00%, 3/01/48 | | | 170,827 | | | | 187,002 | |
#ZA5454, 4.00%, 6/01/48 | | | 197,233 | | | | 214,007 | |
#ZM6880, 4.50%, 6/01/48 | | | 28,057 | | | | 30,680 | |
#ZN2185, 4.50%, 12/01/48 | | | 45,907 | | | | 51,033 | |
#ZN2699, 4.50%, 1/01/49 | | | 633,149 | | | | 689,355 | |
#ZT1857, 4.50%, 3/01/49 | | | 1,405,958 | | | | 1,577,369 | |
#SD0494, 3.50%, 6/01/49 | | | 1,790,122 | | | | 1,960,731 | |
#QA0639, 4.00%, 6/01/49 | | | 362,141 | | | | 395,146 | |
#RA1103, 3.00%, 7/01/49 | | | 112,374 | | | | 118,837 | |
#RA1084, 4.50%, 7/01/49 | | | 98,922 | | | | 108,754 | |
#RA1293, 3.00%, 9/01/49 | | | 214,972 | | | | 229,254 | |
#RA1341, 3.00%, 9/01/49 | | | 39,187 | | | | 41,388 | |
#QA4470, 3.00%, 11/01/49 | | | 5,820 | | | | 6,099 | |
#RA1877, 5.00%, 11/01/49 | | | 129,476 | | | | 143,992 | |
#QA7256, 3.00%, 2/01/50 | | | 442,563 | | | | 464,312 | |
#QA7238, 3.50%, 2/01/50 | | | 67,561 | | | | 72,603 | |
#RA2141, 4.00%, 2/01/50 | | | 59,781 | | | | 64,251 | |
#RA2362, 3.50%, 3/01/50 | | | 142,347 | | | | 152,810 | |
#RA2313, 3.50%, 3/01/50 | | | 325,313 | | | | 347,759 | |
#RA2358, 4.00%, 3/01/50 | | | 55,591 | | | | 60,016 | |
#RA2353, 4.50%, 3/01/50 | | | 69,065 | | | | 75,620 | |
#SD0291, 5.00%, 3/01/50 | | | 253,750 | | | | 281,589 | |
See accompanying Notes to Financial Statements
99
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
|
Federal Home Loan Mortgage Corporation (Continued) | |
Pool, | | | | | | | | |
#QA8791, 3.50%, 4/01/50 | | $ | 77,978 | | | $ | 84,457 | |
#SD8059, 4.50%, 4/01/50 | | | 240,209 | | | | 262,056 | |
#RA2658, 3.50%, 5/01/50 | | | 76,804 | | | | 83,170 | |
#SD0520, 4.00%, 6/01/50 | | | 364,669 | | | | 399,344 | |
#RA3175, 3.00%, 7/01/50 | | | 342,724 | | | | 365,213 | |
#RA3282, 3.00%, 8/01/50 | | | 488,062 | | | | 521,869 | |
#RA3313, 3.00%, 8/01/50 | | | 125,345 | | | | 133,065 | |
#SD0500, 3.00%, 8/01/50 | | | 353,046 | | | | 377,560 | |
#SD0519, 3.00%, 8/01/50 | | | 599,299 | | | | 641,519 | |
#RA3474, 3.00%, 9/01/50 | | | 1,376,111 | | | | 1,466,514 | |
#SD0495, 3.00%, 9/01/50 | | | 2,549,654 | | | | 2,679,763 | |
#SD0450, 2.50%, 10/01/50 | | | 97,470 | | | | 101,882 | |
#RA3838, 3.00%, 10/01/50 | | | 738,638 | | | | 782,634 | |
#RA3882, 2.00%, 11/01/50 | | | 196,264 | | | | 198,815 | |
#QB5092, 2.50%, 11/01/50 | | | 96,998 | | | | 101,645 | |
#QB5093, 2.50%, 11/01/50 | | | 97,252 | | | | 101,846 | |
#RA4175, 2.50%, 12/01/50 | | | 294,640 | | | | 308,615 | |
#RA4414, 2.50%, 1/01/51 | | | 197,024 | | | | 205,526 | |
#QB9090, 2.00%, 2/01/51 | | | 99,605 | | | | 100,702 | |
#QB9087, 2.00%, 2/01/51 | | | 497,772 | | | | 504,410 | |
#RA4703, 2.00%, 2/01/51 | | | 297,959 | | | | 302,038 | |
#QB8602, 2.00%, 2/01/51 | | | 99,548 | | | | 100,885 | |
#QB8604, 2.00%, 2/01/51 | | | 99,585 | | | | 100,936 | |
#QB8934, 2.50%, 2/01/51 | | | 98,227 | | | | 102,519 | |
#SD0552, 2.00%, 3/01/51 | | | 299,404 | | | | 302,547 | |
#QB8975, 2.00%, 3/01/51 | | | 99,575 | | | | 100,814 | |
#QB9391, 2.00%, 3/01/51 | | | 1,426,129 | | | | 1,444,439 | |
| | | | | | | | |
| | | Par | | | Value | |
|
Federal Home Loan Mortgage Corporation (Continued) | |
Pool, | | | | | | | | |
#QB9482, 2.00%, 3/01/51 | | $ | 99,803 | | | $ | 100,929 | |
#QB9961, 2.00%, 3/01/51 | | | 99,778 | | | | 100,915 | |
#QC0041, 2.00%, 3/01/51 | | | 99,795 | | | | 100,921 | |
#QC0160, 2.00%, 3/01/51 | | | 99,796 | | | | 101,062 | |
#QC0161, 2.00%, 3/01/51 | | | 99,795 | | | | 101,012 | |
#QB9290, 2.00%, 3/01/51 | | | 198,995 | | | | 202,143 | |
#QC0165, 2.50%, 3/01/51 | | | 99,634 | | | | 104,014 | |
#QC0297, 2.00%, 4/01/51 | | | 99,854 | | | | 101,028 | |
#QC0337, 2.00%, 4/01/51 | | | 197,171 | | | | 199,244 | |
#SD0573, 2.00%, 4/01/51 | | | 100,000 | | | | 101,399 | |
#QC0288, 4/01/51(f) | | | 98,785 | | | | 99,823 | |
#QC1164, 2.00%, 4/01/51 | | | 100,000 | | | | 101,334 | |
#QC1352, 4/01/51(f) | | | 99,651 | | | | 100,699 | |
#RA5117, 2.00%, 5/01/51 | | | 900,000 | | | | 913,437 | |
#RA5155, 2.00%, 5/01/51 | | | 500,000 | | | | 506,497 | |
Real Estate Mortgage Investment Conduits, | | | | | | | | |
Series 2019-RR01, Class X, 1.53%, 6/25/28 | | | 2,500,000 | | | | 237,935 | |
Series 4940, Class PI, 4.00%, 7/25/49 | | | 64,967 | | | | 8,026 | |
Series 4999, Class QI, 4.00%, 5/25/50 | | | 75,550 | | | | 12,446 | |
Series 4995, Class BI, 4.50%, 6/25/50 | | | 67,543 | | | | 9,900 | |
Series 5010, Class IK, 2.50%, 9/25/50 | | | 90,335 | | | | 13,037 | |
Series 5010, Class JI, 2.50%, 9/25/50 | | | 382,729 | | | | 60,661 | |
Series 5013, Class IN, 2.50%, 9/25/50 | | | 98,331 | | | | 16,138 | |
Series 5014, Class DI, 4.00%, 9/25/50 | | | 76,096 | | | | 12,659 | |
Series 5029, Class GI, 2.00%, 10/25/50 | | | 96,334 | | | | 11,269 | |
Series 5018, Class MI, 2.00%, 10/25/50 | | | 293,967 | | | | 37,149 | |
Series 5020, Class IC, 2.00%, 10/25/50 | | | 189,567 | | | | 22,684 | |
Series 5018, Class CI, 4.50%, 10/25/50 | | | 76,505 | | | | 13,640 | |
See accompanying Notes to Financial Statements
100
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
|
Federal Home Loan Mortgage Corporation (Continued) | |
Real Estate Mortgage Investment Conduits, | | | | | | | | |
Series 5040, Class IB, 2.50%, 11/25/50 | | $ | 96,055 | | | $ | 13,299 | |
Series 5057, Class TI, 3.00%, 11/25/50 | | | 98,389 | | | | 15,613 | |
Series 5059, Class IB, 2.50%, 1/25/51 | | | 395,748 | | | | 65,458 | |
Series 5069, Class MI, 2.50%, 2/25/51 | | | 98,785 | | | | 14,376 | |
Series 5082, Class IW, 3.00%, 3/25/51 | | | 125,350 | | | | 16,422 | |
Series 5097, Class ID, 2.50%, 4/25/51 | | | 199,566 | | | | 29,194 | |
| | | | | | | | 29,462,697 | |
|
Federal Home Loan Mortgage Corporation Gold – 1.1% | |
Pool, | | | | | | | | |
#J37706, 3.00%, 10/01/32 | | | 285,645 | | | | 301,371 | |
#J37835, 3.00%, 11/01/32 | | | 387,823 | | | | 409,197 | |
#J38060, 3.00%, 12/01/32 | | | 365,354 | | | | 385,448 | |
#Q41209, 3.50%, 6/01/46 | | | 42,533 | | | | 46,181 | |
#G61677, 4.50%, 4/01/47 | | | 90,791 | | | | 100,689 | |
#G60972, 4.50%, 5/01/47 | | | 34,765 | | | | 38,757 | |
#Q48752, 3.50%, 6/01/47 | | | 41,103 | | | | 44,311 | |
#G61047, 4.50%, 7/01/47 | | | 149,366 | | | | 166,714 | |
#G61079, 4.50%, 7/01/47 | | | 42,320 | | | | 46,820 | |
#G08779, 3.50%, 9/01/47 | | | 379,166 | | | | 405,602 | |
#Q51461, 3.50%, 10/01/47 | | | 376,244 | | | | 402,488 | |
#G61374, 4.50%, 4/01/48 | | | 120,987 | | | | 133,825 | |
#V84260, 3.50%, 6/01/48 | | | 173,681 | | | | 187,214 | |
#G67713, 4.00%, 6/01/48 | | | 1,219,912 | | | | 1,340,382 | |
#Q59918, 4.50%, 7/01/48 | | | 285,560 | | | | 318,679 | |
#Q57853, 4.50%, 8/01/48 | | | 100,756 | | | | 111,382 | |
#G67715, 4.50%, 8/01/48 | | | 205,442 | | | | 229,002 | |
#G61739, 3.00%, 9/01/48 | | | 315,850 | | | | 337,153 | |
#G61886, 11/01/48(f) | | | 58,405 | | | | 64,905 | |
#G61989, 3.50%, 4/01/49 | | | 3,781,035 | | | | 4,130,552 | |
#G67721, 4.50%, 4/01/49 | | | 147,681 | | | | 163,649 | |
| | | | | | | | 9,364,321 | |
|
Federal National Mortgage Association – 7.9% | |
Alternative Credit Enhancement Securities, | | | | | | | | |
Series 2019-M6, Class A2, 3.45%, 1/01/29 | | | 110,000 | | | | 123,718 | |
Series 2019-M23, Class 3A3, 2.72%, 10/25/31 | | | 99,943 | | | | 107,402 | |
| | | | | | | | |
| | | Par | | | Value | |
|
Federal National Mortgage Association (Continued) | |
Alternative Credit Enhancement Securities, | | | | | | | | |
Series 2020-M36, Class X1,
1.56%, 9/25/34(c) | | $ | 597,505 | | | $ | 63,908 | |
Series 2013-M6, Class 1AC,
3.53%, 2/25/43(c) | | | 82,919 | | | | 91,841 | |
Interest Strip, Series 409, Class C18, 4.00%, 4/25/42 | | | 13,720 | | | | 1,878 | |
Pool, | | | | | | | | |
#AL6613, 2.50%, 6/01/28 | | | 57,850 | | | | 60,833 | |
#AS0496, 3.00%, 9/01/28 | | | 21,545 | | | | 22,837 | |
#BL2454, 3.16%, 5/01/29 | | | 58,522 | | | | 64,743 | |
#AW1281, 3.00%, 7/01/29 | | | 8,388 | | | | 8,886 | |
#AW4229, 3.00%, 7/01/29 | | | 43,228 | | | | 45,933 | |
#BL3540, 2.79%, 8/01/29 | | | 300,000 | | | | 323,697 | |
#AX6435, 3.00%, 1/01/30 | | | 29,520 | | | | 31,289 | |
#BL5850, 2.26%, 4/01/30 | | | 196,045 | | | | 205,389 | |
#890696, 3.00%, 9/01/30 | | | 130,360 | | | | 138,160 | |
#BM5304, 3.00%, 9/01/32 | | | 42,227 | | | | 44,956 | |
#BH9243, 3.00%, 1/01/33 | | | 249,917 | | | | 263,485 | |
#BM4614, 3.00%, 3/01/33 | | | 49,823 | | | | 53,050 | |
#FM1680, 2.50%, 12/01/33 | | | 163,095 | | | | 170,278 | |
#CA3022, 3.50%, 1/01/34 | | | 132,826 | | | | 146,100 | |
#BM6019, 3.50%, 5/01/34 | | | 277,521 | | | | 303,785 | |
#CA6849, 3.00%, 8/01/35 | | | 124,894 | | | | 133,032 | |
#CA6876, 3.00%, 8/01/35 | | | 134,853 | | | | 144,287 | |
#CA7253, 2.50%, 10/01/35 | | | 237,494 | | | | 252,123 | |
#CA7255, 2.50%, 10/01/35 | | | 239,779 | | | | 253,698 | |
#CA7938, 2.50%, 11/01/35 | | | 411,296 | | | | 434,033 | |
#CA8377, 1.50%, 12/01/35 | | | 97,013 | | | | 98,420 | |
#CA8387, 2.50%, 12/01/35 | | | 529,764 | | | | 560,177 | |
#CA8388, 2.50%, 12/01/35 | | | 601,720 | | | | 634,993 | |
#CA8389, 3.00%, 12/01/35 | | | 149,934 | | | | 160,459 | |
See accompanying Notes to Financial Statements
101
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
|
Federal National Mortgage Association (Continued) | |
Pool, | | | | | | | | |
#CA8391, 3.00%, 12/01/35 | | $ | 76,390 | | | $ | 81,411 | |
#MA2523, 3.00%, 2/01/36 | | | 380,615 | | | | 402,338 | |
#MA2579, 3.00%, 4/01/36 | | | 363,595 | | | | 385,228 | |
#MA2749, 2.50%, 9/01/36 | | | 171,462 | | | | 178,343 | |
#MA2832, 12/01/36(f) | | | 364,495 | | | | 385,656 | |
#890827, 3.50%, 12/01/37 | | | 837,676 | | | | 912,660 | |
#FM3123, 2.50%, 3/01/38 | | | 237,405 | | | | 246,572 | |
#FM6134, 3.00%, 3/01/40 | | | 178,716 | | | | 188,066 | |
#BM1948, 6.00%, 7/01/41 | | | 47,667 | | | | 56,738 | |
#BM4751, 3.50%, 3/01/43 | | | 115,280 | | | | 126,163 | |
#AU6873, 4.50%, 11/01/43 | | | 119,721 | | | | 135,360 | |
#AL5597, 4.50%, 6/01/44 | | | 185,832 | | | | 209,378 | |
#AS2947, 4.00%, 7/01/44 | | | 520,831 | | | | 574,641 | |
#AS3253, 4.00%, 9/01/44 | | | 72,222 | | | | 79,132 | |
#FM2256, 10/01/44(f) | | | 206,384 | | | | 230,634 | |
#AY6181, 3.50%, 4/01/45 | | | 49,423 | | | | 53,462 | |
#AS5480, 4.50%, 7/01/45 | | | 54,871 | | | | 61,338 | |
#AL9475, 4.50%, 11/01/45 | | | 74,777 | | | | 83,826 | |
#FM5434, 4.50%, 5/01/46 | | | 90,999 | | | | 101,501 | |
#AS7313, 3.50%, 6/01/46 | | | 418,619 | | | | 454,962 | |
#AS7488, 3.00%, 7/01/46 | | | 909,444 | | | | 974,476 | |
#BM1922, 4.50%, 7/01/46 | | | 156,954 | | | | 177,456 | |
#BC1509, 3.00%, 8/01/46 | | | 102,796 | | | | 109,141 | |
#AS7844, 3.00%, 9/01/46 | | | 139,595 | | | | 148,184 | |
#BC2817, 3.00%, 9/01/46 | | | 197,433 | | | | 209,275 | |
#AL9397, 3.00%, 10/01/46 | | | 151,950 | | | | 161,104 | |
#AL9546, 3.50%, 11/01/46 | | | 108,720 | | | | 117,945 | |
#BC9096, 3.50%, 12/01/46 | | | 40,787 | | | | 43,746 | |
#BM4897, 3.50%, 12/01/46 | | | 115,440 | | | | 124,973 | |
#BM4226, 3.00%, 1/01/47 | | | 805,603 | | | | 863,172 | |
| | | | | | | | |
| | | Par | | | Value | |
|
Federal National Mortgage Association (Continued) | |
Pool, | | | | | | | | |
#BM5520, 3.50%, 2/01/47 | | $ | 520,506 | | | $ | 558,738 | |
#BM4696, 3.00%, 3/01/47 | | | 952,832 | | | | 1,013,894 | |
#FM1349, 3.50%, 3/01/47 | | | 378,795 | | | | 411,321 | |
#AS9453, 4.00%, 4/01/47 | | | 623,327 | | | | 679,701 | |
#BM2000, 3.50%, 5/01/47 | | | 134,374 | | | | 143,836 | |
#FM3347, 3.50%, 5/01/47 | | | 248,132 | | | | 266,937 | |
#BE3702, 4.00%, 6/01/47 | | | 88,311 | | | | 95,549 | |
#AS9760, 4.50%, 6/01/47 | | | 441,177 | | | | 485,224 | |
#MA3058, 4.00%, 7/01/47 | | | 162,196 | | | | 175,489 | |
#MA3088, 4.00%, 8/01/47 | | | 264,721 | | | | 286,871 | |
#CA0148, 4.50%, 8/01/47 | | | 53,782 | | | | 58,791 | |
#890843, 3.00%, 9/01/47 | | | 61,260 | | | | 65,093 | |
#FM3454, 3.50%, 10/01/47 | | | 60,525 | | | | 65,635 | |
#MA3149, 4.00%, 10/01/47 | | | 97,494 | | | | 105,282 | |
#BH4095, 4.00%, 10/01/47 | | | 36,544 | | | | 39,486 | |
#BE2735, 4.50%, 10/01/47 | | | 15,019 | | | | 16,757 | |
#MA3182, 11/01/47(f) | | | 213,813 | | | | 228,642 | |
#BH5764, 4.50%, 11/01/47 | | | 52,293 | | | | 57,983 | |
#BM3208, 4.50%, 11/01/47 | | | 70,600 | | | | 77,705 | |
#CA0717, 4.50%, 11/01/47 | | | 145,174 | | | | 158,652 | |
#MA3210, 12/01/47(f) | | | 750,045 | | | | 801,859 | |
#BM2005, 4.00%, 12/01/47 | | | 31,340 | | | | 33,841 | |
#MA3238, 1/01/48(f) | | | 126,595 | | | | 135,297 | |
#FM1002, 3.50%, 1/01/48 | | | 793,869 | | | | 858,608 | |
#FM2201, 4.00%, 1/01/48 | | | 91,119 | | | | 98,250 | |
#CA1021, 4.50%, 1/01/48 | | | 118,595 | | | | 131,375 | |
#MA3276, 3.50%, 2/01/48 | | | 911,716 | | | | 971,521 | |
#BH9277, 2/01/48(f) | | | 93,964 | | | | 100,382 | |
#BM5526, 3.50%, 2/01/48 | | | 130,752 | | | | 139,596 | |
#FM1159, 4.50%, 2/01/48 | | | 83,371 | | | | 91,072 | |
See accompanying Notes to Financial Statements
102
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
|
Federal National Mortgage Association (Continued) | |
Pool, | | | | | | | | |
#BJ0648, 3/01/48(f) | | $ | 66,184 | | | $ | 70,710 | |
#BJ4916, 3.50%, 3/01/48 | | | 134,208 | | | | 143,432 | |
#BK1958, 3/01/48(f) | | | 41,865 | | | | 44,641 | |
#BM5073, 3.00%, 4/01/48 | | | 812,690 | | | | 861,036 | |
#FM3753, 3.50%, 4/01/48 | | | 142,088 | | | | 153,294 | |
#BJ0685, 4.00%, 4/01/48 | | | 72,981 | | | | 78,679 | |
#CA1565, 4.50%, 4/01/48 | | | 36,441 | | | | 39,898 | |
#MA3356, 5/01/48(f) | | | 4,512 | | | | 4,810 | |
#BJ9172, 4.50%, 5/01/48 | | | 243,332 | | | | 269,595 | |
#BM5896, 4.50%, 5/01/48 | | | 133,118 | | | | 150,550 | |
#BJ2763, 4.50%, 5/01/48 | | | 208,987 | | | | 229,555 | |
#CA1707, 4.50%, 5/01/48 | | | 118,946 | | | | 130,906 | |
#FM5380, 4.00%, 6/01/48 | | | 442,362 | | | | 476,399 | |
#BJ9257, 4.50%, 6/01/48 | | | 50,430 | | | | 56,325 | |
#CA2047, 4.50%, 7/01/48 | | | 139,008 | | | | 154,154 | |
#FM3469, 3.50%, 8/01/48 | | | 238,280 | | | | 256,935 | |
#BN0691, 4.50%, 8/01/48 | | | 54,951 | | | | 60,766 | |
#BM4351, 4.50%, 8/01/48 | | | 90,824 | | | | 101,192 | |
#CA2199, 4.50%, 8/01/48 | | | 177,821 | | | | 198,042 | |
#BK4770, 4.50%, 8/01/48 | | | 990,222 | | | | 1,081,991 | |
#MA3448, 8/01/48(f) | | | 34,169 | | | | 37,879 | |
#CA2251, 5.00%, 8/01/48 | | | 28,370 | | | | 31,421 | |
#BK4814, 4.50%, 9/01/48 | | | 34,822 | | | | 37,992 | |
#FM4946, 5.00%, 9/01/48 | | | 1,262,481 | | | | 1,427,703 | |
#BK9818, 9/01/48(f) | | | 35,050 | | | | 38,772 | |
#BM5235, 9/01/48(f) | | | 102,627 | | | | 113,822 | |
#CA2471, 4.00%, 10/01/48 | | | 1,051,426 | | | | 1,135,655 | |
#FM5828, 4.00%, 10/01/48 | | | 495,216 | | | | 533,338 | |
#BK7603, 4.50%, 10/01/48 | | | 41,124 | | | | 45,190 | |
#CA2482, 4.50%, 10/01/48 | | | 187,704 | | | | 207,015 | |
#FM6117, 3.00%, 11/01/48 | | | 93,970 | | | | 99,390 | |
#FM3141, 3.50%, 11/01/48 | | | 322,891 | | | | 345,994 | |
#FM3773, 3.50%, 11/01/48 | | | 342,481 | | | | 368,642 | |
| | | | | | | | |
| | | Par | | | Value | |
|
Federal National Mortgage Association (Continued) | |
Pool, | | | | | | | | |
#FM3278, 3.50%, 11/01/48 | | $ | 147,341 | | | $ | 157,129 | |
#FM1543, 11/01/48(f) | | | 2,910 | | | | 3,104 | |
#FM3158, 4.00%, 11/01/48 | | | 65,831 | | | | 71,931 | |
#FM5054, 4.00%, 11/01/48 | | | 74,776 | | | | 80,488 | |
#BN1628, 4.50%, 11/01/48 | | | 561,335 | | | | 612,488 | |
#BN1623, 4.50%, 11/01/48 | | | 172,141 | | | | 190,909 | |
#MA3527, 5.00%, 11/01/48 | | | 184,054 | | | | 204,060 | |
#FM5370, 3.00%, 12/01/48 | | | 80,232 | | | | 84,983 | |
#BN0302, 4.50%, 12/01/48 | | | 237,316 | | | | 262,670 | |
#BM5119, 4.50%, 12/01/48 | | | 169,679 | | | | 186,644 | |
#FM1518, 4.50%, 12/01/48 | | | 138,091 | | | | 150,096 | |
#BN0341, 5.00%, 12/01/48 | | | 177,184 | | | | 196,622 | |
#FM3215, 3.50%, 1/01/49 | | | 124,413 | | | | 133,767 | |
#BM5317, 4.50%, 1/01/49 | | | 75,608 | | | | 83,066 | |
#BN3960, 4.50%, 1/01/49 | | | 642,871 | | | | 701,260 | |
#CA2963, 4.50%, 1/01/49 | | | 456,543 | | | | 497,860 | |
#BM5862, 4.50%, 2/01/49 | | | 255,088 | | | | 283,498 | |
#CA3094, 4.50%, 2/01/49 | | | 510,601 | | | | 577,928 | |
#BM5629, 4.50%, 2/01/49 | | | 47,067 | | | | 51,958 | |
#BM5509, 5.00%, 2/01/49 | | | 98,835 | | | | 110,344 | |
#FM3664, 4.00%, 3/01/49 | | | 1,122,234 | | | | 1,201,694 | |
#FM3904, 4.00%, 3/01/49 | | | 153,339 | | | | 164,197 | |
#FM1098, 4.00%, 5/01/49 | | | 45,377 | | | | 49,368 | |
#CA3516, 4.50%, 5/01/49 | | | 468,616 | | | | 530,409 | |
#FM1637, 4.50%, 5/01/49 | | | 194,448 | | | | 214,820 | |
#BM5984, 5/01/49(f) | | | 319,111 | | | | 353,097 | |
#FM5315, 3.50%, 6/01/49 | | | 781,144 | | | | 831,716 | |
#FM1193, 3.50%, 6/01/49 | | | 52,271 | | | | 56,378 | |
See accompanying Notes to Financial Statements
103
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
|
Federal National Mortgage Association (Continued) | |
Pool, | | | | | | | | |
#BN6688, 4.00%, 6/01/49 | | $ | 279,362 | | | $ | 306,782 | |
#BO0968, 4.00%, 6/01/49 | | | 52,714 | | | | 56,678 | |
#CA3809, 3.00%, 7/01/49 | | | 118,537 | | | | 125,416 | |
#FM1263, 4.50%, 7/01/49 | | | 165,325 | | | | 181,108 | |
#FM4117, 4.50%, 7/01/49 | | | 69,874 | | | | 77,537 | |
#FM1241, 3.50%, 8/01/49 | | | 55,996 | | | | 60,300 | |
#CA4033, 4.50%, 8/01/49 | | | 101,199 | | | | 110,919 | |
#FM1468, 5.00%, 8/01/49 | | | 412,635 | | | | 455,757 | |
#BN7753, 3.00%, 9/01/49 | | | 389,048 | | | | 412,696 | |
#FM1459, 3.00%, 9/01/49 | | | 155,013 | | | | 162,339 | |
#FM3572, 4.50%, 9/01/49 | | | 521,811 | | | | 575,859 | |
#FM1539, 4.50%, 9/01/49 | | | 40,706 | | | | 44,597 | |
#FM1727, 5.00%, 9/01/49 | | | 389,371 | | | | 437,597 | |
#FM1676, 3.00%, 10/01/49 | | | 13,243 | | | | 13,860 | |
#BO2252, 3.50%, 10/01/49 | | | 74,158 | | | | 80,349 | |
#FM3083, 4.50%, 10/01/49 | | | 108,015 | | | | 117,388 | |
#FM4858, 4.50%, 10/01/49 | | | 76,939 | | | | 84,688 | |
#BO2878, 3.00%, 11/01/49 | | | 87,613 | | | | 91,914 | |
#BO7435, 3.00%, 11/01/49 | | | 1,948 | | | | 2,041 | |
#FM3002, 4.50%, 11/01/49 | | | 57,891 | | | | 63,478 | |
#BO8513, 3.00%, 12/01/49 | | | 44,220 | | | | 46,352 | |
#CA4823, 4.00%, 12/01/49 | | | 114,076 | | | | 122,535 | |
#CA4819, 4.00%, 12/01/49 | | | 142,187 | | | | 155,329 | |
#FM3155, 5.00%, 12/01/49 | | | 56,040 | | | | 61,862 | |
#BO8932, 3.00%, 1/01/50 | | | 53,496 | | | | 56,188 | |
#CA4979, 3.00%, 1/01/50 | | | 443,215 | | | | 465,649 | |
#FM2378, 4.50%, 1/01/50 | | | 97,709 | | | | 107,055 | |
#BP2319, 3.00%, 2/01/50 | | | 154,578 | | | | 163,604 | |
| | | | | | | | |
| | | Par | | | Value | |
|
Federal National Mortgage Association (Continued) | |
Pool, | | | | | | | | |
#MA3937, 3.00%, 2/01/50 | | $ | 11,840 | | | $ | 12,406 | |
#FM2333, 3.50%, 2/01/50 | | | 172,618 | | | | 184,238 | |
#FM0062, 3.50%, 2/01/50 | | | 457,884 | | | | 490,507 | |
#BO7302, 4.50%, 2/01/50 | | | 182,363 | | | | 199,062 | |
#BO7625, 3.00%, 3/01/50 | | | 140,115 | | | | 147,676 | |
#FM2745, 4.50%, 3/01/50 | | | 58,732 | | | | 64,287 | |
#CA5379, 4.50%, 3/01/50 | | | 309,693 | | | | 344,817 | |
#FM5475, 4.50%, 3/01/50 | | | 317,667 | | | | 350,770 | |
#FM3957, 5.00%, 3/01/50 | | | 140,744 | | | | 155,856 | |
#CA5522, 4.00%, 4/01/50 | | | 500,828 | | | | 545,628 | |
#FM3948, 4.00%, 4/01/50 | | | 515,557 | | | | 560,228 | |
#BP2389, 4.50%, 4/01/50 | | | 88,323 | | | | 96,475 | |
#MA4031, 4.50%, 5/01/50 | | | 457,836 | | | | 500,242 | |
#CA6000, 3.00%, 6/01/50 | | | 173,975 | | | | 185,261 | |
#CA6053, 3.00%, 6/01/50 | | | 250,116 | | | | 266,342 | |
#BP9421, 3.00%, 7/01/50 | | | 93,759 | | | | 99,928 | |
#MA4079, 3.00%, 7/01/50 | | | 3,600,648 | | | | 3,773,365 | |
#FM3978, 4.00%, 7/01/50 | | | 69,570 | | | | 75,735 | |
#BQ0254, 2.00%, 8/01/50 | | | 94,646 | | | | 95,879 | |
#BP7009, 3.00%, 8/01/50 | | | 81,023 | | | | 85,602 | |
#MA4097, 3.00%, 8/01/50 | | | 1,239,292 | | | | 1,298,484 | |
#BQ1402, 3.00%, 8/01/50 | | | 82,683 | | | | 88,123 | |
#BP8713, 3.00%, 8/01/50 | | | 95,776 | | | | 101,548 | |
#FM5289, 3.00%, 8/01/50 | | | 1,118,736 | | | | 1,173,952 | |
#FM5292, 3.00%, 8/01/50 | | | 288,116 | | | | 307,418 | |
#FM4281, 3.50%, 8/01/50 | | | 998,080 | | | | 1,077,059 | |
#FM4532, 3.00%, 9/01/50 | | | 249,654 | | | | 263,705 | |
#FM4737, 3.50%, 9/01/50 | | | 81,395 | | | | 86,726 | |
#CA7070, 4.00%, 9/01/50 | | | 70,094 | | | | 77,544 | |
See accompanying Notes to Financial Statements
104
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
|
Federal National Mortgage Association (Continued) | |
Pool, | | | | | | | | |
#CA7073, 4.00%, 9/01/50 | | $ | 32,254 | | | $ | 35,221 | |
#FM4577, 2.50%, 10/01/50 | | | 95,950 | | | | 100,454 | |
#BQ1150, 2.50%, 10/01/50 | | | 192,674 | | | | 200,955 | |
#FM4578, 2.50%, 10/01/50 | | | 95,346 | | | | 99,568 | |
#BQ5876, 2.50%, 11/01/50 | | | 97,299 | | | | 102,076 | |
#BQ5881, 2.50%, 11/01/50 | | | 97,417 | | | | 101,285 | |
#BQ5882, 2.50%, 11/01/50 | | | 195,161 | | | | 203,076 | |
#FM4925, 3.00%, 11/01/50 | | | 91,467 | | | | 97,401 | |
#BQ6341, 3.00%, 11/01/50 | | | 94,443 | | | | 99,978 | |
#BQ9224, 2.00%, 1/01/51 | | | 99,367 | | | | 100,631 | |
#BQ9226, 2.00%, 1/01/51 | | | 97,764 | | | | 98,922 | |
#FM5642, 2.00%, 1/01/51 | | | 99,354 | | | | 100,599 | |
#CA8460, 2.50%, 1/01/51 | | | 493,656 | | | | 513,104 | |
#FM5423, 2.50%, 1/01/51 | | | 195,245 | | | | 204,505 | |
#FM5648, 2.50%, 1/01/51 | | | 98,650 | | | | 102,956 | |
#BR0757, 2.50%, 1/01/51 | | | 98,535 | | | | 102,404 | |
#FM5653, 2.50%, 1/01/51 | | | 99,006 | | | | 102,943 | |
#FM5944, 2.50%, 1/01/51 | | | 199,261 | | | | 207,554 | |
#BR2644, 2.00%, 2/01/51 | | | 99,296 | | | | 100,417 | |
#BR2664, 2.00%, 2/01/51 | | | 198,863 | | | | 201,279 | |
#BR3750, 2.00%, 2/01/51 | | | 298,633 | | | | 301,773 | |
#BR4035, 2.00%, 2/01/51 | | | 99,613 | | | | 100,730 | |
#BR4056, 2.00%, 2/01/51 | | | 99,236 | | | | 100,470 | |
#FM5940, 2.00%, 2/01/51 | | | 298,812 | | | | 302,371 | |
#BR2641, 2.00%, 2/01/51 | | | 99,513 | | | | 100,668 | |
#BR2643, 2.00%, 2/01/51 | | | 99,516 | | | | 100,650 | |
#BR3256, 2.00%, 2/01/51 | | | 99,541 | | | | 100,928 | |
#BR3257, 2.00%, 2/01/51 | | | 99,488 | | | | 100,824 | |
#CA9121, 2.50%, 2/01/51 | | | 198,829 | | | | 207,842 | |
#FM5931, 2.50%, 2/01/51 | | | 197,537 | | | | 206,492 | |
#FM5713, 2.50%, 2/01/51 | | | 96,163 | | | | 99,940 | |
#FM5904, 2.50%, 2/01/51 | | | 98,788 | | | | 102,934 | |
| | | | | | | | |
| | | Par | | | Value | |
|
Federal National Mortgage Association (Continued) | |
Pool, | | | | | | | | |
#BR3286, 2.00%, 3/01/51 | | $ | 99,520 | | | $ | 100,847 | |
#BR3290, 2.00%, 3/01/51 | | | 198,943 | | | | 201,035 | |
#BR4722, 2.00%, 3/01/51 | | | 99,486 | | | | 100,669 | |
#BR4753, 2.00%, 3/01/51 | | | 99,745 | | | | 101,076 | |
#BR4756, 2.00%, 3/01/51 | | | 99,767 | | | | 100,893 | |
#BR5458, 2.00%, 3/01/51 | | | 99,800 | | | | 100,899 | |
#BR5587, 2.00%, 3/01/51 | | | 99,708 | | | | 101,004 | |
#BR5577, 2.00%, 3/01/51 | | | 99,754 | | | | 100,994 | |
#BR5649, 2.00%, 3/01/51 | | | 99,804 | | | | 100,941 | |
#BR5633, 2.00%, 3/01/51 | | | 99,772 | | | | 100,909 | |
#BR5634, 2.00%, 3/01/51 | | | 99,792 | | | | 101,017 | |
#BR6462, 2.00%, 3/01/51 | | | 99,797 | | | | 100,847 | |
#FM6400, 2.00%, 3/01/51 | | | 199,613 | | | | 202,232 | |
#FM6448, 2.00%, 3/01/51 | | | 299,307 | | | | 302,983 | |
#BQ9453, 2.00%, 3/01/51 | | | 99,537 | | | | 101,112 | |
#BR4080, 2.00%, 3/01/51 | | | 99,571 | | | | 100,650 | |
#BR5589, 2.00%, 3/01/51 | | | 99,769 | | | | 100,819 | |
#FM6184, 2.00%, 3/01/51 | | | 497,259 | | | | 504,105 | |
#FM6188, 2.50%, 3/01/51 | | | 99,583 | | | | 103,879 | |
#FM6460, 2.50%, 3/01/51 | | | 99,779 | | | | 104,057 | |
#BR7745, 2.00%, 4/01/51 | | | 100,000 | | | | 101,334 | |
#FM6555, 2.00%, 4/01/51 | | | 298,969 | | | | 302,139 | |
#BR8518, 2.00%, 4/01/51 | | | 100,000 | | | | 101,334 | |
#BR8580, 4/01/51(f) | | | 99,739 | | | | 100,787 | |
#BR8656, 2.00%, 4/01/51 | | | 199,689 | | | | 201,789 | |
#BR6496, 2.50%, 4/01/51 | | | 99,772 | | | | 104,158 | |
#BR7222, 2.50%, 4/01/51 | | | 99,851 | | | | 104,129 | |
#FM6780, 4/01/51(f) | | | 199,549 | | | | 207,908 | |
#BF0301, 4.50%, 8/01/58 | | | 645,383 | | | | 731,161 | |
#BF0338, 4.50%, 1/01/59 | | | 443,740 | | | | 502,718 | |
Real Estate Mortgage Investment Conduits, | | | | | | | | |
Series 2013-54, Class BS, (6.15% - 1M USD LIBOR, 6.15% Cap), 6.04%, 6/25/43(d) | | | 33,325 | | | | 7,104 | |
Series 2020-32, Class PI, 4.00%, 5/25/50 | | | 166,138 | | | | 25,511 | |
Series 2020-47, Class GZ, 2.00%, 7/25/50 | | | 101,679 | | | | 89,678 | |
Series 2020-56, Class DI, 2.50%, 8/25/50 | | | 188,311 | | | | 30,423 | |
Series 2020-73, Class AI, 2.00%, 10/25/50 | | | 94,058 | | | | 11,432 | |
Series 2020-74, Class EI, 2.50%, 10/25/50 | | | 94,839 | | | | 15,247 | |
See accompanying Notes to Financial Statements
105
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
|
Federal National Mortgage Association (Continued) | |
Real Estate Mortgage Investment Conduits, | | | | | | | | |
Series 2020-89, Class DI, 2.50%, 12/25/50 | | $ | 287,792 | | | $ | 41,032 | |
Series 2020-97, Class AI, 2.00%, 1/25/51 | | | 495,585 | | | | 64,635 | |
Series 2020-96, Class IB, 3.00%, 1/25/51 | | | 97,192 | | | | 13,369 | |
Series 2021-3, Class QI, 2.50%, 2/25/51 | | | 892,595 | | | | 132,284 | |
Series 2021-3, Class IB, 2.50%, 2/25/51 | | | 297,330 | | | | 51,739 | |
Series 2021-1, Class IG, 2.50%, 2/25/51 | | | 197,363 | | | | 31,437 | |
Series 2021-3, Class JI, 2.50%, 2/25/51 | | | 183,088 | | | | 21,631 | |
| | | | | | | 66,075,502 | |
| |
Government National Mortgage Association – 4.3% | |
Pool TBA, | | | | | | | | |
5/01/51(f) | | | 22,316,600 | | | | 23,268,691 | |
6/01/51(f) | | | 8,701,000 | | | | 9,115,121 | |
Series 2013-107, Class AD, 2.75%, 11/16/47(c) | | | 127,973 | | | | 134,041 | |
Series 2014-17, Class AM, 3.01%, 6/16/48(c) | | | 22,839 | | | | 24,316 | |
Series 2014-H20, Class FA, (1M USD LIBOR + 0.43%, 0.43% Floor), 0.54%, 10/20/64(d) | | | 240,598 | | | | 241,444 | |
Series 2019-123, Class A, 3.00%, 10/20/49 | | | 24,947 | | | | 25,657 | |
Series 2020-123, Class IL, 2.50%, 8/20/50 | | | 98,492 | | | | 14,187 | |
Series 2020-123, Class NI, 2.50%, 8/20/50 | | | 195,701 | | | | 28,288 | |
Series 2020-127, Class IN, 2.50%, 8/20/50 | | | 98,047 | | | | 14,435 | |
Series 2020-129, Class IE, 2.50%, 9/20/50 | | | 97,677 | | | | 13,888 | |
Series 2020-144, Class IO, 2.50%, 9/20/50 | | | 194,861 | | | | 25,305 | |
Series 2020-146, Class DI, 2.50%, 10/20/50 | | | 97,514 | | | | 11,577 | |
Series 2020-151, Class MI, 2.50%, 10/20/50 | | | 587,027 | | | | 73,682 | |
Series 2020-160, Class IH, 2.50%, 10/20/50 | | | 98,545 | | | | 14,431 | |
Series 2020-160, Class VI, 2.50%, 10/20/50 | | | 97,773 | | | | 14,114 | |
Series 2020-160, Class YI, 2.50%, 10/20/50 | | | 295,785 | | | | 42,121 | |
Series 2020-181, Class WI, 2.00%, 12/20/50 | | | 492,323 | | | | 56,942 | |
Series 2020-185, Class MI, 2.50%, 12/20/50 | | | 98,941 | | | | 13,540 | |
| | | | | | | | |
| | | Par | | | Value | |
|
Government National Mortgage Association (Continued) | |
Series 2020-190, Class IO, 1.06%, 11/16/62(c) | | $ | 3,600,494 | | | $ | 337,899 | |
Series 2020-47, Class MI, 3.50%, 4/20/50 | | | 374,431 | | | | 58,486 | |
Series 2020-47, Class NI, 3.50%, 4/20/50 | | | 93,491 | | | | 14,228 | |
Series 2020-H04, Class FP, (1M USD LIBOR + 0.50%, 0.50% Floor), 0.61%, 6/20/69(d) | | | 263,963 | | | | 265,961 | |
Series 2020-H09, Class FL, (1M USD LIBOR + 1.15%, 1.15% Floor), 1.27%, 5/20/70(d) | | | 194,997 | | | | 204,976 | |
Series 2020-H13, Class FA, (1M USD LIBOR + 0.45%, 0.45% Floor, 7.50% Cap), 0.57%, 7/20/70(d) | | | 971,214 | | | | 981,208 | |
Series 2020-H13, Class FM, (1M USD LIBOR + 0.40%, 0.40% Floor, 11.00% Cap), 0.52%, 8/20/70(d) | | | 267,565 | | | | 268,422 | |
Series 2021-15, Class GI, 3.50%, 1/20/51 | | | 99,148 | | | | 15,227 | |
Series 2021-29, Class TI, 2.50%, 2/20/51 | | | 498,045 | | | | 98,641 | |
Series 2021-5, Class IO, 1.10%, 1/16/61(c) | | | 3,703,003 | | | | 353,485 | |
| | | | | | | 35,730,313 | |
| |
Government National Mortgage Association I – 0.1% | |
Pool, | | | | | | | | |
#AB2892, 3.00%, 9/15/42 | | | 157,848 | | | | 167,038 | |
#AB9108, 3.00%, 10/15/42 | | | 111,583 | | | | 118,086 | |
#784571, 3.50%, 6/15/48 | | | 105,747 | | | | 114,195 | |
#BS8439, 3.50%, 5/15/50 | | | 95,343 | | | | 102,359 | |
| | | | | | | 501,678 | |
| |
Government National Mortgage Association II – 2.5% | |
Pool, | | | | | | | | |
#MA2677, 3.00%, 3/20/45 | | | 64,872 | | | | 69,145 | |
#MA2678, 3.50%, 3/20/45 | | | 18,862 | | | | 20,285 | |
#MA2754, 3.50%, 4/20/45 | | | 13,121 | | | | 14,130 | |
#MA3173, 3.50%, 10/20/45 | | | 13,696 | | | | 14,721 | |
#MA3310, 3.50%, 12/20/45 | | | 68,883 | | | | 74,045 | |
#MA3376, 3.50%, 1/20/46 | | | 13,914 | | | | 14,955 | |
See accompanying Notes to Financial Statements
106
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
|
Government National Mortgage Association II (Continued) | |
Pool, | | | | | | | | |
#MA3663, 3.50%, 5/20/46 | | $ | 545,239 | | | $ | 587,560 | |
#MA3736, 3.50%, 6/20/46 | | | 711,416 | | | | 763,516 | |
#MA3873, 3.00%, 8/20/46 | | | 165,813 | | | | 175,607 | |
#MA3937, 3.50%, 9/20/46 | | | 65,417 | | | | 70,318 | |
#MA4068, 3.00%, 11/20/46 | | | 35,756 | | | | 37,897 | |
#MA4261, 3.00%, 2/20/47 | | | 38,499 | | | | 40,743 | |
#MA4322, 4.00%, 3/20/47 | | | 235,064 | | | | 254,805 | |
#MA4384, 4.50%, 4/20/47 | | | 259,441 | | | | 285,181 | |
#MA4451, 3.50%, 5/20/47 | | | 707,362 | | | | 757,254 | |
#MA4452, 4.00%, 5/20/47 | | | 54,236 | | | | 58,501 | |
#MA4511, 4.00%, 6/20/47 | | | 360,479 | | | | 390,431 | |
#784577, 4.00%, 7/20/47 | | | 827,547 | | | | 896,481 | |
#MA4837, 3.50%, 11/20/47 | | | 449,985 | | | | 482,337 | |
#MA4838, 4.00%, 11/20/47 | | | 263,111 | | | | 284,353 | |
#MA4899, 3.00%, 12/20/47 | | | 84,316 | | | | 89,155 | |
#MA4900, 3.50%, 12/20/47 | | | 95,236 | | | | 101,734 | |
#MA4901, 4.00%, 12/20/47 | | | 114,471 | | | | 123,616 | |
#MA5019, 3.50%, 2/20/48 | | | 227,291 | | | | 243,981 | |
#MA5020, 4.00%, 2/20/48 | | | 63,297 | | | | 67,915 | |
#MA5078, 4.00%, 3/20/48 | | | 323,053 | | | | 348,266 | |
#784674, 3.50%, 4/20/48 | | | 130,350 | | | | 140,936 | |
#MA5137, 4.00%, 4/20/48 | | | 53,913 | | | | 57,712 | |
#MA5138, 4.50%, 4/20/48 | | | 76,146 | | | | 82,897 | |
#MA5193, 4.50%, 5/20/48 | | | 225,712 | | | | 244,235 | |
#MA5265, 4.50%, 6/20/48 | | | 140,320 | | | | 153,019 | |
#MA5331, 4.50%, 7/20/48 | | | 75,539 | | | | 82,549 | |
#MA5399, 4.50%, 8/20/48 | | | 502,256 | | | | 548,478 | |
#784985, 3.50%, 9/20/48 | | | 378,729 | | | | 404,583 | |
| | | | | | | | |
| | | Par | | | Value | |
|
Government National Mortgage Association II (Continued) | |
Pool, | | | | | | | | |
#MA5467, 4.50%, 9/20/48 | | $ | 181,006 | | | $ | 196,517 | |
#MA5529, 4.50%, 10/20/48 | | | 160,174 | | | | 173,317 | |
#MA5530, 5.00%, 10/20/48 | | | 225,157 | | | | 247,037 | |
#MA5596, 4.50%, 11/20/48 | | | 638,023 | | | | 692,228 | |
#MA5652, 4.50%, 12/20/48 | | | 45,586 | | | | 49,425 | |
#MA5711, 4.50%, 1/20/49 | | | 447,350 | | | | 485,175 | |
#MA5712, 5.00%, 1/20/49 | | | 344,212 | | | | 377,197 | |
#MA5762, 3.50%, 2/20/49 | | | 95,290 | | | | 101,620 | |
#MA5817, 4.00%, 3/20/49 | | | 422,571 | | | | 453,255 | |
#MA5818, 4.50%, 3/20/49 | | | 81,427 | | | | 88,108 | |
#MA5877, 4.50%, 4/20/49 | | | 62,829 | | | | 68,165 | |
#BM7486, 3.50%, 7/20/49 | | | 340,269 | | | | 361,826 | |
#784825, 3.50%, 10/20/49 | | | 65,052 | | | | 67,927 | |
#BM9743, 4.00%, 11/20/49 | | | 329,992 | | | | 360,749 | |
#MA6338, 3.00%, 12/20/49 | | | 426,436 | | | | 446,352 | |
#784905, 3.00%, 1/20/50 | | | 86,712 | | | | 90,837 | |
#BM7534, 3.50%, 2/20/50 | | | 75,519 | | | | 80,569 | |
#BS1742, 4.00%, 2/20/50 | | | 83,845 | | | | 91,862 | |
#MA6477, 4.50%, 2/20/50 | | | 102,530 | | | | 111,168 | |
#BT0812, 3.00%, 3/20/50 | | | 279,053 | | | | 292,417 | |
#MA6544, 4.50%, 3/20/50 | | | 56,359 | | | | 61,007 | |
#BS8420, 4.00%, 4/20/50 | | | 177,519 | | | | 194,386 | |
#MA6656, 3.00%, 5/20/50 | | | 210,375 | | | | 220,235 | |
#MA6658, 4.00%, 5/20/50 | | | 18,623 | | | | 19,876 | |
#MA6659, 4.50%, 5/20/50 | | | 480,674 | | | | 520,028 | |
#MA6710, 3.00%, 6/20/50 | | | 329,000 | | | | 344,445 | |
#MA6767, 3.50%, 7/20/50 | | | 494,182 | | | | 524,317 | |
#MA6820, 3.00%, 8/20/50 | | | 2,835,677 | | | | 2,968,852 | |
#MA6823, 4.50%, 8/20/50 | | | 22,105 | | | | 23,891 | |
See accompanying Notes to Financial Statements
107
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
|
Government National Mortgage Association II (Continued) | |
Pool, | | | | | | | | |
#MA6866, 3.00%, 9/20/50 | | $ | 567,555 | | | $ | 595,109 | |
#MA6932, 3.00%, 10/20/50 | | | 381,502 | | | | 400,028 | |
#MA6933, 3.50%, 10/20/50 | | | 187,224 | | | | 198,626 | |
#MA6997, 11/20/50(f) | | | 189,174 | | | | 200,691 | |
#785218, 2.00%, 12/20/50 | | | 197,453 | | | | 201,602 | |
#785219, 2.00%, 12/20/50 | | | 197,620 | | | | 201,832 | |
#785220, 2.00%, 12/20/50 | | | 98,950 | | | | 101,179 | |
#785221, 2.00%, 12/20/50 | | | 195,697 | | | | 199,868 | |
#BS8546, 2.50%, 12/20/50 | | | 98,958 | | | | 104,358 | |
#BT1888, 2.50%, 12/20/50 | | | 98,483 | | | | 102,473 | |
#MA7053, 3.00%, 12/20/50 | | | 672,933 | | | | 710,831 | |
#785359, 2.00%, 3/20/51 | | | 199,420 | | | | 203,670 | |
#785360, 2.00%, 3/20/51 | | | 99,802 | | | | 101,929 | |
| | | | | | | 21,016,325 | |
| |
Uniform Mortgage-Backed Securities – 8.4% | |
Pool TBA, | | | | | | | | |
5/01/36(f) | | | 10,915,600 | | | | 11,228,652 | |
6/01/36(f) | | | 400,000 | | | | 412,641 | |
5/01/51(f) | | | 16,793,000 | | | | 17,478,169 | |
6/01/51(f) | | | 37,092,710 | | | | 38,453,911 | |
7/01/51(f) | | | 2,100,000 | | | | 2,196,200 | |
| | | | | | | 69,769,573 | |
| | |
Total Mortgage-Backed Securities
(Cost $229,583,575) | | | | 231,920,409 | |
| |
Municipal Bonds – 0.3% | | | | | |
| | |
California – 0.1% | | | | | | | | |
Bay Area Toll Authority Toll Bridge Subordinate Revenue Bonds, Series S1, Build America Bonds, 7.04%, 4/01/50 | | | 150,000 | | | | 254,393 | |
California State Taxable GO Unlimited Refunding Bonds, 4.60%, 4/01/38 | | | 215,000 | | | | 249,076 | |
California State Various Purpose Taxable GO Unlimited Bonds, Build America Bonds, | | | | | | | | |
7.50%, 4/01/34 | | | 65,000 | | | | 101,222 | |
7.55%, 4/01/39 | | | 20,000 | | | | 32,904 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
California (Continued) | | | | | | | | |
| | |
Los Angeles Community College District GO Unlimited Bonds, Build America Bonds, 6.60%, 8/01/42 | | $ | 45,000 | | | $ | 71,693 | |
Los Angeles Unified School District GO Unlimited Bonds, Series RY, Build America Bonds, 6.76%, 7/01/34 | | | 215,000 | | | | 306,388 | |
University of California Taxable General Revenue Bonds, Series AD, 4.86%, 5/15/12(n) | | | 25,000 | | | | 33,465 | |
| | | | | | | 1,049,141 | |
| | | |
Georgia – 0.0%(i) | | | | | | | | |
Municipal Electric Authority of Georgia Taxable Revenue Bonds, Build America Bonds, 6.64%, 4/01/57 | | | 40,000 | | | | 58,133 | |
| | | |
Illinois – 0.1% | | | | | | | | |
Illinois State Taxable GO Unlimited Pension Bonds, 5.10%, 6/01/33 | | | 380,000 | | | | 433,450 | |
| | | |
New Jersey – 0.0%(i) | | | | | | | | |
New Jersey State Turnpike Authority Taxable Revenue Bonds, Build America Bonds, 7.41%, 1/01/40 | | | 66,000 | | | | 105,691 | |
| | | |
New York – 0.1% | | | | | | | | |
Metropolitan Transportation Authority Revenue Bonds, Build America Bonds, 5.87%, 11/15/39 | | | 45,000 | | | | 56,905 | |
New York City Municipal Water Finance Authority Water & Sewer System Second General Resolution Taxable Revenue Bonds, 5.88%, 6/15/44 | | | 30,000 | | | | 45,323 | |
New York City Municipal Water Finance Authority Water & Sewer System Taxable Revenue Bonds, Build America Bonds, 6.01%, 6/15/42 | | | 25,000 | | | | 37,788 | |
New York State Dormitory Authority Personal Income TRB, Build America Bonds, 5.39%, 3/15/40 | | | 30,000 | | | | 40,195 | |
See accompanying Notes to Financial Statements
108
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
New York (Continued) | | | | | | | | |
Port Authority of New York & New Jersey Consolidated 164th Taxable Revenue Bonds, 5.65%, 11/01/40 | | $ | 35,000 | | | $ | 48,146 | |
Port Authority of New York & New Jersey Consolidated 168th Revenue Bonds, 4.93%, 10/01/51 | | | 55,000 | | | | 73,848 | |
Port Authority of New York & New Jersey Consolidated Taxable Revenue Bonds, Series 181, 4.96%, 8/01/46 | | | 60,000 | | | | 79,182 | |
| | | | | | | 381,387 | |
| | | |
Ohio – 0.0%(i) | | | | | | | | |
American Municipal Power-Ohio, Inc., Taxable Revenue Bonds, Series B, Combined Hydroelectric Projects, 8.08%, 2/15/50 | | | 75,000 | | | | 134,804 | |
| | | |
Texas – 0.0%(i) | | | | | | | | |
San Antonio Electric & Gas Junior Lien Revenue Bonds, Build America Bonds, 5.81%, 2/01/41 | | | 75,000 | | | | 106,936 | |
Texas State Taxable GO Unlimited Bonds, Build America Bonds, 5.52%, 4/01/39 | | | 115,000 | | | | 163,311 | |
| | | | | | | 270,247 | |
| | | |
Washington – 0.0%(i) | | | | | | | | |
Seattle Municipal Light & Power Improvement Revenue Bonds, 5.00%, 4/01/44 | | | 275,000 | | | | 348,519 | |
| | | |
Total Municipal Bonds
(Cost $2,624,980) | | | | | | | 2,781,372 | |
| | |
| | | Par | | | Value | |
| | |
Term Loans – 0.0%(d)(i) | | | | | | | | |
| | |
Distribution/Wholesale – 0.0%(i) | | | | | | | | |
KAR Auction Services, Inc., Tranche B-6 Term Loan, (ICE LIBOR USD 1M + 2.25%), 2.38%, 9/19/26(b) | | | 14,602 | | | | 14,383 | |
| | | |
Total Term Loans
(Cost $14,573) | | | | | | | 14,383 | |
| | | | | | | | |
| | | Par | | | Value | |
|
U.S. Government Obligations – 15.4% | |
| | |
U.S. Treasury Bonds – 4.8% | | | | | | | | |
4.25%, 5/15/39 | | $ | 51,000 | | | $ | 68,011 | |
4.50%, 8/15/39 | | | 51,000 | | | | 70,145 | |
4.38%, 11/15/39 | | | 51,000 | | | | 69,211 | |
4.63%, 2/15/40 | | | 370,000 | | | | 518,361 | |
1.13%, 5/15/40(o) | | | 821,000 | | | | 686,722 | |
3.88%, 8/15/40 | | | 370,000 | | | | 474,872 | |
1.13%, 8/15/40 | | | 821,000 | | | | 684,252 | |
4.25%, 11/15/40 | | | 370,000 | | | | 497,809 | |
1.38%, 11/15/40(o) | | | 1,121,000 | | | | 976,671 | |
1.88%, 2/15/41 | | | 1,230,000 | | | | 1,170,037 | |
3.13%, 2/15/43 | | | 198,000 | | | | 229,811 | |
2.88%, 5/15/43 | | | 198,000 | | | | 220,956 | |
3.63%, 8/15/43 | | | 198,000 | | | | 247,879 | |
3.75%, 11/15/43 | | | 198,000 | | | | 252,481 | |
2.50%, 2/15/45(o) | | | 2,875,000 | | | | 3,000,669 | |
2.88%, 11/15/46(o) | | | 193,000 | | | | 215,398 | |
2.75%, 11/15/47(o) | | | 2,875,000 | | | | 3,142,847 | |
3.00%, 2/15/48(o) | | | 3,068,000 | | | | 3,513,699 | |
2.25%, 8/15/49(o) | | | 1,070,000 | | | | 1,060,387 | |
2.38%, 11/15/49 | | | 477,000 | | | | 485,851 | |
2.00%, 2/15/50 | | | 5,591,000 | | | | 5,243,310 | |
1.25%, 5/15/50(o) | | | 9,410,000 | | | | 7,301,204 | |
1.38%, 8/15/50 | | | 7,010,000 | | | | 5,620,048 | |
1.63%, 11/15/50(o) | | | 2,620,000 | | | | 2,241,328 | |
1.88%, 2/15/51(o) | | | 2,170,000 | | | | 1,974,022 | |
| | | | | | | 39,965,981 | |
| |
U.S. Treasury Inflation-Indexed Bonds – 0.5% | |
0.75%, 2/15/45 | | | 380,000 | | | | 499,950 | |
3.38%, 4/15/32 | | | 470,000 | | | | 1,026,030 | |
2.13%, 2/15/40 | | | 610,000 | | | | 1,079,746 | |
2.13%, 2/15/41 | | | 220,000 | | | | 387,352 | |
1.38%, 2/15/44 | | | 870,000 | | | | 1,302,280 | |
| | | | | | | 4,295,358 | |
| | | |
U.S. Treasury Notes – 10.1% | | | | | | | | |
1.75%, 7/15/22 | | | 4,711,000 | | | | 4,805,220 | |
1.50%, 9/15/22 | | | 75,000 | | | | 76,430 | |
1.38%, 10/15/22 | | | 84,000 | | | | 85,536 | |
2.13%, 12/31/22(o) | | | 392,000 | | | | 404,954 | |
0.50%, 3/15/23 | | | 4,711,000 | | | | 4,741,548 | |
0.25%, 4/15/23 | | | 4,711,000 | | | | 4,719,097 | |
2.75%, 5/31/23 | | | 392,000 | | | | 412,856 | |
0.25%, 11/15/23 | | | 30,000 | | | | 30,002 | |
2.13%, 7/31/24(o) | | | 392,000 | | | | 413,866 | |
1.75%, 7/31/24 | | | 662,000 | | | | 690,937 | |
1.50%, 9/30/24 | | | 384,000 | | | | 397,710 | |
1.50%, 10/31/24 | | | 5,809,000 | | | | 6,016,173 | |
2.25%, 11/15/24 | | | 1,540,000 | | | | 1,635,709 | |
1.75%, 12/31/24(o) | | | 6,696,000 | | | | 6,997,058 | |
See accompanying Notes to Financial Statements
109
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
|
U.S. Treasury Notes (Continued) | |
2.00%, 2/15/25 | | $ | 487,000 | | | $ | 513,709 | |
0.50%, 3/31/25 | | | 1,540,000 | | | | 1,535,248 | |
0.38%, 4/30/25 | | | 7,349,000 | | | | 7,282,974 | |
2.13%, 5/15/25 | | | 420,000 | | | | 445,446 | |
0.25%, 5/31/25 | | | 11,430,000 | | | | 11,256,764 | |
0.25%, 10/31/25 | | | 80,000 | | | | 78,291 | |
0.38%, 1/31/26 | | | 270,000 | | | | 264,653 | |
0.75%, 4/30/26 | | | 4,000,000 | | | | 3,981,250 | |
1.50%, 8/15/26 | | | 558,000 | | | | 574,457 | |
1.63%, 11/30/26 | | | 1,555,000 | | | | 1,608,271 | |
0.63%, 3/31/27 | | | 621,000 | | | | 604,844 | |
0.50%, 4/30/27 | | | 621,000 | | | | 599,216 | |
2.38%, 5/15/27 | | | 614,000 | | | | 659,930 | |
0.50%, 5/31/27 | | | 681,000 | | | | 655,888 | |
2.25%, 8/15/27 | | | 2,561,000 | | | | 2,730,566 | |
0.38%, 9/30/27 | | | 2,110,000 | | | | 2,001,945 | |
0.50%, 10/31/27 | | | 70,000 | | | | 66,847 | |
0.63%, 11/30/27 | | | 2,140,000 | | | | 2,057,326 | |
0.75%, 1/31/28 | | | 5,390,000 | | | | 5,209,351 | |
1.13%, 2/29/28 | | | 2,260,000 | | | | 2,237,400 | |
1.25%, 4/30/28 | | | 3,520,000 | | | | 3,506,250 | |
2.88%, 8/15/28(o) | | | 122,000 | | | | 135,034 | |
3.13%, 11/15/28(o) | | | 122,000 | | | | 137,307 | |
2.63%, 2/15/29 | | | 548,000 | | | | 597,042 | |
2.38%, 5/15/29 | | | 548,000 | | | | 586,724 | |
1.63%, 8/15/29 | | | 890,000 | | | | 900,777 | |
1.75%, 11/15/29 | | | 453,000 | | | | 462,396 | |
1.50%, 2/15/30 | | | 869,000 | | | | 866,352 | |
0.63%, 8/15/30(o) | | | 40,000 | | | | 36,656 | |
0.88%, 11/15/30(o) | | | 700,000 | | | | 654,609 | |
| | | | | | | 83,674,619 | |
| | |
Total U.S. Government Obligations
(Cost $135,134,073) | | | | 127,935,958 | |
| | |
| | | Number of Shares | | | Value | |
|
Investment Companies – 10.6% | |
BlackRock Allocation Target Shares - BATS, Series A | | | 5,586,258 | | | | 55,974,310 | |
Schwab U.S. TIPS ETF | | | 260,155 | | | | 16,106,196 | |
Vanguard Long-Term Treasury ETF | | | 194,785 | | | | 16,471,019 | |
| | | |
Total Investment Companies
(Cost $89,371,180) | | | | | | | 88,551,525 | |
| | | | | | | | |
| | | Par(a)/Number of Shares | | | Value | |
|
Short-Term Investments – 16.1% | |
|
Asset-Backed Securities – 0.1% | |
MRA Issuance Trust, Series 2021-EBO1, Class A1X, (1M USD LIBOR + 1.75%, 1.75% Floor), 1.86%, 10/08/21(b)(d) | | | $ 570,000 | | | $ | 569,990 | |
| |
Borrowed Bond Agreements – 0.7% | |
BofA Securities, Inc., (0.05)%, Open (Purchased on 4/30/21 to be repurchased at $1,129,683, collateralized by U.S. Treasury Bonds, 1.25%, due 5/15/50, par and fair value of $1,446,000 and $1,129,688, respectively)(p) | | | 1,129,687 | | | | 1,129,687 | |
BofA Securities, Inc., (0.05)%, Open (Purchased on 4/30/21 to be repurchased at $1,476,758, collateralized by U.S. Treasury Notes, 0.63%, due 5/15/30, par and fair value of $1,603,000 and $1,476,764, respectively)(p) | | | 1,476,764 | | | | 1,476,764 | |
BofA Securities, Inc., (0.08)%, Open (Purchased on 4/30/21 to be repurchased at $357,335, collateralized by U.S. Treasury Notes, 0.63%, due 8/15/30, par and fair value of $390,000 and $357,338, respectively)(p) | | | 357,338 | | | | 357,338 | |
BofA Securities, Inc., (0.10)%, Open (Purchased on 4/30/21 to be repurchased at $594,258, collateralized by U.S. Treasury Bonds, 1.63%, due 11/15/50, par and fair value of $689,000 and $594,263, respectively)(p) | | | 594,262 | | | | 594,262 | |
See accompanying Notes to Financial Statements
110
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par(a)/Number of Shares | | | Value | |
|
Borrowed Bond Agreements (Continued) | |
BofA Securities, Inc., (0.12)%, Open (Purchased on 4/30/21 to be repurchased at $279,372, collateralized by U.S. Treasury Notes, 0.88%, due 11/15/30, par and fair value of $298,000 and $279,375, respectively)(p) | | $ | 279,375 | | | $ | 279,375 | |
BofA Securities, Inc., (0.15)%, Open (Purchased on 4/30/21 to be repurchased at $1,762,928, collateralized by U.S. Treasury Bonds, 1.88%, due 2/15/51, par and fair value of $1,932,000 and $1,762,950, respectively)(p) | | | 1,762,950 | | | | 1,762,950 | |
| | | | | | | 5,600,376 | |
| |
Corporate Bonds – 0.1% | |
AbbVie, Inc., 3.45%, 3/15/22 | | | 100,000 | | | | 102,139 | |
Bank of New York Mellon (The) Corp., (3M USD LIBOR + 3.42%), 3.61%, 6/20/21(d)(k) | | | 105,000 | | | | 104,869 | |
Cintas Corp. No. 2, 2.90%, 4/01/22 | | | 20,000 | | | | 20,433 | |
Elanco Animal Health, Inc., 4.91%, 8/27/21 | | | 18,000 | | | | 18,167 | |
General Motors Financial Co., Inc., 3.45%, 1/14/22 | | | 176,000 | | | | 179,057 | |
Hyundai Capital America, 3.95%, 2/01/22(b) | | | 247,000 | | | | 253,229 | |
Lennar Corp., 4.13%, 1/15/22 | | | 32,000 | | | | 32,395 | |
Netflix, Inc., 5.50%, 2/15/22 | | | 25,000 | | | | 25,906 | |
Penske Truck Leasing Co. L.P./PTL Finance Corp., 3.65%, 7/29/21(b) | | | 161,000 | | | | 161,809 | |
Sherwin-Williams (The) Co., 4.20%, 1/15/22 | | | 205,000 | | | | 208,559 | |
Southern California Edison Co., 1.85%, 2/01/22 | | | 16,429 | | | | 16,446 | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 9/20/21(b) | | | 25,000 | | | | 25,156 | |
| | | | | | | | | | | | |
| | | Par(a)/Number of Shares | | | Value | |
| |
Corporate Bonds (Continued) | | | | | |
State Street Corp., (3M USD LIBOR + 3.60%), 3.78%, 6/15/21(d)(k) | | | $ | 26,000 | | | $ | 26,068 | |
Williams (The) Cos., Inc., 3.60%, 3/15/22 | | | | 150,000 | | | | 153,315 | |
| | | | | | | | | | | 1,327,548 | |
| | |
Foreign Issuer Bonds – 0.1% | | | | | |
Genneia S.A., 8.75%, 1/20/22 | | | | 46,000 | | | | 41,055 | |
Sumitomo Mitsui Financial Group, Inc., 2.06%, 7/14/21 | | | | 70,000 | | | | 70,257 | |
Toronto-Dominion Bank (The), 3.25%, 6/11/21 | | | | 220,000 | | | | 220,719 | |
UBS A.G., 1.75%, 4/21/22(b) | | | | 200,000 | | | | 202,597 | |
| | | | | | | | | | | 534,628 | |
| | |
Money Market Fund – 14.0% | | | | | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(q) | | | | 116,604,181 | | | | 116,604,181 | |
| | |
U.S. Government Obligations – 0.3% | | | | | |
U.S. Treasury Notes, | | | | | | | | | |
1.75%, 4/30/22(o) | | | | 727,000 | | | | 739,155 | |
1.50%, 1/31/22 | | | | 764,000 | | | | 772,237 | |
1.13%, 7/31/21 | | | | 860,000 | | | | 862,272 | |
1.75%, 7/31/21(o) | | | | 461,000 | | | | 462,926 | |
| | | | | | | | | | | 2,836,590 | |
| | |
U.S. Treasury Bills – 0.8% | | | | | |
U.S. Treasury Bills, | | | | | | | | | |
0.08%, 5/11/21(h) | | | | 400,000 | | | | 399,999 | |
0.09%, 5/04/21(h) | | | | 4,070,000 | | | | 4,070,000 | |
0.08%, 5/18/21(h) | | | | 2,050,000 | | | | 2,049,997 | |
| | | | | | | | | | | 6,519,996 | |
| | |
Total Short-Term Investments
(Cost $133,979,302) | | | | 133,993,309 | |
| | | |
| | | Number of Contracts | | | Notional Amount | | | Value | |
| |
Purchased Options – 0.2% | | | | | |
| |
Call Options - Exchange Traded – 0.0%(i) | | | | | |
10-Year U.S. Treasury Note Future, Strike Price $131.75, Expires 5/21/21 | | | 2 | | | | 264,063 | | | | 1,406 | |
10-Year U.S. Treasury Note Future, Strike Price $132.50, Expires 5/21/21 | | | 3 | | | | 396,094 | | | | 938 | |
See accompanying Notes to Financial Statements
111
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | | | | | |
| | | Number of Contracts | | | Notional Amount | | | Value | |
|
Call Options - Exchange Traded (Continued) | |
5-Year U.S. Treasury Note Future, Strike Price $124.00, Expires 5/21/21 | | | 19 | | | $ | 2,354,812 | | | $ | 4,602 | |
U.S. Treasury Long Bond Future, Strike Price $157.50, Expires 5/07/21 | | | 1 | | | | 185,906 | | | | 656 | |
| | | | | | | | | | | 7,602 | |
| |
Call Options - Over the Counter – 0.0%(i) | |
Canadian Dollar vs. U.S. Dollar, Strike Price CAD 1.27, Expires 6/18/21, Counterparty: Deutsche Bank | | | 1 | | | | 120,000 | | | | 214 | |
Japanese Yen vs. U.S. Dollar, Strike Price JPY 108.75, Expires 5/19/21, Counterparty: Deutsche Bank | | | 2 | | | | 320,000 | | | | 2,485 | |
Mexican Peso vs. U.S. Dollar, Strike Price MXN 20.20, Expires 6/25/21, Counterparty: Deutsche Bank | | | 1 | | | | 160,000 | | | | 3,932 | |
Mexican Peso vs. U.S. Dollar, Strike Price MXN 22.00, Expires 5/06/21, Counterparty: Morgan Stanley | | | 2 | | | | 116,000 | | | | 1 | |
South African Rand vs. U.S. Dollar, Strike Price ZAR 14.55, Expires 5/26/21, Counterparty: BNP Paribas | | | 1 | | | | 120,000 | | | | 1,790 | |
South Korean Won vs. U.S. Dollar, Strike Price KRW 1,132.00, Expires 7/21/21, Counterparty: Bank of America | | | 1 | | | | 180,000 | | | | 1,569 | |
Turkish Lira vs. U.S. Dollar, Strike Price TRY 9.00, Expires 6/29/21, Counterparty: Citibank | | | 1 | | | | 60,000 | | | | 1,102 | |
U.S. Dollar vs. Euro, Strike Price $1.22, Expires 6/09/21, Counterparty: Bank of America | | | 1 | | | | 3,260,000 | (r) | | | 6,605 | |
U.S. Dollar vs. Euro, Strike Price $1.23, Expires 6/09/21, Counterparty: Morgan Stanley | | | 1 | | | | 220,000 | (r) | | | 961 | |
U.S. Dollar vs. Euro, Strike Price $1.23, Expires 6/18/21, Counterparty: BNP Paribas | | | 1 | | | | 3,240,000 | (r) | | | 8,988 | |
| | | | | | | | | | | | |
| | | Number of Contracts | | | Notional
Amount | | | Value | |
|
Call Options - Over the Counter (Continued) | |
U.S. Dollar vs. Euro, Strike Price $1.23, Expires 7/16/21, Counterparty: BNP Paribas | | | 1 | | | $ | 3,300,000 | (r) | | $ | 16,032 | |
U.S. Dollar vs. Euro, Strike Price $1.24, Expires 5/28/21, Counterparty: Bank of America | | | 2 | | | | 14,000 | (r) | | | 400 | |
U.S. Dollar vs. Euro, Strike Price $1.25, Expires 6/28/21, Counterparty: BNP Paribas | | | 1 | | | | 190,000 | (r) | | | 11,299 | |
| | | | | | | | | | | 55,378 | |
| |
Put Options - Exchange Traded – 0.2% | |
10-Year U.S. Treasury Note Future, Strike Price $132.00, Expires 5/21/21 | | | 9 | | | | 1,188,281 | | | | 4,641 | |
1-Year Mid Curve Future, Strike Price $99.37, Expires 12/10/21 | | | 560 | | | | 189,042,000 | | | | 77,000 | |
1-Year Mid Curve Future, Strike Price $99.75, Expires 9/10/21 | | | 1,370 | | | | 462,477,750 | | | | 325,375 | |
2-Year Mid Curve Future, Strike Price $99.38, Expires 9/10/21 | | | 869 | | | | 215,305,612 | | | | 678,906 | |
3-Year Mid Curve Future, Strike Price $99.25, Expires 6/11/21 | | | 451 | | | | 112,541,413 | | | | 721,600 | |
U.S. Treasury Long Bond Future, Strike Price $157.00, Expires 5/21/21 | | | 2 | | | | 314,500 | | | | 2,344 | |
| | | | | | | | | | | 1,809,866 | |
| |
Put Options - Over the Counter – 0.0%(i) | |
Brazilian Real vs. U.S. Dollar, Strike Price BRL 5.30, Expires 6/01/21, Counterparty: BNP Paribas | | | 2 | | | | 320,000 | | | | 789 | |
Brazilian Real vs. U.S. Dollar, Strike Price BRL 5.48, Expires 6/18/21, Counterparty: Barclays | | | 1 | | | | 199,000 | | | | 5,540 | |
Brazilian Real vs. U.S. Dollar, Strike Price BRL 5.48, Expires 6/21/21, Counterparty: Barclays | | | 1 | | | | 160,000 | | | | 4,531 | |
British Pound vs. Euro, Strike Price GBP 0.85, Expires 6/03/21, Counterparty: Goldman Sachs | | | 1 | | | | 3,230,000 | (r) | | | 2,856 | |
British Pound vs. Euro, Strike Price GBP 0.85, Expires 6/11/21, Counterparty: Citibank | | | 1 | | | | 3,260,000 | (r) | | | 4,217 | |
See accompanying Notes to Financial Statements
112
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Notional
Amount | | | Value | |
|
Put Options – Over the Counter (Continued) | |
Hungarian Forint vs. Euro, Strike Price HUF 340.00, Expires 5/28/21, Counterparty: BNP Paribas | | | 1 | | | $ | 60,000 | (r) | | $ | 166 | |
Indonesian Rupiah vs. U.S. Dollar, Strike Price IDR 14,450.00, Expires 6/24/21, Counterparty: Bank of America | | | 1 | | | | 200,000 | | | | 1,525 | |
Mexican Peso vs. U.S. Dollar, Strike Price MXN 19.50, Expires 6/18/21, Counterparty: Morgan Stanley | | | 1 | | | | 10,000 | | | | 3,480 | |
Mexican Peso vs. U.S. Dollar, Strike Price MXN 20.00, Expires 6/17/21, Counterparty: Deutsche Bank | | | 1 | | | | 116,000 | | | | 1,175 | |
Polish Zloty vs. Euro, Strike Price PLN 4.25, Expires 5/28/21, Counterparty: BNP Paribas | | | 1 | | | | 60,000 | (r) | | | 19 | |
Polish Zloty vs. Euro, Strike Price PLN 4.55, Expires 5/05/21, Counterparty: BNP Paribas | | | 1 | | | | 132,000 | (r) | | | 161 | |
Russian Ruble vs. U.S. Dollar, Strike Price RUB 73.00, Expires 5/14/21, Counterparty: Citibank | | | 2 | | | | 308,000 | | | | 243 | |
Russian Ruble vs. U.S. Dollar, Strike Price RUB 74.75, Expires 5/25/21, Counterparty: Deutsche Bank | | | 1 | | | | 160,000 | | | | 1,450 | |
Russian Ruble vs. U.S. Dollar, Strike Price RUB 75.00, Expires 5/27/21, Counterparty: Bank of America | | | 1 | | | | 135,000 | | | | 407 | |
South African Rand vs. U.S. Dollar, Strike Price ZAR 14.35, Expires 4/29/21, Counterparty: BNP Paribas | | | 1 | | | | 194,000 | | | | 1,700 | |
| | | | | | | | | | | | |
| | | Number of
Contracts | | | Notional
Amount | | | Value | |
|
Put Options – Over the Counter (Continued) | |
South Korean Won vs. U.S. Dollar, Strike Price KRW 1,110.00, Expires 7/21/21, Counterparty: Bank of America | | | 1 | | | $ | 180,000 | | | $ | 1,760 | |
U.S. Dollar vs. Euro, Strike Price $1.18, Expires 5/06/21, Counterparty: Morgan Stanley | | | 1 | | | | 2,823,000 | (r) | | | 36 | |
| | | | | | | | | | | 30,055 | |
| | |
Total Purchased Options
(Premiums Received $963,429) | | | | 1,902,901 | |
| | |
Total Long Positions – 112.0%
(Cost $932,267,264) | | | | 932,879,192 | |
| | | |
| | | | | | Par | | | Value | |
|
Short Positions – (2.8)% | |
|
Mortgage-Backed Securities – (2.1)% | |
|
Uniform Mortgage-Backed Securities – (2.1)% | |
Pool TBA, 5/01/51(f) | | | | (11,020,057 | ) | | | (11,118,267 | ) |
Pool TBA, 5/01/51 | | | | (956,000 | ) | | | (1,041,911 | ) |
Pool TBA, 6/01/51(f) | | | | (4,880,000 | ) | | | (5,107,932 | ) |
| | |
Total Mortgage-Backed Securities
(Proceeds $17,204,744) | | | | (17,268,110 | ) |
|
U.S. Government Obligations – (0.7)% | |
|
U.S. Treasury Bonds – (0.4)% | |
1.25%, 5/15/50(o) | | | | (1,446,000 | ) | | | (1,121,949 | ) |
1.63%, 11/15/50(o) | | | | (689,000 | ) | | | (589,418 | ) |
1.88%, 2/15/51(o) | | | | (1,932,000 | ) | | | (1,757,516 | ) |
| | | | | | | | | | | (3,468,883 | ) |
| | |
U.S. Treasury Notes – (0.3)% | | | | | |
0.63%, 5/15/30(o) | | | | (1,603,000 | ) | | | (1,474,760 | ) |
See accompanying Notes to Financial Statements
113
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
|
U.S. Treasury Notes (Continued) | |
0.63%, 8/15/30(o) | | | $(390,000 | ) | | | $ (357,399 | ) |
0.88%, 11/15/30(o) | | | (298,000 | ) | | | (278,677 | ) |
| | | | | | | (2,110,836 | ) |
| | | |
Total U.S. Government Obligations
(Proceeds $6,110,027) | | | | | | | (5,579,719 | ) |
| | | |
Total Short Positions – (2.8)%
(Proceeds $23,314,771) | | | | | | | (22,847,829 | ) |
| | | |
Total Written Options – (0.2)%
(Premiums Received $1,417,746) | | | | | | | (1,733,849 | ) |
| |
Liabilities less Other Assets – (9.0)%(s) | | | | (75,378,546 | ) |
| | | |
NET ASSETS – 100.0% | | | | | | | $832,918,968 | |
Percentages shown are based on Net Assets.
| (a) | Par value is in USD unless otherwise indicated. |
| (b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
| (c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of April 30, 2021 is disclosed. |
| (d) | Variable rate security. Rate as of April 30, 2021 is disclosed. |
| (e) | Restricted security that has been deemed illiquid. At April 30, 2021, the value of these restricted illiquid securities amounted to $653,850 or 0.08% of net assets. Additional information on these restricted illiquid securities is as follows: |
| | | | | | |
| Security | | Acquisition
Date | | | Acquisition
Cost |
| | |
Exantas Capital Corp. Ltd.,
1.62%, 4/15/36 | | | 4/4/19 | | | $500,000 |
| | | | | | |
| Security | | Acquisition
Date | | | Acquisition
Cost |
| | |
PFP Ltd., 1.09%, 4/14/36 | | | 4/11/19 | | | $154,699 |
| (f) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2021. |
| (g) | Step coupon bond. Rate as of April 30, 2021 is disclosed. |
| (h) | Discount rate at the time of purchase. |
| (i) | Amount rounds to less than 0.05%. |
| (j) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of April 30, 2021 is disclosed. |
| (k) | Perpetual bond. Maturity date represents next call date. |
| (l) | This is a Level 3 asset. The fair value price of $89.20 is based on a broker pricing matrix that adjusts for change in yields of various U.S. Treasury securities. During the fiscal period, the Fund purchased EUR170,000 of this security. |
| (m) | Century bond maturing in 2120. |
| (n) | Century bond maturing in 2112. |
| (o) | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
| (p) | The amount to be repurchased assumes the maturity will be the first business day after the period end. |
| (q) | 7-day current yield as of April 30, 2021 is disclosed. |
| (r) | The notional amount is EUR. |
| (s) | Includes appreciation/ (depreciation) on forward foreign currency exchange, futures and swap contracts. |
| | |
| Abbreviations: | | |
| 10Y | | 10 Year |
| 12MTA | | 12 Month Treasury Average |
See accompanying Notes to Financial Statements
114
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
| | |
| 1M | | 1 Month |
| 1Y | | 1 Year |
| 3M | | 3 Month |
| 5Y | | 5 Year |
| BATS | | Better Alternative Trading System |
| CDO | | Collaterlized Debt Obligation |
| CLO | | Collateralized Loan Obligation |
| CMT | | Constant Maturity |
| ETF | | Exchange-Traded Fund |
| FHLMC | | Federal Home Loan Mortgage Corporation |
| FNMA | | Federal National Mortgage Association |
| Freddie Mac | | Federal Home Loan Mortgage Corporation |
| GMTN | | Global Medium Term Note |
| GO | | Government Obligation |
| ICE | | Intercontinental Exchange |
| IO | | Interest Only |
| LIBOR | | London Interbank Offered Rate |
| LLC | | Limited Liability Company |
| PJSC | | Public Joint Stock Company |
| PLC | | Public Limited Company |
| REMIC | | Real Estate Mortgage Investment Conduit |
| SOFR | | United States Secured Overnight Financing Rate |
| Strip | | Separate Trading of Registered Interest and Principal |
| TBA | | To be announced |
| TIPS | | Treasury Inflation Protected Securities |
| TRB | | Tax Revenue Bonds |
| USD | | United States Dollar |
| EUR | | Euro |
| IDR | | Indonesian Rupiah |
| MXN | | Mexican Peso |
| CAD | | Canadian Dollar |
| JPY | | Japanese Yen |
| ZAR | | South African Rand |
| KRW | | South Korean Won |
| TRY | | Turkish Lira |
| BRL | | Brazilian Real |
| GBP | | British Pound |
| HUF | | Hungarian Forint |
| PLN | | Polish Zloty |
| RUB | | Russian Ruble |
Futures Contracts outstanding at April 30, 2021:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Trading
Currency | | | Notional
Amount | | | Value/
Unrealized
Appreciation
(Depreciation) | |
| | | | | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Euro-BTP | | | 14 | | | | 6/08/2021 | | | | EUR | | | | 2,475,746 | | | | $ (20,540 | ) |
Short Euro-BTP | | | 69 | | | | 6/08/2021 | | | | EUR | | | | 9,375,603 | | | | (1,605 | ) |
See accompanying Notes to Financial Statements
115
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Futures Contracts outstanding at April 30, 2021:
Exchange Traded (continued)
| | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Trading
Currency | | | Notional
Amount | | | Value/
Unrealized
Appreciation
(Depreciation) | |
| |
10-Year U.S. Treasury Note | | | 759 | | | | 6/21/2021 | | | | USD | | | | 100,211,719 | | | | $(193,773 | ) |
U.S. Treasury Long Bond | | | 82 | | | | 6/21/2021 | | | | USD | | | | 12,894,500 | | | | 133,189 | |
Ultra U.S. Treasury Bond | | | 286 | | | | 6/21/2021 | | | | USD | | | | 53,169,188 | | | | (393,560 | ) |
2-Year U.S. Treasury Note | | | 149 | | | | 6/30/2021 | | | | USD | | | | 32,892,914 | | | | (15,111 | ) |
5-Year U.S. Treasury Note | | | 325 | | | | 6/30/2021 | | | | USD | | | | 40,279,687 | | | | 77,489 | |
90-Day Eurodollar | | | 1 | | | | 9/18/2023 | | | | USD | | | | 247,762 | | | | 2 | |
90-Day Eurodollar | | | 648 | | | | 12/18/2023 | | | | USD | | | | 160,282,800 | | | | (53,523 | ) |
| | | | | | |
Total Long Contracts | | | | | | | | | | | | | | | | | | | $(467,432 | ) |
| | | | | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
Euro Bund | | | (12 | ) | | | 6/08/2021 | | | | EUR | | | | 2,452,590 | | | | $ 12,805 | |
90-Day Eurodollar | | | (310 | ) | | | 6/14/2021 | | | | USD | | | | 77,356,625 | | | | (119,232 | ) |
10-Year U.S. Treasury Note | | | (25 | ) | | | 6/21/2021 | | | | USD | | | | 3,300,781 | | | | 8,656 | |
U.S. Treasury Long Bond | | | (25 | ) | | | 6/21/2021 | | | | USD | | | | 3,931,250 | | | | (661 | ) |
Long GILT | | | (25 | ) | | | 6/28/2021 | | | | GBP | | | | 4,407,967 | | | | 24,624 | |
30-Year Euro Buxl | | | (8 | ) | | | 6/30/2021 | | | | EUR | | | | 1,941,874 | | | | 45,090 | |
Ultra 10-Year U.S. Treasury Note | | | (226 | ) | | | 6/30/2021 | | | | USD | | | | 32,893,593 | | | | (97,039 | ) |
90-Day Eurodollar | | | (435 | ) | | | 12/13/2021 | | | | USD | | | | 108,472,688 | | | | (54,405 | ) |
90-Day Eurodollar | | | (239 | ) | | | 9/16/2024 | | | | USD | | | | 58,826,863 | | | | 100,035 | |
| | | | | | |
Total Short Contracts | | | | | | | | | | | | | | | | | | | $ (80,127 | ) |
| | | | | |
| | | | | | | | | | | | | | | | | | | | $(547,559 | ) |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
Settlement Date | | Currency
Purchased | | | Amount of Currency
Purchased | | | Currency Sold | | | Amount of Currency
Sold | | | Counterparty | | | Unrealized
Appreciation
(Depreciation) | |
| |
| | | | | | |
06/16/21 | |
| Chinese Yuan
Renminbi |
| | | 17,877,000 | | | | U.S. Dollars | | | | 2,709,581 | | | | HSBC | | | | $ 41,154 | |
06/16/21 | | | Euro | | | | 1,251,000 | | | | U.S. Dollars | | | | 1,488,463 | | | | Citibank | | | | 17,054 | |
06/16/21 | | | Euro | | | | 650,000 | | | | British Pounds | | | | 557,339 | | | | Citibank | | | | 12,432 | |
06/16/21 | | | Euro | | | | 490,000 | | | | British Pounds | | | | 421,113 | | | | BNP Paribas | | | | 8,038 | |
05/19/21 | | | U.S. Dollars | | | | 619,294 | | | | Russian Rubles | | | | 46,080,099 | | | | Citibank | | | | 8,014 | |
06/16/21 | | | Euro | | | | 990,000 | | | | British Pounds | | | | 857,377 | | | | Deutsche Bank | | | | 7,185 | |
05/24/21 | | | U.S. Dollars | | | | 355,818 | | | | Indonesian Rupiahs | | | | 5,062,580,845 | | | | JP Morgan Chase | | | | 6,794 | |
06/16/21 | | | Euro | | | | 1,300,000 | | | | U.S. Dollars | | | | 1,557,970 | | | | Goldman Sachs | | | | 6,515 | |
06/16/21 | | | U.S. Dollars | | | | 1,197,113 | | | | Euro | | | | 990,000 | | | | Citibank | | | | 5,697 | |
05/26/21 | | | Mexican Pesos | | | | 2,123,836 | | | | U.S. Dollars | | | | 98,849 | | | | Citibank | | | | 5,686 | |
06/16/21 | | | Euro | | | | 650,000 | | | | U.S. Dollars | | | | 776,587 | | | | Barclays | | | | 5,656 | |
See accompanying Notes to Financial Statements
116
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2021: (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
Settlement Date | | Currency
Purchased | | | Amount of Currency
Purchased | | | Currency Sold | | | Amount of Currency
Sold | | | Counterparty | | | Unrealized
Appreciation
(Depreciation) | |
05/19/21 | | | Russian Rubles | | | | 28,525,885 | | | | U.S. Dollars | | | | 373,055 | | | | HSBC | | | | $ 5,357 | |
06/16/21 | | | U.S. Dollars | | | | 1,068,502 | | | | British Pounds | | | | 770,000 | | | | Barclays | | | | 4,960 | |
05/12/21 | | | U.S. Dollars | | | | 180,000 | | | | Colombian Pesos | | | | 657,690,000 | | | | Citibank | | | | 4,887 | |
06/16/21 | | | Euro | | | | 740,000 | | | | U.S. Dollars | | | | 885,760 | | | | JP Morgan Chase | | | | 4,793 | |
06/16/21 | | | Euro | | | | 650,000 | | | | British Pounds | | | | 562,941 | | | | Standard Chartered Bank | | | | 4,695 | |
06/16/21 | | | U.S. Dollars | | | | 654,984 | | | | Euro | | | | 540,910 | | | | Barclays | | | | 4,026 | |
05/26/21 | | | Mexican Pesos | | | | 1,479,058 | | | | U.S. Dollars | | | | 69,156 | | | | HSBC | | | | 3,643 | |
06/16/21 | | | U.S. Dollars | | | | 1,291,332 | | | | Euro | | | | 1,070,000 | | | | Morgan Stanley | | | | 3,640 | |
06/16/21 | | | U.S. Dollars | | | | 527,804 | | | | British Pounds | | | | 380,000 | | | | Morgan Stanley | | | | 2,939 | |
05/19/21 | | | U.S. Dollars | | | | 230,760 | | | | Russian Rubles | | | | 17,177,868 | | | | HSBC | | | | 2,885 | |
05/04/21 | | | Brazilian Reals | | | | 551,698 | | | | U.S. Dollars | | | | 99,000 | | | | Citibank | | | | 2,524 | |
05/19/21 | | | Russian Rubles | | | | 9,009,475 | | | | U.S. Dollars | | | | 117,358 | | | | Morgan Stanley | | | | 2,158 | |
05/12/21 | | | Euro | | | | 106,000 | | | | U.S. Dollars | | | | 125,404 | | | | JP Morgan Chase | | | | 2,066 | |
06/07/21 | | | Taiwan Dollars | | | | 3,285,700 | | | | U.S. Dollars | | | | 116,000 | | | | Citibank | | | | 2,040 | |
06/16/21 | | | U.S. Dollars | | | | 399,139 | | | | Euro | | | | 330,000 | | | | Toronto-Dominion Bank | | | | 2,000 | |
05/12/21 | | | U.S. Dollars | | | | 120,000 | | | | Mexican Pesos | | | | 2,394,609 | | | | Morgan Stanley | | | | 1,949 | |
06/16/21 | | | British Pounds | | | | 280,000 | | | | U.S. Dollars | | | | 384,863 | | | | Morgan Stanley | | | | 1,880 | |
05/19/21 | | | Russian Rubles | | | | 8,737,084 | | | | U.S. Dollars | | | | 114,155 | | | | Barclays | | | | 1,748 | |
05/04/21 | | | Brazilian Reals | | | | 189,354 | | | | U.S. Dollars | | | | 33,286 | | | | Morgan Stanley | | | | 1,559 | |
05/12/21 | | | U.S. Dollars | | | | 215,888 | | | | Mexican Pesos | | | | 4,351,062 | | | | Bank of America | | | | 1,388 | |
06/16/21 | | | U.S. Dollars | | | | 494,708 | | | | Euro | | | | 410,000 | | | | BNP Paribas | | | | 1,293 | |
06/16/21 | | | U.S. Dollars | | | | 999,988 | | | | Euro | | | | 830,000 | | | | Goldman Sachs | | | | 1,124 | |
06/16/21 | | | Euro | | | | 160,000 | | | | British Pounds | | | | 138,691 | | | | JP Morgan Chase | | | | 989 | |
05/12/21 | | | U.S. Dollars | | | | 116,000 | | | | Chilean Pesos | | | | 81,751,000 | | | | Citibank | | | | 986 | |
07/01/21 | | | Indonesian Rupiahs | | | | 1,136,905,000 | | | | U.S. Dollars | | | | 77,000 | | | | Morgan Stanley | | | | 956 | |
05/12/21 | | | Euro | | | | 164,000 | | | | Japanese Yen | | | | 21,450,018 | | | | BNP Paribas | | | | 932 | |
05/12/21 | | | Norwegian Kroner | | | | 498,218 | | | | Euro | | | | 49,000 | | | | Deutsche Bank | | | | 930 | |
05/04/21 | | | Brazilian Reals | | | | 93,833 | | | | U.S. Dollars | | | | 16,514 | | | | Deutsche Bank | | | | 753 | |
05/12/21 | | | U.S. Dollars | | | | 57,000 | | | | Colombian Pesos | | | | 211,498,500 | | | | Barclays | | | | 687 | |
06/09/21 | | | U.S. Dollars | | | | 97,000 | | | | Indian Rupees | | | | 7,189,640 | | | | JP Morgan Chase | | | | 677 | |
05/24/21 | | | Indonesian Rupiahs | | | | 1,326,000,000 | | | | U.S. Dollars | | | | 90,807 | | | | UBS | | | | 609 | |
05/19/21 | | | Russian Rubles | | | | 4,845,963 | | | | U.S. Dollars | | | | 63,794 | | | | BNP Paribas | | | | 491 | |
05/24/21 | | | Indonesian Rupiahs | | | | 703,000,000 | | | | U.S. Dollars | | | | 47,986 | | | | BNP Paribas | | | | 480 | |
05/04/21 | | | U.S. Dollars | | | | 71,800 | | | | Brazilian Reals | | | | 387,574 | | | | Deutsche Bank | | | | 478 | |
06/02/21 | | | U.S. Dollars | | | | 40,000 | | | | Brazilian Reals | | | | 215,368 | | | | Deutsche Bank | | | | 477 | |
05/12/21 | | | Polish Zloty | | | | 229,514 | | | | Euro | | | | 50,000 | | | | UBS | | | | 399 | |
05/19/21 | | | U.S. Dollars | | | | 28,216 | | | | Russian Rubles | | | | 2,099,132 | | | | Bank of America | | | | 370 | |
05/19/21 | | | Russian Rubles | | | | 1,923,152 | | | | U.S. Dollars | | | | 25,177 | | | | UBS | | | | 335 | |
05/19/21 | | | Russian Rubles | | | | 1,985,349 | | | | U.S. Dollars | | | | 26,043 | | | | Bank of America | | | | 294 | |
05/12/21 | | | U.S. Dollars | | | | 60,420 | | | | Euro | | | | 50,000 | | | | UBS | | | | 293 | |
05/12/21 | | | South African Rand | | | | 1,137,036 | | | | U.S. Dollars | | | | 78,000 | | | | Citibank | | | | 269 | |
See accompanying Notes to Financial Statements
117
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2021: (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
Settlement Date | | Currency
Purchased | | | Amount of Currency Purchased | | | Currency Sold | | | Amount of Currency Sold | | | Counterparty | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | |
05/24/21 | | | Indonesian Rupiahs | | | | 1,071,000,000 | | | | U.S. Dollars | | | | 73,576 | | | | JP Morgan Chase | | | | $ 261 | |
05/12/21 | | | South Korean Won | | | | 67,142,400 | | | | U.S. Dollars | | | | 60,000 | | | | Deutsche Bank | | | | 240 | |
05/12/21 | | | U.S. Dollars | | | | 40,000 | | | | South African Rand | | | | 577,692 | | | | Bank of America | | | | 234 | |
05/12/21 | | | Euro | | | | 50,000 | | | | Polish Zloty | | | | 227,131 | | | | Bank of America | | | | 230 | |
05/19/21 | | | Russian Rubles | | | | 1,881,644 | | | | U.S. Dollars | | | | 24,758 | | | | Citibank | | | | 203 | |
05/24/21 | | | Indonesian Rupiahs | | | | 581,000,000 | | | | U.S. Dollars | | | | 39,876 | | | | Citibank | | | | 179 | |
07/30/21 | | | U.S. Dollars | | | | 40,000 | | | | Turkish Lira | | | | 345,800 | | | | JP Morgan Chase | | | | 164 | |
07/15/21 | | | Kazakhstan Tenge | | | | 8,587,316 | | | | U.S. Dollars | | | | 19,570 | | | | Deutsche Bank | | | | 99 | |
06/16/21 | | | U.S. Dollars | | | | 251,725 | | | | Euro | | | | 209,090 | | | | Bank of America | | | | 95 | |
05/12/21 | | | U.S. Dollars | | | | 116,000 | | | | Mexican Pesos | | | | 2,351,354 | | | | Citibank | | | | 82 | |
06/16/21 | | | U.S. Dollars | | | | 5,416 | | | | Mexican Pesos | | | | 109,000 | | | | UBS | | | | 65 | |
05/12/21 | | | U.S. Dollars | | | | 39,000 | | | | South African Rand | | | | 565,755 | | | | HSBC | | | | 56 | |
06/16/21 | | | Euro | | | | 50,000 | | | | Polish Zloty | | | | 227,957 | | | | Bank of America | | | | 45 | |
05/12/21 | | | U.S. Dollars | | | | 80,000 | | | | South Korean Won | | | | 89,160,000 | | | | Morgan Stanley | | | | 6 | |
| |
| | |
Total Unrealized Appreciation | | | | | | | | $ 201,143 | |
| |
| | | | | | |
05/19/21 | | | Russian Rubles | | | | 1,943,700 | | | | U.S. Dollars | | | | 25,801 | | | | Goldman Sachs | | | | $ (16 | ) |
06/16/21 | | | British Pounds | | | | 54,222 | | | | Euro | | | | 62,277 | | | | Barclays | | | | (54 | ) |
05/12/21 | | | U.S. Dollars | | | | 60,000 | | | | Chilean Pesos | | | | 42,693,000 | | | | Deutsche Bank | | | | (65 | ) |
05/12/21 | | | Chilean Pesos | | | | 82,355,360 | | | | U.S. Dollars | | | | 116,000 | | | | BNP Paribas | | | | (134 | ) |
06/16/21 | | | Euro | | | | 330,000 | | | | U.S. Dollars | | | | 397,297 | | | | Barclays | | | | (158 | ) |
05/24/21 | | | U.S. Dollars | | | | 92,719 | | | | Indonesian Rupiahs | | | | 1,347,865,386 | | | | Barclays | | | | (206 | ) |
05/12/21 | | | South Korean Won | | | | 66,642,000 | | | | U.S. Dollars | | | | 60,000 | | | | Morgan Stanley | | | | (209 | ) |
05/12/21 | | | Euro | | | | 49,000 | | | | Norwegian Kroner | | | | 492,297 | | | | BNP Paribas | | | | (218 | ) |
05/12/21 | | | U.S. Dollars | | | | 58,000 | | | | South African Rand | | | | 847,364 | | | | UBS | | | | (329 | ) |
06/16/21 | | | U.S. Dollars | | | | 386,413 | | | | British Pounds | | | | 280,000 | | | | Barclays | | | | (330 | ) |
05/12/21 | | | U.S. Dollars | | | | 66,997 | | | | Euro | | | | 56,000 | | | | JP Morgan Chase | | | | (345 | ) |
06/16/21 | | | British Pounds | | | | 372,403 | | | | Euro | | | | 427,723 | | | | Deutsche Bank | | | | (372 | ) |
05/12/21 | | | Mexican Pesos | | | | 920,014 | | | | U.S. Dollars | | | | 45,750 | | | | Bank of America | | | | (395 | ) |
05/12/21 | | | Mexican Pesos | | | | 1,551,885 | | | | U.S. Dollars | | | | 77,000 | | | | Goldman Sachs | | | | (495 | ) |
06/02/21 | | | Brazilian Reals | | | | 388,425 | | | | U.S. Dollars | | | | 71,800 | | | | Deutsche Bank | | | | (519 | ) |
06/16/21 | | | Indonesian Rupiahs | | | | 1,738,800,000 | | | | U.S. Dollars | | | | 120,000 | | | | JP Morgan Chase | | | | (528 | ) |
06/16/21 | | | U.S. Dollars | | | | 65,599 | | | | Euro | | | | 55,000 | | |
| Standard Chartered
Bank |
| | | (591 | ) |
06/07/21 | | | U.S. Dollars | | | | 116,000 | | | | Taiwan Dollars | | | | 3,246,840 | | | | BNP Paribas | | | | (644 | ) |
05/12/21 | | | South African Rand | | | | 555,251 | | | | U.S. Dollars | | | | 39,000 | | | | UBS | | | | (779 | ) |
06/16/21 | | | U.S. Dollars | | | | 123,093 | | | | Euro | | | | 103,000 | | | | JP Morgan Chase | | | | (862 | ) |
07/01/21 | | | U.S. Dollars | | | | 77,000 | | | | Indonesian Rupiahs | | | | 1,135,750,000 | | | | Morgan Stanley | | | | (877 | ) |
05/12/21 | | | Japanese Yen | | | | 8,644,778 | | | | U.S. Dollars | | | | 80,000 | | | | JP Morgan Chase | | | | (893 | ) |
05/19/21 | | | Russian Rubles | | | | 6,504,847 | | | | U.S. Dollars | | | | 87,201 | | | | Morgan Stanley | | | | (911 | ) |
06/16/21 | | | U.S. Dollars | | | | 118,187 | | | | Euro | | | | 99,000 | | | | HSBC | | | | (954 | ) |
05/26/21 | | | U.S. Dollars | | | | 70,684 | | | | Mexican Pesos | | | | 1,455,655 | | | | UBS | | | | (963 | ) |
See accompanying Notes to Financial Statements
118
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2021: (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
Settlement Date | | Currency Purchased | | | Amount of Currency Purchased | | | Currency Sold | | | Amount of Currency Sold | | | Counterparty | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | |
06/09/21 | | | Indian Rupees | | | | 7,167,330 | | | | U.S. Dollars | | | | 97,000 | | | | JP Morgan Chase | | | | $ (976 | ) |
06/16/21 | | | U.S. Dollars | | | | 287,829 | | | | Euro | | | | 240,000 | | | | Citibank | | | | (999 | ) |
06/16/21 | | | U.S. Dollars | | | | 91,522 | | | | Euro | | | | 77,000 | | | | RBS | | | | (1,144 | ) |
05/12/21 | | | Mexican Pesos | | | | 2,118,169 | | | | U.S. Dollars | | | | 105,750 | | | | Morgan Stanley | | | | (1,328 | ) |
06/16/21 | | | Euro | | | | 330,000 | | | | U.S. Dollars | | | | 398,823 | | | | Goldman Sachs | | | | (1,684 | ) |
05/04/21 | | | U.S. Dollars | | | | 39,000 | | | | Brazilian Reals | | | | 221,536 | | | | Citibank | | | | (1,767 | ) |
06/16/21 | | | U.S. Dollars | | | | 118,642 | | | | Canadian Dollars | | | | 148,000 | | | | Citibank | | | | (1,779 | ) |
05/12/21 | | | U.S. Dollars | | | | 481,142 | | | | South African Rand | | | | 7,015,677 | | | | Deutsche Bank | | | | (1,787 | ) |
05/12/21 | | | Colombian Pesos | | | | 210,830,000 | | | | U.S. Dollars | | | | 58,000 | | | | Deutsche Bank | | | | (1,866 | ) |
05/12/21 | | | South African Rand | | | | 1,946,882 | | | | U.S. Dollars | | | | 136,000 | | | | State Street | | | | (1,985 | ) |
06/16/21 | | | British Pounds | | | | 277,278 | | | | Euro | | | | 320,000 | | | | Standard Chartered Bank | | | | (2,121 | ) |
05/12/21 | | | South African Rand | | | | 2,121,260 | | | | U.S. Dollars | | | | 148,142 | | | | BNP Paribas | | | | (2,123 | ) |
05/12/21 | | | Japanese Yen | | | | 21,290,890 | | | | Euro | | | | 164,000 | | | | UBS | | | | (2,388 | ) |
05/12/21 | | | South African Rand | | | | 2,521,869 | | | | U.S. Dollars | | | | 176,000 | | | | Bank of America | | | | (2,405 | ) |
05/26/21 | | | U.S. Dollars | | | | 103,184 | | | | Mexican Pesos | | | | 2,147,239 | | | | Barclays | | | | (2,503 | ) |
05/04/21 | | | U.S. Dollars | | | | 38,000 | | | | Brazilian Reals | | | | 220,599 | | | | UBS | | | | (2,595 | ) |
05/12/21 | | | Mexican Pesos | | | | 6,555,792 | | | | U.S. Dollars | | | | 326,000 | | | | Citibank | | | | (2,809 | ) |
06/16/21 | | | Euro | | | | 584,000 | | | | U.S. Dollars | | | | 706,225 | | | | UBS | | | | (3,410 | ) |
06/16/21 | | | Euro | | | | 2,070,000 | | | | U.S. Dollars | | | | 2,497,911 | | | | Citibank | | | | (6,770 | ) |
05/12/21 | | | Colombian Pesos | | | | 645,727,500 | | | | U.S. Dollars | | | | 179,000 | | | | Citibank | | | | (7,072 | ) |
06/16/21 | | | Euro | | | | 750,000 | | | | U.S. Dollars | | | | 910,597 | | | | State Street | | | | (8,009 | ) |
06/16/21 | | | British Pounds | | | | 1,150,000 | | | | U.S. Dollars | | | | 1,597,961 | | | | HSBC | | | | (9,552 | ) |
06/16/21 | | | U.S. Dollars | | | | 1,591,994 | | | | Euro | | | | 1,341,984 | | | | Bank of America | | | | (23,017 | ) |
06/16/21 | | | British Pounds | | | | 2,403,793 | | | | Euro | | | | 2,790,000 | | | | BNP Paribas | | | | (37,446 | ) |
06/16/21 | | | U.S. Dollars | | | | 5,152,348 | | | | Euro | | | | 4,318,379 | | | | BNP Paribas | | | | (44,608 | ) |
| |
| |
Total Unrealized Depreciation | | | | $(183,990 | ) |
| |
| |
Net Unrealized Appreciation | | | | $ 17,153 | |
| |
Written Call Option Contracts outstanding at April 30, 2021:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | | | | | Notional Amount | | | Exercise Price | | | Expiration Date | | | Value | |
| |
| | | | | | |
10-Year U.S. Treasury Note Future | | | 16 | | | | USD | | | | 2,112,500 | | | | 132.25 | | | | 5/7/2021 | | | $ | (3,500 | ) |
10-Year U.S. Treasury Note Future | | | 6 | | | | USD | | | | 792,188 | | | | 132.50 | | | | 5/7/2021 | | | | (844 | ) |
10-Year U.S. Treasury Note Future | | | 73 | | | | USD | | | | 9,638,281 | | | | 134.00 | | | | 5/21/2021 | | | | (2,281 | ) |
10-Year U.S. Treasury Note Future | | | 32 | | | | USD | | | | 4,225,000 | | | | 132.00 | | | | 5/21/2021 | | | | (17,500 | ) |
10-Year U.S. Treasury Note Future | | | 10 | | | | USD | | | | 1,320,313 | | | | 131.50 | | | | 5/21/2021 | | | | (8,594 | ) |
10-Year U.S. Treasury Note Future | | | 6 | | | | USD | | | | 792,188 | | | | 132.75 | | | | 5/21/2021 | | | | (1,312 | ) |
10-Year U.S. Treasury Note Future | | | 5 | | | | USD | | | | 660,156 | | | | 132.25 | | | | 5/21/2021 | | | | (2,109 | ) |
10-Year U.S. Treasury Note Future | | | 2 | | | | USD | | | | 264,063 | | | | 133.00 | | | | 5/21/2021 | | | | (313 | ) |
See accompanying Notes to Financial Statements
119
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Written Call Option Contracts outstanding at April 30, 2021:
Exchange Traded (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | | | | | Notional Amount | | | Exercise
Price | | | Expiration Date | | | Value | |
| |
| | | | | | |
10-Year U.S. Treasury Note Future | | | 18 | | | | USD | | | | 2,361,375 | | | | 132.50 | | | | 6/25/2021 | | | $ | (6,469 | ) |
10-Year U.S. Treasury Note Future | | | 12 | | | | USD | | | | 1,574,250 | | | | 133.00 | | | | 6/25/2021 | | | | (3,000 | ) |
2-Year Mid Curve Future | | | 15 | | | | USD | | | | 3,710,250 | | | | 99.12 | | | | 12/10/2021 | | | | (4,875 | ) |
5-Year U.S. Treasury Note Future | | | 10 | | | | USD | | | | 1,239,375 | | | | 124.00 | | | | 5/7/2021 | | | | (1,406 | ) |
5-Year U.S. Treasury Note Future | | | 10 | | | | USD | | | | 1,239,375 | | | | 123.75 | | | | 5/21/2021 | | | | (3,906 | ) |
5-Year U.S. Treasury Note Future | | | 4 | | | | USD | | | | 495,750 | | | | 124.25 | | | | 5/21/2021 | | | | (500 | ) |
U.S. Treasury Long Bond Future | | | 2 | | | | USD | | | | 371,813 | | | | 158.50 | | | | 5/7/2021 | | | | (562 | ) |
U.S. Treasury Long Bond Future | | | 26 | | | | USD | | | | 4,088,500 | | | | 159.00 | | | | 5/21/2021 | | | | (14,219 | ) |
U.S. Treasury Long Bond Future | | | 10 | | | | USD | | | | 1,572,500 | | | | 160.00 | | | | 5/21/2021 | | | | (3,125 | ) |
U.S. Treasury Long Bond Future | | | 8 | | | | USD | | | | 1,258,000 | | | | 162.00 | | | | 5/21/2021 | | | | (750 | ) |
U.S. Treasury Long Bond Future | | | 7 | | | | USD | | | | 1,100,750 | | | | 157.00 | | | | 5/21/2021 | | | | (9,953 | ) |
U.S. Treasury Long Bond Future | | | 6 | | | | USD | | | | 943,500 | | | | 165.00 | | | | 5/21/2021 | | | | (188 | ) |
U.S. Treasury Long Bond Future | | | 4 | | | | USD | | | | 629,000 | | | | 166.00 | | | | 5/21/2021 | | | | (125 | ) |
U.S. Treasury Long Bond Future | | | 4 | | | | USD | | | | 629,000 | | | | 163.00 | | | | 5/21/2021 | | | | (250 | ) |
U.S. Treasury Long Bond Future | | | 15 | | | | USD | | | | 2,334,844 | | | | 158.00 | | | | 6/25/2021 | | | | (17,109 | ) |
| |
| |
Total Written Call Options Contracts (Premiums Received $165,412) | | | $ | (102,890 | ) |
| |
Written Put Option Contracts outstanding at April 30, 2021:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | | | | | Notional Amount | | | Exercise
Price | | | Expiration
Date | | | Value | |
| |
| | | | | | |
10-Year U.S. Treasury Note Future | | | 10 | | | | USD | | | | 1,320,313 | | | | 131.50 | | | | 5/21/2021 | | | $ | (3,281 | ) |
10-Year U.S. Treasury Note Future | | | 9 | | | | USD | | | | 1,188,281 | | | | 130.50 | | | | 5/21/2021 | | | | (984 | ) |
10-Year U.S. Treasury Note Future | | | 1 | | | | USD | | | | 132,031 | | | | 132.00 | | | | 5/21/2021 | | | | (516 | ) |
1-Year Mid Curve Future | | | 320 | | | | USD | | | | 108,024,000 | | | | 99.50 | | | | 9/10/2021 | | | | (18,000 | ) |
2-Year Mid Curve Future | | | 480 | | | | USD | | | | 118,926,000 | | | | 99.12 | | | | 9/10/2021 | | | | (198,000 | ) |
2-Year Mid Curve Future | | | 389 | | | | USD | | | | 96,379,612 | | | | 99.00 | | | | 9/10/2021 | | | | (111,837 | ) |
2-Year Mid Curve Future | | | 14 | | | | USD | | | | 3,462,900 | | | | 98.75 | | | | 12/10/2021 | | | | (5,338 | ) |
3-Year Mid Curve Future | | | 451 | | | | USD | | | | 112,541,413 | | | | 98.87 | | | | 6/11/2021 | | | | (326,975 | ) |
3-Year Mid Curve Future | | | 480 | | | | USD | | | | 119,760,000 | | | | 98.62 | | | | 9/10/2021 | | | | (363,000 | ) |
5-Year U.S. Treasury Note Future | | | 29 | | | | USD | | | | 3,594,187 | | | | 123.50 | | | | 5/21/2021 | | | | (3,852 | ) |
5-Year U.S. Treasury Note Future | | | 21 | | | | USD | | | | 2,602,687 | | | | 123.75 | | | | 5/21/2021 | | | | (4,266 | ) |
5-Year U.S. Treasury Note Future | | | 2 | | | | USD | | | | 247,875 | | | | 123.25 | | | | 5/21/2021 | | | | (156 | ) |
| |
| | |
Total Written Put Options Contracts (Premiums Received $ 569,121) | | | | | | | $ | (1,036,205 | ) |
| |
See accompanying Notes to Financial Statements
120
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Written Call Option Contracts outstanding at April 30, 2021:
Over the Counter
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Number of
Contracts | | | | | | Notional
Amount | | | Exercise
Price | | | Expiration
Date | | | Value | |
| |
| | | | | | | | |
Brazilian Real vs. U.S. Dollar | | Morgan Stanley | | | 1 | | | | USD | | | | 42,000 | | | | BRL | | | | 5.75 | | | | 5/13/2021 | | | $ | (48 | ) |
Brazilian Real vs. U.S. Dollar | | Barclays | | | 1 | | | | USD | | | | 100,000 | | | | BRL | | | | 5.75 | | | | 6/18/2021 | | | | (904 | ) |
Brazilian Real vs. U.S. Dollar | | Barclays | | | 1 | | | | USD | | | | 80,000 | | | | BRL | | | | 5.75 | | | | 6/21/2021 | | | | (757 | ) |
Canadian Dollar vs. U.S. Dollar | | Deutsche Bank | | | 1 | | | | USD | | | | 179,000 | | | | CAD | | | | 1.30 | | | | 6/18/2021 | | | | (72 | ) |
Mexican Peso vs. U.S. Dollar | | JPMorgan Chase | | | 2 | | | | USD | | | | 201,000 | | | | MXN | | | | 21.00 | | | | 5/3/2021 | | | | (9 | ) |
Mexican Peso vs. U.S. Dollar | | Deutsche Bank | | | 2 | | | | USD | | | | 116,000 | | | | MXN | | | | 22.00 | | | | 5/6/2021 | | | | (1 | ) |
Mexican Peso vs. U.S. Dollar | | Deutsche Bank | | | 1 | | | | USD | | | | 240,000 | | | | MXN | | | | 20.85 | | | | 6/25/2021 | | | | (3,022 | ) |
South African Rand vs. U.S. Dollar | | BNP Paribas | | | 1 | | | | USD | | | | 180,000 | | | | ZAR | | | | 15.00 | | | | 5/26/2021 | | | | (1,103 | ) |
Turkish Lira vs. U.S. Dollar | | Citibank | | | 1 | | | | USD | | | | 72,000 | | | | TRY | | | | 9.50 | | | | 6/29/2021 | | | | (738 | ) |
| |
| | |
Total Written OTC Call Options Contracts (Premiums Received $ 15,889) | | | | | | | $ | (6,654 | ) |
| |
Written Put Option Contracts outstanding at April 30, 2021:
Over the Counter
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Number of Contracts | | | | | | Notional
Amount | | | | | | Exercise
Price | | | Expiration
Date | | | Value | |
| |
Brazilian Real vs. U.S. Dollar | | Barclays | | | 1 | | | | USD | | | | 199,000 | | | | BRL | | | | 5.24 | | | | 6/18/2021 | | | $ | (1,774 | ) |
Brazilian Real vs. U.S. Dollar | | Barclays | | | 1 | | | | USD | | | | 160,000 | | | | BRL | | | | 5.24 | | | | 6/21/2021 | | | | (1,488 | ) |
British Pound vs. Euro | | Citibank | | | 1 | | | | EUR | | | | 3,260,000 | | | | GBP | | | | 0.83 | | | | 6/11/2021 | | | | (401 | ) |
Indonesian Rupiah vs. U.S. Dollar | | Bank of America | | | 1 | | | | USD | | | | 300,000 | | | | IDR | | | | 14,150.00 | | | | 6/24/2021 | | | | (591 | ) |
Mexican Peso vs. U.S. Dollar | | Barclays | | | 2 | | | | USD | | | | 118,000 | | | | MXN | | | | 19.50 | | | | 6/11/2021 | | | | (327 | ) |
Russian Ruble vs. U.S. Dollar | | Citibank | | | 2 | | | | USD | | | | 230,000 | | | | RUB | | | | 71.00 | | | | 5/14/2021 | | | | (5 | ) |
Russian Ruble vs. U.S. Dollar | | Deutsche Bank | | | 1 | | | | USD | | | | 240,000 | | | | RUB | | | | 73.00 | | | | 5/25/2021 | | | | (561 | ) |
South African Rand vs. U.S. Dollar | | Citibank | | | 4 | | | | USD | | | | 194,000 | | | | ZAR | | | | 14.35 | | | | 4/29/2021 | | | | (1,700 | ) |
U.S. Dollar vs. Euro | | Bank of America | | | 1 | | | | EUR | | | | 4,234,500 | | | | USD | | | | 1.16 | | | | 5/6/2021 | | | | — | * |
| |
| |
Total Written OTC Put Options Contracts (Premiums Received $28,700) | | | $ | (6,847 | ) |
| |
*Amount rounds to less than one dollar.
See accompanying Notes to Financial Statements
121
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Written Call Interest Rate Swaption Contracts outstanding at April 30, 2021:
Over the Counter
| | | | | | | | | | | | | | | | | | | | | | |
| Description | | Pay Rate Index/ Pay Rate | | Receive Rate Index/
Receive Rate | | Counterparty | | Expiration
Date | | | Exercise
Rate | | | Notional
Amount | | | Value | |
| |
| | | | | | | |
Interest Rate Swap Maturing 10/22/2031 | | 1.68% Semi-Annually | | 3M USD LIBOR Quarterly | | Deutsche Bank | | | 10/20/2021 | | | | 1.68 | % | | | 7,500,000 | | | $ | (125,104 | ) |
Interest Rate Swap Maturing 10/22/2031 | | 1.72% Semi-Annually | | 3M USD LIBOR Quarterly | | Morgan Stanley | | | 10/20/2021 | | | | 1.72 | | | | 7,500,000 | | | | (139,559 | ) |
| |
| | | |
Total Written OTC Call Swaptions Contracts (Premiums Received $319,312) | | | | | | | | | | | $ | (264,663 | ) |
| |
Written Put Interest Rate Swaption Contracts outstanding at April 30, 2021:
Over the Counter
| | | | | | | | | | | | | | | | | | | | | | |
| Description | | Pay Rate Index/ Pay Rate | | Receive Rate Index/
Receive Rate | | Counterparty | | Expiration
Date | | | Exercise
Rate | | | Notional
Amount | | | Value | |
| |
| | | | | | | |
Interest Rate Swap Maturing 10/22/2031 | | 3M USD LIBOR Quarterly | | 1.72% Semi-Annually | | Morgan Stanley | | | 10/20/2021 | | | | 1.72 | % | | | 7,500,000 | | | $ | (151,372 | ) |
Interest Rate Swap Maturing 10/22/2031 | | 3M USD LIBOR Quarterly | | 1.68% Semi-Annually | | Deutsche Bank | | | 10/20/2021 | | | | 1.68 | | | | 7,500,000 | | | | (165,218 | ) |
| |
| | | |
Total Written OTC Put Swaptions Contracts (Premiums Received $319,313) | | | | | | | | | | | $ | (316,590 | ) |
| |
Interest Rate Swap Contracts outstanding at April 30, 2021:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay Rate Index/ Pay Rate | | Receive Rate Index/
Receive Rate | | Maturity
Date | | | | | | Notional
Amount | | | Market Value | | | Upfront Premiums Paid (Received) | | | Unrealized
Appreciation
(Depreciation) | |
| |
| | | | | | | |
3M USD LIBOR (Quarterly) | | 0.19% (Semi-Annually) | | | 6/15/2022 | | | | USD | | | | 6,485,000 | | | | $ 1,361 | | | | $ (18 | ) | | | $ 1,379 | |
28-Day MXN-TIIE-BANXICO (Monthly) | | 4.29% (Monthly) | | | 1/13/2023 | | | | MXN | | | | 17,803,000 | | | | (9,366 | ) | | | — | | | | (9,366 | ) |
28-Day MXN-TIIE-BANXICO (Monthly) | | 4.18% (Monthly) | | | 2/16/2023 | | | | MXN | | | | 8,464,500 | | | | (5,784 | ) | | | — | | | | (5,784 | ) |
28-Day MXN-TIIE-BANXICO (Monthly) | | 5.22% (Monthly) | | | 3/29/2023 | | | | MXN | | | | 10,836,000 | | | | 2,061 | | | | — | | | | 2,061 | |
28-Day MXN-TIIE-BANXICO (Monthly) | | 4.92%(Monthly) | | | 4/25/2023 | | | | MXN | | | | 10,645,000 | | | | (1,301 | ) | | | — | | | | (1,301 | ) |
28-Day MXN-TIIE-BANXICO (Monthly) | | 4. 68% (Monthly) | | | 2/27/2024 | | | | MXN | | | | 11,883,000 | | | | (11,305 | ) | | | — | | | | (11,305 | ) |
28-Day MXN-TIIE-BANXICO (Monthly) | | 5. 50% (Monthly) | | | 3/21/2024 | | | | MXN | | | | 3,495,034 | | | | 402 | | | | — | | | | 402 | |
28-Day MXN-TIIE-BANXICO (Monthly) | | 5. 47% (Monthly) | | | 3/21/2024 | | | | MXN | | | | 3,490,966 | | | | 259 | | | | — | | | | 259 | |
0.51% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 4/7/2024 | | | | USD | | | | 966,000 | | | | (1,436 | ) | | | — | | | | (1,436 | ) |
28-Day MXN-TIIE-BANXICO (Monthly) | | 5. 31% (Monthly) | | | 4/22/2024 | | | | MXN | | | | 7,028,000 | | | | (1,389 | ) | | | — | | | | (1,389 | ) |
0.63% (At Maturity) | | 1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | | | 3/1/2025 | | | | GBP | | | | 3,520,000 | | | | 4,794 | | | | — | | | | 4,794 | |
See accompanying Notes to Financial Statements
122
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Interest Rate Swap Contracts outstanding at April 30, 2021:
Exchange Traded (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay Rate Index/ Pay Rate | | Receive Rate Index/
Receive Rate | | Maturity Date | | | | | | Notional Amount | | | Market Value | | | Upfront Premiums Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
| |
0.64% (At Maturity) | | 1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | | | 3/1/2025 | | | | GBP | | | | 3,520,000 | | | | $ 4,650 | | | | $ — | | | | $ 4,650 | |
0.61% (At Maturity) | | 1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | | | 3/11/2025 | | | | GBP | | | | 7,080,000 | | | | 12,703 | | | | — | | | | 12,703 | |
0.70% (At Maturity) | | 1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | | | 4/12/2025 | | | | GBP | | | | 5,950,000 | | | | 4,856 | | | | — | | | | 4,856 | |
1- Day EUR EONIA (At Maturity) | | (0.29)% (At Maturity) | | | 4/15/2025 | | | | EUR | | | | 6,430,000 | | | | (5,635 | ) | | | — | | | | (5,635 | ) |
1- Day EUR EONIA (At Maturity) | | (0.29)% (At Maturity) | | | 4/23/2025 | | | | EUR | | | | 6,670,000 | | | | (2,102 | ) | | | — | | | | (2,102 | ) |
0.69% (At Maturity) | | 1-Day GBP Sterling Overnight Index Average Rate (At Maturity) | | | 4/29/2025 | | | | GBP | | | | 2,944,000 | | | | 3,125 | | | | 1,086 | | | | 2,039 | |
1- Day EUR EONIA (At Maturity) | | (0.24)% (At Maturity) | | | 4/30/2025 | | | | EUR | | | | 12,971,000 | | | | (4,099 | ) | | | (421 | ) | | | (3,678 | ) |
3M USD LIBOR (Quarterly) | | 1.10% (Semi-Annually) | | | 12/18/2025 | | | | USD | | | | 18,094,000 | | | | (117,602 | ) | | | — | | | | (117,602 | ) |
0.45% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 5/15/2027 | | | | USD | | | | 8,519,000 | | | | 349,300 | | | | (6,282 | ) | | | 355,582 | |
1.25% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 2/15/2028 | | | | USD | | | | 13,752,000 | | | | 66,781 | | | | 53,950 | | | | 12,831 | |
1.35% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 2/15/2028 | | | | USD | | | | 39,587,000 | | | | (63,659 | ) | | | (147,638 | ) | | | 83,979 | |
0.80% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 11/15/2045 | | | | USD | | | | 8,645,000 | | | | 2,169,944 | | | | 78,265 | | | | 2,091,679 | |
1.20% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 2/15/2047 | | | | USD | | | | 1,230,000 | | | | 222,145 | | | | 30,431 | | | | 191,714 | |
1.23% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 2/15/2047 | | | | USD | | | | 180,000 | | | | 31,552 | | | | (515 | ) | | | 32,067 | |
1.60% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 2/15/2047 | | | | USD | | | | 814,000 | | | | 79,156 | | | | 4,735 | | | | 74,421 | |
2.00% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 2/15/2047 | | | | USD | | | | 3,799,000 | | | | 65,448 | | | | (3,334 | ) | | | 68,782 | |
1.20% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 10/7/2050 | | | | USD | | | | 1,437,000 | | | | 292,254 | | | | 7,017 | | | | 285,237 | |
1.50% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 3/8/2051 | | | | USD | | | | 1,645,791 | | | | 219,930 | | | | — | | | | 219,930 | |
3M USD LIBOR (Quarterly) | | 1.70% (Semi-Annually) | | | 3/8/2051 | | | | USD | | | | 822,900 | | | | (71,062 | ) | | | — | | | | (71,062 | ) |
3M USD LIBOR (Quarterly) | | 1.77% (Semi-Annually) | | | 3/8/2051 | | | | USD | | | | 822,891 | | | | (57,445 | ) | | | — | | | | (57,445 | ) |
2.05% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 6/7/2051 | | | | USD | | | | 1,320,000 | | | | 10,950 | | | | 11,624 | | | | (674 | ) |
| |
| | | | | | | |
Total | | | | | | | | | | | | | | | | | $3,189,486 | | | | $ 28,900 | | | | $3,160,586 | |
| |
Interest Rate Swap Contracts outstanding at April 30, 2021:
Over the Counter
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay Rate Index/ Pay Rate | | Receive Rate Index/ Receive Rate | | | Counterparty | | | Maturity Date | | | | | | Notional Amount | | | Market Value | | | Upfront Premiums Paid (Received) | | | Unrealized Appreciation (Depreciation) |
|
| | | | | | | | |
1.42% (Semi-Annually) | |
| 1-Day CLP ICP
(Semi-Annually) |
| | | Bank of America | | | | 4/1/2023 | | | | CLP | | | | 357,254,000 | | | $ | (1,481 | ) | | | $— | | | $(1,481) |
See accompanying Notes to Financial Statements
123
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Interest Rate Swap Contracts outstanding at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay Rate Index/ Pay Rate | | Receive Rate Index/ Receive Rate | | | Counterparty | | | Maturity Date | | | | | | Notional Amount | | | Market Value | | | Upfront Premiums Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | | | |
7-Day CNY Reverse Repo Rate (Quarterly) | | | 2.93% (Quarterly) | | | | Bank of America | | | | 6/16/2026 | | | | CNY | | | | 35,683,000 | | | $ | 41,064 | | | | $— | | | | $41,064 | |
| |
| | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | | | | $ | 39,583 | | | | $— | | | | $39,583 | |
| |
Credit Default Swap Contracts outstanding - Sell Protection as of April 30, 2021:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Implied Credit Spread | | | Fixed Deal Receive Rate | | | Maturity Date | | | | | | Notional Amount(1) | | | Market Value | | | Upfront Premiums Paid/ (Received) | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | | | |
Markit CDX North America Investment Grade Index Series 36 (Receive Quarterly) | | | 0.51 | % | | | 1.00 | % | | | 6/20/2026 | | | | USD | | | | 123,397,000 | | | | $3,199,760 | | | | $2,679,813 | | | | $519,947 | |
| |
| | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | | | | | $3,199,760 | | | | $2,679,813 | | | | $519,947 | |
| |
| (1) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Credit Default Swap Contracts outstanding - Buy Protection at April 30, 2021:
Over the Counter
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal (Pay) Rate | | | Maturity Date | | | Counterparty | | | | | | Notional Amount | | | Market Value | | | Upfront Premiums Paid/ (Received) | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | | | |
Federal Republic of Brazil, 4.25%, Due: 01/07/2025 (Pay Quarterly) | | | 1.00 | % | | | 6/20/2026 | | | | Barclays | | | | USD | | | | 593,000 | | | | $ 25,310 | | | | $ 33,611 | | | | $ (8,301 | ) |
Republic of Chile, 3.24%, Due: 02/06/2028 (Pay Quarterly) | | | 1.00 | % | | | 6/20/2026 | | | | Goldman Sachs | | | | USD | | | | 79,000 | | | | (1,974 | ) | | | (1,618 | ) | | | (356 | ) |
Republic of Colombia, 10.38%, Due: 01/28/2033 (Pay Quarterly) | | | 1.00 | % | | | 6/20/2026 | | | | Citibank | | | | USD | | | | 734,966 | | | | 8,814 | | | | 11,509 | | | | (2,695 | ) |
Republic of Indonesia, 3.70%, Due: 01/08/2022 (Pay Quarterly) | | | 1.00 | % | | | 6/20/2026 | | | | JPMorgan Chase | | | | USD | | | | 470,000 | | | | (5,838 | ) | | | (2,665 | ) | | | (3,173 | ) |
Republic of Philippines, 10.63%, Due: 03/16/2025 (Pay Quarterly) | | | 1.00 | % | | | 6/20/2026 | | | | Goldman Sachs | | | | USD | | | | 198,269 | | | | (5,629 | ) | | | (5,265 | ) | | | (364 | ) |
Republic of South Africa, 5.88%, Due: 09/16/2025 (Pay Quarterly) | | | 1.00 | % | | | 6/20/2026 | | | | Goldman Sachs | | | | USD | | | | 1,490,852 | | | | 81,967 | | | | 103,829 | | | | (21,862 | ) |
See accompanying Notes to Financial Statements
124
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Credit Default Swap Contracts outstanding - Buy Protection at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal (Pay) Rate | | | Maturity Date | | | Counterparty | | | | | | Notional Amount | | | Market Value | | | Upfront Premiums Paid/ (Received) | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | | | |
United Mexican States, 4.15%, Due: 03/28/2027 (Pay Quarterly) | | | 1.00% | | | | 6/20/2026 | | |
| Morgan
Stanley |
| | | USD | | | | 638,000 | | | | $ (2,563 | ) | | | $ 4,133 | | | | $ (6,696 | ) |
| |
| | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | | | | | $100,087 | | | | $143,534 | | | | $(43,447 | ) |
| |
Inflation Swap Contracts outstanding at April 30, 2021:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay Rate Index/ Pay Rate | | Receive Rate Index/ Receive Rate | | Maturity Date | | | | | | Notional Amount | | | Market Value | | | Upfront Premiums Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | | |
1-Day U.S. Consumer Price Index (At Maturity) | | 2.32% (At Maturity) | | | 1/25/2031 | | | | USD | | | | 1,480,000 | | | | $ (40,346 | ) | | | $— | | | | $ (40,346 | ) |
1-Day U.S. Consumer Price Index (At Maturity) | | 2.34% (At Maturity) | | | 1/25/2031 | | | | USD | | | | 1,480,000 | | | | (38,360 | ) | | | — | | | | (38,360 | ) |
1-Day U.S. Consumer Price Index (At Maturity) | | 2.34% (At Maturity) | | | 3/4/2031 | | | | USD | | | | 526,000 | | | | (12,910 | ) | | | — | | | | (12,910 | ) |
1-Day Eurostat Eurozone HICP Ex Tobacco (At Maturity) | | 1.39% (At Maturity) | | | 4/15/2031 | | | | EUR | | | | 1,190,000 | | | | (6,113 | ) | | | — | | | | (6,113 | ) |
1-Day Eurostat Eurozone HICP Ex Tobacco (At Maturity) | | 1.41% (At Maturity) | | | 4/15/2031 | | | | EUR | | | | 570,000 | | | | (1,580 | ) | | | — | | | | (1,580 | ) |
1-Day Eurostat Eurozone HICP Ex Tobacco (At Maturity) | | 1.38% (At Maturity) | | | 4/15/2031 | | | | EUR | | | | 570,000 | | | | (3,605 | ) | | | — | | | | (3,605 | ) |
1-Day U.S. Consumer Price Index (At Maturity) | | 2.47% (At Maturity) | | | 4/26/2031 | | | | USD | | | | 3,411,000 | | | | (27,358 | ) | | | — | | | | (27,358 | ) |
1-Day U.S. Consumer Price Index (At Maturity) | | 2.54% (At Maturity) | | | 5/5/2031 | | | | USD | | | | 910,000 | | | | — | | | | — | | | | — | |
1-Day U.S. Consumer Price Index (At Maturity) | | 2.55% (At Maturity) | | | 5/5/2031 | | | | USD | | | | 910,000 | | | | — | | | | — | | | | — | |
1-Day UK RPI (At Maturity) | | 3.33% (At Maturity) | | | 11/15/2040 | | | | USD | | | | 38,000 | | | | (3,804 | ) | | | — | | | | (3,804 | ) |
1-Day UK RPI (At Maturity) | | 3.38% (At Maturity) | | | 12/15/2040 | | | | GBP | | | | 132,000 | | | | (10,449 | ) | | | — | | | | (10,449 | ) |
1-Day UK RPI (At Maturity) | | 3.37% (At Maturity) | | | 12/15/2040 | | | | GBP | | | | 56,000 | | | | (4,714 | ) | | | — | | | | (4,714 | ) |
1-Day UK RPI (At Maturity) | | 3.35% (At Maturity) | | | 12/15/2040 | | | | GBP | | | | 23,000 | | | | (2,098 | ) | | | — | | | | (2,098 | ) |
1-Day UK RPI (At Maturity) | | 3.42% (At Maturity) | | | 3/15/2041 | | | | GBP | | | | 128,000 | | | | (8,221 | ) | | | — | | | | (8,221 | ) |
| |
| | | | | | | |
Total | | | | | | | | | | | | | | | | | $(159,558 | ) | | | $— | | | | $(159,558 | ) |
| |
See accompanying Notes to Financial Statements
125
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Total Return Swap Contracts outstanding as of April 30, 2021:
Over the Counter
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay Rate Index/
Pay Rate | | Receive Rate Index/
Receive Rate | | | Counterparty | | | Maturity
Date | | | | | | Notional
Amount | | | Market
Value | | | Upfront
Premiums
Paid (Received) | | | Unrealized
Appreciation (Depreciation) | |
| | | | | | | | |
3M USD LIBOR (Quarterly) | |
| Markit iBoxx USD Liquid
High Yield Index (At Maturity) |
| | | JPMorgan Chase | | | | 6/21/2021 | | | | USD | | | | 2,940,000 | | | | $14,894 | | | | $(290 | ) | | | $15,184 | |
| | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | | | | | $14,894 | | | | $(290 | ) | | | $15,184 | |
See accompanying Notes to Financial Statements
126
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
Valuation Hierarchy
The following is a summary of the inputs used, as of April 30, 2021, in valuing the Fund’s investments carried at fair value:
| | | | | | | | | | | | | | | | |
| Morningstar Total Return Bond Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| | | | |
Investments | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 63,172,794 | | | $ | — | | | $ | 63,172,794 | |
Corporate Bonds | | | — | | | | 201,402,887 | | | | 151,633 | | | | 201,554,520 | |
Foreign Issuer Bonds | | | — | | | | 81,052,021 | | | | — | | | | 81,052,021 | |
Mortgage-Backed Securities | | | — | | | | 231,920,409 | | | | — | | | | 231,920,409 | |
Municipal Bonds | | | — | | | | 2,781,372 | | | | — | | | | 2,781,372 | |
Term Loans | | | — | | | | 14,383 | | | | — | | | | 14,383 | |
U.S. Government Obligations | | | — | | | | 127,935,958 | | | | — | | | | 127,935,958 | |
Investment Companies | | | 88,551,525 | | | | — | | | | — | | | | 88,551,525 | |
Short-Term Investments | | | 116,604,181 | | | | 17,389,128 | | | | — | | | | 133,993,309 | |
Purchased Options | | | 1,817,468 | | | | 85,433 | | | | — | | | | 1,902,901 | |
| | | | | |
Total Assets – Investments at value | | $ | 206,973,174 | | | $ | 725,754,385 | | | $ | 151,633 | | | $ | 932,879,192 | |
Liabilities: | | | | | | | | | | | | | | | | |
Mortgage-Backed Securities | | $ | — | | | $ | (17,268,110 | ) | | $ | — | | | $ | (17,268,110 | ) |
U.S. Government Obligations | | | — | | | | (5,579,719 | ) | | | — | | | | (5,579,719 | ) |
| | | | | |
Total Liabilities – Investments at value | | $ | — | | | $ | (22,847,829 | ) | | $ | — | | | $ | (22,847,829 | ) |
| | | | |
Net Investments | | $ | 206,973,174 | | | $ | 702,906,556 | | | $ | 151,633 | | | $ | 910,031,363 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Morningstar Total Return Bond Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| | | | |
Derivative Financial Instruments | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 401,890 | | | $ | — | | | | $— | | | $ | 401,890 | |
Forward Foreign Currency Exchange Contracts | | | — | | | | 201,143 | | | | — | | | | 201,143 | |
Swap Agreements at Fair Value | | | — | | | | 6,913,480 | | | | — | | | | 6,913,480 | |
| | | | | |
Total Assets - Derivative Financial Instruments | | $ | 401,890 | | | $ | 7,114,623 | | | | $— | | | $ | 7,516,513 | |
Liabilities: | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (949,449 | ) | | $ | — | | | | $— | | | $ | (949,449 | ) |
Forward Foreign Currency Exchange Contracts | | | — | | | | (183,990 | ) | | | — | | | | (183,990 | ) |
Written Options at Fair Value | | | (1,139,095 | ) | | | (594,754 | ) | | | — | | | | (1,733,849 | ) |
Swap Agreements at Fair Value | | | — | | | | (529,228 | ) | | | — | | | | (529,228 | ) |
| | | | | |
Total Liabilities - Derivative Financial Instruments | | $ | (2,088,544 | ) | | $ | (1,307,972 | ) | | | $— | | | $ | (3,396,516 | ) |
| | | | |
Net Derivative Financial Instruments | | $ | (1,686,654 | ) | | $ | 5,806,651 | | | | $— | | | $ | 4,119,997 | |
Investments classified within Level 3 of the fair value hierarchy are valued by Morningstar Investment Management LLC (“MIM”) in good faith under procedures adopted by authority of the Fund’s Board of Trustees. MIM employs various methods to determine fair valuations including regular review of key inputs and
See accompanying Notes to Financial Statements
127
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Total Return Bond Fund
assumptions, and review of related market activity, if any. However, there are generally no observable trade activities in these securities. MIM reports to the Board of Trustees at their regularly scheduled quarterly meetings, or more often if warranted. The report includes a summary of the results of the process, the key inputs and assumptions noted, and any changes to the inputs and assumptions used. When appropriate, MIM will recommend changes to the procedures and process employed. The value determined for an investment using the fair value procedures may differ significantly from the value realized upon the sale of such investment.
See accompanying Notes to Financial Statements
128
Morningstar Funds Trust April 30, 2021
Schedule of Investments
|
Morningstar Municipal Bond Fund |
| | | | | | | | |
| | | Par | | | Value | |
|
Municipal Bonds – 82.8% | |
| | |
Alabama – 1.4% | | | | | | | | |
Alabama Federal Aid Highway Finance Authority Special Obligation GARVEE Bonds, Series A, 5.00%, 6/01/37 | | $ | 545,000 | | | $ | 674,369 | |
Black Belt Energy Gas District Gas Prepay Revenue Bonds, Series A-1, Project No. 4, 4.00%, 6/01/24 | | | 500,000 | | | | 553,842 | |
Black Belt Energy Gas District Gas Prepay Revenue Bonds, Series A-1, Project No. 5, 4.00%, 10/01/26(a)(b)(c) | | | 500,000 | | | | 582,118 | |
Black Belt Energy Gas District Gas Supply Revenue Refunding Bonds, 4.00%, 12/01/31(a)(b)(c) | | | 500,000 | | | | 619,704 | |
Jefferson County Sewer Warrants Senior Lien Revenue Bonds, Series A (AGM Insured), 5.50%, 10/01/53 | | | 300,000 | | | | 338,092 | |
Lower Alabama Gas District Gas Project Revenue Bonds, 4.00%, 12/01/25(a)(b)(c) | | | 500,000 | | | | 572,127 | |
Mobile Industrial Development Board PCR Bonds, Alabama Power Company Barry Plant Project, 1.00%, 6/26/25(a)(b)(c) | | | 1,000,000 | | | | 1,015,168 | |
Tuscaloosa County IDA Gulf Opportunity Zone Revenue Refunding Bonds, Series A, Hunt Refining Project, 5.25%, 5/01/44(d) | | | 310,000 | | | | 360,192 | |
University of South Alabama University Revenue Bonds (BAM Insured), 5.00%, 4/01/27 | | | 375,000 | | | | 465,535 | |
University of West Alabama University Revenue Refunding Bonds (AGM Insured), 5.00%, 1/01/27 | | | 505,000 | | | | 612,566 | |
| | |
| | | | | | | 5,793,713 | |
| | | |
Arizona – 0.8% | | | | | | | | |
Arizona Board of Regents Refunding COPS, Series C, University of Arizona, 5.00%, 6/01/28 | | | 400,000 | | | | 419,306 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
Arizona (Continued) | | | | | | | | |
Chandler IDA Industrial Development Variable Revenue Bonds (AMT), Intel Corp., Project, 2.70%, 8/14/23(a)(b)(c) | | $ | 500,000 | | | $ | 525,348 | |
Maricopa County IDA Revenue Refunding Bonds, Banner Health Obligation Group, 5.00%, 1/01/27 | | | 475,000 | | | | 589,427 | |
Phoenix Civic Improvement Corp., Airport Senior Lien Revenue Refunding Bonds (AMT), 5.00%, 7/01/30 | | | 250,000 | | | | 273,042 | |
Pima County IDA Education Revenue Facility Revenue Bonds, Paideia Academies Project, 6.13%, 7/01/45(d) | | | 240,000 | | | | 260,397 | |
Salt River Project Agricultural Improvement & Power District Electric Revenue Bonds, Salt River Project, 5.00%, 1/01/32 | | | 400,000 | | | | 529,324 | |
Salt River Project Agricultural Improvement & Power District Electric Revenue Refunding Bonds, Series A, 5.00%, 12/01/28 | | | 300,000 | | | | 308,377 | |
Salt River Project Agricultural Improvement & Power District Electric System Revenue Refunding Bonds, Series A, 5.00%, 12/01/45 | | | 500,000 | | | | 582,045 | |
| | |
| | | | | | | 3,487,266 | |
| | | |
California – 6.0% | | | | | | | | |
Anaheim Housing & Public Improvement Authority Revenue Bonds, Series A, 5.00%, 10/01/50 | | | 900,000 | | | | 1,060,078 | |
Anaheim Public Financing Authority Lease Revenue Refunding Bonds, Series A, 5.00%, 5/01/46 | | | 250,000 | | | | 272,556 | |
Bay Area Toll Authority Toll Bridge Variable Revenue Bonds, San Francisco Bay Area, (SIFMA Municipal Swap Index Yield + 0.90%), 0.96%, 5/01/23(a)(c) | | | 700,000 | | | | 705,814 | |
See accompanying Notes to Financial Statements
129
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
California (Continued) | | | | | | | | |
Bay Area Toll Bridge Authority Variable Revenue Refunding Bonds, San Francisco Bay, (SIFMA Municipal Swap Index Yield + 0.28%), 0.32%, 4/01/24(a)(c) | | $ | 250,000 | | | $ | 249,345 | |
(SIFMA Municipal Swap Index Yield + 0.45%), 0.51%, 4/01/26(a)(c) | | | 2,000,000 | | | | 2,002,586 | |
California HFA Municipal Certificates Revenue Bonds, Series 2, Class A, 4.00%, 3/20/33 | | | 244,920 | | | | 287,008 | |
California PFA Revenue Refunding Bonds, Henry Mayo Newhall Hospital, 5.00%, 10/15/47 | | | 400,000 | | | | 457,147 | |
California State GO Unlimited Refunding Bonds, | | | | | | | | |
4.00%, 10/01/37 | | | 300,000 | | | | 362,305 | |
4.00%, 11/01/37 | | | 1,400,000 | | | | 1,710,119 | |
California State Health Facilities Financing Authority Revenue Bonds, City of Hope Obligated Group, 5.00%, 11/15/49 | | | 500,000 | | | | 597,726 | |
California State Health Facilities Financing Authority Revenue Bonds, Series A, Sutter Health, Prerefunded, 5.00%, 11/15/25(e) | | | 500,000 | | | | 602,911 | |
California State Health Facilities Financing Authority Revenue Refunding Bonds, Marshall Medical Center (California Mortgage Insured), 4.00%, 11/01/40 | | | 750,000 | | | | 881,030 | |
California State Infrastructure & Economic Development Bank Revenue Refunding Bonds, Los Angeles County Museum of Natural History Foundation, 4.00%, 7/01/50 | | | 1,210,000 | | | | 1,392,783 | |
California State Infrastructure & Economic Development Bank Revenue Refunding Bonds, Series B, 5.00%, 11/01/29 | | | 1,000,000 | | | | 1,309,270 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
California (Continued) | | | | | | | | |
California State Municipal Finance Authority Revenue Bonds, Charter School John Adams Academies-Lincoln Project,
5.00%, 10/01/57(d) | | $ | 330,000 | | | $ | 349,437 | |
California State Municipal Finance Authority Revenue Refunding Bonds, Series A, Eisenhower Medical Center, 5.00%, 7/01/25 | | | 650,000 | | | | 761,433 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, Series A-P3, Claremont Colleges Project, 5.00%, 7/01/30(d) | | | 320,000 | | | | 376,953 | |
California State Municipal Finance Authority Student Housing Revenue Bonds, UCR North District Phase 1 (BAM Insured), 5.00%, 5/15/28 | | | 500,000 | | | | 629,670 | |
California State Public Works Board Lease Revenue Bonds, Series B, 4.00%, 5/01/46 | | | 200,000 | | | | 239,383 | |
California State Various Purpose Bid Group GO Unlimited Refunding Bonds, 5.00%, 8/01/30 | | | 600,000 | | | | 771,339 | |
California Statewide Communities Development Authority Revenue Bonds, Lancer Educational Standard Housing Project, 5.00%, 6/01/34(d) | | | 375,000 | | | | 437,195 | |
California Statewide Communities Development Authority Revenue Bonds, Loma Linda University Medical, 5.50%, 12/01/58(d) | | | 500,000 | | | | 592,400 | |
California Statewide Communities Development Authority Revenue Bonds, Series A, Loma Linda University Medical Center, 5.25%, 12/01/56(d) | | | 250,000 | | | | 281,671 | |
California Statewide Communities Development Authority Special Assessment Bonds, Statewide Community Infrastructure Program, 5.00%, 9/02/34 | | | 100,000 | | | | 122,743 | |
See accompanying Notes to Financial Statements
130
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
California (Continued) | | | | | | | | |
California Tobacco Securitization Agency Tobacco Settlement Senior Revenue Refunding Bonds, Series A, 4.00%, 6/01/40 | | $ | 300,000 | | | $ | 356,881 | |
Cathedral City Redevelopment Agency Successor Agency Tax Allocation Revenue Refunding Bonds, Merged Redevelopment Project Area (BAM Insured), 4.00%, 8/01/26 | | | 250,000 | | | | 287,875 | |
Foothill Eastern Transportation Corridor Agency Toll Road Junior Lien Revenue Bonds, Series C, 5.00%, 1/15/26 | | | 200,000 | | | | 238,749 | |
Foothill Eastern Transportation Corridor Agency Toll Road Senior Lien Revenue Refunding Bonds, Series A, 4.00%, 1/15/46 | | | 250,000 | | | | 293,390 | |
Fresno Airport Revenue Refunding Bonds, Series B (AMT) (BAM Insured), 5.00%, 7/01/28 | | | 390,000 | | | | 426,387 | |
Los Angeles Department of Airports Airport Subordinate Revenue Bonds (AMT), Los Angeles International Airport, 5.00%, 5/15/34 | | | 510,000 | | | | 598,039 | |
Los Angeles Department of Airports Airport Subordinate Revenue Bonds, Series C (AMT), Los Angeles International Airport, 5.00%, 5/15/29 | | | 1,000,000 | | | | 1,241,884 | |
Los Angeles Harbor Department Revenue Refunding Bonds, Series A (AMT), 5.00%, 8/01/35 | | | 1,250,000 | | | | 1,402,401 | |
Mesa Water District COPS, 4.00%, 3/15/39 | | | 300,000 | | | | 360,452 | |
Port of Oakland Intermediate Lien Revenue Refunding Bonds (AMT), 5.00%, 11/01/29 | | | 250,000 | | | | 323,687 | |
Rocklin Community Facilities District No. 10 Special Tax Bonds, 5.00%, 9/01/34 | | | 150,000 | | | | 169,457 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
California (Continued) | | | | | | | | |
San Diego County Regional Airport Authority Subordinate Revenue Refunding Bonds, Series A, 4.00%, 7/01/37 | | $ | 300,000 | | | $ | 352,428 | |
San Francisco City & County Airports Commission International Airport Revenue Bonds, Series A (AMT), 5.00%, 5/01/44 | | | 250,000 | | | | 306,436 | |
San Francisco City & County Airports Community International Revenue Refunding Bonds, Second Series A (AMT), 5.00%, 5/01/28 | | | 500,000 | | | | 523,204 | |
Sunnyvale Financing Authority Lease Revenue Bonds, Green Bonds, Civic Center Project, 4.00%, 4/01/34 | | | 865,000 | | | | 1,051,416 | |
Susanville Natural Gas Revenue Refunding Bonds, Natural Gas Enterprise (AGM Insured), 3.00%, 6/01/26 | | | 595,000 | | | | 649,633 | |
Tobacco Securitization Authority of Southern California Tobacco Settlement Revenue Refunding Bonds, San Diego Asset Securities, 5.00%, 6/01/35 | | | 100,000 | | | | 127,906 | |
| | |
| | | | | | | 25,163,127 | |
| | | |
Colorado – 2.8% | | | | | | | | |
Aurora Crossroads Metropolitan District No. 2 Senior Lien GO Limited Bonds, Series A, 5.00%, 12/01/40 | | | 500,000 | | | | 547,496 | |
Colorado Educational & Cultural Authority Revenue Refunding Bonds, Prospect Ridge Academy Project (Moral Obligation Insured), | | | | | | | | |
5.00%, 3/15/25 | | | 485,000 | | | | 564,445 | |
5.00%, 3/15/26 | | | 510,000 | | | | 611,749 | |
5.00%, 3/15/29 | | | 590,000 | | | | 757,524 | |
5.00%, 3/15/30 | | | 310,000 | | | | 405,021 | |
5.00%, 3/15/35 | | | 590,000 | | | | 754,990 | |
Colorado High Performance Transportation Enterprise Revenue Bonds, C-470 Express Lane, 5.00%, 12/31/56 | | | 1,000,000 | | | | 1,144,372 | |
See accompanying Notes to Financial Statements
131
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Colorado (Continued) | | | | | | | | |
Colorado State Bridge Enterprise Revenue Bonds (AMT), Central 70 Project, 4.00%, 12/31/24 | | $ | 630,000 | | | $ | 696,036 | |
Colorado State COPS, Series A, 4.00%, 12/15/35 | | | 1,250,000 | | | | 1,534,802 | |
Colorado State Health Facilities Authority Hospital Revenue Refunding Bonds, Sanford Health, Series A, 5.00%, 11/01/34 | | | 200,000 | | | | 258,139 | |
Colorado State Health Facilities Authority Hospital Variable Revenue Refunding Bonds, Adventhealth Obligation, 5.00%, 11/19/26(a)(b)(c) | | | 1,000,000 | | | | 1,232,609 | |
Denver City & County Airport System Subordinate Revenue Refunding Bonds, Series A (AMT), 5.25%, 12/01/43 | | | 500,000 | | | | 620,648 | |
Denver Convention Center Hotel Authority Senior Revenue Refunding Bonds, 5.00%, 12/01/40 | | | 250,000 | | | | 287,135 | |
E-470 Public Highway Authority Senior Revenue Refunding Bonds, Series A, | | | | | | | | |
5.00%, 9/01/23 | | | 150,000 | | | | 166,123 | |
5.00%, 9/01/40 | | | 810,000 | | | | 908,084 | |
Park Creek Metropolitan District Revenue Refunding Bonds, Series A (NATL, IBC Insured), 5.00%, 12/01/45 | | | 500,000 | | | | 576,465 | |
Sand Creek Metropolitan District GO Limited Refunding Bonds, Series A (AGM Insured), | | | | | | | | |
4.00%, 12/01/22 | | | 125,000 | | | | 131,834 | |
4.00%, 12/01/23 | | | 180,000 | | | | 195,739 | |
University of Colorado Enterprise Variable Revenue Bonds, Series C, Green Bond, 2.00%,
10/15/24(a)(b)(c) | | | 250,000 | | | | 263,376 | |
| | |
| | | | | | | | 11,656,587 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
Connecticut – 1.3% | | | | | | | | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B-1, 5.00%, 1/01/25(a)(b)(c) | | $ | 500,000 | | | $ | 579,226 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series F, Masonicare Issue, 5.00%, 7/01/27 | | | 220,000 | | | | 253,471 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series K, Sacred Heart University, 5.00%, 7/01/27 | | | 400,000 | | | | 492,938 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Series R, Trinity College, 5.00%, 6/01/32 | | | 265,000 | | | | 341,367 | |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, University of Hartford, | | | | | | | | |
5.00%, 7/01/24 | | | 240,000 | | | | 267,870 | |
5.00%, 7/01/25 | | | 260,000 | | | | 297,793 | |
5.00%, 7/01/31 | | | 500,000 | | | | 604,667 | |
4.00%, 7/01/39 | | | 120,000 | | | | 130,564 | |
4.00%, 7/01/49 | | | 100,000 | | | | 107,128 | |
Connecticut State Special Tax Obligation Revenue Bonds, 5.00%, 5/01/32 | | | 500,000 | | | | 656,276 | |
Hamden GO Unlimited Refunding Bonds, Series A (BAM Insured), 5.00%, 8/01/24 | | | 500,000 | | | | 571,576 | |
Hamden Revenue Refunding Bonds, Whitney Center Project, 5.00%, 1/01/40 | | | 125,000 | | | | 133,931 | |
Hartford County Metropolitan District GO Unlimited Bonds, 5.00%, 7/15/35 | | | 750,000 | | | | 936,277 | |
| | |
| | | | | | | | 5,373,084 | |
See accompanying Notes to Financial Statements
132
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Delaware – 0.1% | | | | | | | | |
Kent County Student Housing & Dining Facilities Revenue Bonds, CHF-Dover LLC-Delaware State University Project, | | | | | | | | |
5.00%, 7/01/32 | | $ | 250,000 | | | $ | 286,458 | |
5.00%, 7/01/48 | | | 100,000 | | | | 111,602 | |
| | |
| | | | | | | 398,060 | |
| | | |
District of Columbia – 1.8% | | | | | | | | |
District of Columbia Revenue Bonds, Ingleside Rock Creek Project, 5.00%, 7/01/52 | | | 400,000 | | | | 416,457 | |
District of Columbia Revenue Bonds, KIPP DC Project, 4.00%, 7/01/39 | | | 100,000 | | | | 112,216 | |
District of Columbia Revenue Refunding Bonds, National Public Radio, Prerefunded, 4.00%, 4/01/26(e) | | | 250,000 | | | | 292,770 | |
District of Columbia University Revenue Refunding Bonds, Georgetown University, 5.00%, 4/01/29 | | | 350,000 | | | | 422,751 | |
District of Columbia Water & Sewer Authority Public Utility Revenue Bonds, Series B, 5.00%, 10/01/49 | | | 500,000 | | | | 615,112 | |
District of Columbia Water & Sewer Authority Public Utility Subordinate Lien Revenue Bonds, Series A, Prerefunded, 5.00%, 10/01/23(e) | | | 650,000 | | | | 726,091 | |
District of Columbia Water & Sewer Authority Public Utility Subordinate Lien Revenue Bonds, Series B, 5.00%, 10/01/37 | | | 750,000 | | | | 884,468 | |
Metropolitan Washington Airports Authority Dulles Toll Road Revenue Refunding Bonds, Dulles Metrorail & Capital Improvement Projects, 5.00%, 10/01/53 | | | 750,000 | | | | 777,574 | |
Metropolitan Washington Airports Authority Dulles Toll Road Subordinate Lien Revenue Refunding Bonds, Dulles Metrorail & Capital Improvement Projects, Series B, | | | | | | | | |
4.00%, 10/01/35 | | | 350,000 | | | | 411,216 | |
5.00%, 10/01/47 | | | 200,000 | | | | 245,670 | |
| | | | | | | | |
| | | Par | | | Value | |
| |
District of Columbia (Continued) | | | | | |
Metropolitan Washington Airports Authority System Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/43 | | $ | 500,000 | | | $ | 609,738 | |
Washington Metropolitan Area Transit Authority Dedicated Revenue Bonds, Series A, 4.00%, 7/15/40 | | | 1,000,000 | | | | 1,196,524 | |
Washington Metropolitan Area Transit Authority Gross Revenue Bonds, 5.00%, 7/01/43 | | | 300,000 | | | | 362,088 | |
Washington Metropolitan Area Transit Authority Gross Revenue Bonds, Series B, 5.00%, 7/01/35 | | | 360,000 | | | | 441,134 | |
| | |
| | | | | | | 7,513,809 | |
| | | |
Florida – 3.2% | | | | | | | | |
Alachua County Health Facilities Authority Revenue Bonds, Shands Teaching Hospital & Clinics, 5.00%, 12/01/44 | | | 500,000 | | | | 561,987 | |
Broward County Airport System Revenue Bonds, Series A (AMT), 5.00%, 10/01/36 | | | 750,000 | | | | 937,429 | |
Central Florida Expressway Authority Senior Lien Revenue Refunding Bonds, 5.00%, 7/01/42 | | | 350,000 | | | | 426,086 | |
Davie Educational Facilities Revenue Bonds, Series B, Nova Southeastern University Project , Prerefunded, 5.00%, 4/01/23(e) | | | 250,000 | | | | 272,945 | |
Florida State Board of Education Public Education GO Unlimited Refunding Bonds, Capital Outlay, Series E, 5.00%, 6/01/31 | | | 1,000,000 | | | | 1,181,709 | |
Florida State Municipal Power Agency Revenue Refunding Bonds, Series A, 5.00%, 10/01/31 | | | 300,000 | | | | 365,556 | |
Greater Orlando Aviation Authority Airport Facilities Revenue Bonds, Series A (AMT), | | | | | | | | |
5.00%, 10/01/40 | | | 500,000 | | | | 584,207 | |
5.00%, 10/01/44 | | | 1,000,000 | | | | 1,235,385 | |
See accompanying Notes to Financial Statements
133
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Florida (Continued) | | | | | | | | |
Hillsborough County Aviation Authority Subordinate Revenue Bonds, Series B, Tampa International Airport, 5.00%, 10/01/40 | | $ | 470,000 | | | $ | 536,074 | |
JEA Bulk Power Supply System Revenue Bonds, Scherer 4 Project, Series A, 3.00%, 10/01/22 | | | 225,000 | | | | 225,417 | |
JEA Electric System Revenue Refunding Bonds, Series Three A, 4.00%, 10/01/37 | | | 1,395,000 | | | | 1,657,173 | |
Lee Memorial Health System Hospital Revenue Refunding Bonds, Series A-1, 5.00%, 4/01/44 | | | 600,000 | | | | 736,723 | |
Leon County School District Sales TRB, 4.00%, 9/01/26 | | | 800,000 | | | | 866,886 | |
Miami-Dade County Aviation Revenue Bonds, Series A (AMT), 5.00%, 10/01/49 | | | 250,000 | | | | 305,363 | |
Miami-Dade County Aviation Revenue Refunding Bonds, Series A (AMT), 5.00%, 10/01/33 | | | 500,000 | | | | 568,299 | |
Miami-Dade County Educational Facilities Authority Revenue Refunding Bonds, Series A, University of Miami, 5.00%, 4/01/30 | | | 250,000 | | | | 290,126 | |
Osceola County Florida Transportation Revenue Refunding CABS, Series A-2, | | | | | | | | |
0.00%, 10/01/25(f) | | | 125,000 | | | | 117,322 | |
0.00%, 10/01/26(f) | | | 275,000 | | | | 252,156 | |
0.00%, 10/01/27(f) | | | 360,000 | | | | 321,730 | |
Tampa Capital Improvement Cigarette Tax Allocation Revenue CABS, Series A, 0.00%, 9/01/38(f) | | | 250,000 | | | | 147,673 | |
Tampa Hospital Revenue Bonds, H. Lee Moffitt Cancer Center, | | | | | | | | |
5.00%, 7/01/23 | | | 150,000 | | | | 165,052 | |
5.00%, 7/01/25 | | | 150,000 | | | | 177,201 | |
5.00%, 7/01/26 | | | 125,000 | | | | 152,089 | |
5.00%, 7/01/27 | | | 125,000 | | | | 155,985 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
Florida (Continued) | | | | | | | | |
Village Community Development District No. 13 Special Assessment Bonds, Limited Offering, 2.63%, 5/01/24 | | $ | 500,000 | | | $ | 509,589 | |
Volusia County Educational Facilities Authority Revenue Refunding Bonds, Embry-Riddle Aeronautical, 5.00%, 10/15/44 | | | 500,000 | | | | 618,139 | |
| | |
| | | | | | | 13,368,301 | |
| | | |
Georgia – 2.6% | | | | | | | | |
Atlanta Development Authority Senior Lien Revenue Bonds, Series A-1, 5.00%, 7/01/30 | | | 200,000 | | | | 231,531 | |
Atlanta Urban Residential Finance Authority MFH Revenue Bonds, Creekside at Adamsville Place, 1.95%, 5/01/22(b)(c) | | | 500,000 | | | | 500,000 | |
Bartow County Development Authority Revenue Bonds, Georgia Power Company Plant Bowen Project, 1.55%, 8/19/22(a)(b)(c) | | | 500,000 | | | | 508,050 | |
Bartow County Development Authority Variable Revenue Refunding Bonds, Georgia Power Company Plant Bowen Project, 2.75%,
3/15/23(a)(b)(c) | | | 500,000 | | | | 522,273 | |
Brookhaven Development Authority Revenue Bonds, Children’s Healthcare of Atlanta, 4.00%, 7/01/49 | | | 1,000,000 | | | | 1,161,456 | |
Burke County Development Authority PCR Refunding Bonds, Georgia Power Company Plant Vogtle Project, 1.55%, 8/19/22(a)(b)(c) | | | 100,000 | | | | 101,610 | |
Fulton County Development Authority Transportation Corp., Toll Revenue Refunding Bonds, Robert W. Woodruff Arts Center, Inc., Project, 5.00%, 3/15/32 | | | 200,000 | | | | 247,579 | |
Gainesville & Hall County Hospital Authority Revenue Refunding Bonds, Northeast Georgia Health System, Inc., Project, 5.00%, 2/15/37 | | | 500,000 | | | | 599,850 | |
See accompanying Notes to Financial Statements
134
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Georgia (Continued) | | | | | | | | |
Gainesville & Hall County Hospital Authority Revenue Refunding Bonds, Series S, Northeast Georgia Health System, Inc., Project (County Gtd), 5.50%, 8/15/54 | | $ | 500,000 | | | $ | 575,296 | |
Glynn-Brunswick Memorial Hospital Authority Revenue Refunding Anticipation Certificates Bonds, Southeast Georgia Health System, 5.00%, 8/01/34 | | | 530,000 | | | | 605,790 | |
Griffin-Spalding County Hospital Authority Revenue Anticipation Certificates Bonds, Wellstar, 5.00%, 4/01/35 | | | 150,000 | | | | 180,385 | |
Main Street Natural Gas Inc., Gas Supply Variable Revenue Bonds, Series B, | | | | | | | | |
4.00%, 12/01/23 | | | 355,000 | | | | 388,338 | |
4.00%, 12/02/24(a)(b)(c) | | | 100,000 | | | | 111,776 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series A, 4.00%, 9/01/23(a)(b)(c) | | | 370,000 | | | | 399,374 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series C, 4.00%, 9/01/26(a)(b)(c) | | | 1,110,000 | | | | 1,286,934 | |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Subseries C, 4.00%, 12/01/23(a)(b)(c) | | | 500,000 | | | | 543,361 | |
Metropolitan Atlanta Rapid Transit Authority Sales Tax Revenue Refunding Bonds, Series A, Third Indenture Series, 4.00%, 7/01/44 | | | 300,000 | | | | 320,548 | |
Municipal Electric Authority of Georgia Power Revenue Refunding Bonds, Series HH, 5.00%, 1/01/29 | | | 500,000 | | | | 622,008 | |
Private Colleges & Universities Authority Revenue Refunding Bonds, Series B, Emory University, 4.00%, 9/01/40 | | | 1,500,000 | | | | 1,810,866 | |
| | |
| | | | | | | | 10,717,025 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
Hawaii – 0.1% | | | | | | | | |
Hawaii State Airports System Revenue Refunding Bonds (AMT), 5.00%, 7/01/23 | | $ | 500,000 | | | $ | 505,171 | |
| | | |
Illinois – 7.0% | | | | | | | | |
Barrington Alternative Revenue Source GO Unlimited Bonds, 4.50%, 12/15/34 | | | 235,000 | | | | 278,151 | |
Chicago Board of Education GO Unlimited Bonds, Series A, 5.00%, 12/01/38 | | | 500,000 | | | | 613,008 | |
Chicago City Colleges Capital Appreciation GO Unlimited Bonds (NATL Insured), 0.00%, 1/01/30(f) | | | 750,000 | | | | 611,646 | |
Chicago GO Unlimited Bonds, Series A, 5.50%, 1/01/49 | | | 100,000 | | | | 120,418 | |
Chicago GO Unlimited Refunding Bonds, Project Series A, 5.00%, 1/01/35 | | | 350,000 | | | | 377,745 | |
Chicago GO Unlimited Refunding Bonds, Series A, 5.00%, 1/01/23 | | | 400,000 | | | | 427,161 | |
Chicago Midway Airport Second Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 1/01/31 | | | 1,045,000 | | | | 1,157,255 | |
Chicago O’Hare International Airport Senior Lien General Revenue Bonds, Series D (AMT), 5.00%, 1/01/26 | | | 140,000 | | | | 166,865 | |
Chicago O’Hare International Airport Senior Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 1/01/31 | | | 250,000 | | | | 313,413 | |
Chicago Park District GO Limited Tax Refunding Bonds, Series B, 5.00%, 1/01/26 | | | 395,000 | | | | 436,281 | |
Chicago Wastewater Transmission Second Lien Revenue Bonds, 5.00%, 1/01/39 | | | 500,000 | | | | 555,108 | |
Cook County GO Unlimited Refunding Bonds, Series A, 5.00%, 11/15/25 | | | 1,000,000 | | | | 1,192,828 | |
Cook County Sales TRB, 5.00%, 11/15/37 | | | 500,000 | | | | 534,586 | |
Hillside Incremental Tax Allocation Revenue Refunding Bonds, 5.00%, 1/01/24 | | | 100,000 | | | | 103,646 | |
See accompanying Notes to Financial Statements
135
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Illinois (Continued) | | | | | | | | |
Illinois State Finance Authority Revenue Refunding Bonds, Navistar International Corp.,
4.75%, 8/01/30(a)(b)(c)(d) | | $ | 100,000 | | | $ | 105,805 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, Lutheran Communities, 5.00%, 11/01/40 | | | 350,000 | | | | 389,940 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, University Of Chicago, 10/01/28(g) | | | 2,500,000 | | | | 3,202,972 | |
Illinois State Finance Authority Revenue Refunding Bonds, Series C, Presence Health Network, 5.00%, 2/15/23 | | | 500,000 | | | | 543,198 | |
Illinois State Finance Authority Variable Revenue Bonds, Series B-2, 5.00%, 11/15/26(a)(b)(c) | | | 500,000 | | | | 600,942 | |
Illinois State GO Unlimited Bonds, | | | | | | | | |
5.38%, 5/01/23 | | | 250,000 | | | | 273,966 | |
5.50%, 5/01/25 | | | 845,000 | | | | 999,620 | |
5.50%, 7/01/26 | | | 460,000 | | | | 506,393 | |
Illinois State GO Unlimited Bonds, Series A, 5.00%, 3/01/28 | | | 1,500,000 | | | | 1,845,861 | |
Illinois State GO Unlimited Bonds, Series B, | | | | | | | | |
5.00%, 3/01/24 | | | 250,000 | | | | 280,241 | |
5.00%, 10/01/31 | | | 250,000 | | | | 317,354 | |
Illinois State GO Unlimited Refunding Bonds, 5.00%, 8/01/24 | | | 400,000 | | | | 421,941 | |
Illinois State GO Unlimited Refunding Bonds, Series A, 5.00%, 10/01/25 | | | 110,000 | | | | 129,487 | |
Illinois State GO Unlimited Refunding Bonds, Series B, 5.00%, 10/01/28 | | | 250,000 | | | | 310,461 | |
Illinois State Housing Development Authority MFH Variable Revenue Bonds, Marshall Field Garden (FNMA LOC), (SIFMA Municipal Swap Index Yield + 1.00%), 1.06%, 5/15/25(a)(c) | | | 500,000 | | | | 512,279 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
Illinois (Continued) | | | | | | | | |
Illinois State Sales Tax Junior Obligations Revenue Bonds, Series A (BAM Insured), 4.00%, 6/15/34 | | $ | 620,000 | | | $ | 690,803 | |
Illinois State Sales Tax Revenue Refunding Bonds, Subseries D (BAM, TCRS Insured), 3.00%, 6/15/31 | | | 390,000 | | | | 406,692 | |
Illinois State Sales TRB, Build Illinois - Junior Obligation, 5.00%, 6/15/23 | | | 200,000 | | | | 215,906 | |
Illinois State Sports Facilities Authority State Tax Supported Revenue CABS (AMBAC Insured), 0.00%, 6/15/25(f) | | | 95,000 | | | | 88,627 | |
Illinois State Sports Facilities Authority State Tax Supported Revenue Refunding Bonds (AGM Insured), 5.00%, 6/15/27 | | | 400,000 | | | | 447,441 | |
Illinois State Toll Highway Authority Senior Revenue Bonds, Series A, 5.00%, 1/01/40 | | | 500,000 | | | | 643,892 | |
Illinois State Toll Highway Authority Senior Revenue Refunding Bonds, Series A, 5.00%, 1/01/31 | | | 525,000 | | | | 675,261 | |
Kane, Cook & Dupage Counties, Illinois School District, GO Unlimited Refunding Bonds, Series D, 5.00%, 1/01/28 | | | 215,000 | | | | 240,875 | |
Madison, Macoupin Etc. Counties Community College District No. 536 GO Unlimited Refunding Bonds, Lewis & Clark Community (AGM Insured), 4.00%, 5/01/23 | | | 700,000 | | | | 747,771 | |
Metropolitan Pier & Exposition Authority Dedicated Capital Appreciation Tax Revenue Refunding Bonds, Series B, McCormick Project (AGM Insured), 0.00%, 6/15/26(f) | | | 250,000 | | | | 234,706 | |
Metropolitan Pier and Exposition Authority Revenue Refunding Bonds, McCormick Place Expansion Project, | | | | | | | | |
5.00%, 6/15/42 | | | 500,000 | | | | 617,290 | |
5.00%, 6/15/50 | | | 500,000 | | | | 600,186 | |
See accompanying Notes to Financial Statements
136
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Illinois (Continued) | | | | | | | | |
Northern University Board of Trustees Revenue Bonds, Auxiliary Facilities System (BAM Insured), | | | | | | | | |
10/01/25(g) | | $ | 325,000 | | | $ | 381,885 | |
10/01/26(g) | | | 250,000 | | | | 301,644 | |
Peoria County School District No. 150 GO Unlimited Refunding Bonds, Series A (AGM Insured), 4.00%, 12/01/26 | | | 390,000 | | | | 453,850 | |
Regional Transportation Authority Revenue Bonds, Series A (AGM Insured), 5.75%, 6/01/34 | | | 750,000 | | | | 1,043,975 | |
Regional Transportation Authority Revenue Bonds, Series B (NATL Insured), 5.50%, 6/01/27 | | | 350,000 | | | | 418,300 | |
Sales Tax Securitization Corp., Second Lien Revenue Refunding Bonds, Series A, 4.00%, 1/01/38 | | | 250,000 | | | | 290,325 | |
Sangamon Logan & Menard Counties Community Unit School District No. 15 GO Unlimited Bonds, Series B (BAM Insured), | | | | | | | | |
5.00%, 12/01/25 | | | 300,000 | | | | 355,804 | |
4.00%, 12/01/39 | | | 250,000 | | | | 290,364 | |
Waukegan City Lake County Water & Sewer System Revenue Refunding Bonds (AGM Insured), | | | | | | | | |
5.00%, 12/30/26 | | | 200,000 | | | | 242,707 | |
4.00%, 12/30/38 | | | 500,000 | | | | 568,465 | |
4.00%, 12/30/40 | | | 500,000 | | | | 565,502 | |
Waukegan GO Unlimited Bonds, Series A (AGM Insured), 5.00%, 12/30/32 | | | 250,000 | | | | 289,515 | |
Will County Community High School District No. 210 Lincoln-Way Refunding GO Unlimited Bonds (AGM Insured), 4.00%, 1/01/34 | | | 650,000 | | | | 740,139 | |
Will County Community School District No. 161 Summit Hill Refunding GO Unlimited Bonds, 4.00%, 1/01/24 | | | 470,000 | | | | 513,371 | |
| | |
| | | | | | | | 29,393,867 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
Indiana – 1.8% | | | | | | | | |
Clarksville Sewage Works Revenue BANS, 2.75%, 12/11/23 | | $ | 125,000 | | | $ | 125,102 | |
Indiana Bond Bank Revenue CABS, Hamilton Co., Projects, | | | | | | | | |
0.00%, 7/15/25(f) | | | 450,000 | | | | 435,637 | |
0.00%, 7/15/28(f) | | | 900,000 | | | | 820,416 | |
0.00%, 1/15/29(f) | | | 560,000 | | | | 503,998 | |
Indiana Finance Authority Midwestern Disaster Relief Revenue Bonds, Series A, Ohio Valley Electric Corp., Project, 5.00%, 6/01/39 | | | 140,000 | | | | 144,013 | |
Indiana State Finance Authority Private Activity Revenue Bonds (AMT), Ohio River Bridges East End Crossing Project, 5.25%, 1/01/51 | | | 600,000 | | | | 654,746 | |
Indiana State Finance Authority Revenue Refunding Bonds, Valparaiso University Project, | | | | | | | | |
5.00%, 10/01/22 | | | 265,000 | | | | 278,445 | |
5.00%, 10/01/23 | | | 585,000 | | | �� | 639,065 | |
Knox Middle School Building Corp., Revenue Bonds (State Intercept), 5.00%, 1/15/27 | | | 440,000 | | | | 540,485 | |
Vinton-Tecumseh School Building Corp. Ad Valorem Property Tax First Mortgage Revenue Bonds (State Intercept), | | | | | | | | |
4.00%, 7/15/26 | | | 530,000 | | | | 617,091 | |
4.00%, 1/15/27 | | | 540,000 | | | | 632,399 | |
4.00%, 7/15/27 | | | 550,000 | | | | 649,852 | |
Warrick County, Indiana Environmental Improvement Variable Revenue Bonds (AMT), Vectren Energy Delivery, 0.88%, 9/01/23(a)(b)(c) | | | 1,000,000 | | | | 1,001,178 | |
Whiting Environmental Facilities Revenue Refunding Bonds (AMT), BP Products North America, 5.00%, 6/05/26(a)(b)(c) | | | 290,000 | | | | 352,036 | |
| | |
| | | | | | | | 7,394,463 | |
See accompanying Notes to Financial Statements
137
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Iowa – 0.1% | | | | | | | | |
Iowa State Finance Authority Midwestern Disaster Area Revenue Refunding Bonds, Iowa Fertilizer Company Project, 3.13%, 12/01/22 | | $ | 65,000 | | | $ | 66,280 | |
PEFA, Inc. Gas Project Revenue Bonds, 5.00%, 9/01/26(a)(b)(c) | | | 150,000 | | | | 181,656 | |
| | |
| | | | | | | 247,936 | |
| | | |
Kentucky – 2.4% | | | | | | | | |
Kenton County Airport Board Revenue Refunding Bonds, 5.00%, 1/01/32 | | | 400,000 | | | | 471,270 | |
Kentucky Bond Development Corp. Educational Facilities Revenue Refunding Bonds, Transylvania University Project, 5.00%, 3/01/27 | | | 155,000 | | | | 187,391 | |
Kentucky State Economic Development Finance Authority Health System Revenue Refunding Bonds, Norton Healthcare, Inc., Series B (NATL Insured), | | | | | | | | |
0.00%, 10/01/22(f) | | | 500,000 | | | | 493,683 | |
0.00%, 10/01/24(f) | | | 280,000 | | | | 268,270 | |
Kentucky State Economic Development Finance Authority Revenue Bonds, Owensboro Health, 5.25%, 6/01/50 | | | 250,000 | | | | 272,010 | |
Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Masonic Home Independent Living, 5.00%, 5/15/46 | | | 100,000 | | | | 101,061 | |
Kentucky State Economic Development Finance Authority Revenue Refunding Bonds, Series B, Owensboro Health, 5.00%, 6/01/40 | | | 300,000 | | | | 337,344 | |
Kentucky State Housing Corp., Revenue Bonds, City View Park Project, 1.16%, 8/01/22(a)(b)(c) | | | 2,000,000 | | | | 2,015,425 | |
Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series A, 4.00%,
4/01/24(a)(b)(c) | | | 475,000 | | | | 520,815 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
Kentucky (Continued) | | | | | | | | |
Kentucky State Public Energy Authority Gas Supply Revenue Bonds, Series A-1, 4.00%,
6/01/25(a)(b)(c) | | $ | 250,000 | | | $ | 282,040 | |
Kentucky State Public Energy Authority Gas Supply Variable Revenue Bonds, Series C, Gas Supply, 4.00%, 2/01/28(a)(b)(c) | | | 500,000 | | | | 589,489 | |
Kentucky State Public Energy Authority Revenue Bonds, Series B, Gas Supply, 4.00%, 1/01/25(a)(b)(c) | | | 650,000 | | | | 724,834 | |
Lexington-Fayette Urban County Government Lease Revenue Bonds, Series A, 5.25%, 6/01/26 | | | 500,000 | | | | 501,986 | |
Louisville & Jefferson County Metro Government Pollution Control Revenue Refunding Bonds (AMT), Louisville Gas & Electric, 11/01/27(g) | | | 1,500,000 | | | | 1,501,764 | |
Louisville & Jefferson County Metropolitan Government Health System Variable Revenue Bonds, Norton Healthcare, Inc., 5.00%, 10/01/26(a)(b)(c) | | | 1,000,000 | | | | 1,220,227 | |
Louisville Regional Airport Authority Airport System Revenue Refunding Bonds, Series A (AMT), 5.00%, 7/01/23 | | | 500,000 | | | | 547,784 | |
| | |
| | | | | | | 10,035,393 | |
| | | |
Louisiana – 0.9% | | | | | | | | |
East Baton Rouge Parish Sewerage Commission Revenue Refunding Bonds, Series A, | | | | | | | | |
5.00%, 2/01/24 | | | 325,000 | | | | 366,314 | |
5.00%, 2/01/25 | | | 475,000 | | | | 554,507 | |
5.00%, 2/01/26 | | | 100,000 | | | | 120,461 | |
East Baton Rouge Parish Sewerage Commission Variable Revenue Refunding Bonds, Series A, 1.30%, 2/01/28(a)(b)(c) | | | 500,000 | | | | 510,781 | |
See accompanying Notes to Financial Statements
138
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Louisiana (Continued) | | | | | | | | |
Louisiana State Offshore Terminal Authority Deepwater Port Variable Revenue Bonds, Loop LLC Project, 2.00%, 10/01/22(a)(b)(c) | | $ | 515,000 | | | $ | 519,365 | |
Louisiana State Public Facilities Authority Revenue Refunding CABS, Loyola University Project, 0.00%, 10/01/22(f) | | | 300,000 | | | | 291,709 | |
Saint James Parish Variable Revenue Bonds, Nustar Logistics, 5.85%, 6/01/25(a)(b)(c)(d) | | | 525,000 | | | | 598,629 | |
Saint John The Baptist Parish Revenue Refunding Bonds, Marathon Oil Corp., Project, 2.00%, 4/01/23(a)(b)(c) | | | 600,000 | | | | 612,802 | |
Saint John The Baptist Parish Variable Revenue Refunding Bonds, Marathon Oil Corp., Project, 2.38%,
7/01/26(a)(b)(c) | | | 125,000 | | | | 130,726 | |
| | |
| | | | | | | 3,705,294 | |
Maine – 0.4% | | | | | | | | |
Maine Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, 5.00%, 7/01/27 | | | 215,000 | | | | 268,147 | |
Maine Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A (State Aid Withholding), 5.00%, 7/01/28 | | | 650,000 | | | | 796,391 | |
Maine State Finance Authority Student Loan Revenue Refunding Bonds (AMT) (AGM Insured), 5.00%, 12/01/24 | | | 500,000 | | | | 572,336 | |
| | |
| | | | | | | 1,636,874 | |
| | | |
Maryland – 2.1% | | | | | | | | |
Baltimore Convention Center Hotel Revenue Refunding Bonds, Convention Center Hotel, 5.00%, 9/01/39 | | | 500,000 | | | | 523,969 | |
Baltimore County GO Unlimited Bonds, 5.00%, 3/01/25 | | | 1,265,000 | | | | 1,489,309 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
Maryland (Continued) | | | | | | | | |
Maryland Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Stevenson University Project, 4.00%, 6/01/51 | | $ | 325,000 | | | $ | 362,902 | |
Maryland State Economic Development Corp., PCR Refunding Bonds, Potomac Electric Power Company, 1.70%, 9/01/22 | | | 500,000 | | | | 508,848 | |
Maryland State Economic Development Corp., Private Activity Revenue Bonds (AMT), Purple Line Light Rail Projects, | | | | | | | | |
5.00%, 3/31/36 | | | 325,000 | | | | 374,471 | |
5.00%, 3/31/51 | | | 235,000 | | | | 265,225 | |
Maryland State Economic Development Corp., Revenue Bonds (AMT), Seagirt Marine Terminal Projects, 5.00%, 6/01/44 | | | 500,000 | | | | 575,098 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Adventist Healthcare Obligated, 5.50%, 1/01/31 | | | 400,000 | | | | 484,456 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Peninsula Regional Health System, | | | | | | | | |
5.00%, 7/01/24 | | | 350,000 | | | | 399,185 | |
5.00%, 7/01/27 | | | 1,320,000 | | | | 1,633,792 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Adventist Healthcare, 4.00%, 1/01/26 | | | 875,000 | | | | 991,807 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Arundel Health Systems, 5.00%, 7/01/29 | | | 250,000 | | | | 307,226 | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, Broadmead Issue, 4.00%, 7/01/35 | | | 285,000 | | | | 314,529 | |
See accompanying Notes to Financial Statements
139
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Maryland (Continued) | | | | | | | | |
Maryland State Health & Higher Educational Facilities Authority Revenue Refunding Bonds, Series A, Mercy Medical Center, 4.00%, 7/01/42 | | $ | 120,000 | | | $ | 131,498 | |
Maryland State Health & Higher Educational Facilities Authority Variable Revenue Refunding Bonds, University of Maryland, 5.00%, 7/01/27(a)(b)(c) | | | 200,000 | | | | 243,827 | |
| | |
| | | | | | | 8,606,142 | |
| | | |
Massachusetts – 1.3% | | | | | | | | |
Massachusetts Development Finance Agency Revenue Bonds, UMass Boston Student Housing Project, 5.00%, 10/01/48 | | | 200,000 | | | | 214,863 | |
Massachusetts Port Authority Revenue Bonds, Series E (AMT), 5.00%, 7/01/27 | | | 365,000 | | | | 453,988 | |
Massachusetts State Consolidated Loan GO Limited Bonds, Series E, 5.25%, 9/01/48 | | | 500,000 | | | | 639,413 | |
Massachusetts State Department of Transportation Metropolitan Highway System Variable Revenue Refunding Bonds, Series A, 5.00%,
1/01/23(a)(b)(c) | | | 1,500,000 | | | | 1,618,094 | |
Massachusetts State Development Finance Agency Revenue Refunding Bonds, Beth Israel Lahey Health, 5.00%, 7/01/38 | | | 100,000 | | | | 125,276 | |
Massachusetts State Development Finance Agency Variable Revenue Refunding Bonds, Partners Healthcare, (SIFMA Municipal Swap Index Yield + 0.50%), 0.56%,
1/26/23(a)(c) | | | 500,000 | | | | 502,082 | |
Massachusetts State GO Limited Refunding Bonds, Series B, 5.00%, 7/01/34 | | | 1,350,000 | | | | 1,784,804 | |
| | |
| | | | | | | | 5,338,520 | |
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Michigan – 1.3% | | | | | | | | |
| | |
Detroit Downtown Development Authority Tax Allocation Increment Revenue Refunding Bonds, Series A, Catalyst Development Project (AGM Insured), | | | | | | | | |
5.00%, 7/01/22 | | $ | 500,000 | | | $ | 527,452 | |
5.00%, 7/01/43 | | | 100,000 | | | | 112,608 | |
5.00%, 7/01/48 | | | 200,000 | | | | 224,350 | |
Detroit GO Unlimited Bonds, 5.00%, 4/01/27 | | | 50,000 | | | | 59,030 | |
Detroit GO Unlimited, Series A, Social Bonds, 4.00%, 4/01/40 | | | 250,000 | | | | 279,819 | |
Great Lakes Water Authority Sewage Disposal System Second Lien Revenue Refunding Bonds, Series C, 5.00%, 7/01/36 | | | 370,000 | | | | 445,185 | |
Michigan Finance Authority Revenue Bonds, Local Government Loan Program, 5.00%, 7/01/33 | | | 350,000 | | | | 410,630 | |
Michigan State Finance Authority Local Government Loan Program Revenue Refunding Bonds, | | | | | | | | |
5.00%, 7/01/29 | | | 425,000 | | | | 500,534 | |
4.50%, 10/01/29 | | | 250,000 | | | | 260,576 | |
Michigan State Finance Authority Revenue Refunding Bonds, Michigan Health, Escrowed to Maturity, 5.00%, 6/01/23 | | | 390,000 | | | | 428,486 | |
Michigan State Finance Authority Revenue Refunding Bonds, Trinity Health Corp., Prerefunded, 5.00%, 6/01/22(e) | | | 250,000 | | | | 263,130 | |
Michigan State Finance Authority Revenue Refunding Bonds, Trinity Health Credit Group, 4.00%, 12/01/35 | | | 515,000 | | | | 617,295 | |
Michigan State Finance Authority Variable Revenue Bonds, Bronson Healthcare Group, 3.50%, 11/15/22(a)(b)(c) | | | 250,000 | | | | 261,186 | |
See accompanying Notes to Financial Statements
140
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Michigan (Continued) | | | | | | | | |
Michigan State Hospital Finance Authority Revenue Refunding Bonds, Ascenion Senior, 5.00%, 11/15/47 | | $ | 420,000 | | | $ | 506,076 | |
Michigan State Strategic Fund Limited Obligation Variable Revenue Bonds (AMT), Consumers Energy Co., 1.80%, 10/01/24(a)(b)(c) | | | 500,000 | | | | 515,727 | |
| | |
| | | | | | | 5,412,084 | |
| | | |
Minnesota – 0.4% | | | | | | | | |
Brooklyn Center MFH Development Variable Revenue Bonds, Sonder House Apartments Project, 1.35%, 7/01/22(a)(b)(c) | | | 1,500,000 | | | | 1,501,263 | |
City of Shakopee Senior Housing Revenue Bonds, Benedictine Living Community of Shakopee LLC Project, 5.85%, 11/01/25(a)(b)(c)(d) | | | 250,000 | | | | 269,199 | |
| | |
| | | | | | | 1,770,462 | |
| | | |
Mississippi – 0.2% | | | | | | | | |
Mississippi State Hospital Equipment & Facilities Authority Adjustable Revenue Refunding Bonds, North Mississippi Health, 5.00%,
3/01/27(a)(b)(c) | | | 265,000 | | | | 316,373 | |
Mississippi State Hospital Equipment & Facilities Authority Revenue Refunding Bonds, Forrest Country General Hospital Project, 5.00%, 1/01/24 | | | 400,000 | | | | 445,882 | |
| | |
| | | | | | | 762,255 | |
| | | |
Missouri – 0.8% | | | | | | | | |
Central Southwest Community College District COPS, | | | | | | | | |
5.00%, 3/01/26 | | | 225,000 | | | | 270,181 | |
5.00%, 3/01/27 | | | 225,000 | | | | 276,563 | |
Missouri Joint Municipal Electric Utility Commission Power Project Revenue Refunding Bonds, Series A, Iatan 2 Project, 5.00%, 1/01/33 | | | 310,000 | | | | 345,497 | |
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Missouri (Continued) | | | | | | | | |
Missouri State Health & Educational Facilities Authority Educational Facilities Revenue Refunding Bonds, A.T. Still University Health Science, 5.00%, 10/01/22 | | $ | 725,000 | | | $ | 769,666 | |
Missouri State Health & Educational Facilities Authority Health Facilities Revenue Refunding Bonds, Series A, St. Luke’s Health System, Inc., | | | | | | | | |
5.00%, 11/15/23 | | | 150,000 | | | | 167,554 | |
5.00%, 11/15/30 | | | 250,000 | | | | 297,923 | |
Missouri State Health & Educational Facilities Authority Revenue Refunding Bonds, Bethesda Health Group, Inc., | | | | | | | | |
8/01/24(g) | | | 320,000 | | | | 350,977 | |
8/01/26(g) | | | 200,000 | | | | 227,270 | |
Saint Louis County IDA Senior Living Facilities Revenue Refunding Bonds, Friendship Village St. Louis, 5.00%, 9/01/48 | | | 500,000 | | | | 556,288 | |
| | |
| | | | | | | 3,261,919 | |
| | | |
Nebraska – 0.9% | | | | | | | | |
Central Plains Energy Gas Project Revenue Bonds, Project No. 3, 5.00%, 9/01/22 | | | 500,000 | | | | 530,969 | |
Central Plains Energy Project Gas Supply Revenue Refunding Bonds, 4.00%, 8/01/25(a)(b)(c) | | | 225,000 | | | | 255,896 | |
Douglas County Hospital Authority No. 2 Revenue Bonds, Children’s Hospital Obligated Group, 5.00%,
11/15/25(a)(b)(c) | | | 600,000 | | | | 709,900 | |
Gretna Tax Supported COPS, 4.00%, 12/15/25 | | | 2,000,000 | | | | 2,250,329 | |
| | |
| | | | | | | 3,747,094 | |
| | | |
Nevada – 1.5% | | | | | | | | |
Clark County Passenger Facility Charge Revenue Refunding Bonds, Las Vegas McCarran International, 5.00%, 7/01/22 | | | 200,000 | | | | 211,125 | |
See accompanying Notes to Financial Statements
141
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Nevada (Continued) | | | | | | | | |
Clark County School District GO Limited Bonds, Series A (AGM Insured), 4.00%, 6/15/38 | | $ | 500,000 | | | $ | 596,661 | |
Clark County School District GO Limited Refunding Bonds, Series C, Building, 5.00%, 6/15/23 | | | 500,000 | | | | 549,630 | |
Clark County School District GO Limited Refunding Bonds, Series D, 5.00%, 6/15/23 | | | 300,000 | | | | 329,778 | |
Clark County School District GO Limited Refunding Bonds, Series E, 5.00%, 6/15/25 | | | 1,330,000 | | | | 1,567,721 | |
Clark County Stadium Improvement GO Limited Bonds, Series A, 5.00%, 5/01/48 | | | 500,000 | | | | 609,245 | |
Las Vegas Convention & Visitors Authority Convention Center Expansion Revenue Bonds, Series B, 5.00%, 7/01/43 | | | 250,000 | | | | 297,725 | |
Las Vegas New Convention & Visitors Authority Revenue Bonds, Series B, 5.00%, 7/01/37 | | | 1,000,000 | | | | 1,214,955 | |
Las Vegas Special Improvement District No. 814 Summerlin Village 21 & 24A Special Assessment Bonds, 4.00%, 6/01/49 | | | 100,000 | | | | 106,340 | |
Reno Sales Tax First Lien Revenue Refunding Bonds, Retrac-Reno Transportation Rail Access Corridor Project, 5.00%, 6/01/48 | | | 500,000 | | | | 565,147 | |
Sparks Nevada Tourism Improvement District No. 1 Sales Tax Senior Lien Revenue Refunding Bonds, Series A, 2.50%, 6/15/24(d) | | | 300,000 | | | | 303,358 | |
| | |
| | | | | | | | 6,351,685 | |
| | | | | | | | |
| | | Par | | | Value | |
| | | |
New Hampshire – 0.2% | | | | | | | | |
National Finance Authority Municipal Certificates Revenue Bonds, Series 1-A, 4.13%, 1/20/34 | | $ | 712,933 | | | $ | 840,190 | |
New Hampshire State Health & Education Facilities Authority Revenue Refunding Bonds, Kendal at Hanover Issue, 5.00%, 10/01/36 | | | 180,000 | | | | 206,354 | |
| | |
| | | | | | | 1,046,544 | |
| | | |
New Jersey – 4.0% | | | | | | | | |
Atlantic City Board of Education GO Unlimited Refunding Bonds (AGM School Board Resource Fund Insured), | | | | | | | | |
4.00%, 4/01/23 | | | 300,000 | | | | 319,324 | |
4.00%, 4/01/25 | | | 350,000 | | | | 397,774 | |
Garden State Preservation Trust Open Space & Farmland Preservation Revenue Bonds, Series A (AGM Insured), 5.75%, 11/01/28 | | | 1,170,000 | | | | 1,450,177 | |
New Jersey Covid-19 GO Unlimited Emergency Bonds, 5.00%, 6/01/26 | | | 385,000 | | | | 467,334 | |
New Jersey Economic Development Authority Revenue Refunding bonds, Series GGG, School Facilities Construction, 5.25%, 9/01/23(d) | | | 1,500,000 | | | | 1,668,051 | |
New Jersey Economic Development Authority Revenue Refunding Bonds, Cranes Mill Project, 5.00%, 1/01/49 | | | 260,000 | | | | 295,726 | |
New Jersey Economic Development Authority Revenue Refunding Bonds, Series B, 5.00%, 11/01/22 | | | 365,000 | | | | 390,741 | |
New Jersey State EDA Energy Facility Revenue Bonds, Series A (AMT), UMM Energy Partners, | | | | | | | | |
5.00%, 6/15/37 | | | 190,000 | | | | 197,239 | |
5.13%, 6/15/43 | | | 350,000 | | | | 363,399 | |
New Jersey State EDA Motor Vehicle Surcharge Revenue Refunding Bonds, Subseries A, 3.38%, 7/01/30 | | | 250,000 | | | | 265,482 | |
See accompanying Notes to Financial Statements
142
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
New Jersey (Continued) | | | | | | | | |
New Jersey State EDA Private Activity Revenue Bonds (AMT), The Goethals Project, | | | | | | | | |
5.00%, 1/01/24 | | $ | 150,000 | | | $ | 168,093 | |
5.25%, 1/01/25 | | | 100,000 | | | | 112,621 | |
5.38%, 1/01/43 | | | 100,000 | | | | 111,924 | |
New Jersey State EDA Revenue Bonds, Provident Group Rowan Properties LLC, 5.00%, 1/01/48 | | | 125,000 | | | | 130,245 | |
New Jersey State EDA Revenue Refunding Bonds, Series A, United Methodist Homes, 5.00%, 7/01/29 | | | 100,000 | | | | 107,891 | |
New Jersey State EDA Revenue Refunding Bonds, Series XX, 5.00%, 6/15/23 | | | 170,000 | | | | 186,740 | |
New Jersey State EDA Special Facility Revenue Refunding Bonds (AMT), Port Newark Container, 5.00%, 10/01/47 | | | 300,000 | | | | 344,532 | |
New Jersey State EDA Water Facilities Revenue Refunding Bonds (AMT), New Jersey American Water Co., Inc. Project, 2.20%, 12/03/29(a)(b)(c) | | | 775,000 | | | | 820,955 | |
New Jersey State Health Care Facilities Financing Authority Revenue Bonds, Valley Health System Obligated Group Series, | | | | | | | | |
5.00%, 7/01/32 | | | 500,000 | | | | 644,403 | |
5.00%, 7/01/33 | | | 1,000,000 | | | | 1,284,413 | |
New Jersey State Health Care Facilities Financing Authority Revenue Refunding Bonds, RWJ Barnajas Health Obligated Group, 5.00%, 7/01/26(a)(b)(c) | | | 400,000 | | | | 483,592 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series A, 6/15/42(g) | | | 250,000 | | | | 275,826 | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series AA, 5.00%, 6/15/40 | | | 500,000 | | | | 627,629 | |
| | | | | | | | |
| | | Par | | | Value | |
| | | |
New Jersey (Continued) | | | | | | | | |
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Transportation Program, 5.25%, 6/15/43 | | $ | 625,000 | | | $ | 768,392 | |
New Jersey State Transportation Trust Fund Authority Revenue Refunding Bonds, Series A, 4.00%, 6/15/34 | | | 175,000 | | | | 208,435 | |
New Jersey State Transportation Trust Fund Authority Transportation System Revenue Bonds, Series A, 5.25%, 12/15/22 | | | 1,000,000 | | | | 1,080,309 | |
New Jersey State Transportation Trust Fund Authority Transportation System Revenue Refunding Bonds, 5.00%, 12/15/25 | | | 100,000 | | | | 119,484 | |
New Jersey State Turnpike Authority Revenue Bonds, Series A, | | | | | | | | |
5.00%, 1/01/27 | | | 305,000 | | | | 376,374 | |
5.00%, 1/01/33 | | | 230,000 | | | | 261,079 | |
New Jersey State Turnpike Authority Turnpike Revenue Refunding Bonds, Series E, 5.00%, 1/01/31 | | | 255,000 | | | | 315,839 | |
New Jersey Turnpike Revenue Bonds, Series A, 4.00%, 1/01/42 | | | 240,000 | | | | 284,822 | |
Newark Housing Authority Port Newark Marine Terminal Rental Revenue Refunding Bonds, Additional Newark Redevelopment Project (NATL Insured), 5.25%, 1/01/24 | | | 500,000 | | | | 546,740 | |
Union County Utilities Authority Resource Recovery Facility Lease Revenue Refunding Bonds, Series A (AMT), Covanta Union, Inc. (County Gtd), 5.25%, 12/01/31 | | | 1,500,000 | | | | 1,542,894 | |
| | |
| | | | | | | 16,618,479 | |
| | | |
New Mexico – 0.3% | | | | | | | | |
Farmington PCR Refunding Bonds, Public Service Company of New Mexico San Juan Project, 1.15%, 6/01/24(a)(b)(c) | | | 250,000 | | | | 253,800 | |
See accompanying Notes to Financial Statements
143
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
New Mexico (Continued) | | | | | | | | |
New Mexico State Hospital Equipment Loan Council Variable Revenue Bonds, Series B, 5.00%,
8/01/25(a)(b)(c) | | $ | 500,000 | | | $ | 590,655 | |
New Mexico State Municipal Energy Acquisition Authority Gas Supply Revenue Refunding Bonds, Series A, 5.00%, 5/01/25(a)(b)(c) | | | 275,000 | | | | 321,516 | |
| | |
| | | | | | | 1,165,971 | |
| | | |
New York – 8.9% | | | | | | | | |
Build Resource Corp., Revenue Bonds, Friends of Hellenic Classical Charter Schools, Inc., 4.00%, 12/01/31(d) | | | 500,000 | | | | 548,247 | |
Hempstead Town Local Develop Corp., Education Revenue Refunding Bonds, Academy Charter School Project, 5.66%, 2/01/44 | | | 250,000 | | | | 289,942 | |
Hempstead Town Local Development Corp. Revenue Refunding Bonds, Adelphi University Project, | | | | | | | | |
5.00%, 6/01/27 | | | 300,000 | | | | 367,025 | |
5.00%, 6/01/28 | | | 500,000 | | | | 623,702 | |
Hudson Yards Infrastructure Corp., Senior Revenue Bonds Fiscal 2012, 5.75%, 2/15/47 | | | 295,000 | | | | 296,188 | |
Long Beach GO Limited Bonds, Series A, 5.00%, 9/01/28 | | | 665,000 | | | | 820,863 | |
Long Island Power Authority Electric System Variable Revenue Bonds, Series B, 1.65%, 9/01/24(a)(b)(c) | | | 1,650,000 | | | | 1,707,187 | |
Metropolitan Transportation Authority Revenue BANS, Series A-1, 5.00%, 2/01/23 | | | 750,000 | | | | 810,144 | |
Metropolitan Transportation Authority Revenue BANS, Series D1, 5.00%, 9/01/22 | | | 1,000,000 | | | | 1,062,098 | |
Metropolitan Transportation Authority Revenue Bonds, Series A-1-Group 1, Green Bond, 5.00%, 11/15/49 | | | 500,000 | | | | 612,373 | |
| | | | | | | | |
| | | Par | | | Value | |
| | | |
New York (Continued) | | | | | | | | |
Metropolitan Transportation Authority Transportation Revenue Bonds, Series E, 4.00%, 11/15/23 | | $ | 535,000 | | | $ | 584,012 | |
Metropolitan Transportation Authority Transportation Revenue Refunding Bonds, Series B, Green Bonds, Climate, 4.00%, 11/15/22 | | | 730,000 | | | | 771,510 | |
Metropolitan Transportation Authority, New York Transportation Variable Rate Revenue Refunding Bonds, Subseries G-3, (SIFMA Municipal Swap Index Yield + 0.43%), 0.49%, 2/01/25(a)(c) | | | 1,000,000 | | | | 987,524 | |
Monroe County Industrial Development Agency School Facility Revenue Bonds, Rochester Schools Modernization Project (State Aid Withholding), 5.00%, 5/01/35 | | | 800,000 | | | | 1,036,560 | |
Monroe County Industrial Development Corp., Revenue Bonds, University of Rochester Project, 4.00%, 7/01/50 | | | 1,000,000 | | | | 1,159,162 | |
New York City Housing Development Corp., MFH Revenue Bonds, Series C-2-A, 2.35%, 7/01/22 | | | 500,000 | | | | 500,352 | |
New York City Municipal Finance Authority Water & Sewer System Second General Resolution Revenue Refunding Bonds, 5.00%, 6/15/26 | | | 2,000,000 | | | | 2,458,595 | |
New York City Transitional Finance Authority Future Tax Secured Subordinate Revenue Bonds, 4.00%, 11/01/40 | | | 400,000 | | | | 468,001 | |
New York City Transitional Finance Authority Future Tax Subordinate Revenue Bonds, 4.00%, 5/01/36 | | | 1,000,000 | | | | 1,206,879 | |
New York City Transitional Finance Authority Revenue Bonds, Sub Series C-2, 5.00%, 5/01/32 | | | 1,000,000 | | | | 1,256,801 | |
New York GO Unlimited Bonds, Series 1, 4.00%, 8/01/27 | | | 625,000 | | | | 745,713 | |
See accompanying Notes to Financial Statements
144
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
New York (Continued) | | | | | | | | |
New York GO Unlimited Bonds, Series D, Subseries D1, 5.00%, 12/01/42 | | $ | 250,000 | | | $ | 309,700 | |
New York State Convention Center Development Corp., Revenue Refunding Bonds, Hotel Unit Fee Secured, 5.00%, 11/15/40 | | | 600,000 | | | | 685,249 | |
New York State Dormitory Authority Non State Supported Debt Revenue Bonds, Fordham University, 4.00%, 7/01/50 | | | 600,000 | | | | 685,444 | |
New York State Dormitory Authority Non State Supported Debt Revenue Refunding Bonds, Catholic Health System Obligated, 5.00%, 7/01/36 | | | 400,000 | | | | 499,635 | |
New York State Dormitory Authority Non State Supported Debt Revenue Refunding Bonds, Series A, Barnard College, 4.00%, 7/01/49 | | | 300,000 | | | | 339,694 | |
New York State Dormitory Authority Revenues Non State Supported Debt Revenue Bonds, Master Boces Program (State Aid Withholding), 5.00%, 8/15/26 | | | 455,000 | | | | 551,279 | |
New York State Dormitory Authority Revenues Non State Supported Debt Revenue Bonds, Northwell Health Obligated Group, 5.00%,
5/01/24(a)(b)(c) | | | 1,250,000 | | | | 1,393,168 | |
New York State Dormitory Authority Revenues Non State Supported Debt Revenue Refunding Bonds, Memorial Sloan Kettering Cancer Center, 5.00%, 7/01/42 | | | 200,000 | | | | 242,555 | |
New York State Dormitory Authority Revenues Non State Supported Debt Revenue Refunding Bonds, Series A, Montefiore Obligated Group, 4.00%, 9/01/50 | | | 1,000,000 | | | | 1,126,227 | |
| | | | | | | | |
| | | Par | | | Value | |
| | | |
New York (Continued) | | | | | | | | |
New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series D, 4.00%, 2/15/39 | | $ | 500,000 | | | $ | 586,549 | |
New York State Dormitory Authority State Personal Income Tax Revenue Refunding Bonds, Series E, Unrefunded Balance, 5.00%, 2/15/44 | | | 425,000 | | | | 490,029 | |
New York State Housing Finance Agency Affordable Housing Sustainability Revenue Bonds, Series L-2 (SonyMA Insured), 0.75%, 11/01/25 | | | 500,000 | | | | 500,370 | |
New York State Liberty Development Corp., Revenue Refunding Bonds, Class 2, 3 World Trade Center Project, | | | | | | | | |
5.15%, 11/15/34(d) | | | 500,000 | | | | 558,318 | |
5.38%, 11/15/40(d) | | | 150,000 | | | | 167,282 | |
New York State Mortgage Agency Homeowner Mortgage Revenue Refunding Bonds, Series 214 (AMT), 2.90%, 10/01/22 | | | 140,000 | | | | 144,499 | |
New York State Transportation Development Corp., Special Facility Revenue Refunding Bonds (AMT), John F. Kennedy International Airport Project, 5.38%, 8/01/36 | | | 250,000 | | | | 308,507 | |
New York State Transportation Development Corp., Special Facility Revenue Refunding Bonds (AMT), Terminal 4 John F. Kennedy International Airport Project, 5.00%, 12/01/33 | | | 250,000 | | | | 319,788 | |
New York State Transportation Development Corporation Special Facilities Revenue Bonds (AMT), Delta Air Lines, Inc., Laguardia Airport Terminal C&D Redevelopment Project, 5.00%, 10/01/35 | | | 500,000 | | | | 637,041 | |
See accompanying Notes to Financial Statements
145
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
New York (Continued) | | | | | | | | |
New York State Urban Development Corp., Revenue Refunding Bonds, Group 2, Series E, 4.00%, 3/15/37 | | $ | 500,000 | | | $ | 592,192 | |
New York State Urban Development Corp., State Personal Income Tax Revenue Refunding Bonds, 4.00%, 3/15/45 | | | 500,000 | | | | 583,800 | |
Niagara Frontier Transportation Authority Revenue Refunding Bonds (AMT), Buffalo Niagara International Airport, 5.00%, 4/01/26 | | | 250,000 | | | | 299,994 | |
Onondaga County Trust Cultural Resource Revenue Refunding Bonds, Syracuse University Project, 4.00%, 12/01/47 | | | 500,000 | | | | 583,858 | |
Port Authority of New York & New Jersey Consolidated 211th Revenue Refunding Bonds, 5.00%, 9/01/48 | | | 830,000 | | | | 1,011,880 | |
Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 218 (AMT), 5.00%, 11/01/31 | | | 1,065,000 | | | | 1,367,955 | |
Port Authority of New York & New Jersey Consolidated Revenue Bonds, Series 221 (AMT), 4.00%, 7/15/40 | | | 500,000 | | | | 579,780 | |
Port Authority of New York & New Jersey Revenue Bonds, Series 179, 5.00%, 12/01/25 | | | 750,000 | | | | 839,852 | |
Poughkeepsie City GO Limited Refunding Bonds, 4.00%, 4/15/25 | | | 440,000 | | | | 476,087 | |
Sales Tax Asset Receivable Corp., Revenue Refunding Bonds, Series A, Fiscal 2015, 5.00%, 10/15/30 | | | 245,000 | | | | 282,864 | |
Suffolk County GO Limited Refunding Bonds, Series D (BAM Insured), 5.00%, 10/15/24 | | | 390,000 | | | | 449,984 | |
Triborough Bridge & Tunnel Authority General Revenue Bonds, Series A, MTA Bridges and Tunnels, 4.00%, 11/15/54 | | | 1,500,000 | | | | 1,739,884 | |
| | | | | | | | |
| | | Par | | | Value | |
| | | |
New York (Continued) | | | | | | | | |
Triborough Bridge & Tunnel Authority Payroll Mobility Tax Revenue Refunding Bonds, Series A-1, 5/15/51(g) | | $ | 250,000 | | | $ | 321,737 | |
Yonkers Economic Development Corp., Educational Revenue Bonds, Charter School Educational Excellence Project, 5.00%, 10/15/49 | | | 100,000 | | | | 112,992 | |
| | |
| | | | | | | 37,101,071 | |
| | | |
North Carolina – 1.2% | | | | | | | | |
North Carolina Capital Facilities Finance Agency Educational Facilities Revenue Refunding Bonds, High Point University, | | | | | | | | |
3.00%, 5/01/22 | | | 270,000 | | | | 277,104 | |
4.00%, 5/01/23 | | | 300,000 | | | | 322,025 | |
4.00%, 5/01/24 | | | 240,000 | | | | 264,698 | |
5.00%, 5/01/25 | | | 240,000 | | | | 280,643 | |
5.00%, 5/01/26 | | | 275,000 | | | | 331,070 | |
North Carolina State Medical Care Commission Health Care Facilities Revenue Refunding Bonds, Vidant Health, 5.00%, 6/01/45 | | | 500,000 | | | | 566,999 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, First Mortgage, 4.00%, 1/01/25 | | | 250,000 | | | | 264,013 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, First Mortgage, United Church Services, 5.00%, 9/01/37 | | | 155,000 | | | | 163,978 | |
North Carolina State Medical Care Commission Retirement Facilities Revenue Refunding Bonds, Series A, Sharon Towers, 5.00%, 7/01/49 | | | 100,000 | | | | 110,583 | |
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway, 4.00%, 1/01/55 | | | 400,000 | | | | 450,501 | |
See accompanying Notes to Financial Statements
146
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
North Carolina (Continued) | | | | | | | | |
North Carolina State Turnpike Authority Senior Lien Revenue Bonds, Triangle Expressway (AGM Insured), 5.00%, 1/01/49 | | $ | 500,000 | | | $ | 627,755 | |
North Carolina State Turnpike Authority Senior Lien Revenue Refunding Bonds, 5.00%, 1/01/40 | | | 550,000 | | | | 666,675 | |
North Carolina Turnpike Authority Triangle Expressway System Revenue BANS, 5.00%, 2/01/24 | | | 200,000 | | | | 225,248 | |
Raleigh Durham Airport Authority Revenue Refunding Bonds, Series A (AMT), 5.00%, 5/01/36 | | | 500,000 | | | | 641,954 | |
| | |
| | | | | | | 5,193,246 | |
| | | |
North Dakota – 0.3% | | | | | | | | |
University of North Dakota COPS, Infrastructure Energy Improvement, 5.00%, 4/01/48 | | | 500,000 | | | | 585,516 | |
Watford City North Dakota State Aid Certificates Indebtedness Revenue Refunding Bonds (AGM Insured), 3.00%, 12/01/23 | | | 800,000 | | | | 841,112 | |
| | |
| | | | | | | 1,426,628 | |
| | | |
Ohio – 2.1% | | | | | | | | |
Akron Bath Copley Joint Township Hospital District Revenue Refunding Bonds, Summa Health Obligated Group Hospital, | | | | | | | | |
5.00%, 11/15/26 | | | 350,000 | | | | 421,787 | |
5.00%, 11/15/27 | | | 370,000 | | | | 454,502 | |
Allen County Ohio Hospital Facilities Revenue Refunding Bonds, Bon Secours Mercy Health, Inc., 5.00%, 12/01/28 | | | 400,000 | | | | 517,184 | |
Buckeye Tobacco Settlement Financing Authority Revenue Refunding Bonds, Senior-Class 2, Series B-2, 5.00%, 6/01/55 | | | 850,000 | | | | 954,845 | |
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Ohio (Continued) | | | | | | | | |
Cleveland-Cuyahoga County Port Authority Cultural Facilities Revenue Refunding Bonds, Playhouse Square Foundation Project, 5.50%, 12/01/43 | | $ | 175,000 | | | $ | 190,216 | |
Cleveland-Cuyahoga County Port Authority Cultural Facility Revenue Bonds, Cleveland Museum Of Natural History Project, | | | | | | | | |
5.00%, 7/01/25 | | | 125,000 | | | | 146,822 | |
5.00%, 7/01/26 | | | 125,000 | | | | 150,750 | |
5.00%, 7/01/27 | | | 125,000 | | | | 154,043 | |
5.00%, 7/01/28 | | | 155,000 | | | | 194,493 | |
Cleveland-Cuyahoga County Port Authority Euclid Avenue Development Corp., Revenue Refunding Bonds, 5.00%, 8/01/23 | | | 370,000 | | | | 407,532 | |
Conotton Valley Union Local School District COPS, School Facilities Project (FHLMC Insured), 4.00%, 12/01/42 | | | 500,000 | | | | 544,758 | |
Franklin County Convention Facilities Authority Hotel Project Revenue Bonds, Greater Columbus Convention Center, | | | | | | | | |
5.00%, 12/01/34 | | | 170,000 | | | | 202,540 | |
5.00%, 12/01/35 | | | 525,000 | | | | 624,816 | |
5.00%, 12/01/36 | | | 305,000 | | | | 362,406 | |
Franklin County Revenue Bonds, Series A, 5.00%, 12/01/36 | | | 300,000 | | | | 385,777 | |
Marion County Health Care Facilities Revenue Refunding Bonds, United Church Homes, Inc., 5.13%, 12/01/49 | | | 100,000 | | | | 106,748 | |
Miami Valley Career Technology Center GO Unlimited Bonds, 4.00%, 12/01/37 | | | 250,000 | | | | 293,052 | |
Middleburg Heights Hospital Revenue Refunding Bonds, Southwest General Health Center, 8/01/41(g) | | | 500,000 | | | | 585,546 | |
See accompanying Notes to Financial Statements
147
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Ohio (Continued) | | | | | | | | |
Ohio State Air Quality Development Authority Revenue Refunding Bonds (AMT), American Electric Power Company Project, 2.10%, 10/01/24(a)(b)(c) | | $ | 500,000 | | | $ | 522,816 | |
Ohio State Air Quality Development Authority Revenue Refunding Bonds, Ohio Valley Electric Corp., 3.25%, 9/01/29 | | | 50,000 | | | | 53,541 | |
Ohio State Higher Educational Facilities Commission Revenue Refunding Bonds, Xavier University 2020 Project, 5.00%, 5/01/35 | | | 880,000 | | | | 1,125,730 | |
Ohio State Hospital Revenue Refunding Bonds, Premier Health Partners Obligated Group, 5.00%, 11/15/26 | | | 145,000 | | | | 176,041 | |
| | |
| | | | | | | 8,575,945 | |
| | | |
Oklahoma – 1.3% | | | | | | | | |
Bryan County School Finance Authority Educational Facilities Lease Revenue Refunding Bonds, Durant Public Schools Project, 4.00%, 12/01/23 | | | 620,000 | | | | 676,382 | |
Carter County Public Facilities Authority Educational Facilities Lease Revenue Bonds, 5.00%, 9/01/27 | | | 500,000 | | | | 601,535 | |
Kingfisher Special Projects Authority Educational Facilities Lease Revenue Bonds, Kingfisher Public Schools Project, 4.00%, 3/01/24 | | | 600,000 | | | | 658,928 | |
Muskogee Industrial Trust Educational Lease Revenue Bonds, Muskogee Public Schools Project, 5.00%, 9/01/23 | | | 900,000 | | | | 988,566 | |
Oklahoma County Finance Authority Revenue Refunding Bonds, Series A, Epworth Villa Project, 5.88%, 4/01/30 | | | 50,000 | | | | 50,007 | |
| | | | | | | | |
| | | Par | | | Value | |
Oklahoma (Continued) | | | | | | | | |
Oklahoma State Development Finance Authority Revenue Refunding Bonds, Oklahoma City University Project, 5.00%, 8/01/24 | | $ | 590,000 | | | $ | 654,115 | |
Tulsa County Industrial Authority Educational Facilities Lease Revenue Bonds, Berryhill Public Schools Project, 4.00%, 9/01/26 | | | 500,000 | | | | 568,561 | |
Wagoner County School Development Authority Educational Facilities Lease Revenue Bonds, Wagoner Public Schools Project, 4.00%, 9/01/23 | | | 1,060,000 | | | | 1,137,114 | |
| | |
| | | | | | | 5,335,208 | |
| | | |
Oregon – 1.3% | | | | | | | | |
Medford Hospital Facilities Authority Revenue Refunding Bonds, Series A, Asante Projects, 5.00%, 8/15/45 | | | 500,000 | | | | 637,449 | |
Multnomah County Hospital Facilities Authority Revenue Refunding Bonds, Adventist Health System, 5.00%, 3/01/25(a)(b)(c) | | | 500,000 | | | | 568,598 | |
Multnomah County School District No. 1J Portland GO Unlimited Bonds (School Board Guaranty Program), 5.00%, 6/15/24 | | | 250,000 | | | | 286,779 | |
Oregon State Facilities Authority Revenue Refunding Bonds, Series A, Legacy Health Project, 5.00%, 6/01/46 | | | 1,000,000 | | | | 1,163,749 | |
Oregon State Housing & Community Services Department Housing Development Revenue Bonds, Series I, Ya Po Ah Terrace Project (HUD Sector 8 Program), 2.20%, 5/01/22(b)(c) | | | 500,000 | | | | 500,000 | |
Port of Morrow GO Limited Refunding Bonds, Series D, | | | | | | | | |
4.00%, 12/01/26 | | | 170,000 | | | | 196,931 | |
4.00%, 12/01/27 | | | 240,000 | | | | 281,176 | |
See accompanying Notes to Financial Statements
148
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Oregon (Continued) | | | | | | | | |
Port of Portland Airport Revenue Refunding Bonds, Portland International Airport, 5.00%, 7/01/40 | | $ | 615,000 | | | $ | 785,666 | |
Port of Portland Airport Revenue Refunding Bonds, Portland International Airport (AMT), 5.00%, 7/01/25 | | | 750,000 | | | | 880,932 | |
| | |
| | | | | | | 5,301,280 | |
| | | |
Pennsylvania – 4.4% | | | | | | | | |
Allegheny County Sanitary Authority Revenue Bonds, Series B, 4.00%, 6/01/25 | | | 100,000 | | | | 114,054 | |
Berks County Municipal Authority Revenue Refunding Bonds, Series B, Tower Health Project, 5.00%, 2/01/25(a)(b)(c) | | | 500,000 | | | | 512,804 | |
Commonwealth Financing Authority Taxable Revenue Refunding Bonds, Series B-1, 5.00%, 6/01/26 | | | 300,000 | | | | 353,847 | |
Delaware Valley Regional Financial Authority Revenue Bonds, Series A (AMBAC Insured), 5.50%, 8/01/28 | | | 225,000 | | | | 293,071 | |
Doylestown Hospital Authority Revenue Bonds, Series A, Doylestown Hospital, 5.00%, 7/01/49 | | | 165,000 | | | | 190,944 | |
East Vincent GO Unlimited Refunding Bonds, 2.00%, 12/01/22 | | | 200,000 | | | | 205,530 | |
Lancaster County GO Unlimited Refunding Bonds, Series A, 4.00%, 11/01/25 | | | 275,000 | | | | 314,181 | |
Laurel Highlands School District GO Limited Refunding Bonds (BAM State Aid Withholding), 4.00%, 2/01/26 | | | 350,000 | | | | 395,644 | |
Lehigh County General Purpose Authority Revenue Refunding Bonds, Muhlenberg College Project, (SIFMA Municipal Swap Index Yield + 0.58%), 0.64%,
11/01/24(a)(c) | | | 460,000 | | | | 459,051 | |
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Pennsylvania (Continued) | | | | | | | | |
Lehigh County IDA Revenue Refunding Bonds, PPL Electric Utilities Corp., Project, | | | | | | | | |
1.80%, 8/15/22(a)(b)(c) | | $ | 330,000 | | | $ | 336,151 | |
1.80%, 9/01/22(a)(b)(c) | | | 1,000,000 | | | | 1,019,283 | |
Luzerne County IDA Revenue Refunding Bonds (AMT), Pennsylvania-American Water Co., Project, 2.45%, 12/03/29(a)(b)(c) | | | 750,000 | | | | 811,163 | |
Montgomery County IDA Revenue Bonds, Acts Retirement-Life Communities, 5.00%, 11/15/45 | | | 1,500,000 | | | | 1,790,134 | |
Pennsylvania State Economic Development Financing Authority UPMC Revenue Bonds, Series A-1, | | | | | | | | |
5.00%, 4/15/24 | | | 1,200,000 | | | | 1,364,039 | |
5.00%, 4/15/25 | | | 200,000 | | | | 235,337 | |
4.00%, 4/15/45 | | | 500,000 | | | | 582,950 | |
Pennsylvania State Higher Educational Facilities Authority Revenue Refunding Bonds, Thomas Jefferson University, 5.00%, 9/01/39 | | | 500,000 | | | | 565,006 | |
Pennsylvania State Higher Educational Facilities Authority Variable Revenue Refunding Bonds, AICUP Financing Program-York College of Pennsylvania Project, 2.88%, 5/01/30(b)(c) | | | 500,000 | | | | 500,000 | |
Pennsylvania State Housing Finance Agency SFM Revenue Refunding Bonds (AMT), Series 125A, 2.38%, 10/01/25 | | | 1,035,000 | | | | 1,069,286 | |
Pennsylvania State Housing Finance Agency Special Limited Obligation MFH Revenue Bonds, Norris Homes Phase V, 1.40%, 1/01/23(a)(b)(c) | | | 1,000,000 | | | | 1,016,444 | |
See accompanying Notes to Financial Statements
149
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Pennsylvania (Continued) | | | | | | | | |
Pennsylvania State Turnpike Commission Turnpike Variable Revenue Refunding Bonds, Series B, (SIFMA Municipal Swap Index Yield + 0.70%), 0.76%, 12/01/23(c) | | $ | 500,000 | | | $ | 502,365 | |
Pequea Valley School District GO Limited Bonds (State Aid Withholding), | | | | | | | | |
1.00%, 5/15/22 | | | 225,000 | | | | 226,782 | |
2.00%, 5/15/23 | | | 175,000 | | | | 181,090 | |
Philadelphia Airport Revenue Refunding Bonds, Series A (AMT), 5.00%, 6/15/26 | | | 485,000 | | | | 489,358 | |
Philadelphia Airport Revenue Refunding Bonds, Series B (AMT), | | | | | | | | |
5.00%, 7/01/30 | | | 510,000 | | | | 620,323 | |
5.00%, 7/01/33 | | | 400,000 | | | | 483,827 | |
5.00%, 7/01/35 | | | 155,000 | | | | 186,764 | |
Philadelphia Authority for Industrial Development Temple University Revenue Refunding Bonds, Series 1-2015, 5.00%, 4/01/33 | | | 400,000 | | | | 464,170 | |
Philadelphia Authority for Industrial Development University Revenue Refunding Bonds, Saint Joseph’s University, 4.00%, 11/01/45 | | | 500,000 | | | | 566,177 | |
Philadelphia School District GO Limited Bonds, Series A (State Aid Withholding), 4.00%, 9/01/35 | | | 300,000 | | | | 348,542 | |
Philadelphia School District GO Limited Refunding Bonds, Series C (State Aid Withholding), 5.00%, 9/01/33 | | | 500,000 | | | | 641,433 | |
Southcentral General Authority Revenue Bonds, York College of Pennsylvania Project, | | | | | | | | |
5.00%, 5/01/27 | | | 300,000 | | | | 363,830 | |
5.00%, 5/01/28 | | | 215,000 | | | | 265,825 | |
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Pennsylvania (Continued) | | | | | | | | |
West Cornwall Township Municipal Authority Healthcare Facilities Revenue Refunding Bonds, Lebanon Valley Brethren Home Project, | | | | | | | | |
4.00%, 11/15/24 | | $ | 115,000 | | | $ | 126,056 | |
4.00%, 11/15/25 | | | 115,000 | | | | 128,403 | |
4.00%, 11/15/26 | | | 125,000 | | | | 141,739 | |
4.00%, 11/15/27 | | | 130,000 | | | | 149,273 | |
4.00%, 11/15/28 | | | 105,000 | | | | 121,681 | |
Wilkes-Barre Area School District GO Limited Bonds (BAM State Aid Withholding), 5.00%, 4/15/23 | | | 200,000 | | | | 217,760 | |
| | |
| | | | | | | 18,354,317 | |
| | | |
Puerto Rico – 0.7% | | | | | | | | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority Senior Lien Revenue Bonds, Series A, 5.25%, 7/01/42 | | | 815,000 | | | | 860,526 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority Senior Lien Revenue Refunding Bonds, Series A, 5.00%, 7/01/30(d) | | | 250,000 | | | | 302,257 | |
Puerto Rico Commonwealth Public Improvement GO Unlimited Refunding Bonds, Series A, | | | | | | | | |
5.75%, 7/01/28 | | | 105,000 | | | | 89,119 | |
5.00%, 7/01/41 | | | 475,000 | | | | 382,375 | |
Puerto Rico Electric Power Authority Power Revenue Bonds, Series TT-RSA-1, 5.00%, 7/01/37(h) | | | 130,000 | | | | 120,250 | |
Puerto Rico Electric Power Authority Power Revenue Refunding Bonds, Series ZZ-RSA-1, 5.25%, 7/01/23(h) | | | 175,000 | | | | 162,313 | |
Puerto Rico Sales Tax Financing Corp., Restructured TRB, Series A-1, 4.75%, 7/01/53 | | | 258,000 | | | | 286,354 | |
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue CABS, Series A-1, | | | | | | | | |
0.00%, 7/01/27(f) | | | 225,000 | | | | 200,469 | |
0.00%, 7/01/31(f) | | | 500,000 | | | | 390,218 | |
| | |
| | | | | | | | 2,793,881 | |
See accompanying Notes to Financial Statements
150
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Rhode Island – 0.1% | | | | | | | | |
Rhode Island Commerce Corp., First Lien Special Facility Revenue Refunding Bonds, Rhode Island Airport Corp., International, 5.00%, 7/01/31 | | $ | 500,000 | | | $ | 612,101 | |
| | | |
South Carolina – 0.4% | | | | | | | | |
Connector 2000 Association, Inc. Toll Road Revenue CABS, Senior Series A-1, 0.00%, 1/01/32(f) | | | 400,000 | | | | 202,079 | |
South Carolina State Jobs EDA Hospital Revenue Refunding Bonds, Prisma Health Obligated Group, 5.00%, 5/01/38 | | | 400,000 | | | | 486,769 | |
South Carolina State Jobs EDA Hospital Variable Revenue Bonds, Bon Secours Mercy Health, 5.00%, 10/01/25(a)(b)(c) | | | 850,000 | | | | 1,004,420 | |
| | |
| | | | | | | 1,693,268 | |
| | | |
South Dakota – 0.2% | | | | | | | | |
South Dakota State Board of Regents Housing & Auxiliary Facilities System Revenue Refunding Bonds, | | | | | | | | |
4.00%, 4/01/26 | | | 375,000 | | | | 434,934 | |
4.00%, 4/01/27 | | | 425,000 | | | | 501,789 | |
| | |
| | | | | | | 936,723 | |
| | | |
Tennessee – 0.8% | | | | | | | | |
Greeneville Health & Educational Facilities Board Revenue Refunding Bonds, Ballad Health Obligation Group, 5.00%, 7/01/31 | | | 140,000 | | | | 150,863 | |
Memphis-Shelby County Airport Authority Revenue Refunding Bonds, Series B (AMT), 5.00%, 7/01/22 | | | 400,000 | | | | 421,769 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds, Vanderbilt University Medical Center, | | | | | | | | |
5.00%, 7/01/40 | | | 400,000 | | | | 479,063 | |
5.00%, 7/01/46 | | | 500,000 | | | | 594,305 | |
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Tennessee (Continued) | | | | | | | | |
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Refunding Bonds, Trevecca Nazarene University, 3.00%, 10/01/24 | | $ | 420,000 | | | $ | 430,019 | |
Metropolitan Nashville Airport Authority Subordinate Revenue Bonds, Series B (AMT), 5.00%, 7/01/39 | | | 1,000,000 | | | | 1,252,196 | |
| | |
| | | | | | | 3,328,215 | |
| | | |
Texas – 6.3% | | | | | | | | |
Austin Airport System Revenue Bonds, Series A, 5.00%, 11/15/46 | | | 1,380,000 | | | | 1,655,604 | |
Austin Airport System Revenue Bonds, Series B (AMT), 5.00%, 11/15/32 | | | 100,000 | | | | 127,085 | |
Austin Convention Enterprises, Inc., Convention Center Revenue Refunding Bonds, First Tier, 5.00%, 1/01/32 | | | 400,000 | | | | 445,106 | |
Board of Managers Joint Guadalupe County-City of Seguin Hospital Mortgage Revenue Refunding Bonds, 5.00%, 12/01/40 | | | 200,000 | | | | 210,780 | |
Central Regional Mobility Authority Senior Lien Revenue Refunding Bonds, Series A, Prerefunded, 5.00%, 1/01/23(e) | | | 635,000 | | | | 686,432 | |
Central Texas Regional Mobility Authority Revenue Bonds, Series C, 5.00%, 1/01/27 | | | 275,000 | | | | 326,515 | |
Central Texas Regional Mobility Authority Senior Lien Revenue Refunding Bonds, Series A, 5.00%, 1/01/49 | | | 500,000 | | | | 616,479 | |
Dallas Texas Housing Finance Corp., Estates at Shiloh Revenue Bonds, 1.25%, 7/01/23(a)(b)(c) | | | 500,000 | | | | 510,501 | |
Dallas-Fort Worth International Airport Improvement Revenue Bonds, Series B, 5.00%, 11/01/44 | | | 350,000 | | | | 372,792 | |
See accompanying Notes to Financial Statements
151
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Texas (Continued) | | | | | | | | |
Dallas-Fort Worth International Airport Joint Improvement Revenue Bonds, Series C, 5.00%, 11/01/34 | | $ | 445,000 | | | $ | 492,097 | |
Dallas-Fort Worth International Airport Joint Revenue Refunding Bonds, Series A (AMT), 5.25%, 11/01/30 | | | 1,100,000 | | | | 1,221,754 | |
El Paso Texas Airport Revenue Bonds (AMT), 5.00%, 8/15/27 | | | 375,000 | | | | 465,712 | |
Grand Parkway Transportation Corp., System Toll Revenue Refunding Bonds, Grand Parkway System - First, 4.00%, 10/01/45 | | | 265,000 | | | | 309,323 | |
Harris County Cultural Education Facilities Finance Corp., Variable Revenue Bonds, Memorial Hermann Health System, | | | | | | | | |
5.00%, 12/01/22(a)(b)(c) | | | 100,000 | | | | 107,230 | |
5.00%, 12/01/24(a)(b)(c) | | | 1,000,000 | | | | 1,158,296 | |
Harris County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Hospital Memorial Hermann Health, Prerefunded, 5.00%, 12/01/22(e) | | | 300,000 | | | | 322,831 | |
Harris County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Texas Children’s Hospital, 4.00%, 10/01/38 | | | 350,000 | | | | 413,385 | |
Houston Airport System Revenue Refunding Bonds (AMT), United Airlines, Inc., Improvement Projects, 5.00%, 7/15/27 | | | 175,000 | | | | 206,865 | |
Houston Airport System Revenue Refunding Bonds (AMT), United Airlines, Inc., Terminal, 5.00%, 7/01/27 | | | 125,000 | | | | 147,667 | |
Houston Airport System Revenue Refunding Bonds, Subseries D, 5.00%, 7/01/22 | | | 555,000 | | | | 585,872 | |
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Texas (Continued) | | | | | | | | |
Houston Airport System Subordinate Revenue Refunding Bonds, Series B, 5.00%, 7/01/26 | | $ | 500,000 | | | $ | 610,341 | |
Houston Hotel Occupancy Tax & Special Revenue Refunding Bonds, Convention & Entertainment, 5.00%, 9/01/36 | | | 510,000 | | | | 591,800 | |
Lower Colorado River Authority Transmission Contract Revenue Refunding Bonds, LCRA Transmission Services Corp. Project, 5.00%, 5/15/35 | | | 250,000 | | | | 317,745 | |
Montgomery County Toll Road Authority Senior Lien Revenue Bonds, 5.00%, 9/15/37 | | | 500,000 | | | | 563,392 | |
New Hope Cultural Educational Facilities Finance Corp., Retirement Facilities Revenue Refunding Bonds, Presbyterian Village North Project, 5.25%, 10/01/49 | | | 100,000 | | | | 104,484 | |
New Hope Cultural Educational Facilities Finance Corp., Retirement Facilities Revenue Refunding Bonds, Westminster Manor Project, 5.00%, 11/01/31 | | | 250,000 | | | | 282,474 | |
North Texas Tollway Authority Revenue Refunding Bonds, Series A, 5.00%, 1/01/26 | | | 70,000 | | | | 78,515 | |
Northside Texas Independent School District GO Unlimited Refunding Bonds (PSF, Gtd), 1.60%,
8/01/24(a)(b)(c) | | | 350,000 | | | | 362,718 | |
Northside Texas Independent School District Variable GO Unlimited Bonds (PSF, Gtd), 2.75%, 8/01/23(a)(b)(c) | | | 1,000,000 | | | | 1,052,461 | |
Port Beaumont Navigation District Dock & Wharf Facility Revenue Refunding Bonds (AMT), Jefferson Gulf Coast Energy Project, 4.00%, 1/01/50(d) | | | 375,000 | | | | 388,597 | |
See accompanying Notes to Financial Statements
152
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Texas (Continued) | | | | | | | | |
San Antonio Airport System Subordinate Lien Revenue Refunding Bonds, Series A (AMT), 5.00%, 7/01/30 | | $ | 250,000 | | | $ | 319,162 | |
San Antonio Water Junior Lien Variable Revenue Bonds, Series A, 2.63%, 5/01/24(a)(b)(c) | | | 1,125,000 | | | | 1,202,551 | |
Tarrant County Cultural Educational Facilities Finance Corp., Revenue Refunding Bonds, Texas Health Resources System Obligation, | | | | | | | | |
5.00%, 2/15/34 | | | 400,000 | | | | 476,621 | |
5.00%, 2/15/47 | | | 700,000 | | | | 820,639 | |
Texas City Industrial Development Corp., Revenue Bonds, Series 2012, NRG Energy Project, 4.13%, 12/01/45 | | | 545,000 | | | | 594,713 | |
Texas State A&M University Revenue Bonds, Series A, | | | | | | | | |
5.00%, 5/15/27 | | | 1,325,000 | | | | 1,664,181 | |
5.00%, 5/15/28 | | | 825,000 | | | | 1,062,757 | |
Texas State PFA Lease Revenue Refunding Bonds, 4.00%, 2/01/36 | | | 250,000 | | | | 299,000 | |
Texas State Private Activity Bond Surface Transportation Corp., Revenue Bonds (AMT), Segment 3C Project, 5.00%, 6/30/58 | | | 1,000,000 | | | | 1,201,355 | |
Texas State Private Activity Bond Surface Transportation Corp., Senior Lien Revenue Bonds (AMT), Blueridge Transportation, | | | | | | | | |
5.00%, 12/31/45 | | | 500,000 | | | | 564,266 | |
5.00%, 12/31/55 | | | 200,000 | | | | 224,682 | |
Texas State Private Activity Bond Surface Transportation Corp., Senior Lien Revenue Refunding Bonds, North Tarrant Express, 4.00%, 12/31/38 | | | 750,000 | | | | 868,053 | |
Texas State Transportation Commission Central Turnpike System Revenue Refunding Bonds, Series A, 5.00%, 8/15/39 | | | 750,000 | | | | 964,696 | |
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Texas (Continued) | | | | | | | | |
Texas State Transportation Commission Central Turnpike System Subordinate Revenue Refunding Bonds, Series C, 5.00%, 8/15/42 | | $ | 100,000 | | | $ | 111,239 | |
Texas State Transportation Commission First Tier Toll Revenue Bonds, State Highway, 5.00%, 8/01/57 | | | 100,000 | | | | 116,644 | |
Texas State Transportation Commission First Tier Toll Revenue CABS, 0.00%, 8/01/29(f) | | | 480,000 | | | | 400,800 | |
Texas State Water Development Board Revenue Bonds, State Water Implementation Fund, 4.00%, 10/15/38 | | | 510,000 | | | | 616,528 | |
| | |
| | | | | | | 26,242,740 | |
| | | |
Utah – 0.2% | | | | | | | | |
Salt Lake City Airport Revenue Bonds, Series A (AMT), 5.00%, 7/01/47 | | | 805,000 | | | | 957,144 | |
| | | |
Virginia – 3.4% | | | | | | | | |
Botetourt County Residential Care Facility Revenue Refunding Bonds, Series A, Glebe, Inc., 4.75%, 7/01/23 | | | 175,000 | | | | 182,283 | |
Chesapeake Bay Bridge & Tunnel District Revenue Bonds, First Tier General Resolution (AGM Insured), 5.00%, 7/01/41 | | | 1,000,000 | | | | 1,189,870 | |
Chesapeake Bay Bridge & Tunnel District Revenue First Tier General Resolution Revenue BANS, 5.00%, 11/01/23 | | | 1,000,000 | | | | 1,112,154 | |
Chesapeake Bay Bridge & Tunnel District Revenue First Tier General Resolution Revenue Bonds, 5.00%, 7/01/51 | | | 750,000 | | | | 865,199 | |
Chesapeake Hospital Authority Hospital Facilities Revenue Refunding Bonds, Chesapeake Regional Medical Center, 5.00%, 7/01/31 | | | 500,000 | | | | 637,673 | |
Chesapeake Transportation System Senior Toll Road Revenue Bonds, Series A, 5.00%, 7/15/47 | | | 500,000 | | | | 525,031 | |
See accompanying Notes to Financial Statements
153
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Virginia (Continued) | | | | | | | | |
Fairfax County EDA Residential Care Facilities Revenue Bonds, Series A, Vinson Hall LLC, 5.00%, 12/01/42 | | $ | 200,000 | | | $ | 213,837 | |
Fairfax County EDA Residential Care Facilities Revenue Refunding Bonds, Series A, Goodwin House, Inc., 5.00%, 10/01/36 | | | 150,000 | | | | 168,779 | |
Fairfax County EDA Revenue Refunding Bonds, Wiehle Avenue Metrorail Station, 5.00%, 8/01/33 | | | 1,000,000 | | | | 1,325,695 | |
Fairfax County IDA Health Care Revenue Bonds, Inova Health System, 4.00%, 5/15/42 | | | 250,000 | | | | 258,115 | |
Fairfax County IDA Health Care Revenue Refunding Bonds, Inova Health System, 5.00%, 5/15/23(a)(b)(c) | | | 500,000 | | | | 548,362 | |
Fairfax County Water Authority Revenue Refunding Bonds, 5.00%, 4/01/45 | | | 500,000 | | | | 607,825 | |
Hampton Roads Transportation Accountability Commission Revenue BANS, Series A, 5.00%, 7/01/22 | | | 750,000 | | | | 791,990 | |
Hampton Roads Transportation Accountability Commission Senior Lien Revenue Bonds, Series A, 5.50%, 7/01/57 | | | 300,000 | | | | 373,162 | |
James City County EDA Residential Care Facilities Variable Revenue Bonds, United Methodist Home, 6.00%, 6/01/43 | | | 103,778 | | | | 107,847 | |
Louisa Industrial Development Authority Pollution Control Variable Revenue Bonds, Series 2008A, Virginia Electric, 1.90%, 6/01/23(a)(b)(c) | | | 1,000,000 | | | | 1,030,397 | |
Newport News Economic Development Authority Residential Care Facilities Revenue Refunding Bonds, Lifespire of Virginia, 5.00%, 12/01/38 | | | 500,000 | | | | 562,928 | |
| | | | | | | | |
| | | Par | | | Value | |
Virginia (Continued) | | | | | | | | |
Virginia Small Business Financing Authority Private Activity Revenue Bonds (AMT), Transform 66 P3 Project, 5.00%, 12/31/56 | | $ | 50,000 | | | $ | 59,539 | |
Virginia State Small Business Financing Authority Revenue Bonds (AMT), 95 Express Lanes LLC Project, 5.00%, 7/01/49 | | | 645,000 | | | | 662,658 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Bonds (AMT), 95 Express Lane, 5.00%, 7/01/34 | | | 800,000 | | | | 822,440 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Bonds (AMT), Elizabeth River Crossings OpCo, LLC Project, | | | | | | | | |
4.50%, 1/01/23 | | | 135,000 | | | | 141,792 | |
5.00%, 1/01/27 | | | 250,000 | | | | 262,574 | |
Virginia State Small Business Financing Authority Senior Lien Revenue Bonds (AMT), Express Lanes LLC, 5.00%, 7/01/34 | | | 225,000 | | | | 231,311 | |
Westmoreland County IDA Lease Revenue BANS, Westmoreland County High School, 2.00%, 6/01/22 | | | 500,000 | | | | 505,169 | |
York County EDA PCR Bonds, Series A, Electric & Power, 1.90%, 6/01/23(a)(b)(c) | | | 1,000,000 | | | | 1,026,250 | |
| | |
| | | | | | | 14,212,880 | |
| | | |
Washington – 3.3% | | | | | | | | |
Central Puget Sound Regional Transit Authority Sales & Use Tax Improvement Revenue Refunding Bonds, Series S-1, Green Bond, 5.00%, 11/01/31 | | | 1,000,000 | | | | 1,191,426 | |
Energy Electric Revenue Refunding Bonds, Columbia Generating Station, 5.00%, 7/01/36 | | | 1,200,000 | | | | 1,579,147 | |
See accompanying Notes to Financial Statements
154
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Washington (Continued) | | | | | | | | |
King County Public Hospital District No. 1 GO Limited Tax Refunding Bonds, Valley Medical Center, 5.00%, 12/01/26 | | $ | 550,000 | | | $ | 676,867 | |
King County School District No. 210 Federal Way GO Unlimited Bonds (School Board Guaranty Program), 4.00%, 12/01/33 | | | 500,000 | | | | 585,454 | |
King County Sewer Revenue Refunding Bonds, 5.00%, 7/01/42 | | | 250,000 | | | | 302,372 | |
Port of Seattle Airport Intermediate Lien Revenue Bonds (AMT), | | | | | | | | |
5.00%, 4/01/32 | | | 490,000 | | | | 617,406 | |
5.00%, 4/01/44 | | | 500,000 | | | | 609,830 | |
Port of Seattle Airport Intermediate Lien Subordinate Revenue Refunding Bonds, Series B (AMT), 5.00%, 8/01/23 | | | 600,000 | | | | 634,389 | |
Seattle Municipal Light & Power Revenue Refunding Bonds, 4.00%, 9/01/40 | | | 500,000 | | | | 546,887 | |
Seattle Municipal Light & Power Variable Revenue Refunding Bonds, (SIFMA Municipal Swap Index Yield + 0.35%), 0.41%, 11/01/22(c) | | | 900,000 | | | | 901,112 | |
Washington State GO Unlimited Bonds, Series A-1, 5.00%, 8/01/40 | | | 1,000,000 | | | | 1,175,761 | |
Washington State GO Unlimited Bonds, Series C, | | | | | | | | |
5.00%, 2/01/26 | | | 350,000 | | | | 424,722 | |
5.00%, 2/01/40 | | | 2,000,000 | | | | 2,580,807 | |
Washington State Health Care Facilities Authority Revenue Bonds, Series A, Providence Health & Services, 4.00%, 10/01/34 | | | 500,000 | | | | 519,053 | |
Washington State Health Care Facilities Authority Revenue Refunding Bonds, Series B, Commonspirit Health, 5.00%, 8/01/26(a)(b)(c) | | | 615,000 | | | | 737,194 | |
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Washington (Continued) | | | | | | | | |
Washington State Higher Educational Facilities Authority Revenue Bonds, Seattle University Project, | | | | | | | | |
5.00%, 5/01/22 | | $ | 215,000 | | | $ | 224,800 | |
4.00%, 5/01/50 | | | 250,000 | | | | 282,608 | |
| | |
| | | | | | | 13,589,835 | |
| | | |
West Virginia – 0.1% | | | | | | | | |
Princeton Hospital Revenue Refunding Bonds, Princeton Community Hospital Project, 5.00%, 5/01/22 | | | 500,000 | | | | 520,752 | |
| | | |
Wisconsin – 2.1% | | | | | | | | |
Milwaukee Corp., Purpose GO Unlimited Bonds, Series B3, 4.00%, 4/01/26 | | | 1,000,000 | | | | 1,100,215 | |
Park Falls NANS, Series B, 3.00%, 3/01/25 | | | 975,000 | | | | 1,017,025 | |
PFA Education Revenue Bonds, North Carolina Leadership Academy, 5.00%, 6/15/49(d) | | | 100,000 | | | | 107,838 | |
PFA Educational Revenue Bonds, Piedmont Community Charter School, | | | | | | | | |
5.00%, 6/15/39 | | | 490,000 | | | | 576,114 | |
5.00%, 6/15/49 | | | 150,000 | | | | 173,597 | |
PFA Exempt Facilities Revenue Refunding Bonds (AMT), National Gypsum Co., 4.00%, 8/01/35 | | | 370,000 | | | | 371,547 | |
PFA Hospital Revenue Refunding Bonds, Series A, WakeMed Hospital, 4.00%, 10/01/49 | | | 500,000 | | | | 565,323 | |
PFA Revenue Bonds, Roseman University of Health System, 5.00%, 4/01/50(d) | | | 250,000 | | | | 287,351 | |
Wisconsin Center District Appropriation Revenue Bonds, Milwaukee Arena Project, 5.00%, 12/15/27 | | | 200,000 | | | | 243,371 | |
Wisconsin State Health & Educational Facilities Authority Revenue Bonds, Series B, Marshfield Clinic, 5.00%, 2/15/24 | | | 1,250,000 | | | | 1,289,564 | |
See accompanying Notes to Financial Statements
155
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | | |
Wisconsin (Continued) | | | | | | | | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Beloit Health System, Inc., 5.00%, 7/01/23 | | $ | 645,000 | | | $ | 707,227 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Benevolent Corp., Cedar Community, 5.00%, 6/01/41 | | | 250,000 | | | | 266,866 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B1, Ascension Health Credit Group, 5.00%, 11/15/39 | | | 350,000 | | | | 417,658 | |
Wisconsin State Health & Educational Facilities Authority Revenue Refunding Bonds, Series B5, 5.00%,
12/03/24(a)(b)(c) | | | 1,000,000 | | | | 1,152,124 | |
Wisconsin State Transportation Revenue Refunding Bonds, Series 1, Prerefunded, 4.50%, 7/01/22(e) | | | 400,000 | | | | 420,321 | |
| | |
| | | | | | | 8,696,141 | |
| | | |
Total Municipal Bonds
(Cost $333,679,945) | | | | | | | 345,342,500 | |
| | |
| | | Number of
Shares | | | | |
| |
Investment Companies – 0.2% | | | | | |
| | |
iShares National Muni Bond ETF | | | 8,220 | | | | 959,685 | |
| | | |
Total Investment Companies
(Cost $933,497) | | | | | | | 959,685 | |
| | |
| | | Par/Number
of Shares | | | | |
| | |
Short-Term Investments – 17.8% | | | | | |
Money Market Fund – 3.1% | | | | | | | | |
| | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(i) | | | 13,103,637 | | | | 13,103,637 | |
| | | | | | | | |
| | | Par/Number
of Shares | | | Value | |
| | | |
Municipal Bonds – 14.7% | | | | | | | | |
Allegheny County Hospital Development Authority Revenue Refunding Bonds, University of Pittsburgh Medical Center, 5.00%, 7/15/21 | | | 100,000 | | | $ | 100,964 | |
American Municipal Power-Ohio, Inc., Variable Revenue Refunding Bonds, Series A, 2.30%, 2/15/22(a)(b)(c) | | | 1,250,000 | | | | 1,257,147 | |
Bartow County Development Authority Revenue Refunding Bonds, Series B, Georgia Power Company Plant Bowen Project, 2.05%,
11/19/21(a)(b)(c) | | | 275,000 | | | | 277,602 | |
Bensenville GO Unlimited Bonds, Series B (AGM Insured), Prerefunded, 5.00%, 12/30/21(e) | | | 245,000 | | | | 252,882 | |
Broward County Port Facilities Subordinate Revenue Refunding Bonds, Series D (AMT), 5.00%, 9/01/21 | | | 750,000 | | | | 760,070 | |
California State Infrastructure & Economic Development Bank Variable Revenue Refunding Bonds, Series S, J. Paul Getty Trust, (1M USD LIBOR + 0.33%), 0.41%, 4/01/22(a)(c) | | | 1,000,000 | | | | 1,001,073 | |
California State Municipal Finance Authority Solid Waste Disposal Variable Revenue Bonds (AMT), Waste Management Inc., Project, 0.20%, 6/01/21(a)(b)(c) | | | 1,000,000 | | | | 999,850 | |
California State Municipal Finance Authority Solid Waste Variable Revenue Refunding Bonds, Republic Services, 0.15%,
7/01/21(a)(b)(c) | | | 300,000 | | | | 300,000 | |
California State Pollution Control Financing Authority Solid Waste Disposal Revenue Bonds (AMT), Republic Services Inc., Project, 0.18%, 7/15/21(a)(b)(c)(d) | | | 250,000 | | | | 249,990 | |
See accompanying Notes to Financial Statements
156
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | |
| | | Par/Number of Shares | | Value |
| | |
Municipal Bonds (Continued) | | |
California State School Cash Reserve Program Authority Taxable Revenue Notes, Series L, 2.00%, 1/31/22 | | 1,000,000 | | $1,014,383 |
Central Bucks School District GO Limited Refunding Bonds (State Aid Withholding), 5.00%, 5/15/21 | | 1,840,000 | | 1,842,742 |
Central Regional Mobility Authority Senior Lien Revenue Refunding Bonds, Series A, 5.00%, 1/01/22 | | 300,000 | | 308,961 |
Chicago GO Unlimited Refunding Bonds, Series A, 5.00%, 1/01/22 | | 300,000 | | 308,072 |
Connecticut State GO Unlimited Bonds, Series A, 5.00%, 3/15/22 | | 795,000 | | 828,416 |
Connecticut State Health & Educational Facilities Authority Revenue Refunding Bonds, Stamford Hospital Issue, 3.00%, 7/01/21 | | 100,000 | | 100,438 |
Connecticut State Higher Education Supplemental Loan Authority Revenue Refunding Bonds, Series C, Chesla Loan Program, 5.00%, 11/15/21 | | 200,000 | | 205,100 |
Cumberland County Municipal Authority Revenue Bonds, AICUP Financing Program-Messiah College Project, 3.75%,
4/30/22(a)(b)(c) | | 500,000 | | 502,620 |
Dallas Independent School District GO Unlimited Bonds, 2020-Multi-Modal (PSF, Gtd), Prerefunded, 5.00%, 2/15/22(b)(c)(e) | | 195,000 | | 202,469 |
Dallas-Fort Worth International Airport Revenue Bonds, Series H (AMT), Prerefunded, 5.00%, 11/01/21(e) | | 400,000 | | 409,451 |
E-470 Public Highway Authority Senior Variable Revenue Refunding Bonds, Libor Index, (1M USD LIBOR + 0.42%), 0.49%, 9/01/21(a)(c) | | 500,000 | | 500,011 |
| | | | |
| | | Par/Number of Shares | | Value |
| | |
Municipal Bonds (Continued) | | |
Florida State Development Finance Corp., Educational Facilities Revenue Refunding Bonds, Nova Southeastern University Project, 5.00%, 4/01/22 | | 350,000 | | $364,451 |
Florida State Housing Finance Corp., Multi Family Mortgage Adjustable Revenue Bonds, Series A, Parrish Oaks, 1.25%, 2/01/22(a)(b)(c) | | 1,000,000 | | 1,008,305 |
Greeneville Health & Educational Facilities Board MFH Revenue Bonds, People RD Portfolio Project, 1.45%, 12/01/21(a)(b)(c) | | 500,000 | | 503,679 |
Health Care Authority For Baptist Health Variable Revenue Refunding Bonds, Series B, 0.22%, 5/11/21(a)(c)(j) | | 2,500,000 | | 2,500,000 |
Highlands County Health Facilities Authority Variable Revenue Refunding Bonds, Hospital Adventist, 0.06%, 5/11/21(a)(c)(j) | | 1,000,000 | | 1,000,000 |
Illinois State Finance Authority Revenue Bonds, Series A, Carle Foundation, 5.00%, 8/15/21 | | 500,000 | | 506,813 |
Illinois State Finance Authority Revenue Refunding Bonds, Series A, OSF Healthcare System, 5.00%, 11/15/21 | | 1,100,000 | | 1,127,147 |
Illinois State Finance Authority Revenue Refunding Bonds, Southern Illinois Healthcare, 5.00%, 3/01/22 | | 300,000 | | 311,761 |
Illinois State Sports Facilities Authority State Tax Supported Revenue CABS (AMBAC Insured), 0.00%, 6/15/21(f) | | 410,000 | | 409,539 |
Indiana State Finance Authority Hospital Revenue Bonds, Indiana University Health Obligated Group, Prerefunded, 1.65%, 1/01/22(b)(c)(e) | | 50,000 | | 50,493 |
See accompanying Notes to Financial Statements
157
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | |
| | | Par/Number of Shares | | Value |
| | |
Municipal Bonds (Continued) | | |
Indianapolis MFH Revenue Bonds, Regency Park Apartments, Series A, 1.40%, 9/01/21(a)(b)(c) | | 1,000,000 | | $1,003,964 |
Kentucky State Housing Corp., Variable Revenue Bonds, Beecher Phase I Project, 2.00%,
9/01/21(a)(b)(c) | | 480,000 | | 482,838 |
Lackawanna County IDA Revenue Refunding Bonds, University of Scranton, 5.00%, 11/01/21 | | 375,000 | | 383,483 |
Long Beach Harbor Revenue Notes, Series C, 4.00%, 7/15/21 | | 600,000 | | 604,637 |
Louisiana State Housing Corp., MFH Variable Revenue Bonds, Hollywood Acres & Hollywood Heights Project, Series 2019, 1.44%, 12/01/21(a)(b)(c) | | 1,000,000 | | 1,007,589 |
Madison, Macoupin Etc. Counties Community College District No. 536 GO Unlimited Refunding Bonds, Lewis & Clark Community (AGM Insured), 4.00%, 5/01/21 | | 675,000 | | 675,000 |
Main Street Natural Gas, Inc., Gas Supply Revenue Bonds, Series A, 5.00%, 5/15/21 | | 750,000 | | 751,095 |
Maryland State Department of Transportation Consolidated Transportation Revenue Bonds, 5.00%, 2/01/22 | | 260,000 | | 269,442 |
Massachusetts State Educational Financing Authority Revenue Bonds, Series J (AMT), 5.00%, 7/01/21 | | 500,000 | | 503,732 |
Massachusetts State HFA Revenue Bonds, Colonial Village Projects, 1.45%, 1/01/22(a)(b)(c) | | 760,000 | | 765,847 |
Metropolitan Transportation Authority Revenue BANS, Series A-2S, 4.00%, 2/01/22 | | 750,000 | | 770,307 |
Metropolitan Transportation Authority Revenue BANS, Series B-2A, 5.00%, 5/15/21 | | 875,000 | | 876,315 |
| | | | |
| | | Par/Number of Shares | | Value |
| | |
Municipal Bonds (Continued) | | |
Miami-Dade County HFA MFH Variable Revenue Bonds, 1.40%, 4/01/22(a)(b)(c) | | 500,000 | | $502,223 |
Michigan State Strategic Fund Limited Obligation Adjustable Revenue Refunding Bonds, Detroit Edison Co., Pollution Control Bonds Project, 1.45%,
9/01/21(a)(b)(c) | | 600,000 | | 602,376 |
Minnesota State HFA Housing Bonds, White Oak Estates, Series F (HUD Sector 8 Program), 1.35%, 8/01/21 | | 1,000,000 | | 1,000,704 |
Nassau County Local Economic Assistance Corp., Revenue Refunding Bonds, South Nassau Communities Hospital Project, 5.00%, 7/01/21 | | 715,000 | | 720,150 |
New Jersey State EDA Revenue Bonds, Provident Group Rowan Properties LLC, 5.00%, 1/01/22 | | 150,000 | | 152,191 |
New York State Mortgage Agency Homeowner Mortgage Revenue Refunding Bonds, Series 214 (AMT), 2.85%, 4/01/22 | | 360,000 | | 367,526 |
New York Transportation Development Corp. Special Facility Revenue Refunding Bonds, Terminal 4 John F. Kennedy International Airport, 5.00%, 12/01/21 | | 450,000 | | 462,249 |
North Carolina Medical Care Commission Health Care Facilities Revenue Refunding Bonds, Deerfield Episcopal Retirement Community, 4.00%, 11/01/21 | | 150,000 | | 152,545 |
Ohio State Housing Finance Agency MFH Revenue Notes, Wesley Tower Apartments Project, 1.40%, 6/01/21(a)(b)(c) | | 1,500,000 | | 1,501,372 |
See accompanying Notes to Financial Statements
158
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par/Number of Shares | | | Value | |
| |
Municipal Bonds (Continued) | | | | | |
Orlando Community Redevelopment Agency Tax Increment Revenue Refunding Bonds, Republic Drive/Universal, 5.00%, 4/01/22 | | | 200,000 | | | $ | 207,604 | |
Oyster Bay GO Limited BANS, Series C, 4.00%, 8/27/21 | | | 1,000,000 | | | | 1,011,763 | |
Park Falls Water & Sewerage System Revenue BANS, Series C, 3.00%, 3/01/22 | | | 835,000 | | | | 851,799 | |
Puerto Rico Commonwealth GO Unlimited Bonds, Series A, 5.00%, 7/01/19(h) | | | 390,000 | | | | 341,250 | |
RBC Municipal Products Inc., Trust Floater Certificates Revenue Bonds, Series C-16 for Missouri Health (Royal Bank of Canada LOC), 0.12%, 5/11/21(a)(c)(d)(j) | | | 500,000 | | | | 500,000 | |
Riverside County Office Education Pooled Cross Fiscal Year 2020-21 TRANS, Series B, 2.00%, 12/31/21 | | | 1,000,000 | | | | 1,012,353 | |
Sacramento County Airport System Revenue Refunding Bonds, Series B, Escrowed to Maturity, 5.00%, 7/01/21 | | | 1,950,000 | | | | 1,964,741 | |
Saint James Parish Variable Revenue Bonds, Series A-1, Nucor Steel, 0.13%, 5/11/21(a)(c)(j) | | | 400,000 | | | | 400,000 | |
San Antonio Housing Trust Finance Corp., MFH Variable Revenue Bonds, Majestic Ranch Apartments (FHA 221(D4) Insured), 1.40%, 1/01/22(a)(b)(c) | | | 1,000,000 | | | | 1,006,505 | |
Sand Creek Metropolitan District GO Limited Refunding Bonds, Series A (AGM Insured), 2.00%, 12/01/21 | | | 150,000 | | | | 151,377 | |
Sierra View Local Health Care District Revenue Refunding Bonds, Tulare County, 4.00%, 7/01/21 | | | 225,000 | | | | 226,185 | |
| | | | | | | | |
| | | Par/Number of Shares | | | Value | |
| |
Municipal Bonds (Continued) | | | | | |
South Carolina State Jobs EDA Hospital Variable Revenue Bonds, Prisma Health Obligated Group, 0.17%, 5/11/21(a)(c)(j) | | | 2,000,000 | | | $ | 2,000,000 | |
Spotsylvania County EDA Housing Revenue Bonds, Palmers Creek Apartments Project (FHA 221(D4) GNMA Insured), 1.45%, 2/01/22(a)(b)(c) | | | 500,000 | | | | 504,333 | |
Suffolk County GO Limited TANS, Series I, 2.00%, 7/22/21 | | | 1,000,000 | | | | 1,003,901 | |
Suffolk County GO Limited TANS, Series I, 3.00%, 9/24/21 | | | 1,000,000 | | | | 1,010,559 | |
Tender Option Bond Trust Receipts/CTFS Various States Floaters GO Unlimited Bond, Series 2017-XF2466 (BAM Insured), 0.10%, 5/11/21(a)(c)(d)(j) | | | 3,000,000 | | | | 3,000,000 | |
Tender Option Bond Trust Receipts/CTFS Various States Floaters Revenue Bonds, Series 2018-XG0171, 0.10%,
5/11/21(a)(c)(d)(j) | | | 3,000,000 | | | | 3,000,000 | |
Tender Option Bond Trust Receipts/CTFS Various States Floaters Revenue Bonds, Series 2021-XM0927 (AGM Insured), 0.13%, 5/11/21(a)(c)(d)(j) | | | 3,000,000 | | | | 3,000,000 | |
Texas State Veterans Variable GO Limited Bonds, 0.09%, 5/11/21(a)(c)(j) | | | 4,000,000 | | | | 4,000,000 | |
Washington State Housing Finance Commission Revenue Bonds, Columbia Park Apartments Project (FHA/GNMA Insured), 1.39%, 7/01/21(a)(b)(c) | | | 1,000,000 | | | | 1,001,915 | |
Washoe County Water Facilities Variable Revenue Refunding Bonds (AMT), Sierra Pacific, 2.05%, 4/15/22(a)(b)(c) | | | 500,000 | | | | 507,978 | |
See accompanying Notes to Financial Statements
159
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | | | | | | | |
| | | Par/Number
of Shares | | | Value | |
| |
| |
Municipal Bonds (Continued) | | | | | |
Will County Community High School District No. 210 Lincoln-Way Refunding GO Unlimited Bonds (AGM Insured), 4.00%, 1/01/22 | | | 975,000 | | | $ | 996,290 | |
Yuma IDA Hospital Revenue Bonds, Series A, Yuma Regional Medical Center, 5.00%, 8/01/21 | | | 675,000 | | | | 682,672 | |
| | |
| | | | | | | 61,141,239 | |
| |
| | |
Total Short-Term Investments (Cost $74,038,579) | | | | | | | 74,244,876 | |
| |
| | |
Total Investments – 100.8% (Cost $408,652,021) | | | | | | | 420,547,061 | |
| |
| |
Liabilities less Other Assets – (0.8)% | | | | (3,377,748 | ) |
| |
| | |
NET ASSETS – 100.0% | | | | | | $ | 417,169,313 | |
| |
Percentages shown are based on Net Assets.
| (a) | Maturity date represents the puttable date. |
| (b) | These securities are remarketed by an agent, and the interest rate is determined by general market conditions and supply and demand. |
| (c) | Variable rate security. Rate as of April 30, 2021 is disclosed. |
| (d) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
| (e) | Maturity date represents the prerefunded date. |
| (g) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2021. |
| (h) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. |
| (i) | 7-day current yield as of April 30, 2021 is disclosed. |
| (j) | Rate is determined by a Remarketing Agent which, in its judgment, on the basis of prevailing financial markets, will be the lowest interest rate necessary to enable the remarketing agent to sell the bonds at a price equal to 100% of the principal amount. |
| | |
| Abbreviations: |
1M | | 1 Month |
AGM | | Assured Guarantee Municipal Corporation |
AMBAC | | American Municipal Bond Assurance Corporation |
AMT | | Alternative Minimum Tax |
BAM | | Build America Mutual |
BANS | | Bond Anticipation Notes |
CABS | | Capital Appreciation Bonds |
COPS | | Certificates of Participation |
EDA | | Economic Development Authority |
ETF | | Exchange-Traded Fund |
FHA | | Federal Housing Administration |
FHLMC | | Federal Home Loan Mortgage Corporation |
FNMA | | Federal National Mortgage Association |
GARVEE | | Grant Anticipation Revenue Vehicle |
GNMA | | Government National Mortgage Association |
GO | | Government Obligation |
Gtd | | Guaranteed |
See accompanying Notes to Financial Statements
160
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Municipal Bond Fund
| | |
HFA | | Housing Finance Authority |
IBC | | Insured Bond Certificates |
IDA | | Industrial Development Authority |
LIBOR | | London Interbank Offered Rate |
LLC | | Limited Liability Company |
LOC | | Letter of Credit |
MFH | | Multifamily Housing |
NATL | | National Public Finance Guarantee Corporation |
PCR | | Pollution Control Revenue |
PFA | | Public Finance Authority |
PSF | | Permanent School Fund |
SFM | | Single Family Mortgage |
SIFMA | | Securities Industry and Financial Markets Association |
SonyMA | | State of New York Mortgage Agency |
TANS | | Tax Anticipation Notes |
TCRS | | Transferable Custodial Receipts |
TRANS | | Tax Revenue Anticipation Bonds |
TRB | | Tax Revenue Bonds |
USD | | United States Dollar |
| | | | |
| | |
Municipal Issue Type (%)(a),(b) | | | | |
| |
Revenue Bonds | | | 79.8 | |
| |
General Obligation Unlimited Bonds | | | 9.4 | |
| |
General Obligation Limited Bonds | | | 4.3 | |
| |
Certificates of Participation | | | 1.5 | |
| |
Revenue Notes | | | 1.4 | |
| |
General Obligation Limited Notes | | | 0.6 | |
| |
Tax Allocation Bonds | | | 0.4 | |
| |
Special Assessment Bonds | | | 0.1 | |
| | |
Total | | | 97.5 | |
| (a) | Percentages shown are based on Net Assets. |
| (b) | Excludes Investment Companies, Short-Term Money Market Fund Investments and Other. |
Valuation Hierarchy
The following is a summary of the inputs used, as of April 30, 2021, in valuing the Fund’s investments carried at fair value:
| | | | | | | | | | | | | | |
| | | | | |
| Morningstar Municipal Bond Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals |
| | | | |
Investments | | | | | | | | | | | | | | |
| | | | |
Municipal Bonds | | | $ — | | | | $345,342,500 | | | | $— | | | $345,342,500 |
| | | | |
Investment Companies | | | 959,685 | | | | — | | | | — | | | 959,685 |
| | | | |
Short-Term Investments | | | 13,103,637 | | | | 61,141,239 | | | | — | | | 74,244,876 |
| | | | | |
Total Investments | | | $14,063,322 | | | | $406,483,739 | | | | $— | | | $420,547,061 |
See accompanying Notes to Financial Statements
161
Morningstar Funds Trust April 30, 2021
Schedule of Investments
|
Morningstar Defensive Bond Fund |
| | | | | | | | |
| | | Par | | | Value | |
| |
Asset-Backed Securities – 39.0% | | | | | |
| | |
Automobile – 7.0% | | | | | | | | |
Ally Auto Receivables Trust, Series 2019-1, Class A4, 3.02%, 4/15/24 | | $ | 308,000 | | | $ | 318,426 | |
American Credit Acceptance Receivables Trust, | | | | | | | | |
Series 2020-2, Class B, 2.48%, 9/13/24(a) | | | 160,000 | | | | 162,420 | |
Series 2020-4, Class B, 0.85%, 12/13/24(a) | | | 264,000 | | | | 264,770 | |
Series 2021-2, Class B, 0.68%, 5/13/25(a) | | | 92,000 | | | | 91,980 | |
Series 2020-3, Class C, 1.85%, 6/15/26(a) | | | 392,000 | | | | 399,549 | |
Series 2020-4, Class C, 1.31%, 12/14/26(a) | | | 433,000 | | | | 437,506 | |
Series 2021-2, Class C, 0.97%, 7/13/27(a) | | | 392,000 | | | | 392,262 | |
Avis Budget Rental Car Funding AESOP LLC, | | | | | | | | |
Series 2019-1A, Class A, 3.45%, 3/20/23(a) | | | 302,000 | | | | 308,133 | |
Series 2017-1A, Class A, 3.07%, 9/20/23(a) | | | 643,000 | | | | 662,799 | |
Series 2017-2A, Class A, 2.97%, 3/20/24(a) | | | 322,000 | | | | 335,325 | |
Carmax Auto Owner Trust, | | | | | | | | |
Series 2019-1, Class A4, 3.26%, 8/15/24 | | | 240,000 | | | | 251,242 | |
Series 2019-1, Class B, 3.45%, 11/15/24 | | | 129,000 | | | | 135,215 | |
Chesapeake Funding II LLC, | | | | | | | | |
Series 2019-1A, Class B, 3.11%, 4/15/31(a) | | | 324,000 | | | | 335,361 | |
Series 2020-1A, Class C, 2.14%, 8/16/32(a) | | | 159,000 | | | | 163,447 | |
DT Auto Owner Trust, | | | | | | | | |
Series 2020-3A, Class B, 0.91%, 12/16/24(a) | | | 135,000 | | | | 135,687 | |
Series 2020-2A, Class B, 2.08%, 3/16/26(a) | | | 163,000 | | | | 165,948 | |
Series 2020-3A, Class C, 1.47%, 6/15/26(a) | | | 149,000 | | | | 150,926 | |
Exeter Automobile Receivables Trust, | | | | | | | | |
Series 2021-1A, Class A3, 0.34%, 3/15/24 | | | 96,000 | | | | 95,983 | |
Series 2020-2A, Class B, 2.08%, 7/15/24(a) | | | 265,000 | | | | 268,020 | |
Series 2020-3A, Class B, 0.79%, 9/16/24 | | | 192,000 | | | | 192,589 | |
Series 2021-1A, Class B, 0.50%, 2/18/25 | | | 268,000 | | | | 267,910 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
Automobile (Continued) | | | | | | | | |
Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.32%, 7/15/25 | | $ | 137,000 | | | $ | 138,529 | |
Ford Credit Auto Lease Trust, Series 2020-B, Class C, 1.70%, 2/15/25 | | | 149,000 | | | | 152,030 | |
Ford Credit Auto Owner Trust, Series 2019-A, Class A4, 2.85%, 8/15/24 | | | 324,000 | | | | 336,495 | |
GM Financial Automobile Leasing Trust, Series 2020-1, Class B, 1.84%, 12/20/23 | | | 133,000 | | | | 135,065 | |
Honda Auto Receivables Owner Trust, | | | | | | | | |
Series 2020-1, Class A3, 1.61%, 4/22/24 | | | 505,000 | | | | 512,880 | |
Series 2019-1, Class A4, 2.90%, 6/18/24 | | | 302,000 | | | | 311,105 | |
Series 2019-2, Class A4, 2.54%, 3/21/25 | | | 605,000 | | | | 624,482 | |
Hyundai Auto Lease Securitization Trust, Series 2020-A, Class B, 2.12%, 5/15/24(a) | | | 157,000 | | | | 160,238 | |
Nissan Auto Lease Trust, Series 2020-A, Class A4, 1.88%, 4/15/25 | | | 256,000 | | | | 260,529 | |
Nissan Auto Receivables Owner Trust, | | | | | | | | |
Series 2018-B, Class A4, 3.16%, 12/16/24 | | | 245,000 | | | | 252,754 | |
Series 2019-A, Class A4, 3.00%, 9/15/25 | | | 308,000 | | | | 321,483 | |
Prestige Auto Receivables Trust, Series 2020-1A, Class B, 0.77%, 10/15/24(a) | | | 164,000 | | | | 164,489 | |
Santander Consumer Auto Receivables Trust, Series 2020-AA, Class B, 2.26%, 12/15/25(a) | | | 312,000 | | | | 321,212 | |
Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.12%, 1/15/26 | | | 423,000 | | | | 426,302 | |
Toyota Auto Receivables Owner Trust, | | | | | | | | |
Series 2019-A, Class A4, 3.00%, 5/15/24 | | | 308,000 | | | | 320,273 | |
Series 2020-A, Class A3, 1.66%, 5/15/24 | | | 554,000 | | | | 562,854 | |
Westlake Automobile Receivables Trust, | | | | | | | | |
Series 2020-1A, Class C, 2.52%, 4/15/25(a) | | | 761,000 | | | | 782,169 | |
See accompanying Notes to Financial Statements
162
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Automobile (Continued) | | | | | | | | |
Westlake Automobile Receivables Trust, | | | | | | | | |
Series 2020-2A, Class C, 2.01%, 7/15/25(a) | | $ | 220,000 | | | $ | 224,591 | |
Series 2020-3A, Class B, 0.78%, 11/17/25(a) | | | 330,000 | | | | 331,364 | |
Series 2020-3A, Class C, 1.24%, 11/17/25(a) | | | 155,000 | | | | 156,430 | |
Series 2021-1A, Class B, 0.64%, 3/16/26(a) | | | 483,000 | | | | 483,609 | |
Wheels SPV 2 LLC, Series 2019-1A, Class A3, 2.35%, 5/22/28(a) | | | 621,000 | | | | 635,986 | |
World Omni Auto Receivables Trust, | | | | | | | | |
Series 2020-A, Class A3, 1.70%, 1/17/23 | | | 412,000 | | | | 419,050 | |
Series 2019-A, Class B, 3.34%, 6/16/25 | | | 304,000 | | | | 317,143 | |
World Omni Automobile Lease Securitization Trust, Series 2019-B, Class B, 2.13%, 2/18/25 | | | 109,000 | | | | 110,814 | |
| | |
| | | | | | | 13,997,374 | |
| | | |
Automobile Floor Plan – 0.4% | | | | | | | | |
Navistar Financial Dealer Note Master Trust, Series 2020-1, Class C, (1M USD LIBOR + 2.15%), 2.26%,
7/25/25(a)(b) | | | 457,000 | | | | 462,513 | |
NextGear Floorplan Master Owner Trust, Series 2019-2A, Class A2, 2.07%, 10/15/24(a) | | | 263,000 | | | | 269,298 | |
| | |
| | | | | | | 731,811 | |
| |
Commercial Mortgage-Backed Securities – 4.2% | |
Citigroup Commercial Mortgage Trust, | | | | | | | | |
Series 2012-GC8, Class A4, 3.02%, 9/10/45 | | | 132,640 | | | | 134,831 | |
Series 2013-GC11, Class A3, 2.82%, 4/10/46 | | | 471,866 | | | | 485,379 | |
Commercial Mortgage Trust, | | | | | | | | |
Series 2012-CCRE2, Class A4, 3.15%, 8/15/45 | | | 148,000 | | | | 151,595 | |
Series 2012-CCRE5, Class A3, 2.54%, 12/10/45 | | | 475,745 | | | | 484,423 | |
Series 2013-LC6, Class A4, 2.94%, 1/10/46 | | | 320,949 | | | | 331,130 | |
| | | | | | | | |
| | | Par | | | Value | |
|
Commercial Mortgage-Backed Securities (Continued) | |
Commercial Mortgage Trust, Series 2013-CCRE7, Class A4, 3.21%, 3/10/46 | | $ | 497,817 | | | $ | 518,412 | |
GS Mortgage Securities Corp. Trust, Series 2012-ALOHA, Class A, 3.55%, 4/10/34(a) | | | 588,000 | | | | 596,783 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class C, (1M USD LIBOR + 1.65%, 1.65% Floor), 1.76%, 5/15/38(a)(b) | | | 616,000 | | | | 615,809 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | | | | |
Series 2016-WIKI, Class A, 2.80%,
10/05/31(a) | | | 245,000 | | | | 245,603 | |
Series 2012-HSBC, Class A, 3.09%,
7/05/32(a) | | | 517,696 | | | | 528,725 | |
Series 2012-C8, Class AS, 3.42%, 10/15/45(a) | | | 313,000 | | | | 321,814 | |
Series 2015-C30, Class ASB, 3.56%, 7/15/48 | | | 469,287 | | | | 492,989 | |
LoanCore Issuer Ltd., Series 2021-CRE4, Class A, (1M USD LIBOR + 0.80%, 0.80% Floor), 0.91%, 7/15/35(a)(b)(c) | | | 237,000 | | | | 236,533 | |
UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class A4, 3.09%, 8/10/49 | | | 420,638 | | | | 431,701 | |
VCC Trust, Series 2020-MC1, Class A, 4.50%, 6/25/45(a) | | | 231,806 | | | | 232,285 | |
VNDO Mortgage Trust, | | | | | | | | |
Series 2012-6AVE, Class A, 3.00%,
11/15/30(a) | | | 55,000 | | | | 56,466 | |
Series 2012-6AVE, Class B, 3.30%,
11/15/30(a) | | | 775,000 | | | | 799,134 | |
Wells Fargo Commercial Mortgage Trust, Series 2012-LC5, Class A3, 2.92%, 10/15/45 | | | 333,480 | | | | 341,456 | |
See accompanying Notes to Financial Statements
163
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
| | | | | | |
| | | Par | | Value | |
| |
Commercial Mortgage-Backed Securities (Continued) | | | | |
WFRBS Commercial Mortgage Trust, | | | | | | |
Series 2013-C11, Class A5, 3.07%, 3/15/45 | | $122,997 | | $ | 127,207 | |
Series 2012-C8, Class A3, 3.00%, 8/15/45 | | 617,000 | | | 631,163 | |
Series 2012-C9, Class A3, 2.87%, 11/15/45 | | 682,488 | | | 699,849 | |
| | |
| | | | | 8,463,287 | |
| | | |
Other – 25.2% | | | | | | |
ABPCI Direct Lending Fund ABS I Ltd., Series 2020-1A, Class B, 4.94%, 12/20/30(a)(c) | | 891,000 | | | 886,225 | |
ABPCI Direct Lending Fund CLO I LLC, Series 2017-1A, Class ER, (3M USD LIBOR + 7.60%, 7.60% Floor), 7.79%, 4/20/32(a)(b) | | 746,000 | | | 712,312 | |
ABPCI Direct Lending Fund CLO X L.P., Series 2020-10A, Class A1A, (3M USD LIBOR + 1.95%, 1.95% Floor), 2.14%, 1/20/32(a)(b) | | 250,000 | | | 249,952 | |
ABPCI Direct Lending Fund IX LLC, Series 2020-9A, Class A1, (3M USD LIBOR + 1.95%, 1.95% Floor), 2.14%, 11/18/31(a)(b) | | 304,000 | | | 304,257 | |
AGL CLO 6 Ltd., Series 2020-6A, Class E, (3M USD LIBOR + 7.48%, 7.48% Floor), 7.67%, 7/20/31(a)(b) | | 250,000 | | | 250,253 | |
AGL CLO 7 Ltd., Series 2020-7A, Class A1, (3M USD LIBOR + 1.80%, 1.80% Floor), 1.98%, 7/15/31(a)(b) | | 771,000 | | | 772,211 | |
Battalion CLO 18 Ltd., Series 2020-18A, Class A1, (3M USD LIBOR + 1.80%, 1.80% Floor), 1.98%, 10/15/32(a)(b) | | 390,000 | | | 391,096 | |
CARS-DB4 L.P., Series 2020-1A, Class A1, 2.69%, 2/15/50(a) | | 149,450 | | | 155,926 | |
Cayuga Park CLO Ltd., Series 2020-1A, Class E, (3M USD LIBOR + 7.33%, 7.33% Floor), 7.52%, 7/17/31(a)(b) | | 434,000 | | | 434,296 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
Other (Continued) | | | | | | | | |
Cerberus Loan Funding XXI L.P., Series 2017-4A, Class A, (3M USD LIBOR + 1.45%, 1.45% Floor), 1.63%, 10/15/27(a)(b) | | $ | 123,697 | | | $ | 123,592 | |
Cerberus Loan Funding XXIII L.P., Series 2018-2A, Class A, (3M USD LIBOR + 1.00%, 1.00% Floor), 1.18%, 4/15/28(a)(b) | | | 127,945 | | | | 127,960 | |
Cerberus Loan Funding XXIX L.P., Series 2020-2A, Class A, (3M USD LIBOR + 1.90%, 1.90% Floor), 2.08%, 10/15/32(a)(b) | | | 939,000 | | | | 939,607 | |
Cerberus Loan Funding XXV L.P., Series 2018-4RA, Class A1TR, (3M USD LIBOR + 1.53%, 1.53% Floor), 1.71%, 10/15/30(a)(b) | | | 797,000 | | | | 790,793 | |
Cerberus Loan Funding XXVIII L.P., | | | | | | | | |
Series 2020-1A, Class A, (3M USD LIBOR + 1.85%, 1.85% Floor), 2.09%, 10/15/31(a)(b) | | | 825,000 | | | | 823,822 | |
Series 2020-1A, Class D, (3M USD LIBOR + 5.30%, 5.30% Floor), 5.54%, 10/15/31(a)(b) | | | 764,000 | | | | 766,725 | |
Cerberus Loan Funding XXXI L.P., Series 2021-1A, Class A, (3M USD LIBOR + 1.50%, 1.50% Floor), 1.69%, 4/15/32(a)(b) | | | 389,000 | | | | 388,351 | |
CIFC Funding Ltd., Series 2020-2A, Class E, (3M USD LIBOR + 7.64%, 7.64% Floor), 7.82%, 8/24/32(a)(b) | | | 686,000 | | | | 689,326 | |
Coinstar Funding LLC, Series 2017-1A, Class A2, 5.22%, 4/25/47(a) | | | 890,880 | | | | 895,414 | |
Conn’s Receivables Funding LLC, Series 2020-A, Class B, 4.27%, 6/16/25(a) | | | 304,000 | | | | 306,754 | |
CoreVest American Finance Trust, Series 2018-1, Class A, 3.80%, 6/15/51(a) | | | 212,424 | | | | 221,894 | |
Dell Equipment Finance Trust, | | | | | | | | |
Series 2020-1, Class C, 4.26%, 6/22/23(a) | | | 336,000 | | | | 352,416 | |
Series 2019-2, Class B, 2.06%, 10/22/24(a) | | | 198,000 | | | | 201,442 | |
See accompanying Notes to Financial Statements
164
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Other (Continued) | | | | | | | | |
Dell Equipment Finance Trust, Series 2020-2, Class D, 1.92%, 3/23/26(a) | | $ | 255,000 | | | $ | 260,114 | |
Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.56%, 12/11/34(a) | | | 510,000 | | | | 509,949 | |
Elm Trust, | | | | | | | | |
Series 2020-3A, Class A2, 2.95%, 8/20/29(a) | | | 134,000 | | | | 134,514 | |
Series 2020-3A, Class B, 4.48%, 8/20/29(a) | | | 332,000 | | | | 332,601 | |
Series 2020-4A, Class A2, 2.29%,
10/20/29(a) | | | 113,000 | | | | 112,709 | |
Series 2020-4A, Class B, 3.87%, 10/20/29(a) | | | 338,000 | | | | 337,126 | |
FCI Funding, Series 2021-1A, Class A, 1.13%, 4/15/33(a) | | | 169,000 | | | | 169,073 | |
Finance of America HECM Buyout, | | | | | | | | |
Series 2020-HB2, Class A, 1.71%, 7/25/30(a) | | | 580,223 | | | | 583,739 | |
Series 2021-HB1, Class A, 0.88%, 2/25/31(a) | | | 228,954 | | | | 228,980 | |
Series 2021-HB1, Class M1, 1.59%,
2/25/31(a) | | | 196,000 | | | | 195,516 | |
Fortress Credit Opportunities IX CLO Ltd., | | | | | | | | |
Series 2016-7A, Class BR, (3M USD LIBOR + 2.45%, 2.45% Floor), 2.63%,
12/15/28(a)(b) | | | 395,000 | | | | 394,635 | |
Series 2017-9A, Series A1T, (3M USD LIBOR + 1.55%), 1.74%, 11/15/29(a)(b) | | | 569,000 | | | | 567,633 | |
Series 2017-9A, Class AFR2, 2.53%, 11/15/29(a) | | | 272,000 | | | | 271,736 | |
(3M USD LIBOR + 2.65%), 2.84%,
11/15/29(a)(b) | | | 813,000 | | | | 810,696 | |
Fortress Credit Opportunities VII CLO Ltd., Series 2016-7I, Class E, (3M USD LIBOR + 7.49%), 7.67%, 12/15/28(b) | | | 302,000 | | | | 296,488 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
Other (Continued) | | | | | | | | |
Fortress Credit Opportunities XIII CLO Ltd., | | | | | | | | |
Series 2020-13A, Class A, (3M USD LIBOR + 2.25%, 2.25% Floor), 2.43%, 7/15/28(a)(b) | | $ | 442,566 | | | $ | 443,678 | |
Series 2020-13A, Class C, (3M USD LIBOR + 4.00%, 4.00% Floor), 4.18%, 7/15/28(a)(b) | | | 289,000 | | | | 280,653 | |
Series 2020-13A, Class D, (3M USD LIBOR + 4.05%, 4.05% Floor), 4.23%, 7/15/28(a)(b) | | | 578,000 | | | | 577,480 | |
Galaxy XXIII CLO Ltd., (3M USD LIBOR + 0.87%, 0.87% Floor), 1.05%, 4/24/29(a)(b) | | | 386,000 | | | | 384,074 | |
Golub Capital BDC CLO 4 LLC, Series 2020-1A, Class A1, (3M USD LIBOR + 2.35%, 2.35% Floor), 2.55%, 11/05/32(a)(b) | | | 761,000 | | | | 763,019 | |
Golub Capital Partners ABS Funding Ltd., | | | | | | | | |
Series 2020-1A, Class A2, 3.21%, 1/22/29(a) | | | 769,000 | | | | 776,745 | |
Series 2020-1A, Class B, 4.50%, 1/22/29(a) | | | 476,000 | | | | 483,296 | |
Series 2021-1A, Class A2, 2.77%, 4/20/29(a) | | | 161,000 | | | | 161,642 | |
Series 2021-1A, Class B, 3.82%, 4/20/29(a) | | | 382,000 | | | | 381,971 | |
Golub Capital Partners CLO Ltd., | | | | | | | | |
Series 2018-38A, Class C, (3M USD LIBOR + 2.80%, 2.80% Floor), 2.99%, 7/20/30(a)(b) | | | 507,000 | | | | 507,216 | |
Series 2020-49A, Class A1, (3M USD LIBOR + 2.50%, 2.50% Floor), 2.69%, 7/20/32(a)(b) | | | 319,000 | | | | 319,828 | |
Gracie Point International Funding, Series 2021-1A, Class A, (1M USD LIBOR + 0.75%), 0.86%, 11/01/23(a)(b) | | | 403,000 | | | | 403,000 | |
Grand Avenue CRE, Series 2019-FL1, Class AS, (1M USD LIBOR + 1.50%), 1.61%, 6/15/37(a)(b)(c) | | | 189,000 | | | | 189,020 | |
See accompanying Notes to Financial Statements
165
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Other (Continued) | | | | | | | | |
GreatAmerica Leasing Receivables Funding LLC, | | | | | | | | |
Series 2020-1, Class A3, 1.76%, 8/15/23(a) | | $ | 192,000 | | | $ | 194,941 | |
Series 2019-1, Class A4, 3.21%, 2/18/25(a) | | | 302,000 | | | | 313,195 | |
Series 2019-1, Class B, 3.37%, 2/18/25(a) | | | 308,000 | | | | 321,902 | |
Hercules Capital Funding Trust, | | | | | | | | |
Series 2018-1A, Class A, 4.61%, 11/22/27(a) | | | 453,612 | | | | 457,442 | |
Series 2019-1A, Class A, 4.70%, 2/20/28(a) | | | 398,323 | | | | 401,892 | |
HPEFS Equipment Trust, | | | | | | | | |
Series 2020-1A, Class C, 2.03%, 2/20/30(a) | | | 334,000 | | | | 341,015 | |
Series 2020-2A, Class C, 2.00%, 7/22/30(a) | | | 289,000 | | | | 295,261 | |
Ivy Hill Middle Market Credit Fund IX Ltd., Series 9A, Class CR, (3M USD LIBOR + 2.35%), 2.54%, 1/18/30(a)(b) | | | 778,000 | | | | 743,181 | |
Ivy Hill Middle Market Credit Fund X Ltd., Series 10A, Class A1AR, (3M USD LIBOR + 1.25%), 1.44%, 7/18/30(a)(b) | | | 273,000 | | | | 271,392 | |
Ivy Hill Middle Market Credit Fund XVIII Ltd., Series 18A, Class E, (3M USD LIBOR + 7.75%, 7.75% Floor), 7.93%, 4/22/33(a)(b) | | | 970,000 | | | | 969,986 | |
John Deere Owner Trust, Series 2019-A, Class A4, 3.00%, 1/15/26 | | | 299,000 | | | | 308,683 | |
Kayne CLO 8 Ltd., Series 2020-8A, Class E, (3M USD LIBOR + 7.15%, 7.15% Floor), 7.33%, 7/15/31(a)(b) | | | 859,000 | | | | 859,531 | |
Legal Fee Funding LLLC, Series 2006-1A, Class A, 8.00%, 7/20/36(a) | | | 90,397 | | | | 93,348 | |
MelTel Land Funding LLC, Series 2019-1A, Class C, 6.07%, 4/15/49(a) | | | 188,000 | | | | 197,968 | |
Monroe Capital ABS Funding Ltd., | | | | | | | | |
Series 2021-1A, Class A2, 2.82%,
4/22/31(a)(c)(d) | | | 403,000 | | | | 399,937 | |
Series 2021-1A, Class B, 3.91%,
4/22/31(a)(c)(d) | | | 221,000 | | | | 219,320 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
Other (Continued) | | | | | | | | |
Nationstar HECM Loan Trust, | | | | | | | | |
Series 2019-1A, Class M1, 2.66%, 6/25/29(a) | | $ | 606,000 | | | $ | 608,525 | |
Series 2019-2A, Class M1, 2.36%, 11/25/29(a) | | | 100,000 | | | | 101,035 | |
Series 2020-1A, Class A1, 1.27%, 9/25/30(a) | | | 711,976 | | | | 713,352 | |
Series 2020-1A, Class M1, 1.47%, 9/25/30(a) | | | 230,000 | | | | 230,032 | |
Series 2020-1A, Class M2, 1.97%, 9/25/30(a) | | | 206,000 | | | | 205,815 | |
NRZ Advance Receivables Trust, | | | | | | | | |
Series 2020-T3, Class AT3, 1.32%,
10/15/52(a) | | | 292,000 | | | | 292,934 | |
Series 2020-T2, Class AT2, 1.48%, 9/15/53(a) | | | 930,000 | | | | 932,748 | |
NRZ Excess Spread-Collateralized Notes, Series 2018-FNT1, Class A, 3.61%, 5/25/23(a) | | | 281,647 | | | | 282,409 | |
Oasis Securitization Funding LLC, Series 2021-1A, Class A, 2.58%, 2/15/33(a) | | | 234,267 | | | | 234,238 | |
Octagon Investment Partners 46 Ltd., Series 2020-2A, Class E, (3M USD LIBOR + 7.86%, 7.86% Floor), 8.04%, 7/15/33(a)(b) | | | 853,000 | | | | 855,240 | |
Ocwen Master Advance Receivables Trust, Series 2020-T1, Class AT1, 1.28%, 8/15/52(a) | | | 954,000 | | | | 957,411 | |
OHA Credit Funding 6 Ltd., Series 2020-6A, Class E, (3M USD LIBOR + 7.33%, 7.33% Floor), 7.52%, 7/20/31(a)(b) | | | 582,000 | | | | 582,945 | |
Oportun Funding XIV LLC, Series 2021-A, Class A, 1.21%, 3/08/28(a) | | | 143,000 | | | | 143,041 | |
Oportun Issuance Trust, Series 2021-B, Class A, 5/08/31(a)(e) | | | 230,000 | | | | 229,842 | |
See accompanying Notes to Financial Statements
166
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Other (Continued) | | | | | | | | |
Owl Rock CLO III Ltd., Series 2020-3A, Class A1L, (3M USD LIBOR + 1.80%), 1.99%, 4/20/32(a)(b) | | $ | 400,000 | | | $ | 398,333 | |
Owl Rock CLO VI Ltd., Series 2021-6A, Class A, 6/21/32(a)(e) | | | 915,000 | | | | 914,771 | |
Owl Rock Technology Financing LLC, Series 2020-1A, Class A, (3M USD LIBOR + 2.95%, 2.95% Floor), 3.20%, 1/15/31(a)(b) | | | 788,000 | | | | 788,908 | |
OZLM Funding Ltd., Series 2012-1A, Class A1R3, (3M USD LIBOR + 0.97%, 0.97% Floor), 1.15%, 7/22/29(a)(b) | | | 848,000 | | | | 847,999 | |
Parliament Funding II Ltd., Series 2020-1A, Class A, (3M USD LIBOR + 2.45%, 2.45% Floor), 2.64%, 8/12/30(a)(b) | | | 426,000 | | | | 426,371 | |
PFS Financing Corp., | | | | | | | | |
Series 2019-A, Class B, 3.13%, 4/15/24(a) | | | 603,000 | | | | 613,585 | |
Series 2020-F, Class A, 0.93%, 8/15/24(a) | | | 186,000 | | | | 186,967 | |
Series 2020-F, Class B, 1.42%, 8/15/24(a) | | | 100,000 | | | | 100,606 | |
Series 2019-C, Class A, 2.23%, 10/15/24(a) | | | 100,000 | | | | 102,534 | |
Series 2020-A, Class B, 1.77%, 6/15/25(a) | | | 881,000 | | | | 891,395 | |
Series 2020-E, Class B, 1.57%, 10/15/25(a) | | | 465,000 | | | | 467,754 | |
Silvermore CLO Ltd., Series 2014-1A, Class A1R, (3M USD LIBOR + 1.17%), 1.36%, 5/15/26(a)(b) | | | 38,580 | | | | 38,581 | |
SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(a) | | | 578,730 | | | | 585,772 | |
Stratus CLO Ltd., Series 2020-2A, Class D, (3M USD LIBOR + 3.65%, 3.65% Floor), 3.83%, 10/15/28(a)(b) | | | 448,000 | | | | 448,330 | |
Telos CLO Ltd., Series 2014-5A, Class A1R, (3M USD LIBOR + 0.95%, 0.95% Floor), 1.14%, 4/17/28(a)(b) | | | 106,615 | | | | 106,519 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
Other (Continued) | | | | | | | | |
Towd Point Mortgage Trust, | | | | | | | | |
Series 2017-2, Class A1, 2.75%, 4/25/57(a) | | $ | 398,584 | | | $ | 404,367 | |
Series 2018-2, Class A1, 3.25%, 3/25/58(a) | | | 444,232 | | | | 463,860 | |
TVEST LLC, Series 2020-A, Class A, 4.50%, 7/15/32(a) | | | 198,865 | | | | 200,771 | |
VCAT LLC, | | | | | | | | |
Series 2020-NPL1, Class A1, (Step to 6.67% on 9/25/23), 3.67%,
8/25/50(a)(f) | | | 209,158 | | | | 211,300 | |
Series 2021-NPL1, Class A1, (Step to 5.29% on 1/25/24), 2.29%,
12/26/50(a)(f) | | | 116,281 | | | | 116,507 | |
VCO CLO LLC, Series 2018-1A, Class A, (3M USD LIBOR + 1.50%, 1.50% Floor), 1.69%, 7/20/30(a)(b) | | | 140,879 | | | | 140,711 | |
VCP CLO II Ltd., Series 2021-2A, Class E, (3M USD LIBOR + 8.40%), 8.59%, 4/15/31(a)(b)(c) | | | 1,119,000 | | | | 1,133,530 | |
Vericrest Opportunity Loan Trust, Series 2020-NPL6, Class A1A, (Step to 0.00% on 8/25/21), 3.97%, 4/25/50(a)(f) | | | 163,921 | | | | 164,003 | |
Verizon Owner Trust, | | | | | | | | |
Series 2019-A, Class B, 3.02%, 9/20/23 | | | 585,000 | | | | 603,580 | |
Series 2019-B, Class B, 2.40%, 12/20/23 | | | 605,000 | | | | 621,666 | |
Series 2019-C, Class B, 2.06%, 4/22/24 | | | 375,000 | | | | 384,957 | |
VOLT XCI LLC, Series 2020-NPL7, Class A1, (Step to 2.79% on 11/25/23), 3.10%, 11/25/50(a)(f) | | | 421,120 | | | | 422,693 | |
VOLT XCV LLC, Series 2021-NPL4, Class A1, (Step to 5.24% on 3/25/24), 2.24%, 3/27/51(a)(f) | | | 604,414 | | | | 604,103 | |
Volvo Financial Equipment LLC, Series 2019-1A, Class A4, 3.13%, 11/15/23(a) | | | 302,000 | | | | 311,395 | |
Voya CLO Ltd., Series 2020-2A, Class E, (3M USD LIBOR + 7.85%, 7.85% Floor), 8.04%, 7/19/31(a)(b) | | | 928,000 | | | | 930,543 | |
See accompanying Notes to Financial Statements
167
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Other (Continued) | | | | | | | | |
Wellfleet CLO Ltd., Series 2016-1A, Class AR, (3M USD LIBOR + 0.91%), 1.10%, 4/20/28(a)(b) | | $ | 216,648 | | | $ | 216,667 | |
Whitebox CLO II Ltd., Series 2020-2A, Class A1, (3M USD LIBOR + 1.75%, 1.75% Floor), 1.93%, 10/24/31(a)(b) | | | 963,000 | | | | 966,666 | |
Woodmont Trust, Series 2017-1A, Class A1R, (3M USD LIBOR + 2.00%, 2.00% Floor), 2.19%, 10/18/32(a)(b) | | | 959,000 | | | | 956,185 | |
Zais CLO 7 Ltd., Series 2017-2A, Class A, (3M USD LIBOR + 1.29%), 1.47%, 4/15/30(a)(b) | | | 311,757 | | | | 311,862 | |
| | |
| | | | | | | 50,504,107 | |
| | | |
Student Loan – 0.0%(g) | | | | | | | | |
SMB Private Education Loan Trust 2021-A, Series 2021-A, Class A1, (1M USD LIBOR + 0.50%), 0.61%,
1/15/53(a)(b) | | | 87,896 | | | | 88,093 | |
| | | |
Whole Loan – 2.2% | | | | | | | | |
BRAVO Residential Funding Trust, Series 2019-1, Class A1C, 3.50%, 3/25/58(a) | | | 260,403 | | | | 267,554 | |
CFMT LLC, Series 2021-HB5, Class A, 0.80%, 2/25/31(a)(h) | | | 457,580 | | | | 457,038 | |
CIM Trust, | | | | | | | | |
Series 2017-7, Class A, 3.00%,
4/25/57(a) | | | 143,855 | | | | 146,377 | |
Series 2018-R3, Class A1, 5.00%, 12/25/57(a) | | | 321,351 | | | | 340,091 | |
PRPM LLC, | | | | | | | | |
Series 2021-2, Class A1, 2.12%, 3/25/24(a)(h)(i) | | | 368,291 | | | | 368,901 | |
Series 2020-3, Class A1, (Step to 5.86% on 10/25/23), 2.86%,
9/25/25(a)(f) | | | 517,229 | | | | 520,102 | |
Series 2020-5, Class A1, (Step to 6.10% on 11/25/23), 3.10%, 11/25/25(a)(f) | | | 525,513 | | | | 529,392 | |
RCO V Mortgage LLC, Series 2020-1, Class A1, (Step to 6.11% on 10/25/23), 3.10%, 9/25/25(a)(f) | | | 472,262 | | | | 476,056 | |
| | | | | | | | |
| | | Par | | | Value | |
| |
Whole Loan (Continued) | | | | | |
VCAT LLC, Series 2021-NPL2, Class A1, 2.12%, 3/27/51(a) | | $ | 408,186 | | | $ | 408,073 | |
VOLT C LLC, Series 2021-NPL9, Class A1, (Step to 4.99% on 5/25/24), 1.99%, 5/25/51(a)(f) | | | 482,000 | | | | 481,944 | |
VOLT XCIV LLC, Series 2021-NPL3, Class A1, (Step to 5.24% on 2/25/24), 2.24%, 2/27/51(a)(f) | | | 447,790 | | | | 447,560 | |
| | |
| | | | | | | 4,443,088 | |
| | |
Total Asset-Backed Securities (Cost $77,219,557) | | | | 78,227,760 | |
| | |
| | | Number
of Shares | | | | |
| |
Common Stocks – 0.4% | | | | | |
| | |
Real Estate – 0.2% | | | | | | | | |
Copper Property CTL Pass Through Trust(j) | | | 25,536 | | | | 408,576 | |
| | | |
Retail – 0.0%(g) | | | | | | | | |
J.C. Penney Earnout(k)* | | | 3,405 | | | | 30,645 | |
| | | |
Transportation – 0.2% | | | | | | | | |
PHI Group, Inc.(l)* | | | 30,348 | | | | 440,046 | |
| | |
Total Common Stocks (Cost $751,878) | | | | | | | 879,267 | |
| | |
| | | | | | | | | |
| |
Private Placement – 0.1% | | | | | |
| | |
Transportation – 0.1% | | | | | | | | |
PHI Group, Inc.(l)(m)* | | | 14,039 | | | | 110,837 | |
| | |
Total Private Placement (Cost $110,837) | | | | | | | 110,837 | |
| | |
| | | Par | | | Value | |
| |
Corporate Bonds – 1.9% | | | | | |
| | |
Coal – 0.2% | | | | | | | | |
Natural Resource Partners L.P./NRP Finance Corp., 9.13%, 6/30/25(a) | | | 391,000 | | | | 372,916 | |
See accompanying Notes to Financial Statements
168
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
| | |
Commercial Services – 0.4% | | | | | | | | |
StoneMor Partners L.P./Cornerstone Family Services of West Virginia Subsidiary, (100% Cash), 11.50%, 6/30/24(n) | | $ | 788,958 | | | $ | 829,392 | |
| | |
Diversified Financial Services – 0.5% | | | | | |
Midcap Financial Issuer Trust, 6.50%, 5/01/28(a) | | | 936,000 | | | | 969,893 | |
| | | |
Food Service – 0.1% | | | | | | | | |
Aramark Services, Inc., 6.38%, 5/01/25(a) | | | 159,000 | | | | 169,136 | |
| | | |
Housewares – 0.0%(g) | | | | | | | | |
CD&R Smokey Buyer, Inc., 6.75%,
7/15/25(a) | | | 104,000 | | | | 111,020 | |
| |
Investment Management Companies – 0.3% | |
Golub Capital BDC, Inc., 3.38%, 4/15/24 | | | 513,000 | | | | 534,216 | |
| | | |
Leisure Time – 0.1% | | | | | | | | |
Royal Caribbean Cruises Ltd., 11.50%, 6/01/25(a) | | | 274,000 | | | | 317,413 | |
| | | |
Telecommunications – 0.3% | | | | | | | | |
Consolidated Communications, Inc., 6.50%, 10/01/28(a) | | | 381,000 | | | | 410,470 | |
Frontier Communications Corp., 5.88%, 10/15/27(a) | | | 137,000 | | | | 145,563 | |
| | |
| | | | | | | | 556,033 | |
| | |
Total Corporate Bonds
(Cost $3,645,925) | | | | | | | 3,860,019 | |
| |
Foreign Issuer Bonds – 0.4% | | | | | |
| | |
Canada – 0.3% | | | | | | | | |
Air Canada Pass Through Trust, Series 2020-1, Class C, 10.50%, 7/15/26(a)(c) | | | 470,000 | | | | 584,210 | |
| | | |
Ireland – 0.1% | | | | | | | | |
Cimpress PLC, 7.00%, 6/15/26(a) | | | 175,000 | | | | 184,187 | |
| | | |
Total Foreign Issuer Bonds
(Cost $600,407) | | | | | | | 768,397 | |
| | | | | | | | |
| | | Par | | | Value | |
| |
Mortgage-Backed Securities – 1.9% | | | | | |
|
Federal Home Loan Mortgage Corporation – 1.0% | |
Multifamily Structured Pass Through Certificates, | | | | | | | | |
Series K024, Class A2, 2.57%, 9/25/22 | | $ | 52,000 | | | $ | 53,433 | |
Series K042, Class A1, 2.27%, 6/25/24 | | | 100,064 | | | | 103,139 | |
Real Estate Mortgage Investment Conduits, | | | | | | | | |
Series 4336, Class WV, 3.00%, 10/15/25 | | | 241,508 | | | | 245,774 | |
Series 4387, Class VA, 3.00%, 2/15/26 | | | 321,116 | | | | 328,655 | |
Series 4220, Class EH, 2.50%, 6/15/28 | | | 445,167 | | | | 462,410 | |
Series 4311, Class QC, 2.25%, 10/15/28 | | | 448,458 | | | | 463,108 | |
Series 4162, Class P, 3.00%, 2/15/33 | | | 310,446 | | | | 328,859 | |
| | |
| | | | | | | 1,985,378 | |
| |
Federal National Mortgage Association – 0.3% | |
Interest Strip, Series 284, Class 1, 0.00%, 7/25/27(o) | | | 120,206 | | | | 114,642 | |
Real Estate Mortgage Investment Conduits, | | | | | | | | |
Series 2014-3, Class AM, 2.50%, 1/25/32 | | | 215,784 | | | | 220,868 | |
Series 2012-144, Class PD, 3.50%, 4/25/42 | | | 158,757 | | | | 168,617 | |
| | |
| | | | | | | 504,127 | |
| |
Government National Mortgage Association – 0.6% | |
Series 2012-150, Class IO, 0.55%, 11/16/52(h) | | | 1,613,452 | | | | 32,825 | |
Series 2014-148, Class A, 2.65%, 11/16/43 | | | 47,018 | | | | 47,058 | |
Series 2015-108, Class IO, 0.47%, 10/16/56(h) | | | 241,439 | | | | 8,713 | |
Series 2015-47, Class IO, 0.55%, 10/16/56(h) | | | 2,531,137 | | | | 77,433 | |
Series 2015-7, Class IO, 0.53%, 1/16/57(h) | | | 2,623,069 | | | | 83,511 | |
Series 2019-39, Class A, 3.10%, 5/16/59 | | | 272,038 | | | | 277,228 | |
Series 2020-42, Class IO, 1.03%, 3/16/62(h) | | | 2,161,263 | | | | 177,535 | |
Series 2020-43, Class IO, 1.27%, 11/16/61(h) | | | 1,393,538 | | | | 125,138 | |
See accompanying Notes to Financial Statements
169
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
| | | | | | | | |
| | | Par | | | Value | |
|
Government National Mortgage Association (Continued) | |
Series 2020-71, Class IO, 1.15%,
1/16/62(h) | | $ | 1,844,266 | | | $ | 159,102 | |
Series 2020-75, Class IO, 1.05%,
2/16/62(h) | | | 3,087,498 | | | | 249,079 | |
| | |
| | | | | | | | 1,237,622 | |
Total Mortgage-Backed Securities
(Cost $4,168,641) | | | | | | | 3,727,127 | |
| | |
Term Loans – 2.7% | | | | | | | | |
| | |
Advertising – 0.5% | | | | | | | | |
ABG Intermediate Holdings 2 LLC, 2021 Refinancing Term Loan, | | | | | | | | |
(3M USD LIBOR + 3.25%, 0.75% Floor), 4.00%, 9/27/24(b) | | | 451,135 | | | | 450,089 | |
9/27/24(p) | | | 21,008 | | | | 20,959 | |
ABG Intermediate Holdings 2 LLC, Amendment No. 5 Incremental Term Loan, (3M USD LIBOR + 5.25%, 1.00% Floor), 6.25%, 9/27/24(b) | | | 199,000 | | | | 199,000 | |
CB Poly Investments LLC, Closing Date Term Loan, (3M USD LIBOR + 4.50%, 1.00% Floor), 5.50%, 8/16/23(b) | | | 373,900 | | | | 361,202 | |
| | |
| | | | | | | 1,031,250 | |
| | | |
Commercial Services – 0.5% | | | | | | | | |
Cimpress PLC, Term Loan B, 4/30/28(p) | | | 272,000 | | | | 269,960 | |
MediaCo Holding, Inc., Term Loan, (1M USD LIBOR + 4.50%, 1.00% Floor), 9.40%, 11/25/24(b)(q) | | | 715,707 | | | | 665,607 | |
| | |
| | | | | | | 935,567 | |
| | | |
Electronics – 0.1% | | | | | | | | |
Tech Data Corp., Non-FILO Term Loan, (1M USD LIBOR + 3.50%), 3.61%, 6/30/25(b) | | | 252,730 | | | | 253,362 | |
| | | |
Environmental Control – 0.2% | | | | | | | | |
Packers Holdings LLC, Initial Term Loan (2021), 3/09/28(p) | | | 326,000 | | | | 322,401 | |
| | | | | | | | |
| | | Par | | | Value | |
| | |
Insurance – 0.3% | | | | | | | | |
Asurion LLC, New B-7 Term Loan, | | | | | | | | |
(1M USD LIBOR + 3.00%), 3.11%, 11/03/24(b) | | $ | 426,903 | | | $ | 424,234 | |
11/03/24(p) | | | 226,418 | | | | 225,003 | |
| | |
| | | | | | | 649,237 | |
| | | |
Retail – 0.0%(g) | | | | | | | | |
J.C. Penney Corp., Inc., Loan, (r)(s) | | | 233,386 | | | | 505 | |
| | | |
Software – 0.3% | | | | | | | | |
Solera LLC, Dollar Term Loan, (1M USD LIBOR + 2.75%), 2.86%, 3/03/23(b) | | | 680,301 | | | | 676,233 | |
| |
Telecommunications – 0.6% | |
Cincinnati Bell, Inc., Tranche B Term Loan, (1M USD LIBOR + 3.25%, 1.00% Floor), 4.25%, 10/02/24(b) | | | 324,835 | | | | 324,309 | |
Frontier Communications Corp., Refinancing Term Loan, (1M USD LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/08/21(b) | | | 195,279 | | | | 194,465 | |
Frontier Communications Corp., Term B-2 Loan, 10/08/21(p) | | | 174,721 | | | | 173,992 | |
LOGIX Holding Co. LLC, Initial Term Loan, (1M USD LIBOR + 5.75%, 1.00% Floor), 6.75%, 12/22/24(b) | | | 202,839 | | | | 192,190 | |
Windstream Services II LLC, Initial Term Loan, (1M USD LIBOR + 6.25%, 1.00% Floor), 7.25%, 9/21/27(b) | | | 313,625 | | | | 314,312 | |
| | |
| | | | | | | 1,199,268 | |
| | | |
Transportation – 0.2% | | | | | | | | |
Hanjin International Corp., Term Loan, | | | | | | | | |
(1M USD LIBOR + 5.00%, 0.50% Floor), 5.50%, 12/23/22(b) | | | 424,000 | | | | 422,940 | |
12/23/22(p) | | | 3,000 | | | | 2,993 | |
| | |
| | | | | | | 425,933 | |
| | | |
Total Term Loans
(Cost $5,495,258) | | | | | | | 5,493,756 | |
See accompanying Notes to Financial Statements
170
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
| | | | | | | | |
| | | Number
of Shares | | | Value | |
|
Warrants – 0.0%(g) | |
|
Telecommunications – 0.0%(g) | |
Windstream Services LLC (t)* | | | 318 | | | $ | 3,975 | |
| | | |
Total Warrants
(Cost $146,140) | | | | | | | 3,975 | |
|
Investment Companies – 46.2% | |
Schwab Intermediate-Term U.S. Treasury ETF | | | 358,103 | | | | 20,300,859 | |
Schwab Short-Term U.S. Treasury ETF | | | 474,727 | | | | 24,358,243 | |
Vanguard Intermediate-Term Corporate Bond ETF | | | 87,297 | | | | 8,190,204 | |
Vanguard Mortgage-Backed Securities ETF | | | 193,114 | | | | 10,360,566 | |
Vanguard Short-Term Corporate Bond ETF | | | 234,240 | | | | 19,378,675 | |
Vanguard Short-Term Inflation-Protected Securities ETF | | | 194,074 | | | | 10,089,907 | |
| | | |
Total Investment Companies
(Cost $92,125,777) | | | | | | | 92,678,454 | |
| | | | | | | | |
| | | Number of Shares | | | Value | |
| |
|
Short-Term Investments – 8.6% | |
|
Money Market Fund – 8.6% | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(u) | | | 17,276,585 | | | $ | 17,276,585 | |
| |
| | |
Total Short-Term Investments
(Cost $17,276,585) | | | | | | | 17,276,585 | |
| |
| | |
Total Investments – 101.2%
(Cost $201,541,005) | | | | | | | 203,026,177 | |
| |
| | |
Liabilities less Other Assets – (1.2)% | | | | | | | (2,497,335 | ) |
| |
| | |
NET ASSETS – 100.0% | | | | | | $ | 200,528,842 | |
| |
Percentages shown are based on Net Assets.
| (a) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
| (b) | Variable rate security. Rate as of April 30, 2021 is disclosed. |
| (c) | Restricted security that has been deemed illiquid. At April 30, 2021, the value of these restricted illiquid securities amounted to $3,648,775 or 1.82% of net assets. Additional information on these restricted illiquid securities is as follows: |
| | | | | | | | |
| Security | | Acquisition Date | | | Acquisition Cost | |
| | |
ABPCI Direct Lending Fund ABS I Ltd., 4.94%, 12/20/30 | | | 12/16/20 | | | | $891,000 | |
Air Canada Pass Through Trust, 10.50%, 7/15/26 | | | 5/29/20 | | | | 446,509 | |
Grand Avenue CRE, 1.61%, 6/15/37 | | | 3/18/21 | | | | 189,103 | |
LoanCore Issuer Ltd., 0.91%, 7/15/35 | | | 1/28/21 | | | | 237,000 | |
| | | | | | | | |
| Security | | Acquisition Date | | | Acquisition Cost | |
| | |
Monroe Capital ABS Funding Ltd., 2.82%, 4/22/31 | | | 2/18/21-3/25/21 | | | | $ 402,757 | |
Monroe Capital ABS Funding Ltd., 3.91%, 4/22/31 | | | 2/18/21 | | | | 221,000 | |
VCP CLO II Ltd., 8.59%, 4/15/31 | | | 2/5/21 | | | | 1,085,430 | |
| (d) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statements). The fair value price of $99.24 is based on an independent third-party broker quote. |
| (e) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2021. |
| (f) | Step coupon bond. Rate as of April 30, 2021 is disclosed. |
| (g) | Amount rounds to less than 0.05%. |
| (h) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of April 30, 2021 is disclosed. |
See accompanying Notes to Financial Statements
171
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
| (i) | Perpetual bond. Maturity date represents next call date. |
| (j) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statements). The fair value price of $16.00 is based on an independent third-party broker quote. |
| (k) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statements). The fair value price of $9.00 is based on an independent third-party broker quote. During the fiscal period, the Fund obtained the security via a reorganization event at no cost. |
| (l) | This restricted security constituted 0.27% of total net assets at April 30, 2021. This security is not registered and may not be sold to the public. There are legal and/or contractual restrictions on resale. |
| (m) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statements). The fair value price of $7.89 is based on recent trade activity obtained from market makers in the security. During the fiscal period, the Fund did not add or detract from its position in this asset. |
| (n) | Security is a payment in-kind bond (PIK), distributions received in-kind unless otherwise noted in the description. (o) Zero coupon bond. |
| (p) | Position is unsettled. Contract rate was not determined at April 30, 2021 and does not take effect until settlement date. |
| (q) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statements). The fair value price of $93.00 is derived using an independent pricing valuation obtained from an investment banking firm along with a 2% discount. If the financial condition of the underlying assets were to deteriorate, or if the market comparables were to fall, the value of the investment could be lower. |
| (r) | Issuer has defaulted on terms of debt obligation. Income is not being accrued. |
| (s) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statements). The fair value price of 0.25 is based on an independent third-party broker quote. |
| (t) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statements). The fair value price of $12.50 is based on an independent third-party broker quote. During the fiscal period, the Fund obtained $146,140 of this security via a reorganization event. |
| (u) | 7-day current yield as of April 30, 2021 is disclosed. |
| * | Non-Income Producing Security |
| | |
| Abbreviations: | | |
| 1M | | 1 Month |
| 3M | | 3 Month |
| ABS | | Asset-Backed Security |
| BDC | | Business Development Company |
| CLO | | Collateralized Loan Obligation |
| ETF | | Exchange-Traded Fund |
| IO | | Interest Only |
| LIBOR | | London Interbank Offered Rate |
| LLC | | Limited Liability Company |
| PLC | | Public Limited Company |
| Strip | | Separate Trading of Registered Interest and Principal |
| USD | | United States Dollar |
See accompanying Notes to Financial Statements
172
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Defensive Bond Fund
Valuation Hierarchy
The following is a summary of the inputs used, as of April 30, 2021, in valuing the Fund’s investments carried at fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Morningstar Defensive Bond Fund | | Level 1 | | | | | | Level 2 | | | | | | Level 3 | | | | | | Totals | |
| |
| | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | | | | | $ | 77,608,503 | | | | | | | $ | 619,257 | | | | | | | $ | 78,227,760 | |
Common Stocks | | | 440,046 | | | | | | | | — | | | | | | | | 439,221 | | | | | | | | 879,267 | |
Private Placement | | | — | | | | | | | | — | | | | | | | | 110,837 | | | | | | | | 110,837 | |
Corporate Bonds | | | — | | | | | | | | 3,860,019 | | | | | | | | — | | | | | | | | 3,860,019 | |
Foreign Issuer Bonds | | | — | | | | | | | | 768,397 | | | | | | | | — | | | | | | | | 768,397 | |
Mortgage-Backed Securities | | | — | | | | | | | | 3,727,127 | | | | | | | | — | | | | | | | | 3,727,127 | |
Term Loans | | | — | | | | | | | | 4,827,644 | | | | | | | | 666,112 | | | | | | | | 5,493,756 | |
Warrants | | | — | | | | | | | | — | | | | | | | | 3,975 | | | | | | | | 3,975 | |
Investment Companies | | | 92,678,454 | | | | | | | | — | | | | | | | | — | | | | | | | | 92,678,454 | |
Short-Term Investments | | | 17,276,585 | | | | | | | | — | | | | | | | | — | | | | | | | | 17,276,585 | |
| |
| | | | | | | |
Total Investments | | $ | 110,395,085 | | | | | | | $ | 90,791,690 | | | | | | | $ | 1,839,402 | | | | | | | $ | 203,026,177 | |
| |
Investments classified within Level 3 of the fair value hierarchy are valued by Morningstar Investment Management LLC (“MIM") in good faith under procedures adopted by authority of the Fund’s Board of Trustees. MIM employs various methods to determine fair valuations including regular review of key inputs and assumptions, and review of related market activity, if any. However, there are generally no observable trade activities in these securities. MIM reports to the Board of Trustees at their regularly scheduled quarterly meetings, or more often if warranted. The report includes a summary of the results of the process, the key inputs and assumptions noted, and any changes to the inputs and assumptions used. When appropriate, MIM will recommend changes to the procedures and process employed. The value determined for an investment using the fair value procedures may differ significantly from the value realized upon the sale of such investment.
See accompanying Notes to Financial Statements
173
Morningstar Funds Trust April 30, 2021
Schedule of Investments
|
Morningstar Multisector Bond Fund |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Asset-Backed Securities – 1.2% | |
|
Commercial Mortgage-Backed Securities – 0.5% | |
GS Mortgage Securities Trust, | | | | | | | | |
Series 2011-GC5, Class D, 5.48%, 8/10/44(b)(c) | | $ | 295,000 | | | $ | 179,841 | |
Series 2011-GC5, Class C, 5.48%, 8/10/44(b)(c) | | | 35,000 | | | | 29,052 | |
Series 2013-GC13, Class C, 4.22%, 7/10/46(b)(c) | | | 320,000 | | | | 298,552 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.50%, 8/15/46(c) | | | 110,000 | | | | 78,551 | |
MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.43%, 10/15/30(b)(c) | | | 100,000 | | | | 78,469 | |
Wells Fargo Commercial Mortgage Trust, | | | | | | | | |
Series 2014-LC16, Class C, 4.46%, 8/15/50 | | | 75,000 | | | | 54,981 | |
Series 2016-C36, Class C, 4.33%, 11/15/59(c) | | | 45,000 | | | | 39,168 | |
WFRBS Commercial Mortgage Trust, | | | | | | | | |
Series 2011-C3, Class D, 5.75%,
3/15/44(b)(c) | | | 225,000 | | | | 121,270 | |
Series 2012-C7, Class D, 4.96%,
6/15/45(b)(c) | | | 320,000 | | | | 82,386 | |
Series 2012-C10, Class C, 4.51%, 12/15/45(c) | | | 120,000 | | | | 107,911 | |
| | |
| | | | | | | 1,070,181 | |
| | | |
Other – 0.7% | | | | | | | | |
CarVal CLO I Ltd., Series 2018-1A, Class D, (3M USD LIBOR + 2.89%), 3.07%, 7/16/31(b)(d) | | | 265,000 | | | | 263,946 | |
OZLM XXIII Ltd., Series 2019-23A, Class DR, (3M USD LIBOR + 3.75%, 3.75% Floor), 3.93%, 4/15/34(b)(d) | | | 280,000 | | | | 279,576 | |
Palmer Square CLO Ltd., Series 2018-3A, Class D, (3M USD LIBOR + 4.40%, 4.40% Floor), 4.59%, 8/15/26(b)(d) | | | 250,000 | | | | 250,004 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Other (Continued) | | | | | | | | |
Palmer Square Loan Funding Ltd., Series 2020-3A, Class D, (3M USD LIBOR + 4.23%, 4.23% Floor), 4.42%,
7/20/28(b)(d) | | | $250,000 | | | $ | 250,869 | |
Pikes Peak CLO 4, Series 2019-4A, Class E, (3M USD LIBOR + 6.77%, 6.77% Floor), 6.95%, 7/15/32(b)(d) | | | 260,000 | | | | 259,875 | |
Progress Residential, Series 2021-SFR3, Class F, 3.44%, 5/17/26(b) | | | 100,000 | | | | 99,939 | |
Series 2021-SFR4, Class F, 5/17/38(b)(e) | | | 145,000 | | | | 145,333 | |
| | |
| | | | | | | 1,549,542 | |
| | | |
Whole Loan – 0.0%(f) | | | | | | | | |
VOLT XCVI LLC, Series 2021-NPL5, Class A2, (Step to 8.83% on 3/25/25), 4.83%, 3/27/51(b)(g) | | | 100,000 | | | | 99,934 | |
| | | |
Total Asset-Backed Securities
(Cost $2,886,798) | | | | | | | 2,719,657 | |
| | |
| | | Number
of Shares | | | | |
|
Common Stocks – 0.6% | |
|
Aerospace/Defense – 0.0%(f) | |
Lockheed Martin Corp. | | | 121 | | | | 46,048 | |
| | | |
Banks – 0.0%(f) | | | | | | | | |
Morgan Stanley | | | 511 | | | | 42,183 | |
| |
Beverages – 0.0%(f) | |
Coca-Cola (The) Co. | | | 811 | | | | 43,778 | |
| | | |
Chemicals – 0.0%(f) | | | | | | | | |
Hexion Holdings Corp., Class B* | | | 434 | | | | 6,727 | |
| |
Commercial Services – 0.0%(f) | |
Automatic Data Processing, Inc. | | | 229 | | | | 42,821 | |
| | | |
Computers – 0.1% | | | | | | | | |
Accenture PLC, Class A | | | 157 | | | | 45,526 | |
Apple, Inc. | | | 318 | | | | 41,804 | |
| | |
| | | | | | | 87,330 | |
| |
Cosmetics/Personal Care – 0.0%(f) | |
Procter & Gamble (The) Co. | | | 326 | | | | 43,495 | |
See accompanying Notes to Financial Statements
174
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | |
| | | Number
of Shares | | | Value | |
|
Diversified Financial Services – 0.0%(f) | |
BlackRock, Inc. | | | 56 | | | $ | 45,881 | |
| | | |
Electric – 0.1% | | | | | | | | |
Duke Energy Corp. | | | 462 | | | | 46,519 | |
NextEra Energy, Inc. | | | 532 | | | | 41,235 | |
| | |
| | | | | | | 87,754 | |
| |
Engineering & Construction – 0.0%(f) | |
Mcdermott International Ltd.* | | | 1,932 | | | | 869 | |
| | | |
Entertainment – 0.0%(f) | | | | | | | | |
Scientific Games Corp.* | | | 926 | | | | 54,190 | |
| |
Healthcare - Products – 0.0%(f) | |
Abbott Laboratories | | | 332 | | | | 39,867 | |
| | | |
Healthcare - Services – 0.1% | | | | | | | | |
Anthem, Inc. | | | 130 | | | | 49,320 | |
UnitedHealth Group, Inc. | | | 121 | | | | 48,255 | |
| | |
| | | | | | | 97,575 | |
| |
Insurance – 0.0%(f) | |
Progressive (The) Corp. | | | 462 | | | | 46,542 | |
| |
Machinery - Diversified – 0.0%(f) | |
Deere & Co. | | | 121 | | | | 44,873 | |
| | | |
Media – 0.0%(f) | | | | | | | | |
Comcast Corp., Class A | | | 745 | | | | 41,832 | |
| |
Mining – 0.0%(f) | |
Newmont Corp. | | | 737 | | | | 45,996 | |
| | | |
Oil & Gas – 0.0%(f) | | | | | | | | |
Battalion Oil Corp.* | | | 363 | | | | 4,356 | |
Chevron Corp. | | | 393 | | | | 40,506 | |
| | |
| | | | | | | 44,862 | |
| | | |
Pharmaceuticals – 0.1% | | | | | | | | |
Johnson & Johnson | | | 253 | | | | 41,171 | |
Merck & Co., Inc. | | | 559 | | | | 41,645 | |
| | |
| | | | | | | 82,816 | |
| | | |
Pipelines – 0.0%(f) | | | | | | | | |
Williams (The) Cos., Inc. | | | 1,715 | | | | 41,777 | |
| |
Real Estate Investment Trusts – 0.0%(f) | |
American Tower Corp. | | | 191 | | | | 48,661 | |
| | | |
Retail – 0.1% | | | | | | | | |
Home Depot (The), Inc. | | | 155 | | | | 50,169 | |
Starbucks Corp. | | | 378 | | | | 43,277 | |
Walmart, Inc. | | | 309 | | | | 43,232 | |
| | |
| | | | | | | | 136,678 | |
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| | |
Software – 0.0%(f) | | | | | | | | |
Microsoft Corp. | | | 171 | | | $ | 43,123 | |
| |
Telecommunications – 0.0%(f) | |
Cisco Systems, Inc. | | | 884 | | | | 45,004 | |
| | |
Transportation – 0.1% | | | | | | | | |
Union Pacific Corp. | | | 193 | | | | 42,863 | |
United Parcel Service, Inc., Class B | | | 250 | | | | 50,965 | |
| | |
| | | | | | | 93,828 | |
| | | |
Total Common Stocks
(Cost $1,258,908) | | | | | | | 1,354,510 | |
| | |
| | | Par(a) | | | | |
| |
Convertible Bonds – 2.1% | | | | | |
| | |
Airlines – 0.2% | | | | | | | | |
JetBlue Airways Corp., 0.50%, 4/01/26(b) | | $ | 60,000 | | | | 65,550 | |
Southwest Airlines Co., 1.25%, 5/01/25 | | | 190,000 | | | | 329,887 | |
| | |
| | | | | | | 395,437 | |
Biotechnology – 0.5% | | | | | | | | |
BioMarin Pharmaceutical, Inc., | | | | | | | | |
0.60%, 8/01/24 | | | 140,000 | | | | 142,450 | |
1.25%, 5/15/27(b) | | | 650,000 | | | | 640,250 | |
Guardant Health, Inc., 0.00%,
11/15/27(b)(h) | | | 65,000 | | | | 85,191 | |
Halozyme Therapeutics, Inc., 0.25%, 3/01/27(b) | | | 75,000 | | | | 72,187 | |
Ionis Pharmaceuticals, Inc., 0.00%, 4/01/26(b)(h) | | | 80,000 | | | | 80,808 | |
Livongo Health, Inc., 0.88%, 6/01/25(b) | | | 65,000 | | | | 104,812 | |
| | |
| | | | | | | 1,125,698 | |
Commercial Services – 0.1% | |
Chegg, Inc., 0.00%, 9/01/26(b)(h) | | | 45,000 | | | | 49,432 | |
Shift4 Payments, Inc., 0.00%,
12/15/25(b)(h) | | | 60,000 | | | | 84,228 | |
| | |
| | | | | | | 133,660 | |
Computers – 0.0%(f) | | | | | | | | |
Lumentum Holdings, Inc., 0.50%, 12/15/26 | | | 60,000 | | | | 66,228 | |
| |
Energy - Alternate Sources – 0.0%(f) | |
Sunrun, Inc., 0.00%, 2/01/26(b)(h) | | | 40,000 | | | | 32,900 | |
See accompanying Notes to Financial Statements
175
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Entertainment – 0.1% | |
Marriott Vacations Worldwide Corp., 0.00%, 1/15/26(b)(h) | | $ | 100,000 | | | $ | 118,250 | |
| |
Healthcare - Products – 0.0%(f) | |
SmileDirectClub, Inc., 0.00%,
2/01/26(b)(h) | | | 60,000 | | | | 52,463 | |
| |
Healthcare - Services – 0.2% | |
Teladoc Health, Inc., 1.25%, 6/01/27(b) | | | 410,000 | | | | 458,431 | |
| | | |
Internet – 0.2% | | | | | | | | |
Expedia Group, Inc., 0.00%,
2/15/26(b)(h) | | | 80,000 | | | | 86,720 | |
Palo Alto Networks, Inc., 0.38%, 6/01/25(b) | | | 185,000 | | | | 241,240 | |
Twitter, Inc., 0.00%, 3/15/26(b)(h) | | | 130,000 | | | | 118,208 | |
Uber Technologies, Inc., 0.00%, 12/15/25(b)(h) | | | 115,000 | | | | 120,638 | |
| | |
| | | | | | | 566,806 | |
| |
Leisure Time – 0.0%(f) | |
Peloton Interactive, Inc., 0.00%, 2/15/26(b)(h) | | | 95,000 | | | | 85,975 | |
| | | |
Media – 0.7% | | | | | | | | |
DISH Network Corp., | | | | | | | | |
2.38%, 3/15/24 | | | 135,000 | | | | 131,456 | |
0.00%, 12/15/25(b)(h) | | | 100,000 | | | | 122,200 | |
3.38%, 8/15/26 | | | 1,195,000 | | | | 1,257,738 | |
Liberty Media Corp., 0.50%, 12/01/50(b) | | | 120,000 | | | | 134,040 | |
| | |
| | | | | | | 1,645,434 | |
| |
Oil & Gas Services – 0.0%(f) | |
Oil States International, Inc., 1.50%, 2/15/23 | | | 65,000 | | | | 59,102 | |
| |
Pharmaceuticals – 0.1% | |
Aerie Pharmaceuticals, Inc., 1.50%, 10/01/24 | | | 85,000 | | | | 85,924 | |
Flexion Therapeutics, Inc., 3.38%, 5/01/24 | | | 20,000 | | | | 17,670 | |
Neurocrine Biosciences, Inc., 2.25%, 5/15/24 | | | 115,000 | | | | 151,081 | |
| | |
| | | | | | | | 254,675 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Software – 0.0%(f) | | | | | | | | |
LivePerson, Inc., 0.00%, 12/15/26(b)(h) | | $ | 45,000 | | | $ | 45,140 | |
| | | |
Total Convertible Bonds
(Cost $4,702,505) | | | | | | | 5,040,199 | |
| | |
| | | Number
of Shares | | | | |
|
Convertible Preferred Stocks – 0.5% | |
| | |
Agriculture – 0.4% | | | | | | | | |
Bunge Ltd., 4.88%, | | | 7,558 | | | | 891,844 | |
| | | |
Banks – 0.0%(f) | | | | | | | | |
Bank of America Corp., 7.25%, | | | 75 | | | | 106,199 | |
| |
Healthcare - Products – 0.1% | |
Boston Scientific Corp., 5.50%, | | | 2,333 | | | | 274,314 | |
| | | |
Total Convertible Preferred Stocks
(Cost $1,027,759) | | | | | | | 1,272,357 | |
| | |
| | | Par(a) | | | | |
| |
Corporate Bonds – 21.5% | | | | | |
| | |
Advertising – 0.2% | | | | | | | | |
Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28(b) | | | 65,000 | | | | 66,922 | |
Lamar Media Corp., 3.75%, 2/15/28 | | | 165,000 | | | | 166,462 | |
Outfront Media Capital LLC/Outfront Media Capital Corp., 6.25%, 6/15/25(b) | | | 140,000 | | | | 148,575 | |
Terrier Media Buyer, Inc., 8.88%, 12/15/27(b) | | | 45,000 | | | | 48,881 | |
| | |
| | | | | | | 430,840 | |
| |
Aerospace/Defense – 0.7% | |
Boeing (The) Co., | | | | | | | | |
5.15%, 5/01/30 | | | 300,000 | | | | 348,919 | |
3.25%, 2/01/35 | | | 30,000 | | | | 29,570 | |
3.55%, 3/01/38 | | | 5,000 | | | | 4,974 | |
3.50%, 3/01/39 | | | 25,000 | | | | 24,428 | |
5.71%, 5/01/40 | | | 40,000 | | | | 49,605 | |
3.38%, 6/15/46 | | | 100,000 | | | | 92,276 | |
3.65%, 3/01/47 | | | 25,000 | | | | 23,718 | |
Moog, Inc., 4.25%, 12/15/27(b) | | | 15,000 | | | | 15,412 | |
Spirit AeroSystems, Inc., | | | | | | | | |
7.50%, 4/15/25(b) | | | 220,000 | | | | 235,736 | |
4.60%, 6/15/28 | | | 210,000 | | | | 205,275 | |
See accompanying Notes to Financial Statements
176
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Aerospace/Defense (Continued) | | | | | | | | |
TransDigm, Inc., | | | | | | | | |
6.25%, 3/15/26(b) | | $ | 305,000 | | | $ | 322,919 | |
6.38%, 6/15/26 | | | 75,000 | | | | 77,766 | |
5.50%, 11/15/27 | | | 225,000 | | | | 234,135 | |
Triumph Group, Inc.,
6.25%, 9/15/24(b) | | | 20,000 | | | | 20,174 | |
| | |
| | | | | | | 1,684,907 | |
| | | |
Airlines – 0.5% | | | | | | | | |
American Airlines, Inc., 11.80%, 7/15/25(b) | | | 175,000 | | | | 219,187 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., | | | | | | | | |
5.50%, 4/20/26(b) | | | 170,000 | | | | 178,500 | |
5.75%, 4/20/29(b) | | | 195,000 | | | | 208,942 | |
Delta Air Lines, Inc., 7.38%, 1/15/26 | | | 195,000 | | | | 229,052 | |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 1/20/26(b) | | | 175,000 | | | | 184,844 | |
United Airlines Pass Through Trust, Series 2020-1, Class B, 4.88%, 1/15/26 | | | 48,525 | | | | 50,632 | |
United Airlines, Inc., | | | | | | | | |
4.38%, 4/15/26(b) | | | 75,000 | | | | 77,829 | |
4.63%, 4/15/29(b) | | | 110,000 | | | | 114,312 | |
| | |
| | | | | | | 1,263,298 | |
| | | |
Apparel – 0.1% | | | | | | | | |
Crocs, Inc., 4.25%, 3/15/29(b) | | | 110,000 | | | | 111,750 | |
Hanesbrands, Inc., | | | | | | | | |
4.63%, 5/15/24(b) | | | 85,000 | | | | 89,486 | |
4.88%, 5/15/26(b) | | | 35,000 | | | | 37,478 | |
| | |
| | | | | | | 238,714 | |
| | | |
Auto Manufacturers – 0.6% | | | | | | | | |
Ford Motor Co., 8.50%, 4/21/23 | | | 720,000 | | | | 806,400 | |
General Motors Financial Co., Inc., | | | | | | | | |
(3M USD LIBOR + 3.60%), 5.75%, 9/30/27(i)(j) | | | 190,000 | | | | 206,150 | |
(3M USD LIBOR + 3.44%), 6.50%, 9/30/28(i)(j) | | | 155,000 | | | | 172,244 | |
(5Y US Treasury CMT + 5.00%), 5.70%, 9/30/30(i)(j) | | | 60,000 | | | | 67,050 | |
PM General Purchaser LLC, 9.50%, 10/01/28(b) | | | 120,000 | | | | 132,300 | |
| | |
| | | | | | | | 1,384,144 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Auto Parts & Equipment – 0.2% | |
Clarios Global L.P./Clarios U.S. Finance Co., 8.50%, 5/15/27(b) | | $ | 80,000 | | | $ | 86,400 | |
Dana, Inc., 9/01/30(e) | | | 35,000 | | | | 35,350 | |
Goodyear Tire & Rubber (The) Co., 5.00%, 5/31/26 | | | 285,000 | | | | 292,481 | |
Meritor, Inc., 4.50%, 12/15/28(b) | | | 45,000 | | | | 45,562 | |
Tenneco, Inc., 7.88%, 1/15/29(b) | | | 45,000 | | | | 50,668 | |
Wheel Pros, Inc., 5/15/29(b)(e) | | | 55,000 | | | | 55,075 | |
| | |
| | | | | | | 565,536 | |
| | | |
Banks – 0.2% | | | | | | | | |
Freedom Mortgage Corp., 7.63%, 5/01/26(b) | | | 220,000 | | | | 229,350 | |
Provident Funding Associates L.P./PFG Finance Corp., 6.38%, 6/15/25(b) | | | 140,000 | | | | 140,000 | |
| | |
| | | | | | | 369,350 | |
| | | |
Beverages – 0.1% | | | | | | | | |
Triton Water Holdings, Inc., 6.25%,
4/01/29(b) | | | 110,000 | | | | 111,375 | |
| | | |
Building Materials – 0.4% | | | | | | | | |
Boise Cascade Co., 4.88%, 7/01/30(b) | | | 15,000 | | | | 15,900 | |
Builders FirstSource, Inc., 5.00%, 3/01/30(b) | | | 290,000 | | | | 307,762 | |
Cornerstone Building Brands, Inc., 6.13%, 1/15/29(b) | | | 145,000 | | | | 154,618 | |
CP Atlas Buyer, Inc., 7.00%, 12/01/28(b) | | | 55,000 | | | | 57,041 | |
JELD-WEN, Inc., 4.63%, 12/15/25(b) | | | 43,000 | | | | 43,860 | |
Masonite International Corp., 5.38%, 2/01/28(b) | | | 160,000 | | | | 168,800 | |
Patrick Industries, Inc., 4.75%, 5/01/29(b) | | | 90,000 | | | | 90,225 | |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 1/15/29(b) | | | 40,000 | | | | 42,100 | |
U.S. Concrete, Inc., 5.13%, 3/01/29(b) | | | 165,000 | | | | 170,363 | |
| | |
| | | | | | | 1,050,669 | |
| | | |
Chemicals – 0.1% | | | | | | | | |
Chemours (The) Co., 5.38%, 5/15/27 | | | 130,000 | | | | 139,425 | |
Olin Corp., 5.13%, 9/15/27 | | | 35,000 | | | | 36,541 | |
See accompanying Notes to Financial Statements
177
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Chemicals (Continued) | |
Olin Corp., | | | | | | | | |
5.63%, 8/01/29 | | $ | 20,000 | | | $ | 21,654 | |
5.00%, 2/01/30 | | | 135,000 | | | | 142,087 | |
| | |
| | | | | | | 339,707 | |
| |
Commercial Services – 0.5% | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.75%, 7/15/27(b) | | | 160,000 | | | | 168,800 | |
MPH Acquisition Holdings LLC, 5.75%, 11/01/28(b) | | | 180,000 | | | | 177,496 | |
Nielsen Finance LLC/Nielsen Finance Co., | | | | | | | | |
5.63%, 10/01/28(b) | | | 190,000 | | | | 202,587 | |
5.88%, 10/01/30(b) | | | 180,000 | | | | 197,100 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%,
1/15/28(b) | | | 110,000 | | | | 114,950 | |
Sabre GLBL, Inc., | | | | | | | | |
9.25%, 4/15/25(b) | | | 175,000 | | | | 209,125 | |
7.38%, 9/01/25(b) | | | 65,000 | | | | 70,769 | |
| | |
| | | | | | | 1,140,827 | |
| | | |
Computers – 0.1% | | | | | | | | |
NCR Corp., | | | | | | | | |
5.00%, 10/01/28(b) | | | 75,000 | | | | 77,250 | |
5.25%, 10/01/30(b) | | | 80,000 | | | | 82,800 | |
Presidio Holdings, Inc., | | | | | | | | |
4.88%, 2/01/27(b) | | | 25,000 | | | | 25,750 | |
8.25%, 2/01/28(b) | | | 25,000 | | | | 27,250 | |
| | |
| | | | | | | 213,050 | |
| |
Distribution/Wholesale – 0.1% | |
Performance Food Group, Inc., 5.50%, 10/15/27(b) | | | 120,000 | | | | 126,461 | |
Wolverine Escrow LLC, 9.00%, 11/15/26(b) | | | 60,000 | | | | 59,373 | |
| | |
| | | | | | | 185,834 | |
| |
Diversified Financial Services – 1.0% | |
Midcap Financial Issuer Trust, 6.50%, 5/01/28(b) | | | 120,000 | | | | 124,345 | |
Nationstar Mortgage Holdings, Inc., 6.00%, 1/15/27(b) | | | 360,000 | | | | 376,200 | |
Navient Corp., | | | | | | | | |
6.13%, 3/25/24 | | | 220,000 | | | | 232,375 | |
5.00%, 3/15/27 | | | 300,000 | | | | 302,250 | |
4.88%, 3/15/28 | | | 230,000 | | | | 225,257 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Diversified Financial Services (Continued) | |
OneMain Finance Corp., | | | | | | | | |
6.88%, 3/15/25 | | $ | 140,000 | | | $ | 159,075 | |
8.88%, 6/01/25 | | | 45,000 | | | | 49,781 | |
Quicken Loans LLC, 5.25%, 1/15/28(b) | | | 565,000 | | | | 596,075 | |
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., | | | | | | | | |
3.63%, 3/01/29(b) | | | 105,000 | | | | 102,113 | |
3.88%, 3/01/31(b) | | | 100,000 | | | | 97,250 | |
| | |
| | | | | | | 2,264,721 | |
| | | |
Electric – 0.1% | | | | | | | | |
NRG Energy, Inc., 5.25%, 6/15/29(b) | | | 10,000 | | | | 10,713 | |
Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(b) | | | 45,000 | | | | 45,562 | |
PG&E Corp., | | | | | | | | |
5.00%, 7/01/28 | | | 110,000 | | | | 115,225 | |
5.25%, 7/01/30 | | | 15,000 | | | | 16,013 | |
Tallen Energy Supply LLC, 10.50%,
1/15/26(b) | | | 70,000 | | | | 64,337 | |
| | |
| | | | | | | 251,850 | |
| |
Electrical Component & Equipment – 0.2% | |
Energizer Holdings, Inc., 4.38%, 3/31/29(b) | | | 165,000 | | | | 163,762 | |
WESCO Distribution, Inc., 7.25%, 6/15/28(b) | | | 165,000 | | | | 183,150 | |
| | |
| | | | | | | 346,912 | |
| | | |
Electronics – 0.0%(f) | | | | | | | | |
Sensata Technologies, Inc., 3.75%,
2/15/31(b) | | | 75,000 | | | | 74,478 | |
| | |
Engineering & Construction – 0.0%(f) | | | | | |
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/01/26(b) | | | 100,000 | | | | 105,237 | |
| | | |
Entertainment – 1.1% | | | | | | | | |
AMC Entertainment Holdings, Inc., 10.50%, 4/15/25(b) | | | 45,000 | | | | 48,160 | |
Boyne U.S.A, Inc., 4.75%, 5/15/29(b) | | | 50,000 | | | | 51,375 | |
Caesars Entertainment, Inc., | | | | | | | | |
6.25%, 7/01/25(b) | | | 175,000 | | | | 186,060 | |
8.13%, 7/01/27(b) | | | 385,000 | | | | 427,804 | |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 7/01/25(b) | | | 80,000 | | | | 84,222 | |
See accompanying Notes to Financial Statements
178
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Entertainment (Continued) | | | | | | | | |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.25%, 10/15/25(b) | | $ | 195,000 | | | $ | 196,587 | |
International Game Technology PLC, | | | | | | | | |
4.13%, 4/15/26(b) | | | 200,000 | | | | 206,082 | |
5.25%, 1/15/29(b) | | | 200,000 | | | | 212,075 | |
Lions Gate Capital Holdings LLC, 5.50%, 4/15/29(b) | | | 130,000 | | | | 130,325 | |
Live Nation Entertainment, Inc., | | | | | | | | |
4.75%, 10/15/27(b) | | | 165,000 | | | | 166,494 | |
3.75%, 1/15/28(b) | | | 85,000 | | | | 84,690 | |
Scientific Games International, Inc., | | | | | | | | |
7.00%, 5/15/28(b) | | | 480,000 | | | | 516,000 | |
7.25%, 11/15/29(b) | | | 40,000 | | | | 43,997 | |
Speedway Motorsports LLC/Speedway Funding II, Inc., 4.88%, 11/01/27(b) | | | 60,000 | | | | 59,775 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(b) | | | 125,000 | | | | 129,210 | |
| | |
| | | | | | | 2,542,856 | |
| | | |
Food – 0.3% | | | | | | | | |
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 4/15/29(b) | | | 95,000 | | | | 106,638 | |
Kraft Heinz Foods Co., 3.00%, 6/01/26 | | | 218,000 | | | | 230,480 | |
Lamb Weston Holdings, Inc., 4.88%, 5/15/28(b) | | | 40,000 | | | | 44,100 | |
Post Holdings, Inc., | | | | | | | | |
5.50%, 12/15/29(b) | | | 5,000 | | | | 5,383 | |
4.63%, 4/15/30(b) | | | 135,000 | | | | 136,350 | |
Simmons Foods, Inc., 4.63%, 3/01/29(b) | | | 110,000 | | | | 110,848 | |
TreeHouse Foods, Inc., 4.00%, 9/01/28 | | | 120,000 | | | | 119,400 | |
| | |
| | | | | | | 753,199 | |
| | | |
Food Service – 0.0%(f) | | | | | | | | |
Aramark Services, Inc., 5.00%, 2/01/28(b) | | | 20,000 | | | | 20,925 | |
| | | |
Healthcare - Services – 1.2% | | | | | | | | |
CHS/Community Health Systems, Inc., 8.00%, 3/15/26(b) | | | 430,000 | | | | 463,325 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Healthcare - Services (Continued) | | | | | |
CHS/Community Health Systems, Inc., | | | | | | | | |
8.00%, 3/15/26 | | $ | 20,000 | | | $ | 21,550 | |
5.63%, 3/15/27(b) | | | 100,000 | | | | 106,000 | |
DaVita, Inc., 3.75%, 2/15/31(b) | | | 230,000 | | | | 218,500 | |
Encompass Health Corp., | | | | | | | | |
4.50%, 2/01/28 | | | 260,000 | | | | 269,425 | |
4.75%, 2/01/30 | | | 115,000 | | | | 120,750 | |
HCA, Inc., 5.38%, 9/01/26 | | | 365,000 | | | | 414,406 | |
LifePoint Health, Inc., 5.38%, 1/15/29(b) | | | 230,000 | | | | 230,046 | |
RP Escrow Issuer LLC, 5.25%, 12/15/25(b) | | | 65,000 | | | | 67,659 | |
Select Medical Corp., 6.25%, 8/15/26(b) | | | 30,000 | | | | 31,897 | |
Tenet Healthcare Corp., | | | | | | | | |
6.25%, 2/01/27(b) | | | 150,000 | | | | 157,313 | |
4.63%, 6/15/28(b) | | | 20,000 | | | | 20,665 | |
6.13%, 10/01/28(b) | | | 695,000 | | | | 733,225 | |
US Acute Care Solutions LLC, 6.38%, 3/01/26(b) | | | 70,000 | | | | 73,080 | |
| | |
| | | | | | | 2,927,841 | |
| | | |
Home Builders – 0.2% | | | | | | | | |
Forestar Group, Inc., 3.85%, 5/15/26(b) | | | 25,000 | | | | 25,261 | |
Installed Building Products, Inc., 5.75%, 2/01/28(b) | | | 25,000 | | | | 26,250 | |
KB Home, 4.80%, 11/15/29 | | | 50,000 | | | | 53,875 | |
Taylor Morrison Communities, Inc., | | | | | | | | |
5.75%, 1/15/28(b) | | | 125,000 | | | | 141,094 | |
5.13%, 8/01/30(b) | | | 160,000 | | | | 176,234 | |
Tri Pointe Homes, Inc., 5.70%, 6/15/28 | | | 70,000 | | | | 77,718 | |
| | |
| | | | | | | 500,432 | |
| | | |
Insurance – 0.1% | | | | | | | | |
AssuredPartners, Inc., 5.63%, 1/15/29(b) | | | 85,000 | | | | 86,167 | |
BroadStreet Partners, Inc., 5.88%,
4/15/29(b) | | | 80,000 | | | | 81,216 | |
| | |
| | | | | | | 167,383 | |
| | | |
Internet – 0.7% | | | | | | | | |
ANGI Group LLC, 3.88%, 8/15/28(b) | | | 95,000 | | | | 94,406 | |
Arches Buyer, Inc., 6.13%, 12/01/28(b) | | | 40,000 | | | | 41,000 | |
Endure Digital, Inc., 6.00%, 2/15/29(b) | | | 275,000 | | | | 263,313 | |
See accompanying Notes to Financial Statements
179
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Internet (Continued) | | | | | | | | |
Netflix, Inc., 5.38%, 11/15/29(b) | | $ | 170,000 | | | $ | 201,875 | |
4.88%, 6/15/30(b) | | | 435,000 | | | | 504,600 | |
Uber Technologies, Inc., | | | | | | | | |
7.50%, 9/15/27(b) | | | 455,000 | | | | 501,760 | |
6.25%, 1/15/28(b) | | | 80,000 | | | | 86,913 | |
| | |
| | | | | | | 1,693,867 | |
| | |
Investment Management Companies – 0.4% | | | | | |
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., | | | | | | | | |
6.75%, 2/01/24 | | | 55,000 | | | | 56,169 | |
6.25%, 5/15/26 | | | 165,000 | | | | 173,926 | |
5.25%, 5/15/27(b) | | | 35,000 | | | | 35,700 | |
5.25%, 5/15/27 | | | 640,000 | | | | 652,800 | |
4.38%, 2/01/29(b) | | | 130,000 | | | | 126,090 | |
| | |
| | | | | | | 1,044,685 | |
| | | |
Iron/Steel – 0.4% | | | | | | | | |
Allegheny Technologies, Inc., | | | | | | | | |
7.88%, 8/15/23 | | | 180,000 | | | | 195,975 | |
5.88%, 12/01/27 | | | 60,000 | | | | 63,375 | |
Carpenter Technology Corp., 6.38%, 7/15/28 | | | 20,000 | | | | 21,934 | |
Cleveland-Cliffs, Inc., | | | | | | | | |
9.88%, 10/17/25(b) | | | 93,000 | | | | 109,159 | |
6.75%, 3/15/26(b) | | | 35,000 | | | | 37,975 | |
4.63%, 3/01/29(b) | | | 180,000 | | | | 183,375 | |
4.88%, 3/01/31(b) | | | 145,000 | | | | 147,537 | |
United States Steel Corp., | | | | | | | | |
6.88%, 8/15/25 | | | 20,000 | | | | 20,425 | |
6.25%, 3/15/26 | | | 105,000 | | | | 107,213 | |
6.88%, 3/01/29 | | | 50,000 | | | | 52,188 | |
| | |
| | | | | | | 939,156 | |
| | | |
Leisure Time – 0.7% | | | | | | | | |
Carnival Corp., | | | | | | | | |
7.63%, 3/01/26(b) | | | 135,000 | | | | 147,825 | |
5.75%, 3/01/27(b) | | | 250,000 | | | | 263,595 | |
9.88%, 8/01/27(b) | | | 135,000 | | | | 158,625 | |
NCL Corp. Ltd., 5.88%, 3/15/26(b) | | | 225,000 | | | | 235,125 | |
NCL Finance Ltd., 6.13%, 3/15/28(b) | | | 55,000 | | | | 57,932 | |
Royal Caribbean Cruises Ltd., | | | | | | | | |
11.50%, 6/01/25(b) | | | 145,000 | | | | 167,974 | |
3.70%, 3/15/28 | | | 70,000 | | | | 66,484 | |
5.50%, 4/01/28(b) | | | 290,000 | | | | 304,123 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Leisure Time (Continued) | | | | | | | | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 2/15/29(b) | | $ | 175,000 | | | $ | 177,844 | |
| | |
| | | | | | | 1,579,527 | |
| | | |
Lodging – 0.7% | | | | | | | | |
Marriott Ownership Resorts, Inc., 4.75%, 1/15/28 | | | 265,000 | | | | 268,744 | |
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 9/15/26 | | | 371,000 | | | | 387,695 | |
MGM Resorts International, 5.50%, 4/15/27 | | | 260,000 | | | | 283,725 | |
Travel + Leisure Co., 6.63%, 7/31/26(b) | | | 255,000 | | | | 292,294 | |
6.00%, 4/01/27 | | | 10,000 | | | | 11,175 | |
4.63%, 3/01/30(b) | | | 100,000 | | | | 104,000 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, 3/01/25(b) | | | 355,000 | | | | 378,962 | |
| | |
| | | | | | | 1,726,595 | |
| | |
Machinery - Diversified – 0.0%(f) | | | | | |
GrafTech Finance, Inc., 4.63%,
12/15/28(b) | | | 50,000 | | | | 51,407 | |
| | | |
Media – 2.1% | | | | | | | | |
AMC Networks, Inc., 4.25%, 2/15/29 | | | 205,000 | | | | 202,438 | |
Block Communications, Inc., 4.88%, 3/01/28(b) | | | 20,000 | | | | 20,350 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | | | | | | | | |
4.75%, 3/01/30(b) | | | 1,180,000 | | | | 1,231,625 | |
4.50%, 8/15/30(b) | | | 105,000 | | | | 106,826 | |
4.50%, 5/01/32(b) | | | 55,000 | | | | 55,550 | |
Clear Channel Worldwide Holdings, Inc., 9.25%, 2/15/24 | | | 80,000 | | | | 83,500 | |
CSC Holdings LLC, 5.75%, 1/15/30(b) | | | 500,000 | | | | 531,562 | |
Diamond Sports Group LLC/Diamond Sports Finance Co., | | | | | | | | |
5.38%, 8/15/26(b) | | | 175,000 | | | | 127,750 | |
6.63%, 8/15/27(b) | | | 80,000 | | | | 43,200 | |
DISH DBS Corp., | | | | | | | | |
7.75%, 7/01/26 | | | 310,000 | | | | 357,275 | |
7.38%, 7/01/28 | | | 65,000 | | | | 70,195 | |
Entercom Media Corp., 6.75%, 3/31/29(b) | | | 115,000 | | | | 118,450 | |
Gray Television, Inc., 4.75%, 10/15/30(b) | | | 245,000 | | | | 245,000 | |
See accompanying Notes to Financial Statements
180
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Media (Continued) | | | | | | | | |
iHeartCommunications, Inc., | | | | | | | | |
6.38%, 5/01/26 | | $ | 10,000 | | | $ | 10,653 | |
8.38%, 5/01/27 | | | 955,000 | | | | 1,024,715 | |
4.75%, 1/15/28(b) | | | 180,000 | | | | 185,400 | |
Meredith Corp., 6.88%, 2/01/26 | | | 172,000 | | | | 176,515 | |
Nexstar Broadcasting, Inc.,
5.63%, 7/15/27(b) | | | 20,000 | | | | 21,125 | |
Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28(b) | | | 185,000 | | | | 192,596 | |
Sinclair Television Group, Inc., 5.13%, 2/15/27(b) | | | 15,000 | | | | 14,850 | |
Townsquare Media, Inc., 6.88%, 2/01/26(b) | | | 35,000 | | | | 36,488 | |
Univision Communications, Inc., 6.63%, 6/01/27(b) | | | 80,000 | | | | 86,700 | |
| | |
| | | | | | | 4,942,763 | |
| | | |
Mining – 0.3% | | | | | | | | |
Freeport-McMoRan, Inc., | | | | | | | | |
4.25%, 3/01/30 | | | 280,000 | | | | 301,000 | |
4.63%, 8/01/30 | | | 55,000 | | | | 60,706 | |
5.40%, 11/14/34 | | | 20,000 | | | | 24,050 | |
Novelis Corp., 4.75%, 1/30/30(b) | | | 305,000 | | | | 317,200 | |
| | |
| | | | | | | 702,956 | |
| | |
Miscellaneous Manufacturing – 0.0%(f) | | | | | |
Hillenbrand, Inc., 5.75%, 6/15/25 | | | 50,000 | | | | 53,563 | |
| | |
Office/Business Equipment – 0.2% | | | | | |
Pitney Bowes, Inc., 6.88%, 3/15/27(b) | | | 135,000 | | | | 137,700 | |
Xerox Holdings Corp., | | | | | | | | |
5.00%, 8/15/25(b) | | | 100,000 | | | | 105,000 | |
5.50%, 8/15/28(b) | | | 100,000 | | | | 104,500 | |
| | |
| | | | | | | 347,200 | |
| | | |
Oil & Gas – 2.5% | | | | | | | | |
Antero Resources Corp., | | | | | | | | |
8.38%, 7/15/26(b) | | | 25,000 | | | | 28,072 | |
7.63%, 2/01/29(b) | | | 145,000 | | | | 157,245 | |
Apache Corp., | | | | | | | | |
4.88%, 11/15/27 | | | 35,000 | | | | 36,943 | |
4.38%, 10/15/28 | | | 65,000 | | | | 66,298 | |
4.25%, 1/15/30 | | | 150,000 | | | | 150,534 | |
4.75%, 4/15/43 | | | 5,000 | | | | 4,965 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Oil & Gas (Continued) | | | | | | | | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.00%, 11/01/26(b) | | $ | 130,000 | | | $ | 131,625 | |
California Resources Corp., 7.13%, 2/01/26(b) | | | 30,000 | | | | 30,730 | |
Centennial Resource Production LLC, 5.38%, 1/15/26(b) | | | 15,000 | | | | 14,044 | |
Chesapeake Energy Corp., 5.50%, 2/01/26(b) | | | 30,000 | | | | 31,650 | |
Comstock Resources, Inc., 6.75%, 3/01/29(b) | | | 80,000 | | | | 81,720 | |
Continental Resources, Inc., | | | | | | | | |
4.50%, 4/15/23 | | | 14,000 | | | | 14,693 | |
3.80%, 6/01/24 | | | 190,000 | | | | 199,025 | |
4.38%, 1/15/28 | | | 65,000 | | | | 70,687 | |
5.75%, 1/15/31(b) | | | 30,000 | | | | 34,800 | |
4.90%, 6/01/44 | | | 100,000 | | | | 104,902 | |
CVR Energy, Inc., 5.25%, 2/15/25(b) | | | 60,000 | | | | 60,300 | |
Endeavor Energy Resources L.P./EER Finance, Inc., | | | | | | | | |
6.63%, 7/15/25(b) | | | 55,000 | | | | 58,575 | |
5.50%, 1/30/26(b) | | | 35,000 | | | | 36,247 | |
Energy Ventures Gom LLC/EnVen Finance Corp., 11.80%, 4/15/26(b) | | | 60,000 | | | | 61,513 | |
EQT Corp., | | | | | | | | |
7.63%, 2/01/25 | | | 105,000 | | | | 120,857 | |
5.00%, 1/15/29 | | | 10,000 | | | | 10,922 | |
8.50%, 2/01/30 | | | 155,000 | | | | 198,206 | |
Hilcorp Energy I L.P./Hilcorp Finance Co., | | | | | | | | |
5.75%, 2/01/29(b) | | | 60,000 | | | | 61,050 | |
6.00%, 2/01/31(b) | | | 50,000 | | | | 51,500 | |
Independence Energy Finance LLC, 7.25%, 5/01/26(b) | | | 95,000 | | | | 95,237 | |
Indigo Natural Resources LLC,
5.38%, 2/01/29(b) | | | 140,000 | | | | 138,950 | |
Matador Resources Co., 5.88%, 9/15/26 | | | 90,000 | | | | 89,775 | |
Murphy Oil Corp., | | | | | | | | |
6.88%, 8/15/24 | | | 85,000 | | | | 86,912 | |
6.38%, 7/15/28 | | | 85,000 | | | | 86,275 | |
6.38%, 12/01/42 | | | 100,000 | | | | 93,750 | |
Nabors Industries, Inc., 9.00%, 2/01/25(b) | | | 28,000 | | | | 28,980 | |
See accompanying Notes to Financial Statements
181
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Oil & Gas (Continued) | | | | | | | | |
Occidental Petroleum Corp., 2.70%, 2/15/23 | | $ | 44,000 | | | $ | 44,110 | |
2.90%, 8/15/24 | | | 365,000 | | | | 364,087 | |
3.50%, 6/15/25 | | | 380,000 | | | | 381,900 | |
5.55%, 3/15/26 | | | 65,000 | | | | 69,794 | |
3.40%, 4/15/26 | | | 20,000 | | | | 19,779 | |
3.20%, 8/15/26 | | | 25,000 | | | | 24,313 | |
3.00%, 2/15/27 | | | 35,000 | | | | 33,403 | |
8.50%, 7/15/27 | | | 90,000 | | | | 109,462 | |
3.50%, 8/15/29 | | | 525,000 | | | | 501,375 | |
8.88%, 7/15/30 | | | 145,000 | | | | 186,325 | |
7.50%, 5/01/31 | | | 45,000 | | | | 53,550 | |
7.88%, 9/15/31 | | | 20,000 | | | | 24,300 | |
4.10%, 2/15/47 | | | 5,000 | | | | 4,163 | |
4.20%, 3/15/48 | | | 15,000 | | | | 12,641 | |
Ovintiv, Inc., | | | | | | | | |
7.38%, 11/01/31 | | | 40,000 | | | | 52,844 | |
7.20%, 11/01/31 | | | 95,000 | | | | 123,720 | |
6.50%, 8/15/34 | | | 215,000 | | | | 274,263 | |
6.63%, 8/15/37 | | | 35,000 | | | | 44,182 | |
PBF Holding Co. LLC/PBF Finance Corp., | | | | | | | | |
9.25%, 5/15/25(b) | | | 90,000 | | | | 94,275 | |
6.00%, 2/15/28 | | | 70,000 | | | | 52,821 | |
Range Resources Corp., | | | | | | | | |
5.00%, 3/15/23 | | | 53,000 | | | | 54,192 | |
9.25%, 2/01/26 | | | 115,000 | | | | 126,279 | |
8.25%, 1/15/29(b) | | | 45,000 | | | | 48,815 | |
SM Energy Co., 10.00%, 1/15/25(b) | | | 116,000 | | | | 131,950 | |
Southwestern Energy Co., | | | | | | | | |
6.45%, 1/23/25 | | | 155,000 | | | | 167,400 | |
7.50%, 4/01/26 | | | 25,000 | | | | 26,443 | |
7.75%, 10/01/27 | | | 15,000 | | | | 16,124 | |
Sunoco L.P./Sunoco Finance Corp., 4.50%, 5/15/29(b) | | | 145,000 | | | | 146,450 | |
Transocean Pontus Ltd., 6.13%, 8/01/25(b) | | | 43,500 | | | | 42,412 | |
Transocean Poseidon Ltd.,
6.88%, 2/01/27(b) | | | 85,000 | | | | 80,750 | |
Vine Energy Holdings LLC, 6.75%,
4/15/29(b) | | | 90,000 | | | | 90,039 | |
| | |
| | | | | | | 5,839,143 | |
| | | |
Oil & Gas Services – 0.1% | | | | | | | | |
Transocean Proteus Ltd., 6.25%,
12/01/24(b) | | | 148,800 | | | | 145,824 | |
| | | |
Packaging & Containers – 0.1% | | | | | | | | |
Berry Global, Inc., 4.50%, 2/15/26(b) | | | 55,000 | | | | 56,306 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Packaging & Containers (Continued) | | | | | |
Graham Packaging Co., Inc., 7.13%, 8/15/28(b) | | $ | 65,000 | | | $ | 69,713 | |
Mauser Packaging Solutions Holding Co., 7.25%, 4/15/25(b) | | | 190,000 | | | | 184,775 | |
| | |
| | | | | | | 310,794 | |
| | | |
Pharmaceuticals – 0.7% | | | | | | | | |
Bausch Health Cos., Inc., | | | | | | | | |
6.25%, 2/15/29(b) | | | 490,000 | | | | 518,175 | |
5.25%, 1/30/30(b) | | | 100,000 | | | | 100,500 | |
5.25%, 2/15/31(b) | | | 250,000 | | | | 250,340 | |
Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.00%, 6/30/28(b) | | | 230,000 | | | | 174,800 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo U.S.,Inc., 6.13%, 4/01/29(b) | | | 25,000 | | | | 24,750 | |
Herbalife Nutrition Ltd./HLF Financing, Inc., 7.88%, 9/01/25(b) | | | 210,000 | | | | 228,375 | |
Organon Finance 1 LLC, 5.13%, 4/30/31(b) | | | 240,000 | | | | 249,024 | |
Par Pharmaceutical, Inc., 7.50%, 4/01/27(b) | | | 86,000 | | | | 90,515 | |
Prestige Brands, Inc., 5.13%, 1/15/28(b) | | | 125,000 | | | | 130,937 | |
| | |
| | | | | | | 1,767,416 | |
| | | |
Pipelines – 1.7% | | | | | | | | |
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, 12/15/25(b) | | | 170,000 | | | | 183,770 | |
Buckeye Partners L.P., | | | | | | | | |
5.85%, 11/15/43 | | | 45,000 | | | | 44,297 | |
5.60%, 10/15/44 | | | 60,000 | | | | 57,600 | |
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., 6.00%, 2/01/29(b) | | | 85,000 | | | | 87,869 | |
DCP Midstream Operating L.P., | | | | | | | | |
5.38%, 7/15/25 | | | 50,000 | | | | 54,875 | |
5.63%, 7/15/27 | | | 195,000 | | | | 212,971 | |
5.13%, 5/15/29 | | | 25,000 | | | | 26,688 | |
EnLink Midstream Partners L.P., | | | | | | | | |
5.60%, 4/01/44 | | | 10,000 | | | | 8,625 | |
5.05%, 4/01/45 | | | 5,000 | | | | 4,113 | |
5.45%, 6/01/47 | | | 340,000 | | | | 286,450 | |
See accompanying Notes to Financial Statements
182
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Pipelines (Continued) | | | | | | | | |
EQM Midstream Partners L.P., | | | | | | | | |
6.00%, 7/01/25(b) | | $ | 155,000 | | | $ | 169,337 | |
6.50%, 7/01/27(b) | | | 160,000 | | | | 176,677 | |
5.50%, 7/15/28 | | | 25,000 | | | | 26,555 | |
4.50%, 1/15/29(b) | | | 55,000 | | | | 54,587 | |
4.75%, 1/15/31(b) | | | 100,000 | | | | 98,989 | |
Genesis Energy L.P./Genesis Energy Finance Corp., 7.75%, 2/01/28 | | | 175,000 | | | | 176,750 | |
Harvest Midstream I L.P., 7.50%, 9/01/28(b) | | | 100,000 | | | | 107,750 | |
Hess Midstream Operations L.P., 5.63%, 2/15/26(b) | | | 464,000 | | | | 481,400 | |
New Fortress Energy, Inc., | | | | | | | | |
6.75%, 9/15/25(b) | | | 320,000 | | | | 331,101 | |
6.50%, 9/30/26(b) | | | 105,000 | | | | 107,135 | |
NuStar Logistics L.P., | | | | | | | | |
5.75%, 10/01/25 | | | 85,000 | | | | 91,481 | |
5.63%, 4/28/27 | | | 120,000 | | | | 126,300 | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., | | | | | | | | |
5.50%, 9/15/24(b) | | | 17,000 | | | | 17,319 | |
6.00%, 3/01/27(b) | | | 90,000 | | | | 91,323 | |
5.50%, 1/15/28(b) | | | 130,000 | | | | 128,375 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., | | | | | | | | |
5.88%, 4/15/26 | | | 80,000 | | | | 83,800 | |
5.50%, 3/01/30 | | | 45,000 | | | | 48,672 | |
4.88%, 2/01/31(b) | | | 250,000 | | | | 260,865 | |
Western Midstream Operating L.P., | | | | | | | | |
5.30%, 2/01/30 | | | 300,000 | | | | 327,375 | |
5.45%, 4/01/44 | | | 100,000 | | | | 105,152 | |
5.30%, 3/01/48 | | | 10,000 | | | | 10,250 | |
6.50%, 2/01/50 | | | 105,000 | | | | 118,806 | |
| | |
| | | | | | | 4,107,257 | |
| | | |
Real Estate – 0.1% | | | | | | | | |
Realogy Group LLC/Realogy Co-Issuer Corp., | | | | | | | | |
9.38%, 4/01/27(b) | | | 90,000 | | | | 100,575 | |
5.75%, 1/15/29(b) | | | 100,000 | | | | 103,750 | |
| | |
| | | | | | | | 204,325 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Real Estate Investment Trusts – 0.7% | | | | | |
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 5.75%, 5/15/26(b) | | $ | 285,000 | | | $ | 297,198 | |
Iron Mountain, Inc., 4.88%, 9/15/29(b) | | | 355,000 | | | | 361,575 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.25%, 2/01/27(b) | | | 220,000 | | | | 215,989 | |
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc., 4.50%, 1/15/28 | | | 191,000 | | | | 199,117 | |
Service Properties Trust, | | | | | | | | |
7.50%, 9/15/25 | | | 260,000 | | | | 294,687 | |
4.75%, 10/01/26 | | | 65,000 | | | | 63,375 | |
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 4/15/28(b) | | | 150,000 | | | | 149,438 | |
| | |
| | | | | | | 1,581,379 | |
| | | |
Retail – 1.1% | | | | | | | | |
Asbury Automotive Group, Inc., | | | | | | | | |
4.50%, 3/01/28 | | | 19,000 | | | | 19,570 | |
4.75%, 3/01/30 | | | 22,000 | | | | 22,990 | |
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC, 5.13%, 4/15/29(b) | | | 75,000 | | | | 76,875 | |
Carvana Co., | | | | | | | | |
5.50%, 4/15/27(b) | | | 290,000 | | | | 293,494 | |
5.88%, 10/01/28(b) | | | 170,000 | | | | 176,536 | |
Ferrellgas L.P./Ferrellgas Finance Corp., 5.38%, 4/01/26(b) | | | 90,000 | | | | 88,988 | |
Foundation Building Materials, Inc., 6.00%, 3/01/29(b) | | | 215,000 | | | | 213,301 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(b) | | | 30,000 | | | | 29,963 | |
Ken Garff Automotive LLC, 4.88%, 9/15/28(b) | | | 50,000 | | | | 50,438 | |
L Brands, Inc., | | | | | | | | |
5.25%, 2/01/28 | | | 205,000 | | | | 224,731 | |
6.88%, 11/01/35 | | | 5,000 | | | | 6,063 | |
6.75%, 7/01/36 | | | 65,000 | | | | 78,280 | |
LBM Acquisition LLC, 6.25%, 1/15/29(b) | | | 50,000 | | | | 51,250 | |
Lithia Motors, Inc., 4.38%, 1/15/31(b) | | | 105,000 | | | | 110,512 | |
See accompanying Notes to Financial Statements
183
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Retail (Continued) | | | | | | | | |
Magic Mergeco, Inc., 7.88%, 5/01/29(b) | | $ | 175,000 | | | $ | 179,812 | |
Murphy Oil USA, Inc., 4.75%, 9/15/29 | | | 20,000 | | | | 21,000 | |
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(b) | | | 250,000 | | | | 257,812 | |
QVC, Inc., | | | | | | | | |
4.85%, 4/01/24 | | | 5,000 | | | | 5,419 | |
4.45%, 2/15/25 | | | 10,000 | | | | 10,625 | |
Rite Aid Corp., 7.50%, 7/01/25(b) | | | 55,000 | | | | 56,994 | |
Staples, Inc., 7.50%, 4/15/26(b) | | | 200,000 | | | | 207,000 | |
White Cap Buyer LLC, 6.88%, 10/15/28(b) | | | 35,000 | | | | 37,144 | |
Yum! Brands, Inc., | | | | | | | | |
4.75%, 1/15/30(b) | | | 10,000 | | | | 10,700 | |
3.63%, 3/15/31 | | | 255,000 | | | | 251,688 | |
| | |
| | | | | | | 2,481,185 | |
| | | |
Software – 0.3% | | | | | | | | |
Camelot Finance S.A., 4.50%, 11/01/26(b) | | | 75,000 | | | | 77,625 | |
J2 Global, Inc., 4.63%, 10/15/30(b) | | | 95,000 | | | | 97,249 | |
Playtika Holding Corp., 4.25%, 3/15/29(b) | | | 50,000 | | | | 49,687 | |
Rocket Software, Inc., 6.50%, 2/15/29(b) | | | 175,000 | | | | 176,969 | |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 9/01/25(b) | | | 190,000 | | | | 196,650 | |
| | |
| | | | | | | 598,180 | |
| | | |
Telecommunications – 0.7% | | | | | | | | |
CommScope Technologies LLC, | | | | | | | | |
6.00%, 6/15/25(b) | | | 34,000 | | | | 34,595 | |
5.00%, 3/15/27(b) | | | 950,000 | | | | 941,153 | |
CommScope, Inc., | | | | | | | | |
8.25%, 3/01/27(b) | | | 115,000 | | | | 123,194 | |
7.13%, 7/01/28(b) | | | 90,000 | | | | 97,312 | |
Embarq Corp., 8.00%, 6/01/36 | | | 25,000 | | | | 29,110 | |
Ligado Networks LLC, | | | | | | | | |
15.50%, 11/01/23(b)(k) | | | 175,000 | | | | 158,210 | |
17.50%, 5/01/24(b)(k) | | | 55,000 | | | | 37,461 | |
LogMeIn, Inc., 5.50%, 9/01/27(b) | | | 95,000 | | | | 99,015 | |
Lumen Technologies, Inc., 5.63%, 4/01/25 | | | 50,000 | | | | 53,937 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| |
Telecommunications (Continued) | | | | | |
ViaSat, Inc., 6.50%,
7/15/28(b) | | | | | | $ | 85,000 | | | $ | 89,699 | |
Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 8/15/28(b) | | | | | | | 100,000 | | | | 104,250 | |
| | | |
| | | | | | | | | | | 1,767,936 | |
| | |
Toys/Games/Hobbies – 0.0%(f) | | | | | |
Mattel, Inc., 5.88%,
12/15/27(b) | | | | | | | 30,000 | | | | 32,963 | |
| | |
Trucking & Leasing – 0.0%(f) | | | | | |
Fortress Transportation and Infrastructure Investors LLC, 5.50%, 5/01/28(b) | | | | | | | 75,000 | | | | 77,719 | |
| | |
Water – 0.0%(f) | | | | | |
Solaris Midstream Holdings LLC, 7.63%, 4/01/26(b) | | | | | | | 40,000 | | | | 41,892 | |
| | | |
Total Corporate Bonds
(Cost $47,139,735) | | | | | | | | 50,971,817 | |
|
Foreign Government Inflation-Linked
Bonds – 0.6% | |
| | | |
Sovereign – 0.6% | | | | | | | | | | | | |
Argentina Treasury Bond, | | | | | | | | | | | | |
1.30%, 9/20/22 | | | ARS | | | | 38,800 | | | | 569 | |
1.40%, 3/25/23 | | | ARS | | | | 43,482,379 | | | | 651,795 | |
1.50%, 3/25/24 | | | ARS | | | | 22,125,997 | | | | 311,494 | |
Bonos de la Tesoreria de la Republica, 1.50%, 3/01/26 | | | CLP | | | | 6,500 | | | | 288,408 | |
Brazil Notas do Tesouro Nacional, Serie B, 6.00%, 5/15/35 | | | BRL | | | | 230,000 | | | | 180,997 | |
| | | |
| | | | | | | | | | | 1,433,263 | |
| | |
Total Foreign Government Inflation-Linked Bonds
(Cost $1,706,757) | | | | 1,433,263 | |
| |
Foreign Issuer Bonds – 60.9% | | | | | |
| |
Angola – 0.7% | | | | | |
Angolan Government International Bond, | | | | | | | | | | | | |
8.25%, 5/09/28(b) | | | | | | | 860,000 | | | | 881,500 | |
9.38%, 5/08/48(b) | | | | | | | 200,000 | | | | 205,654 | |
9.13%, 11/26/49(b) | | | | | | | 550,000 | | | | 558,219 | |
| | | |
| | | | | | | | | | | 1,645,373 | |
| | |
Argentina – 0.3% | | | | | |
Argentine Bonos del Tesoro, 16.00%, 10/17/23 ARS | | | | | | | 250,800 | | | | 1,572 | |
See accompanying Notes to Financial Statements
184
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| |
Argentina (Continued) | | | | | |
Argentine Republic Government International Bond, | | | | | | | | | | | | |
(Step to 0.50% on 7/09/21), 0.13%, 7/09/30(g) | | | | | | $ | 695,870 | | | $ | 252,253 | |
(Step to 1.13% on 7/09/21), 0.13%, 7/09/35(g) | | | | | | | 1,169,164 | | | | 368,298 | |
YPF S.A., 6.95%, 7/21/27(b) | | | | | | | 120,000 | | | | 73,800 | |
| | | |
| | | | | | | | | | | 695,923 | |
| | |
Australia – 0.2% | | | | | |
Mineral Resources Ltd., 8.13%, 5/01/27(b) | | | | | | | 350,000 | | | | 387,653 | |
| | | | |
Bahrain – 1.0% | | | | | | | | | | | | |
Bahrain Government International Bond, | | | | | | | | | | | | |
5.45%, 9/16/32 | | | | | | | 200,000 | | | | 199,217 | |
5.25%, 1/25/33(b) | | | | | | | 1,350,000 | | | | 1,311,255 | |
6.00%, 9/19/44 | | | | | | | 600,000 | | | | 561,558 | |
7.50%, 9/20/47 | | | | | | | 200,000 | | | | 211,940 | |
| | | |
| | | | | | | | | | | 2,283,970 | |
| | |
Brazil – 2.8% | | | | | |
Brazil Letras do Tesouro Nacional, | | | | | | | | | | | | |
0.00%, 1/01/24(h) | | | BRL | | | | 1,290,000 | | | | 195,817 | |
0.00%, 7/01/24(h) | | | BRL | | | | 4,520,000 | | | | 656,462 | |
Brazil Notas do Tesouro Nacional, Serie F, | | | | | | | | | | | | |
10.00%, 1/01/23 | | | BRL | | | | 13,179,000 | | | | 2,554,463 | |
10.00%, 1/01/25 | | | BRL | | | | 5,605,000 | | | | 1,098,649 | |
10.00%, 1/01/27 | | | BRL | | | | 320,000 | | | | 62,614 | |
10.00%, 1/01/29 | | | BRL | | | | 4,890,000 | | | | 953,612 | |
10.00%, 1/01/31 | | | BRL | | | | 510,000 | | | | 98,897 | |
Brazilian Government International Bond, | | | | | | | | | | | | |
2.88%, 6/06/25 | | | | | | | 600,000 | | | | 614,556 | |
3.88%, 6/12/30 | | | | | | | 200,000 | | | | 198,532 | |
Guara Norte S.a.r.l., 5.20%, 6/15/34(b) | | | | | | | 105,000 | | | | 105,788 | |
MARB BondCo PLC, 3.95%, 1/29/31(b) | | | | | | | 220,000 | | | | 209,037 | |
| | | |
| | | | | | | | | | | 6,748,427 | |
| | |
Canada – 0.9% | | | | | |
1011778 B.C. ULC/New Red Finance, Inc., 4.00%, 10/15/30(b) | | | | | | | 490,000 | | | | 477,750 | |
Baytex Energy Corp., 8.75%, 4/01/27(b) | | | | | | | 120,000 | | | | 111,000 | |
Bombardier, Inc., 6.13%, 1/15/23(b) | | | | | | | 250,000 | | | | 262,070 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| |
Canada (Continued) | | | | | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp., | | | | | | | | | | | | |
6.25%, 9/15/27(b) | | | | | | $ | 75,000 | | | $ | 79,500 | |
4.88%, 2/15/30(b) | | | | | | | 145,000 | | | | 144,819 | |
Empire Communities Corp., 7.00%, 12/15/25(b) | | | | | | | 85,000 | | | | 90,950 | |
GFL Environmental, Inc., 4.00%, 8/01/28(b) | | | | | | | 200,000 | | | | 191,388 | |
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%,
9/15/28(b) | | | | | | | 80,000 | | | | 82,533 | |
Mattamy Group Corp., | | | | | | | | | | | | |
5.25%, 12/15/27(b) | | | | | | | 140,000 | | | | 146,650 | |
4.63%, 3/01/30(b) | | | | | | | 65,000 | | | | 65,650 | |
MEG Energy Corp., | | | | | | | | | | | | |
7.13%, 2/01/27(b) | | | | | | | 100,000 | | | | 106,778 | |
5.88%, 2/01/29(b) | | | | | | | 65,000 | | | | 66,625 | |
Methanex Corp., | | | | | | | | | | | | |
5.13%, 10/15/27 | | | | | | | 85,000 | | | | 89,695 | |
5.25%, 12/15/29 | | | | | | | 15,000 | | | | 15,844 | |
Open Text Corp., 3.88%,
2/15/28(b) | | | | | | | 115,000 | | | | 116,437 | |
Parkland Corp., 5.88%, 7/15/27(b) | | | | | | | 80,000 | | | | 85,184 | |
Telesat Canada/Telesat LLC, 5.63%, 12/06/26(b) | | | | | | | 90,000 | | | | 90,450 | |
| | | |
| | | | | | | | | | | 2,223,323 | |
| | |
Chile – 1.1% | | | | | |
AES Gener S.A., (5Y USD Swap Rate + 4.64%), 7.13%,
3/26/79(b)(j) | | | | | | | 400,000 | | | | 423,000 | |
Bonos de la Tesoreria de la Republica en pesos, | | | | | | | | | | | | |
4.70%, 9/01/30(b) | | | CLP | | | | 355,000,000 | | | | 535,785 | |
5.00%, 3/01/35 | | | CLP | | | | 290,000,000 | | | | 439,263 | |
Chile Government International Bond, | | | | | | | | | | | | |
2.45%, 1/31/31 | | | | | | | 600,000 | | | | 610,500 | |
2.55%, 1/27/32 | | | | | | | 465,000 | | | | 475,235 | |
Kenbourne Invest S.A., 6.88%, 11/26/24(b) | | | | | | | 200,000 | | | | 212,660 | |
| | | |
| | | | | | | | | | | 2,696,443 | |
| | |
China – 2.9% | | | | | |
Agricultural Development Bank of China, | | | | | | | | | | | | |
3.06%, 8/05/23 | | | CNY | | | | 1,250,000 | | | | 193,257 | |
3.75%, 1/25/29 | | | CNY | | | | 10,340,000 | | | | 1,622,239 | |
China Development Bank, 3.23%, 1/10/25 | | | CNY | | | | 11,410,000 | | | | 1,764,299 | |
See accompanying Notes to Financial Statements
185
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| |
China (Continued) | | | | | |
China Development Bank, 3.48%, 1/08/29 | | | CNY | | | $ | 4,230,000 | | | $ | 651,700 | |
China Government Bond, | | | | | | | | | | | | |
3.28%, 12/03/27 | | | CNY | | | | 2,220,000 | | | | 346,280 | |
3.27%, 11/19/30 | | | CNY | | | | 6,290,000 | | | | 980,295 | |
Easy Tactic Ltd., 8.13%, 2/27/23 | | | | | | | 400,000 | | | | 390,001 | |
Fantasia Holdings Group Co. Ltd., 10.90%, 1/09/23 | | | | | | | 200,000 | | | | 199,480 | |
Global Aircraft Leasing Co. Ltd., 6.50%, 9/15/24(b)(k) | | | | | | | 15,000 | | | | 15,000 | |
Kaisa Group Holdings Ltd., 8.50%, 6/30/22 | | | | | | | 400,000 | | | | 410,182 | |
Ronshine China Holdings Ltd., 8.75%, 10/25/22 | | | | | | | 200,000 | | | | 201,741 | |
Yuzhou Group Holdings Co. Ltd., 6.00%, 10/25/23 | | | | | | | 200,000 | | | | 182,750 | |
| | | |
| | | | | | | | | | | 6,957,224 | |
| | |
Colombia – 2.0% | | | | | |
Banco Davivienda S.A., (10Y US Treasury CMT + 5.10%), 6.65%, 4/22/31(b)(i)(j) | | | | | | | 200,000 | | | | 204,020 | |
Banco GNB Sudameris S.A., (5Y US Treasury CMT + 6.66%), 7.50%, 4/16/31(b)(j) | | | | | | | 175,000 | | | | 180,084 | |
Colombia Government International Bond, | | | | | | | | | | | | |
3.13%, 4/15/31 | | | | | | | 500,000 | | | | 489,695 | |
4.13%, 2/22/42 | | | | | | | 625,000 | | | | 611,875 | |
Colombian TES, | | | | | | | | | | | | |
10.00%, 7/24/24 | | | COP | | | | 2,169,000,000 | | | | 674,189 | |
6.25%, 11/26/25 | | | COP | | | | 2,000,000,000 | | | | 555,499 | |
7.50%, 8/26/26 | | | COP | | | | 2,943,000,000 | | | | 850,355 | |
5.75%, 11/03/27 | | | COP | | | | 2,870,000,000 | | | | 747,131 | |
7.75%, 9/18/30 | | | COP | | | | 681,000,000 | | | | 191,551 | |
7.00%, 6/30/32 | | | COP | | | | 1,000,000,000 | | | | 262,143 | |
| | | |
| | | | | | | | | | | 4,766,542 | |
| | |
Costa Rica – 0.2% | | | | | |
Costa Rica Government International Bond, | | | | | | | | | | | | |
5.63%, 4/30/43 | | | | | | | 200,000 | | | | 186,000 | |
7.00%, 4/04/44 | | | | | | | 200,000 | | | | 205,000 | |
| | | |
| | | | | | | | | | | 391,000 | |
| | | |
Czech Republic – 1.0% | | | | | | | | | |
Czech Republic Government Bond, | | | | | | | | | | | | |
1.00%, 6/26/26 | | | CZK | | | | 6,500,000 | | | | 295,869 | |
2.50%, 8/25/28 | | | CZK | | | | 3,570,000 | | | | 176,578 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| |
Czech Republic (Continued) | | | | | |
Czech Republic Government Bond, | | | | | | | | | | | | |
2.75%, 7/23/29 | | | CZK | | | $ | 8,230,000 | | | $ | 415,884 | |
0.95%, 5/15/30 | | | CZK | | | | 18,840,000 | | | | 820,737 | |
2.00%, 10/13/33 | | | CZK | | | | 12,340,000 | | | | 582,186 | |
| | | |
| | | | | | | | | | | 2,291,254 | |
| |
Dominican Republic – 1.0% | |
Dominican Republic International Bond, | | | | | | | | | | | | |
4.50%, 1/30/30(b) | | | | | | | 420,000 | | | | 435,750 | |
4.88%, 9/23/32(b) | | | | | | | 1,330,000 | | | | 1,391,845 | |
5.30%, 1/21/41(b) | | | | | | | 150,000 | | | | 152,475 | |
5.88%, 1/30/60(b) | | | | | | | 315,000 | | | | 314,212 | |
| | | |
| | | | | | | | | | | 2,294,282 | |
| | |
Ecuador – 0.2% | | | | | |
Ecuador Government International Bond, | | | | | | | | | | | | |
(Step to 1.00% on 7/31/21), 0.50%, 7/31/35(b)(g) | | | | | | | 439,407 | | | | 299,409 | |
(Step to 0.50% on 7/31/21), 0.50%, 7/31/40(b)(g) | | | | | | | 460,130 | | | | 271,649 | |
| | | |
| | | | | | | | | | | 571,058 | |
| | |
Egypt – 1.4% | | | | | |
Egypt Government Bond, | | | | | | | | | | | | |
14.10%, 1/12/26 | | | EGP | | | | 11,818,000 | | | | 748,380 | |
14.50%, 4/06/26 | | | EGP | | | | 1,500,000 | | | | 96,024 | |
Egypt Government International Bond, | | | | | | | | | | | | |
3.88%, 2/16/26(b) | | | | | | | 200,000 | | | | 194,888 | |
5.88%, 2/16/31(b) | | | | | | | 300,000 | | | | 289,134 | |
7.05%, 1/15/32(b) | | | | | | | 635,000 | | | | 649,605 | |
7.63%, 5/29/32(b) | | | | | | | 450,000 | | | | 477,765 | |
8.50%, 1/31/47 | | | | | | | 300,000 | | | | 310,521 | |
8.70%, 3/01/49(b) | | | | | | | 450,000 | | | | 468,424 | |
| | | |
| | | | | | | | | | | 3,234,741 | |
| | |
El Salvador – 0.4% | | | | | |
El Salvador Government International Bond, | | | | | | | | | | | | |
5.88%, 1/30/25 | | | | | | | 25,000 | | | | 25,745 | |
6.38%, 1/18/27 | | | | | | | 235,000 | | | | 242,637 | |
8.25%, 4/10/32 | | | | | | | 280,000 | | | | 306,992 | |
7.63%, 2/01/41 | | | | | | | 300,000 | | | | 307,590 | |
| | | |
| | | | | | | | | | | 882,964 | |
| | |
Finland – 0.1% | | | | | |
Nokia OYJ, 4.38%, 6/12/27 | | | | | | | 145,000 | | | | 158,503 | |
See accompanying Notes to Financial Statements
186
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | | | |
| | | | | Par(a) | | | Value | |
| | | | |
France – 0.2% | | | | | | | | | | |
Altice France S.A., 5.13%, 1/15/29(b) | | | | $ | 490,000 | | | $ | 491,230 | |
| | | | |
Germany – 0.3% | | | | | | | | | | |
Cheplapharm Arzneimittel GmbH, 5.50%, 1/15/28(b) | | | | | 200,000 | | | | 208,000 | |
Deutsche Bank A.G., (5Y USD Swap Rate + 2.55%), 4.88%, 12/01/32(j) | | | | | 400,000 | | | | 432,320 | |
| | | |
| | | | | | | | | 640,320 | |
| | | | |
Ghana – 0.8% | | | | | | | | | | |
Ghana Government International Bond, | | | | | | | | | | |
7.63%, 5/16/29 | | | | | 600,000 | | | | 611,868 | |
8.13%, 3/26/32 | | | | | 600,000 | | | | 607,297 | |
7.88%, 2/11/35 | | | | | 400,000 | | | | 395,052 | |
Republic of Ghana Government Bonds, | | | | | | | | | | |
18.30%, 7/25/22 | | GHS | | | 1,530,000 | | | | 270,353 | |
19.50%, 7/08/24 | | GHS | | | 205,000 | | | | 37,094 | |
| | | |
| | | | | | | | | 1,921,664 | |
| | | | |
Guatemala – 0.3% | | | | | | | | | | |
Banco Industrial S.A., (5Y US Treasury CMT + 4.44%), 4.88%, 1/29/31(b)(j) | | | | | 150,000 | | | | 154,500 | |
Guatemala Government Bond, 5.38%, 4/24/32(b) | | | | | 200,000 | | | | 230,500 | |
Investment Energy Resources Ltd., 6.25%, 4/26/29(b) | | | | | 300,000 | | | | 319,800 | |
| | | |
| | | | | | | | | 704,800 | |
| | | | |
Hungary – 0.9% | | | | | | | | | | |
Hungary Government Bond, | | | | | | | | | | |
2.50%, 10/24/24 | | HUF | | | 173,100,000 | | | | 602,680 | |
2.75%, 12/22/26 | | HUF | | | 203,500,000 | | | | 715,941 | |
3.00%, 8/21/30 | | HUF | | | 107,770,000 | | | | 380,901 | |
3.25%, 10/22/31 | | HUF | | | 123,230,000 | | | | 440,999 | |
2.25%, 4/20/33 | | HUF | | | 31,090,000 | | | | 98,887 | |
| | | |
| | | | | | | | | 2,239,408 | |
| | | | |
India – 1.5% | | | | | | | | | | |
Adani Ports & Special Economic Zone Ltd., | | | | | | | | | | |
4.20%, 8/04/27(b) | | | | | 215,000 | | | | 225,748 | |
4.38%, 7/03/29(b) | | | | | 200,000 | | | | 206,103 | |
Clean Renewable Power Mauritius Pte. Ltd., 4.25%, 3/25/27(b) | | | | | 200,000 | | | | 201,100 | |
Greenko Dutch B.V., 3.85%, 3/29/26(b) | | | | | 200,000 | | | | 203,100 | |
| | | | | | | | | | |
| | | | | Par(a) | | | Value | |
| | | |
India (Continued) | | | | | | | | | | |
India Government Bond, | | | | | | | | | | |
8.15%, 6/11/22 | | INR | | $ | 107,500,000 | | | $ | 1,516,974 | |
8.20%, 9/24/25 | | INR | | | 4,800,000 | | | | 71,120 | |
5.15%, 11/09/25 | | INR | | | 9,400,000 | | | | 125,462 | |
7.59%, 1/11/26 | | INR | | | 35,000,000 | | | | 507,750 | |
Network i2i Ltd., | | | | | | | | | | |
(5Y US Treasury CMT + 4.27%), 5.65%, 1/15/25(i)(j) | | | | | 200,000 | | | | 212,500 | |
(5Y US Treasury CMT + 3.39%), 3.98%, 3/03/26(b)(i)(j) | | | | | 200,000 | | | | 200,660 | |
| | | |
| | | | | | | | | 3,470,517 | |
| | | | |
Indonesia – 5.1% | | | | | | | | | | |
Indonesia Asahan Aluminium Persero PT, | | | | | | | | | | |
4.75%, 5/15/25(b) | | | | | 200,000 | | | | 217,250 | |
6.53%, 11/15/28(b) | | | | | 400,000 | | | | 483,200 | |
5.45%, 5/15/30(b) | | | | | 750,000 | | | | 862,500 | |
Indonesia Government International Bond, 4.20%, 10/15/50 | | | | | 200,000 | | | | 220,525 | |
Indonesia Treasury Bond, | | | | | | | | | | |
7.00%, 5/15/22 | | IDR | | | 25,056,000,000 | | | | 1,791,977 | |
5.63%, 5/15/23 | | IDR | | | 11,619,000,000 | | | | 817,859 | |
8.38%, 3/15/24 | | IDR | | | 2,981,000,000 | | | | 223,931 | |
6.50%, 6/15/25 | | IDR | | | 14,912,000,000 | | | | 1,069,441 | |
5.50%, 4/15/26 | | IDR | | | 13,060,000,000 | | | | 899,009 | |
8.38%, 9/15/26 | | IDR | | | 10,148,000,000 | | | | 784,621 | |
7.00%, 5/15/27 | | IDR | | | 7,420,000,000 | | | | 540,989 | |
9.00%, 3/15/29 | | IDR | | | 12,844,000,000 | | | | 1,029,484 | |
7.00%, 9/15/30 | | IDR | | | 5,360,000,000 | | | | 383,797 | |
6.50%, 2/15/31 | | IDR | | | 6,870,000,000 | | | | 476,721 | |
7.50%, 8/15/32 | | IDR | | | 10,750,000,000 | | | | 780,303 | |
8.38%, 3/15/34 | | IDR | | | 6,653,000,000 | | | | 510,938 | |
7.50%, 6/15/35 | | IDR | | | 1,600,000,000 | | | | 114,577 | |
7.50%, 5/15/38 | | IDR | | | 600,000,000 | | | | 42,658 | |
8.38%, 4/15/39 | | IDR | | | 2,450,000,000 | | | | 188,351 | |
Minejesa Capital B.V., 5.63%, 8/10/37(b) | | | | | 200,000 | | | | 212,000 | |
Perusahaan Penerbit SBSN Indonesia III, | | | | | | | | | | |
4.15%, 3/29/27 | | | | | 330,000 | | | | 367,221 | |
3.80%, 6/23/50(b) | | | | | 200,000 | | | | 205,822 | |
| | | |
| | | | | | | | | 12,223,174 | |
| | | | |
Israel – 1.3% | | | | | | | | | | |
Energean Israel Finance Ltd., | | | | | | | | | | |
4.50%, 3/30/24(b) | | | | | 165,000 | | | | 169,548 | |
4.88%, 3/30/26(b) | | | | | 125,000 | | | | 129,336 | |
5.38%, 3/30/28(b) | | | | | 65,000 | | | | 67,374 | |
See accompanying Notes to Financial Statements
187
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | | | |
| | | | | Par(a) | | | Value | |
| | |
Israel (Continued) | | | | | |
Energean Israel Finance Ltd., 5.88%, 3/30/31(b) | | | | $ | 480,000 | | | $ | 496,608 | |
Leviathan Bond Ltd., | | | | | | | | | | |
6.50%, 6/30/27(b) | | | | | 197,000 | | | | 219,388 | |
6.75%, 6/30/30(b) | | | | | 340,000 | | | | 382,558 | |
Teva Pharmaceutical Finance Co. LLC, 6.15%, 2/01/36 | | | | | 50,000 | | | | 53,250 | |
Teva Pharmaceutical Finance Netherlands III B.V., | | | | | | | | | | |
3.15%, 10/01/26 | | | | | 225,000 | | | | 211,275 | |
4.10%, 10/01/46 | | | | | 1,512,000 | | | | 1,288,980 | |
| | | |
| | | | | | | | | 3,018,317 | |
| | |
Italy – 0.1% | | | | | |
Telecom Italia Capital S.A., | | | | | | | | | | |
6.38%, 11/15/33 | | | | | 60,000 | | | | 70,499 | |
6.00%, 9/30/34 | | | | | 10,000 | | | | 11,255 | |
7.20%, 7/18/36 | | | | | 39,000 | | | | 48,326 | |
UniCredit S.p.A., (5Y US Treasury CMT + 4.75%), 5.46%, 6/30/35(b)(j) | | | | | 200,000 | | | | 214,691 | |
| | | |
| | | | | | | | | 344,771 | |
| | | | |
Ivory Coast – 0.6% | | | | | | | | | | |
Ivory Coast Government International Bond, | | | | | | | | | | |
4.88%, 1/30/32(b) | | EUR | | | 525,000 | | | | 635,085 | |
6.88%, 10/17/40(b) | | EUR | | | 575,000 | | | | 750,586 | |
| | | |
| | | | | | | | | 1,385,671 | |
| | |
Kazakhstan – 0.6% | | | | | |
Development Bank of Kazakhstan JSC, 11.00%, 5/06/26(b) | | KZT | | | 110,000,000 | | | | 255,244 | |
KazMunayGas National Co. JSC, | | | | | | | | | | |
3.50%, 4/14/33(b) | | | | | 825,000 | | | | 854,023 | |
5.75%, 4/19/47 | | | | | 240,000 | | | | 289,006 | |
| | | |
| | | | | | | | | 1,398,273 | |
| | |
Kenya – 0.1% | | | | | |
Kenya Government International Bond, 8.00%, 5/22/32(b) | | | | | 325,000 | | | | 355,863 | |
| | |
Lebanon – 0.1% | | | | | |
Lebanon Government International Bond, 8.25%, 5/17/34(l) | | | | | 1,050,000 | | | | 133,424 | |
| | | | | | | | | | |
| | | | | Par(a) | | | Value | |
| | | | |
Luxembourg – 0.4% | | | | | | | | | | |
Altice Financing S.A., 5.00%, 1/15/28(b) | | | | $ | 240,000 | | | $ | 236,700 | |
ARD Finance S.A., (100% Cash), 6.50%, 6/30/27(b)(k) | | | | | 600,000 | | | | 627,750 | |
| | | |
| | | | | | | | | 864,450 | |
| | | | |
Macau – 0.3% | | | | | | | | | | |
MGM China Holdings Ltd., 4.75%, 2/01/27(b) | | | | | 200,000 | | | | 207,250 | |
Studio City Finance Ltd., | | | | | | | | | | |
6.00%, 7/15/25(b) | | | | | 215,000 | | | | 226,288 | |
5.00%, 1/15/29(b) | | | | | 200,000 | | | | 204,500 | |
Wynn Macau Ltd., | | | | | | | | | | |
5.13%, 12/15/29(b) | | | | | 200,000 | | | | 203,500 | |
| | | |
| | | | | | | | | 841,538 | |
| | | | |
Malaysia – 1.9% | | | | | | | | | | |
Malaysia Government Bond, | | | | | | | | | | |
3.48%, 3/15/23 | | MYR | | | 1,360,000 | | | | 340,353 | |
4.18%, 7/15/24 | | MYR | | | 2,050,000 | | | | 527,745 | |
3.96%, 9/15/25 | | MYR | | | 3,300,000 | | | | 850,249 | |
3.90%, 11/16/27 | | MYR | | | 3,217,000 | | | | 832,263 | |
3.89%, 8/15/29 | | MYR | | | 2,695,000 | | | | 690,163 | |
3.76%, 5/22/40 | | MYR | | | 2,760,000 | | | | 638,270 | |
Malaysia Government Investment Issue, 3.47%, 10/15/30 | | MYR | | | 1,720,000 | | | | 419,633 | |
Petronas Capital Ltd., 3.40%, 4/28/61(b) | | | | | 225,000 | | | | 218,905 | |
| | | |
| | | | | | | | | 4,517,581 | |
| | | | |
Mexico – 6.6% | | | | | | | | | | |
Banco Mercantil del Norte S.A., (10Y US Treasury CMT + 5.47%), 7.50%, 6/27/29(b)(i)(j) | | | | | 200,000 | | | | 221,500 | |
Cemex S.A.B. de C.V., | | | | | | | | | | |
5.20%, 9/17/30(b) | | | | | 200,000 | | | | 217,640 | |
3.88%, 7/11/31(b) | | | | | 950,000 | | | | 940,215 | |
Mexican Bonos, | | | | | | | | | | |
6.50%, 6/09/22 | | MXN | | | 47,577,000 | | | | 2,392,736 | |
8.00%, 12/07/23 | | MXN | | | 37,330,000 | | | | 1,968,518 | |
10.00%, 12/05/24 | | MXN | | | 41,630,000 | | | | 2,346,175 | |
5.75%, 3/05/26 | | MXN | | | 19,025,000 | | | | 931,621 | |
7.50%, 6/03/27 | | MXN | | | 8,850,000 | | | | 464,204 | |
8.50%, 5/31/29 | | MXN | | | 6,067,400 | | | | 334,049 | |
7.75%, 5/29/31 | | MXN | | | 22,496,500 | | | | 1,179,631 | |
8.50%, 11/18/38 | | MXN | | | 13,050,000 | | | | 699,806 | |
Mexico Government International Bond, | | | | | | | | | | |
2.66%, 5/24/31 | | | | | 400,000 | | | | 384,676 | |
4.75%, 4/27/32 | | | | | 200,000 | | | | 224,700 | |
See accompanying Notes to Financial Statements
188
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| | | |
Mexico (Continued) | | | | | | | | | | | | |
Mexico Government International Bond, 4.28%, 8/14/41 | | | | | | $ | 800,000 | | | $ | 816,000 | |
Petroleos Mexicanos, | | | | | | | | | | | | |
6.50%, 3/13/27 | | | | | | | 175,000 | | | | 185,062 | |
5.35%, 2/12/28 | | | | | | | 515,000 | | | | 505,936 | |
5.95%, 1/28/31 | | | | | | | 622,000 | | | | 600,479 | |
6.63%, 6/15/35 | | | | | | | 819,000 | | | | 791,482 | |
6.75%, 9/21/47 | | | | | | | 580,000 | | | | 512,720 | |
| | | |
| | | | | | | | | | | 15,717,150 | |
| | | | |
Morocco – 0.2% | | | | | | | | | | | | |
Morocco Government International Bond, 3.00%, 12/15/32(b) | | | | | | | 425,000 | | | | 403,572 | |
| | | | |
Netherlands – 0.2% | | | | | | | | | | | | |
UPC Broadband Finco B.V., 4.88%, 7/15/31(b) | | | | | | | 220,000 | | | | 219,248 | |
Ziggo B.V., 4.88%, 1/15/30(b) | | | | | | | 200,000 | | | | 205,544 | |
| | | |
| | | | | | | | | | | 424,792 | |
| | | | |
Nigeria – 0.8% | | | | | | | | | | | | |
IHS Netherlands Holdco B.V., 8.00%, 9/18/27 | | | | | | | 200,000 | | | | 218,500 | |
Nigeria Government International Bond, | | | | | | | | | | | | |
7.14%, 2/23/30(b) | | | | | | | 600,000 | | | | 635,400 | |
7.88%, 2/16/32 | | | | | | | 200,000 | | | | 216,224 | |
7.70%, 2/23/38(b) | | | | | | | 565,000 | | | | 579,746 | |
7.63%, 11/28/47 | | | | | | | 300,000 | | | | 302,636 | |
| | | |
| | | | | | | | | | | 1,952,506 | |
| | | | |
Norway – 0.6% | | | | | | | | | | | | |
Norway Government Bond, | | | | | | | | | | | | |
2.00%, 5/24/23(b) | | | NOK | | | | 7,871,000 | | | | 975,162 | |
3.00%, 3/14/24(b) | | | NOK | | | | 4,328,000 | | | | 554,283 | |
| | | |
| | | | | | | | | | | 1,529,445 | |
| | | | |
Oman – 1.0% | | | | | | | | | | | | |
Oman Government International Bond, | | | | | | | | | | | | |
6.00%, 8/01/29 | | | | | | | 400,000 | | | | 426,168 | |
6.25%, 1/25/31(b) | | | | | | | 540,000 | | | | 580,500 | |
6.50%, 3/08/47 | | | | | | | 650,000 | | | | 637,864 | |
OQ SAOC, 5/06/28(b)(e) | | | | | | | 200,000 | | | | 202,500 | |
Oryx Funding Ltd., 5.80%, 2/03/31(b) | | | | | | | 400,000 | | | | 423,348 | |
| | | |
| | | | | | | | | | | 2,270,380 | |
| | | | |
Pakistan – 0.5% | | | | | | | | | | | | |
Pakistan Government International Bond, 6.00%, 4/08/26(b) | | | | | | | 200,000 | | | | 205,472 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| | | |
Pakistan (Continued) | | | | | | | | | | | | |
Pakistan Government International Bond, | | | | | | | | | | | | |
6.88%, 12/05/27 | | | | | | $ | 335,000 | | | $ | 351,752 | |
7.38%, 4/08/31(b) | | | | | | | 225,000 | | | | 236,250 | |
8.88%, 4/08/51(b) | | | | | | | 400,000 | | | | 428,568 | |
| | | |
| | | | | | | | | | | 1,222,042 | |
| | | | |
Panama – 0.7% | | | | | | | | | | | | |
Panama Government International Bond, | | | | | | | | | | | | |
3.16%, 1/23/30 | | | | | | | 425,000 | | | | 444,125 | |
2.25%, 9/29/32 | | | | | | | 900,000 | | | | 859,284 | |
3.87%, 7/23/60 | | | | | | | 250,000 | | | | 250,045 | |
| | | |
| | | | | | | | | | | 1,553,454 | |
| | | | |
Paraguay – 0.2% | | | | | | | | | | | | |
Paraguay Government International Bond, | | | | | | | | | | | | |
2.74%, 1/29/33 | | | | | | | 200,000 | | | | 190,500 | |
5.60%, 3/13/48 | | | | | | | 300,000 | | | | 340,953 | |
| | | |
| | | | | | | | | | | 531,453 | |
| | | | |
Peru – 0.9% | | | | | | | | | | | | |
Peru Government Bond, | | | | | | | | | | | | |
5.94%, 2/12/29 | | | PEN | | | | 370,000 | | | | 106,453 | |
6.15%, 8/12/32 | | | PEN | | | | 1,450,000 | | | | 400,467 | |
Peruvian Government International Bond, | | | | | | | | | | | | |
6.35%, 8/12/28 | | | PEN | | | | 1,400,000 | | | | 412,840 | |
2.78%, 1/23/31 | | | | | | | 200,000 | | | | 200,000 | |
6.95%, 8/12/31 | | | PEN | | | | 890,000 | | | | 263,153 | |
1.86%, 12/01/32 | | | | | | | 485,000 | | | | 441,515 | |
Volcan Cia Minera S.A.A., 4.38%, 2/11/26(b) | | | | | | | 255,000 | | | | 251,540 | |
| | | |
| | | | | | | | | | | 2,075,968 | |
| | | | |
Poland – 1.9% | | | | | | | | | | | | |
Republic of Poland Government Bond, | | | | | | | | | | | | |
2.50%, 4/25/24 | | | PLN | | | | 3,430,000 | | | | 962,461 | |
3.25%, 7/25/25 | | | PLN | | | | 5,750,000 | | | | 1,676,610 | |
2.50%, 7/25/26 | | | PLN | | | | 4,270,000 | | | | 1,217,591 | |
1.25%, 10/25/30 | | | PLN | | | | 2,906,000 | | | | 736,154 | |
| | | |
| | | | | | | | | | | 4,592,816 | |
| | | | |
Qatar – 1.0% | | | | | | | | | | | | |
Ooredoo International Finance Ltd., 2.63%, 4/08/31(b) | | | | | | | 500,000 | | | | 504,540 | |
Qatar Government International Bond, | | | | | | | | | | | | |
3.75%, 4/16/30(b) | | | | | | | 1,195,000 | | | | 1,338,041 | |
4.40%, 4/16/50(b) | | | | | | | 430,000 | | | | 499,927 | |
| | | |
| | | | | | | | | | | | 2,342,508 | |
See accompanying Notes to Financial Statements
189
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| | | |
Romania – 1.2% | | | | | | | | | | | | |
Romania Government Bond, | | | | | | | | | | | | |
4.25%, 6/28/23 | | | RON | | | $ | 2,130,000 | | | $ | 541,979 | |
3.25%, 4/29/24 | | | RON | | | | 4,080,000 | | | | 1,023,858 | |
5.00%, 2/12/29 | | | RON | | | | 1,050,000 | | | | 293,688 | |
Romanian Government International Bond, | | | | | | | | | | | | |
3.00%, 2/14/31(b) | | | | | | | 470,000 | | | | 477,793 | |
2.63%, 12/02/40(b) | | | EUR | | | | 505,000 | | | | 596,962 | |
| | | |
| | | | | | | | | | | 2,934,280 | |
| | | | |
Russia – 1.3% | | | | | | | | | | | | |
Russian Federal Bond - OFZ, | | | | | | | | | | | | |
6.50%, 2/28/24 | | | RUB | | | | 43,924,000 | | | | 591,510 | |
7.10%, 10/16/24 | | | RUB | | | | 52,900,000 | | | | 723,313 | |
7.75%, 9/16/26 | | | RUB | | | | 37,417,000 | | | | 525,567 | |
7.05%, 1/19/28 | | | RUB | | | | 29,100,000 | | | | 394,273 | |
6.90%, 5/23/29 | | | RUB | | | | 45,121,000 | | | | 601,687 | |
8.50%, 9/17/31 | | | RUB | | | | 7,400,000 | | | | 109,380 | |
7.70%, 3/23/33 | | | RUB | | | | 11,250,000 | | | | 157,413 | |
| | | |
| | | | | | | | | | | 3,103,143 | |
| | | | |
Saudi Arabia – 1.2% | | | | | | | | | | | | |
Saudi Government International Bond, | | | | | | | | | | | | |
2.75%, 2/03/32(b) | | | | | | | 575,000 | | | | 575,742 | |
2.25%, 2/02/33(b) | | | | | | | 1,275,000 | | | | 1,201,942 | |
3.75%, 1/21/55 | | | | | | | 500,000 | | | | 497,002 | |
3.45%, 2/02/61(b) | | | | | | | 650,000 | | | | 608,816 | |
| | | |
| | | | | | | | | | | 2,883,502 | |
| | | | |
Senegal – 0.1% | | | | | | | | | | | | |
Senegal Government International Bond, 4.75%, 3/13/28 | | | EUR | | | | 200,000 | | | | 250,387 | |
| | | | |
South Africa – 3.6% | | | | | | | | | | | | |
Eskom Holdings SOC Ltd., | | | | | | | | | | | | |
7.13%, 2/11/25 | | | | | | | 400,000 | | | | 419,667 | |
6.35%, 8/10/28 | | | | | | | 875,000 | | | | 953,111 | |
Republic of South Africa Government Bond, | | | | | | | | | | | | |
10.50%, 12/21/26 | | | ZAR | | | | 2,885,907 | | | | 227,028 | |
8.00%, 1/31/30 | | | ZAR | | | | 29,900,000 | | | | 1,907,145 | |
7.00%, 2/28/31 | | | ZAR | | | | 17,600,000 | | | | 1,008,891 | |
8.25%, 3/31/32 | | | ZAR | | | | 19,100,000 | | | | 1,161,025 | |
8.88%, 2/28/35 | | | ZAR | | | | 5,800,000 | | | | 344,558 | |
8.50%, 1/31/37 | | | ZAR | | | | 23,889,788 | | | | 1,337,698 | |
Republic of South Africa Government International Bond, | | | | | | | | | | | | |
4.30%, 10/12/28 | | | | | | | 200,000 | | | | 200,825 | |
5.00%, 10/12/46 | | | | | | | 225,000 | | | | 201,987 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| | |
South Africa (Continued) | | | | | | | | | |
Republic of South Africa Government International Bond, 5.75%, 9/30/49 | | | | | | $ | 350,000 | | | $ | 337,313 | |
Sasol Financing USA LLC, 5.50%, 3/18/31 | | | | | | | 350,000 | | | | 355,617 | |
| | | |
| | | | | | | | | | | 8,454,865 | |
| | | | |
South Korea – 3.3% | | | | | | | | | | | | |
Korea Monetary Stabilization Bond, 0.91%, 4/02/23 | | | KRW | | | | 4,110,000,000 | | | | 3,693,810 | |
Korea Treasury Bond, | | | | | | | | | | | | |
1.25%, 12/10/22 | | | KRW | | | | 1,720,000,000 | | | | 1,555,927 | |
0.88%, 12/10/23 | | | KRW | | | | 2,778,000,000 | | | | 2,480,946 | |
| | | |
| | | | | | | | | | | 7,730,683 | |
| | | | |
Switzerland – 0.1% | | | | | | | | | | | | |
Consolidated Energy Finance S.A., 6.50%, 5/15/26(b) | | | | | | | 150,000 | | | | 148,875 | |
| | |
Tanzania, United Republic of – 0.1% | | | | | |
HTA Group Ltd., 7.00%, 12/18/25(b) | | | | | | | 255,000 | | | | 271,774 | |
| | | | |
Thailand – 1.0% | | | | | | | | | | | | |
Bangkok Bank PCL, (5Y US Treasury CMT + 4.73%), 5.00%,
9/23/25(b)(i)(j) | | | | | | | 300,000 | | | | 315,000 | |
Thailand Government Bond, | | | | | | | | | | | | |
2.88%, 12/17/28 | | | THB | | | | 44,200,000 | | | | 1,557,098 | |
3.40%, 6/17/36 | | | THB | | | | 13,400,000 | | | | 494,565 | |
| | | |
| | | | | | | | | | | 2,366,663 | |
| | | | |
Turkey – 0.9% | | | | | | | | | | | | |
Turkey Government Bond, | | | | | | | | | | | | |
12.60%, 10/01/25 | | | TRY | | | | 1,100,000 | | | | 112,209 | |
10.50%, 8/11/27 | | | TRY | | | | 1,250,000 | | | | 110,147 | |
11.70%, 11/13/30 | | | TRY | | | | 1,100,000 | | | | 96,580 | |
Turkey Government International Bond, | | | | | | | | | | | | |
4.75%, 1/26/26 | | | | | | | 200,000 | | | | 192,363 | |
4.88%, 10/09/26 | | | | | | | 505,000 | | | | 482,275 | |
6.13%, 10/24/28 | | | | | | | 200,000 | | | | 197,860 | |
5.25%, 3/13/30 | | | | | | | 618,000 | | | | 565,470 | |
5.88%, 6/26/31 | | | | | | | 370,000 | | | | 346,516 | |
| | | |
| | | | | | | | | | | 2,103,420 | |
| | | | |
Ukraine – 0.9% | | | | | | | | | | | | |
Metinvest B.V., 7.75%, 10/17/29 | | | | | | | 200,000 | | | | 214,366 | |
Ukraine Government International Bond, 7.75%, 9/01/26 | | | | | | | 915,000 | | | | 988,356 | |
See accompanying Notes to Financial Statements
190
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Ukraine (Continued) | | | | | | | | |
Ukraine Government International Bond, | | | | | | | | |
7.75%, 9/01/27 | | $ | 405,000 | | | $ | 435,376 | |
(0.06%), 5/31/40 | | | 391,000 | | | | 413,836 | |
| | |
| | | | | | | 2,051,934 | |
| | | |
United Arab Emirates – 0.7% | | | | | | | | |
Abu Dhabi Government International Bond, 1.70%, 3/02/31 | | | 425,000 | | | | 406,180 | |
DP World Salaam, (5Y US Treasury CMT + 5.75%), 6.00%, 10/01/25(i)(j) | | | 200,000 | | | | 219,700 | |
Galaxy Pipeline Assets Bidco Ltd., | | | | | | | | |
2.16%, 3/31/34(b) | | | 200,000 | | | | 196,135 | |
2.63%, 3/31/36(b) | | | 600,000 | | | | 581,277 | |
2.94%, 9/30/40(b) | | | 225,000 | | | | 219,969 | |
Shelf Drilling Holdings Ltd., 8.25%, 2/15/25(b) | | | 184,000 | | | | 139,840 | |
| | |
| | | | | | | 1,763,101 | |
| | | |
United Kingdom – 0.4% | | | | | | | | |
Ardonagh Midco 2 PLC, 11.50%, 1/15/27(b)(k) | | | 212,820 | | | | 223,743 | |
Connect Finco S.a.r.l./Connect U.S. Finco LLC, 6.75%, 10/01/26(b) | | | 200,000 | | | | 208,850 | |
Virgin Media Finance PLC, 5.00%, 7/15/30(b) | | | 235,000 | | | | 234,314 | |
Virgin Media Secured Finance PLC, 5.50%, 5/15/29(b) | | | 230,000 | | | | 245,927 | |
| | |
| | | | | | | 912,834 | |
| | | |
Uruguay – 0.2% | | | | | | | | |
Uruguay Government International Bond, | | | | | | | | |
4.38%, 1/23/31 | | | 168,136 | | | | 195,483 | |
4.98%, 4/20/55 | | | 249,844 | | | | 309,992 | |
| | |
| | | | | | | 505,475 | |
| | | |
Vietnam – 0.1% | | | | | | | | |
Mong Duong Finance Holdings B.V., 5.13%, 5/07/29(b) | | | 250,000 | | | | 251,875 | |
| | | |
Zambia – 0.5% | | | | | | | | |
First Quantum Minerals Ltd., | | | | | | | | |
7.25%, 4/01/23(b) | | | 430,000 | | | | 438,062 | |
6.88%, 3/01/26(b) | | | 800,000 | | | | 840,000 | |
| | |
| | | | | | | 1,278,062 | |
| | | |
Total Foreign Issuer Bonds (Cost $143,283,373) | | | | | | | 144,406,640 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| | |
Term Loans – 0.1% | | | | | | | | | |
| | | |
Airlines – 0.0%(f) | | | | | | | | | | | | |
United AirLines, Inc., Class B Term Loan, 4/21/28(m) | | | | | | $ | 96,247 | | | $ | 97,312 | |
| | |
Healthcare - Services – 0.1% | | | | | |
Lonza Group AG, Term Loan B, 4/28/28(m) | | | | | | | 98,000 | | | | 97,510 | |
| | | |
Pharmaceuticals – 0.0%(f) | | | | | | | | | |
Jazz Pharmaceuticals, Inc., Term Loan, 4/21/28(m) | | | | 74,000 | | | | 74,154 | |
Total Term Loans (Cost $266,416) | | | | | | | | | | | 268,976 | |
| |
U.S. Government Obligations – 0.3% | | | | | |
| | |
U.S. Treasury Notes – 0.3% | | | | | | | | | |
0.13%, 3/31/23 | | | | | | | 785,000 | | | | 784,571 | |
| | | |
Total U.S. Government Obligations (Cost $784,329) | | | | | | | | 784,571 | |
| | | |
| | | | | | Number of Shares | | | | |
| | |
Warrants – 0.0%(f) | | | | | | | | | |
| |
Engineering & Construction – 0.0%(f) | | | | | |
Mcdermott International Ltd., Class A (n)* | | | | | | | 3,868 | | | | 271 | |
Mcdermott International Ltd., Class B (o)* | | | | | | | 4,298 | | | | 129 | |
| | | |
| | | | | | | | | | | 400 | |
Total Warrants (Cost $6,000) | | | | | | | | | | | 400 | |
| | |
| | | Par(a)/Number of Shares | | | | |
| |
Short-Term Investments – 11.5% | | | | | |
|
Foreign Government Inflation-Linked Bonds – 0.4% | |
Argentina Treasury Bond, | | | | | | | | | |
1.00%, 8/05/21 | | | ARS | | | | 1,785,100 | | | | 29,606 | |
Argentina Treasury Bond, | | | | | | | | | |
1.20%, 3/18/22 | | | | | | | 44,170,525 | | | | 689,709 | |
Letras de la Nacion Argentina con Ajuste por CER, 0.00%, 5/21/21(h) | | | | 8,312,094 | | | | 108,882 | |
Letras de la Nacion Argentina con Ajuste por CER, 0.00%, 9/13/21(h) | | | | 4,617,607 | | | | 60,615 | |
See accompanying Notes to Financial Statements
191
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | | | | | | | | | |
| | | | | | Par(a)/Number of Shares | | | Value | |
| |
Foreign Government Inflation-Linked Bonds (Continued) | | | | | |
Letras de la Nacion Argentina con Ajuste por CER, 0.00%, 2/28/22(h) | | | ARS | | | | 185,530 | | | $ | 2,087 | |
Letras de la Nacion Argentina con Ajuste por CER, 0.00%, 4/18/22(h) | | | | | | | 2,971,400 | | | | 32,022 | |
| | | |
| | | | | | | | | | | 922,921 | |
| | |
Foreign Issuer Bonds – 3.2% | | | | | |
China Evergrande Group, 8.25%, 3/23/22 | | | | | | | 600,000 | | | | 589,488 | |
CSN Islands XII Corp., 7.00%, 6/23/21(i) | | | | | | | 300,000 | | | | 303,375 | |
Egypt Treasury Bill, 11.81%, 5/11/21(p) | | | EGP | | | | 5,000,000 | | | | 318,924 | |
Egypt Treasury Bill, 12.17%, 7/20/21(p) | | | | | | | 4,300,000 | | | | 267,811 | |
Egypt Treasury Bill, 11.99%, 7/27/21(p) | | | | | | | 21,000,000 | | | | 1,304,639 | |
Japan Treasury Discount Bill, (0.12%), 11/22/21(p) | | | JPY | | | | 111,100,000 | | | | 1,017,212 | |
Japan Treasury Discount Bill, (0.12%), 12/20/21(p) | | | | | | | 89,850,000 | | | | 822,734 | |
Korea Monetary Stabilization Bond, 1.29%, 2/02/22 | | | KRW | | | | 620,000,000 | | | | 560,172 | |
Monetary Authority of Singapore Bill, 0.21%, 5/14/21(p) | | | SGD | | | | 130,000 | | | | 97,681 | |
Monetary Authority of Singapore Bill, 0.29%, 5/21/21(p) | | | | | | | 850,000 | | | | 638,652 | |
Monetary Authority of Singapore Bill, 0.34%, 7/16/21(p) | | | | | | | 900,000 | | | | 675,912 | |
Norway Government Bond, 3.75%, 5/25/21(b) | | | NOK | | | | 1,858,000 | | | | 223,738 | |
| | | | | | | | | | | | |
| | | Par(a)/Number of Shares | | | Value | |
| |
Foreign Issuer Bonds (Continued) | | | | | |
Republic of Ghana Government Bonds, 24.50%, 6/21/21 | | | GHS | | | | 580,000 | | | $ | 101,858 | |
Republic of Ghana Government Bonds, 24.80%, 7/19/21 | | | | | | | 678,000 | | | | 119,831 | |
Singapore Treasury Bill, 0.30%, 8/24/21(p) | | | SGD | | | | 810,000 | | | | 608,116 | |
| | | |
| | | | | | | | | | | 7,650,143 | |
| | | |
Money Market Fund – 5.4% | | | | | | | | | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(q) | | | | | | | 12,815,118 | | | | 12,815,118 | |
| | |
U.S. Government Agencies – 0.4% | | | | | |
Federal Home Loan Bank Discount Notes, 0.00%, 5/03/21(h) | | | | | | | 940,000 | | | | 940,000 | |
| | | |
U.S. Treasury Bills – 2.1% | | | | | | | | | |
U.S. Treasury Bills, 0.03%,
6/03/21(p) | | | | | | | 2,460,000 | | | | 2,459,990 | |
United States Cash Management Bill, 0.01%, 8/03/21(p) | | | | | | | 2,530,000 | | | | 2,529,948 | |
| | | |
| | | | | | | | | | | 4,989,938 | |
| | | |
Total Short-Term Investments (Cost $27,530,344) | | | | | | | | 27,318,120 | |
| | | |
Total Investments – 99.3% (Cost $230,592,924) | | | | | | | | | | | 235,570,510 | |
| | | |
Other Assets less Liabilities – 0.7%(r) | | | | | | | | 1,571,775 | |
| | | | |
NET ASSETS – 100.0% | | | | | | | | | | $ | 237,142,285 | |
Percentages shown are based on Net Assets.
| (a) | Par value is in USD unless otherwise indicated. |
| (b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
| (c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of April 30, 2021 is disclosed. |
| (d) | Variable rate security. Rate as of April 30, 2021 is disclosed. |
| (e) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2021. |
| (f) | Amount rounds to less than 0.05%. |
| (g) | Step coupon bond. Rate as of April 30, 2021 is disclosed. |
| (i) | Perpetual bond. Maturity date represents next call date. |
| (j) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of April 30, 2021 is disclosed. |
| (k) | Security is a payment in-kind bond (PIK), distributions received in-kind unless otherwise noted in the description. |
See accompanying Notes to Financial Statements
192
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| (l) | Issuer has defaulted on terms of debt obligation. |
| (m) | Position is unsettled. Contract rate was not determined at April 30, 2021 and does not take effect until settlement date. |
| (n) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statements). The fair value price of $0.07 is based on a pricing model which utilizes projected earnings along with discounted multiples. During the fiscal period, the Fund acquired $271 of this security. |
| (o) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statements). The fair value price of $0.03 is based on a pricing model which utilizes projected earnings along with discounted multiples. During the fiscal period, the Fund acquired $129 of this security. |
| (p) | Discount rate at the time of purchase. |
| (q) | 7-day current yield as of April 30, 2021 is disclosed. |
| (r) | Includes appreciation/ (depreciation) on forward foreign currency exchange contracts and swap contracts. |
| * | Non-Income Producing Security |
| | |
| Abbreviations: |
3M | | 3 Month |
5Y | | 5 Year |
10Y | | 10 Year |
ARS | | Argentine Peso |
BRL | | Brazilian Real |
CLO | | Collateralized Loan Obligation |
CLP | | Chilean Peso |
CMT | | Constant Maturity |
CNY | | Chinese Offshore Yuan |
COP | | Colombian Peso |
CP | | Commercial Paper |
CVR | | Contingent Value Rights |
CZK | | Czech Republic Koruna |
EGP | | Egyptian Pound |
EUR | | Euro |
GHS | | Ghanaian Cedi |
HUF | | Hungarian Forint |
IDR | | Indonesian Rupiah |
INR | | Indian Rupee |
JPY | | Japanese Yen |
KRW | | South Korean Won |
KZT | | Kazakhstan Tenge |
LIBOR | | London Interbank Offered Rate |
LLC | | Limited Liability Company |
MXN | | Mexican Peso |
MYR | | Malaysian Ringgit |
NOK | | Norwegian Kroner |
PCL | | Public Company Limited |
PEN | | Peruvian Nuevo Sole |
PLC | | Public Limited Company |
PLN | | Polish Zloty |
REIT | | Real Estate Investment Trust |
RON | | Romania New Leu |
RUB | | Russian Ruble |
SGD | | Singapore Dollar |
THB | | Thai Baht |
TRY | | Turkish Lira |
USD | | United States Dollar |
ZAR | | South African Rand |
See accompanying Notes to Financial Statements
193
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
| | | | |
| | |
Concentration by Currency (%)(a) | | | | |
U.S. Dollar | | | 54.1 | |
All other currencies less than 5% | | | 45.9 | |
| | |
Total | | | 100.0 | |
(a) Percentages shown are based on Net Assets.
| | | | |
| | |
Composition by Type (%)(a) | | | | |
Sovereign | | | 51.0 | |
Non-Government | | | 48.3 | |
Others | | | 0.7 | |
| | |
Total | | | 100.0 | |
(a) Percentages shown are based on Net Assets.
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
Settlement Date | | Currency Purchased | | | Amount of Currency Purchased | | | Currency Sold | | | Amount of Currency Sold | | | Counterparty | | | Unrealized Appreciation (Depreciation) | |
| | | | | | |
08/03/21 | | | Canadian Dollars | | | | 2,147,000 | | | | Euro | | | | 1,381,685 | | | | Deutsche Bank | | | | $ 82,561 | |
05/05/21 | | | Norwegian Kroner | | | | 8,350,000 | | | | Euro | | | | 805,148 | | | | JPMorgan Chase | | | | 35,043 | |
07/27/21 | | | Norwegian Kroner | | | | 4,350,000 | | | | Euro | | | | 418,527 | | | | Deutsche Bank | | | | 18,539 | |
06/16/21 | | | Norwegian Kroner | | | | 2,104,600 | | | | Euro | | | | 197,853 | | | | Deutsche Bank | | | | 14,746 | |
07/30/21 | | | U.S. Dollars | | | | 1,169,866 | | | | Japanese Yen | | | | 126,226,200 | | | | Morgan Stanley | | | | 13,950 | |
07/12/21 | | | Norwegian Kroner | | | | 9,512,600 | | | | Euro | | | | 938,075 | | | | JPMorgan Chase | | | | 13,348 | |
05/25/21 | | | South African Rand | | | | 4,721,000 | | | | U.S. Dollars | | | | 311,186 | | | | Bank of America | | | | 13,185 | |
06/18/21 | | | Norwegian Kroner | | | | 1,743,000 | | | | Euro | | | | 164,130 | | | | Deutsche Bank | | �� | | 11,878 | |
03/29/22 | | | Turkish Lira | | | | 7,358,400 | | | | U.S. Dollars | | | | 730,000 | | | | Barclays | | | | 11,768 | |
09/15/21 | | | Norwegian Kroner | | | | 1,379,700 | | | | Euro | | | | 128,151 | | | | Deutsche Bank | | | | 11,246 | |
06/15/21 | | | Norwegian Kroner | | | | 1,376,700 | | | | Euro | | | | 128,155 | | | | Deutsche Bank | | | | 11,176 | |
06/15/21 | | | U.S. Dollars | | | | 438,464 | | | | Japanese Yen | | | | 46,691,564 | | | | HSBC | | | | 11,073 | |
06/15/21 | | | U.S. Dollars | | | | 1,010,329 | | | | Japanese Yen | | | | 109,276,141 | | | | Citibank | | | | 10,070 | |
11/02/21 | | | Canadian Dollars | | | | 243,000 | | | | Euro | | | | 155,588 | | | | Bank of America | | | | 9,934 | |
07/06/21 | | | Thai Baht | | | | 63,869,900 | | | | U.S. Dollars | | | | 2,040,735 | | | | Barclays | | | | 9,708 | |
05/03/21 | | | Australian Dollars | | | | 483,000 | | | | U.S. Dollars | | | | 362,603 | | | | Morgan Stanley | | | | 9,482 | |
06/18/21 | | | U.S. Dollars | | | | 580,000 | | | | Russian Rubles | | | | 43,261,214 | | | | Citibank | | | | 8,518 | |
05/10/21 | | | Brazilian Reals | | | | 1,090,176 | | | | U.S. Dollars | | | | 192,000 | | | | Bank of America | | | | 8,500 | |
05/05/21 | | | Canadian Dollars | | | | 250,000 | | | | Euro | | | | 162,454 | | | | Citibank | | | | 8,064 | |
06/15/21 | | | U.S. Dollars | | | | 337,390 | | | | Japanese Yen | | | | 36,000,000 | | | | JPMorgan Chase | | | | 7,864 | |
05/25/21 | | | South African Rand | | | | 4,302,317 | | | | U.S. Dollars | | | | 288,000 | | | | Citibank | | | | 7,604 | |
06/11/21 | | | Swedish Kronor | | | | 6,148,000 | | | | Euro | | | | 597,602 | | | | Deutsche Bank | | | | 7,427 | |
06/15/21 | | | U.S. Dollars | | | | 1,108,126 | | | | Japanese Yen | | | | 120,320,810 | | | | JPMorgan Chase | | | | 6,770 | |
07/06/21 | | | Euro | | | | 560,000 | | | | Japanese Yen | | | | 72,917,516 | | | | JPMorgan Chase | | | | 6,640 | |
07/30/21 | | | U.S. Dollars | | | | 1,191,518 | | | | Japanese Yen | | | | 129,400,000 | | | | Morgan Stanley | | | | 6,538 | |
05/10/21 | | | Euro | | | | 560,000 | | | | Japanese Yen | | | | 72,889,600 | | | | Deutsche Bank | | | | 6,408 | |
06/29/21 | | | Mexican Pesos | | | | 10,674,069 | | | | U.S. Dollars | | | | 516,972 | | | | HSBC | | | | 6,300 | |
06/15/21 | |
| Chinese Offshore
Yuan |
| | | 3,750,760 | | | | U.S. Dollars | | | | 571,208 | | | | Bank of America | | | | 6,298 | |
05/05/21 | | | Euro | | | | 839,257 | | | | Norwegian Kroner | | | | 8,350,000 | | | | JPMorgan Chase | | | | 5,968 | |
05/11/21 | | | Norwegian Kroner | | | | 1,890,000 | | | | Euro | | | | 183,919 | | | | Deutsche Bank | | | | 5,893 | |
06/11/21 | |
| Chinese Offshore
Yuan |
| | | 3,128,380 | | | | U.S. Dollars | | | | 476,006 | | | | Bank of America | | | | 5,809 | |
See accompanying Notes to Financial Statements
194
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2021: (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
Settlement Date | | Currency Purchased | | | Amount of Currency Purchased | | | Currency Sold | | | Amount of Currency Sold | | | Counterparty | | | Unrealized Appreciation (Depreciation) | |
06/18/21 | | | Russian Rubles | | | | 22,447,738 | | | | U.S. Dollars | | | | 290,755 | | | | Bank of America | | | | $ 5,781 | |
10/15/21 | | | Chinese Offshore Yuan | | | | 2,346,260 | | | | U.S. Dollars | | | | 352,988 | | | | HSBC | | | | 5,035 | |
06/15/21 | | | Chinese Offshore Yuan | | | | 3,265,040 | | | | U.S. Dollars | | | | 497,751 | | | | JPMorgan Chase | | | | 4,969 | |
06/15/21 | | | Chinese Offshore Yuan | | | | 2,960,760 | | | | U.S. Dollars | | | | 451,040 | | | | Citibank | | | | 4,830 | |
05/25/21 | | | South African Rand | | | | 1,789,890 | | | | U.S. Dollars | | | | 118,301 | | | | Bank of America | | | | 4,679 | |
07/06/21 | | | Thai Baht | | | | 14,446,300 | | | | U.S. Dollars | | | | 460,000 | | | | Barclays | | | | 3,776 | |
06/11/21 | | | Chinese Offshore Yuan | | | | 1,875,080 | | | | U.S. Dollars | | | | 285,605 | | | | Citibank | | | | 3,184 | |
06/11/21 | | | Chinese Offshore Yuan | | | | 1,855,840 | | | | U.S. Dollars | | | | 282,748 | | | | JPMorgan Chase | | | | 3,078 | |
06/16/21 | | | Chinese Offshore Yuan | | | | 1,184,240 | | | | U.S. Dollars | | | | 179,441 | | | | HSBC | | | | 2,884 | |
07/06/21 | | | Polish Zloty | | | | 1,117,776 | | | | U.S. Dollars | | | | 292,000 | | | | Goldman Sachs | | | | 2,867 | |
05/03/21 | | | U.S. Dollars | | | | 650,836 | | | | Indian Rupees | | | | 48,054,500 | | | | Standard Chartered Bank | | | | 2,477 | |
06/30/21 | | | Euro | | | | 217,500 | | | | Japanese Yen | | | | 28,340,250 | | | | Citibank | | | | 2,383 | |
07/30/21 | | | U.S. Dollars | | | | 186,032 | | | | Japanese Yen | | | | 20,123,800 | | | | Morgan Stanley | | | | 1,748 | |
06/18/21 | | | Russian Rubles | | | | 8,360,476 | | | | U.S. Dollars | | | | 108,730 | | | | Bank of America | | | | 1,712 | |
09/15/21 | | | Swedish Kronor | | | | 1,149,700 | | | | Euro | | | | 111,719 | | | | Deutsche Bank | | | | 1,280 | |
06/15/21 | | | Swedish Kronor | | | | 1,148,300 | | | | Euro | | | | 111,713 | | | | Deutsche Bank | | | | 1,266 | |
07/14/21 | | | Chinese Offshore Yuan | | | | 2,500,000 | | | | U.S. Dollars | | | | 382,837 | | | | Citibank | | | | 1,259 | |
06/17/21 | | | Chilean Pesos | | | | 62,744,400 | | | | U.S. Dollars | | | | 87,000 | | | | JPMorgan Chase | | | | 1,256 | |
06/15/21 | | | U.S. Dollars | | | | 321,591 | | | | Japanese Yen | | | | 35,000,000 | | | | Citibank | | | | 1,218 | |
06/16/21 | | | Swedish Kronor | | | | 2,925,100 | | | | Euro | | | | 286,292 | | | | Deutsche Bank | | | | 1,150 | |
10/22/21 | | | U.S. Dollars | | | | 676,838 | | | | Euro | | | | 560,000 | | | | Citibank | | | | 1,064 | |
07/15/21 | | | Indian Rupees | | | | 7,273,995 | | | | U.S. Dollars | | | | 95,938 | | | | HSBC | | | | 987 | |
10/26/21 | | | U.S. Dollars | | | | 676,726 | | | | Euro | | | | 560,000 | | | | Citibank | | | | 894 | |
07/14/21 | | | Chinese Offshore Yuan | | | | 2,166,920 | | | | U.S. Dollars | | | | 332,054 | | | | Citibank | | | | 868 | |
08/04/21 | | | Canadian Dollars | | | | 250,000 | | | | Euro | | | | 168,169 | | | | Citibank | | | | 835 | |
06/16/21 | | | Chinese Offshore Yuan | | | | 1,177,380 | | | | U.S. Dollars | | | | 180,544 | | | | HSBC | | | | 725 | |
05/05/21 | | | Euro | | | | 422,982 | | | | Swedish Kronor | | | | 4,300,000 | | | | JPMorgan Chase | | | | 618 | |
05/03/21 | | | U.S. Dollars | | | | 648,883 | | | | Indian Rupees | | | | 48,054,500 | | | | Bank of America | | | | 523 | |
07/15/21 | | | Swedish Kronor | | | | 757,000 | | | | Euro | | | | 74,060 | | | | Deutsche Bank | | | | 305 | |
06/16/21 | | | Indian Rupees | | | | 5,126,142 | | | | U.S. Dollars | | | | 68,339 | | | | HSBC | | | | 261 | |
06/16/21 | | | Indian Rupees | | | | 3,943,186 | | | | U.S. Dollars | | | | 52,557 | | | | Citibank | | | | 212 | |
10/21/21 | | | Singapore Dollars | | | | 100,000 | | | | U.S. Dollars | | | | 74,915 | | | | Morgan Stanley | | | | 186 | |
06/08/21 | | | Indian Rupees | | | | 384,100 | | | | U.S. Dollars | | | | 5,108 | | | | Citibank | | | | 39 | |
See accompanying Notes to Financial Statements
195
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2021: (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
Settlement Date | | Currency Purchased | | | Amount of Currency Purchased | | | Currency Sold | | | Amount of Currency Sold | | | Counterparty | | | Unrealized Appreciation (Depreciation) | |
| |
06/09/21 | | | Indian Rupees | | | | 226,200 | | | | U.S. Dollars | | | | 3,006 | | | | Citibank | | | | $ 24 | |
01/27/22 | | | Indian Rupees | | | | 519,600 | | | | U.S. Dollars | | | | 6,731 | | | | JPMorgan Chase | | | | 17 | |
| |
| |
Total Unrealized Appreciation | | | | $ 456,698 | |
| |
| | | | | | |
05/10/21 | | | Indian Rupees | | | | 378,700 | | | | U.S. Dollars | | | | 5,114 | | | | Citibank | | | | $ (12 | ) |
07/21/21 | | | South Korean Won | | | | 149,300,000 | | | | U.S. Dollars | | | | 133,578 | | | | Citibank | | | | (17 | ) |
05/04/21 | | | Indian Rupees | | | | 519,600 | | | | U.S. Dollars | | | | 7,030 | | | | JPMorgan Chase | | | | (21 | ) |
09/16/21 | | | Swedish Kronor | | | | 75,700 | | | | Euro | | | | 7,448 | | | | Deutsche Bank | | | | (27 | ) |
06/16/21 | | | Swedish Kronor | | | | 75,700 | | | | Euro | | | | 7,457 | | | | Deutsche Bank | | | | (27 | ) |
05/10/21 | | | Indian Rupees | | | | 610,800 | | | | U.S. Dollars | | | | 8,264 | | | | HSBC | | | | (34 | ) |
05/04/21 | | | U.S. Dollars | | | | 6,975 | | | | Indian Rupees | | | | 519,600 | | | | JPMorgan Chase | | | | (35 | ) |
09/07/21 | | | Indian Rupees | | | | 521,000 | | | | U.S. Dollars | | | | 6,926 | | | | JPMorgan Chase | | | | (36 | ) |
09/08/21 | | | Indian Rupees | | | | 506,200 | | | | U.S. Dollars | | | | 6,732 | | | | Citibank | | | | (38 | ) |
06/11/21 | | | Indian Rupees | | | | 612,480 | | | | U.S. Dollars | | | | 8,270 | | | | HSBC | | | | (67 | ) |
09/08/21 | | | Indian Rupees | | | | 674,000 | | | | U.S. Dollars | | | | 9,019 | | | | JPMorgan Chase | | | | (107 | ) |
07/22/21 | | | Singapore Dollars | | | | 80,000 | | | | U.S. Dollars | | | | 60,240 | | | | Morgan Stanley | | | | (140 | ) |
10/26/21 | | | Singapore Dollars | | | | 90,000 | | | | U.S. Dollars | | | | 67,746 | | | | Citibank | | | | (155 | ) |
08/03/21 | | | Indonesian Rupiahs | | | | 4,244,150,000 | | | | U.S. Dollars | | | | 290,000 | | | | Barclays | | | | (226 | ) |
07/26/21 | | | South Korean Won | | | | 147,400,000 | | | | U.S. Dollars | | | | 132,139 | | | | JPMorgan Chase | | | | (277 | ) |
07/22/21 | | | South Korean Won | | | | 150,400,000 | | | | U.S. Dollars | | | | 134,870 | | | | JPMorgan Chase | | | | (326 | ) |
05/24/21 | | | U.S. Dollars | | | | 157,000 | | | | Romanian Leu | | | | 645,788 | | | | BNP | | | | (489 | ) |
06/15/21 | | | Indian Rupees | | | | 5,852,477 | | | | U.S. Dollars | | | | 78,842 | | | | Citibank | | | | (510 | ) |
09/16/21 | | | Swedish Kronor | | | | 1,438,300 | | | | Euro | | | | 141,520 | | | | Deutsche Bank | | | | (520 | ) |
06/16/21 | | | Swedish Kronor | | | | 1,438,300 | | | | Euro | | | | 141,675 | | | | Deutsche Bank | | | | (521 | ) |
05/03/21 | | | Indian Rupees | | | | 48,054,500 | | | | U.S. Dollars | | | | 648,883 | | | | Standard Chartered Bank | | | | (523 | ) |
05/24/21 | | | Romanian Leu | | | | 198,362 | | | | U.S. Dollars | | | | 48,922 | | | | Bank of America | | | | (547 | ) |
05/17/21 | | | Indian Rupees | | | | 7,273,995 | | | | U.S. Dollars | | | | 98,464 | | | | HSBC | | | | (597 | ) |
05/24/21 | | | Romanian Leu | | | | 149,717 | | | | U.S. Dollars | | | | 37,153 | | | | Barclays | | | | (642 | ) |
05/20/21 | | | Chinese Offshore Yuan | | | | 1,630,160 | | | | U.S. Dollars | | | | 252,119 | | | | JPMorgan Chase | | | | (659 | ) |
05/25/21 | | | U.S. Dollars | | | | 152,648 | | | | South African Rand | | | | 2,231,331 | | | | Bank of America | | | | (663 | ) |
08/04/21 | | | Swedish Kronor | | | | 4,300,000 | | | | Euro | | | | 422,690 | | | | JPMorgan Chase | | | | (802 | ) |
05/05/21 | | | Euro | | | | 168,450 | | | | Canadian Dollars | | | | 250,000 | | | | Citibank | | | | (855 | ) |
05/24/21 | | | Romanian Leu | | | | 247,385 | | | | U.S. Dollars | | | | 61,264 | | | | Barclays | | | | (934 | ) |
05/24/21 | | | Romanian Leu | | | | 247,596 | | | | U.S. Dollars | | | | 61,351 | | | | Barclays | | | | (970 | ) |
10/19/21 | | | Swedish Kronor | | | | 2,395,500 | | | | Euro | | | | 236,008 | | | | Deutsche Bank | | | | (1,346 | ) |
05/11/21 | | | Swedish Kronor | | | | 2,000,000 | | | | Euro | | | | 197,652 | | | | Deutsche Bank | | | | (1,406 | ) |
06/18/21 | | | Russian Rubles | | | | 12,453,000 | | | | U.S. Dollars | | | | 165,929 | | | | Citibank | | | | (1,425 | ) |
10/18/21 | | | Swedish Kronor | | | | 2,395,500 | | | | Euro | | | | 236,080 | | | | Deutsche Bank | | | | (1,430 | ) |
05/05/21 | | | Swedish Kronor | | | | 4,300,000 | | | | Euro | | | | 423,675 | | | | JPMorgan Chase | | | | (1,451 | ) |
07/15/21 | | | U.S. Dollars | | | | 329,363 | | | | Euro | | | | 274,783 | | | | Deutsche Bank | | | | (1,529 | ) |
See accompanying Notes to Financial Statements
196
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2021: (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
Settlement Date | | Currency Purchased | | | Amount of Currency Purchased | | | Currency Sold | | | Amount of Currency Sold | | | Counterparty | | | Unrealized Appreciation (Depreciation) | |
| |
05/03/21 | | | Indian Rupees | | | | 48,054,500 | | | | U.S. Dollars | | | | 650,000 | | | | Bank of America | | | | $ (1,640 | ) |
06/30/21 | | | Japanese Yen | | | | 12,574,019 | | | | Euro | | | | 97,167 | | | | Citibank | | | | (1,859 | ) |
06/30/21 | | | Japanese Yen | | | | 12,573,386 | | | | Euro | | | | 97,167 | | | | Citibank | | | | (1,865 | ) |
05/24/21 | | | Romanian Leu | | | | 459,127 | | | | U.S. Dollars | | | | 113,913 | | | | JPMorgan Chase | | | | (1,945 | ) |
05/24/21 | | | U.S. Dollars | | | | 241,721 | | | | Malaysian Ringgit | | | | 1,000,000 | | | | Barclays | | | | (1,963 | ) |
05/24/21 | | | U.S. Dollars | | | | 157,712 | | | | Romanian Leu | | | | 656,399 | | | | Barclays | | | | (2,365 | ) |
05/25/21 | | | U.S. Dollars | | | | 578,681 | | | | South African Rand | | | | 8,462,921 | | | | Citibank | | | | (2,791 | ) |
05/25/21 | | | U.S. Dollars | | | | 411,117 | | | | South African Rand | | | | 6,025,571 | | | | Bank of America | | | | (2,890 | ) |
07/13/21 | | | Japanese Yen | | | | 59,852,747 | | | | Australian Dollars | | | | 715,008 | | | | JPMorgan Chase | | | | (2,979 | ) |
06/22/21 | | | Peruvian Nuevo Soles | | | | 536,935 | | | | U.S. Dollars | | | | 145,000 | | | | Bank of America | | | | (3,054 | ) |
05/24/21 | | | Malaysian Ringgit | | | | 1,000,000 | | | | U.S. Dollars | | | | 246,883 | | | | Barclays | | | | (3,199 | ) |
10/21/21 | | | U.S. Dollars | | | | 672,074 | | | | Euro | | | | 559,950 | | | | Citibank | | | | (3,625 | ) |
05/17/21 | | | Swedish Kronor | | | | 3,831,000 | | | | Euro | | | | 379,736 | | | | Deutsche Bank | | | | (4,086 | ) |
05/25/21 | | | South African Rand | | | | 4,214,490 | | | | U.S. Dollars | | | | 294,000 | | | | Goldman Sachs | | | | (4,430 | ) |
08/04/21 | | | Norwegian Kroner | | | | 8,350,000 | | | | Euro | | | | 837,894 | | | | JPMorgan Chase | | | | (6,157 | ) |
06/30/21 | | | Japanese Yen | | | | 11,980,673 | | | | Euro | | | | 97,167 | | | | Citibank | | | | (7,291 | ) |
06/24/21 | | | U.S. Dollars | | | | 325,864 | | | | Mexican Pesos | | | | 6,810,000 | | | | HSBC | | | | (8,179 | ) |
07/06/21 | | | Japanese Yen | | | | 86,531,147 | | | | Euro | | | | 665,700 | | | | JPMorgan Chase | | | | (9,262 | ) |
08/24/21 | | | Japanese Yen | | | | 43,943,404 | | | | Euro | | | | 342,449 | | | | Citibank | | | | (10,211 | ) |
06/29/21 | | | U.S. Dollars | | | | 512,767 | | | | Mexican Pesos | | | | 10,674,069 | | | | HSBC | | | | (10,505 | ) |
08/05/21 | | | U.S. Dollars | | | | 1,842,622 | | | | Mexican Pesos | | | | 37,970,000 | | | | HSBC | | | | (10,976 | ) |
05/25/21 | | | U.S. Dollars | | | | 979,467 | | | | South African Rand | | | | 14,432,443 | | | | JPMorgan Chase | | | | (12,160 | ) |
05/25/21 | | | Japanese Yen | | | | 118,204,389 | | | | Australian Dollars | | | | 1,422,000 | | | | JPMorgan Chase | | | | (13,797 | ) |
06/15/21 | | | Japanese Yen | | | | 33,276,141 | | | | U.S. Dollars | | | | 320,858 | | | | Citibank | | | | (16,265 | ) |
07/08/21 | | | U.S. Dollars | | | | 354,866 | | | | Mexican Pesos | | | | 7,591,000 | | | | Citibank | | | | (16,891 | ) |
07/06/21 | | | U.S. Dollars | | | | 587,361 | | | | Polish Zloty | | | | 2,291,912 | | | | Bank of America | | | | (17,240 | ) |
08/23/21 | | | U.S. Dollars | | | | 1,259,113 | | | | Mexican Pesos | | | | 26,217,000 | | | | Citibank | | | | (18,003 | ) |
06/15/21 | | | Japanese Yen | | | | 46,691,564 | | | | U.S. Dollars | | | | 449,736 | | | | HSBC | | | | (22,345 | ) |
08/23/21 | | | U.S. Dollars | | | | 430,049 | | | | Mexican Pesos | | | | 9,306,000 | | | | Citibank | | | | (23,277 | ) |
07/08/21 | | | U.S. Dollars | | | | 436,489 | | | | Mexican Pesos | | | | 9,398,000 | | | | Citibank | | | | (23,762 | ) |
05/03/21 | | | U.S. Dollars | | | | 341,503 | | | | Australian Dollars | | | | 483,000 | | | | Morgan Stanley | | | | (30,581 | ) |
07/13/21 | | | Japanese Yen | | | | 32,336,444 | | | | Australian Dollars | | | | 424,999 | | | | JPMorgan Chase | | | | (31,435 | ) |
06/15/21 | | | Japanese Yen | | | | 111,000,000 | | | | U.S. Dollars | | | | 1,058,050 | | | | Citibank | | | | (42,012 | ) |
06/15/21 | | | Japanese Yen | | | | 156,320,810 | | | | U.S. Dollars | | | | 1,506,634 | | | | JPMorgan Chase | | | | (75,752 | ) |
05/10/21 | | | Japanese Yen | | | | 251,122,707 | | | | Euro | | | | 1,980,000 | | | | Deutsche Bank | | | | (82,998 | ) |
07/30/21 | | | Japanese Yen | | | | 275,750,000 | | | | U.S. Dollars | | | | 2,664,045 | | | | Morgan Stanley | | | | (138,866 | ) |
| |
Total Unrealized Depreciation | | | | $(686,020) | |
| |
Net Unrealized Depreciation | | | | $(229,322) | |
| |
See accompanying Notes to Financial Statements
197
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Credit Default Swap Contracts outstanding - Buy Protection at April 30, 2021:
Over the Counter
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal (Pay) Rate | | | Maturity Date | | | Counterparty | | | | | | Notional Amount | | | Market Value | | | Upfront Premiums Paid/ (Received) | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | | | |
Federal Republic of Brazil, 4.25%, Due: 01/07/2025 (Pay Quarterly) | | | 1.00 | % | | | 6/20/2026 | | | | Barclays | | | | USD | | | | 900,000 | | | | $38,363 | | | | $49,935 | | | | $(11,572 | ) |
Federal Republic of Brazil, 4.25%, Due: 01/07/2025 (Pay Quarterly) | | | 1.00 | % | | | 6/20/2026 | | | | Bank of America | | | | USD | | | | 300,000 | | | | 12,805 | | | | 16,601 | | | | (3,796 | ) |
United Mexican States, 4.15%, Due: 03/28/2027 (Pay Quarterly) | | | 1.00 | % | | | 6/20/2026 | | | | Barclays | | | | USD | | | | 900,000 | | | | (3,666 | ) | | | 7,350 | | | | (11,016 | ) |
United Mexican States, 4.15%, Due: 03/28/2027 (Pay Quarterly) | | | 1.00 | % | | | 6/20/2026 | | | | Goldman Sachs | | | | USD | | | | 300,000 | | | | (1,222 | ) | | | 2,391 | | | | (3,613 | ) |
| |
Total | | | | | | | | | | | | | | | | | | | | | | | $46,280 | | | | $76,277 | | | | $(29,997 | ) |
| |
See accompanying Notes to Financial Statements
198
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Multisector Bond Fund
Valuation Hierarchy
The following is a summary of the inputs used, as of April 30, 2021, in valuing the Fund’s investments carried at fair value:
| | | | | | | | | | | | | | | | | | | | |
| |
| Morningstar Multisector Bond Fund | | Level 1 | | | Level 2 | | | | | | Level 3 | | | Totals | |
| |
|
Investments | |
Assets: | |
Asset-Backed Securities | | $ | — | | | $ | 2,719,657 | | | | | | | | $ — | | | $ | 2,719,657 | |
Common Stocks | | | 1,347,783 | | | | 6,727 | | | | | | | | — | | | | 1,354,510 | |
Convertible Bonds | | | — | | | | 5,040,199 | | | | | | | | — | | | | 5,040,199 | |
Convertible Preferred Stocks | | | 1,272,357 | | | | — | | | | | | | | — | | | | 1,272,357 | |
Corporate Bonds | | | — | | | | 50,971,817 | | | | | | | | — | | | | 50,971,817 | |
Foreign Government Inflation-Linked Bonds | | | — | | | | 1,433,263 | | | | | | | | — | | | | 1,433,263 | |
Foreign Issuer Bonds | | | — | | | | 144,406,640 | | | | | | | | — | | | | 144,406,640 | |
Term Loans | | | — | | | | 268,976 | | | | | | | | — | | | | 268,976 | |
U.S. Government Obligations | | | — | | | | 784,571 | | | | | | | | — | | | | 784,571 | |
Warrants | | | — | | | | — | | | | | | | | 400 | | | | 400 | |
Short-Term Investments | | | 12,815,118 | | | | 14,503,002 | | | | | | | | — | | | | 27,318,120 | |
| |
| | | | | |
Total Investments | | $ | 15,435,258 | | | $ | 220,134,852 | | | | | | | | $400 | | | $ | 235,570,510 | |
| |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Morningstar Multisector Bond Fund | | Level 1 | | | | | | Level 2 | | | | | | Level 3 | | | | | | Totals | |
| |
|
Derivative Financial Instruments | |
Assets: | |
Forward Foreign Currency Exchange Contracts | | | $— | | | | | | | $ | 456,698 | | | | | | | | $— | | | | | | | $ | 456,698 | |
Swap Agreements at Fair Value | | | — | | | | | | | | 51,168 | | | | | | | | — | | | | | | | | 51,168 | |
| |
| | | | | | | |
Total Assets - Derivative Financial Instruments | | | $— | | | | | | | $ | 507,866 | | | | | | | | $— | | | | | | | $ | 507,866 | |
| |
| | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | $— | | | | | | | $ | (686,020 | ) | | | | | | | $— | | | | | | | $ | (686,020 | ) |
Swap Agreements at Fair Value | | | — | | | | | | | | (4,888 | ) | | | | | | | — | | | | | | | | (4,888 | ) |
| |
| | | | | | | |
Total Liabilities - Derivative Financial Instruments | | | $— | | | | | | | $ | (690,908 | ) | | | | | | | $— | | | | | | | $ | (690,908 | ) |
| |
| | | | | | | |
Net Derivative Financial Instruments | | | $— | | | | | | | $ | (183,042 | ) | | | | | | | $— | | | | | | | $ | (183,042 | ) |
| |
Investments classified within Level 3 of the fair value hierarchy are valued by Morningstar Investment Management LLC (“MIM”) in good faith under procedures adopted by authority of the Fund’s Board of Trustees. MIM employs various methods to determine fair valuations including regular review of key inputs and assumptions, and review of related market activity, if any. However, there are generally no observable trade activities in these securities. MIM reports to the Board of Trustees at their regularly scheduled quarterly meetings, or more often if warranted. The report includes a summary of the results of the process, the key inputs and assumptions noted, and any changes to the inputs and assumptions used. When appropriate, MIM will recommend changes to the procedures and process employed. The value determined for an investment using the fair value procedures may differ significantly from the value realized upon the sale of such investment.
See accompanying Notes to Financial Statements
199
Morningstar Funds Trust April 30, 2021
Schedule of Investments
|
Morningstar Unconstrained Allocation Fund |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Asset-Backed Securities – 0.0%(b) | |
|
Commercial Mortgage-Backed Securities – 0.0%(b) | |
Benchmark Mortgage Trust, Series 2020-B17, Class A2, 2.21%, 3/15/53 | | $ | 45,000 | | | $ | 46,691 | |
| | | |
Whole Loan – 0.0%(b) | | | | | | | | |
STACR Trust, Series 2018-HRP1, Class M2, (1M USD LIBOR + 1.65%), 1.76%, 4/25/43(c)(d) | | | 33,700 | | | | 33,752 | |
| | | |
Total Asset-Backed Securities
(Cost $78,943) | | | | | | | 80,443 | |
| | |
| | | Number
of Shares | | | | |
|
Common Stocks – 15.5% | |
|
Advertising – 0.8% | |
Omnicom Group, Inc. | | | 21,189 | | | | 1,743,007 | |
| | | |
Apparel – 0.3% | | | | | | | | |
Tapestry, Inc.* | | | 14,650 | | | | 701,002 | |
| | | |
Beverages – 0.5% | | | | | | | | |
Anheuser-Busch InBev S.A./N.V. (Belgium) | | | 15,146 | | | | 1,072,829 | |
| |
Commercial Services – 3.1% | |
Atlantia S.p.A. (Italy)* | | | 33,778 | | | | 658,509 | |
Bureau Veritas S.A. (France)* | | | 34,722 | | | | 1,038,438 | |
H&R Block, Inc. | | | 93,397 | | | | 2,079,017 | |
Nielsen Holdings PLC | | | 80,309 | | | | 2,059,926 | |
Transurban Group (Australia) | | | 63,120 | | | | 688,278 | |
| | |
| | | | | | | 6,524,168 | |
| | | |
Computers – 0.3% | | | | | | | | |
Cognizant Technology Solutions Corp., Class A | | | 8,172 | | | | 657,029 | |
| | | |
Electric – 1.3% | | | | | | | | |
Consolidated Edison, Inc. | | | 8,757 | | | | 677,879 | |
National Grid PLC (United Kingdom) | | | 110,301 | | | | 1,390,406 | |
Terna Rete Elettrica Nazionale S.p.A. (Italy) | | | 90,225 | | | | 665,090 | |
| | |
| | | | | | | 2,733,375 | |
| |
Engineering & Construction – 1.2% | |
Ferrovial S.A. (Spain) | | | 51,510 | | | | 1,462,422 | |
Vinci S.A. (France) | | | 9,201 | | | | 1,009,624 | |
| | |
| | | | | | | | 2,472,046 | |
| | | | | | | | |
| | | Number
of Shares | | | Value | |
|
Entertainment – 0.5% | |
International Game Technology PLC* | | | 59,407 | | | $ | 1,022,989 | |
| | | |
Environmental Control – 0.4% | | | | | | | | |
Stericycle, Inc.* | | | 9,700 | | | | 739,916 | |
| | | |
Gas – 0.5% | | | | | | | | |
Snam S.p.A. (Italy) | | | 177,709 | | | | 999,979 | |
| |
Healthcare - Products – 1.3% | |
EssilorLuxottica S.A. (France) | | | 5,874 | | | | 977,668 | |
Medtronic PLC | | | 8,193 | | | | 1,072,627 | |
Smith & Nephew PLC (United Kingdom) | | | 34,244 | | | | 741,169 | |
| | |
| | | | | | | 2,791,464 | |
| | | |
Healthcare - Services – 1.4% | | | | | | | | |
Fresenius Medical Care A.G. & Co. KGaA (Germany) | | | 22,644 | | | | 1,803,058 | |
MEDNAX, Inc.* | | | 41,190 | | | | 1,084,121 | |
| | |
| | | | | | | 2,887,179 | |
| | | |
Pharmaceuticals – 2.1% | | | | | | | | |
CVS Health Corp. | | | 27,425 | | | | 2,095,270 | |
Henry Schein, Inc.* | | | 9,069 | | | | 657,502 | |
McKesson Corp. | | | 8,900 | | | | 1,669,284 | |
| | |
| | | | | | | 4,422,056 | |
| | | |
Software – 0.3% | | | | | | | | |
Oracle Corp. | | | 8,709 | | | | 660,055 | |
| |
Telecommunications – 1.0% | |
Cisco Systems, Inc. | | | 18,955 | | | | 964,999 | |
SES S.A. (France) | | | 159,874 | | | | 1,211,937 | |
| | |
| | | | | | | 2,176,936 | |
| | | |
Water – 0.5% | | | | | | | | |
United Utilities Group PLC (United Kingdom) | | | 75,080 | | | | 1,004,255 | |
| | | |
Total Common Stocks
(Cost $25,033,084) | | | | | | | 32,608,285 | |
| | |
| | | Par(a) | | | | |
|
Corporate Bonds – 2.6% | |
|
Aerospace/Defense – 0.3% | |
Boeing (The) Co., | | | | | | | | |
5.71%, 5/01/40 | | $ | 70,000 | | | | 86,809 | |
5.81%, 5/01/50 | | | 195,000 | | | | 250,352 | |
3.95%, 8/01/59 | | | 115,000 | | | | 111,528 | |
5.93%, 5/01/60 | | | 110,000 | | | | 143,550 | |
| | |
| | | | | | | | 592,239 | |
See accompanying Notes to Financial Statements
200
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Unconstrained Allocation Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Airlines – 0.3% | | | | | | | | |
Delta Air Lines, Inc., | | | | | | | | |
7.00%, 5/01/25(c) | | $ | 90,000 | | | $ | 104,655 | |
7.38%, 1/15/26 | | | 100,000 | | | | 117,463 | |
3.75%, 10/28/29 | | | 50,000 | | | | 49,801 | |
Southwest Airlines Co., 5.13%, 6/15/27 | | | 265,000 | | | | 309,957 | |
| | |
| | | | | | | 581,876 | |
| | | |
Auto Manufacturers – 0.3% | | | | | | | | |
General Motors Co., | | | | | | | | |
6.80%, 10/01/27 | | | 85,000 | | | | 106,870 | |
6.25%, 10/02/43 | | | 150,000 | | | | 197,258 | |
5.95%, 4/01/49 | | | 20,000 | | | | 25,858 | |
General Motors Financial Co., Inc., (SOFR + 1.20%), 1.22%, 11/17/23(d) | | | 380,000 | | | | 385,582 | |
| | |
| | | | | | | 715,568 | |
| | | |
Banks – 0.7% | | | | | | | | |
Bank of Montreal, (SOFR + 0.68%), 0.69%, 3/10/23(d) | | | 530,000 | | | | 534,867 | |
Bank of Nova Scotia (The), (SOFR + 0.55%), 0.56%, 9/15/23(d) | | | 610,000 | | | | 612,982 | |
Canadian Imperial Bank of Commerce, (SOFR + 0.80%), 0.81%, 3/17/23(d) | | | 440,000 | | | | 443,810 | |
| | |
| | | | | | | 1,591,659 | |
| | | |
Insurance – 0.1% | | | | | | | | |
Metropolitan Life Global Funding I, (SOFR + 0.57%), 0.58%, 1/13/23(c)(d) | | | 150,000 | | | | 150,823 | |
| | |
Miscellaneous Manufacturing – 0.1% | | | | | |
General Electric Co., 4.35%, 5/01/50 | | | 140,000 | | | | 155,878 | |
| | | |
Oil & Gas – 0.8% | | | | | | | | |
Apache Corp., | | | | | | | | |
4.75%, 4/15/43 | | | 195,000 | | | | 193,635 | |
4.25%, 1/15/44 | | | 60,000 | | | | 55,800 | |
5.35%, 7/01/49 | | | 60,000 | | | | 60,000 | |
Exxon Mobil Corp., 3.45%, 4/15/51 | | | 190,000 | | | | 193,918 | |
Hess Corp., | | | | | | | | |
5.60%, 2/15/41 | | | 105,000 | | | | 123,058 | |
5.80%, 4/01/47 | | | 95,000 | | | | 115,849 | |
Occidental Petroleum Corp., | | | | | | | | |
6.20%, 3/15/40 | | | 30,000 | | | | 31,875 | |
6.60%, 3/15/46 | | | 60,000 | | | | 66,150 | |
4.40%, 4/15/46 | | | 175,000 | | | | 154,000 | |
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
|
Oil & Gas (Continued) | |
Occidental Petroleum Corp., | | | | | | | | | | | | |
4.20%, 3/15/48 | | | | | | $ | 165,000 | | | $ | 139,047 | |
4.40%, 8/15/49 | | | | | | | 80,000 | | | | 69,200 | |
Petrobras Global Finance B.V., 6.75%, 6/03/50 | | | | | | | 215,000 | | | | 235,255 | |
Total Capital International S.A., 3.13%, 5/29/50 | | | | | | | 165,000 | | | | 158,263 | |
| | | |
| | | | | | | | | | | 1,596,050 | |
| | | | |
Total Corporate Bonds
(Cost $5,131,297) | | | | | | | | | | | 5,384,093 | |
|
Foreign Issuer Bonds – 5.2% | |
| | | |
Australia – 0.7% | | | | | | | | | | | | |
Australia Government Bond, 5.75%, 7/15/22 | | | AUD | | | | 820,000 | | | | 674,769 | |
New South Wales Treasury Corp., 4.00%, 4/20/23 | | | AUD | | | | 180,000 | | | | 149,060 | |
Queensland Treasury Corp., 4.25%, 7/21/23(c) | | | AUD | | | | 365,000 | | | | 306,270 | |
Western Australian Treasury Corp., 7.00%, 7/15/21 | | | AUD | | | | 370,000 | | | | 288,978 | |
| | | |
| | | | | | | | | | | 1,419,077 | |
| | | | |
Brazil – 0.4% | | | | | | | | | | | | |
Brazil Notas do Tesouro Nacional, Serie F, | | | | | | | | | | | | |
10.00%, 1/01/27 | | | BRL | | | | 3,710,000 | | | | 726,209 | |
10.00%, 1/01/29 | | | BRL | | | | 1,040,000 | | | | 202,813 | |
| | | |
| | | | | | | | | | | 929,022 | |
| | | | |
Colombia – 0.5% | | | | | | | | | | | | |
Colombian TES, | | | | | | | | | | | | |
6.25%, 11/26/25 | | | COP | | | | 1,590,000,000 | | | | 441,622 | |
6.00%, 4/28/28 | | | COP | | | | 2,640,000,000 | | | | 690,373 | |
| | | |
| | | | | | | | | | | 1,131,995 | |
| | | | |
Indonesia – 0.5% | | | | | | | | | | | | |
Indonesia Treasury Bond, 9.00%, 3/15/29 | | | IDR | | | | 13,700,000,000 | | | | 1,098,095 | |
| | | | |
Malaysia – 0.6% | | | | | | | | | | | | |
Malaysia Government Bond, | | | | | | | | | | | | |
3.88%, 3/10/22 | | | MYR | | | | 3,620,000 | | | | 899,055 | |
3.90%, 11/16/27 | | | MYR | | | | 1,090,000 | | | | 281,992 | |
| | | |
| | | | | | | | | | | 1,181,047 | |
| | | | |
Mexico – 1.6% | | | | | | | | | | | | |
Mexican Bonos, | | | | | | | | | | | | |
8.50%, 5/31/29 | | | MXN | | | | 13,800,000 | | | | 759,778 | |
8.50%, 11/18/38 | | | MXN | | | | 14,700,000 | | | | 788,287 | |
7.75%, 11/13/42 | | | MXN | | | | 18,800,000 | | | | 925,021 | |
See accompanying Notes to Financial Statements
201
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Unconstrained Allocation Fund
| | | | | | | | | | | | |
| | | | | | Par(a) | | | Value | |
| | | |
Mexico (Continued) | | | | | | | | | | | | |
Mexican Bonos, 8.00%, 11/07/47 | | | MXN | | | $ | 6,000,000 | | | $ | 300,435 | |
Petroleos Mexicanos, | | | | | | | | | | | | |
6.75%, 9/21/47 | | | | | | | 80,000 | | | | 70,720 | |
7.69%, 1/23/50 | | | | | | | 440,000 | | | | 423,500 | |
| | | |
| | | | | | | | | | | 3,267,741 | |
| | | | |
Poland – 0.1% | | | | | | | | | | | | |
Republic of Poland Government Bond, 4.00%, 10/25/23 | | | PLN | | | | 1,020,000 | | | | 294,614 | |
| | | | |
Russia – 0.1% | | | | | | | | | | | | |
Russian Federal Bond - OFZ, 7.65%, 4/10/30 | | | RUB | | | | 10,000,000 | | | | 139,550 | |
| | | | |
South Africa – 0.7% | | | | | | | | | | | | |
Republic of South Africa Government Bond, | | | | | | | | | | | | |
6.50%, 2/28/41 | | | ZAR | | | | 13,500,000 | | | | 589,512 | |
8.75%, 2/28/48 | | | ZAR | | | | 15,900,000 | | | | 872,227 | |
| | | |
| | | | | | | | | | | 1,461,739 | |
| | | |
Total Foreign Issuer Bonds
(Cost $10,771,990) | | | | | | | | 10,922,880 | |
|
U.S. Government Obligations – 6.0% | |
|
U.S. Treasury Floating Rate Notes – 6.0% | |
(3M US Treasury MMY + 0.15%), 0.17%, 1/31/22(d) | | | | | | | 2,180,000 | | | | 2,182,380 | |
(3M US Treasury MMY + 0.11%), 0.13%, 4/30/22(d) | | | | | | | 1,175,000 | | | | 1,176,181 | |
(3M US Treasury MMY + 0.06%), 0.07%, 7/31/22(d) | | | | | | | 570,000 | | | | 570,273 | |
(3M US Treasury MMY + 0.06%), 0.07%,
10/31/22(d) | | | | | | | 3,167,000 | | | | 3,168,587 | |
(3M US Treasury MMY + 0.05%), 0.06%, 1/31/23(d) | | | | | | | 5,610,000 | | | | 5,612,169 | |
| | | |
| | | | | | | | | | | 12,709,590 | |
| | | |
Total U.S. Government Obligations
(Cost $12,703,989) | | | | | | | | 12,709,590 | |
| | | |
| | | | | | Number
of Shares | | | | |
|
Investment Companies – 65.6% | |
Invesco KBW Bank ETF | | | | | | | 92,069 | | | | 6,043,409 | |
| | | | | | | | | | | | |
| | | | | | Number
of Shares | | | Value | |
iShares Core DAX UCITS ETF DE (Germany)* | | | EUR | | | | 54,936 | | | $ | 8,500,225 | |
iShares Global Energy ETF | | | | | | | 434,055 | | | | 10,729,840 | |
iShares MSCI Europe Financials ETF | | | | | | | 332,228 | | | | 6,661,171 | |
iShares MSCI Mexico ETF | | | | | | | 189,897 | | | | 8,632,718 | |
iShares MSCI South Korea ETF | | | | | | | 42,480 | | | | 3,846,989 | |
iShares MSCI United Kingdom ETF | | | | | | | 408,444 | | | | 13,286,683 | |
iShares STOXX Europe 600 Telecommunications UCITS ETF DE (Germany) | | | EUR | | | | 247,072 | | | | 6,240,859 | |
JPMorgan BetaBuilders Japan ETF | | | | | | | 392,994 | | | | 22,007,664 | |
Schwab Fundamental Emerging Markets Large Company Index ETF | | | | | | | 375,459 | | | | 11,748,112 | |
Schwab U.S. TIPS ETF | | | | | | | 99,042 | | | | 6,131,690 | |
Vanguard Consumer Staples ETF | | | | | | | 32,935 | | | | 5,977,703 | |
Vanguard Long-Term Treasury ETF | | | | | | | 177,756 | | | | 15,031,047 | |
Vanguard Small-Cap ETF | | | | | | | 18,108 | | | | 4,028,849 | |
Vanguard Total Stock Market ETF | | | | | | | 43,500 | | | | 9,443,850 | |
| | | |
Total Investment Companies
(Cost $107,645,417) | | | | | | | | 138,310,809 | |
| | | |
| | | | | | Number
of Shares | | | | |
|
Short-Term Investments – 5.1% | |
|
Money Market Fund – 5.1% | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(e) | | | | | | | 10,656,800 | | | | 10,656,800 | |
| | | |
Total Short-Term Investments
(Cost $10,656,800) | | | | | | | | 10,656,800 | |
| | |
Total Investments – 100.0%
(Cost $172,021,520) | | | | | | | | 210,672,900 | |
| |
Other Assets less Liabilities – 0.0%(b)(f) | | | | 53,613 | |
| | | |
NET ASSETS – 100.0% | | | | | | | | | | $ | 210,726,513 | |
Percentages shown are based on Net Assets.
All securities are United States companies, unless noted otherwise in parentheses.
See accompanying Notes to Financial Statements
202
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Unconstrained Allocation Fund
| (a) | Par value is in USD unless otherwise indicated. |
| (b) | Amount rounds to less than 0.05%. |
| (c) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
| (d) | Variable rate security. Rate as of April 30, 2021 is disclosed. |
| (e) | 7-day current yield as of April 30, 2021 is disclosed. |
| (f) | Includes appreciation/ (depreciation) on forward foreign currency exchange contracts and futures contracts. |
| * | Non-Income Producing Security |
| | |
| Abbreviations: | | |
| 1M | | 1 Month |
| 3M | | 3 Month |
| AUD | | Australian Dollar |
| BRL | | Brazilian Real |
| COP | | Colombian Peso |
| DAX | | Deutscher Aktienindex |
| ETF | | Exchange-Traded Fund |
| EUR | | Euro |
| IDR | | Indonesian Rupiah |
| LIBOR | | London Interbank Offered Rate |
| MMY | | Money Market Yield |
| MSCI | | Morgan Stanley Capital International |
| MXN | | Mexican Peso |
| MYR | | Malaysian Ringgit |
| PLC | | Public Limited Company |
| PLN | | Polish Zloty |
| RUB | | Russian Ruble |
| SOFR | | United States Secured Overnight Financing Rate |
| TIPS | | Treasury Inflation Protected Securities |
| UCITS | | Undertakings for Collective Investment in Transferable Securities |
| USD | | United States Dollar |
| ZAR | | South African Rand |
Futures Contracts outstanding at April 30, 2021:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Trading
Currency | | | Notional
Amount | | | Value/
Unrealized
Appreciation
(Depreciation) |
| | | | | |
Short Contracts | | | | | | | | | | | | | | | | | | |
Ultra U.S. Treasury Bond | | | (9 | ) | | | 6/21/2021 | | | | USD | | | | 1,673,156 | | | $1,962 |
See accompanying Notes to Financial Statements
203
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Unconstrained Allocation Fund
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
Settlement Date | | Currency
Purchased | | | Amount of
Currency
Purchased | | | Currency Sold | | | Amount
of Currency
Sold | | | Counterparty | | | Unrealized
Appreciation
(Depreciation) | |
| |
| | | | | | |
05/14/21 | | | Canadian Dollar | | | | 1,020 | | | | United States Dollar | | | | 794 | | | | Goldman Sachs | | | | $ 35,777 | |
05/14/21 | | | Canadian Dollar | | | | 1,070 | | | | United States Dollar | | | | 845 | | | | Goldman Sachs | | | | 25,379 | |
06/18/21 | | | Chilean Peso | | | | 680,000 | | | | United States Dollar | | | | 935 | | | | HSBC | | | | 21,528 | |
06/09/21 | | | Norwegian Krone | | | | 8,200 | | | | United States Dollar | | | | 968 | | | | Citibank | | | | 16,851 | |
06/23/21 | | | Euro | | | | 1,290 | | | | United States Dollar | | | | 1,536 | | | | Citibank | | | | 16,601 | |
07/26/21 | | | Euro | | | | 1,280 | | | | United States Dollar | | | | 1,526 | | | | Barclays | | | | 15,716 | |
07/13/21 | | | Polish Zloty | | | | 3,190 | | | | United States Dollar | | | | 829 | | | | Citibank | | | | 12,646 | |
07/14/21 | | | Brazilian Real | | | | 2,250 | | | | United States Dollar | | | | 401 | | | | HSBC | | | | 10,641 | |
05/25/21 | | | United States Dollar | | | | 480 | | | | Australian Dollar | | | | 610 | | | | JPMorgan Chase | | | | 10,229 | |
05/19/21 | | | United States Dollar | | | | 1,541 | | | | British Pound | | | | 1,110 | | | | Citibank | | | | 7,918 | |
05/10/21 | | | United States Dollar | | | | 897 | | | | Indian Rupee | | | | 66,000 | | | | HSBC | | | | 7,445 | |
05/28/21 | | | Chilean Peso | | | | 200,000 | | | | United States Dollar | | | | 274 | | | | HSBC | | | | 7,095 | |
05/12/21 | | | Russian Ruble | | | | 35,000 | | | | United States Dollar | | | | 458 | | | | Citibank | | | | 6,789 | |
07/20/21 | | | Polish Zloty | | | | 4,690 | | | | United States Dollar | | | | 1,231 | | | | JPMorgan Chase | | | | 6,058 | |
05/13/21 | | | Mexican Peso | | | | 8,100 | | | | United States Dollar | | | | 394 | | | | Citibank | | | | 4,804 | |
05/28/21 | | | Chilean Peso | | | | 790,000 | | | | United States Dollar | | | | 1,107 | | | | HSBC | | | | 4,188 | |
05/14/21 | | | Canadian Dollar | | | | 160 | | | | United States Dollar | | | | 127 | | | | Barclays | | | | 3,315 | |
07/30/21 | | | Hungarian Forint | | | | 140,000 | | | | United States Dollar | | | | 464 | | | | HSBC | | | | 3,187 | |
07/16/21 | | | Korean Won | | | | 580,000 | | | | United States Dollar | | | | 516 | | | | Citibank | | | | 2,925 | |
05/13/21 | | | United States Dollar | | | | 317 | | | | Mexican Peso | | | | 6,400 | | | | Citibank | | | | 2,018 | |
05/13/21 | | | Mexican Peso | | | | 1,100 | | | | United States Dollar | | | | 52 | | | | JPMorgan Chase | | | | 1,943 | |
05/20/21 | | | Czech Koruna | | | | 3,200 | | | | United States Dollar | | | | 148 | | | | UBS | | | | 1,131 | |
05/10/21 | | | Hungarian Forint | | | | 44,000 | | | | United States Dollar | | | | 146 | | | | HSBC | | | | 1,101 | |
07/14/21 | | | Brazilian Real | | | | 270 | | | | United States Dollar | | | | 48 | | | | HSBC | | | | 996 | |
08/06/21 | | | Chilean Peso | | | | 120,000 | | | | United States Dollar | | | | 168 | | | | HSBC | | | | 743 | |
05/25/21 | | | United States Dollar | | | | 62 | | | | Australian Dollar | | | | 80 | | | | JPMorgan Chase | | | | 693 | |
05/12/21 | | | Russian Ruble | | | | 2,000 | | | | United States Dollar | | | | 26 | | | | Citibank | | | | 500 | |
05/19/21 | | | British Pound | | | | 860 | | | | United States Dollar | | | | 1,187 | | | | HSBC | | | | 376 | |
08/06/21 | | | Thai Baht | | | | 3,600 | | | | United States Dollar | | | | 115 | | | | HSBC | | | | 322 | |
05/10/21 | | | Hungarian Forint | | | | 16,000 | | | | United States Dollar | | | | 53 | | | | Morgan Stanley | | | | 110 | |
07/29/21 | | | Korean Won | | | | 1,330,000 | | | | United States Dollar | | | | 1,190 | | | | Citibank | | | | 106 | |
05/25/21 | | | United States Dollar | | | | 8 | | | | Australian Dollar | | | | 10 | | | | Citibank | | | | 39 | |
| |
| |
Total Unrealized Appreciation | | | | $ 229,170 | |
| |
07/26/21 | | | Euro | | | | 80 | | | | United States Dollar | | | | 96 | | | | HSBC | | | | $ (42 | ) |
07/19/21 | | | New Zealand Dollar | | | | 840 | | | | United States Dollar | | | | 601 | | | | HSBC | | | | (102 | ) |
07/16/21 | | | Korean Won | | | | 70,000 | | | | United States Dollar | | | | 63 | | | | Citibank | | | | (148 | ) |
07/20/21 | | | Polish Zloty | | | | 360 | | | | United States Dollar | | | | 95 | | | | Citibank | | | | (212 | ) |
06/23/21 | | | United States Dollar | | | | 48 | | | | Euro | | | | 40 | | | | UBS | | | | (227 | ) |
05/10/21 | | | Indian Rupee | | | | 9,000 | | | | United States Dollar | | | | 122 | | | | HSBC | | | | (379 | ) |
06/28/21 | | | Japanese Yen | | | | 20,000 | | | | United States Dollar | | | | 183 | | | | HSBC | | | | (397 | ) |
See accompanying Notes to Financial Statements
204
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Unconstrained Allocation Fund
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2021: (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
Settlement Date | | Currency
Purchased | | | Amount of
Currency
Purchased | | | Currency Sold | | | Amount
of Currency
Sold | | | Counterparty | | | Unrealized
Appreciation
(Depreciation) | |
| |
07/29/21 | | | Colombian Peso | | | | 170,000 | | | | United States Dollar | | | | 46 | | | | JPMorgan Chase | | | | $ (763 | ) |
06/18/21 | | | Chilean Peso | | | | 35,000 | | | | United States Dollar | | | | 50 | | | | HSBC | | | | (776 | ) |
05/13/21 | | | Mexican Peso | | | | 940 | | | | United States Dollar | | | | 47 | | | | Goldman Sachs | | | | (1,019 | ) |
05/21/21 | | | Russian Ruble | | | | 9,000 | | | | United States Dollar | | | | 121 | | | | Citibank | | | | (1,688 | ) |
07/27/21 | | | Polish Zloty | | | | 2,370 | | | | United States Dollar | | | | 628 | | | | Citibank | | | | (2,752 | ) |
05/10/21 | | | Indian Rupee | | | | 57,000 | | | | United States Dollar | | | | 771 | | | | HSBC | | | | (2,858 | ) |
05/10/21 | | | Hungarian Forint | | | | 145,000 | | | | United States Dollar | | | | 487 | | | | HSBC | | | | (2,909 | ) |
06/08/21 | | | United States Dollar | | | | 452 | | | | British Pound | | | | 330 | | | | HSBC | | | | (3,434 | ) |
05/25/21 | | | United States Dollar | | | | 820 | | | | Australian Dollar | | | | 1,070 | | | | Goldman Sachs | | | | (4,100 | ) |
05/21/21 | | | Russian Ruble | | | | 40,000 | | | | United States Dollar | | | | 535 | | | | Citibank | | | | (4,552 | ) |
06/28/21 | | | Japanese Yen | | | | 123,000 | | | | United States Dollar | | | | 1,131 | | | | HSBC | | | | (5,369 | ) |
07/29/21 | | | Colombian Peso | | | | 505,000 | | | | United States Dollar | | | | 139 | | | | JPMorgan Chase | | | | (5,428 | ) |
05/20/21 | | | Czech Koruna | | | | 10,200 | | | | United States Dollar | | | | 480 | | | | JPMorgan Chase | | | | (5,591 | ) |
06/08/21 | | | United States Dollar | | | | 837 | | | | British Pound | | | | 610 | | | | HSBC | | | | (5,785 | ) |
05/19/21 | | | British Pound | | | | 380 | | | | United States Dollar | | | | 531 | | | | National Australia Bank | | | | (6,049 | ) |
05/12/21 | | | Chilean Peso | | | | 390,000 | | | | United States Dollar | | | | 556 | | | | HSBC | | | | (7,192 | ) |
05/12/21 | | | United States Dollar | | | | 210 | | | | South African Rand | | | | 3,200 | | | | Morgan Stanley | | | | (10,094 | ) |
05/20/21 | | | United States Dollar | | | | 613 | | | | Czech Koruna | | | | 13,400 | | | | JPMorgan Chase | | | | (10,355 | ) |
05/14/21 | | | United States Dollar | | | | 777 | | | | Canadian Dollar | | | | 980 | | | | Goldman Sachs | | | | (19,842 | ) |
05/14/21 | | | United States Dollar | | | | 1,007 | | | | Canadian Dollar | | | | 1,270 | | | | Goldman Sachs | | | | (25,909 | ) |
05/12/21 | | | United States Dollar | | | | 1,245 | | | | South African Rand | | | | 18,600 | | | | HSBC | | | | (35,491 | ) |
06/08/21 | | | British Pound | | | | 2,000 | | | | United States Dollar | | | | 2,799 | | | | Citibank | | | | (36,320 | ) |
| |
| |
Total Unrealized Depreciation | | | | $(199,783 | ) |
| |
| |
Net Unrealized Appreciation | | | | $ 29,387 | |
| |
See accompanying Notes to Financial Statements
205
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Unconstrained Allocation Fund
Valuation Hierarchy
The following is a summary of the inputs used, as of April 30, 2021, in valuing the Fund’s investments carried at fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Morningstar Unconstrained Allocation Fund | | Level 1 | | | | | | Level 2 | | | | | | Level 3 | | | | | | Totals | |
| |
|
Investments | |
|
Assets: | |
| | | | | | | |
Asset-Backed Securities | | $ | — | | | | | | | $ | 80,443 | | | | | | | | $— | | | | | | | $ | 80,443 | |
| | | | | | | |
Common Stocks | | | 17,884,623 | | | | | | | | 14,723,662 | | | | | | | | — | | | | | | | | 32,608,285 | |
| | | | | | | |
Corporate Bonds | | | — | | | | | | | | 5,384,093 | | | | | | | | — | | | | | | | | 5,384,093 | |
| | | | | | | |
Foreign Issuer Bonds | | | — | | | | | | | | 10,922,880 | | | | | | | | — | | | | | | | | 10,922,880 | |
| | | | | | | |
U.S. Government Obligations | | | — | | | | | | | | 12,709,590 | | | | | | | | — | | | | | | | | 12,709,590 | |
| | | | | | | |
Investment Companies | | | 138,310,809 | | | | | | | | — | | | | | | | | — | | | | | | | | 138,310,809 | |
| | | | | | | |
Short-Term Investments | | | 10,656,800 | | | | | | | | — | | | | | | | | — | | | | | | | | 10,656,800 | |
| |
| | | | | | | |
Total Investments | | $ | 166,852,232 | | | | | | | $ | 43,820,668 | | | | | | | | $— | | | | | | | $ | 210,672,900 | |
| |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Morningstar Unconstrained Allocation Fund | | Level 1 | | | | | | Level 2 | | | | | | Level 3 | | | | | | Totals | |
| |
|
Derivative Financial Instruments | |
|
Assets: | |
| | | | | | | | |
Futures Contracts | | | | | | $ | 1,962 | | | | | | | $ | — | | | | | | | | $— | | | | | | | $ | 1,962 | |
| | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | | | | | — | | | | | | | | 229,170 | | | | | | | | — | | | | | | | | 229,170 | |
| |
| | | | | | | | |
Total Assets - Derivative Financial Instruments | | | | | | $ | 1,962 | | | | | | | $ | 229,170 | | | | | | | | $— | | | | | | | $ | 231,132 | |
| |
| | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | | | | $ | — | | | | | | | $ | (199,783 | ) | | | | | | | $— | | | | | | | $ | (199,783 | ) |
| |
| | | | | | | | |
Total Liabilities - Derivative Financial Instruments | | | | | | $ | — | | | | | | | $ | (199,783 | ) | | | | | | | $— | | | | | | | $ | (199,783 | ) |
| |
| | | | | | | | |
Net Derivative Financial Instruments | | | | | | $ | 1,962 | | | | | | | $ | 29,387 | | | | | | | | $— | | | | | | | $ | 31,349 | |
| |
See accompanying Notes to Financial Statements
206
Morningstar Funds Trust April 30, 2021
Schedule of Investments
|
Morningstar Alternatives Fund |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Long Positions – 107.2% | | | | | | | | |
Asset-Backed Securities – 8.4% | | | | | |
Automobile – 1.2% | | | | | | | | |
Drive Auto Receivables Trust, | | | | | | | | |
Series 2017-3, Class D, 3.53%,
12/15/23(b) | | $ | 197,217 | | | $ | 199,536 | |
Series 2019-1, Class D, 4.09%, 6/15/26 | | | 700,000 | | | | 730,175 | |
Series 2019-4, Class B, 2.23%, 1/16/24 | | | 500,000 | | | | 502,389 | |
Series 2020-1, Class A3, 2.02%, 11/15/23 | | | 109,087 | | | | 109,448 | |
Series 2020-2, Class A2A, 0.85%, 7/17/23 | | | 112,505 | | | | 112,627 | |
Series 2020-2, Class A3, 0.83%, 5/15/24 | | | 240,000 | | | | 240,764 | |
Santander Drive Auto Receivables Trust, | | | | | | | | |
Series 2019-1, Class D, 3.65%, 4/15/25 | | | 700,000 | | | | 723,971 | |
Series 2019-3, Class B, 2.28%, 9/15/23 | | | 334,484 | | | | 335,577 | |
Series 2020-2, Class B, 0.96%, 11/15/24 | | | 110,000 | | | | 110,458 | |
Westlake Automobile Receivables Trust, | | | | | | | | |
Series 2018-3A, Class C, 3.61%, 10/16/23(b) | | | 80,550 | | | | 80,954 | |
Series 2019-1A, Class C, 3.45%,
3/15/24(b) | | | 500,000 | | | | 505,908 | |
Series 2020-2A, Class B, 1.32%,
7/15/25(b) | | | 260,000 | | | | 262,567 | |
| | | | | | | 3,914,374 | |
| | | |
Other – 0.2% | | | | | | | | |
Conn’s Receivables Funding LLC, Series 2020-A, Class A, 1.71%, 6/16/25(b) | | | 108,258 | | | | 108,649 | |
Marlette Funding Trust, Series 2020-2A,
Class A, 1.02%, 9/16/30(b) | | | 229,746 | | | | 230,021 | |
Upstart Securitization Trust, | | | | | | | | |
Series 2019-3, Class A, 2.68%, 1/21/30(b) | | | 196,299 | | | | 197,778 | |
Series 2020-1, Class A, 2.32%, 4/22/30(b) | | | 134,707 | | | | 135,912 | |
Series 2021-1, Class A, 0.87%, 3/20/31(b) | | | 177,799 | | | | 177,821 | |
| | | | | | | | 850,181 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Whole Loan – 7.0% | | | | | | | | |
Connecticut Avenue Securities Trust, | | | | | | | | |
Series 2018-R07, Class 1M2, (1M USD LIBOR + 2.40%), 2.51%, 4/25/31(b)(c) | | $ | 856,914 | | | $ | 862,200 | |
Series 2018-R07, Class 1M2C, (1M USD LIBOR + 2.40%), 2.51%, 4/25/31(b)(c) | | | 800,000 | | | | 802,568 | |
Series 2019-R01, Class 2M2, (1M USD LIBOR + 2.45%), 2.56%, 7/25/31(b)(c) | | | 54,954 | | | | 55,265 | |
Series 2019-R01, Class 2M2C, (1M USD LIBOR + 2.45%), 2.56%, 7/25/31(b)(c) | | | 800,000 | | | | 802,550 | |
Series 2019-R02, Class 1M2, (1M USD LIBOR + 2.30%, 2.30% Floor), 2.41%, 8/25/31(b)(c) | | | 382,517 | | | | 385,301 | |
Series 2019-R04, Class 2M2, (1M USD LIBOR + 2.10%), 2.21%, 6/25/39(b)(c) | | | 304,816 | | | | 305,768 | |
Series 2019-R05, Class 1M2, (1M USD LIBOR + 2.00%), 2.11%, 7/25/39(b)(c) | | | 245,640 | | | | 246,698 | |
Series 2019-R06, Class 2M2, (1M USD LIBOR + 2.10%), 2.21%, 9/25/39(b)(c) | | | 458,000 | | | | 459,762 | |
Series 2019-R07, Class 1M2, (1M USD LIBOR + 2.10%), 2.21%,
10/25/39(b)(c) | | | 455,239 | | | | 457,875 | |
Series 2020-R01, Class 1M2, (1M USD LIBOR + 2.05%, 2.05% Floor), 2.16%, 1/25/40(b)(c) | | | 1,704,793 | | | | 1,715,826 | |
Series 2020-R02, Class 2M2, (1M USD LIBOR + 2.00%), 2.11%, 1/25/40(b)(c) | | | 351,016 | | | | 353,288 | |
Series 2020-SBT1, Class 1M2, (1M USD LIBOR + 3.65%), 3.76%, 2/25/40(b)(c) | | | 101,533 | | | | 104,141 | |
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class B1, (1M USD LIBOR + 4.95%, 4.95% Floor), 5.06%, 7/25/29(c) | | | 500,000 | | | | 536,878 | |
See accompanying Notes to Financial Statements
207
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Whole Loan (Continued) | | | | | | | | |
FHLMC Structured Agency Credit Risk Debt Notes, | | | | | | | | |
Series 2017-DNA3, Class B1, (1M USD LIBOR + 4.45%), 4.56%, 3/25/30(c) | | $ | 300,000 | | | $ | 313,472 | |
Series 2017-HQA3, Class M2, (1M USD LIBOR + 2.35%), 2.46%, 4/25/30(c) | | | 360,688 | | | | 366,253 | |
Series 2018-DNA1, Class B1, (1M USD LIBOR + 3.15%), 3.26%, 7/25/30(c) | | | 550,000 | | | | 550,771 | |
Series 2020-HQA5, Class M1, (30D Average SOFR + 1.10%), 1.11%, 11/25/50(b)(c) | | | 80,697 | | | | 80,723 | |
FNMA Connecticut Avenue Securities, | | | | | | | | |
Series 2017-C01, Class 1B1, (1M USD LIBOR + 5.75%), 5.86%, 7/25/29(c) | | | 245,000 | | | | 269,196 | |
Series 2017-C02, Class 2B1, (1M USD LIBOR + 5.50%), 5.61%, 9/25/29(c) | | | 473,000 | | | | 514,435 | |
Series 2017-C03, Class 1B1, (1M USD LIBOR + 4.85%), 4.96%, 10/25/29(c) | | | 430,000 | | | | 461,216 | |
Series 2017-C04, Class 2B1, (1M USD LIBOR + 5.05%), 5.16%, 11/25/29(c) | | | 450,000 | | | | 490,487 | |
Series 2017-C05, Class 1B1, (1M USD LIBOR + 3.60%, 3.60% Floor), 3.71%, 1/25/30(c) | | | 667,125 | | | | 690,926 | |
Series 2017-C07, Class 1B1, (1M USD LIBOR + 4.00%, 4.00% Floor), 4.11%, 5/25/30(c) | | | 250,000 | | | | 257,499 | |
Series 2017-C07, Class 2B1, (1M USD LIBOR + 4.45%, 4.45% Floor), 4.56%, 5/25/30(c) | | | 217,000 | | | | 225,117 | |
Series 2018-C01, Class 1B1, (1M USD LIBOR + 3.55%, 3.55% Floor), 3.66%, 7/25/30(c) | | | 637,000 | | | | 649,792 | |
Series 2018-C02, Class 2B1, (1M USD LIBOR + 4.00%, 4.00% Floor), 4.11%, 8/25/30(c) | | | 425,000 | | | | 433,724 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Whole Loan (Continued) | | | | | | | | |
FNMA Connecticut Avenue Securities, | | | | | | | | |
Series 2018-C04, Class 2M2, (1M USD LIBOR + 2.55%, 2.55% Floor), 2.66%, 12/25/30(c) | | $ | 798,347 | | | $ | 814,629 | |
Series 2018-C05, Class 1M2, (1M USD LIBOR + 2.35%, 2.35% Floor), 2.46%, 1/25/31(c) | | | 467,448 | | | | 473,937 | |
Series 2018-C06, Class 2M2, (1M USD LIBOR + 2.10%, 2.10% Floor), 2.21%, 3/25/31(c) | | | 341,581 | | | | 345,525 | |
Freddie Mac STACR, Series 2019-HQA3, Class M2, (1M USD LIBOR + 1.85%), 1.96%, 9/25/49(b)(c) | | | 354,613 | | | | 356,838 | |
Freddie Mac STACR REMIC Trust, | | | | | | | | |
Series 2019-HQA4, Class M2, (1M USD LIBOR + 2.05%), 2.16%, 11/25/49(b)(c) | | | 348,192 | | | | 348,721 | |
Series 2020-DNA1, Class M2, (1M USD LIBOR + 1.70%), 1.81%, 1/25/50(b)(c) | | | 1,725,322 | | | | 1,732,186 | |
Series 2020-DNA2, Class M2, (1M USD LIBOR + 1.85%, 1.85% Floor), 1.96%, 2/25/50(b)(c) | | | 850,000 | | | | 857,995 | |
Series 2020-DNA5, Class M1, (30D Average SOFR + 1.30%), 1.31%, 10/25/50(b)(c) | | | 152,116 | | | | 152,368 | |
Series 2020-DNA6, Class M1, (30D Average SOFR + 0.90%), 0.91%, 12/25/50(b)(c) | | | 232,646 | | | | 232,732 | |
Series 2020-HQA1, Class M2, (1M USD LIBOR + 1.90%), 2.01%, 1/25/50(b)(c) | | | 204,474 | | | | 205,589 | |
Series 2020-HQA2, Class M2, (1M USD LIBOR + 3.10%), 3.21%, 3/25/50(b)(c) | | | 1,100,000 | | | | 1,123,825 | |
Series 2020-HQA4, Class M2, (1M USD LIBOR + 3.15%), 3.26%, 9/25/50(b)(c) | | | 1,000,000 | | | | 1,011,259 | |
Series 2021-DNA1, Class M1, (30D Average SOFR + 0.65%), 0.66%, 1/25/51(b)(c) | | | 370,000 | | | | 370,000 | |
See accompanying Notes to Financial Statements
208
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Whole Loan (Continued) | | | | | | | | |
Freddie Mac STACR REMIC Trust, | | | | | | | | |
Series 2021-DNA3, Class M2, (30D Average SOFR + 2.10%), 2.11%, 10/25/33(b)(c) | | $ | 30,000 | | | $ | 30,431 | |
Series 2021-HQA1, Class M1, (30D Average SOFR + 0.70%), 0.71%, 8/25/33(b)(c) | | | 360,000 | | | | 360,000 | |
Freddie Mac STACR Trust, | | | | | | | | |
Series 2018-HQA2, Class M2, (1M USD LIBOR + 2.30%), 2.41%, 10/25/48(b)(c) | | | 700,000 | | | | 710,432 | |
Series 2019-DNA4, Class M2, (1M USD LIBOR + 1.95%), 2.06%, 10/25/49(b)(c) | | | 777,543 | | | | 781,529 | |
Series 2019-HQA1, Class M2, (1M USD LIBOR + 2.35%), 2.46%, 2/25/49(b)(c) | | | 542,940 | | | | 549,097 | |
| | | | | | | 22,848,824 | |
| | | |
Total Asset-Backed Securities
(Cost $27,212,174) | | | | | | | 27,613,379 | |
| | |
| | | Number of Shares | | | | |
|
Common Stocks – 24.7% | |
Aerospace/Defense – 0.4% | | | | | | | | |
Aerojet Rocketdyne Holdings, Inc.(d) | | | 21,231 | | | | 991,913 | |
Lockheed Martin Corp. | | | 597 | | | | 227,194 | |
Northrop Grumman Corp. | | | 677 | | | | 239,956 | |
| | | | | | | 1,459,063 | |
| | |
Auto Parts & Equipment – 0.1% | | | | | |
Akasol A.G. (Germany)(b)* | | | 2,513 | | | | 361,946 | |
Goodyear Tire & Rubber (The) Co.* | | | 4,819 | | | | 82,935 | |
| | | | | | | | 444,881 | |
| | |
Banks – 0.4% | | | | | | | | |
Cadence BanCorp | | | 20,172 | | | | 448,827 | |
Natixis S.A. (France)* | | | 93,771 | | | | 457,885 | |
Sbanken ASA (Norway)(b) | | | 36,916 | | | | 458,705 | |
| | | | | | | 1,365,417 | |
| | | |
Biotechnology – 1.1% | | | | | | | | |
Alexion Pharmaceuticals, Inc.* | | | 19,785 | | | | 3,337,334 | |
| | | | | | | | |
| | | Number of Shares | | | Value | |
| | |
Biotechnology (Continued) | | | | | | | | |
Amgen, Inc. | | | 915 | | | $ | 219,271 | |
Gilead Sciences, Inc. | | | 3,499 | | | | 222,081 | |
| | | | | | | 3,778,686 | |
| | | |
Building Materials – 0.4% | | | | | | | | |
Forterra, Inc.* | | | 37,726 | | | | 885,052 | |
Tarkett S.A. (France)* | | | 19,013 | | | | 458,355 | |
| | | | | | | 1,343,407 | |
| | | |
Chemicals – 0.9% | | | | | | | | |
Air Products and Chemicals, Inc. | | | 203 | | | | 58,561 | |
Tikkurila OYJ (Finland) | | | 24,538 | | | | 989,752 | |
W.R. Grace & Co. | | | 26,872 | | | | 1,846,913 | |
| | | | | | | 2,895,226 | |
| | | |
Commercial Services – 2.1% | | | | | | | | |
Aggreko PLC (United Kingdom) | | | 57,407 | | | | 683,998 | |
Automatic Data Processing, Inc. | | | 1,213 | | | | 226,819 | |
Cardtronics PLC, Class A* | | | 57,604 | | | | 2,237,339 | |
IHS Markit Ltd.(d) | | | 33,941 | | | | 3,651,373 | |
| | | | | | | 6,799,529 | |
| | | |
Computers – 1.2% | | | | | | | | |
Amdocs Ltd. | | | 3,074 | | | | 235,899 | |
Cubic Corp. | | | 30,433 | | | | 2,277,606 | |
Perspecta, Inc. | | | 53,812 | | | | 1,575,077 | |
| | | | | | | 4,088,582 | |
| | |
Cosmetics/Personal Care – 0.1% | | | | | |
Colgate-Palmolive Co. | | | 2,899 | | | | 233,949 | |
Procter & Gamble (The) Co. | | | 1,705 | | | | 227,481 | |
| | | | | | | 461,430 | |
| | |
Diversified Financial Services – 0.8% | | | | | |
Arrow Global Group PLC
(United Kingdom)* | | | 77,024 | | | | 324,200 | |
Boston Private Financial Holdings, Inc. | | | 111,026 | | | | 1,634,303 | |
Houlihan Lokey, Inc. | | | 2,155 | | | | 142,812 | |
Virtu Financial, Inc. Class A | | | 6,886 | | | | 204,032 | |
Western Union (The) Co. | | | 8,753 | | | | 225,477 | |
| | | | | | | 2,530,824 | |
| | | |
Electric – 0.7% | | | | | | | | |
Alliant Energy Corp. | | | 4,196 | | | | 235,689 | |
Ameren Corp. | | | 2,789 | | | | 236,619 | |
American Electric Power Co., Inc. | | | 2,643 | | | | 234,461 | |
Avangrid, Inc. | | | 4,378 | | | | 222,840 | |
CMS Energy Corp. | | | 3,672 | | | | 236,440 | |
Consolidated Edison, Inc. | | | 3,009 | | | | 232,927 | |
See accompanying Notes to Financial Statements
209
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Number of Shares | | | Value | |
| | |
Electric (Continued) | | | | | | | | |
Duke Energy Corp. | | | 2,328 | | | $ | 234,406 | |
Evergy, Inc. | | | 3,697 | | | | 236,497 | |
Eversource Energy | | | 652 | | | | 56,215 | |
WEC Energy Group, Inc. | | | 2,421 | | | | 235,249 | |
Xcel Energy, Inc. | | | 1,618 | | | | 115,363 | |
| | | | | | | | 2,276,706 | |
| | |
Electronics – 1.4% | | | | | | | | |
Coherent, Inc.(d)* | | | 12,474 | | | | 3,243,116 | |
FLIR Systems, Inc.(d) | | | 20,227 | | | | 1,213,013 | |
| | | | | | | 4,456,129 | |
| | |
Engineering & Construction – 0.5% | | | | | |
Aegion Corp.* | | | 43,293 | | | | 1,303,119 | |
Signature Aviation PLC (United Kingdom)* | | | 63,956 | | | | 357,104 | |
| | | | | | | 1,660,223 | |
| | | |
Entertainment – 0.2% | | | | | | | | |
Gamesys Group PLC (United Kingdom) | | | 20,847 | | | | 557,101 | |
| | | |
Environmental Control – 0.1% | | | | | | | | |
Republic Services, Inc. | | | 2,243 | | | | 238,431 | |
Waste Management, Inc. | | | 1,733 | | | | 239,102 | |
| | | | | | | 477,533 | |
| | | |
Food – 0.4% | | | | | | | | |
Albertsons Cos., Inc., Class A | | | 3,817 | | | | 70,882 | |
Campbell Soup Co. | | | 3,191 | | | | 152,370 | |
Flowers Foods, Inc. | | | 9,737 | | | | 233,298 | |
General Mills, Inc. | | | 3,817 | | | | 232,303 | |
Hormel Foods Corp. | | | 4,995 | | | | 230,769 | |
Kellogg Co. | | | 3,694 | | | | 230,579 | |
Kroger (The) Co. | | | 6,305 | | | | 230,385 | |
| | | | | �� | | 1,380,586 | |
| | | |
Gas – 0.0%(e) | | | | | | | | |
Atmos Energy Corp. | | | 575 | | | | 59,564 | |
| | |
Healthcare - Products – 0.9% | | | | | | | | |
Cantel Medical Corp.* | | | 22,225 | | | | 1,953,800 | |
Luminex Corp. | | | 24,454 | | | | 897,217 | |
| | | | | | | 2,851,017 | |
| | | |
Healthcare - Services – 1.2% | | | | | | | | |
Magellan Health, Inc.(d)* | | | 18,498 | | | | 1,742,512 | |
PPD, Inc.* | | | 39,696 | | | | 1,833,955 | |
Quest Diagnostics, Inc. | | | 1,798 | | | | 237,120 | |
| | | | | | | | 3,813,587 | |
| | | | | | | | |
| | | Number of Shares | | | Value | |
| |
Holding Companies - Diversified – 0.0%(e) | | | | | |
Tailwind International Acquisition Corp.* | | | 1,982 | | | $ | 19,800 | |
| |
Household Products/Wares – 0.1% | | | | | |
Clorox (The) Co. | | | 1,227 | | | | 223,927 | |
Kimberly-Clark Corp. | | | 1,681 | | | | 224,111 | |
| | | | | | | 448,038 | |
| | | |
Housewares – 0.1% | | | | | | | | |
Hunter Douglas N.V. (Netherlands)* | | | 2,874 | | | | 234,939 | |
| | |
Insurance – 1.7% | | | | | | | | |
Allstate (The) Corp. | | | 559 | | | | 70,881 | |
Aon PLC, Class A | | | 3,189 | | | | 801,842 | |
Assurant, Inc. | | | 1,534 | | | | 238,691 | |
RSA Insurance Group PLC (United Kingdom) | | | 127,513 | | | | 1,200,905 | |
TOWER Ltd. (New Zealand)* | | | 192,415 | | | | 119,792 | |
Willis Towers Watson PLC(d) | | | 12,241 | | | | 3,168,705 | |
| | | | | | | 5,600,816 | |
| | | |
Internet – 1.3% | | | | | | | | |
Boingo Wireless, Inc.* | | | 82,857 | | | | 1,156,684 | |
Cerved Group S.p.A. (Italy)* | | | 37,120 | | | | 435,448 | |
Grubhub, Inc.(f)* | | | 5,028 | | | | 342,105 | |
Leaf Group Ltd.(d)* | | | 46,137 | | | | 408,774 | |
NortonLifeLock, Inc. | | | 10,823 | | | | 233,885 | |
Proofpoint, Inc.* | | | 9,326 | | | | 1,605,098 | |
| | | | | | | 4,181,994 | |
| | | |
Lodging – 0.7% | | | | | | | | |
Extended Stay America, Inc.(d) | | | 109,635 | | | | 2,180,640 | |
| | | |
Machinery - Diversified – 0.2% | | | | | | | | |
Welbilt, Inc.* | | | 30,299 | | | | 676,880 | |
| | |
Media – 0.2% | | | | | | | | |
Comcast Corp., Class A | | | 4,246 | | | | 238,413 | |
Euskaltel S.A. (Spain)(b) | | | 41,490 | | | | 551,956 | |
| | | | | | | 790,369 | |
| | | |
Mining – 0.1% | | | | | | | | |
Newmont Corp. | | | 3,591 | | | | 224,114 | |
| |
Miscellaneous Manufacturing – 0.1% | | | | | |
3M Co. | | | 1,178 | | | | 232,231 | |
| | |
Office Furnishings – 0.1% | | | | | | | | |
Knoll, Inc. | | | 9,859 | | | | 235,630 | |
See accompanying Notes to Financial Statements
210
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Number of Shares | | | Value | |
| |
Packaging & Containers – 0.1% | | | | | |
Amcor PLC | | | 10,622 | | | $ | 124,808 | |
Sonoco Products Co. | | | 1,256 | | | | 82,218 | |
| | | | | | | | 207,026 | |
| | |
Pharmaceuticals – 0.6% | | | | | | | | |
CVS Health Corp. | | | 1,159 | | | | 88,547 | |
GW Pharmaceuticals PLC | | | | | | | | |
ADR (United Kingdom)* | | | 3,212 | | | | 703,428 | |
Johnson & Johnson | | | 1,442 | | | | 234,657 | |
Merck & Co., Inc. | | | 3,020 | | | | 224,990 | |
Pfizer, Inc. | | | 6,096 | | | | 235,610 | |
PRA Health Sciences, Inc.(d)* | | | 2,857 | | | | 476,805 | |
| | | | | | | | 1,964,037 | |
| | |
Real Estate – 0.2% | | | | | | | | |
CA Immobilien Anlagen A.G. (Austria) | | | 12,630 | | | | 553,480 | |
| |
Real Estate Investment Trusts – 0.3% | | | | | |
CyrusOne, Inc. | | | 1,185 | | | | 86,304 | |
Healthcare Trust of America, Inc., Class A | | | 2,053 | | | | 60,297 | |
Public Storage | | | 878 | | | | 246,858 | |
RDI REIT PLC (United Kingdom) | | | 142,130 | | | | 238,205 | |
VEREIT, Inc. | | | 4,875 | | | | 233,220 | |
| | | | | | | | 864,884 | |
| | |
Retail – 0.1% | | | | | | | | |
Home Depot (The), Inc. | | | 735 | | | | 237,897 | |
| | |
Semiconductors – 1.9% | | | | | | | | |
Dialog Semiconductor PLC (United Kingdom)* | | | 9,455 | | | | 740,708 | |
Maxim Integrated Products, Inc.(d) | | | 38,883 | | | | 3,655,002 | |
Xilinx, Inc.(d) | | | 14,278 | | | | 1,827,013 | |
| | | | | | | | 6,222,723 | |
| | |
Software – 2.3% | | | | | | | | |
Change Healthcare, Inc.(d)* | | | 90,225 | | | | 2,070,664 | |
Nuance Communications, Inc.* | | | 38,155 | | | | 2,028,701 | |
Oracle Corp. | | | 3,005 | | | | 227,749 | |
Paychex, Inc. | | | 2,400 | | | | 233,976 | |
Slack Technologies, Inc., Class A(d)* | | | 64,026 | | | | 2,714,702 | |
Talend S.A. ADR(d)* | | | 6,628 | | | | 426,910 | |
| | | | | | | | 7,702,702 | |
| | |
Telecommunications – 0.7% | | | | | | | | |
Cisco Systems, Inc. | | | 4,432 | | | | 225,633 | |
Juniper Networks, Inc. | | | 7,217 | | | | 183,240 | |
| | | | | | | | |
| | | Number of Shares | | | Value | |
| |
Telecommunications (Continued) | | | | | |
Orange Belgium S.A. (Belgium) | | | 13,134 | | | $ | 347,101 | |
ORBCOMM, Inc.* | | | 117,150 | | | | 1,342,539 | |
Verizon Communications, Inc. | | | 4,015 | | | | 232,027 | |
| | | | | | | | 2,330,540 | |
| |
Toys/Games/Hobbies – 0.0%(e) | | | | | |
Hasbro, Inc. | | | 597 | | | | 59,372 | |
| | |
Transportation – 0.6% | | | | | | | | |
C.H. Robinson | | | | | | | | |
Worldwide, Inc. | | | 643 | | | | 62,422 | |
Kansas City Southern(d)(f) | | | 6,141 | | | | 1,794,462 | |
United Parcel Service, Inc., Class B | | | 853 | | | | 173,893 | |
| | | | | | | | 2,030,777 | |
| | |
Trucking & Leasing – 0.1% | | | | | | | | |
Fly Leasing Ltd. ADR (India)(d)* | | | 13,266 | | | | 224,461 | |
| | | |
Water – 0.3% | | | | | | | | |
Suez S.A. (France) | | | 35,654 | | | | 852,170 | |
| | |
Total Common Stocks
(Cost $76,986,411) | | | | | | | 80,775,011 | |
| | |
| | | Par(a) | | | | |
| |
Convertible Bonds – 24.0% | | | | | |
Aerospace/Defense – 0.1% | | | | | | | | |
Kaman Corp., 3.25%, 5/01/24(d) | | $ | 353,000 | | | | 387,859 | |
| | |
Airlines – 0.6% | | | | | | | | |
Copa Holdings S.A., 4.50%,
4/15/25(b)(d) | | | 405,000 | | | | 739,368 | |
Southwest Airlines Co., 1.25%,
5/01/25(d) | | | 346,000 | | | | 600,743 | |
Spirit Airlines, Inc., 1.00%, 5/15/26 | | | 563,000 | | | | 577,723 | |
| | | | | | | | 1,917,834 | |
| | |
Auto Manufacturers – 0.3% | | | | | | | | |
Ford Motor Co., 0.00%,
3/15/26(b)(d)(g) | | | 397,000 | | | | 392,038 | |
Lightning eMotors, Inc., 7.50%,
5/15/24(h) | | | 121,000 | | | | 107,845 | |
NIO, Inc., 0.00%, 2/01/26(b)(d)(g) | | | 424,000 | | | | 362,011 | |
| | | | | | | 861,894 | |
| | |
Auto Parts & Equipment – 0.1% | | | | | |
Meritor, Inc., 3.25%, 10/15/37(d) | | | 346,000 | | | | 386,871 | |
See accompanying Notes to Financial Statements
211
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Biotechnology – 2.3% | |
Apellis Pharmaceuticals, Inc., 3.50%, 9/15/26(d) | | $ | 340,000 | | | $ | 530,842 | |
Avid SPV LLC, 1.25%, 3/15/26(b)(d) | | | 266,000 | | | | 311,889 | |
Bridgebio Pharma, Inc., 2.25%, 2/01/29(b)(d) | | | 506,000 | | | | 464,968 | |
Exact Sciences Corp., 0.38%, 3/15/27(d) | | | 620,000 | | | | 844,362 | |
Gossamer Bio, Inc., 5.00%, 6/01/27(d) | | | 621,000 | | | | 537,553 | |
Halozyme Therapeutics, Inc., 0.25%, 3/01/27(b) | | | 535,000 | | | | 514,938 | |
Innoviva, Inc., 2.13%, 1/15/23(d) | | | 558,000 | | | | 553,117 | |
Insmed, Inc., 1.75%, 1/15/25(d) | | | 436,000 | | | | 486,140 | |
Ionis Pharmaceuticals, Inc., 0.13%, 12/15/24(d) | | | 585,000 | | | | 541,107 | |
Ligand Pharmaceuticals, Inc., 0.75%, 5/15/23(d) | | | 796,000 | | | | 807,060 | |
NeoGenomics, Inc., 0.25%, 1/15/28(d) | | | 340,000 | | | | 343,408 | |
Radius Health, Inc., 3.00%, 9/01/24(d) | | | 806,000 | | | | 772,109 | |
Theravance Biopharma, Inc., 3.25%, 11/01/23(d) | | | 380,000 | | | | 385,244 | |
Travere Therapeutics, Inc., 2.50%,
9/15/25(d) | | | 476,000 | | | | 478,836 | |
| | | | | | | 7,571,573 | |
| |
Commercial Services – 0.6% | |
2U, Inc., 2.25%, 5/01/25(d)(f) | | | 251,000 | | | | 395,451 | |
FTI Consulting, Inc., 2.00%, 8/15/23(d) | | | 522,000 | | | | 753,507 | |
Sabre GLBL, Inc., 4.00%, 4/15/25 | | | 242,000 | | | | 509,652 | |
Stride, Inc., 1.13%, 9/01/27(b)(d) | | | 428,000 | | | | 383,188 | |
| | | | | | | 2,041,798 | |
| |
Computers – 0.5% | |
Lumentum Holdings, Inc., 0.50%,
12/15/26(d)(f) | | | 611,000 | | | | 674,422 | |
Mitek Systems, Inc., 0.75%, 2/01/26(b)(d) | | | 379,000 | | | | 398,660 | |
Vocera Communications, Inc., 0.50%, 9/15/26(b)(d) | | | 531,000 | | | | 479,371 | |
| | | | | | | | 1,552,453 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Diversified Financial Services – 0.6% | |
Encore Capital Europe Finance Ltd., 4.50%, 9/01/23(d) | | $ | 483,000 | | | $ | 546,256 | |
PRA Group, Inc., 3.50%, 6/01/23(d) | | | 785,000 | | | | 839,950 | |
WisdomTree Investments, Inc., 4.25%, 6/15/23(b)(d) | | | 352,000 | | | | 455,407 | |
| | | | | | | 1,841,613 | |
| |
Electric – 0.2% | |
NRG Energy, Inc., 2.75%, 6/01/48(d) | | | 651,000 | | | | 734,816 | |
| | | |
Electronics – 0.8% | | | | | | | | |
GoPro, Inc., 1.25%, 11/15/25(b)(d) | | | 306,000 | | | | 431,858 | |
II-VI, Inc., 0.25%, 9/01/22(d)(f) | | | 560,000 | | | | 835,100 | |
Knowles Corp., 3.25%, 11/01/21(d) | | | 357,000 | | | | 416,119 | |
OSI Systems, Inc., 1.25%, 9/01/22(d) | | | 696,000 | | | | 751,680 | |
Vishay Intertechnology, Inc., 2.25%,
6/15/25(d) | | | 325,000 | | | | 352,625 | |
| | | | | | | 2,787,382 | |
| |
Energy - Alternate Sources – 0.6% | |
Canadian Solar, Inc., 2.50%, 10/01/25(b)(d) | | | 157,000 | | | | 206,659 | |
Enphase Energy, Inc., 0.00%, 3/01/28(b)(f)(g) | | | 908,000 | | | | 796,266 | |
SunPower Corp., 4.00%, 1/15/23(d) | | | 309,000 | | | | 411,673 | |
Sunrun, Inc., 0.00%, 2/01/26(b)(g) | | | 605,000 | | | | 497,612 | |
| | | | | | | 1,912,210 | |
| |
Engineering & Construction – 0.3% | |
Granite Construction, Inc., 2.75%,
11/01/24(d) | | | 710,000 | | | | 951,400 | |
| |
Entertainment – 0.4% | |
Cinemark Holdings, Inc., 4.50%, 8/15/25(b)(d) | | | 560,000 | | | | 962,850 | |
DraftKings, Inc., 0.00%, 3/15/28(b)(d)(g) | | | 463,000 | | | | 441,933 | |
| | | | | | | 1,404,783 | |
| | |
Food – 0.3% | | | | | |
Beyond Meat, Inc., 0.00%, 3/15/27(b)(d)(g) | | | 264,000 | | | | 250,140 | |
Chefs’ Warehouse (The), Inc., 1.88%, 12/01/24(d) | | | 813,000 | | | | 831,801 | |
| | | | | | | | 1,081,941 | |
See accompanying Notes to Financial Statements
212
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Healthcare - Products – 0.7% | |
LivaNova USA, Inc., 3.00%,
12/15/25(b)(d) | | $ | 350,000 | | | $ | 543,594 | |
NanoString Technologies, Inc., 2.63%, 3/01/25 | | | 422,000 | | | | 780,953 | |
SmileDirectClub, Inc., 0.00%,
2/01/26(b)(d)(g) | | | 802,000 | | | | 701,249 | |
Varex Imaging Corp., 4.00%, 6/01/25(b)(d) | | | 244,000 | | | | 330,467 | |
| | | | | | | 2,356,263 | |
| |
Healthcare - Services – 0.1% | |
Oak Street Health, Inc., 0.00%,
3/15/26(b)(d)(g) | | | 266,000 | | | | 276,474 | |
| |
Home Builders – 0.2% | |
Winnebago Industries, Inc., 1.50%, 4/01/25(d) | | | 562,000 | | | | 800,850 | |
| | |
Insurance – 0.4% | | | | | |
MGIC Investment Corp., 9.00%,
4/01/63(b)(d) | | | 919,000 | | | | 1,231,460 | |
| | |
Internet – 2.8% | | | | | |
21Vianet Group, Inc., 0.00%,
2/01/26(b)(d)(g) | | | 408,000 | | | | 360,060 | |
Boingo Wireless, Inc., 1.00%, 10/01/23(d) | | | 403,000 | | | | 394,940 | |
fuboTV, Inc., 3.25%, 2/15/26(b) | | | 935,000 | | | | 786,569 | |
Groupon, Inc., 1.13%, 3/15/26(b)(d) | | | 531,000 | | | | 527,681 | |
iQIYI, Inc., 2.00%, 4/01/25(d)(f) | | | 995,000 | | | | 915,400 | |
JOYY, Inc., 1.38%, 6/15/26(d)(f) | | | 469,000 | | | | 560,455 | |
Magnite, Inc., 0.25%, 3/15/26(b)(d) | | | 265,000 | | | | 249,266 | |
Match Group Financeco 3, Inc., 2.00%, 1/15/30(b)(d) | | | 369,000 | | | | 725,777 | |
Momo, Inc., 1.25%, 7/01/25(d) | | | 1,112,000 | | | | 975,091 | |
Palo Alto Networks, Inc., 0.75%,
7/01/23(d) | | | 497,000 | | | | 699,527 | |
Perficient, Inc., 1.25%, 8/01/25(b)(d) | | | 505,000 | | | | 703,387 | |
Q2 Holdings, Inc., 0.75%, 6/01/26(d) | | | 500,000 | | | | 660,312 | |
RealReal (The), Inc., 1.00%, 3/01/28(b)(d) | | | 132,000 | | | | 138,112 | |
Snap, Inc., 0.00%, 5/01/27(b)(g) | | | 151,000 | | | | 154,492 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Internet (Continued) | | | | | |
Spotify USA, Inc., 0.00%, 3/15/26(b)(d)(g) | | $ | 401,000 | | | $ | 369,722 | |
Zillow Group, Inc., 2.75%, 5/15/25(d)(f) | | | 503,000 | | | | 1,039,009 | |
| | | | | | | 9,259,800 | |
| |
Leisure Time – 1.2% | |
Callaway Golf Co., 2.75%, 5/01/26(b)(d)(f) | | | 428,000 | | | | 771,203 | |
Liberty TripAdvisor Holdings, Inc., 0.50%, 6/30/51(b) | | | 664,000 | | | | 631,638 | |
NCL Corp. Ltd., 6.00%, 5/15/24(b)(d) | | | 468,000 | | | | 1,142,797 | |
Royal Caribbean Cruises Ltd., | | | | | | | | |
4.25%, 6/15/23(b)(d)(f) | | | 567,000 | | | | 795,785 | |
2.88%, 11/15/23(b)(f) | | | 350,000 | | | | 452,725 | |
| | | | | | | 3,794,148 | |
| |
Lodging – 0.4% | |
Huazhu Group Ltd., 3.00%, 5/01/26(b)(d) | | | 249,000 | | | | 388,285 | |
Marcus (The) Corp., 5.00%, 9/15/25(b)(d)(f) | | | 425,000 | | | | 856,616 | |
| | | | | | | 1,244,901 | |
| |
Machinery - Construction & Mining – 0.2% | |
Bloom Energy Corp., 2.50%, 8/15/25(b)(d)(f) | | | 360,000 | | | | 633,129 | |
| |
Machinery - Diversified – 0.2% | |
Middleby (The) Corp., 1.00%, 9/01/25(b)(d)(f) | | | 562,000 | | | | 841,876 | |
| |
Media – 0.2% | |
Cable One, Inc., 1.13%, 3/15/28(b)(d) | | | 467,000 | | | | 461,617 | |
Liberty Interactive LLC, 3.50%, 1/15/31(d) | | | 221,000 | | | | 219,895 | |
| | | | | | | 681,512 | |
| |
Oil & Gas – 0.3% | |
Centennial Resource Production LLC, 3.25%, 4/01/28(d) | | | 871,000 | | | | 850,357 | |
| |
Oil & Gas Services – 0.2% | |
Helix Energy Solutions Group, Inc., | | | | | | | | |
4.13%, 9/15/23(d) | | | 273,000 | | | | 255,983 | |
6.75%, 2/15/26 | | | 488,000 | | | | 521,916 | |
| | | | | | | 777,899 | |
| |
Pharmaceuticals – 0.9% | |
Coherus Biosciences, Inc., 1.50%, 4/15/26 | | | 534,000 | | | | 568,144 | |
See accompanying Notes to Financial Statements
213
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Pharmaceuticals (Continued) | |
Flexion Therapeutics, Inc., 3.38%, 5/01/24(d) | | $ | 1,005,000 | | | $ | 887,896 | |
Jazz Investments I Ltd., | | | | | | | | |
1.50%, 8/15/24(d) | | | 617,000 | | | | 668,061 | |
2.00%, 6/15/26(b) | | | 465,000 | | | | 594,619 | |
Zogenix, Inc., 2.75%, 10/01/27(b)(d) | | | 350,000 | | | | 376,250 | |
| | | | | | | 3,094,970 | |
| |
Pipelines – 0.3% | |
Cheniere Energy, Inc., 4.25%, 3/15/45(d) | | | 1,056,000 | | | | 869,147 | |
| |
Real Estate – 0.0%(e) | |
Redfin Corp., 0.50%, 4/01/27(b)(d) | | | 133,000 | | | | 138,388 | |
| |
Real Estate Investment Trusts – 3.6% | |
Apollo Commercial Real Estate Finance, Inc., | | | | | | | | |
4.75%, 8/23/22 | | | 243,000 | | | | 247,253 | |
5.38%, 10/15/23(d) | | | 1,458,000 | | | | 1,451,621 | |
Blackstone Mortgage Trust, Inc., 4.75%, 3/15/23 | | | 650,000 | | | | 668,720 | |
GEO Corrections Holdings, Inc., 6.50%, 2/23/26(b)(d) | | | 736,000 | | | | 625,206 | |
Granite Point Mortgage Trust, Inc., | | | | | | | | |
5.63%, 12/01/22(b) | | | 1,072,000 | | | | 1,032,470 | |
6.38%, 10/01/23 | | | 624,000 | | | | 599,040 | |
iStar, Inc., 3.13%, 9/15/22(d) | | | 458,000 | | | | 618,586 | |
KKR Real Estate Finance Trust, Inc., 6.13%, 5/15/23 | | | 635,000 | | | | 688,578 | |
MFA Financial, Inc., 6.25%, 6/15/24(d) | | | 1,105,000 | | | | 1,112,308 | |
New York Mortgage Trust, Inc., 6.25%, 1/15/22 | | | 447,000 | | | | 454,264 | |
Pebblebrook Hotel Trust, 1.75%,
12/15/26(d) | | | 481,000 | | | | 549,302 | |
PennyMac Corp., | | | | | | | | |
5.50%, 11/01/24(d) | | | 1,085,000 | | | | 1,095,850 | |
5.50%, 3/15/26(b) | | | 132,000 | | | | 135,465 | |
Redwood Trust, Inc., 4.75%, 8/15/23 | | | 883,000 | | | | 886,355 | |
Summit Hotel Properties, Inc., 1.50%, 2/15/26(d)(f) | | | 498,000 | | | | 539,334 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Real Estate Investment Trusts (Continued) | |
Two Harbors Investment Corp., 6.25%, 1/15/26 | | $ | 487,000 | | | $ | 546,073 | |
Western Asset Mortgage Capital Corp., 6.75%, 10/01/22 | | | 512,000 | | | | 470,400 | |
| | | | | | | 11,720,825 | |
| | |
Retail – 0.4% | | | | | |
Burlington Stores, Inc., 2.25%,
4/15/25(d) | | | 440,000 | | | | 702,075 | |
National Vision Holdings, Inc., 2.50%, 5/15/25(b)(d) | | | 271,000 | | | | 470,016 | |
| | | | | | | 1,172,091 | |
| |
Semiconductors – 0.1% | |
MACOM Technology Solutions Holdings, Inc., 0.25%, 3/15/26(b)(d) | | | 265,000 | | | | 264,006 | |
| |
Software – 2.9% | |
8x8, Inc., 0.50%, 2/01/24(d) | | | 446,000 | | | | 622,393 | |
Avaya Holdings Corp., 2.25%,
6/15/23(d)(f) | | | 519,000 | | | | 644,338 | |
Blackline, Inc., 0.00%, 3/15/26(b)(d)(g) | | | 467,000 | | | | 460,287 | |
Ceridian HCM Holding, Inc., 0.25%, 3/15/26(b)(d) | | | 132,000 | | | | 131,340 | |
Envestnet, Inc., 1.75%, 6/01/23(d) | | | 477,000 | | | | 580,748 | |
Everbridge, Inc., 0.13%, 12/15/24(d)(f) | | | 440,000 | | | | 591,800 | |
Health Catalyst, Inc., 2.50%, 4/15/25 | | | 157,000 | | | | 310,369 | |
i3 Verticals LLC, 1.00%, 2/15/25(b)(d) | | | 598,000 | | | | 633,133 | |
J2 Global, Inc., 1.75%, 11/01/26(b)(d) | | | 856,000 | | | | 1,001,520 | |
MicroStrategy, Inc., 0.00%, 2/15/27(b)(g) | | | 511,000 | | | | 419,531 | |
New Relic, Inc., 0.50%, 5/01/23(d)(f) | | | 1,068,000 | | | | 1,038,630 | |
Nuance Communications, Inc., 1.00%, 12/15/35(d) | | | 397,000 | | | | 871,653 | |
Progress Software Corp., 1.00%, 4/15/26(b) | | | 268,000 | | | | 263,137 | |
Splunk, Inc., 1.13%, 6/15/27(b)(d) | | | 266,000 | | | | 245,219 | |
Tabula Rasa HealthCare, Inc., 1.75%, 2/15/26(d) | | | 612,000 | | | | 627,300 | |
See accompanying Notes to Financial Statements
214
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Software (Continued) | | | | | | | | |
Verint Systems, Inc., 0.25%, 4/15/26(b) | | $ | 267,000 | | | $ | 269,250 | |
Workiva, Inc., 1.13%, 8/15/26(d) | | | 606,000 | | | | 819,397 | |
| | | | | | | 9,530,045 | |
| | | |
Telecommunications – 0.4% | | | | | | | | |
Infinera Corp., 2.13%, 9/01/24(d)(f) | | | 552,000 | | | | 636,775 | |
Vonage Holdings Corp., 1.75%, 6/01/24(d) | | | 596,000 | | | | 649,576 | |
| | | | | | | 1,286,351 | |
| | | |
Transportation – 0.7% | | | | | | | | |
Air Transport Services Group, Inc., 1.13%, 10/15/24(d) | | | 656,000 | | | | 697,000 | |
Golar LNG Ltd., 2.75%, 2/15/22 | | | 622,000 | | | | 606,662 | |
SEACOR Holdings, Inc., 3.25%, 5/15/30 | | | 489,000 | | | | 486,604 | |
SFL Corp. Ltd., 4.88%, 5/01/23(d) | | | 394,000 | | | | 376,782 | |
| | | | | | | 2,167,048 | |
| | | |
Trucking & Leasing – 0.1% | | | | | | | | |
Greenbrier (The) Cos., Inc., 2.88%, 4/15/28(b) | | | 289,000 | | | | 314,287 | |
| | |
Total Convertible Bonds
(Cost $67,703,123) | | | | | | | 78,740,254 | |
| | | |
| | | Number of Shares | | | | |
|
Convertible Preferred Stocks – 2.0% | |
Agriculture – 0.2% | | | | | | | | |
Bunge Ltd., 4.88%* | | | 4,962 | | | | 585,516 | |
| | |
Auto Parts & Equipment – 0.1% | | | | | |
Aptiv PLC, 5.50% | | | 2,745 | | | | 448,259 | |
| | | |
Chemicals – 0.2% | | | | | | | | |
Lyondellbasell Advanced Polymers, Inc., 6.00% | | | 669 | | | | 720,513 | |
| | | |
Computers – 0.3% | | | | | | | | |
NCR Corp., 5.50%(i) | | | 556 | | | | 938,389 | |
| | |
Diversified Financial Services – 0.6% | | | | | |
AMG Capital Trust II, 5.15%(d) | | | 18,015 | | | | 1,053,877 | |
Cowen, Inc., 5.63%(d) | | | 723 | | | | 1,012,200 | |
| | | | | | | | 2,066,077 | |
| | | | | | | | |
| | | Number of Shares | | | Value | |
| | |
Gas – 0.3% | | | | | | | | |
South Jersey Industries, Inc., 0.00%* | | | 16,539 | | | $ | 876,402 | |
| | | |
Savings & Loans – 0.3% | | | | | | | | |
New York Community Capital Trust V, 6.00% | | | 16,768 | | | | 845,323 | |
| | |
Total Convertible Preferred Stocks
(Cost $5,234,317) | | | | | | | 6,480,479 | |
| | | |
| | | Par(a) | | | | |
| |
Corporate Bonds – 14.1% | | | | | |
Advertising – 0.0%(e) | | | | | | | | |
Advantage Sales & Marketing, Inc., 6.50%, 11/15/28(b) | | $ | 75,000 | | | | 79,312 | |
Interpublic (The) Group of Cos., Inc, 2.40%, 3/01/31 | | | 60,000 | | | | 58,828 | |
| | | | | | | 138,140 | |
| | | |
Aerospace/Defense – 0.2% | | | | | | | | |
Boeing (The) Co., | | | | | | | | |
1.17%, 2/04/23 | | | 30,000 | | | | 30,125 | |
4.51%, 5/01/23 | | | 100,000 | | | | 106,788 | |
1.43%, 2/04/24 | | | 50,000 | | | | 50,155 | |
4.88%, 5/01/25 | | | 15,000 | | | | 16,822 | |
2.20%, 2/04/26 | | | 60,000 | | | | 60,108 | |
Howmet Aerospace, Inc., | | | | | | | | |
5.90%, 2/01/27 | | | 25,000 | | | | 28,844 | |
5.95%, 2/01/37 | | | 25,000 | | | | 30,036 | |
Signature Aviation U.S. Holdings, Inc., 4.00%, 3/01/28(b) | | | 75,000 | | | | 75,562 | |
Spirit AeroSystems, Inc., | | | | | | | | |
5.50%, 1/15/25(b) | | | 10,000 | | | | 10,575 | |
4.60%, 6/15/28 | | | 100,000 | | | | 97,750 | |
TransDigm, Inc., | | | | | | | | |
6.25%, 3/15/26(b) | | | 100,000 | | | | 105,875 | |
5.50%, 11/15/27 | | | 75,000 | | | | 78,045 | |
Triumph Group, Inc., 8.88%, 6/01/24(b) | | | 24,000 | | | | 26,700 | |
| | | | | | | 717,385 | |
| | | |
Agriculture – 0.1% | | | | | | | | |
Altria Group, Inc., 2.35%, 5/06/25 | | | 180,000 | | | | 188,310 | |
Bunge Ltd. Finance Corp., 1.63%, 8/17/25 | | | 50,000 | | | | 50,594 | |
Darling Ingredients, Inc., 5.25%, 4/15/27(b) | | | 25,000 | | | | 26,281 | |
Philip Morris International, Inc., 1.50%, 5/01/25 | | | 100,000 | | | | 101,926 | |
See accompanying Notes to Financial Statements
215
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Agriculture (Continued) | | | | | | | | |
Turning Point Brands, Inc., 5.63%, 2/15/26(b) | | $ | 15,000 | | | $ | 15,488 | |
Vector Group Ltd., 5.75%, 2/01/29(b) | | | 60,000 | | | | 60,385 | |
| | | | | | | 442,984 | |
| | | |
Airlines – 0.1% | | | | | | | | |
American Airlines, Inc., 11.80%, 7/15/25(b) | | | 25,000 | | | | 31,313 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., | | | | | | | | |
5.50%, 4/20/26(b) | | | 20,000 | | | | 21,000 | |
5.75%, 4/20/29(b) | | | 20,000 | | | | 21,430 | |
Delta Air Lines, Inc., 7.38%, 1/15/26 | | | 75,000 | | | | 88,097 | |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 1/20/26(b) | | | 50,000 | | | | 52,812 | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 6/20/27(b) | | | 73,781 | | | | 80,975 | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 9/20/25(b) | | | 50,000 | | | | 56,304 | |
United Airlines, Inc., | | | | | | | | |
4.38%, 4/15/26(b) | | | 30,000 | | | | 31,132 | |
4.63%, 4/15/29(b) | | | 30,000 | | | | 31,176 | |
| | | | | | | 414,239 | |
| | | |
Auto Manufacturers – 0.4% | | | | | | | | |
Allison Transmission, Inc., 3.75%, 1/30/31(b) | | | 30,000 | | | | 28,950 | |
American Honda Finance Corp., 1.20%, 7/08/25 | | | 75,000 | | | | 75,503 | |
Ford Motor Co., | | | | | | | | |
8.50%, 4/21/23 | | | 75,000 | | | | 84,000 | |
9.00%, 4/22/25 | | | 100,000 | | | | 122,125 | |
9.63%, 4/22/30 | | | 50,000 | | | | 70,125 | |
4.75%, 1/15/43 | | | 25,000 | | | | 25,209 | |
5.29%, 12/08/46 | | | 25,000 | | | | 26,322 | |
Ford Motor Credit Co. LLC, 3.38%, 11/13/25 | | | 200,000 | | | | 204,622 | |
General Motors Financial Co., Inc., | | | | | | | | |
3.55%, 7/08/22 | | | 200,000 | | | | 206,810 | |
1.70%, 8/18/23 | | | 270,000 | | | | 275,580 | |
2.75%, 6/20/25 | | | 135,000 | | | | 142,073 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Auto Manufacturers (Continued) | | | | | | | | |
Navistar International Corp., 6.63%, 11/01/25(b) | | $ | 50,000 | | | $ | 51,750 | |
| | | | | | | 1,313,069 | |
| | | |
Auto Parts & Equipment – 0.1% | | | | | | | | |
Aptiv Corp., 4.15%, 3/15/24 | | | 75,000 | | | | 81,730 | |
Dana, Inc., 9/01/30(j) | | | 15,000 | | | | 15,150 | |
Goodyear Tire & Rubber (The) Co., 5.25%, 4/30/31 | | | 25,000 | | | | 25,192 | |
Lear Corp., 3.80%, 9/15/27 | | | 145,000 | | | | 159,435 | |
Meritor, Inc., 4.50%, 12/15/28(b) | | | 30,000 | | | | 30,375 | |
Real Hero Merger Sub 2, Inc., 6.25%, 2/01/29(b) | | | 15,000 | | | | 15,518 | |
Tenneco, Inc., | | | | | | | | |
7.88%, 1/15/29(b) | | | 10,000 | | | | 11,260 | |
5.13%, 4/15/29(b) | | | 15,000 | | | | 14,887 | |
| | | | | | | 353,547 | |
| | | |
Banks – 1.9% | | | | | | | | |
Bank of America Corp., | | | | | | | | |
4.13%, 1/22/24 | | | 200,000 | | | | 218,938 | |
(SOFR + 0.74%), 0.81%, 10/24/24(k) | | | 135,000 | | | | 135,253 | |
4.00%, 1/22/25 | | | 100,000 | | | | 110,067 | |
(SOFR + 0.69%), 0.98%, 4/22/25(k) | | | 240,000 | | | | 240,643 | |
(SOFR + 0.91%), 0.98%, 9/25/25(k) | | | 40,000 | | | | 39,965 | |
(3M USD LIBOR + 0.81%), 3.37%, 1/23/26(k) | | | 50,000 | | | | 54,007 | |
(SOFR + 1.15%), 1.32%, 6/19/26(k) | | | 210,000 | | | | 210,445 | |
(SOFR + 1.22%), 2.65%, 3/11/32(k) | | | 50,000 | | | | 50,420 | |
Bank of New York Mellon (The) Corp., 0.50%, 4/26/24 | | | 85,000 | | | | 84,955 | |
Citigroup, Inc., | | | | | | | | |
4.00%, 8/05/24 | | | 150,000 | | | | 164,013 | |
(SOFR + 0.69%), 0.78%, 10/30/24(k) | | | 450,000 | | | | 450,203 | |
(SOFR + 0.67%), 0.98%, 5/01/25(k) | | | 85,000 | | | | 85,252 | |
(3M USD LIBOR + 1.15%), 3.52%, 10/27/28(k) | | | 50,000 | | | | 54,377 | |
(SOFR + 1.42%), 2.98%, 11/05/30(k) | | | 110,000 | | | | 114,617 | |
Fifth Third Bancorp, 3.65%, 1/25/24 | | | 50,000 | | | | 53,874 | |
Freedom Mortgage Corp., 7.63%, 5/01/26(b) | | | 60,000 | | | | 62,550 | |
See accompanying Notes to Financial Statements
216
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Banks (Continued) | | | | | | | | |
Goldman Sachs Group (The), Inc., | | $ | 100,000 | | | $ | 109,268 | |
4.00%, 3/03/24 | | | | | | | | |
(3M USD LIBOR + 1.20%), 3.27%, 9/29/25(k) | | | 150,000 | | | | 161,116 | |
(SOFR + 0.61%), 0.86%, 2/12/26(k) | | | 90,000 | | | | 89,227 | |
3.50%, 11/16/26 | | | 50,000 | | | | 54,570 | |
(SOFR + 0.79%), 1.09%, 12/09/26(k) | | | 450,000 | | | | 443,598 | |
(SOFR + 0.80%), 1.43%, 3/09/27(k) | | | 110,000 | | | | 109,570 | |
(3M USD LIBOR + 1.16%), 3.81%, 4/23/29(k) | | | 50,000 | | | | 55,243 | |
3.80%, 3/15/30 | | | 50,000 | | | | 55,532 | |
(SOFR + 1.09%), 1.99%, 1/27/32(k) | | | 115,000 | | | | 109,230 | |
(SOFR + 1.28%), 2.62%, 4/22/32(k) | | | 10,000 | | | | 10,049 | |
JPMorgan Chase & Co., | | | | | | | | |
(SOFR + 1.59%), 2.01%, 3/13/26(k) | | | 100,000 | | | | 103,159 | |
(SOFR + 0.80%), 1.05%, 11/19/26(k) | | | 180,000 | | | | 177,336 | |
(SOFR + 0.70%), 1.04%, 2/04/27(k) | | | 205,000 | | | | 201,126 | |
(SOFR + 0.89%), 1.58%, 4/22/27(k) | | | 58,000 | | | | 58,255 | |
(3M USD LIBOR + 1.38%), 3.54%, 5/01/28(k) | | | 50,000 | | | | 54,718 | |
(SOFR + 1.42%), 3.70%, 5/06/30(k) | | | 20,000 | | | | 22,004 | |
(SOFR + 3.79%), 4.49%, 3/24/31(k) | | | 190,000 | | | | 220,213 | |
(SOFR + 2.52%), 2.96%, 5/13/31(k) | | | 190,000 | | | | 195,180 | |
Morgan Stanley, | | | | | | | | |
4.10%, 5/22/23 | | | 25,000 | | | | 26,749 | |
(SOFR + 0.46%), 0.53%, 1/25/24(k) | | | 205,000 | | | | 204,877 | |
(3M USD LIBOR + 0.85%), 3.74%, 4/24/24(k) | | | 160,000 | | | | 169,873 | |
3.70%, 10/23/24 | | | 50,000 | | | | 54,692 | |
(SOFR + 0.75%), 0.86%, 10/21/25(k) | | | 130,000 | | | | 129,828 | |
(SOFR + 1.99%), 2.19%, 4/28/26(k) | | | 100,000 | | | | 103,980 | |
(SOFR + 0.72%), 0.99%, 12/10/26(k) | | | 360,000 | | | | 353,310 | |
(SOFR + 0.88%), 1.59%, 5/04/27(k) | | | 70,000 | | | | 70,335 | |
(3M USD LIBOR + 1.63%), 4.43%, 1/23/30(k) | | | 50,000 | | | | 57,655 | |
(SOFR + 3.12%), 3.62%, 4/01/31(k) | | | 270,000 | | | | 295,672 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Banks (Continued) | | | | | | | | |
Santander Holdings USA, Inc., 3.45%, 6/02/25 | | $ | 40,000 | | | $ | 42,890 | |
SVB Financial Group, 1.80%, 2/02/31 | | | 70,000 | | | | 65,144 | |
Truist Financial Corp., 4.00%, 5/01/25 | | | 50,000 | | | | 55,594 | |
Wells Fargo & Co., (SOFR + 1.09%), 2.41%, 10/30/25(k) | | | 50,000 | | | | 52,294 | |
| | | | | | | 6,041,866 | |
| | | |
Biotechnology – 0.0%(e) | | | | | | | | |
Emergent BioSolutions, Inc., 3.88%,
8/15/28(b) | | | 20,000 | | | | 18,750 | |
Royalty Pharma PLC, | | | | | | | | |
0.75%, 9/02/23(b) | | | 10,000 | | | | 9,998 | |
1.20%, 9/02/25(b) | | | 5,000 | | | | 4,946 | |
| | | | | | | 33,694 | |
| | | |
Building Materials – 0.2% | | | | | | | | |
Boise Cascade Co., 4.88%, 7/01/30(b) | | | 60,000 | | | | 63,600 | |
Builders FirstSource, Inc., 5.00%, 3/01/30(b) | | | 50,000 | | | | 53,062 | |
Forterra Finance LLC/FRTA Finance Corp., 6.50%, 7/15/25(b) | | | 100,000 | | | | 108,000 | |
Griffon Corp., 5.75%, 3/01/28 | | | 25,000 | | | | 26,688 | |
Louisiana-Pacific Corp., 3.63%, 3/15/29(b) | | | 300,000 | | | | 300,750 | |
Masonite International Corp., 5.75%, 9/15/26(b) | | | 100,000 | | | | 103,750 | |
PGT Innovations, Inc., 6.75%, 8/01/26(b) | | | 50,000 | | | | 52,812 | |
Standard Industries, Inc., 3.38%, 1/15/31(b) | | | 50,000 | | | | 46,866 | |
U.S. Concrete, Inc., 5.13%, 3/01/29(b) | | | 15,000 | | | | 15,488 | |
| | | | | | | 771,016 | |
| | | |
Chemicals – 0.4% | | | | | | | | |
Air Products and Chemicals, Inc., 1.85%, 5/15/27 | | | 110,000 | | | | 112,338 | |
Chemours (The) Co., | | | | | | | | |
5.38%, 5/15/27 | | | 50,000 | | | | 53,625 | |
5.75%, 11/15/28(b) | | | 65,000 | | | | 69,051 | |
DuPont de Nemours, Inc., 2.17%, 5/01/23 | | | 100,000 | | | | 100,368 | |
Element Solutions, Inc., 3.88%, 9/01/28(b) | | | 75,000 | | | | 74,812 | |
See accompanying Notes to Financial Statements
217
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Chemicals (Continued) | | | | | | | | |
Huntsman International LLC, 5.13%, 11/15/22 | | $ | 120,000 | | | $ | 126,538 | |
Ingevity Corp., 3.88%, 11/01/28(b) | | | 45,000 | | | | 44,824 | |
Minerals Technologies, Inc., 5.00%,
7/01/28(b) | | | 50,000 | | | | 52,425 | |
Olin Corp., 9.50%, 6/01/25(b) | | | 50,000 | | | | 62,687 | |
PPG Industries, Inc., 1.20%, 3/15/26 | | | 65,000 | | | | 64,514 | |
Rayonier AM Products, Inc., 7.63%,
1/15/26(b) | | | 55,000 | | | | 58,437 | |
SCIH Salt Holdings, Inc., | | | | | | | | |
4.88%, 5/01/28(b) | | | 80,000 | | | | 79,800 | |
6.63%, 5/01/29(b) | | | 10,000 | | | | 9,838 | |
Sherwin-Williams (The) Co., | | | | | | | | |
3.13%, 6/01/24 | | | 160,000 | | | | 171,398 | |
2.95%, 8/15/29 | | | 90,000 | | | | 94,773 | |
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., | | | | | | | | |
5.38%, 9/01/25(b) | | | 19,000 | | | | 19,382 | |
5.13%, 4/01/29(b) | | | 15,000 | | | | 15,225 | |
Tronox, Inc., 4.63%, 3/15/29(b) | | | 10,000 | | | | 10,213 | |
W.R. Grace & Co.-Conn., 5.63%,
10/01/24(b) | | | 50,000 | | | | 55,562 | |
| | | | | | | 1,275,810 | |
| | | |
Commercial Services – 0.4% | | | | | | | | |
ADT Security (The) Corp., 4.88%, 7/15/32(b) | | | 25,000 | | | | 26,167 | |
Adtalem Global Education, Inc., 5.50%, 3/01/28(b) | | | 150,000 | | | | 150,375 | |
AMN Healthcare, Inc., 4.63%, 10/01/27(b) | | | 15,000 | | | | 15,487 | |
APX Group, Inc., 6.75%, 2/15/27(b) | | | 50,000 | | | | 53,766 | |
ASGN, Inc., 4.63%, 5/15/28(b) | | | 100,000 | | | | 104,000 | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 3/01/29(b) | | | 5,000 | | | | 5,206 | |
Cintas Corp. No. 2, 3.70%, 4/01/27 | | | 21,000 | | | | 23,472 | |
CPI CG, Inc., 8.63%, 3/15/26(b) | | | 10,000 | | | | 10,438 | |
Gartner, Inc., | | | | | | | | |
4.50%, 7/01/28(b) | | | 30,000 | | | | 31,538 | |
3.75%, 10/01/30(b) | | | 40,000 | | | | 40,100 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Commercial Services (Continued) | | | | | |
Global Payments, Inc., 1.20%, 3/01/26 | | $ | 100,000 | | | $ | 98,922 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 2/01/26(b) | | | 10,000 | | | | 10,325 | |
MPH Acquisition Holdings LLC, 5.75%, 11/01/28(b) | | | 55,000 | | | | 54,235 | |
PayPal Holdings, Inc., 2.40%, 10/01/24 | | | 200,000 | | | | 210,869 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., | | | | | | | | |
5.75%, 4/15/26(b) | | | 50,000 | | | | 54,691 | |
3.38%, 8/31/27(b) | | | 10,000 | | | | 9,663 | |
6.25%, 1/15/28(b) | | | 50,000 | | | | 52,250 | |
Rent-A-Center, Inc., 6.38%, 2/15/29(b) | | | 105,000 | | | | 113,870 | |
S&P Global, Inc., 1.25%, 8/15/30 | | | 110,000 | | | | 101,586 | |
Service Corp. International, 3.38%, 8/15/30 | | | 15,000 | | | | 14,513 | |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) | | | 10,000 | | | | 10,425 | |
United Rentals North America, Inc., 3.88%, 2/15/31 | | | 40,000 | | | | 40,255 | |
| | | | | | | 1,232,153 | |
| | | |
Computers – 0.4% | | | | | | | | |
Austin BidCo, Inc., 7.13%, 12/15/28(b) | | | 15,000 | | | | 15,225 | |
Booz Allen Hamilton, Inc., 3.88%, 9/01/28(b) | | | 10,000 | | | | 9,975 | |
Crowdstrike Holdings, Inc., 3.00%, 2/15/29 | | | 10,000 | | | | 9,911 | |
Dell International LLC/EMC Corp., 5.85%, 7/15/25(b) | | | 475,000 | | | | 556,945 | |
Dell, Inc., 6.50%, 4/15/38 | | | 50,000 | | | | 62,750 | |
Hewlett Packard Enterprise Co., 4.45%, 10/02/23 | | | 200,000 | | | | 217,064 | |
HP, Inc., 2.20%, 6/17/25 | | | 70,000 | | | | 72,815 | |
NetApp, Inc., 1.88%, 6/22/25 | | | 20,000 | | | | 20,532 | |
Unisys Corp., 6.88%, 11/01/27(b) | | | 145,000 | | | | 159,138 | |
| | | | | | | | 1,124,355 | |
See accompanying Notes to Financial Statements
218
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Cosmetics/Personal Care – 0.0%(e) | | | | | |
Coty, Inc., 5.00%, 4/15/26(b) | | $ | 50,000 | | | $ | 50,595 | |
Edgewell Personal Care Co., 5.50%,
6/01/28(b) | | | 50,000 | | | | 53,125 | |
| | | | | | | 103,720 | |
| | | |
Distribution/Wholesale – 0.1% | | | | | | | | |
American Builders & Contractors Supply Co., Inc., 11/15/29(b)(j) | | | 60,000 | | | | 59,883 | |
Avient Corp., 5.75%, 5/15/25(b) | | | 100,000 | | | | 105,494 | |
G-III Apparel Group Ltd., 7.88%, 8/15/25(b) | | | 200,000 | | | | 216,000 | |
H&E Equipment Services, Inc., 3.88%, 12/15/28(b) | | | 70,000 | | | | 68,338 | |
| | | | | | | 449,715 | |
| | |
Diversified Financial Services – 0.6% | | | | | |
Air Lease Corp., | | | | | | | | |
3.05%, 1/15/22 | | | 50,000 | | | | 51,047 | |
3.38%, 7/01/25 | | | 55,000 | | | | 58,913 | |
2.88%, 1/15/26 | | | 45,000 | | | | 46,866 | |
Ally Financial, Inc., | | | | | | | | |
3.05%, 6/05/23 | | | 30,000 | | | | 31,337 | |
1.45%, 10/02/23 | | | 25,000 | | | | 25,401 | |
5.75%, 11/20/25 | | | 50,000 | | | | 57,295 | |
American Express Co., | | | | | | | | |
2.50%, 7/30/24 | | | 50,000 | | | | 53,074 | |
4.20%, 11/06/25 | | | 50,000 | | | | 56,732 | |
Ameriprise Financial, Inc., 3.00%, 4/02/25 | | | 100,000 | | | | 107,026 | |
Capital One Bank USA N.A., (SOFR + 0.62%), 2.01%, 1/27/23(k) | | | 250,000 | | | | 252,839 | |
Charles Schwab (The) Corp., 0.75%, 3/18/24 | | | 30,000 | | | | 30,197 | |
Credit Acceptance Corp., 6.63%, 3/15/26 | | | 100,000 | | | | 105,620 | |
Curo Group Holdings Corp., 8.25%, 9/01/25(b) | | | 50,000 | | | | 51,209 | |
Intercontinental Exchange, Inc., | | | | | | | | |
4.00%, 10/15/23 | | | 50,000 | | | | 54,125 | |
3.75%, 9/21/28 | | | 100,000 | | | | 110,993 | |
LPL Holdings, Inc., 4.63%, 11/15/27(b) | | | 100,000 | | | | 104,250 | |
Mastercard, Inc., 1.90%, 3/15/31 | | | 222,000 | | | | 220,426 | |
Nationstar Mortgage Holdings, Inc., 6.00%, 1/15/27(b) | | | 100,000 | | | | 104,500 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Diversified Financial Services (Continued) | | | | | |
Nationstar Mortgage Holdings, Inc., | | | | | | | | |
5.50%, 8/15/28(b) | | $ | 25,000 | | | $ | 25,250 | |
5.13%, 12/15/30(b) | | | 80,000 | | | | 79,173 | |
Navient Corp., 7.25%, 9/25/23 | | | 75,000 | | | | 81,563 | |
NFP Corp., 6.88%, 8/15/28(b) | | | 75,000 | | | | 78,656 | |
OneMain Finance Corp., | | | | | | | | |
6.88%, 3/15/25 | | | 25,000 | | | | 28,406 | |
8.88%, 6/01/25 | | | 100,000 | | | | 110,625 | |
PennyMac Financial Services, Inc., 5.38%, 10/15/25(b) | | | 60,000 | | | | 63,225 | |
SLM Corp., 4.20%, 10/29/25 | | | 50,000 | | | | 52,500 | |
Visa, Inc., 1.90%, 4/15/27 | | | 50,000 | | | | 51,675 | |
| | | | | | | 2,092,923 | |
| | | |
Electric – 0.6% | | | | | | | | |
AEP Texas, Inc., 3.95%, 6/01/28 | | | 50,000 | | | | 55,796 | |
Berkshire Hathaway Energy Co., | | | | | | | | |
4.05%, 4/15/25 | | | 100,000 | | | | 111,413 | |
1.65%, 5/15/31 | | | 25,000 | | | | 23,601 | |
Calpine Corp., | | | | | | | | |
4.63%, 2/01/29(b) | | | 25,000 | | | | 24,625 | |
3.75%, 3/01/31(b) | | | 50,000 | | | | 47,743 | |
Clearway Energy Operating LLC, 5.00%, 9/15/26 | | | 100,000 | | | | 103,250 | |
Dominion Energy, Inc., 3.38%, 4/01/30 | | | 50,000 | | | | 53,855 | |
DPL, Inc., 4.35%, 4/15/29 | | | 100,000 | | | | 108,442 | |
DTE Energy Co., 1.05%, 6/01/25 | | | 55,000 | | | | 54,796 | |
Duke Energy Corp., | | | | | | | | |
3.75%, 4/15/24 | | | 30,000 | | | | 32,456 | |
3.40%, 6/15/29 | | | 50,000 | | | | 53,875 | |
Entergy Louisiana LLC, 1.60%, 12/15/30 | | | 90,000 | | | | 84,976 | |
Eversource Energy, 2.90%, 10/01/24 | | | 50,000 | | | | 53,223 | |
Exelon Generation Co. LLC, 3.25%, 6/01/25 | | | 50,000 | | | | 53,758 | |
National Rural Utilities Cooperative Finance Corp., | | | | | | | | |
1.00%, 6/15/26 | | | 85,000 | | | | 83,323 | |
2.40%, 3/15/30 | | | 100,000 | | | | 100,973 | |
NextEra Energy Capital Holdings, Inc., 0.65%, 3/01/23 | | | 105,000 | | | | 105,331 | |
See accompanying Notes to Financial Statements
219
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Electric (Continued) | | | | | | | | |
NextEra Energy Capital Holdings, Inc., 2.75%, 5/01/25 | | $ | 100,000 | | | $ | 106,617 | |
NextEra Energy Operating Partners L.P., 4.50%, 9/15/27(b) | | | 50,000 | | | | 53,976 | |
NRG Energy, Inc., 3.63%, 2/15/31(b) | | | 70,000 | | | | 68,579 | |
Pattern Energy Operations L.P./Pattern Energy Operations, Inc., 4.50%,
8/15/28(b) | | | 40,000 | | | | 40,500 | |
PG&E Corp., 5.25%, 7/01/30 | | | 100,000 | | | | 106,750 | |
Public Service Enterprise Group, Inc., 1.60%, 8/15/30 | | | 10,000 | | | | 9,289 | |
Southern California Edison Co., 2.95%, 2/01/51 | | | 6,000 | | | | 5,442 | |
Terraform Global Operating LLC, 6.13%, 3/01/26(b) | | | 125,000 | | | | 128,125 | |
Union Electric Co., 2.95%, 3/15/30 | | | 100,000 | | | | 105,811 | |
Vistra Operations Co. LLC, 5.00%,
7/31/27(b) | | | 50,000 | | | | 51,802 | |
| | | | | | | 1,828,327 | |
| |
Electrical Component & Equipment – 0.0%(e) | |
Energizer Holdings, Inc., 4.75%, 6/15/28(b) | | | 35,000 | | | | 35,787 | |
| | | |
Electronics – 0.1% | | | | | | | | |
Agilent Technologies, Inc., 2.30%, 3/12/31 | | | 30,000 | | | | 29,510 | |
Imola Merger Corp., 4.75%, 5/15/29(b) | | | 50,000 | | | | 51,935 | |
Jabil, Inc., 1.70%, 4/15/26 | | | 65,000 | | | | 65,109 | |
Sensata Technologies, Inc., 4.38%,
2/15/30(b) | | | 25,000 | | | | 26,138 | |
| | | | | | | 172,692 | |
| | |
Energy - Alternate Sources – 0.1% | | | | | |
Enviva Partners Finance Corp., 6.50%, 1/15/26(b) | | | 200,000 | | | | 209,750 | |
| | |
Engineering & Construction – 0.2% | | | | | |
Arcosa, Inc., 4.38%, 4/15/29(b) | | | 10,000 | | | | 10,227 | |
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/01/26(b) | | | 305,000 | | | | 320,971 | |
Fluor Corp., 4.25%, 9/15/28 | | | 100,000 | | | | 102,980 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Engineering & Construction (Continued) | | | | | |
MasTec, Inc., 4.50%, 8/15/28(b) | | $ | 40,000 | | | $ | 41,700 | |
PowerTeam Services LLC, 9.03%, 12/04/25(b) | | | 20,000 | | | | 22,175 | |
Tutor Perini Corp., 6.88%, 5/01/25(b) | | | 100,000 | | | | 103,250 | |
Weekley Homes LLC/Weekley Finance Corp., 4.88%, 9/15/28(b) | | | 15,000 | | | | 15,488 | |
| | | | | | | 616,791 | |
| | | |
Entertainment – 0.2% | | | | | | | | |
Boyne U.S.A, Inc., 4.75%, 5/15/29(b) | | | 10,000 | | | | 10,275 | |
Caesars Entertainment, Inc., 6.25%, 7/01/25(b) | | | 55,000 | | | | 58,476 | |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 7/01/25(b) | | | 10,000 | | | | 10,528 | |
Churchill Downs, Inc., 4.75%, 1/15/28(b) | | | 15,000 | | | | 15,412 | |
International Game Technology PLC, 5.25%, 1/15/29(b) | | | 200,000 | | | | 212,075 | |
Lions Gate Capital Holdings LLC, 5.50%, 4/15/29(b) | | | 15,000 | | | | 15,038 | |
Midwest Gaming Borrower LLC, 4.88%,
5/01/29(b) | | | 10,000 | | | | 9,997 | |
Mohegan Gaming & Entertainment, 8.00%, 2/01/26(b) | | | 90,000 | | | | 91,350 | |
Peninsula Pacific Entertainment LLC/Peninsula Pacific Entertainment Finance, Inc., 8.50%, 11/15/27(b) | | | 40,000 | | | | 42,540 | |
Scientific Games International, Inc., 8.63%, 7/01/25(b) | | | 45,000 | | | | 49,216 | |
Six Flags Theme Parks, Inc., 7.00%, 7/01/25(b) | | | 100,000 | | | | 108,037 | |
Vail Resorts, Inc., 6.25%, 5/15/25(b) | | | 100,000 | | | | 106,125 | |
WMG Acquisition Corp., 3.00%, 2/15/31(b) | | | 55,000 | | | | 51,631 | |
| | | | | | | | 780,700 | |
See accompanying Notes to Financial Statements
220
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Environmental Control – 0.0%(e) | | | | | | | | |
Stericycle, Inc., 3.88%, 1/15/29(b) | | $ | 35,000 | | | $ | 34,913 | |
Waste Connections, Inc., 2.60%, 2/01/30 | | | 5,000 | | | | 5,105 | |
| | | | | | | 40,018 | |
| | | |
Food – 0.3% | | | | | | | | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC, | | | | | | | | |
4.63%, 1/15/27(b) | | | 50,000 | | | | 52,000 | |
3.50%, 3/15/29(b) | | | 30,000 | | | | 28,800 | |
Campbell Soup Co., 3.95%, 3/15/25 | | | 100,000 | | | | 110,019 | |
Chobani LLC/Chobani Finance Corp., Inc., 4.63%, 11/15/28(b) | | | 30,000 | | | | 30,900 | |
Conagra Brands, Inc., 4.60%, 11/01/25 | | | 30,000 | | | | 34,309 | |
General Mills, Inc., 4.00%, 4/17/25 | | | 30,000 | | | | 33,233 | |
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.50%, 1/15/30(b) | | | 25,000 | �� | | | 27,500 | |
Kraft Heinz Foods Co., | | | | | | | | |
3.95%, 7/15/25 | | | 50,000 | | | | 55,374 | |
3.88%, 5/15/27 | | | 50,000 | | | | 54,452 | |
4.25%, 3/01/31 | | | 100,000 | | | | 110,268 | |
5.20%, 7/15/45 | | | 50,000 | | | | 59,156 | |
4.38%, 6/01/46 | | | 100,000 | | | | 107,170 | |
5.50%, 6/01/50 | | | 50,000 | | | | 62,118 | |
Simmons Foods, Inc., 4.63%, 3/01/29(b) | | | 20,000 | | | | 20,154 | |
U.S. Foods, Inc., 4.75%, 2/15/29(b) | | | 20,000 | | | | 20,175 | |
United Natural Foods, Inc., 6.75%, 10/15/28(b) | | | 20,000 | | | | 21,550 | |
| | | | | | | 827,178 | |
| | |
Forest Products & Paper – 0.0%(e) | | | | | |
Clearwater Paper Corp., 4.75%, 8/15/28(b) | | | 30,000 | | | | 30,227 | |
Resolute Forest Products, Inc., 4.88%, 3/01/26(b) | | | 20,000 | | | | 20,400 | |
| | | | | | | 50,627 | |
| | | |
Gas – 0.1% | | | | | | | | |
AmeriGas Partners L.P./AmeriGas Finance Corp., 5.75%, 5/20/27 | | | 25,000 | | | | 27,955 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Gas (Continued) | | | | | | | | |
NiSource, Inc., 0.95%, 8/15/25 | | $ | 100,000 | | | $ | 98,826 | |
Southern California Gas Co., 2.55%, 2/01/30 | | | 30,000 | | | | 30,681 | |
| | | | | | | 157,462 | |
| | | |
Healthcare - Products – 0.2% | | | | | | | | |
Hologic, Inc., | | | | | | | | |
4.63%, 2/01/28(b) | | | 50,000 | | | | 52,750 | |
3.25%, 2/15/29(b) | | | 60,000 | | | | 58,950 | |
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics S.A., 7.25%, 2/01/28(b) | | | 30,000 | | | | 32,910 | |
Teleflex, Inc., 4.88%, 6/01/26 | | | 100,000 | | | | 102,520 | |
Thermo Fisher Scientific, Inc., | | | | | | | | |
4.13%, 3/25/25 | | | 130,000 | | | | 144,711 | |
4.50%, 3/25/30 | | | 75,000 | | | | 87,895 | |
Zimmer Biomet Holdings, Inc., 3.70%, 3/19/23 | | | 240,000 | | | | 253,581 | |
| | | | | | | 733,317 | |
| | | |
Healthcare - Services – 0.5% | | | | | | | | |
Akumin, Inc., 7.00%, 11/01/25(b) | | | 20,000 | | | | 20,850 | |
Anthem, Inc., 0.45%, 3/15/23 | | | 130,000 | | | | 130,191 | |
Catalent Pharma Solutions, Inc., 3.13%, 2/15/29(b) | | | 25,000 | | | | 24,187 | |
Charles River Laboratories International, Inc., 4.25%, 5/01/28(b) | | | 100,000 | | | | 104,132 | |
CHS/Community Health Systems, Inc., | | | | | | | | |
8.00%, 3/15/26(b) | | | 50,000 | | | | 53,875 | |
5.63%, 3/15/27(b) | | | 25,000 | | | | 26,500 | |
6.00%, 1/15/29(b) | | | 15,000 | | | | 15,790 | |
6.88%, 4/15/29(b) | | | 5,000 | | | | 5,225 | |
4.75%, 2/15/31(b) | | | 10,000 | | | | 9,925 | |
DaVita, Inc., | | | | | | | | |
4.63%, 6/01/30(b) | | | 100,000 | | | | 101,250 | |
3.75%, 2/15/31(b) | | | 30,000 | | | | 28,500 | |
HCA, Inc., | | | | | | | | |
5.25%, 4/15/25 | | | 115,000 | | | | 132,192 | |
4.13%, 6/15/29 | | | 185,000 | | | | 205,622 | |
Humana, Inc., | | | | | | | | |
3.85%, 10/01/24 | | | 10,000 | | | | 10,913 | |
4.50%, 4/01/25 | | | 125,000 | | | | 140,729 | |
LifePoint Health, Inc., 5.38%, 1/15/29(b) | | | 30,000 | | | | 30,006 | |
See accompanying Notes to Financial Statements
221
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Healthcare - Services (Continued) | | | | | |
Magellan Health, Inc., 4.90%, 9/22/24 | | $ | 50,000 | | | $ | 54,500 | |
ModivCare, Inc., 5.88%, 11/15/25(b) | | | 35,000 | | | | 37,187 | |
Molina Healthcare, Inc., | | | | | | | | |
4.38%, 6/15/28(b) | | | 200,000 | | | | 205,500 | |
3.88%, 11/15/30(b) | | | 50,000 | | | | 51,500 | |
Prime Healthcare Services, Inc., 7.25%, 11/01/25(b) | | | 30,000 | | | | 32,270 | |
RP Escrow Issuer LLC, 5.25%, 12/15/25(b) | | | 15,000 | | | | 15,614 | |
Select Medical Corp., 6.25%, 8/15/26(b) | | | 100,000 | | | | 106,323 | |
Syneos Health, Inc., 3.63%, 1/15/29(b) | | | 15,000 | | | | 14,663 | |
Tenet Healthcare Corp.,
6.13%, 10/01/28(b) | | | 65,000 | | | | 68,575 | |
UnitedHealth Group, Inc., 2.00%, 5/15/30 | | | 25,000 | | | | 24,727 | |
US Acute Care Solutions LLC, 6.38%, 3/01/26(b) | | | 5,000 | | | | 5,220 | |
| | | | | | | 1,655,966 | |
| | | |
Home Builders – 0.3% | | | | | | | | |
Century Communities, Inc., | | | | | | | | |
5.88%, 7/15/25 | | | 100,000 | | | | 103,500 | |
6.75%, 6/01/27 | | | 100,000 | | | | 107,602 | |
Forestar Group, Inc., 3.85%, 5/15/26(b) | | | 20,000 | | | | 20,209 | |
M/I Homes, Inc., 4.95%, 2/01/28 | | | 25,000 | | | | 26,289 | |
Meritage Homes Corp., 5.13%, 6/06/27 | | | 100,000 | | | | 112,000 | |
NVR, Inc., 3.00%, 5/15/30 | | | 45,000 | | | | 46,878 | |
Shea Homes L.P./Shea | | | | | | | | |
Homes Funding Corp., 4.75%, 4/01/29(b) | | | 50,000 | | | | 50,523 | |
Tri Pointe Homes, Inc., 5.70%, 6/15/28 | | | 50,000 | | | | 55,513 | |
Williams Scotsman International, Inc., 4.63%, 8/15/28(b) | | | 365,000 | | | | 372,362 | |
Winnebago Industries, Inc., 6.25%, 7/15/28(b) | | | 10,000 | | | | 10,840 | |
| | | | | | | 905,716 | |
| | |
Household Products/Wares – 0.0%(e) | | | | | |
Central Garden & Pet Co.,
4.13%, 4/30/31(b) | | | 35,000 | | | | 34,825 | |
Spectrum Brands, Inc., 3.88%, 3/15/31(b) | | | 55,000 | | | | 53,900 | |
| | | | | | | | 88,725 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Housewares – 0.0%(e) | | | | | | | | |
Newell Brands, Inc., 4.70%, 4/01/26 | | $ | 100,000 | | | $ | 111,500 | |
| | | |
Insurance – 0.3% | | | | | | | | |
Aflac, Inc., | | | | | | | | |
1.13%, 3/15/26 | | | 180,000 | | | | 179,209 | |
3.60%, 4/01/30 | | | 95,000 | | | | 105,087 | |
Aon Corp., 2.80%, 5/15/30 | | | 20,000 | | | | 20,639 | |
AssuredPartners, Inc., 5.63%, 1/15/29(b) | | | 15,000 | | | | 15,206 | |
Berkshire Hathaway, Inc., 3.13%, 3/15/26 | | | 95,000 | | | | 104,031 | |
Marsh & McLennan Cos., Inc., | | | | | | | | |
3.88%, 3/15/24 | | | 200,000 | | | | 217,925 | |
4.38%, 3/15/29 | | | 50,000 | | | | 57,890 | |
2.25%, 11/15/30 | | | 50,000 | | | | 49,724 | |
MGIC Investment Corp., 5.25%, 8/15/28 | | | 50,000 | | | | 52,750 | |
Radian Group, Inc., 6.63%, 3/15/25 | | | 100,000 | | | | 113,125 | |
| | | | | | | 915,586 | |
| | | |
Internet – 0.4% | | | | | | | | |
Arches Buyer, Inc., 4.25%, 6/01/28(b) | | | 15,000 | | | | 14,944 | |
Booking Holdings, Inc., 4.63%, 4/13/30 | | | 23,000 | | | | 26,957 | |
eBay, Inc., 1.90%, 3/11/25 | | | 210,000 | | | | 216,934 | |
Endure Digital, Inc., 6.00%, 2/15/29(b) | | | 45,000 | | | | 43,088 | |
Expedia Group, Inc., 3.60%, 12/15/23(b) | | | 70,000 | | | | 74,597 | |
GrubHub Holdings, Inc., 5.50%, 7/01/27(b) | | | 100,000 | | | | 105,136 | |
Match Group Holdings II LLC, 4.13%, 8/01/30(b) | | | 75,000 | | | | 75,281 | |
Netflix, Inc., | | | | | | | | |
3.63%, 6/15/25(b) | | | 100,000 | | | | 107,532 | |
5.88%, 11/15/28 | | | 50,000 | | | | 60,836 | |
6.38%, 5/15/29 | | | 75,000 | | | | 94,125 | |
5.38%, 11/15/29(b) | | | 75,000 | | | | 89,062 | |
TripAdvisor, Inc., 7.00%, 7/15/25(b) | | | 5,000 | | | | 5,400 | |
Uber Technologies, Inc., | | | | | | | | |
7.50%, 5/15/25(b) | | | 75,000 | | | | 81,094 | |
8.00%, 11/01/26(b) | | | 200,000 | | | | 216,440 | |
6.25%, 1/15/28(b) | | | 25,000 | | | | 27,160 | |
VeriSign, Inc., 4.75%, 7/15/27 | | | 100,000 | | | | 106,484 | |
| | | | | | | | 1,345,070 | |
See accompanying Notes to Financial Statements
222
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Investment Companies – 0.0%(e) | | | | | | | | |
Compass Group Diversified Holdings LLC, 5.25%, 4/15/29(b) | | $ | 40,000 | | | $ | 42,200 | |
Golub Capital BDC, Inc., 2.50%, 8/24/26 | | | 35,000 | | | | 34,757 | |
| | | | | | | 76,957 | |
| | |
Investment Management Companies – 0.2% | | | | | |
Ares Capital Corp., | | | | | |
3.63%, 1/19/22 | | | 60,000 | | | | 61,119 | |
4.25%, 3/01/25 | | | 100,000 | | | | 108,289 | |
3.88%, 1/15/26 | | | 172,000 | | | | 183,554 | |
2.15%, 7/15/26 | | | 88,000 | | | | 86,822 | |
Goldman Sachs BDC, Inc., 2.88%, 1/15/26 | | | 95,000 | | | | 98,314 | |
Icahn Enterprises L.P./Icahn Enterprises Finance Corp., 4.38%, 2/01/29(b) | | | 60,000 | | | | 58,195 | |
Owl Rock Capital Corp., 3.40%, 7/15/26 | | | 20,000 | | | | 20,740 | |
| | | | | | | 617,033 | |
| | | |
Iron/Steel – 0.1% | | | | | | | | |
Big River Steel LLC/BRS Finance Corp., 6.63%, 1/31/29(b) | | | 30,000 | | | | 32,400 | |
Cleveland-Cliffs, Inc., | | | | | | | | |
5.88%, 6/01/27 | | | 50,000 | | | | 52,437 | |
4.63%, 3/01/29(b) | | | 15,000 | | | | 15,281 | |
4.88%, 3/01/31(b) | | | 35,000 | | | | 35,613 | |
Commercial Metals Co., 5.38%, 7/15/27 | | | 100,000 | | | | 106,000 | |
Reliance Steel & Aluminum Co., 1.30%, 8/15/25 | | | 40,000 | | | | 40,045 | |
United States Steel Corp., 6.88%, 3/01/29 | | | 30,000 | | | | 31,313 | |
| | | | | | | 313,089 | |
| | | |
Leisure Time – 0.1% | | | | | | | | |
Carnival Corp., | | | | | | | | |
11.50%, 4/01/23(b) | | | 30,000 | | | | 34,476 | |
7.63%, 3/01/26(b) | | | 10,000 | | | | 10,950 | |
9.88%, 8/01/27(b) | | | 30,000 | | | | 35,250 | |
Life Time, Inc., 5.75%, 1/15/26(b) | | | 5,000 | | | | 5,163 | |
Royal Caribbean Cruises Ltd., | | | | | | | | |
9.13%, 6/15/23(b)(f) | | | 50,000 | | | | 55,198 | |
11.50%, 6/01/25(b)(f) | | | 25,000 | | | | 28,961 | |
Vista Outdoor, Inc., 4.50%, 3/15/29(b) | | | 140,000 | | | | 139,913 | |
| | | | | | | | 309,911 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Lodging – 0.1% | | | | | | | | |
Full House Resorts, Inc., 8.25%, 2/15/28(b) | | $ | 10,000 | | | $ | 10,750 | |
Hilton Domestic Operating Co., Inc., 4.00%, 5/01/31(b) | | | 50,000 | | | | 50,500 | |
Las Vegas Sands Corp., | | | | | | | | |
3.20%, 8/08/24 | | | 20,000 | | | | 20,977 | |
3.90%, 8/08/29 | | | 5,000 | | | | 5,215 | |
Marriott International, Inc., 5.75%, 5/01/25 | | | 80,000 | | | | 92,091 | |
| | | | | | | 179,533 | |
| | |
Machinery - Construction & Mining – 0.2% | | | | | |
BWX Technologies, Inc., 4.13%, 6/30/28(b) | | | 115,000 | | | | 117,013 | |
Caterpillar Financial Services Corp., 0.80%, 11/13/25 | | | 160,000 | | | | 158,570 | |
Terex Corp., 5.00%, 5/15/29(b) | | | 250,000 | | | | 260,000 | |
| | | | | | | 535,583 | |
| | |
Machinery - Diversified – 0.0%(e) | | | | | |
GrafTech Finance, Inc., 4.63%, 12/15/28(b) | | | 110,000 | | | | 113,095 | |
| | | |
Media – 0.5% | | | | | | | | |
AMC Networks, Inc., 4.25%, 2/15/29 | | | 45,000 | | | | 44,437 | |
Beasley Mezzanine Holdings LLC, 8.63%, 2/01/26(b) | | | 5,000 | | | | 5,075 | |
Cable One, Inc., 4.00%, 11/15/30(b) | | | 10,000 | | | | 9,850 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | | | | | | | | |
4.75%, 3/01/30(b) | | | 200,000 | | | | 208,750 | |
4.50%, 5/01/32(b) | | | 100,000 | | | | 101,000 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.46%, 7/23/22 | | | 200,000 | | | | 208,074 | |
DISH DBS Corp., | | | | | | | | |
5.88%, 11/15/24 | | | 100,000 | | | | 108,186 | |
7.75%, 7/01/26 | | | 50,000 | | | | 57,625 | |
7.38%, 7/01/28 | | | 20,000 | | | | 21,599 | |
GCI LLC, 4.75%, 10/15/28(b) | | | 20,000 | | | | 20,600 | |
News Corp., 3.88%, 5/15/29(b) | | | 25,000 | | | | 25,493 | |
Nexstar Broadcasting, Inc., 5.63%, 7/15/27(b) | | | 100,000 | | | | 105,625 | |
See accompanying Notes to Financial Statements
223
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Media (Continued) | | | | | | | | |
Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 9/15/26(b) | | $ | 25,000 | | | $ | 25,437 | |
Scripps Escrow II, Inc., | | | | | | | | |
3.88%, 1/15/29(b) | | | 20,000 | | | | 19,877 | |
5.38%, 1/15/31(b) | | | 25,000 | | | | 25,344 | |
Scripps Escrow, Inc., 5.88%, 7/15/27(b) | | | 75,000 | | | | 78,916 | |
Sinclair Television Group, Inc., 4.13%, 12/01/30(b) | | | 15,000 | | | | 14,625 | |
Sirius XM Radio, Inc., 4.13%, 7/01/30(b) | | | 115,000 | | | | 115,000 | |
TEGNA, Inc., | | | | | | | | |
4.75%, 3/15/26(b) | | | 55,000 | | | | 58,492 | |
5.00%, 9/15/29 | | | 200,000 | | | | 207,500 | |
Townsquare Media, Inc., 6.88%, 2/01/26(b) | | | 15,000 | | | | 15,638 | |
| | | | | | | 1,477,143 | |
| | | |
Mining – 0.1% | | | | | | | | |
Arconic Corp., 6.13%, 2/15/28(b) | | | 75,000 | | | | 79,687 | |
Freeport-McMoRan, Inc., 4.38%, 8/01/28 | | | 80,000 | | | | 85,300 | |
5.45%, 3/15/43 | | | 50,000 | | | | 61,048 | |
Joseph T Ryerson & Son, Inc., 8.50%, 8/01/28(b) | | | 15,000 | | | | 16,574 | |
Kaiser Aluminum Corp., 6.50%, 5/01/25(b) | | | 75,000 | | | | 79,500 | |
| | | | | | | 322,109 | |
| | |
Miscellaneous Manufacturing – 0.0%(e) | | | | | |
General Electric Co., 3.63%, 5/01/30 | | | 30,000 | | | | 32,594 | |
Hillenbrand, Inc., 5.75%, 6/15/25 | | | 25,000 | | | | 26,781 | |
| | | | | | | 59,375 | |
| | |
Office/Business Equipment – 0.0%(e) | | | | | |
Xerox Holdings Corp., 5.50%, 8/15/28(b) | | | 25,000 | | | | 26,125 | |
| | | |
Oil & Gas – 0.7% | | | | | | | | |
Aethon United BR L.P./Aethon United Finance Corp., 8.25%, 2/15/26(b) | | | 10,000 | | | | 10,631 | |
Antero Resources Corp., | | | | | | | | |
8.38%, 7/15/26(b) | | | 5,000 | | | | 5,614 | |
7.63%, 2/01/29(b) | | | 110,000 | | | | 119,289 | |
Apache Corp., 4.63%, 11/15/25 | | | 25,000 | | | | 26,406 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Oil & Gas (Continued) | | | | | | | | |
Apache Corp., | | | | | | | | |
4.88%, 11/15/27 | | $ | 35,000 | | | $ | 36,943 | |
4.25%, 1/15/30 | | | 50,000 | | | | 50,178 | |
5.10%, 9/01/40 | | | 25,000 | | | | 25,628 | |
4.75%, 4/15/43 | | | 25,000 | | | | 24,825 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 8.25%, 12/31/28(b) | | | 10,000 | | | | 10,735 | |
Chesapeake Energy Corp., 5.88%, 2/01/29(b) | | | 5,000 | | | | 5,388 | |
Chevron Corp., 1.55%, 5/11/25 | | | 80,000 | | | | 81,926 | |
Chevron USA, Inc., | | | | | | | | |
3.85%, 1/15/28 | | | 30,000 | | | | 33,855 | |
3.25%, 10/15/29 | | | 20,000 | | | | 21,689 | |
CNX Resources Corp., | | | | | | | | |
7.25%, 3/14/27(b) | | | 125,000 | | | | 135,027 | |
6.00%, 1/15/29(b) | | | 40,000 | | | | 42,692 | |
Comstock Resources, Inc., 6.75%, 3/01/29(b) | | | 35,000 | | | | 35,753 | |
Continental Resources, Inc., 4.38%, 1/15/28 | | | 75,000 | | | | 81,563 | |
CrownRock L.P./CrownRock Finance, Inc., 5.00%, 5/01/29(b) | | | 10,000 | | | | 10,238 | |
CVR Energy, Inc., 5.25%, 2/15/25(b) | | | 25,000 | | | | 25,125 | |
Diamondback Energy, Inc., | | | | | | | | |
0.90%, 3/24/23 | | | 30,000 | | | | 30,012 | |
3.13%, 3/24/31 | | | 25,000 | | | | 25,250 | |
EQT Corp., | | | | | | | | |
3.90%, 10/01/27 | | | 100,000 | | | | 104,259 | |
8.50%, 2/01/30 | | | 100,000 | | | | 127,875 | |
Exxon Mobil Corp., 2.99%, 3/19/25 | | | 80,000 | | | | 86,130 | |
Hess Corp., 4.30%, 4/01/27 | | | 50,000 | | | | 55,462 | |
Hilcorp Energy I L.P./Hilcorp Finance Co., 6.00%, 2/01/31(b) | | | 30,000 | | | | 30,900 | |
Indigo Natural Resources LLC,
5.38%, 2/01/29(b) | | | 10,000 | | | | 9,925 | |
Murphy Oil Corp., 6.38%, 7/15/28 | | | 35,000 | | | �� | 35,525 | |
Northern Oil and Gas, Inc., 8.13%, 3/01/28(b) | | | 65,000 | | | | 66,802 | |
Occidental Petroleum Corp., | | | | | | | | |
2.90%, 8/15/24 | | | 150,000 | | | | 149,625 | |
8.00%, 7/15/25 | | | 40,000 | | | | 46,700 | |
5.50%, 12/01/25 | | | 25,000 | | | | 26,875 | |
See accompanying Notes to Financial Statements
224
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Oil & Gas (Continued) | | | | | | | | |
Occidental Petroleum Corp., | | | | | | | | |
8.50%, 7/15/27 | | $ | 65,000 | | | $ | 79,056 | |
6.38%, 9/01/28 | | | 45,000 | | | | 50,400 | |
3.50%, 8/15/29 | | | 75,000 | | | | 71,625 | |
6.13%, 1/01/31 | | | 25,000 | | | | 27,813 | |
6.45%, 9/15/36 | | | 25,000 | | | | 28,406 | |
4.40%, 4/15/46 | | | 50,000 | | | | 44,000 | |
Ovintiv Exploration, Inc., 5.38%, 1/01/26 | | | 50,000 | | | | 56,018 | |
Ovintiv, Inc., 6.50%, 8/15/34 | | | 50,000 | | | | 63,782 | |
Range Resources Corp., | | | | | | | | |
4.88%, 5/15/25 | | | 100,000 | | | | 99,375 | |
9.25%, 2/01/26 | | | 30,000 | | | | 32,942 | |
Southwestern Energy Co., | | | | | | | | |
7.50%, 4/01/26 | | | 100,000 | | | | 105,770 | |
7.75%, 10/01/27 | | | 75,000 | | | | 80,620 | |
8.38%, 9/15/28 | | | 15,000 | | | | 16,481 | |
Sunoco L.P./Sunoco Finance Corp., 4.50%, 5/15/29(b) | | | 35,000 | | | | 35,350 | |
Talos Production, Inc., 12.00%,
1/15/26(b) | | | 60,000 | | | | 60,150 | |
| | | | | | | 2,430,633 | |
| | | |
Oil & Gas Services – 0.0%(e) | | | | | | | | |
Archrock Partners L.P./Archrock Partners Finance Corp., 6.25%, 4/01/28(b) | | | 50,000 | | | | 52,270 | |
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc., 4.49%, 5/01/30 | | | 50,000 | | | | 57,645 | |
Bristow Group, Inc., 6.88%, 3/01/28(b) | | | 10,000 | | | | 10,137 | |
| | | | | | | 120,052 | |
| | | |
Packaging & Containers – 0.2% | | | | | | | | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.25%, 4/30/25(b) | | | 200,000 | | | | 209,750 | |
Ball Corp., 2.88%, 8/15/30 | | | 45,000 | | | | 43,455 | |
Berry Global, Inc., 4.50%, 2/15/26(b) | | | 75,000 | | | | 76,781 | |
Graphic Packaging International LLC, 3.50%, 3/01/29(b) | | | 10,000 | | | | 9,905 | |
Greif, Inc., 6.50%, 3/01/27(b) | | | 50,000 | | | | 52,872 | |
Silgan Holdings, Inc., 4.75%, 3/15/25 | | | 100,000 | | | | 101,543 | |
| | | | | | | | 494,306 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Pharmaceuticals – 0.4% | | | | | | | | |
AbbVie, Inc., | | | | | | | | |
3.85%, 6/15/24 | | $ | 100,000 | | | $ | 109,056 | |
2.60%, 11/21/24 | | | 370,000 | | | | 391,822 | |
3.80%, 3/15/25 | | | 70,000 | | | | 76,678 | |
AdaptHealth LLC, | | | | | | | | |
6.13%, 8/01/28(b) | | | 30,000 | | | | 31,500 | |
4.63%, 8/01/29(b) | | | 25,000 | | | | 24,860 | |
Bausch Health Cos., Inc., 5.25%, 2/15/31(b) | | | 35,000 | | | | 35,048 | |
CVS Health Corp., 1.30%, 8/21/27 | | | 65,000 | | | | 63,403 | |
Herbalife Nutrition Ltd./HLF Financing, Inc., 7.88%, 9/01/25(b) | | | 100,000 | | | | 108,750 | |
Horizon Therapeutics USA, Inc., 5.50%, 8/01/27(b) | | | 200,000 | | | | 214,000 | |
McKesson Corp., 0.90%, 12/03/25 | | | 75,000 | | | | 73,924 | |
Owens & Minor, Inc., 4.50%, 3/31/29(b) | | | 20,000 | | | | 20,196 | |
P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25(b) | | | 15,000 | | | | 15,937 | |
Par Pharmaceutical, Inc., 7.50%, 4/01/27(b) | | | 100,000 | | | | 105,250 | |
Viatris, Inc, 1.65%, 6/22/25(b) | | | 30,000 | | | | 30,302 | |
Zoetis, Inc., 2.00%, 5/15/30 | | | 100,000 | | | | 97,047 | |
| | | | | | | 1,397,773 | |
| | | |
Pipelines – 0.6% | | | | | | | | |
Antero Midstream Partners L.P./Antero Midstream Finance Corp.,
5.75%, 3/01/27(b) | | | 75,000 | | | | 75,844 | |
Cheniere Corpus Christi Holdings LLC, | | | | | | | | |
5.88%, 3/31/25 | | | 255,000 | | | | 291,861 | |
3.70%, 11/15/29 | | | 40,000 | | | | 42,551 | |
Cheniere Energy Partners L.P., 5.63%, 10/01/26 | | | 50,000 | | | | 52,125 | |
Cheniere Energy, Inc., 4.63%, 10/15/28(b) | | | 25,000 | | | | 26,066 | |
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., 6.00%, 2/01/29(b) | | | 30,000 | | | | 31,012 | |
DCP Midstream Operating L.P., 5.60%, 4/01/44 | | | 25,000 | | | | 25,643 | |
Energy Transfer L.P., 4.05%, 3/15/25 | | | 50,000 | | | | 54,141 | |
EnLink Midstream LLC, 5.63%, 1/15/28(b) | | | 25,000 | | | | 25,844 | |
See accompanying Notes to Financial Statements
225
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Pipelines (Continued) | | | | | | | | |
EnLink Midstream LLC, 5.38%, 6/01/29 | | $ | 25,000 | | | $ | 25,000 | |
EnLink Midstream Partners L.P., | | | | | | | | |
4.85%, 7/15/26 | | | 50,000 | | | | 50,500 | |
5.45%, 6/01/47 | | | 25,000 | | | | 21,063 | |
EQM Midstream Partners L.P., | | | | | | | | |
4.13%, 12/01/26 | | | 100,000 | | | | 101,000 | |
6.50%, 7/01/27(b) | | | 20,000 | | | | 22,085 | |
6.50%, 7/15/48 | | | 10,000 | | | | 10,147 | |
Genesis Energy L.P./Genesis Energy Finance Corp., 8.00%, 1/15/27 | | | 45,000 | | | | 46,360 | |
Global Partners L.P./GLP Finance Corp., 6.88%, 1/15/29 | | | 50,000 | | | | 54,062 | |
Harvest Midstream I L.P., 7.50%, 9/01/28(b) | | | 35,000 | | | | 37,712 | |
Hess Midstream Operations L.P., 5.13%, 6/15/28(b) | | | 75,000 | | | | 77,625 | |
MPLX L.P., | | | | | | | | |
4.88%, 12/01/24 | | | 12,000 | | | | 13,453 | |
2.65%, 8/15/30 | | | 20,000 | | | | 19,749 | |
New Fortress Energy, Inc., | | | | | | | | |
6.75%, 9/15/25(b) | | | 115,000 | | | | 118,989 | |
6.50%, 9/30/26(b) | | | 100,000 | | | | 102,033 | |
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 2/01/26(b) | | | 70,000 | | | | 73,325 | |
NuStar Logistics L.P., 5.63%, 4/28/27 | | | 25,000 | | | | 26,313 | |
ONEOK, Inc., 2.75%, 9/01/24 | | | 50,000 | | | | 52,560 | |
Sabine Pass Liquefaction LLC, | | | | | | | | |
5.63%, 4/15/23 | | | 100,000 | | | | 108,182 | |
4.50%, 5/15/30 | | | 20,000 | | | | 22,525 | |
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 5.50%, 1/15/28(b) | | | 100,000 | | | | 98,750 | |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 5.50%, 3/01/30 | | | 25,000 | | | | 27,040 | |
Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30 | | | 30,000 | | | | 31,636 | |
Western Midstream Operating L.P., 4.65%, 7/01/26 | | | 50,000 | | | | 53,531 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Pipelines (Continued) | | | | | | | | |
Western Midstream Operating L.P., | | | | | | | | |
4.75%, 8/15/28 | | $ | 25,000 | | | $ | 26,865 | |
5.30%, 2/01/30 | | | 75,000 | | | | 81,844 | |
5.50%, 8/15/48 | | | 25,000 | | | | 25,500 | |
Williams (The) Cos., Inc., 3.60%, 3/15/22 | | | 40,000 | | | | 40,884 | |
| | | | | | | 1,993,820 | |
| | | |
Real Estate – 0.0%(e) | | | | | | | | |
Howard Hughes (The) Corp., 4.38%, 2/01/31(b) | | | 15,000 | | | | 14,850 | |
Kennedy-Wilson, Inc., 5.00%, 3/01/31 | | | 45,000 | | | | 46,570 | |
Realogy Group LLC/Realogy Co-Issuer Corp., | | | | | | | | |
7.63%, 6/15/25(b) | | | 20,000 | | | | 21,850 | |
5.75%, 1/15/29(b) | | | 25,000 | | | | 25,938 | |
| | | | | | | 109,208 | |
| | |
Real Estate Investment Trusts – 0.8% | | | | | |
American Tower Corp., | | | | | |
0.60%, 1/15/24 | | | 135,000 | | | | 134,971 | |
5.00%, 2/15/24 | | | 80,000 | | | | 88,973 | |
Camden Property Trust, 3.15%, 7/01/29 | | | 50,000 | | | | 53,271 | |
Crown Castle International Corp., | | | | | | | | |
3.20%, 9/01/24 | | | 30,000 | | | | 32,146 | |
1.35%, 7/15/25 | | | 200,000 | | | | 200,949 | |
Digital Realty Trust L.P., 4.75%, 10/01/25 | | | 80,000 | | | | 91,133 | |
Diversified Healthcare Trust, 9.75%, 6/15/25 | | | 100,000 | | | | 112,000 | |
Equinix, Inc., | | | | | | | | |
2.63%, 11/18/24 | | | 80,000 | | | | 84,314 | |
1.25%, 7/15/25 | | | 200,000 | | | | 199,744 | |
Essex Portfolio L.P., 1.70%, 3/01/28 | | | 230,000 | | | | 222,913 | |
Federal Realty Investment Trust, 3.95%, 1/15/24 | | | 50,000 | | | | 54,130 | |
GLP Capital L.P./GLP Financing II, Inc., 4.00%, 1/15/31 | | | 75,000 | | | | 79,092 | |
HAT Holdings I LLC/HAT Holdings II LLC, 3.75%, 9/15/30(b) | | | 35,000 | | | | 33,600 | |
Iron Mountain, Inc., | | | | | | | | |
5.00%, 7/15/28(b) | | | 75,000 | | | | 77,625 | |
4.88%, 9/15/29(b) | | | 75,000 | | | | 76,389 | |
5.25%, 7/15/30(b) | | | 40,000 | | | | 41,550 | |
4.50%, 2/15/31(b) | | | 30,000 | | | | 29,918 | |
See accompanying Notes to Financial Statements
226
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Real Estate Investment Trusts (Continued) | | | | | |
Iron Mountain, Inc., 5.63%, 7/15/32(b) | | $ | 50,000 | | | $ | 52,722 | |
iStar, Inc., 4.25%, 8/01/25 | | | 100,000 | | | | 101,340 | |
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc., 5.75%, 2/01/27 | | | 100,000 | | | | 111,531 | |
MPT Operating Partnership L.P./MPT Finance Corp., 3.50%, 3/15/31 | | | 35,000 | | | | 34,920 | |
New Residential Investment Corp., 6.25%, 10/15/25(b) | | | 25,000 | | | | 25,378 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 5.88%, 10/01/28(b) | | | 110,000 | | | | 116,737 | |
Public Storage, 3.39%, 5/01/29 | | | 25,000 | | | | 27,448 | |
RHP Hotel Properties L.P./RHP Finance Corp., 4.50%, 2/15/29(b) | | | 80,000 | | | | 79,174 | |
SBA Communications Corp., 3.13%, 2/01/29(b) | | | 10,000 | | | | 9,580 | |
Service Properties Trust, | | | | | | | | |
7.50%, 9/15/25 | | | 50,000 | | | | 56,671 | |
4.38%, 2/15/30 | | | 75,000 | | | | 69,750 | |
Simon Property Group L.P., 3.50%, 9/01/25 | | | 65,000 | | | | 71,002 | |
Starwood Property Trust, Inc., | | | | | | | | |
5.50%, 11/01/23(b) | | | 35,000 | | | | 36,750 | |
4.75%, 3/15/25 | | | 50,000 | | | | 52,064 | |
Uniti Group L.P./Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 2/15/25(b) | | | 50,000 | | | | 53,875 | |
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC, | | | | | | | | |
4.75%, 4/15/28(b) | | | 40,000 | | | | 39,850 | |
6.50%, 2/15/29(b) | | | 20,000 | | | | 19,881 | |
VICI Properties L.P./VICI Note Co., Inc., 4.13%, 8/15/30(b) | | | 50,000 | | | | 50,781 | |
Welltower, Inc., 4.00%, 6/01/25 | | | 25,000 | | | | 27,710 | |
XHR L.P., 6.38%, 8/15/25(b) | | | 30,000 | | | | 31,763 | |
| | | | | | | | 2,681,645 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Retail – 0.4% | | | | | | | | |
Abercrombie & Fitch Management Co., 8.75%, 7/15/25(b) | | $ | 225,000 | | | $ | 249,469 | |
Asbury Automotive Group, Inc., 4.75%, 3/01/30 | | | 35,000 | | | | 36,575 | |
BCPE Ulysses Intermediate, Inc., 7.75%, 4/01/27(b)(i) | | | 15,000 | | | | 15,451 | |
Beacon Roofing Supply, Inc., 4.88%, 11/01/25(b) | | | 300,000 | | | | 306,879 | |
Foundation Building Materials, Inc., 6.00%, 3/01/29(b) | | | 15,000 | | | | 14,881 | |
Gap (The), Inc., | | | | | | | | |
8.63%, 5/15/25(b) | | | 50,000 | | | | 55,335 | |
8.88%, 5/15/27(b) | | | 50,000 | | | | 58,375 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(b) | | | 20,000 | | | | 19,975 | |
GYP Holdings III Corp., 4.63%, 5/01/29(b) | | | 15,000 | | | | 15,022 | |
L Brands, Inc., | | | | | | | | |
5.25%, 2/01/28 | | | 25,000 | | | | 27,406 | |
6.63%, 10/01/30(b) | | | 35,000 | | | | 40,336 | |
LBM Acquisition LLC, 6.25%, 1/15/29(b) | | | 20,000 | | | | 20,500 | |
Lithia Motors, Inc., | | | | | | | | |
5.25%, 8/01/25(b) | | | 50,000 | | | | 51,625 | |
4.38%, 1/15/31(b) | | | 15,000 | | | | 15,787 | |
Lowe’s Cos., Inc., 4.00%, 4/15/25 | | | 45,000 | | | | 49,924 | |
Macy’s Retail Holdings LLC,
5.88%, 4/01/29(b) | | | 5,000 | | | | 5,131 | |
Macy’s, Inc., 8.38%, 6/15/25(b) | | | 25,000 | | | | 27,581 | |
Magic Mergeco, Inc., 5.25%, 5/01/28(b) | | | 20,000 | | | | 20,250 | |
Murphy Oil USA, Inc., 3.75%, 2/15/31(b) | | | 25,000 | | | | 24,625 | |
Park River Holdings, Inc., 5.63%, 2/01/29(b) | | | 20,000 | | | | 19,475 | |
QVC, Inc., 4.38%, 9/01/28 | | | 90,000 | | | | 92,118 | |
Ross Stores, Inc., 4.70%, 4/15/27 | | | 2,000 | | | | 2,304 | |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 9/30/26(b) | | | 10,000 | | | | 10,538 | |
White Cap Buyer LLC, 6.88%, 10/15/28(b) | | | 10,000 | | | | 10,613 | |
Yum! Brands, Inc., 4.75%, 1/15/30(b) | | | 50,000 | | | | 53,500 | |
| | | | | | | | 1,243,675 | |
See accompanying Notes to Financial Statements
227
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Semiconductors – 0.3% | | | | | | | | |
Amkor Technology, Inc., 6.63%, 9/15/27(b) | | $ | 100,000 | | | $ | 107,637 | |
Broadcom, Inc., | | | | | | | | |
4.70%, 4/15/25 | | | 225,000 | | | | 253,801 | |
4.25%, 4/15/26 | | | 100,000 | | | | 111,606 | |
4.30%, 11/15/32 | | | 50,000 | | | | 55,186 | |
Entegris, Inc., 3.63%, 5/01/29(b) | | | 30,000 | | | | 30,450 | |
Intel Corp., 3.75%, 3/25/27 | | | 100,000 | | | | 112,308 | |
Microchip Technology, Inc., 4.25%, 9/01/25(b) | | | 100,000 | | | | 105,018 | |
Micron Technology, Inc., 4.64%, 2/06/24 | | | 86,000 | | | | 94,672 | |
Qorvo, Inc., 4.38%, 10/15/29 | | | 100,000 | | | | 108,677 | |
| | | | | | | 979,355 | |
| | | |
Software – 0.4% | | | | | | | | |
Black Knight InfoServ LLC, 3.63%, 9/01/28(b) | | | 100,000 | | | | 97,750 | |
BY Crown Parent LLC/BY Bond Finance, Inc., 4.25%, 1/31/26(b) | | | 20,000 | | | | 20,950 | |
Camelot Finance S.A., 4.50%, 11/01/26(b) | | | 50,000 | | | | 51,750 | |
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 3/01/25(b) | | | 100,000 | | | | 101,625 | |
Citrix Systems, Inc., 1.25%, 3/01/26 | | | 130,000 | | | | 128,846 | |
Fidelity National Information Services, Inc., 1.15%, 3/01/26 | | | 25,000 | | | | 24,750 | |
Intuit, Inc., | | | | | | | | |
1.35%, 7/15/27 | | | 60,000 | | | | 59,291 | |
1.65%, 7/15/30 | | | 45,000 | | | | 43,312 | |
J2 Global, Inc., 4.63%, 10/15/30(b) | | | 145,000 | | | | 148,432 | |
MSCI, Inc., 3.88%, 2/15/31(b) | | | 100,000 | | | | 102,477 | |
Nuance Communications, Inc., 5.63%, 12/15/26 | | | 125,000 | | | | 131,250 | |
Oracle Corp., 1.65%, 3/25/26 | | | 180,000 | | | | 181,805 | |
Rackspace Technology Global, Inc., 5.38%, 12/01/28(b) | | | 20,000 | | | | 20,418 | |
Roper Technologies, Inc., 1.00%, 9/15/25 | | | 45,000 | | | | 44,629 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Software (Continued) | | | | | | | | |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 9/01/25(b) | | $ | 115,000 | | | $ | 119,025 | |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 2/01/29(b) | | | 5,000 | | | | 4,938 | |
| | | | | | | 1,281,248 | |
| | | |
Telecommunications – 0.6% | | | | | | | | |
AT&T, Inc., 1.70%, 3/25/26 | | | 295,000 | | | | 296,379 | |
Avaya, Inc., 6.13%, 9/15/28(b) | | | 15,000 | | | | 15,938 | |
Cincinnati Bell, Inc., 7.00%, 7/15/24(b) | | | 75,000 | | | | 77,437 | |
Consolidated Communications, Inc., 6.50%, 10/01/28(b) | | | 15,000 | | | | 16,160 | |
Embarq Corp., 8.00%, 6/01/36 | | | 25,000 | | | | 29,110 | |
Frontier Communications Corp., | | | | | | | | |
5.88%, 10/15/27(b) | | | 10,000 | | | | 10,625 | |
5.00%, 5/01/28(b) | | | 10,000 | | | | 10,213 | |
HC2 Holdings, Inc., 8.50%, 2/01/26(b) | | | 20,000 | | | | 19,725 | |
Level 3 Financing, Inc., 3.63%, 1/15/29(b) | | | 100,000 | | | | 96,875 | |
LogMeIn, Inc., 5.50%, 9/01/27(b) | | | 30,000 | | | | 31,268 | |
Lumen Technologies, Inc., 4.50%, 1/15/29(b) | | | 50,000 | | | | 49,250 | |
Motorola Solutions, Inc., 4.60%, 5/23/29 | | | 30,000 | | | | 34,476 | |
Plantronics, Inc., 4.75%, 3/01/29(b) | | | 65,000 | | | | 64,025 | |
QualityTech L.P./QTS Finance Corp., 3.88%, 10/01/28(b) | | | 45,000 | | | | 45,394 | |
Sprint Capital Corp., | | | | | | | | |
6.88%, 11/15/28 | | | 50,000 | | | | 63,001 | |
8.75%, 3/15/32 | | | 75,000 | | | | 111,187 | |
Sprint Corp., 7.13%, 6/15/24 | | | 100,000 | | | | 115,487 | |
Switch Ltd., 3.75%, 9/15/28(b) | | | 45,000 | | | | 44,775 | |
T-Mobile USA, Inc., 3.50%, 4/15/25(b) | | | 425,000 | | | | 460,861 | |
Verizon Communications, Inc., 3.00%, 3/22/27 | | | 100,000 | | | | 107,473 | |
ViaSat, Inc., | | | | | | | | |
5.63%, 4/15/27(b) | | | 100,000 | | | | 104,750 | |
6.50%, 7/15/28(b) | | | 115,000 | | | | 121,357 | |
See accompanying Notes to Financial Statements
228
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| |
Telecommunications (Continued) | | | | | |
Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 8/15/28(b) | | $ | 30,000 | | | $ | 31,275 | |
| | | | | | | 1,957,041 | |
| | | |
Transportation – 0.1% | | | | | | | | |
Cargo Aircraft Management, Inc., 4.75%, 2/01/28(b) | | | 10,000 | | | | 10,240 | |
United Parcel Service, Inc., 4.45%, 4/01/30 | | | 60,000 | | | | 70,969 | |
Watco Cos. LLC/Watco Finance Corp., 6.50%, 6/15/27(b) | | | 15,000 | | | | 15,975 | |
XPO Logistics, Inc., 6.25%, 5/01/25(b) | | | 50,000 | | | | 53,560 | |
| | | | | | | 150,744 | |
| | | |
Trucking & Leasing – 0.1% | | | | | | | | |
Fortress Transportation and Infrastructure Investors LLC, | | | | | | | | |
6.50%, 10/01/25(b) | | | 30,000 | | | | 31,200 | |
9.75%, 8/01/27(b) | | | 320,000 | | | | 369,600 | |
| | | | | | | 400,800 | |
| | | |
Total Corporate Bonds
(Cost $45,502,301) | | | | | | | 46,250,081 | |
| | |
Foreign Issuer Bonds – 2.1% | | | | | |
Brazil – 0.0%(e) | | | | | | | | |
Vale Overseas Ltd., 3.75%, 7/08/30 | | | 80,000 | | | | 84,160 | |
| | | |
Burkina Faso – 0.0%(e) | | | | | | | | |
IAMGOLD Corp., 5.75%, 10/15/28(b) | | | 30,000 | | | | 31,200 | |
| | | |
Canada – 0.7% | | | | | | | | |
1011778 B.C. ULC/New Red Finance, Inc., 4.00%, 10/15/30(b) | | | 130,000 | | | | 126,750 | |
Bank of Montreal, 0.45%, 12/08/23 | | | 180,000 | | | | 180,132 | |
Bank of Nova Scotia (The), 1.05%, 3/02/26 | | | 90,000 | | | | 89,048 | |
Brookfield Asset Management, Inc., 4.00%, 1/15/25 | | | 50,000 | | | | 54,718 | |
Canadian Imperial Bank of Commerce, 0.95%, 10/23/25 | | | 170,000 | | | | 169,549 | |
Cascades, Inc./Cascades USA, Inc., 5.38%, 1/15/28(b) | | | 130,000 | | | | 135,468 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Canada (Continued) | | | | | | | | |
Cenovus Energy, Inc., | | | | | | | | |
3.80%, 9/15/23 | | $ | 25,000 | | | $ | 26,335 | |
5.38%, 7/15/25 | | | 10,000 | | | | 11,370 | |
4.25%, 4/15/27 | | | 100,000 | | | | 109,869 | |
6.75%, 11/15/39 | | | 50,000 | | | | 63,324 | |
Empire Communities Corp., 7.00%, 12/15/25(b) | | | 20,000 | | | | 21,400 | |
Enbridge, Inc., | | | | | | | | |
3.50%, 6/10/24 | | | 80,000 | | | | 85,805 | |
2.50%, 1/15/25 | | | 100,000 | | | | 104,611 | |
Fairfax Financial Holdings Ltd., 3.38%, 3/03/31(b) | | | 25,000 | | | | 25,222 | |
GFL Environmental, Inc., 3.75%, 8/01/25(b) | | | 25,000 | | | | 25,438 | |
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 9/15/28(b) | | | 25,000 | | | | 25,791 | |
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., | | | | | | | | |
5.00%, 12/31/26(b) | | | 20,000 | | | | 20,175 | |
7.00%, 12/31/27(b) | | | 25,000 | | | | 24,247 | |
MEG Energy Corp., 5.88%, 2/01/29(b) | | | 20,000 | | | | 20,500 | |
Methanex Corp., 5.25%, 12/15/29 | | | 75,000 | | | | 79,219 | |
Norbord, Inc., 5.75%, 7/15/27(b) | | | 50,000 | | | | 54,485 | |
Parkland Corp., 5.88%, 7/15/27(b) | | | 50,000 | | | | 53,240 | |
Royal Bank of Canada, 1.20%, 4/27/26 | | | 125,000 | | | | 124,621 | |
Stars Group Holdings B.V./Stars Group U.S. Co-Borrower LLC, 7.00%, 7/15/26(b) | | | 285,000 | | | | 297,825 | |
Superior Plus L.P./Superior General Partner, Inc., 4.50%, 3/15/29(b) | | | 10,000 | | | | 10,190 | |
Taseko Mines Ltd., 7.00%, 2/15/26(b) | | | 50,000 | | | | 52,000 | |
Telesat Canada/Telesat LLC, | | | | | | | | |
5.63%, 12/06/26(b) | | | 15,000 | | | | 15,075 | |
6.50%, 10/15/27(b) | | | 75,000 | | | | 73,687 | |
Tervita Corp., 11.00%, 12/01/25(b) | | | 25,000 | | | | 28,312 | |
Toronto-Dominion Bank (The), | | | | | | | | |
3.25%, 3/11/24 | | | 50,000 | | | | 53,785 | |
0.75%, 1/06/26 | | | 160,000 | | | | 157,400 | |
| | | | | | | | 2,319,591 | |
See accompanying Notes to Financial Statements
229
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
China – 0.1% | | | | | | | | |
Baidu, Inc., 1.72%, 4/09/26 | | $ | 200,000 | | | $ | 199,356 | |
| | | |
Germany – 0.2% | | | | | | | | |
Deutsche Bank A.G., | | | | | | | | |
(SOFR + 1.87%), 2.13%, 11/24/26(k) | | | 150,000 | | | | 151,937 | |
(5Y USD Swap Rate + 2.55%), 4.88%, 12/01/32(k) | | | 200,000 | | | | 216,160 | |
Deutsche Telekom International Finance B.V., 8.75%, 6/15/30 | | | 140,000 | | | | 208,417 | |
Mercer International, Inc., 5.13%, 2/01/29(b) | | | 10,000 | | | | 10,338 | |
| | | | | | | 586,852 | |
| | | |
Ireland – 0.1% | | | | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.50%, 9/15/23 | | | 220,000 | | | | 236,934 | |
| | | |
Italy – 0.0%(e) | | | | | | | | |
Telecom Italia Capital S.A., | | | | | | | | |
6.38%, 11/15/33 | | | 50,000 | | | | 58,749 | |
6.00%, 9/30/34 | | | 20,000 | | | | 22,511 | |
| | | | | | | 81,260 | |
| | | |
Japan – 0.4% | | | | | | | | |
Mitsubishi UFJ Financial Group, Inc., 2.05%, 7/17/30 | | | 200,000 | | | | 195,445 | |
Mizuho Financial Group, Inc., | | | | | | | | |
(1.25% - SOFR), 1.24%, 7/10/24(k) | | | 200,000 | | | | 202,338 | |
(3M USD LIBOR + 1.00%), 3.92%,
9/11/24(k) | | | 200,000 | | | | 214,748 | |
Nomura Holdings, Inc., 1.85%, 7/16/25 | | | 200,000 | | | | 201,912 | |
Sumitomo Mitsui Financial Group, Inc., | | | | | | | | |
2.45%, 9/27/24 | | | 200,000 | | | | 209,910 | |
1.47%, 7/08/25 | | | 200,000 | | | | 201,542 | |
Toyota Motor Corp., 0.68%, 3/25/24 | | | 195,000 | | | | 195,825 | |
| | | | | | | 1,421,720 | |
| | | |
Luxembourg – 0.0%(e) | | | | | | | | |
ArcelorMittal S.A., | | | | | | | | |
6.13%, 6/01/25 | | | 50,000 | | | | 57,979 | |
4.25%, 7/16/29 | | | 50,000 | | | | 54,324 | |
| | | | | | | | 112,303 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
| | |
Peru – 0.1% | | | | | | | | |
Hudbay Minerals, Inc., | | | | | | | | |
4.50%, 4/01/26(b) | | $ | 30,000 | | | $ | 30,450 | |
6.13%, 4/01/29(b) | | | 35,000 | | | | 37,216 | |
Southern Copper Corp., 3.88%, 4/23/25 | | | 270,000 | | | | 294,496 | |
| | | | | | | 362,162 | |
| | | |
Spain – 0.1% | | | | | | | | |
Banco Santander S.A., 1.85%, 3/25/26 | | | 200,000 | | | | 201,677 | |
| | | |
Switzerland – 0.0%(e) | | | | | | | | |
Novartis Capital Corp., 2.20%, 8/14/30 | | | 10,000 | | | | 10,155 | |
| | | |
United Kingdom – 0.4% | | | | | | | | |
Barclays PLC, (3M USD LIBOR + 1.40%), 4.61%, 2/15/23(k) | | | 200,000 | | | | 206,232 | |
HSBC Holdings PLC, (3M USD LIBOR + 1.06%), 3.26%, 3/13/23(k) | | | 200,000 | | | | 204,767 | |
Lloyds Banking Group PLC, (1Y US Treasury CMT + 0.55%), 0.70%,
5/11/24(k) | | | 200,000 | | | | 200,245 | |
Reynolds American, Inc., 4.45%, 6/12/25 | | | 125,000 | | | | 139,149 | |
Santander UK Group Holdings PLC, (SOFR + 0.79%), 1.09%, 3/15/25(k) | | | 300,000 | | | | 300,693 | |
Unilever Capital Corp., 3.38%, 3/22/25 | | | 100,000 | | | | 108,894 | |
Virgin Media Secured Finance PLC, 4.50%, 8/15/30(b) | | | 200,000 | | | | 200,905 | |
| | | | | | | 1,360,885 | |
| | | |
Total Foreign Issuer Bonds
(Cost $6,934,331) | | | | | | | 7,008,255 | |
|
Mortgage-Backed Securities – 12.5% | |
Federal Home Loan Mortgage Corporation – 1.1% | |
Pool, | | | | | | | | |
#QA2226, 3.00%, 7/01/46 | | | 54,201 | | | | 57,157 | |
#QA2237, 3.00%, 7/01/46 | | | 119,647 | | | | 126,173 | |
#QA8965, 3.00%, 4/01/50 | | | 32,958 | | | | 34,590 | |
#RA2621, 4.00%, 5/01/50 | | | 74,689 | | | | 80,124 | |
#RA3022, 2.50%, 6/01/50 | | | 44,603 | | | | 46,345 | |
#RA3174, 3.00%, 7/01/50 | | | 63,923 | | | | 67,770 | |
#RA3382, 3.00%, 8/01/50 | | | 132,332 | | | | 141,018 | |
See accompanying Notes to Financial Statements
230
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Federal Home Loan Mortgage Corporation (Continued) | |
Pool, | | | | | | | | |
#RA3935, 2.50%, 11/01/50 | | $ | 318,959 | | | $ | 331,722 | |
#SB0383, 2.50%, 4/01/32 | | | 154,388 | | | | 162,683 | |
#SB8500, 2.50%, 7/01/35 | | | 156,619 | | | | 165,670 | |
#SB8505, 2.50%, 10/01/35 | | | 477,879 | | | | 505,193 | |
#SD0514, 2.00%, 10/01/50 | | | 74,219 | | | | 75,268 | |
#SD7521, 2.50%, 7/01/50 | | | 46,490 | | | | 48,747 | |
#SD8074, 3.00%, 7/01/50 | | | 243,573 | | | | 255,669 | |
#SD8084, 3.00%, 8/01/50 | | | 38,519 | | | | 40,343 | |
#SD8092, 3.00%, 9/01/50 | | | 122,136 | | | | 128,051 | |
#SD8114, 2.50%, 12/01/50 | | | 851 | | | | 884 | |
#SD8146, 2.00%, 5/01/51 | | | 1,065,000 | | | | 1,076,200 | |
#ZS4693, 3.00%, 12/01/46 | | | 288,874 | | | | 305,409 | |
#ZS4746, 3.00%, 12/01/47 | | | 16,086 | | | | 16,881 | |
#ZT1858, 4.50%, 4/01/49 | | | 80,904 | | | | 89,619 | |
| | | | | | | 3,755,516 | |
| |
Federal Home Loan Mortgage Corporation Gold – 0.1% | |
Pool, | | | | | | | | |
#G08697, 3.00%, 3/01/46 | | | 178,033 | | | | 187,825 | |
#G08737, 3.00%, 12/01/46 | | | 206,064 | | | | 217,940 | |
| | | | | | | 405,765 | |
| |
Federal National Mortgage Association – 2.4% | |
Pool, | | | | | | | | |
#AS5640, 3.50%, 8/01/45 | | | 71,053 | | | | 77,211 | |
#BM5024, 3.00%, 11/01/48 | | | 32,510 | | | | 34,067 | |
#BN3960, 4.50%, 1/01/49 | | | 19,045 | | | | 20,775 | |
#BR7647, 2.00%, 4/01/51 | | | 48,965 | | | | 49,480 | |
#CA3666, 4.00%, 6/01/49 | | | 615,907 | | | | 670,628 | |
#CA5182, 4.50%, 2/01/50 | | | 796,644 | | | | 873,339 | |
#CA5575, 4.00%, 4/01/50 | | | 481,871 | | | | 520,627 | |
#CA5754, 4.00%, 5/01/50 | | | 52,668 | | | | 56,657 | |
#CA6317, 3.00%, 7/01/50 | | | 46,611 | | | | 49,291 | |
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Federal National Mortgage Association (Continued) | |
Pool, | | | | | | | | |
#CA7368, 2.50%, 10/01/50 | | $ | 169,794 | | | $ | 176,588 | |
#CA7572, 2.50%, 10/01/50 | | | 146,156 | | | | 153,360 | |
#CA7573, 2.50%, 11/01/50 | | | 218,092 | | | | 228,671 | |
#CB0235, 2.00%, 4/01/51 | | | 125,845 | | | | 127,422 | |
#CB0400, 5/01/51(j) | | | 25,896 | | | | 26,409 | |
#FM2888, 3.50%, 1/01/49 | | | 78,738 | | | | 83,736 | |
#FM4808, 2.50%, 11/01/50 | | | 96,696 | | | | 100,431 | |
#FM6135, 2.00%, 2/01/51 | | | 49,651 | | | | 50,228 | |
#FM6834, 2.00%, 4/01/51 | | | 242,000 | | | | 244,714 | |
#MA3238, 3.50%, 1/01/48 | | | 1,979,387 | | | | 2,115,450 | |
#MA3467, 4.00%, 9/01/48 | | | 208,521 | | | | 223,977 | |
#MA4026, 4.00%, 5/01/50 | | | 1,001,480 | | | | 1,076,674 | |
#MA4156, 2.50%, 10/01/35 | | | 112,338 | | | | 117,452 | |
#MA4210, 2.50%, 12/01/50 | | | 195,376 | | | | 202,891 | |
#MA4326, 5/01/51(j) | | | 124,779 | | | | 129,579 | |
#MA4355, 5/01/51(j) | | | 260,000 | | | | 262,734 | |
#MA4356, 5/01/51(j) | | | 74,000 | | | | 76,846 | |
| | | | | | | 7,749,237 | |
| |
Government National Mortgage Association – 3.5% | |
Pool TBA, 5/01/51(j) | | | 11,069,000 | | | | 11,604,600 | |
| |
Government National Mortgage Association II – 0.9% | |
Pool, | | | | | | | | |
#785043, 3.00%, 4/20/49 | | | 419,059 | | | | 441,988 | |
#BW4651, 2.50%, 8/20/50 | | | 24,034 | | | | 24,994 | |
#BW4741, 2.50%, 9/20/50 | | | 25,814 | | | | 26,845 | |
#BW6206, 2.50%, 8/20/50 | | | 47,891 | | | | 49,807 | |
#BY0776, 2.50%, 9/20/50 | | | 50,895 | | | | 52,930 | |
#BY0805, 2.50%, 9/20/50 | | | 48,859 | | | | 50,814 | |
#MA4125, 2.50%, 12/20/46 | | | 49,298 | | | | 51,565 | |
#MA5397, 3.50%, 8/20/48 | | | 352,406 | | | | 375,323 | |
#MA5467, 4.50%, 9/20/48 | | | 96,192 | | | | 104,435 | |
#MA6409, 3.00%, 1/20/50 | | | 98,888 | | | | 104,006 | |
See accompanying Notes to Financial Statements
231
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Par(a) | | | Value | |
|
Government National Mortgage Association II (Continued) | |
Pool, | | | | | | | | |
#MA6412, 4.50%, 1/20/50 | | $ | 223,172 | | | $ | 241,430 | |
#MA6474, 3.00%, 2/20/50 | | | 57,614 | | | | 60,304 | |
#MA6766, 3.00%, 7/20/50 | | | 657,760 | | | | 688,921 | |
#MA7052, 2.50%, 12/20/50 | | | 491,398 | | | | 511,165 | |
#MA7136, 2.50%, 1/20/51 | | | 24,739 | | | | 25,723 | |
#MA7193, 2.50%, 2/20/51 | | | 198,380 | | | | 206,283 | |
| | | | | | | 3,016,533 | |
| |
Uniform Mortgage-Backed Securities – 4.5% | |
Pool TBA, | | | | | | | | |
5/01/36(j) | | | 3,350,000 | | | | 3,493,048 | |
5/01/51(j) | | | 7,942,000 | | | | 8,355,640 | |
6/01/51(j) | | | 2,600,000 | | | | 2,723,840 | |
| | | | | | | | 14,572,528 | |
| | |
Total Mortgage-Backed Securities
(Cost $41,037,386) | | | | | | | 41,104,179 | |
| | |
| | | Number
of Shares | | | | |
|
Preferred Stocks – 0.4% | |
Real Estate Investment Trusts – 0.4% | |
AGNC Investment Corp., 6.13%(c)* | | | 15,354 | | | | 368,803 | |
Chimera Investment Corp., 8.00%(c)* | | | 10,044 | | | | 249,091 | |
MFA Financial, Inc., 6.50%(c)* | | | 16,332 | | | | 373,350 | |
New Residential Investment Corp., 6.38%(c)* | | | 10,314 | | | | 234,850 | |
| | | | | | | | 1,226,094 | |
| | |
Total Preferred Stocks
(Cost $1,234,507) | | | | | | | 1,226,094 | |
| | |
Rights – 0.0%(e) | | | | | | | | |
| | |
Biotechnology – 0.0%(e) | | | | | | | | |
Pfenex, Inc. CVR(l)* | | | 53,807 | | | | 42,663 | |
Stemline Therapeutics, Inc. CVR(m)* | | | 33,076 | | | | 11,881 | |
| | | | | | | | 54,544 | |
| | | | | | | | | | | | |
| | | | | | Number
of Shares | | | Value | |
|
Pharmaceuticals – 0.0%(e) | |
Elanco Animal Health, Inc.* | | | | | | | 22,842 | | | $ | — | |
Total Rights
(Cost $62,032) | | | | | | | | | | | 54,544 | |
| | | |
Warrants – 0.0%(e) | | | | | | | | | | | | |
Auto Manufacturers – 0.0%(e) | | | | | | | | | |
Lightning eMotors, Inc., Strike Price $11.50, Expires
7/02/25(n) | | | | | | | 10,522 | | | | 19,992 | |
| | | | |
Total Warrants
(Cost $—) | | | | | | | | | | | 19,992 | |
| |
Investment Companies – 0.7% | | | | | |
ProShares Short 20+ Year Treasury* | | | | | | | 133,372 | | | | 2,359,351 | |
Total Investment Companies
(Cost $2,344,555) | | | | | | | | 2,359,351 | |
| |
Short-Term Investments – 18.2% | | | | | |
| | |
Money Market Fund – 18.2% | | | | | | | | | |
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(o) | | | | | | | 59,561,801 | | | | 59,561,801 | |
| | | |
Total Short-Term Investments
(Cost $59,561,801) | | | | | | | | | | | 59,561,801 | |
| | | | |
| | | Number of Contracts | | | Notional
Amount | | | | |
| |
Purchased Options – 0.1% | | | | | |
| |
Call Options - Exchange Traded – 0.1% | | | | | |
Advanced Micro Devices, Inc., | | | | | | | | | | | | |
Strike Price $85.00, Expires 5/21/21 | | | 176 | | | | 1,436,512 | | | | 26,752 | |
Strike Price $90.00, Expires 6/18/21 | | | 49 | | | | 399,938 | | | | 8,330 | |
CoreLogic, Inc., Strike Price $80.00, Expires 5/21/21 | | | 190 | | | | 1,514,300 | | | | 950 | |
Grubhub, Inc., | | | | | | | | | | | | |
Strike Price $75.00, Expires 6/18/21 | | | 15 | | | | 102,060 | | | | 3,150 | |
Strike Price $77.50, Expires 6/18/21 | | | 17 | | | | 115,668 | | | | 2,805 | |
Strike Price $80.00, Expires 6/18/21 | | | 23 | | | | 156,492 | | | | 3,335 | |
Herman Miller, Inc., Strike Price $45.00, Expires 5/21/21 | | | 63 | | | | 261,450 | | | | 2,142 | |
See accompanying Notes to Financial Statements
232
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | | | | | |
| | | Number of Contracts | | | Notional
Amount | | | Value | |
|
Call Options - Exchange Traded (Continued) | |
II-VI, Inc., Strike Price $80.00, Expires 5/21/21 | | | 106 | | | | 711,684 | | | $ | 7,950 | |
Kansas City Southern, | | | | | | | | | | | | |
Strike Price $295.00, Expires 5/21/21 | | | 20 | | | | 584,420 | | | | 13,400 | |
Strike Price $300.00, Expires 5/21/21 | | | 10 | | | | 292,210 | | | | 4,300 | |
Strike Price $310.00, Expires 5/21/21 | | | 8 | | | | 233,768 | | | | 1,480 | |
Strike Price $315.00, Expires 5/21/21 | | | 12 | | | | 350,652 | | | | 1,620 | |
Strike Price $320.00, Expires 5/21/21 | | | 12 | | | | 350,652 | | | | 804 | |
Middleby (The) Corp., | | | | | | | | | | | | |
Strike Price $180.00, Expires 6/18/21 | | | 7 | | | | 126,924 | | | | 7,700 | |
Strike Price $185.00, Expires 6/18/21 | | | 16 | | | | 290,112 | | | | 14,720 | |
Strike Price $190.00, Expires 6/18/21 | | | 7 | | | | 126,924 | | | | 5,250 | |
Strike Price $195.00, Expires 6/18/21 | | | 7 | | | | 126,924 | | | | 4,235 | |
| | | | | | | | | | | 108,923 | |
| |
Put Options - Exchange Traded – 0.0%(e) | |
ChargePoint Holdings, Inc., Strike Price $17.50, Expires 8/20/21 | | | 38 | | | | 96,216 | | | | 4,750 | |
Churchill Capital Corp. IV, Strike Price $17.50, Expires 7/16/21 | | | 42 | | | | 88,578 | | | | 7,896 | |
Defiance NextGen SPAC Derived ETF, | | | | | | | | | | | | |
Strike Price $20.00, Expires 8/20/21 | | | 53 | | | | 136,104 | | | | 4,505 | |
Strike Price $21.00, Expires 8/20/21 | | | 53 | | | | 136,104 | | | | 5,697 | |
Star Peak Energy Transition Corp., Strike Price $17.50, Expires 7/16/21 | | | 49 | | | | 124,411 | | | | 4,778 | |
| | | | | | | | | | | 27,626 | |
| | | |
Total Purchased Options
(Premiums Received $294,682) | | | | | | | | 136,549 | |
| | | |
Total Long Positions – 107.2%
(Cost $334,107,620) | | | | | | | | 351,329,969 | |
| | | | | | | | |
| | | Number of Shares | | | Value | |
|
Short Positions – (18.6)% | |
|
Common Stocks – (17.7)% | |
|
Aerospace/Defense – (0.2)% | |
Kaman Corp. | | | (2,706 | ) | | $ | (144,365 | ) |
Teledyne Technologies, Inc.* | | | (1,452 | ) | | | (650,133 | ) |
| | | | | | | (794,498 | ) |
| | | |
Agriculture – (0.1)% | | | | | | | | |
Bunge Ltd. | | | (3,349 | ) | | | (282,723 | ) |
| | | |
Airlines – (0.4)% | | | | | | | | |
Copa Holdings S.A., Class A* | | | (6,436 | ) | | | (556,714 | ) |
Southwest Airlines Co.* | | | (7,619 | ) | | | (478,321 | ) |
Spirit Airlines, Inc.* | | | (5,714 | ) | | | (204,675 | ) |
| | | | | | | (1,239,710 | ) |
| | | |
Auto Manufacturers – (0.1)% | | | | | | | | |
Ford Motor Co.* | | | (11,381 | ) | | | (131,337 | ) |
NIO, Inc. ADR (China)* | | | (1,696 | ) | | | (67,568 | ) |
| | | | | | | (198,905 | ) |
| | | |
Auto Parts & Equipment – (0.2)% | | | | | | | | |
Aptiv PLC* | | | (2,608 | ) | | | (375,265 | ) |
Cooper Tire & Rubber Co. | | | (5,317 | ) | | | (303,016 | ) |
Meritor, Inc.* | | | (4,429 | ) | | | (119,716 | ) |
| | | | | | | (797,997 | ) |
| | | |
Banks – (0.6)% | | | | | | | | |
BancorpSouth Bank | | | (14,120 | ) | | | (417,811 | ) |
SVB Financial Group* | | | (2,533 | ) | | | (1,448,445 | ) |
| | | | | | | (1,866,256 | ) |
| | | |
Biotechnology – (0.8)% | | | | | | | | |
Apellis Pharmaceuticals, Inc.* | | | (6,484 | ) | | | (328,544 | ) |
Avid Bioservices, Inc.* | | | (7,980 | ) | | | (170,812 | ) |
Bridgebio Pharma, Inc.* | | | (2,808 | ) | | | (157,023 | ) |
Exact Sciences Corp.* | | | (3,807 | ) | | | (501,839 | ) |
Gossamer Bio, Inc.* | | | (28,318 | ) | | | (244,668 | ) |
Halozyme Therapeutics, Inc.* | | | (3,290 | ) | | | (164,335 | ) |
Innoviva, Inc.* | | | (7,631 | ) | | | (87,375 | ) |
Insmed, Inc.* | | | (5,401 | ) | | | (182,176 | ) |
Ionis Pharmaceuticals, Inc.* | | | (2,296 | ) | | | (98,315 | ) |
Ligand | | | | | | | | |
Pharmaceuticals, Inc.* | | | (1,061 | ) | | | (154,789 | ) |
NeoGenomics, Inc.* | | | (3,559 | ) | | | (174,355 | ) |
Radius Health, Inc.* | | | (4,191 | ) | | | (93,459 | ) |
See accompanying Notes to Financial Statements
233
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Number
of Shares | | | Value | |
|
Biotechnology (Continued) | |
Theravance Biopharma, Inc.* | | | (4,017 | ) | | $ | (79,296 | ) |
Travere Therapeutics, Inc.* | | | (6,216 | ) | | | (153,660 | ) |
| | | | | | | (2,590,646 | ) |
| |
Commercial Services – (1.5)% | |
2U, Inc.(f)* | | | (5,645 | ) | | | (221,566 | ) |
FTI Consulting, Inc.* | | | (3,752 | ) | | | (520,965 | ) |
S&P Global, Inc. | | | (9,631 | ) | | | (3,759,846 | ) |
Sabre Corp.(f)* | | | (22,568 | ) | | | (338,069 | ) |
Stride, Inc.* | | | (4,035 | ) | | | (115,522 | ) |
| | | | | | | (4,955,968 | ) |
| | | |
Computers – (0.4)% | | | | | | | | |
Lumentum Holdings, Inc.(f)* | | | (3,638 | ) | | | (309,412 | ) |
Mitek Systems, Inc.* | | | (10,253 | ) | | | (166,201 | ) |
NCR Corp.* | | | (11,926 | ) | | | (545,615 | ) |
Vocera Communications, Inc.* | | | (4,407 | ) | | | (159,401 | ) |
| | | | | | | (1,180,629 | ) |
| | |
Diversified Financial Services – (0.6)% | | | | | |
Affiliated Managers Group, Inc. | | | (1,322 | ) | | | (213,067 | ) |
Cowen, Inc., Class A | | | (18,842 | ) | | | (744,071 | ) |
Encore Capital Group, Inc.* | | | (6,402 | ) | | | (251,855 | ) |
I3 Verticals, Inc., Class A* | | | (8,297 | ) | | | (275,626 | ) |
PRA Group, Inc.* | | | (5,940 | ) | | | (223,819 | ) |
WisdomTree Investments, Inc. | | | (29,709 | ) | | | (201,575 | ) |
| | | | | | | (1,910,013 | ) |
| | | |
Electric – (0.1)% | | | | | | | | |
NRG Energy, Inc. | | | (6,960 | ) | | | (249,307 | ) |
| | | |
Electronics – (0.7)% | | | | | | | | |
GoPro, Inc. Class A* | | | (24,602 | ) | | | (276,281 | ) |
II-VI, Inc.(f)* | | | (18,827 | ) | | | (1,264,045 | ) |
Knowles Corp.* | | | (13,566 | ) | | | (283,529 | ) |
OSI Systems, Inc.* | | | (2,648 | ) | | | (255,717 | ) |
Vishay Intertechnology, Inc. | | | (5,200 | ) | | | (127,764 | ) |
| | | | | | | (2,207,336 | ) |
| | |
Energy - Alternate Sources – (0.2)% | | | | | |
Canadian Solar, Inc. (Canada)* | | | (3,419 | ) | | | (141,000 | ) |
Enphase Energy, Inc.(f)* | | | (1,452 | ) | | | (202,191 | ) |
SunPower Corp.* | | | (9,295 | ) | | | (238,788 | ) |
Sunrun, Inc.* | | | (3,086 | ) | | | (151,214 | ) |
| | | | | | | (733,193 | ) |
| | |
Engineering & Construction – (0.2)% | | | | | |
Granite Construction, Inc. | | | (15,677 | ) | | | (597,294 | ) |
| | | | | | | | |
| | | Number
of Shares | | | Value | |
|
Entertainment – (0.3)% | |
Cinemark Holdings, Inc.* | | | (33,936 | ) | | $ | (719,443 | ) |
DraftKings, Inc., Class A* | | | (2,937 | ) | | | (166,411 | ) |
| | | | | | | (885,854 | ) |
| | | |
Food – (0.1)% | | | | | | | | |
Beyond Meat, Inc.* | | | (686 | ) | | | (90,332 | ) |
Chefs’ Warehouse (The), Inc.* | | | (9,663 | ) | | | (311,439 | ) |
| | | | | | | (401,771 | ) |
| | | |
Gas – (0.2)% | | | | | | | | |
South Jersey Industries, Inc. | | | (25,077 | ) | | | (620,656 | ) |
| | |
Healthcare - Products – (0.9)% | | | | | |
LivaNova PLC* | | | (4,305 | ) | | | (365,365 | ) |
NanoString Technologies, Inc.* | | | (6,623 | ) | | | (527,655 | ) |
SmileDirectClub, Inc.* | | | (23,659 | ) | | | (251,614 | ) |
STERIS PLC | | | (7,508 | ) | | | (1,584,338 | ) |
Varex Imaging Corp.* | | | (8,442 | ) | | | (200,413 | ) |
| | | | | | | (2,929,385 | ) |
| |
Healthcare - Services – (0.1)% | |
ICON PLC (Ireland)* | | | (1,178 | ) | | | (255,567 | ) |
Oak Street Health, Inc.* | | | (1,915 | ) | | | (118,022 | ) |
| | | | | | | (373,589 | ) |
| | | |
Home Builders – (0.1)% | | | | | | | | |
Winnebago Industries, Inc. | | | (6,160 | ) | | | (492,492 | ) |
| | | |
Home Furnishings – (0.0)%(e) | | | | | | | | |
Herman Miller, Inc.(f) | | | (3,155 | ) | | | (130,933 | ) |
| | | |
Insurance – (1.3)% | | | | | | | | |
Aon PLC, Class A | | | (16,410 | ) | | | (4,126,130 | ) |
| | | |
Internet – (1.2)% | | | | | | | | |
21Vianet Group, Inc. ADR (China)* | | | (3,373 | ) | | | (94,140 | ) |
fuboTV, Inc.* | | | (6,680 | ) | | | (134,669 | ) |
Groupon, Inc.* | | | (4,275 | ) | | | (216,443 | ) |
iQIYI, Inc. ADR (China)* | | | (9,164 | ) | | | (134,802 | ) |
JOYY, Inc. ADR (China) | | | (2,985 | ) | | | (283,754 | ) |
Magnite, Inc.* | | | (2,173 | ) | | | (87,029 | ) |
Match Group, Inc. | | | (3,714 | ) | | | (578,010 | ) |
Palo Alto Networks, Inc.* | | | (1,404 | ) | | | (496,159 | ) |
Perficient, Inc.* | | | (6,760 | ) | | | (443,524 | ) |
Q2 Holdings, Inc.* | | | (4,300 | ) | | | (447,286 | ) |
RealReal (The), Inc.* | | | (2,614 | ) | | | (64,749 | ) |
Snap, Inc., Class A* | | | (846 | ) | | | (52,300 | ) |
Spotify Technology S.A.* | | | (348 | ) | | | (87,738 | ) |
See accompanying Notes to Financial Statements
234
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| | |
Internet (Continued) | | | | | | | | |
TripAdvisor, Inc.* | | | (4,515 | ) | | $ | (212,792 | ) |
Zillow Group, Inc., Class C* | | | (5,670 | ) | | | (737,780 | ) |
| | | | | | | (4,071,175 | ) |
| | | |
Leisure Time – (0.6)% | | | | | | | | |
Callaway Golf Co.(f) | | | (17,663 | ) | | | (511,344 | ) |
Norwegian Cruise Line Holdings Ltd.(f)* | | | (26,279 | ) | | | (815,963 | ) |
Royal Caribbean Cruises Ltd.(f)* | | | (6,824 | ) | | | (593,347 | ) |
| | | | | | | (1,920,654 | ) |
| | | |
Lodging – (0.3)% | | | | | | | | |
Huazhu Group Ltd. ADR (China)* | | | (4,600 | ) | | | (271,216 | ) |
Marcus (The) Corp.(f)* | | | (28,169 | ) | | | (562,253 | ) |
| | | | | | | (833,469 | ) |
| |
Machinery - Construction & Mining – (0.1)% | |
Bloom Energy Corp., Class A* | | | (16,680 | ) | | | (433,180 | ) |
| | |
Machinery - Diversified – (0.4)% | | | | | |
Middleby (The) Corp.(f)* | | | (7,017 | ) | | | (1,272,322 | ) |
| | | |
Media – (0.1)% | | | | | | | | |
Cable One, Inc. | | | (114 | ) | | | (204,060 | ) |
| | | |
Oil & Gas – (0.1)% | | | | | | | | |
Centennial Resource Development, Inc., Class A* | | | (95,437 | ) | | | (404,653 | ) |
| | | |
Oil & Gas Services – (0.1)% | | | | | | | | |
Helix Energy Solutions Group, Inc.* | | | (53,556 | ) | | | (229,755 | ) |
| | | |
Pharmaceuticals – (1.0)% | | | | | | | | |
AstraZeneca PLC ADR (United Kingdom) | | | (42,029 | ) | | | (2,230,479 | ) |
Coherus Biosciences, Inc.* | | | (18,015 | ) | | | (266,622 | ) |
Flexion Therapeutics, Inc.* | | | (7,537 | ) | | | (58,487 | ) |
Jazz Pharmaceuticals PLC* | | | (3,407 | ) | | | (560,111 | ) |
Zogenix, Inc.* | | | (10,080 | ) | | | (190,411 | ) |
| | | | | | | (3,306,110 | ) |
| | | |
Pipelines – (0.0)%(e) | | | | | | | | |
Cheniere Energy, Inc.* | | | (654 | ) | | | (50,698 | ) |
| | | |
Real Estate – (0.0)%(e) | | | | | | | | |
Redfin Corp.* | | | (771 | ) | | | (54,571 | ) |
| | |
Real Estate Investment Trusts – (0.5)% | | | | | |
GEO Group (The), Inc. | | | (57,197 | ) | | | (315,155 | ) |
iStar, Inc. | | | (25,726 | ) | | | (476,188 | ) |
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| |
Real Estate Investment Trusts (Continued) | | | | | |
Pebblebrook Hotel Trust | | | (12,558 | ) | | $ | (299,885 | ) |
Realty Income Corp. | | | (3,437 | ) | | | (237,669 | ) |
Summit Hotel Properties, Inc.(f)* | | | (21,324 | ) | | | (216,865 | ) |
| | | | | | | (1,545,762 | ) |
| | | |
Retail – (0.3)% | | | | | | | | |
Burlington Stores, Inc.* | | | (1,672 | ) | | | (545,624 | ) |
National Vision Holdings, Inc.* | | | (6,937 | ) | | | (349,694 | ) |
| | | | | | | (895,318 | ) |
| | | |
Semiconductors – (1.8)% | | | | | | | | |
Advanced Micro Devices, Inc.(f)* | | | (24,607 | ) | | | (2,008,423 | ) |
Analog Devices, Inc. | | | (24,499 | ) | | | (3,752,267 | ) |
MACOM Technology Solutions Holdings, Inc.* | | | (1,611 | ) | | | (91,199 | ) |
| | | | | | | (5,851,889 | ) |
| | | |
Software – (1.6)% | | | | | | | | |
8x8, Inc.* | | | (12,845 | ) | | | (422,472 | ) |
Avaya Holdings Corp.(f)* | | | (10,092 | ) | | | (290,347 | ) |
Blackline, Inc.* | | | (1,414 | ) | | | (164,109 | ) |
Ceridian HCM Holding, Inc.* | | | (502 | ) | | | (47,429 | ) |
Envestnet, Inc.* | | | (3,497 | ) | | | (258,183 | ) |
Everbridge, Inc.(f)* | | | (2,373 | ) | | | (314,921 | ) |
Health Catalyst, Inc.* | | | (4,082 | ) | | | (236,348 | ) |
j2 Global, Inc.* | | | (4,303 | ) | | | (520,663 | ) |
MicroStrategy, Inc., Class A* | | | (179 | ) | | | (117,631 | ) |
New Relic, Inc.(f)* | | | (928 | ) | | | (59,670 | ) |
Nuance Communications, Inc.* | | | (13,998 | ) | | | (744,274 | ) |
Progress Software Corp. | | | (2,305 | ) | | | (100,636 | ) |
salesforce.com, Inc.* | | | (4,968 | ) | | | (1,144,230 | ) |
Splunk, Inc.* | | | (452 | ) | | | (57,142 | ) |
Tabula Rasa HealthCare, Inc.* | | | (4,823 | ) | | | (229,382 | ) |
Verint Systems, Inc.* | | | (2,617 | ) | | | (127,108 | ) |
Workiva, Inc.* | | | (5,941 | ) | | | (558,454 | ) |
| | | | | | | (5,392,999 | ) |
| | | |
Telecommunications – (0.2)% | | | | | | | | |
Infinera Corp.(f)* | | | (27,769 | ) | | | (256,030 | ) |
Motorola Solutions, Inc. | | | (1,092 | ) | | | (205,624 | ) |
Vonage Holdings Corp.* | | | (16,044 | ) | | | (217,396 | ) |
| | | | | | | (679,050 | ) |
| | | |
Transportation – (0.3)% | | | | | | | | |
Air Transport Services Group, Inc.* | | | (11,309 | ) | | | (297,653 | ) |
See accompanying Notes to Financial Statements
235
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | | | | | |
| | | Number
of Shares | | Value | |
| | |
Transportation (Continued) | | | | | | |
Canadian National Railway Co. (Canada) | | (6,504) | | $ | (700,155 | ) |
SFL Corp. Ltd. (Norway) | | (8,330) | | | (64,641 | ) |
| | | | | | (1,062,449 | ) |
| | |
Trucking & Leasing – (0.0)%(e) | | | | | | |
Greenbrier (The) Cos., Inc. | | (2,977) | | | (140,634 | ) |
| | |
Total Common Stocks
(Proceeds $48,896,809) | | | | | (57,914,033 | ) |
| | |
| | | Par | | | |
|
Mortgage-Backed Securities – (0.8)% | |
Uniform Mortgage-Backed Securities – (0.8)% | |
Pool TBA, | | | | | | |
5/01/36(j) | | $ (5,000) | | | (5,225 | ) |
5/01/51(j) | | (2,700,000) | | | (2,805,719 | ) |
| | | | | (2,810,944 | ) |
| | | |
Total Mortgage-Backed Securities (Proceeds $2,800,037) | | | | | (2,810,944 | ) |
| | | | | | | | |
| | | Number
of Shares | | | Value | |
| |
Investment Companies – (0.1)% | | | | | |
iShares Russell 2000 ETF | | | (859 | ) | | $ | (193,180 | ) |
iShares MSCI Australia ETF | | | (1,360 | ) | | | (35,197 | ) |
| | |
Total Investment Companies
(Proceeds $212,702) | | | | | | | (228,377 | ) |
| | |
Total Short Positions – (18.6)%
(Proceeds $51,909,548) | | | | | | | (60,953,354 | ) |
| | |
Total Written Options – (0.1)%
(Premiums Received $247,965) | | | | | | | (182,065 | ) |
Other Assets less Liabilities – 11.5%(p) | | | | 37,576,476 | |
| | | |
NET ASSETS – 100.0% | | | | | | $ | 327,771,026 | |
Percentages shown are based on Net Assets. | |
All securities are United States companies, unless noted otherwise in parentheses. | |
| (a) | Par value is in USD unless otherwise indicated. |
| (b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees of Morningstar Funds Trust. |
| (c) | Variable rate security. Rate as of April 30, 2021 is disclosed. |
| (d) | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
| (e) | Amount rounds to less than 0.05%. |
| (f) | Security represents underlying investment on open options contracts. |
| (h) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statements). The fair value price of $89.13 is based on a yield assumption bond floor pricing model. During the fiscal period, the Fund acquired $107,845 of this security. |
| (i) | Security is a payment in-kind bond (PIK), distributions received in-kind unless otherwise noted in the description. |
| (j) | When-Issued Security. Coupon rate was not yet in effect at April 30, 2021. |
| (k) | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate as of April 30, 2021 is disclosed. |
| (l) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statements). The fair value price of $0.79 is based on the implied value of the CVR upon closing ($0.75) plus time value of money. During the fiscal period, the Fund acquired $42,663 of this security. |
| (m) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statements). The fair value price of $0.36 is based on a discount model methodology for pricing. During the fiscal period, the Fund acquired $11,881 of this security. |
| (n) | This is a Level 3 asset which is fair valued by the Pricing Committee (see Note 4 in Notes to Financial Statetments). The fair value price of $1.90 is based on an option pricing model discounted at 25% per annum. During the fiscal period, the Fund acquired $19,992 of this security. |
| (o) | 7-day current yield as of April 30, 2021 is disclosed. |
| (p) | Includes appreciation/ (depreciation) on forward foreign currency exchange and swap contracts. |
| * | Non-Income Producing Security |
Abbreviations:
1M 1 Month
1Y 1 Year
See accompanying Notes to Financial Statements
236
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
| | |
3M | | 3 Month |
| |
5Y | | 5 Year |
| |
ADR | | American Depositary Receipt |
| |
BDC | | Business Development Company |
| |
CMT | | Constant Maturity |
| |
CVR | | Contingent Value Rights |
| |
ETF | | Exchange-Traded Fund |
| |
FHLMC | | Federal Home Loan Mortgage Corporation |
| |
FNMA | | Federal National Mortgage Association |
| |
Freddie Mac | | Federal Home Loan Mortgage Corporation |
| |
LIBOR | | London Interbank Offered Rate |
| |
LLC | | Limited Liability Company |
| |
MSCI | | Morgan Stanley Capital International |
| |
PLC | | Public Limited Company |
| |
REIT | | Real Estate Investment Trust |
| |
REMIC | | Real Estate Mortgage Investment Conduit |
| |
S&P | | Standards & Poor’s |
| |
SOFR | | United States Secured Overnight Financing Rate |
| |
TBA | | To be announced |
| |
USD | | United States Dollar |
See accompanying Notes to Financial Statements
237
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Futures Contracts outstanding at April 30, 2021:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Trading
Currency | | | Notional
Amount | | | Value/
Unrealized
Appreciation
(Depreciation) | |
| | | | | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Euro-BTP | | | 3 | | | | 6/08/2021 | | | | EUR | | | | 530,517 | | | $ | (5,003 | ) |
Euro-OAT | | | 16 | | | | 6/08/2021 | | | | EUR | | | | 3,087,186 | | | | (32,986 | ) |
10-Year Australian Treasury Bond | | | 107 | | | | 6/15/2021 | | | | AUD | | | | 11,489,582 | | | | 43,022 | |
E-Mini Russell 1000 Value Index | | | 49 | | | | 6/18/2021 | | | | USD | | | | 3,788,435 | | | | 145,285 | |
10-Year Canadian Bond | | | 109 | | | | 6/21/2021 | | | | CAD | | | | 12,358,329 | | | | (2,369 | ) |
U.S. Treasury Long Bond | | | 5 | | | | 6/21/2021 | | | | USD | | | | 786,250 | | | | (11,867 | ) |
Ultra U.S. Treasury Bond | | | 25 | | | | 6/21/2021 | | | | USD | | | | 4,647,656 | | | | (26,154 | ) |
2-Year U.S. Treasury Note | | | 2 | | | | 6/30/2021 | | | | USD | | | | 441,516 | | | | 63 | |
| |
| | | | | |
Total Long Contracts | | | | | | | | | | | | | | | | | | $ | 109,991 | |
| |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
Euro Bund | | | (63 | ) | | | 6/08/2021 | | | | EUR | | | | 12,876,098 | | | $ | 59,080 | |
10-Year U.S. Treasury Note | | | (116 | ) | | | 6/21/2021 | | | | USD | | | | 15,315,625 | | | | 10,187 | |
Long GILT | | | (61 | ) | | | 6/28/2021 | | | | GBP | | | | 10,755,439 | | | | 9,945 | |
5-Year U.S. Treasury Note | | | (25 | ) | | | 6/30/2021 | | | | USD | | | | 3,098,438 | | | | (8,325 | ) |
Ultra 10-Year U.S. Treasury Note | | | (2 | ) | | | 6/30/2021 | | | | USD | | | | 291,094 | | | | 7,224 | |
| |
| | | | | |
Total Short Contracts | | | | | | | | | | | | | | | | | | $ | 78,111 | |
| |
| | | | | |
| | | | | | | | | | | | | | | | | | $ | 188,102 | |
| |
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
Settlement Date | | Currency
Purchased | | | Amount
of Currency
Purchased | | | Currency Sold | | | Amount
of Currency
Sold | | | Counterparty | | | Unrealized
Appreciation
(Depreciation) | |
| |
| | | | | | |
06/15/21 | | | U.S. Dollars | | | | 5,704,333 | | | | British Pounds | | | | 4,084,500 | | | | Morgan Stanley | | | $ | 62,740 | |
06/15/21 | | | U.S. Dollars | | | | 876,552 | | | | Euro | | | | 725,450 | | | | Morgan Stanley | | | | 3,530 | |
06/15/21 | | | Euro | | | | 455,710 | | | | U.S. Dollars | | | | 545,615 | | | | Morgan Stanley | | | | 2,797 | |
06/15/21 | | | British Pounds | | | | 427,500 | | | | U.S. Dollars | | | | 589,040 | | | | Morgan Stanley | | | | 1,431 | |
06/15/21 | | | U.S. Dollars | | | | 114,711 | | | | New Zealand Dollars | | | | 158,700 | | | | Morgan Stanley | | | | 1,164 | |
06/16/21 | | | U.S. Dollars | | | | 69,653 | | | | Australian Dollars | | | | 90,000 | | | | Morgan Stanley | | | | 306 | |
06/15/21 | | | U.S. Dollars | | | | 28,795 | | | | Norwegian Kroner | | | | 239,300 | | | | Morgan Stanley | | | | 45 | |
06/16/21 | | | U.S. Dollars | | | | 14,168 | | | | Hong Kong Dollars | | | | 110,000 | | | | Goldman Sachs | | | | 4 | |
| |
| | | | | |
Total Unrealized Appreciation | | | | | | | | | | | | | | | | | | | $ | 72,017 | |
| |
| | | | | | |
06/16/21 | | | U.S. Dollars | | | | 9,005 | | | | Hong Kong Dollars | | | | 70,000 | | | | Citibank | | | $ | (8 | ) |
06/15/21 | | | New Zealand Dollars | | | | 1,900 | | | | U.S. Dollars | | | | 1,375 | | | | Morgan Stanley | | | | (16 | ) |
06/15/21 | | | Norwegian Kroner | | | | 59,100 | | | | U.S. Dollars | | | | 7,152 | | | | Morgan Stanley | | | | (51 | ) |
06/16/21 | | | U.S. Dollars | | | | 7,451 | | | | Singapore Dollars | | | | 10,000 | | | | Citibank | | | | (62 | ) |
See accompanying Notes to Financial Statements
238
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Forward Foreign Currency Exchange Contracts outstanding at April 30, 2021: (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
Settlement
Date | | Currency
Purchased | | | Amount
of Currency
Purchased | | | Currency Sold | | | Amount
of Currency
Sold | | | Counterparty | | | Unrealized
Appreciation
(Depreciation) | |
| |
| | | | | | |
06/15/21 | | | Euro | | | | 62,510 | | | | U.S. Dollars | | | | 75,289 | | | | Morgan Stanley | | | $ | (63 | ) |
06/16/21 | | | U.S. Dollars | | | | 7,450 | | | | Singapore Dollars | | | | 10,000 | | | | Barclays | | | | (64 | ) |
06/15/21 | | | U.S. Dollars | | | | 7,502 | | | | New Zealand Dollars | | | | 10,600 | | | | Morgan Stanley | | | | (82 | ) |
06/16/21 | | | U.S. Dollars | | | | 11,923 | | | | Euro | | | | 10,000 | | | | JPMorgan Chase | | | | (112 | ) |
06/16/21 | | | U.S. Dollars | | | | 22,293 | | | | Singapore Dollars | | | | 30,000 | | | | JPMorgan Chase | | | | (247 | ) |
06/16/21 | | | U.S. Dollars | | | | 20,362 | | | | Mexican Pesos | | | | 420,000 | | | | Goldman Sachs | | | | (259 | ) |
06/16/21 | | | U.S. Dollars | | | | 107,620 | | | | Euro | | | | 90,000 | | | | Morgan Stanley | | | | (690 | ) |
06/16/21 | | | U.S. Dollars | | | | 26,604 | | | | Mexican Pesos | | | | 560,000 | | | | Bank of America | | | | (891 | ) |
06/15/21 | | | U.S. Dollars | | | | 754,156 | | | | British Pounds | | | | 548,200 | | | | Morgan Stanley | | | | (3,030 | ) |
06/15/21 | | | U.S. Dollars | | | | 438,279 | | | | Norwegian Kroner | | | | 3,673,800 | | | | Morgan Stanley | | | | (3,102 | ) |
06/15/21 | | | British Pounds | | | | 2,023,700 | | | | U.S. Dollars | | | | 2,816,725 | | | | Morgan Stanley | | | | (21,550 | ) |
06/15/21 | | | U.S. Dollars | | | | 5,721,109 | | | | Euro | | | | 4,785,440 | | | | Morgan Stanley | | | | (37,798 | ) |
| |
| | | | | |
Total Unrealized Depreciation | | | | | | | | | | | | | | | | | | | $ | (68,025 | ) |
| |
| | | | | |
Net Unrealized Appreciation | | | | | | | | | | | | | | | | | | | $ | 3,992 | |
| |
Written Call Option Contracts outstanding at April 30, 2021:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | | | | Notional
Amount | | | Exercise
Price | | | Expiration
Date | | | Value | |
| |
| | | | | | |
2U, Inc. | | | 18 | | | | USD | | | | 70,650 | | | | 37.50 | | | | 7/16/2021 | | | $ | (8,190 | ) |
Avaya Holdings Corp. | | | 37 | | | | USD | | | | 106,449 | | | | 30.00 | | | | 6/18/2021 | | | | (6,105 | ) |
Bloom Energy Corp. | | | 44 | | | | USD | | | | 114,268 | | | | 25.00 | | | | 6/18/2021 | | | | (13,860 | ) |
Callaway Golf Co. | | | 49 | | | | USD | | | | 141,855 | | | | 30.00 | | | | 5/21/2021 | | | | (5,145 | ) |
Enphase Energy, Inc. | | | 6 | | | | USD | | | | 83,550 | | | | 140.00 | | | | 6/18/2021 | | | | (7,200 | ) |
Everbridge, Inc. | | | 8 | | | | USD | | | | 106,168 | | | | 145.00 | | | | 8/20/2021 | | | | (9,600 | ) |
II-VI, Inc. | | | 24 | | | | USD | | | | 161,136 | | | | 75.00 | | | | 7/16/2021 | | | | (7,296 | ) |
Infinera Corp. | | | 112 | | | | USD | | | | 103,264 | | | | 10.00 | | | | 7/16/2021 | | | | (7,280 | ) |
iQIYI, Inc. | | | 66 | | | | USD | | | | 97,086 | | | | 15.00 | | | | 6/18/2021 | | | | (8,514 | ) |
JOYY, Inc. | | | 10 | | | | USD | | | | 95,060 | | | | 110.00 | | | | 5/21/2021 | | | | (1,000 | ) |
Lumentum Holdings, Inc. | | | 12 | | | | USD | | | | 102,060 | | | | 95.00 | | | | 6/18/2021 | | | | (2,100 | ) |
Marcus (The) Corp. | | | 77 | | | | USD | | | | 153,692 | | | | 20.00 | | | | 8/20/2021 | | | | (22,907 | ) |
New Relic, Inc. | | | 19 | | | | USD | | | | 122,170 | | | | 65.00 | | | | 6/18/2021 | | | | (12,730 | ) |
Norwegian Cruise Line Holdings Ltd. | | | 68 | | | | USD | | | | 211,140 | | | | 30.00 | | | | 6/18/2021 | | | | (21,760 | ) |
Royal Caribbean Cruises Ltd. | | | 16 | | | | USD | | | | 139,120 | | | | 70.00 | | | | 5/21/2021 | | | | (27,520 | ) |
Sabre Corp. | | | 61 | | | | USD | | | | 91,378 | | | | 15.00 | | | | 7/16/2021 | | | | (8,693 | ) |
Summit Hotel Properties, Inc. | | | 83 | | | | USD | | | | 84,411 | | | | 10.00 | | | | 6/18/2021 | | | | (6,225 | ) |
Zillow Group, Inc. | | | 15 | | | | USD | | | | 200,025 | | | | 145.00 | | | | 5/21/2021 | | | | (5,940 | ) |
| |
| | | | |
Total Written Call Options Contracts (Premiums Received $247,965) | | | | | | | | | | | | | | | $ | (182,065 | ) |
| |
See accompanying Notes to Financial Statements
239
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Long Contracts for Difference at April 30, 2021:
Over the Counter
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Pays
Financing Rate | | Expiration
Date | | | Counterparty | | Notional
Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| |
| | | | | | | |
Abbott Laboratories | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 433 | | | | Monthly | | | $ | 51,993 | | | $ | (1,482 | ) |
Abbott Laboratories | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,837 | | | | Monthly | | | | 221,043 | | | | (1,489 | ) |
Abbott Laboratories | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 963 | | | | Monthly | | | | 115,944 | | | | (2,892 | ) |
AECOM | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 192 | | | | Monthly | | | | 12,755 | | | | (99 | ) |
AES (The) Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 5,778 | | | | Monthly | | | | 161,609 | | | | (2,024 | ) |
AES (The) Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 7,624 | | | | Monthly | | | | 213,224 | | | | 1,662 | |
AES (The) Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 4,415 | | | | Monthly | | | | 122,815 | | | | (3,145 | ) |
Allstate Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 3,834 | | | | Monthly | | | | 486,100 | | | | 35,749 | |
Allstate Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 348 | | | | Monthly | | | | 44,123 | | | | 1,810 | |
Ally Financial, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,364 | | | | Monthly | | | | 70,503 | | | | 5,372 | |
Ally Financial, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 5,585 | | | | Monthly | | | | 288,404 | | | | 25,382 | |
Altria Group, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 604 | | | | Monthly | | | | 29,612 | | | | 881 | |
AMC Networks, Inc., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 474 | | | | Monthly | | | | 23,832 | | | | (816 | ) |
AMC Networks, Inc., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 3,590 | | | | Monthly | | | | 180,492 | | | | (5,783 | ) |
AMC Networks, Inc., Class A | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 941 | | | | Monthly | | | | 47,312 | | | | (1,980 | ) |
American Express Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,585 | | | | Monthly | | | | 242,517 | | | | 9,269 | |
American Express Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,356 | | | | Monthly | | | | 361,447 | | | | 15,061 | |
American Express Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 2,203 | | | | Monthly | | | | 337,804 | | | | 11,077 | |
American International Group, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 138 | | | | Monthly | | | | 6,686 | | | | 242 | |
American International Group, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 2,626 | | | | Monthly | | | | 127,220 | | | | 4,690 | |
American Water Works Company, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 595 | | | | Monthly | | | | 92,802 | | | | 2,012 | |
American Water Works Company, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 358 | | | | Monthly | | | | 55,840 | | | | (1,140 | ) |
Analog Devices, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 545 | | | | Monthly | | | | 83,470 | | | | (2,933 | ) |
Analog Devices, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,147 | | | | Monthly | | | | 175,665 | | | | (3,276 | ) |
Analog Devices, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 263 | | | | Monthly | | | | 40,280 | | | | (1,785 | ) |
Antero Midstream Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 575 | | | | Monthly | | | | 5,097 | | | | (55 | ) |
Antero Midstream Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 44,018 | | | | Monthly | | | | 390,175 | | | | (1,093 | ) |
Antero Resources Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 9,857 | | | | Monthly | | | | 88,908 | | | | (1,383 | ) |
Antero Resources Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 21,723 | | | | Monthly | | | | 195,918 | | | | (12,198 | ) |
Aon PLC, Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 182 | | | | Monthly | | | | 45,851 | | | | 3,270 | |
Aon PLC, Class A | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 141 | | | | Monthly | | | | 35,525 | | | | 2,491 | |
Apache Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,183 | | | | Monthly | | | | 23,683 | | | | 2,291 | |
Apache Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 689 | | | | Monthly | | | | 13,793 | | | | 1,506 | |
Apache Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 487 | | | | Monthly | | | | 9,751 | | | | 615 | |
Apple, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 201 | | | | Monthly | | | | 26,420 | | | | (163 | ) |
Apple, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,117 | | | | Monthly | | | | 146,824 | | | | 1,153 | |
Apple, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,278 | | | | Monthly | | | | 167,990 | | | | (3,812 | ) |
Aptiv PLC | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 202 | | | | Monthly | | | | 29,065 | | | | 1,001 | |
Aptiv PLC | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,234 | | | | Monthly | | | | 177,541 | | | | 4,703 | |
Arrow Electronics, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 451 | | | | Monthly | | | | 51,444 | | | | (1,179 | ) |
Arrow Electronics, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,580 | | | | Monthly | | | | 294,266 | | | | (2,915 | ) |
Arrow Electronics, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,710 | | | | Monthly | | | | 195,043 | | | | (4,223 | ) |
See accompanying Notes to Financial Statements
240
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Long Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Pays
Financing Rate | | Expiration
Date | | | Counterparty | | Notional
Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| |
| | | | | | | |
AT&T, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 2,889 | | | | Monthly | | | $ | 90,741 | | | $ | 142 | |
AT&T, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 5,900 | | | | Monthly | | | | 181,862 | | | | 3,462 | |
AT&T, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,364 | | | | Monthly | | | | 42,841 | | | | 810 | |
AutoNation, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 805 | | | | Monthly | | | | 82,490 | | | | 6,774 | |
AutoNation, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 13 | | | | Monthly | | | | 1,332 | | | | 128 | |
Barrick Gold Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,978 | | | | Monthly | | | | 42,031 | | | | (2,296 | ) |
Barrick Gold Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 18,987 | | | | Monthly | | | | 403,427 | | | | 1,662 | |
Barrick Gold Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 3,274 | | | | Monthly | | | | 69,567 | | | | (2,552 | ) |
Bed Bath & Beyond, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 2,822 | | | | Monthly | | | | 71,451 | | | | (2,974 | ) |
Bed Bath & Beyond, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 8,277 | | | | Monthly | | | | 209,547 | | | | (32,407 | ) |
Bed Bath & Beyond, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 3,017 | | | | Monthly | | | | 76,384 | | | | 2,092 | |
Berkshire Hathaway, Inc., Class B | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 763 | | | | Monthly | | | | 209,781 | | | | 4,145 | |
Berkshire Hathaway, Inc., Class B | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,087 | | | | Monthly | | | | 298,838 | | | | 11,819 | |
Berkshire Hathaway, Inc., Class B | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 36 | | | | Monthly | | | | 9,898 | | | | 261 | |
Biogen, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 224 | | | | Monthly | | | | 59,880 | | | | 1,864 | |
Biogen, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 986 | | | | Monthly | | | | 263,560 | | | | 1,471 | |
Biogen, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 276 | | | | Monthly | | | | 73,777 | | | | (1,001 | ) |
Booz Allen Hamilton Holding Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 2,276 | | | | Monthly | | | | 188,789 | | | | (1,735 | ) |
Booz Allen Hamilton Holding Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,206 | | | | Monthly | | | | 182,967 | | | | 1,869 | |
Booz Allen Hamilton Holding Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 146 | | | | Monthly | | | | 12,110 | | | | (105 | ) |
Bristol-Myers Squibb Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 2,683 | | | | Monthly | | | | 168,782 | | | | (9,154 | ) |
Bristol-Myers Squibb Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 10,766 | | | | Monthly | | | | 676,569 | | | | 7,995 | |
Bristol-Myers Squibb Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 727 | | | | Monthly | | | | 45,476 | | | | (1,907 | ) |
Brixmor Property Group REIT, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 8,676 | | | | Monthly | | | | 195,704 | | | | 16,725 | |
Brixmor Property Group REIT, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 3,166 | | | | Monthly | | | | 70,723 | | | | 4,290 | |
Bunge Ltd. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 900 | | | | Monthly | | | | 75,976 | | | | 961 | |
Bunge Ltd. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,609 | | | | Monthly | | | | 135,813 | | | | 8,997 | |
Canadian Natural Resources Ltd. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 466 | | | | Monthly | | | | 14,157 | | | | 465 | |
Cardinal Health, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 867 | | | | Monthly | | | | 52,314 | | | | (90 | ) |
Cardinal Health, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 9,330 | | | | Monthly | | | | 565,744 | | | | 7,118 | |
Cardinal Health, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,527 | | | | Monthly | | | | 92,133 | | | | (894 | ) |
Carlisle Companies, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 433 | | | | Monthly | | | | 82,982 | | | | 6,012 | |
Carlisle Companies, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,679 | | | | Monthly | | | | 321,748 | | | | 35,805 | |
Carlisle Companies, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 26 | | | | Monthly | | | | 4,982 | | | | 516 | |
Carnival Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,983 | | | | Monthly | | | | 55,438 | | | | 1,262 | |
Caterpillar, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 126 | | | | Monthly | | | | 28,871 | | | | 31 | |
Caterpillar, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 428 | | | | Monthly | | | | 97,835 | | | | (298 | ) |
See accompanying Notes to Financial Statements
241
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Long Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Pays
Financing Rate | | Expiration
Date | | | Counterparty | | Notional
Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| |
| | | | | | | |
Cboe Global Markets, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 193 | | | | Monthly | | | $ | 20,143 | | | $ | (12 | ) |
Cboe Global Markets, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 478 | | | | Monthly | | | | 49,885 | | | | 1,327 | |
Cboe Global Markets, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 145 | | | | Monthly | | | | 15,133 | | | | 50 | |
CBRE Group, Inc., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 382 | | | | Monthly | | | | 32,545 | | | | 1,370 | |
CBRE Group, Inc., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 724 | | | | Monthly | | | | 61,678 | | | | 4,591 | |
Cigna Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 129 | | | | Monthly | | | | 32,122 | | | | (170 | ) |
Cigna Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 665 | | | | Monthly | | | | 165,576 | | | | 4,790 | |
Cigna Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 111 | | | | Monthly | | | | 27,640 | | | | (117 | ) |
Citrix Systems, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 55 | | | | Monthly | | | | 6,812 | | | | 4 | |
Clorox (The) Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 227 | | | | Monthly | | | | 41,678 | | | | (2,603 | ) |
Clorox (The) Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,420 | | | | Monthly | | | | 260,599 | | | | (12,482 | ) |
Clorox (The) Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 435 | | | | Monthly | | | | 79,863 | | | | (3,556 | ) |
CMS Energy Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,484 | | | | Monthly | | | | 95,552 | | | | (181 | ) |
CMS Energy Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,129 | | | | Monthly | | | | 137,074 | | | | 6,094 | |
CMS Energy Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,475 | | | | Monthly | | | | 94,968 | | | | 1,089 | |
Coca-Cola (The) Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 927 | | | | Monthly | | | | 50,039 | | | | 131 | |
Coca-Cola (The) Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 4,284 | | | | Monthly | | | | 231,225 | | | | 3,354 | |
Coca-Cola (The) Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,386 | | | | Monthly | | | | 74,810 | | | | 895 | |
Corteva, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 917 | | | | Monthly | | | | 44,712 | | | | 622 | |
Corteva, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 9,809 | | | | Monthly | | | | 478,236 | | | | 17,428 | |
Costco Wholesale Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 560 | | | | Monthly | | | | 208,820 | | | | 6,193 | |
Crown Holdings, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 888 | | | | Monthly | | | | 97,500 | | | | 2,333 | |
Crown Holdings, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,787 | | | | Monthly | | | | 305,980 | | | | 20,369 | |
CSX Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 971 | | | | Monthly | | | | 97,825 | | | | (1,042 | ) |
CSX Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,965 | | | | Monthly | | | | 197,954 | | | | 6,900 | |
Cummins, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 2 | | | | Monthly | | | | 504 | | | | (18 | ) |
Cummins, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 41 | | | | Monthly | | | | 10,333 | | | | (281 | ) |
Cummins, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 50 | | | | Monthly | | | | 12,601 | | | | (500 | ) |
CVS Health Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 969 | | | | Monthly | | | | 74,514 | | | | 696 | |
CVS Health Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 5,186 | | | | Monthly | | | | 398,725 | | | | 15,016 | |
CVS Health Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 552 | | | | Monthly | | | | 42,445 | | | | 615 | |
Danaher Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 312 | | | | Monthly | | | | 79,293 | | | | 381 | |
Danaher Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 565 | | | | Monthly | | | | 143,534 | | | | 13,618 | |
Danaher Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 500 | | | | Monthly | | | | 127,038 | | | | 5,855 | |
Darden Restaurants, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 541 | | | | Monthly | | | | 79,765 | | | | 1,253 | |
Darden Restaurants, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,943 | | | | Monthly | | | | 286,379 | | | | 4,123 | |
Darden Restaurants, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 985 | | | | Monthly | | | | 145,178 | | | | 3,530 | |
DaVita, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,930 | | | | Monthly | | | | 224,897 | | | | 7,868 | |
DaVita, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 5,207 | | | | Monthly | | | | 606,702 | | | | 48,504 | |
DaVita, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 349 | | | | Monthly | | | | 40,666 | | | | 2,217 | |
Deere & Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 787 | | | | Monthly | | | | 292,162 | | | | 2,263 | |
Deere & Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,039 | | | | Monthly | | | | 385,419 | | | | (3,726 | ) |
Deere & Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 109 | | | | Monthly | | | | 40,572 | | | | (1,081 | ) |
Dell Technologies, Inc., Class C | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,401 | | | | Monthly | | | | 137,756 | | | | (3,031 | ) |
See accompanying Notes to Financial Statements
242
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Long Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Pays
Financing Rate | | Expiration
Date | | | Counterparty | | Notional
Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| |
| | | | | | | |
Dell Technologies, Inc., Class C | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,394 | | | | Monthly | | | $ | 137,059 | | | $ | 4,311 | |
Delta Air Lines, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,867 | | | | Monthly | | | | 87,597 | | | | 4,236 | |
Delta Air Lines, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 11,007 | | | | Monthly | | | | 516,386 | | | | (29,888 | ) |
Delta Air Lines, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,679 | | | | Monthly | | | | 78,774 | | | | 1,607 | |
Devon Energy Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 2,486 | | | | Monthly | | | | 58,121 | | | | 5,915 | |
Devon Energy Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 16,433 | | | | Monthly | | | | 384,164 | | | | 18,124 | |
Devon Energy Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 620 | | | | Monthly | | | | 14,494 | | | | 625 | |
Discover Financial Services | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 396 | | | | Monthly | | | | 45,143 | | | | 5,741 | |
Discover Financial Services | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,960 | | | | Monthly | | | | 337,404 | | | | 43,199 | |
Discover Financial Services | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 205 | | | | Monthly | | | | 23,365 | | | | 2,455 | |
Discovery, Inc., Series A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 823 | | | | Monthly | | | | 30,993 | | | | (454 | ) |
Dollar Tree, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 40 | | | | Monthly | | | | 4,596 | | | | (19 | ) |
Dollar Tree, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 25 | | | | Monthly | | | | 2,872 | | | | (17 | ) |
Dollar Tree, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 158 | | | | Monthly | | | | 18,154 | | | | (38 | ) |
DuPont de Nemours, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 3,131 | | | | Monthly | | | | 241,425 | | | | 4,878 | |
DuPont de Nemours, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 722 | | | | Monthly | | | | 55,667 | | | | 1,296 | |
DuPont de Nemours, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,310 | | | | Monthly | | | | 101,006 | | | | 5 | |
DXC Technology | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,409 | | | | Monthly | | | | 79,265 | | | | 3,478 | |
Eastman Chemical Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 3,020 | | | | Monthly | | | | 348,436 | | | | 15,773 | |
Eastman Chemical Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 685 | | | | Monthly | | | | 79,034 | | | | 630 | |
Eaton Corp. PLC | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 195 | | | | Monthly | | | | 27,871 | | | | 298 | |
Eaton Corp. PLC | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 738 | | | | Monthly | | | | 105,476 | | | | 1,693 | |
Ebay, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 2,101 | | | | Monthly | | | | 117,215 | | | | (238 | ) |
Eli Lilly | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 434 | | | | Monthly | | | | 79,312 | | | | (126 | ) |
Emerson Electric Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,784 | | | | Monthly | | | | 161,429 | | | | (1,842 | ) |
Emerson Electric Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,446 | | | | Monthly | | | | 221,315 | | | | (1,512 | ) |
Emerson Electric Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 41 | | | | Monthly | | | | 3,710 | | | | (51 | ) |
Encompass Health Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 150 | | | | Monthly | | | | 12,729 | | | | (363 | ) |
Encompass Health Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 175 | | | | Monthly | | | | 14,850 | | | | 361 | |
Entergy Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 33 | | | | Monthly | | | | 3,598 | | | | 80 | |
Equifax, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 923 | | | | Monthly | | | | 211,558 | | | | 41,186 | |
Equifax, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 772 | | | | Monthly | | | | 176,953 | | | | 31,547 | |
Exelon Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,180 | | | | Monthly | | | | 53,028 | | | | (167 | ) |
Exelon Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 8,432 | | | | Monthly | | | | 378,892 | | | | (36 | ) |
Exelon Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,669 | | | | Monthly | | | | 74,999 | | | | (1,392 | ) |
Exxon Mobil Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 2,307 | | | | Monthly | | | | 132,049 | | | | 4,541 | |
Exxon Mobil Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,986 | | | | Monthly | | | | 170,900 | | | | 3,010 | |
Exxon Mobil Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,723 | | | | Monthly | | | | 98,618 | | | | 1,718 | |
Federal Realty Investment Trust | | U.S. Fed Funds | | | 2/8/2023 | | | JPMorgan Chase | | | 110 | | | | Monthly | | | | 10,805 | | | | (1,613 | ) |
FedEx Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 177 | | | | Monthly | | | | 51,383 | | | | 2,436 | |
FedEx Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 981 | | | | Monthly | | | | 284,763 | | | | 6,040 | |
FedEx Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 249 | | | | Monthly | | | | 72,282 | | | | 399 | |
FirstEnergy Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 3,448 | | | | Monthly | | | | 130,745 | | | | 5,410 | |
FirstEnergy Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 3,494 | | | | Monthly | | | | 132,488 | | | | 5,092 | |
See accompanying Notes to Financial Statements
243
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Long Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Pays
Financing Rate | | Expiration
Date | | | Counterparty | | Notional
Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| |
| | | | | | | |
Flex Ltd. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,286 | | | | Monthly | | | $ | 22,374 | | | $ | (1,253 | ) |
Flex Ltd. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 801 | | | | Monthly | | | | 13,936 | | | | (802 | ) |
FMC Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,830 | | | | Monthly | | | | 217,495 | | | | 13,413 | |
Ford Motor Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 24,799 | | | | Monthly | | | | 286,176 | | | | (4,488 | ) |
Ford Motor Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 50,807 | | | | Monthly | | | | 586,254 | | | | (38,745 | ) |
Ford Motor Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 3,574 | | | | Monthly | | | | 41,240 | | | | (2,505 | ) |
Fortive Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 811 | | | | Monthly | | | | 57,433 | | | | (2,191 | ) |
Fortive Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 3,645 | | | | Monthly | | | | 258,109 | | | | 2,048 | |
Fortive Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 879 | | | | Monthly | | | | 62,246 | | | | (1,227 | ) |
Gap (The), Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 277 | | | | Monthly | | | | 9,235 | | | | 534 | |
General Electric Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 5,230 | | | | Monthly | | | | 68,616 | | | | (1,519 | ) |
General Electric Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 36,686 | | | | Monthly | | | | 481,397 | | | | (11,360 | ) |
General Electric Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 4,126 | | | | Monthly | | | | 54,128 | | | | (1,779 | ) |
General Motors Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 3,194 | | | | Monthly | | | | 182,755 | | | | 1,783 | |
General Motors Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 4,497 | | | | Monthly | | | | 257,290 | | | | (10,311 | ) |
General Motors Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,341 | | | | Monthly | | | | 76,726 | | | | (1,870 | ) |
Gilead Sciences, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 697 | | | | Monthly | | | | 44,238 | | | | (777 | ) |
Gilead Sciences, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,132 | | | | Monthly | | | | 135,316 | | | | (384 | ) |
Gilead Sciences, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 845 | | | | Monthly | | | | 53,632 | | | | (152 | ) |
H&R Block, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 361 | | | | Monthly | | | | 8,036 | | | | (21 | ) |
Halliburton Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 14,776 | | | | Monthly | | | | 288,983 | | | | (25,095 | ) |
Halliburton Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 2,657 | | | | Monthly | | | | 51,966 | | | | (4,043 | ) |
Hartford Financial Services Group (The), Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 95 | | | | Monthly | | | | 6,266 | | | | (67 | ) |
Hartford Financial Services Group (The), Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 6,840 | | | | Monthly | | | | 451,116 | | | | (4,005 | ) |
Hartford Financial Services Group (The), Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 728 | | | | Monthly | | | | 48,015 | | | | (681 | ) |
Hasbro, Inc. | | U.S. Fed Funds | | | 2/8/2023 | | | JPMorgan Chase | | | 110 | | | | Monthly | | | | 11,014 | | | | 150 | |
HCA Healthcare, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,192 | | | | Monthly | | | | 239,658 | | | | (147 | ) |
HCA Healthcare, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,993 | | | | Monthly | | | | 400,677 | | | | 20,488 | |
HCA Healthcare, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 356 | | | | Monthly | | | | 71,576 | | | | 767 | |
Healthcare Trust of America, Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 976 | | | | Monthly | | | | 28,662 | | | | 1,225 | |
Hershey (The) Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 18 | | | | Monthly | | | | 2,957 | | | | 98 | |
Hershey (The) Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 417 | | | | Monthly | | | | 68,505 | | | | 1,722 | |
Hershey (The) Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 16 | | | | Monthly | | | | 2,629 | | | | 53 | |
Hewlett Packard Enterprise Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,477 | | | | Monthly | | | | 23,659 | | | | 397 | |
Hologic, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 789 | | | | Monthly | | | | 51,717 | | | | (7,205 | ) |
Hologic, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 4,862 | | | | Monthly | | | | 318,675 | | | | (30,099 | ) |
Hologic, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 39 | | | | Monthly | | | | 2,556 | | | | (301 | ) |
Honeywell International, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,286 | | | | Monthly | | | | 286,821 | | | | (8,007 | ) |
Honeywell International, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 523 | | | | Monthly | | | | 116,638 | | | | 1,188 | |
Honeywell International, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 108 | | | | Monthly | | | | 24,087 | | | | (864 | ) |
HP, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 4,544 | | | | Monthly | | | | 154,991 | | | | 1,541 | |
See accompanying Notes to Financial Statements
244
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Long Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Pays
Financing Rate | | Expiration
Date | | | Counterparty | | Notional
Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| |
| | | | | | | |
HP, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 21,234 | | | | Monthly | | | $ | 724,214 | | | $ | 34,773 | |
HP, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 982 | | | | Monthly | | | | 33,493 | | | | 478 | |
Illinois Tool Works, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 266 | | | | Monthly | | | | 61,301 | | | | 1,187 | |
Illinois Tool Works, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,466 | | | | Monthly | | | | 339,285 | | | | 18,695 | |
International Paper Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 2,207 | | | | Monthly | | | | 128,002 | | | | 4,617 | |
International Paper Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 6,533 | | | | Monthly | | | | 378,873 | | | | 20,968 | |
International Paper Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,298 | | | | Monthly | | | | 75,278 | | | | 1,842 | |
JB Hunt Transport Services, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 357 | | | | Monthly | | | | 60,943 | | | | 493 | |
JB Hunt Transport Services, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 460 | | | | Monthly | | | | 78,522 | | | | 887 | |
Johnson & Johnson | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 389 | | | | Monthly | | | | 63,300 | | | | (955 | ) |
Johnson & Johnson | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,537 | | | | Monthly | | | | 412,799 | | | | (441 | ) |
Johnson & Johnson | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 178 | | | | Monthly | | | | 28,964 | | | | 36 | |
Johnson Controls International PLC | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 7,423 | | | | Monthly | | | | 464,544 | | | | 15,545 | |
Johnson Controls International PLC | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 807 | | | | Monthly | | | | 50,305 | | | | 95 | |
Kimco Realty Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 14,633 | | | | Monthly | | | | 307,260 | | | | 22,867 | |
Kimco Realty Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 290 | | | | Monthly | | | | 6,090 | | | | 379 | |
Kohls Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 255 | | | | Monthly | | | | 14,958 | | | | 95 | |
Kohls Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,286 | | | | Monthly | | | | 134,090 | | | | (2,215 | ) |
Kohls Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 387 | | | | Monthly | | | | 22,700 | | | | 454 | |
Kroger (The) Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 512 | | | | Monthly | | | | 18,689 | | | | (373 | ) |
Kroger (The) Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 3,520 | | | | Monthly | | | | 128,602 | | | | (2,307 | ) |
L Brands, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,042 | | | | Monthly | | | | 68,666 | | | | (179 | ) |
L Brands, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 11,863 | | | | Monthly | | | | 781,685 | | | | 8,104 | |
L Brands, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,103 | | | | Monthly | | | | 72,682 | | | | (977 | ) |
Lennar Corp., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 780 | | | | Monthly | | | | 80,999 | | | | 1,415 | |
Lennar Corp., Class A | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 258 | | | | Monthly | | | | 26,805 | | | | 252 | |
Lennox International, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 357 | | | | Monthly | | | | 119,997 | | | | 3,523 | |
Lennox International, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 88 | | | | Monthly | | | | 29,508 | | | | 585 | |
Lockheed Martin Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 86 | | | | Monthly | | | | 32,728 | | | | 141 | |
Lockheed Martin Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 310 | | | | Monthly | | | | 117,963 | | | | (646 | ) |
Lockheed Martin Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 122 | | | | Monthly | | | | 46,428 | | | | 176 | |
Loews Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 2,077 | | | | Monthly | | | | 115,789 | | | | 3,050 | |
Loews Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 6,553 | | | | Monthly | | | | 365,291 | | | | 17,046 | |
Loews Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 710 | | | | Monthly | | | | 39,579 | | | | 1,218 | |
Lumen Technologies, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 5,443 | | | | Monthly | | | | 69,832 | | | | (1,038 | ) |
Lumen Technologies, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 19,788 | | | | Monthly | | | | 253,855 | | | | (619 | ) |
Lumen Technologies, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 655 | | | | Monthly | | | | 8,403 | | | | (40 | ) |
LyondellBasell Industries N.V., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 142 | | | | Monthly | | | | 14,731 | | | | 247 | |
LyondellBasell Industries N.V., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 3,046 | | | | Monthly | | | | 315,959 | | | | 343 | |
See accompanying Notes to Financial Statements
245
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Long Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Pays
Financing Rate | | Expiration
Date | | | Counterparty | | Notional
Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized Appreciation
(Depreciation) | |
| |
| | | | | | | |
LyondellBasell Industries N.V., Class A | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 616 | | | | Monthly | | | $ | 63,898 | | | $ | (2,075 | ) |
Macys, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 5,990 | | | | Monthly | | | | 99,311 | | | | (1,920 | ) |
Macys, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 10,269 | | | | Monthly | | | | 170,241 | | | | 4,284 | |
Magna International, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,358 | | | | Monthly | | | | 128,219 | | | | (1,335 | ) |
Magna International, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,583 | | | | Monthly | | | | 243,861 | | | | 11,294 | |
Magna International, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 237 | | | | Monthly | | | | 22,376 | | | | (317 | ) |
Marathon Petroleum Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 947 | | | | Monthly | | | | 52,699 | | | | 3,398 | |
Marathon Petroleum Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 8,932 | | | | Monthly | | | | 353,946 | | | | 14,648 | |
Marathon Petroleum Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 797 | | | | Monthly | | | | 44,350 | | | | 1,824 | |
Marriott International, Inc., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 279 | | | | Monthly | | | | 41,436 | | | | 523 | |
Marriott International, Inc., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,067 | | | | Monthly | | | | 158,453 | | | | (681 | ) |
Marsh & McLennan Cos., Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 875 | | | | Monthly | | | | 119,318 | | | | 9,747 | |
Mcdonalds Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 201 | | | | Monthly | | | | 47,451 | | | | 626 | |
Mcdonalds Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,626 | | | | Monthly | | | | 383,825 | | | | 9,117 | |
Mcdonalds Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 334 | | | | Monthly | | | | 78,844 | | | | 1,597 | |
McKesson Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,370 | | | | Monthly | | | | 256,950 | | | | (10,478 | ) |
McKesson Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,403 | | | | Monthly | | | | 450,658 | | | | (5,830 | ) |
McKesson Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 971 | | | | Monthly | | | | 182,106 | | | | (3,683 | ) |
Meritage Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 370 | | | | Monthly | | | | 39,363 | | | | 5,005 | |
Meritage Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,193 | | | | Monthly | | | | 126,909 | | | | 16,664 | |
Metlife, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 5,252 | | | | Monthly | | | | 334,148 | | | | 11,289 | |
MGM Resorts International | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,907 | | | | Monthly | | | | 77,651 | | | | (59 | ) |
MGM Resorts International | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 5,695 | | | | Monthly | | | | 231,884 | | | | 2,285 | |
MGM Resorts International | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 408 | | | | Monthly | | | | 16,614 | | | | (571 | ) |
Motorola Solutions, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 112 | | | | Monthly | | | | 21,089 | | | | 97 | |
Motorola Solutions, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,693 | | | | Monthly | | | | 318,583 | | | | (3,107 | ) |
Motorola Solutions, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 802 | | | | Monthly | | | | 151,004 | | | | 92 | |
Murphy Oil Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 6,823 | | | | Monthly | | | | 115,510 | | | | 8,662 | |
Murphy Oil Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 14,070 | | | | Monthly | | | | 238,178 | | | | 4,254 | |
NetApp, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,530 | | | | Monthly | | | | 191,044 | | | | 4,633 | |
Netflix, Inc. | | U.S. Fed Funds | | | 2/8/2023 | | | JPMorgan Chase | | | 631 | | | | Monthly | | | | 323,983 | | | | (6,594 | ) |
Newell Brands, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 10,111 | | | | Monthly | | | | 272,584 | | | | 2,872 | |
Newell Brands, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,319 | | | | Monthly | | | | 62,518 | | | | 940 | |
Newell Brands, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 15,950 | | | | Monthly | | | | 429,977 | | | | 5,388 | |
Newmont Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 3,648 | | | | Monthly | | | | 227,643 | | | | 1,729 | |
Nike, Inc., Class B | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 478 | | | | Monthly | | | | 63,391 | | | | 1,643 | |
Nike, Inc., Class B | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,043 | | | | Monthly | | | | 270,913 | | | | (1,101 | ) |
Nike, Inc., Class B | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 531 | | | | Monthly | | | | 70,416 | | | | (433 | ) |
Nordstrom, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 410 | | | | Monthly | | | | 15,038 | | | | (54 | ) |
Nordstrom, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 4,828 | | | | Monthly | | | | 177,066 | | | | 148 | |
Norfolk Southern Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,102 | | | | Monthly | | | | 307,685 | | | | 12,210 | |
Norfolk Southern Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 216 | | | | Monthly | | | | 60,311 | | | | 1,526 | |
Nutrien ltd. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,262 | | | | Monthly | | | | 69,648 | | | | 1,828 | |
See accompanying Notes to Financial Statements
246
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Long Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Pays
Financing Rate | | Expiration
Date | | | Counterparty | | Notional
Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| |
| | | | | | | |
Nutrien ltd. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 5,206 | | | | Monthly | | | $ | 289,101 | | | $ | 5,311 | |
Nutrien ltd. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 875 | | | | Monthly | | | | 48,287 | | | | (561 | ) |
NXP Semiconductors N.V. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 93 | | | | Monthly | | | | 17,903 | | | | (773 | ) |
NXP Semiconductors N.V. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 425 | | | | Monthly | | | | 81,812 | | | | (1,330 | ) |
NXP Semiconductors N.V. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 304 | | | | Monthly | | | | 58,519 | | | | (417 | ) |
Occidental Petroleum Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 6,922 | | | | Monthly | | | | 175,537 | | | | 8,717 | |
Occidental Petroleum Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 18,731 | | | | Monthly | | | | 475,087 | | | | 13,259 | |
Occidental Petroleum Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 2,103 | | | | Monthly | | | | 53,328 | | | | 1,527 | |
Olin Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 2,111 | | | | Monthly | | | | 90,835 | | | | 1,777 | |
Olin Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 5,440 | | | | Monthly | | | | 234,074 | | | | 8,023 | |
Olin Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,370 | | | | Monthly | | | | 58,950 | | | | 3,235 | |
Omega Healthcare Investors, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 119 | | | | Monthly | | | | 4,602 | | | | 93 | |
Omega Healthcare Investors, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 60 | | | | Monthly | | | | 2,320 | | | | 3 | |
Omnicom Group, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,091 | | | | Monthly | | | | 89,743 | | | | 1,765 | |
Omnicom Group, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 6,240 | | | | Monthly | | | | 513,249 | | | | 29,528 | |
Omnicom Group, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 3,860 | | | | Monthly | | | | 317,505 | | | | 9,214 | |
Oneok, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 20 | | | | Monthly | | | | 1,065 | | | | 56 | |
Ovintiv, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 4,719 | | | | Monthly | | | | 112,923 | | | | 9,222 | |
Ovintiv, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 21,923 | | | | Monthly | | | | 524,557 | | | | (3,820 | ) |
Ovintiv, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 12,005 | | | | Monthly | | | | 287,254 | | | | (3,387 | ) |
Packaging Corp. Of America | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,589 | | | | Monthly | | | | 234,609 | | | | 11,053 | |
Packaging Corp. Of America | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 3,583 | | | | Monthly | | | | 531,595 | | | | 42,752 | |
Packaging Corp. Of America | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,140 | | | | Monthly | | | | 168,308 | | | | 9,221 | |
Parker-Hannifin Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 43 | | | | Monthly | | | | 13,494 | | | | (254 | ) |
Parker-Hannifin Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 279 | | | | Monthly | | | | 87,550 | | | | (776 | ) |
Parker-Hannifin Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 60 | | | | Monthly | | | | 18,828 | | | | (242 | ) |
PepsiCo, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 79 | | | | Monthly | | | | 11,389 | | | | 160 | |
PepsiCo, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 196 | | | | Monthly | | | | 28,255 | | | | 62 | |
Pfizer, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 6,947 | | | | Monthly | | | | 268,494 | | | | 62 | |
Pfizer, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 4,395 | | | | Monthly | | | | 169,842 | | | | 9,890 | |
Philip Morris International, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,361 | | | | Monthly | | | | 224,252 | | | | 12,112 | |
Pinnacle West Capital Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 145 | | | | Monthly | | | | 12,352 | | | | 220 | |
Pinnacle West Capital Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 281 | | | | Monthly | | | | 24,019 | | | | 241 | |
Pinnacle West Capital Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 62 | | | | Monthly | | | | 5,300 | | | | 140 | |
Procter & Gamble (The) Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 181 | | | | Monthly | | | | 24,306 | | | | (62 | ) |
Procter & Gamble (The) Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,384 | | | | Monthly | | | | 185,737 | | | | (3,755 | ) |
Procter & Gamble (The) Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,163 | | | | Monthly | | | | 156,166 | | | | (3,444 | ) |
QUALCOMM, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,217 | | | | Monthly | | | | 168,915 | | | | 7,090 | |
QUALCOMM, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,303 | | | | Monthly | | | | 180,837 | | | | (690 | ) |
QUALCOMM, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 388 | | | | Monthly | | | | 53,850 | | | | 368 | |
Quest Diagnostics, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 654 | | | | Monthly | | | | 86,247 | | | | (1,028 | ) |
Quest Diagnostics, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,038 | | | | Monthly | | | | 269,993 | | | | 10,988 | |
Quest Diagnostics, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 954 | | | | Monthly | | | | 126,347 | | | | 2,684 | |
See accompanying Notes to Financial Statements
247
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Long Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Pays
Financing Rate | | Expiration
Date | | | Counterparty | | Notional
Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| |
| | | | | | | |
Range Resources Corp. | | U.S. Fed Funds | | | 2/8/2023 | | | JPMorgan Chase | | | 425 | | | | Monthly | | | $ | 4,173 | | | $ | 18 | |
Raymond James Financial, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 453 | | | | Monthly | | | | 59,242 | | | | 1,955 | |
Raymond James Financial, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,329 | | | | Monthly | | | | 174,171 | | | | 6,546 | |
Raymond James Financial, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 170 | | | | Monthly | | | | 22,231 | | | | 277 | |
Reliance Steel & Aluminum Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,454 | | | | Monthly | | | | 233,070 | | | | 7,084 | |
Ross Stores, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 512 | | | | Monthly | | | | 67,039 | | | | 1,585 | |
Ross Stores, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,752 | | | | Monthly | | | | 229,383 | | | | 6,337 | |
Ross Stores, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 840 | | | | Monthly | | | | 109,981 | | | | 1,562 | |
Ryder System, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,030 | | | | Monthly | | | | 82,233 | | | | 6,157 | |
Ryder System, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 4,127 | | | | Monthly | | | | 329,465 | | | | 11,990 | |
Ryder System, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 932 | | | | Monthly | | | | 74,405 | | | | 1,364 | |
Sempra Energy | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 31 | | | | Monthly | | | | 4,265 | | | | 58 | |
SM Energy Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 3,830 | | | | Monthly | | | | 60,547 | | | | 336 | |
SM Energy Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 18,966 | | | | Monthly | | | | 299,814 | | | | (24,305 | ) |
Southern (The) Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,829 | | | | Monthly | | | | 121,014 | | | | 3,702 | |
Southern (The) Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 345 | | | | Monthly | | | | 22,827 | | | | 534 | |
Spirit AeroSystems Holdings, Inc., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 4,062 | | | | Monthly | | | | 185,568 | | | | (13,346 | ) |
Starwood Property Trust, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,213 | | | | Monthly | | | | 33,056 | | | | 2,997 | |
Steel Dynamics, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 530 | | | | Monthly | | | | 29,134 | | | | 2,212 | |
Steel Dynamics, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 2,962 | | | | Monthly | | | | 160,586 | | | | 9,850 | |
Stryker Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 9 | | | | Monthly | | | | 2,364 | | | | 57 | |
Synchrony Financial | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 293 | | | | Monthly | | | | 12,880 | | | | 1,079 | |
Synchrony Financial | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 3,314 | | | | Monthly | | | | 145,676 | | | | 8,620 | |
Sysco Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,123 | | | | Monthly | | | | 179,870 | | | | 7,342 | |
Sysco Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 270 | | | | Monthly | | | | 22,875 | | | | 1,090 | |
Tapestry, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 4,353 | | | | Monthly | | | | 208,259 | | | | 16,772 | |
Target Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 87 | | | | Monthly | | | | 18,031 | | | | 147 | |
Target Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,300 | | | | Monthly | | | | 476,644 | | | | 8,418 | |
Target Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 475 | | | | Monthly | | | | 98,441 | | | | 271 | |
Thermo Fisher Scientific, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 98 | | | | Monthly | | | | 46,073 | | | | (2,376 | ) |
Toll Brothers, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,793 | | | | Monthly | | | | 112,418 | | | | 5,197 | |
Toll Brothers, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 11,770 | | | | Monthly | | | | 739,861 | | | | 50,460 | |
Toll Brothers, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,094 | | | | Monthly | | | | 68,809 | | | | 3,661 | |
Transocean Ltd. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 597 | | | | Monthly | | | | 1,922 | | | | (126 | ) |
Tyson Foods, Inc., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 2,809 | | | | Monthly | | | | 217,551 | | | | (4,473 | ) |
Tyson Foods, Inc., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 3,548 | | | | Monthly | | | | 274,764 | | | | 3,242 | |
Tyson Foods, Inc., Class A | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 93 | | | | Monthly | | | | 7,203 | | | | (164 | ) |
Union Pacific Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 931 | | | | Monthly | | | | 206,760 | | | | 3,151 | |
Union Pacific Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 201 | | | | Monthly | | | | 44,639 | | | | (395 | ) |
United Parcel Service, Inc., Class A | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,112 | | | | Monthly | | | | 226,646 | | | | 26,887 | |
See accompanying Notes to Financial Statements
248
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Long Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Pays Financing Rate | | Expiration Date | | | Counterparty | | Notional
Amount | | | Pay Frequency | | | Market Value | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | | |
United Parcel Service, Inc., Class B | | U.S. Fed Funds | | | 2/8/2023 | | | JPMorgan Chase | | | 689 | | | | Monthly | | | $ | 140,422 | | | $ | 19,453 | |
Ventas, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,514 | | | | Monthly | | | | 83,964 | | | | 255 | |
Ventas, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 4,936 | | | | Monthly | | | | 275,017 | | | | 4,116 | |
Ventas, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 629 | | | | Monthly | | | | 34,881 | | | | (116 | ) |
VEREIT, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,794 | | | | Monthly | | | | 86,644 | | | | 13,772 | |
VEREIT, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 56 | | | | Monthly | | | | 2,677 | | | | 375 | |
VF Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,244 | | | | Monthly | | | | 109,046 | | | | 1,577 | |
VF Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,538 | | | | Monthly | | | | 222,457 | | | | 10,991 | |
VF Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 76 | | | | Monthly | | | | 6,658 | | | | 274 | |
ViacomCBS, Inc., Class B | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 22,115 | | | | Monthly | | | | 907,127 | | | | 6,384 | |
Vistra Operations Co. LLC | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 2,127 | | | | Monthly | | | | 35,881 | | | | (1,171 | ) |
Vistra Operations Co. LLC | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 22,250 | | | | Monthly | | | | 375,315 | | | | (16,248 | ) |
Vistra Operations Co. LLC | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 4,618 | | | | Monthly | | | | 77,899 | | | | (4,831 | ) |
Vornado Realty Trust | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 404 | | | | Monthly | | | | 18,483 | | | | 438 | |
Vornado Realty Trust | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 284 | | | | Monthly | | | | 12,993 | | | | 79 | |
Voya Financial, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,616 | | | | Monthly | | | | 109,594 | | | | 1,758 | |
Voya Financial, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 4,193 | | | | Monthly | | | | 284,346 | | | | (781 | ) |
Vulcan Materials Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 190 | | | | Monthly | | | | 33,865 | | | | 404 | |
Vulcan Materials Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,631 | | | | Monthly | | | | 290,678 | | | | 12,018 | |
Vulcan Materials Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 402 | | | | Monthly | | | | 71,647 | | | | 1,397 | |
W.P. Carey, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 550 | | | | Monthly | | | | 41,188 | | | | 615 | |
W.P. Carey, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,268 | | | | Monthly | | | | 97,874 | | | | 7,682 | |
W.W. Grainger, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 162 | | | | Monthly | | | | 70,231 | | | | 2,334 | |
W.W. Grainger, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 736 | | | | Monthly | | | | 319,053 | | | | 25,422 | |
W.W. Grainger, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 55 | | | | Monthly | | | | 23,843 | | | | 1,598 | |
Walmart, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 200 | | | | Monthly | | | | 27,979 | | | | 45 | |
Walmart, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 3,438 | | | | Monthly | | | | 480,956 | | | | 538 | |
Walmart, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,921 | | | | Monthly | | | | 268,745 | | | | (455 | ) |
Walt Disney (The) Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 664 | | | | Monthly | | | | 123,514 | | | | 2,161 | |
Walt Disney (The) Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 874 | | | | Monthly | | | | 162,565 | | | | (781 | ) |
Walt Disney (The) Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 1,218 | | | | Monthly | | | | 226,554 | | | | 91 | |
WEC Energy Group, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 21 | | | | Monthly | | | | 2,040 | | | | 90 | |
Western Digital Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 672 | | | | Monthly | | | | 47,462 | | | | 2,935 | |
Western Digital Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,476 | | | | Monthly | | | | 104,243 | | | | 3,878 | |
Western Union (The) Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 5,268 | | | | Monthly | | | | 135,692 | | | | (12 | ) |
WestRock Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 4,356 | | | | Monthly | | | | 242,840 | | | | 14,019 | |
WestRock Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 2,989 | | | | Monthly | | | | 166,623 | | | | 7,691 | |
WestRock Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 739 | | | | Monthly | | | | 41,196 | | | | 1,571 | |
Whirlpool Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 425 | | | | Monthly | | | | 100,491 | | | | (1,026 | ) |
Whirlpool Corp. | | U.S. Fed Funds | | | 2/8/2023 | | | JPMorgan Chase | | | 28 | | | | Monthly | | | | 6,621 | | | | 15 | |
Whirlpool Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 197 | | | | Monthly | | | | 46,581 | | | | 40 | |
Williams (The) Cos., Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 149 | | | | Monthly | | | | 3,630 | | | | 167 | |
Williams (The) Cos., Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 7,627 | | | | Monthly | | | | 185,773 | | | | 5,192 | |
See accompanying Notes to Financial Statements
249
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Long Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Pays
Financing Rate | | Expiration
Date | | | Counterparty | | Notional
Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| |
| | | | | | | |
Wynn Resorts Finance LLC/Wynn Resourts Capital Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 1,180 | | | | Monthly | | | $ | 151,508 | | | $ | 4,739 | |
Wynn Resorts Finance LLC/Wynn Resourts Capital Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,887 | | | | Monthly | | | | 242,264 | | | | (6,860 | ) |
Wynn Resorts Finance LLC/Wynn Resourts Capital Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 83 | | | | Monthly | | | | 10,657 | | | | 617 | |
Xerox Holdings Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 2,779 | | | | Monthly | | | | 67,714 | | | | 1,129 | |
Xerox Holdings Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 17,389 | | | | Monthly | | | | 423,915 | | | | (6,343 | ) |
Xerox Holdings Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 5,332 | | | | Monthly | | | | 129,929 | | | | (2,391 | ) |
Yum Brands, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 89 | | | | Monthly | | | | 10,635 | | | | 6 | |
Zimmer Biomet Holdings, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | 275 | | | | Monthly | | | | 48,797 | | | | 18 | |
Zimmer Biomet Holdings, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | 1,497 | | | | Monthly | | | | 265,260 | | | | 14,710 | |
Zimmer Biomet Holdings, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | 485 | | | | Monthly | | | | 85,916 | | | | 2,537 | |
| |
| | | | | | |
Total (Cost $59,290,114) | | | | | | | | | 1,171,834 | | | | | | | $ | 60,370,194 | | | $ | 1,080,080 | |
| |
Short Contracts for Difference at April 30, 2021:
Over the Counter
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Receives Financing Rate | | Expiration
Date | | | Counterparty | | Notional Amount | | | Pay Frequency | | | Market Value | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | | |
Advanced Micro Devices, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (753 | ) | | | Monthly | | | $ | (61,461 | ) | | $ | (1,929 | ) |
Advanced Micro Devices, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (3,411 | ) | | | Monthly | | | | (278,421 | ) | | | 4,301 | |
Advanced Micro Devices, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (2,190 | ) | | | Monthly | | | | (178,755 | ) | | | 3,037 | |
Air Products & Chemicals, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (463 | ) | | | Monthly | | | | (133,770 | ) | | | (1,936 | ) |
Air Products & Chemicals, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (737 | ) | | | Monthly | | | | (213,463 | ) | | | (4,811 | ) |
Air Products & Chemicals, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (164 | ) | | | Monthly | | | | (47,557 | ) | | | (464 | ) |
Alexandria Real Estate Equities, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (124 | ) | | | Monthly | | | | (22,457 | ) | | | (261 | ) |
Alexandria Real Estate Equities, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,793 | ) | | | Monthly | | | | (326,108 | ) | | | (21,624 | ) |
Alexandria Real Estate Equities, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (297 | ) | | | Monthly | | | | (53,789 | ) | | | (2,045 | ) |
Altice USA, Inc., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,088 | ) | | | Monthly | | | | (39,506 | ) | | | (1,030 | ) |
Altice USA, Inc., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (8,641 | ) | | | Monthly | | | | (313,760 | ) | | | (10,383 | ) |
Altria Group, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (851 | ) | | | Monthly | | | | (41,368 | ) | | | (1,797 | ) |
Altria Group, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (547 | ) | | | Monthly | | | | (24,239 | ) | | | 1,677 | |
See accompanying Notes to Financial Statements
250
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Short Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Receives
Financing Rate | | Expiration
Date | | | Counterparty | | Notional
Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| |
Ameren Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (542 | ) | | | Monthly | | | $ | (45,989 | ) | | $ | (1,753 | ) |
Ameren Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (515 | ) | | | Monthly | | | | (43,694 | ) | | | (651 | ) |
American Airlines Group, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (5,434 | ) | | | Monthly | | | | (118,028 | ) | | | (8,747 | ) |
American Airlines Group, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (7,850 | ) | | | Monthly | | | | (170,509 | ) | | | 5,540 | |
American Airlines Group, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,088 | ) | | | Monthly | | | | (23,632 | ) | | | 445 | |
American Electric Power Co., Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (831 | ) | | | Monthly | | | | (73,719 | ) | | | (633 | ) |
American Electric Power Co., Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,746 | ) | | | Monthly | | | | (154,896 | ) | | | (3,994 | ) |
American Electric Power Co., Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (592 | ) | | | Monthly | | | | (52,518 | ) | | | (538 | ) |
American Tower Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (695 | ) | | | Monthly | | | | (177,927 | ) | | | (3,107 | ) |
American Tower Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (362 | ) | | | Monthly | | | | (92,303 | ) | | | (4,174 | ) |
American Tower Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (495 | ) | | | Monthly | | | | (126,725 | ) | | | (4,381 | ) |
AmerisourceBergen Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (106 | ) | | | Monthly | | | | (12,805 | ) | | | 9 | |
AmerisourceBergen Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,655 | ) | | | Monthly | | | | (199,935 | ) | | | (8,566 | ) |
AmerisourceBergen Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (248 | ) | | | Monthly | | | | (29,960 | ) | | | (381 | ) |
Amgen, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,186 | ) | | | Monthly | | | | (284,229 | ) | | | 9,822 | |
Amgen, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (698 | ) | | | Monthly | | | | (167,278 | ) | | | 10,803 | |
Amnkor Technology, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,562 | ) | | | Monthly | | | | (31,584 | ) | | | 4,691 | |
Amnkor Technology, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,891 | ) | | | Monthly | | | | (58,460 | ) | | | 13,907 | |
Amnkor Technology, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (943 | ) | | | Monthly | | | | (19,068 | ) | | | 3,658 | |
Anthem, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (92 | ) | | | Monthly | | | | (34,908 | ) | | | (2,226 | ) |
Applied Materials, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (608 | ) | | | Monthly | | | | (80,691 | ) | | | 1,030 | |
Aramark Services, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (7,429 | ) | | | Monthly | | | | (288,782 | ) | | | (861 | ) |
Aramark Services, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (2,202 | ) | | | Monthly | | | | (85,597 | ) | | | 876 | |
Ashland Global Holdings, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (2,562 | ) | | | Monthly | | | | (220,874 | ) | | | 13,319 | |
Ashland Global Holdings, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (3,027 | ) | | | Monthly | | | | (260,972 | ) | | | 5,542 | |
Ashland Global Holdings, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (107 | ) | | | Monthly | | | | (9,225 | ) | | | 301 | |
Assurant, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (40 | ) | | | Monthly | | | | (6,224 | ) | | | (70 | ) |
AutoZone, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (128 | ) | | | Monthly | | | | (187,410 | ) | | | 1,885 | |
AutoZone, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (88 | ) | | | Monthly | | | | (128,857 | ) | | | (3,165 | ) |
AutoZone, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (47 | ) | | | Monthly | | | | (68,816 | ) | | | 153 | |
Avantor, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,186 | ) | | | Monthly | | | | (38,000 | ) | | | 688 | |
Avantor, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (5,575 | ) | | | Monthly | | | | (178,627 | ) | | | 2,735 | |
Avery Dennison Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (286 | ) | | | Monthly | | | | (61,254 | ) | | | (4,054 | ) |
Avery Dennison Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,477 | ) | | | Monthly | | | | (316,344 | ) | | | (31,339 | ) |
Avery Dennison Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (190 | ) | | | Monthly | | | | (40,694 | ) | | | (2,988 | ) |
Avis Budget Group, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (893 | ) | | | Monthly | | | | (80,023 | ) | | | (8,944 | ) |
Avis Budget Group, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,810 | ) | | | Monthly | | | | (251,814 | ) | | | (36,589 | ) |
See accompanying Notes to Financial Statements
251
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Short Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Receives Financing Rate | | Expiration Date | | | Counterparty | | Notional Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized Appreciation (Depreciation) | |
| |
Avis Budget Group, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (677 | ) | | | Monthly | | | $ | (60,668 | ) | | $ | (7,740 | ) |
Baker Hughes Co., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,801 | ) | | | Monthly | | | | (36,165 | ) | | | (469 | ) |
Baker Hughes Co., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (15,207 | ) | | | Monthly | | | | (305,373 | ) | | | 6,929 | |
Baker Hughes Co., Class A | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (2,259 | ) | | | Monthly | | | | (45,363 | ) | | | (408 | ) |
Ball Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,088 | ) | | | Monthly | | | | (101,882 | ) | | | (1,035 | ) |
Ball Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (3,232 | ) | | | Monthly | | | | (302,650 | ) | | | (5,847 | ) |
Ball Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (260 | ) | | | Monthly | | | | (24,347 | ) | | | (804 | ) |
Bausch Health Cos., Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (10,554 | ) | | | Monthly | | | | (339,527 | ) | | | (28,501 | ) |
Bausch Health Cos., Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (10,558 | ) | | | Monthly | | | | (339,667 | ) | | | (17,808 | ) |
Bausch Health Cos., Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (3,460 | ) | | | Monthly | | | | (111,309 | ) | | | (1,093 | ) |
Baxter International, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,229 | ) | | | Monthly | | | | (105,316 | ) | | | 2,848 | |
Baxter International, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (5,846 | ) | | | Monthly | | | | (500,970 | ) | | | (8,157 | ) |
Baxter International, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (3,019 | ) | | | Monthly | | | | (258,708 | ) | | | 302 | |
Best Buy Co., Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (573 | ) | | | Monthly | | | | (66,624 | ) | | | 1,013 | |
Best Buy Co., Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (4,765 | ) | | | Monthly | | | | (554,057 | ) | | | 15,480 | |
Best Buy Co., Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,278 | ) | | | Monthly | | | | (148,599 | ) | | | 3,866 | |
Boeing (The) Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (103 | ) | | | Monthly | | | | (24,134 | ) | | | 2 | |
Boeing (The) Co. | | U.S. Fed Funds | | | 2/8/2023 | | | JPMorgan Chase | | | (1,064 | ) | | | Monthly | | | | (249,320 | ) | | | 19,149 | |
Boeing (The) Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (521 | ) | | | Monthly | | | | (122,080 | ) | | | 7,185 | |
Booking Holdings, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1 | ) | | | Monthly | | | | (2,466 | ) | | | (38 | ) |
BorgWarner, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,422 | ) | | | Monthly | | | | (69,082 | ) | | | 1,364 | |
BorgWarner, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (4,770 | ) | | | Monthly | | | | (231,737 | ) | | | (8,084 | ) |
BorgWarner, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,666 | ) | | | Monthly | | | | (80,935 | ) | | | 2,990 | |
Boston Scientific Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (5,887 | ) | | | Monthly | | | | (256,677 | ) | | | (6,068 | ) |
Boston Scientific Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (12,282 | ) | | | Monthly | | | | (535,521 | ) | | | (56,945 | ) |
Boston Scientific Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (3,606 | ) | | | Monthly | | | | (157,227 | ) | | | (9,816 | ) |
Boyd Gaming Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (780 | ) | | | Monthly | | | | (51,598 | ) | | | 885 | |
Boyd Gaming Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (7,661 | ) | | | Monthly | | | | (506,799 | ) | | | (15,586 | ) |
Boyd Gaming Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,366 | ) | | | Monthly | | | | (90,363 | ) | | | (2,226 | ) |
Broadcom, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (93 | ) | | | Monthly | | | | (42,427 | ) | | | (102 | ) |
Broadcom, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (690 | ) | | | Monthly | | | | (314,796 | ) | | | 17,502 | |
Broadcom, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (65 | ) | | | Monthly | | | | (29,654 | ) | | | 1,546 | |
Broadridge Financial Solutions, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (46 | ) | | | Monthly | | | | (7,297 | ) | | | 133 | |
Brookfield Asset Management Inc., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,607 | ) | | | Monthly | | | | (73,248 | ) | | | (901 | ) |
Brookfield Asset Management Inc., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (5,415 | ) | | | Monthly | | | | (246,829 | ) | | | (1,720 | ) |
Brown & Brown, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (236 | ) | | | Monthly | | | | (12,551 | ) | | | (758 | ) |
Brown & Brown, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,321 | ) | | | Monthly | | | | (123,433 | ) | | | (7,927 | ) |
Brown & Brown, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (569 | ) | | | Monthly | | | | (30,260 | ) | | | (715 | ) |
Builders FirstSource, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (965 | ) | | | Monthly | | | | (46,967 | ) | | | (879 | ) |
Builders FirstSource, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (4,298 | ) | | | Monthly | | | | (209,195 | ) | | | (5,236 | ) |
Camden Property Trust REIT | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (673 | ) | | | Monthly | | | | (81,085 | ) | | | (479 | ) |
Camden Property Trust REIT | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,390 | ) | | | Monthly | | | | (168,800 | ) | | | (13,169 | ) |
Camden Property Trust REIT | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (206 | ) | | | Monthly | | | | (24,820 | ) | | | (1,103 | ) |
See accompanying Notes to Financial Statements
252
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Short Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Receives
Financing Rate | | Expiration Date | | | Counterparty | | Notional Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| |
Campbell Soup | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (595 | ) | | | Monthly | | | $ | (28,696 | ) | | $ | 774 | |
Campbell Soup | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (4,506 | ) | | | Monthly | | | | (216,722 | ) | | | 3,583 | |
Campbell Soup | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (4,021 | ) | | | Monthly | | | | (193,505 | ) | | | 3,042 | |
Canadian Natural Resources Ltd. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (12,360 | ) | | | Monthly | | | | (375,518 | ) | | | 6,043 | |
Capital One Financial Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,105 | ) | | | Monthly | | | | (164,741 | ) | | | (17,961 | ) |
Carnival Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,265 | ) | | | Monthly | | | | (35,370 | ) | | | (1,329 | ) |
Carnival Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,086 | ) | | | Monthly | | | | (58,325 | ) | | | (627 | ) |
Carrier Global Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (885 | ) | | | Monthly | | | | (38,675 | ) | | | (540 | ) |
Carrier Global Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (7,060 | ) | | | Monthly | | | | (308,537 | ) | | | (7,728 | ) |
Carrier Global Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,178 | ) | | | Monthly | | | | (51,480 | ) | | | (346 | ) |
Catalent Pharma Solutions, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (56 | ) | | | Monthly | | | | (6,298 | ) | | | 41 | |
Catalent Pharma Solutions, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,229 | ) | | | Monthly | | | | (138,227 | ) | | | 336 | |
Catalent Pharma Solutions, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (239 | ) | | | Monthly | | | | (26,880 | ) | | | 114 | |
CDW Corporation of Delaware | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (410 | ) | | | Monthly | | | | (73,116 | ) | | | 1,040 | |
CDW Corporation of Delaware | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (415 | ) | | | Monthly | | | | (74,011 | ) | | | (1,452 | ) |
CenterPoint Energy, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (2,521 | ) | | | Monthly | | | | (61,740 | ) | | | (808 | ) |
CenterPoint Energy, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (9,203 | ) | | | Monthly | | | | (225,393 | ) | | | (10,200 | ) |
CenterPoint Energy, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,386 | ) | | | Monthly | | | | (33,944 | ) | | | (611 | ) |
CF Industries Holdings, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,109 | ) | | | Monthly | | | | (53,933 | ) | | | (3,355 | ) |
Charter Communications, Inc., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (73 | ) | | | Monthly | | | | (49,163 | ) | | | (1,152 | ) |
Charter Communications, Inc., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (657 | ) | | | Monthly | | | | (442,478 | ) | | | (36,668 | ) |
Charter Communications, Inc., Class A | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (66 | ) | | | Monthly | | | | (44,449 | ) | | | (1,822 | ) |
Chevron Corp. | �� | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (9 | ) | | | Monthly | | | | (928 | ) | | | (1 | ) |
Cisco Systems, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (4,414 | ) | | | Monthly | | | | (226,383 | ) | | | 938 | |
Cisco Systems, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (3,295 | ) | | | Monthly | | | | (168,845 | ) | | | 2,475 | |
Cisco Systems, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,540 | ) | | | Monthly | | | | (78,907 | ) | | | 659 | |
Cleveland Cliffs, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (4,513 | ) | | | Monthly | | | | (80,603 | ) | | | (3,476 | ) |
Cleveland Cliffs, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (3,502 | ) | | | Monthly | | | | (62,556 | ) | | | 249 | |
Cleveland Cliffs, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (4,305 | ) | | | Monthly | | | | (76,896 | ) | | | (44 | ) |
CNX Resources Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (3,161 | ) | | | Monthly | | | | (42,421 | ) | | | 157 | |
CNX Resources Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (18,544 | ) | | | Monthly | | | | (248,876 | ) | | | 11,280 | |
CNX Resources Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,399 | ) | | | Monthly | | | | (18,775 | ) | | | 853 | |
Comcast Corp., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (4,442 | ) | | | Monthly | | | | (250,253 | ) | | | (8,608 | ) |
Comcast Corp., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (8,479 | ) | | | Monthly | | | | (477,609 | ) | | | (18,263 | ) |
Comcast Corp., Class A | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (2,308 | ) | | | Monthly | | | | (130,009 | ) | | | (5,054 | ) |
See accompanying Notes to Financial Statements
253
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Short Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Receives Financing Rate | | Expiration Date | | | Counterparty | | Notional Amount | | | Pay Frequency | | | Market Value | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | | |
Conagra Brands, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,318 | ) | | | Monthly | | | $ | (49,247 | ) | | $ | 1,061 | |
Conagra Brands, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (9,145 | ) | | | Monthly | | | | (341,681 | ) | | | (579 | ) |
Conagra Brands, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,353 | ) | | | Monthly | | | | (50,556 | ) | | | 379 | |
ConocoPhillips | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (627 | ) | | | Monthly | | | | (32,065 | ) | | | (1,054 | ) |
ConocoPhillips | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (631 | ) | | | Monthly | | | | (32,272 | ) | | | (483 | ) |
ConocoPhillips | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (2,009 | ) | | | Monthly | | | | (102,744 | ) | | | 1,066 | |
Consolidated Edison, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (25 | ) | | | Monthly | | | | (1,935 | ) | | | (6 | ) |
Coty, Inc., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,227 | ) | | | Monthly | | | | (12,282 | ) | | | (67 | ) |
Coty, Inc., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (5,296 | ) | | | Monthly | | | | (53,014 | ) | | | (4,720 | ) |
Crown Castle International Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (107 | ) | | | Monthly | | | | (20,230 | ) | | | (519 | ) |
Crown Castle International Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,863 | ) | | | Monthly | | | | (352,237 | ) | | | (24,519 | ) |
Crown Castle International Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (190 | ) | | | Monthly | | | | (35,923 | ) | | | (1,823 | ) |
D.R. Horton, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (848 | ) | | | Monthly | | | | (83,351 | ) | | | (2,859 | ) |
D.R. Horton, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (4,442 | ) | | | Monthly | | | | (436,626 | ) | | | (28,719 | ) |
D.R. Horton, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (189 | ) | | | Monthly | | | | (18,578 | ) | | | (991 | ) |
Dell Technologies, Inc., Class C | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,412 | ) | | | Monthly | | | | (138,846 | ) | | | 4,498 | |
Dentsply Sirona, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (866 | ) | | | Monthly | | | | (58,465 | ) | | | (1,915 | ) |
Dentsply Sirona, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (4,528 | ) | | | Monthly | | | | (305,702 | ) | | | (14,978 | ) |
Digital Realty Trust, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,651 | ) | | | Monthly | | | | (254,770 | ) | | | (8,688 | ) |
Digital Realty Trust, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (816 | ) | | | Monthly | | | | (125,923 | ) | | | (9,132 | ) |
Digital Realty Trust, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (175 | ) | | | Monthly | | | | (27,005 | ) | | | (1,238 | ) |
DISH Network Corp., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,743 | ) | | | Monthly | | | | (78,072 | ) | | | (4,936 | ) |
DISH Network Corp., | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (19,368 | ) | | | Monthly | | | | (867,535 | ) | | | (135,851 | ) |
Dollar General Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (5 | ) | | | Monthly | | | | (1,074 | ) | | | 2 | |
Dollar General Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (37 | ) | | | Monthly | | | | (7,946 | ) | | | 66 | |
Dollar General Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (82 | ) | | | Monthly | | | | (17,610 | ) | | | 243 | |
Dominion Energy, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,453 | ) | | | Monthly | | | | (116,097 | ) | | | (699 | ) |
Dominion Energy, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (3,816 | ) | | | Monthly | | | | (304,915 | ) | | | (13,630 | ) |
Dominion Energy, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | �� | Goldman Sachs | | | (885 | ) | | | Monthly | | | | (70,714 | ) | | | (1,231 | ) |
Dow, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,518 | ) | | | Monthly | | | | (94,876 | ) | | | (551 | ) |
Dow, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (679 | ) | | | Monthly | | | | (42,438 | ) | | | 377 | |
Dow, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (307 | ) | | | Monthly | | | | (19,188 | ) | | | 254 | |
Ecolab, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (411 | ) | | | Monthly | | | | (92,679 | ) | | | (3,788 | ) |
Ecolab, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (62 | ) | | | Monthly | | | | (13,896 | ) | | | (262 | ) |
Edison International | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (178 | ) | | | Monthly | | | | (10,582 | ) | | | 305 | |
Edison International | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (2,937 | ) | | | Monthly | | | | (176,635 | ) | | | 3,814 | |
Elanco Animal Health, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (3,068 | ) | | | Monthly | | | | (97,288 | ) | | | (3,333 | ) |
Elanco Animal Health, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (5,921 | ) | | | Monthly | | | | (187,758 | ) | | | (4,249 | ) |
Elanco Animal Health, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (3,408 | ) | | | Monthly | | | | (108,069 | ) | | | (3,040 | ) |
Emergent BioSolutions, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (789 | ) | | | Monthly | | | | (48,117 | ) | | | 13,883 | |
See accompanying Notes to Financial Statements
254
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Short Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Receives Financing Rate | | Expiration Date | | | Counterparty | | Notional Amount | | | Pay Frequency | | | Market Value | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | | |
Enbridge, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (158 | ) | | | Monthly | | | $ | (6,094 | ) | | $ | (247 | ) |
Enbridge, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (3,032 | ) | | | Monthly | | | | (116,951 | ) | | | (4,433 | ) |
EOG Resources, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,969 | ) | | | Monthly | | | | (145,736 | ) | | | (10,713 | ) |
EOG Resources, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (3,247 | ) | | | Monthly | | | | (240,279 | ) | | | (6,760 | ) |
EQT Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (862 | ) | | | Monthly | | | | (16,464 | ) | | | (1,181 | ) |
EQT Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (966 | ) | | | Monthly | | | | (18,452 | ) | | | (1,376 | ) |
EQT Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (904 | ) | | | Monthly | | | | (17,267 | ) | | | (1,293 | ) |
Equity Residential | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (4,890 | ) | | | Monthly | | | | (363,011 | ) | | | (11,807 | ) |
Essential Utilities, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (637 | ) | | | Monthly | | | | (30,022 | ) | | | 360 | |
Essential Utilities, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (6,953 | ) | | | Monthly | | | | (327,712 | ) | | | (11,397 | ) |
Essential Utilities, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (717 | ) | | | Monthly | | | | (33,794 | ) | | | (8 | ) |
Estee Lauder (The) Cos., Inc., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (7 | ) | | | Monthly | | | | (2,197 | ) | | | (107 | ) |
Expedia Group, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (43 | ) | | | Monthly | | | | (7,578 | ) | | | (25 | ) |
Expedia Group, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (951 | ) | | | Monthly | | | | (167,603 | ) | | | (1,135 | ) |
Expedia Group, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,373 | ) | | | Monthly | | | | (241,973 | ) | | | (7,808 | ) |
Fidelity National Information Services, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (722 | ) | | | Monthly | | | | (110,395 | ) | | | (264 | ) |
Fidelity National Information Services, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,294 | ) | | | Monthly | | | | (197,857 | ) | | | (658 | ) |
Fidelity National Information Services, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (463 | ) | | | Monthly | | | | (70,793 | ) | | | 964 | |
Fiserv, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,021 | ) | | | Monthly | | | | (122,644 | ) | | | 4,488 | |
Fiserv, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,168 | ) | | | Monthly | | | | (260,435 | ) | | | 8,927 | |
Fortune Brands Home & Security, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (529 | ) | | | Monthly | | | | (55,535 | ) | | | (423 | ) |
Fortune Brands Home & Security, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (732 | ) | | | Monthly | | | | (76,847 | ) | | | (1,418 | ) |
Fortune Brands Home & Security, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (527 | ) | | | Monthly | | | | (55,325 | ) | | | 100 | |
Freeport-McMoRan, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (2,359 | ) | | | Monthly | | | | (89,261 | ) | | | (7,309 | ) |
Freeport-McMoRan, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,543 | ) | | | Monthly | | | | (96,119 | ) | | | (2,583 | ) |
General Mills, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (2,706 | ) | | | Monthly | | | | (166,023 | ) | | | 1,830 | |
General Mills, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (5,320 | ) | | | Monthly | | | | (326,282 | ) | | | (1,656 | ) |
General Mills, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (294 | ) | | | Monthly | | | | (17,990 | ) | | | (185 | ) |
Global Payments, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (138 | ) | | | Monthly | | | | (29,619 | ) | | | 213 | |
Global Payments, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (915 | ) | | | Monthly | | | | (196,395 | ) | | | 2,746 | |
Goodyear Tire & Rubber (The) Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (19,522 | ) | | | Monthly | | | | (335,993 | ) | | | 12,907 | |
Goodyear Tire & Rubber (The) Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (4,671 | ) | | | Monthly | | | | (80,391 | ) | | | 3,220 | |
Halliburton Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (225 | ) | | | Monthly | | | | (4,401 | ) | | | (77 | ) |
Hanesbrands, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (422 | ) | | | Monthly | | | | (8,887 | ) | | | (177 | ) |
Hanesbrands, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (5,281 | ) | | | Monthly | | | | (111,221 | ) | | | (3,308 | ) |
Hanesbrands, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,125 | ) | | | Monthly | | | | (23,693 | ) | | | (1,182 | ) |
Harley-Davidson, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (344 | ) | | | Monthly | | | | (16,639 | ) | | | 109 | |
See accompanying Notes to Financial Statements
255
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Short Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Receives Financing Rate | | Expiration Date | | | Counterparty | | Notional Amount | | | Pay Frequency | | | Market Value | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | | |
Harley-Davidson, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (299 | ) | | | Monthly | | | $ | (14,463 | ) | | $ | 270 | |
Hess Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (160 | ) | | | Monthly | | | | (11,922 | ) | | | (1,199 | ) |
Hess Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (10,197 | ) | | | Monthly | | | | (759,818 | ) | | | (18,240 | ) |
Hess Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (2,134 | ) | | | Monthly | | | | (159,010 | ) | | | (8,670 | ) |
Hexcel Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (968 | ) | | | Monthly | | | | (54,606 | ) | | | 764 | |
Hexcel Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (4,248 | ) | | | Monthly | | | | (239,644 | ) | | | (97 | ) |
Hexcel Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,136 | ) | | | Monthly | | | | (64,085 | ) | | | (287 | ) |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (18 | ) | | | Monthly | | | | (2,317 | ) | | | (26 | ) |
Home Depot (The), Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (942 | ) | | | Monthly | | | | (304,902 | ) | | | (2,095 | ) |
Home Depot (The), Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,544 | ) | | | Monthly | | | | (499,773 | ) | | | (12,736 | ) |
Home Depot (The), Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (292 | ) | | | Monthly | | | | (94,515 | ) | | | (275 | ) |
Host Hotels & Resorts, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (4,757 | ) | | | Monthly | | | | (86,388 | ) | | | (5,091 | ) |
Host Hotels & Resorts, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (7,365 | ) | | | Monthly | | | | (133,755 | ) | | | (4,852 | ) |
Host Hotels & Resorts, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (25,120 | ) | | | Monthly | | | | (456,197 | ) | | | (15,090 | ) |
Howmet Aerospace, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,033 | ) | | | Monthly | | | | (33,015 | ) | | | (558 | ) |
Howmet Aerospace, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (4,101 | ) | | | Monthly | | | | (131,073 | ) | | | 636 | |
Howmet Aerospace, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (47 | ) | | | Monthly | | | | (1,502 | ) | | | 18 | |
Hyatt Hotels Corp., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (107 | ) | | | Monthly | | | | (8,822 | ) | | | 209 | |
Idex, Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (225 | ) | | | Monthly | | | | (50,446 | ) | | | 157 | |
Idex, Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,249 | ) | | | Monthly | | | | (280,035 | ) | | | (6,093 | ) |
Idex, Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (270 | ) | | | Monthly | | | | (60,536 | ) | | | (1,663 | ) |
Intel Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,208 | ) | | | Monthly | | | | (69,520 | ) | | | 10,920 | |
International Business Machines Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (726 | ) | | | Monthly | | | | (103,010 | ) | | | (4,968 | ) |
International Business Machines Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,183 | ) | | | Monthly | | | | (167,851 | ) | | | (11,009 | ) |
Iron Mountain, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (4,584 | ) | | | Monthly | | | | (183,913 | ) | | | 1,143 | |
Iron Mountain, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (13,280 | ) | | | Monthly | | | | (532,822 | ) | | | (36,167 | ) |
Iron Mountain, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (316 | ) | | | Monthly | | | | (12,678 | ) | | | (525 | ) |
J2 Global, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (850 | ) | | | Monthly | | | | (102,852 | ) | | | (605 | ) |
J2 Global, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,944 | ) | | | Monthly | | | | (235,237 | ) | | | 4,937 | |
J2 Global, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (419 | ) | | | Monthly | | | | (50,701 | ) | | | 1,712 | |
Juniper Networks, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (9,078 | ) | | | Monthly | | | | (230,504 | ) | | | 2,013 | |
KB Home | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,880 | ) | | | Monthly | | | | (90,674 | ) | | | (1,919 | ) |
KB Home | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (5,077 | ) | | | Monthly | | | | (244,878 | ) | | | (4,051 | ) |
KB Home | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (945 | ) | | | Monthly | | | | (45,579 | ) | | | 118 | |
Kinder Morgan, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (12,919 | ) | | | Monthly | | | | (224,167 | ) | | | (12,724 | ) |
Kinder Morgan, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (31,664 | ) | | | Monthly | | | | (548,929 | ) | | | (17,437 | ) |
Kinder Morgan, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (2,926 | ) | | | Monthly | | | | (50,681 | ) | | | (1,758 | ) |
KLA Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (7 | ) | | | Monthly | | | | (2,208 | ) | | | 271 | |
Kraft Heinz Foods Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,570 | ) | | | Monthly | | | | (64,826 | ) | | | (503 | ) |
Kraft Heinz Foods Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,211 | ) | | | Monthly | | | | (91,297 | ) | | | (1,009 | ) |
Kraft Heinz Foods Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (382 | ) | | | Monthly | | | | (15,773 | ) | | | (92 | ) |
Lam Research Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (17 | ) | | | Monthly | | | | (10,549 | ) | | | 277 | |
See accompanying Notes to Financial Statements
256
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Short Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Receives Financing Rate | | Expiration Date | | | Counterparty | | Notional Amount | | | Pay Frequency | | | Market Value | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | | |
Lamb Weston Holdings, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (305 | ) | | | Monthly | | | $ | (24,554 | ) | | $ | (117 | ) |
Lamb Weston Holdings, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (3,620 | ) | | | Monthly | | | | (291,425 | ) | | | (9,609 | ) |
Lamb Weston Holdings, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (519 | ) | | | Monthly | | | | (41,782 | ) | | | (921 | ) |
Las Vegas Sands Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,197 | ) | | | Monthly | | | | (73,329 | ) | | | (3,508 | ) |
Las Vegas Sands Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (59 | ) | | | Monthly | | | | (3,615 | ) | | | 30 | |
Lear Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (43 | ) | | | Monthly | | | | (7,905 | ) | | | (115 | ) |
Lear Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (313 | ) | | | Monthly | | | | (57,543 | ) | | | 230 | |
Leggett & Platt, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (32 | ) | | | Monthly | | | | (1,602 | ) | | | (114 | ) |
Lennar Corp., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (606 | ) | | | Monthly | | | | (62,921 | ) | | | (1,693 | ) |
LIncoln National Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (2,366 | ) | | | Monthly | | | | (152,572 | ) | | | (5,312 | ) |
LIncoln National Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (5,864 | ) | | | Monthly | | | | (378,383 | ) | | | (9,025 | ) |
LIncoln National Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (73 | ) | | | Monthly | | | | (4,726 | ) | | | (40 | ) |
Lithia Motors, Inc., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (253 | ) | | | Monthly | | | | (97,250 | ) | �� | | (554 | ) |
Lithia Motors, Inc., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (521 | ) | | | Monthly | | | | (200,273 | ) | | | 4,024 | |
Lithia Motors, Inc., Class A | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (110 | ) | | | Monthly | | | | (42,283 | ) | | | 637 | |
Live Nation Entertainment, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (532 | ) | | | Monthly | | | | (43,561 | ) | | | (479 | ) |
Live Nation Entertainment, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,890 | ) | | | Monthly | | | | (236,643 | ) | | | 6,673 | |
Live Nation Entertainment, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (606 | ) | | | Monthly | | | | (49,621 | ) | | | (990 | ) |
Lowe’s Cos., Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (616 | ) | | | Monthly | | | | (121,062 | ) | | | 1,821 | |
Lowe’s Cos., Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,579 | ) | | | Monthly | | | | (310,746 | ) | | | 339 | |
Lowe’s Cos., Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (474 | ) | | | Monthly | | | | (93,108 | ) | | | 2,760 | |
Marsh & McLennan Cos., Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (595 | ) | | | Monthly | | | | (80,742 | ) | | | (1,931 | ) |
Marsh & McLennan Cos., Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (306 | ) | | | Monthly | | | | (41,493 | ) | | | 140 | |
MasTec, Inc. | | U.S. Fed Funds | | | 2/8/2023 | | | JPMorgan Chase | | | (65 | ) | | | Monthly | | | | (6,783 | ) | | | 13 | |
Match Group, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (255 | ) | | | Monthly | | | | (39,686 | ) | | | (3,099 | ) |
Match Group, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,367 | ) | | | Monthly | | | | (368,396 | ) | | | (23,903 | ) |
MDC Holdings, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,039 | ) | | | Monthly | | | | (60,949 | ) | | | 913 | |
MDC Holdings, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (6,305 | ) | | | Monthly | | | | (369,872 | ) | | | 5,480 | |
MDC Holdings, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (716 | ) | | | Monthly | | | | (42,002 | ) | | | 1,137 | |
Medical Properties Trust, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,293 | ) | | | Monthly | | | | (28,511 | ) | | | 594 | |
Medical Properties Trust, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (15,375 | ) | | | Monthly | | | | (339,037 | ) | | | (2,699 | ) |
Medical Properties Trust, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (855 | ) | | | Monthly | | | | (18,853 | ) | | | (129 | ) |
Metlife, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,187 | ) | | | Monthly | | | | (75,530 | ) | | | (2,055 | ) |
Metlife, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (430 | ) | | | Monthly | | | | (27,362 | ) | | | (349 | ) |
MGIC Investment Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (12,095 | ) | | | Monthly | | | | (184,330 | ) | | | (7,568 | ) |
MGIC Investment Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (38,169 | ) | | | Monthly | | | | (581,722 | ) | | | (38,359 | ) |
MGIC Investment Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (3,599 | ) | | | Monthly | | | | (54,850 | ) | | | (2,631 | ) |
See accompanying Notes to Financial Statements
257
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Short Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Receives Financing Rate | | Expiration Date | | | Counterparty | | Notional Amount | | | Pay Frequency | | | Market Value | | | Unrealized Appreciation (Depreciation) | |
| |
| | | | | | | |
Molson Coors Beverage Co., Class B | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (109 | ) | | | Monthly | | | $ | (5,990 | ) | | $ | (291 | ) |
Molson Coors Beverage Co., Class B | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,221 | ) | | | Monthly | | | | (67,097 | ) | | | (2,895 | ) |
Molson Coors Beverage Co., Class B | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (95 | ) | | | Monthly | | | | (5,221 | ) | | | (191 | ) |
Mondelez International, Inc., Class A | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,485 | ) | | | Monthly | | | | (90,307 | ) | | | (1,875 | ) |
Mondelez International, Inc., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (7,678 | ) | | | Monthly | | | | (468,893 | ) | | | (16,239 | ) |
Mondelez International, Inc., Class A | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,335 | ) | | | Monthly | | | | (81,193 | ) | | | (2,815 | ) |
MSCI, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (73 | ) | | | Monthly | | | | (35,462 | ) | | | (288 | ) |
MSCI, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (125 | ) | | | Monthly | | | | (60,721 | ) | | | (81 | ) |
MSCI, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (48 | ) | | | Monthly | | | | (23,317 | ) | | | 69 | |
Nasdaq, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (336 | ) | | | Monthly | | | | (54,278 | ) | | | (612 | ) |
Nasdaq, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (654 | ) | | | Monthly | | | | (105,651 | ) | | | (2,849 | ) |
Nasdaq, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (60 | ) | | | Monthly | | | | (9,693 | ) | | | (90 | ) |
National Oilwell Varco, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (2,631 | ) | | | Monthly | | | | (39,334 | ) | | | (4,092 | ) |
National Oilwell Varco, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (6,042 | ) | | | Monthly | | | | (90,332 | ) | | | (9,203 | ) |
National Oilwell Varco, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (2,408 | ) | | | Monthly | | | | (36,000 | ) | | | (2,974 | ) |
Navient Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (24,489 | ) | | | Monthly | | | | (412,169 | ) | | | (55,054 | ) |
Navient Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (871 | ) | | | Monthly | | | | (14,659 | ) | | | (1,816 | ) |
NCR Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (3,438 | ) | | | Monthly | | | | (157,291 | ) | | | (16,470 | ) |
NCR Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (5,565 | ) | | | Monthly | | | | (254,613 | ) | | | (35,867 | ) |
Netflix, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (123 | ) | | | Monthly | | | | (63,158 | ) | | | (578 | ) |
Nexstar Media Group, Inc., Class A | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (24 | ) | | | Monthly | | | | (3,538 | ) | | | 17 | |
Nielson Holdings PLC | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (5,898 | ) | | | Monthly | | | | (151,297 | ) | | | (662 | ) |
Northrop Grumman Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (454 | ) | | | Monthly | | | | (160,918 | ) | | | (5,001 | ) |
Northrop Grumman Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,551 | ) | | | Monthly | | | | (549,765 | ) | | | (26,568 | ) |
Northrop Grumman Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (94 | ) | | | Monthly | | | | (33,319 | ) | | | (935 | ) |
NRG Energy, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,690 | ) | | | Monthly | | | | (61,086 | ) | | | 1,220 | |
NRG Energy, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (11,632 | ) | | | Monthly | | | | (420,460 | ) | | | 23,661 | |
NRG Energy, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,414 | ) | | | Monthly | | | | (51,111 | ) | | | 3,121 | |
Nucor Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (814 | ) | | | Monthly | | | | (67,820 | ) | | | (3,210 | ) |
NVDIA Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (252 | ) | | | Monthly | | | | (151,298 | ) | | | (1,406 | ) |
NVDIA Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (302 | ) | | | Monthly | | | | (181,324 | ) | | | (4,901 | ) |
NVDIA Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (99 | ) | | | Monthly | | | | (59,440 | ) | | | 3,733 | |
NVR, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (7 | ) | | | Monthly | | | | (35,127 | ) | | | (1,343 | ) |
NVR, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (19 | ) | | | Monthly | | | | (95,349 | ) | | | (4,695 | ) |
NVR, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (3 | ) | | | Monthly | | | | (15,055 | ) | | | (610 | ) |
Onemain Holdings, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (448 | ) | | | Monthly | | | | (25,478 | ) | | | (1,146 | ) |
Onemain Holdings, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (3,198 | ) | | | Monthly | | | | (181,877 | ) | | | (7,532 | ) |
Onemain Holdings, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,054 | ) | | | Monthly | | | | (59,943 | ) | | | (2,492 | ) |
Oracle Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (694 | ) | | | Monthly | | | | (52,608 | ) | | | 2,151 | |
See accompanying Notes to Financial Statements
258
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Short Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Receives
Financing Rate | | Expiration
Date | | | Counterparty | | Notional
Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized Appreciation (Depreciation) | |
| |
PBF Energy, Inc., Class A | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (84 | ) | | | Monthly | | | $ | (1,191) | | | $ | (13) | |
PG&E Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (7,111 | ) | | | Monthly | | | | (80,500 | ) | | | (754 | ) |
PG&E Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (610 | ) | | | Monthly | | | | (6,905 | ) | | | (94 | ) |
Pioneer Natural Resources Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,566 | ) | | | Monthly | | | | (240,901 | ) | | | (11,827 | ) |
Pioneer Natural Resources Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (3,503 | ) | | | Monthly | | | | (540,344 | ) | | | (17,945 | ) |
Pioneer Natural Resources Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (519 | ) | | | Monthly | | | | (79,841 | ) | | | (839 | ) |
Post Holdings, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (143 | ) | | | Monthly | | | | (16,271 | ) | | | (139 | ) |
Post Holdings, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (406 | ) | | | Monthly | | | | (46,196 | ) | | | (420 | ) |
Post Holdings, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (211 | ) | | | Monthly | | | | (24,008 | ) | | | (754 | ) |
PPG Industries, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (234 | ) | | | Monthly | | | | (40,071 | ) | | | 74 | |
PPG Industries, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (961 | ) | | | Monthly | | | | (164,569 | ) | | | (20,541 | ) |
PPG Industries, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,189 | ) | | | Monthly | | | | (203,612 | ) | | | (20,541 | ) |
Progressive Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (358 | ) | | | Monthly | | | | (36,065 | ) | | | (212 | ) |
Progressive Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (102 | ) | | | Monthly | | | | (10,276 | ) | | | (29 | ) |
Progressive Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (155 | ) | | | Monthly | | | | (15,615 | ) | | | (53 | ) |
Prologis, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,154 | ) | | | Monthly | | | | (134,478 | ) | | | (2,137 | ) |
Prologis, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,068 | ) | | | Monthly | | | | (240,996 | ) | | | (15,837 | ) |
Prologis, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (234 | ) | | | Monthly | | | | (27,269 | ) | | | (977 | ) |
Prudential Financial, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (412 | ) | | | Monthly | | | | (41,349 | ) | | | (1,492 | ) |
Prudential Financial, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,369 | ) | | | Monthly | | | | (237,764 | ) | | | (14,368 | ) |
Prudential Financial, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,739 | ) | | | Monthly | | | | (174,532 | ) | | | (5,081 | ) |
PulteGroup, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (398 | ) | | | Monthly | | | | (23,550 | ) | | | (23 | ) |
PVH Corp. | | U.S. Fed Funds | | | 2/8/2023 | | | JPMorgan Chase | | | (41 | ) | | | Monthly | | | | (4,640 | ) | | | 16 | |
Qorvo, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (495 | ) | | | Monthly | | | | (93,148 | ) | | | 724 | |
Qorvo, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (185 | ) | | | Monthly | | | | (34,812 | ) | | | 101 | |
Quanta Services, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (343 | ) | | | Monthly | | | | (33,337 | ) | | | 124 | |
Radian Group, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,754 | ) | | | Monthly | | | | (43,219 | ) | | | (807 | ) |
Radian Group, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (16,850 | ) | | | Monthly | | | | (415,206 | ) | | | (17,067 | ) |
Raytheon Technologies Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (279 | ) | | | Monthly | | | | (23,224 | ) | | | (1,256 | ) |
Raytheon Technologies Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (3,850 | ) | | | Monthly | | | | (320,491 | ) | | | (22,265 | ) |
Raytheon Technologies Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (708 | ) | | | Monthly | | | | (58,936 | ) | | | (3,671 | ) |
Realty Income Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (751 | ) | | | Monthly | | | | (52,109 | ) | | | (230 | ) |
Realty Income Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (3,909 | ) | | | Monthly | | | | (271,239 | ) | | | (15,014 | ) |
Realty Income Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (974 | ) | | | Monthly | | | | (67,583 | ) | | | (2,072 | ) |
Regeneron Pharmaceuticals, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (142 | ) | | | Monthly | | | | (68,345 | ) | | | 2,020 | |
Regeneron Pharmaceuticals, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (12 | ) | | | Monthly | | | | (5,776 | ) | | | 300 | |
Roper Technologies, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (128 | ) | | | Monthly | | | | (57,145 | ) | | | (1,917 | ) |
Roper Technologies, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (316 | ) | | | Monthly | | | | (141,163 | ) | | | (8,213 | ) |
See accompanying Notes to Financial Statements
259
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Short Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Receives
Financing Rate | | Expiration
Date | | | Counterparty | | Notional
Amount | | | Pay
Frequency | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| |
Roper Technologies, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (134 | ) | | | Monthly | | | $ | (59,824 | ) | | $ | (1,748 | ) |
Royal Caribbean Cruises Ltd. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (583 | ) | | | Monthly | | | | (50,693 | ) | | | (1,616 | ) |
Royal Caribbean Cruises Ltd. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (4,587 | ) | | | Monthly | | | | (398,858 | ) | | | 3,783 | |
Royal Caribbean Cruises Ltd. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (576 | ) | | | Monthly | | | | (50,085 | ) | | | (1,413 | ) |
S&P Global, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (94 | ) | | | Monthly | | | | (36,697 | ) | | | (667 | ) |
S&P Global, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (453 | ) | | | Monthly | | | | (176,855 | ) | | | (9,718 | ) |
S&P Global, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (10 | ) | | | Monthly | | | | (3,904 | ) | | | (119 | ) |
SBA Communications Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (5 | ) | | | Monthly | | | | (1,499 | ) | | | (26 | ) |
SBA Communications Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (194 | ) | | | Monthly | | | | (58,147 | ) | | | (2,534 | ) |
Schlumberger Ltd. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (248 | ) | | | Monthly | | | | (6,714 | ) | | | (234 | ) |
Scotts Miracle-Gro (The) Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (172 | ) | | | Monthly | | | | (39,760 | ) | | | (291 | ) |
Scotts Miracle-Gro (The) Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,344 | ) | | | Monthly | | | | (310,697 | ) | | | 22,498 | |
Scotts Miracle-Gro (The) Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (116 | ) | | | Monthly | | | | (26,816 | ) | | | 495 | |
Seagate Technology PLC | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (757 | ) | | | Monthly | | | | (70,280 | ) | | | (3,981 | ) |
Seagate Technology PLC | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,823 | ) | | | Monthly | | | | (169,253 | ) | | | (16,489 | ) |
Seagate Technology PLC | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,093 | ) | | | Monthly | | | | (101,474 | ) | | | 2,220 | |
Sealed Air Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (4,583 | ) | | | Monthly | | | | (226,404 | ) | | | (5,457 | ) |
Sealed Air Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (4,638 | ) | | | Monthly | | | | (229,128 | ) | | | (16,677 | ) |
Sealed Air Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,397 | ) | | | Monthly | | | | (69,014 | ) | | | (2,573 | ) |
Semiconductor Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (165 | ) | | | Monthly | | | | (6,435 | ) | | | 318 | |
Semiconductor Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,158 | ) | | | Monthly | | | | (84,165 | ) | | | 7,590 | |
Semiconductor Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (278 | ) | | | Monthly | | | | (10,842 | ) | | | 1,169 | |
Sempra Energy | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (881 | ) | | | Monthly | | | | (121,207 | ) | | | (3,441 | ) |
Sensta Technologies Holding PLC | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (266 | ) | | | Monthly | | | | (15,359 | ) | | | 207 | |
Sensta Technologies Holding PLC | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (18 | ) | | | Monthly | | | | (1,039 | ) | | | 9 | |
Sherwin-Williams (The) Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (383 | ) | | | Monthly | | | | (104,894 | ) | | | (1,587 | ) |
Sherwin-Williams (The) Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,342 | ) | | | Monthly | | | | (367,552 | ) | | | (26,376 | ) |
Sherwin-Williams (The) Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (178 | ) | | | Monthly | | | | (48,751 | ) | | | (2,154 | ) |
Simon Property Group, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (428 | ) | | | Monthly | | | | (52,617 | ) | | | (3,615 | ) |
Sirus XM Holdings, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (8,312 | ) | | | Monthly | | | | (50,704 | ) | | | 1,620 | |
Sirus XM Holdings, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (11,149 | ) | | | Monthly | | | | (68,012 | ) | | | 1,659 | |
SLM Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (212 | ) | | | Monthly | | | | (4,168 | ) | | | (208 | ) |
Southern (The) Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (222 | ) | | | Monthly | | | | (14,690 | ) | | | (238 | ) |
Southwest Airlines Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (6,141 | ) | | | Monthly | | | | (385,538 | ) | | | (10,507 | ) |
Southwest Airlines Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (4,449 | ) | | | Monthly | | | | (279,324 | ) | | | 2,205 | |
Southwest Airlines Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (153 | ) | | | Monthly | | | | (9,606 | ) | | | (468 | ) |
Stanley Black & Decker, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (586 | ) | | | Monthly | | | | (121,169 | ) | | | 203 | |
Stanley Black & Decker, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,037 | ) | | | Monthly | | | | (214,432 | ) | | | (7,218 | ) |
See accompanying Notes to Financial Statements
260
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Short Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Receives Financing Rate | | Expiration Date | | | Counterparty | | Notional Amount | | | Pay Frequency | | | Market Value | | | Unrealized Appreciation (Depreciation) | |
| |
Stanley Black & Decker, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (289 | ) | | | Monthly | | | $ | (59,759 | ) | | $ | (1,179 | ) |
Suncor Energy, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (648 | ) | | | Monthly | | | | (13,881 | ) | | | (254 | ) |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (970 | ) | | | Monthly | | | | (33,747 | ) | | | (1,960 | ) |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,837 | ) | | | Monthly | | | | (63,891 | ) | | | (3,625 | ) |
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (452 | ) | | | Monthly | | | | (15,700 | ) | | | 1 | |
TC Energy Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (6,449 | ) | | | Monthly | | | | (323,050 | ) | | | (18,141 | ) |
TC Energy Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (10,523 | ) | | | Monthly | | | | (523,832 | ) | | | (28,228 | ) |
TC Energy Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,882 | ) | | | Monthly | | | | (93,106 | ) | | | (2,921 | ) |
Teck Resources Ltd., Class B | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (659 | ) | | | Monthly | | | | (13,951 | ) | | | 22 | |
Teck Resources Ltd., Class B | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (26,837 | ) | | | Monthly | | | | (568,166 | ) | | | (26,931 | ) |
Teck Resources Ltd., Class B | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (1,275 | ) | | | Monthly | | | | (26,992 | ) | | | 1,289 | |
TEGNA, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (859 | ) | | | Monthly | | | | (17,232 | ) | | | 944 | |
TEGNA, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (4,597 | ) | | | Monthly | | | | (92,223 | ) | | | 2,126 | |
TEGNA, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (10,313 | ) | | | Monthly | | | | (206,887 | ) | | | 9,272 | |
Tenet Healthcare Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (725 | ) | | | Monthly | | | | (42,964 | ) | | | (2,234 | ) |
Tenet Healthcare Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,449 | ) | | | Monthly | | | | (145,139 | ) | | | (19,875 | ) |
Tesla, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (114 | ) | | | Monthly | | | | (80,877 | ) | | | 533 | |
Tesla, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (383 | ) | | | Monthly | | | | (271,729 | ) | | | (8,533 | ) |
Tesla, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (247 | ) | | | Monthly | | | | (175,239 | ) | | | 7,257 | |
Textron, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (260 | ) | | | Monthly | | | | (16,702 | ) | | | (293 | ) |
Textron, Inc. | | U.S. Fed Funds | | | 2/8/2023 | | | JPMorgan Chase | | | (171 | ) | | | Monthly | | | | (10,985 | ) | | | (214 | ) |
Textron, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (91 | ) | | | Monthly | | | | (5,846 | ) | | | (298 | ) |
T-Mobile US, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (410 | ) | | | Monthly | | | | (54,174 | ) | | | (165 | ) |
T-Mobile US, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (3,448 | ) | | | Monthly | | | | (455,598 | ) | | | (6,489 | ) |
TransDigm, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (36 | ) | | | Monthly | | | | (22,095 | ) | | | (186 | ) |
TransDigm, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (693 | ) | | | Monthly | | | | (425,343 | ) | | | 1,266 | |
TransDigm, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (12 | ) | | | Monthly | | | | (7,365 | ) | | | (108 | ) |
Twitter, Inc. | | U.S. Fed Funds | | | 2/8/2023 | | | JPMorgan Chase | | | (62 | ) | | | Monthly | | | | (3,424 | ) | | | 596 | |
Union Pacific Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (659 | ) | | | Monthly | | | | (146,363 | ) | | | 660 | |
United Airlines Holdings, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (4,659 | ) | | | Monthly | | | | (253,462 | ) | | | 20,209 | |
United Rentals North America, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (589 | ) | | | Monthly | | | | (188,453 | ) | | | (5,869 | ) |
United Rentals North America, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,525 | ) | | | Monthly | | | | (487,949 | ) | | | 1,479 | |
United Rentals North America, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (755 | ) | | | Monthly | | | | (241,572 | ) | | | 4,097 | |
United States Steel Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,946 | ) | | | Monthly | | | | (44,778 | ) | | | (1,441 | ) |
See accompanying Notes to Financial Statements
261
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Short Contracts for Difference at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Company | | The Fund Receives Financing Rate | | Expiration Date | | | Counterparty | | Notional Amount | | | Pay Frequency | | | Market Value | | | Unrealized Appreciation (Depreciation) | |
| |
United States Steel Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,196 | ) | | | Monthly | | | $ | (50,538 | ) | | $ | (401 | ) |
United States Steel Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (2,587 | ) | | | Monthly | | | | (59,529 | ) | | | (2,227 | ) |
UnitedHealth Group, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (427 | ) | | | Monthly | | | | (170,290 | ) | | | (968 | ) |
UnitedHealth Group, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (925 | ) | | | Monthly | | | | (368,909 | ) | | | (31,386 | ) |
UnitedHealth Group, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (29 | ) | | | Monthly | | | | (11,566 | ) | | | (143 | ) |
Universal Health Services, Inc., Class B | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (751 | ) | | | Monthly | | | | (111,457 | ) | | | (1,108 | ) |
Universal Health Services, Inc., Class B | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,611 | ) | | | Monthly | | | | (239,099 | ) | | | (14,006 | ) |
Universal Health Services, Inc., Class B | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (995 | ) | | | Monthly | | | | (147,671 | ) | | | (3,259 | ) |
US Foods Holding Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (169 | ) | | | Monthly | | | | (7,007 | ) | | | (379 | ) |
US Foods Holding Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (544 | ) | | | Monthly | | | | (22,555 | ) | | | (1,046 | ) |
US Foods Holding Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (313 | ) | | | Monthly | | | | (12,977 | ) | | | (815 | ) |
Valero Energy Corp. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (891 | ) | | | Monthly | | | | (65,899 | ) | | | (4,884 | ) |
Valero Energy Corp. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (5,796 | ) | | | Monthly | | | | (428,696 | ) | | | (7,599 | ) |
Valero Energy Corp. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (184 | ) | | | Monthly | | | | (13,609 | ) | | | (473 | ) |
Verisk Analytics, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (46 | ) | | | Monthly | | | | (8,657 | ) | | | (49 | ) |
Verisk Analytics, Inc. | | U.S. Fed Funds | | | 2/8/2023 | | | JPMorgan Chase | | | (172 | ) | | | Monthly | | | | (32,370 | ) | | | 20 | |
Verizon Communications, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,280 | ) | | | Monthly | | | | (74,775 | ) | | | (1,456 | ) |
Verizon Communications, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (2,091 | ) | | | Monthly | | | | (122,064 | ) | | | (1,428 | ) |
Verizon Communications, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (599 | ) | | | Monthly | | | | (34,993 | ) | | | (431 | ) |
VICI Properties, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (492 | ) | | | Monthly | | | | (15,597 | ) | | | (546 | ) |
VICI Properties, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (12,144 | ) | | | Monthly | | | | (384,985 | ) | | | (31,235 | ) |
VICI Properties, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (428 | ) | | | Monthly | | | | (13,568 | ) | | | (964 | ) |
Waste Connections, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,182 | ) | | | Monthly | | | | (140,790 | ) | | | (2,461 | ) |
Waste Connections, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (1,849 | ) | | | Monthly | | | | (220,246 | ) | | | (9,211 | ) |
Waste Connections, Inc. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (291 | ) | | | Monthly | | | | (34,662 | ) | | | (988 | ) |
Welltower, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (321 | ) | | | Monthly | | | | (24,086 | ) | | | 131 | |
Weyerhaeuser Co. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (4,582 | ) | | | Monthly | | | | (177,647 | ) | | | (4,005 | ) |
Weyerhaeuser Co. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (10,152 | ) | | | Monthly | | | | (393,606 | ) | | | (6,432 | ) |
Weyerhaeuser Co. | | U.S. Fed Funds + 0.06% | | | 2/27/2023 | | | Goldman Sachs | | | (3,009 | ) | | | Monthly | | | | (116,664 | ) | | | (787 | ) |
Yum Brands, Inc. | | U.S. Fed Funds + 0.05% | | | 1/21/2022 | | | Barclays | | | (1,032 | ) | | | Monthly | | | | (123,349 | ) | | | (1,758 | ) |
Yum Brands, Inc. | | U.S. Fed Funds + 0.18% | | | 2/8/2023 | | | JPMorgan Chase | | | (296 | ) | | | Monthly | | | | (35,381 | ) | | | (520 | ) |
| |
| | | | | | |
Total (Cost $57,704,709) | | | | | | | | | (1,099,201 | ) | | | | | | $ | (59,180,317 | ) | | | $(1,475,608 | ) |
| |
See accompanying Notes to Financial Statements
262
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Interest Rate Swap Contracts outstanding at April 30, 2021:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | | | | | |
Pay Rate Index/ Pay Rate | | Receive Rate Index/ Receive Rate | | Maturity Date | | | | | Notional Amount | | | Market Value | | | Upfront Premiums Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
| |
28-Day MXN-TIIE-BANXICO (Monthly) | | 5.78% (Monthly) | | | 9/9/2026 | | | MXN | | | 26,320,000 | | | $ | (29,431 | ) | | $ | — | | | $ | (29,431 | ) |
28-Day MXN-TIIE-BANXICO (Monthly) | | 6.37% (Monthly) | | | 9/9/2026 | | | MXN | | | 19,890,000 | | | | 2,907 | | | | — | | | | 2,907 | |
28-Day MXN-TIIE-BANXICO (Monthly) | | 6.11% (Monthly) | | | 9/9/2026 | | | MXN | | | 9,910,000 | | | | (4,050 | ) | | | — | | | | (4,050 | ) |
28-Day MXN-TIIE-BANXICO (Monthly) | | 6.26% (Monthly) | | | 9/9/2026 | | | MXN | | | 4,490,000 | | | | (379 | ) | | | — | | | | (379 | ) |
28-Day MXN-TIIE-BANXICO (Monthly) | | 6.38% (Monthly) | | | 9/9/2026 | | | MXN | | | 4,280,000 | | | | 684 | | | | — | | | | 684 | |
(0.19)% (Annually) | | 6M EUR EURIBOR (Semi-Annually) | | | 9/15/2026 | | | EUR | | | 490,000 | | | | (522 | ) | | | — | | | | (522 | ) |
(0.26)% (Annually) | | 6M EUR EURIBOR (Semi-Annually) | | | 9/15/2026 | | | EUR | | | 1,770,000 | | | | 5,414 | | | | 1,040 | | | | 4,374 | |
(0.27)% (Annually) | | 6M EUR EURIBOR (Semi-Annually) | | | 9/15/2026 | | | EUR | | | 790,000 | | | | 3,067 | | | | — | | | | 3,067 | |
(0.28)% (Annually) | | 6M EUR EURIBOR (Semi-Annually) | | | 9/15/2026 | | | EUR | | | 2,020,000 | | | | 9,014 | | | | — | | | | 9,014 | |
0.38% (Annually) | | 3M SEK STBOR (Quarterly) | | | 9/15/2026 | | | SEK | | | 5,600,000 | | | | 1,617 | | | | — | | | | 1,617 | |
0.39% (Annually) | | 3M SEK STBOR (Quarterly) | | | 9/15/2026 | | | SEK | | | 18,780,000 | | | | 4,307 | | | | 38 | | | | 4,269 | |
0.40% (Annually) | | 3M SEK STBOR (Quarterly) | | | 9/15/2026 | | | SEK | | | 20,450,000 | | | | 3,623 | | | | (241 | ) | | | 3,864 | |
0.41% (Annually) | | 3M SEK STBOR (Quarterly) | | | 9/15/2026 | | | SEK | | | 15,720,000 | | | | 2,058 | | | | 85 | | | | 1,973 | |
0.43% (Annually) | | 3M SEK STBOR (Quarterly) | | | 9/15/2026 | | | SEK | | | 11,040,000 | | | | 190 | | | | — | | | | 190 | |
0.48% (Annually) | | 3M SEK STBOR (Quarterly) | | | 9/15/2026 | | | SEK | | | 3,690,000 | | | | (1,148 | ) | | | (42 | ) | | | (1,106 | ) |
0.48% (Annually) | | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | | | 9/15/2026 | | | GBP | | | 1,060,000 | | | | 6,380 | | | | 561 | | | | 5,819 | |
0.51% (Annually) | | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | | | 9/15/2026 | | | GBP | | | 160,000 | | | | 691 | | | | (8 | ) | | | 699 | |
0.52% (Annually) | | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | | | 9/15/2026 | | | GBP | | | 150,000 | | | | 484 | | | | — | | | | 484 | |
0.53% (Annually) | | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | | | 9/15/2026 | | | GBP | | | 1,870,000 | | | | 5,085 | | | | — | | | | 5,085 | |
0.56% (Annually) | | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | | | 9/15/2026 | | | GBP | | | 520,000 | | | | 205 | | | | — | | | | 205 | |
0.57% (Annually) | | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | | | 9/15/2026 | | | GBP | | | 340,000 | | | | (87 | ) | | | — | | | | (87 | ) |
0.57% (Annually) | | 1-Day GBP Sterling Overnight Index Average Rate (Annually) | | | 9/15/2026 | | | GBP | | | 130,000 | | | | 27 | | | | — | | | | 27 | |
0.98% (Semi-Annually) | | 6M ASX BBSW (Semi-Annually) | | | 9/15/2026 | | | AUD | | | 490,000 | | | | 656 | | | | — | | | | 656 | |
0.99% (Semi-Annually) | | 6M ASX BBSW (Semi-Annually) | | | 9/15/2026 | | | AUD | | | 120,000 | | | | 108 | | | | — | | | | 108 | |
1.00% (Semi-Annually) | | 6M ASX BBSW (Semi-Annually) | | | 9/15/2026 | | | AUD | | | 970,000 | | | | 580 | | | | — | | | | 580 | |
1.01% (Semi-Annually) | | 6M ASX BBSW (Semi-Annually) | | | 9/15/2026 | | | AUD | | | 970,000 | | | | 326 | | | | — | | | | 326 | |
1.02% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 9/15/2026 | | | USD | | | 1,070,000 | | | | 3,728 | | | | — | | | | 3,728 | |
See accompanying Notes to Financial Statements
263
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Interest Rate Swap Contracts outstanding at April 30, 2021:
Exchange Traded (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay Rate Index/ Pay Rate | | Receive Rate Index/ Receive Rate | | Maturity Date | | | | | | Notional Amount | | | Market Value | | | Upfront Premiums Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
| |
1.02% (Semi-Annually) | | 6M ASX BBSW (Semi-Annually) | | | 9/15/2026 | | | | AUD | | | | 550,000 | | | | $ (46 | ) | | | $ — | | | | $ (46 | ) |
1.04% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 9/15/2026 | | | | USD | | | | 600,000 | | | | 1,499 | | | | — | | | | 1,499 | |
1.04% (Semi-Annually) | | 6M ASX BBSW (Semi-Annually) | | | 9/15/2026 | | | | AUD | | | | 233,310 | | | | (237 | ) | | | — | | | | (237 | ) |
1.05% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 9/15/2026 | | | | USD | | | | 1,750,000 | | | | 3,261 | | | | — | | | | 3,261 | |
1.07% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 9/15/2026 | | | | USD | | | | 680,000 | | | | 627 | | | | — | | | | 627 | |
1.09% (Semi-Annually) | | 6M ASX BBSW (Semi-Annually) | | | 9/15/2026 | | | | AUD | | | | 233,345 | | | | (627 | ) | | | — | | | | (627 | ) |
1.10% (Semi-Annually) | | 6M ASX BBSW (Semi-Annually) | | | 9/15/2026 | | | | AUD | | | | 720,000 | | | | (2,260 | ) | | | — | | | | (2,260 | ) |
1.11% (Semi-Annually) | | 6M ASX BBSW (Semi-Annually) | | | 9/15/2026 | | | | AUD | | | | 2,023,345 | | | | (7,465 | ) | | | — | | | | (7,465 | ) |
1.16% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 9/15/2026 | | | | USD | | | | 360,000 | | | | (1,211 | ) | | | — | | | | (1,211 | ) |
1.21% (Semi-Annually) | | 3M USD LIBOR (Quarterly) | | | 9/15/2026 | | | | USD | | | | 490,000 | | | | (2,915 | ) | | | — | | | | (2,915 | ) |
3M CAD CIDOR (Semi-Annually) | | 1.61% (Semi-Annually) | | | 9/15/2026 | | | | CAD | | | | 1,970,000 | | | | 6,157 | | | | — | | | | 6,157 | |
3M CAD CIDOR (Semi-Annually) | | 1.52% (Semi-Annually) | | | 9/15/2026 | | | | CAD | | | | 1,580,000 | | | | (631 | ) | | | — | | | | (631 | ) |
3M CAD CIDOR (Semi-Annually) | | 1.55% (Semi-Annually) | | | 9/15/2026 | | | | CAD | | | | 960,000 | | | | 673 | | | | — | | | | 673 | |
3M CAD CIDOR (Semi-Annually) | | 1.53% (Semi-Annually) | | | 9/15/2026 | | | | CAD | | | | 900,000 | | | | (227 | ) | | | — | | | | (227 | ) |
3M CAD CIDOR (Semi-Annually) | | 1.59% (Semi-Annually) | | | 9/15/2026 | | | | CAD | | | | 730,000 | | | | 1,693 | | | | — | | | | 1,693 | |
3M CAD CIDOR (Semi-Annually) | | 1.58% (Semi-Annually) | | | 9/15/2026 | | | | CAD | | | | 650,000 | | | | 1,251 | | | | (533 | ) | | | 1,784 | |
3M CAD CIDOR (Semi-Annually) | | 1.64% (Semi-Annually) | | | 9/15/2026 | | | | CAD | | | | 250,000 | | | | 1,069 | | | | — | | | | 1,069 | |
3M HKD HIBOR (Quarterly) | | 1.23% (Quarterly) | | | 9/15/2026 | | | | HKD | | | | 7,894,500 | | | | 9,140 | | | | — | | | | 9,140 | |
3M HKD HIBOR (Quarterly) | | 1.25% (Quarterly) | | | 9/15/2026 | | | | HKD | | | | 5,955,500 | | | | 7,463 | | | | — | | | | 7,463 | |
3M HKD HIBOR (Quarterly) | | 1.12% (Quarterly) | | | 9/15/2026 | | | | HKD | | | | 2,480,000 | | | | 1,178 | | | | — | | | | 1,178 | |
3M HKD HIBOR (Quarterly) | | 1.13% (Quarterly) | | | 9/15/2026 | | | | HKD | | | | 1,890,000 | | | | 1,012 | | | | — | | | | 1,012 | |
3M HKD HIBOR (Quarterly) | | 1.16% (Quarterly) | | | 9/15/2026 | | | | HKD | | | | 1,760,000 | | | | 1,239 | | | | — | | | | 1,239 | |
3M HKD HIBOR (Quarterly) | | 1.10% (Quarterly) | | | 9/15/2026 | | | | HKD | | | | 300,000 | | | | 90 | | | | — | | | | 90 | |
6.02% (Quarterly) | | 3M ZAR JIBAR (Quarterly) | | | 9/15/2026 | | | | ZAR | | | | 5,890,000 | | | | 4,166 | | | | — | | | | 4,166 | |
6.06% (Quarterly) | | 3M ZAR JIBAR (Quarterly) | | | 9/15/2026 | | | | ZAR | | | | 5,950,000 | | | | 3,495 | | | | — | | | | 3,495 | |
6M PLN WIBOR (Semi-Annually) | | 1.47% (Annually) | | | 9/15/2026 | | | | PLN | | | | 2,830,000 | | | | (4,645 | ) | | | — | | | | (4,645 | ) |
6M PLN WIBOR (Semi-Annually) | | 1.45% (Annually) | | | 9/15/2026 | | | | PLN | | | | 1,500,000 | | | | (2,896 | ) | | | — | | | | (2,896 | ) |
6M PLN WIBOR (Semi-Annually) | | 1.41% (Annually) | | | 9/15/2026 | | | | PLN | | | | 1,480,000 | | | | (3,520 | ) | | | — | | | | (3,520 | ) |
6M PLN WIBOR (Semi-Annually) | | 1.58% (Annually) | | | 9/15/2026 | | | | PLN | | | | 1,450,000 | | | | (297 | ) | | | — | | | | (297 | ) |
See accompanying Notes to Financial Statements
264
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Interest Rate Swap Contracts outstanding at April 30, 2021:
Exchange Traded (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
Pay Rate Index/ Pay Rate | | Receive Rate Index/ Receive Rate | | Maturity Date | | | Notional Amount | | | Market Value | | | Upfront Premiums Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
| |
6M PLN WIBOR (Semi-Annually) | | 1.56% (Annually) | | | 9/15/2026 | | | PLN | | | 1,360,000 | | | $ | (583 | ) | | $ | — | | | $ | (583 | ) |
6M PLN WIBOR (Semi-Annually) | | 1.36% (Annually) | | | 9/15/2026 | | | PLN | | | 1,240,000 | | | | (3,742 | ) | | | — | | | | (3,742 | ) |
6M PLN WIBOR (Semi-Annually) | | 1.39% (Annually) | | | 9/15/2026 | | | PLN | | | 1,210,000 | | | | (3,187 | ) | | | — | | | | (3,187 | ) |
6M PLN WIBOR (Semi-Annually) | | 1.46% (Annually) | | | 9/15/2026 | | | PLN | | | 1,160,000 | | | | (1,973 | ) | | | — | | | | (1,973 | ) |
6M SGD SIBOR (Semi-Annually) | | 1.07% (Semi-Annually) | | | 9/15/2026 | | | SGD | | | 1,300,000 | | | | (6,116 | ) | | | — | | | | (6,116 | ) |
6M SGD SIBOR (Semi-Annually) | | 1.10% (Semi-Annually) | | | 9/15/2026 | | | SGD | | | 880,000 | | | | (3,082 | ) | | | — | | | | (3,082 | ) |
6M SGD SIBOR (Semi-Annually) | | 1.20% (Semi-Annually) | | | 9/15/2026 | | | SGD | | | 865,000 | | | | 26 | | | | — | | | | 26 | |
6M SGD SIBOR (Semi-Annually) | | 1.08% (Semi-Annually) | | | 9/15/2026 | | | SGD | | | 810,000 | | | | (3,511 | ) | | | — | | | | (3,511 | ) |
6M SGD SIBOR (Semi-Annually) | | 1.18% (Semi-Annually) | | | 9/15/2026 | | | SGD | | | 660,000 | | | | (420 | ) | | | — | | | | (420 | ) |
6M SGD SIBOR (Semi-Annually) | | 1.22% (Semi-Annually) | | | 9/15/2026 | | | SGD | | | 610,000 | | | | 571 | | | | — | | | | 571 | |
6M SGD SIBOR (Semi-Annually) | | 1.15% (Semi-Annually) | | | 9/15/2026 | | | SGD | | | 400,000 | | | | (735 | ) | | | — | | | | (735 | ) |
6M SGD SIBOR (Semi-Annually) | | 1.20% (Semi-Annually) | | | 9/15/2026 | | | SGD | | | 370,000 | | | | (30 | ) | | | — | | | | (30 | ) |
6M SGD SIBOR (Semi-Annually) | | 1.06% (Semi-Annually) | | | 9/15/2026 | | | SGD | | | 295,000 | | | | (1,497 | ) | | | — | | | | (1,497 | ) |
6M SGD SIBOR (Semi-Annually) | | 1.11% (Semi-Annually) | | | 9/15/2026 | | | SGD | | | 295,000 | | | | (1,006 | ) | | | — | | | | (1,006 | ) |
6M SGD SIBOR (Semi-Annually) | | 1.26% (Semi-Annually) | | | 9/15/2026 | | | SGD | | | 220,000 | | | | 527 | | | | — | | | | 527 | |
| |
Total | | | | | | | | | | | | | | | $ 7,812 | | | | $ 900 | | | | $ 6,912 | |
| |
Interest Rate Swap Contracts outstanding at April 30, 2021:
Over the Counter
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay Rate Index/ Pay Rate | | Receive Rate Index/ Receive Rate | | Counterparty | | Maturity Date | | | Notional Amount | | | Market
Value | | | Upfront Premiums Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
| |
3M KRW KWCDC (Quarterly) | | 1.58% (Quarterly) | | Citibank | | | 9/15/2026 | | | KRW | | | 998,525,700 | | | $ | (449 | ) | | $ | — | | | $ | (449 | ) |
3M KRW KWCDC (Quarterly) | | 1.58% (Quarterly) | | JPMorgan Chase | | | 9/15/2026 | | | KRW | | | 716,960,000 | | | | (360 | ) | | | — | | | | (360 | ) |
3M KRW KWCDC (Quarterly) | | 1.60% (Quarterly) | | Bank of America | | | 9/15/2026 | | | KRW | | | 612,396,800 | | | | 315 | | | | — | | | | 315 | |
See accompanying Notes to Financial Statements
265
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Interest Rate Swap Contracts outstanding at April 30, 2021:
Over the Counter (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay Rate Index/ Pay Rate | | Receive Rate Index/
Receive Rate | | Counterparty | | Maturity Date | | | Notional
Amount | | | Market
Value | | | Upfront
Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| |
3M KRW KWCDC (Quarterly) | | 1.57% (Quarterly) | | JPMorgan Chase | | | 9/15/2026 | | | KRW | | | 218,017,500 | | | $ | (204 | ) | | | $— | | | $ | (204 | ) |
6M SGD SIBOR (Semi-Annually) | | 1.31% (Semi-Annually) | | JPMorgan Chase | | | 9/15/2026 | | | SGD | | | 1,080,000 | | | | 4,587 | | | | — | | | | 4,587 | |
| |
Total | | | | | | | | | | | | | | | | | $3,889 | | | | $— | | | | $3,889 | |
| |
See accompanying Notes to Financial Statements
266
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Valuation Hierarchy
The following is a summary of the inputs used, as of April 30, 2021, in valuing the Fund’s investments carried at fair value:
| | | | | | | | | | | | | | | | |
| |
| Morningstar Alternatives Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| |
Investments | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 27,613,379 | | | $ | — | | | $ | 27,613,379 | |
Common Stocks | | | 70,851,261 | | | | 9,923,750 | | | | — | | | | 80,775,011 | |
Convertible Bonds | | | — | | | | 78,632,409 | | | | 107,845 | | | | 78,740,254 | |
Convertible Preferred Stocks | | | 3,684,567 | | | | 2,795,912 | | | | — | | | | 6,480,479 | |
Corporate Bonds | | | — | | | | 46,250,081 | | | | — | | | | 46,250,081 | |
Foreign Issuer Bonds | | | — | | | | 7,008,255 | | | | — | | | | 7,008,255 | |
Mortgage-Backed Securities | | | — | | | | 41,104,179 | | | | — | | | | 41,104,179 | |
Preferred Stocks | | | 1,226,094 | | | | — | | | | — | | | | 1,226,094 | |
Rights | | | — | | | | —* | | | | 54,544 | | | | 54,544 | |
Warrants | | | — | | | | — | | | | 19,992 | | | | 19,992 | |
Investment Companies | | | 2,359,351 | | | | — | | | | — | | | | 2,359,351 | |
Short-Term Investments | | | 59,561,801 | | | | — | | | | — | | | | 59,561,801 | |
Purchased Options | | | 136,549 | | | | — | | | | — | | | | 136,549 | |
| |
Total Assets – Investments at value | | $ | 137,819,623 | | | $ | 213,327,965 | | | $ | 182,381 | | | $ | 351,329,969 | |
| |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Common Stocks | | $ | (57,914,033 | ) | | $ | — | | | $ | — | | | $ | (57,914,033 | ) |
Mortgage-Backed Securities | | | — | | | | (2,810,944 | ) | | | — | | | | (2,810,944 | ) |
Investment Companies | | | (228,377 | ) | | | — | | | | — | | | | (228,377 | ) |
| |
Total Liabilities – Investments at value | | $ | (58,142,410 | ) | | $ | (2,810,944 | ) | | $ | — | | | $ | (60,953,354 | ) |
| |
Net Investments | | $ | 79,677,213 | | | $ | 210,517,021 | | | $ | 182,381 | | | $ | 290,376,615 | |
| |
| | | | |
*Amount rounds to less than one dollar. | | | | | | | | | | | | | | | | |
| |
| Morningstar Alternatives Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Totals | |
| |
| | | | |
Derivative Financial Instruments | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 274,806 | | | $ | — | | | | $— | | | $ | 274,806 | |
Forward Foreign Currency Exchange Contracts | | | — | | | | 72,017 | | | | — | | | | 72,017 | |
Contracts for Difference at Fair Value | | | — | | | | 60,370,194 | | | | — | | | | 60,370,194 | |
Swap Agreements at Fair Value | | | — | | | | 101,190 | | | | — | | | | 101,190 | |
| |
| | | | |
Total Assets - Derivative Financial Instruments | | $ | 274,806 | | | $ | 60,543,401 | | | | $— | | | $ | 60,818,207 | |
| |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (86,704 | ) | | $ | — | | | | $— | | | $ | (86,704 | ) |
Forward Foreign Currency Exchange Contracts | | | — | | | | (68,025 | ) | | | — | | | | (68,025 | ) |
Written Options at Fair Value | | | (182,065 | ) | | | — | | | | — | | | | (182,065 | ) |
Contracts for Difference at Fair Value | | | — | | | | (59,180,317 | ) | | | — | | | | (59,180,317 | ) |
Swap Agreements at Fair Value | | | — | | | | (89,489 | ) | | | — | | | | (89,489 | ) |
| |
Total Liabilities - Derivative Financial Instruments | | $ | (268,769 | ) | | $ | (59,337,831 | ) | | | $— | | | $ | (59,606,600 | ) |
| |
Net Derivative Financial Instruments | | $ | 6,037 | | | $ | 1,205,570 | | | | $— | | | $ | 1,211,607 | |
| |
See accompanying Notes to Financial Statements
267
Morningstar Funds Trust April 30, 2021
Schedule of Investments (continued)
Morningstar Alternatives Fund
Investments classified within Level 3 of the fair value hierarchy are valued by Morningstar Investment Management LLC (“MIM”) in good faith under procedures adopted by authority of the Fund’s Board of Trustees. MIM employs various methods to determine fair valuations including regular review of key inputs and assumptions, and review of related market activity, if any. However, there are generally no observable trade activities in these securities. MIM reports to the Board of Trustees at their regularly scheduled quarterly meetings, or more often if warranted. The report includes a summary of the results of the process, the key inputs and assumptions noted, and any changes to the inputs and assumptions used. When appropriate, MIM will recommend changes to the procedures and process employed. The value determined for an investment using the fair value procedures may differ significantly from the value realized upon the sale of such investment.
See accompanying Notes to Financial Statements
268
Morningstar Funds Trust April 30, 2021
Statements of Assets and Liabilities
| | | | | | | | | | | | | | | | | | | | |
| | | Morningstar U.S. Equity Fund | | | Morningstar International Equity Fund | | | Morningstar Global Income Fund | | | Morningstar Total Return Bond Fund | | | Morningstar Municipal Bond Fund | |
| |
| | | | | |
Assets | | | | | | | | | | | | | | | | | | | | |
Investments in non-affiliates, at value | | $ | 1,700,476,708 | | | $ | 1,074,187,742 | | | $ | 272,038,132 | | | $ | 932,879,192 | | | $ | 420,547,061 | |
Foreign currencies, at value | | | 2,448 | | | | 527,285 | | | | 51,654 | | | | 438,549 | | | | — | |
Due from broker | | | — | | | | — | | | | — | | | | 11,940,795 | | | | — | |
Receivable from Adviser | | | 100,404 | | | | 184,459 | | | | 8,429 | | | | 174,655 | | | | 26,835 | |
Receivable for: | | | | | | | | | | | | | | | | | | | | |
Dividends and interest | | | 635,066 | | | | 1,489,238 | | | | 558,355 | | | | 3,492,299 | | | | 4,188,698 | |
Foreign tax reclaims | | | 95,017 | | | | 449,982 | | | | 212,741 | | | | 7,748 | | | | — | |
Investments sold | | | 16,041,387 | | | | 1,330,250 | | | | 476,241 | | | | 107,010,839 | | | | — | |
Fund shares sold | | | 683,890 | | | | 477,169 | | | | 204,499 | | | | 1,054,383 | | | | 216,482 | |
Variation margin on futures contracts | | | — | | | | — | | | | — | | | | 156,059 | | | | — | |
Variation margin on exchange traded swap agreements | | | — | | | | — | | | | — | | | | 26,990 | | | | — | |
Unrealized appreciation on OTC swap agreements | | | — | | | | — | | | | — | | | | 56,248 | | | | — | |
Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | 118,885 | | | | — | | | | 201,143 | | | | — | |
Upfront premiums paid on swap agreements | | | — | | | | — | | | | — | | | | 3,020,567 | | | | — | |
Prepaid expenses and other assets | | | 19,947 | | | | 16,416 | | | | 8,691 | | | | 11,728 | | | | 10,938 | |
| |
| | | | | |
Total assets | | | 1,718,054,867 | | | | 1,078,781,426 | | | | 273,558,742 | | | | 1,060,471,195 | | | | 424,990,014 | |
| |
| | | | | |
Liabilities | | | | | | | | | | | | | | | | | | | | |
Investments sold short, at value | | | — | | | | — | | | | — | | | | 22,847,829 | | | | — | |
Written options, at value | | | — | | | | — | | | | — | | | | 1,733,849 | | | | — | |
Due to broker | | | — | | | | — | | | | — | | | | 7,102,286 | | | | — | |
Unrealized depreciation on OTC swap agreements | | | — | | | | — | | | | — | | | | 44,928 | | | | — | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 183,990 | | | | — | |
Payable for: | | | | | | | | | | | | | | | | | | | | |
Investments purchased on a delayed-delivery basis | | | — | | | | 437,996 | | | | — | | | | 193,493,190 | | | | 7,038,345 | |
Investments purchased | | | 12,398,394 | | | | 1,585,574 | | | | 709,417 | | | | 326,874 | | | | 208,295 | |
Variation margin on futures contracts | | | — | | | | — | | | | — | | | | 46,760 | | | | — | |
Variation margin on exchange traded swap agreements | | | — | | | | — | | | | — | | | | 80,389 | | | | — | |
Fund shares redeemed | | | 1,585,777 | | | | 854,370 | | | | 210,697 | | | | 779,034 | | | | 289,229 | |
Distributions | | | — | | | | — | | | | 1,790 | | | | 7,251 | | | | — | |
Dividends on short sales | | | — | | | | — | | | | — | | | | 62,229 | | | | — | |
Deferred capital gains tax | | | — | | | | 600,042 | | | | — | | | | — | | | | — | |
See accompanying Notes to Financial Statements
269
Morningstar Funds Trust April 30, 2021
Statements of Assets and Liabilities (continued)
| | | | | | | | | | | | | | | | | | | | |
| | | Morningstar U.S. Equity Fund | | | Morningstar International Equity Fund | | | Morningstar Global Income Fund | | | Morningstar Total Return Bond Fund | | | Morningstar Municipal Bond Fund | |
| |
| | | | | |
Upfront premiums received from swap agreements | | | — | | | | — | | | | — | | | | 168,610 | | | | — | |
Accrued management fees | | | 931,951 | | | | 742,250 | | | | 77,238 | | | | 296,908 | | | | 150,819 | |
Accrued trustee fees | | | 17,172 | | | | 11,252 | | | | 2,688 | | | | 8,442 | | | | 4,317 | |
Accrued expenses | | | 390,037 | | | | 367,566 | | | | 124,871 | | | | 369,658 | | | | 129,696 | |
| |
| | | | | |
Total liabilities | | | 15,323,331 | | | | 4,599,050 | | | | 1,126,701 | | | | 227,552,227 | | | | 7,820,701 | |
| |
| | | | | |
Net assets | | $ | 1,702,731,536 | | | $ | 1,074,182,376 | | | $ | 272,432,041 | | | $ | 832,918,968 | | | $ | 417,169,313 | |
| |
| | | | | |
Analysis of net assets: | | | | | | | | | | | | | | | | | | | | |
Paid in capital | | $ | 1,186,190,830 | | | $ | 824,640,889 | | | $ | 235,182,915 | | | $ | 830,807,440 | | | $ | 405,162,699 | |
Distributable earnings (loss) | | | 516,540,706 | | | | 249,541,487 | | | | 37,249,126 | | | | 2,111,528 | | | | 12,006,614 | |
| |
| | | | | |
Net assets | | $ | 1,702,731,536 | | | $ | 1,074,182,376 | | | $ | 272,432,041 | | | $ | 832,918,968 | | | $ | 417,169,313 | |
| |
| | | | | |
Shares outstanding: | | | 123,921,509 | | | | 84,418,112 | | | | 23,445,539 | | | | 77,939,715 | | | | 38,801,873 | |
Net asset value, offering price and redemption price per share: | | $ | 13.74 | | | $ | 12.72 | | | $ | 11.62 | | | $ | 10.69 | | | $ | 10.75 | |
| |
| | | | | |
Investments in non-affiliates, at cost | | $ | 1,278,943,443 | | | $ | 843,236,415 | | | $ | 238,723,266 | | | $ | 932,267,264 | | | $ | 408,652,021 | |
Foreign currencies, at cost | | $ | 2,236 | | | $ | 526,099 | | | $ | 51,650 | | | $ | 443,740 | | | $ | — | |
Investments sold short proceeds | | $ | — | | | $ | — | | | $ | — | | | $ | 23,314,771 | | | $ | — | |
Written option premiums | | $ | — | | | $ | — | | | $ | — | | | $ | 1,417,746 | | | $ | — | |
See accompanying Notes to Financial Statements
270
Morningstar Funds Trust April 30, 2021
Statements of Assets and Liabilities (continued)
| | | | | | | | | | | | | | |
| | | Morningstar Defensive Bond Fund | | | Morningstar Multisector Bond Fund | | | Morningstar Unconstrained Allocation Fund | | | Morningstar Alternatives Fund |
| | | | |
Assets | | | | | | | | | | | | | | |
Investments in non-affiliates, at value | | $ | 203,026,177 | | | $ | 235,570,510 | | | $ | 210,672,900 | | | $351,329,969 |
Cash | | | — | | | | — | | | | — | | | 51,083,591 |
Foreign currencies, at value | | | — | | | | 621,279 | | | | 190,792 | | | 847,924 |
Due from broker | | | — | | | | 574,802 | | | | 94,839 | | | 10,169,431 |
Receivable from Adviser | | | 29,521 | | | | 32,154 | | | | 11,167 | | | 298,211 |
Receivable for: | | | | | | | | | | | | | | |
Dividends and interest | | | 261,886 | | | | 2,847,628 | | | | 270,575 | | | 1,112,004 |
Foreign tax reclaims | | | — | | | | 49,576 | | | | 6,559 | | | 2,338 |
Investments sold | | | — | | | | 1,688,284 | | | | 22,620 | | | 24,598,799 |
Fund shares sold | | | 334,733 | | | | 330,612 | | | | 113,444 | | | 185,081 |
Variation margin on futures contracts | | | — | | | | — | | | | — | | | 17,348 |
Variation margin on exchange traded swap agreements | | | — | | | | — | | | | — | | | 10,602 |
Unrealized appreciation on OTC swap agreements | | | — | | | | — | | | | — | | | 2,015,938 |
Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | 456,698 | | | | 229,170 | | | 72,017 |
Upfront premiums paid on swap agreements | | | — | | | | 76,277 | | | | — | | | 1,724 |
Prepaid expenses and other assets | | | 6,254 | | | | 8,766 | | | | 8,779 | | | 7,244 |
| | | | |
Total assets | | | 203,658,571 | | | | 242,256,586 | | | | 211,620,845 | | | 441,752,221 |
| | | | |
Liabilities | | | | | | | | | | | | | | |
Investments sold short, at value | | | — | | | | — | | | | — | | | 60,953,354 |
Written options, at value | | | — | | | | — | | | | — | | | 182,065 |
Due to broker | | | — | | | | 280,000 | | | | 70,000 | | | 845,601 |
Unrealized depreciation on OTC swap agreements | | | — | | | | 29,997 | | | | — | | | 2,407,577 |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | 686,020 | | | | 199,783 | | | 68,025 |
Payable for: | | | | | | | | | | | | | | |
Investments purchased on a delayed-delivery basis | | | 1,144,977 | | | | 434,994 | | | | — | | | 44,847,928 |
Investments purchased | | | 1,449,910 | | | | 3,258,923 | | | | 286,881 | | | 3,451,694 |
Variation margin on futures contracts | | | — | | | | — | | | | 2,813 | | | 79,701 |
Variation margin on exchange traded swap agreements | | | — | | | | — | | | | — | | | 23,545 |
Fund shares redeemed | | | 383,671 | | | | 155,760 | | | | 166,323 | | | 332,247 |
Distributions | | | 3,461 | | | | — | | | | — | | | — |
Dividends on short sales | | | — | | | | — | | | | — | | | 20,929 |
Upfront premiums received from swap agreements | | | — | | | | — | | | | — | | | 824 |
Accrued management fees | | | 60,657 | | | | 123,129 | | | | 81,299 | | | 217,305 |
Accrued trustee fees | | | 2,157 | | | | 2,564 | | | | 2,149 | | | 3,088 |
Accrued expenses | | | 84,896 | | | | 142,914 | | | | 85,084 | | | 547,312 |
| | | | |
Total liabilities | | | 3,129,729 | | | | 5,114,301 | | | | 894,332 | | | 113,981,195 |
| | | | |
Net assets | | $ | 200,528,842 | | | $ | 237,142,285 | | | $ | 210,726,513 | | | $327,771,026 |
| | | | |
Analysis of net assets: | | | | | | | | | | | | | | |
Paid in capital | | $ | 197,482,569 | | | $ | 231,135,110 | | | $ | 163,961,890 | | | $316,688,650 |
Distributable earnings (loss) | | | 3,046,273 | | | | 6,007,175 | | | | 46,764,623 | | | 11,082,376 |
| | | | |
Net assets | | $ | 200,528,842 | | | $ | 237,142,285 | | | $ | 210,726,513 | | | $327,771,026 |
| | | | |
Shares outstanding: | | | 19,588,661 | | | | 22,544,463 | | | | 17,440,173 | | | 30,614,193 |
See accompanying Notes to Financial Statements
271
Morningstar Funds Trust April 30, 2021
Statements of Assets and Liabilities (continued)
| | | | | | | | | | | | | | |
| | | Morningstar Defensive Bond Fund | | | Morningstar Multisector Bond Fund | | | Morningstar Unconstrained Allocation Fund | | | Morningstar Alternatives Fund |
Net asset value, offering price and redemption price per share: | | $ | 10.24 | | | $ | 10.52 | | | $ | 12.08 | | | $ 10.71 |
Investments in non-affiliates, at cost | | $ | 201,541,005 | | | $ | 230,592,924 | | | $ | 172,021,520 | | | $334,107,620 |
Foreign currencies, at cost | | $ | — | | | $ | 620,907 | | | $ | 191,356 | | | $ 843,637 |
Investments sold short proceeds | | $ | — | | | $ | — | | | $ | — | | | $ 51,909,548 |
Written option premiums | | $ | — | | | $ | — | | | $ | — | | | $ 247,965 |
See accompanying Notes to Financial Statements
272
Morningstar Funds Trust April 30, 2021
Statements of Operations
| | | | | | | | | | | | | | | | | | | | |
| | | Morningstar U.S. Equity Fund | | | Morningstar International Equity Fund | | | Morningstar Global Income Fund | | | Morningstar Total Return Bond Fund | | | Morningstar Municipal Bond Fund | |
| | | | | |
Investment income | | | | | | | | | | | | | | | | | | | | |
Dividend income from non-affiliates (net of foreign withholding taxes) | | $ | 27,877,825 | | | $ | 18,272,413 | | | $ | 9,768,284 | | | $ | 365,517 | | | $ | 232,906 | |
Interest income (net of foreign withholding taxes) | | | 1,757 | | | | — | | | | 205,617 | | | | 12,100,638 | | | | 9,172,488 | |
| |
| | | | | |
Total investment income | | | 27,879,582 | | | | 18,272,413 | | | | 9,973,901 | | | | 12,466,155 | | | | 9,405,394 | |
| |
| | | | | |
Expenses | | | | | | | | | | | | | | | | | | | | |
Management fees (Note 5) | | | 9,317,813 | | | | 7,657,665 | | | | 895,088 | | | | 2,830,222 | | | | 1,611,536 | |
Administration and custody fees | | | 722,395 | | | | 748,866 | | | | 167,746 | | | | 806,950 | | | | 193,177 | |
Transfer agent fees | | | 7,464 | | | | 7,216 | | | | 7,213 | | | | 7,224 | | | | 7,187 | |
Sub-accounting fees | | | 1,355,040 | | | | 900,511 | | | | 251,477 | | | | 614,346 | | | | 365,709 | |
Audit and tax fees | | | 63,288 | | | | 119,696 | | | | 80,648 | | | | 44,912 | | | | 44,900 | |
Legal fees | | | 176,596 | | | | 117,117 | | | | 32,833 | | | | 80,727 | | | | 46,885 | |
Trustees’ fees | | | 198,154 | | | | 132,509 | | | | 38,213 | | | | 91,808 | | | | 51,613 | |
Registration and filing fees | | | 72,177 | | | | 58,523 | | | | 33,804 | | | | 83,960 | | | | 42,400 | |
Printing and postage fees | | | 102,527 | | | | 108,307 | | | | 43,584 | | | | 61,908 | | | | 27,764 | |
Dividend and interest on securities sold short | | | — | | | | — | | | | — | | | | 33,648 | | | | — | |
Other expenses | | | 116,608 | | | | 80,107 | | | | 29,332 | | | | 90,367 | | | | 39,465 | |
| |
| | | | | |
Total expenses | | | 12,132,062 | | | | 9,930,517 | | | | 1,579,938 | | | | 4,746,072 | | | | 2,430,636 | |
| |
| | | | | |
Less waiver of management fees (Note 5) | | | (909,071 | ) | | | (1,674,908 | ) | | | (9,704 | ) | | | (1,354,802 | ) | | | (299,386 | ) |
| |
| | | | | |
Net expenses | | | 11,222,991 | | | | 8,255,609 | | | | 1,570,234 | | | | 3,391,270 | | | | 2,131,250 | |
| |
| | | | | |
Net investment income | | | 16,656,591 | | | | 10,016,804 | | | | 8,403,667 | | | | 9,074,885 | | | | 7,274,144 | |
| |
| | | | | |
Realized and unrealized gains (losses) | | | | | | | | | | | | | | | | | | | | |
Net realized gains (losses) on: | | | | | | | | | | | | | | | | | | | | |
Investments | | | 135,110,156 | | | | 41,442,215 | | | | 5,395,324 | | | | 11,403,285 | | | | 1,078,614 | |
Investments sold short | | | — | | | | — | | | | — | | | | (316,021 | ) | | | — | |
Swap agreements | | | — | | | | — | | | | — | | | | (2,246,413 | ) | | | — | |
Futures contracts | | | — | | | | — | | | | — | | | | (3,767,928 | ) | | | — | |
Written options contracts | | | — | | | | — | | | | — | | | | 2,071,862 | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | (198,545 | ) | | | — | | | | (232,684 | ) | | | — | |
Foreign currency transactions | | | (6,402 | ) | | | (9,572 | ) | | | (40,500 | ) | | | 376,748 | | | | — | |
| |
| | | | | |
Net realized gains | | | 135,103,754 | | | | 41,234,098 | | | | 5,354,824 | | | | 7,288,849 | | | | 1,078,614 | |
| |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | | | | | |
Investments | | | 428,733,509 | | | | 308,515,230 | 1 | | | 44,949,496 | 1 | | | (9,736,726 | ) | | | 19,775,057 | |
Investments sold short | | | — | | | | — | | | | — | | | | 565,299 | | | | — | |
Swap agreements | | | — | | | | — | | | | — | | | | 6,483,183 | | | | — | |
Futures contracts | | | — | | | | — | | | | — | | | | (481,480 | ) | | | — | |
Written options contracts | | | — | | | | — | | | | — | | | | (523,941 | ) | | | — | |
Forward foreign currency exchange contracts | | | — | | | | 132,198 | | | | — | | | | (243,536 | ) | | | — | |
See accompanying Notes to Financial Statements
273
Morningstar Funds Trust April 30, 2021
Statements of Operations (continued)
| | | | | | | | | | | | | | | | | | | | |
| | | Morningstar U.S. Equity Fund | | | Morningstar International Equity Fund | | | Morningstar Global Income Fund | | | Morningstar Total Return Bond Fund | | | Morningstar Municipal Bond Fund | |
| |
| | | | | |
Foreign currency transactions | | | 2,864 | | | | 2,888 | | | | 6,828 | | | | 731 | | | | — | |
| |
| | | | | |
Net change in unrealized appreciation (depreciation) | | | 428,736,373 | | | | 308,650,316 | | | | 44,956,324 | | | | (3,936,470 | ) | | | 19,775,057 | |
| |
| | | | | |
Net realized and unrealized gains | | | 563,840,127 | | | | 349,884,414 | | | | 50,311,148 | | | | 3,352,379 | | | | 20,853,671 | |
| |
| | | | | |
Net increase in net assets resulting from operations | | $ | 580,496,718 | | | $ | 359,901,218 | | | $ | 58,714,815 | | | $ | 12,427,264 | | | $ | 28,127,815 | |
| |
| | | | | |
Foreign withholding taxes on dividend income | | $ | 75,034 | | | $ | 1,631,301 | | | $ | 421,840 | | | $ | — | | | $ | — | |
Foreign withholding taxes on interest income | | $ | — | | | $ | — | | | $ | — | | | $ | 41,681 | | | $ | — | |
1 Net of change in deferred foreign capital gains tax expense of $(600,042) and $12,184, respectively.
See accompanying Notes to Financial Statements
274
Morningstar Funds Trust April 30, 2021
Statements of Operations (continued)
| | | | | | | | | | | | | | | | |
| | | Morningstar Defensive Bond Fund | | | Morningstar Multisector Bond Fund | | | Morningstar Unconstrained Allocation Fund | | | Morningstar Alternatives Fund | |
| |
| | | | |
Investment income | | | | | | | | | | | | | | | | |
Dividend income from non-affiliates (net of foreign withholding taxes) | | $ | 700,912 | | | $ | 240,445 | | | $ | 2,775,803 | | | $ | 1,573,696 | |
Interest income (net of foreign withholding taxes) | | | 4,217,260 | | | | 12,500,773 | | | | 754,854 | | | | 4,145,977 | |
| |
Total investment income | | | 4,918,172 | | | | 12,741,218 | | | | 3,530,657 | | | | 5,719,673 | |
| |
| | | | |
Expenses | | | | | | | | | | | | | | | | |
Management fees (Note 5) | | | 735,638 | | | | 1,522,059 | | | | 820,993 | | | | 2,026,226 | |
Administration and custody fees | | | 156,083 | | | | 238,995 | | | | 163,333 | | | | 1,145,358 | |
Transfer agent fees | | | 7,231 | | | | 7,235 | | | | 7,212 | | | | 7,232 | |
Sub-accounting fees | | | 196,760 | | | | 242,223 | | | | 175,819 | | | | 230,384 | |
Audit and tax fees | | | 44,410 | | | | 79,472 | | | | 41,953 | | | | 49,217 | |
Legal fees | | | 25,646 | | | | 32,623 | | | | 21,243 | | | | 29,415 | |
Trustees’ fees | | | 29,294 | | | | 37,956 | | | | 23,053 | | | | 33,236 | |
Registration and filing fees | | | 40,779 | | | | 34,337 | | | | 37,538 | | | | 51,135 | |
Printing and postage fees | | | 52,501 | | | | 50,538 | | | | 51,206 | | | | 58,543 | |
Dividend and interest on securities sold short | | | — | | | | — | | | | — | | | | 339,229 | |
Other expenses | | | 25,964 | | | | 29,438 | | | | 22,701 | | | | 30,476 | |
| |
Total expenses | | | 1,314,306 | | | | 2,274,876 | | | | 1,365,051 | | | | 4,000,451 | |
| |
Less waiver of management fees (Note 5) | | | (333,457 | ) | | | (309,824 | ) | | | (80,963 | ) | | | (995,066 | ) |
| |
Net expenses | | | 980,849 | | | | 1,965,052 | | | | 1,284,088 | | | | 3,005,385 | |
| |
Net investment income | | | 3,937,323 | | | | 10,776,166 | | | | 2,246,569 | | | | 2,714,288 | |
| |
| | | | |
Realized and unrealized gains (losses) | | | | | | | | | | | | | | | | |
Net realized gains (losses) on: | | | | | | | | | | | | | | | | |
Investments | | | 2,618,338 | | | | 5,683,809 | | | | 10,615,657 | | | | 23,223,418 | |
Investments sold short | | | — | | | | — | | | | — | | | | (17,238,828 | ) |
Swap agreements | | | — | | | | 128,081 | �� | | | — | | | | (1,439,400 | ) |
Futures contracts | | | — | | | | — | | | | 663,882 | | | | (168,895 | ) |
Written options contracts | | | — | | | | — | | | | — | | | | 1,330,964 | |
Forward foreign currency exchange contracts | | | — | | | | (1,870,265 | ) | | | 663,166 | | | | (412,331 | ) |
Foreign currency transactions | | | — | | | | (79,314 | ) | | | 62,892 | | | | 3,511 | |
| |
Net realized gains | | | 2,618,338 | | | | 3,862,311 | | | | 12,005,597 | | | | 5,298,439 | |
| |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | 373,772 | | | | 21,080,512 | | | | 36,011,846 | | | | 21,016,227 | |
Investments sold short | | | — | | | | — | | | | — | | | | (9,127,021 | ) |
Swap agreements | | | — | | | | (41,343 | ) | | | — | | | | (384,727 | ) |
Futures contracts | | | — | | | | — | | | | (28,823 | ) | | | 188,102 | |
Written options contracts | | | — | | | | — | | | | — | | | | 61,949 | |
Forward foreign currency exchange contracts | | | — | | | | (1,714,270 | ) | | | (2,531 | ) | | | (126,108 | ) |
Foreign currency transactions | | | — | | | | 71,077 | | | | 7,896 | | | | 6,022 | |
| |
Net change in unrealized appreciation (depreciation) | | | 373,772 | | | | 19,395,976 | | | | 35,988,388 | | | | 11,634,444 | |
| |
Net realized and unrealized gains | | | 2,992,110 | | | | 23,258,287 | | | | 47,993,985 | | | | 16,932,883 | |
| |
Net increase in net assets resulting from operations | | $ | 6,929,433 | | | $ | 34,034,453 | | | $ | 50,240,554 | | | $ | 19,647,171 | |
| |
Foreign withholding taxes on dividend income | | $ | — | | | $ | — | | | $ | 24,791 | | | $ | 6,620 | |
Foreign withholding taxes on interest income | | $ | 1,705 | | | $ | 164,129 | | | $ | 13,245 | | | $ | — | |
See accompanying Notes to Financial Statements
275
Morningstar Funds Trust April 30, 2021
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | Morningstar U.S. Equity Fund | | | Morningstar International Equity Fund | |
| | | | |
| | | Year Ended April 30, 2021 | | | Year Ended April 30, 2020 | | | Year Ended April 30, 2021 | | | Year Ended April 30, 2020 | |
| |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 16,656,591 | | | $ | 10,046,092 | | | $ | 10,016,804 | | | $ | 11,623,211 | |
Net realized gains (losses) | | | 135,103,754 | | | | (21,652,852 | ) | | | 41,234,098 | | | | (1,755,597 | ) |
Net change in unrealized appreciation (depreciation) | | | 428,736,373 | | | | (49,639,266 | ) | | | 308,650,316 | | | | (103,421,605 | ) |
| |
Net increase (decrease) in net assets resulting from operations | | | 580,496,718 | | | | (61,246,026 | ) | | | 359,901,218 | | | | (93,553,991 | ) |
| |
Distributions paid from: | | | | | | | | | | | | | | | | |
Distributable earnings | | | (30,041,957 | ) | | | (18,634,524 | ) | | | (26,103,149 | ) | | | (17,321,023 | ) |
| |
Total distributions paid | | | (30,041,957 | ) | | | (18,634,524 | ) | | | (26,103,149 | ) | | | (17,321,023 | ) |
| |
Capital share transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 481,776,207 | | | | 794,376,814 | | | | 328,847,006 | | | | 550,873,414 | |
Reinvestment of dividends | | | 29,964,205 | | | | 18,624,492 | | | | 26,036,922 | | | | 17,311,550 | |
Payments for shares redeemed | | | (538,830,029 | ) | | | (231,681,035 | ) | | | (378,898,826 | ) | | | (161,539,278 | ) |
| |
Net increase (decrease) in net assets from capital share transactions | | | (27,089,617 | ) | | | 581,320,271 | | | | (24,014,898 | ) | | | 406,645,686 | |
| |
Total increase (decrease) in net assets | | | 523,365,144 | | | | 501,439,721 | | | | 309,783,171 | | | | 295,770,672 | |
| |
Net assets: | | | | | | | | | | | | | | | | |
Beginning of year | | | 1,179,366,392 | | | | 677,926,671 | | | | 764,399,205 | | | | 468,628,533 | |
| |
End of year | | $ | 1,702,731,536 | | | $ | 1,179,366,392 | | | $ | 1,074,182,376 | | | $ | 764,399,205 | |
| |
Capital share transactions | | | | | | | | | | | | | | | | |
Shares sold | | | 42,040,625 | | | | 85,340,677 | | | | 29,632,519 | | | | 58,658,336 | |
Shares from reinvested dividends | | | 2,511,783 | | | | 1,684,010 | | | | 2,177,756 | | | | 1,537,824 | |
Shares redeemed | | | (47,916,071 | ) | | | (23,209,115 | ) | | | (34,631,486 | ) | | | (16,399,510 | ) |
| |
Net increase (decrease) | | | (3,363,663 | ) | | | 63,815,572 | | | | (2,821,211 | ) | | | 43,796,650 | |
| |
See accompanying Notes to Financial Statements
276
Morningstar Funds Trust April 30, 2021
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | |
| | | Morningstar Global Income Fund | | | Morningstar Total Return Bond Fund | |
| | | | |
| | | Year Ended April 30, 2021 | | | Year Ended April 30, 2020 | | | Year Ended April 30, 2021 | | | Year Ended April 30, 2020 | |
| |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 8,403,667 | | | $ | 7,345,318 | | | $ | 9,074,885 | | | $ | 12,025,769 | |
Net realized gains (losses) | | | 5,354,824 | | | | 108,701 | | | | 7,288,849 | | | | 24,846,825 | |
Net change in unrealized appreciation (depreciation) | | | 44,956,324 | | | | (19,219,391 | ) | | | (3,936,470 | ) | | | 1,511,874 | |
| |
Net increase (decrease) in net assets resulting from operations | | | 58,714,815 | | | | (11,765,372 | ) | | | 12,427,264 | | | | 38,384,468 | |
| |
Distributions paid from: | | | | | | | | | | | | | | | | |
Distributable earnings | | | (8,680,865 | ) | | | (9,352,472 | ) | | | (31,028,756 | ) | | | (25,988,634 | ) |
| |
Total distributions paid | | | (8,680,865 | ) | | | (9,352,472 | ) | | | (31,028,756 | ) | | | (25,988,634 | ) |
| |
Capital share transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 87,887,640 | | | | 123,726,471 | | | | 480,904,825 | | | | 306,942,888 | |
Reinvestment of dividends | | | 8,662,821 | | | | 9,348,867 | | | | 30,798,145 | | | | 25,965,152 | |
Payments for shares redeemed | | | (109,212,549 | ) | | | (62,428,760 | ) | | | (179,644,388 | ) | | | (240,473,091 | ) |
| |
Net increase (decrease) in net assets from capital share transactions | | | (12,662,088 | ) | | | 70,646,578 | | | | 332,058,582 | | | | 92,434,949 | |
| |
Total increase (decrease) in net assets | | | 37,371,862 | | | | 49,528,734 | | | | 313,457,090 | | | | 104,830,783 | |
| |
Net assets: | | | | | | | | | | | | | | | | |
Beginning of year | | | 235,060,179 | | | | 185,531,445 | | | | 519,461,878 | | | | 414,631,095 | |
| |
End of year | | $ | 272,432,041 | | | $ | 235,060,179 | | | $ | 832,918,968 | | | $ | 519,461,878 | |
| |
Capital share transactions | | | | | | | | | | | | | | | | |
Shares sold | | | 8,222,595 | | | | 12,277,449 | | | | 43,701,466 | | | | 28,515,303 | |
Shares from reinvested dividends | | | 816,414 | | | | 886,549 | | | | 2,790,212 | | | | 2,427,437 | |
Shares redeemed | | | (10,232,402 | ) | | | (6,062,138 | ) | | | (16,280,848 | ) | | | (22,776,526 | ) |
| |
Net increase (decrease) | | | (1,193,393 | ) | | | 7,101,860 | | | | 30,210,830 | | | | 8,166,214 | |
| |
See accompanying Notes to Financial Statements
277
Morningstar Funds Trust April 30, 2021
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | |
| | | Morningstar Municipal Bond Fund | | | Morningstar Defensive Bond Fund | |
| | | | |
| | | Year Ended April 30, 2021 | | | Year Ended April 30, 2020 | | | Year Ended April 30, 2021 | | | Year Ended April 30, 2020 | |
| |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 7,274,144 | | | $ | 3,824,021 | | | $ | 3,937,323 | | | $ | 3,612,738 | |
Net realized gains (losses) | | | 1,078,614 | | | | (789,489 | ) | | | 2,618,338 | | | | 1,485,475 | |
Net change in unrealized appreciation (depreciation) | | | 19,775,057 | | | | (9,703,593 | ) | | | 373,772 | | | | 448,825 | |
| |
Net increase (decrease) in net assets resulting from operations | | | 28,127,815 | | | | (6,669,061 | ) | | | 6,929,433 | | | | 5,547,038 | |
| |
Distributions paid from: | | | | | | | | | | | | | | | | |
Distributable earnings | | | (7,263,473 | ) | | | (4,399,566 | ) | | | (5,595,772 | ) | | | (4,723,523 | ) |
| |
Total distributions paid | | | (7,263,473 | ) | | | (4,399,566 | ) | | | (5,595,772 | ) | | | (4,723,523 | ) |
| |
Capital share transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 153,419,635 | | | | 332,149,054 | | | | 125,121,603 | | | | 122,856,335 | |
Reinvestment of dividends | | | 7,261,563 | | | | 4,398,578 | | | | 5,533,958 | | | | 4,716,027 | |
Payments for shares redeemed | | | (104,562,988 | ) | | | (89,965,230 | ) | | | (114,935,028 | ) | | | (101,009,890 | ) |
| |
Net increase (decrease) in net assets from capital share transactions | | | 56,118,210 | | | | 246,582,402 | | | | 15,720,533 | | | | 26,562,472 | |
| |
Total increase (decrease) in net assets | | | 76,982,552 | | | | 235,513,775 | | | | 17,054,194 | | | | 27,385,987 | |
| |
Net assets: | | | | | | | | | | | | | | | | |
Beginning of year | | | 340,186,761 | | | | 104,672,986 | | | | 183,474,648 | | | | 156,088,661 | |
| |
End of year | | $ | 417,169,313 | | | $ | 340,186,761 | | | $ | 200,528,842 | | | $ | 183,474,648 | |
| |
Capital share transactions | | | | | | | | | | | | | | | | |
Shares sold | | | 14,430,434 | | | | 31,722,432 | | | | 12,178,266 | | | | 12,118,403 | |
Shares from reinvested dividends | | | 681,997 | | | | 418,670 | | | | 538,684 | | | | 465,247 | |
Shares redeemed | | | (9,854,516 | ) | | | (8,682,679 | ) | | | (11,161,340 | ) | | | (10,006,072 | ) |
| |
Net increase (decrease) | | | 5,257,915 | | | | 23,458,423 | | | | 1,555,610 | | | | 2,577,578 | |
| |
See accompanying Notes to Financial Statements
278
Morningstar Funds Trust April 30, 2021
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | |
| | | Morningstar Multisector Bond Fund | | | Morningstar Unconstrained Allocation Fund | |
| | | | |
| | | Year Ended April 30, 2021 | | | Year Ended April 30, 2020 | | | Year Ended April 30, 2021 | | | Year Ended April 30, 2020 | |
| |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 10,776,166 | | | $ | 8,960,185 | | | $ | 2,246,569 | | | $ | 1,566,620 | |
Net realized gains (losses) | | | 3,862,311 | | | | (6,929,032 | ) | | | 12,005,597 | | | | (193,118 | ) |
Net change in unrealized appreciation (depreciation) | | | 19,395,976 | | | | (15,844,228 | ) | | | 35,988,388 | | | | 1,675,146 | |
| |
Net increase (decrease) in net assets resulting from operations | | | 34,034,453 | | | | (13,813,075 | ) | | | 50,240,554 | | | | 3,048,648 | |
| |
Distributions paid from: | | | | | | | | | | | | | | | | |
Distributable earnings | | | (6,127,676 | ) | | | (10,125,732 | ) | | | (5,306,815 | ) | | | (2,836,649 | ) |
| |
Total distributions paid | | | (6,127,676 | ) | | | (10,125,732 | ) | | | (5,306,815 | ) | | | (2,836,649 | ) |
| |
Capital share transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 135,983,223 | | | | 154,111,386 | | | | 79,010,669 | | | | 104,191,817 | |
Reinvestment of dividends | | | 6,107,758 | | | | 10,121,184 | | | | 5,297,582 | | | | 2,835,207 | |
Payments for shares redeemed | | | (124,626,874 | ) | | | (109,891,533 | ) | | | (56,709,143 | ) | | | (25,340,078 | ) |
| |
Net increase (decrease) in net assets from capital share transactions | | | 17,464,107 | | | | 54,341,037 | | | | 27,599,108 | | | | 81,686,946 | |
| |
Total increase (decrease) in net assets | | | 45,370,884 | | | | 30,402,230 | | | | 72,532,847 | | | | 81,898,945 | |
| |
Net assets: | | | | | | | | | | | | | | | | |
Beginning of year | | | 191,771,401 | | | | 161,369,171 | | | | 138,193,666 | | | | 56,294,721 | |
| |
End of year | | $ | 237,142,285 | | | $ | 191,771,401 | | | $ | 210,726,513 | | | $ | 138,193,666 | |
| |
Capital share transactions | | | | | | | | | | | | | | | | |
Shares sold | | | 13,534,674 | | | | 15,221,049 | | | | 7,362,146 | | | | 11,774,435 | |
Shares from reinvested dividends | | | 604,130 | | | | 979,145 | | | | 464,555 | | | | 263,569 | |
Shares redeemed | | | (12,026,490 | ) | | | (11,459,813 | ) | | | (5,270,864 | ) | | | (2,577,253 | ) |
| |
Net increase (decrease) | | | 2,112,314 | | | | 4,740,381 | | | | 2,555,837 | | | | 9,460,751 | |
| |
See accompanying Notes to Financial Statements
279
Morningstar Funds Trust April 30, 2021
Statements of Changes in Net Assets (continued)
| | | | | | | | |
| | | Morningstar Alternatives Fund | |
| | | | |
| | | Year Ended April 30, 2021 | | | Year Ended April 30, 2020 | |
| |
Operations: | | | | | | | | |
Net investment income | | $ | 2,714,288 | | | $ | 3,681,039 | |
Net realized gains (losses) | | | 5,298,439 | | | | 1,494,561 | |
Net change in unrealized appreciation (depreciation) | | | 11,634,444 | | | | (3,843,312 | ) |
| |
Net increase (decrease) in net assets resulting from operations | | | 19,647,171 | | | | 1,332,288 | |
| |
Distributions paid from: | | | | | | | | |
Distributable earnings | | | (7,284,535 | ) | | | (3,242,453 | ) |
| |
Total distributions paid | | | (7,284,535 | ) | | | (3,242,453 | ) |
| |
Capital share transactions: | | | | | | | | |
Proceeds from shares sold | | | 188,548,612 | | | | 126,616,742 | |
Reinvestment of dividends | | | 7,253,727 | | | | 3,239,760 | |
Payments for shares redeemed | | | (66,513,615 | ) | | | (53,683,970 | ) |
| |
Net increase (decrease) in net assets from capital share transactions | | | 129,288,724 | | | | 76,172,532 | |
| |
Total increase (decrease) in net assets | | | 141,651,360 | | | | 74,262,367 | |
| |
Net assets: | | | | | | | | |
Beginning of year | | | 186,119,666 | | | | 111,857,299 | |
| |
End of year | | $ | 327,771,026 | | | $ | 186,119,666 | |
| |
Capital share transactions | | | | | | | | |
Shares sold | | | 17,844,308 | | | | 12,285,126 | |
Shares from reinvested dividends | | | 689,960 | | | | 311,889 | |
Shares redeemed | | | (6,308,345 | ) | | | (5,279,184 | ) |
| |
Net increase (decrease) | | | 12,225,923 | | | | 7,317,831 | |
| |
See accompanying Notes to Financial Statements
280
Morningstar Funds Trust April 30, 2021
Financial Highlights
Morningstar U.S. Equity Fund
| | | | | | | | | | | | |
| | | Year Ended April 30 | | | Year Ended April 30 | | | Since Inception1 | |
| | | | |
| Selected per share data | | 2021 | | | 2020 | | | 2019 | |
| |
Net asset value, beginning of year | | | $9.27 | | | | $10.68 | | | | $10.00 | |
| |
Income (loss) from investment operations: | | | | | | | | | | | | |
Net investment income2 | | | 0.14 | | | | 0.13 | | | | 0.05 | |
Net realized and unrealized gains (losses) | | | 4.59 | | | | (1.31 | ) | | | 0.64 | |
| |
Total income (loss) from investment operations | | | 4.73 | | | | (1.18 | ) | | | 0.69 | |
| |
Less distributions paid: | | | | | | | | | | | | |
From net investment income | | | (0.14 | ) | | | (0.09 | ) | | | (0.01 | ) |
From realized gains | | | (0.12 | ) | | | (0.14 | ) | | | — | |
| |
Total distributions paid | | | (0.26 | ) | | | (0.23 | ) | | | (0.01 | ) |
| |
Net asset value, end of year | | | $13.74 | | | | $9.27 | | | | $10.68 | |
| |
Total return3 | | | 51.43% | | | | (11.42% | ) | | | 6.98% | |
Supplemental data and ratios: | | | | | | | | | | | | |
Net assets, end of year (millions) | | | $1,703 | | | | $1,179 | | | | $678 | |
| |
Ratio to average net assets of:4, 5 | | | | | | | | | | | | |
Total expenses before waivers/reimbursements | | | 0.87% | | | | 0.93% | | | | 1.08% | |
| |
Total expenses after waivers/reimbursements | | | 0.81% | | | | 0.81% | | | | 0.82% | |
| |
Net investment income, net of waivers/reimbursements | | | 1.19% | | | | 1.25% | | | | 0.98%6 | |
| |
Net investment income, before waivers/reimbursements | | | 1.13% | | | | 1.13% | | | | 0.72%6 | |
| |
Portfolio turnover rate7 | | | 68% | | | | 58% | | | | 20% | |
| |
| 1 | Commencement of operations was November 2, 2018. |
| 2 | Calculated using the average shares outstanding method. |
| 3 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. The total return is not annualized for periods less than one year. |
| 4 | Ratios are annualized for periods less than one year. |
| 5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
| 6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
| 7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
281
Morningstar Funds Trust April 30, 2021
Financial Highlights (continued)
Morningstar International Equity Fund
| | | | | | | | | | | | |
| | | Year Ended April 30 | | | Year Ended
April 30 | | | Since Inception1 | |
| | | | |
| Selected per share data | | 2021 | | | 2020 | | | 2019 | |
| |
Net asset value, beginning of year | | | $8.76 | | | | $10.79 | | | | $10.00 | |
| |
Income (loss) from investment operations: | | | | | | | | | | | | |
Net investment income2 | | | 0.12 | | | | 0.21 | | | | 0.08 | |
Net realized and unrealized gains (losses) | | | 4.17 | | | | (1.94 | ) | | | 0.74 | |
| |
Total income (loss) from investment operations | | | 4.29 | | | | (1.73 | ) | | | 0.82 | |
| |
Less distributions paid: | | | | | | | | | | | | |
From net investment income | | | (0.14 | ) | | | (0.19 | ) | | | (0.03 | ) |
From realized gains | | | (0.19 | ) | | | (0.11 | ) | | | — | |
| |
Total distributions paid | | | (0.33 | ) | | | (0.30 | ) | | | (0.03 | ) |
| |
Net asset value, end of year | | | $12.72 | | | | $8.76 | | | | $10.79 | |
| |
Total return3 | | | 49.22% | | | | (16.65% | ) | | | 8.19% | |
Supplemental data and ratios: | | | | | | | | | | | | |
Net assets, end of year (millions) | | | $1,074 | | | | $764 | | | | $469 | |
| |
Ratio to average net assets of:4, 5 | | | | | | | | | | | | |
Total expenses before waivers/reimbursements | | | 1.08% | | | | 1.14% | | | | 1.29% | |
| |
Total expenses after waivers/reimbursements | | | 0.89% | | | | 0.92% | | | | 0.94% | |
| |
Net investment income, net of waivers/reimbursements | | | 1.09% | | | | 2.08% | | | | 1.66%6 | |
| |
Net investment income, before waivers/reimbursements | | | 0.90% | | | | 1.86% | | | | 1.31%6 | |
| |
Portfolio turnover rate7 | | | 41% | | | | 36% | | | | 19% | |
| |
| 1 | Commencement of operations was November 2, 2018. |
| 2 | Calculated using the average shares outstanding method. |
| 3 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. The total return is not annualized for periods less than one year. |
| 4 | Ratios are annualized for periods less than one year. |
| 5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
| 6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
| 7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
282
Morningstar Funds Trust April 30, 2021
Financial Highlights (continued)
Morningstar Global Income Fund
| | | | | | | | | | | | |
| | | Year Ended April 30 | | | Year Ended April 30 | | | Since Inception1 | |
| | | | |
| Selected per share data | | 2021 | | | 2020 | | | 2019 | |
| |
Net asset value, beginning of year | | | $9.54 | | | | $10.58 | | | | $10.00 | |
| |
Income (loss) from investment operations: | | | | | | | | | | | | |
Net investment income2 | | | 0.35 | | | | 0.37 | | | | 0.16 | |
Net realized and unrealized gains (losses) | | | 2.09 | | | | (0.94 | ) | | | 0.52 | |
| |
Total income (loss) from investment operations | | | 2.44 | | | | (0.57 | ) | | | 0.68 | |
| |
Less distributions paid: | | | | | | | | | | | | |
From net investment income | | | (0.35 | ) | | | (0.42 | ) | | | (0.10 | ) |
From realized gains | | | (0.01 | ) | | | (0.05 | ) | | | — | |
| |
Total distributions paid | | | (0.36 | ) | | | (0.47 | ) | | | (0.10 | ) |
| |
Net asset value, end of year | | | $11.62 | | | | $9.54 | | | | $10.58 | |
| |
Total return3 | | | 26.01% | | | | (5.73% | ) | | | 6.85% | |
Supplemental data and ratios: | | | | | | | | | | | | |
Net assets, end of year (millions) | | | $272 | | | | $235 | | | | $186 | |
| |
Ratio to average net assets of:4, 5 | | | | | | | | | | | | |
Total expenses before waivers/reimbursements | | | 0.62% | | | | 0.64% | | | | 0.90% | |
| |
Total expenses after waivers/reimbursements | | | 0.61% | | | | 0.58% | | | | 0.58% | |
| |
Net investment income, net of waivers/reimbursements | | | 3.28% | | | | 3.52% | | | | 3.15%6 | |
| |
Net investment income, before waivers/reimbursements | | | 3.27% | | | | 3.46% | | | | 2.83%6 | |
| |
Portfolio turnover rate7 | | | 59% | | | | 62% | | | | 27% | |
| |
| 1 | Commencement of operations was November 2, 2018. |
| 2 | Calculated using the average shares outstanding method. |
| 3 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. The total return is not annualized for periods less than one year. |
| 4 | Ratios are annualized for periods less than one year. |
| 5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
| 6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
| 7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
283
Morningstar Funds Trust April 30, 2021
Financial Highlights (continued)
Morningstar Total Return Bond Fund
| | | | | | | | | | | | |
| | | Year Ended April 30 | | | Year Ended April 30 | | | Since Inception1 | |
| | | | |
| Selected per share data | | 2021 | | | 2020 | | | 2019 | |
| |
Net asset value, beginning of year | | | $10.88 | | | | $10.48 | | | | $10.00 | |
| |
Income (loss) from investment operations: | | | | | | | | | | | | |
Net investment income2 | | | 0.16 | | | | 0.26 | | | | 0.15 | |
Net realized and unrealized gains | | | 0.17 | | | | 0.68 | | | | 0.45 | |
| |
Total income from investment operations | | | 0.33 | | | | 0.94 | | | | 0.60 | |
| |
Less distributions paid: | | | | | | | | | | | | |
From net investment income | | | (0.21 | ) | | | (0.28 | ) | | | (0.12 | ) |
From realized gains | | | (0.31 | ) | | | (0.26 | ) | | | — | |
| |
Total distributions paid | | | (0.52 | ) | | | (0.54 | ) | | | (0.12 | ) |
| |
Net asset value, end of year | | | $10.69 | | | | $10.88 | | | | $10.48 | |
| |
Total return3 | | | 2.95% | | | | 9.13% | | | | 6.01% | |
Supplemental data and ratios: | | | | | | | | | | | | |
Net assets, end of year (millions) | | | $833 | | | | $519 | | | | $415 | |
| |
Ratio to average net assets of:4, 5 | | | | | | | | | | | | |
Total expenses before waivers/reimbursements6 | | | 0.74% | | | | 0.81% | | | | 0.88% | |
| |
Total expenses after waivers/reimbursements6 | | | 0.53% | | | | 0.53% | | | | 0.53% | |
| |
Net investment income, net of waivers/reimbursements | | | 1.41% | | | | 2.43% | | | | 2.89%7 | |
| |
Net investment income, before waivers/reimbursements | | | 1.20% | | | | 2.15% | | | | 2.54%7 | |
| |
Portfolio turnover rate8 | | | 438% | | | | 612% | | | | 318% | |
| |
| 1 | Commencement of operations was November 2, 2018. |
| 2 | Calculated using the average shares outstanding method. |
| 3 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. The total return is not annualized for periods less than one year. |
| 4 | Ratios are annualized for periods less than one year. |
| 5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
| 6 | Expenses include dividend and interest expense of less than 0.01%. |
| 7 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
| 8 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
284
Morningstar Funds Trust April 30, 2021
Financial Highlights (continued)
Morningstar Municipal Bond Fund
| | | | | | | | | | | | |
| | | Year Ended April 30 | | | Year Ended April 30 | | | Since Inception1 | |
| | | | |
| Selected per share data | | 2021 | | | 2020 | | | 2019 | |
| |
Net asset value, beginning of year | | | $10.14 | | | | $10.38 | | | | $10.00 | |
| |
Income (loss) from investment operations: | | | | | | | | | | | | |
Net investment income2 | | | 0.21 | | | | 0.23 | | | | 0.12 | |
Net realized and unrealized gains (losses) | | | 0.61 | | | | (0.21 | ) | | | 0.36 | |
| |
Total income from investment operations | | | 0.82 | | | | 0.02 | | | | 0.48 | |
| |
Less distributions paid: | | | | | | | | | | | | |
From net investment income | | | (0.21 | ) | | | (0.23 | ) | | | (0.10 | ) |
From realized gains | | | — | | | | (0.03 | ) | | | — | |
| |
Total distributions paid | | | (0.21 | ) | | | (0.26 | ) | | | (0.10 | ) |
| |
Net asset value, end of year | | | $10.75 | | | | $10.14 | | | | $10.38 | |
| |
Total return3 | | | 8.14% | | | | 0.11% | | | | 4.79% | |
Supplemental data and ratios: | | | | | | | | | | | | |
Net assets, end of year (millions) | | | $417 | | | | $340 | | | | $105 | |
| |
Ratio to average net assets of:4, 5 | | | | | | | | | | | | |
Total expenses before waivers/reimbursements | | | 0.66% | | | | 0.77% | | | | 1.05% | |
| |
Total expenses after waivers/reimbursements | | | 0.58% | | | | 0.58% | | | | 0.58% | |
| |
Net investment income, net of waivers/reimbursements | | | 1.98% | | | | 2.17% | | | | 2.48%6 | |
| |
Net investment income, before waivers/reimbursements | | | 1.90% | | | | 1.98% | | | | 2.01%6 | |
| |
Portfolio turnover rate7 | | | 53% | | | | 127% | | | | 115% | |
| |
| 1 | Commencement of operations was November 2, 2018. |
| 2 | Calculated using the average shares outstanding method. |
| 3 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. The total return is not annualized for periods less than one year. |
| 4 | Ratios are annualized for periods less than one year. |
| 5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
| 6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
| 7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
285
Morningstar Funds Trust April 30, 2021
Financial Highlights (continued)
Morningstar Defensive Bond Fund
| | | | | | | | | | | | |
| | | Year Ended April 30 | | | Year Ended April 30 | | | Since Inception1 | |
| | | | |
| Selected per share data | | 2021 | | | 2020 | | | 2019 | |
| |
Net asset value, beginning of year | | | $10.17 | | | | $10.10 | | | | $10.00 | |
| |
Income (loss) from investment operations: | | | | | | | | | | | | |
Net investment income2 | | | 0.20 | | | | 0.20 | | | | 0.11 | |
Net realized and unrealized gains | | | 0.16 | | | | 0.13 | | | | 0.08 | |
| |
Total income from investment operations | | | 0.36 | | | | 0.33 | | | | 0.19 | |
| |
Less distributions paid: | | | | | | | | | | | | |
From net investment income | | | (0.19 | ) | | | (0.23 | ) | | | (0.09 | ) |
From realized gains | | | (0.10 | ) | | | (0.03 | ) | | | — | |
| |
Total distributions paid | | | (0.29 | ) | | | (0.26 | ) | | | (0.09 | ) |
| |
Net asset value, end of year | | | $10.24 | | | | $10.17 | | | | $10.10 | |
| |
Total return3 | | | 3.56% | | | | 3.36% | | | | 1.87% | |
Supplemental data and ratios: | | | | | | | | | | | | |
Net assets, end of year (millions) | | | $201 | | | | $183 | | | | $156 | |
| |
Ratio to average net assets of:4, 5 | | | | | | | | | | | | |
Total expenses before waivers/reimbursements | | | 0.64% | | | | 0.66% | | | | 0.93% | |
| |
Total expenses after waivers/reimbursements | | | 0.48% | | | | 0.48% | | | | 0.48% | |
| |
Net investment income, net of waivers/reimbursements | | | 1.92% | | | | 2.02% | | | | 2.28%6 | |
| |
Net investment income, before waivers/reimbursements | | | 1.76% | | | | 1.84% | | | | 1.83%6 | |
| |
Portfolio turnover rate7 | | | 53% | | | | 88% | | | | 4% | |
| |
| 1 | Commencement of operations was November 2, 2018. |
| 2 | Calculated using the average shares outstanding method. |
| 3 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. The total return is not annualized for periods less than one year. |
| 4 | Ratios are annualized for periods less than one year. |
| 5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
| 6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
| 7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
286
Morningstar Funds Trust April 30, 2021
Financial Highlights (continued)
Morningstar Multisector Bond Fund
| | | | | | | | | | | | |
| | | Year Ended April 30 | | | Year Ended April 30 | | | Since Inception1 | |
| | | | |
| Selected per share data | | 2021 | | | 2020 | | | 2019 | |
| |
Net asset value, beginning of year | | | $9.39 | | | | $10.28 | | | | $10.00 | |
| |
Income (loss) from investment operations: | | | | | | | | | | | | |
Net investment income2 | | | 0.44 | | | | 0.46 | | | | 0.27 | |
Net realized and unrealized gains (losses) | | | 0.94 | | | | (0.83 | ) | | | 0.21 | |
| |
Total income (loss) from investment operations | | | 1.38 | | | | (0.37 | ) | | | 0.48 | |
| |
Less distributions paid: | | | | | | | | | | | | |
From net investment income | | | (0.25 | ) | | | (0.43 | ) | | | (0.20 | ) |
From realized gains | | | — | | | | (0.09 | ) | | | — | |
| |
Total distributions paid | | | (0.25 | ) | | | (0.52 | ) | | | (0.20 | ) |
| |
Net asset value, end of year | | | $10.52 | | | | $9.39 | | | | $10.28 | |
| |
Total return3 | | | 14.79% | | | | (3.97% | ) | | | 4.86% | |
Supplemental data and ratios: | | | | | | | | | | | | |
Net assets, end of year (millions) | | | $237 | | | | $192 | | | | $161 | |
| |
Ratio to average net assets of:4, 5 | | | | | | | | | | | | |
Total expenses before waivers/reimbursements | | | 0.91% | | | | 0.98% | | | | 1.18% | |
| |
Total expenses after waivers/reimbursements | | | 0.79% | | | | 0.79% | | | | 0.80% | |
| |
Net investment income, net of waivers/reimbursements | | | 4.31% | | | | 4.52% | | | | 5.41%6 | |
| |
Net investment income, before waivers/reimbursements | | | 4.19% | | | | 4.33% | | | | 5.03%6 | |
| |
Portfolio turnover rate7 | | | 127% | | | | 138% | | | | 53% | |
| |
| 1 | Commencement of operations was November 2, 2018. |
| 2 | Calculated using the average shares outstanding method. |
| 3 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. The total return is not annualized for periods less than one year. |
| 4 | Ratios are annualized for periods less than one year. |
| 5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
| 6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
| 7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
287
Morningstar Funds Trust April 30, 2021
Financial Highlights (continued)
Morningstar Unconstrained Allocation Fund
| | | | | | | | | | | | |
| | | Year Ended April 30 | | | Year Ended
April 30 | | | Since Inception1 | |
| | | | |
| Selected per share data | | 2021 | | | 2020 | | | 2019 | |
| |
Net asset value, beginning of year | | | $9.28 | | | | $10.38 | | | | $10.00 | |
| |
Income (loss) from investment operations: | | | | | | | | | | | | |
Net investment income2 | | | 0.14 | | | | 0.23 | | | | 0.12 | |
Net realized and unrealized gains (losses) | | | 2.99 | | | | (0.91 | ) | | | 0.37 | |
| |
Total income (loss) from investment operations | | | 3.13 | | | | (0.68 | ) | | | 0.49 | |
| |
Less distributions paid: | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.21 | ) | | | (0.11 | ) |
From realized gains | | | (0.10 | ) | | | (0.21 | ) | | | — | |
| |
Total distributions paid | | | (0.33 | ) | | | (0.42 | ) | | | (0.11 | ) |
| |
Net asset value, end of year | | | $12.08 | | | | $9.28 | | | | $10.38 | |
| |
Total return3 | | | 34.01% | | | | (7.07% | ) | | | 4.97% | |
Supplemental data and ratios: | | | | | | | | | | | | |
Net assets, end of year (millions) | | | $211 | | | | $138 | | | | $56 | |
| |
Ratio to average net assets of:4, 5 | | | | | | | | | | | | |
Total expenses before waivers/reimbursements | | | 0.78% | | | | 0.94% | | | | 1.48% | |
| |
Total expenses after waivers/reimbursements | | | 0.74% | | | | 0.73% | | | | 0.64% | |
| |
Net investment income, net of waivers/reimbursements | | | 1.28% | | | | 2.29% | | | | 2.38%6 | |
| |
Net investment income, before waivers/reimbursements | | | 1.24% | | | | 2.08% | | | | 1.54%6 | |
| |
Portfolio turnover rate7 | | | 52% | | | | 66% | | | | 76% | |
| |
| 1 | Commencement of operations was November 2, 2018. |
| 2 | Calculated using the average shares outstanding method. |
| 3 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. The total return is not annualized for periods less than one year. |
| 4 | Ratios are annualized for periods less than one year. |
| 5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
| 6 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
| 7 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
288
Morningstar Funds Trust April 30, 2021
Financial Highlights (continued)
Morningstar Alternatives Fund
| | | | | | | | | | | | |
| | | Year Ended April 30 | | | Year Ended April 30 | | | Since Inception1 | |
| | | | |
| Selected per share data | | 2021 | | | 2020 | | | 2019 | |
| |
Net asset value, beginning of year | | | $10.12 | | | | $10.10 | | | | $10.00 | |
| |
Income (loss) from investment operations: | | | | | | | | | | | | |
Net investment income2 | | | 0.12 | | | | 0.25 | | | | 0.05 | |
Net realized and unrealized gains (losses) | | | 0.77 | | | | (0.05 | ) | | | 0.08 | |
| |
Total income from investment operations | | | 0.89 | | | | 0.20 | | | | 0.13 | |
| |
Less distributions paid: | | | | | | | | | | | | |
From net investment income | | | (0.13 | ) | | | (0.14 | ) | | | (0.03 | ) |
From realized gains | | | (0.17 | ) | | | (0.04 | ) | | | — | |
| |
Total distributions paid | | | (0.30 | ) | | | (0.18 | ) | | | (0.03 | ) |
| |
Net asset value, end of year | | | $10.71 | | | | $10.12 | | | | $10.10 | |
| |
Total return3 | | | 8.92% | | | | 1.94% | | | | 1.26% | |
Supplemental data and ratios: | | | | | | | | | | | | |
Net assets, end of year (millions) | | | $328 | | | | $186 | | | | $112 | |
| |
Ratio to average net assets of:4, 5 | | | | | | | | | | | | |
Total expenses before waivers/reimbursements6 | | | 1.68% | | | | 1.48% | | | | 1.91% | |
| |
Total expenses after waivers/reimbursements6 | | | 1.26% | | | | 1.13% | | | | 0.96% | |
| |
Total expenses after waivers/reimbursements and excluding dividend and interest expense | | | 1.12% | | | | 0.87% | | | | 0.77% | |
| |
Net investment income, net of waivers/reimbursements | | | 1.14% | | | | 2.45% | | | | 1.08%7 | |
| |
Net investment income, before waivers/reimbursements | | | 0.72% | | | | 2.10% | | | | 0.13%7 | |
| |
Portfolio turnover rate8 | | | 372% | | | | 154% | | | | 103% | |
| |
| 1 | Commencement of operations was November 2, 2018. |
| 2 | Calculated using the average shares outstanding method. |
| 3 | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. The total return is not annualized for periods less than one year. |
| 4 | Ratios are annualized for periods less than one year. |
| 5 | Ratios do not include impact of the expenses of the underlying funds in which the fund invests. |
| 6 | Expenses include dividend and interest expense of 0.14%, 0.26%, and 0.19% for April 30, 2021; April 30, 2020; and April 30, 2019, respectively. |
| 7 | As the Fund commenced investment operations on November 2, 2018, annualized net investment income ratios may not be reflective of actual amounts the Fund might obtain in a full year of operation. |
| 8 | Portfolio turnover rate is not annualized for periods less than one year. |
See accompanying Notes to Financial Statements
289
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements
1. Organization
Morningstar Funds Trust (the “Trust”) was organized as a Delaware statutory trust on March 1, 2017. The Trust is registered with the Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust has authorized capital of unlimited shares of beneficial interest at no par value, which may be issued in one or more series of the Trust.
The Trust is currently authorized to offer shares in nine separate series (each a “Fund” and collectively, the “Funds”):
| | |
Morningstar U.S. Equity Fund | | Morningstar Defensive Bond Fund |
|
Morningstar International Equity Fund | | Morningstar Multisector Bond Fund |
|
Morningstar Global Income Fund | | Morningstar Unconstrained Allocation Fund |
|
Morningstar Total Return Bond Fund | | Morningstar Alternatives Fund |
|
Morningstar Municipal Bond Fund | | |
|
Each Fund represents a distinct portfolio with its own investment objectives and is treated as a separate legal entity. Each Fund, except for the Morningstar Multisector Bond Fund, is classified and operates as a diversified fund under the 1940 Act. The Morningstar Multisector Bond Fund is classified as nondiversified. Morningstar Investment Management LLC (“MIM” or “Adviser”) serves as the investment adviser of each Fund.
The investment objective of each Fund is as follows:
| | |
| Fund | | Investment Objective |
|
Morningstar U.S. Equity Fund | | Long-term capital appreciation |
|
Morningstar International Equity Fund | | Long-term capital appreciation |
|
Morningstar Global Income Fund | | Current income and long-term capital appreciation |
|
Morningstar Total Return Bond Fund | | Total return maximization, income and capital preservation |
|
Morningstar Municipal Bond Fund | | Federal tax-exempt income and capital preservation |
|
Morningstar Defensive Bond Fund | | Capital preservation |
|
Morningstar Multisector Bond Fund | | Total return through a combination of current income and capital appreciation |
|
Morningstar Unconstrained Allocation Fund | | Long-term capital appreciation over a full market cycle |
|
Morningstar Alternatives Fund | | Long-term capital appreciation and low sensitivity to traditional U.S. asset classes |
|
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).
The Trust follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services-Investment Companies.
290
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
Use of Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.
Valuation of Investments: All securities and other investments are valued at their estimated fair value, as described in Note 4.
Cash and Foreign Currencies: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) which may exceed insured limits.
Due to/from Brokers: Due to/from brokers represents cash balances and securities on deposit with, or cash balances owed to, the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.
The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the year. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) from transactions in investment securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.
Realized gains (losses) from settlement of foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translations reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at year end.
Investment Transactions and Investment Income: Investment transactions are accounted as of trade date. Realized gains and losses on investment transactions are recorded on a specifically identified cost basis. Interest income is recorded on an accrual basis and includes the accretion of discounts and amortization of premiums using the effective yield method. In the case of the defaulted debt obligation, the accrual of interest
291
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
income is halted when management becomes aware that the interest income is not collectible. Dividend income (expense) net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the ex-date dividend notification.
Expenses: Each Fund is charged for those expenses that are directly attributable to that Fund. Expenses incurred which do not specifically relate to an individual Fund generally are allocated among all Funds in the Trust in proportion to each Fund’s relative net assets.
Federal Income Taxes: Each Fund’s policy is to comply with all sections of Subchapter M of the Internal Revenue Code of 1986, as amended (“Code”), necessary to qualify for federal income tax purposes as a regulated investment company and to distribute substantially all of its taxable income and capital gains to shareholders as required. No provision for federal income or excise taxes is thus required. Each Fund is treated as a separate entity for federal income tax purposes.
The Funds may be subject to taxes imposed by countries on securities sold or held in certain foreign jurisdictions. Such taxes are generally based on income and/or capital gains earned or repatriated. The Funds accrue such taxes when the related income is earned. Gains realized by the Funds on the sale of securities in certain countries are subject to non-U.S. taxes. The Funds record a liability based on unrealized gains to provide for potential non-U.S. taxes payable upon the sale of these securities. For the year ended April 30, 2021, the International Equity Fund and the Global Income Fund accrued non-U.S. taxes of $600,042 and reversed an accrual of $12,184, respectively, which is included in net of change in unrealized appreciation (depreciation) on investments in the Statements of Operations.
Management evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior two fiscal years as well as current year, or since inception if shorter, are open for examination. As of April 30, 2021, the Funds had no examinations in progress.
Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. Distributions of net investment income, if any, are declared and paid as follows:
| | |
| Fund | | Frequency |
| |
| Morningstar U.S. Equity Fund | | Annually |
| Morningstar International Equity Fund | | Annually |
| Morningstar Global Income Fund | | Monthly |
| Morningstar Total Return Bond Fund | | Monthly |
| Morningstar Municipal Bond Fund | | Monthly |
| Morningstar Defensive Bond Fund | | Monthly |
| Morningstar Multisector Bond Fund | | Monthly |
292
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
| | |
| Fund | | Frequency |
| Morningstar Unconstrained Allocation Fund | | Annually |
| Morningstar Alternatives Fund | | Annually |
Distributions of net realized capital gains, if any, are declared and paid at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from U.S. GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal year may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Funds’ financial statements presented under U.S. GAAP.
Indemnifications: Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business the Trust enters into contracts that provide general indemnifications to other parties.
3. Investment Types
The Funds may utilize the following types of investments described below to execute their investment strategy to the extent permitted by the Funds’ investment policies.
Borrowed Bond Agreements: Repurchase agreements may be referred to as borrowed bond agreements when entered into in connection with short sales of bonds. In a borrowed bond agreement, a Fund borrows a bond from a counterparty in exchange for cash collateral. The agreement contains a commitment that the security and the cash will be returned to the counterparty and a Fund at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between a Fund and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. A Fund may also experience delays in gaining access to the collateral.
Collateralized Bond Obligations (CBOs), Collateralized Loan Obligations (CLOs), and Other Collateralized Debt Obligations (CDOs): A CBO is a trust which is often backed by a pool of high risk, below investment grade fixed-income securities, such as high-yield bonds, privately issued mortgage-related securities, commercial mortgage-related securities, trust preferred securities, or emerging-market debt. A CLO is a trust typically backed by a pool of loans, which may include senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be below investment grade. Other CDOs are trusts backed by other types of assets. The assets backing a CBO, CLO, or CDO trust may be referred to as “the collateral.” CBOs, CLOs and other CDOs may charge management fees and administrative expenses. The cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. Senior tranches
293
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
can often be rated investment grade. CBO, CLO or other CDO tranches can experience substantial losses due to defaults, deterioration of protecting tranches, market participants’ perception of credit risk, as well as aversion to these securities generally. The risks of an investment in a CBO, CLO or other CDO often depend on the collateral securities and the particular tranche in which a Fund invests. These securities are often privately offered and not registered under securities laws. In addition to the normal risks associated with fixed-income securities (e.g., interest-rate risk and credit risk), CBOs, CLOs and other CDOs carry additional risks including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the possibility that the quality of the collateral may decline in value or default, the risk that a Fund may invest in CBOs, CLOs or other CDOs that are subordinate to other tranches, as well as risks related to the complexity of the security and its structure.
Convertible Securities: Convertible securities are securities (such as debt securities or preferred stock) that may be converted into or exchanged for a specified amount of common stock of the same or different issuer within a particular period of time at a specified price or formula. Convertible securities also include corporate bonds, notes, and preferred stock. A convertible security entitles the holder to receive interest paid or accrued on debt or dividends paid on preferred stock until the convertible stock matures or is redeemed, converted or exchanged. While no investment is without some risk, investments in convertible securities generally entail less risk than an issuer’s common stock. However, any reduction in risk depends in large measure upon the degree to which the convertible security sells above its value as a fixed income security. In addition to the general risks associated with equity securities, the market value of convertible securities is also affected by prevailing interest rates, the credit quality of the issuer, and any call provisions. While convertible securities generally offer lower interest or dividend yields than nonconvertible debt securities of similar quality, they do enable the investor to benefit from increases in the market price of the underlying common stock. The premiums attributable to the conversion feature are not amortized, but they are capitalized into the cost basis.
Equity-Linked Investments: Equity-linked investments are subject to the same risks as direct investments in securities of the underlying investment. If the underlying investment decreases in value, the value of the equity-linked investment will decrease; however, the performance of such investments may not correlate exactly to the performance of the underlying investment that they seek to replicate. Equity-linked investments are also subject to counterparty risk, which is the risk that the issuer of such investment — which is different from the issuer of the underlying investment — may be unwilling or unable to fulfill its obligations. There is no guarantee that a liquid market will exist or that the counterparty or issuer of such investments will be willing to repurchase them when a Fund wishes to sell them.
Forward Commitments and Dollar Rolls: A Fund may enter into contracts to purchase mortgage securities for a fixed price at a future date beyond customary settlement time (forward commitments) if the Fund sets aside on its books liquid assets in an amount sufficient to meet the purchase price, or if the Fund enters into offsetting contracts for the forward sale of other securities it owns. In the case of to-be-announced (TBA) mortgage purchase commitments, the unit price and the estimated principal amount are established when a Fund enters into a contract, with the actual principal amount being within a specified range of the estimate. TBA mortgages shall not exceed 20% of a Fund’s net assets. For these obligations, a Fund will segregate or earmark liquid assets in an amount sufficient to cover its obligations. Forward commitments may be considered securities in themselves and involve a risk of loss if the value of the security to be purchased declines before the settlement date, which is in addition to the risk of decline in the value of a Fund’s other assets. Where such
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purchases are made through dealers, a Fund relies on the dealer to consummate the sale. The dealer’s failure to do so may result in the loss to a Fund of an advantageous yield or price. Although a Fund will generally enter into forward commitments with the intention of acquiring securities for its portfolio, the Fund may dispose of a commitment before settlement if a subadviser deems it appropriate to do so. A Fund may realize short-term profits or losses upon the sale of forward commitments.
A Fund may enter into TBA sale commitments to hedge its portfolio positions or to sell securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. Unsettled TBA sale commitments are valued at current market value of the underlying securities. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, a Fund realizes a gain or loss on the commitment without regard to any unrealized gain or loss on the underlying security. If a Fund delivers securities under the commitment, the Fund realizes a gain or loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
A Fund may enter into mortgage dollar roll transactions (generally using TBAs) in which it sells a fixed-income security for delivery in the current month and simultaneously contracts to purchase similar securities (for example, same type, coupon and maturity) at an agreed upon future time. By engaging in a dollar roll transaction, a Fund foregoes principal and interest paid on the security that is sold but receives the difference between the current sales price and the forward price for the future purchase. A Fund would also be able to earn interest on the proceeds of the sale before they are reinvested. A Fund accounts for dollar rolls as purchases and sales. Dollar rolls may be used to create investment leverage and may increase a Fund’s risk and volatility.
The obligation to purchase securities on a specified future date involves the risk that the market value of the securities that a Fund is obligated to purchase may decline below the purchase price. In addition, in the event the other party to the transaction files for bankruptcy, becomes insolvent or defaults on its obligation, a Fund may be adversely affected.
Inflation-Protected Securities: A Fund may invest in U.S. Treasury Inflation Protected Securities (U.S. TIPS), which are fixed-income securities issued by the U.S. Department of Treasury, the principal amounts of which are adjusted daily based upon changes in the rate of inflation. A Fund may also invest in other inflation-protected securities issued by non-U.S. governments or by private issuers. U.S. TIPS pay interest on a semi-annual basis, equal to a fixed percentage of the inflation-adjusted principal amount. The interest rate on these bonds is fixed at issuance, but over the life of the bond this interest may be paid on an increasing or decreasing principal value that has been adjusted for inflation.
In general, the value of inflation-protected bonds is expected to fluctuate in response to changes in real interest rates, which are in turn tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if inflation were to rise at a faster rate than nominal interest rates, real interest rates might decline, leading to an increase in value of inflation-protected bonds. In contrast, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-protected bonds. If inflation is lower than expected during the period a Fund holds the security, the Fund may earn less on the security than on a conventional bond. Any increase in principal value is taxable in the year the increase occurs, even though holders do not receive cash representing the increase at that time. As a result, if a Fund
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invests in inflation-protected securities, it could be required at times to liquidate other investments, including when it is not advantageous to do so, to satisfy its distribution requirements as a Registered Investment Company (RIC) and to eliminate any fund-level income tax liability under the Code.
Loan Participations, Assignments and Unfunded Commitments: Certain Funds invest in loan participations and assignments. When a Fund purchases a loan participation, the Fund enters into a contractual relationship with the lender or a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when one of the Funds purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor.
The Funds may also enter into unfunded commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the commitment may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate a Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unfunded commitments are marked to market daily and any unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities as well as the Statements of Operations. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, the Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.
Mortgage Dollar Rolls: A Fund may enter into mortgage dollar rolls with a bank or a broker-dealer. A mortgage dollar roll is a transaction in which a Fund sells mortgage-related securities for immediate settlement and simultaneously purchases the same type of securities for forward settlement at a discount. While a Fund begins accruing interest on the newly purchased securities from the purchase or trade date, it is able to invest the proceeds from the sale of its previously owned securities, which will be used to pay for the new securities. The use of mortgage dollar rolls is a speculative technique involving leverage and can have an economic effect similar to borrowing money for investment purposes.
Private Investment in Public Equity: A Fund may acquire equity securities of an issuer that are issued through a private investment in public equity (PIPE) transaction, including on a when-issued basis. A Fund will generally earmark an amount of cash or high quality securities equal (on a daily mark to market basis) to the amount of its commitment to purchase the when-issued securities. PIPE transactions typically involve the
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purchase of securities directly from a publicly traded company or its affiliates in a private placement transaction, typically at a discount to the market price of the company’s securities. There is a risk that if the market price of the securities drops below a set threshold, the company may have to issue additional stock at a significantly reduced price, which may dilute the value of a Fund’s investment. Shares in PIPEs generally are not registered with the SEC until after a certain time period from the date the private sale is completed. This restricted period can last many months. Until the public registration process is completed, PIPEs are restricted as to resale and a Fund cannot freely trade the securities. Generally, such restrictions cause the PIPEs to be illiquid during this time. PIPEs may contain provisions that the issuer will pay specified financial penalties to the holder if the issuer does not publicly register the restricted equity securities within a specified period of time, but there is no assurance that the restricted equity securities will be publicly registered, or that the registration will remain in effect.
Private Placement and Restricted Securities: A Fund may invest in securities that are purchased in private placements and, accordingly, are subject to restrictions on resale as a matter of contract or under federal securities laws. Because there may be relatively few potential purchasers for such investments, especially under adverse market or economic conditions or in the event of adverse changes in the financial condition of the issuer, a Fund could find it more difficult to sell such securities when a subadviser believes it advisable to do so or may be able to sell such securities only at prices lower than if such securities were more widely held. At times, it may also be more difficult to determine the fair value of such securities for purposes of computing a Fund’s net asset value (“NAV”).
While such private placements may offer attractive opportunities for investment not otherwise available on the open market, the securities so purchased are often restricted securities, i.e., securities which cannot be sold to the public without registration under the Securities Act of 1993, as amended (the “Securities Act”) or the availability of an exemption from registration (such as Rules 144 or 144A), or which are not readily marketable because they are subject to other legal or contractual delays in or restrictions on resale.
The absence of a trading market can make it difficult to ascertain a market value for illiquid investments. Disposing of illiquid investments may involve time-consuming negotiation and legal expenses, and it may be difficult or impossible for a Fund to sell them promptly at an acceptable price. A Fund may have to bear the extra expense of registering such securities for resale and the risk of substantial delay in effecting such registration. In addition, market quotations are less readily available. The judgment of a subadviser may at times play a greater role in valuing these securities than in the case of publicly traded securities.
Generally speaking, restricted securities may be sold only to qualified institutional buyers, or in a privately negotiated transaction to a limited number of purchasers, or in limited quantities after they have been held for a specified period of time and other conditions are met pursuant to an exemption from registration, or in a public offering for which a registration statement is in effect under the Securities Act. A Fund may be deemed to be an underwriter for purposes of the Securities Act when selling restricted securities to the public, and in such event the Fund may be liable to purchasers of such securities if the registration statement prepared by the issuer, or the Prospectuses forming a part of it, is materially inaccurate or misleading.
Restricted securities held by each Fund at April 30, 2021 are disclosed in the Schedules of Investments.
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Securities Sold Short: Certain Funds may sell securities they do not own (a short sale) as a hedge against some of their long positions and/or in anticipation of a decline in the market value of that security. When a Fund makes a short sale, it must borrow the security sold short and deliver it to the broker through which it made the short sale. A Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, which could be unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. A Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as net change in unrealized appreciation (depreciation) on the Statements of Operations.
The Funds are required to pledge cash or liquid securities to the broker as collateral for securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Daily market fluctuations and trading activity could cause the value of securities sold short to be more or less than the value of the collateral segregated. Cash deposited with the broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security.
When-Issued and Delayed Delivery Securities: Certain Funds may purchase or sell securities on a when-issued or delayed delivery basis. When-issued and delayed delivery securities in which the Funds may invest include U.S. Treasury securities, municipal bonds, bank loans, and other similar instruments. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Funds may hold liquid assets as collateral with the Funds’ custodian sufficient to cover the purchase price.
Zero Coupon and Payment In-Kind Bonds: A Fund may invest without limit in so-called zero-coupon bonds and payment-in-kind bonds. Zero-coupon bonds are issued at a significant discount from their principal amount in lieu of paying interest periodically. Payment-in-kind bonds allow the issuer, at its option, to make current interest payments on the bonds either in cash or in additional bonds. Because zero-coupon and payment-in-kind bonds do not pay current interest in cash, their value is subject to greater fluctuation in response to changes in market interest rates than bonds that pay interest currently. Both zero coupon and payment-in-kind bonds allow an issuer to avoid the need to generate cash to meet current interest payments. Accordingly, such bonds may involve greater credit risks than bonds paying interest currently in cash. A Fund is required to accrue interest income on such investments and to distribute such amounts at least annually to shareholders even though the
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investments do not make any current interest payments. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro rata adjustment, if any, from the unrealized appreciation (depreciation) on investments to interest receivable on the Statements of Assets and Liabilities.
4. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The NAV of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each Fund is computed by dividing the total current value of the assets of such Fund, less liabilities, by the total number of shares of the Fund outstanding at the time the computation is made.
Generally, investments for which market quotations are readily available will be valued at a current market price or, in the absence of a market price, at fair value as determined in good faith by MIM’s Pricing Committee pursuant to procedures approved by or under the direction of the Board of Trustees (“the Board”) of the Trust. Pursuant to those procedures, the Pricing Committee considers, among other things: (1) the last sales price on the securities exchange, if any, on which a security is primarily traded; (2) the mean between the bid and asked prices; (3) price quotations from an approved pricing service, and (4) other factors as necessary to determine a fair value under certain circumstances.
Securities primarily traded in the NASDAQ Global Market® for which market quotations are readily available shall be valued using the NASDAQ® Official Closing Price (“NOCP”). If the NOCP is not available, such securities shall be valued at the last sale price on the day of valuation, or if there has been no sale on such day, at the mean between the bid and asked prices. Over the Counter (“OTC”) securities which are not traded in the NASDAQ Global Market® shall be valued at the most recent trade price. Securities and assets for which market quotations are not readily available (including restricted securities which are subject to limitations as to their sale) are valued at fair value as determined in good faith under procedures approved by or under the direction of the Board.
Short-term debt obligations with remaining maturities in excess of 60 days are valued at current market prices, as discussed above. To reflect their fair value, short-term securities with 60 days or less remaining to maturity may, unless conditions indicate otherwise, utilize amortized cost to maturity based on their cost to a Fund.
The securities in a Fund, which are traded on a securities exchange are valued at the last sale price on the exchange on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any reported sales, at the mean between the last available bid and asked price. Securities that are traded on more than one exchange are valued on the exchange on which the security is principally traded.
Each Fund may invest in foreign securities, and as a result, the calculation of the Fund’s NAV may not take place contemporaneously with the determination of the prices of certain of the Fund securities used in the calculation. Occasionally, events which affect the values of such securities and such exchange rates may occur between the times at which they are determined and the close of the NYSE and will therefore not be reflected
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in the computation of a Fund’s NAV. If events materially affecting the value of such securities occur during such period, then these securities may be valued at their fair value as determined in good faith under procedures established by and under the supervision of the Board as described above. Portfolio securities that are traded both on an exchange and in the OTC market will be valued according to the broadest and most representative market. All assets and liabilities initially expressed in foreign currency values will be converted into U.S. Dollar values at the mean between the bid and offered quotations of the currencies against U.S. Dollars as last quoted by any recognized dealer. When portfolio securities are traded, the valuation will be the last reported sale price on the day of valuation.
To address this issue, the Board has approved the daily use of independently provided quantitative models that may adjust the closing prices of certain foreign equity and fixed income securities based on information that becomes available after the foreign market closes, through the application of an adjustment factor to such securities’ closing price. Adjustment factors may be greater than, less than, or equal to 1. Thus, use of these quantitative models could cause a Fund to value a security higher, lower or equal to its closing market price, which in turn could cause the Fund’s NAV per share to differ from that which would have been calculated using closing market prices. The use of these quantitative models is also intended to decrease the opportunities for persons to engage in ‘‘time zone arbitrage,’’ i.e., trading intended to take advantage of stale closing prices in foreign markets that could affect the NAV of the Funds. Securities subjected to an adjustment factor due to the use of these quantitative models are not specifically designated as such on the Funds’ Schedule of Investments.
All other assets of a Fund are valued in such manner as the Board in good faith deems appropriate to reflect their fair value. U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.
Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with U.S. GAAP.
Equity securities, including securities sold short, rights, exchange traded options, warrants, exchange traded funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market, or composite in which each security trades.
An equity for which no sales are reported, as in the case of a security that is traded in the OTC market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the asked price).
Fixed income securities (other than certain short-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based
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on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value.
Investments classified within Level 3, if any, have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments may include illiquid securities. When observable prices are not available for these securities, the Funds may use one or more valuation approaches (e.g., the market approach or the income approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the market approach generally is based on the technique of using comparable market transactions/multiples, while the use of the income approach includes the estimation of future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for credit, market and/or other risk factors.
The inputs used by the Funds in estimating the value of Level 3 investments may include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, third-party broker quotes, deal terms, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by MIM in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the fair value of the investment.
Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange their constitutes the principal market or, if no sales occurred on such date, at the bid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on a daily basis using quotations provided by an independent pricing service.
Forward contracts are typically classified within Level 2 of the fair value hierarchy.
OTC derivatives, including options on forward contracts, put and call options, contracts for differences and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.
The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Shares of open-end investment companies, other than exchange-traded funds, are valued at their NAV.
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Fair Valuation Hierarchy: Fair value is defined as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a framework and requires disclosure of a fair value hierarchy, separately for each major category of assets and liabilities that segregates fair value measurements into levels (Levels 1, 2, and 3). Categorizations of fair value measurements, and the criteria used to determine each categorization, are as follows:
| | · | | Level 1 – quoted prices in active markets for identical assets and liabilities (e.g. equity securities and open-end investment companies) |
| | · | | Level 2 – prices determined using other significant observable inputs including, but not limited to, quoted prices for similar assets and liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, prepayment speeds, credit risk, etc.) or other market corroborated inputs |
| | · | | Level 3 – prices determined using significant unobservable inputs (including the Pricing Committee’s own assumptions in determining the fair value of investments) |
Valuation levels are not necessarily an indication of the risk associated with investing in those securities. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. Transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the end of the reporting period.
A valuation hierarchy including information regarding Level 3 securities, where applicable, is shown at the end of each Fund’s Schedule of Investments.
5. Investment Advisory and Other Agreements
The Trust has an Investment Advisory Agreement (the “Agreement”) with the Adviser, with whom certain officers and trustees of the Trust are affiliated, to furnish certain portfolio management services to the Funds.
Pursuant to the Agreement, the Funds have contractually agreed to pay the Adviser a management fee calculated on the average daily net assets for each Fund, in the annual ratios below.
| | |
| Fund | | Ratio |
Morningstar U.S. Equity Fund | | 0.67% |
Morningstar International Equity Fund | | 0.83% |
Morningstar Global Income Fund | | 0.35% |
Morningstar Total Return Bond Fund | | 0.44% |
Morningstar Municipal Bond Fund | | 0.44% |
Morningstar Defensive Bond Fund | | 0.36% |
Morningstar Multisector Bond Fund | | 0.61% |
Morningstar Unconstrained Allocation Fund | | 0.47% |
Morningstar Alternatives Fund | | 0.85% |
Pursuant to the Agreement, the Adviser is responsible for performing and overseeing portfolio management services to the Funds. In addition to selecting the overall investment strategies of the Funds, the Adviser oversees and monitors the selection and performance of the subadvisers and allocates assets among the
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subadvisers. The subadvisers manage each Fund’s investment portfolio pursuant to subadvisory agreements with the Adviser. The Adviser manages the cash portion of each Fund which may include ETFs, mutual funds and money market fund investments.
The Trust and the Adviser have entered into a contractual expense limitation agreement (Base Expense Limitation Agreement) whereby the Adviser agreed to waive all or a portion of its fees or assume certain other expenses of each Fund at least through August 31, 2021, to the extent necessary to ensure that the total annual fund operating expenses (excluding taxes, interest, brokerage commissions, trading costs, acquired fund fees and expenses, litigation, dividend and interest expense related to short sales and extraordinary expenses) do not exceed the following rates, based on each Fund’s average daily net assets. The amount the Adviser owes a Fund as of the reporting date is recorded as a Receivable from Adviser in the Statements of Assets and Liabilities. The Adviser reimburses the Funds on a monthly basis. This management fee waiver and/or expense reimbursement will not be subject to future recoupment. For the year ended April 30, 2021, the Funds’ Adviser contractually waived fees and/or reimbursed expenses for each of the Funds as follows:
| | | | | | |
| Fund | | Base Expense Cap | | | Management Fees Waived |
Morningstar U.S. Equity Fund | | | 0.85% | | | $310,960 |
Morningstar International Equity Fund | | | 1.00% | | | 704,412 |
Morningstar Global Income Fund | | | 0.89% | | | — |
Morningstar Total Return Bond Fund | | | 0.53% | | | 1,303,302 |
Morningstar Municipal Bond Fund | | | 0.59% | | | 269,717 |
Morningstar Defensive Bond Fund | | | 0.48% | | | 333,457 |
Morningstar Multisector Bond Fund | | | 0.80% | | | 278,734 |
Morningstar Unconstrained Allocation Fund | | | 1.00% | | | — |
Morningstar Alternatives Fund | | | 1.29% | | | 585,093 |
The Trust and the Adviser have entered into a supplemental expense limitation agreement (Supplemental Expense Limitation Agreement) whereby the Adviser has agreed to waive all or a portion of its fees or assume certain other expenses of each Fund at least through August 31, 2021, to the extent necessary to ensure that the total annual fund operating expenses (excluding the above listed expenses other than acquired fund fees and expenses) do not exceed the following rates, based on each Fund’s average daily net assets. The amount the Adviser owes a Fund as of the reporting date is recorded as a Receivable from Adviser in the Statement of Assets and Liabilities. The Adviser reimburses the Funds on a monthly basis. This management fee waiver and/or expense reimbursement will not be subject to future recoupment. For the year ended April 30, 2021, the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:
| | | | | | |
| Fund | | Supplemental Expense Cap | | | Management Fees Waived |
Morningstar U.S. Equity Fund | | | 0.85% | | | $598,111 |
Morningstar International Equity Fund | | | 1.00% | | | 970,496 |
Morningstar Global Income Fund | | | 0.75% | | | 9,704 |
Morningstar Total Return Bond Fund | | | 0.54% | | | 51,500 |
Morningstar Municipal Bond Fund | | | 0.59% | | | 29,669 |
Morningstar Defensive Bond Fund | | | 0.55% | | | — |
Morningstar Multisector Bond Fund | | | 0.80% | | | 31,090 |
Morningstar Unconstrained Allocation Fund | | | 0.93% | | | 80,963 |
Morningstar Alternatives Fund | | | 1.20% | | | 409,973 |
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As of April 30, 2021, the Trust has entered into subadvisory agreements with the following entities by Fund:
| | |
| Fund | | Subadvisers |
Morningstar U.S. Equity Fund | | ClearBridge Investments, LLC |
| | Diamond Hill Capital Management, Inc. |
| | Easterly Investment Partners LLC |
| | Massachusetts Financial Services Company, d/b/a |
| | MFS Investment Management |
| | Wasatch Advisors, Inc. |
| | | Westwood Management Corp. |
Morningstar International Equity Fund | | Harding Loevner LP |
| | Harris Associates L.P. |
| | Lazard Asset Management LLC |
| | | T. Rowe Price Associates, Inc. |
Morningstar Global Income Fund | | Schafer Cullen Capital Management, Inc. |
Morningstar Total Return Bond Fund | | BlackRock Financial Management, Inc. |
| | | Western Asset Management Company |
Morningstar Municipal Bond Fund | | T. Rowe Price Associates, Inc. |
| | | Wells Capital Management, Inc. |
Morningstar Defensive Bond Fund | | First Pacific Advisors, LLC |
Morningstar Multisector Bond Fund | | Franklin Advisers, Inc. |
| | Loomis, Sayles & Company, L.P. |
| | | TCW Investment Management Company LLC |
Morningstar Unconstrained Allocation Fund | | Brandywine Global Investment Management, LLC |
| | | Lazard Asset Management LLC |
Morningstar Alternatives Fund | | BlackRock Financial Management, Inc. |
| | SSI Investment Management, LLC |
| | | Water Island Capital, LLC |
Pursuant to the subadvisory agreements between the subadvisers, the Adviser and the Trust, the Adviser will pay the subadvisers out of the management fees from the Funds.
The Trust has an administration agreement with The Northern Trust Company (“Northern Trust”), which provides certain accounting, clerical and bookkeeping services, Blue Sky, corporate secretarial services and assistance in the preparation and filing of tax returns and reports to shareholders and the SEC. Northern Trust also serves as custodian of each Fund’s securities and cash, transfer agent and dividend disbursing agent.
Foreside Fund Services, LLC (the “Distributor”), a registered broker-dealer and member of the Financial Industry Regulatory Authority, Inc. (“FINRA”), serves as the principal underwriter and distributor of the Trust’s shares. Foreside Management Services, LLC (“FMS”) provides a Principal Financial Officer to the Trust. FMS has no role in determining the investment policies or which securities are to be sold or purchased by the Trust or its funds.
The Trust, on behalf of the Funds, has agreements with various financial intermediaries and “mutual fund supermarkets”, under which customers of these intermediaries may purchase and hold Fund shares. These intermediaries assess asset-based fees in consideration for providing certain account maintenance, record keeping and transactional and other shareholder services (collectively, “Sub-accounting fees”).
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6. Investment Transactions
During the year ended April 30, 2021, the cost of purchases and the proceeds from sales of investments (excluding in-kind, swap contracts, contracts for difference, forward foreign currency exchange contracts, futures contracts and short-term investments) were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Purchases | | | Sales | | | | | | | |
| | | | | | |
| Fund | | U.S. Government | | | Other | | U.S. Government | | | Other | | Securities Sold Short | | | Covers on Securities Sold Short | |
Morningstar U.S. Equity Fund | | $ | — | | | $ | 918,215,419 | | | $ | — | | | $ | 969,996,776 | | | $ | — | | | $ | — | |
Morningstar International Equity Fund | | | — | | | | 361,894,964 | | | | — | | | | 399,640,377 | | | | — | | | | — | |
Morningstar Global Income Fund | | | — | | | | 145,956,004 | | | | — | | | | 157,730,120 | | | | — | | | | — | |
Morningstar Total Return Bond Fund | | | 156,014,427 | | | | 2,407,157,106 | | | | 27,893,989 | | | | 2,268,800,320 | | | | 637,463,843 | | | | 623,089,732 | |
Morningstar Municipal Bond Fund | | | — | | | | 237,691,542 | | | | — | | | | 185,182,312 | | | | — | | | | — | |
Morningstar Defensive Bond Fund | | | — | | | | 121,060,686 | | | | — | | | | 96,055,547 | | | | — | | | | — | |
Morningstar Multisector Bond Fund | | | 12,734,820 | | | | 283,370,459 | | | | 22,164,215 | | | | 251,140,040 | | | | — | | | | — | |
Morningstar Unconstrained Allocation Fund | | | 11,137,021 | | | | 98,877,207 | | | | 4,341,680 | | | | 81,050,292 | | | | — | | | | — | |
Morningstar Alternatives Fund | | | — | | | | 937,137,116 | | | | — | | | | 849,921,758 | | | | 132,965,313 | | | | 127,190,859 | |
7. Financial Derivative Instruments
Certain Funds may invest in derivatives as part of their principal investment strategies in an attempt to achieve their investment objective. The Funds’ derivative contracts are not accounted for as hedging instruments under U.S. GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities.
Forward Foreign Currency Exchange Contracts: A forward foreign currency exchange contract is an obligation to purchase or sell a specific non-U.S. currency in exchange for another currency, which may be U.S. Dollars, at an agreed exchange rate (price) at a future date. Currency forwards are typically individually negotiated and privately traded by currency traders and their customers in the interbank market. A forward foreign currency exchange contract will tend to reduce or eliminate exposure to the currency that is sold, and increase exposure to the currency that is purchased, similar to when a Fund sells a security denominated in one currency and purchases a security denominated in another currency.
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At the maturity of a forward foreign currency exchange contract, a Fund may either exchange the currencies specified at the maturity of a forward foreign currency exchange contract or, prior to maturity, the Fund may enter into a closing transaction involving the purchase or sale of an offsetting contract. Closing transactions with respect to forward foreign currency exchange contract are usually effected with the counterparty to the original forward contract. A Fund may also enter into forward foreign currency exchange contracts that do not provide for physical settlement of the two currencies but instead provide for settlement by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards).
The successful use of these transactions will usually depend on MIM’s or a subadviser’s ability to accurately forecast currency exchange rate movements. Should exchange rates move in an unexpected manner, a Fund may not achieve the anticipated benefits of the transaction, or it may realize losses. In addition, these techniques could result in a loss if the counterparty to the transaction does not perform as promised, including because of the counterparty’s bankruptcy or insolvency. In unusual or extreme market conditions, a counterparty’s creditworthiness and ability to perform may deteriorate rapidly, and the availability of suitable replacement counterparties may become limited.
Forward foreign currency exchange contracts may limit potential gain from a positive change in the relationship between the U.S. Dollar and foreign currencies. Unanticipated changes in currency prices may result in poorer overall performance for a Fund than if it had not engaged in such contracts. Moreover, there may be an imperfect correlation between a Fund’s portfolio holdings of securities denominated in a particular currency and the currencies bought or sold in the forward foreign currency exchange contract entered into by the Fund. This imperfect correlation may cause a Fund to sustain losses that will prevent the Fund from achieving a complete hedge or expose the Fund to risk of foreign exchange loss.
Forward foreign currency exchange contracts outstanding at year end, if any, are listed after each Fund’s Schedule of Investments. Any resulting unrealized gains or losses are recorded in Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts in the Statements of Operations. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Realized gains or losses, if any, are included in Net realized gains (losses) on forward foreign currency exchange contracts in the Statements of Operations.
Futures Contracts: A Fund may enter into futures contracts. Generally, a futures contract is a standard binding agreement to buy or sell a specified quantity of an underlying reference instrument, such as a specific security, rate, currency or commodity, at a specified price at a specified later date. Each Fund may purchase or sell interest rate futures for the purpose of hedging some or all of the value of its portfolio securities against changes in prevailing interest rates or to manage its duration or effective maturity. If MIM or a subadviser anticipates that interest rates may rise and, concomitantly, the price of certain of its portfolio securities may fall, a Fund may sell futures contracts. If declining interest rates are anticipated, a Fund may purchase futures contracts to protect against a potential increase in the price of securities the Fund intends to purchase. Subsequently, appropriate securities may be purchased by a Fund in an orderly fashion; as securities are purchased, corresponding futures positions would be terminated by offsetting sales of contracts.
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When a Fund enters into a futures contract, it must deliver to an account controlled by a futures commission merchant (“FCM”) an amount referred to as “initial margin” that is typically calculated as an amount equal to the volatility in market value of a contract over a fixed period. Initial margin requirements are determined by the respective exchanges on which the futures contracts are traded and the FCM. Thereafter, a “variation margin” amount may be required to be paid by a Fund or received by the Fund in accordance with margin controls set for such accounts, depending upon changes in the marked-to-market value of the futures contract. The account is marked-to-market daily and the variation margin is monitored by a Fund’s investment manager and custodian on a daily basis. When the futures contract is closed out, if a Fund has a loss equal to or greater than the margin amount, the margin amount is paid to the FCM along with any loss in excess of the margin amount. If a Fund has a loss of less than the margin amount, the excess margin is returned to the Fund. If a Fund has a gain, the full margin amount and the amount of the gain is paid to the Fund.
A Fund’s use of futures contracts is subject to the risks associated with derivative instruments generally. In addition, if MIM’s or a subadviser’s judgment about the general direction of interest rates or markets is wrong, a Fund’s overall performance may be poorer than if no financial futures contracts had been entered into. For example, in some cases, securities called for by a financial futures contract may not have been issued at the time the contract was written. In addition, the market prices of financial futures contracts may be affected by certain factors.
There is a risk of loss by a Fund of the initial and variation margin deposits in the event of bankruptcy of the FCM with which the Fund has an open position in a futures contract. The assets of a Fund may not be fully protected in the event of the bankruptcy of the FCM or central counterparty because the Fund might be limited to recovering only a pro rata share of all available funds and margin segregated on behalf of an FCM’s customers. If an FCM does not provide accurate reporting, a Fund is also subject to the risk that the FCM could use the Fund’s assets, which are held in an omnibus account with assets belonging to the FCM’s other customers, to satisfy its own financial obligations or the payment obligations of another customer to the central counterparty.
The risk of loss in trading financial futures can be substantial due to the low margin deposits required and the extremely high degree of leverage involved in futures pricing. Relatively small price movements in a financial futures contract could have an immediate and substantial impact, which may be favorable or unfavorable to a Fund. It is possible for a price-related loss to exceed the amount of a Fund’s margin deposit.
Each Fund will incur brokerage fees in connection with its futures transactions. In addition, while futures contracts will be purchased and sold to reduce certain risks, those transactions themselves entail certain other risks. Thus, while a Fund may benefit from the use of futures, unanticipated changes in interest rates or stock price movements may result in a poorer overall performance for the Fund than if it had not entered into any futures contracts. Moreover, in the event of an imperfect correlation between the futures position and the portfolio position that is intended to be protected, the desired protection may not be obtained and the Fund may be exposed to risk of loss.
Although some financial futures contracts by their terms call for the actual delivery or acquisition of securities at expiration, in most cases the contractual commitment is closed out before expiration. The offsetting of a contractual obligation is accomplished by purchasing (or selling as the case may be) on a commodities or futures exchange an identical financial futures contract calling for delivery in the same month. Such a
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transaction, if effected through a member of an exchange, cancels the obligation to make or take delivery of the securities. A Fund will incur brokerage fees when it purchases or sells financial futures contracts, and will be required to maintain margin deposits. If a liquid secondary market does not exist when a Fund wishes to close out a financial futures contract, it will not be able to do so and will continue to be required to make daily cash payments of variation margin in the event of adverse price movements. There is no assurance that a Fund will be able to enter into closing transactions.
Futures contracts outstanding at year end, if any, are listed after each Fund’s Schedule of Investments. The Statements of Operations include any realized gains or losses on closed futures contracts in Net realized gains (losses) on futures contracts, and any unrealized gains or losses on open futures contracts in Net change in unrealized appreciation (depreciation) on futures contracts. At April 30, 2021, the Morningstar Total Return Bond Fund, the Morningstar Unconstrained Allocation Fund and the Morningstar Alternatives Fund pledged cash to cover margin requirements for open futures positions in an amount of $3,429,354, $71,280 and $1,231,797, respectively, which is included in Due from Broker on the Statements of Assets and Liabilities.
Interest rate caps and floors: A Fund may enter into interest rate caps and floors. Interest rate caps and floors are entered into to gain or reduce exposure to interest rates (interest rate risk and/or other risk). Caps are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes exceed a specified rate, or “cap.” Floors are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes fall below a specified rate, or “floor” The maximum potential amount of future payments that a Fund would be required to make under an interest rate cap would be the notional amount times the percentage increase in interest rates determined by difference between the interest rate index current value at the time the cap was entered into.
Options: A Fund may purchase and sell call and put options. An option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy an underlying reference instrument, such as a specified security, currency, index, or other instrument, from the writer of the option (in the case of a call option), or to sell a specified reference instrument to the writer of the option (in the case of a put option) at a designated price during the term of the option. The premium paid by the buyer of an option will reflect, among other things, the relationship of the exercise price to the market price and the volatility of the underlying reference instrument, the remaining term of the option, supply, demand, interest rates and/or currency exchange rates. An American style put or call option may be exercised at any time during the option period while a European style put or call option may be exercised only upon expiration or during a fixed period prior thereto. Put and call options are traded on national securities exchanges and in the OTC market.
As the buyer of a call option, a Fund has a right to buy the underlying reference instrument (e.g., a currency or security) at the exercise price at any time during the option period (for American style options). A Fund may enter into closing sale transactions with respect to call options, exercise them, or permit them to expire. Unless the price of the underlying reference instrument changes sufficiently, a call option purchased by a Fund may expire without any value to the Fund, in which case the Fund would experience a loss to the extent of the premium paid for the option plus related transaction costs.
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As the buyer of a put option, a Fund has the right to sell the underlying reference instrument at the exercise price at any time during the option period (for American style options). Like a call option, a Fund may enter into closing sale transactions with respect to put options, exercise them or permit them to expire. If a put option is not terminated in a closing sale transaction when it has remaining value, and if the market price of the underlying reference instrument remains equal to or greater than the exercise price during the life of the put option, the buyer would not make any gain upon exercise of the option and would experience a loss to the extent of the premium paid for the option plus related transaction costs. In order for the purchase of a put option to be profitable, the market price of the underlying reference instrument must decline sufficiently below the exercise price to cover the premium and transaction costs.
Writing options may permit the writer to generate additional income in the form of the premium received for writing the option. The writer of an option may have no control over when the underlying reference instruments must be sold (in the case of a call option) or purchased (in the case of a put option) because the writer may be notified of exercise at any time prior to the expiration of the option (for American style options). In general, though, options are infrequently exercised prior to expiration. Whether or not an option expires unexercised, the writer retains the amount of the premium. Writing “covered” call options means that the writer owns the underlying reference instrument that is subject to the call option. Call options may also be written on reference instruments that the writer does not own.
If a call option written by a Fund expires unexercised, the Fund will realize a gain in the amount of the premium received. If the market price of the underlying reference instrument decreases, the call option will not be exercised and the Fund will be able to use the amount of the premium received to hedge against the loss in value of the underlying reference instrument. The exercise price of a call option will be chosen based upon the expected price movement of the underlying reference instrument. The exercise price of a call option may be below, equal to (at-the money), or above the current value of the underlying reference instrument at the time the option is written.
As the writer of a put option, a Fund has a risk of loss should the underlying reference instrument decline in value. If the value of the underlying reference instrument declines below the exercise price of the put option and the put option is exercised, the Fund, as the writer of the put option, will be required to buy the instrument at the exercise price, which will exceed the market value of the underlying reference instrument at that time. A Fund will incur a loss to the extent that the current market value of the underlying reference instrument is less than the exercise price of the put option. However, the loss will be offset in part by the premium received from the buyer of the put. If a put option written by a Fund expires unexercised, the Fund will realize a gain in the amount of the premium received.
Options involve certain risks, including general risks related to derivative instruments. There can be no assurance that a liquid secondary market on an exchange will exist for any particular option, or at any particular time, and a Fund may have difficulty effecting closing transactions in particular options. Therefore, a Fund would have to exercise the options it purchased in order to realize any profit, thus taking or making delivery of the underlying reference instrument when not desired. A Fund could then incur transaction costs upon the sale of the underlying reference instruments. Similarly, when a Fund cannot effect a closing transaction with respect to a put option it wrote, and the buyer exercises, the Fund would be required to take delivery and would incur transaction costs upon the sale of the underlying reference instruments purchased. If a Fund, as a covered call
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option writer, is unable to effect a closing purchase transaction in a secondary market, it will not be able to sell the underlying reference instrument until the option expires, it delivers the underlying instrument upon exercise, or it segregates enough liquid assets to purchase the underlying reference instrument at the marked-to-market price during the term of the option. When trading options on non-U.S. exchanges or in the OTC market, many of the protections afforded to exchange participants will not be available. For example, there may be no daily price fluctuation limits, and adverse market movements could therefore continue to an unlimited extent over an indefinite period of time.
The effectiveness of an options strategy for hedging depends on the degree to which price movements in the underlying reference instruments correlate with price movements in the relevant portion of a Fund’s portfolio that is being hedged. In addition, a Fund bears the risk that the prices of its portfolio investments will not move in the same amount as the option it has purchased or sold for hedging purposes, or that there may be a negative correlation that would result in a loss on both the investments and the option. If the investment manager is not successful in using options in managing a Fund’s investments, the Fund’s performance will be worse than if the investment manager did not employ such strategies.
Swaptions: An option on an interest-rate swap (sometimes referred to as a “swaption”) is a contract that gives the purchaser the right, but not the obligation, in return for payment of a premium, to enter into a new interest-rate swap. Options on swap agreements involve the risks associated with derivative instruments generally, as well as the additional risks associated with both options and swaps generally. A pay fixed option on an interest-rate swap gives the buyer the right to establish a position in an interest-rate swap where the buyer will pay (and the writer will receive) the fixed-rate cash flows and receive (and the writer will pay) the floating-rate cash flows. In general, most options on interest-rate swaps are “European” exercise, which means that they can only be exercised at the end of the option term.
Depending on the movement of interest rates between the time of purchase and expiration, the value of the underlying interest-rate swap and therefore also the value of the option on the interest-rate swap will change. When a Fund purchases an option on a swap agreement, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised, plus any related transaction costs. However, if a Fund writes (sells) a swaption, the Fund is bound by the terms of the underlying swap agreement upon exercise of the option by the buyer, which may result in losses to the Fund in excess of the premium it received.
Options on swap agreements are considered to be swaps for purposes of Commodity Futures Trading Commission (“CFTC”) regulation. Although they are traded OTC, the CFTC may in the future designate certain options on swaps as subject to mandatory clearing.
When a Fund purchases a swaption, an amount equal to the premium paid by the Fund is recorded as an investment on the Schedules of Investments, the value of which is marked-to-market daily to reflect the current market value of the swaption purchased. If the swaption expires, a Fund realizes a loss equal to the amount of the premium paid.
Swaptions are marked-to-market daily based upon quotations from market makers. Changes in the value of the swaption are reported as unrealized gains or losses.
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Interest Rate, Inflation Index and Total Return Swap Contracts: A Fund may purchase interest-rate swaps. A Fund may use interest-rate swaps to increase or decrease exposure to a particular interest rate or rates, which may result in the Fund experiencing a gain or loss depending on whether the interest rates increased or decreased during the term of the agreement. A Fund may also enter into inflation index swaps to manage exposure to inflation risk. An inflation index swap is an agreement between two parties, whereby one party makes payments based on the cumulative percentage increase in an index that serves as a measure of inflation (typically, the Consumer Price Index) and the other party makes a regular payment based on a compounded fixed rate. The value of an inflation index swap is expected to change in response to changes in the rate of inflation. If inflation increases at a faster rate than anticipated at the time the swap is entered into, the swap will increase in value. Similarly, if inflation increases at a rate slower than anticipated at the time the swap is entered into, the swap will decrease in value. A Fund may also engage in total return swaps, in which payments made by the Fund or the counterparty are based on the total return of a particular reference asset or assets (such as a fixed-income security, a combination of securities, or an index). The value of a Fund’s swap positions would increase or decrease depending on the changes in value of the underlying rates, currency values, volatility or other indexes or measures. Caps and floors have an effect similar to buying or writing options. Depending on how they are used, swap agreements may increase or decrease the overall volatility of a Fund’s investments and its share price. A Fund’s ability to engage in certain swap transactions may be limited by tax considerations.
A Fund’s ability to realize a profit from such transactions will depend on the ability of the financial institutions with which it enters into the transactions to meet their obligations to the Fund. If a counterparty’s creditworthiness declines, the value of the agreement would be likely to decline, potentially resulting in losses. If a default occurs by the other party to such transaction, a Fund will have contractual remedies pursuant to the agreements related to the transaction, which may be limited by applicable law in the case of a counterparty’s insolvency. Under certain circumstances, suitable transactions may not be available to a Fund, or the Fund may be unable to close out its position under such transactions at the same time, or at the same price, as if it had purchased comparable publicly traded securities. Swaps carry counterparty risks that cannot be fully anticipated. Also, because swap transactions typically involve a contract between the two parties, such swap investments can be extremely illiquid, as it is uncertain as to whether another counterparty would wish to take assignment of the rights under the swap contract at a price acceptable to a Fund.
For centrally cleared swaps, the Schedules of Investments include the cumulative appreciation (depreciation), while only the current day’s variation margin is reported within the Statements of Assets and Liabilities. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability and an upfront payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Upfront payments are amortized over the term of the contract. If there is no upfront payment or receipt, market value will equal unrealized appreciation(depreciation). Periodic payments received (paid) by a Fund are recorded as realized gains (losses) from the expiration or closing of swap contracts on the Fund’s Statement of Assets and Liabilities.
Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statements of Operations. The Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Schedules of Investments. Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared
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interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.
Credit Default Swap Contracts: A Fund may purchase credit default swaps. A credit default swap is an agreement between a Fund and a counterparty that enables the Fund to buy or sell protection against a credit event related to a particular issuer. One party, acting as a protection buyer, makes periodic payments, which may be based on, among other things, a fixed or floating rate of interest, to the other party, a protection seller, in exchange for a promise by the protection seller to make a payment to the protection buyer if a negative credit event (such as a delinquent payment or default) occurs with respect to a referenced bond or group of bonds. Credit default swaps may also be structured based on the debt of a basket of issuers, rather than a single issuer, and may be customized with respect to the default event that triggers purchase or other factors, or defaults by a particular combination of issuers within the basket, may trigger a payment obligation). As a credit protection seller in a credit default swap contract, a Fund would be required to pay the par (or other agreed-upon) value of a referenced debt obligation to the counterparty following certain negative credit events as to a specified third-party debtor, such as default by a U.S. or non-U.S. corporate issuer on its debt obligations. In return for its obligation, a Fund would receive from the counterparty a periodic stream of payments, which may be based on, among other things, a fixed or floating rate of interest, over the term of the contract provided that no event of default has occurred. If no default occurs, a Fund would keep the stream of payments, and would have no payment obligations to the counterparty. A Fund may sell credit protection to earn additional income and/or to take a synthetic long position in the underlying security or basket of securities.
A Fund may enter into credit default swap contracts as protection buyer to hedge against the risk of default on the debt of a particular issuer or basket of issuers or attempt to profit from a deterioration or perceived deterioration in the creditworthiness of the particular issuer(s) (also known as buying credit protection). This would involve the risk that the investment may expire worthless and would only generate gain in the event of an actual default by the issuer(s) of the underlying obligation(s) (or, as applicable, a credit downgrade or other indication of financial instability). It would also involve the risk that the seller may fail to satisfy its payment obligations to a Fund. The purchase of credit default swaps involves costs, which will reduce a Fund’s return.
Credit default swaps involve a number of special risks. A protection seller may have to pay out amounts following a negative credit event greater than the value of the reference obligation delivered to it by its counterparty and the amount of periodic payments previously received by it from the counterparty. When a Fund acts as a seller of a credit default swap, it is exposed to, among other things, leverage risk because if an event of default occurs the seller must pay the buyer the full notional value of the reference obligation. Each party to a credit default swap is subject to the credit risk of its counterparty (the risk that its counterparty may be unwilling or unable to perform its obligations on the swap as they come due). The value of the credit default swap to each party will change based on changes in the actual or perceived creditworthiness of the underlying issuer.
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A protection buyer may lose its investment and recover nothing should an event of default not occur. A Fund may seek to realize gains on its credit default swap positions, or limit losses on its positions, by selling those positions in the secondary market. There can be no assurance that a liquid secondary market will exist at any given time for any particular credit default swap or for credit default swaps generally.
The market for credit default swaps has become more volatile in recent years as the creditworthiness of certain counterparties has been questioned and/or downgraded. The parties to a credit default swap may be required to post collateral to each other. If a Fund posts initial or periodic collateral to its counterparty, it may not be able to recover that collateral from the counterparty in accordance with the terms of the swap. In addition, if a Fund receives collateral from its counterparty, it may be delayed or prevented from realizing on the collateral in the event of the insolvency or bankruptcy of the counterparty. A Fund may exit its obligations under a credit default swap only by terminating the contract and paying applicable breakage fees, or by entering into an offsetting credit default swap position, which may cause the Fund to incur more losses.
The credit default contracts are marked to market daily and the change, if any, is recorded as an unrealized gain or loss. Changes in market value are accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the up-front payment, is recorded as a realized gain or loss on swap contracts in the Statements of Operations.
Each Fund’s risk of loss associated with these instruments may exceed their fair value, as recorded in the Schedules of Investments. Credit default contracts outstanding, including their respective notional amounts at year end, if any, are listed after each Fund’s Schedule of Investments.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default contracts on corporate issues or sovereign issues of an emerging country as of year end are disclosed in the Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default contracts on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Contracts for Differences: The Morningstar Alternatives Fund may enter into Contracts for Differences (“CFDs”). CFDs are leveraged derivative instruments that allow a Fund to take a position on the change in the market price of an underlying asset, such as a stock, or the value of an index or currency exchange rate. With a short CFD, a Fund is seeking to profit from falls in the market price of the asset. CFDs are subject to liquidity risk because the liquidity of CFDs is based on the liquidity of the underlying instrument, and are subject to counterparty risk, i.e., the risk that the counterparty to the CFD transaction may be unable or unwilling to make payments or to otherwise honor its financial obligations under the terms of the contract. It is also possible that the market price of the CFD will move between the time the order is placed by a Fund and when it is executed
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Notes to Financial Statements (continued)
by the issuer, which can result in the trade being executed at a less favorable price. CFDs, like many other derivative instruments, involve the risk that, if the derivative security declines in value, additional margin would be required to maintain the margin level. The seller may require a Fund to deposit additional sums to cover this decline in value, and the margin call may be at short notice. If additional margin is not provided in time, the seller may liquidate the positions at a loss for which a Fund is liable. The potential for margin calls and large losses are much greater in CFDs than in other leveraged products. Most CFDs are traded OTC. CFDs are not registered with the SEC or any U.S. regulator, and are not subject to U.S. regulation. In a short position, a Fund will receive or pay an amount based upon the amount, if any, by which the notional amount of the CFD would have decreased or increased in value had it sold the particular stocks short, less the dividends that would have been paid on those stocks, plus a floating rate of interest on the notional amount of the CFD. All of these components are reflected in the market value of the CFD.
Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates.
As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to i) close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty, ii) exit transactions through means other than sale, such as through a negotiated agreement with the Funds’ counterparty, a transfer to another party, or close out of the position through execution of an offsetting transaction.
Master Repurchase Agreements govern repurchase, or reverse repurchase transactions, relating to government bonds between certain Funds and select counterparties. Master Repurchase Agreements maintain provisions for initiation, income payments, events of default, and maintenance of collateral.
Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms for such transactions and include guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.
Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. Upon entering into an exchange-traded or centrally cleared derivative contract, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded as Deposits with brokers for centrally cleared swaps and Deposits with brokers for futures contracts on the Statements of Assets and Liabilities. For exchange-traded futures or centrally cleared
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Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on centrally cleared swaps and Variation margin on futures contracts. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC derivative transactions entered into between certain Funds and a counterparty. ISDA Master Agreements maintain provisions for general obligations, representations, netting of settlement payments, agreements to deliver supporting documents, collateral transfer and events of default or termination. Events of termination include a decline in a Fund’s net assets below a specified threshold over a certain period of time or a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by a party to elect early termination could be material to the financial statements and impact a Fund’s future derivative activity.
Collateral and margin requirements differ according to the terms of each type of Master Agreement. Collateral is routinely transferred if the total net exposure net of existing collateral already in place governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold. Collateral can be in the form of cash, debt securities issued by the U.S. government, money market funds and other securities as agreed to by a Fund and the applicable counterparty, or as permitted by the clearing house or exchange.
Collateral pledged by a Fund for OTC derivatives pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements of Assets and Liabilities either as a component of Investments in non-affiliates, at value (securities) or in Due from broker (cash). Segregation of a Fund’s collateral in the custodian account helps mitigate counterparty risk.
Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund. Amounts which can be invested or repledged, are presented in each Fund’s Schedule of Investments. Collateral received is reflected as a liability within Due to broker in the Statements of Assets and Liabilities.
315
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts are not accounted for as hedging instruments under GAAP. The effect of such derivative instruments on the Funds’ financial position and financial performance for the year ended April 30, 2021 are as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Assets | | | Liabilities | |
| | | | | | | | | | |
| | | Unrealized Appreciation on Futures Contracts(1) | | | Swaps and Contracts for Difference at Fair Value(2) | | | Unrealized Appreciation on Forward Currency Exchange Contracts | | | Purchased Options and Swaptions at Fair Market Value | | | Total | | | Unrealized Depreciation on Futures Contracts(1) | | | Swaps and Contracts for Difference at Fair Value(2) | | | Unrealized Depreciation on Forward Currency Exchange Contracts | | | Written Options and Swaptions at Fair Market Value | | | Total | |
| | | | | | |
Morningstar International Equity Fund | | | | | | | | | | | | | | | | | | | | | |
| Foreign exchange rate risk | | $ | — | | | $ | — | | | $ | 118,885 | | | $ | — | | | $ | 118,885 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | |
Total | | | — | | | | — | | | | 118,885 | | | | — | | | | 118,885 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Net Fair Value of Derivative Contracts | | $ | — | | | $ | — | | | $ | 118,885 | | | $ | — | | | $ | 118,885 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | |
| Morningstar Total Return Bond Fund | | | | | | | | | | | | | | | | | | | | | |
| Credit risk | | $ | — | | | $ | 3,315,851 | | | $ | — | | | $ | — | | | $ | 3,315,851 | | | $ | — | | | $ | 16,004 | | | $ | — | | | $ | — | | | $ | 16,004 | |
| Equity risk | | | — | | | | 14,894 | | | | — | | | | — | | | | 14,894 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Foreign exchange rate risk | | | — | | | | — | | | | 201,143 | | | | 85,433 | | | | 286,576 | | | | — | | | | — | | | | 183,990 | | | | 13,501 | | | | 197,491 | |
| Inflation risk | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 159,558 | | | | — | | | | — | | | | 159,558 | |
| Interest rate risk | | | 401,890 | | | | 3,582,735 | | | | — | | | | 1,817,468 | | | | 5,802,093 | | | | 949,449 | | | | 353,666 | | | | — | | | | 1,720,348 | | | | 3,023,463 | |
| | | | | | | | | | |
Total | | | 401,890 | | | | 6,913,480 | | | | 201,143 | | | | 1,902,901 | | | | 9,419,414 | | | | 949,449 | | | | 529,228 | | | | 183,990 | | | | 1,733,849 | | | | 3,396,516 | |
Netting positions | | | (401,890 | ) | | | (529,228 | ) | | | (183,990 | ) | | | (1,733,849 | ) | | | (2,848,957 | ) | | | (401,890 | ) | | | (529,228 | ) | | | (183,990 | ) | | | (1,733,849 | ) | | | (2,848,957 | ) |
| Net Fair Value of Derivative Contracts | | $ | — | | | $ | 6,384,252 | | | $ | 17,153 | | | $ | 169,052 | | | $ | 6,570,457 | | | $ | 547,559 | | | $ | — | | | $ | — | | | $ | — | | | $ | 547,559 | |
| | | | | | |
| Morningstar Multisector Bond Fund | | | | | | | | | | | | | | | | | | | | | |
| Credit risk | | $ | — | | | $ | 51,168 | | | $ | — | | | $ | — | | | $ | 51,168 | | | $ | — | | | $ | 4,888 | | | $ | — | | | $ | — | | | $ | 4,888 | |
| Foreign exchange rate risk | | | — | | | | — | | | | 456,698 | | | | — | | | | 456,698 | | | | — | | | | — | | | | 686,020 | | | | — | | | | 686,020 | |
| | | | | | | | | | |
Total | | | — | | | | 51,168 | | | | 456,698 | | | | — | | | | 507,866 | | | | — | | | | 4,888 | | | | 686,020 | | | | — | | | | 690,908 | |
Netting positions | | | — | | | | (4,888 | ) | | | (456,698 | ) | | | — | | | | (461,586 | ) | | | — | | | | (4,888 | ) | | | (456,698 | ) | | | — | | | | (461,586 | ) |
| Net Fair Value of Derivative Contracts | | $ | — | | | $ | 46,280 | | | $ | — | | | $ | — | | | $ | 46,280 | | | $ | — | | | $ | — | | | $ | 229,322 | | | $ | — | | | $ | 229,322 | |
| | | | | | |
| Morningstar Unconstrained Allocation Fund | | | | | | | | | | | | | | | | | | | | | |
| Foreign exchange rate risk | | $ | — | | | $ | — | | | $ | 229,170 | | | $ | — | | | $ | 229,170 | | | $ | — | | | $ | — | | | $ | 199,783 | | | $ | — | | | $ | 199,783 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
316
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Assets | | | Liabilities | |
| | | | | | | | | | |
| | | Unrealized
Appreciation
on Futures
Contracts(1) | | | Swaps and
Contracts for
Difference at
Fair Value(2) | | | Unrealized
Appreciation
on Forward
Currency
Exchange
Contracts | | | Purchased
Options and
Swaptions at
Fair Market
Value | | | Total | | | Unrealized
Depreciation
on Futures
Contracts(1) | | | Swaps and
Contracts for
Difference at
Fair Value(2) | | | Unrealized
Depreciation
on Forward
Currency
Exchange
Contracts | | | Written
Options and
Swaptions at
Fair Market
Value | | | Total | |
| | | | | | |
Morningstar Unconstrained Allocation Fund (continued) | | | | | | | | | | | | | | | | | | | | | |
| Interest rate risk | | $ | 1,962 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,962 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | |
Total | | | 1,962 | | | | — | | | | 229,170 | | | | — | | | | 231,132 | | | | — | | | | — | | | | 199,783 | | | | — | | | | 199,783 | |
Netting positions | | | — | | | | — | | | | (199,783 | ) | | | — | | | | (199,783 | ) | | | — | | | | — | | | | (199,783 | ) | | | — | | | | (199,783 | ) |
| Net Fair Value of Derivative Contracts | | $ | 1,962 | | | $ | — | | | $ | 29,387 | | | $ | — | | | $ | 31,349 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | |
| Morningstar Alternatives Fund | | | | | |
| Equity risk | | $ | — | | | $ | 60,370,194 | | | $ | — | | | $ | 136,549 | | | $ | 60,506,743 | | | $ | — | | | $ | 59,180,317 | | | $ | — | | | $ | 182,065 | | | $ | 59,362,382 | |
| Foreign exchange rate risk | | | — | | | | — | | | | 72,017 | | | | — | | | | 72,017 | | | | — | | | | — | | | | 68,025 | | | | — | | | | 68,025 | |
| Interest rate risk | | | 274,806 | | | | 101,190 | | | | — | | | | — | | | | 375,996 | | | | 86,704 | | | | 89,489 | | | | — | | | | — | | | | 176,193 | |
| | | | | | | | | | | |
Total | | | 274,806 | | | | 60,471,384 | | | | 72,017 | | | | 136,549 | | | | 60,954,756 | | | | 86,704 | | | | 59,269,806 | | | | 68,025 | | | | 182,065 | | | | 59,606,600 | |
Netting positions | | | (86,704 | ) | | | (59,269,806 | ) | | | (68,025 | ) | | | (136,549 | ) | | | (59,561,084 | ) | | | (86,704 | ) | | | (59,269,806 | ) | | | (68,025 | ) | | | (136,549 | ) | | | (59,561,084 | ) |
| Net Fair Value of Derivative Contracts | | $ | 188,102 | | | $ | 1,201,578 | | | $ | 3,992 | | | $ | — | | | $ | 1,393,672 | | | $ | — | | | $ | — | | | $ | — | | | $ | 45,516 | | | $ | 45,516 | |
| 1 | Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedule of Investments’ footnotes. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities. |
| 2 | Includes cumulative appreciation/depreciation on centrally-cleared swap agreements as reported in the Schedule of Investments’ footnotes. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the year ended April 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net Realized Gain (Loss) on Derivatives Recognized as a Result from Operations | | | Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result from Operations | |
| | | | | | | | | | |
| | | Futures
Contracts | | | Swaps and
Contracts for
Difference | | | Forward
Currency
Exchange
Contracts | | | Purchased/
Written
Options and
Swaptions | | | Total | | | Futures
Contracts | | | Swaps and
Contracts for
Difference | | | Forward
Currency
Exchange
Contracts | | | Purchased/
Written
Options and
Swaptions | | | Total | |
| | | | | | | | |
| Morningstar International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign exchange rate risk | | | $— | | | | $ — | | | $ | (198,545 | ) | | $ | — | | | $ | (198,545 | ) | | | $— | | | $ | — | | | $ | 132,198 | | | $ | — | | | $ | 132,198 | |
| | | | | | | | | | |
| Total | | | $— | | | | $ — | | | $ | (198,545 | ) | | $ | — | | | $ | (198,545 | ) | | | $— | | | $ | — | | | $ | 132,198 | | | $ | — | | | $ | 132,198 | |
| | | | | | | | | |
| Morningstar Total Return Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Credit risk | | | $— | | | | $897,255 | | | $ | — | | | $ | — | | | $ | 897,255 | | | | $— | | | $ | 14,244 | | | $ | — | | | $ | 7,526 | | | $ | 21,770 | |
| Equity risk | | | — | | | | 120,233 | | | | — | | | | — | | | | 120,233 | | | | — | | | | 15,184 | | | | — | | | | — | | | | 15,184 | |
| Foreign exchange rate risk | | | — | | | | — | | | | (232,684 | ) | | | (321,945 | ) | | | (554,629 | ) | | | — | | | | — | | | | (243,536 | ) | | | (93,999 | ) | | | (337,535 | ) |
| Inflation risk | | | — | | | | (140,666 | ) | | | — | | | | — | | | | (140,666 | ) | | | — | | | | (164,965 | ) | | | — | | | | — | | | | (164,965 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
317
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net Realized Gain (Loss) on Derivatives Recognized as a Result from Operations | | | Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result from Operations | |
| | | | | | | | | | |
| | | Futures
Contracts | | | Swaps and Contracts for Difference | | | Forward
Currency
Exchange
Contracts | | | Purchased/
Written
Options and
Swaptions | | | Total | | | Futures
Contracts | | | Swaps and
Contracts for
Difference | | | Forward
Currency
Exchange
Contracts | | | Purchased/
Written
Options and
Swaptions | | | Total | |
| Interest rate risk | | $ | (3,767,928 | ) | | $ | (3,123,235 | ) | | $ | — | | | $ | 686,757 | | | $ | (6,204,406 | ) | | $ | (481,480 | ) | | $ | 6,618,720 | | | $ | — | | | $ | 570,075 | | | $ | 6,707,315 | |
| | | | | | | | | | |
| Total | | $ | (3,767,928 | ) | | $ | (2,246,413 | ) | | $ | (232,684 | ) | | $ | 364,812 | | | $ | (5,882,213 | ) | | $ | (481,480 | ) | | $ | 6,483,183 | | | $ | (243,536 | ) | | $ | 483,602 | | | $ | 6,241,769 | |
| | | | | | | | | |
| Morningstar Multisector Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Credit risk | | $ | — | | | $ | 128,081 | | | $ | — | | | $ | — | | | $ | 128,081 | | | $ | — | | | $ | (41,343 | ) | | $ | — | | | $ | — | | | $ | (41,343 | ) |
| Foreign exchange rate risk | | | — | | | | — | | | | (1,870,265 | ) | | | — | | | | (1,870,265 | ) | | | — | | | | — | | | | (1,714,270 | ) | | | — | | | | (1,714,270 | ) |
| | | | | | | | | | |
| Total | | $ | — | | | $ | 128,081 | | | $ | (1,870,265 | ) | | $ | — | | | $ | (1,742,184 | ) | | $ | — | | | $ | (41,343 | ) | | $ | (1,714,270 | ) | | $ | — | | | $ | (1,755,613 | ) |
| | | | | | | | |
| Morningstar Unconstrained Allocation Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign exchange rate risk | | $ | — | | | $ | — | | | $ | 663,166 | | | $ | — | | | $ | 663,166 | | | $ | — | | | $ | — | | | $ | (2,531 | ) | | $ | — | | | $ | (2,531 | ) |
| Interest rate risk | | | 663,882 | | | | — | | | | — | | | | — | | | | 663,882 | | | | (28,823 | ) | | | — | | | | — | | | | — | | | | (28,823 | ) |
| | | | | | | | | | |
| Total | | $ | 663,882 | | | $ | — | | | $ | 663,166 | | | $ | — | | | $ | 1,327,048 | | | $ | (28,823 | ) | | $ | — | | | $ | (2,531 | ) | | $ | — | | | $ | (31,354 | ) |
| | | | | | | | | |
| Morningstar Alternatives Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Credit risk | | $ | — | | | $ | (25,014 | ) | | $ | — | | | $ | — | | | $ | (25,014 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Equity risk | | | — | | | | (1,427,270 | ) | | | — | | | | 1,089,091 | | | | (338,179 | ) | | | 188,102 | | | | (395,528 | ) | | | — | | | | (97,274 | ) | | | (304,700 | ) |
| Foreign exchange rate risk | | | — | | | | — | | | | (412,331 | ) | | | — | | | | (412,331 | ) | | | — | | | | — | | | | (126,108 | ) | | | — | | | | (126,108 | ) |
| Interest rate risk | | | (168,895 | ) | | | 12,884 | | | | — | | | | — | | | | (156,011 | ) | | | — | | | | 10,801 | | | | — | | | | — | | | | 10,801 | |
| | | | | | | | | | | |
| Total | | $ | (168,895 | ) | | $ | (1,439,400 | ) | | $ | (412,331 | ) | | $ | 1,089,091 | | | $ | (931,535 | ) | | $ | 188,102 | | | $ | (384,727 | ) | | $ | (126,108 | ) | | $ | (97,274 | ) | | $ | (420,007 | ) |
The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of April 30, 2021.
Morningstar International Equity Fund
| | | | | | | | |
| Derivative Financial Instruments: | | Assets | | | Liabilities | |
| |
Forward foreign currency exchange contracts | | | $118,885 | | | | $— | |
| |
Total gross amount of derivatives in the Statement of Assets and Liabilities | | | $118,885 | | | | $— | |
| |
Less: Derivatives not subject to MNA or similar agreements | | | — | | | | — | |
| |
Total gross amount of derivatives subject to MNA or similar agreement | | | $118,885 | | | | $— | |
| |
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Gross Assets | | | Offset | | | Net Amount
Before
Collateral | | | Collateral
(Received)
Pledged | | | Net Exposure | |
| |
Northern Trust | | | $118,885 | | | | $— | | | | $118,885 | | | | $— | | | | $118,885 | |
| |
Total | | | $118,885 | | | | $— | | | | $118,885 | | | | $— | | | | $118,885 | |
| |
318
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
Morningstar Total Return Bond Fund
| | | | | | | | |
| Derivative Financial Instruments: | | Assets | | | Liabilities | |
| |
Forward foreign currency exchange contracts | | $ | 201,143 | | | $ | 183,990 | |
Futures contracts | | | 401,890 | | | | 949,449 | |
Purchased options | | | 1,902,901 | | | | — | |
Written options | | | — | | | | 1,152,596 | |
Total return swaps* | | | 14,894 | | | | — | |
Interest rate swap contracts* | | | 3,582,735 | | | | 353,666 | |
Credit default swap contracts* | | | 3,315,851 | | | | 16,004 | |
Inflation swap contracts* | | | — | | | | 159,558 | |
Written swaptions | | | — | | | | 581,253 | |
| |
Total gross amount of derivatives in the Statement of Assets and Liabilities | | $ | 9,419,414 | | | $ | 3,396,516 | |
| |
Less: Derivatives not subject to MNA or similar agreements | | | (8,960,789 | ) | | | (2,600,287 | ) |
| |
Total gross amount of derivatives subject to MNA or similar agreement | | $ | 458,625 | | | $ | 796,229 | |
| |
| * | The values of swap agreements are the market values listed on the Schedules of Investments. |
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Gross Assets | | | Offset | | | Net Amount
Before
Collateral | | | Collateral
(Received)
Pledged | | | Net Exposure |
Bank of America(a) | | | $ 55,986 | | | $ | (27,889 | ) | | | $ 28,097 | | | $ | (28,097 | ) | | $ — |
Barclays(b) | | | 52,458 | | | | (8,501 | ) | | | 43,957 | | | | (40,000 | ) | | 3,957 |
BNP Paribas | | | 52,178 | | | | (52,178 | ) | | | — | | | | — | | | — |
Citibank(b) | | | 74,429 | | | | (24,040 | ) | | | 50,389 | | | | (20,006 | ) | | 30,383 |
Deutsche Bank | | | 19,418 | | | | (19,418 | ) | | | — | | | | — | | | — |
Goldman Sachs(b) | | | 92,462 | | | | (9,798 | ) | | | 82,664 | | | | (80,000 | ) | | 2,664 |
HSBC(a) | | | 53,095 | | | | (10,506 | ) | | | 42,589 | | | | (42,589 | ) | | — |
JPMorgan Chase(b) | | | 30,638 | | | | (9,451 | ) | | | 21,187 | | | | (10,000 | ) | | 11,187 |
Morgan Stanley | | | 19,565 | | | | (19,565 | ) | | | — | | | | — | | | — |
Standard Chartered Bank | | | 4,695 | | | | (2,712 | ) | | | 1,983 | | | | — | | | 1,983 |
Toronto-Dominion Bank | | | 2,000 | | | | — | | | | 2,000 | | | | — | | | 2,000 |
UBS | | | 1,701 | | | | (1,701 | ) | | | — | | | | — | | | — |
| | | | | |
Total | | | $458,625 | | | | $(185,759 | ) | | | $272,866 | | | $ | (220,692 | ) | | $52,174 |
| | | | | |
| Counterparty | | Gross Liabilities | | | Offset | | | Net Amount
Before
Collateral | | | Collateral
(Received)
Pledged | | | Net Exposure |
Bank of America | | | $ (27,889 | ) | | | $27,889 | | | $ | — | | | | $— | | | $ — |
Barclays | | | (8,501 | ) | | | 8,501 | | | | — | | | | — | | | — |
BNP Paribas | | | (86,276 | ) | | | 52,178 | | | | (34,098 | ) | | | — | | | (34,098) |
Citibank | | | (24,040 | ) | | | 24,040 | | | | — | | | | — | | | — |
Deutsche Bank | | | (298,587 | ) | | | 19,418 | | | | (279,169 | ) | | | — | | | (279,169) |
Goldman Sachs | | | (9,798 | ) | | | 9,798 | | | | — | | | | — | | | — |
HSBC | | | (10,506 | ) | | | 10,506 | | | | — | | | | — | | | — |
JPMorgan Chase | | | (9,451 | ) | | | 9,451 | | | | — | | | | — | | | — |
319
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
Morningstar Total Return Bond Fund (continued)
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Gross Liabilities | | | Offset | | | Net Amount
Before
Collateral | | | Collateral
(Received)
Pledged | | | Net Exposure | |
| |
Morgan Stanley(b) | | | (296,867 | ) | | | 19,565 | | | | (277,302 | ) | | | 277,000 | | | | (302 | ) |
RBS | | | (1,144 | ) | | | — | | | | (1,144 | ) | | | — | | | | (1,144 | ) |
Standard Chartered Bank | | | (2,712 | ) | | | 2,712 | | | | — | | | | — | | | | — | |
State Street | | | (9,994 | ) | | | — | | | | (9,994 | ) | | | — | | | | (9,994 | ) |
UBS(a) | | | (10,464 | ) | | | 1,701 | | | | (8,763 | ) | | | 8,763 | | | | — | |
| |
| | | | | |
| Total | | | $(796,229 | ) | | | $185,759 | | | | $(610,470 | ) | | | $285,763 | | | | $(324,707 | ) |
| |
| (a) | Actual amount of collateral received from Bank of America and HSBC and pledged by the Fund to UBS exceeded the net amount before collateral and is included in “Due from broker” and “Due to broker” respectively, in the Statements of Assets and Liabilities. |
| (b) | Actual amount of collateral received from Barclays, Citibank, Goldman Sachs and JPMorgan Chase and pledged by the Fund to Morgan Stanley is included in “Due from broker” and “Due to broker” respectively, in the Statements of Assets and Liabilities. |
Morningstar Multisector Bond Fund
| | | | | | |
| Derivative Financial Instruments: | | Assets | | | Liabilities |
Forward foreign currency exchange contracts | | $ | 456,698 | | | $686,020 |
Credit default swap contracts* | | | 51,168 | | | 4,888 |
Total gross amount of derivatives in the Statement of Assets and Liabilities | | $ | 507,866 | | | $690,908 |
Less: Derivatives not subject to MNA or similar agreements | | | — | | | — |
Total gross amount of derivatives subject to MNA or similar agreement | | $ | 507,866 | | | $690,908 |
| * | The values of swap agreements are the market values listed on the Schedules of Investments. |
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Gross Assets | | | Offset | | | Net Amount
Before
Collateral | | | Collateral
(Received)
Pledged | | | Net Exposure |
Bank of America(a) | | | $ 69,226 | | | | $ (26,034 | ) | | | $ 43,192 | | | | $(20,000 | ) | | $ 23,192 |
Barclays | | | 63,615 | | | | (13,965 | ) | | | 49,650 | | | | — | | | 49,650 |
BNP | | | — | | | | — | | | | — | | | | — | | | — |
Citibank | | | 51,066 | | | | (51,066 | ) | | | — | | | | — | | | — |
Deutsche Bank | | | 173,875 | | | | (93,890 | ) | | | 79,985 | | | | — | | | 79,985 |
Goldman Sachs | | | 2,867 | | | | (2,867 | ) | | | — | | | | — | | | — |
HSBC | | | 27,265 | | | | (27,265 | ) | | | — | | | | — | | | — |
JPMorgan Chase | | | 85,571 | | | | (85,571 | ) | | | — | | | | — | | | — |
Morgan Stanley | | | 31,904 | | | | (31,904 | ) | | | — | | | | — | | | — |
Standard Chartered Bank | | | 2,477 | | | | (523 | ) | | | 1,954 | | | | — | | | 1,954 |
| | | | | | |
Total | | | $507,866 | | | | $(333,085 | ) | | | $174,781 | | | | $(20,000 | ) | | $154,781 |
320
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
Morningstar Multisector Bond Fund (continued)
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Gross Liabilities | | | Offset | | | Net Amount Before Collateral | | | Collateral (Received) Pledged | | | Net Exposure | |
| |
Bank of America | | | $ (26,034 | ) | | $ | 26,034 | | | | $ — | | | | $ — | | | | $ — | |
Barclays | | | (13,965 | ) | | | 13,965 | | | | — | | | | — | | | | — | |
BNP | | | (489 | ) | | | — | | | | (489 | ) | | | — | | | | (489 | ) |
Citibank(b) | | | (170,864 | ) | | | 51,066 | | | | (119,798 | ) | | | 119,798 | | | | — | |
Deutsche Bank | | | (93,890 | ) | | | 93,890 | | | | — | | | | — | | | | — | |
Goldman Sachs | | | (5,652 | ) | | | 2,867 | | | | (2,785 | ) | | | — | | | | (2,785 | ) |
HSBC(b) | | | (52,703 | ) | | | 27,265 | | | | (25,438 | ) | | | 25,438 | | | | — | |
JPMorgan Chase(a) | | | (157,201 | ) | | | 85,571 | | | | (71,630 | ) | | | 50,000 | | | | (21,630 | ) |
Morgan Stanley | | | (169,587 | ) | | | 31,904 | | | | (137,683 | ) | | | — | | | | (137,683 | ) |
Standard Chartered Bank | | | (523 | ) | | | 523 | | | | — | | | | — | | | | — | |
| |
| | | | | |
Total | | | $(690,908 | ) | | $ | 333,085 | | | | $(357,823 | ) | | | $195,236 | | | | $(162,587 | ) |
| |
| (a) | Actual amount of collateral received from Bank of America and pledged by the Fund to JPMorgan Chase is included in “Due from broker” and “Due to broker” respectively, in the Statements of Assets and Liabilities. |
| (b) | Actual amount of collateral pledged by the Fund to Citibank and HSBC exceeded the net amount before collateral and is included in “Due to broker” in the Statements of Assets and Liabilities. |
Morningstar Unconstrained Allocation Fund
| | | | | | |
| Derivative Financial Instruments: | | Assets | | | Liabilities |
Forward foreign currency exchange contracts | | $ | 229,170 | | | $199,783 |
Futures contracts | | | 1,962 | | | — |
Total gross amount of derivatives in the Statement of Assets and Liabilities | | $ | 231,132 | | | $199,783 |
Less: Derivatives not subject to MNA or similar agreements | | | (1,962 | ) | | — |
Total gross amount of derivatives subject to MNA or similar agreement | | $ | 229,170 | | | $199,783 |
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Gross Assets | | | Offset | | | Net Amount
Before
Collateral | | | Collateral (Received) Pledged | | | Net Exposure |
Barclays | | | $ 19,031 | | | | $ — | | | | $19,031 | | | | $— | | | $19,031 |
Citibank | | | 71,197 | | | | (45,672 | ) | | | 25,525 | | | | — | | | 25,525 |
Goldman Sachs | | | 61,156 | | | | (50,870 | ) | | | 10,286 | | | | — | | | 10,286 |
HSBC | | | 57,622 | | | | (57,622 | ) | | | — | | | | — | | | — |
JPMorgan Chase | | | 18,923 | | | | (18,923 | ) | | | — | | | | — | | | — |
Morgan Stanley | | | 110 | | | | (110 | ) | | | — | | | | — | | | — |
UBS | | | 1,131 | | | | (227 | ) | | | 904 | | | | — | | | 904 |
| | | | | | |
Total | | | $229,170 | | | | $(173,424 | ) | | | $55,746 | | | | $— | | | $55,746 |
321
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
Morningstar Unconstrained Allocation Fund (continued)
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Gross Liabilities | | | Offset | | | Net Amount Before Collateral | | | Collateral (Received) Pledged | | | Net Exposure | |
| |
| | | | | |
Citibank | | | $(45,672 | ) | | | $ 45,672 | | | | $ — | | | | $— | | | | $ — | |
Goldman Sachs | | | (50,870 | ) | | | 50,870 | | | | — | | | | — | | | | — | |
HSBC | | | (64,734 | ) | | | 57,622 | | | | (7,112 | ) | | | — | | | | (7,112 | ) |
JPMorgan Chase | | | (22,137 | ) | | | 18,923 | | | | (3,214 | ) | | | — | | | | (3,214 | ) |
Morgan Stanley | | | (10,094 | ) | | | 110 | | | | (9,984 | ) | | | — | | | | (9,984 | ) |
National Australia Bank | | | (6,049 | ) | | | — | | | | (6,049 | ) | | | — | | | | (6,049 | ) |
UBS | | | (227 | ) | | | 227 | | | | — | | | | — | | | | — | |
| |
| | | | | |
Total | | | $(199,783 | ) | | | $173,424 | | | | $(26,359 | ) | | | $— | | | | $(26,359 | ) |
| |
Morningstar Alternatives Fund
| | | | | | | | | | | | |
| Derivative Financial Instruments: | | Assets | | | | | | Liabilities | |
| |
| | | |
Forward foreign currency exchange contracts | | $ | 72,017 | | | $ | | | | | 68,025 | |
Futures contracts | | | 274,806 | | | | | | | | 86,704 | |
Purchased options | | | 136,549 | | | | | | | | — | |
Written options | | | — | | | | | | | | 182,065 | |
Contracts for difference* | | | 60,370,194 | | | | | | | | 59,180,317 | |
Interest rate swap contracts* | | | 101,190 | | | | | | | | 89,489 | |
| |
| | |
Total gross amount of derivatives in the Statement of Assets and Liabilities | | $ | 60,954,756 | | | | $59,606,600 | |
| |
| | | |
Less: Derivatives not subject to MNA or similar agreements | | | (507,643 | ) | | | | | | | (357,245 | ) |
| |
| | |
Total gross amount of derivatives subject to MNA or similar agreement | | $ | 60,447,113 | | | | $59,249,355 | |
| |
| * | The values of contracts for differences and swap agreements are the market values listed on the Schedules of Investments. |
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Gross Assets | | | Offset | | | Net Amount Before Collateral | | | Collateral (Received) Pledged | | | Net Exposure | |
| |
| | | | | |
Bank of America | | $ | 315 | | | $ | (315 | ) | | $ | — | | | $ | — | | | | $ — | |
Barclays | | | 12,186,495 | | | | (11,883,904 | ) | | | 302,591 | | | | — | | | | 302,591 | |
Goldman Sachs(a) | | | 9,216,527 | | | | (9,012,759 | ) | | | 203,768 | | | | (70,000 | ) | | | 133,768 | |
JPMorgan Chase(a) | | | 38,971,763 | | | | (38,284,900 | ) | | | 686,863 | | | | (560,000 | ) | | | 126,863 | |
Morgan Stanley | | | 72,013 | | | | (66,382 | ) | | | 5,631 | | | | — | | | | 5,631 | |
| |
| | | | | |
Total | | $ | 60,447,113 | | | $ | (59,248,260 | ) | | $ | 1,198,853 | | | $ | (630,000 | ) | | | $568,853 | |
| |
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Gross Liabilities | | | Offset | | | Net Amount Before Collateral | | | Collateral (Received) Pledged | | | Net Exposure | |
| |
| | | | | |
Bank of America | | | $ (891 | ) | | | $ 315 | | | | $(576 | ) | | | $ — | | | | $(576 | ) |
Barclays | | | (11,883,904 | ) | | | 11,883,904 | | | | — | | | | — | | | | — | |
Citibank(b) | | | (519 | ) | | | — | | | | (519 | ) | | | 519 | | | | — | |
322
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Gross Liabilities | | | Offset | | | Net Amount Before Collateral | | | Collateral (Received) Pledged | | | Net Exposure | |
| |
| | | | | |
Goldman Sachs | | | (9,012,759 | ) | | | 9,012,759 | | | | — | | | | — | | | | — | |
JPMorgan Chase | | | (38,284,900 | ) | | | 38,284,900 | | | | — | | | | — | | | | — | |
Morgan Stanley | | | (66,382 | ) | | | 66,382 | | | | — | | | | — | | | | — | |
| |
| | | | | |
Total | | | $(59,249,355 | ) | | | $59,248,260 | | | | $(1,095 | ) | | | $519 | | | | $(576 | ) |
| |
| (a) | Actual amount of collateral received from Goldman Sachs and JPMorgan Chase is included in “Due from broker” in the Statements of Assets and Liabilities. |
| (b) | Actual amount of collateral pledged by the Fund to Citibank exceeded the net amount before collateral and is included in “Due to broker” in the Statements of Assets and Liabilities. |
For the year ended April 30, 2021, the quarterly average notional values were as follows and are representative of the trading volume of the derivatives held by the Funds.
| | | | | | | | | | | | | | | | | | | | |
| | | Morningstar International Equity Fund | | | Morningstar Total Return Bond Fund | | | Morningstar Multisector Bond Fund | | | Morningstar Unconstrained Allocation Fund | | | Morningstar Alternatives Fund | |
| |
| | | | | |
Futures Contracts: | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance - Long | | $ | — | | | $ | 195,873,321 | | | $ | — | | | $ | 1,171,424 | | | $ | 24,229,400 | |
Average Notional Balance - Short | | | — | | | | 252,233,129 | | | | — | | | | 1,306,336 | | | | 19,747,921 | |
Ending Notional Balance - Long | | | — | | | | 411,829,919 | | | | — | | | | — | | | | 37,129,471 | |
Ending Notional Balance - Short | | | — | | | | 293,584,231 | | | | — | | | | 1,673,156 | | | | 42,336,693 | |
|
Forward Foreign Currency Exchange Contracts: | |
| | | | | |
Average Settlement Value - Purchased | | | 3,061,161 | | | | 31,669,622 | | | | 32,700,316 | | | | 6,510,151 | | | | 9,726,051 | |
Average Settlement Value - Sold | | | — | | | | 27,638,772 | | | | 27,278,524 | | | | 18,686,124 | | | | 3,712,388 | |
Ending Settlement Value - Purchased | | | 3,666,856 | | | | 22,796,781 | | | | 28,845,899 | | | | 9,315,125 | | | | 13,941,966 | |
Ending Settlement Value - Sold | | | — | | | | 22,310,367 | | | | 29,940,979 | | | | 25,021,295 | | | | 4,035,197 | |
| | | | | |
Contracts for Difference: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Average Notional Balance - Long | | | — | | | | — | | | | — | | | | — | | | | 1,227,929 | |
Average Notional Balance - Short | | | — | | | | — | | | | — | | | | — | | | | 1,232,185 | |
Ending Notional Balance - Long | | | — | | | | — | | | | — | | | | — | | | | 1,171,834 | |
Ending Notional Balance - Short | | | — | | | | — | | | | — | | | | — | | | | 1,099,201 | |
| | | | | |
Total Return Swaps: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Average Notional Balance - Pays Fixed Rate | | | — | | | | 1,952,500 | | | | — | | | | — | | | | — | |
Ending Notional Balance - Pays Fixed Rate | | | — | | | | 2,940,000 | | | | — | | | | — | | | | — | |
| | | | | |
Inflation Swaps: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Average Notional Balance - Pays Fixed Rate | | | — | | | | 12,360,825 | | | | — | | | | — | | | | — | |
323
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | | | | | |
| | | Morningstar International Equity Fund | | | Morningstar Total Return Bond Fund | | | Morningstar Multisector Bond Fund | | | Morningstar Unconstrained Allocation Fund | | | Morningstar Alternatives Fund | |
| |
| | | | |
Inflation Swaps (continued): | | | | | | | | | | | | | | | | | |
Average Notional Balance - Receives Fixed Rate | | | $— | | | $ | 7,795,494 | | | $ | — | | | | $— | | | $ | — | |
Ending Notional Balance - Receives Fixed Rate | | | — | | | | 12,038,901 | | | | — | | | | — | | | | — | |
| | | | | |
Interest Rate Swaps: | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance - Pays Fixed Rate | | | — | | | | 142,151,093 | | | | — | | | | — | | | | 14,672,390 | |
Average Notional Balance - Receives Fixed Rate | | | — | | | | 44,966,317 | | | | — | | | | — | | | | 7,981,344 | |
Ending Notional Balance - Pays Fixed Rate | | | — | | | | 114,180,966 | | | | — | | | | — | | | | 31,457,092 | |
Ending Notional Balance - Receives Fixed Rate | | | — | | | | 66,718,106 | | | | — | | | | — | | | | 22,905,550 | |
| | | | | |
Credit Default Swaps: | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance - Buy Protection | | | — | | | | 3,659,113 | | | | 600,000 | | | | — | | | | 815,027 | |
Average Notional Balance - Sell Protection | | | — | | | | 69,513,784 | | | | — | | | | — | | | | 370,230 | |
Ending Notional Balance - Buy Protection | | | — | | | | 4,204,087 | | | | 2,400,000 | | | | — | | | | — | |
Ending Notional Balance - Sell Protection | | | — | | | | 123,397,000 | | | | — | | | | — | | | | — | |
| | | | | |
Options: | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance - Purchased | | | — | | | | 1,593,705,783 | | | | 472,500 | | | | — | | | | 3,099,980 | |
Average Notional Balance - Written | | | — | | | | 201,150,421 | | | | — | | | | — | | | | 1,765,877 | |
Ending Notional Balance - Purchased | | | — | | | | 1,006,917,431 | | | | — | | | | — | | | | 7,762,103 | |
Ending Notional Balance - Written | | | — | | | | 621,677,770 | | | | — | | | | — | | | | 2,183,482 | |
| | | | | |
Swaptions: | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance - Purchased | | | — | | | | 12,879,265 | | | | — | | | | — | | | | — | |
Average Notional Balance - Written | | | — | | | | 21,419,265 | | | | — | | | | — | | | | — | |
Ending Notional Balance - Written | | | — | | | | 30,000,000 | | | | — | | | | — | | | | — | |
| | | | |
324
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
8. Federal Income Tax Matters
As of April 30, 2021, the cost and aggregate gross unrealized appreciation (depreciation) of long security positions, short security positions and derivative instruments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Cost of Investments | | | Gross Unrealized Appreciation | | | Gross Unrealized Depreciation | | | Net Unrealized Appreciation (Depreciation) | |
| |
| | | | |
Morningstar U.S. Equity Fund | | $ | 1,298,936,450 | | | $ | 403,693,518 | | | $ | (2,153,260 | ) | | $ | 401,540,258 | |
Morningstar International Equity Fund | | | 862,452,220 | | | | 219,044,984 | | | | (7,313,500 | ) | | | 211,731,484 | |
Morningstar Global Income Fund | | | 241,009,634 | | | | 34,109,629 | | | | (3,081,131 | ) | | | 31,028,498 | |
Morningstar Total Return Bond Fund | | | 912,020,233 | | | | 15,880,184 | | | | (14,061,140 | ) | | | 1,819,044 | |
Morningstar Municipal Bond Fund | | | 408,682,202 | | | | 12,369,947 | | | | (505,088 | ) | | | 11,864,859 | |
Morningstar Defensive Bond Fund | | | 201,847,806 | | | | 2,468,512 | | | | (1,290,141 | ) | | | 1,178,371 | |
Morningstar Multisector Bond Fund | | | 231,246,898 | | | | 8,441,154 | | | | (4,044,224 | ) | | | 4,396,930 | |
Morningstar Unconstrained Allocation Fund | | | 177,047,594 | | | | 35,713,847 | | | | (2,088,219 | ) | | | 33,625,628 | |
Morningstar Alternatives Fund | | | 288,641,382 | | | | 15,916,147 | | | | (12,735,370 | ) | | | 3,180,777 | |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals, mark to market on credit default swaps, contracts for difference, futures contracts, foreign exchange contracts, passive foreign investment companies (“PFICs”), 305(c) deemed dividends, straddle loss deferrals, investment in interest only (“IO”) securities and contingent payment debt instruments (“CPDIs”), and timing of income recognition from Real Estate Investment Trusts (“REITs”).
As of April 30, 2021, the components of distributable earnings (loss) (excluding paid in capital) on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Current Distributable Tax-Exempt Income | | | Current Distributable Ordinary Income | | | Current Distributable Long-Term Capital Gain or Tax Basis Capital Loss Carryforwards | | | Net Unrealized Appreciation (Depreciation) | | | Accumulated Capital and Other Losses | | | Other Temporary Differences | | | Total Accumulated Earnings | |
| |
| | | | | | | |
Morningstar U.S. Equity Fund | | | $ — | | | | $75,911,579 | | | | $39,084,659 | | | | $401,544,468 | | | | $ — | | | | $ — | | | | $516,540,706 | |
Morningstar International Equity Fund | | | — | | | | 22,012,866 | | | | 16,385,543 | | | | 211,143,078 | | | | — | | | | — | | | | 249,541,487 | |
Morningstar Global Income Fund | | | — | | | | 4,134,773 | | | | 2,079,850 | | | | 31,036,293 | | | | — | | | | (1,790 | ) | | | 37,249,126 | |
Morningstar Total Return Bond Fund | | | — | | | | — | | | | 1,710,172 | | | | 1,818,678 | | | | (1,410,071 | ) | | | (7,251 | ) | | | 2,111,528 | |
Morningstar Municipal Bond Fund | | | 91,710 | | | | — | | | | 50,045 | | | | 11,864,859 | | | | — | | | | — | | | | 12,006,614 | |
Morningstar Defensive Bond Fund | | | — | | | | 1,085,631 | | | | 785,732 | | | | 1,178,371 | | | | — | | | | (3,461 | ) | | | 3,046,273 | |
Morningstar Multisector Bond Fund | | | — | | | | 1,609,214 | | | | — | | | | 4,397,961 | | | | — | | | | — | | | | 6,007,175 | |
325
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Current Distributable Tax-Exempt Income | | | Current Distributable Ordinary Income | | | Current Distributable Long-Term Capital Gain or Tax Basis Capital Loss Carryforwards | | | Net Unrealized Appreciation (Depreciation) | | | Accumulated Capital and Other Losses | | | Other Temporary Differences | | | Total Accumulated Earnings | |
| |
Morningstar Unconstrained Allocation Fund | | | $— | | | | $10,444,084 | | | | $2,694,087 | | | | $33,626,452 | | | | $— | | | | $— | | | | $46,764,623 | |
Morningstar Alternatives Fund | | | — | | | | 6,888,279 | | | | 1,008,945 | | | | 3,185,152 | | | | — | | | | — | | | | 11,082,376 | |
Income dividends and capital gains distributions are determined in accordance with federal income tax regulations. Such amounts may differ from income and capital gains recorded in accordance with U.S. GAAP. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts to reflect differences between financial reporting and federal income tax basis distributions. These reclassifications are reported in order to reflect the tax treatment for certain permanent differences that exist between income tax regulations and U.S. GAAP. These reclassifications have no impact on the total net assets or the net asset values per share of the Funds. At April 30, 2021, the following reclassification was recorded:
| | | | | | | | |
| Fund | | Accumulated Distributable Earnings (Losses) | | | Paid-in Capital | |
| |
Morningstar International Equity Fund | | | $(938,078 | ) | | | $938,078 | |
Morningstar Alternatives Fund | | | 5 | | | | (5 | ) |
The tax character of distributions paid during the fiscal year ended April 30, 2021 were as follows:
| | | | | | | | | | | | | | | | |
| | | Fiscal Year Ended April 30, 2021 | |
| | | | |
| Fund | | Tax-Exempt Income | | | Ordinary Income | | | Capital Gains | | | Total Distributions Paid | |
| |
Morningstar U.S. Equity Fund | | | $ — | | | | $22,532,718 | | | | $7,509,239 | | | | $30,041,957 | |
Morningstar International Equity Fund | | | — | | | | 14,646,088 | | | | 11,457,061 | | | | 26,103,149 | |
Morningstar Global Income Fund | | | — | | | | 8,679,816 | | | | — | | | | 8,679,816 | |
Morningstar Total Return Bond Fund | | | — | | | | 23,197,392 | | | | 7,828,440 | | | | 31,025,832 | |
Morningstar Municipal Bond Fund | | | 7,243,804 | | | | 19,743 | | | | — | | | | 7,263,547 | |
Morningstar Defensive Bond Fund | | | — | | | | 4,895,190 | | | | 698,565 | | | | 5,593,755 | |
Morningstar Multisector Bond Fund | | | — | | | | 6,127,676 | | | | — | | | | 6,127,676 | |
Morningstar Unconstrained Allocation Fund | | | — | | | | 5,273,247 | | | | 33,568 | | | | 5,306,815 | |
Morningstar Alternatives Fund | | | — | | | | 6,558,211 | | | | 726,324 | | | | 7,284,535 | |
The tax character of distributions paid during the fiscal year ended April 30, 2020 were as follows:
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Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
| | | Fiscal Year Ended April 30, 2020 | |
| Fund | | Tax Exempt Income | | | Ordinary Income | | | Capital Gains | | | Total Distributions Paid | |
| |
Morningstar U.S. Equity Fund | | | $ — | | | | $18,559,105 | | | | $ 75,419 | | | | $18,634,524 | |
Morningstar International Equity Fund | | | — | | | | 17,320,965 | | | | 58 | | | | 17,321,023 | |
Morningstar Global Income Fund | | | — | | | | 9,337,742 | | | | 13,989 | | | | 9,351,731 | |
Morningstar Total Return Bond Fund | | | — | | | | 25,566,475 | | | | 417,832 | | | | 25,984,307 | |
Morningstar Municipal Bond Fund | | | 3,722,036 | | | | 677,440 | | | | 17 | | | | 4,399,493 | |
Morningstar Defensive Bond Fund | | | — | | | | 4,722,041 | | | | 38 | | | | 4,722,079 | |
Morningstar Multisector Bond Fund | | | — | | | | 10,125,655 | | | | 77 | | | | 10,125,732 | |
Morningstar Unconstrained Allocation Fund | | | — | | | | 2,836,649 | | | | — | | | | 2,836,649 | |
Morningstar Alternatives Fund | | | — | | | | 3,235,052 | | | | 7,401 | | | | 3,242,453 | |
Under the Regulated Investment Company Modernization Act of 2010, Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Capital loss carry forwards with no expiration will retain their character as either short-term or long-term capital losses.
At April 30, 2021, the Funds had no capital loss carryforwards to offset future capital gains.
For the period subsequent to October 31, 2020, through the fiscal year ended April 30, 2021, the following Fund incurred net capital losses and/or late year ordinary losses for which the Fund intends to treat as having been incurred in the following fiscal year:
| | | | |
| Fund | | | |
| |
Morningstar Total Return Bond Fund | | $ | 1,410,071 | |
9. Principal Risks and Concentrations
Multimanager and Subadviser Selection Risk: To a significant extent, the Funds’ performance depends on Morningstar’s skill in selecting subadvisers and each subadviser’s skill in selecting securities and executing its strategy. Subadviser strategies may occasionally be out of favor and subadvisers may underperform relative to their peers or benchmarks.
Foreign Securities Risk: Securities of non-U.S. issuers may be less liquid, more volatile, and harder to value than U.S. securities. They may also be subject to political, economic and regulatory risks, and market instability.
Emerging-Markets Risk: Emerging-market countries may have relatively unstable governments and economies based on only a few industries, which can cause greater instability. These countries are also more likely to experience higher levels of inflation, deflation, or currency devaluations, which could hurt their economies and securities markets.
327
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
Geographic Concentration Risk: To the extent that a Fund invests a significant portion of its assets in a particular country, region or continent, economic, political, social and environmental conditions in such country, region or continent will have a greater effect on the Fund’s performance than they would in a more geographically diversified equity fund.
Currency Risk: Because some of the Funds invest in foreign securities, changes in currency exchange rates could hurt performance. Morningstar or a subadviser may decide not to hedge, or may not be successful in hedging, its currency exposure.
Interest-Rate Risk: The value of fixed-income securities will typically decline when interest rates rise.
Credit Risk: Issuers of fixed-income securities could default or be downgraded if they fail to make required payments of principal or interest.
Derivatives Risk: A derivative is an instrument with a value based on the performance of an underlying currency, security, index, or other reference asset. Derivatives involve risks different from, or possibly greater than, the risks of investing in more traditional investments. Derivatives involve costs, may create leverage, and may be illiquid, volatile, or difficult to value. In addition, derivatives could cause losses if the counterparty to the transaction does not perform as promised. The investment results achieved by using derivatives may not match or fully offset changes in the value of the underlying currency, security, index, or other reference asset that a Fund was attempting to hedge or the investment opportunity it was trying to pursue.
Market Risk: The value of stocks and other securities can be highly volatile and prices may fluctuate widely, which means you should expect a wide range of returns and could lose money, even over a long time period. Various economic, industry, regulatory, political or other factors (such as natural disasters, epidemics and pandemics, terrorism, conflicts or social unrest) may disrupt U.S. and world economies and can dramatically affect markets generally, certain industry sectors, and/or individual companies.
10. Principal Ownership
As of April 30, 2021, the Funds had omnibus accounts owning more than 5% of the total shares outstanding of each Fund as follows:
| | | | | | |
| Fund | | Number of Shareholders | | | % Ownership1 |
Morningstar U.S. Equity Fund | | | 6 | | | 99% |
Morningstar International Equity Fund | | | 6 | | | 99% |
Morningstar Global Income Fund | | | 6 | | | 98% |
Morningstar Total Return Bond Fund | | | 6 | | | 97% |
Morningstar Municipal Bond Fund | | | 6 | | | 99% |
Morningstar Defensive Bond Fund | | | 5 | | | 91% |
Morningstar Multisector Bond Fund | | | 5 | | | 93% |
Morningstar Unconstrained Allocation Fund | | | 6 | | | 98% |
Morningstar Alternatives Fund | | | 5 | | | 94% |
| 1 | Includes omnibus positions of broker-dealers representing numerous shareholder accounts. |
328
Morningstar Funds Trust April 30, 2021
Notes to Financial Statements (continued)
Investment activities of these shareholders may have a material effect on the Funds.
11. Line of Credit
The Funds have a $50 million line of credit agreement with Northern Trust. Borrowings are made solely to facilitate the handling of redemptions or unusual or unanticipated short-term cash requirements. Because several Funds participate and collateral requirements apply, there is no assurance that an individual Fund will have access to the entire $50 million at any particular time. Interest is charged to each Fund based on its borrowings at an amount above the Federal Funds rate. In addition, an administration fee of $10,000 is payable annually and allocated among the Funds based on net assets.
During the year ended April 30, 2021, the Funds made no borrowings against the line of credit.
12. LIBOR Transition Risk
The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates will be phased out by the end of 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
13. Subsequent Events
Management has evaluated subsequent events for the Funds through the date this report was issued and has concluded that no subsequent events occurred which required recognition or disclosure.
329
Morningstar Funds Trust April 30, 2021
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of Morningstar Funds Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Morningstar Funds Trust (comprising the Morningstar U.S. Equity Fund, Morningstar International Equity Fund, Morningstar Global Income Fund, Morningstar Total Return Bond Fund, Morningstar Municipal Bond Fund, Morningstar Defensive Bond Fund, Morningstar Multisector Bond Fund, Morningstar Unconstrained Allocation Fund, and Morningstar Alternatives Fund (collectively referred to as the “Funds”)), including the schedules of investments, as of April 30, 2021, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the two years in the period then ended and for the period from November 2, 2018 (commencement of operations) through April 30, 2019 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds comprising Morningstar Funds Trust at April 30, 2021, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the two years in the period then ended and for the period from November 2, 2018 (commencement of operations) through April 30, 2019, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of April 30, 2021, by correspondence with the custodian, agent banks, and brokers or by other appropriate auditing procedures where replies from brokers or agent banks were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
/s/ ERNST & YOUNG LLP
We have served as the Trust’s auditor since 2018.
Chicago, Illinois
June 29, 2021
330
Morningstar Funds Trust April 30, 2021
Fund Expenses (unaudited)
As a shareholder of a series within Morningstar Funds Trust, you incur ongoing costs, including management fees, administration, custody, sub-accounting, trustees and other fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of a six month period and held for the entire period, November 1, 2020 through April 30, 2021.
Actual Expenses
The three columns for each Fund in the table under the “Actual” heading provide information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the second column for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The last three columns for each Fund in the table under the “Hypothetical (5% return)” heading provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the last three columns for each Fund in the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Actual | | | | | | Hypothetical (5% return) | |
| | | Annualized Expense Ratio | | | Beginning Account Value | | | Ending Account Value | | | Expenses Paid During Period | | | Beginning Account Value | | | Ending Account Value | | | Expenses Paid During Period | |
Morningstar U.S. Equity Fund | | | 0.81% | | | | $1,000.00 | | | | $1,358.90 | | | | $4.74 | | | | $1,000.00 | | | | $1,020.78 | | | | $4.06 | |
Morningstar International Equity Fund | | | 0.89 | | | | 1,000.00 | | | | 1,339.40 | | | | 5.16 | | | | 1,000.00 | | | | 1,020.38 | | | | 4.46 | |
Morningstar Global Income Fund | | | 0.62 | | | | 1,000.00 | | | | 1,192.20 | | | | 3.37 | | | | 1,000.00 | | | | 1,021.72 | | | | 3.11 | |
Morningstar Total Return Bond Fund | | | 0.52 | | | | 1,000.00 | | | | 989.70 | | | | 2.57 | | | | 1,000.00 | | | | 1,022.22 | | | | 2.61 | |
Morningstar Municipal Bond Fund | | | 0.58 | | | | 1,000.00 | | | | 1,026.70 | | | | 2.91 | | | | 1,000.00 | | | | 1,021.92 | | | | 2.91 | |
331
Morningstar Funds Trust April 30, 2021
Fund Expenses (unaudited) (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Actual | | | | | | Hypothetical (5% return) | |
| | | Annualized Expense Ratio | | | Beginning Account Value | | | Ending Account Value | | | Expenses Paid During Period | | | Beginning Account Value | | | Ending Account Value | | | Expenses Paid During Period | |
Morningstar Defensive Bond Fund | | | 0.48% | | | | $1,000.00 | | | | $1,012.60 | | | | $2.40 | | | | $1,000.00 | | | | $1,022.41 | | | | $2.41 | |
Morningstar Multisector Bond Fund | | | 0.79 | | | | 1,000.00 | | | | 1,049.80 | | | | 4.02 | | | | 1,000.00 | | | | 1,020.88 | | | | 3.96 | |
Morningstar Unconstrained Allocation Fund | | | 0.74 | | | | 1,000.00 | | | | 1,252.30 | | | | 4.13 | | | | 1,000.00 | | | | 1,021.12 | | | | 3.71 | |
Morningstar Alternatives Fund | | | 1.14 | | | | 1,000.00 | | | | 1,042.80 | | | | 5.77 | | | | 1,000.00 | | | | 1,019.14 | | | | 5.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
332
Morningstar Funds Trust April 30, 2021
Tax Information (unaudited)
LONG-TERM CAPITAL GAIN — The following Funds designated the below amounts as long-term capital gains, pursuant to Section 852(b)(3)(C) of the Code, for the fiscal year ended April 30, 2021:
| | | | |
| Fund | | Long-Term
Capital Gain | |
| |
Morningstar U.S. Equity Fund | | $ | 39,084,659 | |
Morningstar International Equity Fund | | | 16,385,543 | |
Morningstar Global Income Fund | | | 2,079,850 | |
Morningstar Total Return Bond Fund | | | 1,710,172 | |
Morningstar Municipal Bond Fund | | | 50,045 | |
Morningstar Defensive Bond Fund | | | 785,732 | |
Morningstar Unconstrained Allocation Fund | | | 2,694,087 | |
Morningstar Alternatives Fund | | | 1,008,945 | |
CORPORATE DIVIDENDS-RECEIVED DEDUCTION (DRD) — A percentage of the dividends distributed during the fiscal year ended April 30, 2021 for the following Funds qualifies for the dividends-received deduction for corporate shareholders:
| | |
| Fund | | Corporate DRD
Percentage (%) |
| |
Morningstar U.S. Equity Fund | | 18 |
Morningstar International Equity Fund | | —* |
Morningstar Global Income Fund | | 6 |
Morningstar Multisector Bond Fund | | —* |
Morningstar Unconstrained Allocation Fund | | 2 |
Morningstar Alternatives Fund | | 4 |
* Amount rounds to less than 0.5%
QUALIFIED DIVIDEND INCOME (QDI) — Under the Jobs and Growth Tax Relief Reconciliation Act of 2003 (the “Act”), the following percentages of ordinary dividends paid during the fiscal year ended April 30, 2021, are designated as “qualified dividend income”, as defined in the Act:
| | |
| Fund | | QDI
Percentage (%) |
| |
Morningstar U.S. Equity Fund | | 27 |
Morningstar International Equity Fund | | 38 |
Morningstar Global Income Fund | | 42 |
Morningstar Multisector Bond Fund | | —* |
Morningstar Unconstrained Allocation Fund | | 13 |
Morningstar Alternatives Fund | | 4 |
* Amount rounds to less than 0.5%
333
Morningstar Funds Trust April 30, 2021
Tax Information (unaudited) (continued)
FOREIGN TAX CREDIT — The Funds below intend to make an election that will allow shareholders to treat their proportionate share of foreign taxes paid by the Fund as having been paid by them. The amounts per share which represent income from sources within, and taxes paid to, foreign countries are as follows:
| | | | | | | | |
| Fund | | Foreign Tax Credit | | | Foreign Source Income | |
| | |
Morningstar International Equity Fund | | | $0.02 | | | | $0.10 | |
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Morningstar Funds Trust April 30, 2021
Trustees and Officers (unaudited)
| | | | | | | | |
Name and Year of Birth | | Position with
the Trust, Term of Office and Length of Time Served | | Principal Occupation During Past Five Years | | Number of Portfolios in Fund Complex Overseen by Trustees | | Other Directorships Held During Past Five Years |
| | | | |
Independent
Trustees of the
Trust(1) | | | | | | | | |
| | | | |
Theresa Hamacher (1960) | | Trustee and Chairperson of the Board since March 2018 | | President of Versanture Consulting since 2015 | | 9 | | Calamos
Investment Trust
from 2015 to
2017 |
| | | | | |
Enrique M. Vasquez (1965) | | Trustee since March 2018 | | Managing Director, Avantax Wealth Management May 2020 to December 2020; President of Wealth Management at Blucora, Inc. June 2019 to May 2020; Owner of Embrace Care, Inc. d/b/a CareBuilders at Home since 2015; President and CEO of Cetera Financial Specialists from 2004 to 2016 | | 9 | | None |
| | | | | |
Linda D. Taylor (1952) | | Trustee since April 2018 | | Chairman and Chief Executive Officer of Clifford Swan Investment Counselors January 2010 to June 2020 | | 9 | | San Pasqual
Fiduciary Trust
Company Since
2011. |
| | | | | |
Barry P. Benjamin (1957) | | Trustee since July 2018 | | Partner at PricewaterhouseCoopers LLP from 1991 to 2018; Global Asset and Wealth Management Sector Leader at PricewaterhouseCoopers LLP from 2010 to 2017 | | 9 | | None |
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Morningstar Funds Trust April 30, 2021
Trustees and Officers (unaudited) (continued)
| | | | | | | | |
Name and Year of Birth | | Position with
the Trust, Term of Office and Length of Time Served | | Principal Occupation During Past Five Years | | Number of Portfolios in Fund Complex Overseen by Trustees | | Other Directorships Held During Past Five Years |
| | | | |
Interested
Trustee of the
Trust | | | | | | | | |
| | | | |
Daniel E. Needham(2) (1978) | | Trustee President and Principal Executive Officer since 2017 | | President of Morningstar Inc.’s investment management group, Morningstar Investment Management, LLC and Morningstar Investment Services, LLC since 2015; Chief Investment Officer of Morningstar, Inc.’s investment management group since 2013 | | 9 | | None |
| | | | | |
Officers of the Trust | | | | | | | | |
| | | | |
Tracy L. Dotolo (1976) | | Principal Financial Officer and Treasurer since March 2018 | | Fund Principal Financial Officer at Foreside, Inc. since May 2016 | | N/A | | N/A |
| | | | | |
D. Scott Schilling (1960) | | Chief Compliance Officer, Anti-Money Laundering Compliance Officer, and Secretary since March 2018 | | Global Chief Compliance Officer at Morningstar, Inc. from July 2013 to October 2020; Chief Compliance Officer at Morningstar Investment Management, LLC since January 2000; Chief Compliance Officer at Morningstar Investment Services LLC since July 2001; and Chief Compliance Officer at Morningstar Research Services LLC since its inception in November 2016 | | N/A | | N/A |
| | | | | |
F. Allen Bliss (1965) | | Assistant Secretary since March 2018 | | Associate General Counsel for Morningstar, Inc. since July 2003 and Assistant Corporate Secretary for Morningstar, Inc. since May 2015 | | N/A | | N/A |
| (1) | The trustees of the Trust who are not “interested persons” of the Trust as defined under the 1940 Act (independent trustees). |
| (2) | Daniel Needham is an “interested person” of the Trust as defined by the 1940 Act because he is an affiliated person of the adviser. |
336
Morningstar Funds Trust April 30, 2021
Trustees and Officers (unaudited) (continued)
Availability of Additional Information About the Trustees and Officers
The Statement of Additional Information includes additional information about the Trustees and Officers and is available without charge, upon request by calling (877) 626-3224.
337
| | | | | | | | |
| | | | Morningstar Funds Trust Privacy Policy |
| | |
| | | | PLEASE READ “OTHER IMPORTANT INFORMATION” SECTION BELOW FOR INFORMATION ABOUT MORNINGSTAR FUNDS TRUST ACCESS TO YOUR PERSONAL INFORMATION |
| | | |
| Why? | | | | Financial companies can choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand Morningstar Funds Trust access to your personal information. |
| | |
What? | | | | Personal information includes, but is not limited to: |
| | u | | Your name, address, phone number, and email address; |
| | u | | Your social security number or other unique identifier; |
| | u | | Your account information, such as account balance and transactions (including account transaction history); |
| | | u | | Your demographic information, such as age, income, investment preferences, investment experience, and risk profile. |
| | |
| How? | | | | All financial companies need to share clients’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their clients’ personal information; the reasons Trust chooses to share; and whether you can limit this sharing. |
| | | | | Reasons financial companies can share your
personal information | | Does Morningstar
Funds Trust share? | | Can you limit
this sharing? |
| | | | |
| | | | For our everyday business purposes—such as to process your transactions, maintain your account(s), or respond to court orders and legal investigations. | | See “Other Important Information” below. | | No |
| | | | |
| | | | For our marketing purposes—to offer our products and services. | | No | | N/A |
| | | | |
| | | | For joint marketing with other financial companies. | | No | | N/A |
| | | | |
| | | | For our affiliates’ everyday business purposes—information about your transactions and experiences. | | No | | N/A |
| | | | |
| | | | For our affiliates’ everyday business purposes—information about your creditworthiness. | | No | | N/A |
| | | | |
| | | | For our affiliates to market to you. | | No | | N/A |
| | | | |
| | | | For nonaffiliates to market to you. | | No | | N/A |
| | | |
| Who we are | | | | Who is providing this notice? Morningstar Funds Trust |
| | |
| What we do | | | | How does Morningstar Funds Trust protect your personal information? |
| | | | Security measures are in place to protect against unauthorized access to, or unauthorized alteration, disclosure or destruction of personal information. Secure data networks are protected by industry standard firewall and password protection systems. |
| | |
| | | | How does Morningstar Funds Trust collect your personal information? |
| | | | We will collect your personal information if you open an account directly with us or if you gave us your personal information; however, please read the “Other Important Information” section below. |
| | |
| | | | Why can’t you limit sharing? |
| | | | Federal law gives you the right to limit only: |
| | u | | sharing for affiliates’ everyday business purposes—information about your creditworthiness; |
| | u | | affiliates from using your information to market to you; |
338
| | | | |
| | | u | | sharing for nonaffiliates to market to you. State laws and individual companies’ policies may give you additional rights to limit sharing. |
Definitions | | | | Affiliates |
| | | | Companies related by common ownership or control. They can be financial and nonfinancial companies. |
| | u | | Morningstar Funds Trust’s investment adviser is Morningstar Investment Management LLC, a wholly owned subsidiary of Morningstar, Inc. Morningstar Investment Services LLC, a wholly owned subsidiary of Morningstar Investment Management LLC, is the sponsor of the Morningstar Managed Portfolios advisory service. |
| | | | Nonaffiliates |
| | | | Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
| | u | | The Trust does not share your personal information with nonaffiliates for marketing their services to you. |
| | | | Joint marketing |
| | | | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
| | u | | The Trust does not have such an agreement in place. |
Other Important Information | | | | Morningstar Funds Trust (“Morningstar Funds”) are available through investment programs provided by financial institutions (each a “Program”) |
| | | | Such Programs include, Morningstar Managed Portfolios, an investment advisory program sponsored by Morningstar Investment Services LLC, investment advisory programs provided by unaffiliated financial advisers, managed account advisory services certain third-party retirement plan sponsors (e.g., employers) and/or retirement plan recordkeepers make available to their retirement plan participants, and solutions provided in model marketplaces. The financial institution’s client’s assets are held at a nonaffiliated custodian (“Custodian”) who report buy/sells of Morningstar Funds shares to the Trust’s transfer agent at an aggregate level (e.g., omnibus). Because of this, under normal circumstances, the Trust does not have personal information of the shareholders of the Morningstar Funds. From time-to-time, Morningstar Funds Trust may seek shareholder’s personal information to fulfill regulatory requirements and/or obligations. In those instances, Morningstar Funds Trust will not make your personal information available to anyone other than the above-mentioned affiliates. Morningstar Funds Trust reserves the right to change this policy at any time by distributing and/or posting a new privacy policy without notice. |
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The Morningstar Funds Trust (the “Trust”) is a Delaware statutory trust organized under the laws of the State of Delaware on March 1, 2017 and registered with the U.S. Securities and Exchange Commission under the Investment Company Act of 1940. The Trust consists of nine (9) series (each series a “Fund”, collectively the “Funds”). Each Fund has an Investment Advisory Agreement with Morningstar Investment Management, LLC (“Morningstar”) and each Fund also has at least one Subadvisory Agreement with a Subadviser to that Fund.
The Funds and their Subadvisers are:
Morningstar U.S. Equity Fund
| | · | | ClearBridge Investments, LLC |
| | · | | Diamond Hill Capital Management, Inc. |
| | · | | Easterly Investment Partners LLC (formally Levin Easterly Partners LLC) |
| | · | | Massachusetts Financial Services Company (d/b/a MFS Investment Management) |
| | · | | Westwood Management Corp. |
Morningstar International Equity Fund
| | · | | Lazard Asset Management LLC |
| | · | | T. Rowe Price Associates, Inc |
| | ° | | T. Rowe Price International Ltd |
| | ° | | T. Rowe Price Singapore Private Ltd |
Morningstar Global Income Fund
| | · | | Schafer Cullen Capital Management, Inc. |
Morningstar Total Return Bond Fund
| | · | | BlackRock Financial Management, Inc. |
| | ° | | Blackrock International Limited |
| | ° | | Blackrock (Singapore) Private Limited |
| | · | | Western Asset Management Company |
Morningstar Municipal Bond Fund
| | · | | T. Rowe Price Associates, Inc. |
| | · | | Wells Capital Management, Inc. |
Morningstar Defensive Bond Fund
| | · | | First Pacific Advisors, LLC |
Morningstar Multisector Bond Fund
| | · | | Franklin Advisers, Inc. |
| | · | | Loomis, Sayles & Company, L.P. |
| | · | | TCW Investment Management Company LLC |
Morningstar Unconstrained Allocation Fund
| | · | | Brandywine Global Investment Management, LLC |
| | · | | Lazard Asset Management LLC |
Morningstar Alternatives Fund
| | · | | BlackRock Financial Management, Inc. |
| | ° | | Blackrock International Limited |
| | · | | SSI Investment Management, LLC |
| | · | | Water Island Capital, LLC |
Board Approval/Renewal of the Investment Advisory Agreement and the Subadvisory Agreements
One of the primary responsibilities of the Board of Trustees (the “Board”) of the Trust is to determine whether to renew the Funds’ Investment Advisory Agreement with Morningstar Investment Management, LLC (“Morningstar”) and the Funds’ Subadvisory Agreements (together, the “Agreements”). The Funds’ Investment Advisory Agreement and Subadvisory Agreements were scheduled to expire at the end of April 2021. In March 2021, the Board met to consider whether to renew these Agreements for a one-year period, through April 2022. The Board also considered whether to approve a new Subadvisory Agreement (the “New Subadvisory Agreement”) between T. Rowe Price Associates, Inc. and T. Rowe Price Singapore Private Ltd on behalf of the Morningstar International Equity Fund.
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The Board decided to renew the Agreements and approve the Subadvisory Agreement between T. Rowe Price Associates, Inc. and T. Rowe Price Singapore Private Ltd on behalf of the Morningstar International Equity Fund. This note reviews the factors that the Board considered and discusses its conclusions. This introductory section of this note highlights key considerations in the approval/renewal process. The body of this note, which follows, provides more details of the review process undertaken by and the conclusions reached by the Board.
Key Considerations
While the Board reviewed many factors as part of its decision-making process, the Board would like to highlight two of those factors: fund expenses and investment performance.
| | · | | Fund Expenses – The Board believes that fund expenses are an important factor because they directly affect shareholder returns. The Board noted that one of Morningstar’s investment principles – minimizing costs – is consistent with this view. The Board was encouraged by Morningstar’s commitment to lowering costs to shareholders, notably through its implementation of voluntary expense waivers and expense reimbursements. |
In its review of Fund expenses, the Board noted that, for seven of the nine Funds, total expenses and actual management fees paid as a percentage of average net assets were either at or below the median total expenses for a peer group of comparable funds. For the Municipal Bond Fund, total expenses as a percentage of average net assets exceeded the peer group median by 0.005% and actual management fees paid exceeded the peer group median by 0.011%. For the U.S. Equity Fund, total expenses exceeded the peer group median by 0.067% and actual management fees paid exceeded the peer group median by 0.012%.
The Board discussed with Morningstar management plans for increasing assets in the Funds as a way of reducing the total expense levels through economies of scale. The Board concluded that the fees were fair and reasonable. For more information, see “Fund Expenses” below. Information about the peer groups can be found below under “Renewal of the Agreements.”
| | · | | Investment Performance – Fund performance was also very important to the Board. In evaluating performance, the Board looked at each Fund’s performance relative to other funds with the same investment objective, its performance relative to an index benchmark, and its risk-adjusted performance. The Board also considered the limited performance history of the Funds. Performance as compared to peer funds for calendar 2020 was mixed: |
| | ° | | The Total Return Bond Fund performed in the best performing quintile of its category (i.e., 1st out of 5 performing quintiles, with 1st quintile being the best performing quintile); |
| | ° | | The Defensive Bond Fund and the Unconstrained Allocation Fund performed in the second-best performing quintile of their categories (i.e., 2nd out of 5 performing quintiles); |
| | ° | | The Alternatives Fund, International Equity Fund and Multisector Bond Fund performed in the middle quintile of their categories (i.e., 3rd out of 5 performing quintiles); |
| | ° | | The Global Income Fund and the Municipal Bond Fund performed in the second-lowest performing quintile of their peer groups (i.e., 4th out of 5 performing quintiles); and |
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| | ° | | The U.S. Equity Fund performed in the lowest-performing quintile of its category (i.e., 5th out of 5 performing quintiles). |
The Board focused on those Funds with underperformance and extensively discussed the underperformance with Morningstar. The Board noted that Marta Norton, a portfolio manager for certain of the Funds, had been promoted to Chief Investment Officer, Americas, of Morningstar in the third quarter of 2020. The Board also reviewed and noted other personnel changes and enhancements to the investment processes. The Board did not believe that any additional changes with respect to these Funds were warranted at the time, especially considering the limited performance history of the Funds, and noted that it would continue to monitor future performance.
For more information, including a discussion of the performance of individual Funds, see “Investment Performance” below.
The Board invites comments from shareholders on this disclosure and how it may be enhanced. Shareholders may email the Board with their suggestions at BoardofTrustees.MorningstarFundsTrust@morningstar.com
Note Regarding Diversity, Equity and Inclusion Matters
At the Board’s direction, Morningstar added diversity, equity and inclusion questions to the questionnaires presented to the Subadvisers as part of Morningstar’s evaluation process. The Board also posed the same questions to Morningstar as part of its evaluation of Morningstar. The Board took into account responses to these questions as part of its decision-making process.
Renewal/Approval of the Agreements
At a Board of Trustees meeting on March 10, 2021, the Board unanimously approved the renewal of the Agreements and the New Subadvisory Agreement. The Board determined that the Agreements and the New Subadvisory Agreement, including the investment advisory and subadvisory fees in the agreements, were fair and reasonable.
Prior to making these approvals, the Board considered materials and presentations related to the Agreements. Among the topics addressed in these materials and presentations were:
| | · | | The services that Morningstar and each Subadviser provided and would provide to each Fund. |
| | · | | Morningstar’s investment management operations. |
| | · | | The investment approach for each Fund and whether this investment approach was being followed by Morningstar and each Subadviser. |
| | · | | The due diligence conducted on each Subadviser by Morningstar, and Morningstar’s reasons for recommending the retention of each Subadviser and Subadvisory Agreement. |
| | · | | The due diligence conducted by the Trust’s Chief Compliance Officer with regard to compliance programs and capabilities of Morningstar and each Subadviser. |
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| | · | | The services that the custodian, fund administrator, transfer agent and distributor provided and would provide to each Fund. |
| | · | | The fees paid and to be paid to service providers to each Fund, including Morningstar and each Subadviser. |
| | · | | The expense ratio for each Fund, reflecting both the fees paid and to be paid to service providers and expenses incurred and to be incurred directly by each Fund. |
| | · | | Expense limitation arrangements, to be achieved by fee waivers and expense reimbursements by Morningstar. |
The information obtained by the Board during the renewal process included a report prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent analyst. The analysis in the report was based on data from Lipper, Inc.
The report from Broadridge analyzed each Fund’s performance and risk relative to all other funds with a similar investment objective. The analysis covered performance for the calendar year 2020.
In addition, the report analyzed each Fund’s expenses relative to a smaller group of comparable funds selected by Broadridge. These “peer groups” of comparable funds were composed of funds with similar investment objectives that were distributed in a similar manner to the Funds (e.g., funds with similar distribution platforms and that are sold as part of a multi-asset solution program).
Because these peer groups contained a limited number of funds, the Board requested that Broadridge prepare “supplemental peer groups” that included funds that are available outside of multi-asset solution programs and received the results of these supplemental peer groups. As a general matter, the “supplemental peer groups” were not significantly larger than the original peer groups and the quintile rankings for the Funds in the original peer groups as compared to the rankings in the supplemental peer groups were very similar. As such, the information presented under “Fund Expenses” below is from the original peer group.
The Board noted meaningful differences between the peer groups and the Funds. Specifically, some of the funds in the peer groups have a larger asset base and longer performance history than the Funds. In addition, some of the funds in the peer groups are distributed through propriety sales channels, while the Funds are distributed through non-proprietary channels and as part of an investment advisory solution offered by financial institutions. Despite these differences, the Board concluded that the Broadridge report was helpful in the review process.
In addition, the Board’s deliberations were also informed by the meetings that the Board had held since the prior renewal of the Agreements in 2020 with representatives of Morningstar, certain Subadvisers and the Trust’s Chief Compliance Officer.
Throughout the approval process, the Independent Trustees received assistance from independent counsel. The Independent Trustees met separately with independent counsel. More information about the Independent Trustees and their role is available at https://www.morningstar.com/company/morningstar-funds-governance.
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Factors Considered
In making their determination, the Board considered multiple factors. The Board did not quantify or assign relative weights to the factors. Each member of the Board may have assigned different weights to the factors.
The factors considered included:
| | · | | The investment performance of each Fund and the performance of Morningstar and each Subadviser in achieving this performance. |
| | · | | Whether each Fund had operated in accordance with its investment objective. |
| | · | | The fairness of the compensation under the Investment Advisory Agreement and Subadvisory Agreements. |
| | · | | The expense ratio to be borne by shareholders, considering the combined effect of the pricing structure of each Fund and existing fee waivers and expense reimbursements. |
| | · | | Morningstar’s investment principles. |
| | · | | The nature, extent and quality of services that Morningstar and each Subadviser provided and would be expected to provide to each Fund. |
| | · | | The background, experience, personnel, operations, technology, policies, procedures and compliance functions of Morningstar and each Subadviser, including their experience as managers of other funds and accounts, their investment management approaches and resources, their financial condition and their reputation in the industry. |
| | · | | The compatibility of each Subadviser’s operations, policies, procedures and compliance functions with those of Morningstar and other service providers to the Funds. |
| | · | | The Trust’s Chief Compliance Officer’s review of the compliance programs and capabilities of Morningstar and of each Subadviser, including the policies and procedures in place to address actual and potential conflicts of interest. |
| | · | | Morningstar’s risk management program, especially those aspects of the program related to selecting and overseeing the Subadvisers to each Fund. |
| | · | | The use of derivatives and other complex instruments to carry out each Fund’s investment goals. |
| | · | | Each Subadviser’s risk management program. |
| | · | | Profitability matters and economies of scale. |
The following discussion reviews some of the primary components of the Board’s decision to approve the renewal of the Agreements and approve the New Subadvisory Agreement. This discussion is not intended to be exhaustive, but rather summarizes certain factors considered by the Board.
Services Provided
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The Board reviewed each Fund’s investment goal, Morningstar’s and each Subadviser’s investment strategy to achieve that goal, and Morningstar’s and each Subadviser’s success in achieving, and ability to continue to achieve, that investment strategy.
The Board considered Morningstar’s investment principles, as well as Morningstar’s values and culture. They concluded that the principles were consistent with shareholder interests and, in light of Morningstar’s values and culture, believe Morningstar has, and will continue to be able to, manage the Funds in a manner consistent with those principles.
The Board took note of Morningstar’s responsibilities as the investment adviser to each Fund which include:
| | · | | Performance of due diligence of each Subadviser’s risk management, operations, trading activities, technology and financial condition. |
| | · | | Oversight and monitoring of the day-to-day investment activities of the Subadvisers and the ongoing assessment of their performance. |
| | · | | Portfolio construction for each Fund, involving asset allocation among Subadvisers, exchange-traded funds, cash and other investments. |
| | · | | Provision of investment oversight in certain instances. |
| | · | | Oversight and monitoring of the Subadvisers’ compliance with the investment mandate, compliance policies and procedures and federal securities laws. |
| | · | | Reporting to the Board. |
| | · | | The implementation of the Board’s directives with regard to the Funds. |
With respect to the services provided by the Subadvisers, the Board took note of the responsibilities that each Subadviser has with respect to the portion of a Fund’s assets allocated to the Subadviser by Morningstar. These responsibilities include implementing the investment strategies for that portion of each Fund’s assets and ensuring compliance with the investment policies and limitations. The Board considered the performance of the Subadvisers in managing the Funds. The Board considered Morningstar’s rationale for recommending the continued retention of each Subadviser.
The Board considered other investment advisory services offered by Morningstar and each Subadviser; the Board reviewed the allocation of assets and expenses among these services, as well as their fees, the reasons for differences in fees and any potential conflicts in connection with providing these services.
Based on their review, the Board was satisfied with the nature, extent and quality of the overall services provided and to be provided by Morningstar and each Subadviser. The Board was confident in the abilities of Morningstar and each Subadviser to continue to implement the respective investment strategy and to continue to provide quality services to each Fund.
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Investment Performance
Fund performance was also very important to the Board. In evaluating performance, the Board looked at each Fund’s performance relative to other funds with the same investment objective, its performance relative to its index benchmark, and its risk-adjusted performance. The Board also considered the limited performance history of the Funds.
The Board also considered whether each Fund had operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance. The Board took into account discussions at Board meetings since the Board’s prior renewal of the Agreements in 2020 with representatives of Morningstar about Fund investment performance.
In addition to reviewing absolute and relative Fund performance, the Board periodically considers the appropriateness of Fund performance metrics in evaluating the results achieved. The Board periodically reviews the performance benchmarks for each Fund recommended by Morningstar and the process used by Morningstar to develop its benchmark recommendations; the Board also periodically reviews how these benchmarks are used to evaluate the performance of each Fund, of Morningstar and of each Subadviser.
A summary of the Board’s review of each Fund’s performance follows:
Morningstar Alternatives Fund – The Fund had total returns in the middle performing quintile of multialternative funds (i.e., 3rd out of 5 quintiles, with 1st quintile being the best performing quintile) for the one-year period ended December 31, 2020 and total returns in the second-lowest performing quintile of multialternative funds for the two-year period ended December 31, 2020. The Fund outperformed its benchmark of the Morningstar U.S. Cash T-Bill TR USD in both of these periods. The Fund’s Sharpe Ratio for the one-year period ended December 31, 2020 was in the second-best performing quintile. The Board took into account the limited performance history of the Fund, and the Board concluded that no changes with respect to the Fund were warranted at the time and noted that it would continue to monitor future performance.
Morningstar Defensive Bond Fund – The Fund had total returns in the second-best performing quintile of short-term bond funds (i.e., 2nd out of 5 quintiles, with 1st quintile being the best performing quintile) for the one-year period ended December 31, 2020 and total returns in the second-lowest performing quintile of short-term bond funds for the two-year period ended December 31, 2020. The Fund underperformed its benchmark of the Bloomberg Barclays U.S. Aggregate 1-3 Year Index in both of these periods. The Fund’s Sharpe Ratio was in the best performing quintile for the one-year period ended December 31, 2020. The Board noted the improvement in relative performance as compared to last year. The Board took into account the limited performance history of the Fund, and the Board concluded that no changes with respect to the Fund were warranted at the time and noted that it would continue to monitor future performance.
Morningstar Global Income Fund – The Fund had total returns in the second-lowest performing quintile of world allocation funds (i.e., 4th out of 5 performing quintiles, with 1st quintile being the best performing quintile) for the one-year period ended December 31, 2020 and total returns in the middle performing quintile of world allocation funds for the two-year period ended December 31, 2020. The Fund’s Sharpe Ratio was in the second-lowest performing quintile for the one-year period ended December 31, 2020. The Fund also
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underperformed its benchmark of the Morningstar Global Income Blended Index for both of these periods. The Board discussed with Morningstar the reasons for the relative underperformance, which was due to the underperformance of the Fund’s only Subadviser and the Fund’s ETF holdings. Morningstar noted to the Board the potential of adding another subadviser to the Fund. The Board took into account the limited performance history of the Fund, and the Board concluded that no changes with respect to the Fund were warranted at the time and noted that it would continue to monitor future performance.
Morningstar International Equity Fund – The Fund had total returns in the middle performing quintile of foreign large blend funds (i.e., 3rd out of 5 performing quintiles, with 1st quintile being the best performing quintile) for the one-year period ended December 31, 2020 and total returns in the middle performing quintile of foreign large blend funds for the two-year period ended December 31, 2020. The Fund underperformed its benchmark of the Morningstar Global Markets Ex-U.S. Index (net) for both of these periods. The Fund’s Sharpe Ratio was in the middle performing quintile for the one-year period ended December 31, 2020. The Board took into account the limited performance history of the Fund, and the Board concluded that no changes with respect to the Fund were warranted at the time and noted that it would continue to monitor future performance.
Morningstar Multisector Bond Fund – The Fund had total returns in the middle performing quintile of multisector bond funds (i.e., 3rd out of 5 performing quintiles, with 1st quintile being the best performing quintile) for the one-year period ended December 31, 2020 and total returns in the middle performing quintile of multisector bond funds for the two-year period ended December 31, 2020. The Fund’s Sharpe Ratio was in the middle performing quintile for the one-year period ended December 31, 2020. The Fund outperformed its benchmark of the Morningstar Multisector Bond Blended Index for the one-year period ended December 31, 2020 but underperformed this benchmark for the two-year period ended December 31, 2020. The Board took into account the limited performance history of the Fund, and the Board concluded that no changes with respect to the Fund were warranted at the time and noted that it would continue to monitor future performance.
Morningstar Municipal Bond Fund – The Fund had total returns in the second-lowest performing quintile of muni national intermediate funds (i.e., 4th out of 5 performing quintiles, with 1st quintile being the best performing quintile) for the one- and two-year periods ended December 31, 2020. The Fund, however, outperformed its benchmark of the Morningstar Municipal Bond Blended Index for both of these periods. The Fund’s Sharpe Ratio was in the middle performing quintile for the one-year period ended December 31, 2020. The Board discussed with Morningstar the reasons for the relative underperformance. The Board took into account the limited performance history of the Fund, and the Board concluded that no changes with respect to the Fund were warranted at the time and noted that it would continue to monitor future performance.
Morningstar Total Return Bond Fund – The Fund had total returns in the best performing quintile of intermediate core bond funds (i.e., 1st out of 5 performing quintiles, with 1st quintile being the best performing quintile) for the one- and two-year periods ended December 31, 2020. The Fund outperformed its benchmark of the Bloomberg Barclays U.S. Aggregate Bond Index for both of these periods. The Fund’s Sharpe Ratio was in the second-lowest performing quintile one-year period ended December 31, 2020. The Board took into account the limited performance history of the Fund, and the Board concluded that no changes with respect to the Fund were warranted at the time and noted that it would continue to monitor future performance.
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Morningstar Unconstrained Allocation Fund – The Fund had total returns in the second-best performing quintile of world allocation funds (i.e., 2nd out of 5 performing quintiles, with 1st quintile being the best performing quintile) for the one-year period ended December 31, 2020 and total returns in the middle performing quintile of world allocation funds for the two-year period ended December 31, 2020. The Fund, however, underperformed its benchmark of the Morningstar Unconstrained Allocation Blended Index for both of these periods. The Fund’s Sharpe Ratio was in the middle performing quintile for the one-year period ended December 31, 2020. The Board took into account the limited performance history of the Fund, and the Board concluded that no changes with respect to the Fund were warranted at the time and noted that it would continue to monitor future performance.
Morningstar U.S. Equity Fund – The Fund had total returns in the lowest performing quintile of large blend funds (i.e., 5th out of 5 performing quintiles, with 1st quintile being the best performing quintile) for the one- and two-year periods ended December 31, 2020. The Fund underperformed its benchmark of the Morningstar U.S. Market Index for both of these periods. The Fund’s Sharpe Ratio was in the second-lowest performing quintile for the one-year period ended December 31, 2020. The Board noted the magnitude of the underperformance and discussed with Morningstar the reasons for the underperformance, which primarily were the positioning of the portfolio towards value stocks and the all-cap nature of the portfolio. As part of these discussions, the Board discussed with Morningstar the current positioning of the Fund given current and expected market conditions.
Morningstar also discussed with the Board potential alternatives if underperformance continues. Given Morningstar’s response to the underperformance, the personnel changes noted earlier and considering the limited performance history of the Fund, the Board did not believe that any changes with respect to the Fund were warranted at the time and noted that it would continue to monitor future performance.
The Cost of Services
The Board considered the cost of the services provided and to be provided and the profits or losses realized by Morningstar and each Subadviser from a relationship with the Funds.
As requested by the Board, Morningstar provided profitability information for each Fund, as well as aggregate profitability information for all of the Funds, using a revenue and cost allocation methodology that was reviewed and discussed with the Board.
The Board noted that each Fund had incurred considerable expenses since its formation and that these expenses were largely absorbed by Morningstar through fee waivers and expense reimbursements. Beyond the waiver and reimbursement agreements, Morningstar paid certain start-up costs that otherwise could have been borne by the Funds.
The Board also considered the fees charged by Morningstar to other clients. The Board noted that Morningstar charges lower fees to some other clients but that the services provided to those accounts are not similar. Morningstar reviewed with the Board the broader scope of services it provides to the Funds, including management of cash flows as a result of redemptions and purchases, oversight of service providers, preparation of annual registration statement updates, preparation of financial information, and compliance
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with federal and state laws and regulations. These services require a higher level of infrastructure, including personnel, office space, technology and legal support. Morningstar also highlighted the significant business, reputational and other risks associated with launching, sponsoring and maintaining the Funds.
The Board noted that Morningstar does not have an affiliated entity providing transfer agent, custodial, broker-dealer, fund administration or other services to the Funds. Therefore, Morningstar does not generate additional fees for itself through Fund services provided by related entities. The lack of supplemental sources of revenue was a significant factor to the Trustees.
With regard to the Subadvisers, the Board noted that the subadvisory fees are paid to each Subadviser by Morningstar and are not additional fees borne by each Fund. These fees were the product of arms-length negotiations between Morningstar and each Subadviser. As a result, the costs of the services and the profits of the Subadvisers from their relationships with the Funds were not a material factor in the Board’s consideration of the Subadvisory Agreements.
The Board considered other actual and potential benefits (often called “fall-out benefits”) that accrue to Morningstar and each of the Subadvisers from managing the Funds. These benefits include the acquisition and use of research services by the Subadvisers with commissions generated by the Funds (known as “soft dollar” arrangements). The Board noted that soft dollar arrangements may result in the Funds bearing costs to purchase research that may be used by the Subadvisers with other clients and may reduce the Subadvisers’ expenses. The Board also considered reviews undertaken by the Trust’s Chief Compliance Officer concluding that these arrangements are consistent with regulatory requirements. The Board noted that Morningstar itself does not use soft dollar arrangements.
The Board considered the substantial costs incurred by Morningstar related to the launch of the Funds and, while Morningstar’s revenues increased over the past year, the Board was satisfied that the profitability was not excessive as Morningstar did not generate profits (after taking corporate expenses allocated to Fund operations) with respect to the operations of any of the Funds.
Fund Expenses
The Board believes that fund expenses are an important factor because they directly affect shareholder returns. In reviewing fund expenses, the Board placed emphasis on total expenses as a percentage of assets (after fee waivers and expense reimbursements by Morningstar) because they represent the total costs to shareholders of investing in the Funds. However, the Board also considered the components of total expenses, namely the actual management fee paid (after fee waivers and expense reimbursements by Morningstar), transfer agent expenses, custodial expenses and other expenses. The Board also reviewed, but placed less emphasis on, the contractual management fee before waivers and expense reimbursements.
The Board noted that one of Morningstar’s investment principles for investment management is minimizing costs. In this regard, the Board was encouraged by Morningstar’s commitment to lowering costs to shareholders, notably through its implementation of fee waivers and expense reimbursements by Morningstar.
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In its review of Fund expenses, the Board noted that, for seven of the nine Funds, total expenses and actual management fees paid as a percentage of average net assets were either at or below the median total expenses for a peer group of comparable funds. For the Municipal Bond Fund, total expenses as a percentage of average net assets exceeded the peer group median by 0.005% and actual management fees paid exceeded the peer group median by 0.011%. For the U.S. Equity Fund, total expenses exceeded the peer group median by 0.067% and actual management fees paid exceeded the peer group median by 0.012%. The Board discussed with Morningstar management plans for increasing assets in the Funds as a way of reducing the total expense levels through economies of scale.
The Board noted that, for seven of the nine Funds, the actual management fees as a percentage of average net assets paid to Morningstar were either at or below the median actual management fees for the peer group of comparable funds. For one of these Funds, the Municipal Bond Fund, the actual management fees paid exceeded the peer group median by 0.011%. For the U.S. Equity Fund, the actual management fees paid exceeded the peer group median by 0.012%.
Based upon its consideration of all these factors, the Trustees determined that the investment advisory and subadvisory fee structure for each Fund was fair and reasonable.
Economies of Scale
The Board considered economies of scale that may be realized by Morningstar and each Subadviser as each Fund grows larger and the extent to which these economies would be shared with each Fund’s shareholders, including through increased services to the Funds, through expense limitation arrangements, or through fee or expense ratio reductions (such as breakpoints in the fee schedule). The Board noted that Morningstar implemented an expense limitation arrangement which has been and will continue to be re-evaluated periodically.
The Board concluded that economies of scale were not a significant factor with regard to the management fee at this time given the current assets in the Funds and the limited operating history of the Funds and that the expense limitation arrangement is in effect.
Conclusion
After consideration of the foregoing factors, and such other matters as were deemed relevant, and with no single factor being determinative to their decision, the Board—including a majority of the Independent Trustees with the assistance of independent counsel—approved the renewal of the Agreements and approved the New Subadvisory Agreement and concluded that the investment advisory and subadvisory fee structure provided for in the agreements was fair and reasonable.
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Additional Information
Proxy Voting Policies and Proxy Voting Record
The Board has delegated responsibility for decisions regarding proxy voting for securities held by the Funds to the Adviser, which, in turn, has delegated such responsibility to the subadvisers. Each subadviser will vote such proxies in accordance with its proxy policies and procedures, which are available, free of charge, by calling 877-626-3224. Information about how each Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 may be obtained (1) without charge, upon request, by call 877-626-3224 and (2) on the SEC’s website at http://sec.gov.
Form N-PORT Disclosure
The Trust files its complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Trust’s Form N-PORT (and its predecessor form, Form N-Q) filings are available on the SEC’s website at http://www.sec.gov.
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| | Morningstar Funds Trust is available to citizens or legal residents of the United States or its territories through model portfolios designed and maintained by a financial institution including the Adviser. Adviser Morningstar Investment Management LLC 22 West Washington Street Chicago, Illinois 60602 Distributor Foreside Fund Services, LLC Three Canal Plaza, Suite 100 Portland, ME 04101 Prospectus Please go to http://connect.rightprospectus.com/Morningstar to access the Morningstar Funds Trust prospectus. | | Shareholder Rights When you buy shares in a fund of the Morningstar Funds Trust, you become a shareholder of that fund. As a shareholder, you have certain rights and protections, chief among them an independent board of trustees, whose main role is to represent your interests. The Board of Trustees for the Morningstar Funds Trust is committed to representing your interests as well as implementing and maintaining sound fund governance principles. To learn more about the Board of Trustees please go to https://www.morningstar.com/company/morningstar-funds-governance. This report is general information for the shareholders of the Morningstar Funds. It is not authorized for distribution to prospective investors unless preceded or accompanied by the Funds’ current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Views, opinions, portfolio holdings and other information expressed or noted herein are as of the end of the reporting period and are subject to change. Such views and opinions are not to be viewed as investment advice. |
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Item 2. Code of Ethics.
| (a) | The registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer (if any) and any other officers serving similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). |
| (c) | The registrant has not amended its Code of Ethics during the period covered by this report. |
| (d) | The registrant has not granted any waivers, including an implicit waiver, from any provisions of its Code of Ethics during the period covered by this report. |
| (f) | A copy of the Trust’s Code of Ethics is filed herewith. |
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR), serving on its audit committee. Barry P. Benjamin and Theresa Hamacher are the “audit committee financial experts” and are “independent” (as each term is defined in Item 3 of Form N-CSR).
Under applicable securities laws and regulations, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liability that are greater than the duties, obligations, and liability imposed on such person as a member of the registrant’s Audit Committee and Board of Trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the registrant’s Audit Committee or Board of Trustees.
Item 4. Principal Accountant Fees and Services.
Item 4(a): Audit Fees
The aggregate fees billed for each of the last two fiscal years for professional services rendered by Ernst & Young LLP (“E&Y”), independent registered public accounting firm, for the audit of the registrant’s annual financial statements or services that are normally provided by the
accountant in connection with statutory and regulatory filings or engagements are $360,000 in 2021 and $300,000 in 2020.
Item 4(b): Audit-Related Fees
The aggregate fees billed in each of the last two fiscal years for assurance and related services by E&Y that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 in 2021 and $0 in 2020.
Item 4(c): Tax Fees
The aggregate fees billed in each of the last two fiscal years for professional services rendered by E&Y for RIC tax compliance and diversification review and tax return review are $181,700 in 2021 and $242,850 in 2020.
Item 4(d): All Other Fees
The aggregate fees billed in each of the last two fiscal years for products and services provided by E&Y, other than the services reported in paragraphs (a) through (c) of this Item are $0 in 2021 and $0 in 2020.
Item 4(e)(1): Pre-Approval Policies and Procedures
Pursuant to the registrant’s Audit Committee Charter adopted on March 9, 2018, the Audit Committee shall, to the extent required by applicable regulations, pre-approve (i) all audit and permitted non-audit services rendered by the independent auditors to a Fund and (ii) all non-audit services rendered by the independent auditors to a Fund’s investment adviser(s) (including any sub-advisers) and to certain of the investment adviser’s affiliates, as applicable. The Audit Committee may implement policies and procedures by which such services are pre-approved other than by the full Committee (for example, by the Committee chair).
Item 4(e)(2): Percentage of Fees Pre-Approved Pursuant to Waiver Provision of Paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X
No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
Item 4(f): Work Performed by Persons Other than the Principal Accountant
Not applicable.
Item 4(g): Aggregate Non-Audit Fees Disclosure
The aggregate non-audit fees and services billed by E&Y for services rendered to the registrant and service affiliates for the last fiscal year was $181,700 in 2021 and $242,850 in 2020.
Item 4(h): Non-Audit Services and Independent Accountant’s Independence
The registrant’s Audit Committee has considered whether the provision of non-audit services to service affiliates, not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the registered public accountant’s independence in performing audit services.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| (a) | The registrant has elected to include the schedule of investments in securities of unaffiliated issuers as part of the report to shareholders filed under Item 1 of this report on Form N-CSR. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.
Item 11. Controls and Procedures.
| (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as of a date within 90 days of the filing date of this report. |
| (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Morningstar Funds Trust
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| By | | /s/ Daniel E. Needham |
| | Daniel E. Needham, President |
| | (Principal Executive Officer) |
Date: July 7, 2021
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.
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| By | | /s/ Daniel E. Needham |
| | Daniel E. Needham, President |
| | (Principal Executive Officer) |
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| Date: July 7, 2021 |
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| By | | /s/ Tracy L. Dotolo |
| | Tracy L. Dotolo, Treasurer |
| | (Principal Financial Officer) |
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| Date: July 7, 2021 |
